BlackRock Allocation Target Shares
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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:
Name of Fund:
BlackRock Allocation Target Shares
BATS: Series A Portfolio
BATS: Series C Portfolio
BATS: Series E Portfolio
BATS: Series M Portfolio
BATS: Series P Portfolio
BATS: Series S Portfolio
BATS: Series V Portfolio
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Allocation Target Shares, 50 Hudson Yards, New York, NY 10001
Registrant's telephone number, including area code:
Date of reporting period:
Item 1 — Reports to Stockholders
(a) The Reports to Shareholders are attached herewith
BATS: Series A Portfolio
BATAX
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about BATS: Series A Portfolio (the “Fund”) for the period of April 1, 2024 to September 30, 2024. You can find additional information about the Fund at blackrock.com/fundreports. You can also request this information by contacting us at (800) 441‑7762.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund name |
Costs of a $10,000
investment |
Costs paid as a percentage of a
$10,000 investment |
| BATS: Series A Portfolio |
$0(a) |
0.01%(b) |
| (a) |
Rounds to less than $1. |
| (b) |
Annualized. |
Average annual total returns
|
6-Month
Total
Returns |
|
1 Year |
|
5 Years |
|
Since Fund
Inception |
|
| BATS: Series A Portfolio |
5.03 |
% |
10.65 |
% |
3.30 |
% |
4.63 |
% |
| Bloomberg U.S. Universal Index |
5.40 |
|
12.08 |
|
0.70 |
|
2.15 |
|
| Reference Benchmark |
4.91 |
|
10.89 |
|
1.80 |
|
2.44 |
|
| Net Assets |
$2,919,758,150 |
| Number of Portfolio Holdings |
1,641 |
| Portfolio Turnover Rate |
26% |
The Fund commenced operations on September 21, 2015.
Reference Benchmark is a customized weighted index comprised of the returns of the Bloomberg U.S. Asset-Backed Securities Index (50%)/Bloomberg Non-Agency Investment Grade CMBS Index (50%).
Past performance is not an indication of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit blackrock.com for more recent performance information.
What did the Fund invest in?
(as of September 30, 2024)
| Investment Type |
Percent of Total
Investments(a) |
|
| Asset-Backed Securities |
52.8 |
% |
| Non-Agency Mortgage-Backed Securities |
46.4 |
% |
| Floating Rate Loan Interests |
0.4 |
% |
| U.S. Government Sponsored Agency Securities |
0.4 |
% |
| Corporate Bonds |
— |
% (b) |
Credit quality allocation
| Credit Rating(c) |
Percent of Total
Investments(a) |
|
| AAA/Aaa(d) |
38.4 |
% |
| AA/Aa |
6.9 |
% |
| A |
3.1 |
% |
| BBB/Baa |
3.7 |
% |
| BB/Ba |
3.6 |
% |
| B |
1.0 |
% |
| CCC/Caa |
1.9 |
% |
| CC/Ca |
2.0 |
% |
| C |
0.7 |
% |
| D |
0.1 |
% |
| N/R |
38.6 |
% |
| (a) |
Excludes short-term securities, short investments and options, if any. |
| (b) |
Rounds to less than 0.1%. |
| (c) |
For purposes of this report, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (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. |
Additional information
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit blackrock.com/fundreports. For proxy voting records, visit blackrock.com/proxyrecords.
The Fund is not sponsored, endorsed, issued, sold, or promoted by Bloomberg Index Services Limited and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved. BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
BATS: Series A Portfolio
Semi-Annual Shareholder Report — September 30, 2024
BATAX-09/24-SAR
BATS: Series C Portfolio
BRACX
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about BATS: Series C Portfolio (the “Fund”) for the period of April 1, 2024 to September 30, 2024. You can find additional information about the Fund at blackrock.com/fundreports. You can also request this information by contacting us at (800) 441‑7762.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund name |
Costs of a $10,000
investment |
Costs paid as a percentage of a
$10,000 investment |
| BATS: Series C Portfolio |
$0(a) |
0.00%(b)(c) |
| (a) |
Rounds to less than $1. |
| (b) |
Annualized. |
| (c) |
Rounds to less than 0.01%. |
Average annual total returns
|
6-Month
Total
Returns |
|
1 Year |
|
5 Years |
|
10 Years |
|
| BATS: Series C Portfolio |
5.62 |
% |
14.46 |
% |
1.72 |
% |
3.17 |
% |
| Bloomberg U.S. Aggregate Bond Index |
5.26 |
|
11.57 |
|
0.33 |
|
1.84 |
|
| Bloomberg U.S. Credit Index |
5.66 |
|
13.81 |
|
1.07 |
|
2.79 |
|
| Net Assets |
$456,840,337 |
| Number of Portfolio Holdings |
873 |
| Portfolio Turnover Rate |
211% |
The Fund has added the Bloomberg U.S. Aggregate Bond Index in response to new regulatory requirements.
Past performance is not an indication of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit blackrock.com for more recent performance information.
What did the Fund invest in?
(as of September 30, 2024)
| Investment Type |
Percent of Total
Investments(a) |
|
| Corporate Bonds |
82.6 |
% |
| U.S. Treasury Obligations |
10.3 |
% |
| Foreign Government Obligations |
3.7 |
% |
| Preferred Securities |
1.5 |
% |
| Municipal Bonds |
1.3 |
% |
| Foreign Agency Obligations |
0.6 |
% |
Credit quality allocation
| Credit Rating(b) |
Percent of Total
Investments(a) |
|
| AAA/Aaa(c) |
10.3 |
% |
| AA/Aa |
5.7 |
% |
| A |
31.8 |
% |
| BBB/Baa |
50.7 |
% |
| BB/Ba |
0.8 |
% |
| N/R |
0.7 |
% |
| (a) |
Excludes short-term securities, short investments and options, if any. |
| (b) |
For purposes of this report, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (c) |
The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed unrated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations to be of similar credit quality as investments rated AAA/Aaa. |
Additional information
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit blackrock.com/fundreports. For proxy voting records, visit blackrock.com/proxyrecords.
The Fund is not sponsored, endorsed, issued, sold, or promoted by Bloomberg Index Services Limited and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved. BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
BATS: Series C Portfolio
Semi-Annual Shareholder Report — September 30, 2024
BRACX-09/24-SAR
BATS: Series E Portfolio
BATEX
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about BATS: Series E Portfolio (the “Fund”) for the period of April 1, 2024 to September 30, 2024. You can find additional information about the Fund at blackrock.com/fundreports. You can also request this information by contacting us at (800) 441‑7762.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund name |
Costs of a $10,000
investment |
Costs paid as a percentage of a
$10,000 investment |
| BATS: Series E Portfolio |
$0(a) |
0.06%(b) |
| (a) |
Rounds to less than $1. |
| (b) |
Annualized. |
Average annual total returns
|
6-Month
Total
Returns |
|
1 Year |
|
5 Years |
|
10 Years |
|
| BATS: Series E Portfolio |
5.39 |
% |
17.61 |
% |
3.15 |
% |
5.05 |
% |
| Bloomberg Municipal Bond Index |
2.69 |
|
10.37 |
|
1.39 |
|
2.52 |
|
| Bloomberg Municipal High Yield Bond Index |
5.88 |
|
17.38 |
|
3.07 |
|
4.52 |
|
| Customized Reference Benchmark |
4.77 |
|
15.20 |
|
2.56 |
|
N/A |
|
| Customized Reference Benchmark (prior) |
3.80 |
|
12.78 |
|
2.00 |
|
N/A |
|
| Net Assets |
$491,888,736 |
| Number of Portfolio Holdings |
623 |
| Portfolio Turnover Rate |
8% |
The Fund has added the Bloomberg Municipal Bond Index in response to new regulatory requirements.
Beginning July 29, 2024, the Fund started to compare its performance to that of the Customized Reference Benchmark comprised of 60% Bloomberg Municipal Bond: High Yield (non-Investment Grade) Total Return Index, 20% Bloomberg Municipal Bond Rated Baa Index, and 20% Bloomberg Municipal Investment Grade ex BBB. Fund management believes that the new benchmark is more representative of the types of investments held within the Fund. The Customized Reference Benchmark commenced on September 30, 2016.
Prior to July 29, 2024, the Fund compared its performance to that of the prior Customized Reference Benchmark, which is comprised of the Bloomberg Municipal Bond Index Total Return Index Value Unhedged (65%) and the Bloomberg Municipal Bond: High Yield (non-Investment Grade) Total Return Index (35%). The prior Customized Reference Benchmark commenced on September 30, 2016.
Past performance is not an indication of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit blackrock.com for more recent performance information.
What did the Fund invest in?
(as of September 30, 2024)
| Sector |
Percent of Total
Investments |
|
| County/City/Special District/School District |
31.9 |
% |
| Transportation |
16.9 |
% |
| Utilities |
15.9 |
% |
| Education |
14.5 |
% |
| Health Care |
11.5 |
% |
| Tobacco |
4.8 |
% |
| Housing |
4.5 |
% |
Credit quality allocation
| Credit Rating(a) |
Percent of Total
Investments |
|
| AAA/Aaa |
1.7 |
% |
| AA/Aa |
18.1 |
% |
| A |
15.5 |
% |
| BBB/Baa |
11.0 |
% |
| BB/Ba |
8.2 |
% |
| B |
1.2 |
% |
| CCC/Caa |
0.3 |
% |
| N/R |
44.0 |
% |
| (a) |
For purposes of this report, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
Additional information
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit blackrock.com/fundreports. For proxy voting records, visit blackrock.com/proxyrecords.
The Fund is not sponsored, endorsed, issued, sold, or promoted by Bloomberg Index Services Limited and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved. BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
BATS: Series E Portfolio
Semi-Annual Shareholder Report — September 30, 2024
BATEX-09/24-SAR
BATS: Series M Portfolio
BRAMX
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about BATS: Series M Portfolio (the “Fund”) for the period of April 1, 2024 to September 30, 2024. You can find additional information about the Fund at blackrock.com/fundreports. You can also request this information by contacting us at (800) 441‑7762.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund name |
Costs of a $10,000
investment |
Costs paid as a percentage of a
$10,000 investment |
| BATS: Series M Portfolio |
$0(a) |
0.00%(b)(c) |
| (a) |
Rounds to less than $1. |
| (b) |
Annualized. |
| (c) |
Rounds to less than 0.01%. |
Average annual total returns
|
6-Month
Total
Returns |
|
1 Year |
|
5 Years |
|
10 Years |
|
| BATS: Series M Portfolio |
5.97 |
% |
13.06 |
% |
0.55 |
% |
1.82 |
% |
| Bloomberg U.S. Aggregate Bond Index |
5.26 |
|
11.57 |
|
0.33 |
|
1.84 |
|
| Bloomberg MBS Index |
5.60 |
|
12.32 |
|
0.04 |
|
1.41 |
|
| Net Assets |
$1,233,967,780 |
| Number of Portfolio Holdings |
1,154 |
| Portfolio Turnover Rate |
396% |
The Fund has added the Bloomberg U.S. Aggregate Bond Index in response to new regulatory requirements.
Past performance is not an indication of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit blackrock.com for more recent performance information.
What did the Fund invest in?
(as of September 30, 2024)
| Investment Type |
Percent of Total
Investments(a) |
|
| U.S. Government Sponsored Agency Securities |
91.8 |
% |
| Non-Agency Mortgage-Backed Securities |
6.1 |
% |
| Asset-Backed Securities |
2.1 |
% |
Credit quality allocation
| Credit Rating(b) |
Percent of Total
Investments(a) |
|
| AAA/Aaa(c) |
97.3 |
% |
| AA/Aa |
0.5 |
% |
| A |
0.2 |
% |
| BBB/Baa |
0.1 |
% |
| N/R |
1.9 |
% |
| (a) |
Excludes short-term securities, short investments and options, if any. |
| (b) |
For purposes of this report, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (c) |
The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed unrated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations to be of similar credit quality as investments rated AAA/Aaa. |
Additional information
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit blackrock.com/fundreports. For proxy voting records, visit blackrock.com/proxyrecords.
The Fund is not sponsored, endorsed, issued, sold, or promoted by Bloomberg Index Services Limited and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved. BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
BATS: Series M Portfolio
Semi-Annual Shareholder Report — September 30, 2024
BRAMX-09/24-SAR
BATS: Series P Portfolio
BATPX
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about BATS: Series P Portfolio (the “Fund”) for the period of April 1, 2024 to September 30, 2024. You can find additional information about the Fund at blackrock.com/fundreports. You can also request this information by contacting us at (800) 441‑7762.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund name |
Costs of a $10,000
investment |
Costs paid as a percentage of a
$10,000 investment |
| BATS: Series P Portfolio |
$0(a) |
0.00%(b)(c) |
| (a) |
Rounds to less than $1. |
| (b) |
Annualized. |
| (c) |
Rounds to less than 0.01%. |
Average annual total returns
|
6-Month
Total
Returns |
|
1 Year |
|
5 Years |
|
10 Years |
|
| BATS: Series P Portfolio |
0.10 |
% |
0.52 |
% |
5.07 |
% |
1.29 |
% |
| Bloomberg U.S. Aggregate Bond Index |
5.26 |
|
11.57 |
|
0.33 |
|
1.84 |
|
| Bloomberg U.S. Treasury 7-10 Year Bond Index |
5.57 |
|
10.98 |
|
(0.69 |
) |
1.52 |
|
| Bloomberg U.S. Bellwether 10 Year Swap Index |
6.23 |
|
12.12 |
|
(1.29 |
) |
1.57 |
|
| Net Assets |
$4,156,032 |
| Number of Portfolio Holdings |
15 |
| Portfolio Turnover Rate |
0% |
The Fund has added the Bloomberg U.S. Aggregate Bond Index in response to new regulatory requirements.
Past performance is not an indication of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit blackrock.com for more recent performance information.
What did the Fund invest in?
(as of September 30, 2024)
| Investment Type |
Percent of Total
Investments |
|
| Fixed-Income Funds |
100.0 |
% |
Additional information
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit blackrock.com/fundreports. For proxy voting records, visit blackrock.com/proxyrecords.
The Fund is not sponsored, endorsed, issued, sold, or promoted by Bloomberg Index Services Limited and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved. BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
BATS: Series P Portfolio
Semi-Annual Shareholder Report — September 30, 2024
BATPX-09/24-SAR
BATS: Series S Portfolio
BRASX
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about BATS: Series S Portfolio (the “Fund”) for the period of April 1, 2024 to September 30, 2024. You can find additional information about the Fund at blackrock.com/fundreports. You can also request this information by contacting us at (800) 441‑7762.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund name |
Costs of a $10,000
investment |
Costs paid as a percentage of a
$10,000 investment |
| BATS: Series S Portfolio |
$0(a) |
0.00%(b)(c) |
| (a) |
Rounds to less than $1. |
| (b) |
Annualized. |
| (c) |
Rounds to less than 0.01%. |
Average annual total returns
|
6-Month
Total
Returns |
|
1 Year |
|
5 Years |
|
10 Years |
|
| BATS: Series S Portfolio |
4.38 |
% |
8.56 |
% |
2.33 |
% |
2.52 |
% |
| Bloomberg U.S. Aggregate Bond Index |
5.26 |
|
11.57 |
|
0.33 |
|
1.84 |
|
| ICE BofA 1-3 Year U.S. Treasury Index |
3.84 |
|
6.74 |
|
1.52 |
|
1.42 |
|
| Net Assets |
$391,181,350 |
| Number of Portfolio Holdings |
613 |
| Portfolio Turnover Rate |
55% |
The Fund has added the Bloomberg U.S. Aggregate Bond Index in response to new regulatory requirements.
An index that is a subset of ICE BofA US Treasury Index including all securities with a remaining term to final maturity less than 3 years. On December 1, 2023, the Fund began to compare its performance to the standard pricing time of the ICE BofA 1-3 Year U.S. Treasury Index (the “Index”). Index data prior to March 1, 2021 is for the Index’s standard pricing time of 3pm. Index data from March 1, 2021 through November 30, 2023 is for a custom 4pm pricing variant of the Index. Index returns beginning on December 1, 2023 reflect the Index’s new standard pricing time of 4pm. The change of the Index’s standard pricing time from 3pm to 4pm resulted in the discontinuation of the custom 4pm pricing variant used from March 1, 2021 through November 30, 2023.
Past performance is not an indication of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit blackrock.com for more recent performance information.
What did the Fund invest in?
(as of September 30, 2024)
| Investment Type |
Percent of Total
Investments(a) |
|
| Corporate Bonds |
33.2 |
% |
| Asset-Backed Securities |
27.2 |
% |
| U.S. Treasury Obligations |
16.9 |
% |
| U.S. Government Sponsored Agency Securities |
13.0 |
% |
| Non-Agency Mortgage-Backed Securities |
9.4 |
% |
| Foreign Government Obligations |
0.3 |
% |
Credit quality allocation
| Credit Rating(b) |
Percent of Total
Investments(a) |
|
| AAA/Aaa(c) |
62.4 |
% |
| AA/Aa |
2.2 |
% |
| A |
12.9 |
% |
| BBB/Baa |
17.8 |
% |
| N/R |
4.7 |
% |
| (a) |
Excludes short-term securities, short investments and options, if any. |
| (b) |
For purposes of this report, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (c) |
The investment adviser evaluates the credit quality of unrated investments based upon certain factors including, but not limited to, credit ratings for similar investments and financial analysis of sectors, individual investments and/or issuers. Using this approach, the investment adviser has deemed unrated U.S. Government Sponsored Agency Securities and U.S. Treasury Obligations to be of similar credit quality as investments rated AAA/Aaa. |
Additional information
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit blackrock.com/fundreports. For proxy voting records, visit blackrock.com/proxyrecords.
The Fund is not sponsored, endorsed, issued, sold, or promoted by Bloomberg Index Services Limited, ICE Data Indices, LLC, and their respective affiliates, nor do these companies make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the companies listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved. BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
BATS: Series S Portfolio
Semi-Annual Shareholder Report — September 30, 2024
BRASX-09/24-SAR
BATS: Series V Portfolio
BATVX
Semi-Annual Shareholder Report — September 30, 2024
This semi-annual shareholder report contains important information about BATS: Series V Portfolio (the “Fund”) for the period of April 1, 2024 to September 30, 2024. You can find additional information about the Fund at blackrock.com/fundreports. You can also request this information by contacting us at (800) 441‑7762.
What were the Fund costs for the last six months?
(based on a hypothetical $10,000 investment)
| Fund name |
Costs of a $10,000
investment |
Costs paid as a percentage of a
$10,000 investment |
| BATS: Series V Portfolio |
$0(a) |
0.01%(b) |
| (a) |
Rounds to less than $1. |
| (b) |
Annualized. |
Average annual total returns
|
6-Month
Total
Returns |
|
1 Year |
|
Since Fund
Inception |
|
| BATS: Series V Portfolio |
1.83 |
% |
3.58 |
% |
2.08 |
% |
| Bloomberg Municipal Bond Index |
2.69 |
|
10.37 |
|
0.15 |
|
| SIFMA Municipal Swap Index |
1.74 |
|
3.49 |
|
2.08 |
|
| Net Assets |
$128,807,392 |
| Number of Portfolio Holdings |
85 |
| Portfolio Turnover Rate |
145% |
The Fund commenced operations on May 5, 2021.
The Fund has added the Bloomberg Municipal Bond Index in response to new regulatory requirements.
Past performance is not an indication of future results. Performance results may include adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. Visit blackrock.com for more recent performance information.
What did the Fund invest in?
(as of September 30, 2024)
| Sector |
Percent of Total
Investments |
|
| County/City/Special District/School District |
31.1 |
% |
| Housing |
24.0 |
% |
| Health Care |
18.2 |
% |
| Education |
12.1 |
% |
| Utilities |
11.3 |
% |
| Transportation |
3.3 |
% |
Additional information
If you wish to view additional information about the Fund, including but not limited to financial statements, the Fund’s prospectus, and proxy voting policies and procedures, please visit blackrock.com/fundreports. For proxy voting records, visit blackrock.com/proxyrecords.
The Fund is not sponsored, endorsed, issued, sold, or promoted by Bloomberg Index Services Limited and its affiliates, nor does this company make any representation regarding the advisability of investing in the Fund. BlackRock is not affiliated with the company listed above.
©2024 BlackRock, Inc. or its affiliates. All rights reserved. BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates. All other trademarks are those of their respective owners.
BATS: Series V Portfolio
Semi-Annual Shareholder Report — September 30, 2024
BATVX-09/24-SAR
(b) Not Applicable
| Item 2 – |
Code of Ethics – Not Applicable to this semi-annual report. |
| Item 3 – |
Audit Committee Financial Expert – Not Applicable to this semi-annual report. |
| Item 4 – |
Principal Accountant Fees and Services – Not Applicable to this semi-annual report. |
| Item 5 – |
Audit Committee of Listed Registrant – Not Applicable |
(a) The registrant’s Schedule of Investments is included as part of the Financial Statement and Financial Highlights for Open-End Management Investment Companies filed under Item 7 of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
| Item 7 – |
Financial Statements and Financial Highlights for Open-End Management Investment Companies |
(a) The registrant’s Financial Statements are attached herewith.
(b) The registrant’s Financial Highlights are attached herewith.
2
|
|
|
|
|
|
SEPTEMBER 30, 2024 |
|
|
|
|
|
| |
|
2024 Semi-Annual Financial Statements and Additional Information (Unaudited) |
BlackRock Allocation Target Shares
· BATS: Series A Portfolio
· BATS: Series C Portfolio
· BATS: Series E Portfolio
· BATS: Series M Portfolio
· BATS: Series P Portfolio
· BATS: Series S Portfolio
· BATS: Series V Portfolio
|
| Not FDIC Insured • May Lose Value • No Bank Guarantee |
Table of Contents
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.
|
|
|
| T H E B E N E F I T S A N D R I S K S O F L E V E R A G I N G / D E R I V A T I V E F I N A N C I A L I N S T R U M E N T S |
|
3 |
|
|
|
| Schedule of Investments (unaudited) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities |
|
| 510 Loan Acquisition Trust, Series 2020-1, Class A, 8.11%, 09/25/60(a)(b) |
|
|
USD |
|
|
|
450 |
|
|
$ |
446,662 |
|
| 522 Funding CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-3A, Class CR, (3-mo. CME Term SOFR + 2.31%), 7.59%, 10/20/31(a)(c) |
|
|
|
|
|
|
500 |
|
|
|
500,964 |
|
| Series 2019-5A, Class AR, (3-mo. CME Term SOFR + 1.33%), 6.63%, 04/15/35(a)(c) |
|
|
|
|
|
|
430 |
|
|
|
430,292 |
|
| Series 2020-6A, Class A1R, (3-mo. CME Term SOFR + 1.41%), 6.70%, 10/23/34(a)(c) |
|
|
|
|
|
|
1,600 |
|
|
|
1,600,974 |
|
| AB BSL CLO 4 Ltd., Series 2023-4A, Class A, (3-mo. CME Term SOFR + 2.00%), 7.28%, 04/20/36(a)(c) |
|
|
|
|
|
|
1,060 |
|
|
|
1,066,894 |
|
| ABFC Trust, Series 2007-WMC1, Class A2B, (1-mo. CME Term SOFR + 1.11%), 5.97%, 06/25/37(c) |
|
|
|
|
|
|
2,699 |
|
|
|
2,218,673 |
|
| AccessLex Institute, Series 2007-A, Class A3, (3-mo. CME Term SOFR + 0.56%), 5.63%, 05/25/36(c) |
|
|
|
|
|
|
1,707 |
|
|
|
1,672,370 |
|
| ACE Securities Corp. Home Equity Loan Trust, Series 2005-AG1, Class M2, (1-mo. CME Term SOFR + 0.80%), 5.66%, 08/25/35(c) |
|
|
|
|
|
|
350 |
|
|
|
284,541 |
|
| Affirm Asset Securitization Trust, Series 2024-A, Class A, 5.61%, 02/15/29(a) |
|
|
|
|
|
|
1,973 |
|
|
|
1,998,743 |
|
| AGL CLO 1 Ltd., Series 2019-1A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.19%, 10/20/34(a)(c) |
|
|
|
|
|
|
400 |
|
|
|
400,565 |
|
| AGL CLO 12 Ltd., Series 2021-12A, Class A1, (3-mo. CME Term SOFR + 1.42%), 6.70%, 07/20/34(a)(c) |
|
|
|
|
|
|
4,000 |
|
|
|
4,005,948 |
|
| AGL CLO 13 Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-13A, Class A1, (3-mo. CME Term SOFR + 1.42%), 6.70%, 10/20/34(a)(c) |
|
|
|
|
|
|
450 |
|
|
|
450,664 |
|
| Series 2021-13A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.19%, 10/20/34(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,526 |
|
| AGL CLO 14 Ltd., Series 2021-14A, Class B1, (3-mo. CME Term SOFR + 1.91%), 7.19%, 12/02/34(a)(c) |
|
|
|
|
|
|
1,050 |
|
|
|
1,052,106 |
|
| AGL CLO 23 Ltd., Series 2022-23A, Class A, (3-mo. CME Term SOFR + 2.20%), 7.48%, 01/20/36(a)(c) |
|
|
|
|
|
|
3,210 |
|
|
|
3,225,225 |
|
| AGL CLO 3 Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-3A, Class A, (3-mo. CME Term SOFR + 1.56%), 6.86%, 01/15/33(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,160 |
|
| Series 2020-3A, Class D, (3-mo. CME Term SOFR + 3.56%), 8.86%, 01/15/33(a)(c) |
|
|
|
|
|
|
1,250 |
|
|
|
1,253,766 |
|
| AGL CLO 32 Ltd., Series 2024-32A, Class A1, (3-mo. CME Term SOFR + 1.38%), 6.65%, 07/21/37(a)(c) |
|
|
|
|
|
|
1,020 |
|
|
|
1,024,080 |
|
| AGL CLO 5 Ltd., Series 2020-5A, Class A1R, (3-mo. CME Term SOFR + 1.42%), 6.70%, 07/20/34(a)(c) |
|
|
|
|
|
|
590 |
|
|
|
590,880 |
|
| AGL Core CLO 2 Ltd., Series 2019-2A, Class A1R, (3-mo. CME Term SOFR + 1.46%), 6.79%, 07/20/37(a)(c) |
|
|
|
|
|
|
3,770 |
|
|
|
3,780,242 |
|
| AGL Core CLO 27 Ltd., Series 2023-27A, Class A, (3-mo. CME Term SOFR + 1.73%), 7.01%, 10/21/36(a)(c) |
|
|
|
|
|
|
4,000 |
|
|
|
4,017,259 |
|
| AGL Core CLO 4 Ltd., Series 2020-4A, Class AR2, (3-mo. CME Term SOFR + 1.38%), 6.15%, 10/20/37(a)(c) |
|
|
|
|
|
|
4,350 |
|
|
|
4,351,427 |
|
| AIMCO CLO, Series 2017-AA, Class AR, (3-mo. CME Term SOFR + 1.31%),
6.59%, 04/20/34(a)(c) |
|
|
|
|
|
|
2,500 |
|
|
|
2,500,190 |
|
| AIMCO CLO 11 Ltd., Series 2020-11A, Class BR2, (3-mo. CME Term SOFR + 1.65%), 6.89%, 07/17/37(a)(c) |
|
|
|
|
|
|
2,180 |
|
|
|
2,186,570 |
|
| AIMCO CLO 12 Ltd., Series 2020-12A, Class AR, (3-mo. CME Term SOFR + 1.17%), 6.46%, 01/17/32(a)(c) |
|
|
|
|
|
|
6,725 |
|
|
|
6,731,199 |
|
| Ajax Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-G, Class A, 1.88%, 06/25/61(a)(c) |
|
|
|
|
|
|
7,012 |
|
|
|
6,811,923 |
|
| Series 2021-G, Class B, 3.75%, 06/25/61(a)(c) |
|
|
|
|
|
|
1,283 |
|
|
|
1,368,291 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Ajax Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-G, Class C,
0.00%, 06/25/61(a)(d) |
|
|
USD |
|
|
|
2,301 |
|
|
$ |
2,113,702 |
|
| Series 2023-B, Class A, 4.25%, 10/25/62(a)(b) |
|
|
|
|
|
|
7,146 |
|
|
|
6,967,006 |
|
| Series 2023-B, Class B, 4.25%, 10/25/62(a)(b) |
|
|
|
|
|
|
881 |
|
|
|
837,947 |
|
| Series 2023-B, Class C, 0.00%, 10/25/62(a)(d) |
|
|
|
|
|
|
2,011 |
|
|
|
948,810 |
|
| Series 2023-B, Class SA,
0.00%, 10/25/62(a)(d) |
|
|
|
|
|
|
346 |
|
|
|
264,013 |
|
| Allegro CLO VI Ltd., Series 2017-2A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.68%, 01/17/31(a)(c) |
|
|
|
|
|
|
415 |
|
|
|
415,611 |
|
| AMMC CLO 18 Ltd., Series 2016-18A, Class AR, (3-mo. CME Term SOFR + 1.36%), 6.43%, 05/26/31(a)(c) |
|
|
|
|
|
|
1,161 |
|
|
|
1,163,728 |
|
| AMSR Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-SFR4, Class F, 2.86%, 11/17/37(a) |
|
|
|
|
|
|
4,000 |
|
|
|
3,881,171 |
|
| Series 2020-SFR4, Class G2, 4.87%, 11/17/37(a) |
|
|
|
|
|
|
2,537 |
|
|
|
2,506,618 |
|
| Series 2021-SFR1, Class F,
3.60%, 06/17/38(a) |
|
|
|
|
|
|
2,872 |
|
|
|
2,626,120 |
|
| Series 2021-SFR2, Class F1,
3.28%, 08/17/38(a) |
|
|
|
|
|
|
3,756 |
|
|
|
3,551,840 |
|
| Anchorage Capital CLO 16 Ltd.,
Series 2020-16A, Class A1R, (3-mo. CME Term SOFR + 1.46%), 6.74%, 01/19/35(a)(c) |
|
|
|
|
|
|
380 |
|
|
|
380,385 |
|
| Anchorage Capital CLO 29 Ltd.,
Series 2024-29A, Class A1, (3-mo. CME Term SOFR + 1.60%), 6.92%, 07/20/37(a)(c) |
|
|
|
|
|
|
4,430 |
|
|
|
4,448,655 |
|
| Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class BR3, (3-mo. CME Term SOFR + 2.10%), 7.43%, 04/22/34(a)(c) |
|
|
|
|
|
|
3,720 |
|
|
|
3,742,878 |
|
| Anchorage Capital CLO 7 Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-7A, Class BR3, (3-mo. CME Term SOFR + 2.05%),
7.38%, 04/28/37(a)(c) |
|
|
|
|
|
|
800 |
|
|
|
806,365 |
|
| Series 2015-7A, Class CR3, (3-mo. CME Term SOFR + 2.45%),
7.78%, 04/28/37(a)(c) |
|
|
|
|
|
|
1,625 |
|
|
|
1,649,529 |
|
| Anchorage Capital CLO 8 Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-8A, Class AR2A, (3-mo. CME Term SOFR + 1.46%),
6.73%, 10/27/34(a)(c) |
|
|
|
|
|
|
6,670 |
|
|
|
6,676,655 |
|
| Series 2016-8A, Class BR2, (3-mo. CME Term SOFR + 2.06%),
7.33%, 10/27/34(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,003,989 |
|
| Series 2016-8A, Class CR2, (3-mo. CME Term SOFR + 2.66%),
7.93%, 10/27/34(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,802 |
|
| Apidos CLO XV, Series 2013-15A, Class A1RR, (3-mo. CME Term SOFR + 1.27%), 6.55%, 04/20/31(a)(c) |
|
|
|
|
|
|
506 |
|
|
|
507,010 |
|
| Apidos CLO XX, Series 2015-20A, Class A1RA, (3-mo. CME Term SOFR + 1.36%), 6.65%, 07/16/31(a)(c) |
|
|
|
|
|
|
384 |
|
|
|
384,603 |
|
| Apidos CLO XXIV, Series 2016-24A, Class A2LX, (3-mo. CME Term SOFR + 1.61%), 6.89%, 10/20/30(a)(c) |
|
|
|
|
|
|
340 |
|
|
|
340,401 |
|
| Apidos CLO XXV |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-25A, Class A1R2, (3-mo. CME Term SOFR + 1.15%),
6.43%, 10/20/31(a)(c) |
|
|
|
|
|
|
8,268 |
|
|
|
8,273,594 |
|
| Series 2016-25A, Class A2R2, (3-mo. CME Term SOFR + 1.80%),
7.08%, 10/20/31(a)(c) |
|
|
|
|
|
|
4,500 |
|
|
|
4,509,187 |
|
| Series 2016-25A, Class AJR2, (3-mo. CME Term SOFR + 1.50%),
6.78%, 10/20/31(a)(c) |
|
|
|
|
|
|
5,000 |
|
|
|
5,001,590 |
|
| Apidos CLO XXVI, Series 2017-26A, Class BR, (3-mo. CME Term SOFR + 2.21%), 7.49%, 07/18/29(a)(c) |
|
|
|
|
|
|
2,830 |
|
|
|
2,838,360 |
|
| Apidos CLO XXXII, Series 2019-32A, Class A1R, (3-mo. CME Term SOFR + 1.10%), 6.38%, 01/20/33(a)(c) |
|
|
|
|
|
|
590 |
|
|
|
590,930 |
|
| Apidos CLO XXXIV, Series 2020-34A, Class A1R, (3-mo. CME Term SOFR + 1.41%), 6.69%, 01/20/35(a)(c) |
|
|
|
|
|
|
1,450 |
|
|
|
1,451,323 |
|
|
|
|
| 4 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Apidos CLO XXXIX, Series 2022-39A, Class A1, (3-mo. CME Term SOFR + 1.30%), 6.58%, 04/21/35(a)(c) |
|
|
USD |
|
|
|
5,000 |
|
|
$ |
5,013,958 |
|
| Apidos CLO XXXVI, Series 2021-36A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.14%, 07/20/34(a)(c) |
|
|
|
|
|
|
740 |
|
|
|
742,976 |
|
| Apidos CLO XXXVII, Series 2021-37A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.67%, 10/22/34(a)(c) |
|
|
|
|
|
|
1,780 |
|
|
|
1,780,899 |
|
| Aqua Finance Trust, Series 2021-A, Class A, 1.54%, 07/17/46(a) |
|
|
|
|
|
|
175 |
|
|
|
161,070 |
|
| Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A, (SOFR (30-day) + 1.45%), 6.79%, 01/15/37(a)(c) |
|
|
|
|
|
|
150 |
|
|
|
149,627 |
|
| Ares L CLO Ltd., Series 2018-50A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.16%, 01/15/32(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,506 |
|
| Ares LII CLO Ltd., Series 2019-52A, Class A1R, (3-mo. CME Term SOFR + 1.31%), 6.59%, 04/22/31(a)(c) |
|
|
|
|
|
|
1,831 |
|
|
|
1,832,866 |
|
| Ares LIX CLO Ltd., Series 2021-59A, Class A, (3-mo. CME Term SOFR + 1.29%), 6.58%, 04/25/34(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,326 |
|
| Ares Loan Funding IV Ltd., Series 2023-ALF4A, Class A1, (3-mo. CME Term SOFR + 1.75%), 7.05%, 10/15/36(a)(c) |
|
|
|
|
|
|
810 |
|
|
|
815,670 |
|
| Ares LVI CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-56A, Class AR, (3-mo. CME Term SOFR + 1.42%),
6.71%, 10/25/34(a)(c) |
|
|
|
|
|
|
2,130 |
|
|
|
2,133,116 |
|
| Series 2020-56A, Class ER, (3-mo. CME Term SOFR + 6.76%), 12.05%, 10/25/34(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,052 |
|
| Ares XLI CLO Ltd., Series 2016-41A, Class BR, (3-mo. CME Term SOFR + 1.71%), 7.01%, 04/15/34(a)(c) |
|
|
|
|
|
|
2,500 |
|
|
|
2,501,271 |
|
| Ares XLVIII CLO Ltd., Series 2018-48A, Class B, (3-mo. CME Term SOFR + 1.84%), 7.12%, 07/20/30(a)(c) |
|
|
|
|
|
|
680 |
|
|
|
682,143 |
|
| Ares XXXIIR CLO Ltd., Series 2014-32RA, Class A1A, (3-mo. CME Term SOFR + 1.20%), 6.32%, 05/15/30(a)(c) |
|
|
|
|
|
|
317 |
|
|
|
317,327 |
|
| Ares XXXVII CLO Ltd., Series 2015-4A, Class A1RR, (3-mo. CME Term SOFR + 1.08%), 6.38%, 10/15/30(a)(c) |
|
|
|
|
|
|
632 |
|
|
|
632,619 |
|
| Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1-mo. CME Term SOFR + 0.59%), 5.45%, 05/25/35(c) |
|
|
|
|
|
|
38 |
|
|
|
30,623 |
|
| Argent Securities Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-M1, Class A2C, (1-mo. CME Term SOFR + 0.41%), 5.27%, 07/25/36(c) |
|
|
|
|
|
|
2,109 |
|
|
|
568,907 |
|
| Series 2006-W2, Class A2C, (1-mo. CME Term SOFR + 0.69%), 5.55%, 03/25/36(c) |
|
|
|
|
|
|
551 |
|
|
|
304,524 |
|
| ARM Master Trust LLC Agricultural Loan Backed Notes, Series 2021-T1, Class A, 2.43%, 11/15/27(a) |
|
|
|
|
|
|
125 |
|
|
|
123,244 |
|
| Asset-Backed Securities Corp. Home Equity Loan Trust OOMC, Series 2005-HE6, Class M6, (1-mo. CME Term SOFR + 1.22%), 6.08%, 07/25/35(c) |
|
|
|
|
|
|
914 |
|
|
|
809,321 |
|
| Assurant CLO I Ltd., Series 2017-1A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.24%, 10/20/34(a)(c) |
|
|
|
|
|
|
1,400 |
|
|
|
1,400,682 |
|
| Assurant CLO II Ltd., Series 2018-2A, Class A, (3-mo. CME Term SOFR + 1.30%), 6.58%, 04/20/31(a)(c) |
|
|
|
|
|
|
210 |
|
|
|
209,829 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Bain Capital Credit CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-2A, Class A1R, (3-mo. CME Term SOFR + 1.08%),
6.36%, 07/19/31(a)(c) |
|
|
USD |
|
|
|
1,000 |
|
|
$ |
1,000,068 |
|
| Series 2018-2A, Class BR, (3-mo. CME Term SOFR + 1.55%), 6.83%, 07/19/31(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,240 |
|
| Series 2021-4A, Class A1, (3-mo. CME Term SOFR + 1.43%), 6.71%, 10/20/34(a)(c) |
|
|
|
|
|
|
350 |
|
|
|
350,208 |
|
| Series 2022-1A, Class A1, (3-mo. CME Term SOFR + 1.32%), 6.60%, 04/18/35(a)(c) |
|
|
|
|
|
|
1,200 |
|
|
|
1,201,264 |
|
| Series 2024-2A, Class A1, (3-mo. CME Term SOFR + 1.52%), 6.85%, 07/15/37(a)(c) |
|
|
|
|
|
|
5,090 |
|
|
|
5,101,845 |
|
| Ballyrock CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.86%), 7.14%, 04/20/31(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,001 |
|
| Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.32%), 6.62%, 04/15/34(a)(c) |
|
|
|
|
|
|
4,600 |
|
|
|
4,601,095 |
|
| Series 2023-25A, Class C, (3-mo. CME Term SOFR + 4.70%), 9.99%, 01/25/36(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
252,251 |
|
| BankAmerica Manufactured Housing Contract Trust, Series 1997-2, Class B1, 7.07%, 02/10/22(c) |
|
|
|
|
|
|
5,740 |
|
|
|
900,615 |
|
| Bankers Healthcare Group Securitization Trust, Series 2020-A, Class C, 5.17%, 09/17/31(a) |
|
|
|
|
|
|
1,940 |
|
|
|
1,923,408 |
|
| Barings CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-2A, Class AR, (3-mo. CME Term SOFR + 1.45%), 6.73%, 10/20/30(a)(c) |
|
|
|
|
|
|
474 |
|
|
|
473,825 |
|
| Series 2015-IA, Class BR, (3-mo. CME Term SOFR + 1.66%), 6.94%, 01/20/31(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,315 |
|
| Series 2018-2A, Class B1AR, (3-mo. CME Term SOFR + 1.65%),
6.89%, 07/15/36(a)(c) |
|
|
|
|
|
|
2,560 |
|
|
|
2,555,628 |
|
| Series 2019-3A, Class A1R, (3-mo. CME Term SOFR + 1.33%),
6.61%, 04/20/31(a)(c) |
|
|
|
|
|
|
1,397 |
|
|
|
1,402,763 |
|
| Series 2020-1A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.71%, 10/15/36(a)(c) |
|
|
|
|
|
|
2,280 |
|
|
|
2,283,365 |
|
| Battalion CLO 18 Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-18A, Class AR, (3-mo. CME Term SOFR + 1.46%),
6.76%, 10/15/36(a)(c) |
|
|
|
|
|
|
500 |
|
|
|
500,535 |
|
| Series 2020-18A, Class BR, (3-mo. CME Term SOFR + 2.01%),
7.31%, 10/15/36(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
999,113 |
|
| Battalion CLO VIII Ltd., Series 2015-8A, Class A1R2, (3-mo. CME Term SOFR + 1.33%), 6.61%, 07/18/30(a)(c) |
|
|
|
|
|
|
629 |
|
|
|
629,650 |
|
| Battalion CLO XII Ltd., Series 2018-12A, Class B2R, (3-mo. CME Term SOFR + 2.34%), 7.44%, 05/17/31(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
251,330 |
|
| Battalion CLO XX Ltd., Series 2021-20A, Class A, (3-mo. CME Term SOFR + 1.44%), 6.74%, 07/15/34(a)(c) |
|
|
|
|
|
|
3,000 |
|
|
|
3,001,812 |
|
| Bayview Financial Mortgage Pass-Through Trust, Series 2006-A, Class B2, (1-mo. CME Term SOFR + 2.59%), 7.44%, 02/28/41(c) |
|
|
|
|
|
|
5,459 |
|
|
|
5,491,900 |
|
| Bayview Financial Revolving Asset Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2005-A, Class A1, (1-mo. CME Term SOFR + 1.11%), 5.96%, 02/28/40(a)(c) |
|
|
|
|
|
|
3,110 |
|
|
|
2,912,020 |
|
| Series 2005-E, Class A1, (1-mo. CME Term SOFR + 1.11%), 5.96%, 12/28/40(a)(c) |
|
|
|
|
|
|
1,031 |
|
|
|
1,022,316 |
|
| Series 2005-E, Class A2A, (1-mo. CME Term SOFR + 1.04%), 5.89%, 12/28/40(a)(c) |
|
|
|
|
|
|
844 |
|
|
|
810,919 |
|
| BDS Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-FL7, Class A, (1-mo. CME Term SOFR + 1.18%), 6.20%, 06/16/36(a)(c) |
|
|
|
|
|
|
1,049 |
|
|
|
1,044,018 |
|
| Series 2022-FL11, Class ATS, (1-mo. CME Term SOFR + 1.80%),
6.77%, 03/19/39(a)(c) |
|
|
|
|
|
|
1,233 |
|
|
|
1,233,379 |
|
|
|
|
| S C H E D U L E S O F I N V E S T M E N T S |
|
5 |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| BDS Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-FL13, Class A, (1-mo. CME Term SOFR + 1.58%),
6.78%, 09/19/39(a)(c) |
|
|
USD |
|
|
|
1,946 |
|
|
$ |
1,941,109 |
|
| Bean Creek CLO Ltd., Series 2015-1A, Class BR, (3-mo. CME Term SOFR + 1.71%), 6.99%, 04/20/31(a)(c) |
|
|
|
|
|
|
450 |
|
|
|
450,991 |
|
| Bear Stearns Asset-Backed Securities I Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2005-HE8, Class M3, (1-mo. CME Term SOFR + 2.06%), 6.92%, 08/25/35(c) |
|
|
|
|
|
|
3,474 |
|
|
|
3,374,613 |
|
| Series 2006-HE7, Class 1A2, (1-mo. CME Term SOFR + 0.45%), 5.31%, 09/25/36(c) |
|
|
|
|
|
|
87 |
|
|
|
87,006 |
|
| Series 2007-HE2, Class 1A4, (1-mo. CME Term SOFR + 0.43%), 5.29%, 03/25/37(c) |
|
|
|
|
|
|
837 |
|
|
|
758,876 |
|
| Series 2007-HE2, Class 23A, (1-mo. CME Term SOFR + 0.39%), 5.25%, 03/25/37(c) |
|
|
|
|
|
|
33 |
|
|
|
31,194 |
|
| Series 2007-HE3, Class 1A4, (1-mo. CME Term SOFR + 0.46%), 5.32%, 04/25/37(c) |
|
|
|
|
|
|
365 |
|
|
|
333,781 |
|
| Benefit Street Partners CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-6BR, Class A, (3-mo. CME Term SOFR + 1.45%),
6.73%, 07/20/34(a)(c) |
|
|
|
|
|
|
1,460 |
|
|
|
1,461,800 |
|
| Series 2015-6BR, Class B, (3-mo. CME Term SOFR + 2.06%),
7.34%, 07/20/34(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,961 |
|
| Benefit Street Partners CLO V-B Ltd.,
Series 2018- 5BA, Class A1R, (3-mo. CME Term SOFR + 1.53%), 6.83%, 07/20/37(a)(c) |
|
|
|
|
|
|
2,366 |
|
|
|
2,383,099 |
|
| Benefit Street Partners CLO VIII Ltd.,
Series 2015- 8A, Class A1AR, (3-mo. CME Term SOFR + 1.36%), 6.64%, 01/20/31(a)(c) |
|
|
|
|
|
|
971 |
|
|
|
972,241 |
|
| Benefit Street Partners CLO X Ltd.,
Series 2016-10A, Class A2AR, (3-mo. CME Term SOFR + 1.81%), 7.09%, 04/20/34(a)(c) |
|
|
|
|
|
|
500 |
|
|
|
500,636 |
|
| Benefit Street Partners CLO XII-B Ltd.,
Series 2017- 12BRA, Class B, (3-mo. CME Term SOFR + 1.70%), 6.94%, 10/15/37(a)(c) |
|
|
|
|
|
|
1,700 |
|
|
|
1,702,165 |
|
| Benefit Street Partners CLO XIX Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-19A, Class AR, (3-mo. CME Term SOFR + 1.18%),
6.48%, 01/15/33(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,766 |
|
| Series 2019-19A, Class BR, (3-mo. CME Term SOFR + 1.60%),
6.90%, 01/15/33(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,509 |
|
| Benefit Street Partners CLO XVII Ltd.,
Series 2019- 17A, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.64%, 07/15/32(a)(c) |
|
|
|
|
|
|
1,270 |
|
|
|
1,270,747 |
|
| Benefit Street Partners CLO XX Ltd.,
Series 2020- 20A, Class AR, (3-mo. CME Term SOFR + 1.43%), 6.73%, 07/15/34(a)(c) |
|
|
|
|
|
|
1,360 |
|
|
|
1,360,789 |
|
| Benefit Street Partners CLO XXI Ltd., Series 2020- 21A, Class A1R, (3-mo. CME Term SOFR + 1.43%), 6.73%, 10/15/34(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,127 |
|
| Benefit Street Partners CLO XXIV Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-24A, Class A, (3-mo. CME Term SOFR + 1.43%),
6.71%, 10/20/34(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,505 |
|
| Series 2021-24A, Class D, (3-mo. CME Term SOFR + 3.61%),
8.89%, 10/20/34(a)(c) |
|
|
|
|
|
|
500 |
|
|
|
501,678 |
|
| Benefit Street Partners CLO XXV Ltd., Series 2021- 25A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.26%, 01/15/35(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,761 |
|
| Benefit Street Partners CLO XXVI Ltd., Series 2022- 26A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.66%, 07/20/37(a)(c) |
|
|
|
|
|
|
1,920 |
|
|
|
1,921,449 |
|
| Benefit Street Partners CLO XXVII Ltd., Series 2022- 27A, Class AR, (3-mo. CME Term SOFR + 1.37%), 6.56%, 10/20/37(a)(c) |
|
|
|
|
|
|
7,630 |
|
|
|
7,630,078 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Betony CLO 2 Ltd., Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.34%), 6.60%, 04/30/31(a)(c) |
|
|
USD |
|
|
|
169 |
|
|
$ |
168,984 |
|
| BHG Securitization Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-A, Class A, 1.42%, 11/17/33(a) |
|
|
|
|
|
|
81 |
|
|
|
78,848 |
|
| Series 2021-A, Class B, 2.79%, 11/17/33(a) |
|
|
|
|
|
|
3,714 |
|
|
|
3,541,699 |
|
| Series 2022-C, Class B, 5.93%, 10/17/35(a) |
|
|
|
|
|
|
880 |
|
|
|
884,312 |
|
| Birch Grove CLO 2 Ltd., Series 2021-2A, Class A1R, (3-mo. CME Term SOFR + 1.40%), 6.55%, 10/19/37(a)(c) |
|
|
|
|
|
|
630 |
|
|
|
630,209 |
|
| Birch Grove CLO 3 Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-3A, Class B1, (3-mo. CME Term SOFR + 2.06%), 7.34%, 01/19/35(a)(c) |
|
|
|
|
|
|
730 |
|
|
|
732,178 |
|
| Series 2021-3A, Class B2, (3-mo. CME Term SOFR + 2.06%), 7.34%, 01/19/35(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,002,984 |
|
| BlueMountain CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-2A, Class A1R, (3-mo. CME Term SOFR + 1.44%),
6.72%, 10/22/30(a)(c) |
|
|
|
|
|
|
713 |
|
|
|
713,353 |
|
| Series 2013-2A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.14%, 10/22/30(a)(c) |
|
|
|
|
|
|
1,250 |
|
|
|
1,253,983 |
|
| Series 2015-3A, Class A1R, (3-mo. CME Term SOFR + 1.26%),
6.54%, 04/20/31(a)(c) |
|
|
|
|
|
|
1,373 |
|
|
|
1,373,567 |
|
| Series 2016-3A, Class A1R2, (3-mo. CME Term SOFR + 1.20%),
6.32%, 11/15/30(a)(c) |
|
|
|
|
|
|
8,949 |
|
|
|
8,965,058 |
|
| Series 2016-3A, Class A2R2, (3-mo. CME Term SOFR + 1.70%),
6.82%, 11/15/30(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,003,602 |
|
| Series 2018-2A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.08%, 08/15/31(a)(c) |
|
|
|
|
|
|
1,320 |
|
|
|
1,325,351 |
|
| Series 2018-3A, Class A1R, (3-mo. CME Term SOFR + 1.19%),
6.48%, 10/25/30(a)(c) |
|
|
|
|
|
|
1,742 |
|
|
|
1,742,618 |
|
| Series 2018-3A, Class BR, (3-mo. CME Term SOFR + 1.85%), 7.14%, 10/25/30(a)(c) |
|
|
|
|
|
|
6,350 |
|
|
|
6,362,447 |
|
| BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.30%, 07/25/34(a)(c) |
|
|
|
|
|
|
420 |
|
|
|
420,505 |
|
| BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class A, (3-mo. CME Term SOFR + 1.52%), 6.82%, 04/15/34(a)(c) |
|
|
|
|
|
|
650 |
|
|
|
650,600 |
|
| BlueMountain Fuji U.S. CLO II Ltd.,
Series 2017-2A, Class A1AR, (3-mo. CME Term SOFR + 1.26%), 6.54%, 10/20/30(a)(c) |
|
|
|
|
|
|
298 |
|
|
|
298,288 |
|
| BlueMountain Fuji U.S. CLO III Ltd.,
Series 2017-3A, Class B, (3-mo. CME Term SOFR + 1.64%), 6.94%, 01/15/30(a)(c) |
|
|
|
|
|
|
550 |
|
|
|
550,569 |
|
| BPCRE Ltd., Series 2022-FL2, Class A, (1-mo. CME Term SOFR + 2.40%), 7.41%, 01/16/37(a)(c) |
|
|
|
|
|
|
1,087 |
|
|
|
1,083,768 |
|
| Brex Commercial Charge Card Master Trust, Series 2024-1, Class A1, 6.05%, 07/15/27(a) |
|
|
|
|
|
|
2,027 |
|
|
|
2,059,457 |
|
| Bridge Street CLO II Ltd., Series 2021-1A, Class A1A, (3-mo. CME Term SOFR + 1.49%), 6.77%, 07/20/34(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,069 |
|
| Bristol Park CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-1A, Class AR, (3-mo. CME Term SOFR + 1.25%), 6.55%, 04/15/29(a)(c) |
|
|
|
|
|
|
3,318 |
|
|
|
3,319,553 |
|
| Series 2016-1A, Class BR, (3-mo. CME Term SOFR + 1.71%), 7.01%, 04/15/29(a)(c) |
|
|
|
|
|
|
350 |
|
|
|
350,806 |
|
| Series 2016-1A, Class DR, (3-mo. CME Term SOFR + 3.21%),
8.51%, 04/15/29(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
251,546 |
|
| Buckhorn Park CLO Ltd., Series 2019-1A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.66%, 07/18/34(a)(c) |
|
|
|
|
|
|
1,010 |
|
|
|
1,010,536 |
|
|
|
|
| 6 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Canyon Capital CLO Ltd., Series 2016-1A, Class AR, (3-mo. CME Term SOFR + 1.33%), 6.63%, 07/15/31(a)(c) |
|
|
USD |
|
|
|
950 |
|
|
$ |
950,599 |
|
| Canyon CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.33%), 6.63%, 07/15/31(a)(c) |
|
|
|
|
|
|
437 |
|
|
|
437,468 |
|
| Series 2020-3A, Class BR, (3-mo. CME Term SOFR + 1.95%),
7.19%, 10/15/37(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
251,288 |
|
| Carbone CLO Ltd., Series 2017-1A, Class A1, (3-mo. CME Term SOFR + 1.40%), 6.68%, 01/20/31(a)(c) |
|
|
|
|
|
|
350 |
|
|
|
350,473 |
|
| Carlyle C17 CLO Ltd., Series C17A, Class A1AR, (3-mo. CME Term SOFR + 1.29%), 6.55%, 04/30/31(a)(c) |
|
|
|
|
|
|
1,483 |
|
|
|
1,484,171 |
|
| Carlyle Global Market Strategies CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-4A, Class A1RR, (3-mo. CME Term SOFR + 1.26%),
6.56%, 01/15/31(a)(c) |
|
|
|
|
|
|
116 |
|
|
|
115,755 |
|
| Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.23%),
6.52%, 04/17/31(a)(c) |
|
|
|
|
|
|
2,240 |
|
|
|
2,243,887 |
|
| Series 2014-2RA, Class A1, (3-mo. CME Term SOFR + 1.31%),
6.43%, 05/15/31(a)(c) |
|
|
|
|
|
|
1,132 |
|
|
|
1,133,221 |
|
| Series 2014-3RA, Class A1A, (3-mo. CME Term SOFR + 1.31%),
6.58%, 07/27/31(a)(c) |
|
|
|
|
|
|
304 |
|
|
|
304,778 |
|
| Series 2014-3RA, Class A1B, (3-mo. CME Term SOFR + 1.56%),
6.83%, 07/27/31(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
996,961 |
|
| Series 2014-5A, Class A1RR, (3-mo. CME Term SOFR + 1.40%),
6.70%, 07/15/31(a)(c) |
|
|
|
|
|
|
534 |
|
|
|
534,346 |
|
| Series 2014-5A, Class A2RR, (3-mo. CME Term SOFR + 1.71%),
7.01%, 07/15/31(a)(c) |
|
|
|
|
|
|
590 |
|
|
|
590,337 |
|
| Series 2015-4A, Class A1RR, (3-mo. CME Term SOFR + 1.22%),
6.50%, 07/20/32(a)(c) |
|
|
|
|
|
|
860 |
|
|
|
860,688 |
|
| Carlyle U.S. CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-1A, Class A1R, (3-mo. CME Term SOFR + 1.26%),
6.54%, 04/20/31(a)(c) |
|
|
|
|
|
|
281 |
|
|
|
280,986 |
|
| Series 2017-3A, Class A1R2, (3-mo. CME Term SOFR + 1.40%),
6.54%, 10/21/37(a)(c) |
|
|
|
|
|
|
4,610 |
|
|
|
4,610,475 |
|
| Series 2017-3A, Class BR2, (3-mo. CME Term SOFR + 1.78%),
6.92%, 10/21/37(a)(c) |
|
|
|
|
|
|
2,810 |
|
|
|
2,814,027 |
|
| Series 2019-1A, Class A1AR, (3-mo. CME Term SOFR + 1.34%),
6.62%, 04/20/31(a)(c) |
|
|
|
|
|
|
333 |
|
|
|
333,277 |
|
| Series 2019-2A, Class A1R, (3-mo. CME Term SOFR + 1.38%),
6.68%, 07/15/32(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,385 |
|
| Series 2021-10A, Class A, (3-mo. CME Term SOFR + 1.41%),
6.69%, 10/20/34(a)(c) |
|
|
|
|
|
|
4,610 |
|
|
|
4,616,717 |
|
| Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.40%),
6.70%, 04/15/34(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,192 |
|
| Series 2021-7A, Class A1, (3-mo. CME Term SOFR + 1.42%),
6.72%, 10/15/35(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,002,566 |
|
| Series 2021-8A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.21%, 10/15/34(a)(c) |
|
|
|
|
|
|
3,000 |
|
|
|
3,009,187 |
|
| Carrington Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-FRE2, Class A4, (1-mo. CME Term SOFR + 0.36%), 5.22%, 10/25/36(c) |
|
|
|
|
|
|
1,325 |
|
|
|
1,068,283 |
|
| Series 2006-NC4, Class A3, (1-mo. CME Term SOFR + 0.27%), 5.13%, 10/25/36(c) |
|
|
|
|
|
|
21 |
|
|
|
20,835 |
|
| Series 2007-FRE1, Class A3, (1-mo. CME Term SOFR + 0.37%), 5.23%, 02/25/37(c) |
|
|
|
|
|
|
3,904 |
|
|
|
3,689,444 |
|
| CarVal CLO VC Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.51%), 8.81%, 10/15/34(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,002,850 |
|
| Series 2021-2A, Class E, (3-mo. CME Term SOFR + 7.01%), 12.31%, 10/15/34(a)(c) |
|
|
|
|
|
|
1,250 |
|
|
|
1,247,471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Cascade MH Asset Trust, Series 2019-MH1, Class A, 4.00%, 11/25/44(a)(c) |
|
|
USD |
|
|
|
4,629 |
|
|
$ |
4,385,791 |
|
| Cayuga Park CLO Ltd., Series 2020-1A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.67%, 07/17/34(a)(c) |
|
|
|
|
|
|
3,390 |
|
|
|
3,397,797 |
|
| CBAM Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-1A, Class A1, (3-mo. CME Term SOFR + 1.51%), 6.79%, 07/20/30(a)(c) |
|
|
|
|
|
|
498 |
|
|
|
499,001 |
|
| Series 2018-5A, Class B1, (3-mo. CME Term SOFR + 1.66%), 6.95%, 04/17/31(a)(c) |
|
|
|
|
|
|
540 |
|
|
|
540,525 |
|
| Series 2018-6A, Class B1R, (3-mo. CME Term SOFR + 2.36%),
7.66%, 01/15/31(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,002,513 |
|
| Series 2018-7A, Class B1, (3-mo. CME Term SOFR + 1.86%), 7.14%, 07/20/31(a)(c) |
|
|
|
|
|
|
500 |
|
|
|
501,709 |
|
| Series 2019-10A, Class A1R, (3-mo. CME Term SOFR + 1.38%),
6.66%, 04/20/32(a)(c) |
|
|
|
|
|
|
5,540 |
|
|
|
5,542,271 |
|
| Series 2020-12A, Class AR, (3-mo. CME Term SOFR + 1.44%),
6.72%, 07/20/34(a)(c) |
|
|
|
|
|
|
810 |
|
|
|
810,569 |
|
| C-BASS Trust, Series 2006-CB9, Class A4, (1-mo. CME Term SOFR + 0.57%), 5.43%, 11/25/36(c) |
|
|
|
|
|
|
176 |
|
|
|
79,599 |
|
| Cedar Funding II CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-1A, Class ARR, (3-mo. CME Term SOFR + 1.34%),
6.62%, 04/20/34(a)(c) |
|
|
|
|
|
|
750 |
|
|
|
750,481 |
|
| Series 2013-1A, Class BRR, (3-mo. CME Term SOFR + 1.61%),
6.89%, 04/20/34(a)(c) |
|
|
|
|
|
|
500 |
|
|
|
500,167 |
|
| Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (3-mo. CME Term SOFR + 1.36%), 6.65%, 07/17/31(a)(c) |
|
|
|
|
|
|
1,594 |
|
|
|
1,594,517 |
|
| Cedar Funding VI CLO Ltd., Series 2016-6A, Class ARR, (3-mo. CME Term SOFR + 1.31%), 6.59%, 04/20/34(a)(c) |
|
|
|
|
|
|
500 |
|
|
|
500,398 |
|
| Cedar Funding VII CLO Ltd., Series 2018-7A, Class AR, (3-mo. CME Term SOFR + 1.08%), 6.18%, 01/20/31(a)(c) |
|
|
|
|
|
|
270 |
|
|
|
270,270 |
|
| Cedar Funding VIII CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-8A, Class A1R, (3-mo. CME Term SOFR + 1.41%),
6.70%, 10/17/34(a)(c) |
|
|
|
|
|
|
2,750 |
|
|
|
2,751,392 |
|
| Series 2017-8A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.20%, 10/17/34(a)(c) |
|
|
|
|
|
|
2,500 |
|
|
|
2,501,114 |
|
| Cedar Funding XI CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-11A, Class A1R, (3-mo. CME Term SOFR + 1.31%),
6.37%, 05/29/32(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,003,852 |
|
| Series 2019-11A, Class A2R, (3-mo. CME Term SOFR + 1.61%),
6.67%, 05/29/32(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
249,999 |
|
| Cedar Funding XIV CLO Ltd., Series 2021-14A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.16%, 07/15/33(a)(c) |
|
|
|
|
|
|
1,480 |
|
|
|
1,479,395 |
|
| CIFC Funding Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-1A, Class A2R, (3-mo. CME Term SOFR + 2.01%),
7.30%, 07/16/30(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,669 |
|
| Series 2013-2A, Class A1L2, (3-mo. CME Term SOFR + 1.26%),
6.54%, 10/18/30(a)(c) |
|
|
|
|
|
|
1,371 |
|
|
|
1,374,215 |
|
| Series 2013-2A, Class A2L2, (3-mo. CME Term SOFR + 1.76%),
7.04%, 10/18/30(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,256 |
|
| Series 2014-1A, Class BR2, (3-mo. CME Term SOFR + 1.66%),
6.94%, 01/18/31(a)(c) |
|
|
|
|
|
|
2,100 |
|
|
|
2,101,862 |
|
| Series 2014-3A, Class A1R2, (3-mo. CME Term SOFR + 1.46%),
6.74%, 10/22/31(a)(c) |
|
|
|
|
|
|
3,971 |
|
|
|
3,975,128 |
|
| Series 2014-4RA, Class A1AR, (3-mo. CME Term SOFR + 1.43%),
6.72%, 01/17/35(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,314 |
|
| Series 2015-1A, Class ARR, (3-mo. CME Term SOFR + 1.37%),
6.65%, 01/22/31(a)(c) |
|
|
|
|
|
|
299 |
|
|
|
299,326 |
|
|
|
|
| S C H E D U L E S O F I N V E S T M E N T S |
|
7 |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| CIFC Funding Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-1A, Class D1RR, (3-mo. CME Term SOFR + 3.16%),
8.44%, 10/21/31(a)(c) |
|
|
USD |
|
|
|
450 |
|
|
$ |
452,271 |
|
| Series 2017-5A, Class AR, (3-mo. CME Term SOFR + 1.41%),
6.74%, 07/17/37(a)(c) |
|
|
|
|
|
|
1,080 |
|
|
|
1,081,080 |
|
| Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.26%), 6.54%, 04/18/31(a)(c) |
|
|
|
|
|
|
2,352 |
|
|
|
2,351,626 |
|
| Series 2018-2A, Class A1, (3-mo. CME Term SOFR + 1.30%),
6.58%, 04/20/31(a)(c) |
|
|
|
|
|
|
194 |
|
|
|
194,547 |
|
| Series 2018-2A, Class A1R, (3-mo. CME Term SOFR + 1.37%), 10/20/37(a)(c)(e) |
|
|
|
|
|
|
640 |
|
|
|
640,000 |
|
| Series 2018-2A, Class BR, (3-mo. CME Term SOFR + 1.75%), 10/20/37(a)(c)(e) |
|
|
|
|
|
|
1,500 |
|
|
|
1,500,000 |
|
| Series 2018-3A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.64%, 07/18/31(a)(c) |
|
|
|
|
|
|
860 |
|
|
|
860,584 |
|
| Series 2018-3A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.14%, 07/18/31(a)(c) |
|
|
|
|
|
|
256 |
|
|
|
256,543 |
|
| Series 2018-4A, Class A2, (3-mo. CME Term SOFR + 1.96%),
7.25%, 10/17/31(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,736 |
|
| Series 2019-1A, Class AR, (3-mo. CME Term SOFR + 1.36%),
6.64%, 04/20/32(a)(c) |
|
|
|
|
|
|
910 |
|
|
|
910,000 |
|
| Series 2019-3A, Class A2R, (3-mo. CME Term SOFR + 1.91%),
7.20%, 10/16/34(a)(c) |
|
|
|
|
|
|
370 |
|
|
|
371,480 |
|
| Series 2019-5A, Class A1R1, (3-mo. CME Term SOFR + 1.40%),
6.70%, 01/15/35(a)(c) |
|
|
|
|
|
|
2,250 |
|
|
|
2,250,969 |
|
| Series 2019-6A, Class A1R, (3-mo. CME Term SOFR + 1.45%),
6.78%, 07/16/37(a)(c) |
|
|
|
|
|
|
4,080 |
|
|
|
4,091,508 |
|
| Series 2020-3A, Class A1R, (3-mo. CME Term SOFR + 1.39%),
6.67%, 10/20/34(a)(c) |
|
|
|
|
|
|
7,680 |
|
|
|
7,682,970 |
|
| Series 2020-3A, Class BR, (3-mo. CME Term SOFR + 1.91%),
7.19%, 10/20/34(a)(c) |
|
|
|
|
|
|
970 |
|
|
|
973,787 |
|
| Series 2021-1A, Class A1R, (3-mo. CME Term SOFR + 1.42%),
6.76%, 07/25/37(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,950 |
|
| Series 2021-1A, Class BR, (3-mo. CME Term SOFR + 1.75%),
7.09%, 07/25/37(a)(c) |
|
|
|
|
|
|
690 |
|
|
|
690,673 |
|
| Series 2021-3A, Class B, (3-mo. CME Term SOFR + 1.96%),
7.26%, 07/15/36(a)(c) |
|
|
|
|
|
|
510 |
|
|
|
512,129 |
|
| Series 2021-4A, Class AR, (3-mo. CME Term SOFR + 1.36%),
6.53%, 07/23/37(a)(c) |
|
|
|
|
|
|
4,210 |
|
|
|
4,210,812 |
|
| Series 2021-4A, Class BR, (3-mo. CME Term SOFR + 1.65%),
6.82%, 07/23/37(a)(c) |
|
|
|
|
|
|
2,500 |
|
|
|
2,499,551 |
|
| Series 2021-4A, Class CR, (3-mo. CME Term SOFR + 1.90%),
7.07%, 07/23/37(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,002,089 |
|
| Series 2021-5A, Class A, (3-mo. CME Term SOFR + 1.40%), 6.70%, 07/15/34(a)(c) |
|
|
|
|
|
|
1,700 |
|
|
|
1,700,958 |
|
| Series 2021-6A, Class A, (3-mo. CME Term SOFR + 1.40%), 6.70%, 10/15/34(a)(c) |
|
|
|
|
|
|
580 |
|
|
|
581,450 |
|
| Series 2021-6A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.21%, 10/15/34(a)(c) |
|
|
|
|
|
|
550 |
|
|
|
551,682 |
|
| Series 2023-3A, Class A, (3-mo. CME Term SOFR + 1.60%), 6.88%, 01/20/37(a)(c) |
|
|
|
|
|
|
1,700 |
|
|
|
1,710,254 |
|
| CIT Mortgage Loan Trust, Series 2007-1, Class 1M2, (1-mo. CME Term SOFR + 1.86%), 6.72%, 10/25/37(a)(c) |
|
|
|
|
|
|
2,144 |
|
|
|
2,080,487 |
|
| Citigroup Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2007-AHL2, Class A3B, (1-mo. CME Term SOFR + 0.31%), 5.17%, 05/25/37(c) |
|
|
|
|
|
|
915 |
|
|
|
609,362 |
|
| Series 2007-AHL2, Class A3C, (1-mo. CME Term SOFR + 0.38%), 5.24%, 05/25/37(c) |
|
|
|
|
|
|
426 |
|
|
|
283,681 |
|
| Series 2007-WFH2, Class M3, (1-mo. CME Term SOFR + 0.82%), 5.67%, 03/25/37(c) |
|
|
|
|
|
|
5,000 |
|
|
|
4,775,074 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Citigroup Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2007-WFH4, Class M3A, (1-mo. CME Term SOFR + 3.86%), 8.72%, 07/25/37(c) |
|
|
USD |
|
|
|
1,000 |
|
|
$ |
969,662 |
|
| Clear Creek CLO |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-1A, Class AR, (3-mo. CME Term SOFR + 1.46%), 6.74%, 10/20/30(a)(c) |
|
|
|
|
|
|
56 |
|
|
|
55,591 |
|
| Series 2015-1A, Class DR, (3-mo. CME Term SOFR + 3.21%),
8.49%, 10/20/30(a)(c) |
|
|
|
|
|
|
330 |
|
|
|
327,857 |
|
| Series 2015-1A, Class ER, (3-mo. CME Term SOFR + 6.56%), 11.84%, 10/20/30(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
998,377 |
|
| Clover CLO LLC, Series 2021-1A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.64%, 04/22/34(a)(c) |
|
|
|
|
|
|
7,900 |
|
|
|
7,907,015 |
|
| College Ave Student Loans LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-B, Class B, 2.42%, 06/25/52(a) |
|
|
|
|
|
|
457 |
|
|
|
412,263 |
|
| Series 2021-B, Class C, 2.72%, 06/25/52(a) |
|
|
|
|
|
|
1,947 |
|
|
|
1,773,892 |
|
| Series 2021-B, Class D, 3.78%, 06/25/52(a) |
|
|
|
|
|
|
356 |
|
|
|
323,464 |
|
| Series 2021-C, Class B, 2.72%, 07/26/55(a) |
|
|
|
|
|
|
318 |
|
|
|
288,778 |
|
| Series 2021-C, Class C, 3.06%, 07/26/55(a) |
|
|
|
|
|
|
3,436 |
|
|
|
3,158,629 |
|
| Series 2021-C, Class D, 4.11%, 07/26/55(a) |
|
|
|
|
|
|
270 |
|
|
|
250,022 |
|
| College Ave Student Loans Trust,
Series 2024-A, Class A1B, (SOFR (30-day) + 1.75%), 7.03%, 06/25/54(a)(c) |
|
|
|
|
|
|
6,216 |
|
|
|
6,274,737 |
|
| Conseco Finance Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 1996-10, Class B1, 7.24%, 11/15/28(c) |
|
|
|
|
|
|
27 |
|
|
|
26,775 |
|
| Series 1998-4, Class M1, 6.83%, 04/01/30(c) |
|
|
|
|
|
|
579 |
|
|
|
557,273 |
|
| Conseco Finance Securitizations Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2000-1, Class A5, 8.06%, 09/01/29(c) |
|
|
|
|
|
|
2,165 |
|
|
|
351,657 |
|
| Series 2000-4, Class A6, 8.31%, 05/01/32(c) |
|
|
|
|
|
|
2,157 |
|
|
|
357,925 |
|
| Cook Park CLO Ltd., Series 2018-1A, Class B, (3-mo. CME Term SOFR + 1.66%), 6.95%, 04/17/30(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,512 |
|
| Countrywide Asset-Backed Certificates |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2005-16, Class 1AF, 4.51%, 04/25/36(c) |
|
|
|
|
|
|
1,284 |
|
|
|
1,143,992 |
|
| Series 2006-22, Class M1, (1-mo. CME Term SOFR + 0.46%), 5.31%, 05/25/47(c) |
|
|
|
|
|
|
460 |
|
|
|
402,920 |
|
| Series 2006-26, Class M1, (1-mo. CME Term SOFR + 0.36%), 5.22%, 06/25/37(c) |
|
|
|
|
|
|
4,203 |
|
|
|
3,720,999 |
|
| Series 2007-SEA2, Class 2A1, (1-mo. CME Term SOFR + 1.61%),
6.47%, 06/25/47(a)(c) |
|
|
|
|
|
|
1,014 |
|
|
|
798,766 |
|
| Countrywide Asset-Backed Certificates Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, (1-mo. CME Term SOFR + 0.38%), 5.48%, 03/15/34(c) |
|
|
|
|
|
|
9 |
|
|
|
8,734 |
|
| Credit Suisse First Boston Mortgage Securities Corp., Series 2004-CF2, Class 1B, 6.00%, 01/25/43(a)(b) |
|
|
|
|
|
|
214 |
|
|
|
167,530 |
|
| Credit Suisse Mortgage Trust,
Series 2021-JR1, Class A1, 5.47%, 09/27/66(a)(c) |
|
|
|
|
|
|
3,202 |
|
|
|
3,190,631 |
|
| Credit-Based Asset Servicing & Securitization LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-CB2, Class AF4, 3.03%, 12/25/36(b) |
|
|
|
|
|
|
15 |
|
|
|
12,727 |
|
| Series 2006-MH1, Class B1, 6.75%, 10/25/36(a)(b) |
|
|
|
|
|
|
1,251 |
|
|
|
1,245,020 |
|
| Series 2006-MH1, Class B2, 6.75%, 10/25/36(a)(b) |
|
|
|
|
|
|
1,793 |
|
|
|
1,469,073 |
|
| Series 2006-SL1, Class A3, (1-mo. CME Term SOFR + 0.55%),
5.41%, 09/25/36(a)(c) |
|
|
|
|
|
|
5,512 |
|
|
|
212,455 |
|
| Crown Point CLO 10 Ltd., Series 2021-10A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.24%, 07/20/34(a)(c) |
|
|
|
|
|
|
510 |
|
|
|
511,514 |
|
| CWHEQ Revolving Home Equity Loan Trust
Series 2006-C, Class 2A, (1-mo. CME Term SOFR + 0.29%), 5.39%, 05/15/36(c) |
|
|
|
|
|
|
396 |
|
|
|
390,481 |
|
| Series 2006-I, Class 1A, (1-mo. CME Term SOFR + 0.25%), 5.35%, 01/15/37(c) |
|
|
|
|
|
|
131 |
|
|
|
121,852 |
|
|
|
|
| 8 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Dewolf Park CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.18%),
6.48%, 10/15/30(a)(c) |
|
|
USD |
|
|
|
5,127 |
|
|
$ |
5,131,863 |
|
| Series 2017-1A, Class CR, (3-mo. CME Term SOFR + 2.11%),
7.41%, 10/15/30(a)(c) |
|
|
|
|
|
|
500 |
|
|
|
501,199 |
|
| Diameter Capital CLO 1 Ltd., Series 2021-1A, Class A1A, (3-mo. CME Term SOFR + 1.50%), 6.80%, 07/15/36(a)(c) |
|
|
|
|
|
|
1,530 |
|
|
|
1,532,095 |
|
| Diameter Capital CLO 2 Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-2A, Class A1, (3-mo. CME Term SOFR + 1.48%),
6.78%, 10/15/36(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,373 |
|
| Series 2021-2A, Class A2, (3-mo. CME Term SOFR + 2.01%),
7.31%, 10/15/36(a)(c) |
|
|
|
|
|
|
500 |
|
|
|
500,805 |
|
| Diameter Capital CLO 3 Ltd., Series 2022-3A, Class A1A, (3-mo. CME Term SOFR + 1.39%), 6.69%, 04/15/37(a)(c) |
|
|
|
|
|
|
1,890 |
|
|
|
1,893,238 |
|
| Diameter Capital CLO 5 Ltd., Series 2023-5A, Class A2, (3-mo. CME Term SOFR + 2.40%), 7.70%, 10/15/36(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,005,633 |
|
| Dryden 104 CLO Ltd., Series 2022-104A, Class A1R, (3-mo. CME Term SOFR + 1.29%), 6.29%, 08/20/34(a)(c) |
|
|
|
|
|
|
3,370 |
|
|
|
3,383,315 |
|
| Dryden 119 CLO Ltd., Series 2024-119A, Class C1, (3-mo. CME Term SOFR + 2.35%), 7.67%, 04/15/36(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,010,546 |
|
| Dryden 37 Senior Loan Fund, Series 2015-37A, Class AR, (3-mo. CME Term SOFR + 1.36%), 6.66%, 01/15/31(a)(c) |
|
|
|
|
|
|
2,202 |
|
|
|
2,203,139 |
|
| Dryden 41 Senior Loan Fund, Series 2015-41A, Class AR, (3-mo. CME Term SOFR + 1.23%), 6.53%, 04/15/31(a)(c) |
|
|
|
|
|
|
2,041 |
|
|
|
2,044,358 |
|
| Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR2, (3-mo. CME Term SOFR + 1.30%), 6.58%, 04/20/34(a)(c) |
|
|
|
|
|
|
1,620 |
|
|
|
1,620,810 |
|
| Dryden 49 Senior Loan Fund, Series 2017-49A, Class AR, (3-mo. CME Term SOFR + 1.21%), 6.49%, 07/18/30(a)(c) |
|
|
|
|
|
|
785 |
|
|
|
784,679 |
|
| Dryden 50 Senior Loan Fund, Series 2017-50A, Class A1R, (3-mo. CME Term SOFR + 1.26%), 6.56%, 07/15/30(a)(c) |
|
|
|
|
|
|
642 |
|
|
|
642,875 |
|
| Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3-mo. CME Term SOFR + 1.38%), 6.68%, 01/15/31(a)(c) |
|
|
|
|
|
|
1,696 |
|
|
|
1,697,282 |
|
| Dryden 54 Senior Loan Fund, Series 2017-54A, Class AR, (3-mo. CME Term SOFR + 1.15%), 6.43%, 10/19/29(a)(c) |
|
|
|
|
|
|
1,917 |
|
|
|
1,920,709 |
|
| Dryden 55 CLO Ltd., Series 2018-55A, Class A1, (3-mo. CME Term SOFR + 1.28%), 6.58%, 04/15/31(a)(c) |
|
|
|
|
|
|
3,133 |
|
|
|
3,133,304 |
|
| Dryden 57 CLO Ltd., Series 2018-57A, Class A, (3-mo. CME Term SOFR + 1.27%), 6.39%, 05/15/31(a)(c) |
|
|
|
|
|
|
768 |
|
|
|
768,010 |
|
| Dryden 58 CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-58A, Class A1, (3-mo. CME Term SOFR + 1.26%),
6.55%, 07/17/31(a)(c) |
|
|
|
|
|
|
447 |
|
|
|
447,101 |
|
| Series 2018-58A, Class B, (3-mo. CME Term SOFR + 1.76%),
7.05%, 07/17/31(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,344 |
|
| Dryden 60 CLO Ltd., Series 2018-60A, Class A, (3-mo. CME Term SOFR + 1.31%), 6.61%, 07/15/31(a)(c) |
|
|
|
|
|
|
222 |
|
|
|
221,973 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Dryden 64 CLO Ltd., Series 2018-64A, Class A, (3- mo. CME Term SOFR + 1.23%), 6.51%, 04/18/31(a)(c) |
|
|
USD |
|
|
|
383 |
|
|
$ |
382,893 |
|
| Dryden 65 CLO Ltd., Series 2018-65A, Class B, (3- mo. CME Term SOFR + 1.86%), 7.14%, 07/18/30(a)(c) |
|
|
|
|
|
|
500 |
|
|
|
500,580 |
|
| Dryden 68 CLO Ltd., Series 2019-68A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.26%, 07/15/35(a)(c) |
|
|
|
|
|
|
810 |
|
|
|
810,736 |
|
| Dryden 77 CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-77A, Class AR, (3-mo. CME Term SOFR + 1.38%),
6.51%, 05/20/34(a)(c) |
|
|
|
|
|
|
2,000 |
|
|
|
2,002,991 |
|
| Series 2020-77A, Class XR, (3-mo. CME Term SOFR + 1.26%),
6.39%, 05/20/34(a)(c) |
|
|
|
|
|
|
109 |
|
|
|
108,926 |
|
| Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR, (3-mo. CME Term SOFR + 1.16%), 6.46%, 04/15/29(a)(c) |
|
|
|
|
|
|
842 |
|
|
|
842,647 |
|
| Eaton Vance CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-1RA, Class A2, (3-mo. CME Term SOFR + 1.75%),
7.05%, 07/15/30(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,176 |
|
| Series 2020-2A, Class AR, (3-mo. CME Term SOFR + 1.41%),
6.71%, 01/15/35(a)(c) |
|
|
|
|
|
|
1,420 |
|
|
|
1,420,089 |
|
| EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A, 3.58%, 11/25/38(a) |
|
|
|
|
|
|
533 |
|
|
|
520,104 |
|
| EDvestinU Private Education Loan Issue No. 3 LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-A, Class A, 1.80%, 11/25/45(a) |
|
|
|
|
|
|
207 |
|
|
|
190,423 |
|
| Series 2021-A, Class B, 3.50%, 11/25/50(a) |
|
|
|
|
|
|
1,200 |
|
|
|
1,004,783 |
|
| EDvestinU Private Education Loan Issue No. 4 LLC, Series 2022-A, Class A, 5.25%, 11/25/40(a) |
|
|
|
|
|
|
918 |
|
|
|
922,853 |
|
| Elmwood CLO 15 Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-2A, Class A1, (3-mo. CME Term SOFR + 1.34%), 6.62%, 04/22/35(a)(c) |
|
|
|
|
|
|
10,590 |
|
|
|
10,590,167 |
|
| Series 2022-2A, Class D, (3-mo. CME Term SOFR + 3.67%), 8.95%, 04/22/35(a)(c) |
|
|
|
|
|
|
1,625 |
|
|
|
1,631,757 |
|
| Elmwood CLO 23 Ltd., Series 2023-2A, Class A, (3-mo. CME Term SOFR + 1.80%), 7.09%, 04/16/36(a)(c) |
|
|
|
|
|
|
720 |
|
|
|
724,143 |
|
| Elmwood CLO 27 Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-3A, Class B, (3-mo. CME Term SOFR + 1.95%), 7.23%, 04/18/37(a)(c) |
|
|
|
|
|
|
1,210 |
|
|
|
1,221,765 |
|
| Series 2024-3A, Class D, (3-mo. CME Term SOFR + 3.45%), 8.73%, 04/18/37(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
252,371 |
|
| Elmwood CLO 29 Ltd., Series 2024-5A, Class AR1, (3-mo. CME Term SOFR + 1.52%), 6.84%, 04/20/37(a)(c) |
|
|
|
|
|
|
4,000 |
|
|
|
4,008,034 |
|
| Elmwood CLO 30 Ltd., Series 2024-6A, Class A, (3-mo. CME Term SOFR + 1.43%), 6.73%, 07/17/37(a)(c) |
|
|
|
|
|
|
1,700 |
|
|
|
1,706,744 |
|
| Elmwood CLO I Ltd., Series 2019-1A, Class A1RR, (3-mo. CME Term SOFR + 1.52%), 6.80%, 04/20/37(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,625 |
|
| Elmwood CLO II Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-2A, Class AR, (3-mo. CME Term SOFR + 1.41%),
6.69%, 04/20/34(a)(c) |
|
|
|
|
|
|
4,670 |
|
|
|
4,680,249 |
|
| Series 2019-2A, Class BR, (3-mo. CME Term SOFR + 1.91%),
7.19%, 04/20/34(a)(c) |
|
|
|
|
|
|
900 |
|
|
|
903,365 |
|
| Series 2019-2A, Class DR, (3-mo. CME Term SOFR + 3.26%),
8.54%, 04/20/34(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,138 |
|
| Elmwood CLO III Ltd., Series 2019-3A, Class BRR, (3-mo. CME Term SOFR + 1.70%), 7.02%, 07/18/37(a)(c) |
|
|
|
|
|
|
1,080 |
|
|
|
1,082,280 |
|
|
|
|
|
|
| S C H E D U L E S O F I N V E S T M E N T S |
|
|
9 |
|
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Elmwood CLO IV Ltd., Series 2020-1A, Class DR, (3-mo. CME Term SOFR + 3.35%), 8.67%, 04/18/37(a)(c) |
|
|
USD 1,000 |
|
|
$ |
1,016,385 |
|
| Elmwood CLO VI Ltd., Series 2020-3A, Class ARR, (3-mo. CME Term SOFR + 1.38%), 6.72%, 07/18/37(a)(c) |
|
|
3,690 |
|
|
|
3,708,450 |
|
| Elmwood CLO VII Ltd., Series 2020-4A, Class A1RR, (3-mo. CME Term SOFR + 1.36%), 10/17/37(a)(c)(e) |
|
|
1,210 |
|
|
|
1,210,000 |
|
| Elmwood CLO XII Ltd. |
|
|
|
|
|
|
|
|
| Series 2021-5A, Class A, (3-mo. CME Term SOFR + 1.41%), 6.69%, 01/20/35(a)(c) |
|
|
960 |
|
|
|
962,080 |
|
| Series 2021-5A, Class AR, (3-mo. CME Term SOFR + 1.36%), 10/15/37(a)(c)(e) |
|
|
5,880 |
|
|
|
5,880,000 |
|
| FBR Securitization Trust, Series 2005-5, Class M2, (1-mo. CME Term SOFR + 0.82%), 5.67%, 11/25/35(c) |
|
|
1,815 |
|
|
|
1,794,533 |
|
| Fillmore Park CLO Ltd., Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.60%), 6.90%, 07/15/30(a)(c) |
|
|
250 |
|
|
|
249,187 |
|
| First Franklin Mortgage Loan Trust
|
|
|
|
|
|
|
|
|
| Series 2006-FF16, Class 2A3, (1-mo. CME Term SOFR + 0.39%), 5.25%, 12/25/36(c) |
|
|
453 |
|
|
|
186,677 |
|
| Series 2006-FF17, Class A5, (1-mo. CME Term SOFR + 0.26%), 5.12%, 12/25/36(c) |
|
|
1,402 |
|
|
|
1,189,467 |
|
| FirstKey Homes Trust
|
|
|
|
|
|
|
|
|
| Series 2020-SFR1, Class G, 4.78%, 08/17/37(a) |
|
|
3,650 |
|
|
|
3,573,756 |
|
| Series 2021-SFR1, Class F1, 3.24%, 08/17/38(a) |
|
|
4,464 |
|
|
|
4,204,113 |
|
| Series 2021-SFR2, Class F1, 2.91%, 09/17/38(a) |
|
|
5,500 |
|
|
|
5,104,019 |
|
| Series 2022-SFR1, Class E1, 5.00%, 05/19/39(a) |
|
|
4,000 |
|
|
|
3,916,116 |
|
| Series 2022-SFR1, Class E2, 5.00%, 05/19/39(a) |
|
|
2,990 |
|
|
|
2,909,574 |
|
| Series 2022-SFR2, Class E1, 4.50%, 07/17/39(a) |
|
|
2,681 |
|
|
|
2,582,238 |
|
| Series 2022-SFR3, Class E2, 3.50%, 07/17/38(a) |
|
|
6,928 |
|
|
|
6,595,414 |
|
| Flatiron CLO 18 Ltd., Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.21%), 6.50%, 04/17/31(a)(c) |
|
|
564 |
|
|
|
564,500 |
|
| Flatiron CLO 19 Ltd.
|
|
|
|
|
|
|
|
|
| Series 2019-1A, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.44%, 11/16/34(a)(c) |
|
|
1,150 |
|
|
|
1,150,641 |
|
| Series 2019-1A, Class DR, (3-mo. CME Term SOFR + 3.26%), 8.36%, 11/16/34(a)(c) |
|
|
900 |
|
|
|
904,816 |
|
| Flatiron CLO 20 Ltd.
|
|
|
|
|
|
|
|
|
| Series 2020-1A, Class BR, (3-mo. CME Term SOFR + 1.92%), 7.05%, 05/20/36(a)(c) |
|
|
1,330 |
|
|
|
1,335,831 |
|
| Series 2020-1A, Class DR, (3-mo. CME Term SOFR + 3.45%), 8.58%, 05/20/36(a)(c) |
|
|
1,000 |
|
|
|
1,017,384 |
|
| Flatiron CLO 21 Ltd.
|
|
|
|
|
|
|
|
|
| Series 2021-1A, Class A2R, (3-mo. CME Term SOFR + 1.58%), 6.67%, 10/19/37(a)(c) |
|
|
2,060 |
|
|
|
2,060,303 |
|
| Series 2021-1A, Class BR, (3-mo. CME Term SOFR + 1.70%), 6.79%, 10/19/37(a)(c) |
|
|
1,200 |
|
|
|
1,205,345 |
|
| Flatiron CLO 25 Ltd.
|
|
|
|
|
|
|
|
|
| Series 2024-2A, Class A, (3-mo. CME Term SOFR + 1.35%), 5.62%, 10/17/37(a)(c) |
|
|
1,060 |
|
|
|
1,060,000 |
|
| Series 2024-2A, Class B, (3-mo. CME Term SOFR + 1.60%), 5.87%, 10/17/37(a)(c) |
|
|
860 |
|
|
|
860,000 |
|
| Foundation Finance Trust
|
|
|
|
|
|
|
|
|
| Series 2021-2A, Class A, 2.19%, 01/15/42(a) |
|
|
1,272 |
|
|
|
1,196,319 |
|
| Series 2024-1A, Class B, 5.95%, 12/15/49(a) |
|
|
706 |
|
|
|
726,229 |
|
| Series 2024-2A, Class B, 4.93%, 03/15/50(a) |
|
|
1,122 |
|
|
|
1,124,010 |
|
| Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1-mo. CME Term SOFR + 0.39%), 5.25%, 02/25/37(c) |
|
|
1,832 |
|
|
|
1,370,266 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| FS Rialto Issuer Ltd.
|
|
|
|
|
|
|
|
|
| Series 2022-FL4, Class A, (SOFR (30-day) + 1.90%), 7.24%, 01/19/39(a)(c) |
|
|
USD 4,317 |
|
|
$ |
4,322,655 |
|
| Series 2022-FL5, Class A, (1-mo. CME Term SOFR + 2.30%), 7.27%,
06/19/37(a)(c) |
|
|
1,883 |
|
|
|
1,888,335 |
|
| Series 2022-FL6, Class A, (1-mo. CME Term SOFR + 2.58%), 7.55%,
08/17/37(a)(c) |
|
|
5,947 |
|
|
|
5,969,263 |
|
| Galaxy 33 CLO Ltd., Series 2024-33A, Class D1, (3-mo. CME Term SOFR + 3.55%), 8.88%, 04/20/37(a)(c) |
|
|
1,900 |
|
|
|
1,929,685 |
|
| Galaxy XIX CLO Ltd.
|
|
|
|
|
|
|
|
|
| Series 2015-19A, Class A1RR, (3-mo. CME Term SOFR + 1.21%), 6.50%,
07/24/30(a)(c) |
|
|
661 |
|
|
|
662,104 |
|
| Series 2015-19A, Class A2RR, (3-mo. CME Term SOFR + 1.66%), 6.95%,
07/24/30(a)(c) |
|
|
250 |
|
|
|
250,557 |
|
| Galaxy XVIII CLO Ltd., Series 2018-28A, Class A1, (3-mo. CME Term SOFR + 1.36%), 6.66%, 07/15/31(a)(c) |
|
|
239 |
|
|
|
239,705 |
|
| Galaxy XX CLO Ltd., Series 2015-20A, Class AR, (3-mo. CME Term SOFR + 1.26%), 6.54%, 04/20/31(a)(c) |
|
|
3,429 |
|
|
|
3,434,440 |
|
| Galaxy XXII CLO Ltd., Series 2016-22A, Class ARR, (3-mo. CME Term SOFR + 1.46%), 6.75%, 04/16/34(a)(c) |
|
|
1,000 |
|
|
|
1,001,247 |
|
| Galaxy XXVI CLO Ltd., Series 2018-26A, Class AR, (3-mo. CME Term SOFR + 1.17%), 6.29%, 11/22/31(a)(c) |
|
|
1,009 |
|
|
|
1,009,919 |
|
| Galaxy XXVII CLO Ltd., Series 2018-27A, Class A, (3-mo. CME Term SOFR + 1.28%), 6.38%, 05/16/31(a)(c) |
|
|
1,123 |
|
|
|
1,124,776 |
|
| Galaxy XXVIII CLO Ltd., Series 2018-28A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.16%, 07/15/31(a)(c) |
|
|
510 |
|
|
|
512,065 |
|
| Generate CLO 2 Ltd.
|
|
|
|
|
|
|
|
|
| Series 2A, Class AR2, (3-mo. CME Term SOFR + 1.41%), 6.61%, 10/22/37(a)(c) |
|
|
2,020 |
|
|
|
2,020,185 |
|
| Series 2A, Class BR2, (3-mo. CME Term SOFR + 1.80%), 7.00%, 10/22/37(a)(c) |
|
|
1,990 |
|
|
|
1,995,339 |
|
| Generate CLO 6 Ltd.
|
|
|
|
|
|
|
|
|
| Series 6A, Class A1R, (3-mo. CME Term SOFR + 1.46%), 6.74%, 01/22/35(a)(c) |
|
|
250 |
|
|
|
250,026 |
|
| Series 6A, Class DR, (3-mo. CME Term SOFR + 3.76%), 9.04%, 01/22/35(a)(c) |
|
|
4,500 |
|
|
|
4,524,543 |
|
| Generate CLO 7 Ltd., Series 7A, Class A1R, (3-mo. CME Term SOFR + 1.62%), 6.90%, 04/22/37(a)(c) |
|
|
8,525 |
|
|
|
8,558,155 |
|
| Generate CLO 8 Ltd., Series 8A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.29%, 10/20/34(a)(c) |
|
|
390 |
|
|
|
391,904 |
|
| GoldenTree Loan Management U.S. CLO 1 Ltd., Series 2017-1A, Class A1R2, (3-mo. CME Term SOFR + 1.28%), 6.56%, 04/20/34(a)(c) |
|
|
250 |
|
|
|
251,705 |
|
| GoldenTree Loan Management U.S. CLO 11 Ltd.
|
|
|
|
|
|
|
|
|
| Series 2021-11A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.67%, 10/20/34(a)(c) |
|
|
7,920 |
|
|
|
7,923,691 |
|
| Series 2021-11A, Class E, (3-mo. CME Term SOFR + 5.61%), 10.89%, 10/20/34(a)(c) |
|
|
1,750 |
|
|
|
1,753,455 |
|
| GoldenTree Loan Management U.S. CLO 3 Ltd., Series 2018-3A, Class AJ, (3-mo. CME Term SOFR + 1.56%), 6.84%, 04/20/30(a)(c) |
|
|
850 |
|
|
|
851,196 |
|
| GoldenTree Loan Management U.S. CLO 9 Ltd., Series 2021-9R, Class DR, (3-mo. CME Term SOFR + 3.35%), 8.63%, 04/20/37(a)(c) |
|
|
750 |
|
|
|
760,761 |
|
|
|
|
| 10 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Goldman Home Improvement Trust
|
|
|
|
|
|
|
|
|
| Series 2021-GRN2, Class B, 1.97%, 06/25/51(a) |
|
|
USD 2,169 |
|
|
$ |
2,076,453 |
|
| Series 2022-GRN2, Class A, 6.80%, 10/25/52(a) |
|
|
887 |
|
|
|
912,596 |
|
| Golub Capital Partners CLO Ltd.
|
|
|
|
|
|
|
|
|
| Series 2019-41A, Class AR, (3-mo. CME Term SOFR + 1.58%), 6.86%, 01/20/34(a)(c) |
|
|
1,700 |
|
|
|
1,702,356 |
|
| Series 2021-53A, Class E, (3-mo. CME Term SOFR + 6.96%), 12.24%, 07/20/34(a)(c) |
|
|
250 |
|
|
|
250,808 |
|
| Series 2021-55A, Class A, (3-mo. CME Term SOFR + 1.46%), 6.74%, 07/20/34(a)(c) |
|
|
580 |
|
|
|
580,656 |
|
| Series 2021-58A, Class A1, (3-mo. CME Term SOFR + 1.44%), 6.73%, 01/25/35(a)(c) |
|
|
1,780 |
|
|
|
1,782,009 |
|
| Series 2024-71A, Class A, (3-mo. CME Term SOFR + 1.95%), 7.05%, 02/09/37(a)(c) |
|
|
6,000 |
|
|
|
6,026,470 |
|
| Series 2024-76A, Class A1, (3-mo. CME Term SOFR + 1.37%), 6.11%, 10/25/37(a)(c) |
|
|
790 |
|
|
|
790,816 |
|
| Series 2024-76A, Class B, (3-mo. CME Term SOFR + 1.67%), 6.41%, 10/25/37(a)(c) |
|
|
560 |
|
|
|
560,442 |
|
| Series 2024-76A, Class D1, (3-mo. CME Term SOFR + 2.90%), 7.64%, 10/25/37(a)(c) |
|
|
490 |
|
|
|
495,040 |
|
| GoodLeap Sustainable Home Solutions Trust
|
|
|
|
|
|
|
|
|
| Series 2021-5CS, Class A, 2.31%, 10/20/48(a) |
|
|
1,273 |
|
|
|
1,051,915 |
|
| Series 2022-3CS, Class A, 4.95%, 07/20/49(a) |
|
|
896 |
|
|
|
858,079 |
|
| Series 2023-1GS, Class A, 5.52%, 02/22/55(a) |
|
|
1,422 |
|
|
|
1,412,518 |
|
| Series 2023-3C, Class A, 6.50%, 07/20/55(a) |
|
|
653 |
|
|
|
677,915 |
|
| Gracie Point International Funding LLC
|
|
|
|
|
|
|
|
|
| Series 2023-1A, Class A, (SOFR (90-day) + 1.95%), 7.32%, 09/01/26(a)(c) |
|
|
1,459 |
|
|
|
1,467,220 |
|
| Series 2024-1A, Class A, (SOFR (90-day) + 1.70%), 7.07%, 03/01/28(a)(c) |
|
|
4,053 |
|
|
|
4,066,566 |
|
| GreenSky Home Improvement Trust
Series 2024-1, Class A4, 5.67%, 06/25/59(a) |
|
|
9,842 |
|
|
|
9,989,509 |
|
| Series 2024-1, Class B, 5.87%, 06/25/59(a) |
|
|
764 |
|
|
|
779,573 |
|
| Greywolf CLO III Ltd., Series 2020-3RA, Class A1R, (3-mo. CME Term SOFR + 1.55%), 6.83%, 04/15/33(a)(c) |
|
|
500 |
|
|
|
500,551 |
|
| GSAA Home Equity Trust
|
|
|
|
|
|
|
|
|
| Series 2005-14, Class 1A2, (1-mo. CME Term SOFR + 0.81%), 5.67%, 12/25/35(c) |
|
|
282 |
|
|
|
125,867 |
|
| Series 2006-14, Class A3A, (1-mo. CME Term SOFR + 0.61%), 5.47%, 09/25/36(c) |
|
|
4,599 |
|
|
|
1,420,591 |
|
| Series 2006-18, Class AF3A, 5.77%, 11/25/36(c) |
|
|
1,350 |
|
|
|
403,508 |
|
| Series 2006-4, Class 1A1, 4.14%, 03/25/36(c) |
|
|
668 |
|
|
|
453,556 |
|
| Series 2007-2, Class AF3, 5.92%, 03/25/37(c) |
|
|
24 |
|
|
|
4,625 |
|
| GSAMP Trust
|
|
|
|
|
|
|
|
|
| Series 2007-H1, Class A1B, (1-mo. CME Term SOFR + 0.51%), 5.37%, 01/25/47(c) |
|
|
9 |
|
|
|
4,836 |
|
| Series 2007-HS1, Class M5, (1-mo. CME Term SOFR + 3.49%), 8.34%, 02/25/47(c) |
|
|
3,566 |
|
|
|
3,551,021 |
|
| Series 2007-HS1, Class M7, (1-mo. CME Term SOFR + 3.49%), 8.34%, 02/25/47(c) |
|
|
3,000 |
|
|
|
2,796,447 |
|
| Gulf Stream Meridian 4 Ltd.
|
|
|
|
|
|
|
|
|
| Series 2021-4A, Class A1, (3-mo. CME Term SOFR + 1.46%), 6.76%, 07/15/34(a)(c) |
|
|
10,000 |
|
|
|
10,025,958 |
|
| Series 2021-4A, Class A2, (3-mo. CME Term SOFR + 2.11%), 7.41%, 07/15/34(a)(c) |
|
|
1,000 |
|
|
|
1,007,271 |
|
| Gulf Stream Meridian 5 Ltd.
|
|
|
|
|
|
|
|
|
| Series 2021-5A, Class A1, (3-mo. CME Term SOFR + 1.46%), 6.76%, 07/15/34(a)(c) |
|
|
1,210 |
|
|
|
1,213,051 |
|
| Series 2021-5A, Class A2, (3-mo. CME Term SOFR + 2.06%), 7.36%, 07/15/34(a)(c) |
|
|
650 |
|
|
|
654,313 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Gulf Stream Meridian 7 Ltd., Series 2022-7A, Class A1, (3-mo. CME Term SOFR + 1.36%), 6.66%, 07/15/35(a)(c) |
|
|
USD 2,420 |
|
|
$ |
2,426,561 |
|
| Halseypoint CLO 4 Ltd., Series 2021-4A, Class A, (3-mo. CME Term SOFR + 1.48%), 6.76%, 04/20/34(a)(c) |
|
|
920 |
|
|
|
922,760 |
|
| Halseypoint CLO 6 Ltd., Series 2022-6A, Class A1, (3-mo. CME Term SOFR + 2.45%), 7.73%, 10/20/34(a)(c) |
|
|
1,230 |
|
|
|
1,234,551 |
|
| Highbridge Loan Management Ltd., Series 3A-2014, Class A1R, (3-mo. CME Term SOFR + 1.44%), 6.72%, 07/18/29(a)(c) |
|
|
33 |
|
|
|
33,284 |
|
| Hipgnosis Music Assets LP, Series 2022-1, Class A, 5.00%, 05/16/62(a) |
|
|
2,000 |
|
|
|
1,975,880 |
|
| Home Equity Asset Trust, Series 2006-3, Class M2, (1-mo. CME Term SOFR + 0.71%), 5.57%, 07/25/36(c) |
|
|
280 |
|
|
|
264,954 |
|
| Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2, (1-mo. CME Term SOFR + 2.14%), 3.75%, 07/25/34(c) |
|
|
13 |
|
|
|
12,645 |
|
| Home Partners of America Trust, Series 2021-2, Class F, 3.80%, 12/17/26(a) |
|
|
5,765 |
|
|
|
5,395,086 |
|
| HPS Loan Management Ltd.
|
|
|
|
|
|
|
|
|
| Series 10A-16, Class A1RR, (3-mo. CME Term SOFR + 1.40%), 6.68%,
04/20/34(a)(c) |
|
|
7,260 |
|
|
|
7,271,551 |
|
| Series 6A-2015, Class A1R, (3-mo. CME Term SOFR + 1.26%), 6.50%,
02/05/31(a)(c) |
|
|
229 |
|
|
|
229,687 |
|
| Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class B2, (SOFR (30-day) + 1.40%), 6.75%, 05/20/32(a)(c) |
|
|
10,375 |
|
|
|
10,389,512 |
|
| ICG U.S. CLO Ltd., Series 2014-3A, Class A1RR, (3-mo. CME Term SOFR + 1.29%), 6.58%, 04/25/31(a)(c) |
|
|
93 |
|
|
|
92,687 |
|
| Invesco CLO Ltd., Series 2022-1A, Class B, (3-mo. CME Term SOFR + 1.80%), 7.08%, 04/20/35(a)(c) |
|
|
510 |
|
|
|
510,745 |
|
| JPMorgan Mortgage Acquisition Trust
|
|
|
|
|
|
|
|
|
| Series 2006-CH1, Class M7, (1-mo. CME Term SOFR + 1.31%), 6.17%, 07/25/36(c) |
|
|
3,498 |
|
|
|
3,116,107 |
|
| Series 2007-CH1, Class MF1, 4.54%, 11/25/36(b) |
|
|
100 |
|
|
|
103,053 |
|
| Juniper Valley Park CLO Ltd., Series 2023-1R, Class BR, (3-mo. CME Term SOFR + 1.55%), 6.83%, 07/20/36(a)(c) |
|
|
1,800 |
|
|
|
1,801,354 |
|
| KeyCorp Student Loan Trust, Series 2004-A, Class 2D, (3-mo. LIBOR US + 1.25%), 6.78%, 07/28/42(c) |
|
|
2,344 |
|
|
|
2,200,594 |
|
| Kings Park CLO Ltd., Series 2021-1A, Class A, (3- mo. CME Term SOFR + 1.39%), 6.67%, 01/21/35(a)(c) |
|
|
810 |
|
|
|
810,822 |
|
| KKR CLO 10 Ltd., Series 10, Class BR, (3-mo. CME Term SOFR + 1.96%), 6.91%, 09/15/29(a)(c) |
|
|
640 |
|
|
|
640,817 |
|
| KKR CLO 17 Ltd., Series 17, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.64%, 04/15/34(a)(c) |
|
|
500 |
|
|
|
500,409 |
|
| LCM 26 Ltd., Series 26A, Class A1, (3-mo. CME Term SOFR + 1.33%), 6.61%, 01/20/31(a)(c) |
|
|
1,681 |
|
|
|
1,682,501 |
|
| LCM XVIII LP, Series 18A, Class A1R, (3-mo. CME Term SOFR + 1.28%), 6.56%, 04/20/31(a)(c) |
|
|
96 |
|
|
|
96,246 |
|
| Legacy Mortgage Asset Trust
|
|
|
|
|
|
|
|
|
| Series 2019-SL2, Class A, 3.38%, 02/25/59(a)(c) |
|
|
2,828 |
|
|
|
2,705,601 |
|
| Series 2019-SL2, Class B, 0.00%, 02/25/59(a)(d) |
|
|
529 |
|
|
|
99,761 |
|
| Series 2019-SL2, Class M, 4.25%, 02/25/59(a)(c) |
|
|
660 |
|
|
|
614,035 |
|
| Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C, 0.00%, 06/15/33(d) |
|
|
410 |
|
|
|
405,891 |
|
|
|
|
| S C H E D U L E S O F I N V E S T M E N T S |
|
11 |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1, (1-mo. CME Term SOFR + 0.20%), 5.06%, 06/25/37(a)(c) |
|
|
USD 74 |
|
|
$ |
49,661 |
|
| Lendmark Funding Trust |
|
|
|
|
|
|
|
|
| Series 2021-1A, Class B, 2.47%, 11/20/31(a) |
|
|
1,525 |
|
|
|
1,405,690 |
|
| Series 2021-2A, Class B, 2.37%, 04/20/32(a) |
|
|
4,630 |
|
|
|
4,232,543 |
|
| Series 2021-2A, Class D, 4.46%, 04/20/32(a) |
|
|
3,500 |
|
|
|
3,106,172 |
|
| Series 2023-1A, Class D, 8.69%, 05/20/33(a) |
|
|
1,310 |
|
|
|
1,327,944 |
|
| Series 2024-1A, Class B, 5.88%, 06/21/32(a) |
|
|
1,205 |
|
|
|
1,235,251 |
|
| Series 2024-1A, Class C, 6.40%, 06/21/32(a) |
|
|
2,447 |
|
|
|
2,510,545 |
|
| Series 2024-1A, Class D, 7.21%, 06/21/32(a) |
|
|
5,550 |
|
|
|
5,684,894 |
|
| LoanCore Issuer Ltd., Series 2022-CRE7, Class A, (SOFR (30-day) + 1.55%), 6.89%, 01/17/37(a)(c) |
|
|
3,626 |
|
|
|
3,618,901 |
|
| Loanpal Solar Loan Ltd. |
|
|
|
|
|
|
|
|
| Series 2020-2GF, Class A, 2.75%, 07/20/47(a) |
|
|
807 |
|
|
|
676,453 |
|
| Series 2021-2GS, Class A, 2.22%, 03/20/48(a) |
|
|
3,127 |
|
|
|
2,488,309 |
|
| Long Beach Mortgage Loan Trust |
|
|
|
|
|
|
|
|
| Series 2006-2, Class 1A, (1-mo. CME Term SOFR + 0.47%), 5.33%, 03/25/46(c) |
|
|
573 |
|
|
|
459,338 |
|
| Series 2006-5, Class 2A3, (1-mo. CME Term SOFR + 0.41%), 5.27%, 06/25/36(c) |
|
|
2,988 |
|
|
|
1,421,450 |
|
| Series 2006-7, Class 2A3, (1-mo. CME Term SOFR + 0.43%), 5.29%, 08/25/36(c) |
|
|
5,425 |
|
|
|
2,165,476 |
|
| Series 2006-7, Class 2A4, (1-mo. CME Term SOFR + 0.59%), 5.45%, 08/25/36(c) |
|
|
1,252 |
|
|
|
500,141 |
|
| Series 2006-9, Class 2A3, (1-mo. CME Term SOFR + 0.43%), 5.29%, 10/25/36(c) |
|
|
1,942 |
|
|
|
632,458 |
|
| Series 2006-WL3, Class 2A4, (1-mo. CME Term SOFR + 0.71%), 5.57%, 01/25/36(c) |
|
|
2,992 |
|
|
|
2,740,966 |
|
| Long Point Park CLO Ltd., Series 2017-1A, Class A2, (3-mo. CME Term SOFR + 1.64%), 6.92%, 01/17/30(a)(c) |
|
|
820 |
|
|
|
819,792 |
|
| Madison Park Funding LVII Ltd., Series 2022-57A, Class A1R, (3-mo. CME Term SOFR + 1.28%), 6.38%, 07/27/34(a)(c) |
|
|
250 |
|
|
|
250,000 |
|
| Madison Park Funding LXII Ltd., Series 2022-62A, Class AR, (3-mo. CME Term SOFR + 1.85%), 7.14%, 07/17/36(a)(c) |
|
|
1,800 |
|
|
|
1,808,613 |
|
| Madison Park Funding LXVII Ltd., Series 2024-67A, Class B, (3-mo. CME Term SOFR + 2.05%), 7.34%, 04/25/37(a)(c) |
|
|
4,230 |
|
|
|
4,276,601 |
|
| Madison Park Funding XIV Ltd., Series 2014-14A, Class AR3, (3-mo. CME Term SOFR + 1.20%), 6.48%, 10/22/30(a)(c) |
|
|
1,181 |
|
|
|
1,182,212 |
|
| Madison Park Funding XIX Ltd., Series 2015-19A, Class AR3, (3-mo. CME Term SOFR + 1.60%), 6.88%, 01/22/37(a)(c) |
|
|
330 |
|
|
|
331,010 |
|
| Madison Park Funding XL Ltd., Series 9A, Class AR2, (3-mo. CME Term SOFR + 1.25%), 6.31%,
05/28/30(a)(c) |
|
|
1,579 |
|
|
|
1,579,497 |
|
| Madison Park Funding XLII Ltd. |
|
|
|
|
|
|
|
|
| Series 13A, Class AR, (3-mo. CME Term SOFR + 1.15%), 6.43%, 11/21/30(a)(c) |
|
|
416 |
|
|
|
416,386 |
|
| Series 13A, Class B, (3-mo. CME Term SOFR + 1.76%), 7.05%, 11/21/30(a)(c) |
|
|
1,250 |
|
|
|
1,250,954 |
|
| Series 13A, Class C, (3-mo. CME Term SOFR + 2.06%), 7.35%, 11/21/30(a)(c) |
|
|
1,610 |
|
|
|
1,613,861 |
|
| Madison Park Funding XLVI Ltd., Series 2020-46A, Class B1R, (3-mo. CME Term SOFR + 1.91%), 7.21%, 10/15/34(a)(c) |
|
|
5,200 |
|
|
|
5,217,590 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Madison Park Funding XLVIII Ltd., Series 2021-48A, Class E, (3-mo. CME Term SOFR + 6.51%), 11.79%, 04/19/33(a)(c) |
|
|
USD 500 |
|
|
$ |
501,863 |
|
| Madison Park Funding XVIII Ltd. |
|
|
|
|
|
|
|
|
| Series 2015-18A, Class ARR, (3-mo. CME Term SOFR + 1.20%), 6.48%,
10/21/30(a)(c) |
|
|
3,580 |
|
|
|
3,586,864 |
|
| Series 2015-18A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.14%,
10/21/30(a)(c) |
|
|
390 |
|
|
|
390,651 |
|
| Madison Park Funding XXI Ltd., Series 2016-21A, Class AARR, (3-mo. CME Term SOFR + 1.34%), 6.64%, 10/15/32(a)(c) |
|
|
500 |
|
|
|
500,176 |
|
| Madison Park Funding XXII Ltd., Series 2016-22A, Class BR, (3-mo. CME Term SOFR + 1.86%), 7.16%, 01/15/33(a)(c) |
|
|
1,500 |
|
|
|
1,501,791 |
|
| Madison Park Funding XXIII Ltd., Series 2017-23A, Class AR, (3-mo. CME Term SOFR + 1.23%), 6.50%, 07/27/31(a)(c) |
|
|
1,299 |
|
|
|
1,299,722 |
|
| Madison Park Funding XXIV Ltd., Series 2016-24A, Class BR2, (3-mo. CME Term SOFR + 1.55%), 6.83%, 10/20/29(a)(c) |
|
|
740 |
|
|
|
741,225 |
|
| Madison Park Funding XXIX Ltd., Series 2018-29A, Class AR, (3-mo. CME Term SOFR + 1.18%), 6.46%, 10/18/30(a)(c) |
|
|
755 |
|
|
|
755,561 |
|
| Madison Park Funding XXVIII Ltd., Series 2018-28A, Class C, (3-mo. CME Term SOFR + 2.11%), 7.41%, 07/15/30(a)(c) |
|
|
500 |
|
|
|
501,220 |
|
| Madison Park Funding XXX Ltd., Series 2018-30A, Class A1R, (3-mo. CME Term SOFR + 1.36%), 6.56%, 07/16/37(a)(c) |
|
|
2,500 |
|
|
|
2,507,500 |
|
| Madison Park Funding XXXI Ltd., Series 2018-31A, Class B1R, (3-mo. CME Term SOFR + 1.80%), 7.14%, 07/23/37(a)(c) |
|
|
510 |
|
|
|
511,004 |
|
| Madison Park Funding XXXIII Ltd., Series 2019-33A, Class AR, (3-mo. CME Term SOFR + 1.29%), 6.59%, 10/15/32(a)(c) |
|
|
2,290 |
|
|
|
2,292,018 |
|
| Madison Park Funding XXXV Ltd., Series 2019-35A, Class BR, (3-mo. CME Term SOFR + 1.66%), 6.94%, 04/20/32(a)(c) |
|
|
720 |
|
|
|
720,612 |
|
| Madison Park Funding XXXVIII Ltd., Series 2021-38A, Class A, (3-mo. CME Term SOFR + 1.38%), 6.67%, 07/17/34(a)(c) |
|
|
1,250 |
|
|
|
1,250,068 |
|
| Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3-mo. CME Term SOFR + 3.91%), 9.19%, 01/22/35(a)(c) |
|
|
750 |
|
|
|
755,219 |
|
| Mariner CLO LLC, Series 2016-3A, Class AR3, (3-mo. CME Term SOFR + 1.59%), 6.87%, 01/23/37(a)(c) |
|
|
890 |
|
|
|
892,590 |
|
| Mariner Finance Issuance Trust |
|
|
|
|
|
|
|
|
| Series 2021-AA, Class A, 1.86%, 03/20/36(a) |
|
|
700 |
|
|
|
666,322 |
|
| Series 2021-AA, Class B, 2.33%, 03/20/36(a) |
|
|
1,620 |
|
|
|
1,519,211 |
|
| Series 2021-AA, Class C, 2.96%, 03/20/36(a) |
|
|
2,850 |
|
|
|
2,667,266 |
|
| Series 2021-BA, Class C, 2.66%, 11/20/36(a) |
|
|
4,403 |
|
|
|
4,042,090 |
|
| Series 2021-BA, Class E, 4.68%, 11/20/36(a) |
|
|
3,620 |
|
|
|
3,251,779 |
|
| Series 2024-AA, Class A, 5.13%, 09/22/36(a) |
|
|
4,126 |
|
|
|
4,194,691 |
|
| Series 2024-AA, Class D, 6.77%, 09/22/36(a) |
|
|
1,969 |
|
|
|
2,012,749 |
|
| Series 2024-AA, Class E, 9.02%, 09/22/36(a) |
|
|
2,800 |
|
|
|
2,864,674 |
|
| MASTR Asset-Backed Securities Trust |
|
|
|
|
|
|
|
|
| Series 2005-WF1, Class M8, (1-mo. CME Term SOFR + 1.97%), 6.83%, 06/25/35(c) |
|
|
1,119 |
|
|
|
1,124,307 |
|
| Series 2006-AM2, Class A4, (1-mo. CME Term SOFR + 0.63%), 5.49%,
06/25/36(a)(c) |
|
|
226 |
|
|
|
208,936 |
|
|
|
|
| 12 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
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 2006-WMC2, Class A4, (1-mo. CME Term SOFR + 0.41%), 5.27%, 04/25/36(c) |
|
|
USD 3,197 |
|
|
$ |
679,547 |
|
| Series 2007-HE1, Class A4, (1-mo. CME Term SOFR + 0.39%), 5.25%, 05/25/37(c) |
|
|
83 |
|
|
|
69,934 |
|
| MASTR Specialized Loan Trust, Series 2006-3, Class A, (1-mo. CME Term SOFR + 0.63%), 5.49%, 06/25/46(a)(c) |
|
|
11 |
|
|
|
10,476 |
|
| Meacham Park CLO Ltd., Series 2024-1A, Class B, (3-mo. CME Term SOFR + 1.60%), 6.39%, 10/20/37(a)(c) |
|
|
2,270 |
|
|
|
2,263,438 |
|
| MERIT Securities Corp., Series 13, Class M2, 7.88%, 12/28/33(b) |
|
|
861 |
|
|
|
803,873 |
|
| Merrill Lynch First Franklin Mortgage Loan Trust
|
|
|
|
|
|
|
|
|
| Series 2007-2, Class A2C, (1-mo. CME Term SOFR + 0.59%), 5.45%, 05/25/37(c) |
|
|
1,638 |
|
|
|
1,175,892 |
|
| Series 2007-H1, Class 1A2, (1-mo. CME Term SOFR + 3.61%), 8.47%, 10/25/37(c) |
|
|
2,260 |
|
|
|
2,130,149 |
|
| Merrill Lynch Mortgage Investors Trust, Series 2006- OPT1, Class M1, (1-mo. CME Term SOFR + 0.50%), 5.36%, 08/25/37(c) |
|
|
1,754 |
|
|
|
1,547,043 |
|
| MF1 LLC |
|
|
|
|
|
|
|
|
| Series 2022-FL10, Class A, (1-mo. CME Term SOFR + 2.64%), 7.60%, 09/17/37(a)(c) |
|
|
1,428 |
|
|
|
1,431,127 |
|
| Series 2022-FL9, Class A, (1-mo. CME Term SOFR + 2.15%), 7.12%, 06/19/37(a)(c) |
|
|
2,820 |
|
|
|
2,823,443 |
|
| Series 2023-FL12, Class A, (1-mo. CME Term SOFR + 2.07%), 7.03%, 10/19/38(a)(c) |
|
|
1,306 |
|
|
|
1,309,265 |
|
| MidOcean Credit CLO III Ltd., Series 2014-3A, Class A3A2, (3-mo. CME Term SOFR + 1.23%), 6.51%, 04/21/31(a)(c) |
|
|
122 |
|
|
|
122,479 |
|
| MidOcean Credit CLO VIII, Series 2018-8A, Class A1R, (3-mo. CME Term SOFR + 1.31%), 6.44%, 02/20/31(a)(c) |
|
|
1,101 |
|
|
|
1,101,760 |
|
| MidOcean Credit CLO XII Ltd., Series 2023-12A, Class A1R, (3-mo. CME Term SOFR + 1.34%), 6.62%, 04/18/36(a)(c) |
|
|
12,690 |
|
|
|
12,703,486 |
|
| Mill City Solar Loan Ltd. |
|
|
|
|
|
|
|
|
| Series 2019-1A, Class A, 4.34%, 03/20/43(a) |
|
|
980 |
|
|
|
927,266 |
|
| Series 2019-2GS, Class A, 3.69%, 07/20/43(a) |
|
|
1,679 |
|
|
|
1,535,252 |
|
| Milos CLO Ltd., Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.33%), 6.61%, 10/20/30(a)(c) |
|
|
431 |
|
|
|
431,814 |
|
| Morgan Stanley ABS Capital I, Inc. Trust |
|
|
|
|
|
|
|
|
| Series 2007-NC1, Class A2D, (1-mo. CME Term SOFR + 0.33%), 5.19%, 11/25/36(c) |
|
|
4,881 |
|
|
|
2,319,058 |
|
| Series 2007-SEA1, Class 2A1, (1-mo. CME Term SOFR + 3.91%), 8.77%, 02/25/47(a)(c) |
|
|
47 |
|
|
|
44,003 |
|
| Morgan Stanley Mortgage Loan Trust |
|
|
|
|
|
|
|
|
| Series 2006-12XS, Class A4, 6.51%, 10/25/36(b) |
|
|
2,326 |
|
|
|
540,377 |
|
| Series 2006-12XS, Class A6A, 6.23%, 10/25/36(b) . |
|
|
574 |
|
|
|
163,835 |
|
| Series 2006-16AX, Class 2A3, (1-mo. CME Term SOFR + 0.61%), 5.47%, 11/25/36(c) |
|
|
600 |
|
|
|
167,545 |
|
| Mosaic Solar Loan Trust |
|
|
|
|
|
|
|
|
| Series 2018-2GS, Class A, 4.20%, 02/22/44(a) |
|
|
908 |
|
|
|
856,033 |
|
| Series 2019-1A, Class A, 4.37%, 12/21/43(a) |
|
|
1,381 |
|
|
|
1,316,132 |
|
| Series 2019-2A, Class A, 2.88%, 09/20/40(a) |
|
|
226 |
|
|
|
204,112 |
|
| Series 2020-2A, Class B, 2.21%, 08/20/46(a) |
|
|
1,203 |
|
|
|
996,274 |
|
| Series 2021-1A, Class B, 2.05%, 12/20/46(a) |
|
|
340 |
|
|
|
265,376 |
|
| Series 2021-2A, Class B, 2.09%, 04/22/47(a) |
|
|
3,133 |
|
|
|
2,343,850 |
|
| Series 2022-3A, Class A, 6.10%, 06/20/53(a) |
|
|
761 |
|
|
|
777,433 |
|
| Series 2023-1A, Class A, 5.32%, 06/20/53(a) |
|
|
2,557 |
|
|
|
2,561,058 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Myers Park CLO Ltd. |
|
|
|
|
|
|
|
|
| Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.66%), 6.94%, 10/20/30(a)(c) |
|
|
USD 540 |
|
|
$ |
540,440 |
|
| Series 2018-1A, Class B1, (3-mo. CME Term SOFR + 1.86%), 7.14%, 10/20/30(a)(c) |
|
|
760 |
|
|
|
761,468 |
|
| Nationstar Home Equity Loan Trust, Series 2007-B, Class M1, (1-mo. CME Term SOFR + 0.52%), 5.38%, 04/25/37(c) |
|
|
380 |
|
|
|
362,089 |
|
| Navient Private Education Loan Trust, Series 2020- IA, Class B, 2.95%, 04/15/69(a) |
|
|
1,880 |
|
|
|
1,612,520 |
|
| Navient Private Education Refi Loan Trust |
|
|
|
|
|
|
|
|
| Series 2018-DA, Class A2A, 4.00%, 12/15/59(a) |
|
|
621 |
|
|
|
614,074 |
|
| Series 2019-D, Class A2A, 3.01%, 12/15/59(a) |
|
|
2,137 |
|
|
|
2,077,345 |
|
| Series 2020-CA, Class A2B, (1-mo. CME Term SOFR + 1.71%), 6.81%, 11/15/68(a)(c) |
|
|
2,330 |
|
|
|
2,348,238 |
|
| Series 2021-DA, Class A, (Prime Rate + (1.99)%), 6.51%, 04/15/60(a)(c) |
|
|
560 |
|
|
|
553,909 |
|
| Series 2021-DA, Class B, 2.61%, 04/15/60(a) |
|
|
622 |
|
|
|
553,806 |
|
| Series 2021-DA, Class C, 3.48%, 04/15/60(a) |
|
|
5,000 |
|
|
|
4,585,165 |
|
| Series 2021-DA, Class D, 4.00%, 04/15/60(a) |
|
|
5,000 |
|
|
|
4,586,958 |
|
| Series 2024-A, Class A, 5.66%, 10/15/72(a) |
|
|
10,528 |
|
|
|
10,818,974 |
|
| Navient Student Loan Trust, Series 2019-BA, Class A2A, 3.39%, 12/15/59(a) |
|
|
913 |
|
|
|
892,725 |
|
| Nelnet Student Loan Trust |
|
|
|
|
|
|
|
|
| Series 2021-A, Class A1, (1-mo. CME Term SOFR + 0.91%), 5.88%, 04/20/62(a)(c) |
|
|
1,129 |
|
|
|
1,122,495 |
|
| Series 2021-A, Class A2, (1-mo. CME Term SOFR + 1.14%), 6.11%, 04/20/62(a)(c) |
|
|
2,680 |
|
|
|
2,654,651 |
|
| Series 2021-A, Class APT2, 1.36%, 04/20/62(a) |
|
|
1,595 |
|
|
|
1,479,249 |
|
| Series 2021-A, Class B1, 2.85%, 04/20/62(a) |
|
|
1,979 |
|
|
|
1,730,288 |
|
| Series 2021-A, Class B2, 2.85%, 04/20/62(a) |
|
|
1,640 |
|
|
|
1,433,884 |
|
| Series 2021-A, Class C, 3.75%, 04/20/62(a) |
|
|
124 |
|
|
|
108,745 |
|
| Series 2021-A, Class D, 4.93%, 04/20/62(a) |
|
|
735 |
|
|
|
642,391 |
|
| Series 2021-BA, Class B, 2.68%, 04/20/62(a) |
|
|
8,450 |
|
|
|
7,313,632 |
|
| Series 2021-BA, Class C, 3.57%, 04/20/62(a) |
|
|
386 |
|
|
|
326,674 |
|
| Series 2021-BA, Class D, 4.75%, 04/20/62(a) |
|
|
8,380 |
|
|
|
7,152,676 |
|
| Series 2021-CA, Class B, 2.53%, 04/20/62(a) |
|
|
5,370 |
|
|
|
4,588,194 |
|
| Series 2021-CA, Class C, 3.36%, 04/20/62(a) |
|
|
2,770 |
|
|
|
2,346,007 |
|
| Series 2021-CA, Class D, 4.44%, 04/20/62(a) |
|
|
5,590 |
|
|
|
4,713,702 |
|
| Series 2021-DA, Class B, 2.90%, 04/20/62(a) |
|
|
4,800 |
|
|
|
4,205,127 |
|
| Series 2021-DA, Class C, 3.50%, 04/20/62(a) |
|
|
2,700 |
|
|
|
2,287,517 |
|
| Series 2021-DA, Class D, 4.38%, 04/20/62(a) |
|
|
680 |
|
|
|
566,858 |
|
| Series 2023-PL1A, Class A1A, (SOFR (30-day) + 2.25%), 7.53%, 11/25/53(a)(c) |
|
|
2,430 |
|
|
|
2,423,363 |
|
| Neuberger Berman CLO XIV Ltd., Series 2013-14A, Class AR2, (3-mo. CME Term SOFR + 1.29%), 6.56%, 01/28/30(a)(c) |
|
|
356 |
|
|
|
355,781 |
|
| Neuberger Berman CLO XV Ltd., Series 2013-15A, Class BR2, (3-mo. CME Term SOFR + 1.61%), 6.91%, 10/15/29(a)(c) |
|
|
250 |
|
|
|
250,185 |
|
| Neuberger Berman CLO XX Ltd. |
|
|
|
|
|
|
|
|
| Series 2015-20A, Class ARR, (3-mo. CME Term SOFR + 1.42%), 6.72%, 07/15/34(a)(c) |
|
|
525 |
|
|
|
525,202 |
|
| Series 2015-20A, Class DRR, (3-mo. CME Term SOFR + 3.21%), 8.51%, 07/15/34(a)(c) |
|
|
1,000 |
|
|
|
1,000,068 |
|
| Series 2015-20A, Class ERR, (3-mo. CME Term SOFR + 6.76%), 12.06%,
07/15/34(a)(c) |
|
|
750 |
|
|
|
752,721 |
|
| Neuberger Berman Loan Advisers CLO 26 Ltd., |
|
|
|
|
|
|
|
|
| Series 2017-26A, Class AR, (3-mo. CME Term SOFR + 1.18%), 6.46%, 10/18/30(a)(c) |
|
|
3,726 |
|
|
|
3,726,132 |
|
|
|
|
| S C H E D U L E S O F I N V E S T M E N T S |
|
13 |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
| Asset-Backed Securities (continued) |
|
|
|
|
|
| Neuberger Berman Loan Advisers CLO 31 Ltd., Series 2019-31A, Class AR, (3-mo. CME Term SOFR + 1.30%), 6.58%, 04/20/31(a)(c) |
|
|
USD 356 |
|
|
$ |
356,707 |
|
| Neuberger Berman Loan Advisers CLO 32 Ltd., Series 2019-32A, Class BR, (3-mo. CME Term SOFR + 1.66%), 6.94%, 01/20/32(a)(c) |
|
|
910 |
|
|
|
910,136 |
|
| Neuberger Berman Loan Advisers CLO 33 Ltd., Series 2019-33A, Class AR, (3-mo. CME Term SOFR + 1.34%), 6.63%, 10/16/33(a)(c) |
|
|
1,970 |
|
|
|
1,971,271 |
|
| Neuberger Berman Loan Advisers CLO 34 Ltd. |
|
|
|
|
|
|
|
|
| Series 2019-34A, Class A1R, (3-mo. CME Term SOFR + 1.24%), 6.52%, 01/20/35(a)(c) |
|
|
890 |
|
|
|
890,602 |
|
| Series 2019-34A, Class BR, (3-mo. CME Term SOFR + 1.75%), 7.03%, 01/20/35(a)(c) |
|
|
1,000 |
|
|
|
1,000,395 |
|
| Neuberger Berman Loan Advisers CLO 40 Ltd., Series 2021-40A, Class A, (3-mo. CME Term SOFR + 1.32%), 6.61%, 04/16/33(a)(c) |
|
|
3,772 |
|
|
|
3,780,084 |
|
| Neuberger Berman Loan Advisers CLO 42 Ltd., Series 2021-42A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.65%, 07/16/35(a)(c) |
|
|
3,250 |
|
|
|
3,254,908 |
|
| Neuberger Berman Loan Advisers CLO 43 Ltd., Series 2021-43A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.68%, 07/17/35(a)(c) |
|
|
1,000 |
|
|
|
1,000,346 |
|
| Neuberger Berman Loan Advisers CLO 45 Ltd., Series 2021-45A, Class A, (3-mo. CME Term SOFR + 1.39%), 6.69%, 10/14/35(a)(c) |
|
|
7,840 |
|
|
|
7,844,519 |
|
| Neuberger Berman Loan Advisers CLO 46 Ltd., Series 2021-46A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.19%, 01/20/36(a)(c) |
|
|
1,220 |
|
|
|
1,224,552 |
|
| Neuberger Berman Loan Advisers CLO 47 Ltd., Series 2022-47A, Class A, (3-mo. CME Term SOFR + 1.30%), 6.60%, 04/14/35(a)(c) |
|
|
750 |
|
|
|
750,266 |
|
| Neuberger Berman Loan Advisers CLO 54 Ltd., Series 2024-54A, Class B, (3-mo. CME Term SOFR + 1.95%), 7.26%, 04/23/38(a)(c) |
|
|
970 |
|
|
|
976,674 |
|
| Neuberger Berman Loan Advisers CLO 55 Ltd., Series 2024-55A, Class C, (3-mo. CME Term SOFR + 2.35%), 7.67%, 04/22/38(a)(c) |
|
|
1,000 |
|
|
|
1,011,531 |
|
| New Mountain CLO 1 Ltd., Series CLO-1A, Class AR, (3-mo. CME Term SOFR + 1.46%), 6.76%, 10/15/34(a)(c) |
|
|
1,340 |
|
|
|
1,340,627 |
|
| New Mountain CLO 6 Ltd., Series CLO-6A, Class A, (3-mo. CME Term SOFR + 1.40%), 10/15/37(a)(c)(e). |
|
|
4,840 |
|
|
|
4,843,388 |
|
| New Residential Mortgage Loan Trust |
|
|
|
|
|
|
|
|
| Series 2022-SFR1, Class F, 4.44%, 02/17/39(a) |
|
|
502 |
|
|
|
456,762 |
|
| Series 2022-SFR2, Class F, 4.00%, 09/04/39(a) |
|
|
3,692 |
|
|
|
3,289,829 |
|
| Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1-mo. CME Term SOFR + 0.51%), 5.37%, 10/25/36(a)(c) |
|
|
102 |
|
|
|
123,632 |
|
| NovaStar Mortgage Funding Trust, Series 2006-5, Class A2D, (1-mo. CME Term SOFR + 0.59%), 5.45%, 11/25/36(c) |
|
|
3,719 |
|
|
|
1,137,510 |
|
| Oaktree CLO Ltd. |
|
|
|
|
|
|
|
|
| Series 2020-1A, Class BR, (3-mo. CME Term SOFR + 1.91%), 7.21%, 07/15/34(a)(c) |
|
|
2,000 |
|
|
|
2,007,549 |
|
| Series 2024-27A, Class A2, (3-mo. CME Term SOFR + 1.57%), 6.35%, 10/22/37(a)(c) |
|
|
610 |
|
|
|
608,939 |
|
| Series 2024-27A, Class D1, (3-mo. CME Term SOFR + 3.00%), 7.78%, 10/22/37(a)(c) |
|
|
320 |
|
|
|
323,503 |
|
| Oakwood Mortgage Investors, Inc. |
|
|
|
|
|
|
|
|
| Series 1999-C, Class A2, 7.48%, 08/15/27 |
|
|
1,619 |
|
|
|
1,276,329 |
|
| Series 2001-D, Class A2, 5.26%, 01/15/19(c) |
|
|
24 |
|
|
|
9,816 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
| Asset-Backed Securities (continued) |
|
|
|
|
|
| Oakwood Mortgage Investors, Inc. |
|
|
|
|
|
|
|
|
| Series 2002-A, Class M1, 7.76%, 03/15/32(c) |
|
|
USD 1,763 |
|
|
$ |
1,693,434 |
|
| Series 2002-C, Class M1, 6.89%, 11/15/32(c) |
|
|
1,841 |
|
|
|
1,795,968 |
|
| Ocean Trails CLO V, Series 2014-5A, Class BRR, (3-mo. CME Term SOFR + 2.21%), 7.51%, 10/13/31(a)(c) |
|
|
500 |
|
|
|
502,050 |
|
| OCP CLO Ltd. |
|
|
|
|
|
|
|
|
| Series 2015-9A, Class A1R2, (3-mo. CME Term SOFR + 1.25%), 6.55%,
01/15/33(a)(c) |
|
|
1,400 |
|
|
|
1,401,107 |
|
| Series 2016-11A, Class A1R2, (3-mo. CME Term SOFR + 1.42%), 6.70%,
04/26/36(a)(c) |
|
|
2,060 |
|
|
|
2,060,534 |
|
| Series 2016-12A, Class A1R3, (3-mo. CME Term SOFR + 1.37%), 10/18/37(a)(c)(e) |
|
|
2,500 |
|
|
|
2,500,000 |
|
| Series 2016-12A, Class BAR3, (3-mo. CME Term SOFR + 1.68%), 10/18/37(a)(c)(e) |
|
|
5,360 |
|
|
|
5,360,000 |
|
| Series 2016-12A, Class BR2, (3-mo. CME Term SOFR + 1.81%), 7.09%,
04/18/33(a)(c) |
|
|
3,000 |
|
|
|
3,005,707 |
|
| Series 2017-13A, Class A1AR, (3-mo. CME Term SOFR + 1.22%), 6.52%,
07/15/30(a)(c) |
|
|
2,496 |
|
|
|
2,497,361 |
|
| Series 2017-13A, Class A2R, (3-mo. CME Term SOFR + 1.81%), 7.11%,
07/15/30(a)(c) |
|
|
250 |
|
|
|
250,057 |
|
| Series 2017-14A, Class D1R, (3-mo. CME Term SOFR + 3.10%), 7.84%,
07/20/37(a)(c) |
|
|
1,130 |
|
|
|
1,142,819 |
|
| Series 2019-16A, Class AR, (3-mo. CME Term SOFR + 1.26%), 6.57%,
04/10/33(a)(c) |
|
|
1,456 |
|
|
|
1,456,091 |
|
| Series 2019-17A, Class AR2, (3-mo. CME Term SOFR + 1.40%), 6.70%,
07/20/37(a)(c) |
|
|
1,680 |
|
|
|
1,684,163 |
|
| Series 2020-18A, Class A1R2, (3-mo. CME Term SOFR + 1.37%), 6.60%,
07/20/37(a)(c) |
|
|
1,100 |
|
|
|
1,100,557 |
|
| Series 2020-18A, Class D1R2, (3-mo. CME Term SOFR + 3.10%), 8.33%,
07/20/37(a)(c) |
|
|
360 |
|
|
|
364,217 |
|
| Series 2020-20A, Class B1R, (3-mo. CME Term SOFR + 1.95%), 7.23%,
04/18/37(a)(c) |
|
|
370 |
|
|
|
372,384 |
|
| Series 2020-8RA, Class A1, (3-mo. CME Term SOFR + 1.48%), 6.77%,
01/17/32(a)(c) |
|
|
1,382 |
|
|
|
1,383,919 |
|
| Series 2021-22A, Class A, (3-mo. CME Term SOFR + 1.44%), 6.72%,
12/02/34(a)(c) |
|
|
2,020 |
|
|
|
2,022,275 |
|
| Series 2021-22A, Class B1, (3-mo. CME Term SOFR + 1.96%), 7.24%,
12/02/34(a)(c) |
|
|
340 |
|
|
|
341,484 |
|
| Series 2024-37A, Class A1, (3-mo. CME Term SOFR + 1.36%), 10/15/37(a)(c)(e) |
|
|
2,180 |
|
|
|
2,180,000 |
|
| Series 2024-37A, Class B1, (3-mo. CME Term SOFR + 1.68%), 10/15/37(a)(c)(e) |
|
|
2,180 |
|
|
|
2,180,000 |
|
| Octagon 56 Ltd., Series 2021-1A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.21%, 10/15/34(a)(c) |
|
|
250 |
|
|
|
250,356 |
|
| Octagon 57 Ltd., Series 2021-1A, Class B1, (3-mo. CME Term SOFR + 1.91%), 7.21%, 10/15/34(a)(c) |
|
|
870 |
|
|
|
872,605 |
|
| Octagon 66 Ltd., Series 2022-1A, Class A1R, (3-mo. CME Term SOFR + 1.75%), 6.85%, 11/16/36(a)(c) |
|
|
6,100 |
|
|
|
6,141,977 |
|
| Octagon Investment Partners 18-R Ltd., Series 2018- 18A, Class A1A, (3-mo. CME Term SOFR + 1.22%), 6.51%, 04/16/31(a)(c) |
|
|
1,891 |
|
|
|
1,893,652 |
|
| Octagon Investment Partners 36 Ltd., Series 2018- 1A, Class A1, (3-mo. CME Term SOFR + 1.23%), 6.53%, 04/15/31(a)(c) |
|
|
1,035 |
|
|
|
1,036,117 |
|
| Octagon Investment Partners 37 Ltd., Series 2018- 2A, Class A2, (3-mo. CME Term SOFR + 1.84%), 7.13%, 07/25/30(a)(c) |
|
|
650 |
|
|
|
650,597 |
|
| Octagon Investment Partners 39 Ltd. |
|
|
|
|
|
|
|
|
| Series 2018-3A, Class AR, (3-mo. CME Term SOFR + 1.15%), 6.43%,
10/20/30(a)(c) |
|
|
1,534 |
|
|
|
1,534,510 |
|
|
|
|
| 14 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Octagon Investment Partners 39 Ltd. Series 2018-3A, Class BR, (3-mo. CME Term SOFR + 1.80%), 7.08%, 10/20/30(a)(c) |
|
|
USD 5,640 |
|
|
$ |
5,645,904 |
|
| Octagon Investment Partners 51 Ltd., Series 2021- 1A, Class A, (3-mo. CME Term SOFR + 1.41%), 6.69%, 07/20/34(a)(c) |
|
|
1,250 |
|
|
|
1,250,129 |
|
| Octagon Investment Partners XIV Ltd., Series 2012- 1A, Class AARR, (3-mo. CME Term SOFR + 1.21%), 6.51%, 07/15/29(a)(c) |
|
|
31 |
|
|
|
30,770 |
|
| Octagon Investment Partners XV Ltd., Series 2013- 1A, Class A2R, (3-mo. CME Term SOFR + 1.61%), 6.89%,
07/19/30(a)(c) |
|
|
350 |
|
|
|
350,811 |
|
| Octagon Investment Partners XVI Ltd., Series 2013- 1A, Class A1R, (3-mo. CME Term SOFR + 1.28%), 6.57%,
07/17/30(a)(c) |
|
|
371 |
|
|
|
371,688 |
|
| Octagon Investment Partners XVII Ltd. |
|
|
|
|
|
|
|
|
| Series 2013-1A, Class A1R2, (3-mo. CME Term SOFR + 1.26%), 6.55%, 01/25/31(a)(c) |
|
|
481 |
|
|
|
481,259 |
|
| Series 2013-1A, Class A2R2, (3-mo. CME Term SOFR + 1.36%), 6.65%, 01/25/31(a)(c) |
|
|
500 |
|
|
|
500,004 |
|
| OHA Credit Funding 17 Ltd., Series 2024-17A, Class A, (3-mo. CME Term SOFR + 1.48%), 6.79%, 04/20/37(a)(c) |
|
|
2,140 |
|
|
|
2,140,837 |
|
| OHA Credit Funding 2 Ltd., Series 2019-2A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.69%, 04/21/34(a)(c) |
|
|
1,800 |
|
|
|
1,800,595 |
|
| OHA Credit Funding 3 Ltd., Series 2019-3A, Class AR, (3-mo. CME Term SOFR + 1.40%), 6.68%, 07/02/35(a)(c) |
|
|
250 |
|
|
|
250,082 |
|
| OHA Credit Funding 4 Ltd., Series 2019-4A, Class AR, (3-mo. CME Term SOFR + 1.41%), 6.69%, 10/22/36(a)(c) |
|
|
1,000 |
|
|
|
1,000,309 |
|
| Oha Credit Funding 5 Ltd. |
|
|
|
|
|
|
|
|
| Series 2020-5A, Class AR, (3-mo. CME Term SOFR + 1.35%), 0.00%, 10/18/37(a)(d) |
|
|
12,790 |
|
|
|
12,790,000 |
|
| Series 2020-5A, Class B1R, (3-mo. CME Term SOFR + 1.70%), 0.00%, 10/18/37(a)(d) |
|
|
2,600 |
|
|
|
2,600,000 |
|
| OHA Credit Funding 5 Ltd. |
|
|
|
|
|
|
|
|
| Series 2020-5A, Class A1, (3-mo. CME Term SOFR + 1.43%), 6.71%, 04/18/33(a)(c) |
|
|
295 |
|
|
|
295,132 |
|
| Series 2020-5A, Class A2A, (3-mo. CME Term SOFR + 1.71%), 6.99%, 04/18/33(a)(c) |
|
|
300 |
|
|
|
300,111 |
|
| Series 2020-5A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.14%, 04/18/33(a)(c) |
|
|
2,080 |
|
|
|
2,086,847 |
|
| OHA Credit Funding 6 Ltd., Series 2020-6A, Class AR, (3-mo. CME Term SOFR + 1.40%), 6.68%, 07/20/34(a)(c) |
|
|
670 |
|
|
|
670,153 |
|
| OHA Credit Funding 7 Ltd., Series 2020-7A, Class AR, (3-mo. CME Term SOFR + 1.30%), 6.58%, 02/24/37(a)(c) |
|
|
3,520 |
|
|
|
3,522,908 |
|
| OHA Credit Funding 9 Ltd. |
|
|
|
|
|
|
|
|
| Series 2021-9A, Class A1R, (3-mo. CME Term SOFR + 1.35%), 10/19/37(a)(c)(e) |
|
|
3,890 |
|
|
|
3,890,000 |
|
| Series 2021-9A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.24%, 07/19/35(a)(c) |
|
|
1,890 |
|
|
|
1,899,727 |
|
| Series 2021-9A, Class B1R, (3-mo. CME Term SOFR + 1.70%), 10/19/37(a)(c)(e) |
|
|
1,890 |
|
|
|
1,890,000 |
|
| OHA Credit Partners XI Ltd., Series 2015-11A, Class A1R2, (3-mo. CME Term SOFR + 1.46%), 6.74%, 04/20/37(a)(c) |
|
|
3,345 |
|
|
|
3,353,441 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| OHA Credit Partners XII Ltd., Series 2015-12A, Class B1R2, (3-mo. CME Term SOFR + 1.95%), 7.23%, 04/23/37(a)(c) |
|
|
USD 1,700 |
|
|
$ |
1,716,170 |
|
| OHA Credit Partners XVI, Series 2021-16A, Class AR, (3-mo. CME Term SOFR + 1.35%), 6.20%, 10/18/37(a)(c) |
|
|
5,340 |
|
|
|
5,340,259 |
|
| OHA Loan Funding Ltd. |
|
|
|
|
|
|
|
|
| Series 2013-2A, Class AR, (3-mo. CME Term SOFR + 1.30%), 6.40%,
05/23/31(a)(c) |
|
|
843 |
|
|
|
844,000 |
|
| Series 2015-1A, Class AR3, (3-mo. CME Term SOFR + 1.41%), 6.69%,
01/19/37(a)(c) |
|
|
1,360 |
|
|
|
1,361,375 |
|
| Series 2016-1A, Class A1R2, (3-mo. CME Term SOFR + 1.46%), 6.80%,
07/20/37(a)(c) |
|
|
2,640 |
|
|
|
2,642,881 |
|
| OneMain Financial Issuance Trust |
|
|
|
|
|
|
|
|
| Series 2021-1A, Class B, 1.95%, 06/16/36(a) |
|
|
4,700 |
|
|
|
4,312,710 |
|
| Series 2021-1A, Class C, 2.22%, 06/16/36(a) |
|
|
4,680 |
|
|
|
4,269,527 |
|
| Series 2023-2A, Class D, 7.52%, 09/15/36(a) |
|
|
1,720 |
|
|
|
1,813,046 |
|
| Series 2024-1A, Class A, 5.79%, 05/14/41(a) |
|
|
10,618 |
|
|
|
11,228,280 |
|
| Option One Mortgage Loan Trust |
|
|
|
|
|
|
|
|
| Series 2005-4, Class M3, (1-mo. CME Term SOFR + 0.85%), 5.70%, 11/25/35(c) |
|
|
460 |
|
|
|
389,840 |
|
| Series 2007-FXD1, Class 1A1, 5.87%, 01/25/37(b) . |
|
|
4,040 |
|
|
|
3,505,932 |
|
| Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37(b) . |
|
|
2,440 |
|
|
|
2,128,219 |
|
| Orchard Park CLO Ltd. |
|
|
|
|
|
|
|
|
| Series 2024-1A, Class A, (3-mo. CME Term SOFR + 1.36%), 10/20/37(a)(c)(e) |
|
|
14,850 |
|
|
|
14,850,000 |
|
| Series 2024-1A, Class B1, (3-mo. CME Term SOFR + 1.70%), 10/20/37(a)(c)(e) |
|
|
1,340 |
|
|
|
1,340,000 |
|
| Origen Manufactured Housing Contract Trust, Series 2007-B, Class A1, (1-mo. LIBOR US + 1.20%), 6.41%, 10/15/37(a)(c) |
|
|
540 |
|
|
|
533,982 |
|
| OSD CLO Ltd., Series 2021-23A, Class E, (3-mo. CME Term SOFR + 6.26%), 11.55%, 04/17/31(a)(c) . |
|
|
1,000 |
|
|
|
1,000,078 |
|
| Owl Rock CLO V Ltd., Series 2020-5A, Class A1R, (3-mo. CME Term SOFR + 1.78%), 7.06%, 04/20/34(a)(c) |
|
|
1,350 |
|
|
|
1,351,701 |
|
| Owl Rock CLO XVIII LLC, Series 2024-18A, Class A, (3-mo. CME Term SOFR + 1.70%), 7.00%, 07/24/36(a)(c) |
|
|
2,990 |
|
|
|
2,986,049 |
|
| OZLM VIII Ltd. |
|
|
|
|
|
|
|
|
| Series 2014-8A, Class A2R3, (3-mo. CME Term SOFR + 1.91%), 7.20%,
10/17/29(a)(c) |
|
|
1,185 |
|
|
|
1,185,283 |
|
| Series 2014-8A, Class BR3, (3-mo. CME Term SOFR + 2.36%), 7.65%,
10/17/29(a)(c) |
|
|
1,750 |
|
|
|
1,752,791 |
|
| OZLM XIV Ltd., Series 2015-14A, Class A1SR, (3- mo. CME Term SOFR + 1.51%), 6.81%, 07/15/34(a)(c) |
|
|
1,500 |
|
|
|
1,501,116 |
|
| OZLM XVIII Ltd., Series 2018-18A, Class B, (3-mo. CME Term SOFR + 1.81%), 7.11%, 04/15/31(a)(c) |
|
|
550 |
|
|
|
551,595 |
|
| OZLM XXII Ltd. |
|
|
|
|
|
|
|
|
| Series 2018-22A, Class A1, (3-mo. CME Term SOFR + 1.33%), 6.62%,
01/17/31(a)(c) |
|
|
522 |
|
|
|
522,692 |
|
| Series 2018-22A, Class A2, (3-mo. CME Term SOFR + 1.76%), 7.05%,
01/17/31(a)(c) |
|
|
500 |
|
|
|
501,452 |
|
| Pagaya AI Debt Selection Trust, Series 2021-2, Class NOTE, 3.00%, 01/25/29(a) |
|
|
285 |
|
|
|
280,310 |
|
| Pagaya AI Technology in Housing Trust, Series 2023-1, Class F, 3.60%, 10/25/40(a) |
|
|
1,000 |
|
|
|
794,213 |
|
| Palmer Square CLO Ltd. Series 2013-2A, Class A1A3, (3-mo. CME Term SOFR + 1.26%), 6.55%, 10/17/31(a)(c) |
|
|
1,853 |
|
|
|
1,854,137 |
|
|
|
|
| S C H E D U L E S O F I N V E S T M E N T S |
|
15 |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
|
| Asset-Backed Securities (continued) |
|
|
|
|
| Palmer Square CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.39%), 6.68%, 01/17/31(a)(c) |
|
|
|
|
|
|
USD 245 |
|
|
$ |
246,416 |
|
| Series 2014-1A, Class CR2, (3-mo. CME Term SOFR + 2.91%), 8.20%, 01/17/31(a)(c) |
|
|
|
|
|
|
400 |
|
|
|
400,933 |
|
| Series 2015-1A, Class A1A4, (3-mo. CME Term SOFR + 1.39%), 6.52%, 05/21/34(a)(c) |
|
|
|
|
|
|
660 |
|
|
|
661,108 |
|
| Series 2015-1A, Class A2R4, (3-mo. CME Term SOFR + 1.96%), 7.09%, 05/21/34(a)(c) |
|
|
|
|
|
|
1,330 |
|
|
|
1,333,227 |
|
| Series 2015-2A, Class CR2, (3-mo. CME Term SOFR + 3.01%), 8.29%, 07/20/30(a)(c) |
|
|
|
|
|
|
1,250 |
|
|
|
1,253,414 |
|
| Series 2019-1A, Class A1R, (3-mo. CME Term SOFR + 1.41%), 6.53%, 11/14/34(a)(c) |
|
|
|
|
|
|
2,380 |
|
|
|
2,383,808 |
|
| Series 2020-3A, Class A1R2, (3-mo. CME Term SOFR + 1.65%), 6.77%, 11/15/36(a)(c) |
|
|
|
|
|
|
960 |
|
|
|
963,279 |
|
| Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.41%), 6.71%, 01/15/35(a)(c) |
|
|
|
|
|
|
390 |
|
|
|
390,410 |
|
| Series 2021-4A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.21%, 10/15/34(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,908 |
|
| Series 2022-3A, Class A1R, (3-mo. CME Term SOFR + 1.35%), 6.54%, 07/20/37(a)(c) |
|
|
|
|
|
|
720 |
|
|
|
720,007 |
|
| Series 2022-3A, Class B1R, (3-mo. CME Term SOFR + 1.60%), 6.79%, 07/20/37(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,617 |
|
| Series 2022-3A, Class D1R, (3-mo. CME Term SOFR + 2.95%), 8.14%, 07/20/37(a)(c) |
|
|
|
|
|
|
450 |
|
|
|
451,922 |
|
| Series 2024-2A, Class B, (3-mo. CME Term SOFR + 1.65%), 6.94%, 07/20/37(a)(c) |
|
|
|
|
|
|
2,300 |
|
|
|
2,301,974 |
|
| Palmer Square Loan Funding Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-2A, Class A2, (3-mo. CME Term SOFR + 1.51%), 6.64%, 05/20/29(a)(c) |
|
|
|
|
|
|
3,560 |
|
|
|
3,565,291 |
|
| Series 2021-3A, Class D, (3-mo. CME Term SOFR + 5.26%), 10.54%, 07/20/29(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,386 |
|
| Series 2021-4A, Class B, (3-mo. CME Term SOFR + 2.01%), 7.31%, 10/15/29(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,555 |
|
| Series 2021-4A, Class C, (3-mo. CME Term SOFR + 2.86%), 8.16%, 10/15/29(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
249,503 |
|
| Series 2022-2A, Class A2, (3-mo. CME Term SOFR + 1.90%), 7.20%, 10/15/30(a)(c) |
|
|
|
|
|
|
2,350 |
|
|
|
2,353,713 |
|
| Series 2022-2A, Class B, (3-mo. CME Term SOFR + 2.20%), 7.50%, 10/15/30(a)(c) |
|
|
|
|
|
|
1,360 |
|
|
|
1,363,624 |
|
| Series 2022-2A, Class C, (3-mo. CME Term SOFR + 3.10%), 8.40%, 10/15/30(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
251,500 |
|
| Series 2022-3A, Class A2R, (3-mo. CME Term SOFR + 1.60%), 6.90%, 04/15/31(a)(c) |
|
|
|
|
|
|
10,380 |
|
|
|
10,362,056 |
|
| Series 2024-1A, Class A2, (3-mo. CME Term SOFR + 1.45%), 6.56%, 10/15/32(a)(c) |
|
|
|
|
|
|
1,150 |
|
|
|
1,155,668 |
|
| Park Avenue Institutional Advisers CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-1A, Class A1R, (3-mo. CME Term SOFR + 1.46%), 6.56%, 08/23/31(a)(c) |
|
|
|
|
|
|
158 |
|
|
|
157,816 |
|
| Series 2017-1A, Class DR, (3-mo. CME Term SOFR + 7.07%), 12.19%, 02/14/34(a)(c) |
|
|
|
|
|
|
900 |
|
|
|
856,723 |
|
| Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.66%), 8.96%, 07/15/34(a)(c) |
|
|
|
1,900 |
|
|
|
1,905,176 |
|
| Pikes Peak CLO 1, Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.44%), 6.73%, 07/24/31(a)(c) |
|
|
|
548 |
|
|
|
548,384 |
|
| Pikes Peak CLO 4, Series 2019-4A, Class AR, (3-mo. CME Term SOFR + 1.46%), 6.76%, 07/15/34(a)(c) |
|
|
|
250 |
|
|
|
250,000 |
|
| Pikes Peak CLO 6, Series 2020-6A, Class AR2, (3- mo. CME Term SOFR + 1.43%), 6.53%,
05/18/34(a)(c) |
|
|
|
1,406 |
|
|
|
1,406,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
|
| Asset-Backed Securities (continued) |
|
|
|
|
| Popular ABS Mortgage Pass-Through Trust, Series 2006-B, Class M1, (1-mo. CME Term SOFR + 0.65%), 5.51%, 05/25/36(c) |
|
|
|
|
|
|
USD 3,259 |
|
|
$ |
3,099,700 |
|
| PRET LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-NPL6, Class A1, 2.49%, 07/25/51(a)(b) |
|
|
|
|
|
|
4,443 |
|
|
|
4,415,451 |
|
| Series 2021-RN4, Class A1, 2.49%, 10/25/51(a)(c) |
|
|
|
4,950 |
|
|
|
4,944,397 |
|
| Series 2023-RN2, Class A1, 8.11%, 11/25/53(a)(b) |
|
|
|
|
|
|
4,331 |
|
|
|
4,393,891 |
|
| Series 2024-NPL4, Class A1, 7.00%, 07/25/54(a)(b) |
|
|
|
4,829 |
|
|
|
4,886,250 |
|
| Series 2024-NPL5, Class A1, 5.96%, 09/25/54(a)(b) |
|
|
|
3,767 |
|
|
|
3,766,970 |
|
| Prodigy Finance DAC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-1A, Class B, (1-mo. CME Term SOFR + 2.61%), 7.47%, 07/25/51(a)(c) |
|
|
|
760 |
|
|
|
760,980 |
|
| Series 2021-1A, Class C, (1-mo. CME Term SOFR + 3.86%), 8.72%, 07/25/51(a)(c) |
|
|
|
760 |
|
|
|
765,262 |
|
| Series 2021-1A, Class D, (1-mo. CME Term SOFR + 6.01%), 10.87%, 07/25/51(a)(c) |
|
|
|
567 |
|
|
|
574,893 |
|
| Progress Residential Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-SFR10, Class E2, 3.67%, 12/17/40(a) |
|
|
|
937 |
|
|
|
869,482 |
|
| Series 2021-SFR10, Class F, 4.61%, 12/17/40(a) |
|
|
|
3,786 |
|
|
|
3,552,706 |
|
| Series 2021-SFR5, Class F, 3.16%, 07/17/38(a) |
|
|
|
|
|
|
1,808 |
|
|
|
1,711,865 |
|
| Series 2021-SFR6, Class F, 3.42%, 07/17/38(a) |
|
|
|
|
|
|
3,577 |
|
|
|
3,392,052 |
|
| Series 2021-SFR8, Class F, 3.18%, 10/17/38(a) |
|
|
|
|
|
|
4,500 |
|
|
|
4,220,020 |
|
| Series 2021-SFR9, Class F, 4.05%, 11/17/40(a) |
|
|
|
|
|
|
2,400 |
|
|
|
2,201,735 |
|
| Series 2022-SFR1, Class F, 4.88%, 02/17/41(a) |
|
|
|
|
|
|
5,000 |
|
|
|
4,618,494 |
|
| Series 2022-SFR5, Class E1, 6.62%, 06/17/39(a) |
|
|
|
3,130 |
|
|
|
3,177,284 |
|
| Series 2023-SFR2, Class E1, 4.75%, 10/17/40(a) |
|
|
|
1,041 |
|
|
|
987,333 |
|
| Series 2024-SFR2, Class E1, 3.40%, 04/17/41(a)(c) |
|
|
|
|
|
|
2,000 |
|
|
|
1,802,358 |
|
| Series 2024-SFR2, Class E2, 3.65%, 04/17/41(a)(c) |
|
|
|
|
|
|
2,000 |
|
|
|
1,796,365 |
|
| Series 2024-SFR4, Class E1, 3.33%, 07/17/41(a) |
|
|
|
5,640 |
|
|
|
5,027,987 |
|
| Series 2024-SFR4, Class E2, 3.40%, 07/17/41(a) |
|
|
|
5,000 |
|
|
|
4,415,821 |
|
| RAAC Trust, Series 2006-SP3, Class M3, (1-mo. CME Term SOFR + 1.46%), 6.32%, 08/25/36(c) |
|
|
|
|
|
|
1,613 |
|
|
|
1,563,742 |
|
| Race Point IX CLO Ltd., Series 2015-9A, Class A1A2, (3-mo. CME Term SOFR + 1.20%), 6.50%, 10/15/30(a)(c) |
|
|
|
246 |
|
|
|
246,271 |
|
| Rad CLO 15 Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-15A, Class A, (3-mo. CME Term SOFR + 1.35%), 6.63%, 01/20/34(a)(c) |
|
|
|
|
|
|
1,540 |
|
|
|
1,541,404 |
|
| Series 2021-15A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.19%, 01/20/34(a)(c) |
|
|
|
|
|
|
820 |
|
|
|
821,105 |
|
| Series 2021-15A, Class E, (3-mo. CME Term SOFR + 6.46%), 11.74%, 01/20/34(a)(c) |
|
|
|
|
|
|
4,500 |
|
|
|
4,468,824 |
|
| RAD CLO 23 Ltd., Series 2024-23A, Class B1, (3-mo. CME Term SOFR + 2.05%), 7.34%, 04/20/37(a)(c) |
|
|
|
1,090 |
|
|
|
1,098,531 |
|
| Rad CLO 7 Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-7A, Class A1R, (3-mo. CME Term SOFR + 1.35%), 6.64%, 04/17/36(a)(c) |
|
|
|
|
|
|
700 |
|
|
|
700,014 |
|
| Series 2020-7A, Class B1R, (3-mo. CME Term SOFR + 1.90%), 7.19%, 04/17/36(a)(c) |
|
|
|
|
|
|
2,500 |
|
|
|
2,502,547 |
|
| Series 2020-7A, Class CR, (3-mo. CME Term SOFR + 2.60%), 7.89%, 04/17/36(a)(c) |
|
|
|
|
|
|
1,340 |
|
|
|
1,352,362 |
|
| Series 2020-7A, Class D1R, (3-mo. CME Term SOFR + 4.15%), 9.44%, 04/17/36(a)(c) |
|
|
|
|
|
|
480 |
|
|
|
489,143 |
|
| Rad CLO 9 Ltd., Series 2020-9A, Class B1, (3-mo. CME Term SOFR + 2.16%), 7.46%, 01/15/34(a)(c) |
|
|
|
500 |
|
|
|
501,062 |
|
| Redwood Funding Trust, Series 2023-1, Class A, 7.50%,
07/25/59(a)(b) |
|
|
|
|
|
|
568 |
|
|
|
567,905 |
|
| Regatta VI Funding Ltd., Series 2016-1A, Class AR2, (3-mo. CME Term SOFR + 1.42%), 6.70%, 04/20/34(a)(c) |
|
|
|
3,000 |
|
|
|
3,003,924 |
|
|
|
|
| 16 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
|
| Asset-Backed Securities (continued) |
|
|
|
|
| Regatta VII Funding Ltd., Series 2016-1A, Class BR2, (3-mo. CME Term SOFR + 1.86%), 6.68%, 06/20/34(a)(c) |
|
|
|
USD 250 |
|
|
$ |
251,014 |
|
| Regatta VIII Funding Ltd., Series 2017-1A, Class BR, (3-mo. CME Term SOFR + 2.05%), 7.38%, 04/17/37(a)(c) |
|
|
|
1,255 |
|
|
|
1,263,659 |
|
| Regatta XI Funding Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-1A, Class AR, (3-mo. CME Term SOFR + 1.40%), 6.70%, 07/17/37(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,195 |
|
| Series 2018-1A, Class BR, (3-mo. CME Term SOFR + 1.75%), 7.05%, 07/17/37(a)(c) |
|
|
|
|
|
|
4,650 |
|
|
|
4,655,918 |
|
| Regatta XII Funding Ltd., Series 2019-1A, Class ARR, (3-mo. CME Term SOFR + 1.39%),
10/15/37(a)(c)(e) |
|
|
|
|
|
|
4,670 |
|
|
|
4,670,000 |
|
| Regatta XIX Funding Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-1A, Class A1, (3-mo. CME Term SOFR + 1.32%), 6.60%, 04/20/35(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,376 |
|
| Series 2022-1A, Class B, (3-mo. CME Term SOFR + 1.85%), 7.13%, 04/20/35(a)(c) |
|
|
|
420 |
|
|
|
421,928 |
|
| Regatta XV Funding Ltd., Series 2018-4A, Class A1R, (3-mo. CME Term SOFR + 1.20%), 6.49%, 10/25/31(a)(c) |
|
|
|
|
|
|
462 |
|
|
|
462,531 |
|
| Regatta XVII Funding Ltd., Series 2020-1A, Class E, (3-mo. CME Term SOFR + 7.87%), 13.17%, 10/15/33(a)(c) |
|
|
|
500 |
|
|
|
500,569 |
|
| Regatta XVIII Funding Ltd., Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.36%), 6.66%, 01/15/34(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,300 |
|
| Regatta XXIII Funding Ltd., Series 2021-4A, Class A1, (3-mo. CME Term SOFR + 1.41%), 6.69%, 01/20/35(a)(c) |
|
|
|
|
|
|
840 |
|
|
|
841,254 |
|
| Regatta XXIV Funding Ltd., Series 2021-5A, Class E, (3-mo. CME Term SOFR + 7.06%), 12.34%, 01/20/35(a)(c) |
|
|
|
1,500 |
|
|
|
1,502,869 |
|
| Regatta XXVII Funding Ltd., Series 2024-1A, Class A1, (3-mo. CME Term SOFR + 1.53%), 6.83%, 04/26/37(a)(c) |
|
|
|
|
|
|
2,040 |
|
|
|
2,053,647 |
|
| Regional Management Issuance Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-1, Class A, 2.34%, 10/15/30(a) |
|
|
|
|
|
|
155 |
|
|
|
153,954 |
|
| Series 2020-1, Class B, 3.23%, 10/15/30(a) |
|
|
|
|
|
|
320 |
|
|
|
315,643 |
|
| Series 2021-1, Class A, 1.68%, 03/17/31(a) |
|
|
|
|
|
|
61 |
|
|
|
59,806 |
|
| Series 2021-2, Class B, 2.35%, 08/15/33(a) |
|
|
|
|
|
|
1,098 |
|
|
|
1,001,479 |
|
| Series 2021-2, Class C, 3.23%, 08/15/33(a) |
|
|
|
|
|
|
820 |
|
|
|
753,704 |
|
| Series 2021-3, Class A, 3.88%, 10/17/33(a)(f) |
|
|
|
|
|
|
10,210 |
|
|
|
9,534,098 |
|
| Series 2022-1, Class A, 3.07%, 03/15/32(a) |
|
|
|
|
|
|
2,527 |
|
|
|
2,484,056 |
|
| Series 2022-1, Class B, 3.71%, 03/15/32(a) |
|
|
|
|
|
|
5,452 |
|
|
|
5,294,889 |
|
| Series 2022-1, Class C, 4.46%, 03/15/32(a) |
|
|
|
|
|
|
1,111 |
|
|
|
1,082,614 |
|
| Series 2022-1, Class D, 6.72%, 03/15/32(a) |
|
|
|
|
|
|
2,072 |
|
|
|
2,031,000 |
|
| Series 2022-2B, Class A, 7.10%, 11/17/32(a) |
|
|
|
|
|
|
6,193 |
|
|
|
6,212,597 |
|
| Series 2024-1, Class D, 7.46%, 07/15/36(a) |
|
|
|
|
|
|
1,034 |
|
|
|
1,075,306 |
|
| Renaissance Home Equity Loan Trust, Series 2005-3, Class AF4, 5.14%, 11/25/35(b) |
|
|
|
540 |
|
|
|
537,806 |
|
| Republic Finance Issuance Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-A, Class D, 5.23%, 12/22/31(a) |
|
|
|
|
|
|
3,550 |
|
|
|
3,416,416 |
|
| Series 2024-A, Class B, 6.47%, 08/20/32(a) |
|
|
|
|
|
|
4,430 |
|
|
|
4,508,933 |
|
| Series 2024-A, Class C, 7.28%, 08/20/32(a) |
|
|
|
|
|
|
1,794 |
|
|
|
1,829,705 |
|
| Series 2024-A, Class D, 9.49%, 08/20/32(a) |
|
|
|
|
|
|
4,072 |
|
|
|
4,159,279 |
|
| Riserva CLO Ltd., Series 2016-3A, Class ARR, (3- mo. CME Term SOFR + 1.32%), 6.60%, 01/18/34(a)(c) |
|
|
|
1,100 |
|
|
|
1,100,384 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
|
| Asset-Backed Securities (continued) |
|
|
|
|
| Rockford Tower CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-1A, Class AR2, (3-mo. CME Term SOFR + 1.36%), 6.64%, 04/20/34(a)(c) |
|
|
|
|
|
|
USD 500 |
|
|
$ |
500,161 |
|
| Series 2017-2A, Class BR, (3-mo. CME Term SOFR + 1.76%), 7.06%, 10/15/29(a)(c) |
|
|
|
|
|
|
1,250 |
|
|
|
1,250,697 |
|
| Series 2017-2A, Class CR, (3-mo. CME Term SOFR + 2.16%), 7.46%, 10/15/29(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,907 |
|
| Series 2017-2A, Class DR, (3-mo. CME Term SOFR + 3.11%), 8.41%, 10/15/29(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,189 |
|
| Series 2017-3A, Class A, (3-mo. CME Term SOFR + 1.45%), 6.73%, 10/20/30(a)(c) |
|
|
|
1,405 |
|
|
|
1,406,953 |
|
| Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.49%, 05/20/31(a)(c) |
|
|
|
1,028 |
|
|
|
1,028,870 |
|
| Series 2018-2A, Class A, (3-mo. CME Term SOFR + 1.42%), 6.70%, 10/20/31(a)(c) |
|
|
|
177 |
|
|
|
177,281 |
|
| Series 2018-2A, Class B, (3-mo. CME Term SOFR + 2.06%), 7.34%, 10/20/31(a)(c) |
|
|
|
620 |
|
|
|
621,375 |
|
| Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.43%), 6.71%, 07/20/34(a)(c) |
|
|
|
|
|
|
3,500 |
|
|
|
3,503,818 |
|
| Series 2021-2A, Class A1, (3-mo. CME Term SOFR + 1.42%), 6.70%, 07/20/34(a)(c) |
|
|
|
|
|
|
1,510 |
|
|
|
1,510,364 |
|
| Romark CLO II Ltd., Series 2018-2A, Class A1R, (3-mo. CME Term SOFR + 1.14%), 6.43%, 07/25/31(a)(c) |
|
|
|
|
|
|
206 |
|
|
|
206,466 |
|
| Romark CLO Ltd., Series 2017-1A, Class A1R, (3- mo. CME Term SOFR + 1.29%), 6.58%, 10/23/30(a)(c) |
|
|
|
443 |
|
|
|
444,004 |
|
| Romark WM-R Ltd., Series 2018-1A, Class A1, (3- mo. CME Term SOFR + 1.29%), 6.57%, 04/20/31(a)(c) |
|
|
|
840 |
|
|
|
840,146 |
|
| RR 12 Ltd., Series 2020-12A, Class A2R3, (3-mo. CME Term SOFR + 1.60%), 6.90%, 01/15/36(a)(c) |
|
|
|
|
|
|
1,210 |
|
|
|
1,209,949 |
|
| RR 18 Ltd., Series 2021-18A, Class A2, (3-mo. CME Term SOFR + 1.86%), 7.16%, 10/15/34(a)(c) |
|
|
|
650 |
|
|
|
652,199 |
|
| RR 19 Ltd., Series 2021-19A, Class A2, (3-mo. CME Term SOFR + 1.91%), 7.21%, 10/15/35(a)(c) |
|
|
|
500 |
|
|
|
502,721 |
|
| RR 26 Ltd., Series 2023-26A, Class A1, (3-mo. CME Term SOFR + 1.78%), 7.08%, 04/15/38(a)(c) |
|
|
|
720 |
|
|
|
722,892 |
|
| RR 28 Ltd., Series 2024-28RA, Class A1R, (3-mo. CME Term SOFR + 1.55%), 6.85%, 04/15/37(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,656 |
|
| RR 29 Ltd., Series 2024-29RA, Class A1R, (3-mo. CME Term SOFR + 1.39%), 6.69%, 07/15/39(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
251,284 |
|
| RR 3 Ltd., Series 2018-3A, Class A1R2, (3-mo. CME Term SOFR + 1.35%), 6.65%, 01/15/30(a)(c) |
|
|
|
1,757 |
|
|
|
1,757,689 |
|
| RR 32 Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-32RA, Class A1R, (3-mo. CME Term SOFR + 1.36%), 10/15/39(a)(c)(e) |
|
|
|
11,850 |
|
|
|
11,850,000 |
|
| Series 2024-32RA, Class A2R, (3-mo. CME Term SOFR + 1.70%), 10/15/39(a)(c)(e) |
|
|
|
2,690 |
|
|
|
2,690,000 |
|
| Sandstone Peak Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-1A, Class A2R, (3-mo. CME Term SOFR + 1.68%), 6.53%, 10/15/34(a)(c) |
|
|
|
|
|
|
3,360 |
|
|
|
3,360,000 |
|
| Series 2021-1A, Class B1R, (3-mo. CME Term SOFR + 1.83%), 6.68%, 10/15/34(a)(c) |
|
|
|
|
|
|
1,290 |
|
|
|
1,290,000 |
|
| Saxon Asset Securities Trust, Series 2004-2, Class MF5, 3.01%, 08/25/35(b) |
|
|
|
|
|
|
397 |
|
|
|
301,153 |
|
| Securitized Asset-Backed Receivables LLC Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2007-BR1, Class A2A, (1-mo. CME Term SOFR + 0.33%), 5.19%, 02/25/37(c) |
|
|
|
385 |
|
|
|
168,548 |
|
| Series 2007-BR1, Class A2B, (1-mo. CME Term SOFR + 0.65%), 5.51%, 02/25/37(c) |
|
|
|
2,054 |
|
|
|
897,829 |
|
|
|
|
| S C H E D U L E S O F I N V E S T M E N T S |
|
17 |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
|
| Asset-Backed Securities (continued) |
|
|
|
|
| Securitized Asset-Backed Receivables LLC Trust Series 2007-NC2, Class A2C, (1-mo. CME Term SOFR + 0.55%), 5.41%, 01/25/37(c) |
|
|
|
|
|
|
USD 446 |
|
|
$ |
322,426 |
|
| Service Experts Issuer LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-1A, Class A, 2.67%, 02/02/32(a) |
|
|
|
|
|
|
1,662 |
|
|
|
1,610,114 |
|
| Series 2024-1A, Class A, 6.39%, 11/20/35(a) |
|
|
|
|
|
|
2,605 |
|
|
|
2,685,292 |
|
| SESAC Finance LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-1, Class A2, 5.22%, 07/25/49(a) |
|
|
|
|
|
|
2,478 |
|
|
|
2,466,418 |
|
| Series 2024-1, Class A2, 6.42%, 01/25/54(a) |
|
|
|
|
|
|
671 |
|
|
|
687,172 |
|
| SG Mortgage Securities Trust, Series 2006-FRE2, Class A2C, (1-mo. CME Term SOFR + 0.43%), 5.29%, 07/25/36(c) |
|
|
|
|
|
|
184 |
|
|
|
39,701 |
|
| Shackleton CLO Ltd., Series 2013-3A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.68%, 07/15/30(a)(c) |
|
|
|
|
|
|
277 |
|
|
|
277,007 |
|
| Signal Peak CLO 1 Ltd., Series 2014-1A, Class AR3, (3-mo. CME Term SOFR + 1.42%), 6.71%, 04/17/34(a)(c) |
|
|
|
|
|
|
2,750 |
|
|
|
2,753,495 |
|
| Signal Peak CLO 5 Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-5A, Class A1R, (3-mo. CME Term SOFR + 1.55%), 6.84%, 04/25/37(a)(c) |
|
|
|
|
|
|
1,810 |
|
|
|
1,814,786 |
|
| Series 2018-5A, Class BR, (3-mo. CME Term SOFR + 2.20%), 7.49%, 04/25/37(a)(c) |
|
|
|
|
|
|
390 |
|
|
|
394,395 |
|
| Signal Peak CLO 7 Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-1A, Class A1R, (3-mo. CME Term SOFR + 1.42%), 5.98%, 10/20/37(a)(c) |
|
|
|
|
|
|
600 |
|
|
|
600,000 |
|
| Series 2019-1A, Class BR, (3-mo. CME Term SOFR + 1.80%), 6.36%, 10/20/37(a)(c) |
|
|
|
|
|
|
480 |
|
|
|
480,000 |
|
| Signal Peak CLO 8 Ltd., Series 2020-8A, Class A, (3-mo. CME Term SOFR + 1.53%), 6.81%,
04/20/33(a)(c) |
|
|
|
|
|
|
500 |
|
|
|
501,083 |
|
| Silver Point CLO 5 Ltd., Series 2024-5A, Class A1, (3-mo. CME Term SOFR + 1.40%), 6.13%, 10/20/37(a)(c) |
|
|
|
|
|
|
970 |
|
|
|
970,474 |
|
| Sixth Street CLO IX Ltd., Series 2017-9A, Class AR, (3-mo. CME Term SOFR + 1.38%), 6.66%, 07/21/37(a)(c) |
|
|
|
|
|
|
1,290 |
|
|
|
1,291,935 |
|
| Sixth Street CLO XVII Ltd., Series 2021-17A, Class E, (3-mo. CME Term SOFR + 6.46%), 11.74%, 01/20/34(a)(c) |
|
|
|
|
|
|
500 |
|
|
|
498,575 |
|
| Sixth Street CLO XX Ltd., Series 2021-20A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.19%, 10/20/34(a)(c) |
|
|
|
|
|
|
970 |
|
|
|
973,599 |
|
| SLM Private Credit Student Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2005-A, Class A4, (3-mo. CME Term SOFR + 0.57%), 5.52%, 12/15/38(c) |
|
|
|
|
|
|
873 |
|
|
|
860,762 |
|
| Series 2005-B, Class A4, (3-mo. CME Term SOFR + 0.59%), 5.54%, 06/15/39(c) |
|
|
|
|
|
|
679 |
|
|
|
665,875 |
|
| Series 2006-BW, Class A5, (3-mo. CME Term SOFR + 0.46%), 5.41%, 12/15/39(c) |
|
|
|
|
|
|
1,292 |
|
|
|
1,246,896 |
|
| SLM Private Education Loan Trust, Series 2010-C, Class A5, (1-mo. CME Term SOFR + 4.86%), 9.96%, 10/15/41(a)(c) |
|
|
|
|
|
|
2,379 |
|
|
|
2,490,253 |
|
| SMB Private Education Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-C, Class B, 3.50%, 09/15/43(a) |
|
|
|
|
|
|
1,110 |
|
|
|
1,097,700 |
|
| Series 2016-B, Class A2A, 2.43%, 02/17/32(a) |
|
|
|
|
|
|
172 |
|
|
|
170,218 |
|
| Series 2017-A, Class A2B, (1-mo. CME Term SOFR + 1.01%), 6.11%, 09/15/34(a)(c) |
|
|
|
|
|
|
422 |
|
|
|
422,627 |
|
| Series 2017-B, Class A2A, 2.82%, 10/15/35(a) |
|
|
|
|
|
|
324 |
|
|
|
318,041 |
|
| Series 2017-B, Class A2B, (1-mo. CME Term SOFR + 0.86%), 5.96%, 10/15/35(a)(c) |
|
|
|
|
|
|
532 |
|
|
|
531,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
|
| Asset-Backed Securities (continued) |
|
|
|
|
| SMB Private Education Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-A, Class A2B, (1-mo. CME Term SOFR + 0.91%), 6.01%, 02/15/36(a)(c) |
|
|
|
|
|
|
USD 1,209 |
|
|
$ |
1,206,153 |
|
| Series 2019-B, Class A2A, 2.84%, 06/15/37(a) |
|
|
|
|
|
|
1,717 |
|
|
|
1,667,328 |
|
| Series 2021-A, Class C, 2.99%, 01/15/53(a) |
|
|
|
|
|
|
2,274 |
|
|
|
1,966,220 |
|
| Series 2021-A, Class D1, 3.86%, 01/15/53(a) |
|
|
|
|
|
|
484 |
|
|
|
434,248 |
|
| Series 2021-A, Class D2, 3.86%, 01/15/53(a) |
|
|
|
|
|
|
330 |
|
|
|
295,659 |
|
| Series 2021-B, Class A, 1.31%, 07/17/51(a) |
|
|
|
|
|
|
1,958 |
|
|
|
1,816,560 |
|
| Series 2021-C, Class A2, (1-mo. CME Term SOFR + 0.91%), 6.01%, 01/15/53(a)(c) |
|
|
|
1,158 |
|
|
|
1,145,679 |
|
| Series 2021-C, Class APT1, 1.39%, 01/15/53(a) |
|
|
|
|
|
|
1,045 |
|
|
|
950,078 |
|
| Series 2021-C, Class B, 2.30%, 01/15/53(a) |
|
|
|
|
|
|
748 |
|
|
|
713,392 |
|
| Series 2024-A, Class A1B, (SOFR (30-day) + 1.45%), 6.79%, 03/15/56(a)(c) |
|
|
|
|
|
|
6,503 |
|
|
|
6,542,996 |
|
| Series 2024-A, Class B, 5.88%, 03/15/56(a) |
|
|
|
|
|
|
6,500 |
|
|
|
6,684,023 |
|
| Series 2024-C, Class A1B, (SOFR (30-day) + 1.10%), 6.44%, 06/17/52(a)(c) |
|
|
|
|
|
|
2,544 |
|
|
|
2,523,412 |
|
| SoFi Personal Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-1A, Class A, 6.00%, 11/12/30(a) |
|
|
|
|
|
|
5,128 |
|
|
|
5,220,526 |
|
| Series 2024-1A, Class A, 6.06%, 02/12/31(a) |
|
|
|
|
|
|
6,946 |
|
|
|
7,071,580 |
|
| SoFi Professional Loan Program LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-A, Class B, 3.61%, 02/25/42(a) |
|
|
|
|
|
|
290 |
|
|
|
274,119 |
|
| Series 2019-B, Class A2FX, 3.09%, 08/17/48(a) |
|
|
|
|
|
|
265 |
|
|
|
258,845 |
|
| SoFi Professional Loan Program Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-B, Class BFX, 3.83%, 08/25/47(a) |
|
|
|
|
|
|
156 |
|
|
|
147,903 |
|
| Series 2018-D, Class BFX, 4.14%, 02/25/48(a) |
|
|
|
|
|
|
100 |
|
|
|
94,863 |
|
| Series 2020-A, Class BFX, 3.12%, 05/15/46(a) |
|
|
|
|
|
|
226 |
|
|
|
194,557 |
|
| Sound Point CLO II Ltd., Series 2013-1A, Class A1R, (3-mo. CME Term SOFR + 1.33%), 6.61%, 01/26/31(a)(c) |
|
|
|
136 |
|
|
|
136,290 |
|
| Soundview Home Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2004-WMC1, Class M2, (1-mo. CME Term SOFR + 0.91%), 5.76%, 01/25/35(c) |
|
|
|
92 |
|
|
|
77,691 |
|
| Series 2005-OPT3, Class M4, (1-mo. CME Term SOFR + 1.13%), 5.99%, 11/25/35(c) |
|
|
|
313 |
|
|
|
243,839 |
|
| Series 2007-NS1, Class M1, (1-mo. CME Term SOFR + 0.46%), 5.32%, 01/25/37(c) |
|
|
|
|
|
|
445 |
|
|
|
425,413 |
|
| Southwick Park CLO LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-4A, Class A1R, (3-mo. CME Term SOFR + 1.32%), 6.60%, 07/20/32(a)(c) |
|
|
|
|
|
|
450 |
|
|
|
450,274 |
|
| Series 2019-4A, Class B1R, (3-mo. CME Term SOFR + 1.76%), 7.04%, 07/20/32(a)(c) |
|
|
|
|
|
|
380 |
|
|
|
380,330 |
|
| SPLT |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 23-1, Class R1, 0.00%, 10/15/30(a)(d) |
|
|
|
|
|
|
43 |
|
|
|
2,132,602 |
|
| Series 24-1, Class R1, 0.00%, 02/12/31(a)(d) |
|
|
|
|
|
|
135 |
|
|
|
5,202,759 |
|
| SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 09/25/37(a) |
|
|
|
920 |
|
|
|
853,288 |
|
| Steele Creek CLO Ltd., Series 2017-1A, Class A, (3-mo. CME Term SOFR + 1.51%), 6.81%, 10/15/30(a)(c) |
|
|
|
|
|
|
110 |
|
|
|
110,413 |
|
| Stratus CLO Ltd., Series 2021-1A, Class SUB, 0.00%, 12/29/29(a)(c)(d) |
|
|
|
|
|
|
1,000 |
|
|
|
2,130 |
|
| Structured Asset Investment Loan Trust, Series 2004- 10, Class A11, (1-mo. CME Term SOFR + 1.61%), 6.47%, 11/25/34(c) |
|
|
|
110 |
|
|
|
115,653 |
|
| Structured Asset Securities Corp. Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2007-GEL1, Class A3, (1-mo. CME Term SOFR + 0.71%), 5.57%, 01/25/37(a)(c) |
|
|
|
1,494 |
|
|
|
1,217,749 |
|
| Series 2007-GEL2, Class M1, (1-mo. CME Term SOFR + 1.16%), 6.02%, 05/25/37(a)(c) |
|
|
|
1,641 |
|
|
|
1,290,778 |
|
|
|
|
| 18 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Subway Funding LLC, Series 2024-1A, Class A2II, 6.27%, 07/30/54(a) |
|
|
USD |
|
|
|
3,606 |
|
|
$ |
3,723,994 |
|
| Sunrun Xanadu Issuer LLC, Series 2019-1A, Class A, 3.98%, 06/30/54(a) |
|
|
|
|
|
|
898 |
|
|
|
852,265 |
|
| Sycamore Tree CLO Ltd., Series 2024-5A, Class B, (3-mo. CME Term SOFR + 2.25%), 7.57%, 04/20/36(a)(c) |
|
|
|
|
|
|
2,150 |
|
|
|
2,158,868 |
|
| Symphony CLO XIX Ltd., Series 2018-19A, Class A, (3-mo. CME Term SOFR + 1.22%), 6.51%, 04/16/31(a)(c) |
|
|
|
|
|
|
767 |
|
|
|
767,301 |
|
| Symphony CLO XVI Ltd., Series 2015-16A, |
|
|
|
|
|
|
|
|
|
|
|
|
| Class ARR, (3-mo. CME Term SOFR + 1.20%), 6.50%, 10/15/31(a)(c) |
|
|
|
|
|
|
1,575 |
|
|
|
1,576,037 |
|
| Symphony CLO XX Ltd., Series 2018-20A, |
|
|
|
|
|
|
|
|
|
|
|
|
| Class BR2, (3-mo. CME Term SOFR + 1.55%), 6.84%, 01/16/32(a)(c) |
|
|
|
|
|
|
640 |
|
|
|
639,046 |
|
| Symphony CLO XXI Ltd., Series 2019-21A, Class AR, (3-mo. CME Term SOFR + 1.32%), 6.62%, 07/15/32(a)(c) |
|
|
|
|
|
|
410 |
|
|
|
410,468 |
|
| Symphony CLO XXIII Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-23A, Class BR, (3-mo. CME
Term SOFR + 1.86%), 7.16%, 01/15/34(a)(c) |
|
|
|
|
|
|
1,150 |
|
|
|
1,151,835 |
|
| Series 2020-23A, Class CR, (3-mo. CME Term SOFR + 2.26%), 7.56%, 01/15/34(a)(c) |
|
|
|
|
|
|
1,500 |
|
|
|
1,504,276 |
|
| Series 2020-23A, Class ER, (3-mo. CME
Term SOFR + 6.41%), 11.71%, 01/15/34(a)(c) |
|
|
|
|
|
|
1,250 |
|
|
|
1,254,092 |
|
| Symphony CLO XXIV Ltd., Series 2020-24A, Class AR, (3-mo. CME Term SOFR + 1.20%), 6.48%, 01/23/32(a)(c) |
|
|
|
|
|
|
236 |
|
|
|
236,007 |
|
| Symphony CLO XXVI Ltd., Series 2021-26A, |
|
|
|
|
|
|
|
|
|
|
|
|
| Class AR, (3-mo. CME Term SOFR + 1.34%), 6.62%, 04/20/33(a)(c) |
|
|
|
|
|
|
646 |
|
|
|
647,006 |
|
| Symphony Static CLO I Ltd., Series 2021-1A, |
|
|
|
|
|
|
|
|
|
|
|
|
| Class C, (3-mo. CME Term SOFR + 2.11%), 7.40%, 10/25/29(a)(c) |
|
|
|
|
|
|
500 |
|
|
|
501,321 |
|
| TCI-Flatiron CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.22%), 6.32%, 11/18/30(a)(c) |
|
|
|
|
|
|
302 |
|
|
|
302,090 |
|
| Series 2018-1A, Class ANR, (3-mo. CME Term SOFR + 1.32%), 6.59%, 01/29/32(a)(c) |
|
|
|
|
|
|
309 |
|
|
|
309,372 |
|
| TCI-Symphony CLO Ltd., Series 2017-1A, Class BR, (3-mo. CME Term SOFR + 1.81%), 7.11%, 07/15/30(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,001,359 |
|
| Terwin Mortgage Trust, Series 2005-10HE, Class M5, (1-mo. CME Term SOFR + 1.13%), 5.99%, 06/25/36(c) |
|
|
|
|
|
|
256 |
|
|
|
230,242 |
|
| Thayer Park CLO Ltd., Series 2017-1A, Class A1R, (3-mo. CME Term SOFR + 1.30%), 6.58%, 04/20/34(a)(c) |
|
|
|
|
|
|
950 |
|
|
|
950,069 |
|
| TICP CLO VI Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-6A, Class AR2, (3-mo. CME Term SOFR + 1.38%), 6.68%, 01/15/34(a)(c) |
|
|
|
|
|
|
4,250 |
|
|
|
4,252,635 |
|
| Series 2016-6A, Class BR2, (3-mo. CME Term SOFR + 1.76%), 7.06%, 01/15/34(a)(c) |
|
|
|
|
|
|
320 |
|
|
|
320,866 |
|
| TICP CLO VII Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-7A, Class BR2, (3-mo. CME Term SOFR + 1.90%), 7.20%, 04/15/33(a)(c) |
|
|
|
|
|
|
2,740 |
|
|
|
2,747,161 |
|
| Series 2017-7A, Class ER, (3-mo. CME Term SOFR + 7.31%), 12.61%, 04/15/33(a)(c) |
|
|
|
|
|
|
600 |
|
|
|
594,140 |
|
| TICP CLO VIII Ltd., Series 2017-8A, Class A2R, (3- mo. CME Term SOFR + 1.96%), 7.24%, 10/20/34(a)(c) |
|
|
|
|
|
|
1,780 |
|
|
|
1,784,602 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| TICP CLO X Ltd., Series 2018-10A, Class B, (3-mo. CME Term SOFR + 1.73%), 7.01%, 04/20/31(a)(c) |
|
|
USD |
|
|
|
570 |
|
|
$ |
570,423 |
|
| TICP CLO XI Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-11A, Class AR, (3-mo. CME
Term SOFR + 1.53%), 6.82%, 04/25/37(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,549 |
|
| Series 2018-11A, Class BR, (3-mo. CME
Term SOFR + 2.05%), 7.34%, 04/25/37(a)(c) |
|
|
|
|
|
|
2,760 |
|
|
|
2,781,486 |
|
| TICP CLO XII Ltd., Series 2018-12A, Class AR, (3-mo. CME Term SOFR + 1.43%), 6.73%, 07/15/34(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,091 |
|
| TICP CLO XIV Ltd., Series 2019-14A, Class DR, (3-mo. CME Term SOFR + 6.96%), 12.24%, 10/20/32(a)(c) |
|
|
|
|
|
|
1,250 |
|
|
|
1,264,835 |
|
| TICP CLO XV Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-15A, Class A, (3-mo. CME Term SOFR + 1.54%), 6.82%, 04/20/33(a)(c) |
|
|
|
|
|
|
1,250 |
|
|
|
1,251,127 |
|
| Series 2020-15A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.24%, 04/20/33(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,877 |
|
| Towd Point Mortgage Trust, Series 2019-HY2, Class A1, (1-mo. CME Term SOFR + 1.11%), 5.97%, 05/25/58(a)(c) |
|
|
|
|
|
|
796 |
|
|
|
820,352 |
|
| Trestles CLO IV Ltd., Series 2021-4A, Class A, (3-mo. CME Term SOFR + 1.43%), 6.71%, 07/21/34(a)(c) |
|
|
|
|
|
|
2,060 |
|
|
|
2,062,303 |
|
| Trestles CLO V Ltd., Series 2021-5A, Class A1, (3-mo. CME Term SOFR + 1.43%), 6.71%, 10/20/34(a)(c) |
|
|
|
|
|
|
12,895 |
|
|
|
12,900,812 |
|
| Tricon American Homes Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-SFR1, Class E, 4.56%, 05/17/37(a) |
|
|
|
|
|
|
2,000 |
|
|
|
1,985,677 |
|
| Series 2019-SFR1, Class E, 3.40%, 03/17/38(a) |
|
|
|
|
|
|
2,000 |
|
|
|
1,943,883 |
|
| Series 2020-SFR1, Class F, 4.88%, 07/17/38(a) |
|
|
|
|
|
|
7,351 |
|
|
|
7,309,326 |
|
| Tricon Residential Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-SFR1, Class F, 3.69%, 07/17/38(a) |
|
|
|
|
|
|
3,250 |
|
|
|
3,063,723 |
|
| Series 2021-SFR1, Class G, 4.13%, 07/17/38(a) |
|
|
|
|
|
|
2,099 |
|
|
|
1,963,617 |
|
| Trimaran Cavu Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-1A, Class A2, (3-mo. CME Term SOFR + 2.16%), 7.44%, 07/20/32(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,089 |
|
| Series 2021-2A, Class D1, (3-mo. CME Term SOFR + 3.51%), 8.80%, 10/25/34(a)(c) |
|
|
|
|
|
|
300 |
|
|
|
300,712 |
|
| Trinitas CLO IV Ltd., Series 2016-4A, Class A2L2, (3-mo. CME Term SOFR + 1.66%), 6.94%, 10/18/31(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,251 |
|
| Trinitas CLO XVIII Ltd., Series 2021-18A, Class A1, (3-mo. CME Term SOFR + 1.43%), 6.71%, 01/20/35(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,159 |
|
| Trinitas CLO XXVIII Ltd., Series 2024-28A, Class A1, (3-mo. CME Term SOFR + 1.55%), 6.88%, 04/25/37(a)(c) |
|
|
|
|
|
|
620 |
|
|
|
621,605 |
|
| Verdelite Static CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-1A, Class A, (3-mo. CME Term SOFR + 1.13%), 6.42%, 07/20/32(a)(c) |
|
|
|
|
|
|
1,700 |
|
|
|
1,703,380 |
|
| Series 2024-1A, Class B, (3-mo. CME Term SOFR + 1.65%), 6.94%, 07/20/32(a)(c) |
|
|
|
|
|
|
290 |
|
|
|
290,236 |
|
| VOLT CVI LLC, Series 2021-NP12, Class A1, 2.73%, 12/26/51(a)(b) |
|
|
|
|
|
|
8,626 |
|
|
|
8,590,401 |
|
| Voya CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-2A, Class A1R, (3-mo. CME Term SOFR + 1.23%), 6.52%, 04/25/31(a)(c) |
|
|
|
|
|
|
483 |
|
|
|
485,605 |
|
| Series 2013-3A, Class A1RR, (3-mo. CME Term SOFR + 1.41%), 6.69%, 10/18/31(a)(c) |
|
|
|
|
|
|
331 |
|
|
|
331,322 |
|
| Series 2015-3A, Class A1R3, (3-mo. CME
Term SOFR + 1.15%), 6.43%, 10/20/31(a)(c) |
|
|
|
|
|
|
431 |
|
|
|
432,757 |
|
|
|
|
| S C H E D U L E S O F I N V E S T M E N T S |
|
19 |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Voya CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-1A, Class A1R, (3-mo. CME
Term SOFR + 1.33%), 6.61%, 01/20/31(a)(c) |
|
|
USD |
|
|
|
792 |
|
|
$ |
795,571 |
|
| Series 2017-1A, Class A1R, (3-mo. CME
Term SOFR + 1.21%), 6.50%, 04/17/30(a)(c) |
|
|
|
|
|
|
78 |
|
|
|
78,486 |
|
| Series 2017-3A, Class A1R, (3-mo. CME Term SOFR + 1.30%), 6.58%, 04/20/34(a)(c) |
|
|
|
|
|
|
1,250 |
|
|
|
1,252,936 |
|
| Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.21%), 6.49%, 04/19/31(a)(c) |
|
|
|
|
|
|
448 |
|
|
|
450,119 |
|
| Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.56%), 6.84%, 04/19/31(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
250,430 |
|
| Series 2018-2A, Class A1, (3-mo. CME Term SOFR + 1.26%), 6.56%, 07/15/31(a)(c) |
|
|
|
|
|
|
154 |
|
|
|
154,617 |
|
| Series 2018-3A, Class A1R2, (3-mo. CME Term SOFR + 1.20%), 6.50%, 10/15/31(a)(c) |
|
|
|
|
|
|
221 |
|
|
|
221,182 |
|
| Series 2019-2A, Class AR, (3-mo. CME Term SOFR + 1.20%), 6.48%, 07/20/32(a)(c) |
|
|
|
|
|
|
4,000 |
|
|
|
4,017,266 |
|
| Series 2020-2A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.24%, 07/19/34(a)(c) |
|
|
|
|
|
|
450 |
|
|
|
451,800 |
|
| Series 2021-2A, Class B, (3-mo. CME Term SOFR + 1.86%), 7.14%, 10/20/34(a)(c) |
|
|
|
|
|
|
810 |
|
|
|
812,493 |
|
| Washington Mutual Asset-Backed Certificates Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-HE3, Class 1A, (1-mo. CME Term SOFR + 0.42%), 5.28%, 08/25/36(c) |
|
|
|
|
|
|
5,908 |
|
|
|
5,688,882 |
|
| Series 2006-HE4, Class 2A2, (1-mo. CME Term SOFR + 0.47%), 5.33%, 09/25/36(c) |
|
|
|
|
|
|
203 |
|
|
|
54,727 |
|
| Series 2006-HE5, Class 1A, (1-mo. CME Term SOFR + 0.42%), 4.37%, 10/25/36(c) |
|
|
|
|
|
|
2,377 |
|
|
|
1,794,321 |
|
| Series 2007-HE3, Class 2A3, (1-mo. CME Term SOFR + 0.35%), 5.21%, 05/25/37(c) |
|
|
|
|
|
|
103 |
|
|
|
92,808 |
|
| Wellfleet CLO Ltd., Series 2017-3A, Class A1, (3-mo. CME Term SOFR + 1.41%), 6.70%, 01/17/31(a)(c) |
|
|
|
|
|
|
615 |
|
|
|
614,977 |
|
| Wellington Management CLO 1 Ltd., Series 2023-1A, Class A, (3-mo. CME Term SOFR + 1.80%), 7.08%, 10/20/36(a)(c) |
|
|
|
|
|
|
550 |
|
|
|
553,749 |
|
| Whitebox CLO I Ltd., Series 2019-1A, Class A1RR,
(3-mo. CME Term SOFR + 1.32%), 6.66%, 07/24/36(a)(c) |
|
|
|
|
|
|
7,716 |
|
|
|
7,728,907 |
|
| Whitebox CLO II Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-2A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.30%, 10/24/34(a)(c) |
|
|
|
|
|
|
410 |
|
|
|
411,344 |
|
| Series 2020-2A, Class DR, (3-mo. CME Term SOFR + 3.61%), 8.90%, 10/24/34(a)(c) |
|
|
|
|
|
|
250 |
|
|
|
246,953 |
|
| Series 2020-2A, Class ER, (3-mo. CME Term SOFR + 7.36%), 12.65%, 10/24/34(a)(c) |
|
|
|
|
|
|
500 |
|
|
|
500,172 |
|
| Whitebox CLO III Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.48%), 6.78%, 10/15/34(a)(c) |
|
|
|
|
|
|
4,580 |
|
|
|
4,580,795 |
|
| Series 2021-3A, Class A1R, (3-mo. CME Term SOFR + 1.27%), 10/15/35(a)(c)(e) |
|
|
|
|
|
|
11,410 |
|
|
|
11,410,000 |
|
| Whitebox CLO IV Ltd., Series 2023-4A, Class B, (3- mo. CME Term SOFR + 2.60%), 7.88%, 04/20/36(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
1,010,844 |
|
| Wildwood Park CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-1A, Class A, (3-mo. CME Term SOFR + 1.36%), 10/20/37(a)(c)(e) |
|
|
|
|
|
|
2,390 |
|
|
|
2,387,019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Asset-Backed Securities (continued) |
|
| Wildwood Park CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-1A, Class E, (3-mo. CME Term SOFR + 5.75%), 10/20/37(a)(c)(e) |
|
|
USD |
|
|
|
250 |
|
|
$ |
248,754 |
|
| Yale Mortgage Loan Trust, Series 2007-1, Class A, (1-mo. CME Term SOFR + 0.51%), 5.37%, 06/25/37(a)(c) |
|
|
|
|
|
|
412 |
|
|
|
129,767 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities — 52.9%
(Cost: $1,581,209,700) |
|
|
|
|
|
|
|
|
|
|
1,544,989,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Banks — 0.0% |
|
|
|
|
|
|
|
|
|
| Washington Mutual Escrow Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.00% (d)(f)(g)(h)(i) |
|
|
|
|
|
|
500 |
|
|
|
— |
|
| 0.00% (d)(f)(g)(h)(i) |
|
|
|
|
|
|
250 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
— |
|
|
|
|
|
| Insurance — 0.0% |
|
|
|
|
|
|
|
|
|
| Ambac Assurance Corp., 5.10% (a)(i) |
|
|
|
|
|
|
58 |
|
|
|
80,262 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Bonds — 0.0%
(Cost: $75,212) |
|
|
|
|
|
|
|
|
|
|
80,262 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Floating Rate Loan Interests(c)(f) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Services — 0.4% |
|
|
|
|
|
|
|
|
|
| Promontoria Beech DAC, 1st Lien Term Loan, (1-mo. EURIBOR at 0.00% Floor + 3.75%), 7.19%, 05/17/27 |
|
|
EUR |
|
|
|
4,436 |
|
|
|
4,932,280 |
|
| Sirocco Lux S.A., Facility A, (3-mo. EURIBOR at 0.00% Floor + 3.90%), 7.57%, 02/28/26 |
|
|
|
|
|
|
6,480 |
|
|
|
7,213,037 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,145,317 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Floating Rate Loan
Interests — 0.4%
(Cost: $11,899,448) |
|
|
|
|
|
|
|
|
|
|
12,145,317 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-Agency Mortgage-Backed Securities |
|
|
| Collateralized Mortgage Obligations — 19.4% |
|
| A&D Mortgage Trust, Series 2023-NQM5, Class A1, 7.05%, 11/25/68(a)(b) |
|
|
USD |
|
|
|
5,718 |
|
|
|
5,841,540 |
|
| Adjustable Rate Mortgage Trust, Series 2006-2, Class 4A1, 4.42%, 05/25/36(c) |
|
|
|
|
|
|
4,321 |
|
|
|
3,371,833 |
|
| Agate Bay Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-1, Class B5, 3.63%, 01/25/45(a)(c) |
|
|
|
|
|
|
723 |
|
|
|
483,550 |
|
| Series 2015-3, Class B5, 3.48%, 04/25/45(a)(c) |
|
|
|
|
|
|
832 |
|
|
|
559,591 |
|
| Series 2015-4, Class B5, 3.50%, 06/25/45(a)(c) |
|
|
|
|
|
|
580 |
|
|
|
365,553 |
|
| Ajax Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-D, Class B, 0.00%, 12/25/57(a)(c)(d) |
|
|
|
|
|
|
6 |
|
|
|
1,917 |
|
| Series 2020-C, Class C, 0.00%, 09/27/60(a)(d) |
|
|
|
|
|
|
6 |
|
|
|
479 |
|
| Series 2020-C, Class RW, 0.00%, 09/25/60(a)(d) |
|
|
|
|
|
|
9 |
|
|
|
8,747 |
|
| Series 2020-D, Class RW, 0.00%, 06/25/60(a)(d) |
|
|
|
|
|
|
13 |
|
|
|
12,879 |
|
| Series 2021-C, Class A, 5.12%, 01/25/61(a)(b) |
|
|
|
|
|
|
2,057 |
|
|
|
2,056,942 |
|
| Series 2021-C, Class B, 3.72%, 01/25/61(a)(b) |
|
|
|
|
|
|
817 |
|
|
|
795,876 |
|
| Series 2021-C, Class C, 0.00%, 01/25/61(a)(d) |
|
|
|
|
|
|
2,020 |
|
|
|
2,191,127 |
|
| Series 2021-D, Class A, 2.00%, 03/25/60(a)(b) |
|
|
|
|
|
|
5,511 |
|
|
|
5,427,965 |
|
| Series 2021-D, Class B, 4.00%, 03/25/60(a)(c) |
|
|
|
|
|
|
1,634 |
|
|
|
1,717,179 |
|
| Series 2021-D, Class C, 0.00%, 03/25/60(a)(c)(d) |
|
|
|
|
|
|
2,382 |
|
|
|
2,489,683 |
|
| Series 2021-E, Class A1, 1.74%, 12/25/60(a)(c) |
|
|
|
|
|
|
10,658 |
|
|
|
9,400,509 |
|
| Series 2021-E, Class A2, 2.69%, 12/25/60(a)(c) |
|
|
|
|
|
|
1,770 |
|
|
|
1,376,761 |
|
| Series 2021-E, Class B1, 3.73%, 12/25/60(a)(c) |
|
|
|
|
|
|
1,068 |
|
|
|
751,969 |
|
| Series 2021-E, Class B3, 4.15%, 12/25/60(a)(c) |
|
|
|
|
|
|
633 |
|
|
|
222,814 |
|
| Series 2021-E, Class M1, 2.94%, 12/25/60(a)(c) |
|
|
|
|
|
|
698 |
|
|
|
500,392 |
|
| Series 2021-E, Class SA, 0.00%, 12/25/60(a)(c)(d) |
|
|
|
|
|
|
4 |
|
|
|
1,864 |
|
|
|
|
| 20 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Collateralized Mortgage Obligations (continued) |
|
| Ajax Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-F, Class A, 1.88%, 06/25/61(a)(b) |
|
|
USD |
|
|
|
18,585 |
|
|
$ |
18,317,019 |
|
| Series 2021-F, Class B, 3.75%, 06/25/61(a)(b) |
|
|
|
|
|
|
4,468 |
|
|
|
4,399,437 |
|
| Series 2021-F, Class C, 0.00%, 06/25/61(a)(d) |
|
|
|
|
|
|
6,792 |
|
|
|
6,474,315 |
|
| Series 2021-F, Class RW1,
0.00%, 06/27/61(a)(d)(f) . |
|
|
|
|
|
|
13 |
|
|
|
13,108 |
|
| Series 2022-A, Class A2, 3.00%, 10/25/61(a)(c) |
|
|
|
|
|
|
478 |
|
|
|
420,303 |
|
| Series 2022-A, Class A3, 3.00%, 10/25/61(a)(c) |
|
|
|
|
|
|
255 |
|
|
|
215,151 |
|
| Series 2022-A, Class B, 3.00%, 10/25/61(a) |
|
|
|
|
|
|
1,912 |
|
|
|
1,420,905 |
|
| Series 2022-A, Class C, 3.00%, 10/25/61(a) |
|
|
|
|
|
|
938 |
|
|
|
885,517 |
|
| Series 2022-A, Class M1, 3.00%, 10/25/61(a) |
|
|
|
|
|
|
279 |
|
|
|
227,214 |
|
| Series 2022-A, Class M2, 3.00%, 10/25/61(a) |
|
|
|
|
|
|
1,250 |
|
|
|
972,234 |
|
| Series 2022-A, Class M3, 3.00%, 10/25/61(a) |
|
|
|
|
|
|
80 |
|
|
|
61,711 |
|
| Series 2022-B, Class A2, 3.00%, 03/27/62(a)(c) |
|
|
|
|
|
|
376 |
|
|
|
323,271 |
|
| Series 2022-B, Class A3, 3.00%, 03/27/62(a)(c) |
|
|
|
|
|
|
322 |
|
|
|
267,337 |
|
| Series 2022-B, Class B, 3.00%, 03/27/62(a) |
|
|
|
|
|
|
1,789 |
|
|
|
1,270,335 |
|
| Series 2022-B, Class C, 3.00%, 03/27/62(a) |
|
|
|
|
|
|
1,525 |
|
|
|
1,156,257 |
|
| Series 2022-B, Class M1, 3.00%, 03/27/62(a) |
|
|
|
|
|
|
241 |
|
|
|
199,009 |
|
| Series 2022-B, Class M2, 3.00%, 03/27/62(a) |
|
|
|
|
|
|
1,198 |
|
|
|
955,364 |
|
| Series 2023-A, Class A1, 3.50%, 07/25/62(a)(b) |
|
|
|
|
|
|
10,297 |
|
|
|
9,781,337 |
|
| Series 2023-A, Class A2, 3.00%, 07/25/62(a)(c) |
|
|
|
|
|
|
515 |
|
|
|
451,976 |
|
| Series 2023-A, Class A3, 2.50%, 07/25/62(a)(c) |
|
|
|
|
|
|
292 |
|
|
|
244,476 |
|
| Series 2023-A, Class B, 2.50%, 07/25/62(a)(c) |
|
|
|
|
|
|
1,717 |
|
|
|
1,243,690 |
|
| Series 2023-A, Class C, 2.50%, 07/25/62(a)(c) |
|
|
|
|
|
|
1,152 |
|
|
|
613,696 |
|
| Series 2023-A, Class M1, 2.50%, 07/25/62(a)(c) |
|
|
|
|
|
|
884 |
|
|
|
715,706 |
|
| Series 2023-C, Class A1, 3.50%, 05/25/63(a)(b) |
|
|
|
|
|
|
12,269 |
|
|
|
11,610,697 |
|
| Series 2023-C, Class A2, 3.00%, 05/25/63(a)(c) |
|
|
|
|
|
|
789 |
|
|
|
685,280 |
|
| Series 2023-C, Class A3, 2.50%, 05/25/63(a)(c) |
|
|
|
|
|
|
421 |
|
|
|
347,685 |
|
| Series 2023-C, Class C, 2.50%, 05/25/63(a)(c) |
|
|
|
|
|
|
3,499 |
|
|
|
2,470,545 |
|
| Series 2023-C, Class M1, 2.50%, 05/25/63(a)(c) |
|
|
|
|
|
|
368 |
|
|
|
292,689 |
|
| Series 2023-C, Class M2, 2.50%, 05/25/63(a)(c) |
|
|
|
|
|
|
2,284 |
|
|
|
1,620,544 |
|
| American Home Mortgage Assets Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-4, Class 1A12, (1-mo. CME Term SOFR + 0.32%), 5.18%, 10/25/46(c) |
|
|
|
|
|
|
82 |
|
|
|
44,214 |
|
| Series 2006-6, Class A1A, (1-mo. CME Term SOFR + 0.30%), 5.16%, 12/25/46(c) |
|
|
|
|
|
|
4,370 |
|
|
|
3,696,537 |
|
| Series 2007-1, Class A1, (12-mo. Federal Reserve Cumulative Average US + 0.70%), 5.82%, 02/25/47(c) |
|
|
|
|
|
|
31 |
|
|
|
10,928 |
|
| American Home Mortgage Investment Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-2, Class 2A2, (1-mo. CME Term SOFR + 1.74%), 6.94%, 05/25/36(c) |
|
|
|
|
|
|
15,106 |
|
|
|
1,573,374 |
|
| Series 2007-1, Class GA1C, (1-mo. CME Term SOFR + 0.30%), 5.16%, 05/25/47(c) |
|
|
|
|
|
|
799 |
|
|
|
455,267 |
|
| Angel Oak Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-5, Class B1, 3.96%, 10/25/49(a)(c) |
|
|
|
|
|
|
405 |
|
|
|
377,324 |
|
| Series 2021-4, Class B1, 3.20%, 01/20/65(a)(c) |
|
|
|
|
|
|
200 |
|
|
|
146,959 |
|
| Series 2022-2, Class A1, 3.35%, 01/25/67(a)(c) |
|
|
|
|
|
|
238 |
|
|
|
226,185 |
|
| Series 2023-7, Class A1, 4.80%, 11/25/67(a)(b) |
|
|
|
|
|
|
7,042 |
|
|
|
6,997,066 |
|
| Series 2024-1, Class A1, 5.21%, 08/25/68(a)(b) |
|
|
|
|
|
|
1,039 |
|
|
|
1,044,671 |
|
| APS Resecuritization Trust, Series 2016-1, |
|
|
|
|
|
|
|
|
|
|
|
|
| Class 1MZ, 2.14%, 07/31/57(a)(c) |
|
|
|
|
|
|
2,278 |
|
|
|
889,052 |
|
| Banc of America Alternative Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-4, Class 3CB1, (1-mo. CME Term SOFR + 0.91%), 5.77%, 05/25/46(c) |
|
|
|
|
|
|
432 |
|
|
|
345,285 |
|
| Series 2006-7, Class A4, 6.50%, 10/25/36(b) |
|
|
|
|
|
|
2,313 |
|
|
|
692,311 |
|
| Banc of America Funding Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2007-1, Class 1A6, 5.75%, 01/25/37 |
|
|
|
|
|
|
14 |
|
|
|
11,839 |
|
| Series 2014-R2, Class 1C,
0.00%, 11/26/36(a)(c)(d) . |
|
|
|
|
|
|
7,142 |
|
|
|
2,387,769 |
|
| Series 2016-R2, Class 1A1, 4.70%, 05/01/33(a)(c) |
|
|
|
|
|
|
244 |
|
|
|
242,978 |
|
| Banc of America Mortgage Trust, Series 2007-4, |
|
|
|
|
|
|
|
|
|
|
|
|
| Class 1A1, 6.25%, 12/28/37 |
|
|
|
|
|
|
846 |
|
|
|
638,369 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Collateralized Mortgage Obligations (continued) |
|
| Barclays Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-NPL1, Class A, 2.00%, 11/25/51(a)(b) |
|
|
USD |
|
|
|
6,488 |
|
|
$ |
6,377,185 |
|
| Series 2021-NPL1, Class B, 4.63%, 11/25/51(a)(b) |
|
|
|
|
|
|
1,060 |
|
|
|
1,030,362 |
|
| Series 2021-NPL1, Class C, 0.00%, 11/25/51(a)(d) |
|
|
|
|
|
|
2,198 |
|
|
|
2,581,207 |
|
| Series 2021-NPL1, Class RW1, 0.00%,
11/27/51(a)(d)(f) |
|
|
|
|
|
|
5 |
|
|
|
4,545 |
|
| Series 2022-NQM1, Class A1, 4.55%, 07/25/52(a)(b) |
|
|
|
|
|
|
3,186 |
|
|
|
3,159,767 |
|
| Series 2022-RPL1, Class A, 4.25%, 02/25/28(a)(b) |
|
|
|
|
|
|
6,245 |
|
|
|
6,157,057 |
|
| Series 2022-RPL1, Class B, 4.25%, 02/25/28(a)(b) |
|
|
|
|
|
|
1,242 |
|
|
|
1,186,140 |
|
| Series 2022-RPL1, Class C, 0.00%,
02/25/28(a)(d) |
|
|
|
|
|
|
2,110 |
|
|
|
415,325 |
|
| Series 2022-RPL1, Class RW1, 0.00%,
02/25/28(a)(d)(f) |
|
|
|
|
|
|
3 |
|
|
|
2,670 |
|
| Series 2022-RPL1, Class SA, 0.00%, 02/25/28(a)(d) |
|
|
|
|
|
|
26 |
|
|
|
17,981 |
|
| Series 2023-NQM3, Class A1, 6.90%, 10/25/63(a)(b) |
|
|
|
|
|
|
12,804 |
|
|
|
13,094,762 |
|
| Series 2023-NQM3, Class A2, 7.36%, 10/25/63(a)(b) |
|
|
|
|
|
|
2,036 |
|
|
|
2,081,480 |
|
| Series 2023-NQM3, Class A3, 7.69%, 10/25/63(a)(b) |
|
|
|
|
|
|
1,229 |
|
|
|
1,256,065 |
|
| Series 2023-NQM3, Class B1, 8.03%, 10/25/63(a)(c) |
|
|
|
|
|
|
681 |
|
|
|
690,554 |
|
| Series 2023-NQM3, Class B2, 8.03%, 10/25/63(a)(c) |
|
|
|
|
|
|
573 |
|
|
|
567,648 |
|
| Series 2023-NQM3, Class B3, 8.03%, 10/25/63(a)(c) |
|
|
|
|
|
|
1,567 |
|
|
|
1,442,667 |
|
| Series 2023-NQM3, Class M1, 8.03%, 10/25/63(a)(c) |
|
|
|
|
|
|
1,134 |
|
|
|
1,182,544 |
|
| Series 2023-NQM3, Class SA, 0.00%,
10/25/63(a)(c)(d) |
|
|
|
|
|
|
0 |
(j) |
|
|
232 |
|
| Series 2024-NQM1, Class A1, 5.90%, 01/25/64(a)(b) |
|
|
|
|
|
|
1,952 |
|
|
|
1,970,714 |
|
| Series 2024-NQM1, Class A2, 6.11%, 01/25/64(a)(b) |
|
|
|
|
|
|
1,330 |
|
|
|
1,339,583 |
|
| Series 2024-NQM1, Class A3, 6.31%, 01/25/64(a)(b) |
|
|
|
|
|
|
1,016 |
|
|
|
1,024,497 |
|
| Series 2024-NQM1, Class B1, 8.09%, 01/25/64(a)(c) |
|
|
|
|
|
|
512 |
|
|
|
519,262 |
|
| Series 2024-NQM1, Class B2, 8.69%, 01/25/64(a)(c) |
|
|
|
|
|
|
469 |
|
|
|
474,613 |
|
| Series 2024-NQM1, Class B3, 8.69%, 01/25/64(a)(c) |
|
|
|
|
|
|
1,007 |
|
|
|
915,322 |
|
| Series 2024-NQM1, Class M1, 6.80%, 01/25/64(a)(c) |
|
|
|
|
|
|
879 |
|
|
|
893,183 |
|
| Series 2024-NQM1, Class SA, 0.00%,
01/25/64(a)(c)(d) |
|
|
|
|
|
|
2 |
|
|
|
2,087 |
|
| Series 2024-NQM3, Class A1, 6.04%, 06/25/64(a)(b) |
|
|
|
|
|
|
16,116 |
|
|
|
16,336,073 |
|
| Series 2024-NQM3, Class A2, 6.30%, 06/25/64(a)(b) |
|
|
|
|
|
|
1,271 |
|
|
|
1,287,362 |
|
| Series 2024-NQM3, Class A3, 6.50%, 06/25/64(a)(b) |
|
|
|
|
|
|
2,217 |
|
|
|
2,244,654 |
|
| Series 2024-NQM3, Class B1, 7.50%, 06/25/64(a)(c) |
|
|
|
|
|
|
1,109 |
|
|
|
1,117,961 |
|
| Series 2024-NQM3, Class B2, 8.07%, 06/25/64(a)(c) |
|
|
|
|
|
|
1,016 |
|
|
|
1,008,243 |
|
| Series 2024-NQM3, Class B3, 8.07%, 06/25/64(a)(c) |
|
|
|
|
|
|
2,779 |
|
|
|
2,342,222 |
|
| Series 2024-NQM3, Class M1, 6.41%, 06/25/64(a)(c) |
|
|
|
|
|
|
1,617 |
|
|
|
1,642,422 |
|
|
|
|
| S C H E D U L E S O F I N V E S T M E N T S |
|
21 |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Collateralized Mortgage Obligations (continued) |
|
| Barclays Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-NQM3, Class SA, 0.00%, 06/25/64(a)(c)(d) |
|
|
USD |
|
|
|
3 |
|
|
$ |
3,049 |
|
| BCAP LLC Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2011-RR4, Class 3A6,
4.97%, 07/26/36(a)(c) |
|
|
|
|
|
|
1,096 |
|
|
|
1,083,968 |
|
| Series 2011-RR5, Class 11A5, (1-mo. CME Term SOFR + 0.26%), 7.34%, 05/28/36(a)(c) |
|
|
|
|
|
|
227 |
|
|
|
215,894 |
|
| Bear Stearns ALT-A Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2005-7, Class 26A1, 5.02%, 09/25/35(c) |
|
|
|
|
|
|
1,306 |
|
|
|
445,862 |
|
| Series 2007-1, Class 21A1, 4.63%, 01/25/47(c) |
|
|
|
|
|
|
2,737 |
|
|
|
1,353,343 |
|
| Bear Stearns Asset-Backed Securities I Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-AC1, Class 1A2, 6.25%, 02/25/36(b) |
|
|
|
|
|
|
116 |
|
|
|
119,367 |
|
| Series 2006-AC2, Class 1A1, (1-mo. CME Term SOFR + 0.46%), 5.32%, 03/25/36(c) |
|
|
|
|
|
|
1,885 |
|
|
|
498,571 |
|
| Bear Stearns Mortgage Funding Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-SL1, Class A1, (1-mo. CME Term SOFR + 0.39%), 5.25%, 08/25/36(c) |
|
|
|
|
|
|
288 |
|
|
|
284,911 |
|
| Series 2007-AR2, Class A1, (1-mo. CME Term SOFR + 0.45%), 5.31%, 03/25/37(c) |
|
|
|
|
|
|
169 |
|
|
|
158,761 |
|
| Series 2007-AR4, Class 2A1, (1-mo. CME Term SOFR + 0.32%), 5.18%, 06/25/37(c) |
|
|
|
|
|
|
15 |
|
|
|
14,271 |
|
| BRAVO Residential Funding Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021- NQM1, Class B1, 3.17%, 02/25/49(a)(c) |
|
|
|
|
|
|
1,427 |
|
|
|
1,196,798 |
|
| CFMT LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-HB14, Class M2,
3.00%, 06/25/34(a)(c) |
|
|
|
|
|
|
192 |
|
|
|
174,070 |
|
| Series 2024-HB14, Class M3,
3.00%, 06/25/34(a)(c) |
|
|
|
|
|
|
473 |
|
|
|
416,548 |
|
| Series 2024-HB15, Class M2,
4.00%, 08/25/34(a)(c) |
|
|
|
|
|
|
358 |
|
|
|
336,406 |
|
| Chase Mortgage Finance Corp., |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-SH1, Class M4, 3.75%, 04/25/45(a)(c) |
|
|
|
|
|
|
480 |
|
|
|
431,654 |
|
| Chase Mortgage Finance Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-S2, Class 1A16, 6.25%, 10/25/36 |
|
|
|
|
|
|
2,742 |
|
|
|
1,107,848 |
|
| Series 2007-S6, Class 1A1, 6.00%, 12/25/37 |
|
|
|
|
|
|
9,034 |
|
|
|
3,832,394 |
|
| CHNGE Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-1, Class A1, 3.01%, 01/25/67(a)(c) |
|
|
|
|
|
|
2,128 |
|
|
|
2,015,423 |
|
| Series 2022-2, Class A1, 3.76%, 03/25/67(a)(c) |
|
|
|
|
|
|
7,302 |
|
|
|
7,013,356 |
|
| Series 2022-4, Class A1, 6.00%, 10/25/57(a)(b) |
|
|
|
|
|
|
481 |
|
|
|
478,530 |
|
| CIM Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-J2, Class B4, 3.76%, 10/25/49(a)(c) |
|
|
|
|
|
|
856 |
|
|
|
674,281 |
|
| Series 2023-I2, Class A2, 6.85%, 12/25/67(a)(b) |
|
|
|
|
|
|
825 |
|
|
|
835,332 |
|
| Citicorp Mortgage Securities Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2007-4, Class 1A14, 6.00%, 05/25/37 |
|
|
|
|
|
|
354 |
|
|
|
320,920 |
|
| Series 2007-9, Class 1A1, 6.25%, 12/25/37 |
|
|
|
|
|
|
1,630 |
|
|
|
1,509,641 |
|
| Series 2008-2, Class 1A1, 6.50%, 06/25/38 |
|
|
|
|
|
|
256 |
|
|
|
206,129 |
|
| Citigroup Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2007-6, Class 1A2A, 4.32%, 03/25/37(c) |
|
|
|
|
|
|
3,466 |
|
|
|
2,612,784 |
|
| Series 2007-6, Class 2A1, (1-mo. CME Term SOFR + 0.61%), 5.47%, 05/25/37(c) |
|
|
|
|
|
|
1,060 |
|
|
|
953,652 |
|
| Series 2009-12, Class 5A2, 4.46%, 07/25/37(a)(c) |
|
|
|
|
|
|
5,146 |
|
|
|
2,319,747 |
|
| Series 2014-C, Class B2, 4.25%, 02/25/54(a) |
|
|
|
|
|
|
317 |
|
|
|
310,027 |
|
| Series 2019-RP1, Class A1, 3.50%, 01/25/66(a)(c) |
|
|
|
|
|
|
1,147 |
|
|
|
1,116,743 |
|
| Series 2022-A, Class A1, 6.17%, 09/25/62(a)(b) |
|
|
|
|
|
|
6,123 |
|
|
|
6,122,278 |
|
| CitiMortgage Alternative Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2007-A3, Class 1A5, 6.00%, 03/25/37 |
|
|
|
|
|
|
1,523 |
|
|
|
1,412,651 |
|
| Series 2007-A6, Class 1A21, 5.50%, 06/25/37 |
|
|
|
|
|
|
867 |
|
|
|
728,404 |
|
| COLT Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-2, Class M1, 5.25%, 03/25/65(a)(c) |
|
|
|
|
|
|
761 |
|
|
|
757,839 |
|
| Series 2021-HX1, Class B1, 3.11%, 10/25/66(a)(c) |
|
|
|
|
|
|
1,471 |
|
|
|
1,137,212 |
|
| Series 2022-1, Class B2, 4.06%, 12/27/66(a)(c) |
|
|
|
|
|
|
227 |
|
|
|
185,437 |
|
| Series 2022-3, Class B1, 4.22%, 02/25/67(a)(c) |
|
|
|
|
|
|
3,500 |
|
|
|
2,960,158 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Collateralized Mortgage Obligations (continued) |
|
| COLT Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-5, Class B1,
4.64%, 03/25/67(a)(c) |
|
|
USD |
|
|
|
1,707 |
|
|
$ |
1,603,173 |
|
| Countrywide Alternative Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2005-11CB, Class 2A1, 5.50%, 06/25/35 |
|
|
|
|
|
|
72 |
|
|
|
59,081 |
|
| Series 2005-11CB, Class 2A6, 5.50%, 06/25/25 |
|
|
|
|
|
|
621 |
|
|
|
506,641 |
|
| Series 2005-22T1, Class A1, (1-mo. CME Term SOFR + 0.46%), 5.32%, 06/25/35(c) |
|
|
|
|
|
|
999 |
|
|
|
843,187 |
|
| Series 2005-29CB, Class A6, 5.50%, 07/01/35 |
|
|
|
|
|
|
237 |
|
|
|
139,640 |
|
| Series 2005-51, Class 3A3A, (1-mo. CME Term SOFR + 0.75%), 5.72%, 11/20/35(c) |
|
|
|
|
|
|
373 |
|
|
|
324,698 |
|
| Series 2005-55CW, Class 2A3, (1-mo. CME Term SOFR + 0.46%), 5.74%, 11/25/35(c) |
|
|
|
|
|
|
424 |
|
|
|
294,002 |
|
| Series 2005-59, Class 1A1, (1-mo. CME Term SOFR + 0.77%), 5.74%, 11/20/35(c) |
|
|
|
|
|
|
904 |
|
|
|
854,356 |
|
| Series 2005-76, Class 2A1, (12-mo. Federal Reserve Cumulative Average US + 1.00%), 6.12%, 02/25/36(c) |
|
|
|
|
|
|
365 |
|
|
|
326,738 |
|
| Series 2005-9CB, Class 1A1, (1-mo. CME Term SOFR + 0.61%), 5.47%, 05/25/35(c) |
|
|
|
|
|
|
1,102 |
|
|
|
951,759 |
|
| Series 2006-11CB, Class 3A1, 6.50%, 05/25/36 |
|
|
|
|
|
|
987 |
|
|
|
478,416 |
|
| Series 2006-13T1, Class A3, 6.00%, 05/25/36 |
|
|
|
|
|
|
1,766 |
|
|
|
894,258 |
|
| Series 2006-28CB, Class A14, 6.25%, 10/25/36 |
|
|
|
|
|
|
646 |
|
|
|
334,996 |
|
| Series 2006-29T1, Class 2A6, 6.50%, 10/25/36 |
|
|
|
|
|
|
2,215 |
|
|
|
1,378,886 |
|
| Series 2006-6CB, Class 2A10, 6.00%, 05/25/36 |
|
|
|
|
|
|
172 |
|
|
|
69,250 |
|
| Series 2006-J4, Class 2A1, 6.00%, 07/25/36 |
|
|
|
|
|
|
3,350 |
|
|
|
2,005,617 |
|
| Series 2006-J7, Class 1A2, 6.25%, 11/25/36 |
|
|
|
|
|
|
2,794 |
|
|
|
1,343,532 |
|
| Series 2006-OA11, Class A4, (1-mo. CME Term SOFR + 0.49%), 5.35%, 09/25/46(c) |
|
|
|
|
|
|
204 |
|
|
|
186,728 |
|
| Series 2006-OC1, Class 1A1, (1-mo. CME Term SOFR + 0.57%), 5.43%, 03/25/36(c) |
|
|
|
|
|
|
619 |
|
|
|
596,496 |
|
| Series 2006-OC10, Class 2A3, (1-mo. CME Term SOFR + 0.57%), 5.43%, 11/25/36(c) |
|
|
|
|
|
|
468 |
|
|
|
397,156 |
|
| Series 2006-OC7, Class 2A3, (1-mo. CME Term SOFR + 0.61%), 5.47%, 07/25/46(c) |
|
|
|
|
|
|
2,823 |
|
|
|
2,413,238 |
|
| Series 2007-3T1, Class 1A1, 6.00%, 04/25/37 |
|
|
|
|
|
|
1,116 |
|
|
|
521,216 |
|
| Series 2007-9T1, Class 1A1, 6.00%, 05/25/37 |
|
|
|
|
|
|
163 |
|
|
|
80,129 |
|
| Series 2007-OA2, Class 1A1, (12-mo. Federal Reserve Cumulative Average US + 0.84%), 5.96%, 03/25/47(c) |
|
|
|
|
|
|
140 |
|
|
|
117,668 |
|
| Countrywide Home Loan Mortgage Pass-Through Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2005-J2, Class 3A9, (1-mo. CME Term SOFR + 1.51%), 6.00%, 08/25/35(c) |
|
|
|
|
|
|
2,339 |
|
|
|
1,526,055 |
|
| Series 2007-1, Class A2, 6.00%, 03/25/37 |
|
|
|
|
|
|
205 |
|
|
|
92,005 |
|
| Series 2007-14, Class A18, 6.00%, 09/25/37 |
|
|
|
|
|
|
6,260 |
|
|
|
3,385,134 |
|
| Series 2007-15, Class 2A2, 6.50%, 09/25/37 |
|
|
|
|
|
|
621 |
|
|
|
233,873 |
|
| Series 2007-16, Class A1, 6.50%, 10/25/37 |
|
|
|
|
|
|
4,205 |
|
|
|
1,805,591 |
|
| Series 2007-9, Class A1, 5.75%, 07/25/37 |
|
|
|
|
|
|
745 |
|
|
|
366,082 |
|
| Series 2007-9, Class A11, 5.75%, 07/25/37 |
|
|
|
|
|
|
407 |
|
|
|
200,064 |
|
| Series 2007-HYB1, Class 3A1, 4.46%, 03/25/37(c) . |
|
|
|
|
|
|
1,221 |
|
|
|
1,048,315 |
|
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-11, Class 1A1, 6.50%, 12/25/35 |
|
|
|
|
|
|
2,925 |
|
|
|
1,407,310 |
|
| Credit Suisse Mortgage Capital Certificates, Series 2009-12R, Class 3A1, 6.50%, 10/27/37(a) |
|
|
|
|
|
|
39 |
|
|
|
15,650 |
|
| Credit Suisse Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-4, Class 1A3, 6.00%, 05/25/36 |
|
|
|
|
|
|
373 |
|
|
|
206,181 |
|
| Series 2006-4, Class 4A1, 7.00%, 05/25/36 |
|
|
|
|
|
|
5,027 |
|
|
|
1,325,912 |
|
| Series 2007-5, Class 1A11, 7.00%, 08/25/37(c) |
|
|
|
|
|
|
1,858 |
|
|
|
939,719 |
|
| Series 2014-9R, Class 9A1, (1-mo. CME Term SOFR + 0.23%), 5.63%, 08/27/36(a)(c) |
|
|
|
|
|
|
67 |
|
|
|
54,703 |
|
| Series 2014-SAF1, Class B5, 3.86%, 03/25/44(a)(c) |
|
|
|
|
|
|
1,578 |
|
|
|
1,204,104 |
|
|
|
|
| 22 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Collateralized Mortgage Obligations (continued) |
|
| Credit Suisse Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-6R, Class 5A2, (1-mo. CME Term SOFR + 0.29%), 3.66%, 03/27/36(a)(c) |
|
|
USD |
|
|
|
1,210 |
|
|
$ |
943,771 |
|
| Series 2020-SPT1, Class B2, 3.39%,
04/25/65(a)(c) |
|
|
|
|
|
|
8,400 |
|
|
|
6,988,044 |
|
| Series 2021-NQM1, Class M1, 2.13%, 05/25/65(a)(c) |
|
|
|
|
|
|
3,299 |
|
|
|
2,445,688 |
|
| Series 2021-NQM8, Class M1, 3.26%, 10/25/66(a)(c) |
|
|
|
|
|
|
590 |
|
|
|
461,782 |
|
| Series 2021-RPL9, Class A1, 2.44%,
02/25/61(a)(c) |
|
|
|
|
|
|
3,692 |
|
|
|
3,670,297 |
|
| Series 2022-NQM1, Class A1, 2.27%, 11/25/66(a)(c) |
|
|
|
|
|
|
4,637 |
|
|
|
4,214,496 |
|
| Series 2022-NQM3, Class A1B, 4.27%, 03/25/67(a)(c) |
|
|
|
|
|
|
2,291 |
|
|
|
2,226,899 |
|
| Series 2022-NQM6, Class PT, 8.92%, 12/25/67(a)(c) |
|
|
|
|
|
|
7,348 |
|
|
|
7,350,005 |
|
| Cross Mortgage Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-H2, Class A1A, 7.14%,
11/25/68(a)(b) |
|
|
|
|
|
|
1,688 |
|
|
|
1,729,996 |
|
| Deephaven Residential Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-1, Class B2, 3.96%, 05/25/65(a)(c) |
|
|
|
|
|
|
150 |
|
|
|
136,350 |
|
| Series 2021-1, Class M1, 2.09%, 05/25/65(a)(c) |
|
|
|
|
|
|
1,620 |
|
|
|
1,475,458 |
|
| Series 2021-3, Class B1, 3.27%, 08/25/66(a)(c) |
|
|
|
|
|
|
3,671 |
|
|
|
2,774,738 |
|
| Series 2022-2, Class M1, 4.30%, 03/25/67(a)(c) |
|
|
|
|
|
|
884 |
|
|
|
775,325 |
|
| Series 2022-3, Class B1, 5.24%, 07/25/67(a)(c) |
|
|
|
|
|
|
1,349 |
|
|
|
1,265,623 |
|
| Series 2022-3, Class M1, 5.24%, 07/25/67(a)(c) |
|
|
|
|
|
|
2,742 |
|
|
|
2,665,109 |
|
| Deutsche Alt-B Securities Mortgage Loan Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-AB3, Class A8, 6.36%, 07/25/36(c) |
|
|
|
|
|
|
15 |
|
|
|
12,765 |
|
| Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-PR1, Class CWA1, 6.00%, 06/25/35(a)(c) |
|
|
|
|
|
|
1,064 |
|
|
|
590,145 |
|
| Ellington Financial Mortgage Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-4, Class B2, 5.96%, 09/25/67(a)(c) |
|
|
|
|
|
|
1,629 |
|
|
|
1,437,800 |
|
| First Horizon Alternative Mortgage Securities Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2005-AA12, Class 2A1, 5.62%, 02/25/36(c) |
|
|
|
|
|
|
15 |
|
|
|
9,480 |
|
| Series 2006-AA7, Class A1, 5.44%, 01/25/37(c) |
|
|
|
|
|
|
2,676 |
|
|
|
2,142,261 |
|
| GCAT Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-NQM2, Class B1, 4.85%, 04/25/65(a)(c) |
|
|
|
|
|
|
2,533 |
|
|
|
2,403,355 |
|
| Series 2021-NQM3, Class B1, 3.47%, 05/25/66(a)(c) |
|
|
|
|
|
|
1,151 |
|
|
|
888,243 |
|
| Series 2022-HX1, Class A1, 2.89%,
12/27/66(a)(c) |
|
|
|
|
|
|
282 |
|
|
|
262,869 |
|
| Series 2022-NQM4, Class A1, 5.27%, 08/25/67(a)(b) |
|
|
|
|
|
|
3,258 |
|
|
|
3,241,115 |
|
| Series 2023-NQM4, Class A1, 4.25%, 05/25/67(a)(c) |
|
|
|
|
|
|
3,764 |
|
|
|
3,669,083 |
|
| GreenPoint Mortgage Funding Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-AR2, Class 4A1, (12-mo. Federal Reserve Cumulative Average US + 2.00%), 7.12%, 03/25/36(c) |
|
|
|
|
|
|
14 |
|
|
|
12,539 |
|
| GS Mortgage-Backed Securities Corp. Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-PJ2, Class A4, 4.00%, 11/25/49(a)(c) |
|
|
|
|
|
|
211 |
|
|
|
201,828 |
|
| Series 2020-PJ2, Class B4, 3.55%, 07/25/50(a)(c) |
|
|
|
|
|
|
1,059 |
|
|
|
880,404 |
|
| GS Mortgage-Backed Securities Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-NQM1, Class A4, 4.00%, 05/25/62(a)(c) |
|
|
|
|
|
|
332 |
|
|
|
311,237 |
|
| GSMPS Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2004-4, Class 1AF, (1-mo. CME Term SOFR + 0.51%), 5.37%, 06/25/34(a)(c) |
|
|
|
|
|
|
2,727 |
|
|
|
2,402,896 |
|
| Series 2005-RP2, Class 1AF, (1-mo. CME Term SOFR + 0.46%), 5.32%, 03/25/35(a)(c) |
|
|
|
|
|
|
47 |
|
|
|
42,806 |
|
| Series 2005-RP3, Class 2A1, 4.06%,
09/25/35(a)(c) |
|
|
|
|
|
|
2,543 |
|
|
|
2,158,878 |
|
| Series 2006-RP1, Class 1AF1, (1-mo. CME Term SOFR + 0.46%), 5.32%, 01/25/36(a)(c) |
|
|
|
|
|
|
39 |
|
|
|
31,241 |
|
| Series 2006-RP2, Class 2A1, 4.34%,
04/25/36(a)(c) |
|
|
|
|
|
|
2,057 |
|
|
|
1,701,204 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Collateralized Mortgage Obligations (continued) |
|
| GSMSC Resecuritization Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-5R, Class 1D, (1-mo. CME Term SOFR + 0.25%), 3.80%, 04/26/37(a)(c) |
|
|
USD |
|
|
|
3,896 |
|
|
$ |
2,284,963 |
|
| GSR Mortgage Loan Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-AR2, Class 3A1, 5.95%, 04/25/36(c) |
|
|
|
|
|
|
1,598 |
|
|
|
963,186 |
|
| HarborView Mortgage Loan Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2007-3, Class 1A1A, (1-mo. CME Term SOFR + 0.51%), 5.48%, 05/19/37(c) |
|
|
|
|
|
|
1,059 |
|
|
|
829,813 |
|
| Homeward Opportunities Fund I Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-2, Class B1, 5.45%, 05/25/65(a)(c) |
|
|
|
|
|
|
3,640 |
|
|
|
3,620,106 |
|
| Series 2022-1, Class A1, 5.08%, 07/25/67(a)(b) |
|
|
|
|
|
|
5,853 |
|
|
|
5,831,104 |
|
| Series 2022-1, Class M1, 5.06%, 07/25/67(a)(c) |
|
|
|
|
|
|
3,077 |
|
|
|
3,003,381 |
|
| IndyMac Index Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-AR27, Class 2A2, (1-mo. CME Term SOFR + 0.51%), 5.37%, 10/25/36(c) |
|
|
|
|
|
|
178 |
|
|
|
161,539 |
|
| Series 2006-AR35, Class 2A1A, (1-mo. CME Term SOFR + 0.45%), 5.31%, 01/25/37(c) |
|
|
|
|
|
|
328 |
|
|
|
289,773 |
|
| Series 2007-AR19, Class 3A1, 4.02%, 09/25/37(c) |
|
|
. |
|
|
|
595 |
|
|
|
390,353 |
|
| Series 2007-FLX2, Class A1A, (1-mo. CME Term SOFR + 0.43%), 5.29%, 04/25/37(c) |
|
|
|
|
|
|
4,258 |
|
|
|
3,678,672 |
|
| Series 2007-FLX5, Class 2A2, (1-mo. CME Term SOFR + 0.59%), 5.45%, 08/25/37(c) |
|
|
|
|
|
|
2,426 |
|
|
|
2,183,218 |
|
| JPMorgan Alternative Loan Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-S2, Class A5, 6.88%, 05/25/36(b) |
|
|
|
|
|
|
4,086 |
|
|
|
3,619,434 |
|
| JPMorgan Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2005-A4, Class B1, 6.12%, 07/25/35(c) |
|
|
|
|
|
|
201 |
|
|
|
191,758 |
|
| Series 2020-5, Class B3, 3.57%, 12/25/50(a)(c) |
|
|
|
|
|
|
3,619 |
|
|
|
3,170,956 |
|
| Series 2021-INV7, Class A3A, 2.50%, 02/25/52(a)(c) |
|
|
|
|
|
|
13,872 |
|
|
|
12,476,162 |
|
| Series 2021-INV7, Class A4A, 2.50%, 02/25/52(a)(c) |
|
|
|
|
|
|
6,218 |
|
|
|
4,327,938 |
|
| Series 2021-INV7, Class B1, 3.27%, 02/25/52(a)(c) |
|
|
|
|
|
|
3,673 |
|
|
|
3,142,949 |
|
| Series 2021-INV7, Class B2, 3.27%, 02/25/52(a)(c) |
|
|
|
|
|
|
862 |
|
|
|
729,801 |
|
| Series 2021-INV7, Class B3, 3.27%, 02/25/52(a)(c) |
|
|
|
|
|
|
1,199 |
|
|
|
1,003,493 |
|
| Series 2021-INV7, Class B4, 3.27%, 02/25/52(a)(c) |
|
|
|
|
|
|
637 |
|
|
|
517,262 |
|
| Series 2021-INV7, Class B5, 3.27%, 02/25/52(a)(c) |
|
|
|
|
|
|
262 |
|
|
|
198,930 |
|
| Series 2021-INV7, Class B6, 3.27%, 02/25/52(a)(c) |
|
|
|
|
|
|
858 |
|
|
|
422,854 |
|
| Lehman XS Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2007-20N, Class A1, (1-mo. CME Term SOFR + 2.41%), 7.27%, 12/25/37(c) |
|
|
|
|
|
|
22 |
|
|
|
20,677 |
|
| MASTR Reperforming Loan Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2005-1, Class 1A3, 7.00%, 08/25/34(a) |
|
|
|
|
|
|
1,905 |
|
|
|
1,348,179 |
|
| MASTR Resecuritization Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2008-1, Class A1, 6.00%, 09/27/37(a)(c) |
|
|
|
|
|
|
856 |
|
|
|
605,346 |
|
| MCM Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-VFN1, Class Cert, 3.00%, 09/25/31(a)(f) |
|
|
|
|
|
|
1,424 |
|
|
|
928,623 |
|
| Series 2021-VFN1, Class Note, 2.50%, 09/25/31(a)(f) |
|
|
|
|
|
|
1,264 |
|
|
|
1,217,067 |
|
| Merrill Lynch Mortgage Investors Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-AF2, Class AV1, (1-mo. CME Term SOFR + 0.27%), 5.29%, 09/25/37(c) |
|
|
|
|
|
|
546 |
|
|
|
299,916 |
|
| MFA Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-INV1, Class M1, 2.29%, 01/25/56(a)(c) |
|
|
|
|
|
|
700 |
|
|
|
651,335 |
|
| Series 2022-CHM1, Class A1, 3.88%, 09/25/56(a)(b) |
|
|
|
|
|
|
5,634 |
|
|
|
5,525,648 |
|
| Series 2022-NQM1, Class M1, 4.26%, 12/25/66(a)(c) |
|
|
|
|
|
|
2,112 |
|
|
|
1,890,560 |
|
| Series 2024-RTL1, Class A1, 7.09%, 02/25/29(a)(b) |
|
|
|
|
|
|
3,231 |
|
|
|
3,274,838 |
|
| Mill City Mortgage Loan Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-NQM1, Class A1, 6.05%, 10/25/67(a)(b) |
|
|
|
|
|
|
4,172 |
|
|
|
4,185,718 |
|
| Morgan Stanley Mortgage Loan Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-11, Class 1A3, 6.92%, 08/25/36(b) |
|
|
|
|
|
|
4,289 |
|
|
|
770,304 |
|
|
|
|
| S C H E D U L E S O F I N V E S T M E N T S |
|
23 |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Collateralized Mortgage Obligations (continued) |
|
| Morgan Stanley Residential Mortgage Loan Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-1A, Class B3, 6.95%,
06/25/44(a)(c) |
|
|
USD |
|
|
|
198 |
|
|
$ |
197,587 |
|
| Mortgage Loan Resecuritization Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2009-RS1, Class A85, (1-mo. LIBOR US + 0.34%), 5.66%, 04/16/36(a)(c) |
|
|
|
|
|
|
146 |
|
|
|
140,734 |
|
| New Residential Mortgage Loan Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-2A, Class A1, 4.25%,
12/25/57(a)(c) |
|
|
|
|
|
|
1,051 |
|
|
|
1,031,236 |
|
| New York Mortgage Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-RR1, Class A, 7.38%,
05/25/64(a)(b) |
|
|
|
|
|
|
5,149 |
|
|
|
5,113,196 |
|
| NMLT Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-INV1, Class B1, 3.61%, 05/25/56(a)(c) |
|
|
|
|
|
|
922 |
|
|
|
696,679 |
|
| Nomura Asset Acceptance Corp. Alternative Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2005-AP1, Class 2A4, 6.05%, 02/25/35(b) |
|
|
|
|
|
|
304 |
|
|
|
302,883 |
|
| Series 2007-2, Class A4, (1-mo. CME Term SOFR + 0.95%), 5.81%, 06/25/37(c) |
|
|
|
|
|
|
535 |
|
|
|
431,052 |
|
| OBX Trust, Series 2019-EXP1, Class 1A3, 4.00%, 01/25/59(a)(c) |
|
|
|
|
|
|
90 |
|
|
|
88,959 |
|
| PRET LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-NPL1, Class A1, 7.14%, 01/25/54(a)(b) |
|
|
|
|
|
|
5,994 |
|
|
|
6,001,677 |
|
| Series 2024-NPL2, Class A1, 7.02%, 02/25/54(a)(b) |
|
|
|
|
|
|
5,805 |
|
|
|
5,850,778 |
|
| Series 2024-RN2, Class A1, 7.13%, 04/25/54(a)(b) |
|
|
|
|
|
|
1,497 |
|
|
|
1,510,838 |
|
| PRKCM Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-AFC2, Class A1, 2.07%, 11/25/56(a)(c) |
|
|
|
|
|
|
1,086 |
|
|
|
958,076 |
|
| Series 2022-AFC1, Class A1A, 4.10%, 04/25/57(a)(c) |
|
|
|
|
|
|
439 |
|
|
|
431,100 |
|
| Series 2022-AFC2, Class A1, 5.34%, 08/25/57(a)(c) |
|
|
|
|
|
|
6,486 |
|
|
|
6,478,570 |
|
| PRP Advisors LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-4, Class A1, 4.87%, 04/25/26(a)(b) |
|
|
|
|
|
|
2,843 |
|
|
|
2,838,191 |
|
| Series 2022-1, Class A1, 3.72%, 02/25/27(a)(b) |
|
|
|
|
|
|
3,923 |
|
|
|
3,889,298 |
|
| Series 2022-NQM1, Class B1, 5.43%, 08/25/67(a)(c) |
|
|
|
|
|
|
335 |
|
|
|
320,762 |
|
| RALI Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2005-QA10, Class A21, 4.87%, 09/25/35(c) |
|
|
|
|
|
|
5,073 |
|
|
|
2,131,289 |
|
| Series 2005-QO2, Class A1, (12-mo. Federal Reserve Cumulative Average US + 1.36%), 6.48%, 09/25/45(c) |
|
|
|
|
|
|
692 |
|
|
|
588,291 |
|
| Series 2005-QS15, Class 3A, 6.00%, 10/25/35 |
|
|
|
|
|
|
4,292 |
|
|
|
3,787,784 |
|
| Series 2006-QA10, Class A2, (1-mo. CME Term SOFR + 0.47%), 5.33%, 12/25/36(c) |
|
|
|
|
|
|
1,401 |
|
|
|
1,199,986 |
|
| Series 2006-QO1, Class 3A1, (1-mo. CME Term SOFR + 0.65%), 5.51%, 02/25/46(c) |
|
|
|
|
|
|
1,715 |
|
|
|
715,203 |
|
| Series 2006-QO10, Class A1, (1-mo. CME Term SOFR + 0.43%), 5.29%, 01/25/37(c) |
|
|
|
|
|
|
1,621 |
|
|
|
1,439,658 |
|
| Series 2007-QH3, Class A1, (1-mo. CME Term SOFR + 0.43%), 5.29%, 04/25/37(c) |
|
|
|
|
|
|
4,580 |
|
|
|
4,250,076 |
|
| Series 2007-QO2, Class A1, (1-mo. CME Term SOFR + 0.26%), 5.12%, 02/25/47(c) |
|
|
|
|
|
|
2,704 |
|
|
|
925,655 |
|
| RCKT Mortgage Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-1, Class B4, 3.47%, 02/25/50(a)(c) |
|
|
|
|
|
|
904 |
|
|
|
780,947 |
|
| RCO VI Mortgage LLC, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-1, Class A1, 3.00%, 01/25/27(a)(b) |
|
|
|
|
|
|
1,573 |
|
|
|
1,558,210 |
|
| RCO VII Mortgage LLC, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-1, Class A1, 7.02%, 01/25/29(a)(b) |
|
|
|
|
|
|
3,515 |
|
|
|
3,540,533 |
|
| Reperforming Loan REMIC Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2005-R1, Class 1AF1, (1-mo. CME Term SOFR + 0.47%), 5.33%, 03/25/35(a)(c) |
|
|
|
|
|
|
1,185 |
|
|
|
1,124,288 |
|
| Series 2005-R2, Class 1AF1, (1-mo. CME Term SOFR + 0.45%), 5.31%, 06/25/35(a)(c) |
|
|
|
|
|
|
227 |
|
|
|
214,317 |
|
| Series 2005-R3, Class AF, (1-mo. CME Term SOFR + 0.51%), 5.37%, 09/25/35(a)(c) |
|
|
|
|
|
|
372 |
|
|
|
309,338 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Collateralized Mortgage Obligations (continued) |
|
| Residential Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-2, Class B2, 6.04%, 05/25/59(a)(c) |
|
|
USD |
|
|
|
656 |
|
|
$ |
650,360 |
|
| Series 2019-3, Class B2, 5.66%, 09/25/59(a)(c) |
|
|
|
|
|
|
3,102 |
|
|
|
3,035,895 |
|
| Series 2020-1, Class B2, 4.67%, 01/26/60(a)(c) |
|
|
|
|
|
|
622 |
|
|
|
583,116 |
|
| RFMSI Series Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2005-SA4, Class 2A1, 5.64%, 09/25/35(c) |
|
|
|
|
|
|
1,789 |
|
|
|
1,086,313 |
|
| Series 2006-SA2, Class 2A1, 5.69%, 08/25/36(c) |
|
|
|
|
|
|
415 |
|
|
|
296,148 |
|
| RMF Buyout Issuance Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-HB1, Class M3, 3.69%, 11/25/31(a)(c) |
|
|
|
|
|
|
3,379 |
|
|
|
3,172,704 |
|
| Series 2021-HB1, Class M6, 6.00%, 11/25/31(a)(c) |
|
|
|
|
|
|
1,221 |
|
|
|
1,055,074 |
|
| Saluda Grade Alternative Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-RTL4, Class A1, 7.50%,
02/25/30(a)(b) |
|
|
|
|
|
|
5,668 |
|
|
|
5,736,982 |
|
| Series 2024-RTL5, Class A1, 7.76%,
04/25/30(a)(b) |
|
|
|
|
|
|
4,013 |
|
|
|
4,076,028 |
|
| Seasoned Loans Structured Transaction Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-3, Class M1, 4.75%, 04/26/60(a)(c) |
|
|
|
|
|
|
669 |
|
|
|
660,427 |
|
| SG Residential Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-2, Class A1, 5.35%, 08/25/62(a)(b) |
|
|
|
|
|
|
688 |
|
|
|
688,070 |
|
| Series 2022-2, Class B1, 5.28%, 08/25/62(a)(c) |
|
|
|
|
|
|
3,715 |
|
|
|
3,489,894 |
|
| Series 2022-2, Class M1, 5.28%, 08/25/62(a)(c) |
|
|
|
|
|
|
3,313 |
|
|
|
3,240,200 |
|
| Spruce Hill Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-SH2, Class B1, 5.00%, 06/25/55(a)(c) |
|
|
|
|
|
|
1,850 |
|
|
|
1,817,020 |
|
| Series 2022-SH1, Class A3, 4.10%, 07/25/57(a)(b) |
|
|
|
|
|
|
719 |
|
|
|
663,065 |
|
| Starwood Mortgage Residential Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-3, Class B1, 4.75%, 04/25/65(a)(c) |
|
|
|
|
|
|
2,820 |
|
|
|
2,632,234 |
|
| Series 2020-INV1, Class B1, 3.26%, 11/25/55(a) |
|
|
|
|
|
|
260 |
|
|
|
229,836 |
|
| Series 2020-INV1, Class M1, 2.50%, 11/25/55(a) |
|
|
|
|
|
|
2,688 |
|
|
|
2,439,999 |
|
| Series 2021-1, Class B1, 3.52%, 05/25/65(a)(c) |
|
|
|
|
|
|
648 |
|
|
|
551,835 |
|
| Structured Asset Mortgage Investments II Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-AR5, Class 2A1, (1-mo. CME Term SOFR + 0.53%), 5.39%, 05/25/46(c) |
|
|
|
|
|
|
25 |
|
|
|
16,747 |
|
| Structured Asset Securities Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2005-RF3, Class 1A, (1-mo. CME Term SOFR + 0.46%), 5.32%, 06/25/35(a)(c) |
|
|
|
|
|
|
658 |
|
|
|
565,564 |
|
| Series 2005-RF5, Class 2A, 4.22%, 07/25/35(a)(c) |
|
|
|
|
|
|
1,605 |
|
|
|
1,514,271 |
|
| Structured Asset Securities Corp. Mortgage Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-RF3, Class 1A2, 6.00%, 10/25/36(a) |
|
|
|
|
|
|
4,313 |
|
|
|
2,441,892 |
|
| Series 2006-RF4, Class 2A1, 6.00%, 10/25/36(a) |
|
|
|
|
|
|
1,258 |
|
|
|
678,216 |
|
| Thornburg Mortgage Securities Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-3, Class A1, 4.29%, 06/25/46(c) |
|
|
|
|
|
|
958 |
|
|
|
585,917 |
|
| Toorak Mortgage Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-INV1, Class B1, 3.29%,
07/25/56(a)(c) |
|
|
|
|
|
|
657 |
|
|
|
525,709 |
|
| Series 2021-INV2, Class B1, 4.10%,
11/25/56(a)(c) |
|
|
|
|
|
|
5,929 |
|
|
|
4,941,452 |
|
| TVC Mortgage Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-RTL1, Class A1, 8.25%,
11/25/27(a)(b) |
|
|
|
|
|
|
4,107 |
|
|
|
4,166,852 |
|
| Verus Securitization Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-4, Class B1, 3.86%, 11/25/59(a)(c) |
|
|
|
|
|
|
800 |
|
|
|
761,056 |
|
| Series 2020-4, Class B1, 5.05%, 05/25/65(a)(c) |
|
|
|
|
|
|
2,600 |
|
|
|
2,608,186 |
|
| Series 2021-1, Class M1, 1.97%, 01/25/66(a)(c) |
|
|
|
|
|
|
3,000 |
|
|
|
2,361,059 |
|
| Series 2021-6, Class B1, 4.05%, 10/25/66(a)(c) |
|
|
|
|
|
|
169 |
|
|
|
141,723 |
|
| Series 2021-6, Class M1, 2.94%, 10/25/66(a)(c) |
|
|
|
|
|
|
462 |
|
|
|
372,169 |
|
| Series 2021-R1, Class M1, 2.34%, 10/25/63(a) |
|
|
|
|
|
|
3,250 |
|
|
|
2,925,047 |
|
| Series 2021-R2, Class B1, 3.25%, 02/25/64(a)(c) |
|
|
|
|
|
|
265 |
|
|
|
207,711 |
|
| Series 2022-1, Class B1, 4.01%, 01/25/67(a)(c) |
|
|
|
|
|
|
1,507 |
|
|
|
1,185,087 |
|
| Series 2022-3, Class B1, 4.07%, 02/25/67(a)(c) |
|
|
|
|
|
|
2,188 |
|
|
|
1,765,081 |
|
| Series 2022-4, Class B1, 4.78%, 04/25/67(a)(c) |
|
|
|
|
|
|
443 |
|
|
|
413,354 |
|
| Series 2024-7, Class B1, 6.50%, 09/25/69(a)(c) |
|
|
|
|
|
|
448 |
|
|
|
447,180 |
|
| Visio Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-2, Class B1, 3.91%, 11/25/54(a)(c) |
|
|
|
|
|
|
100 |
|
|
|
80,663 |
|
| Series 2022-1, Class B1, 5.95%, 08/25/57(a)(c) |
|
|
|
|
|
|
1,718 |
|
|
|
1,577,674 |
|
| Vista Point Securitization Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-2, Class A3, 2.50%, 04/25/65(a)(c) |
|
|
|
|
|
|
103 |
|
|
|
98,227 |
|
|
|
|
| 24 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
| Collateralized Mortgage Obligations (continued) |
|
|
|
|
|
|
|
| Vista Point Securitization Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-2, Class M1, 3.40%, 04/25/65(a)(c) |
|
|
USD |
|
|
|
170 |
|
|
$ |
159,888 |
|
| Washington Mutual Mortgage Pass-Through Certificates Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2005-11, Class A1, 5.75%, 01/25/36 |
|
|
|
|
|
|
1,146 |
|
|
|
968,255 |
|
| Series 2005-11, Class A7, 5.75%, 01/25/36 |
|
|
|
|
|
|
2,329 |
|
|
|
1,966,937 |
|
| Series 2005-9, Class 5A6, (1-mo. CME Term SOFR + 0.66%), 5.50%, 11/25/35(c) |
|
|
|
|
|
|
351 |
|
|
|
243,886 |
|
| Series 2005-9, Class 5A9, 5.50%, 11/25/35 |
|
|
|
|
|
|
144 |
|
|
|
114,922 |
|
| Series 2006-4, Class 1A1, 6.00%, 04/25/36 |
|
|
|
|
|
|
129 |
|
|
|
119,120 |
|
| Series 2006-4, Class 3A1, 7.00%, 05/25/36(b) |
|
|
|
|
|
|
85 |
|
|
|
74,282 |
|
| Series 2006-6, Class 3CB1, 7.00%, 08/25/36 |
|
|
|
|
|
|
4,171 |
|
|
|
1,726,528 |
|
| Series 2006-AR1, Class A1A, (1-mo. CME Term SOFR + 0.61%), 5.47%, 02/25/36(c) |
|
|
|
|
|
|
1,108 |
|
|
|
918,336 |
|
| Series 2006-AR3, Class A1A, (12-mo. Federal Reserve Cumulative Average US + 0.97%), 6.09%, 05/25/46(c) |
|
|
|
|
|
|
2,761 |
|
|
|
2,370,781 |
|
| Series 2006-AR5, Class A1A, (12-mo. Federal Reserve Cumulative Average US + 0.99%), 6.11%, 06/25/46(c) |
|
|
|
|
|
|
148 |
|
|
|
133,814 |
|
| Series 2006-AR9, Class 1A, (12-mo. Federal Reserve Cumulative Average US + 1.00%), 6.12%, 08/25/46(c) |
|
|
|
|
|
|
2,415 |
|
|
|
2,202,043 |
|
| Series 2007-HY1, Class A2A, (1-mo. CME Term SOFR + 0.43%), 5.29%, 02/25/37(c) |
|
|
|
|
|
|
462 |
|
|
|
353,737 |
|
| Series 2007-HY3, Class 4A1, 5.19%, 03/25/37(c) |
|
|
|
|
|
|
19 |
|
|
|
17,827 |
|
| Series 2007-OA1, Class 1A, (12-mo. Federal Reserve Cumulative Average US + 0.71%), 5.83%, 12/25/46(c) |
|
|
|
|
|
|
2,271 |
|
|
|
1,913,063 |
|
| Series 2007-OA1, Class 2A, (12-mo. Federal Reserve Cumulative Average US + 0.72%), 5.84%, 12/25/46(c) |
|
|
|
|
|
|
136 |
|
|
|
107,515 |
|
| Series 2007-OA3, Class 5A, (12-mo. Federal Reserve Cumulative Average US + 1.25%), 6.37%, 04/25/47(c) |
|
|
|
|
|
|
563 |
|
|
|
481,845 |
|
| Series 2007-OA4, Class 2A, (12-mo. Federal Reserve Cumulative Average US + 0.80%), 5.92%, 05/25/47(c) |
|
|
|
|
|
|
1,984 |
|
|
|
1,608,333 |
|
| Series 2007-OA5, Class 1A, (12-mo. Federal Reserve Cumulative Average US + 0.75%), 5.87%, 06/25/47(c) |
|
|
|
|
|
|
458 |
|
|
|
379,637 |
|
| Series 2007-OA5, Class 2A, (12-mo. Federal Reserve Cumulative Average US + 0.80%), 5.92%, 06/25/47(c) |
|
|
|
|
|
|
1,622 |
|
|
|
1,312,227 |
|
| Series 2007-OC2, Class A3, (1-mo. CME Term SOFR + 0.73%), 5.59%, 06/25/37(c) |
|
|
|
|
|
|
690 |
|
|
|
630,438 |
|
| Wells Fargo Mortgage Backed Securities Trust, |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-AR15, Class A1, 7.58%, 10/25/36(c) |
|
|
|
|
|
|
802 |
|
|
|
764,665 |
|
| Western Alliance Bank |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-CL2, Class M1, (SOFR (30-day) + 3.15%), 8.43%, 07/25/59(a)(c) |
|
|
|
|
|
|
3,855 |
|
|
|
3,991,087 |
|
| Series 2021-CL2, Class M2, (SOFR (30-day) + 3.70%), 8.98%, 07/25/59(a)(c) |
|
|
|
|
|
|
5,512 |
|
|
|
5,717,471 |
|
| WinWater Mortgage Loan Trust,
Series 2014-3, Class B5, 3.98%, 11/20/44(a)(c) |
|
|
|
|
|
|
923 |
|
|
|
722,335 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
564,870,099 |
|
|
| Commercial Mortgage-Backed Securities — 26.2% |
|
| 245 Park Avenue Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-245P, Class A, 3.51%, 06/05/37(a) |
|
|
|
|
|
|
5,000 |
|
|
|
4,777,423 |
|
| Series 2017-245P, Class C, 3.78%, 06/05/37(a)(c) |
|
|
|
|
|
|
3,000 |
|
|
|
2,769,346 |
|
| Series 2017-245P, Class E, 3.78%, 06/05/37(a)(c) |
|
|
|
|
|
|
1,151 |
|
|
|
1,010,443 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Commercial Mortgage-Backed Securities (continued) |
|
| 280 Park Avenue Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-280P, Class A, (1-mo. CME
Term SOFR + 1.18%), 6.30%, 09/15/34(a)(c) |
|
|
USD |
|
|
|
5,000 |
|
|
$ |
4,875,390 |
|
| Series 2017-280P, Class B, (1-mo. CME
Term SOFR + 1.38%), 6.50%, 09/15/34(a)(c) |
|
|
|
|
|
|
585 |
|
|
|
561,672 |
|
| Series 2017-280P, Class E, (1-mo. CME
Term SOFR + 2.42%), 7.54%, 09/15/34(a)(c) |
|
|
|
|
|
|
2,159 |
|
|
|
1,996,959 |
|
| 3650R Commercial Mortgage Trust,
Series 2022- PF2, Class A5, 5.47%, 11/15/55(c) |
|
|
|
|
|
|
600 |
|
|
|
623,710 |
|
| ACREC LLC, Series 2023-FL2, Class A, (1-mo. CME Term SOFR + 2.23%), 7.33%, 02/19/38(a)(c) |
|
|
|
|
|
|
2,339 |
|
|
|
2,345,836 |
|
| Alen Mortgage Trust, Series 2021-ACEN, Class A, (1-mo. CME Term SOFR + 1.26%), 6.36%, 04/15/34(a)(c) |
|
|
|
|
|
|
644 |
|
|
|
582,820 |
|
| Angel Oak SB Commercial Mortgage Trust,
Series 2020-SBC1, Class A1, 2.07%, 05/25/50(a)(c) |
|
|
|
|
|
|
5,378 |
|
|
|
4,998,496 |
|
| Arbor Multifamily Mortgage Securities Trust,
Series 2021-MF3, Class A5, 2.58%, 10/15/54(a) |
|
|
|
|
|
|
3,394 |
|
|
|
3,004,706 |
|
| AREIT LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-CRE7, Class A, (1-mo. CME
Term SOFR + 2.24%), 7.33%, 06/17/39(a)(c) |
|
|
|
|
|
|
1,570 |
|
|
|
1,574,349 |
|
| Series 2023-CRE8, Class A, (1-mo. CME
Term SOFR + 2.11%), 7.20%, 08/17/41(a)(c) |
|
|
|
|
|
|
1,679 |
|
|
|
1,683,296 |
|
| AREIT Ltd., Series 2024-CRE9, Class A, (1-mo. CME Term SOFR + 1.69%), 6.77%, 05/17/41(a)(c) |
|
|
|
|
|
|
14,720 |
|
|
|
14,724,563 |
|
| ARES Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-IND, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 07/15/41(a)(c) |
|
|
|
|
|
|
5,730 |
|
|
|
5,737,162 |
|
| Series 2024-IND2, Class A, (1-mo. CME Term SOFR + 1.44%), 10/15/34(a)(c)(e) |
|
|
|
|
|
|
9,250 |
|
|
|
9,226,875 |
|
| ARZ Trust, Series 2024-BILT, Class A, 5.77%, 06/11/29(a) |
|
|
|
|
|
|
2,710 |
|
|
|
2,814,419 |
|
| Ashford Hospitality Trust,
Series 2018-ASHF, Class D, (1-mo. CME Term SOFR + 2.27%), 7.37%, 04/15/35(a)(c) |
|
|
|
|
|
|
1,128 |
|
|
|
1,107,910 |
|
| Banc of America Merrill Lynch Commercial Mortgage Securities Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-200P, Class F, 3.72%, 04/14/33(a)(c) |
|
|
|
|
|
|
794 |
|
|
|
762,385 |
|
| Series 2017-SCH, Class AL, (1-mo. CME
Term SOFR + 0.95%), 6.04%, 11/15/32(a)(c) |
|
|
|
|
|
|
2,470 |
|
|
|
2,466,651 |
|
| Series 2017-SCH, Class BF, (1-mo. CME
Term SOFR + 1.45%), 6.54%, 11/15/33(a)(c) |
|
|
|
|
|
|
500 |
|
|
|
499,328 |
|
| Series 2017-SCH, Class DL, (1-mo. CME
Term SOFR + 2.05%), 7.14%, 11/15/32(a)(c) |
|
|
|
|
|
|
1,090 |
|
|
|
1,087,731 |
|
| Series 2024-BHP, Class A, (1-mo. CME
Term SOFR + 2.35%), 7.45%, 08/15/39(a)(c) |
|
|
|
|
|
|
820 |
|
|
|
822,827 |
|
| BANK |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-BN22, Class A4, 2.98%, 11/15/62 |
|
|
|
|
|
|
3,000 |
|
|
|
2,771,517 |
|
| Series 2021-BN35, Class A5, 2.29%, 06/15/64 |
|
|
|
|
|
|
744 |
|
|
|
646,620 |
|
| BANK5 Trust, Series 2024-5YR6, Class A3, 6.23%, 05/15/57 |
|
|
|
|
|
|
3,180 |
|
|
|
3,384,982 |
|
| Bayview Commercial Asset Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2006-1A, Class A1, (1-mo. CME Term SOFR + 0.52%), 5.37%, 04/25/36(a)(c) |
|
|
|
|
|
|
5,221 |
|
|
|
4,950,780 |
|
| Series 2006-1A, Class A2, (1-mo. CME Term SOFR + 0.65%), 5.51%, 04/25/36(a)(c) |
|
|
|
|
|
|
12 |
|
|
|
11,128 |
|
| Series 2006-4A, Class A2, (1-mo. CME Term SOFR + 0.52%), 5.37%, 12/25/36(a)(c) |
|
|
|
|
|
|
1,034 |
|
|
|
981,854 |
|
| Series 2006-SP2, Class A, (1-mo. CME Term SOFR + 0.53%), 5.39%, 01/25/37(a)(c) |
|
|
|
|
|
|
1,105 |
|
|
|
1,058,750 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Commercial Mortgage-Backed Securities (continued) |
|
| Bayview Commercial Asset Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2007-1, Class A2, (1-mo. CME Term SOFR + 0.52%), 5.37%, 03/25/37(a)(c) |
|
|
USD |
|
|
|
4,764 |
|
|
$ |
4,552,225 |
|
| Series 2007-2A, Class A1, (1-mo. CME Term SOFR + 0.52%), 5.37%, 07/25/37(a)(c) |
|
|
|
|
|
|
25 |
|
|
|
23,575 |
|
| Series 2007-4A, Class A1, (1-mo. CME Term SOFR + 0.79%), 5.64%, 09/25/37(a)(c) |
|
|
|
|
|
|
4,539 |
|
|
|
4,337,865 |
|
| Series 2007-5A, Class A4, (1-mo. CME Term SOFR + 1.61%), 6.47%, 10/25/37(a)(c) |
|
|
|
|
|
|
2,181 |
|
|
|
1,272,242 |
|
| Series 2007-6A, Class A4A, (1-mo. CME Term SOFR + 1.61%), 6.47%, 12/25/37(a)(c) |
|
|
|
|
|
|
2,966 |
|
|
|
2,616,978 |
|
| BBCMS Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-SRCH, Class A1, 3.31%, 08/10/35(a) |
|
|
|
229 |
|
|
|
220,441 |
|
| Series 2018-CHRS, Class E, 4.41%, 08/05/38(a)(c) . |
|
|
|
650 |
|
|
|
529,992 |
|
| Series 2018-TALL, Class A, (1-mo. CME Term SOFR + 0.92%), 6.02%, 03/15/37(a)(c) |
|
|
|
|
|
|
3,997 |
|
|
|
3,777,165 |
|
| Series 2018-TALL, Class B, (1-mo. CME Term SOFR + 1.17%), 6.27%, 03/15/37(a)(c) |
|
|
|
|
|
|
781 |
|
|
|
714,615 |
|
| Series 2023-5C23, Class D, 7.70%, 12/15/56(a)(c) |
|
|
|
332 |
|
|
|
331,917 |
|
| BDS LLC, Series 2022-FL12, Class A, (1-mo. CME Term SOFR + 2.14%), 7.10%, 08/19/38(a)(c) |
|
|
|
|
|
|
1,870 |
|
|
|
1,874,657 |
|
| BFLD Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-EYP, Class E, (1-mo. CME Term SOFR + 3.81%), 8.91%, 10/15/35(a)(c) |
|
|
|
|
|
|
1,353 |
|
|
|
71,313 |
|
| Series 2024-VICT, Class A, (1-mo. CME Term SOFR + 1.89%), 6.99%, 07/15/41(a)(c) |
|
|
|
|
|
|
2,970 |
|
|
|
2,970,000 |
|
| BHMS |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-ATLS, Class A, (1-mo. CME Term SOFR + 1.55%), 6.64%, 07/15/35(a)(c) |
|
|
|
|
|
|
3,988 |
|
|
|
3,986,960 |
|
| Series 2018-ATLS, Class C, (1-mo. CME Term SOFR + 2.20%), 7.29%, 07/15/35(a)(c) |
|
|
|
|
|
|
2,600 |
|
|
|
2,586,598 |
|
| BLP Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-IND, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 03/15/40(a)(c) |
|
|
|
|
|
|
2,114 |
|
|
|
2,108,725 |
|
| Series 2024-IND2, Class A, (1-mo. CME Term SOFR + 1.34%), 6.44%, 03/15/41(a)(c) |
|
|
|
|
|
|
1,980 |
|
|
|
1,973,812 |
|
| BMO Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-5C5, Class A3, 5.86%, 02/15/57 |
|
|
|
|
|
|
1,045 |
|
|
|
1,100,401 |
|
| Series 2024-5C6, Class A3, 5.32%, 09/15/57 |
|
|
|
|
|
|
400 |
|
|
|
411,805 |
|
| BMP, Series 2024-MF23, Class E, (1-mo. CME Term SOFR + 3.39%), 8.49%, 06/15/41(a)(c) |
|
|
|
|
|
|
1,719 |
|
|
|
1,693,211 |
|
| BPR Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-TY, Class A, (1-mo. CME Term SOFR + 1.16%), 6.26%, 09/15/38(a)(c) |
|
|
|
|
|
|
5,500 |
|
|
|
5,451,875 |
|
| Series 2021-TY, Class E, (1-mo. CME Term SOFR + 3.71%), 8.81%, 09/15/38(a)(c) |
|
|
|
|
|
|
3,138 |
|
|
|
3,094,852 |
|
| Series 2022-SSP, Class A, (1-mo. CME Term SOFR + 3.00%), 8.10%, 05/15/39(a)(c) |
|
|
|
|
|
|
770 |
|
|
|
770,963 |
|
| Series 2023-STON, Class A, 7.50%, 12/05/39(a) |
|
|
|
|
|
|
823 |
|
|
|
867,892 |
|
| BSST Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-SSCP, Class A, (1-mo. CME Term SOFR + 0.86%), 5.96%, 04/15/36(a)(c) |
|
|
|
|
|
|
3,001 |
|
|
|
2,973,327 |
|
| Series 2021-SSCP, Class B, (1-mo. CME Term SOFR + 1.21%), 6.31%, 04/15/36(a)(c) |
|
|
|
|
|
|
268 |
|
|
|
263,025 |
|
| Series 2021-SSCP, Class C, (1-mo. CME Term SOFR + 1.46%), 6.56%, 04/15/36(a)(c) |
|
|
|
|
|
|
325 |
|
|
|
318,860 |
|
| Series 2021-SSCP, Class D, (1-mo. CME Term SOFR + 1.71%), 6.81%, 04/15/36(a)(c) |
|
|
|
|
|
|
312 |
|
|
|
304,840 |
|
| Series 2021-SSCP, Class E, (1-mo. CME Term SOFR + 2.21%), 7.31%, 04/15/36(a)(c) |
|
|
|
|
|
|
268 |
|
|
|
258,966 |
|
| Series 2021-SSCP, Class F, (1-mo. CME Term SOFR + 3.01%), 8.11%, 04/15/36(a)(c) |
|
|
|
|
|
|
253 |
|
|
|
244,393 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Commercial Mortgage-Backed Securities (continued) |
|
| BSST Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-SSCP, Class G, (1-mo. CME Term SOFR + 3.91%), 9.01%, 04/15/36(a)(c) |
|
|
USD |
|
|
|
283 |
|
|
$ |
270,358 |
|
| Series 2021-SSCP, Class H, (1-mo. CME Term SOFR + 5.02%), 10.11%, 04/15/36(a)(c) |
|
|
|
|
|
|
208 |
|
|
|
198,966 |
|
| BWAY Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-1515, Class A2, 3.45%, 03/10/33(a) |
|
|
|
|
|
|
1,108 |
|
|
|
1,078,190 |
|
| Series 2013-1515, Class C, 3.45%, 03/10/33(a) |
|
|
|
|
|
|
250 |
|
|
|
230,632 |
|
| BX Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-VIV2, Class C, 3.66%, 03/09/44(a)(c) |
|
|
|
|
|
|
2,204 |
|
|
|
2,007,507 |
|
| Series 2020-VIV3, Class B, 3.66%, 03/09/44(a)(c) |
|
|
|
|
|
|
2,788 |
|
|
|
2,570,686 |
|
| Series 2020-VIV4, Class A, 2.84%, 03/09/44(a) |
|
|
|
|
|
|
781 |
|
|
|
707,582 |
|
| Series 2020-VKNG, Class F, (1-mo. CME Term SOFR + 2.86%), 7.96%, 10/15/37(a)(c) |
|
|
|
|
|
|
1,400 |
|
|
|
1,379,968 |
|
| Series 2021-NWM, Class A, (1-mo. CME Term SOFR + 1.02%), 6.12%, 02/15/33(a)(c) |
|
|
|
|
|
|
1,061 |
|
|
|
1,047,694 |
|
| Series 2021-NWM, Class B, (1-mo. CME Term SOFR + 2.26%), 7.36%, 02/15/33(a)(c) |
|
|
|
|
|
|
622 |
|
|
|
616,606 |
|
| Series 2021-NWM, Class C, (1-mo. CME Term SOFR + 4.36%), 9.46%, 02/15/33(a)(c) |
|
|
|
|
|
|
411 |
|
|
|
410,035 |
|
| Series 2021-SOAR, Class G, (1-mo. CME Term SOFR + 2.91%), 8.01%, 06/15/38(a)(c) |
|
|
|
|
|
|
2,544 |
|
|
|
2,506,188 |
|
| Series 2021-VINO, Class A, (1-mo. CME Term SOFR + 0.77%), 5.86%, 05/15/38(a)(c) |
|
|
|
|
|
|
4,456 |
|
|
|
4,431,130 |
|
| Series 2021-VINO, Class F, (1-mo. CME Term SOFR + 2.92%), 8.01%, 05/15/38(a)(c) |
|
|
|
|
|
|
863 |
|
|
|
852,191 |
|
| Series 2021-VIV5, Class A, 2.84%, 03/09/44(a)(c) |
|
|
|
|
|
|
1,522 |
|
|
|
1,366,056 |
|
| Series 2021-XL2, Class F, (1-mo. CME Term SOFR + 2.36%), 7.46%, 10/15/38(a)(c) |
|
|
|
|
|
|
3,544 |
|
|
|
3,502,014 |
|
| Series 2022-CSMO, Class B, (1-mo. CME Term SOFR + 3.14%), 8.24%, 06/15/27(a)(c) |
|
|
|
|
|
|
2,475 |
|
|
|
2,485,828 |
|
| Series 2023-VLT3, Class A, (1-mo. CME Term SOFR + 1.94%), 7.04%, 11/15/28(a)(c) |
|
|
|
|
|
|
1,010 |
|
|
|
1,004,951 |
|
| Series 2023-XL3, Class A, (1-mo. CME Term SOFR + 1.76%), 6.86%, 12/09/40(a)(c) |
|
|
|
|
|
|
4,528 |
|
|
|
4,541,634 |
|
| Series 2023-XL3, Class D, (1-mo. CME Term SOFR + 3.59%), 8.69%, 12/09/40(a)(c) |
|
|
|
|
|
|
3,548 |
|
|
|
3,550,953 |
|
| Series 2024-AIR2, Class A, (1-mo. CME Term SOFR + 1.49%), 6.59%, 10/15/41(a)(c) |
|
|
|
|
|
|
3,160 |
|
|
|
3,160,000 |
|
| Series 2024-AIRC, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 08/15/39(a)(c) |
|
|
|
|
|
|
5,620 |
|
|
|
5,627,025 |
|
| Series 2024-KING, Class A, (1-mo. CME Term SOFR + 1.54%), 6.64%, 05/15/34(a)(c) |
|
|
|
|
|
|
3,690 |
|
|
|
3,688,847 |
|
| Series 2024-MDHS, Class A, (1-mo. CME Term SOFR + 1.64%), 6.74%, 05/15/41(a)(c) |
|
|
|
|
|
|
10,189 |
|
|
|
10,201,627 |
|
| Series 2024-MF, Class A, (1-mo. CME Term SOFR + 1.44%), 6.54%, 02/15/39(a)(c) |
|
|
|
|
|
|
779 |
|
|
|
778,470 |
|
| Series 2024-MF, Class E, (1-mo. CME Term SOFR + 3.74%), 8.84%, 02/15/39(a)(c) |
|
|
|
|
|
|
1,931 |
|
|
|
1,925,929 |
|
| Series 2024-XL4, Class A, (1-mo. CME Term SOFR + 1.44%), 6.54%, 02/15/39(a)(c) |
|
|
|
|
|
|
3,762 |
|
|
|
3,761,676 |
|
| Series 2024-XL4, Class D, (1-mo. CME Term SOFR + 3.14%), 8.24%, 02/15/39(a)(c) |
|
|
|
|
|
|
3,178 |
|
|
|
3,182,444 |
|
| Series 2024-XL4, Class E, (1-mo. CME Term SOFR + 4.19%), 9.29%, 02/15/39(a)(c) |
|
|
|
|
|
|
1,720 |
|
|
|
1,682,499 |
|
| Series 2024-XL5, Class A, (1-mo. CME Term SOFR + 1.39%), 6.49%, 03/15/41(a)(c) |
|
|
|
|
|
|
3,451 |
|
|
|
3,451,617 |
|
| BX Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-CALM, Class E, (1-mo. CME Term SOFR + 2.11%), 7.21%, 11/15/32(a)(c) |
|
|
|
|
|
|
2,100 |
|
|
|
2,097,375 |
|
| Series 2019-OC11, Class A, 3.20%, 12/09/41(a) |
|
|
|
|
|
|
2,786 |
|
|
|
2,588,733 |
|
|
|
|
| 26 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Commercial Mortgage-Backed Securities (continued) |
|
| BX Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-ARIA, Class A, (1-mo. CME
Term SOFR + 1.01%), 6.11%, 10/15/36(a)(c) |
|
|
USD |
|
|
|
566 |
|
|
$ |
562,816 |
|
| Series 2021-ARIA, Class C, (1-mo. CME
Term SOFR + 1.76%), 6.86%, 10/15/36(a)(c) |
|
|
|
|
|
|
150 |
|
|
|
148,734 |
|
| Series 2021-LBA, Class AJV, (1-mo. CME
Term SOFR + 0.91%), 6.01%, 02/15/36(a)(c) |
|
|
|
|
|
|
1,700 |
|
|
|
1,691,756 |
|
| Series 2021-LBA, Class AV, (1-mo. CME
Term SOFR + 0.91%), 6.01%, 02/15/36(a)(c) |
|
|
|
|
|
|
594 |
|
|
|
588,887 |
|
| Series 2021-MFM1, Class A, (1-mo. CME
Term SOFR + 0.81%), 5.91%, 01/15/34(a)(c) |
|
|
|
|
|
|
1,878 |
|
|
|
1,870,096 |
|
| Series 2021-MFM1, Class G, (1-mo. CME
Term SOFR + 4.01%), 9.11%, 01/15/34(a)(c) |
|
|
|
|
|
|
525 |
|
|
|
511,936 |
|
| Series 2021-VIEW, Class E, (1-mo. CME
Term SOFR + 3.71%), 8.81%, 06/15/36(a)(c) |
|
|
|
|
|
|
2,542 |
|
|
|
2,414,345 |
|
| Series 2021-VIEW, Class F, (1-mo. CME
Term SOFR + 4.04%), 9.14%, 06/15/36(a)(c) |
|
|
|
|
|
|
856 |
|
|
|
781,525 |
|
| Series 2022-GPA, Class A, (1-mo. CME
Term SOFR + 2.17%), 7.26%, 08/15/39(a)(c) |
|
|
|
|
|
|
12,013 |
|
|
|
12,013,170 |
|
| Series 2022-GPA, Class B, (1-mo. CME
Term SOFR + 2.66%), 7.76%, 08/15/41(a)(c) |
|
|
|
|
|
|
351 |
|
|
|
351,366 |
|
| Series 2022-GPA, Class D, (1-mo. CME
Term SOFR + 4.06%), 9.16%, 08/15/43(a)(c) |
|
|
|
|
|
|
1,839 |
|
|
|
1,834,098 |
|
| Series 2022-LBA6, Class A, (1-mo. CME
Term SOFR + 1.00%), 6.10%, 01/15/39(a)(c) |
|
|
|
|
|
|
1,065 |
|
|
|
1,058,344 |
|
| Series 2022-VAMF, Class A, (1-mo. CME
Term SOFR + 0.85%), 5.95%, 01/15/39(a)(c) |
|
|
|
|
|
|
5,000 |
|
|
|
4,959,375 |
|
| Series 2022-VAMF, Class B, (1-mo. CME
Term SOFR + 1.28%), 6.38%, 01/15/39(a)(c) |
|
|
|
|
|
|
397 |
|
|
|
393,278 |
|
| Series 2023-DELC, Class A, (1-mo. CME
Term SOFR + 2.69%), 7.79%, 05/15/38(a)(c) |
|
|
|
|
|
|
5,023 |
|
|
|
5,041,836 |
|
| Series 2023-DELC, Class D, (1-mo. CME
Term SOFR + 4.39%), 9.48%, 05/15/38(a)(c) |
|
|
|
|
|
|
270 |
|
|
|
272,363 |
|
| Series 2024-CNYN, Class A, (1-mo. CME
Term SOFR + 1.44%), 6.54%, 04/15/41(a)(c) |
|
|
|
|
|
|
4,482 |
|
|
|
4,477,390 |
|
| Series 2024-CNYN, Class D, (1-mo. CME
Term SOFR + 2.69%), 7.79%, 04/15/41(a)(c) |
|
|
|
|
|
|
1,929 |
|
|
|
1,929,457 |
|
| Series 2024-CNYN, Class E, (1-mo. CME
Term SOFR + 3.69%), 8.79%, 04/15/41(a)(c) |
|
|
|
|
|
|
2,932 |
|
|
|
2,907,319 |
|
| Series 2024-PALM, Class A, (1-mo. CME
Term SOFR + 1.54%), 6.64%, 06/15/37(a)(c) |
|
|
|
|
|
|
10,560 |
|
|
|
10,556,700 |
|
| Series 2024-PAT, Class A, (1-mo. CME
Term SOFR + 2.09%), 7.19%, 03/15/41(a)(c) |
|
|
|
|
|
|
2,210 |
|
|
|
2,216,906 |
|
| Series 2024-PAT, Class C, (1-mo. CME
Term SOFR + 4.44%), 9.54%, 03/15/41(a)(c) |
|
|
|
|
|
|
4,722 |
|
|
|
4,704,813 |
|
| Series 2024-PAT, Class D, (1-mo. CME
Term SOFR + 5.39%), 10.49%, 03/15/41(a)(c) |
|
|
|
|
|
|
2,263 |
|
|
|
2,261,244 |
|
| BXP Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-GM, Class B, 3.54%,
06/13/39(a)(c) |
|
|
|
|
|
|
265 |
|
|
|
252,994 |
|
| Series 2021-601L, Class D, 2.87%, 01/15/44(a)(c) |
|
|
|
1,120 |
|
|
|
822,200 |
|
| CALI Mortgage Trust, Series 2024-SUN, Class A, (1-mo. CME Term SOFR + 1.89%), 6.99%, 07/15/41(a)(c) |
|
|
|
|
|
|
2,390 |
|
|
|
2,391,494 |
|
| CAMB Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-LIFE, Class D, (1-mo. CME
Term SOFR + 2.05%), 7.14%, 12/15/37(a)(c) |
|
|
|
|
|
|
1,000 |
|
|
|
998,750 |
|
| Series 2019-LIFE, Class E, (1-mo. CME
Term SOFR + 2.45%), 7.54%, 12/15/37(a)(c) |
|
|
|
|
|
|
1,437 |
|
|
|
1,435,204 |
|
| CD Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-CD1, Class A3, 2.46%, 08/10/49 |
|
|
|
|
|
|
4,116 |
|
|
|
3,947,345 |
|
| Series 2017-CD6, Class B, 3.91%, 11/13/50(c) |
|
|
|
|
|
|
336 |
|
|
|
313,419 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
| Commercial Mortgage-Backed Securities (continued) |
|
| CENT Trust, Series 2023-CITY, Class A, (1-mo. CME Term SOFR + 2.62%), 7.72%,
09/15/38(a)(c) |
|
|
USD |
|
|
|
5,474 |
|
|
$ |
5,484,330 |
|
| CFCRE Commercial Mortgage Trust, Series 2016-C4, Class C, 5.00%, 05/10/58(c) |
|
|
|
|
|
|
130 |
|
|
|
124,595 |
|
| CFK Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-FAX, Class D, 4.79%, 01/15/39(a)(c) |
|
|
|
2,500 |
|
|
|
2,291,056 |
|
| Series 2019-FAX, Class E, 4.79%, 01/15/39(a)(c) |
|
|
|
2,600 |
|
|
|
2,300,473 |
|
| Citigroup Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-375P, Class C, 3.64%, 05/10/35(a)(c) |
|
|
|
100 |
|
|
|
95,750 |
|
| Series 2015-P1, Class D, 3.23%, 09/15/48(a) |
|
|
|
|
|
|
694 |
|
|
|
590,902 |
|
| Series 2016-P3, Class A4, 3.33%, 04/15/49 |
|
|
|
|
|
|
2,635 |
|
|
|
2,571,772 |
|
| Series 2017-P7, Class A4, 3.71%, 04/14/50 |
|
|
|
|
|
|
6,000 |
|
|
|
5,801,527 |
|
| COAST Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-2HTL, Class A, (1-mo. CME Term SOFR + 2.59%), 7.69%, 08/15/36(a)(c) |
|
|
|
|
|
|
1,482 |
|
|
|
1,480,481 |
|
| Series 2023-2HTL, Class D, (1-mo. CME Term SOFR + 4.44%), 9.54%, 08/15/36(a)(c) |
|
|
|
|
|
|
2,600 |
|
|
|
2,582,131 |
|
| Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-CR23, Class A4, 3.50%, 05/10/48 |
|
|
|
|
|
|
2,000 |
|
|
|
1,980,940 |
|
| Series 2015-CR26, Class A4, 3.63%, 10/10/48 |
|
|
|
|
|
|
3,535 |
|
|
|
3,483,285 |
|
| Series 2015-LC19, Class B, 3.83%, 02/10/48(c) |
|
|
|
|
|
|
296 |
|
|
|
286,012 |
|
| Series 2015-PC1, Class B, 4.41%, 07/10/50(c) |
|
|
|
|
|
|
3,175 |
|
|
|
3,034,174 |
|
| Series 2016-667M, Class D, 3.29%, 10/10/36(a)(c) |
|
|
|
500 |
|
|
|
402,376 |
|
| Series 2024-WCL1, Class A, (1-mo. CME Term SOFR + 1.84%), 6.92%, 06/15/41(a)(c) |
|
|
|
|
|
|
5,270 |
|
|
|
5,248,591 |
|
| Series 2024-WCL1, Class B, (1-mo. CME Term SOFR + 2.59%), 7.67%, 06/15/41(a)(c) |
|
|
|
|
|
|
1,757 |
|
|
|
1,747,666 |
|
| Series 2024-WCL1, Class E, (1-mo. CME Term SOFR + 4.49%), 9.57%, 06/15/41(a)(c) |
|
|
|
|
|
|
2,319 |
|
|
|
2,307,602 |
|
| CONE Trust, Series 2024-DFW1, Class E, (1-mo. CME Term SOFR + 3.89%), 8.99%,
08/15/41(a)(c) |
|
|
|
|
|
|
2,330 |
|
|
|
2,326,107 |
|
| Credit Suisse Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-PFHP, Class A, (1-mo. CME Term SOFR + 1.00%), 6.09%, 12/15/30(a)(c) |
|
|
|
|
|
|
240 |
|
|
|
231,346 |
|
| Series 2020-FACT, Class E, (1-mo. CME Term SOFR + 5.23%), 10.32%, 10/15/37(a)(c) |
|
|
|
|
|
|
1,134 |
|
|
|
1,040,468 |
|
| Series 2021-BHAR, Class A, (1-mo. CME Term SOFR + 1.26%), 6.36%, 11/15/38(a)(c) |
|
|
|
|
|
|
1,020 |
|
|
|
1,010,756 |
|
| Series 2021-BHAR, Class B, (1-mo. CME Term SOFR + 1.61%), 6.71%, 11/15/38(a)(c) |
|
|
|
|
|
|
649 |
|
|
|
642,713 |
|
| CRSO Trust, Series 2023-BRND, 7.12%, 07/10/40(a) . |
|
|
|
|
|
|
1,289 |
|
|
|
1,370,034 |
|
| DBGS Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-5BP, Class A, (1-mo. CME Term SOFR + 0.89%), 5.99%, 06/15/33(a)(c) |
|
|
|
|
|
|
5,000 |
|
|
|
4,587,500 |
|
| Series 2018-BIOD, Class D, (1-mo. CME Term SOFR + 1.60%), 6.69%, 05/15/35(a)(c) |
|
|
|
|
|
|
2,625 |
|
|
|
2,595,469 |
|
| Series 2018-BIOD, Class F, (1-mo. CME Term SOFR + 2.30%), 7.39%, 05/15/35(a)(c) |
|
|
|
|
|
|
2,505 |
|
|
|
2,463,474 |
|
| Series 2024-SBL, Class A, (1-mo. CME Term SOFR + 1.88%), 6.98%, 08/15/34(a)(c) |
|
|
|
|
|
|
570 |
|
|
|
569,054 |
|
| DBSG Mortgage Trust, Series 2024-ALTA, Class A, 6.14%, 06/10/37(a)(c) |
|
|
|
|
|
|
1,613 |
|
|
|
1,644,533 |
|
| DBWF Mortgage Trust, Series 2024-LCRS, Class A, (1-mo. CME Term SOFR + 1.74%), 6.84%, 04/15/37(a)(c) |
|
|
|
|
|
|
2,423 |
|
|
|
2,401,042 |
|
| DC Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-HLTN, Class A, 5.93%, 04/13/40(a)(c) |
|
|
|
1,110 |
|
|
|
1,131,885 |
|
| Series 2024-HLTN, Class F, 10.66%, 04/13/40(a)(c) |
|
|
|
2,932 |
|
|
|
3,017,029 |
|
| Deutsche Bank UBS Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-BRBK, Class D, 3.65%, 10/10/34(a)(c) |
|
|
|
990 |
|
|
|
971,403 |
|
| Series 2017-BRBK, Class F, 3.65%, 10/10/34(a)(c) |
|
|
|
1,094 |
|
|
|
1,062,510 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
|
| Commercial Mortgage-Backed Securities (continued) |
|
| DK Trust |
|
|
|
|
|
|
|
|
| Series 2024-SPBX, Class A, (1-mo. CME Term SOFR + 1.50%), 6.60%,
03/15/34(a)(c) |
|
|
USD 2,860 |
|
|
$ |
2,858,212 |
|
| Series 2024-SPBX, Class E, (1-mo. CME Term SOFR + 4.00%), 9.10%,
03/15/34(a)(c) |
|
|
8,186 |
|
|
|
8,192,180 |
|
| ELM Trust |
|
|
|
|
|
|
|
|
| Series 2024-ELM, Class A10, 5.99%, 06/10/39(a)(c) |
|
|
3,350 |
|
|
|
3,425,746 |
|
| Series 2024-ELM, Class A15, 5.99%, 06/10/39(a)(c) |
|
|
3,350 |
|
|
|
3,425,746 |
|
| Series 2024-ELM, Class E10, 8.05%, 06/10/39(a)(c) |
|
|
4,157 |
|
|
|
4,241,432 |
|
| ELP Commercial Mortgage Trust, Series 2021-ELP, Class G, (1-mo. CME Term SOFR + 3.23%), 8.33%, 11/15/38(a)(c) |
|
|
660 |
|
|
|
642,437 |
|
| EQT Trust, Series 2024-EXTR, Class A, 5.33%, 07/05/41(a)(c) |
|
|
1,222 |
|
|
|
1,251,033 |
|
| Extended Stay America Trust |
|
|
|
|
|
|
|
|
| Series 2021-ESH, Class D, (1-mo. CME Term SOFR + 2.36%), 7.46%,
07/15/38(a)(c) |
|
|
3,425 |
|
|
|
3,431,758 |
|
| Series 2021-ESH, Class E, (1-mo. CME Term SOFR + 2.96%), 8.06%,
07/15/38(a)(c) |
|
|
2,731 |
|
|
|
2,731,023 |
|
| Series 2021-ESH, Class F, (1-mo. CME Term SOFR + 3.81%), 8.91%,
07/15/38(a)(c) |
|
|
9,141 |
|
|
|
9,135,419 |
|
| Fashion Show Mall LLC, Series 2024-SHOW,
Class A, 10/10/29(a)(c)(e) |
|
|
2,291 |
|
|
|
2,284,827 |
|
| FREMF Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2018-K74, Class B, 4.23%, 02/25/51(a)(c) |
|
|
2,150 |
|
|
|
2,116,060 |
|
| Series 2018-W5FX, Class CFX, 3.79%, 04/25/28(a)(c) |
|
|
4,100 |
|
|
|
3,708,550 |
|
| Series 2020-K105, Class B, 3.53%, 03/25/53(a)(c) |
|
|
2,905 |
|
|
|
2,725,289 |
|
| FS Rialto Issuer Ltd., Series 2022-FL7, Class A, (1- mo. CME Term SOFR + 2.90%), 7.99%, 10/19/39(a)(c) |
|
|
2,976 |
|
|
|
2,988,083 |
|
| Great Wolf Trust, Series 2024-WOLF, Class A, (1-mo. CME Term SOFR + 1.54%), 6.64%, 03/15/39(a)(c) |
|
|
1,914 |
|
|
|
1,909,813 |
|
| GS Mortgage Securities Corp. II, Series 2018-GS10, Class A5, 4.16%, 07/10/51(c) |
|
|
4,100 |
|
|
|
3,999,226 |
|
| GS Mortgage Securities Trust |
|
|
|
|
|
|
|
|
| Series 2015-GC32, Class C, 4.55%, 07/10/48(c) |
|
|
881 |
|
|
|
851,085 |
|
| Series 2017-GS6, Class A3, 3.43%, 05/10/50 |
|
|
2,000 |
|
|
|
1,925,049 |
|
| Series 2017-SLP, Class C, 3.92%, 10/10/32(a) |
|
|
161 |
|
|
|
160,155 |
|
| Series 2019-GSA1, Class A4, 3.05%, 11/10/52 |
|
|
2,587 |
|
|
|
2,425,077 |
|
| Series 2019-GSA1, Class C, 3.93%, 11/10/52(c) |
|
|
2,530 |
|
|
|
2,180,834 |
|
| Series 2021-DM, Class A, (1-mo. CME Term SOFR + 1.00%), 6.10%, 11/15/36(a)(c) |
|
|
1,970 |
|
|
|
1,953,378 |
|
| Series 2022-AGSS, Class A, (1-mo. CME Term SOFR + 2.69%), 7.79%,
11/15/27(a)(c) |
|
|
3,226 |
|
|
|
3,230,925 |
|
| Series 2022-ECI, Class A, (1-mo. CME Term SOFR + 2.19%), 7.29%, 08/15/39(a)(c) |
|
|
3,415 |
|
|
|
3,416,067 |
|
| Series 2023-FUN, Class A, (1-mo. CME Term SOFR + 2.09%), 7.19%,
03/15/28(a)(c) |
|
|
5,707 |
|
|
|
5,717,701 |
|
| Series 2023-SHIP, Class C, 5.69%, 09/10/38(a)(c) |
|
|
1,000 |
|
|
|
993,838 |
|
| Series 2023-SHIP, Class E, 7.68%, 09/10/38(a)(c) |
|
|
9,607 |
|
|
|
9,705,474 |
|
| Series 2024-RVR, Class E, 7.72%, 08/10/29(a)(c) |
|
|
1,263 |
|
|
|
1,261,935 |
|
| GWT, Series 2024-WLF2, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%,
05/15/41(a)(c) |
|
|
11,768 |
|
|
|
11,768,000 |
|
| Harvest Commercial Capital Loan Trust
Series 2019-1, Class M5, 5.73%,
09/25/46(a)(c) |
|
|
1,536 |
|
|
|
1,435,997 |
|
| Series 2020-1, Class M4, 5.96%,
04/25/52(a)(c) |
|
|
669 |
|
|
|
621,582 |
|
| HIG RCP LLC, Series 2023-FL1, Class A, (1-mo. CME Term SOFR + 2.27%), 7.37%,
09/19/38(a)(c) |
|
|
1,971 |
|
|
|
1,974,661 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
|
| Commercial Mortgage-Backed Securities (continued) |
|
| HIH Trust |
|
|
|
|
|
|
|
|
| Series 2024-61P, Class A, (1-mo. CME Term
SOFR + 1.84%), 10/15/41(a)(c)(e) |
|
|
USD 2,400 |
|
|
$ |
2,393,798 |
|
| Series 2024-61P, Class D, (1-mo. CME Term
SOFR + 3.64%), 10/15/41(a)(c)(e) |
|
|
900 |
|
|
|
897,698 |
|
| HILT Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2024-ORL, Class A, (1-mo. CME Term
SOFR + 1.54%), 6.64%, 05/15/37(a)(c) |
|
|
3,695 |
|
|
|
3,688,072 |
|
| Series 2024-ORL, Class D, (1-mo. CME Term
SOFR + 3.19%), 8.29%, 05/15/37(a)(c) |
|
|
4,173 |
|
|
|
4,115,621 |
|
| HIT Trust, Series 2022-HI32, Class A, (1-mo. CME
Term SOFR + 2.39%), 7.49%, 07/09/25(a)(c) |
|
|
688 |
|
|
|
689,809 |
|
| HLTN Commercial Mortgage Trust, Series 2024-
DPLO, Class A, (1-mo. CME Term SOFR +
1.64%), 6.74%, 06/15/41(a)(c) |
|
|
2,096 |
|
|
|
2,092,070 |
|
| HONO Mortgage Trust, Series 2021-LULU, Class A,
(1-mo. CME Term SOFR + 1.26%), 6.36%,
10/15/36(a)(c) |
|
|
4,812 |
|
|
|
4,663,595 |
|
| Houston Galleria Mall Trust, Series 2015-HGLR,
Class D, 3.98%, 03/05/37(a) |
|
|
578 |
|
|
|
561,181 |
|
| HTL Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2024-T53, Class A, 6.07%,
05/10/39(a)(c) |
|
|
1,280 |
|
|
|
1,308,189 |
|
| Series 2024-T53, Class E, 10.60%,
05/10/39(a)(c) |
|
|
3,538 |
|
|
|
3,665,972 |
|
| Hudson Yards Mortgage Trust, Series 2019-55HY,
Class F, 3.04%, 12/10/41(a)(c) |
|
|
712 |
|
|
|
535,328 |
|
| ILPT Commercial Mortgage Trust, Series 2022-LPF2,
Class A, (1-mo. CME Term SOFR + 2.25%),
7.34%, 10/15/39(a)(c) |
|
|
6,218 |
|
|
|
6,212,171 |
|
| INTOWN Mortgage Trust, Series 2022-STAY, Class A,
(1-mo. CME Term SOFR + 2.49%), 7.59%,
08/15/39(a)(c) |
|
|
3,483 |
|
|
|
3,491,707 |
|
| JPMBB Commercial Mortgage Securities Trust,
Series 2015-C33, Class D1, 4.29%,
12/15/48(a)(c) |
|
|
507 |
|
|
|
448,659 |
|
| JPMDB Commercial Mortgage Securities Trust,
Series 2018-C8, Class AS, 4.42%, 06/15/51 |
|
|
111 |
|
|
|
106,199 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust |
|
|
|
|
|
|
|
|
| Series 2016-JP2, Class A4, 2.82%, 08/15/49 |
|
|
3,655 |
|
|
|
3,532,907 |
|
| Series 2016-NINE, Class B, 2.95%,
09/06/38(a)(c) |
|
|
2,073 |
|
|
|
1,957,294 |
|
| Series 2018-PHH, Class A, (1-mo. CME Term
SOFR + 1.26%), 6.35%, 06/15/35(a)(c) |
|
|
1,036 |
|
|
|
902,980 |
|
| Series 2020-609M, Class D, (1-mo. CME Term
SOFR + 3.13%), 8.23%, 10/15/33(a)(c) |
|
|
700 |
|
|
|
556,290 |
|
| Series 2021-MHC, Class A, (1-mo. CME Term
SOFR + 1.16%), 6.26%, 04/15/38(a)(c) |
|
|
277 |
|
|
|
276,249 |
|
| Series 2021-MHC, Class E, (1-mo. CME Term
SOFR + 2.81%), 7.91%, 04/15/38(a)(c) |
|
|
3,330 |
|
|
|
3,313,350 |
|
| Series 2022-NLP, Class F, (1-mo. CME Term
SOFR + 3.54%), 8.64%, 04/15/37(a)(c) |
|
|
2,978 |
|
|
|
2,540,891 |
|
| Series 2022-NXSS, Class A, (1-mo. CME Term
SOFR + 2.18%), 7.28%, 09/15/39(a)(c) |
|
|
6,051 |
|
|
|
6,051,111 |
|
| Series 2022-OPO, Class D, 3.57%,
01/05/39(a)(c) |
|
|
2,061 |
|
|
|
1,576,665 |
|
| Series 2024-OMNI, Class A, 5.80%, 10/05/39(a)(c) |
|
|
1,660 |
|
|
|
1,700,744 |
|
| JW Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2024-MRCO, Class A, (1-mo. CME Term SOFR + 1.62%), 6.70%,
06/15/39(a)(c) |
|
|
2,617 |
|
|
|
2,612,100 |
|
| Series 2024-MRCO, Class D, (1-mo. CME Term SOFR + 3.19%), 8.27%,
06/15/39(a)(c) |
|
|
1,506 |
|
|
|
1,506,572 |
|
| KSL Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2023-HT, Class A, (1-mo. CME Term SOFR + 2.29%), 7.39%,
12/15/36(a)(c) |
|
|
3,906 |
|
|
|
3,915,765 |
|
|
|
|
| 28 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
|
|
| Commercial Mortgage-Backed Securities (continued) |
|
|
|
|
|
| KSL Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2023-HT, Class D, (1-mo. CME Term SOFR + 4.29%), 9.38%, 12/15/36(a)(c) |
|
|
USD 11,220 |
|
|
$ |
11,248,050 |
|
| LBA Trust |
|
|
|
|
|
|
|
|
| Series 2024-7IND, Class A, (1-mo. CME Term SOFR + 1.44%), 6.54%, 10/15/41(a)(c) |
|
|
2,340 |
|
|
|
2,338,537 |
|
| Series 2024-7IND, Class D, (1-mo. CME Term SOFR + 2.64%), 7.74%, 10/15/41(a)(c) |
|
|
592 |
|
|
|
592,000 |
|
| Series 2024-BOLT, Class A, (1-mo. CME Term SOFR + 1.59%), 6.69%, 06/15/26(a)(c) |
|
|
8,030 |
|
|
|
8,030,000 |
|
| Series 2024-BOLT, Class F, (1-mo. CME Term SOFR + 4.44%), 9.53%, 06/15/26(a)(c) |
|
|
690 |
|
|
|
688,056 |
|
| Lehman Brothers Small Balance Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2007-2A, Class M1, (1-mo. CME Term SOFR + 0.51%), 5.37%, 06/25/37(a)(c) |
|
|
166 |
|
|
|
164,913 |
|
| Series 2007-3A, Class M2, (1-mo. CME Term SOFR + 2.11%), 6.97%, 10/25/37(a)(c) |
|
|
3,340 |
|
|
|
2,838,475 |
|
| LUX, Series 2023-LION, Class A, (1-mo. CME Term SOFR + 2.69%), 7.79%, 08/15/40(a)(c) |
|
|
1,281 |
|
|
|
1,286,950 |
|
| LUXE Trust, Series 2021-TRIP, Class E, (1-mo. CME Term SOFR + 2.86%), 7.96%, 10/15/38(a)(c) |
|
|
654 |
|
|
|
653,727 |
|
| MCR Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2024-HTL, Class A, (1-mo. CME Term SOFR + 1.76%), 6.86%, 02/15/37(a)(c) |
|
|
205 |
|
|
|
203,506 |
|
| Series 2024-HTL, Class E, (1-mo. CME Term SOFR + 4.65%), 9.75%, 02/15/37(a)(c) |
|
|
1,476 |
|
|
|
1,473,871 |
|
| Series 2024-TWA, Class A, 5.92%, 06/12/39(a) |
|
|
2,250 |
|
|
|
2,302,206 |
|
| Series 2024-TWA, Class E, 8.73%, 06/12/39(a) |
|
|
2,080 |
|
|
|
2,120,374 |
|
| MF1, Series 2021-W10, Class G, (1-mo. CME Term SOFR + 4.22%), 9.32%, 12/15/34(a)(c) |
|
|
560 |
|
|
|
530,141 |
|
| MF1 LLC, Series 2024-FL14, Class A, (1-mo. CME Term SOFR + 1.74%), 6.70%, 03/19/39(a)(c) |
|
|
1,010 |
|
|
|
1,010,313 |
|
| MHC Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2021-MHC, Class A, (1-mo. CME Term SOFR + 0.92%), 6.01%, 04/15/38(a)(c) |
|
|
4,197 |
|
|
|
4,178,539 |
|
| Series 2021-MHC, Class F, (1-mo. CME Term SOFR + 2.72%), 7.81%, 04/15/38(a)(c) |
|
|
191 |
|
|
|
190,068 |
|
| Series 2021-MHC2, Class A, (1-mo. CME Term SOFR + 0.96%), 6.06%, 05/15/38(a)(c) |
|
|
2,268 |
|
|
|
2,257,715 |
|
| MHP |
|
|
|
|
|
|
|
|
| Series 2021-STOR, Class A, (1-mo. CME Term SOFR + 0.81%), 5.91%, 07/15/38(a)(c) |
|
|
1,105 |
|
|
|
1,096,713 |
|
| Series 2021-STOR, Class G, (1-mo. CME Term SOFR + 2.86%), 7.96%, 07/15/38(a)(c) |
|
|
3,426 |
|
|
|
3,398,164 |
|
| Series 2021-STOR, Class J, (1-mo. CME Term SOFR + 4.06%), 9.16%, 07/15/38(a)(c) |
|
|
1,917 |
|
|
|
1,895,033 |
|
| MIC Trust (The), Series 2023-MIC, Class A, 8.73%, 12/05/38(a)(c) |
|
|
1,670 |
|
|
|
1,840,296 |
|
| MIRA Trust, Series 2023-MILE, Class A, 6.76%, 06/10/38(a) |
|
|
1,978 |
|
|
|
2,091,003 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust |
|
|
|
|
|
|
|
|
| Series 2015-C25, Class A5, 3.64%, 10/15/48 |
|
|
1,455 |
|
|
|
1,434,023 |
|
| Series 2016-C32, Class A4, 3.72%, 12/15/49 |
|
|
1,060 |
|
|
|
1,037,528 |
|
| Morgan Stanley Capital I Trust |
|
|
|
|
|
|
|
|
| Series 2015-MS1, Class A4, 3.78%, 05/15/48(c) |
|
|
2,000 |
|
|
|
1,977,241 |
|
| Series 2017-ASHF, Class G, (1-mo. CME Term SOFR + 7.20%), 12.29%, 11/15/34(a)(c) |
|
|
939 |
|
|
|
932,123 |
|
| Series 2017-H1, Class B, 4.08%, 06/15/50 |
|
|
2,400 |
|
|
|
2,270,901 |
|
| Series 2018-MP, Class E, 4.42%, 07/11/40(a)(c) |
|
|
2,184 |
|
|
|
1,385,900 |
|
| Series 2019-H6, Class D, 3.00%, 06/15/52(a) |
|
|
470 |
|
|
|
357,526 |
|
| Series 2019-H7, Class AS, 3.52%, 07/15/52 |
|
|
1,900 |
|
|
|
1,774,781 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par
(000) |
|
|
Value |
|
|
|
| Commercial Mortgage-Backed Securities (continued) |
|
|
|
|
|
| Morgan Stanley Capital I Trust |
|
|
|
|
|
|
|
|
| Series 2019-H7, Class C, 4.13%, 07/15/52 |
|
|
USD 5,000 |
|
|
$ |
4,528,317 |
|
| Series 2019-H7, Class D, 3.00%, 07/15/52(a) |
|
|
3,000 |
|
|
|
2,361,654 |
|
| Series 2024-NSTB, Class A, 3.90%, 09/24/57(a)(c) |
|
|
2,320 |
|
|
|
2,250,667 |
|
| MSWF Commercial Mortgage Trust, Series 2023-2, Class A5, 6.01%, 12/15/56(c) |
|
|
1,364 |
|
|
|
1,502,888 |
|
| MTN Commercial Mortgage Trust, Series 2022-LPFL, Class A, (1-mo. CME Term SOFR + 1.40%), 6.50%, 03/15/39(a)(c) |
|
|
910 |
|
|
|
903,744 |
|
| Natixis Commercial Mortgage Securities Trust, |
|
|
|
|
|
|
|
|
| Series 2017-75B, Class A, 3.86%, 04/10/37(a) |
|
|
1,850 |
|
|
|
1,556,278 |
|
| NJ Trust, Series 2023-GSP, Class A, 6.70%, 01/06/29(a)(c) |
|
|
1,470 |
|
|
|
1,559,000 |
|
| NYC Trust |
|
|
|
|
|
|
|
|
| Series 2024-3ELV, Class A, (1-mo. CME Term SOFR + 1.99%), 7.09%, 08/15/29(a)(c) |
|
|
599 |
|
|
|
601,631 |
|
| Series 2024-3ELV, Class C, (1-mo. CME Term SOFR + 2.84%), 7.94%, 08/15/29(a)(c) |
|
|
405 |
|
|
|
407,559 |
|
| Series 2024-3ELV, Class D, (1-mo. CME Term SOFR + 3.84%), 8.94%, 08/15/29(a)(c) |
|
|
1,564 |
|
|
|
1,571,820 |
|
| Olympic Tower Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2017-OT, Class A, 3.57%, 05/10/39(a) |
|
|
2,920 |
|
|
|
2,685,941 |
|
| Series 2017-OT, Class D, 4.08%, 05/10/39(a)(c) |
|
|
1,080 |
|
|
|
831,712 |
|
| Series 2017-OT, Class E, 4.08%, 05/10/39(a)(c) |
|
|
498 |
|
|
|
359,857 |
|
| One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 09/15/54(a) |
|
|
1,930 |
|
|
|
1,716,997 |
|
| One Market Plaza Trust, Series 2017-1MKT, Class D, 4.15%, 02/10/32(a) |
|
|
1,127 |
|
|
|
962,496 |
|
| One New York Plaza Trust |
|
|
|
|
|
|
|
|
| Series 2020-1NYP, Class A, (1-mo. CME Term SOFR + 1.06%), 6.16%, 01/15/36(a)(c) |
|
|
1,035 |
|
|
|
988,425 |
|
| Series 2020-1NYP, Class AJ, (1-mo. CME Term SOFR + 1.36%), 6.46%, 01/15/36(a)(c) |
|
|
2,142 |
|
|
|
1,997,415 |
|
| Series 2020-1NYP, Class B, (1-mo. CME Term SOFR + 1.61%), 6.71%, 01/15/36(a)(c) |
|
|
1,338 |
|
|
|
1,244,340 |
|
| OPEN Trust, Series 2023-AIR, Class A, (1-mo. CME Term SOFR + 3.09%), 8.19%, 10/15/28(a)(c) |
|
|
3,190 |
|
|
|
3,219,881 |
|
| PGA Trust, Series 2024-RSR2, Class A, (1-mo. CME Term SOFR + 1.89%), 6.99%, 06/15/39(a)(c) |
|
|
1,754 |
|
|
|
1,746,874 |
|
| PKHL Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2021-MF, Class F, (1-mo. CME Term SOFR + 3.46%), 8.56%, 07/15/38(a)(c) |
|
|
900 |
|
|
|
585,937 |
|
| Series 2021-MF, Class G, (1-mo. CME Term SOFR + 4.46%), 9.56%, 07/15/38(a)(c) |
|
|
1,967 |
|
|
|
512,076 |
|
| Ready Capital Mortgage Financing LLC |
|
|
|
|
|
|
|
|
| Series 2022-FL10, Class A, (1-mo. CME Term SOFR + 2.55%), 7.41%, 10/25/39(a)(c) |
|
|
4,282 |
|
|
|
4,299,330 |
|
| Series 2022-FL9, Class A, (1-mo. CME Term SOFR + 2.47%), 7.32%, 06/25/37(a)(c) |
|
|
557 |
|
|
|
558,648 |
|
| Series 2023-FL11, Class A, (1-mo. CME Term SOFR + 2.37%), 7.23%, 10/25/39(a)(c) |
|
|
1,897 |
|
|
|
1,904,470 |
|
| RIAL Issuer Ltd., Series 2022-FL8, Class A, (1-mo. CME Term SOFR + 2.25%), 7.35%, 01/19/37(a)(c) |
|
|
5,654 |
|
|
|
5,650,466 |
|
| SCG Mortgage Trust, Series 2024-MSP, Class A, (1-mo. CME Term SOFR + 1.74%), 6.84%, 04/15/41(a)(c) |
|
|
2,750 |
|
|
|
2,731,953 |
|
| SG Commercial Mortgage Securities Trust |
|
|
|
|
|
|
|
|
| Series 2016-C5, Class B, 3.93%, 10/10/48 |
|
|
1,000 |
|
|
|
928,397 |
|
| Series 2019-PREZ, Class E, 3.59%, 09/15/39(a)(c) . |
|
|
3,391 |
|
|
|
2,775,601 |
|
| SHER Trust, Series 2024-DAL, Class A, (1-mo. CME Term SOFR + 1.64%), 6.74%, 04/15/37(a)(c) |
|
|
1,935 |
|
|
|
1,922,906 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
| Commercial Mortgage-Backed Securities (continued) |
|
|
|
|
| SHR Trust |
|
|
|
|
|
|
|
|
| Series 2024-LXRY, Class A, (1-mo. CME Term SOFR + 1.95%), 10/15/41(a)(c)(e) |
|
|
USD 6,747 |
|
|
$ |
6,747,000 |
|
| Series 2024-LXRY, Class D, (1-mo. CME Term SOFR + 3.60%), 10/15/41(a)(c)(e) |
|
|
2,720 |
|
|
|
2,720,000 |
|
| Series 2024-LXRY, Class E, (1-mo. CME Term SOFR + 4.45%), 10/15/41(a)(c)(e) |
|
|
1,836 |
|
|
|
1,836,000 |
|
| SLG Office Trust, |
|
|
|
|
|
|
|
|
| Series 2021-OVA, Class A, 2.59%, 07/15/41(a) |
|
|
3,500 |
|
|
|
3,039,184 |
|
| SREIT Trust |
|
|
|
|
|
|
|
|
| Series 2021-MFP, Class F, (1-mo. CME Term SOFR + 2.74%), 7.84%, 11/15/38(a)(c) |
|
|
2,832 |
|
|
|
2,812,944 |
|
| Series 2021-MFP2, Class A, (1-mo. CME Term SOFR + 0.94%), 6.03%, 11/15/36(a)(c) |
|
|
5,000 |
|
|
|
4,968,750 |
|
| Series 2021-MFP2, Class F, (1-mo. CME Term SOFR + 2.73%), 7.83%, 11/15/36(a)(c) |
|
|
2,226 |
|
|
|
2,206,522 |
|
| STWD Trust |
|
|
|
|
|
|
|
|
| Series 2021-FLWR, Class A, (1-mo. CME Term SOFR + 0.69%), 5.79%, 07/15/36(a)(c) |
|
|
1,446 |
|
|
|
1,438,770 |
|
| Series 2021-FLWR, Class B, (1-mo. CME Term SOFR + 1.04%), 6.14%, 07/15/36(a)(c) |
|
|
2,000 |
|
|
|
1,983,750 |
|
| Series 2021-FLWR, Class E, (1-mo. CME Term SOFR + 2.04%), 7.14%, 07/15/36(a)(c) |
|
|
1,738 |
|
|
|
1,720,620 |
|
| Taubman Centers Commercial Mortgage Trust, |
|
|
|
|
|
|
|
|
| Series 2022-DPM, Class A, (1-mo. CME Term SOFR + 2.19%), 7.28%, 05/15/37(a)(c) |
|
|
8,604 |
|
|
|
8,625,510 |
|
| THPT Mortgage Trust, |
|
|
|
|
|
|
|
|
| Series 2023-THL, Class A, 7.23%, 12/10/34(a)(c) |
|
|
1,259 |
|
|
|
1,306,813 |
|
| TPGI Trust, |
|
|
|
|
|
|
|
|
| Series 2021-DGWD, Class E, (1-mo. CME Term SOFR + 2.46%), 7.56%, 06/15/26(a)(c) |
|
|
2,879 |
|
|
|
2,860,478 |
|
| TTAN, |
|
|
|
|
|
|
|
|
| Series 2021-MHC, Class A, (1-mo. CME Term SOFR + 0.96%), 6.06%, 03/15/38(a)(c) |
|
|
4,217 |
|
|
|
4,203,488 |
|
| TYSN Mortgage Trust, |
|
|
|
|
|
|
|
|
| Series 2023-CRNR, Class A, 6.80%, 12/10/33(a)(c) |
|
|
1,340 |
|
|
|
1,416,951 |
|
| UBS Commercial Mortgage Trust, |
|
|
|
|
|
|
|
|
| Series 2017-C4, Class AS, 3.84%, 10/15/50(c) |
|
|
765 |
|
|
|
728,038 |
|
| Velocity Commercial Capital Loan Trust |
|
|
|
|
|
|
|
|
| Series 2018-2, Class M6, 7.05%, 10/26/48(a)(c) |
|
|
1,632 |
|
|
|
1,334,261 |
|
| Series 2019-1, Class M2, 4.01%, 03/25/49(a)(c) |
|
|
160 |
|
|
|
144,643 |
|
| Series 2019-2, Class M2, 3.39%, 07/25/49(a)(c) |
|
|
1,112 |
|
|
|
972,100 |
|
| Series 2019-2, Class M3, 3.48%, 07/25/49(a)(c) |
|
|
1,215 |
|
|
|
1,027,592 |
|
| Series 2019-2, Class M4, 3.99%, 07/25/49(a)(c) |
|
|
1,249 |
|
|
|
1,025,112 |
|
| Series 2019-3, Class M6, 6.03%, 10/25/49(a)(c) |
|
|
561 |
|
|
|
459,374 |
|
| Series 2020-1, Class AFX, 2.61%, 02/25/50(a)(c) |
|
|
2,333 |
|
|
|
2,151,038 |
|
| Series 2021-1, Class M4, 2.85%, 05/25/51(a)(c) |
|
|
1,841 |
|
|
|
1,399,908 |
|
| Series 2021-3, Class M4, 3.48%, 10/25/51(a)(c) |
|
|
2,427 |
|
|
|
2,055,635 |
|
| Series 2021-4, Class A, 2.52%, 12/26/51(a)(c) |
|
|
6,594 |
|
|
|
5,895,747 |
|
| Series 2021-4, Class M4, 4.48%, 12/26/51(a)(c) |
|
|
1,081 |
|
|
|
844,239 |
|
| Series 2022-1, Class M4, 5.20%, 02/25/52(a)(c) |
|
|
5,456 |
|
|
|
4,279,402 |
|
| Series 2022-4, Class M2, 6.97%, 08/25/52(a)(c) |
|
|
1,082 |
|
|
|
1,080,345 |
|
| Series 2022-4, Class M3, 7.53%, 08/25/52(a)(c) |
|
|
920 |
|
|
|
893,811 |
|
| Series 2023-2, Class A, 6.22%, 05/25/53(a)(c) |
|
|
687 |
|
|
|
693,385 |
|
| Series 2024-1, Class A, 6.55%, 01/25/54(a)(c) |
|
|
3,959 |
|
|
|
4,032,211 |
|
| Series 2024-1, Class M2, 7.23%, 01/25/54(a)(c) |
|
|
356 |
|
|
|
363,893 |
|
| Series 2024-1, Class M3, 8.44%, 01/25/54(a)(c) |
|
|
414 |
|
|
|
426,813 |
|
| Series 2024-2, Class M3, 8.02%, 04/25/54(a)(c) |
|
|
1,733 |
|
|
|
1,774,289 |
|
| Series 2024-2, Class M4, 10.72%, 04/25/54(a)(c) |
|
|
3,280 |
|
|
|
3,364,210 |
|
| Series 2024-3, Class M2, 7.23%, 06/25/54(a)(c) |
|
|
1,688 |
|
|
|
1,732,993 |
|
| Wells Fargo Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2017-C39, Class B, 4.03%, 09/15/50 |
|
|
1,000 |
|
|
|
939,917 |
|
| Series 2018-1745, Class A, 3.87%, 06/15/36(a)(c) |
|
|
3,155 |
|
|
|
2,844,611 |
|
| Series 2018-C46, Class A4, 4.15%, 08/15/51 |
|
|
3,740 |
|
|
|
3,653,338 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Commercial Mortgage-Backed Securities (continued) |
|
| Wells Fargo Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2019-C49, Class D, 3.00%, 03/15/52(a) |
|
|
USD 354 |
|
|
$ |
291,174 |
|
| Series 2019-C50, Class B, 4.19%, 05/15/52 |
|
|
3,121 |
|
|
|
2,942,681 |
|
| Series 2019-C53, Class A3, 2.79%, 10/15/52 |
|
|
1,000 |
|
|
|
928,121 |
|
| Series 2021-C59, Class A4, 2.34%, 04/15/54 |
|
|
5,000 |
|
|
|
4,374,198 |
|
| Series 2021-FCMT, Class A, (1-mo. CME Term SOFR + 1.31%), 6.41%, 05/15/31(a)(c) |
|
|
4,660 |
|
|
|
4,555,150 |
|
| Series 2024-1CHI, Class A, 5.48%, 07/15/35(a)(c) |
|
|
395 |
|
|
|
397,816 |
|
| Series 2024-BPRC, Class B, 6.22%, 07/15/43(a) |
|
|
3,055 |
|
|
|
3,154,466 |
|
| Series 2024-BPRC, Class C, 6.43%, 07/15/43(a) |
|
|
1,945 |
|
|
|
1,983,131 |
|
| Series 2024-BPRC, Class D, 7.08%, 07/15/43(a) |
|
|
2,628 |
|
|
|
2,689,982 |
|
| WMRK Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2022-WMRK, Class A, (1-mo. CME Term SOFR + 2.79%), 7.89%, 11/15/27(a)(c) |
|
|
3,829 |
|
|
|
3,840,966 |
|
| Series 2022-WMRK, Class B, (1-mo. CME Term SOFR + 3.44%), 8.53%, 11/15/27(a)(c) |
|
|
1,435 |
|
|
|
1,439,036 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
766,124,913 |
|
|
| Interest Only Collateralized Mortgage Obligations — 0.3% |
|
| Ajax Mortgage Loan Trust, |
|
|
|
|
|
|
|
|
| Series 2021-E, Class XS, 0.00%, 12/25/60(a)(c)(d) |
|
|
8,387 |
|
|
|
313,040 |
|
| Barclays Mortgage Loan Trust |
|
|
|
|
|
|
|
|
| Series 2023-NQM3, Class XS, 0.82%, 10/25/63(a)(c) |
|
|
20,023 |
|
|
|
290,745 |
|
| Series 2024-NQM1, Class XS, 2.45%, 01/25/64(a)(c) |
|
|
15,025 |
|
|
|
768,855 |
|
| Series 2024-NQM3, Class XS, 0.00%, 06/25/64(a)(c)(d) |
|
|
26,125 |
|
|
|
1,153,273 |
|
| JPMorgan Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2021-INV7, Class A2X, 0.50%, 02/25/52(a)(c) |
|
|
29,887 |
|
|
|
851,583 |
|
| Series 2021-INV7, Class A3X, 0.50%, 02/25/52(a)(c) |
|
|
17,565 |
|
|
|
339,193 |
|
| Series 2021-INV7, Class A4X, 0.50%, 02/25/52(a)(c) |
|
|
7,873 |
|
|
|
352,164 |
|
| Series 2021-INV7, Class A5X, 0.50%, 02/25/52(a)(c) |
|
|
3,254 |
|
|
|
92,729 |
|
| Series 2021-INV7, Class AX1, 0.27%, 02/25/52(a)(c) |
|
|
58,579 |
|
|
|
863,417 |
|
| JPMorgan Resecuritization Trust, |
|
|
|
|
|
|
|
|
| Series 2014-5, Class 5C, 0.00%,
05/27/36(a)(c)(d) |
|
|
9,443 |
|
|
|
1,677,415 |
|
| Voyager OPTONE Delaware Trust, |
|
|
|
|
|
|
|
|
| Series 2009-1, Class SAA7, 5.18%, 02/25/38(a)(c) |
|
|
9,398 |
|
|
|
2,114,674 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,817,088 |
|
|
| Interest Only Commercial Mortgage-Backed Securities — 0.6% |
|
| Banc of America Merrill Lynch Commercial Mortgage Securities Trust |
|
|
|
|
|
|
|
|
| Series 2017-SCH, Class XFCP, 0.00%, 11/15/19(a)(c)(d) |
|
|
95,950 |
|
|
|
432 |
|
| Series 2017-SCH, Class XLCP, 0.00%, 11/15/19(a)(c)(d) |
|
|
56,050 |
|
|
|
73 |
|
| BANK |
|
|
|
|
|
|
|
|
| Series 2019-BN22, Class XA, 0.70%, 11/15/62(c) |
|
|
38,374 |
|
|
|
986,222 |
|
| Series 2019-BN22, Class XB, 0.24%, 11/15/62(c) |
|
|
85,561 |
|
|
|
651,145 |
|
| Series 2020-BN28, Class XB, 1.09%, 03/15/63(c) |
|
|
29,820 |
|
|
|
1,506,156 |
|
| BBCMS Trust, |
|
|
|
|
|
|
|
|
| Series 2015-SRCH, Class XB, 0.30%, 08/10/35(a)(c) |
|
|
12,500 |
|
|
|
66,175 |
|
| Benchmark Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2019-B12, Class XA, 1.21%, 08/15/52(c) |
|
|
35,267 |
|
|
|
1,205,907 |
|
| Series 2019-B9, Class XA, 1.18%, 03/15/52(c) |
|
|
15,082 |
|
|
|
545,856 |
|
| Series 2020-B17, Class XB, 0.65%, 03/15/53(c) |
|
|
17,599 |
|
|
|
372,455 |
|
| Series 2020-B19, Class XA, 1.87%, 09/15/53(c) |
|
|
23,442 |
|
|
|
1,323,816 |
|
| Series 2021-B23, Class XA, 1.37%, 02/15/54(c) |
|
|
18,211 |
|
|
|
1,003,161 |
|
|
|
|
| 30 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Interest Only Commercial Mortgage-Backed Securities (continued) |
|
| BMO Mortgage Trust, Series 2023-C5, Class XA, 0.95%, 06/15/56(c) |
|
|
USD 8,074 |
|
|
$ |
401,751 |
|
| BX Trust, Series 2022-GPA, Class XCP, 0.00%, 08/15/23(a)(c)(d) |
|
|
65,811 |
|
|
|
1,928 |
|
| CFK Trust, Series 2019-FAX, Class XA, 0.35%, 01/15/39(a)(c) |
|
|
62,648 |
|
|
|
630,481 |
|
| Commercial Mortgage Trust, Series 2019-GC44, Class XA, 0.74%, 08/15/57(c) |
|
|
40,021 |
|
|
|
843,463 |
|
| CSAIL Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2019-C16, Class XA, 1.70%, 06/15/52(c) |
|
|
9,511 |
|
|
|
536,130 |
|
| Series 2019-C17, Class XA, 1.46%, 09/15/52(c) |
|
|
3,681 |
|
|
|
185,205 |
|
| Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 06/10/50(a)(c) |
|
|
11,214 |
|
|
|
253,054 |
|
| ELM Trust |
|
|
|
|
|
|
|
|
| Series 2024-ELM, Class XP10, 0.24%, 06/10/39(a)(c) |
|
|
33,570 |
|
|
|
126,596 |
|
| Series 2024-ELM, Class XP15, 1.61%, 06/10/39(a)(c) |
|
|
30,405 |
|
|
|
760,085 |
|
| GS Mortgage Securities Corp. II, Series 2005-ROCK, Class X1, 0.40%, 05/03/32(a)(c) |
|
|
144,016 |
|
|
|
119,159 |
|
| JPMDB Commercial Mortgage Securities Trust |
|
|
|
|
|
|
|
|
| Series 2016-C4, Class XC, 0.75%, 12/15/49(a)(c) |
|
|
8,570 |
|
|
|
111,381 |
|
| Series 2017-C5, Class XB, 0.41%, 03/15/50(c) |
|
|
30,000 |
|
|
|
224,685 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC, 0.75%, 08/15/49(a)(c) |
|
|
17,400 |
|
|
|
205,276 |
|
| LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 0.99%, 03/10/50(a)(c) |
|
|
8,386 |
|
|
|
122,167 |
|
| MCR Mortgage Trust, Series 2024-TWA, Class XA, 0.92%, 06/12/39(a) |
|
|
11,446 |
|
|
|
213,705 |
|
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF, 1.40%, 12/15/47(a)(c) |
|
|
220 |
|
|
|
2,490 |
|
| Morgan Stanley Capital I Trust |
|
|
|
|
|
|
|
|
| Series 2017-H1, Class XD, 2.30%, 06/15/50(a)(c) |
|
|
8,625 |
|
|
|
426,755 |
|
| Series 2019-L2, Class XA, 1.17%, 03/15/52(c) |
|
|
10,598 |
|
|
|
384,465 |
|
| MSWF Commercial Mortgage Trust, Series 2023-2, Class XA, 1.14%, 12/15/56(c) |
|
|
34,038 |
|
|
|
2,183,432 |
|
| Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.51%,
05/10/39(a)(c) |
|
|
28,100 |
|
|
|
241,837 |
|
| One Market Plaza Trust |
|
|
|
|
|
|
|
|
| Series 2017-1MKT, Class XCP, 0.00%, 02/10/32(a)(c)(d) |
|
|
91,391 |
|
|
|
285,779 |
|
| Series 2017-1MKT, Class XNCP, 0.22%, 02/10/32(a)(c) |
|
|
18,278 |
|
|
|
47,907 |
|
| UBS Commercial Mortgage Trust, Series 2019-C17, Class XA, 1.58%, 10/15/52(c) |
|
|
8,638 |
|
|
|
489,628 |
|
| Wells Fargo Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2015-LC20, Class XB, 0.64%, 04/15/50(c) |
|
|
7,000 |
|
|
|
17,441 |
|
| Series 2016-BNK1, Class XD, 1.38%, 08/15/49(a)(c) |
|
|
1,000 |
|
|
|
19,079 |
|
| Series 2024-BPRC, Class X, 0.31%, 07/15/43(a)(c) . |
|
|
24,115 |
|
|
|
238,442 |
|
| WFRBS Commercial Mortgage Trust, Series 2014- C21, Class XA, 0.70%, 08/15/47(c) |
|
|
294 |
|
|
|
4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,733,723 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Non-Agency Mortgage-Backed Securities — 46.5%
(Cost: $1,402,428,354) |
|
|
|
1,356,545,823 |
|
|
|
|
|
|
|
|
|
|
|
| U.S. Government Sponsored Agency Securities |
|
|
|
| Commercial Mortgage-Backed Securities — 0.2% |
|
|
|
|
| Freddie Mac, Series KJ48, Class A2, 5.03%, 10/25/31 |
|
|
1,413 |
|
|
|
1,466,002 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
| Commercial Mortgage-Backed Securities (continued) |
|
|
|
|
|
| Ginnie Mae |
|
|
|
|
|
|
|
|
| Series 2023-118, Class BA, 3.75%, 05/16/65(c) |
|
|
USD 808 |
|
|
$ |
788,774 |
|
| Series 2023-119, Class AD, 2.25%, 04/16/65 |
|
|
1,436 |
|
|
|
1,188,254 |
|
| Series 2023-50, Class AC, 3.25%, 09/16/63(c) |
|
|
800 |
|
|
|
736,866 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,179,896 |
|
|
| Interest Only Commercial Mortgage-Backed Securities — 0.1% |
|
| Freddie Mac |
|
|
|
|
|
|
|
|
| Series K116, Class X1, 1.52%, 07/25/30(c) |
|
|
23,703 |
|
|
|
1,536,207 |
|
| Series KL05, Class X1P, 1.02%, 06/25/29(c) |
|
|
12,845 |
|
|
|
485,583 |
|
| Ginnie Mae |
|
|
|
|
|
|
|
|
| Series 2016-36, Class IO, 0.66%, 08/16/57(c) |
|
|
2,604 |
|
|
|
74,030 |
|
| Series 2017-24, Class IO, 0.74%, 12/16/56(c) |
|
|
9,876 |
|
|
|
316,416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,412,236 |
|
|
|
| Mortgage-Backed Securities — 0.1% |
|
|
|
|
| Fannie Mae Mortgage-Backed Securities, 5.81%, 06/01/31 |
|
|
3,533 |
|
|
|
3,723,318 |
|
|
|
|
|
|
|
|
|
|
| Total U.S. Government Sponsored Agency Securities — 0.4%
(Cost: $10,790,702) |
|
|
|
10,315,450 |
|
|
|
|
|
|
|
|
|
|
| Total Long-Term Investments — 100.2%
(Cost: $3,006,403,416) |
|
|
|
2,924,076,302 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
|
|
|
|
|
| Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
| Money Market Funds — 0.2% |
|
|
|
|
|
|
| Dreyfus Treasury Securities Cash Management, Institutional Class, 4.88%(k) |
|
|
7,105,724 |
|
|
|
7,105,724 |
|
|
|
|
|
|
|
|
|
|
| Total Short-Term Securities — 0.2%
(Cost: $7,105,724) |
|
|
|
7,105,724 |
|
|
|
|
|
|
|
|
|
|
| Total Investments Before TBA Sale Commitments — 100.4%
(Cost: $3,013,509,140) |
|
|
|
2,931,182,026 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Par (000) |
|
|
|
|
|
|
|
| TBA Sale Commitments(l) |
|
|
|
|
|
|
|
|
|
|
|
| Mortgage-Backed Securities — (0.8)% |
|
|
|
|
|
|
| Uniform Mortgage-Backed Securities
2.00%, 10/01/54 |
|
|
USD (4,579 |
) |
|
|
(3,784,688 |
) |
| 2.50%, 10/01/54 |
|
|
(22,139 |
) |
|
|
(19,107,729 |
) |
|
|
|
|
|
|
|
|
|
| Total TBA Sale Commitments — (0.8)%
(Proceeds: $(23,153,504)) |
|
|
|
(22,892,417 |
) |
|
|
|
|
|
|
|
|
|
| Total Investments Net of TBA Sale Commitments — 99.6%
(Cost: $2,990,355,636) |
|
|
|
|
|
|
2,908,289,609 |
|
| Other Assets Less Liabilities — 0.4% |
|
|
|
|
|
|
11,468,541 |
|
|
|
|
|
|
|
|
|
|
| Net Assets — 100.0% |
|
|
|
|
|
$ |
2,919,758,150 |
|
|
|
|
|
|
|
|
|
|
| (a) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (b) |
Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
| (c) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
| (e) |
When-issued security. |
| (f) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (g) |
Issuer filed for bankruptcy and/or is in default. |
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio |
| (h) |
Non-income producing security. |
(i) Perpetual security with no stated maturity date.
(j) Rounds to less than 1,000.
(k) Annualized 7-day yield as of period end.
(l) Represents or includes a TBA transaction.
For purposes of this report, industry and sector sub-classifications may differ from those utilized by the Fund for compliance purposes.
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Currency Purchased |
|
Currency Sold |
|
|
Counterparty |
|
Settlement
Date |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| EUR 248,000 |
|
USD |
278,388 |
|
|
JPMorgan Chase Bank N.A. |
|
|
12/18/24 |
|
|
$ |
(1,441 |
) |
| USD 12,197,507 |
|
EUR |
10,925,000 |
|
|
UBS AG |
|
|
12/18/24 |
|
|
|
(2,654 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(4,095 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Credit Default Swaps — Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
| Reference Obligation/Index |
|
Financing
Rate
Paid by the
Fund |
|
|
Payment
Frequency |
|
|
Counterparty |
|
Termination
Date |
|
|
Notional
Amount
(000) |
|
|
Value |
|
|
Upfront
Premium
Paid
(Received) |
|
|
Unrealized
Appreciation
(Depreciation) |
|
|
|
|
|
|
|
|
|
|
| CMBX.NA.9.BBB- |
|
|
3.00 |
% |
|
|
Monthly |
|
|
Citigroup Global Markets, Inc. |
|
|
09/17/58 |
|
|
USD |
140 |
|
|
$ |
22,155 |
|
|
$ |
4,258 |
|
|
$ |
17,897 |
|
| CMBX.NA.9.BBB- |
|
|
3.00 |
|
|
|
Monthly |
|
|
Morgan Stanley & Co. International PLC |
|
|
09/17/58 |
|
|
USD |
53 |
|
|
|
8,387 |
|
|
|
3,694 |
|
|
|
4,693 |
|
| CMBX.NA.9.BBB- |
|
|
3.00 |
|
|
|
Monthly |
|
|
Morgan Stanley & Co. International PLC |
|
|
09/17/58 |
|
|
USD |
27 |
|
|
|
4,273 |
|
|
|
1,345 |
|
|
|
2,928 |
|
| CMBX.NA.6.AAA |
|
|
0.50 |
|
|
|
Monthly |
|
|
Deutsche Bank AG |
|
|
05/11/63 |
|
|
USD |
1 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
34,815 |
|
|
$ |
9,297 |
|
|
$ |
25,518 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
220 |
|
|
$ |
(34,815 |
) |
|
$ |
(23,644 |
) |
|
$ |
(11,171 |
) |
| CMBX.NA.10.BBB- |
|
|
3.00 |
|
|
|
Monthly |
|
|
Deutsche Bank AG |
|
|
11/17/59 |
|
|
BBB- |
|
USD |
1,000 |
|
|
|
(172,553 |
) |
|
|
(75,376 |
) |
|
|
(97,177 |
) |
| CMBX.NA.10.BBB- |
|
|
3.00 |
|
|
|
Monthly |
|
|
Deutsche Bank AG |
|
|
11/17/59 |
|
|
BBB- |
|
USD |
500 |
|
|
|
(86,277 |
) |
|
|
(45,461 |
) |
|
|
(40,816 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(293,645 |
) |
|
$ |
(144,481 |
) |
|
$ |
(149,164 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
|
| |
(b) |
The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
|
Balances Reported in the Statements of Assets and Liabilities for OTC Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
Swap
Premiums
Paid |
|
|
|
Swap
Premiums
Received |
|
|
|
Unrealized
Appreciation |
|
|
|
Unrealized
Depreciation |
|
| OTC Swaps |
|
$ |
9,297 |
|
|
$ |
(144,481 |
) |
|
$ |
25,518 |
|
|
$ |
(149,164 |
) |
|
|
|
| 32 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
| |
|
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 |
|
$ |
— |
|
|
$ |
34,815 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
34,815 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities — Derivative Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward foreign currency exchange contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized depreciation on forward foreign currency exchange contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
4,095 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
4,095 |
|
| Swaps — OTC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized depreciation on OTC swaps; |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Swap premiums received |
|
|
— |
|
|
|
293,645 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
293,645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
293,645 |
|
|
$ |
— |
|
|
$ |
4,095 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
297,740 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period ended September 30, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Currency
Exchange
Contracts |
|
|
Interest
Rate
Contracts |
|
|
Other
Contracts |
|
|
Total |
|
|
|
|
|
|
|
|
|
| Net Realized Gain (Loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward foreign currency exchange contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(171,327 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(171,327 |
) |
| Swaps |
|
|
— |
|
|
|
(125,636 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(125,636 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
(125,636 |
) |
|
$ |
— |
|
|
$ |
(171,327 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(296,963 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Change in Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Forward foreign currency exchange contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(137,800 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(137,800 |
) |
| Swaps |
|
|
— |
|
|
|
139,614 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
139,614 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
139,614 |
|
|
$ |
— |
|
|
$ |
(137,800 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,814 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
|
|
|
|
|
| Forward foreign currency exchange contracts |
|
|
|
|
| Average amounts purchased — in USD |
|
|
$12,755,854 |
|
| Average amounts sold — in USD |
|
|
$139,194 |
|
| Credit default swaps |
|
|
|
|
| Average notional value — buy protection |
|
|
$220,593 |
|
| Average notional value — sell protection |
|
|
$1,720,000 |
|
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 |
|
|
|
|
|
|
|
|
| Forward foreign currency exchange contracts |
|
$ |
— |
|
|
$ |
4,095 |
|
| Swaps — OTC(a) |
|
|
34,815 |
|
|
|
293,645 |
|
|
|
|
|
|
|
|
|
|
| Total derivative assets and liabilities in the Statements of Assets and Liabilities |
|
$ |
34,815 |
|
|
$ |
297,740 |
|
|
|
|
|
|
|
|
|
|
| Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
| Total derivative assets and liabilities subject to an MNA |
|
$ |
34,815 |
|
|
$ |
297,740 |
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/(received) in the Statements of Assets and Liabilities. |
|
|
|
|
| S C H E D U L E S O F I N V E S T M E N T S |
|
33 |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio |
The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Derivative
Assets
Subject to
an MNA by
Counterparty |
|
|
Derivatives
Available
for Offset(a) |
|
|
Non-
Cash
Collateral
Received(b) |
|
|
Cash
Collateral
Received(b) |
|
|
Net
Amount of
Derivative
Assets(c) |
|
| Citigroup Global Markets, Inc. |
|
$ |
22,155 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
22,155 |
|
| Morgan Stanley & Co. International PLC |
|
|
12,660 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
12,660 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
34,815 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
34,815 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Derivative
Liabilities
Subject to
an MNA by
Counterparty |
|
|
Derivatives
Available
for Offset(a) |
|
|
Non-
Cash
Collateral
Pledged(b) |
|
|
Cash
Collateral
Pledged(b) |
|
|
Net
Amount of
Derivative
Liabilities(d)(e) |
|
| Deutsche Bank AG |
|
$ |
293,645 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(293,645 |
) |
|
$ |
— |
|
| JPMorgan Chase Bank N.A. |
|
|
1,441 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,441 |
|
| UBS AG |
|
|
2,654 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
2,654 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
297,740 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(293,645 |
) |
|
$ |
4,095 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
|
| |
(b) |
Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
|
| |
(c) |
Net amount represents the net amount receivable from the counterparty in the event of default. |
|
| |
(d) |
Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
|
| |
(e) |
Net amount represents the net amount payable due to the counterparty in the event of default. |
|
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments at the measurement date. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Long-Term Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
$ |
— |
|
|
$ |
1,535,455,352 |
|
|
$ |
9,534,098 |
|
|
$ |
1,544,989,450 |
|
| Corporate Bonds |
|
|
— |
|
|
|
80,262 |
|
|
|
— |
|
|
|
80,262 |
|
| Floating Rate Loan Interests |
|
|
— |
|
|
|
— |
|
|
|
12,145,317 |
|
|
|
12,145,317 |
|
| Non-Agency Mortgage-Backed Securities |
|
|
— |
|
|
|
1,354,379,810 |
|
|
|
2,166,013 |
|
|
|
1,356,545,823 |
|
| U.S. Government Sponsored Agency Securities |
|
|
— |
|
|
|
10,315,450 |
|
|
|
— |
|
|
|
10,315,450 |
|
| Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Money Market Funds |
|
|
7,105,724 |
|
|
|
— |
|
|
|
— |
|
|
|
7,105,724 |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TBA Sale Commitments |
|
|
— |
|
|
|
(22,892,417 |
) |
|
|
— |
|
|
|
(22,892,417 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
7,105,724 |
|
|
$ |
2,877,338,457 |
|
|
$ |
23,845,428 |
|
|
$ |
2,908,289,609 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative Financial Instruments(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Contracts |
|
$ |
— |
|
|
$ |
25,518 |
|
|
$ |
— |
|
|
$ |
25,518 |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Contracts |
|
|
— |
|
|
|
(149,164 |
) |
|
|
— |
|
|
|
(149,164 |
) |
| Foreign Currency Exchange Contracts |
|
|
— |
|
|
|
(4,095 |
) |
|
|
— |
|
|
|
(4,095 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
(127,741 |
) |
|
$ |
— |
|
|
$ |
(127,741 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Derivative financial instruments are swaps and forward foreign currency exchange contracts. Swaps and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
|
|
|
|
| 34 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series A Portfolio |
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, 2024 |
|
$ |
9,304,373 |
|
|
$ |
— |
(a) |
|
$ |
14,990,234 |
|
|
$ |
3,559,253 |
|
|
$ |
27,853,860 |
|
| Transfers into Level 3 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Transfers out of Level 3 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(857,540 |
) |
|
|
(857,540 |
) |
| Accrued discounts/premiums |
|
|
— |
|
|
|
— |
|
|
|
2,923 |
|
|
|
30,235 |
|
|
|
33,158 |
|
| Net realized gain (loss) |
|
|
— |
|
|
|
— |
|
|
|
(18,214 |
) |
|
|
— |
|
|
|
(18,214 |
) |
| Net change in unrealized appreciation (depreciation)(b)(c) |
|
|
229,725 |
|
|
|
— |
|
|
|
412,944 |
|
|
|
(10,105 |
) |
|
|
632,564 |
|
| Purchases |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
20,952 |
|
|
|
20,952 |
|
| Sales |
|
|
— |
|
|
|
— |
|
|
|
(3,242,570 |
) |
|
|
(576,782 |
) |
|
|
(3,819,352 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Closing Balance, as of September 30, 2024 |
|
$ |
9,534,098 |
|
|
$ |
— |
(a) |
|
$ |
12,145,317 |
|
|
$ |
2,166,013 |
|
|
$ |
23,845,428 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on investments still held at September 30, 2024(c) |
|
$ |
229,725 |
|
|
$ |
— |
|
|
$ |
413,429 |
|
|
$ |
(10,105 |
) |
|
$ |
633,049 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Rounds to less than $1. |
| |
(b) |
Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
| |
(c) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at September 30, 2024 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Fund’s financial instruments that are categorized as Level 3 were valued utilizing third-party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third-party information could result in a significantly lower or higher value of such Level 3 financial instruments.
See notes to financial statements.
|
|
|
| S C H E D U L E S O F I N V E S T M E N T S |
|
35 |
|
|
|
| Schedule of Investments (unaudited) September 30, 2024 |
|
BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Corporate Bonds |
|
|
|
|
|
|
|
|
|
|
|
| Aerospace & Defense — 3.2% |
|
|
|
|
|
|
|
|
| Boeing Co. (The)
2.85%, 10/30/24 |
|
USD |
716 |
|
|
$ |
714,488 |
|
| 3.63%, 03/01/48 |
|
|
1,843 |
|
|
|
1,270,476 |
|
| 3.85%, 11/01/48 |
|
|
1,086 |
|
|
|
771,218 |
|
| 3.90%, 05/01/49 |
|
|
435 |
|
|
|
315,131 |
|
| 5.81%, 05/01/50 |
|
|
1,141 |
|
|
|
1,102,341 |
|
| 6.86%, 05/01/54(a) |
|
|
192 |
|
|
|
210,741 |
|
| 3.83%, 03/01/59 |
|
|
158 |
|
|
|
107,106 |
|
| 3.95%, 08/01/59 |
|
|
509 |
|
|
|
348,095 |
|
| 5.93%, 05/01/60 |
|
|
925 |
|
|
|
886,028 |
|
| 7.01%, 05/01/64(a) |
|
|
483 |
|
|
|
532,159 |
|
| L3Harris Technologies, Inc.
4.40%, 06/15/28 |
|
|
818 |
|
|
|
821,426 |
|
| 4.40%, 06/15/28 |
|
|
2,070 |
|
|
|
2,078,671 |
|
| 2.90%, 12/15/29 |
|
|
96 |
|
|
|
89,467 |
|
| 5.40%, 07/31/33 |
|
|
149 |
|
|
|
155,638 |
|
| 5.35%, 06/01/34 |
|
|
614 |
|
|
|
638,757 |
|
| 4.85%, 04/27/35 |
|
|
619 |
|
|
|
620,234 |
|
| Lockheed Martin Corp.
5.72%, 06/01/40 |
|
|
629 |
|
|
|
686,371 |
|
| 3.80%, 03/01/45 |
|
|
121 |
|
|
|
104,222 |
|
| Northrop Grumman Corp.
7.88%, 03/01/26 |
|
|
533 |
|
|
|
557,823 |
|
| 4.03%, 10/15/47 |
|
|
380 |
|
|
|
326,926 |
|
| 4.95%, 03/15/53 |
|
|
100 |
|
|
|
97,820 |
|
| RTX Corp.
4.70%, 12/15/41 |
|
|
138 |
|
|
|
130,865 |
|
| 4.80%, 12/15/43 |
|
|
350 |
|
|
|
333,228 |
|
| 4.15%, 05/15/45 |
|
|
470 |
|
|
|
410,798 |
|
| 3.75%, 11/01/46 |
|
|
142 |
|
|
|
116,001 |
|
| 4.35%, 04/15/47 |
|
|
249 |
|
|
|
221,079 |
|
| 4.05%, 05/04/47 |
|
|
454 |
|
|
|
385,769 |
|
| 4.63%, 11/16/48 |
|
|
126 |
|
|
|
116,532 |
|
| 3.13%, 07/01/50 |
|
|
158 |
|
|
|
113,183 |
|
| 2.82%, 09/01/51 |
|
|
164 |
|
|
|
109,708 |
|
| 3.03%, 03/15/52 |
|
|
203 |
|
|
|
141,861 |
|
| 5.38%, 02/27/53 |
|
|
113 |
|
|
|
116,129 |
|
| 6.40%, 03/15/54 |
|
|
99 |
|
|
|
116,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,747,181 |
|
|
|
|
| Automobiles — 1.2% |
|
|
|
|
|
|
| Daimler Truck Finance North America LLC, 2.00%, 12/14/26(a) |
|
|
931 |
|
|
|
886,429 |
|
| Ford Holdings LLC, 9.30%, 03/01/30 |
|
|
77 |
|
|
|
90,607 |
|
| Nissan Motor Acceptance Co. LLC
1.85%, 09/16/26(a) |
|
|
1,492 |
|
|
|
1,398,295 |
|
| 2.75%, 03/09/28(a) |
|
|
255 |
|
|
|
233,495 |
|
| 2.45%, 09/15/28(a) |
|
|
615 |
|
|
|
548,947 |
|
| 7.05%, 09/15/28(a) |
|
|
590 |
|
|
|
625,044 |
|
| Toyota Motor Corp., 2.76%, 07/02/29 |
|
|
130 |
|
|
|
123,215 |
|
| Volkswagen Group of America Finance LLC
3.35%, 05/13/25(a) |
|
|
358 |
|
|
|
354,567 |
|
| 5.40%, 03/20/26(a) |
|
|
1,134 |
|
|
|
1,146,581 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,407,180 |
|
|
|
|
| Banks — 11.0% |
|
|
|
|
|
|
| Associated Banc-Corp, 6.46%, 08/29/30 |
|
|
1,520 |
|
|
|
1,562,640 |
|
| Bank of America Corp.
2.55%, 02/04/28 |
|
|
1,287 |
|
|
|
1,236,528 |
|
| 3.42%, 12/20/28 |
|
|
7,478 |
|
|
|
7,274,617 |
|
| 3.97%, 03/05/29 |
|
|
1,759 |
|
|
|
1,738,275 |
|
| 3.97%, 02/07/30 |
|
|
172 |
|
|
|
169,005 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Banks (continued) |
|
|
|
|
|
|
|
|
| Bank of America Corp.
1.92%, 10/24/31 |
|
USD |
983 |
|
|
$ |
846,992 |
|
| 2.69%, 04/22/32 |
|
|
3,756 |
|
|
|
3,349,860 |
|
| 2.97%, 02/04/33 |
|
|
320 |
|
|
|
286,574 |
|
| Series N, 2.65%, 03/11/32 |
|
|
1,019 |
|
|
|
909,529 |
|
| Bank of Ireland Group PLC, 6.25%, 09/16/26(a) |
|
|
1,487 |
|
|
|
1,507,063 |
|
| Barclays PLC, 4.84%, 09/10/28 |
|
|
1,335 |
|
|
|
1,346,229 |
|
| Citigroup, Inc., 5.83%, 02/13/35 |
|
|
3,001 |
|
|
|
3,134,084 |
|
| Goldman Sachs Bank U.S.A., 5.28%, 03/18/27 |
|
|
248 |
|
|
|
251,204 |
|
| JPMorgan Chase & Co.
5.29%, 07/22/35 |
|
|
6,160 |
|
|
|
6,424,472 |
|
| 3.88%, 07/24/38 |
|
|
192 |
|
|
|
175,408 |
|
| 5.50%, 10/15/40 |
|
|
147 |
|
|
|
157,365 |
|
| 3.11%, 04/22/41 |
|
|
125 |
|
|
|
100,666 |
|
| 5.60%, 07/15/41 |
|
|
392 |
|
|
|
425,970 |
|
| 2.53%, 11/19/41 |
|
|
194 |
|
|
|
143,144 |
|
| 5.40%, 01/06/42 |
|
|
213 |
|
|
|
226,226 |
|
| 3.16%, 04/22/42 |
|
|
207 |
|
|
|
166,058 |
|
| 4.85%, 02/01/44 |
|
|
1,048 |
|
|
|
1,043,745 |
|
| KeyBank N.A., 4.90%, 08/08/32 |
|
|
795 |
|
|
|
773,880 |
|
| KeyCorp, 6.40%, 03/06/35 |
|
|
3,510 |
|
|
|
3,816,277 |
|
| Lloyds Banking Group PLC, 4.58%, 12/10/25 |
|
|
1,446 |
|
|
|
1,440,894 |
|
| PNC Financial Services Group, Inc. (The)
6.88%, 10/20/34 |
|
|
788 |
|
|
|
902,243 |
|
| 5.68%, 01/22/35 |
|
|
361 |
|
|
|
382,702 |
|
| 5.40%, 07/23/35 |
|
|
685 |
|
|
|
714,319 |
|
| Sumitomo Mitsui Financial Group, Inc.
1.47%, 07/08/25 |
|
|
547 |
|
|
|
534,371 |
|
| 5.46%, 01/13/26 |
|
|
394 |
|
|
|
399,578 |
|
| 2.17%, 01/14/27 |
|
|
400 |
|
|
|
382,184 |
|
| 5.56%, 07/09/34 |
|
|
835 |
|
|
|
886,186 |
|
| U.S. Bancorp
4.84%, 02/01/34 |
|
|
211 |
|
|
|
210,852 |
|
| 5.84%, 06/12/34 |
|
|
2,426 |
|
|
|
2,590,303 |
|
| Wells Fargo & Co.
5.57%, 07/25/29 |
|
|
786 |
|
|
|
817,758 |
|
| 5.50%, 01/23/35 |
|
|
1,565 |
|
|
|
1,640,573 |
|
| 5.61%, 01/15/44 |
|
|
87 |
|
|
|
89,901 |
|
| 4.65%, 11/04/44 |
|
|
98 |
|
|
|
89,537 |
|
| 4.40%, 06/14/46 |
|
|
103 |
|
|
|
90,171 |
|
| 4.75%, 12/07/46 |
|
|
393 |
|
|
|
360,311 |
|
| Wells Fargo Bank N.A.
5.45%, 08/07/26 |
|
|
700 |
|
|
|
716,715 |
|
| 5.25%, 12/11/26 |
|
|
733 |
|
|
|
751,365 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50,065,774 |
|
|
|
|
| Beverages — 0.7% |
|
|
|
|
|
|
| Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc., 4.90%, 02/01/46 |
|
|
144 |
|
|
|
141,818 |
|
| Anheuser-Busch InBev Worldwide, Inc.
4.38%, 04/15/38 |
|
|
186 |
|
|
|
179,398 |
|
| 5.45%, 01/23/39 |
|
|
481 |
|
|
|
514,906 |
|
| 4.35%, 06/01/40 |
|
|
360 |
|
|
|
339,984 |
|
| 4.95%, 01/15/42 |
|
|
262 |
|
|
|
261,959 |
|
| 3.75%, 07/15/42 |
|
|
173 |
|
|
|
151,282 |
|
| 4.75%, 04/15/58 |
|
|
254 |
|
|
|
243,913 |
|
| 5.80%, 01/23/59 |
|
|
344 |
|
|
|
387,580 |
|
| Coca-Cola Co. (The)
4.20%, 03/25/50 |
|
|
100 |
|
|
|
91,318 |
|
| 2.60%, 06/01/50 |
|
|
306 |
|
|
|
207,279 |
|
| 2.50%, 03/15/51 |
|
|
153 |
|
|
|
100,198 |
|
| 5.20%, 01/14/55 |
|
|
93 |
|
|
|
97,575 |
|
| 2.75%, 06/01/60 |
|
|
314 |
|
|
|
206,465 |
|
|
|
|
| 36 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Beverages (continued) |
|
|
|
|
|
|
|
|
| Keurig Dr Pepper, Inc., 5.09%, 05/25/48 |
|
USD |
168 |
|
|
$ |
164,869 |
|
| Keurig Dr. Pepper, Inc.
3.80%, 05/01/50 |
|
|
111 |
|
|
|
89,747 |
|
| 4.50%, 04/15/52 |
|
|
99 |
|
|
|
89,764 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,268,055 |
|
|
|
|
| Biotechnology — 2.0% |
|
|
|
|
|
|
| AbbVie, Inc.
3.60%, 05/14/25 |
|
|
311 |
|
|
|
309,017 |
|
| 4.05%, 11/21/39 |
|
|
101 |
|
|
|
93,295 |
|
| 4.63%, 10/01/42 |
|
|
567 |
|
|
|
544,785 |
|
| 4.40%, 11/06/42 |
|
|
359 |
|
|
|
338,569 |
|
| 4.85%, 06/15/44 |
|
|
104 |
|
|
|
102,782 |
|
| 4.75%, 03/15/45 |
|
|
144 |
|
|
|
140,079 |
|
| 4.45%, 05/14/46 |
|
|
450 |
|
|
|
420,222 |
|
| 4.88%, 11/14/48 |
|
|
352 |
|
|
|
346,446 |
|
| 4.25%, 11/21/49 |
|
|
183 |
|
|
|
163,917 |
|
| 5.40%, 03/15/54 |
|
|
1,255 |
|
|
|
1,330,748 |
|
| Amgen, Inc.
5.25%, 03/02/33 |
|
|
470 |
|
|
|
489,305 |
|
| 4.56%, 06/15/48 |
|
|
140 |
|
|
|
126,862 |
|
| 4.66%, 06/15/51 |
|
|
161 |
|
|
|
147,459 |
|
| 3.00%, 01/15/52 |
|
|
1,387 |
|
|
|
979,994 |
|
| 4.20%, 02/22/52 |
|
|
564 |
|
|
|
480,119 |
|
| 4.88%, 03/01/53 |
|
|
210 |
|
|
|
197,459 |
|
| 5.65%, 03/02/53 |
|
|
207 |
|
|
|
217,749 |
|
| 2.77%, 09/01/53 |
|
|
603 |
|
|
|
391,827 |
|
| Gilead Sciences, Inc.
2.60%, 10/01/40 |
|
|
289 |
|
|
|
216,303 |
|
| 5.65%, 12/01/41 |
|
|
100 |
|
|
|
107,336 |
|
| 4.80%, 04/01/44 |
|
|
223 |
|
|
|
215,417 |
|
| 4.50%, 02/01/45 |
|
|
190 |
|
|
|
175,938 |
|
| 4.75%, 03/01/46 |
|
|
161 |
|
|
|
154,080 |
|
| 4.15%, 03/01/47 |
|
|
1,362 |
|
|
|
1,193,340 |
|
| 2.80%, 10/01/50 |
|
|
310 |
|
|
|
210,831 |
|
| 5.55%, 10/15/53 |
|
|
93 |
|
|
|
99,830 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,193,709 |
|
|
|
|
| Broadline Retail — 0.3% |
|
|
|
|
|
|
| Alibaba Group Holding Ltd.
4.20%, 12/06/47 |
|
|
200 |
|
|
|
174,580 |
|
| 3.15%, 02/09/51 |
|
|
500 |
|
|
|
356,958 |
|
| Amazon.com, Inc.
2.70%, 06/03/60 |
|
|
519 |
|
|
|
333,659 |
|
| 3.25%, 05/12/61 |
|
|
944 |
|
|
|
684,205 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,549,402 |
|
|
|
|
| Building Products — 0.0% |
|
|
|
|
|
|
| Carrier Global Corp., 3.58%, 04/05/50 |
|
|
63 |
|
|
|
49,665 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Capital Markets — 6.6% |
|
|
|
|
|
|
| Blackstone Private Credit Fund, 4.95%, 09/26/27(a) |
|
|
1,140 |
|
|
|
1,129,793 |
|
| Blue Owl Credit Income Corp., 6.60%, 09/15/29(a) |
|
|
626 |
|
|
|
642,195 |
|
| Deutsche Bank AG
4.88%, 12/01/32 |
|
|
239 |
|
|
|
235,783 |
|
| 7.08%, 02/10/34 |
|
|
391 |
|
|
|
421,137 |
|
| Goldman Sachs Group, Inc. (The)
4.25%, 10/21/25 |
|
|
304 |
|
|
|
302,869 |
|
| 1.95%, 10/21/27 |
|
|
6,210 |
|
|
|
5,920,076 |
|
| 1.99%, 01/27/32 |
|
|
1,024 |
|
|
|
875,948 |
|
| 2.62%, 04/22/32 |
|
|
941 |
|
|
|
831,575 |
|
| 2.38%, 07/21/32 |
|
|
123 |
|
|
|
106,672 |
|
| 2.65%, 10/21/32 |
|
|
736 |
|
|
|
646,628 |
|
| 3.10%, 02/24/33 |
|
|
755 |
|
|
|
679,298 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Capital Markets (continued) |
|
|
|
|
|
|
|
|
| Intercontinental Exchange, Inc.
2.10%, 06/15/30 |
|
USD |
163 |
|
|
$ |
145,034 |
|
| 5.25%, 06/15/31 |
|
|
228 |
|
|
|
239,195 |
|
| 1.85%, 09/15/32 |
|
|
263 |
|
|
|
217,255 |
|
| 3.00%, 06/15/50 |
|
|
303 |
|
|
|
216,191 |
|
| Morgan Stanley
3.77%, 01/24/29 |
|
|
5,608 |
|
|
|
5,515,640 |
|
| 5.16%, 04/20/29 |
|
|
3,711 |
|
|
|
3,814,391 |
|
| 4.43%, 01/23/30 |
|
|
421 |
|
|
|
421,921 |
|
| 5.66%, 04/18/30 |
|
|
2,595 |
|
|
|
2,729,721 |
|
| 5.04%, 07/19/30 |
|
|
2,591 |
|
|
|
2,662,580 |
|
| UBS AG
7.95%, 01/09/25 |
|
|
795 |
|
|
|
801,154 |
|
| 3.70%, 02/21/25 |
|
|
250 |
|
|
|
248,835 |
|
| UBS Group AG
2.75%, 02/11/33(a) |
|
|
539 |
|
|
|
467,136 |
|
| 9.02%, 11/15/33(a) |
|
|
269 |
|
|
|
339,925 |
|
| 5.96%, 01/12/34(a) |
|
|
227 |
|
|
|
242,740 |
|
| 5.38%, 09/06/45(a) |
|
|
290 |
|
|
|
296,673 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,150,365 |
|
|
|
|
| Chemicals — 2.1% |
|
|
|
|
|
|
| DuPont de Nemours, Inc.
4.73%, 11/15/28 |
|
|
3,110 |
|
|
|
3,169,377 |
|
| 5.32%, 11/15/38 |
|
|
692 |
|
|
|
753,559 |
|
| 5.42%, 11/15/48 |
|
|
81 |
|
|
|
89,585 |
|
| Eastman Chemical Co.
5.75%, 03/08/33 |
|
|
118 |
|
|
|
124,721 |
|
| 5.63%, 02/20/34 |
|
|
260 |
|
|
|
271,472 |
|
| 4.80%, 09/01/42 |
|
|
274 |
|
|
|
254,993 |
|
| 4.65%, 10/15/44 |
|
|
400 |
|
|
|
362,323 |
|
| LYB International Finance III LLC
5.63%, 05/15/33 |
|
|
258 |
|
|
|
273,998 |
|
| 5.50%, 03/01/34 |
|
|
415 |
|
|
|
431,642 |
|
| Nutrien Ltd.
5.20%, 06/21/27 |
|
|
87 |
|
|
|
89,221 |
|
| 4.20%, 04/01/29 |
|
|
110 |
|
|
|
109,625 |
|
| 3.95%, 05/13/50 |
|
|
262 |
|
|
|
210,701 |
|
| Olin Corp.
5.63%, 08/01/29 |
|
|
2,606 |
|
|
|
2,612,148 |
|
| 5.00%, 02/01/30 |
|
|
808 |
|
|
|
789,169 |
|
| Sherwin-Williams Co. (The), 3.80%, 08/15/49 |
|
|
238 |
|
|
|
191,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,734,134 |
|
|
|
|
| Commercial Services & Supplies — 0.2% |
|
|
|
|
|
|
| Republic Services, Inc.
3.95%, 05/15/28 |
|
|
90 |
|
|
|
89,516 |
|
| 4.88%, 04/01/29 |
|
|
619 |
|
|
|
636,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
725,816 |
|
|
|
|
| Communications Equipment — 0.5% |
|
|
|
|
|
|
| Motorola Solutions, Inc.
2.30%, 11/15/30 |
|
|
465 |
|
|
|
410,258 |
|
| 5.60%, 06/01/32 |
|
|
92 |
|
|
|
97,271 |
|
| 5.40%, 04/15/34 |
|
|
1,538 |
|
|
|
1,605,082 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,112,611 |
|
|
|
|
| Consumer Finance — 2.2% |
|
|
|
|
|
|
| Ally Financial, Inc.
4.63%, 03/30/25 |
|
|
19 |
|
|
|
18,934 |
|
| 5.75%, 11/20/25 |
|
|
1,023 |
|
|
|
1,027,419 |
|
| American Express Co.
5.04%, 07/26/28 |
|
|
276 |
|
|
|
281,997 |
|
| 5.28%, 07/26/35 |
|
|
809 |
|
|
|
842,336 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Consumer Finance (continued) |
|
|
|
|
|
|
|
|
| Ford Motor Credit Co. LLC |
|
|
|
|
|
|
|
|
| 5.85%, 05/17/27 |
|
USD |
2,910 |
|
|
$ |
2,962,520 |
|
| 6.80%, 05/12/28 |
|
|
873 |
|
|
|
914,605 |
|
| General Motors Financial Co., Inc.,
1.20%, 10/15/24 |
|
|
540 |
|
|
|
539,120 |
|
| Hyundai Capital America |
|
|
|
|
|
|
|
|
| 5.80%, 06/26/25(a) |
|
|
859 |
|
|
|
865,185 |
|
| 6.38%, 04/08/30(a) |
|
|
81 |
|
|
|
87,339 |
|
| 5.70%, 06/26/30(a) |
|
|
1,234 |
|
|
|
1,296,564 |
|
| 6.20%, 09/21/30(a) |
|
|
125 |
|
|
|
134,812 |
|
| 5.40%, 06/24/31(a) |
|
|
137 |
|
|
|
142,077 |
|
| Toyota Motor Credit Corp. |
|
|
|
|
|
|
|
|
| 4.55%, 08/09/29 |
|
|
471 |
|
|
|
478,565 |
|
| 3.38%, 04/01/30 |
|
|
411 |
|
|
|
394,184 |
|
| 5.55%, 11/20/30 |
|
|
97 |
|
|
|
103,641 |
|
| 2.40%, 01/13/32 |
|
|
103 |
|
|
|
90,288 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,179,586 |
|
|
| Consumer Staples Distribution & Retail — 0.5% |
|
| 7-Eleven, Inc., 0.95%, 02/10/26(a) |
|
|
755 |
|
|
|
720,547 |
|
| CVS Health Corp. |
|
|
|
|
|
|
|
|
| 2.88%, 06/01/26 |
|
|
231 |
|
|
|
225,409 |
|
| 5.13%, 07/20/45 |
|
|
137 |
|
|
|
127,642 |
|
| 5.05%, 03/25/48 |
|
|
245 |
|
|
|
223,619 |
|
| 4.25%, 04/01/50 |
|
|
110 |
|
|
|
88,787 |
|
| 5.63%, 02/21/53 |
|
|
111 |
|
|
|
109,536 |
|
| Kroger Co. (The) |
|
|
|
|
|
|
|
|
| 4.70%, 08/15/26 |
|
|
340 |
|
|
|
342,201 |
|
| 4.60%, 08/15/27 |
|
|
425 |
|
|
|
428,654 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,266,395 |
|
|
|
|
| Containers & Packaging — 1.3% |
|
|
|
|
|
|
| Berry Global, Inc. |
|
|
|
|
|
|
|
|
| 1.57%, 01/15/26 |
|
|
2,494 |
|
|
|
2,399,899 |
|
| 5.80%, 06/15/31(a) |
|
|
1,672 |
|
|
|
1,739,733 |
|
| WRKCo, Inc. |
|
|
|
|
|
|
|
|
| 4.65%, 03/15/26 |
|
|
600 |
|
|
|
600,360 |
|
| 3.38%, 09/15/27 |
|
|
751 |
|
|
|
730,575 |
|
| 3.00%, 06/15/33 |
|
|
733 |
|
|
|
643,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,114,317 |
|
|
|
|
| Diversified Consumer Services — 0.3% |
|
|
|
|
|
|
| Northwestern University, 4.64%, 12/01/44 |
|
|
255 |
|
|
|
252,710 |
|
| United Rentals North America, Inc.,
6.00%, 12/15/29(a) |
|
|
819 |
|
|
|
845,419 |
|
| University of Miami, Series 2022,
4.06%, 04/01/52 |
|
|
170 |
|
|
|
146,548 |
|
| University of Southern California, Series 2017, 3.84%, 10/01/47 |
|
|
149 |
|
|
|
129,505 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,374,182 |
|
|
|
|
| Diversified REITs — 2.2% |
|
|
|
|
|
|
| American Tower Corp. |
|
|
|
|
|
|
|
|
| 1.60%, 04/15/26 |
|
|
384 |
|
|
|
367,918 |
|
| 3.38%, 10/15/26 |
|
|
200 |
|
|
|
196,532 |
|
| 5.50%, 03/15/28 |
|
|
679 |
|
|
|
703,193 |
|
| 2.10%, 06/15/30 |
|
|
555 |
|
|
|
488,810 |
|
| Crown Castle, Inc. |
|
|
|
|
|
|
|
|
| 4.45%, 02/15/26 |
|
|
523 |
|
|
|
522,667 |
|
| 3.70%, 06/15/26 |
|
|
1,438 |
|
|
|
1,420,493 |
|
| 1.05%, 07/15/26 |
|
|
1,516 |
|
|
|
1,429,960 |
|
| Equinix, Inc. |
|
|
|
|
|
|
|
|
| 2.95%, 09/15/51 |
|
|
225 |
|
|
|
149,113 |
|
| 3.40%, 02/15/52 |
|
|
607 |
|
|
|
442,225 |
|
| GLP Capital LP/GLP Financing II, Inc. |
|
|
|
|
|
|
|
|
| 5.30%, 01/15/29 |
|
|
784 |
|
|
|
797,318 |
|
| 6.25%, 09/15/54 |
|
|
375 |
|
|
|
396,267 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Diversified REITs (continued) |
|
|
|
|
|
|
|
|
| VICI Properties LP
5.13%, 05/15/32 |
|
USD |
138 |
|
|
$ |
138,561 |
|
| 5.63%, 05/15/52 |
|
|
285 |
|
|
|
278,860 |
|
| VICI Properties LP/VICI Note Co., Inc., 4.13%, 08/15/30(a) |
|
|
2,714 |
|
|
|
2,577,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,909,217 |
|
|
| Diversified Telecommunication Services — 1.6% |
|
| AT&T Inc.
6.38%, 03/01/41 |
|
|
131 |
|
|
|
145,401 |
|
| 4.85%, 07/15/45 |
|
|
97 |
|
|
|
91,500 |
|
| 5.45%, 03/01/47 |
|
|
259 |
|
|
|
263,035 |
|
| 4.50%, 03/09/48 |
|
|
245 |
|
|
|
217,235 |
|
| 5.15%, 02/15/50 |
|
|
237 |
|
|
|
230,535 |
|
| 3.65%, 06/01/51 |
|
|
199 |
|
|
|
152,599 |
|
| 3.50%, 09/15/53 |
|
|
292 |
|
|
|
214,525 |
|
| 3.55%, 09/15/55 |
|
|
433 |
|
|
|
316,711 |
|
| 3.80%, 12/01/57 |
|
|
627 |
|
|
|
474,723 |
|
| 3.65%, 09/15/59 |
|
|
786 |
|
|
|
570,287 |
|
| 3.85%, 06/01/60 |
|
|
1,583 |
|
|
|
1,198,574 |
|
| 3.50%, 02/01/61 |
|
|
125 |
|
|
|
89,231 |
|
| Sprint Capital Corp., 6.88%, 11/15/28 |
|
|
2,019 |
|
|
|
2,204,379 |
|
| Verizon Communications, Inc.
4.78%, 02/15/35(a) |
|
|
200 |
|
|
|
199,713 |
|
| 5.85%, 09/15/35 |
|
|
150 |
|
|
|
161,880 |
|
| 4.81%, 03/15/39 |
|
|
192 |
|
|
|
189,035 |
|
| 2.65%, 11/20/40 |
|
|
329 |
|
|
|
242,411 |
|
| 3.85%, 11/01/42 |
|
|
117 |
|
|
|
99,963 |
|
| 4.13%, 08/15/46 |
|
|
105 |
|
|
|
90,463 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,152,200 |
|
|
|
|
| Electric Utilities — 9.4% |
|
|
|
|
|
|
| AEP Transmission Co. LLC, 5.40%, 03/15/53 |
|
|
227 |
|
|
|
235,177 |
|
| AES Corp. (The)
3.30%, 07/15/25(a) |
|
|
867 |
|
|
|
854,371 |
|
| 1.38%, 01/15/26 |
|
|
542 |
|
|
|
520,121 |
|
| 3.95%, 07/15/30(a) |
|
|
287 |
|
|
|
273,702 |
|
| 2.45%, 01/15/31 |
|
|
905 |
|
|
|
783,783 |
|
| Alabama Power Co.
3.94%, 09/01/32 |
|
|
373 |
|
|
|
361,304 |
|
| 5.70%, 02/15/33 |
|
|
93 |
|
|
|
98,696 |
|
| 3.45%, 10/01/49 |
|
|
117 |
|
|
|
90,016 |
|
| Baltimore Gas & Electric Co.,
4.25%, 09/15/48 |
|
|
196 |
|
|
|
171,974 |
|
| Berkshire Hathaway Energy Co.,
2.85%, 05/15/51 |
|
|
520 |
|
|
|
351,867 |
|
| Colbun SA, 3.15%, 01/19/32(a) |
|
|
615 |
|
|
|
541,008 |
|
| Constellation Energy Generation LLC
6.50%, 10/01/53 |
|
|
77 |
|
|
|
88,997 |
|
| 5.75%, 03/15/54 |
|
|
147 |
|
|
|
155,529 |
|
| DTE Electric Co.
2.95%, 03/01/50 |
|
|
259 |
|
|
|
182,639 |
|
| 5.40%, 04/01/53 |
|
|
170 |
|
|
|
178,500 |
|
| Series A, 4.00%, 04/01/43 |
|
|
260 |
|
|
|
228,341 |
|
| Series B, 3.25%, 04/01/51 |
|
|
120 |
|
|
|
89,241 |
|
| Series B, 3.65%, 03/01/52 |
|
|
115 |
|
|
|
91,643 |
|
| Duke Energy Carolinas LLC
3.95%, 11/15/28 |
|
|
907 |
|
|
|
904,139 |
|
| 2.45%, 08/15/29 |
|
|
999 |
|
|
|
926,401 |
|
| 3.20%, 08/15/49 |
|
|
557 |
|
|
|
404,235 |
|
| Duke Energy Corp.
4.80%, 12/15/45 |
|
|
299 |
|
|
|
277,040 |
|
| 5.80%, 06/15/54 |
|
|
86 |
|
|
|
90,784 |
|
| Duke Energy Florida LLC
4.20%, 07/15/48 |
|
|
196 |
|
|
|
168,307 |
|
| 5.95%, 11/15/52 |
|
|
363 |
|
|
|
401,365 |
|
|
|
|
| 38 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Electric Utilities (continued) |
|
|
|
|
|
|
|
|
| Duke Energy Progress LLC
3.70%, 09/01/28 |
|
USD |
197 |
|
|
$ |
194,375 |
|
| 3.45%, 03/15/29 |
|
|
2,269 |
|
|
|
2,209,252 |
|
| 3.70%, 10/15/46 |
|
|
25 |
|
|
|
20,117 |
|
| 3.60%, 09/15/47 |
|
|
333 |
|
|
|
262,450 |
|
| Edison International
5.75%, 06/15/27 |
|
|
96 |
|
|
|
99,070 |
|
| 4.13%, 03/15/28 |
|
|
324 |
|
|
|
321,141 |
|
| 5.25%, 11/15/28 |
|
|
118 |
|
|
|
121,238 |
|
| 5.45%, 06/15/29 |
|
|
1,199 |
|
|
|
1,245,237 |
|
| 6.95%, 11/15/29 |
|
|
88 |
|
|
|
96,996 |
|
| Enel Americas SA, 4.00%, 10/25/26 |
|
|
22 |
|
|
|
21,787 |
|
| Enel Finance International NV
6.80%, 10/14/25(a) |
|
|
550 |
|
|
|
563,275 |
|
| 1.63%, 07/12/26(a) |
|
|
560 |
|
|
|
532,879 |
|
| 3.63%, 05/25/27(a) |
|
|
229 |
|
|
|
224,736 |
|
| Eversource Energy
4.75%, 05/15/26 |
|
|
342 |
|
|
|
343,930 |
|
| 3.45%, 01/15/50 |
|
|
174 |
|
|
|
129,727 |
|
| Series U, 1.40%, 08/15/26 |
|
|
112 |
|
|
|
106,054 |
|
| Exelon Corp.
5.45%, 03/15/34 |
|
|
113 |
|
|
|
118,532 |
|
| 4.95%, 06/15/35 |
|
|
692 |
|
|
|
692,469 |
|
| 5.63%, 06/15/35 |
|
|
34 |
|
|
|
36,093 |
|
| 4.10%, 03/15/52 |
|
|
225 |
|
|
|
185,797 |
|
| FirstEnergy Corp. |
|
|
|
|
|
|
|
|
| Series B, 3.90%, 07/15/27 |
|
|
226 |
|
|
|
223,652 |
|
| Series C, 4.85%, 07/15/47 |
|
|
205 |
|
|
|
187,872 |
|
| Series C, 3.40%, 03/01/50 |
|
|
814 |
|
|
|
596,515 |
|
| FirstEnergy Transmission LLC
4.35%, 01/15/25(a) |
|
|
963 |
|
|
|
961,530 |
|
| 5.00%, 01/15/35(a) |
|
|
480 |
|
|
|
487,359 |
|
| 4.55%, 04/01/49(a) |
|
|
175 |
|
|
|
157,404 |
|
| 4.55%, 04/01/49(b) |
|
|
158 |
|
|
|
142,113 |
|
| Florida Power & Light Co.
5.25%, 02/01/41 |
|
|
101 |
|
|
|
103,665 |
|
| 5.13%, 06/01/41 |
|
|
101 |
|
|
|
101,949 |
|
| 4.13%, 02/01/42 |
|
|
302 |
|
|
|
272,521 |
|
| 3.99%, 03/01/49 |
|
|
137 |
|
|
|
116,907 |
|
| 2.88%, 12/04/51 |
|
|
809 |
|
|
|
559,993 |
|
| 5.60%, 06/15/54 |
|
|
114 |
|
|
|
124,321 |
|
| Georgia Power Co.
4.70%, 05/15/32 |
|
|
1,136 |
|
|
|
1,157,300 |
|
| 4.95%, 05/17/33 |
|
|
150 |
|
|
|
154,199 |
|
| 5.25%, 03/15/34 |
|
|
1,143 |
|
|
|
1,198,303 |
|
| Interstate Power & Light Co.,
5.45%, 09/30/54 |
|
|
70 |
|
|
|
72,382 |
|
| MidAmerican Energy Co.
4.25%, 05/01/46 |
|
|
136 |
|
|
|
120,093 |
|
| 3.95%, 08/01/47 |
|
|
166 |
|
|
|
140,640 |
|
| 3.15%, 04/15/50 |
|
|
247 |
|
|
|
180,881 |
|
| 5.30%, 02/01/55 |
|
|
348 |
|
|
|
359,696 |
|
| NextEra Energy Capital Holdings, Inc.
6.05%, 03/01/25 |
|
|
399 |
|
|
|
400,678 |
|
| 5.75%, 09/01/25 |
|
|
443 |
|
|
|
447,484 |
|
| 1.90%, 06/15/28 |
|
|
136 |
|
|
|
125,407 |
|
| 2.25%, 06/01/30 |
|
|
363 |
|
|
|
324,454 |
|
| Northern States Power Co.
2.90%, 03/01/50 |
|
|
131 |
|
|
|
91,606 |
|
| 3.20%, 04/01/52 |
|
|
186 |
|
|
|
135,564 |
|
| 4.50%, 06/01/52 |
|
|
98 |
|
|
|
90,035 |
|
| 5.10%, 05/15/53 |
|
|
89 |
|
|
|
89,792 |
|
| 5.40%, 03/15/54 |
|
|
86 |
|
|
|
90,817 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Electric Utilities (continued) |
|
|
|
|
|
|
|
|
| NRG Energy, Inc.
2.45%, 12/02/27(a) |
|
USD |
533 |
|
|
$ |
499,355 |
|
| 4.45%, 06/15/29(a) |
|
|
162 |
|
|
|
158,307 |
|
| Ohio Power Co.
4.00%, 06/01/49 |
|
|
497 |
|
|
|
407,210 |
|
| Series D, 6.60%, 03/01/33 |
|
|
612 |
|
|
|
679,889 |
|
| Series R, 2.90%, 10/01/51 |
|
|
106 |
|
|
|
69,670 |
|
| Pacific Gas & Electric Co.
3.45%, 07/01/25 |
|
|
535 |
|
|
|
528,834 |
|
| 3.95%, 12/01/47 |
|
|
148 |
|
|
|
116,509 |
|
| 4.95%, 07/01/50 |
|
|
128 |
|
|
|
116,399 |
|
| 3.50%, 08/01/50 |
|
|
152 |
|
|
|
110,076 |
|
| 5.25%, 03/01/52 |
|
|
1,532 |
|
|
|
1,451,916 |
|
| 6.75%, 01/15/53 |
|
|
289 |
|
|
|
329,510 |
|
| 6.70%, 04/01/53 |
|
|
104 |
|
|
|
119,028 |
|
| 5.90%, 10/01/54 |
|
|
104 |
|
|
|
107,718 |
|
| PECO Energy Co.
3.70%, 09/15/47 |
|
|
193 |
|
|
|
155,593 |
|
| 2.85%, 09/15/51 |
|
|
116 |
|
|
|
78,580 |
|
| 4.60%, 05/15/52 |
|
|
135 |
|
|
|
125,557 |
|
| 5.25%, 09/15/54 |
|
|
110 |
|
|
|
113,684 |
|
| PPL Capital Funding, Inc.,
5.25%, 09/01/34 |
|
|
644 |
|
|
|
663,081 |
|
| Public Service Electric & Gas Co.
4.85%, 08/01/34 |
|
|
276 |
|
|
|
282,159 |
|
| 5.70%, 12/01/36 |
|
|
92 |
|
|
|
98,572 |
|
| 2.70%, 05/01/50 |
|
|
290 |
|
|
|
195,157 |
|
| 2.05%, 08/01/50 |
|
|
229 |
|
|
|
133,814 |
|
| San Diego Gas & Electric Co.
4.95%, 08/15/28 |
|
|
282 |
|
|
|
289,766 |
|
| 4.15%, 05/15/48 |
|
|
232 |
|
|
|
198,515 |
|
| 5.35%, 04/01/53 |
|
|
140 |
|
|
|
143,703 |
|
| Series TTT, 4.10%, 06/15/49 |
|
|
212 |
|
|
|
179,315 |
|
| Series WWW, 2.95%, 08/15/51 |
|
|
127 |
|
|
|
89,144 |
|
| Southern California Edison Co.
4.40%, 09/06/26 |
|
|
800 |
|
|
|
806,106 |
|
| 2.75%, 02/01/32 |
|
|
667 |
|
|
|
593,370 |
|
| Series 20A, 2.95%, 02/01/51 |
|
|
363 |
|
|
|
248,165 |
|
| Series E, 3.70%, 08/01/25 |
|
|
87 |
|
|
|
86,332 |
|
| Series E, 5.45%, 06/01/52 |
|
|
742 |
|
|
|
757,901 |
|
| Series G, 2.50%, 06/01/31 |
|
|
262 |
|
|
|
231,677 |
|
| Series H, 3.65%, 06/01/51 |
|
|
254 |
|
|
|
194,905 |
|
| Southern Co. (The)
5.70%, 10/15/32 |
|
|
680 |
|
|
|
728,717 |
|
| 5.20%, 06/15/33 |
|
|
164 |
|
|
|
169,943 |
|
| 4.85%, 03/15/35 |
|
|
1,561 |
|
|
|
1,573,583 |
|
| 4.25%, 07/01/36 |
|
|
372 |
|
|
|
352,908 |
|
| Series A, 3.70%, 04/30/30 |
|
|
256 |
|
|
|
247,426 |
|
| Tampa Electric Co.
4.30%, 06/15/48 |
|
|
414 |
|
|
|
359,791 |
|
| 4.45%, 06/15/49 |
|
|
64 |
|
|
|
57,731 |
|
| Union Electric Co., 03/15/55(c) |
|
|
410 |
|
|
|
408,681 |
|
| Vistra Operations Co. LLC
5.13%, 05/13/25(a) |
|
|
2,442 |
|
|
|
2,436,817 |
|
| 6.95%, 10/15/33(a) |
|
|
427 |
|
|
|
481,398 |
|
| 6.00%, 04/15/34(a) |
|
|
239 |
|
|
|
255,410 |
|
| Wisconsin Electric Power Co.,
5.05%, 10/01/54 |
|
|
175 |
|
|
|
173,790 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,815,179 |
|
|
|
|
| Electrical Equipment — 0.1% |
|
|
|
|
|
|
|
|
| Otis Worldwide Corp.
5.25%, 08/16/28 |
|
|
195 |
|
|
|
202,063 |
|
| 2.57%, 02/15/30 |
|
|
124 |
|
|
|
113,614 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
315,677 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Financial Services — 1.4% |
|
|
|
|
|
|
|
|
| Aviation Capital Group LLC, 1.95%, 09/20/26(a) |
|
USD |
1,088 |
|
|
$ |
1,030,479 |
|
| Fidelity National Information Services, Inc., 3.10%, 03/01/41 |
|
|
600 |
|
|
|
462,134 |
|
| Glencore Funding LLC
6.50%, 10/06/33(a) |
|
|
242 |
|
|
|
266,971 |
|
| 5.63%, 04/04/34(a) |
|
|
2,068 |
|
|
|
2,158,200 |
|
| Nasdaq, Inc., 5.55%, 02/15/34 |
|
|
366 |
|
|
|
386,108 |
|
| TER Finance Jersey Ltd.,
Series 22, 0.00%, 10/02/25(a)(d) |
|
|
2,226 |
|
|
|
2,098,332 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,402,224 |
|
|
|
|
| Food Products — 0.1% |
|
|
|
|
|
|
| Kraft Heinz Foods Co.
4.88%, 10/01/49 |
|
|
472 |
|
|
|
444,876 |
|
| 5.50%, 06/01/50 |
|
|
91 |
|
|
|
93,571 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
538,447 |
|
|
|
|
| Ground Transportation — 1.8% |
|
|
|
|
|
|
| Burlington Northern Santa Fe LLC
5.75%, 05/01/40 |
|
|
122 |
|
|
|
133,325 |
|
| 5.05%, 03/01/41 |
|
|
130 |
|
|
|
131,964 |
|
| 5.40%, 06/01/41 |
|
|
85 |
|
|
|
89,158 |
|
| 4.95%, 09/15/41 |
|
|
221 |
|
|
|
221,057 |
|
| 4.40%, 03/15/42 |
|
|
112 |
|
|
|
104,949 |
|
| 4.38%, 09/01/42 |
|
|
136 |
|
|
|
126,880 |
|
| 4.45%, 03/15/43 |
|
|
137 |
|
|
|
128,754 |
|
| 5.15%, 09/01/43 |
|
|
88 |
|
|
|
90,961 |
|
| 4.90%, 04/01/44 |
|
|
90 |
|
|
|
89,341 |
|
| 4.55%, 09/01/44 |
|
|
97 |
|
|
|
91,586 |
|
| 4.15%, 04/01/45 |
|
|
138 |
|
|
|
123,231 |
|
| 3.90%, 08/01/46 |
|
|
121 |
|
|
|
103,073 |
|
| Canadian National Railway Co.
3.85%, 08/05/32 |
|
|
397 |
|
|
|
383,465 |
|
| 3.65%, 02/03/48 |
|
|
267 |
|
|
|
220,307 |
|
| CSX Corp.
4.10%, 11/15/32 |
|
|
91 |
|
|
|
89,523 |
|
| 5.20%, 11/15/33 |
|
|
92 |
|
|
|
97,004 |
|
| 6.00%, 10/01/36 |
|
|
102 |
|
|
|
113,694 |
|
| 4.30%, 03/01/48 |
|
|
77 |
|
|
|
69,111 |
|
| 4.50%, 03/15/49 |
|
|
91 |
|
|
|
84,219 |
|
| 4.90%, 03/15/55 |
|
|
144 |
|
|
|
141,505 |
|
| Norfolk Southern Corp.
4.10%, 05/15/49 |
|
|
153 |
|
|
|
129,893 |
|
| 3.05%, 05/15/50 |
|
|
156 |
|
|
|
109,890 |
|
| 2.90%, 08/25/51 |
|
|
182 |
|
|
|
122,598 |
|
| 4.05%, 08/15/52 |
|
|
108 |
|
|
|
90,132 |
|
| 4.55%, 06/01/53 |
|
|
114 |
|
|
|
103,491 |
|
| 5.35%, 08/01/54 |
|
|
87 |
|
|
|
89,383 |
|
| 3.16%, 05/15/55 |
|
|
129 |
|
|
|
89,375 |
|
| Penske Truck Leasing Co. LP/PTL Finance Corp.
5.88%, 11/15/27(a) |
|
|
1,166 |
|
|
|
1,214,476 |
|
| 5.70%, 02/01/28(a) |
|
|
88 |
|
|
|
91,130 |
|
| 6.05%, 08/01/28(a) |
|
|
808 |
|
|
|
850,475 |
|
| Ryder System, Inc.
2.85%, 03/01/27 |
|
|
368 |
|
|
|
355,830 |
|
| 5.30%, 03/15/27 |
|
|
569 |
|
|
|
582,223 |
|
| 4.30%, 06/15/27 |
|
|
90 |
|
|
|
90,007 |
|
| 5.50%, 06/01/29 |
|
|
217 |
|
|
|
226,300 |
|
| Uber Technologies, Inc.
4.80%, 09/15/34 |
|
|
234 |
|
|
|
233,676 |
|
| 5.35%, 09/15/54 |
|
|
789 |
|
|
|
782,530 |
|
| Union Pacific Corp.
4.50%, 09/10/48 |
|
|
182 |
|
|
|
167,963 |
|
| 3.25%, 02/05/50 |
|
|
193 |
|
|
|
145,663 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Ground Transportation (continued) |
|
|
|
|
|
|
|
|
| Union Pacific Corp.
3.80%, 10/01/51 |
|
|
USD 142 |
|
|
$ |
117,060 |
|
| 3.95%, 08/15/59 |
|
|
255 |
|
|
|
208,418 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,433,620 |
|
|
|
| Health Care Equipment & Supplies — 1.9% |
|
|
|
|
| Baxter International, Inc.
3.95%, 04/01/30 |
|
|
383 |
|
|
|
374,342 |
|
| 1.73%, 04/01/31 |
|
|
529 |
|
|
|
445,103 |
|
| Becton Dickinson & Co.
3.73%, 12/15/24 |
|
|
48 |
|
|
|
47,848 |
|
| 3.70%, 06/06/27 |
|
|
1,200 |
|
|
|
1,184,954 |
|
| 4.87%, 02/08/29 |
|
|
1,014 |
|
|
|
1,036,011 |
|
| 5.08%, 06/07/29 |
|
|
232 |
|
|
|
239,782 |
|
| GE HealthCare Technologies, Inc., 5.55%, 11/15/24 |
|
|
375 |
|
|
|
375,142 |
|
| Medtronic Global Holdings SCA,
4.50%, 03/30/33 |
|
|
316 |
|
|
|
317,761 |
|
| Solventum Corp.
5.60%, 03/23/34(a) |
|
|
2,403 |
|
|
|
2,488,514 |
|
| 5.90%, 04/30/54(a) |
|
|
1,659 |
|
|
|
1,718,539 |
|
| Thermo Fisher Scientific, Inc.
4.98%, 08/10/30 |
|
|
288 |
|
|
|
300,148 |
|
| 5.09%, 08/10/33 |
|
|
180 |
|
|
|
188,299 |
|
| 5.30%, 02/01/44 |
|
|
88 |
|
|
|
91,162 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,807,605 |
|
|
|
|
| Health Care Providers & Services — 3.7% |
|
|
|
|
|
|
| Aetna, Inc.
3.50%, 11/15/24 |
|
|
495 |
|
|
|
493,851 |
|
| 3.88%, 08/15/47 |
|
|
299 |
|
|
|
233,504 |
|
| Banner Health, 2.91%, 01/01/42 |
|
|
212 |
|
|
|
163,146 |
|
| Centene Corp.
2.45%, 07/15/28 |
|
|
396 |
|
|
|
364,686 |
|
| 3.38%, 02/15/30 |
|
|
289 |
|
|
|
266,318 |
|
| 3.00%, 10/15/30 |
|
|
1,043 |
|
|
|
933,722 |
|
| CommonSpirit Health
3.35%, 10/01/29 |
|
|
210 |
|
|
|
200,073 |
|
| 2.78%, 10/01/30 |
|
|
263 |
|
|
|
239,265 |
|
| 3.91%, 10/01/50 |
|
|
506 |
|
|
|
407,055 |
|
| Elevance Health, Inc.
2.38%, 01/15/25 |
|
|
35 |
|
|
|
34,731 |
|
| 4.75%, 02/15/33 |
|
|
137 |
|
|
|
138,574 |
|
| 5.38%, 06/15/34 |
|
|
230 |
|
|
|
241,778 |
|
| 5.95%, 12/15/34 |
|
|
782 |
|
|
|
854,612 |
|
| 5.85%, 01/15/36 |
|
|
407 |
|
|
|
440,408 |
|
| 4.65%, 08/15/44 |
|
|
1,357 |
|
|
|
1,269,435 |
|
| HCA, Inc.
3.50%, 09/01/30 |
|
|
1,018 |
|
|
|
959,338 |
|
| 5.50%, 06/15/47 |
|
|
92 |
|
|
|
91,439 |
|
| 5.25%, 06/15/49 |
|
|
249 |
|
|
|
236,427 |
|
| 3.50%, 07/15/51 |
|
|
288 |
|
|
|
207,519 |
|
| 4.63%, 03/15/52 |
|
|
79 |
|
|
|
68,566 |
|
| 5.90%, 06/01/53 |
|
|
88 |
|
|
|
91,798 |
|
| 6.00%, 04/01/54 |
|
|
85 |
|
|
|
89,811 |
|
| 5.95%, 09/15/54 |
|
|
88 |
|
|
|
92,445 |
|
| Hoag Memorial Hospital Presbyterian, 3.80%, 07/15/52 |
|
|
251 |
|
|
|
206,963 |
|
| Humana, Inc.
5.88%, 03/01/33 |
|
|
413 |
|
|
|
438,440 |
|
| 5.95%, 03/15/34 |
|
|
150 |
|
|
|
160,529 |
|
| 4.80%, 03/15/47 |
|
|
273 |
|
|
|
246,307 |
|
| 3.95%, 08/15/49 |
|
|
235 |
|
|
|
185,844 |
|
| 5.75%, 04/15/54 |
|
|
216 |
|
|
|
221,092 |
|
| Memorial Health Services, 3.45%, 11/01/49 |
|
|
191 |
|
|
|
151,692 |
|
| Mount Nittany Medical Center Obligated Group, Series 2022, 3.80%, 11/15/52 |
|
|
140 |
|
|
|
111,758 |
|
|
|
|
| 40 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Health Care Providers & Services (continued) |
|
| Nationwide Children’s Hospital, Inc., 4.56%, 11/01/52 |
|
USD |
151 |
|
|
$ |
147,220 |
|
| Sutter Health |
|
|
|
|
|
|
|
|
| Series 2018, 4.09%, 08/15/48 |
|
|
33 |
|
|
|
28,642 |
|
| Series 20A, 2.29%, 08/15/30 |
|
|
388 |
|
|
|
347,469 |
|
| Series 20A, 3.36%, 08/15/50 |
|
|
177 |
|
|
|
134,998 |
|
| UnitedHealth Group, Inc.
6.88%, 02/15/38 |
|
|
87 |
|
|
|
105,368 |
|
| 3.50%, 08/15/39 |
|
|
1,015 |
|
|
|
874,908 |
|
| 2.75%, 05/15/40 |
|
|
132 |
|
|
|
101,037 |
|
| 5.70%, 10/15/40 |
|
|
302 |
|
|
|
324,372 |
|
| 5.95%, 02/15/41 |
|
|
94 |
|
|
|
103,993 |
|
| 3.05%, 05/15/41 |
|
|
1,091 |
|
|
|
861,254 |
|
| 4.63%, 11/15/41 |
|
|
142 |
|
|
|
137,073 |
|
| 4.38%, 03/15/42 |
|
|
335 |
|
|
|
313,487 |
|
| 3.95%, 10/15/42 |
|
|
131 |
|
|
|
114,878 |
|
| 5.50%, 07/15/44 |
|
|
125 |
|
|
|
132,286 |
|
| 4.25%, 06/15/48 |
|
|
101 |
|
|
|
89,403 |
|
| 4.45%, 12/15/48 |
|
|
406 |
|
|
|
369,183 |
|
| 3.70%, 08/15/49 |
|
|
448 |
|
|
|
360,805 |
|
| 2.90%, 05/15/50 |
|
|
4 |
|
|
|
2,802 |
|
| 3.25%, 05/15/51 |
|
|
1,563 |
|
|
|
1,157,796 |
|
| 4.75%, 05/15/52 |
|
|
105 |
|
|
|
100,128 |
|
| 5.88%, 02/15/53 |
|
|
90 |
|
|
|
99,625 |
|
| 5.05%, 04/15/53 |
|
|
147 |
|
|
|
145,923 |
|
| 5.38%, 04/15/54 |
|
|
132 |
|
|
|
137,222 |
|
| 5.63%, 07/15/54 |
|
|
114 |
|
|
|
122,299 |
|
| 3.88%, 08/15/59 |
|
|
1,115 |
|
|
|
889,299 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,042,596 |
|
|
|
|
| Health Care REITs — 0.9% |
|
|
|
|
|
|
| Healthpeak OP LLC
3.50%, 07/15/29 |
|
|
269 |
|
|
|
258,034 |
|
| 3.00%, 01/15/30 |
|
|
300 |
|
|
|
279,591 |
|
| 5.25%, 12/15/32 |
|
|
158 |
|
|
|
162,760 |
|
| Ventas Realty LP, 5.63%, 07/01/34 |
|
|
1,444 |
|
|
|
1,519,602 |
|
| Welltower OP LLC
3.10%, 01/15/30 |
|
|
504 |
|
|
|
473,400 |
|
| 2.80%, 06/01/31 |
|
|
663 |
|
|
|
598,417 |
|
| 3.85%, 06/15/32 |
|
|
777 |
|
|
|
739,465 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,031,269 |
|
|
|
|
| Hotels, Restaurants & Leisure — 0.2% |
|
|
|
|
|
|
| Darden Restaurants, Inc.
10/15/27(c) |
|
|
457 |
|
|
|
456,904 |
|
| 10/15/29(c) |
|
|
457 |
|
|
|
456,136 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
913,040 |
|
|
| Independent Power and Renewable Electricity Producers — 0.3% |
|
| Algonquin Power & Utilities Corp., 5.37%, 06/15/26(e) |
|
|
1,272 |
|
|
|
1,287,373 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrial Conglomerates — 0.4% |
|
|
|
|
|
|
| 3M Co.
2.88%, 10/15/27 |
|
|
458 |
|
|
|
442,015 |
|
| 3.88%, 06/15/44 |
|
|
118 |
|
|
|
99,635 |
|
| 3.13%, 09/19/46 |
|
|
64 |
|
|
|
47,776 |
|
| 3.25%, 08/26/49 |
|
|
723 |
|
|
|
540,793 |
|
| John Deere Capital Corp., 4.20%, 07/15/27 |
|
|
560 |
|
|
|
564,607 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,694,826 |
|
|
|
|
| Industrial REITs — 0.1% |
|
|
|
|
|
|
| Prologis LP
1.75%, 07/01/30 |
|
|
28 |
|
|
|
24,422 |
|
| 5.13%, 01/15/34 |
|
|
95 |
|
|
|
98,222 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Industrial REITs (continued) |
|
|
|
|
|
|
|
|
| Prologis LP
5.00%, 03/15/34 |
|
|
USD 100 |
|
|
$ |
102,544 |
|
| 5.00%, 01/31/35 |
|
|
88 |
|
|
|
90,119 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
315,307 |
|
|
|
|
| Insurance — 1.2% |
|
|
|
|
|
|
| AEGON Funding Co. LLC, 5.50%, 04/16/27(a) |
|
|
1,786 |
|
|
|
1,825,422 |
|
| Aon Corp./Aon Global Holdings PLC
5.00%, 09/12/32 |
|
|
693 |
|
|
|
710,750 |
|
| 5.35%, 02/28/33 |
|
|
1,053 |
|
|
|
1,100,080 |
|
| 2.90%, 08/23/51 |
|
|
135 |
|
|
|
89,682 |
|
| 3.90%, 02/28/52 |
|
|
819 |
|
|
|
655,034 |
|
| Aon North America, Inc. |
|
|
|
|
|
|
|
|
| 5.45%, 03/01/34 |
|
|
493 |
|
|
|
517,611 |
|
| 5.75%, 03/01/54 |
|
|
192 |
|
|
|
203,393 |
|
| Marsh & McLennan Cos., Inc., 2.25%, 11/15/30 |
|
|
201 |
|
|
|
179,844 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,281,816 |
|
|
|
|
| Interactive Media & Services — 0.6% |
|
|
|
|
|
|
| Meta Platforms, Inc.
4.45%, 08/15/52 |
|
|
236 |
|
|
|
217,615 |
|
| 5.60%, 05/15/53 |
|
|
456 |
|
|
|
494,392 |
|
| 5.40%, 08/15/54 |
|
|
733 |
|
|
|
767,931 |
|
| 4.65%, 08/15/62 |
|
|
365 |
|
|
|
339,827 |
|
| 5.75%, 05/15/63 |
|
|
256 |
|
|
|
280,607 |
|
| 5.55%, 08/15/64 |
|
|
659 |
|
|
|
703,858 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,804,230 |
|
|
|
|
| IT Services — 0.8% |
|
|
|
|
|
|
| Fiserv, Inc.
3.85%, 06/01/25 |
|
|
219 |
|
|
|
217,466 |
|
| 4.40%, 07/01/49 |
|
|
543 |
|
|
|
479,995 |
|
| Global Payments, Inc. |
|
|
|
|
|
|
|
|
| 1.20%, 03/01/26 |
|
|
95 |
|
|
|
90,792 |
|
| 4.80%, 04/01/26 |
|
|
673 |
|
|
|
674,431 |
|
| 2.15%, 01/15/27 |
|
|
680 |
|
|
|
648,116 |
|
| Mastercard, Inc., 4.10%, 01/15/28 |
|
|
945 |
|
|
|
952,063 |
|
| S&P Global, Inc.
1.25%, 08/15/30 |
|
|
175 |
|
|
|
149,304 |
|
| 2.90%, 03/01/32 |
|
|
475 |
|
|
|
432,002 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,644,169 |
|
|
|
|
| Life Sciences Tools & Services — 0.3% |
|
|
|
|
|
|
| Agilent Technologies, Inc., 4.20%, 09/09/27 |
|
|
1,340 |
|
|
|
1,343,736 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Machinery — 0.4% |
|
|
|
|
|
|
| Cummins, Inc.
1.50%, 09/01/30 |
|
|
140 |
|
|
|
91,003 |
|
| 5.45%, 02/20/54 |
|
|
130 |
|
|
|
137,523 |
|
| Ingersoll Rand, Inc.
5.70%, 08/14/33 |
|
|
360 |
|
|
|
385,710 |
|
| 5.45%, 06/15/34 |
|
|
989 |
|
|
|
1,040,707 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,654,943 |
|
|
|
|
| Media — 0.9% |
|
|
|
|
|
|
| Charter Communications Operating LLC/Charter Communications Operating Capital
4.80%, 03/01/50 |
|
|
299 |
|
|
|
228,906 |
|
| 3.70%, 04/01/51 |
|
|
337 |
|
|
|
215,137 |
|
| 3.90%, 06/01/52 |
|
|
520 |
|
|
|
340,935 |
|
| 3.85%, 04/01/61 |
|
|
339 |
|
|
|
207,921 |
|
| Comcast Corp.
3.75%, 04/01/40 |
|
|
458 |
|
|
|
396,481 |
|
| 4.00%, 08/15/47 |
|
|
160 |
|
|
|
134,607 |
|
| 3.97%, 11/01/47 |
|
|
218 |
|
|
|
182,152 |
|
| 4.00%, 03/01/48 |
|
|
40 |
|
|
|
33,517 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Media (continued) |
|
|
|
|
|
|
|
|
| Comcast Corp. |
|
|
|
|
|
|
|
|
| 4.00%, 11/01/49 |
|
USD |
322 |
|
|
$ |
268,939 |
|
| 3.45%, 02/01/50 |
|
|
154 |
|
|
|
116,519 |
|
| 2.80%, 01/15/51 |
|
|
176 |
|
|
|
116,778 |
|
| 2.89%, 11/01/51 |
|
|
375 |
|
|
|
251,988 |
|
| 2.45%, 08/15/52 |
|
|
408 |
|
|
|
248,864 |
|
| 5.35%, 05/15/53 |
|
|
133 |
|
|
|
136,036 |
|
| 2.94%, 11/01/56 |
|
|
378 |
|
|
|
247,043 |
|
| 4.95%, 10/15/58 |
|
|
255 |
|
|
|
245,148 |
|
| 2.99%, 11/01/63 |
|
|
448 |
|
|
|
284,176 |
|
| Interpublic Group of Cos., Inc. (The), 3.38%, 03/01/41 103 |
|
|
|
80,120 |
|
| Paramount Global |
|
|
|
|
|
|
|
|
| 5.85%, 09/01/43 |
|
|
328 |
|
|
|
286,054 |
|
| 4.90%, 08/15/44 |
|
|
78 |
|
|
|
59,946 |
|
| 4.60%, 01/15/45 |
|
|
115 |
|
|
|
84,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,166,142 |
|
|
|
|
| Metals & Mining — 0.8% |
|
|
|
|
|
|
| Freeport-McMoRan, Inc., 5.40%, 11/14/34 |
|
|
120 |
|
|
|
124,453 |
|
| Glencore Canada Corp., 6.20%, 06/15/35 |
|
|
244 |
|
|
|
264,787 |
|
| Steel Dynamics, Inc., 3.25%, 10/15/50 |
|
|
1,318 |
|
|
|
926,754 |
|
| Vale Overseas Ltd. |
|
|
|
|
|
|
|
|
| 3.75%, 07/08/30 |
|
|
909 |
|
|
|
864,459 |
|
| 6.13%, 06/12/33 |
|
|
475 |
|
|
|
501,125 |
|
| 8.25%, 01/17/34 |
|
|
230 |
|
|
|
280,147 |
|
| 6.40%, 06/28/54 |
|
|
530 |
|
|
|
556,606 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,518,331 |
|
|
|
|
| Multi-Utilities — 1.9% |
|
|
|
|
|
|
| CenterPoint Energy Resources Corp., 5.40%, 07/01/34 |
|
|
86 |
|
|
|
89,439 |
|
| CMS Energy Corp. |
|
|
|
|
|
|
|
|
| 3.45%, 08/15/27 |
|
|
28 |
|
|
|
27,443 |
|
| 4.70%, 03/31/43 |
|
|
101 |
|
|
|
92,785 |
|
| 4.88%, 03/01/44 |
|
|
91 |
|
|
|
87,379 |
|
| Consumers Energy Co. |
|
|
|
|
|
|
|
|
| 3.80%, 11/15/28 |
|
|
153 |
|
|
|
151,020 |
|
| 4.70%, 01/15/30 |
|
|
719 |
|
|
|
736,850 |
|
| 3.95%, 07/15/47 |
|
|
130 |
|
|
|
110,990 |
|
| 3.75%, 02/15/50 |
|
|
28 |
|
|
|
23,000 |
|
| 2.65%, 08/15/52 |
|
|
145 |
|
|
|
96,784 |
|
| 4.20%, 09/01/52 |
|
|
240 |
|
|
|
211,164 |
|
| Dominion Energy, Inc. |
|
|
|
|
|
|
|
|
| 3.90%, 10/01/25 |
|
|
2,783 |
|
|
|
2,766,307 |
|
| Series C, 3.38%, 04/01/30 |
|
|
250 |
|
|
|
236,944 |
|
| Series D, 2.85%, 08/15/26 |
|
|
93 |
|
|
|
90,536 |
|
| NiSource, Inc. |
|
|
|
|
|
|
|
|
| 5.40%, 06/30/33 |
|
|
377 |
|
|
|
392,291 |
|
| 5.25%, 02/15/43 |
|
|
415 |
|
|
|
412,644 |
|
| 4.80%, 02/15/44 |
|
|
285 |
|
|
|
267,275 |
|
| Sempra |
|
|
|
|
|
|
|
|
| 5.40%, 08/01/26 |
|
|
1,887 |
|
|
|
1,922,161 |
|
| 4.00%, 02/01/48 |
|
|
255 |
|
|
|
206,857 |
|
| Virginia Electric & Power Co. |
|
|
|
|
|
|
|
|
| 6.35%, 11/30/37 |
|
|
70 |
|
|
|
78,585 |
|
| 4.00%, 01/15/43 |
|
|
155 |
|
|
|
133,096 |
|
| 2.45%, 12/15/50 |
|
|
207 |
|
|
|
127,937 |
|
| Series A, 6.00%, 05/15/37 |
|
|
123 |
|
|
|
134,629 |
|
| Series B, 3.80%, 09/15/47 |
|
|
256 |
|
|
|
207,936 |
|
| Series D, 4.65%, 08/15/43 |
|
|
95 |
|
|
|
89,495 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,693,547 |
|
|
|
|
| Office REITs — 0.3% |
|
|
|
|
|
|
| Alexandria Real Estate Equities, Inc. |
|
|
|
|
|
|
|
|
| 2.75%, 12/15/29 |
|
|
98 |
|
|
|
89,953 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Office REITs (continued) |
|
|
|
|
|
|
|
|
| Alexandria Real Estate Equities, Inc.
4.70%, 07/01/30 |
|
|
USD 517 |
|
|
$ |
520,727 |
|
| 4.90%, 12/15/30 |
|
|
88 |
|
|
|
89,811 |
|
| 1.88%, 02/01/33 |
|
|
190 |
|
|
|
152,679 |
|
| 5.25%, 05/15/36 |
|
|
314 |
|
|
|
319,274 |
|
| 4.85%, 04/15/49 |
|
|
32 |
|
|
|
29,245 |
|
| 3.00%, 05/18/51 |
|
|
136 |
|
|
|
90,777 |
|
| 3.55%, 03/15/52 |
|
|
221 |
|
|
|
162,060 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,454,526 |
|
|
|
|
| Oil, Gas & Consumable Fuels — 5.0% |
|
|
|
|
|
|
| Atmos Energy Corp.
6.20%, 11/15/53 |
|
|
112 |
|
|
|
129,105 |
|
| 12/15/54(c) |
|
|
297 |
|
|
|
290,084 |
|
| Cameron LNG LLC
3.30%, 01/15/35(a) |
|
|
479 |
|
|
|
413,378 |
|
| 3.40%, 01/15/38(a) |
|
|
85 |
|
|
|
72,681 |
|
| Cheniere Corpus Christi Holdings LLC, 3.70%, 11/15/29 |
|
|
591 |
|
|
|
568,191 |
|
| Cheniere Energy Partners LP
3.25%, 01/31/32 |
|
|
523 |
|
|
|
467,675 |
|
| 5.95%, 06/30/33 |
|
|
164 |
|
|
|
173,536 |
|
| 5.75%, 08/15/34(a) |
|
|
876 |
|
|
|
912,573 |
|
| Cheniere Energy, Inc., 5.65%, 04/15/34(a) |
|
|
1,240 |
|
|
|
1,282,916 |
|
| Chevron U.S.A., Inc., 5.25%, 11/15/43 |
|
|
168 |
|
|
|
175,978 |
|
| ConocoPhillips, 4.88%, 10/01/47 |
|
|
105 |
|
|
|
102,002 |
|
| ConocoPhillips Co.
6.95%, 04/15/29 |
|
|
1,287 |
|
|
|
1,431,211 |
|
| 3.80%, 03/15/52 |
|
|
364 |
|
|
|
291,881 |
|
| 5.30%, 05/15/53 |
|
|
147 |
|
|
|
148,561 |
|
| 5.55%, 03/15/54 |
|
|
96 |
|
|
|
100,367 |
|
| DCP Midstream Operating LP
8.13%, 08/16/30 |
|
|
77 |
|
|
|
90,514 |
|
| 3.25%, 02/15/32 |
|
|
1,207 |
|
|
|
1,069,667 |
|
| Diamondback Energy, Inc.
3.50%, 12/01/29 |
|
|
807 |
|
|
|
767,543 |
|
| 3.13%, 03/24/31 |
|
|
791 |
|
|
|
721,129 |
|
| 4.40%, 03/24/51 |
|
|
110 |
|
|
|
91,275 |
|
| 4.25%, 03/15/52 |
|
|
111 |
|
|
|
89,981 |
|
| 6.25%, 03/15/53 |
|
|
695 |
|
|
|
744,542 |
|
| 5.75%, 04/18/54 |
|
|
214 |
|
|
|
215,642 |
|
| 5.90%, 04/18/64 |
|
|
173 |
|
|
|
174,374 |
|
| Enbridge, Inc.
2.50%, 01/15/25 |
|
|
609 |
|
|
|
604,445 |
|
| 5.70%, 03/08/33 |
|
|
128 |
|
|
|
134,906 |
|
| 2.50%, 08/01/33 |
|
|
686 |
|
|
|
576,084 |
|
| 5.63%, 04/05/34 |
|
|
330 |
|
|
|
346,109 |
|
| Series 20-A, 5.75%, 07/15/80 |
|
|
202 |
|
|
|
198,331 |
|
| Energy Transfer LP
5.15%, 03/15/45 |
|
|
225 |
|
|
|
209,673 |
|
| 5.30%, 04/15/47 |
|
|
110 |
|
|
|
103,654 |
|
| 5.40%, 10/01/47 |
|
|
120 |
|
|
|
114,270 |
|
| 6.00%, 06/15/48 |
|
|
127 |
|
|
|
130,025 |
|
| 6.25%, 04/15/49 |
|
|
101 |
|
|
|
106,202 |
|
| 5.00%, 05/15/50 |
|
|
291 |
|
|
|
262,895 |
|
| Enterprise Products Operating LLC
4.20%, 01/31/50 |
|
|
359 |
|
|
|
306,278 |
|
| Series H, 6.65%, 10/15/34 |
|
|
77 |
|
|
|
87,640 |
|
| EQT Corp.
3.13%, 05/15/26(a) |
|
|
90 |
|
|
|
87,627 |
|
| 5.75%, 02/01/34 |
|
|
86 |
|
|
|
88,373 |
|
| Exxon Mobil Corp.
4.23%, 03/19/40 |
|
|
136 |
|
|
|
127,323 |
|
|
|
|
| 42 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
| Oil, Gas & Consumable Fuels (continued) |
|
|
|
|
|
| Exxon Mobil Corp.
3.57%, 03/06/45 |
|
|
USD 124 |
|
|
$ |
102,775 |
|
| 4.11%, 03/01/46 |
|
|
108 |
|
|
|
96,247 |
|
| 3.10%, 08/16/49 |
|
|
299 |
|
|
|
219,540 |
|
| 4.33%, 03/19/50 |
|
|
102 |
|
|
|
92,385 |
|
| 3.45%, 04/15/51 |
|
|
115 |
|
|
|
89,112 |
|
| Hess Corp.
7.30%, 08/15/31 |
|
|
1,290 |
|
|
|
1,477,226 |
|
| 5.80%, 04/01/47 |
|
|
345 |
|
|
|
363,747 |
|
| Kinder Morgan, Inc.
4.30%, 06/01/25 |
|
|
75 |
|
|
|
74,659 |
|
| 5.05%, 02/15/46 |
|
|
97 |
|
|
|
89,644 |
|
| Marathon Oil Corp., 4.40%, 07/15/27 |
|
|
521 |
|
|
|
521,631 |
|
| Ovintiv, Inc., 5.65%, 05/15/25 |
|
|
1,537 |
|
|
|
1,542,975 |
|
| Pioneer Natural Resources Co.
5.10%, 03/29/26 |
|
|
259 |
|
|
|
262,653 |
|
| 1.90%, 08/15/30 |
|
|
785 |
|
|
|
688,232 |
|
| 2.15%, 01/15/31 |
|
|
171 |
|
|
|
150,224 |
|
| Sabine Pass Liquefaction LLC
5.88%, 06/30/26 |
|
|
363 |
|
|
|
368,930 |
|
| 5.00%, 03/15/27 |
|
|
126 |
|
|
|
127,635 |
|
| Saudi Arabian Oil Co.
5.75%, 07/17/54(a) |
|
|
390 |
|
|
|
394,680 |
|
| 5.88%, 07/17/64(a) |
|
|
505 |
|
|
|
509,444 |
|
| South Bow U.S.A. Infrastructure Holdings LLC, 5.03%, 10/01/29(a) |
|
|
291 |
|
|
|
291,760 |
|
| Targa Resources Corp.
4.20%, 02/01/33 |
|
|
157 |
|
|
|
148,662 |
|
| 6.13%, 03/15/33 |
|
|
230 |
|
|
|
246,822 |
|
| 5.50%, 02/15/35 |
|
|
162 |
|
|
|
166,841 |
|
| Western Midstream Operating LP
3.10%, 02/01/25 |
|
|
325 |
|
|
|
322,281 |
|
| 3.95%, 06/01/25 |
|
|
604 |
|
|
|
599,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,955,946 |
|
|
|
|
| Passenger Airlines — 0.3% |
|
|
|
|
|
|
| United Airlines Pass-Through Trust, Series 2024-1, A, 5.88%, 02/15/37 |
|
|
1,283 |
|
|
|
1,321,771 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals — 2.1% |
|
|
|
|
|
|
| Bayer U.S. Finance II LLC
4.25%, 12/15/25(a) |
|
|
215 |
|
|
|
213,445 |
|
| 4.38%, 12/15/28(a) |
|
|
200 |
|
|
|
197,384 |
|
| 4.20%, 07/15/34(a) |
|
|
723 |
|
|
|
670,107 |
|
| Bayer U.S. Finance LLC
6.25%, 01/21/29(a) |
|
|
1,301 |
|
|
|
1,375,298 |
|
| 6.50%, 11/21/33(a) |
|
|
220 |
|
|
|
238,116 |
|
| Eli Lilly & Co.
4.60%, 08/14/34 |
|
|
452 |
|
|
|
459,090 |
|
| 2.25%, 05/15/50 |
|
|
142 |
|
|
|
89,434 |
|
| 4.88%, 02/27/53 |
|
|
203 |
|
|
|
203,230 |
|
| 5.05%, 08/14/54 |
|
|
88 |
|
|
|
90,170 |
|
| 4.15%, 03/15/59 |
|
|
227 |
|
|
|
199,164 |
|
| Pfizer Investment Enterprises Pte Ltd., 5.11%, 05/19/43 |
|
|
113 |
|
|
|
115,051 |
|
| Pfizer, Inc.
4.10%, 09/15/38 |
|
|
313 |
|
|
|
293,930 |
|
| 3.90%, 03/15/39 |
|
|
199 |
|
|
|
181,562 |
|
| 2.55%, 05/28/40 |
|
|
219 |
|
|
|
164,130 |
|
| 4.30%, 06/15/43 |
|
|
641 |
|
|
|
593,575 |
|
| 4.40%, 05/15/44 |
|
|
1,818 |
|
|
|
1,728,775 |
|
| Takeda Pharmaceutical Co. Ltd.
5.30%, 07/05/34 |
|
|
1,655 |
|
|
|
1,727,200 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Pharmaceuticals (continued) |
|
|
|
|
|
|
|
|
| Takeda Pharmaceutical Co. Ltd. |
|
|
|
|
|
|
|
|
| 3.18%, 07/09/50 |
|
|
USD 877 |
|
|
$ |
629,627 |
|
| 5.65%, 07/05/54 |
|
|
332 |
|
|
|
348,675 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,517,963 |
|
|
|
|
| Professional Services — 0.4% |
|
|
|
|
|
|
| Equifax, Inc., 4.80%, 09/15/29 |
|
|
1,995 |
|
|
|
2,017,581 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Residential REITs — 0.4% |
|
|
|
|
|
|
| American Homes 4 Rent LP |
|
|
|
|
|
|
|
|
| 5.50%, 02/01/34 |
|
|
569 |
|
|
|
587,544 |
|
| 5.50%, 07/15/34 |
|
|
188 |
|
|
|
194,422 |
|
| AvalonBay Communities, Inc., 5.00%, 02/15/33 |
|
|
101 |
|
|
|
103,279 |
|
| Camden Property Trust, 2.80%, 05/15/30 |
|
|
109 |
|
|
|
100,851 |
|
| Invitation Homes Operating Partnership LP |
|
|
|
|
|
|
|
|
| 2.00%, 08/15/31 |
|
|
187 |
|
|
|
156,949 |
|
| 5.50%, 08/15/33 |
|
|
196 |
|
|
|
201,794 |
|
| 2.70%, 01/15/34 |
|
|
256 |
|
|
|
214,147 |
|
| 4.88%, 02/01/35 |
|
|
152 |
|
|
|
150,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,709,033 |
|
|
|
|
| Retail REITs — 0.6% |
|
|
|
|
|
|
| Brixmor Operating Partnership LP, 2.25%, 04/01/28 |
|
|
220 |
|
|
|
202,850 |
|
| Realty Income Corp. |
|
|
|
|
|
|
|
|
| 4.70%, 12/15/28 |
|
|
173 |
|
|
|
175,539 |
|
| 3.25%, 01/15/31 |
|
|
645 |
|
|
|
601,711 |
|
| 3.20%, 02/15/31 |
|
|
254 |
|
|
|
235,350 |
|
| 5.38%, 09/01/54 |
|
|
100 |
|
|
|
101,791 |
|
| Regency Centers LP, 5.10%, 01/15/35 |
|
|
1,166 |
|
|
|
1,186,661 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,503,902 |
|
|
|
| Semiconductors & Semiconductor Equipment — 2.4% |
|
|
|
|
| Analog Devices, Inc. |
|
|
|
|
|
|
|
|
| 2.80%, 10/01/41 |
|
|
219 |
|
|
|
165,940 |
|
| 5.30%, 12/15/45 |
|
|
114 |
|
|
|
117,574 |
|
| AP Grange Holdings LLC, 6.50%, 03/20/45 (Acquired 06/21/24, cost $746,207)(f)(g) |
|
|
746 |
|
|
|
751,803 |
|
| Applied Materials, Inc. |
|
|
|
|
|
|
|
|
| 3.30%, 04/01/27 |
|
|
406 |
|
|
|
399,789 |
|
| 1.75%, 06/01/30 |
|
|
299 |
|
|
|
262,548 |
|
| Broadcom, Inc. |
|
|
|
|
|
|
|
|
| 02/15/28(c) |
|
|
810 |
|
|
|
809,148 |
|
| 4.30%, 11/15/32 |
|
|
134 |
|
|
|
131,620 |
|
| 2.60%, 02/15/33(a) |
|
|
1,028 |
|
|
|
881,247 |
|
| 3.47%, 04/15/34(a) |
|
|
480 |
|
|
|
432,238 |
|
| 3.14%, 11/15/35(a) |
|
|
1,598 |
|
|
|
1,366,506 |
|
| 3.19%, 11/15/36(a) |
|
|
1,077 |
|
|
|
912,798 |
|
| 4.93%, 05/15/37(a) |
|
|
1,158 |
|
|
|
1,156,998 |
|
| Intel Corp., 3.10%, 02/15/60 |
|
|
649 |
|
|
|
394,731 |
|
| KLA Corp. |
|
|
|
|
|
|
|
|
| 5.00%, 03/15/49 |
|
|
94 |
|
|
|
93,436 |
|
| 3.30%, 03/01/50 |
|
|
1,194 |
|
|
|
903,208 |
|
| Lam Research Corp., 4.88%, 03/15/49 |
|
|
291 |
|
|
|
284,641 |
|
| Micron Technology, Inc. |
|
|
|
|
|
|
|
|
| 5.88%, 02/09/33 |
|
|
164 |
|
|
|
175,129 |
|
| 5.88%, 09/15/33 |
|
|
171 |
|
|
|
182,890 |
|
| NVIDIA Corp., 3.50%, 04/01/40 |
|
|
316 |
|
|
|
279,295 |
|
| NXP BV/NXP Funding LLC/NXP U.S.A., Inc., 2.65%, 02/15/32 |
|
|
1,303 |
|
|
|
1,130,587 |
|
| QUALCOMM, Inc., 6.00%, 05/20/53 |
|
|
140 |
|
|
|
158,659 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,990,785 |
|
|
|
|
| Software — 2.0% |
|
|
|
|
|
|
| Cadence Design Systems, Inc., 4.20%, 09/10/27 |
|
|
870 |
|
|
|
874,274 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Software (continued) |
|
|
|
|
|
|
|
|
| Oracle Corp. |
|
|
|
|
|
|
| 4.20%, 09/27/29 |
|
|
USD 1,331 |
|
|
$ |
1,328,308 |
|
| 3.60%, 04/01/40 |
|
|
171 |
|
|
|
142,269 |
|
| 5.38%, 07/15/40 |
|
|
762 |
|
|
|
777,248 |
|
| 4.50%, 07/08/44 |
|
|
718 |
|
|
|
647,796 |
|
| 4.13%, 05/15/45 |
|
|
240 |
|
|
|
203,599 |
|
| 4.00%, 07/15/46 |
|
|
225 |
|
|
|
186,646 |
|
| 4.00%, 11/15/47 |
|
|
359 |
|
|
|
294,755 |
|
| 3.60%, 04/01/50 |
|
|
1,682 |
|
|
|
1,280,511 |
|
| 3.95%, 03/25/51 |
|
|
554 |
|
|
|
445,861 |
|
| 6.90%, 11/09/52 |
|
|
97 |
|
|
|
116,922 |
|
| 5.55%, 02/06/53 |
|
|
315 |
|
|
|
322,355 |
|
| 5.38%, 09/27/54 |
|
|
240 |
|
|
|
239,853 |
|
| 5.50%, 09/27/64 |
|
|
578 |
|
|
|
575,779 |
|
| VMware LLC |
|
|
|
|
|
|
| 4.70%, 05/15/30 |
|
|
1,042 |
|
|
|
1,049,800 |
|
| 2.20%, 08/15/31 |
|
|
905 |
|
|
|
777,345 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,263,321 |
|
|
|
|
| Specialized REITs — 0.4% |
|
|
|
|
|
|
| Extra Space Storage LP |
|
|
|
|
|
|
| 5.40%, 02/01/34 |
|
|
183 |
|
|
|
188,998 |
|
| 5.35%, 01/15/35 |
|
|
1,392 |
|
|
|
1,422,383 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,611,381 |
|
|
|
|
| Specialty Retail — 0.8% |
|
|
|
|
|
|
| Home Depot, Inc. (The) |
|
|
|
|
|
|
| 4.85%, 06/25/31 |
|
|
1,441 |
|
|
|
1,493,723 |
|
| 3.25%, 04/15/32 |
|
|
234 |
|
|
|
218,969 |
|
| 3.90%, 06/15/47 |
|
|
120 |
|
|
|
102,492 |
|
| 4.50%, 12/06/48 |
|
|
110 |
|
|
|
102,871 |
|
| 3.35%, 04/15/50 |
|
|
222 |
|
|
|
170,635 |
|
| 2.38%, 03/15/51 |
|
|
159 |
|
|
|
99,809 |
|
| 2.75%, 09/15/51 |
|
|
151 |
|
|
|
102,081 |
|
| 3.63%, 04/15/52 |
|
|
145 |
|
|
|
116,671 |
|
| 4.95%, 09/15/52 |
|
|
104 |
|
|
|
103,757 |
|
| 5.30%, 06/25/54 |
|
|
107 |
|
|
|
112,453 |
|
| 3.50%, 09/15/56 |
|
|
118 |
|
|
|
90,785 |
|
| Lowe’s Cos., Inc. |
|
|
|
|
|
|
| 4.55%, 04/05/49 |
|
|
161 |
|
|
|
143,327 |
|
| 5.13%, 04/15/50 |
|
|
214 |
|
|
|
208,595 |
|
| 3.00%, 10/15/50 |
|
|
189 |
|
|
|
128,481 |
|
| 3.50%, 04/01/51 |
|
|
441 |
|
|
|
325,976 |
|
| 5.63%, 04/15/53 |
|
|
151 |
|
|
|
157,171 |
|
| 5.75%, 07/01/53 |
|
|
110 |
|
|
|
116,068 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,793,864 |
|
|
| Technology Hardware, Storage & Peripherals — 0.1% |
|
| Dell International LLC/EMC Corp. |
|
|
|
|
|
|
| 5.85%, 07/15/25 |
|
|
235 |
|
|
|
236,792 |
|
| 5.75%, 02/01/33 |
|
|
84 |
|
|
|
90,150 |
|
| 8.10%, 07/15/36 |
|
|
72 |
|
|
|
89,682 |
|
| 3.38%, 12/15/41 |
|
|
149 |
|
|
|
117,029 |
|
| 8.35%, 07/15/46 |
|
|
78 |
|
|
|
105,477 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
639,130 |
|
|
|
|
| Tobacco — 0.8% |
|
|
|
|
|
|
| Altria Group, Inc. |
|
|
|
|
|
|
| 3.88%, 09/16/46 |
|
|
390 |
|
|
|
304,562 |
|
| 4.45%, 05/06/50 |
|
|
245 |
|
|
|
205,286 |
|
| 6.20%, 02/14/59 |
|
|
81 |
|
|
|
85,838 |
|
| BAT Capital Corp. |
|
|
|
|
|
|
| 6.34%, 08/02/30 |
|
|
1,993 |
|
|
|
2,157,169 |
|
| 4.54%, 08/15/47 |
|
|
547 |
|
|
|
462,032 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Tobacco (continued) |
|
|
|
|
|
|
|
|
| BAT Capital Corp. |
|
|
|
|
|
|
| 5.28%, 04/02/50 |
|
|
USD 408 |
|
|
$ |
382,056 |
|
| 7.08%, 08/02/53 |
|
|
193 |
|
|
|
223,977 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,820,920 |
|
|
|
|
| Trading Companies & Distributors — 0.5% |
|
|
|
|
|
|
| Air Lease Corp. |
|
|
|
|
|
|
| 2.88%, 01/15/26 |
|
|
154 |
|
|
|
150,838 |
|
| 1.88%, 08/15/26 |
|
|
2,230 |
|
|
|
2,129,260 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,280,098 |
|
|
|
| Wireless Telecommunication Services — 1.4% |
|
|
|
|
| America Movil SAB de CV, 4.38%, 04/22/49 |
|
421 |
|
|
375,216 |
|
| Rogers Communications, Inc. |
|
|
|
|
|
|
| 3.80%, 03/15/32 |
|
|
1,803 |
|
|
|
1,672,867 |
|
| 4.30%, 02/15/48 |
|
|
266 |
|
|
|
223,286 |
|
| 3.70%, 11/15/49 |
|
|
601 |
|
|
|
452,716 |
|
| 4.55%, 03/15/52 |
|
|
170 |
|
|
|
147,209 |
|
| T-Mobile U.S.A., Inc. |
|
|
|
|
|
|
| 3.88%, 04/15/30 |
|
|
1,256 |
|
|
|
1,221,423 |
|
| 4.38%, 04/15/40 |
|
|
827 |
|
|
|
762,595 |
|
| 4.50%, 04/15/50 |
|
|
150 |
|
|
|
133,418 |
|
| 3.30%, 02/15/51 |
|
|
290 |
|
|
|
210,524 |
|
| 3.40%, 10/15/52 |
|
|
186 |
|
|
|
136,149 |
|
| 5.75%, 01/15/54 |
|
|
345 |
|
|
|
366,722 |
|
| 6.00%, 06/15/54 |
|
|
453 |
|
|
|
499,109 |
|
| 5.50%, 01/15/55 |
|
|
310 |
|
|
|
321,126 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,522,360 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Bonds — 80.6% |
|
|
|
|
|
|
| (Cost: $363,167,801) |
|
|
|
|
|
|
368,106,447 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Agency Obligations |
|
|
|
|
|
|
|
|
|
| Mexico — 0.5% |
|
|
|
|
|
|
| Petroleos Mexicanos, 6.70%, 02/16/32 |
|
2,470 |
|
|
2,208,551 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Panama — 0.1% |
|
|
|
|
|
|
| Banco Nacional de Panama, 2.50%, 08/11/30(a) 560 |
|
|
462,526 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Foreign Agency Obligations — 0.6% |
|
|
|
|
|
|
| (Cost: $2,550,627) |
|
|
|
|
|
|
2,671,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Government Obligations |
|
|
|
|
|
|
|
|
|
| Chile — 0.4% |
|
|
|
|
|
|
| Republic of Chile |
|
|
|
|
|
|
| 3.50%, 01/25/50 |
|
|
794 |
|
|
|
608,998 |
|
| 5.33%, 01/05/54 |
|
|
618 |
|
|
|
625,725 |
|
| 3.10%, 01/22/61 |
|
|
752 |
|
|
|
499,328 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,734,051 |
|
|
|
|
| Indonesia — 0.4% |
|
|
|
|
|
|
| Republic of Indonesia |
|
|
|
|
|
|
| 5.45%, 09/20/52 |
|
|
700 |
|
|
|
741,125 |
|
| 5.65%, 01/11/53 |
|
|
1,125 |
|
|
|
1,221,328 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,962,453 |
|
|
|
|
| Israel — 0.2% |
|
|
|
|
|
|
| State of Israel, 5.75%, 03/12/54 |
|
768 |
|
|
730,800 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mexico — 1.4% |
|
|
|
|
|
|
| United Mexican States |
|
|
|
|
|
|
| 4.40%, 02/12/52 |
|
|
501 |
|
|
|
385,144 |
|
| 6.34%, 05/04/53 |
|
|
1,764 |
|
|
|
1,753,526 |
|
| 6.40%, 05/07/54 |
|
|
4,324 |
|
|
|
4,334,810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,473,480 |
|
|
|
|
| 44 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series C Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Panama — 0.2% |
|
|
|
|
|
|
|
|
| Republic of Panama |
|
|
|
|
|
|
|
|
| 8.00%, 03/01/38 |
|
|
USD 600 |
|
|
$ |
675,900 |
|
| 4.50%, 04/16/50 |
|
|
244 |
|
|
|
179,325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
855,225 |
|
|
|
|
| Peru — 0.5% |
|
|
|
|
|
|
| Republic of Peru |
|
|
|
|
|
|
|
|
| 3.30%, 03/11/41 |
|
|
675 |
|
|
|
532,940 |
|
| 5.88%, 08/08/54 |
|
|
1,199 |
|
|
|
1,256,432 |
|
| 2.78%, 12/01/60 |
|
|
1,097 |
|
|
|
661,809 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,451,181 |
|
|
|
|
| Philippines — 0.2% |
|
|
|
|
|
|
| Republic of the Philippines, 4.75%, 03/05/35 |
|
|
745 |
|
|
|
752,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Romania — 0.1% |
|
|
|
|
|
|
| Romania, 5.75%, 03/24/35(a) |
|
|
702 |
|
|
|
696,735 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Uruguay — 0.2% |
|
|
|
|
|
|
| Oriental Republic of Uruguay |
|
|
|
|
|
|
|
|
| 5.10%, 06/18/50 |
|
|
868 |
|
|
|
864,962 |
|
| 5.25%, 09/10/60 |
|
|
136 |
|
|
|
136,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,000,962 |
|
|
|
|
|
|
|
|
|
|
|
| Total Foreign Government Obligations — 3.6% |
|
| (Cost: $16,565,526) |
|
|
|
|
|
|
16,657,337 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Bonds |
|
|
|
|
|
|
|
|
|
| California — 0.5% |
|
|
|
|
|
|
| Los Angeles Department of Water & Power Power System RB, 6.57%, 07/01/45 |
|
|
1,075 |
|
|
|
1,255,637 |
|
| State of California, GO, 7.63%, 03/01/40 |
|
|
950 |
|
|
|
1,189,438 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,445,075 |
|
|
|
|
| Illinois — 0.2% |
|
|
|
|
|
|
| Chicago O’Hare International Airport RB, Series B, 6.40%, 01/01/40 |
|
|
1,000 |
|
|
|
1,137,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| New York — 0.5% |
|
|
|
|
|
|
| Metropolitan Transportation Authority, New York RB, 7.34%, 11/15/39 |
|
|
985 |
|
|
|
1,195,463 |
|
| New York State Dormitory Authority RB, Series F, 3.11%, 02/15/39 |
|
|
590 |
|
|
|
511,302 |
|
| Port Authority of New York & New Jersey RB, 4.46%, 10/01/62 |
|
|
385 |
|
|
|
357,534 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,064,299 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Municipal Bonds — 1.2% |
|
|
|
|
|
|
| (Cost: $5,400,424) |
|
|
|
|
|
|
5,646,936 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Preferred Securities |
|
|
|
|
|
|
|
|
|
| Capital Trusts — 1.4% |
|
|
|
|
|
|
|
|
|
| Automobile Components — 0.2% |
|
|
|
|
|
|
| Aptiv PLC/Aptiv Global Financing DAC, 6.88%, 12/15/54 |
|
|
1,105 |
|
|
|
1,116,611 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Capital Markets — 0.1% |
|
|
|
|
|
|
| Goldman Sachs Group, Inc. (The), NVS, Series U, 3.65%(h) |
|
|
135 |
|
|
|
127,971 |
|
| UBS Group AG, 7.00%(b)(h) |
|
|
273 |
|
|
|
273,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
401,621 |
|
|
|
|
| Electric Utilities — 0.9% |
|
|
|
|
|
|
| American Electric Power Co., Inc. 3.88%, 02/15/62 |
|
|
697 |
|
|
|
657,341 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Electric Utilities (continued) |
|
|
|
|
|
|
|
|
| American Electric Power Co., Inc. 5.70%, 08/15/25 |
|
|
USD 1,472 |
|
|
$ |
1,483,659 |
|
| NextEra Energy Capital Holdings, Inc., 6.75%, 06/15/54 |
|
|
1,815 |
|
|
|
1,958,552 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,099,552 |
|
|
|
|
| Multi-Utilities — 0.2% |
|
|
|
|
|
|
| Dominion Energy, Inc., Series B, 7.00%, 06/01/54 |
|
|
361 |
|
|
|
394,149 |
|
| Sempra, 6.88%, 10/01/54 |
|
|
619 |
|
|
|
641,624 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,035,773 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Preferred Securities — 1.4% |
|
|
|
|
| (Cost: $6,405,511) |
|
|
|
|
|
|
6,653,557 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Obligations |
|
|
|
|
|
|
| U.S. Treasury Bonds |
|
|
|
|
|
|
|
|
| 4.75%, 11/15/43 |
|
|
225 |
|
|
|
242,710 |
|
| 4.63%, 05/15/44(i) |
|
|
4,325 |
|
|
|
4,583,824 |
|
| 3.00%, 05/15/45 - 02/15/49 |
|
|
2,000 |
|
|
|
1,624,590 |
|
| 2.75%, 08/15/47 |
|
|
510 |
|
|
|
398,019 |
|
| U.S. Treasury Notes |
|
|
|
|
|
|
|
|
| 3.75%, 08/15/27 |
|
|
11,900 |
|
|
|
11,956,711 |
|
| 4.13%, 03/31/29 |
|
|
12,000 |
|
|
|
12,272,344 |
|
| 2.88%, 04/30/29 |
|
|
2,500 |
|
|
|
2,425,879 |
|
| 4.25%, 06/30/29 |
|
|
7,000 |
|
|
|
7,204,531 |
|
| 1.63%, 05/15/31 |
|
|
5,000 |
|
|
|
4,408,008 |
|
| 4.38%, 05/15/34 |
|
|
800 |
|
|
|
837,875 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations — 10.1% |
|
|
|
|
| (Cost: $45,562,775) |
|
|
|
|
|
|
45,954,491 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Long-Term Investments — 97.5% |
|
|
|
|
| (Cost: $439,652,664) |
|
|
|
|
|
|
445,689,845 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
|
|
|
|
|
| Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
| Money Market Funds — 2.2% |
|
|
|
|
|
|
| Dreyfus Treasury Securities Cash Management, Institutional Class, 4.88%(j) |
|
|
9,893,762 |
|
|
|
9,893,762 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Short-Term Securities — 2.2% |
|
|
|
|
| (Cost: $9,893,762) |
|
|
|
|
|
|
9,893,762 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Options Purchased — 0.1% |
|
|
|
|
|
|
| (Cost: $287,028) |
|
|
|
|
|
|
302,830 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments Before Options Written — 99.8% |
|
|
|
|
| (Cost: $449,833,454) |
|
|
|
|
|
|
455,886,437 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Options Written — (0.3)% |
|
|
|
|
|
|
| (Premiums Received: $(1,487,417)) |
|
|
|
(1,492,050 |
) |
|
|
|
|
|
|
|
|
|
|
|
| Total Investments Net of Options Written — 99.5% |
|
|
|
|
| (Cost: $448,346,037) |
|
|
|
|
|
|
454,394,387 |
|
|
|
| Other Assets Less Liabilities — 0.5% |
|
|
2,445,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Assets — 100.0% |
|
|
|
|
$456,840,337 |
|
|
|
|
|
|
|
|
|
|
| (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) |
This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
| (c) |
When-issued security. |
| (e) |
Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series C Portfolio |
| (f) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| (g) |
Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $751,803, representing 0.2% of its net assets as of period end, and an original cost of $746,207. |
| (h) |
Perpetual security with no stated maturity date. |
| (i) |
All or a portion of the security has been pledged as collateral in connection with outstanding OTC derivatives. |
| (j) |
Annualized 7-day yield as of period end. |
For purposes of this report, industry and sector sub-classifications may differ from those utilized by the Fund for compliance purposes.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| Description |
|
Number of Contracts |
|
|
Expiration Date |
|
|
Notional Amount (000) |
|
|
Value/ Unrealized Appreciation (Depreciation) |
|
| Long Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Bonds (30 Year) |
|
|
84 |
|
|
|
12/19/24 |
|
|
$ |
10,432 |
|
|
$ |
(121,351 |
) |
| U.S. Treasury Notes (10 Year) |
|
|
41 |
|
|
|
12/19/24 |
|
|
|
4,686 |
|
|
|
(7,390 |
) |
| U.S. Treasury Notes (5 Year) |
|
|
229 |
|
|
|
12/31/24 |
|
|
|
25,163 |
|
|
|
(108,694 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(237,435 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Ultra Treasury Bonds |
|
|
102 |
|
|
|
12/19/24 |
|
|
|
13,576 |
|
|
|
170,388 |
|
| U.S. Ultra Treasury Notes (10 Year) |
|
|
155 |
|
|
|
12/19/24 |
|
|
|
18,336 |
|
|
|
136,702 |
|
| U.S. Treasury Notes (2 Year) |
|
|
28 |
|
|
|
12/31/24 |
|
|
|
5,831 |
|
|
|
3,753 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
310,843 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
73,408 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Interest Rate Swaptions Purchased
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Paid by the Fund |
|
Received by the Fund |
|
|
|
Expiration |
|
|
Exercise |
|
|
Notional
Amount |
|
|
|
|
| Description |
|
Rate |
|
Frequency |
|
Rate |
|
Frequency |
|
Counterparty |
|
Date |
|
|
Rate |
|
|
(000) |
|
|
Value |
|
| Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 30-Year Interest Rate Swap, 09/25/55 |
|
3.48% |
|
Annual |
|
1-day SOFR, 4.96% |
|
Annual |
|
Goldman Sachs Bank USA |
|
|
09/23/25 |
|
|
|
3.48 |
% |
|
|
USD 6,500 |
|
|
$ |
302,830 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2-Year Interest Rate Swap, 09/18/27 |
|
2.42% |
|
Annual |
|
1-day SOFR, 4.96% |
|
Annual |
|
Goldman Sachs Bank USA |
|
|
09/16/25 |
|
|
|
2.42 |
% |
|
|
USD 133,260 |
|
|
$ |
(501,823 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Put |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2-Year Interest Rate Swap, 09/18/27 |
|
1-day SOFR, 4.96% |
|
Annual |
|
3.42% |
|
Annual |
|
Goldman Sachs Bank USA |
|
|
09/16/25 |
|
|
|
3.42 |
% |
|
|
USD 133,260 |
|
|
|
(658,944 |
) |
| 2-Year Interest Rate Swap, 09/25/27 |
|
1-day SOFR, 4.96% |
|
Annual |
|
3.44% |
|
Annual |
|
Goldman Sachs Bank USA |
|
|
09/23/25 |
|
|
|
3.44 |
% |
|
|
USD 68,170 |
|
|
|
(331,283 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(990,227 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,492,050 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 46 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series C Portfolio |
Centrally Cleared Credit Default Swaps — Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Obligation/Index |
|
Financing Rate Paid by the Fund |
|
|
Payment
Frequency |
|
Termination Date |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
| CDX.NA.IG.43.V1 |
|
|
1.00 |
% |
|
Quarterly |
|
|
12/20/29 |
|
|
|
USD 35,974 |
|
|
$ |
(815,274 |
) |
|
$ |
(811,863 |
) |
|
$ |
(3,411 |
) |
OTC Credit Default Swaps — Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Obligation/Index |
|
Financing Rate Paid by the Fund |
|
|
Payment Frequency |
|
Counterparty |
|
Termination Date |
|
|
Notional Amount (000) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
| DR Horton, Inc. |
|
|
1.00 |
% |
|
Quarterly |
|
Barclays Bank PLC |
|
|
12/20/29 |
|
|
|
USD 1,330 |
|
|
$ |
(33,303 |
) |
|
$ |
(29,579 |
) |
|
$ |
(3,724 |
) |
OTC Credit Default Swaps — Sell Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Reference Obligation/Index |
|
Financing Rate Received by the Fund |
|
|
Payment Frequency |
|
Counterparty |
|
Termination Date |
|
|
Credit Rating(a) |
|
Notional Amount (000)(b) |
|
|
Value |
|
|
Upfront Premium Paid (Received) |
|
|
Unrealized Appreciation (Depreciation) |
|
| Verizon Communications, Inc. |
|
|
1.00 |
% |
|
Quarterly |
|
Deutsche Bank AG |
|
|
12/20/24 |
|
|
BBB+ |
|
|
USD |
|
|
|
2,211 |
|
|
$ |
4,769 |
|
|
$ |
1,322 |
|
|
$ |
3,447 |
|
| AT&T Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB |
|
|
USD |
|
|
|
655 |
|
|
|
12,523 |
|
|
|
8,983 |
|
|
|
3,540 |
|
| AT&T Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB |
|
|
USD |
|
|
|
139 |
|
|
|
2,658 |
|
|
|
2,111 |
|
|
|
547 |
|
| AT&T Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB |
|
|
USD |
|
|
|
139 |
|
|
|
2,658 |
|
|
|
2,107 |
|
|
|
551 |
|
| AT&T Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Deutsche Bank AG |
|
|
06/20/29 |
|
|
BBB |
|
|
USD |
|
|
|
177 |
|
|
|
3,384 |
|
|
|
2,427 |
|
|
|
957 |
|
| Broadcom, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB |
|
|
USD |
|
|
|
659 |
|
|
|
16,212 |
|
|
|
13,789 |
|
|
|
2,423 |
|
| Broadcom, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Citibank N.A. |
|
|
06/20/29 |
|
|
BBB |
|
|
USD |
|
|
|
368 |
|
|
|
9,053 |
|
|
|
7,720 |
|
|
|
1,333 |
|
| Broadcom, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Citibank N.A. |
|
|
06/20/29 |
|
|
BBB |
|
|
USD |
|
|
|
368 |
|
|
|
9,053 |
|
|
|
7,720 |
|
|
|
1,333 |
|
| Energy Transfer LP |
|
|
1.00 |
|
|
Quarterly |
|
Barclays Bank PLC |
|
|
06/20/29 |
|
|
BBB |
|
|
USD |
|
|
|
1,390 |
|
|
|
19,422 |
|
|
|
22,558 |
|
|
|
(3,136 |
) |
| Ford Motor Co. |
|
|
5.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB- |
|
|
USD |
|
|
|
328 |
|
|
|
46,917 |
|
|
|
47,484 |
|
|
|
(567 |
) |
| Ford Motor Co. |
|
|
5.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB- |
|
|
USD |
|
|
|
292 |
|
|
|
41,767 |
|
|
|
42,498 |
|
|
|
(731 |
) |
| Ford Motor Co. |
|
|
5.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB- |
|
|
USD |
|
|
|
125 |
|
|
|
17,880 |
|
|
|
17,798 |
|
|
|
82 |
|
| Ford Motor Co. |
|
|
5.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB- |
|
|
USD |
|
|
|
139 |
|
|
|
19,882 |
|
|
|
20,230 |
|
|
|
(348 |
) |
| Ford Motor Co. |
|
|
5.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB- |
|
|
USD |
|
|
|
208 |
|
|
|
29,724 |
|
|
|
29,716 |
|
|
|
8 |
|
| Ford Motor Co. |
|
|
5.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB- |
|
|
USD |
|
|
|
125 |
|
|
|
17,880 |
|
|
|
17,703 |
|
|
|
177 |
|
| Ford Motor Co. |
|
|
5.00 |
|
|
Quarterly |
|
Deutsche Bank AG |
|
|
06/20/29 |
|
|
BBB- |
|
|
USD |
|
|
|
118 |
|
|
|
16,819 |
|
|
|
16,968 |
|
|
|
(149 |
) |
| Freeport-McMoRan, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB- |
|
|
USD |
|
|
|
655 |
|
|
|
6,667 |
|
|
|
5,962 |
|
|
|
705 |
|
| Freeport-McMoRan, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB- |
|
|
USD |
|
|
|
207 |
|
|
|
2,107 |
|
|
|
1,540 |
|
|
|
567 |
|
| Freeport-McMoRan, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB- |
|
|
USD |
|
|
|
138 |
|
|
|
1,405 |
|
|
|
1,201 |
|
|
|
204 |
|
| Freeport-McMoRan, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB- |
|
|
USD |
|
|
|
207 |
|
|
|
2,107 |
|
|
|
2,172 |
|
|
|
(65 |
) |
| Freeport-McMoRan, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB- |
|
|
USD |
|
|
|
137 |
|
|
|
1,394 |
|
|
|
1,320 |
|
|
|
74 |
|
| Freeport-McMoRan, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
|
06/20/29 |
|
|
BBB- |
|
|
USD |
|
|
|
219 |
|
|
|
2,229 |
|
|
|
2,110 |
|
|
|
119 |
|
| Freeport-McMoRan, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
|
06/20/29 |
|
|
BBB- |
|
|
USD |
|
|
|
148 |
|
|
|
1,506 |
|
|
|
992 |
|
|
|
514 |
|
| Goldman Sachs Group, Inc. (The) |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB+ |
|
|
USD |
|
|
|
238 |
|
|
|
4,586 |
|
|
|
4,563 |
|
|
|
23 |
|
| Goldman Sachs Group, Inc. (The) |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB+ |
|
|
USD |
|
|
|
119 |
|
|
|
2,292 |
|
|
|
2,230 |
|
|
|
62 |
|
| Goldman Sachs Group, Inc. (The) |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB+ |
|
|
USD |
|
|
|
241 |
|
|
|
4,643 |
|
|
|
4,940 |
|
|
|
(297 |
) |
| Goldman Sachs Group, Inc. (The) |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB+ |
|
|
USD |
|
|
|
48 |
|
|
|
925 |
|
|
|
863 |
|
|
|
62 |
|
| Kinder Morgan, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
|
06/20/29 |
|
|
BBB |
|
|
USD |
|
|
|
396 |
|
|
|
6,163 |
|
|
|
7,272 |
|
|
|
(1,109 |
) |
| Kinder Morgan, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
JPMorgan Chase Bank N.A. |
|
|
06/20/29 |
|
|
BBB |
|
|
USD |
|
|
|
284 |
|
|
|
4,420 |
|
|
|
5,007 |
|
|
|
(587 |
) |
| Morgan Stanley |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
A- |
|
|
USD |
|
|
|
245 |
|
|
|
4,906 |
|
|
|
4,905 |
|
|
|
1 |
|
| Morgan Stanley |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
A- |
|
|
USD |
|
|
|
123 |
|
|
|
2,463 |
|
|
|
2,462 |
|
|
|
1 |
|
| Morgan Stanley |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
A- |
|
|
USD |
|
|
|
239 |
|
|
|
4,786 |
|
|
|
5,007 |
|
|
|
(221 |
) |
| Morgan Stanley |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
A- |
|
|
USD |
|
|
|
75 |
|
|
|
1,502 |
|
|
|
1,476 |
|
|
|
26 |
|
| Petroleos Mexicanos |
|
|
1.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB |
|
|
USD |
|
|
|
1,724 |
|
|
|
(228,387 |
) |
|
|
(225,507 |
) |
|
|
(2,880 |
) |
| Teck Resources Ltd. |
|
|
5.00 |
|
|
Quarterly |
|
Bank of America N.A. |
|
|
06/20/29 |
|
|
BBB- |
|
|
USD |
|
|
|
790 |
|
|
|
146,712 |
|
|
|
125,947 |
|
|
|
20,765 |
|
| Verizon Communications, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Barclays Bank PLC |
|
|
06/20/29 |
|
|
BBB+ |
|
|
USD |
|
|
|
2,767 |
|
|
|
57,767 |
|
|
|
49,584 |
|
|
|
8,183 |
|
| Verizon Communications, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Barclays Bank PLC |
|
|
06/20/29 |
|
|
BBB+ |
|
|
USD |
|
|
|
320 |
|
|
|
6,680 |
|
|
|
5,604 |
|
|
|
1,076 |
|
| Verizon Communications, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Barclays Bank PLC |
|
|
06/20/29 |
|
|
BBB+ |
|
|
USD |
|
|
|
415 |
|
|
|
8,664 |
|
|
|
8,077 |
|
|
|
587 |
|
| Verizon Communications, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Barclays Bank PLC |
|
|
06/20/29 |
|
|
BBB+ |
|
|
USD |
|
|
|
377 |
|
|
|
7,871 |
|
|
|
7,182 |
|
|
|
689 |
|
| Verizon Communications, Inc. |
|
|
1.00 |
|
|
Quarterly |
|
Barclays Bank PLC |
|
|
06/20/29 |
|
|
BBB+ |
|
|
USD |
|
|
|
503 |
|
|
|
10,501 |
|
|
|
9,582 |
|
|
|
919 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series C Portfolio |
OTC Credit Default Swaps — Sell Protection (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
| Reference Obligation/Index |
|
|
Financing
Rate Received by the Fund |
|
|
|
Payment
Frequency |
|
|
Counterparty |
|
|
Termination
Date |
|
|
|
Credit
Rating |
(a) |
|
Notional Amount (000)(b) |
|
|
Value |
|
|
|
Upfront
Premium Paid (Received) |
|
|
|
Unrealized
Appreciation (Depreciation) |
|
| Verizon Communications, Inc. |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
Barclays Bank PLC |
|
|
06/20/29 |
|
|
|
BBB+ |
|
|
USD 1,475 |
|
$ |
30,794 |
|
|
$ |
28,050 |
|
|
$ |
2,744 |
|
| Williams Cos., Inc. (The) |
|
|
1.00 |
|
|
|
Quarterly |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/29 |
|
|
|
BBB |
|
|
USD 722 |
|
|
11,311 |
|
|
|
12,343 |
|
|
|
(1,032 |
) |
| Williams Cos., Inc. (The) |
|
|
1.00 |
|
|
|
Quarterly |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/29 |
|
|
|
BBB |
|
|
USD 396 |
|
|
6,204 |
|
|
|
6,936 |
|
|
|
(732 |
) |
| Williams Cos., Inc. (The) |
|
|
1.00 |
|
|
|
Quarterly |
|
|
JPMorgan Chase Bank N.A. |
|
|
06/20/29 |
|
|
|
BBB |
|
|
USD 283 |
|
|
4,433 |
|
|
|
4,386 |
|
|
|
47 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
387,252 |
|
|
$ |
347,340 |
|
|
$ |
39,912 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
| |
|
Swap/Options Premiums Paid |
|
|
Swap/Options Premiums Received |
|
|
Unrealized Appreciation |
|
|
Unrealized Depreciation |
|
|
Value |
| Centrally Cleared Swaps(a) |
|
$ |
— |
|
|
$ |
(811,863) |
|
|
$ |
— |
|
|
$ |
(3,411 |
) |
|
$ — |
| OTC Swaps |
|
|
572,847 |
|
|
|
(255,086) |
|
|
|
51,766 |
|
|
|
(15,578 |
) |
|
— |
| Options Written |
|
|
N/A |
|
|
|
(1,487,417) |
|
|
|
117,266 |
|
|
|
(121,899 |
) |
|
(1,492,050) |
| |
(a) |
Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
|
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
| |
|
Commodity Contracts |
|
|
Credit Contracts |
|
|
Equity Contracts |
|
|
Foreign Currency Exchange Contracts |
|
|
Interest Rate Contracts |
|
|
Other Contracts |
|
|
Total |
|
| Assets — Derivative Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized appreciation on futures contracts(a) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
310,843 |
|
|
$ |
— |
|
|
$ |
310,843 |
|
| Options purchased |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments at value — unaffiliated(b) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
302,830 |
|
|
|
— |
|
|
|
302,830 |
|
| Swaps — OTC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized appreciation on OTC swaps;
Swap premiums paid |
|
|
— |
|
|
|
624,613 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
624,613 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
624,613 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
613,673 |
|
|
$ |
— |
|
|
$ |
1,238,286 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities — Derivative Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized depreciation on futures contracts(a) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
237,435 |
|
|
$ |
— |
|
|
$ |
237,435 |
|
| Options written |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Options written at value |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,492,050 |
|
|
|
— |
|
|
|
1,492,050 |
|
| Swaps — centrally cleared |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized depreciation on centrally cleared swaps(a) |
|
|
— |
|
|
|
3,411 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
3,411 |
|
| Swaps — OTC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized depreciation on OTC swaps;
Swap premiums received |
|
|
— |
|
|
|
270,664 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
270,664 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
274,075 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,729,485 |
|
|
$ |
— |
|
|
$ |
2,003,560 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
|
| |
(b) |
Includes options purchased at value as reported in the Schedule of Investments. |
|
|
|
|
| 48 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series C Portfolio |
For the period ended September 30, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
| |
|
Commodity Contracts |
|
|
Credit Contracts |
|
|
Equity Contracts |
|
|
Foreign Currency Exchange Contracts |
|
|
Interest Rate Contracts |
|
|
Other Contracts |
|
|
Total |
|
|
|
|
|
|
|
|
|
| Net Realized Gain (Loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(1,622,073 |
) |
|
$ |
— |
|
|
$ |
(1,622,073 |
) |
| Options purchased(a) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
362,845 |
|
|
|
— |
|
|
|
362,845 |
|
| Options written |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
535,486 |
|
|
|
— |
|
|
|
535,486 |
|
| Swaps |
|
|
— |
|
|
|
(99,369 |
) |
|
|
— |
|
|
|
— |
|
|
|
(564,583 |
) |
|
|
— |
|
|
|
(663,952 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
(99,369 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(1,288,325 |
) |
|
$ |
— |
|
|
$ |
(1,387,694 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Change in Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
90,340 |
|
|
$ |
— |
|
|
$ |
90,340 |
|
| Options purchased(b) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(76,117 |
) |
|
|
— |
|
|
|
(76,117 |
) |
| Options written |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(4,633 |
) |
|
|
— |
|
|
|
(4,633 |
) |
| Swaps |
|
|
— |
|
|
|
24,199 |
|
|
|
— |
|
|
|
— |
|
|
|
196,361 |
|
|
|
— |
|
|
|
220,560 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
24,199 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
205,951 |
|
|
$ |
— |
|
|
$ |
230,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
|
| |
(b) |
Options purchased are included in net change in unrealized appreciation (depreciation) on investments. |
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
|
|
|
| Futures contracts |
|
|
| Average notional value of contracts — long |
|
$37,167,973 |
| Average notional value of contracts — short |
|
$31,300,102 |
| Options: |
|
|
| Average notional value of swaption contracts purchased |
|
$3,250,000 |
| Average notional value of swaption contracts written |
|
$263,170,000 |
| Credit default swaps |
|
|
| Average notional value — buy protection |
|
$22,348,841 |
| Average notional value — sell protection |
|
$33,523,254 |
| Interest rate swaps |
|
|
| Average notional value — pays fixed rate |
|
$21,541,500 |
| Average notional value — received fixed rate |
|
$—(a) |
| |
(a) |
Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
|
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
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 |
|
$ |
159,310 |
|
|
$ |
142,426 |
|
| Options(a) |
|
|
302,830 |
|
|
|
1,492,050 |
|
| Swaps — centrally cleared |
|
|
38,915 |
|
|
|
— |
|
| Swaps — OTC(b) |
|
|
624,613 |
|
|
|
270,664 |
|
|
|
|
|
|
|
|
|
|
| Total derivative assets and liabilities in the Statements of Assets and Liabilities |
|
$ |
1,125,668 |
|
|
$ |
1,905,140 |
|
|
|
|
|
|
|
|
|
|
| Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
|
|
(198,225 |
) |
|
|
(142,426 |
) |
|
|
|
|
|
|
|
|
|
| Total derivative assets and liabilities subject to an MNA |
|
$ |
927,443 |
|
|
$ |
1,762,714 |
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Includes options purchased at value which is included in Investments at value — unaffiliated in the Statements of Assets and Liabilities and reported in the Schedule of Investments. |
|
| |
(b) |
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/(received) in the Statements of Assets and Liabilities. |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series C Portfolio |
The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
| Counterparty |
|
Derivative Assets Subject to an MNA by Counterparty |
|
|
Derivatives Available for Offset(a) |
|
|
Non- Cash Collateral Received(b) |
|
|
Cash Collateral Received(b) |
|
|
Net Amount of Derivative Assets(c) |
|
| Bank of America N.A. |
|
$ |
396,825 |
|
|
$ |
(230,616 |
) |
|
$ |
(166,209 |
) |
|
$ |
— |
|
|
$ |
— |
|
| Barclays Bank PLC |
|
|
144,835 |
|
|
|
(36,439 |
) |
|
|
— |
|
|
|
— |
|
|
|
108,396 |
|
| Citibank N.A. |
|
|
18,106 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
18,106 |
|
| Deutsche Bank AG |
|
|
25,121 |
|
|
|
(149 |
) |
|
|
— |
|
|
|
(24,972 |
) |
|
|
— |
|
| Goldman Sachs Bank USA |
|
|
302,830 |
|
|
|
(302,830 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| JPMorgan Chase Bank N.A. |
|
|
39,726 |
|
|
|
(3,460 |
) |
|
|
— |
|
|
|
(36,266 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
927,443 |
|
|
$ |
(573,494 |
) |
|
$ |
(166,209 |
) |
|
$ |
(61,238 |
) |
|
$ |
126,502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
Derivative Liabilities Subject to an MNA by Counterparty |
|
|
Derivatives Available for Offset(a) |
|
|
Non- Cash Collateral Pledged(b) |
|
|
Cash Collateral Pledged(b) |
|
|
Net Amount of Derivative Liabilities(d) |
|
| Bank of America N.A. |
|
$ |
230,616 |
|
|
$ |
(230,616 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
| Barclays Bank PLC |
|
|
36,439 |
|
|
|
(36,439 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Deutsche Bank AG |
|
|
149 |
|
|
|
(149 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Goldman Sachs Bank USA |
|
|
1,492,050 |
|
|
|
(302,830 |
) |
|
|
(1,183,845 |
) |
|
|
— |
|
|
|
5,375 |
|
| JPMorgan Chase Bank N.A. |
|
|
3,460 |
|
|
|
(3,460 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,762,714 |
|
|
$ |
(573,494 |
) |
|
$ |
(1,183,845 |
) |
|
$ |
— |
|
|
$ |
5,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(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) |
Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
|
| |
(c) |
Net amount represents the net amount receivable from the counterparty in the event of default. |
|
| |
(d) |
Net amount represents the net amount payable due to the counterparty in the event of default. |
|
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments at the measurement date. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Long-Term Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
$ |
— |
|
|
$ |
367,354,644 |
|
|
$ |
751,803 |
|
|
$ |
368,106,447 |
|
| Foreign Agency Obligations |
|
|
— |
|
|
|
2,671,077 |
|
|
|
— |
|
|
|
2,671,077 |
|
| Foreign Government Obligations |
|
|
— |
|
|
|
16,657,337 |
|
|
|
— |
|
|
|
16,657,337 |
|
| Municipal Bonds |
|
|
— |
|
|
|
5,646,936 |
|
|
|
— |
|
|
|
5,646,936 |
|
| Preferred Securities |
|
|
— |
|
|
|
6,653,557 |
|
|
|
— |
|
|
|
6,653,557 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
45,954,491 |
|
|
|
— |
|
|
|
45,954,491 |
|
| Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Money Market Funds |
|
|
9,893,762 |
|
|
|
— |
|
|
|
— |
|
|
|
9,893,762 |
|
| Options Purchased |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Contracts |
|
|
— |
|
|
|
302,830 |
|
|
|
— |
|
|
|
302,830 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
9,893,762 |
|
|
$ |
445,240,872 |
|
|
$ |
751,803 |
|
|
$ |
455,886,437 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative Financial Instruments(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Contracts |
|
$ |
— |
|
|
$ |
51,766 |
|
|
$ |
— |
|
|
$ |
51,766 |
|
| Interest Rate Contracts |
|
|
310,843 |
|
|
|
— |
|
|
|
— |
|
|
|
310,843 |
|
|
|
|
| 50 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series C Portfolio |
Fair Value Hierarchy as of Period End (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Contracts |
|
$ |
— |
|
|
$ |
(18,989 |
) |
|
$ |
— |
|
|
$ |
(18,989 |
) |
| Interest Rate Contracts |
|
|
(237,435 |
) |
|
|
(1,492,050 |
) |
|
|
— |
|
|
|
(1,729,485 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
73,408 |
|
|
$ |
(1,459,273 |
) |
|
$ |
— |
|
|
$ |
(1,385,865 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Derivative financial instruments are swaps, futures contracts and options written. Swaps, futures 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 |
|
51 |
|
|
|
| Schedule of Investments (unaudited) September 30, 2024 |
|
BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Municipal Bonds |
|
|
|
|
|
|
|
|
|
|
|
| Alabama — 4.8% |
|
|
|
|
|
|
| Black Belt Energy Gas District |
|
|
|
|
|
|
|
|
| RB, Series A, 5.25%, 05/01/55(a) |
|
USD |
535 |
|
|
$ |
590,003 |
|
| Refunding RB, 4.00%, 06/01/51(a) |
|
|
1,100 |
|
|
|
1,136,064 |
|
| County of Jefferson Sewer Revenue, Refunding RB, 5.25%, 10/01/49 |
|
|
3,020 |
|
|
|
3,284,154 |
|
| Energy Southeast A Cooperative District, RB, Series B, 5.25%, 07/01/54(a) |
|
|
545 |
|
|
|
602,840 |
|
| Hoover IDB, RB, AMT, 6.38%, 11/01/50(a) |
|
|
1,295 |
|
|
|
1,457,308 |
|
| Mobile County IDA, RB, AMT, Series A, 5.00%, 06/01/54 |
|
|
3,180 |
|
|
|
3,299,162 |
|
| Southeast Alabama Gas Supply District (The) Refunding RB, 5.00%, 06/01/49(a) |
|
|
6,000 |
|
|
|
6,524,340 |
|
| Refunding RB, Series A, 5.00%, 08/01/54(a) |
|
|
4,000 |
|
|
|
4,361,040 |
|
| Southeast Energy Authority A Cooperative District |
|
|
|
|
|
|
|
|
| RB, Series A, 4.00%, 11/01/51(a) |
|
|
1,785 |
|
|
|
1,822,690 |
|
| RB, Series A-1, 5.50%, 01/01/53(a) |
|
|
655 |
|
|
|
713,308 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,790,909 |
|
|
| Arizona — 1.8% |
|
| Arizona IDA |
|
|
|
|
|
|
|
|
| RB, 5.00%, 07/01/45(b) |
|
|
265 |
|
|
|
259,423 |
|
| RB, 7.10%, 01/01/55(b) |
|
|
910 |
|
|
|
939,864 |
|
| RB, 5.00%, 07/01/55(b) |
|
|
285 |
|
|
|
272,602 |
|
| RB, Series B, 5.13%, 07/01/47(b) |
|
|
195 |
|
|
|
196,383 |
|
| Refunding RB, 5.50%, 07/01/52(b) |
|
|
610 |
|
|
|
613,143 |
|
| Refunding RB, Series A, 5.00%, 07/01/26(b) |
|
|
125 |
|
|
|
125,757 |
|
| Refunding RB, Series A, 5.13%, 07/01/37(b) |
|
|
605 |
|
|
|
610,128 |
|
| Refunding RB, Series G, 5.00%, 07/01/47(b) |
|
|
185 |
|
|
|
185,057 |
|
| City of Phoenix Arizona IDA (The), RB, 5.00%, 07/01/46(b) . |
|
|
570 |
|
|
|
573,851 |
|
| County of Pima IDA (The) |
|
|
|
|
|
|
|
|
| RB, 5.13%, 07/01/39 |
|
|
145 |
|
|
|
141,934 |
|
| RB, 5.25%, 07/01/49 |
|
|
180 |
|
|
|
169,889 |
|
| Refunding RB, 4.00%, 06/15/51(b) |
|
|
625 |
|
|
|
542,795 |
|
| Refunding RB, 5.00%, 07/01/56(b) |
|
|
295 |
|
|
|
293,038 |
|
| Glendale IDA, RB, 5.00%, 05/15/56 |
|
|
305 |
|
|
|
295,758 |
|
| La Paz County IDA, RB, 5.88%, 06/15/48(b) |
|
|
285 |
|
|
|
287,118 |
|
| Maricopa County IDA |
|
|
|
|
|
|
|
|
| RB, 5.25%, 10/01/40(b) |
|
|
280 |
|
|
|
272,122 |
|
| RB, 5.50%, 10/01/51(b) |
|
|
280 |
|
|
|
261,933 |
|
| RB, AMT, 4.00%, 10/15/47(b) |
|
|
970 |
|
|
|
882,544 |
|
| Refunding RB, Series A, 4.13%, 09/01/38 |
|
|
230 |
|
|
|
233,703 |
|
| Salt Verde Financial Corp., RB, 5.00%, 12/01/37 |
|
|
500 |
|
|
|
555,476 |
|
| Sierra Vista IDA |
|
|
|
|
|
|
|
|
| RB, 06/15/34(b)(c) |
|
|
45 |
|
|
|
47,015 |
|
| RB, 06/15/44(b)(c) |
|
|
395 |
|
|
|
399,087 |
|
| RB, 06/15/54(b)(c) |
|
|
440 |
|
|
|
443,110 |
|
| RB, 6.38%, 06/15/64(b) |
|
|
445 |
|
|
|
457,044 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,058,774 |
|
|
|
|
| Arkansas — 2.1% |
|
|
|
|
|
|
| Arkansas Development Finance Authority |
|
|
|
|
|
|
|
|
| RB, AMT, 4.50%, 09/01/49(b) |
|
|
2,600 |
|
|
|
2,580,346 |
|
| RB, AMT, 4.75%, 09/01/49(b) |
|
|
4,165 |
|
|
|
4,160,663 |
|
| RB, AMT, 5.45%, 09/01/52 |
|
|
2,000 |
|
|
|
2,091,671 |
|
| RB, AMT, 5.70%, 05/01/53 |
|
|
350 |
|
|
|
370,685 |
|
| RB, AMT, Series A, 6.88%, 07/01/48(b) |
|
|
900 |
|
|
|
992,760 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,196,125 |
|
|
|
|
| California — 5.1% |
|
|
|
|
|
|
| California HFA, RB, Series 2021-3, Class A, 3.25%, 08/20/36 |
|
|
937 |
|
|
|
895,055 |
|
| California Infrastructure & Economic Development Bank, RB, AMT, Series 4, 8.00%, 01/01/50(a)(b) |
|
|
8,330 |
|
|
|
8,475,328 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| California (continued) |
|
| California Municipal Finance Authority |
|
|
|
|
|
|
|
|
| RB, 5.63%, 07/01/44(b) |
|
|
USD 150 |
|
|
$ |
150,065 |
|
| RB, AMT, 4.00%, 07/15/29 |
|
|
2,500 |
|
|
|
2,510,703 |
|
| Special Tax Bonds, Series A, 5.00%, 09/01/54 |
|
|
355 |
|
|
|
363,578 |
|
| California School Finance Authority |
|
|
|
|
|
|
|
|
| RB, Series A, 6.75%, 11/01/45(b) |
|
|
250 |
|
|
|
250,204 |
|
| Refunding RB, 5.00%, 07/01/51(b) |
|
|
300 |
|
|
|
301,481 |
|
| California Statewide Communities Development Authority, |
|
|
|
|
|
|
|
|
| Refunding RB, Series A, 5.25%, 11/01/44(b) |
|
|
250 |
|
|
|
243,569 |
|
| California Statewide Financing Authority |
|
|
|
|
|
|
|
|
| RB, 6.00%, 05/01/43 |
|
|
315 |
|
|
|
315,211 |
|
| RB, 6.00%, 05/01/43 |
|
|
85 |
|
|
|
85,057 |
|
| City of Los Angeles Department of Airports, RB, AMT, 5.25%, 05/15/47 |
|
|
1,500 |
|
|
|
1,630,846 |
|
| CSCDA Community Improvement Authority |
|
|
|
|
|
|
|
|
| RB, 4.00%, 10/01/46(b) |
|
|
1,055 |
|
|
|
859,114 |
|
| RB, 4.00%, 07/01/56(b) |
|
|
205 |
|
|
|
166,406 |
|
| RB, 4.00%, 03/01/57(b) |
|
|
505 |
|
|
|
397,559 |
|
| RB, 4.00%, 07/01/58(b) |
|
|
300 |
|
|
|
210,224 |
|
| RB, 4.00%, 07/01/58(b) |
|
|
265 |
|
|
|
194,350 |
|
| RB, 4.00%, 12/01/59(b) |
|
|
435 |
|
|
|
298,370 |
|
| RB, 4.00%, 12/01/59(b) |
|
|
1,080 |
|
|
|
710,083 |
|
| RB, Series A, 3.00%, 09/01/56(b) |
|
|
1,090 |
|
|
|
803,885 |
|
| Golden State Tobacco Securitization Corp., Refunding RB, Series B-2, 0.00%, 06/01/66(d) |
|
|
29,390 |
|
|
|
3,486,471 |
|
| Hastings Campus Housing Finance Authority, RB, Series A, 0.00%, 07/01/61(b)(d) |
|
|
1,045 |
|
|
|
495,640 |
|
| Inland Empire Tobacco Securitization Corp., RB, Series C-1, 0.00%, 06/01/36(d) |
|
|
3,040 |
|
|
|
1,401,785 |
|
| Rancho Mirage Community Facilities District, Special Tax Bonds, Series A, 5.00%, 09/01/54 |
|
|
330 |
|
|
|
341,764 |
|
| San Francisco City & County Redevelopment Agency Successor Agency, TA, 0.00%, 08/01/31(b)(d) |
|
|
580 |
|
|
|
417,646 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,004,394 |
|
|
|
|
| Colorado — 2.9% |
|
|
|
|
|
|
| Amber Creek Metropolitan District, GO, Refunding, Series A, 5.13%, 12/01/47 |
|
|
1,000 |
|
|
|
960,852 |
|
| Aurora Crossroads Metropolitan District No. 2, GO, Series A, 5.00%, 12/01/50 |
|
|
500 |
|
|
|
491,188 |
|
| Aviation Station North Metropolitan District No. 2, GO, Series A, 5.00%, 12/01/48 |
|
|
500 |
|
|
|
485,884 |
|
| Banning Lewis Ranch Metropolitan District No. 8, GO, 4.88%, 12/01/51(b) |
|
|
500 |
|
|
|
417,430 |
|
| Baseline Metropolitan District No. 1, GO, Series B, 12/15/54(c) |
|
|
530 |
|
|
|
540,446 |
|
| Centerra Metropolitan District No. 1, TA, 5.00%, 12/01/47(b) |
|
|
155 |
|
|
|
152,719 |
|
| City & County of Denver Airport System Revenue, Refunding RB, AMT, Series A, 4.13%, 11/15/53 |
|
|
455 |
|
|
|
435,928 |
|
| Colorado Educational & Cultural Facilities Authority |
|
|
|
|
|
|
|
|
| Refunding RB, 4.00%, 12/01/30(b) |
|
|
200 |
|
|
|
191,727 |
|
| Refunding RB, 5.00%, 12/15/45(b) |
|
|
500 |
|
|
|
500,645 |
|
| Colorado Health Facilities Authority |
|
|
|
|
|
|
|
|
| RB, 5.25%, 11/01/39 |
|
|
195 |
|
|
|
220,522 |
|
| RB, 5.50%, 11/01/47 |
|
|
120 |
|
|
|
134,850 |
|
| RB, 5.25%, 11/01/52 |
|
|
305 |
|
|
|
331,296 |
|
| RB, Series A, 5.00%, 05/15/35 |
|
|
250 |
|
|
|
213,323 |
|
| RB, Series A, 5.00%, 05/15/44 |
|
|
270 |
|
|
|
200,801 |
|
| RB, Series A, 5.00%, 05/15/49 |
|
|
420 |
|
|
|
294,821 |
|
| Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/40 |
|
|
950 |
|
|
|
964,371 |
|
|
|
|
| 52 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Colorado (continued) |
|
|
|
|
|
|
|
|
| First Creek Village Metropolitan District |
|
|
|
|
|
|
|
|
| GO, Series A, 5.00%, 12/01/39 |
|
|
USD 600 |
|
|
$ |
618,373 |
|
| GO, Series A, 5.00%, 08/01/49 |
|
|
540 |
|
|
|
548,352 |
|
| Highlands Metropolitan District No. 1, GO, 5.00%, 12/01/51 |
|
|
575 |
|
|
|
514,821 |
|
| Lanterns Metropolitan District No. 2, GO, Series A, 4.50%, 12/01/50 |
|
|
500 |
|
|
|
407,413 |
|
| Loretto Heights Community Authority, RB, 4.88%, 12/01/51 |
|
|
570 |
|
|
|
476,522 |
|
| North Holly Metropolitan District, GO, Series A, 5.50%, 12/01/48 |
|
|
500 |
|
|
|
501,226 |
|
| North Range Metropolitan District No. 3, GO, Series A, 5.25%, 12/01/50 |
|
|
500 |
|
|
|
500,020 |
|
| Palisade Metropolitan District No. 2, GO, 7.25%, 12/15/49 . |
|
|
675 |
|
|
|
658,245 |
|
| Pueblo Urban Renewal Authority, TA, 4.75%, 12/01/45(b) |
|
|
725 |
|
|
|
491,187 |
|
| Riverpark Metropolitan District/Arapahoe County, GO, 6.00%, 12/01/42 |
|
|
500 |
|
|
|
516,261 |
|
| Southlands Metropolitan District No. 1, GO, Refunding, Series A-1, 5.00%, 12/01/37 |
|
|
250 |
|
|
|
253,277 |
|
| St. Vrain Lakes Metropolitan District No. 4, GO, Series A, 0.00%, 09/20/54(b)(d) |
|
|
765 |
|
|
|
553,337 |
|
| Thompson Crossing Metropolitan District No. 4, GO, Refunding, 5.00%, 12/01/49 |
|
|
645 |
|
|
|
635,068 |
|
| Waters’ Edge Metropolitan District No. 2, GO, 5.00%, 12/01/51 |
|
|
560 |
|
|
|
529,291 |
|
| Westcreek Metropolitan District No. 2, GO, Series A, 5.38%, 12/01/48 |
|
|
500 |
|
|
|
502,990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,243,186 |
|
|
|
|
| Connecticut — 0.8% |
|
|
|
|
|
|
| Connecticut State Health & Educational Facilities Authority |
|
|
|
|
|
| RB, 5.38%, 07/01/54 |
|
|
775 |
|
|
|
800,261 |
|
| RB, Series A, 5.00%, 01/01/55(b) |
|
|
570 |
|
|
|
506,296 |
|
| Mohegan Tribal Finance Authority, RB, 7.00%, 02/01/45(b) . |
|
|
2,430 |
|
|
|
2,430,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,736,870 |
|
|
|
|
| Delaware — 0.3% |
|
|
|
|
|
|
| Affordable Housing Opportunities Trust, RB, Series AH-01, Class B, 6.88%, 05/01/39(b) |
|
|
664 |
|
|
|
657,916 |
|
| Town of Bridgeville |
|
|
|
|
|
|
|
|
| Special Tax Bonds, 5.25%, 07/01/44(b) |
|
|
100 |
|
|
|
107,691 |
|
| Special Tax Bonds, 5.63%, 07/01/53(b) |
|
|
100 |
|
|
|
108,751 |
|
| Town of Milton |
|
|
|
|
|
|
|
|
| Special Tax Bonds, 5.70%, 09/01/44(b) |
|
|
150 |
|
|
|
155,492 |
|
| Special Tax Bonds, 5.95%, 09/01/53(b) |
|
|
300 |
|
|
|
313,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,343,034 |
|
|
|
|
| District of Columbia — 1.3% |
|
|
|
|
|
|
| District of Columbia, Refunding RB, 5.00%, 06/01/46 |
|
|
580 |
|
|
|
583,717 |
|
| District of Columbia Tobacco Settlement Financing Corp. |
|
|
|
|
|
|
|
|
| RB, 0.00%, 06/15/46(d) |
|
|
8,970 |
|
|
|
2,046,155 |
|
| RB, 0.00%, 06/15/46(d) |
|
|
10,325 |
|
|
|
2,306,445 |
|
| RB, 0.00%, 06/15/55(d) |
|
|
17,300 |
|
|
|
1,676,129 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,612,446 |
|
|
|
|
| Florida — 10.5% |
|
|
|
|
|
|
| Antillia Community Development District, Special Assessment RB, 5.88%, 05/01/54 |
|
|
220 |
|
|
|
233,050 |
|
| Bella Collina Community Development District, Special Assessment RB, 5.30%, 05/01/55 |
|
|
155 |
|
|
|
155,456 |
|
| Berry Bay II Community Development District, Special Assessment RB, 5.45%, 05/01/54 |
|
|
225 |
|
|
|
226,394 |
|
| Brevard County Health Facilities Authority |
|
|
|
|
|
|
|
|
| Refunding RB, 4.00%, 11/15/26(b) |
|
|
475 |
|
|
|
471,318 |
|
| Refunding RB, 4.00%, 11/15/28(b) |
|
|
510 |
|
|
|
503,347 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Florida (continued) |
|
|
|
|
|
|
|
|
| Brevard County Health Facilities Authority |
|
|
|
|
|
|
|
|
| Refunding RB, 4.00%, 11/15/30(b) |
|
|
USD 555 |
|
|
$ |
534,601 |
|
| Refunding RB, 4.00%, 11/15/34(b) |
|
|
650 |
|
|
|
606,958 |
|
| Refunding RB, 5.00%, 04/01/47 |
|
|
505 |
|
|
|
541,341 |
|
| Buckhead Trails Community Development District Special Assessment RB, 5.60%, 05/01/44 |
|
|
350 |
|
|
|
357,841 |
|
| Special Assessment RB, Series 2022, 5.75%, 05/01/52 . |
|
|
210 |
|
|
|
220,500 |
|
| Cabot Citrus Farms Community Development District, Special Assessment RB, 5.25%, 03/01/29 |
|
|
675 |
|
|
|
686,466 |
|
| Capital Projects Finance Authority, RB, 6.63%, 06/15/59(b) . |
|
|
145 |
|
|
|
151,168 |
|
| Capital Region Community Development District, Special Assessment Refunding RB, Series A-2, 4.60%, 05/01/31 |
|
|
465 |
|
|
|
465,902 |
|
| Capital Trust Agency, Inc. |
|
|
|
|
|
|
|
|
| RB, 5.00%, 01/01/55(b) |
|
|
1,570 |
|
|
|
1,559,559 |
|
| RB, 4.88%, 06/15/56(b) |
|
|
1,335 |
|
|
|
1,047,734 |
|
| RB, 0.00%, 07/01/61(b)(d) |
|
|
10,070 |
|
|
|
774,994 |
|
| RB, Series A, 5.00%, 06/15/49(b) |
|
|
100 |
|
|
|
96,225 |
|
| RB, Series A, 5.00%, 12/15/49 |
|
|
265 |
|
|
|
265,249 |
|
| RB, Series A, 5.75%, 06/01/54(b) |
|
|
420 |
|
|
|
362,768 |
|
| RB, Series A, 5.00%, 12/15/54 |
|
|
285 |
|
|
|
285,041 |
|
| Capital Trust Authority |
|
|
|
|
|
|
|
|
| RB, Series A, 07/01/44(b)(c) |
|
|
200 |
|
|
|
201,673 |
|
| RB, Series A, 07/01/54(b)(c) |
|
|
350 |
|
|
|
351,148 |
|
| Celebration Pointe Community Development District No. 1, Special Assessment RB, 5.13%, 05/01/45 |
|
|
235 |
|
|
|
235,026 |
|
| Charlotte County IDA, RB, 5.00%, 10/01/49(b) |
|
|
615 |
|
|
|
616,834 |
|
| Coral Creek Community Development District, Special Assessment RB, 5.75%, 05/01/54 |
|
|
140 |
|
|
|
146,992 |
|
| County of Lee Airport Revenue, RB, AMT, 10/01/54(c) |
|
|
3,000 |
|
|
|
3,254,795 |
|
| County of Miami-Dade Seaport Department, Refunding RB, AMT, Series A, 5.25%, 10/01/52 |
|
|
460 |
|
|
|
488,352 |
|
| County of Osceola Transportation Revenue |
|
|
|
|
|
|
|
|
| Refunding RB, Series A-2, 0.00%, 10/01/46(d) |
|
|
935 |
|
|
|
340,707 |
|
| Refunding RB, Series A-2, 0.00%, 10/01/47(d) |
|
|
900 |
|
|
|
308,413 |
|
| Refunding RB, Series A-2, 0.00%, 10/01/48(d) |
|
|
635 |
|
|
|
208,016 |
|
| Refunding RB, Series A-2, 0.00%, 10/01/49(d) |
|
|
525 |
|
|
|
163,043 |
|
| Crossings Community Development District, Special Assessment RB, 5.60%, 05/01/54 |
|
|
145 |
|
|
|
148,159 |
|
| Crosswinds East Community Development District, Special Assessment RB, 5.75%, 05/01/54 |
|
|
105 |
|
|
|
110,244 |
|
| Darby Community Development District, Special Assessment RB, Series 2, 5.88%, 05/01/35 |
|
|
1,025 |
|
|
|
1,065,933 |
|
| Escambia County Health Facilities Authority Refunding RB, 4.00%, 08/15/45 |
|
|
3,060 |
|
|
|
2,811,700 |
|
| Refunding RB, (AGM), 3.00%, 08/15/50 |
|
|
2,500 |
|
|
|
1,914,433 |
|
| Florida Development Finance Corp. |
|
|
|
|
|
|
|
|
| RB, 5.25%, 06/01/55(b) |
|
|
645 |
|
|
|
624,220 |
|
| RB, 5.13%, 06/15/55(b) |
|
|
2,490 |
|
|
|
2,323,995 |
|
| RB, 6.50%, 06/30/57(b)(e)(f) |
|
|
175 |
|
|
|
123,744 |
|
| RB, Series A, 6.13%, 06/15/44(b) |
|
|
45 |
|
|
|
45,027 |
|
| RB, Series C, 5.75%, 12/15/56(b) |
|
|
370 |
|
|
|
309,122 |
|
| RB, AMT, 6.13%, 07/01/32(a)(b) |
|
|
1,375 |
|
|
|
1,412,283 |
|
| RB, AMT, Series A, 8.25%, 07/01/57(a)(b) |
|
|
1,000 |
|
|
|
1,015,187 |
|
| Refunding RB, 4.00%, 06/01/46(b) |
|
|
300 |
|
|
|
246,522 |
|
| Refunding RB, Series A, 4.50%, 12/15/56(b) |
|
|
1,085 |
|
|
|
817,388 |
|
| Refunding RB, AMT, 12.00%, 07/15/32(a)(b) |
|
|
2,800 |
|
|
|
2,976,198 |
|
| Refunding RB, AMT, (AGM), 5.25%, 07/01/53 |
|
|
2,460 |
|
|
|
2,573,478 |
|
| Gardens at Hammock Beach Community Development District, Special Assessment RB, Series 2, 5.88%, 05/01/55 |
|
|
710 |
|
|
|
751,253 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Florida (continued) |
|
|
|
|
|
|
|
|
| Golden Gem Community Development District, Special Assessment RB, 6.00%, 05/01/55 |
|
USD |
1,185 |
|
|
$ |
1,264,995 |
|
| Grand Oaks Community Development District |
|
|
|
|
|
|
|
|
| Special Assessment RB, 4.25%, 05/01/40 |
|
|
210 |
|
|
|
196,396 |
|
| Special Assessment RB, 4.50%, 05/01/52 |
|
|
235 |
|
|
|
210,939 |
|
| Hammock Oaks Community Development District, Special |
|
|
|
|
|
|
|
|
| Assessment RB, 5.85%, 05/01/44 |
|
|
265 |
|
|
|
285,089 |
|
| Harbor Bay Community Development District, Special Assessment Refunding RB, Series A-2, 3.70%, 05/01/33 |
|
|
370 |
|
|
|
346,941 |
|
| Hobe-St. Lucie Conservancy District, Special Assessment RB, 5.88%, 05/01/55 |
|
|
165 |
|
|
|
174,594 |
|
| Lakewood Ranch Stewardship District |
|
|
|
|
|
|
|
|
| Special Assessment RB, 3.13%, 05/01/25 |
|
|
70 |
|
|
|
69,580 |
|
| Special Assessment RB, 3.25%, 05/01/29 |
|
|
225 |
|
|
|
219,027 |
|
| Special Assessment RB, 4.75%, 05/01/29 |
|
|
180 |
|
|
|
181,940 |
|
| Special Assessment RB, 4.88%, 05/01/35 |
|
|
150 |
|
|
|
150,224 |
|
| Special Assessment RB, 4.40%, 05/01/39 |
|
|
525 |
|
|
|
510,178 |
|
| Special Assessment RB, 5.30%, 05/01/39 |
|
|
205 |
|
|
|
210,276 |
|
| Special Assessment RB, 5.30%, 05/01/44 |
|
|
100 |
|
|
|
102,732 |
|
| Special Assessment RB, 5.45%, 05/01/48 |
|
|
365 |
|
|
|
372,159 |
|
| Special Assessment RB, 5.55%, 05/01/54 |
|
|
105 |
|
|
|
107,383 |
|
| Lee County IDA, RB, Series B-1, 4.75%, 11/15/29 |
|
|
260 |
|
|
|
262,581 |
|
| LT Ranch Community Development District |
|
|
|
|
|
|
|
|
| Special Assessment RB, 5.50%, 05/01/44 |
|
|
205 |
|
|
|
215,094 |
|
| Special Assessment RB, 5.85%, 05/01/54 |
|
|
150 |
|
|
|
158,618 |
|
| LTC Ranch West Residential Community Development District, Special Assessment RB, 5.70%, 05/01/44 |
|
|
115 |
|
|
|
118,461 |
|
| Malabar Springs Community Development District |
|
|
|
|
|
|
|
|
| Special Assessment RB, 5.20%, 05/01/44 |
|
|
165 |
|
|
|
166,526 |
|
| Special Assessment RB, 5.50%, 05/01/54 |
|
|
250 |
|
|
|
253,037 |
|
| Marion Ranch Community Development District, Special Assessment RB, 5.95%, 05/01/54 |
|
|
285 |
|
|
|
303,509 |
|
| Normandy Community Development District, Special Assessment RB, 5.55%, 05/01/54(b) |
|
|
415 |
|
|
|
417,821 |
|
| North AR-1 Pasco Community Development District |
|
|
|
|
|
|
|
|
| Special Assessment RB, Series A, 5.75%, 05/01/44 |
|
|
100 |
|
|
|
106,822 |
|
| Special Assessment RB, Series A, 6.00%, 05/01/54 |
|
|
110 |
|
|
|
117,559 |
|
| Orange County Health Facilities Authority, RB, 5.00%, 08/01/35 |
|
|
250 |
|
|
|
253,401 |
|
| Osceola Chain Lakes Community Development District, Special Assessment RB, 3.25%, 05/01/25 |
|
|
125 |
|
|
|
124,272 |
|
| Parker Road Community Development District |
|
|
|
|
|
|
|
|
| Special Assessment Refunding RB, 3.10%, 05/01/25 |
|
|
100 |
|
|
|
98,990 |
|
| Special Assessment Refunding RB, 3.38%, 05/01/30 |
|
|
335 |
|
|
|
317,439 |
|
| Parrish Lakes Community Development District, Special Assessment RB, 5.80%, 05/01/54 |
|
|
490 |
|
|
|
506,669 |
|
| Parrish Plantation Community Development District |
|
|
|
|
|
|
|
|
| Special Assessment RB, 5.80%, 05/01/44 |
|
|
120 |
|
|
|
128,641 |
|
| Special Assessment RB, 6.05%, 05/01/54 |
|
|
230 |
|
|
|
246,670 |
|
| Poitras East Community Development District, Special Assessment RB, 5.00%, 05/01/43 |
|
|
355 |
|
|
|
359,631 |
|
| Portico Community Development District |
|
|
|
|
|
|
|
|
| Special Assessment RB, Series 2, 3.25%, 05/01/31 |
|
|
100 |
|
|
|
94,384 |
|
| Special Assessment RB, Series 2, 4.00%, 05/01/50 |
|
|
425 |
|
|
|
363,773 |
|
| Preserve at South Branch Community Development District |
|
|
|
|
|
|
|
|
| Special Assessment RB, 3.25%, 11/01/24 |
|
|
25 |
|
|
|
24,978 |
|
| Special Assessment RB, 3.50%, 11/01/30 |
|
|
200 |
|
|
|
192,199 |
|
| Sandridge Community Development District |
|
|
|
|
|
|
|
|
| Special Assessment RB, Series A1, 3.88%, 05/01/41 |
|
|
135 |
|
|
|
122,156 |
|
| Special Assessment RB, Series A1, 4.00%, 05/01/51 |
|
|
130 |
|
|
|
110,244 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Florida (continued) |
|
|
|
|
|
|
|
|
| Sawyers Landing Community Development District, Special Assessment RB, 4.25%, 05/01/53 |
|
USD |
815 |
|
|
$
|
681,864 |
|
| Seminole County IDA, Refunding RB, 5.75%, 11/15/54 |
|
|
595 |
|
|
|
601,784 |
|
| Seminole Palms Community Development District, Special Assessment RB, 5.50%, 05/01/55(b) |
|
|
270 |
|
|
|
272,489 |
|
| Shadowlawn Community Development District, Special Assessment RB, 5.85%, 05/01/54 |
|
|
920 |
|
|
|
972,861 |
|
| Southern Groves Community Development District No. 5, Special Assessment Refunding RB, 3.60%, 05/01/34 |
|
|
365 |
|
|
|
336,976 |
|
| Tolomato Community Development District, Special Assessment Refunding RB, Sub-Series A-2, 4.25%, 05/01/37 |
|
|
185 |
|
|
|
178,425 |
|
| Trout Creek Community Development District |
|
|
|
|
|
|
|
|
| Special Assessment RB, 5.00%, 05/01/28 |
|
|
140 |
|
|
|
142,282 |
|
| Special Assessment RB, 5.63%, 05/01/45 |
|
|
200 |
|
|
|
200,849 |
|
| Village Community Development District No. 15, Special Assessment RB, 05/01/55(b)(c) |
|
|
680 |
|
|
|
687,028 |
|
| Volusia County Educational Facility Authority, RB, 5.25%, 06/01/49 |
|
|
705 |
|
|
|
748,254 |
|
| West Villages Improvement District |
|
|
|
|
|
|
|
|
| Special Assessment RB, 4.25%, 05/01/29 |
|
|
100 |
|
|
|
100,077 |
|
| Special Assessment RB, 4.75%, 05/01/39 |
|
|
190 |
|
|
|
190,975 |
|
| Special Assessment RB, 5.00%, 05/01/50 |
|
|
290 |
|
|
|
289,183 |
|
| Special Assessment RB, 5.63%, 05/01/54 |
|
|
220 |
|
|
|
228,923 |
|
| Westside Community Development District, Special Assessment Refunding RB, 3.75%, 05/01/29(b) |
|
|
805 |
|
|
|
793,619 |
|
| Westside Haines City Community Development District, Special Assessment RB, 6.00%, 05/01/54 |
|
|
210 |
|
|
|
224,432 |
|
| Windward at Lakewood Ranch Community Development District, Special Assessment RB, 4.25%, 05/01/52 |
|
|
165 |
|
|
|
145,445 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
51,391,191 |
|
|
|
|
| Georgia — 1.0% |
|
|
|
|
|
|
| Atlanta Development Authority (The) |
|
|
|
|
|
|
|
|
| TA, Series A-1, 5.00%, 04/01/34(b) |
|
|
470 |
|
|
|
484,551 |
|
| TA, Series A-2, 5.50%, 04/01/39(b) |
|
|
720 |
|
|
|
741,816 |
|
| Development Authority of Cobb County (The), RB, Series A, 6.38%, 06/15/58(b) |
|
|
145 |
|
|
|
151,346 |
|
| East Point Business & IDA, RB, Series A, 5.25%, 06/15/62(b) |
|
|
150 |
|
|
|
150,465 |
|
| Main Street Natural Gas, Inc. |
|
|
|
|
|
|
|
|
| RB, Series A, 5.00%, 05/15/49 |
|
|
905 |
|
|
|
1,008,366 |
|
| RB, Series B, 5.00%, 12/01/52(a) |
|
|
1,635 |
|
|
|
1,738,479 |
|
| Municipal Electric Authority of Georgia, RB, 5.00%, 07/01/52 |
|
|
645 |
|
|
|
680,384 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,955,407 |
|
|
|
|
| Idaho — 0.1% |
|
|
|
|
|
|
| Idaho Health Facilities Authority, RB, 4.00%, 12/01/43 |
|
|
330 |
|
|
|
326,312 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Illinois — 3.3% |
|
|
|
|
|
|
| Chicago Board of Education |
|
|
|
|
|
|
|
|
| GO, Series A, 5.00%, 12/01/42 |
|
|
1,500 |
|
|
|
1,500,443 |
|
| GO, Series A, 7.00%, 12/01/46(b) |
|
|
250 |
|
|
|
269,061 |
|
| GO, Series D, 5.00%, 12/01/46 |
|
|
1,620 |
|
|
|
1,635,352 |
|
| GO, Series D, 5.00%, 12/01/46 |
|
|
685 |
|
|
|
685,143 |
|
| GO, Refunding, Series A, 5.00%, 12/01/30 |
|
|
505 |
|
|
|
530,674 |
|
| GO, Refunding, Series B, 4.00%, 12/01/35 |
|
|
230 |
|
|
|
228,405 |
|
| GO, Refunding, Series B, 4.00%, 12/01/41 |
|
|
930 |
|
|
|
878,887 |
|
| GO, Refunding, Series C, 5.00%, 12/01/34 |
|
|
625 |
|
|
|
642,815 |
|
| Chicago O’Hare International Airport, Refunding RB, Series D, 5.00%, 01/01/46 |
|
|
1,000 |
|
|
|
1,001,809 |
|
| Chicago Transit Authority Sales Tax Receipts Fund, Refunding RB, Series A, 4.00%, 12/01/49 |
|
|
810 |
|
|
|
781,712 |
|
|
|
|
| 54 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Illinois (continued) |
|
|
|
|
|
|
|
|
| City of Chicago Wastewater Transmission Revenue, Refunding RB, Series C, 5.00%, 01/01/39 |
|
USD |
500 |
|
|
$ |
501,221 |
|
| Illinois Finance Authority, Refunding RB, 6.13%, 02/01/45 |
|
|
150 |
|
|
|
150,059 |
|
| Illinois State Toll Highway Authority, RB, Series A, 4.00%, 01/01/46 |
|
|
2,000 |
|
|
|
2,001,355 |
|
| Metropolitan Pier & Exposition Authority |
|
|
|
|
|
|
|
|
| RB, 5.50%, 06/15/53 |
|
|
390 |
|
|
|
396,582 |
|
| RB, 5.00%, 06/15/57 |
|
|
660 |
|
|
|
677,185 |
|
| Refunding RB, 4.00%, 06/15/50 |
|
|
1,895 |
|
|
|
1,804,862 |
|
| State of Illinois |
|
|
|
|
|
|
|
|
| GO, 5.00%, 04/01/31 |
|
|
1,000 |
|
|
|
1,005,438 |
|
| GO, 5.00%, 05/01/39 |
|
|
1,275 |
|
|
|
1,282,741 |
|
| GO, Series D, 5.00%, 11/01/28 |
|
|
295 |
|
|
|
312,524 |
|
| GO, Refunding, Series B, 5.00%, 10/01/27 |
|
|
105 |
|
|
|
111,621 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,397,889 |
|
|
|
|
| Indiana — 0.4% |
|
|
|
|
|
|
|
|
| City of Valparaiso, Refunding RB, AMT, 4.50%, 01/01/34(b). 175 |
|
|
|
|
|
|
182,291 |
|
| City of Vincennes, Refunding RB, 6.25%, 01/01/29(b)(e)(f) 325 |
|
|
|
|
|
|
225,875 |
|
| Indiana Finance Authority |
|
|
|
|
|
|
|
|
| RB, AMT, 6.75%, 05/01/39 |
|
|
640 |
|
|
|
717,682 |
|
| Refunding RB, Series A, 5.50%, 09/15/44 |
|
|
390 |
|
|
|
425,194 |
|
| Indianapolis Local Public Improvement Bond Bank, RB, |
|
|
|
|
|
|
|
|
| Series E, 6.00%, 03/01/53 |
|
|
400 |
|
|
|
447,794 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,998,836 |
|
|
|
|
| Iowa — 0.5% |
|
|
|
|
|
|
|
|
| Iowa Finance Authority, Refunding RB, Series E, 4.00%, 08/15/46 |
|
|
570 |
|
|
|
564,684 |
|
| Iowa Student Loan Liquidity Corp., Refunding RB, AMT, 3.50%, 12/01/44 |
|
|
2,000 |
|
|
|
1,687,883 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,252,567 |
|
|
|
|
| Kentucky — 0.5% |
|
|
|
|
|
|
|
|
| City of Henderson, RB, AMT, 4.70%, 01/01/52(b) |
|
|
130 |
|
|
|
130,106 |
|
| Kentucky Public Energy Authority, RB, Series C, 4.00%, 02/01/50(a) |
|
|
2,310 |
|
|
|
2,352,014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,482,120 |
|
|
|
|
| Louisiana — 0.9% |
|
|
|
|
|
|
|
|
| Louisiana Public Facilities Authority |
|
|
|
|
|
|
|
|
| RB, Series A, 5.25%, 06/01/51(b) |
|
|
455 |
|
|
|
410,979 |
|
| RB, Series A, 5.25%, 06/01/60(b) |
|
|
840 |
|
|
|
749,192 |
|
| RB, Series A, 6.50%, 06/01/62(b) |
|
|
150 |
|
|
|
154,072 |
|
| RB, AMT, 5.50%, 09/01/59 |
|
|
1,335 |
|
|
|
1,461,803 |
|
| RB, AMT, Series R2, 6.50%, 10/01/53(a)(b) |
|
|
505 |
|
|
|
539,989 |
|
| Parish of St. James, RB, Series 2, 6.35%, 07/01/40(b) |
|
|
950 |
|
|
|
1,044,604 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,360,639 |
|
|
|
|
| Maine — 0.4% |
|
|
|
|
|
|
|
|
| Finance Authority of Maine, RB, AMT, 8.00%, 12/01/51(b) 670 |
|
|
|
|
|
|
264,303 |
|
| Maine Health & Higher Educational Facilities Authority, Refunding RB, 4.00%, 07/01/37(b) |
|
|
2,100 |
|
|
|
1,925,561 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,189,864 |
|
|
|
|
| Maryland — 1.2% |
|
|
|
|
|
|
|
|
| Anne Arundel County Consolidated Special Taxing District, Special Tax Bonds, 5.25%, 07/01/44 |
|
|
250 |
|
|
|
250,159 |
|
| City of Baltimore |
|
|
|
|
|
|
|
|
| RB, 4.88%, 06/01/42 |
|
|
170 |
|
|
|
172,424 |
|
| Refunding TA, 3.20%, 06/01/30(b) |
|
|
200 |
|
|
|
189,087 |
|
| Refunding TA, 3.25%, 06/01/31(b) |
|
|
225 |
|
|
|
210,932 |
|
| Refunding TA, 3.30%, 06/01/32(b) |
|
|
500 |
|
|
|
465,425 |
|
| Refunding TA, 3.35%, 06/01/33(b) |
|
|
540 |
|
|
|
499,589 |
|
| Refunding TA, 3.40%, 06/01/34(b) |
|
|
570 |
|
|
|
524,842 |
|
| Refunding TA, 3.45%, 06/01/35(b) |
|
|
610 |
|
|
|
559,725 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Maryland (continued) |
|
|
|
|
|
|
|
|
| Maryland EDC, RB, AMT, 5.25%, 06/30/47 |
|
USD |
570 |
|
|
$ |
602,037 |
|
| Maryland Health & Higher Educational Facilities Authority |
|
|
|
|
|
|
|
|
| RB, 7.00%, 03/01/55(b) |
|
|
1,940 |
|
|
|
2,034,328 |
|
| Refunding RB, 5.00%, 07/01/40 |
|
|
500 |
|
|
|
502,474 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,011,022 |
|
|
|
|
| Massachusetts — 0.8% |
|
|
|
|
|
|
|
|
| Massachusetts Development Finance Agency |
|
|
|
|
|
|
|
|
| RB, 5.00%, 01/01/48 |
|
|
1,000 |
|
|
|
1,011,267 |
|
| RB, 5.00%, 10/01/54 |
|
|
710 |
|
|
|
712,644 |
|
| RB, Series A, 5.00%, 01/01/47 |
|
|
500 |
|
|
|
503,932 |
|
| RB, Series N, 5.00%, 07/01/44 |
|
|
500 |
|
|
|
500,580 |
|
| Refunding RB, 5.00%, 10/01/57(b) |
|
|
500 |
|
|
|
500,481 |
|
| Massachusetts HFA |
|
|
|
|
|
|
|
|
| Refunding RB, AMT, Series A, 4.45%, 12/01/42 |
|
|
310 |
|
|
|
309,985 |
|
| Refunding RB, AMT, Series A, 4.50%, 12/01/47 |
|
|
490 |
|
|
|
490,012 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,028,901 |
|
|
|
|
| Michigan — 0.5% |
|
|
|
|
|
|
|
|
| Michigan Strategic Fund |
|
|
|
|
|
|
|
|
| RB, 5.00%, 11/15/42 |
|
|
210 |
|
|
|
211,030 |
|
| RB, AMT, 4.00%, 10/01/61(a) |
|
|
1,200 |
|
|
|
1,202,965 |
|
| Wayne County Airport Authority |
|
|
|
|
|
|
|
|
| RB, Series B, 5.00%, 12/01/44 |
|
|
500 |
|
|
|
501,386 |
|
| RB, Series D, 5.00%, 12/01/40 |
|
|
500 |
|
|
|
510,374 |
|
| RB, AMT, 5.00%, 12/01/39 |
|
|
250 |
|
|
|
250,391 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,676,146 |
|
|
|
|
| Minnesota — 0.8% |
|
|
|
|
|
|
|
|
| City of Deephaven, Refunding RB, 5.25%, 07/01/37 |
|
|
605 |
|
|
|
608,314 |
|
| City of Forest Lake, Refunding RB, 5.00%, 07/01/56 |
|
|
2,140 |
|
|
|
1,892,146 |
|
| Duluth EDA, Refunding RB, 5.25%, 02/15/58 |
|
|
425 |
|
|
|
436,538 |
|
| Housing & Redevelopment Authority of the City of St. Paul Minnesota, RB, Series A, 5.50%, 07/01/38(b) |
|
|
240 |
|
|
|
244,300 |
|
| Minnesota HFA, RB, (GNMA/FNMA/FHLMC COL), Series M, 6.00%, 01/01/53 |
|
|
660 |
|
|
|
711,507 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,892,805 |
|
|
|
|
| Missouri — 0.8% |
|
|
|
|
|
|
|
|
| City of St. Louis Missouri IDA (The) |
|
|
|
|
|
|
|
|
| Refunding RB, Series A, 4.38%, 11/15/35 |
|
|
215 |
|
|
|
189,725 |
|
| Refunding RB, Series A, 5.75%, 06/15/54 |
|
|
585 |
|
|
|
610,728 |
|
| Kansas City IDA |
|
|
|
|
|
|
|
|
| RB, Series A-1, 5.00%, 06/01/46(b) |
|
|
290 |
|
|
|
293,447 |
|
| RB, Series A-1, 5.00%, 06/01/54(b) |
|
|
185 |
|
|
|
185,596 |
|
| RB, Series C, 7.50%, 11/15/46 |
|
|
64 |
|
|
|
53,978 |
|
| RB, AMT, 5.00%, 03/01/54 |
|
|
1,275 |
|
|
|
1,313,194 |
|
| Refunding RB, 2.00%, 11/15/46 |
|
|
52 |
|
|
|
2,311 |
|
| Refunding RB, 5.00%, 11/15/46 |
|
|
116 |
|
|
|
93,696 |
|
| Kansas City Land Clearance Redevelopment Authority, TA, 5.00%, 02/01/40(b) |
|
|
260 |
|
|
|
261,000 |
|
| St. Louis County IDA, Refunding RB, 5.00%, 09/01/37 |
|
|
695 |
|
|
|
704,132 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,707,807 |
|
|
|
|
| Nebraska — 0.1% |
|
|
|
|
|
|
|
|
| Douglas County Hospital Authority No. 3, Refunding RB, 5.00%, 11/01/45 |
|
|
500 |
|
|
|
506,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Nevada — 0.4% |
|
|
|
|
|
|
|
|
| City of Las Vegas Special Improvement District No. 613 |
|
|
|
|
|
|
|
|
| Special Assessment RB, 5.00%, 12/01/39 |
|
|
100 |
|
|
|
103,593 |
|
| Special Assessment RB, 5.25%, 12/01/47 |
|
|
110 |
|
|
|
112,936 |
|
| Special Assessment RB, 5.50%, 12/01/53 |
|
|
100 |
|
|
|
103,451 |
|
| City of Las Vegas Special Improvement District No. 815, |
|
|
|
|
|
|
|
|
| Special Assessment RB, 5.00%, 12/01/49 |
|
|
185 |
|
|
|
184,740 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Nevada (continued) |
|
|
|
|
|
|
| State of Nevada Department of Business & Industry, RB, AMT, 8.13%, 01/01/50(a) |
|
|
USD 765 |
|
|
$ |
778,511 |
|
| Tahoe-Douglas Visitors Authority |
|
|
|
|
|
|
|
|
| RB, 5.00%, 07/01/40 |
|
|
405 |
|
|
|
425,357 |
|
| RB, 5.00%, 07/01/45 |
|
|
280 |
|
|
|
290,771 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,999,359 |
|
|
|
|
| New Hampshire — 1.1% |
|
|
|
|
|
|
| New Hampshire Business Finance Authority |
|
|
|
|
|
|
|
|
| RB, 5.25%, 12/01/35(b) |
|
|
1,750 |
|
|
|
1,752,801 |
|
| RB, 5.38%, 12/15/35(b) |
|
|
1,710 |
|
|
|
1,714,289 |
|
| RB, Series 2024-1, Class A, 4.25%, 07/01/51 |
|
|
622 |
|
|
|
634,037 |
|
| RB, Series A, 4.13%, 08/15/40 |
|
|
320 |
|
|
|
295,772 |
|
| RB, Series A, 4.25%, 08/15/46 |
|
|
365 |
|
|
|
322,906 |
|
| RB, Series A, 4.50%, 08/15/55 |
|
|
755 |
|
|
|
661,952 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,381,757 |
|
|
|
|
| New Jersey — 2.5% |
|
|
|
|
|
|
| Casino Reinvestment Development Authority, Inc., Refunding RB, 5.25%, 11/01/39 |
|
|
250 |
|
|
|
250,365 |
|
| New Jersey EDA |
|
|
|
|
|
|
|
|
| RB, 5.25%, 11/01/54(b) |
|
|
945 |
|
|
|
886,883 |
|
| RB, Series WW, 5.25%, 06/15/40 |
|
|
55 |
|
|
|
55,942 |
|
| RB, Series WW, 5.25%, 06/15/40 |
|
|
945 |
|
|
|
961,193 |
|
| RB, AMT, 6.50%, 04/01/31 |
|
|
70 |
|
|
|
72,873 |
|
| Refunding RB, Series A, 6.00%, 08/01/49(b) |
|
|
250 |
|
|
|
250,124 |
|
| New Jersey Health Care Facilities Financing Authority, RB, 4.00%, 07/01/51 |
|
|
1,065 |
|
|
|
1,055,221 |
|
| New Jersey Higher Education Student Assistance Authority |
|
|
|
|
|
|
|
|
| RB, AMT, Series B, 4.25%, 12/01/45 |
|
|
275 |
|
|
|
285,476 |
|
| Refunding RB, AMT, Series C, 4.25%, 12/01/50 |
|
|
1,540 |
|
|
|
1,447,383 |
|
| Refunding RB, AMT, Sub-Series C, 3.63%, 12/01/49 |
|
|
820 |
|
|
|
679,024 |
|
| New Jersey Transportation Trust Fund Authority |
|
|
|
|
|
|
|
|
| RB, Series AA, 5.25%, 06/15/41 |
|
|
205 |
|
|
|
207,788 |
|
| RB, Series AA, 4.00%, 06/15/45 |
|
|
3,000 |
|
|
|
2,993,034 |
|
| Tobacco Settlement Financing Corp. |
|
|
|
|
|
|
|
|
| Refunding RB, Series A, 5.00%, 06/01/35 |
|
|
375 |
|
|
|
395,933 |
|
| Refunding RB, Sub-Series B, 5.00%, 06/01/46 |
|
|
2,565 |
|
|
|
2,582,773 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,124,012 |
|
|
|
|
| New York — 7.6% |
|
|
|
|
|
|
| Build NYC Resource Corp. |
|
|
|
|
|
|
|
|
| RB, Series A, 6.13%, 07/01/43 |
|
|
385 |
|
|
|
417,673 |
|
| RB, Series A, 6.38%, 07/01/53 |
|
|
705 |
|
|
|
748,288 |
|
| Refunding RB, AMT, 5.00%, 01/01/35(b) |
|
|
485 |
|
|
|
485,428 |
|
| County of Cattaraugus, RB, 5.00%, 05/01/44 |
|
|
195 |
|
|
|
195,077 |
|
| Hempstead Town Local Development Corp., RB, 5.00%, 07/01/44 |
|
|
500 |
|
|
|
500,408 |
|
| Huntington Local Development Corp., RB, Series A, 5.25%, 07/01/56 |
|
|
125 |
|
|
|
111,076 |
|
| Metropolitan Transportation Authority, RB, Series B, 3.00%, 11/15/25 |
|
|
165 |
|
|
|
164,379 |
|
| New York City Housing Development Corp., RB, Series C-1, 4.20%, 11/01/44 |
|
|
1,000 |
|
|
|
1,000,040 |
|
| New York City Transitional Finance Authority Future Tax Secured Revenue, RB, Sub-Series E-1, 4.00%, 02/01/49 |
|
|
2,845 |
|
|
|
2,779,225 |
|
| New York Counties Tobacco Trust IV, Refunding RB, Series A, 5.00%, 06/01/42 |
|
|
915 |
|
|
|
863,959 |
|
| New York Counties Tobacco Trust VI, Refunding RB, Series 2B, 5.00%, 06/01/51 |
|
|
835 |
|
|
|
778,982 |
|
| New York State Dormitory Authority, Refunding RB, Series A, 3.00%, 03/15/51 |
|
|
800 |
|
|
|
640,000 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| New York (continued) |
|
|
|
|
|
|
| New York State Thruway Authority |
|
|
|
|
|
|
|
|
| Refunding RB, Series A, 4.00%, 03/15/49 |
|
|
USD 3,690 |
|
|
$ |
3,697,778 |
|
| Refunding RB, Series B, 4.00%, 01/01/45 |
|
|
1,190 |
|
|
|
1,207,074 |
|
| New York Transportation Development Corp. |
|
|
|
|
|
|
|
|
| RB, AMT, 5.00%, 07/01/34 |
|
|
500 |
|
|
|
500,543 |
|
| RB, AMT, 5.00%, 10/01/35 |
|
|
3,710 |
|
|
|
3,907,584 |
|
| RB, AMT, 5.63%, 04/01/40 |
|
|
500 |
|
|
|
543,605 |
|
| RB, AMT, 5.00%, 12/01/40 |
|
|
830 |
|
|
|
877,081 |
|
| RB, AMT, 4.00%, 04/30/53 |
|
|
640 |
|
|
|
562,404 |
|
| RB, AMT, 6.00%, 06/30/54 |
|
|
6,000 |
|
|
|
6,557,880 |
|
| RB, AMT, 5.50%, 06/30/60 |
|
|
5,000 |
|
|
|
5,343,594 |
|
| Refunding RB, AMT, 5.38%, 08/01/36 |
|
|
865 |
|
|
|
930,971 |
|
| Oneida Indian Nation of New York, RB, Series B, 6.00%, 09/01/43(b) |
|
|
270 |
|
|
|
298,595 |
|
| Suffolk Regional Off-Track Betting Co. |
|
|
|
|
|
|
|
|
| RB, 5.00%, 12/01/34 |
|
|
405 |
|
|
|
415,949 |
|
| RB, 5.75%, 12/01/44 |
|
|
700 |
|
|
|
725,890 |
|
| RB, 6.00%, 12/01/53 |
|
|
1,000 |
|
|
|
1,044,618 |
|
| Westchester County Local Development Corp. |
|
|
|
|
|
|
|
|
| Refunding RB, 5.00%, 07/01/41(b) |
|
|
510 |
|
|
|
524,796 |
|
| Refunding RB, 5.00%, 07/01/56(b) |
|
|
560 |
|
|
|
563,402 |
|
| Westchester Tobacco Asset Securitization Corp. |
|
|
|
|
|
|
|
|
| Refunding RB, Sub-Series C, 4.00%, 06/01/42 |
|
|
670 |
|
|
|
625,036 |
|
| Refunding RB, Sub-Series C, 5.13%, 06/01/51 |
|
|
500 |
|
|
|
488,568 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,499,903 |
|
|
|
|
| North Carolina — 0.3% |
|
|
|
|
|
|
| North Carolina HFA, RB, (GNMA/FNMA/FHLMC), 6.00%, 07/01/53 |
|
|
775 |
|
|
|
834,778 |
|
| North Carolina Medical Care Commission RB, Series A, 4.00%, 10/01/35 |
|
|
100 |
|
|
|
101,624 |
|
| Refunding RB, Series A, 5.25%, 01/01/41 |
|
|
230 |
|
|
|
229,996 |
|
| Town of Mooresville, Special Assessment RB, 5.38%, 03/01/40(b) |
|
|
250 |
|
|
|
250,549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,416,947 |
|
|
|
|
| North Dakota — 0.3% |
|
|
|
|
|
|
| City of Grand Forks, RB, (AGM), Series A, 5.00%, 12/01/53 |
|
|
350 |
|
|
|
377,193 |
|
| County of Cass, Refunding RB, 5.25%, 02/15/58 |
|
|
855 |
|
|
|
882,067 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,259,260 |
|
|
|
|
| Ohio — 1.8% |
|
|
|
|
|
|
| Buckeye Tobacco Settlement Financing Authority, Refunding RB, Series B-2, 5.00%, 06/01/55 |
|
|
5,905 |
|
|
|
5,545,878 |
|
| County of Hamilton |
|
|
|
|
|
|
|
|
| Refunding RB, 5.00%, 01/01/46 |
|
|
190 |
|
|
|
190,868 |
|
| Refunding RB, 4.00%, 08/15/50 |
|
|
915 |
|
|
|
874,330 |
|
| County of Hardin |
|
|
|
|
|
|
|
|
| Refunding RB, 5.00%, 05/01/30 |
|
|
140 |
|
|
|
140,624 |
|
| Refunding RB, 5.25%, 05/01/40 |
|
|
145 |
|
|
|
145,031 |
|
| Refunding RB, 5.50%, 05/01/50 |
|
|
670 |
|
|
|
661,576 |
|
| Hickory Chase Community Authority, Refunding RB, 5.00%, 12/01/40(b) |
|
|
790 |
|
|
|
768,760 |
|
| Port of Greater Cincinnati Development Authority, RB, 4.25%, 12/01/50(b) |
|
|
265 |
|
|
|
251,118 |
|
| State of Ohio, RB, AMT, Series P-3, 5.00%, 06/30/53 |
|
|
370 |
|
|
|
371,290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,949,475 |
|
|
|
|
| Oklahoma — 1.1% |
|
|
|
|
|
|
| Oklahoma Development Finance Authority |
|
|
|
|
|
|
|
|
| RB, 7.25%, 09/01/51(b) |
|
|
3,290 |
|
|
|
3,369,382 |
|
| RB, Series B, 5.50%, 08/15/52 |
|
|
580 |
|
|
|
599,967 |
|
|
|
|
| 56 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Oklahoma (continued) |
|
|
|
|
|
|
| Tulsa Authority for Economic Opportunity, TA, 4.38%, 12/01/41(b) |
|
|
USD 235 |
|
|
$ |
231,517 |
|
| Tulsa County Industrial Authority, Refunding RB, 5.25%, 11/15/45 |
|
|
965 |
|
|
|
986,697 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,187,563 |
|
|
|
|
| Oregon — 1.2% |
|
|
|
|
|
|
| Clackamas County Hospital Facility Authority, Refunding RB, Series A, 5.25%, 11/15/50 |
|
|
200 |
|
|
|
200,236 |
|
| Clackamas County School District No. 12 North Clackamas, GO, (School Bond Guaranty), Series A, 0.00%, 06/15/38(d) |
|
|
275 |
|
|
|
150,746 |
|
| Hospital Facilities Authority of Multnomah County Oregon, Refunding RB, 5.50%, 10/01/49 |
|
|
150 |
|
|
|
150,000 |
|
| Oregon State Facilities Authority, RB, 5.25%, 06/15/55(b) |
|
|
305 |
|
|
|
288,994 |
|
| Salem Hospital Facility Authority, Refunding RB, 4.00%, 05/15/49 |
|
|
5,000 |
|
|
|
4,841,154 |
|
| Yamhill County Hospital Authority, Refunding RB, 5.00%, 11/15/36 |
|
|
300 |
|
|
|
288,057 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,919,187 |
|
|
|
|
| Pennsylvania — 2.5% |
|
|
|
|
|
|
| Allentown Neighborhood Improvement Zone Development Authority |
|
|
|
|
|
|
|
|
| RB, 5.00%, 05/01/42(b) |
|
|
2,125 |
|
|
|
2,231,973 |
|
| RB, Series A, 5.25%, 05/01/32(b) |
|
|
100 |
|
|
|
107,072 |
|
| RB, Series A, 5.25%, 05/01/42(b) |
|
|
100 |
|
|
|
103,286 |
|
| Beaver County IDA, Refunding RB, Series B, 3.75%, 10/01/47 |
|
|
1,085 |
|
|
|
969,173 |
|
| Bucks County IDA, RB, 4.00%, 07/01/46 |
|
|
200 |
|
|
|
172,001 |
|
| Doylestown Hospital Authority |
|
|
|
|
|
|
|
|
| Refunding RB, 5.00%, 07/01/31(b) |
|
|
125 |
|
|
|
132,412 |
|
| Refunding RB, 5.38%, 07/01/39(b) |
|
|
290 |
|
|
|
321,509 |
|
| Lancaster Municipal Authority, RB, Series B, 5.00%, 05/01/54 |
|
|
100 |
|
|
|
103,280 |
|
| Montgomery County Higher Education & Health Authority, Refunding RB, 4.00%, 09/01/49 |
|
|
1,255 |
|
|
|
1,185,071 |
|
| Montgomery County IDA, RB, 5.00%, 11/15/45 |
|
|
875 |
|
|
|
906,825 |
|
| Pennsylvania Economic Development Financing Authority RB, AMT, 5.75%, 06/30/48 |
|
|
490 |
|
|
|
540,913 |
|
| RB, AMT, 5.25%, 06/30/53 |
|
|
770 |
|
|
|
812,381 |
|
| Refunding RB, Series B, 5.25%, 12/01/38(a) |
|
|
455 |
|
|
|
463,216 |
|
| Refunding RB, Series C, 5.25%, 12/01/37(a) |
|
|
795 |
|
|
|
809,387 |
|
| Refunding RB, AMT, 5.50%, 11/01/44 |
|
|
500 |
|
|
|
500,261 |
|
| Pennsylvania Higher Education Assistance Agency |
|
|
|
|
|
|
|
|
| RB, AMT, Series B, 3.00%, 06/01/47 |
|
|
1,010 |
|
|
|
772,807 |
|
| RB, AMT, Sub-Series 1C, 5.00%, 06/01/51 |
|
|
165 |
|
|
|
166,889 |
|
| Pennsylvania Higher Educational Facilities Authority, RB, 4.00%, 08/15/44 |
|
|
1,045 |
|
|
|
1,040,330 |
|
| Philadelphia Authority for Industrial Development |
|
|
|
|
|
|
|
|
| RB, 5.25%, 11/01/52 |
|
|
235 |
|
|
|
251,742 |
|
| Refunding RB, Series 2015, 5.00%, 04/01/45 |
|
|
500 |
|
|
|
501,795 |
|
| School District of Philadelphia (The), GO, Series A, 5.50%, 09/01/48 |
|
|
265 |
|
|
|
296,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,388,772 |
|
|
|
|
| Puerto Rico — 10.6% |
|
|
|
|
|
|
| Children’s Trust Fund, RB, Series A, 0.00%, 05/15/57(d) |
|
|
17,040 |
|
|
|
1,167,740 |
|
| Commonwealth of Puerto Rico |
|
|
|
|
|
|
|
|
| GO, Series A, 0.00%, 07/01/33(d) |
|
|
537 |
|
|
|
363,721 |
|
| GO, Series A1, 5.63%, 07/01/29 |
|
|
1,049 |
|
|
|
1,137,827 |
|
| GO, Series A1, 5.75%, 07/01/31 |
|
|
440 |
|
|
|
491,798 |
|
| GO, Series A1, 4.00%, 07/01/33 |
|
|
418 |
|
|
|
419,918 |
|
| GO, Series A1, 4.00%, 07/01/35 |
|
|
375 |
|
|
|
372,584 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Puerto Rico (continued) |
|
|
|
|
|
|
| Commonwealth of Puerto Rico |
|
|
|
|
|
|
|
|
| GO, Series A1, 4.00%, 07/01/37 |
|
|
USD 322 |
|
|
$ |
319,670 |
|
| GO, Series A1, 4.00%, 07/01/41 |
|
|
438 |
|
|
|
421,283 |
|
| GO, Series A1, 4.00%, 07/01/46 |
|
|
455 |
|
|
|
429,271 |
|
| GO, Sub-Series CW, 0.00%, 11/01/43(a)(d)(f) |
|
|
2,306 |
|
|
|
1,481,826 |
|
| GO, Sub-Series CW/CONV, 0.00%, 11/01/51(a)(d)(f) |
|
|
131 |
|
|
|
60,231 |
|
| GO, Sub-Series CW/HTA-98, 0.00%,
11/01/51(a)(d)(f) |
|
|
7,043 |
|
|
|
4,604,661 |
|
| GO, Sub-Series CW/HTA-98, 0.00%,
11/01/51(a)(d)(f) |
|
|
9,432 |
|
|
|
3,041,980 |
|
| GO, Sub-Series CW/PRIFA, 0.00%, 11/01/51(a)(d)(f) |
|
|
15,275 |
|
|
|
8,344,131 |
|
| Puerto Rico Electric Power Authority |
|
|
|
|
|
|
|
|
| RB, Series A, 5.00%, 07/01/29(e)(f) |
|
|
385 |
|
|
|
163,625 |
|
| RB, Series A, 7.00%, 07/01/33(e)(f) |
|
|
1,795 |
|
|
|
762,875 |
|
| RB, Series A, 6.75%, 07/01/36(e)(f) |
|
|
775 |
|
|
|
329,375 |
|
| RB, Series A, 5.00%, 07/01/42(e)(f) |
|
|
325 |
|
|
|
138,125 |
|
| RB, Series A, 7.00%, 07/01/43(e)(f) |
|
|
175 |
|
|
|
74,375 |
|
| RB, Series A-1, 10.00%, 07/01/19(e)(f) |
|
|
42 |
|
|
|
17,854 |
|
| RB, Series A-2, 10.00%, 07/01/19(e)(f) |
|
|
212 |
|
|
|
90,076 |
|
| RB, Series A-3, 10.00%, 07/01/19(e)(f) |
|
|
177 |
|
|
|
75,233 |
|
| RB, Series B-3, 10.00%, 07/01/19(e)(f) |
|
|
177 |
|
|
|
75,233 |
|
| RB, Series C-1, 5.40%, 01/01/18(e)(f) |
|
|
486 |
|
|
|
206,697 |
|
| RB, Series C-2, 5.40%, 07/01/18(e)(f) |
|
|
486 |
|
|
|
206,731 |
|
| RB, Series C-3, 5.40%, 01/01/20(e)(f) |
|
|
49 |
|
|
|
20,897 |
|
| RB, Series C-4, 5.40%, 07/01/20(e)(f) |
|
|
49 |
|
|
|
20,897 |
|
| RB, Series CCC, 5.25%, 07/01/26(e)(f) |
|
|
125 |
|
|
|
53,125 |
|
| RB, Series CCC, 5.00%, 07/01/27(e)(f) |
|
|
545 |
|
|
|
231,625 |
|
| RB, Series CCC, 5.25%, 07/01/28(e)(f) |
|
|
70 |
|
|
|
29,750 |
|
| RB, Series D-1, 7.50%, 01/01/20(e)(f) |
|
|
426 |
|
|
|
180,879 |
|
| RB, Series D-2, 7.50%, 01/01/20(e)(f) |
|
|
840 |
|
|
|
357,147 |
|
| RB, Series D-4, 7.50%, 07/01/20(e)(f) |
|
|
145 |
|
|
|
61,623 |
|
| RB, Series TT, 5.00%, 07/01/18(e)(f) |
|
|
160 |
|
|
|
68,000 |
|
| RB, Series TT, 5.00%, 07/01/25(e)(f) |
|
|
45 |
|
|
|
19,125 |
|
| RB, Series TT, 5.00%, 07/01/26(e)(f) |
|
|
190 |
|
|
|
80,750 |
|
| RB, Series TT, 5.00%, 07/01/32(e)(f) |
|
|
395 |
|
|
|
167,875 |
|
| RB, Series WW, 5.50%, 07/01/17(e)(f) |
|
|
110 |
|
|
|
46,750 |
|
| RB, Series WW, 5.50%, 07/01/18(e)(f) |
|
|
95 |
|
|
|
40,375 |
|
| RB, Series WW, 5.50%, 07/01/19(e)(f) |
|
|
70 |
|
|
|
29,750 |
|
| RB, Series WW, 5.38%, 07/01/22(e)(f) |
|
|
940 |
|
|
|
399,500 |
|
| RB, Series WW, 5.38%, 07/01/24(e)(f) |
|
|
65 |
|
|
|
27,625 |
|
| RB, Series WW, 5.00%, 07/01/28(e)(f) |
|
|
165 |
|
|
|
70,125 |
|
| RB, Series WW, 5.25%, 07/01/33(e)(f) |
|
|
75 |
|
|
|
31,875 |
|
| RB, Series WW, 5.50%, 07/01/38(e)(f) |
|
|
220 |
|
|
|
93,500 |
|
| RB, Series XX, 5.25%, 07/01/27(e)(f) |
|
|
50 |
|
|
|
21,250 |
|
| RB, Series XX, 5.25%, 07/01/35(e)(f) |
|
|
30 |
|
|
|
12,750 |
|
| RB, Series XX, 5.75%, 07/01/36(e)(f) |
|
|
600 |
|
|
|
255,000 |
|
| RB, Series XX, 5.25%, 07/01/40(e)(f) |
|
|
2,320 |
|
|
|
986,000 |
|
| Refunding RB, Series AAA, 5.25%, 07/01/22(e)(f) |
|
|
160 |
|
|
|
68,000 |
|
| Refunding RB, Series AAA, 5.25%, 07/01/28(e)(f) |
|
|
265 |
|
|
|
112,625 |
|
| Refunding RB, Series AAA, 5.25%, 07/01/29(e)(f) |
|
|
40 |
|
|
|
17,000 |
|
| Refunding RB, Series DDD, 5.00%, 07/01/19(e)(f) |
|
|
895 |
|
|
|
380,375 |
|
| Refunding RB, Series UU, 0.00%,
07/01/17(a)(d)(e)(f) |
|
|
30 |
|
|
|
12,750 |
|
| Refunding RB, Series UU, 0.00%,
07/01/18(a)(d)(e)(f) |
|
|
30 |
|
|
|
12,750 |
|
| Refunding RB, Series UU, 0.00%,
07/01/20(a)(d)(e)(f) |
|
|
250 |
|
|
|
106,250 |
|
| Refunding RB, Series UU, 4.45%, 07/01/31(a)(e)(f) |
|
|
300 |
|
|
|
127,500 |
|
| Refunding RB, Series ZZ, 5.00%, 07/01/17(e)(f) |
|
|
70 |
|
|
|
29,750 |
|
| Refunding RB, Series ZZ, 5.25%, 07/01/19(e)(f) |
|
|
235 |
|
|
|
99,875 |
|
| Refunding RB, Series ZZ, 5.25%, 07/01/23(e)(f) |
|
|
930 |
|
|
|
395,250 |
|
| Refunding RB, Series ZZ, 5.25%, 07/01/24(e)(f) |
|
|
150 |
|
|
|
63,750 |
|
| Refunding RB, Series ZZ, 5.00%, 07/01/28(e)(f) |
|
|
75 |
|
|
|
31,875 |
|
| Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority |
|
|
|
|
|
|
|
|
| RB, AMT, Series A-1, 6.75%, 01/01/45 |
|
|
165 |
|
|
|
197,266 |
|
| RB, AMT, Series A-2, 6.50%, 01/01/42 |
|
|
110 |
|
|
|
131,138 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Puerto Rico (continued) |
|
|
|
|
|
|
|
|
| Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority RB, AMT, Series A-2, 6.75%, 01/01/45 |
|
|
USD 165 |
|
|
$ |
197,265 |
|
| Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue |
|
|
|
|
|
|
|
|
| RB, Series A-1, 0.00%, 07/01/33(d) |
|
|
496 |
|
|
|
352,305 |
|
| RB, Series A-1, 0.00%, 07/01/46(d) |
|
|
1,971 |
|
|
|
663,719 |
|
| RB, Series A-1, 4.75%, 07/01/53 |
|
|
3,377 |
|
|
|
3,380,125 |
|
| RB, Series A-1, 5.00%, 07/01/58 |
|
|
2,375 |
|
|
|
2,397,485 |
|
| RB, Series A-2, 4.33%, 07/01/40 |
|
|
3,825 |
|
|
|
3,809,192 |
|
| RB, Series A-2, 4.54%, 07/01/53 |
|
|
317 |
|
|
|
309,504 |
|
| RB, Series A-2, 4.78%, 07/01/58 |
|
|
11,146 |
|
|
|
11,147,489 |
|
| RB, Series B-1, 0.00%, 07/01/46(d) |
|
|
477 |
|
|
|
160,461 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
52,306,732 |
|
|
|
|
| Rhode Island — 0.1% |
|
|
|
|
|
|
| Rhode Island Student Loan Authority, RB, AMT, Series A, 3.63%, 12/01/37 |
|
|
460 |
|
|
|
437,826 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| South Carolina — 1.0% |
|
|
|
|
|
|
| Patriots Energy Group Financing Agency, RB, Series A1, 5.25%, 10/01/54(a) |
|
|
1,880 |
|
|
|
2,045,464 |
|
| South Carolina Jobs EDA |
|
|
|
|
|
|
|
|
| RB, 7.50%, 08/15/62(b) |
|
|
325 |
|
|
|
325,651 |
|
| RB, Series A, 5.50%, 11/01/54 |
|
|
1,100 |
|
|
|
1,230,900 |
|
| Refunding RB, 4.00%, 11/15/27 |
|
|
105 |
|
|
|
104,310 |
|
| Refunding RB, 5.00%, 02/01/38 |
|
|
200 |
|
|
|
206,102 |
|
| Refunding RB, 5.00%, 02/01/38 |
|
|
800 |
|
|
|
817,674 |
|
| South Carolina Public Service Authority, Refunding RB, Series B, 4.00%, 12/01/56 |
|
|
200 |
|
|
|
188,054 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,918,155 |
|
|
|
|
| Tennessee — 1.4% |
|
|
|
|
|
|
| Chattanooga-Hamilton County Hospital Authority, Refunding RB, Series A, 5.00%, 10/01/44 |
|
|
250 |
|
|
|
250,593 |
|
| Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, Refunding RB, 4.00%, 10/01/49 |
|
|
220 |
|
|
|
186,848 |
|
| Metropolitan Government Nashville & Davidson County IDB, Special Assessment RB, 0.00%, 06/01/43(b)(d) |
|
|
685 |
|
|
|
280,496 |
|
| Metropolitan Government Nashville & Davidson County Sports Authority, RB, (AGM), Series A, 5.25%, 07/01/48. |
|
|
935 |
|
|
|
1,037,537 |
|
| Metropolitan Nashville Airport Authority (The) |
|
|
|
|
|
|
|
|
| RB, AMT, Series B, 5.25%, 07/01/35 |
|
|
320 |
|
|
|
355,977 |
|
| RB, AMT, Series B, 5.50%, 07/01/36 |
|
|
265 |
|
|
|
299,705 |
|
| Tennergy Corp., RB, Series A, 5.50%, 10/01/53(a) |
|
|
2,320 |
|
|
|
2,544,189 |
|
| Tennessee Energy Acquisition Corp., RB, Series A, 5.00%, 05/01/52(a) |
|
|
1,750 |
|
|
|
1,903,410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,858,755 |
|
|
|
|
| Texas — 6.2% |
|
|
|
|
|
|
| Angelina & Neches River Authority, RB, AMT, 7.50%, 12/01/45(b) |
|
|
510 |
|
|
|
365,211 |
|
| Arlington Higher Education Finance Corp. |
|
|
|
|
|
|
|
|
| RB, 5.63%, 08/15/54(b) |
|
|
1,305 |
|
|
|
1,085,224 |
|
| RB, 7.88%, 11/01/62(b) |
|
|
280 |
|
|
|
294,905 |
|
| Central Texas Turnpike System |
|
|
|
|
|
|
|
|
| Refunding RB, Series C, 5.00%, 08/15/37 |
|
|
200 |
|
|
|
200,363 |
|
| Refunding RB, Series C, 5.00%, 08/15/42 |
|
|
250 |
|
|
|
250,453 |
|
| City of Anna, Special Assessment RB, 5.75%, 09/15/54(b) |
|
|
315 |
|
|
|
322,163 |
|
| City of Crandall, Special Assessment RB, 4.25%, 09/15/41(b) |
|
|
230 |
|
|
|
220,628 |
|
| City of Fate, Special Assessment RB, 5.75%, 08/15/54(b) |
|
|
100 |
|
|
|
104,708 |
|
| City of Houston Airport System Revenue |
|
|
|
|
|
|
|
|
| RB, AMT, 4.00%, 07/01/41 |
|
|
700 |
|
|
|
681,222 |
|
| RB, AMT, Series B-1, 5.00%, 07/15/30 |
|
|
395 |
|
|
|
398,095 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Texas (continued) |
|
|
|
|
|
|
| City of Houston Airport System Revenue |
|
|
|
|
|
|
|
|
| Refunding RB, AMT, 5.00%, 07/15/27 |
|
|
USD 140 |
|
|
$ |
144,562 |
|
| Refunding RB, AMT, 5.00%, 07/01/29 |
|
|
1,500 |
|
|
|
1,501,229 |
|
| Refunding RB, AMT, Series C, 5.00%, 07/15/27 |
|
|
1,410 |
|
|
|
1,455,338 |
|
| Refunding RB, AMT, Sub-Series A, 4.00%, 07/01/41 |
|
|
3,590 |
|
|
|
3,573,083 |
|
| Refunding RB, AMT, (AGM), Series A, 5.25%, 07/01/48 |
|
|
485 |
|
|
|
524,101 |
|
| City of Oak Point, Special Assessment RB, 09/15/54(b)(c) |
|
|
305 |
|
|
|
301,615 |
|
| City of Princeton |
|
|
|
|
|
|
|
|
| Special Assessment RB, 4.25%, 09/01/31(b) |
|
|
50 |
|
|
|
50,138 |
|
| Special Assessment RB, 4.38%, 09/01/31(b) |
|
|
50 |
|
|
|
50,200 |
|
| Special Assessment RB, 5.00%, 09/01/44(b) |
|
|
100 |
|
|
|
100,518 |
|
| Special Assessment RB, 5.13%, 09/01/44(b) |
|
|
100 |
|
|
|
100,612 |
|
| Special Assessment RB, 5.25%, 09/01/54(b) |
|
|
150 |
|
|
|
150,596 |
|
| Special Assessment RB, 5.38%, 09/01/54(b) |
|
|
172 |
|
|
|
172,917 |
|
| City of San Antonio Airport System, RB, AMT, 5.00%, 07/01/45 |
|
|
500 |
|
|
|
503,006 |
|
| Clifton Higher Education Finance Corp., RB, Series A, 6.00%, 06/15/54(b) |
|
|
100 |
|
|
|
100,847 |
|
| County of Hays, Special Assessment RB, 7.00%, 09/15/45 |
|
|
200 |
|
|
|
203,748 |
|
| Dallas ISD, GO (Permanent School Fund GTD), 5.00%, 02/15/48 |
|
|
1,375 |
|
|
|
1,499,512 |
|
| Del Valle ISD, GO (Permanent School Fund GTD), 4.00%, 06/15/47 |
|
|
1,335 |
|
|
|
1,336,729 |
|
| Fort Bend County IDC, RB, Series B, 4.75%, 11/01/42 |
|
|
1,465 |
|
|
|
1,465,346 |
|
| Fort Worth ISD, GO (Permanent School Fund GTD), 4.00%, 02/15/48 |
|
|
230 |
|
|
|
228,756 |
|
| New Hope Cultural Education Facilities Finance Corp. |
|
|
|
|
|
|
|
|
| RB, Series A, 5.00%, 08/15/51(b) |
|
|
250 |
|
|
|
250,819 |
|
| RB, Series A, 6.75%, 10/01/52 |
|
|
800 |
|
|
|
794,864 |
|
| RB, Series A, 5.00%, 01/01/55 |
|
|
200 |
|
|
|
165,475 |
|
| New Hope Higher Education Finance Corp., RB, Series A, 5.75%, 06/15/51(b) |
|
|
1,175 |
|
|
|
1,103,404 |
|
| Newark Higher Education Finance Corp., RB, Series A, 5.50%, 08/15/35(b) |
|
|
300 |
|
|
|
303,239 |
|
| Port of Beaumont Navigation District |
|
|
|
|
|
|
|
|
| RB, AMT, 2.88%, 01/01/41(b) |
|
|
175 |
|
|
|
144,210 |
|
| RB, AMT, Series A, 5.00%, 01/01/39(b) |
|
|
2,330 |
|
|
|
2,436,674 |
|
| RB, AMT, Series A, 5.13%, 01/01/44(b) |
|
|
1,040 |
|
|
|
1,073,764 |
|
| Refunding RB, AMT, 3.63%, 01/01/35(b) |
|
|
690 |
|
|
|
653,425 |
|
| Refunding RB, AMT, 4.00%, 01/01/50(b) |
|
|
1,975 |
|
|
|
1,779,522 |
|
| Tarrant County Cultural Education Facilities Finance Corp. RB, 5.50%, 11/15/47 |
|
|
595 |
|
|
|
666,010 |
|
| Refunding RB, 5.00%, 10/01/49 |
|
|
250 |
|
|
|
250,000 |
|
| Texas Private Activity Bond Surface Transportation Corp. |
|
|
|
|
|
|
|
|
| RB, AMT, 5.00%, 06/30/58 |
|
|
315 |
|
|
|
321,990 |
|
| RB, AMT, 5.50%, 12/31/58 |
|
|
1,050 |
|
|
|
1,143,073 |
|
| Texas Transportation Commission State Highway 249 System |
|
|
|
|
|
|
|
|
| RB, 0.00%, 08/01/40(d) |
|
|
1,000 |
|
|
|
489,182 |
|
| RB, 0.00%, 08/01/42(d) |
|
|
655 |
|
|
|
286,338 |
|
| Texas Water Development Board, RB, 4.00%, 10/15/45 |
|
|
1,295 |
|
|
|
1,309,758 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,557,572 |
|
|
|
|
| Utah — 0.5% |
|
|
|
|
|
|
| Black Desert Public Infrastructure District, Special Assessment RB, 5.63%, 12/01/53(b) |
|
|
390 |
|
|
|
404,470 |
|
| Utah Charter School Finance Authority |
|
|
|
|
|
|
|
|
| RB, Series A, 5.00%, 06/15/52(b) |
|
|
285 |
|
|
|
255,743 |
|
| Refunding RB, 5.00%, 10/15/44 |
|
|
1,615 |
|
|
|
1,615,871 |
|
|
|
|
| 58 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Utah (continued) |
|
|
|
|
|
|
|
|
| Utah Charter School Finance Authority Refunding RB, 5.00%, 06/15/55(b) |
|
|
USD 230 |
|
|
$ |
220,540 |
|
| Wood Ranch Public Infrastructure District, Special Assessment RB, 5.63%, 12/01/53(b) |
|
|
130 |
|
|
|
135,643 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,632,267 |
|
|
|
|
| Vermont — 0.4% |
|
|
|
|
|
|
|
|
| East Central Vermont Telecommunications District |
|
|
|
|
|
|
|
|
| RB, Series A, 4.75%, 12/01/40(b) |
|
|
695 |
|
|
|
644,928 |
|
| RB, Series A, 4.50%, 12/01/44(b) |
|
|
705 |
|
|
|
608,029 |
|
| RB, Series A, 6.88%, 12/01/46(b) |
|
|
785 |
|
|
|
857,019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,109,976 |
|
|
|
|
| Virginia — 0.6% |
|
|
|
|
|
|
|
|
| Ballston Quarter Community Development Authority |
|
|
|
|
|
|
|
|
| TA, Series A, 5.50%, 03/01/46 |
|
|
92 |
|
|
|
89,523 |
|
| TA, Series A, 0.00%, 03/01/59(d) |
|
|
220 |
|
|
|
161,039 |
|
| Hampton Roads Transportation Accountability Commission, RB, Series A, 4.00%, 07/01/55 |
|
|
285 |
|
|
|
277,783 |
|
| James City County EDA |
|
|
|
|
|
|
|
|
| RB, Series A, 6.88%, 12/01/58 |
|
|
345 |
|
|
|
382,331 |
|
| RB, Series C3, 5.25%, 12/01/27 |
|
|
250 |
|
|
|
250,485 |
|
| Lower Magnolia Green Community Development Authority |
|
|
|
|
|
|
|
|
| Special Assessment RB, 5.00%, 03/01/35(b) |
|
|
230 |
|
|
|
231,859 |
|
| Special Assessment RB, 5.00%, 03/01/45(b) |
|
|
85 |
|
|
|
84,427 |
|
| Norfolk Redevelopment & Housing Authority |
|
|
|
|
|
|
|
|
| RB, 4.00%, 01/01/29 |
|
|
250 |
|
|
|
245,906 |
|
| RB, 5.00%, 01/01/34 |
|
|
190 |
|
|
|
192,098 |
|
| RB, 5.00%, 01/01/49 |
|
|
365 |
|
|
|
346,286 |
|
| Virginia Beach Development Authority |
|
|
|
|
|
|
|
|
| RB, Series A, 7.00%, 09/01/53 |
|
|
360 |
|
|
|
416,022 |
|
| RB, Series B3, 5.38%, 09/01/29 |
|
|
235 |
|
|
|
241,775 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,919,534 |
|
|
|
|
| Washington — 0.9% |
|
|
|
|
|
|
|
|
| King County Public Hospital District No. 4, GO, Refunding, 5.00%, 12/01/30 |
|
|
200 |
|
|
|
201,282 |
|
| Washington State Housing Finance Commission |
|
|
|
|
|
|
|
|
| RB, 6.00%, 07/01/59 |
|
|
100 |
|
|
|
102,653 |
|
| RB, Series A, 5.00%, 07/01/50(b) |
|
|
310 |
|
|
|
308,060 |
|
| RB, Series A, 5.75%, 01/01/53(b) |
|
|
200 |
|
|
|
198,881 |
|
| RB, Series A, 5.88%, 01/01/59(b) |
|
|
160 |
|
|
|
160,126 |
|
| RB, Series B2, 3.95%, 07/01/29(b) |
|
|
775 |
|
|
|
743,186 |
|
| Refunding RB, 5.00%, 01/01/26(b) |
|
|
190 |
|
|
|
190,151 |
|
| Refunding RB, 5.00%, 01/01/43(b) |
|
|
1,935 |
|
|
|
1,833,829 |
|
| Refunding RB, 6.00%, 01/01/45(b) |
|
|
210 |
|
|
|
210,265 |
|
| Refunding RB, Series A, 5.00%, 07/01/43 |
|
|
200 |
|
|
|
212,918 |
|
| Refunding RB, Series A, 5.00%, 07/01/48 |
|
|
190 |
|
|
|
199,011 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,360,362 |
|
|
|
|
| West Virginia — 0.3% |
|
|
|
|
|
|
|
|
| City of Martinsburg, RB, Series A-1, 4.63%, 12/01/43 |
|
|
430 |
|
|
|
384,141 |
|
| Morgantown Utility Board, Inc., RB, Series B, 4.00%, 12/01/48 |
|
|
1,215 |
|
|
|
1,179,295 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,563,436 |
|
|
|
|
| Wisconsin — 6.0% |
|
|
|
|
|
|
|
|
| Public Finance Authority |
|
|
|
|
|
|
|
|
| RB, 6.25%, 10/01/31(b)(e)(f) |
|
|
195 |
|
|
|
16,575 |
|
| RB, 5.50%, 12/15/32(b) |
|
|
1,885 |
|
|
|
1,925,094 |
|
| RB, 5.75%, 12/15/33(b) |
|
|
3,305 |
|
|
|
3,306,974 |
|
| RB, 0.00%, 01/01/35(b)(d) |
|
|
1,055 |
|
|
|
577,905 |
|
| RB, 4.50%, 01/01/35(b) |
|
|
675 |
|
|
|
681,622 |
|
| RB, 5.00%, 06/15/41(b) |
|
|
210 |
|
|
|
211,720 |
|
| RB, 6.85%, 11/01/46(b)(e)(f) |
|
|
275 |
|
|
|
133,031 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Wisconsin (continued) |
|
| Public Finance Authority |
|
|
|
|
|
|
|
|
| RB, 7.00%, 11/01/46(b)(e)(f) |
|
|
USD 155 |
|
|
$ |
74,981 |
|
| RB, 5.38%, 07/15/47(b) |
|
|
335 |
|
|
|
339,556 |
|
| RB, 7.00%, 10/01/47(b)(e)(f) |
|
|
195 |
|
|
|
16,575 |
|
| RB, 5.63%, 06/15/49(b) |
|
|
1,420 |
|
|
|
1,307,584 |
|
| RB, 5.00%, 06/15/51(b) |
|
|
195 |
|
|
|
193,888 |
|
| RB, 5.25%, 12/01/51(b) |
|
|
1,060 |
|
|
|
758,548 |
|
| RB, 5.00%, 06/15/55(b) |
|
|
550 |
|
|
|
546,217 |
|
| RB, 5.00%, 06/15/55(b) |
|
|
2,750 |
|
|
|
2,367,235 |
|
| RB, 5.00%, 07/01/55(b) |
|
|
880 |
|
|
|
841,719 |
|
| RB, 5.00%, 01/01/56(b) |
|
|
875 |
|
|
|
800,201 |
|
| RB, 4.75%, 06/15/56(b) |
|
|
440 |
|
|
|
326,032 |
|
| RB, 5.00%, 06/15/56(b) |
|
|
145 |
|
|
|
144,034 |
|
| RB, 0.00%, 01/01/60(b)(d) |
|
|
19,530 |
|
|
|
1,623,197 |
|
| RB, Series A, 7.75%, 07/01/43(b) |
|
|
1,920 |
|
|
|
2,027,131 |
|
| RB, Series A, 12/15/44(b)(c) |
|
|
120 |
|
|
|
122,518 |
|
| RB, Series A, 5.63%, 06/15/49(b) |
|
|
855 |
|
|
|
837,610 |
|
| RB, Series A, 12/15/54(b)(c) |
|
|
350 |
|
|
|
355,621 |
|
| RB, Series A, 7.50%, 07/01/59(b) |
|
|
2,020 |
|
|
|
2,249,999 |
|
| RB, Series A-4, 5.50%, 11/15/32(b) |
|
|
1,750 |
|
|
|
1,790,772 |
|
| RB, AMT, 4.00%, 09/30/51 |
|
|
2,025 |
|
|
|
1,777,640 |
|
| RB, AMT, 4.25%, 07/01/54 |
|
|
1,160 |
|
|
|
993,553 |
|
| RB, AMT, 4.00%, 03/31/56 |
|
|
680 |
|
|
|
590,507 |
|
| Refunding RB, AMT, Series B, 5.00%, 07/01/42 |
|
|
750 |
|
|
|
750,787 |
|
| Wisconsin Health & Educational Facilities Authority |
|
|
|
|
|
|
|
|
| RB, Series A, 5.50%, 08/15/44 |
|
|
1,305 |
|
|
|
1,409,563 |
|
| RB, Series A, 5.75%, 08/15/54 |
|
|
350 |
|
|
|
375,678 |
|
| Wisconsin Housing & EDA, RB, Series A, 4.55%, 07/01/37 |
|
|
165 |
|
|
|
166,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,640,617 |
|
|
| Wyoming — 0.2% |
|
| University of Wyoming, RB, (AGM), Series C, 4.00%, 06/01/51 |
|
|
775 |
|
|
|
757,281 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Municipal Bonds — 87.9%
(Cost: $433,960,488) |
|
|
|
432,352,039 |
|
|
|
|
|
|
|
|
|
|
|
| Municipal Bonds Transferred to Tender Option Bond Trusts(g) |
|
|
| Alabama — 1.1% |
|
| Black Belt Energy Gas District, RB, Series C-1, 5.25%, 02/01/53 |
|
|
5,095 |
|
|
|
5,485,595 |
|
|
|
|
|
|
|
|
|
|
|
| New York — 1.5% |
|
| New York City Housing Development Corp. |
|
|
|
|
|
|
|
|
| RB, Series D-1-B, 4.25%, 11/01/45 |
|
|
1,000 |
|
|
|
964,253 |
|
| Refunding RB, Series A-1, 4.15%, 11/01/38 |
|
|
1,414 |
|
|
|
1,419,339 |
|
| Port Authority of New York & New Jersey, RB, AMT, Series 221, 4.00%, 07/15/55 |
|
|
5,015 |
|
|
|
4,784,078 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,167,670 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Municipal Bonds Transferred to Tender Option Bond Trusts — 2.6%
(Cost: $12,501,931) |
|
|
|
12,653,265 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Long-Term Investments — 90.5%
(Cost: $446,462,419) |
|
|
|
445,005,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series E Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Short-Term Securities |
|
|
|
|
|
|
|
|
|
| Municipal Bonds |
|
|
|
|
|
|
|
|
|
| Florida — 2.0% |
|
|
|
|
|
|
| City of Gainesville Utilities System Revenue, Refunding RB, Series B, VRDN, (Barclays Bank plc SBPA), 4.05%, 10/01/24(h) |
|
|
USD 2,200 |
|
|
$ |
2,200,000 |
|
| County of Miami-Dade, RB, Series E, VRDN, (TD Bank NA LOC), 3.15%, 10/07/24(h) |
|
|
5,200 |
|
|
|
5,200,000 |
|
| JEA Electric System Revenue, Refunding RB, Series THREE-B-3, VRDN, (Royal Bank of Canada SBPA), 3.15%, 10/07/24(h) |
|
|
2,500 |
|
|
|
2,500,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,900,000 |
|
|
|
|
| Maryland — 0.2% |
|
|
|
|
|
|
| Montgomery County Housing Opportunities Commission, Refunding RB, (FHA 542(C) FNMA COL), VRDN, (TD Bank NA LOC), 3.80%, 10/01/24(h) |
|
|
800 |
|
|
|
800,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Minnesota — 0.8% |
|
|
|
|
|
|
| Minnesota HFA, Refunding RB, AMT, (GNMA/FNMA/FHLMC), Series F, VRDN, (Royal Bank of Canada SBPA), 3.15%, 10/07/24(h) |
|
|
4,000 |
|
|
|
4,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mississippi — 0.6% |
|
|
|
|
|
|
| Mississippi Business Finance Corp. |
|
|
|
|
|
|
|
|
| RB, Series C, VRDN, 3.90%, 10/01/24(h) |
|
|
2,600 |
|
|
|
2,600,000 |
|
| RB, Series L, VRDN, 3.75%, 10/01/24(h) |
|
|
400 |
|
|
|
400,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,000,000 |
|
|
|
|
| Nevada — 0.8% |
|
|
|
|
|
|
| County of Clark Department of Aviation, Refunding RB, Series D-2B, VRDN, (Sumitomo Mitsui Banking Corp. LOC), 3.15%, 10/07/24(h) |
|
|
3,800 |
|
|
|
3,800,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| New York — 1.7% |
|
|
|
|
|
|
| City of New York |
|
|
|
|
|
|
|
|
| GO, Sub-Series A-2, VRDN, (Mizuho Bank Ltd. LOC), 4.00%, 10/01/24(h) |
|
|
2,500 |
|
|
|
2,500,000 |
|
| GO, Sub-Series F6, VRDN, (JPMorgan Chase Bank NA SBPA), 4.05%, 10/01/24(h) |
|
|
1,000 |
|
|
|
1,000,000 |
|
| GO, Sub-Series I-2, VRDN, (JPMorgan Chase Bank NA SBPA), 4.05%, 10/01/24(h) |
|
|
1,100 |
|
|
|
1,100,000 |
|
| Metropolitan Transportation Authority RB, Sub-Series E-1, VRDN, (Barclays Bank plc LOC), 4.15%, 10/01/24(h) |
|
|
800 |
|
|
|
800,000 |
|
| Refunding RB, Sub-Series 2012 G-1, VRDN, (Barclays Bank plc LOC), 4.15%, 10/01/24(h) |
|
|
3,260 |
|
|
|
3,260,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,660,000 |
|
|
|
|
| Rhode Island — 0.8% |
|
|
|
|
|
|
| Rhode Island Health & Educational Building Corp., RB, Series A, VRDN, (TD Bank NA SBPA), 3.23%, 10/07/24(h) |
|
|
3,790 |
|
|
|
3,790,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| South Carolina — 0.5% |
|
|
|
|
|
|
| South Carolina State Housing Finance & Development Authority, RB, VRDN, (Federal Home Loan Bank LOC), 3.29%, 10/07/24(h) |
|
|
USD 2,480 |
|
|
$ |
2,480,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Texas — 2.0% |
|
|
|
|
|
|
| Red River Education Finance Corp., RB, VRDN, (TD Bank NA SBPA), 3.20%, 10/07/24(h) |
|
|
4,700 |
|
|
|
4,700,000 |
|
| State of Texas, GO, VRDN, (Federal Home Loan Bank SBPA), 3.15%, 10/07/24(h) |
|
|
5,000 |
|
|
|
5,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,700,000 |
|
|
|
|
| Utah — 0.8% |
|
|
|
|
|
|
| County of Utah, RB, Series C, VRDN, (TD Bank NA SBPA), 3.75%, 10/01/24(h) |
|
|
3,905 |
|
|
|
3,905,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Virginia — 0.5% |
|
|
|
|
|
|
| Loudoun County EDA, RB, Series F, VRDN, 3.20%, 10/07/24(h) |
|
|
2,500 |
|
|
|
2,500,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Wisconsin — 0.2% |
|
|
|
|
|
|
| University of Wisconsin Hospitals & Clinics, Refunding RB, Series C, VRDN, 4.10%, 10/01/24(h) |
|
|
1,000 |
|
|
|
1,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Short-Term Securities — 10.9% |
|
|
|
|
|
|
| (Cost: $53,535,000) |
|
|
|
|
|
|
53,535,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 101.4% |
|
|
|
|
|
|
| (Cost: $499,997,419) |
|
|
|
|
|
|
498,540,304 |
|
|
|
|
| Other Assets Less Liabilities — 0.0% |
|
|
|
|
79,577 |
|
|
|
|
| Liability for TOB Trust Certificates, Including Interest Expense and Fees Payable — (1.4)% |
|
|
|
|
|
|
(6,731,145 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
| Net Assets — 100.0% |
|
|
|
|
$ 491,888,736 |
|
|
|
|
|
|
|
|
|
|
| (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) |
When-issued security. |
| (e) |
Issuer filed for bankruptcy and/or is in default. |
| (f) |
Non-income producing security. |
| (g) |
Represents bonds transferred to a TOB Trust in exchange of cash and residual certificates received by the Fund. These bonds serve as collateral in a secured borrowing. See Note 4 of the Notes to Financial Statements for details. |
| (h) |
Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
|
|
|
| 60 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series E Portfolio |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments at the measurement date. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Long-Term Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Bonds |
|
$ |
— |
|
|
$ |
432,352,039 |
|
|
$ |
— |
|
|
$ |
432,352,039 |
|
| Municipal Bonds Transferred to Tender Option Bond Trusts |
|
|
— |
|
|
|
12,653,265 |
|
|
|
— |
|
|
|
12,653,265 |
|
| Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Bonds |
|
|
— |
|
|
|
53,535,000 |
|
|
|
— |
|
|
|
53,535,000 |
|
| Unfunded Commitments(a) |
|
|
— |
|
|
|
— |
|
|
|
1,375,579 |
|
|
|
1,375,579 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
498,540,304 |
|
|
$ |
1,375,579 |
|
|
$ |
499,915,883 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Unfunded commitments are valued at the unrealized appreciation (depreciation) on the commitment. |
|
The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, TOB Trust Certificates of $6,647,000 are categorized as Level 2 within the fair value hierarchy.
See notes to financial statements.
|
|
|
| S C H E D U L E S O F I N V E S T M E N T S |
|
61 |
|
|
|
| Schedule of Investments (unaudited) September 30, 2024 |
|
BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
|
| Asset-Backed Securities |
|
|
|
|
|
|
|
|
| ARI Fleet Lease Trust, Series 2024-A, Class A2, 5.30%, 11/15/32(a) |
|
|
USD 1,454 |
|
|
$ |
1,464,390 |
|
| Chesapeake Funding II LLC, Series 2023-2A, Class A1, 6.16%, 10/15/35(a) |
|
|
1,061 |
|
|
|
1,078,411 |
|
| Enterprise Fleet Financing LLC |
|
|
|
|
|
|
|
|
| Series 2023-2, Class A2, 5.56%, 04/22/30(a) |
|
|
1,765 |
|
|
|
1,782,107 |
|
| Series 2024-1, Class A3, 5.16%, 09/20/30(a) |
|
|
294 |
|
|
|
301,976 |
|
| Series 2024-2, Class A3, 5.61%, 04/20/28(a) |
|
|
8,007 |
|
|
|
8,242,003 |
|
| Series 2024-3, Class A4, 5.06%, 03/20/31(a) |
|
|
378 |
|
|
|
386,802 |
|
| Ford Credit Floorplan Master Owner Trust A |
|
|
|
|
|
|
|
|
| Series 2023-1, Class A1, 4.92%, 05/15/28(a) |
|
|
3,331 |
|
|
|
3,364,200 |
|
| Series 2024-2, Class A, 5.24%, 04/15/31(a) |
|
|
5,015 |
|
|
|
5,215,882 |
|
| GMF Floorplan Owner Revolving Trust |
|
|
|
|
|
|
|
|
| Series 2023-1, Class A1, 5.34%, 06/15/28(a) |
|
|
1,805 |
|
|
|
1,836,237 |
|
| Series 2023-2, Class A, 5.34%, 06/15/30(a) |
|
|
617 |
|
|
|
640,863 |
|
| Mosaic Solar Loan Trust, Series 2019-2A, Class A, 2.88%, 09/20/40(a) |
|
|
105 |
|
|
|
94,660 |
|
| Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.18%, 08/25/28(a) |
|
|
794 |
|
|
|
804,872 |
|
| PFS Financing Corp., Series 2024-D, Class A, 5.34%, 04/15/29(a) |
|
|
4,901 |
|
|
|
5,029,563 |
|
| Toyota Auto Loan Extended Note Trust, Series 2024- 1A, Class A, 5.16%, 11/25/36(a) |
|
|
3,917 |
|
|
|
4,072,557 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities — 2.8%
(Cost: $33,440,341) |
|
|
|
34,314,523 |
|
|
|
|
|
|
|
|
|
|
|
|
| Non-Agency Mortgage-Backed Securities |
|
|
|
|
|
|
|
| Commercial Mortgage-Backed Securities — 7.8% |
|
|
|
|
| 1211 Avenue of the Americas Trust, Series 2015- 1211, Class A1A2, 3.90%, 08/10/35(a) |
|
|
945 |
|
|
|
927,856 |
|
| 280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1-mo. CME Term SOFR + 1.18%), 6.30%, 09/15/34(a)(b) |
|
|
3,928 |
|
|
|
3,830,106 |
|
| Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class C, 3.72%, 05/15/53(a)(b) |
|
|
400 |
|
|
|
358,685 |
|
| ARES Commercial Mortgage Trust, Series 2024-IND, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 07/15/41(a)(b) |
|
|
2,220 |
|
|
|
2,222,775 |
|
| Banc of America Merrill Lynch Commercial Mortgage Securities Trust |
|
|
|
|
|
| Series 2015-200P, Class B, 3.49%, 04/14/33(a) |
|
|
2,164 |
|
|
|
2,123,328 |
|
| Series 2024-BHP, Class A, (1-mo. CME Term SOFR + 2.35%), 7.45%, 08/15/39(a)(b) |
|
|
600 |
|
|
|
602,068 |
|
| BANK |
|
|
|
|
|
|
|
|
| Series 2018-BN11, Class B, 4.49%, 03/15/61(b) |
|
|
1,769 |
|
|
|
1,694,066 |
|
| Series 2021-BN38, Class A5, 2.52%, 12/15/64 |
|
|
5,090 |
|
|
|
4,423,524 |
|
| Benchmark Mortgage Trust, Series 2018-B2, Class A5, 3.88%, 02/15/51(b) |
|
|
1,000 |
|
|
|
970,464 |
|
| BFLD Mortgage Trust, Series 2024-WRHS, Class A, (1-mo. CME Term SOFR + 1.49%), 6.59%,
08/15/26(a)(b) |
|
|
2,170 |
|
|
|
2,168,644 |
|
| BLP Commercial Mortgage Trust, Series 2023-IND, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 03/15/40(a)(b) |
|
|
2,000 |
|
|
|
1,995,010 |
|
| BSST Mortgage Trust, Series 2021-SSCP, Class A, (1-mo. CME Term SOFR + 0.86%), 5.96%,
04/15/36(a)(b) |
|
|
1,099 |
|
|
|
1,088,851 |
|
| BX Commercial Mortgage Trust Series 2022-LP2, Class A, (1-mo. CME Term SOFR + 1.01%), 6.11%, 02/15/39(a)(b) |
|
|
4,770 |
|
|
|
4,743,444 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
|
| Commercial Mortgage-Backed Securities (continued) |
|
|
|
|
| BX Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2023-VLT3, Class A, (1-mo. CME Term SOFR + 1.94%), 7.04%, 11/15/28(a)(b) |
|
|
USD 1,060 |
|
|
$ |
1,054,701 |
|
| Series 2023-XL3, Class A, (1-mo. CME Term SOFR + 1.76%), 6.86%, 12/09/40(a)(b) |
|
|
2,380 |
|
|
|
2,386,980 |
|
| Series 2024-AIRC, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 08/15/39(a)(b) |
|
|
3,780 |
|
|
|
3,784,725 |
|
| Series 2024-MF, Class A, (1-mo. CME Term SOFR + 1.44%), 6.54%, 02/15/39(a)(b) |
|
|
2,364 |
|
|
|
2,361,947 |
|
| Series 2024-XL4, Class A, (1-mo. CME Term SOFR + 1.44%), 6.54%, 02/15/39(a)(b) |
|
|
2,430 |
|
|
|
2,430,024 |
|
| BX Trust |
|
|
|
|
|
|
|
|
| Series 2019-OC11, Class D, 4.08%, 12/09/41(a)(b) |
|
|
1,489 |
|
|
|
1,370,724 |
|
| Series 2021-LBA, Class AV, (1-mo. CME Term SOFR + 0.91%), 6.01%, 02/15/36(a)(b) |
|
|
217 |
|
|
|
215,638 |
|
| Series 2022-GPA, Class A, (1-mo. CME Term SOFR + 2.17%), 7.26%, 08/15/39(a)(b) |
|
|
1,033 |
|
|
|
1,033,486 |
|
| Series 2024-PAT, Class A, (1-mo. CME Term SOFR + 2.09%), 7.19%, 03/15/41(a)(b) |
|
|
1,530 |
|
|
|
1,534,781 |
|
| CENT Trust, Series 2023-CITY, Class A, (1-mo. CME Term SOFR + 2.62%), 7.72%, 09/15/38(a)(b) |
|
|
2,995 |
|
|
|
3,000,135 |
|
| CFK Trust, Series 2020-MF2, Class B, 2.79%, 03/15/39(a) |
|
|
1,254 |
|
|
|
1,120,813 |
|
| Citigroup Commercial Mortgage Trust, Series 2023- SMRT, Class A, 6.02%, 10/12/40(a)(b) |
|
|
1,370 |
|
|
|
1,416,203 |
|
| Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2015-CR27, Class B, 4.49%, 10/10/48(b) |
|
|
2,917 |
|
|
|
2,751,880 |
|
| Series 2015-LC23, Class ASB, 3.60%, 10/10/48 |
|
|
820 |
|
|
|
815,885 |
|
| Series 2024-WCL1, Class A, (1-mo. CME Term SOFR + 1.84%), 6.92%, 06/15/41(a)(b) |
|
|
1,750 |
|
|
|
1,742,891 |
|
| CONE Trust, Series 2024-DFW1, Class A, (1-mo. CME Term SOFR + 1.64%), 6.74%, 08/15/41(a)(b) |
|
|
930 |
|
|
|
930,000 |
|
| Credit Suisse Mortgage Capital Trust, Series 2020- NET, Class C, 3.53%, 08/15/37(a) |
|
|
266 |
|
|
|
256,079 |
|
| CRSO Trust, Series 2023-BRND, 7.12%, 07/10/40(a) |
|
|
763 |
|
|
|
810,479 |
|
| Grace Mortgage Trust, Series 2020-GRCE, Class B, 2.60%, 12/10/40(a) |
|
|
900 |
|
|
|
770,898 |
|
| GS Mortgage Securities Corp. II |
|
|
|
|
|
|
|
|
| Series 2005-ROCK, Class A, 5.37%, 05/03/32(a) |
|
|
910 |
|
|
|
900,730 |
|
| Series 2005-ROCK, Class F, 5.52%, 05/03/32(a) |
|
|
706 |
|
|
|
684,791 |
|
| GS Mortgage Securities Trust |
|
|
|
|
|
|
|
|
| Series 2014-GC24, Class A5, 3.93%, 09/10/47 |
|
|
354 |
|
|
|
353,230 |
|
| Series 2021-ROSS, Class A, (1-mo. CME Term SOFR + 1.41%), 6.51%, 05/15/26(a)(b) |
|
|
730 |
|
|
|
674,005 |
|
| Series 2022-ECI, Class A, (1-mo. CME Term SOFR + 2.19%), 7.29%, 08/15/39(a)(b) |
|
|
3,060 |
|
|
|
3,060,956 |
|
| Series 2023-FUN, Class A, (1-mo. CME Term SOFR + 2.09%), 7.19%, 03/15/28(a)(b) |
|
|
1,100 |
|
|
|
1,102,063 |
|
| GWT, Series 2024-WLF2, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 05/15/41(a)(b) |
|
|
1,570 |
|
|
|
1,570,000 |
|
| Hudson Yards Mortgage Trust, Series 2019-30HY, Class D, 3.56%, 07/10/39(a)(b) |
|
|
669 |
|
|
|
576,690 |
|
| JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A4, 3.23%, 10/15/48 |
|
|
4,058 |
|
|
|
4,024,279 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust |
|
|
|
|
|
|
|
|
| Series 2016-NINE, Class A, 2.95%, 09/06/38(a)(b) |
|
|
1,790 |
|
|
|
1,724,174 |
|
| Series 2020-609M, Class A, (1-mo. CME Term SOFR + 1.73%), 6.83%, 10/15/33(a)(b) |
|
|
2,000 |
|
|
|
1,940,000 |
|
| Series 2020-609M, Class D, (1-mo. CME Term SOFR + 3.13%), 8.23%, 10/15/33(a)(b) |
|
|
600 |
|
|
|
476,820 |
|
| Series 2021-2NU, Class A, 1.97%, 01/05/40(a) |
|
|
1,210 |
|
|
|
1,064,590 |
|
|
|
|
| 62 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Commercial Mortgage-Backed Securities (continued) |
|
| JPMorgan Chase Commercial Mortgage Securities Trust |
|
|
|
|
|
| Series 2022-NXSS, Class A, (1-mo. CME Term SOFR + 2.18%), 7.28%, 09/15/39(a)(b) |
|
|
USD 210 |
|
|
$ |
210,004 |
|
| KSL Commercial Mortgage Trust, Series 2023-HT, Class A, (1-mo. CME Term SOFR + 2.29%), 7.39%, 12/15/36(a)(b) |
|
|
1,920 |
|
|
|
1,924,800 |
|
| LSTAR Commercial Mortgage Trust, Series 2016-4, Class A2, 2.58%, 03/10/49(a) |
|
|
438 |
|
|
|
430,393 |
|
| LUX, Series 2023-LION, Class A, (1-mo. CME Term SOFR + 2.69%), 7.79%, 08/15/40(a)(b) |
|
|
880 |
|
|
|
883,780 |
|
| MF1, Series 2021-W10, Class B, (1-mo. CME Term SOFR + 1.37%), 6.47%, 12/15/34(a)(b) |
|
|
640 |
|
|
|
627,248 |
|
| Morgan Stanley Capital I Trust |
|
|
|
|
|
|
|
|
| Series 2016-UBS9, Class ASB, 3.34%, 03/15/49 |
|
|
1,154 |
|
|
|
1,141,083 |
|
| Series 2018-H3, Class B, 4.62%, 07/15/51(b) |
|
|
740 |
|
|
|
702,516 |
|
| Series 2018-MP, Class A, 4.42%, 07/11/40(a)(b) |
|
|
1,000 |
|
|
|
912,749 |
|
| Series 2024-NSTB, Class A, 3.90%, 09/24/57(a)(b) |
|
|
670 |
|
|
|
649,977 |
|
| OPEN Trust, Series 2023-AIR, Class A, (1-mo. CME Term SOFR + 3.09%), 8.19%, 10/15/28(a)(b) |
|
|
487 |
|
|
|
492,063 |
|
| ORL Trust, Series 2023-GLKS, Class A, (1-mo. CME Term SOFR + 2.35%), 7.45%, 10/19/36(a)(b) |
|
|
1,963 |
|
|
|
1,967,142 |
|
| Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1-mo. CME Term SOFR + 2.19%), 7.28%, 05/15/37(a)(b) |
|
|
1,250 |
|
|
|
1,253,125 |
|
| Wells Fargo Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2015-LC22, Class ASB, 3.57%, 09/15/58 |
|
|
600 |
|
|
|
596,347 |
|
| Series 2015-NXS3, Class ASB, 3.37%, 09/15/57 |
|
|
955 |
|
|
|
948,042 |
|
| Series 2015-P2, Class AS, 4.01%, 12/15/48 |
|
|
1,605 |
|
|
|
1,581,341 |
|
| Series 2018-AUS, Class A, 4.19%, 08/17/36(a)(b) |
|
|
2,417 |
|
|
|
2,348,254 |
|
| Series 2021-FCMT, Class A, (1-mo. CME Term SOFR + 1.31%), 6.41%, 05/15/31(a)(b) |
|
|
3,516 |
|
|
|
3,436,683 |
|
| Series 2024-1CHI, Class A, 5.48%, 07/15/35(a)(b) |
|
|
1,090 |
|
|
|
1,097,771 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
96,292,736 |
|
|
| Interest Only Commercial Mortgage-Backed Securities — 0.3% |
|
| Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class XA, 1.06%, 05/15/53(a)(b) |
|
|
1,553 |
|
|
|
63,491 |
|
| BANK |
|
|
|
|
|
|
|
|
| Series 2020-BN29, Class XA, 1.42%, 11/15/53(b) |
|
|
4,202 |
|
|
|
262,300 |
|
| Series 2021-BN33, Class XA, 1.16%, 05/15/64(b) |
|
|
15,742 |
|
|
|
749,570 |
|
| Benchmark Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2020-B20, Class XA, 1.72%, 10/15/53(b) |
|
|
15,333 |
|
|
|
905,609 |
|
| Series 2020-B21, Class XA, 1.55%, 12/17/53(a)(b) |
|
|
3,826 |
|
|
|
241,748 |
|
| BMO Mortgage Trust, Series 2023-C5, Class XA, 0.95%, 06/15/56(b) |
|
|
8,780 |
|
|
|
436,836 |
|
| UBS Commercial Mortgage Trust, Series 2019-C17, Class XA, 1.58%, 10/15/52(b) |
|
|
9,719 |
|
|
|
550,898 |
|
| Wells Fargo Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
| Series 2018-C44, Class XA, 0.87%, 05/15/51(b) |
|
|
8,033 |
|
|
|
166,871 |
|
| Series 2020-C58, Class XA, 1.92%, 07/15/53(b) |
|
|
4,430 |
|
|
|
359,860 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,737,183 |
|
|
|
|
|
|
|
|
|
|
|
| Total Non-Agency Mortgage-Backed Securities — 8.1%
|
|
| (Cost: $103,603,147) |
|
|
|
100,029,919 |
|
|
|
|
|
|
|
|
|
|
|
| U.S. Government Sponsored Agency Securities |
|
|
| Collateralized Mortgage Obligations — 3.9% |
|
| Fannie Mae |
|
|
|
|
|
|
|
|
| Series 2011-8, Class ZA, 4.00%, 02/25/41 |
|
|
544 |
|
|
|
530,574 |
|
| Series 2013-81, Class YK, 4.00%, 08/25/43 |
|
|
200 |
|
|
|
188,427 |
|
| Series 2017-100, Class ZJ, 3.50%, 12/25/47 |
|
|
3,085 |
|
|
|
2,800,559 |
|
| Series 2017-76, Class PB, 3.00%, 10/25/57 |
|
|
900 |
|
|
|
698,005 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Collateralized Mortgage Obligations (continued) |
|
| Fannie Mae |
|
|
|
|
|
|
|
|
| Series 2018-32, Class PS, (SOFR (30-day) + 7.10%), 0.94%, 05/25/48(b) |
|
|
USD 1,883 |
|
|
$ |
1,723,435 |
|
| Series 2018-76, Class ZL, 4.00%, 10/25/58 |
|
|
4,702 |
|
|
|
4,370,357 |
|
| Series 2022-25, Class KL, 4.00%, 05/25/52 |
|
|
1,500 |
|
|
|
1,374,837 |
|
| Series 2023-46, Class FA, (SOFR (30-day) + 1.30%), 6.58%, 10/25/53(b) |
|
|
5,280 |
|
|
|
5,320,763 |
|
| Series 2023-56, Class FA, (SOFR (30-day) + 1.40%), 6.68%, 11/25/53(b) |
|
|
1,080 |
|
|
|
1,091,961 |
|
| Series 2024-48, Class FC, (SOFR (30-day) + 1.10%), 6.38%, 07/25/54(b) |
|
|
3,096 |
|
|
|
3,107,052 |
|
| Series 2024-54, Class FD, (SOFR (30-day) + 1.25%), 6.53%, 08/25/54(b) |
|
|
3,101 |
|
|
|
3,123,903 |
|
| Freddie Mac |
|
|
|
|
|
|
|
|
| Series 3745, Class ZA, 4.00%, 10/15/40 |
|
|
328 |
|
|
|
318,206 |
|
| Series 3780, Class ZA, 4.00%, 12/15/40 |
|
|
1,276 |
|
|
|
1,253,254 |
|
| Series 4161, Class BW, 2.50%, 02/15/43 |
|
|
1,400 |
|
|
|
1,236,488 |
|
| Series 4355, Class ZL, 4.00%, 06/15/44 |
|
|
2,424 |
|
|
|
2,291,888 |
|
| Series 4384, Class LB, 3.50%, 08/15/43 |
|
|
887 |
|
|
|
871,342 |
|
| Series 4758, Class Z, 4.00%, 02/15/48 |
|
|
1,723 |
|
|
|
1,646,329 |
|
| Series 4988, Class AK, 1.00%, 07/25/50 |
|
|
1,927 |
|
|
|
1,542,256 |
|
| Series 5002, Class TJ, 2.00%, 07/25/50 |
|
|
1,900 |
|
|
|
1,608,368 |
|
| Series 5443, Class FA, (SOFR (30-day) + 1.20%), 6.48%, 08/25/54(b) |
|
|
4,245 |
|
|
|
4,271,201 |
|
| Series 5444, Class FC, (SOFR (30-day) + 1.12%), 6.40%, 08/25/54(b) |
|
|
5,524 |
|
|
|
5,545,480 |
|
| Freddie Mac Seasoned Credit Risk Transfer Trust |
|
|
|
|
|
|
|
|
| Series 2018-3, Class MA, 3.50%, 08/25/57(b) |
|
|
1,149 |
|
|
|
1,117,353 |
|
| Series 2018-4, Class MA, 3.50%, 03/25/58 |
|
|
1,273 |
|
|
|
1,236,779 |
|
| Ginnie Mae |
|
|
|
|
|
|
|
|
| Series 2014-107, Class WX, 6.61%, 07/20/39(b) |
|
|
252 |
|
|
|
262,860 |
|
| Series 2016-123, Class LM, 3.00%, 09/20/46 |
|
|
600 |
|
|
|
508,204 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
48,039,881 |
|
|
|
| Commercial Mortgage-Backed Securities — 1.4% |
|
|
|
|
| Freddie Mac |
|
|
|
|
|
|
|
|
| Series K082, Class A2, 3.92%, 09/25/28(b) |
|
|
2,400 |
|
|
|
2,395,547 |
|
| Series K139, Class A2, 2.59%, 01/25/32(b) |
|
|
12,000 |
|
|
|
10,886,789 |
|
| Series K154, Class A2, 3.42%, 04/25/32 |
|
|
3,500 |
|
|
|
3,410,573 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,692,909 |
|
|
| Interest Only Collateralized Mortgage Obligations — 1.1% |
|
| Fannie Mae |
|
|
|
|
|
|
|
|
| Series 2013-10, Class PI, 3.00%, 02/25/43 |
|
|
902 |
|
|
|
102,178 |
|
| Series 2014-68, Class YI, 4.50%, 11/25/44 |
|
|
414 |
|
|
|
80,964 |
|
| Series 2015-66, Class AS, (SOFR (30-day) + 6.14%), 0.86%, 09/25/45(b) |
|
|
2,060 |
|
|
|
200,789 |
|
| Series 2016-60, Class SD, (SOFR (30-day) + 5.99%), 0.71%, 09/25/46(b) |
|
|
976 |
|
|
|
82,806 |
|
| Series 2016-78, Class CS, (SOFR (30-day) + 5.99%), 0.71%, 05/25/39(b) |
|
|
1,228 |
|
|
|
107,663 |
|
| Series 2017-68, Class IE, 4.50%, 09/25/47 |
|
|
1,504 |
|
|
|
261,388 |
|
| Series 2020-32, Class IO, 4.00%, 05/25/50 |
|
|
1,655 |
|
|
|
341,374 |
|
| Series 2020-32, Class PI, 4.00%, 05/25/50 |
|
|
1,718 |
|
|
|
362,705 |
|
| Series 2021-23, Class CI, 3.50%, 07/25/46 |
|
|
2,260 |
|
|
|
416,744 |
|
| Series 2021-41, Class IO, 3.50%, 07/25/51 |
|
|
4,310 |
|
|
|
773,665 |
|
| Series 2021-88, Class IO, 2.50%, 12/25/51 |
|
|
1,990 |
|
|
|
275,543 |
|
| Series 2024-7, Class IA, 3.50%, 11/25/49 |
|
|
5,359 |
|
|
|
645,676 |
|
| Series 427, Class C71, 3.00%, 10/25/49 |
|
|
2,091 |
|
|
|
346,672 |
|
| Series 435, Class C24, 2.00%, 04/25/52 |
|
|
21,160 |
|
|
|
2,561,673 |
|
| Freddie Mac |
|
|
|
|
|
|
|
|
| Series 4062, Class GI, 4.00%, 02/15/41 |
|
|
135 |
|
|
|
3,940 |
|
| Series 4119, Class SC, (SOFR (30-day) + 6.04%), 0.69%, 10/15/42(b) |
|
|
2,032 |
|
|
|
267,908 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Interest Only Collateralized Mortgage Obligations (continued) |
|
| Freddie Mac |
|
|
|
|
|
|
|
|
| Series 4901, Class CS, (SOFR (30-day) + 5.99%), 0.71%, 07/25/49(b) |
|
|
USD 1,652 |
|
|
$ |
194,429 |
|
| Series 4941, Class SH, (SOFR (30-day) + 5.84%), 0.56%, 12/25/49(b) |
|
|
3,565 |
|
|
|
434,715 |
|
| Series 5109, Class ID, 2.50%, 05/25/51 |
|
|
1,817 |
|
|
|
268,788 |
|
| Series 5112, Class KI, 3.50%, 06/25/51 |
|
|
1,379 |
|
|
|
259,630 |
|
| Series 5127, Class AI, 3.00%, 06/25/51 |
|
|
723 |
|
|
|
122,198 |
|
| Series 5159, Class PI, 3.00%, 11/25/51 |
|
|
3,814 |
|
|
|
541,780 |
|
| Ginnie Mae |
|
|
|
|
|
|
|
|
| Series 2017-101, Class SL, (1-mo. CME Term SOFR + 6.09%), 1.13%, 07/20/47(b) |
|
|
1,375 |
|
|
|
197,642 |
|
| Series 2020-115, Class IM, 3.50%, 08/20/50 |
|
|
2,126 |
|
|
|
400,073 |
|
| Series 2020-146, Class DI, 2.50%, 10/20/50 |
|
|
2,879 |
|
|
|
380,400 |
|
| Series 2020-175, Class DI, 2.50%, 11/20/50 |
|
|
1,004 |
|
|
|
139,579 |
|
| Series 2020-185, Class MI, 2.50%, 12/20/50 |
|
|
3,597 |
|
|
|
519,532 |
|
| Series 2021-104, Class IH, 3.00%, 06/20/51 |
|
|
4,269 |
|
|
|
685,429 |
|
| Series 2021-149, Class KI, 3.00%, 08/20/51 |
|
|
8,182 |
|
|
|
1,316,635 |
|
| Series 2022-5, Class LI, 3.50%, 01/20/52 |
|
|
10,712 |
|
|
|
1,841,279 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,133,797 |
|
|
| Interest Only Commercial Mortgage-Backed Securities — 0.1% |
|
| Freddie Mac |
|
|
|
|
|
|
|
|
| Series K110, Class X1, 1.81%, 04/25/30(b) |
|
|
1,191 |
|
|
|
87,679 |
|
| Series K116, Class X1, 1.52%, 07/25/30(b) |
|
|
2,068 |
|
|
|
134,034 |
|
| Series K119, Class X1, 1.02%, 09/25/30(b) |
|
|
3,284 |
|
|
|
145,878 |
|
| Series K122, Class X1, 0.97%, 11/25/30(b) |
|
|
5,018 |
|
|
|
214,020 |
|
| Ginnie Mae |
|
|
|
|
|
|
|
|
| Series 2016-151, Class IO, 0.89%, 06/16/58(b) |
|
|
16,654 |
|
|
|
717,457 |
|
| Series 2017-61, Class IO, 0.70%, 05/16/59(b) |
|
|
964 |
|
|
|
35,392 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,334,460 |
|
|
| Mortgage-Backed Securities — 113.5% |
|
| Fannie Mae Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| 1.50%, 12/01/35 - 04/01/52 |
|
|
41,352 |
|
|
|
34,440,115 |
|
| 2.00%, 10/01/31 - 03/01/52 |
|
|
139,424 |
|
|
|
118,449,726 |
|
| 2.50%, 09/01/27 - 02/01/52 |
|
|
89,730 |
|
|
|
79,840,517 |
|
| 3.00%, 04/01/28 - 06/01/52 |
|
|
41,637 |
|
|
|
38,468,903 |
|
| 3.50%, 03/01/29 - 04/01/52 |
|
|
33,200 |
|
|
|
31,670,167 |
|
| 4.00%, 02/01/31 - 05/01/52 |
|
|
29,467 |
|
|
|
28,614,711 |
|
| 4.50%, 07/01/25 - 10/01/52 |
|
|
33,441 |
|
|
|
33,158,728 |
|
| 5.00%, 02/01/35 - 04/01/53 |
|
|
19,356 |
|
|
|
19,550,356 |
|
| 5.50%, 05/01/34 - 10/01/54 |
|
|
34,946 |
|
|
|
35,441,011 |
|
| 5.81%, 06/01/31 |
|
|
3,574 |
|
|
|
3,766,526 |
|
| 6.00%, 02/01/38 - 09/01/54 |
|
|
22,212 |
|
|
|
22,832,905 |
|
| 6.50%, 07/01/37 - 09/01/54 |
|
|
33,951 |
|
|
|
35,101,514 |
|
| 7.50%, 12/01/53 - 01/01/54 |
|
|
505 |
|
|
|
537,180 |
|
| Freddie Mac Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| 1.50%, 04/01/36 - 04/01/52 |
|
|
12,461 |
|
|
|
10,312,819 |
|
| 2.00%, 01/01/36 - 02/01/52 |
|
|
116,049 |
|
|
|
98,266,689 |
|
| 2.50%, 02/01/30 - 04/01/52 |
|
|
71,749 |
|
|
|
63,025,808 |
|
| 3.00%, 09/01/27 - 08/01/52 |
|
|
46,843 |
|
|
|
42,979,573 |
|
| 3.50%, 02/01/31 - 06/01/50 |
|
|
20,396 |
|
|
|
19,389,028 |
|
| 4.00%, 08/01/40 - 06/01/52 |
|
|
17,171 |
|
|
|
16,796,106 |
|
| 4.50%, 07/01/26 - 08/01/52 |
|
|
6,490 |
|
|
|
6,416,835 |
|
| 5.00%, 05/01/28 - 08/01/53 |
|
|
10,671 |
|
|
|
10,767,552 |
|
| 5.50%, 01/01/28 - 10/01/54 |
|
|
21,583 |
|
|
|
21,889,229 |
|
| 6.00%, 08/01/28 - 09/01/54 |
|
|
27,177 |
|
|
|
27,851,562 |
|
| 6.50%, 10/01/53 - 09/01/54 |
|
|
32,915 |
|
|
|
33,985,262 |
|
| 7.50%, 12/01/53 - 01/01/54 |
|
|
229 |
|
|
|
243,742 |
|
| Ginnie Mae Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| 2.00%, 08/20/50 - 10/15/54(c) |
|
|
51,100 |
|
|
|
43,371,470 |
|
| 2.50%, 04/20/51 - 10/15/54(c) |
|
|
51,402 |
|
|
|
45,301,512 |
|
| 3.00%, 12/20/44 - 10/15/54(c) |
|
|
36,005 |
|
|
|
32,867,725 |
|
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Mortgage-Backed Securities (continued) |
|
| Ginnie Mae Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| 3.50%, 01/15/42 - 10/15/54(c) |
|
|
USD 30,204 |
|
|
$ |
28,426,121 |
|
| 4.00%, 04/20/39 - 10/15/54(c) |
|
|
59,874 |
|
|
|
57,995,471 |
|
| 4.50%, 09/20/39 - 10/15/54(c) |
|
|
48,965 |
|
|
|
48,425,001 |
|
| 5.00%, 07/15/33 - 10/15/54(c) |
|
|
19,220 |
|
|
|
19,266,802 |
|
| 5.50%, 07/15/38 - 10/15/54(c) |
|
|
16,345 |
|
|
|
16,512,895 |
|
| 6.00%, 03/20/53 - 10/15/54(c) |
|
|
32,469 |
|
|
|
33,009,423 |
|
| 6.50%, 10/15/54(c) |
|
|
22,024 |
|
|
|
22,525,426 |
|
| Uniform Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| 1.50%, 10/01/39(c) |
|
|
2,664 |
|
|
|
2,377,603 |
|
| 2.00%, 10/01/39 - 10/01/54(c) |
|
|
10,094 |
|
|
|
8,890,261 |
|
| 2.50%, 10/01/39 - 10/01/54(c) |
|
|
11,467 |
|
|
|
10,189,307 |
|
| 3.00%, 10/01/39 - 10/01/54(c) |
|
|
11,578 |
|
|
|
10,478,332 |
|
| 3.50%, 10/01/39 - 10/01/54(c) |
|
|
49,030 |
|
|
|
45,668,895 |
|
| 4.00%, 10/01/39 - 10/01/54(c) |
|
|
42,727 |
|
|
|
41,060,894 |
|
| 4.50%, 10/01/39 - 10/01/54(c) |
|
|
11,596 |
|
|
|
11,493,882 |
|
| 5.00%, 10/01/54(c) |
|
|
29,941 |
|
|
|
29,921,117 |
|
| 5.50%, 10/01/54(c) |
|
|
3,039 |
|
|
|
3,074,190 |
|
| 6.00%, 10/01/54(c) |
|
|
4,679 |
|
|
|
4,782,073 |
|
| 6.50%, 10/01/54(c) |
|
|
50,084 |
|
|
|
51,631,043 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,401,066,007 |
|
|
| Principal Only Collateralized Mortgage Obligations — 1.0% |
|
| Fannie Mae |
|
|
|
|
|
|
|
|
| Series 2023-36, Class AO, 0.00%, 08/25/50(d) |
|
|
3,656 |
|
|
|
2,683,419 |
|
| Series 2024-16, Class PO, 0.00%, 03/25/51(d) |
|
|
1,615 |
|
|
|
1,224,578 |
|
| Freddie Mac |
|
|
|
|
|
|
|
|
| Series 5319, Class PO, 0.00%, 08/25/50(d) |
|
|
6,998 |
|
|
|
4,917,585 |
|
| Series 5341, Class AO, 0.00%, 06/25/50(d) |
|
|
4,121 |
|
|
|
3,031,556 |
|
| Ginnie Mae, Series 2022-195, Class PO, 0.00%, 11/20/52(d) |
|
|
574 |
|
|
|
482,819 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,339,957 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Government Sponsored Agency Securities — 121.0% (Cost: $1,538,706,055) |
|
|
|
1,493,607,011 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Long-Term Investments — 131.9%
(Cost: $1,675,749,543) |
|
|
|
1,627,951,453 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Shares |
|
|
|
|
|
|
|
| Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
| Money Market Funds — 0.7% |
|
|
|
|
|
|
| Dreyfus Treasury Securities Cash Management, Institutional Class, 4.88%(e) |
|
|
7,870,857 |
|
|
|
7,870,857 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Par (000) |
|
|
|
|
|
|
|
| U.S. Treasury Obligations(f) — 2.7% |
|
|
|
|
|
|
| U.S. Treasury Bills, 4.63%, 11/12/24 |
|
|
USD 33,566 |
|
|
|
33,383,532 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Short-Term Securities — 3.4%
(Cost: $41,256,588) |
|
|
|
41,254,389 |
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments Before TBA Sale Commitments — 135.3% (Cost: $1,717,006,131) |
|
|
|
1,669,205,842 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| TBA Sale Commitments(c) |
|
|
|
|
|
|
|
|
|
| Mortgage-Backed Securities — (28.3)% |
|
| Ginnie Mae Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| 2.00%, 10/15/54 |
|
|
(115 |
) |
|
|
(97,489 |
) |
| 2.50%, 10/15/54 |
|
|
(175 |
) |
|
|
(154,212 |
) |
| 3.00%, 10/15/54 |
|
|
(201 |
) |
|
|
(183,271 |
) |
| 3.50%, 10/15/54 |
|
|
(249 |
) |
|
|
(233,923 |
) |
|
|
|
| 64 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series M Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Par (000) |
|
|
Value |
|
|
| Mortgage-Backed Securities (continued) |
|
| Ginnie Mae Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| 4.00%, 10/15/54 |
|
|
USD (144 |
) |
|
$ |
(139,214 |
) |
| 4.50%, 10/15/54 |
|
|
(103 |
) |
|
|
(101,699 |
) |
| 5.00%, 10/15/54 |
|
|
(153 |
) |
|
|
(153,245 |
) |
| 5.50%, 10/15/54 |
|
|
(157 |
) |
|
|
(158,512 |
) |
| 6.00%, 10/15/54 |
|
|
(15,729 |
) |
|
|
(15,995,484 |
) |
| 6.50%, 10/15/54 |
|
|
(10,947 |
) |
|
|
(11,200,260 |
) |
| Uniform Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
| 2.00%, 10/01/39 - 10/01/54 |
|
|
(596 |
) |
|
|
(512,914 |
) |
| 2.50%, 10/01/39 - 10/01/54 |
|
|
(2,153 |
) |
|
|
(1,863,714 |
) |
| 3.00%, 10/01/39 - 10/01/54 |
|
|
(222 |
) |
|
|
(200,770 |
) |
| 3.50%, 10/01/54 |
|
|
(174 |
) |
|
|
(162,023 |
) |
| 4.00%, 10/01/39 - 10/01/54 |
|
|
(81,810 |
) |
|
|
(78,594,865 |
) |
| 4.50%, 10/01/39 - 10/01/54 |
|
|
(39,088 |
) |
|
|
(38,428,706 |
) |
| 5.00%, 10/01/54 |
|
|
(24,819 |
) |
|
|
(24,802,812 |
) |
| 5.50%, 10/01/54 |
|
|
(67,730 |
) |
|
|
(68,514,277 |
) |
| 6.00%, 10/01/54 |
|
|
(9,180 |
) |
|
|
(9,381,919 |
) |
| 6.50%, 10/01/54 |
|
|
(95,149 |
) |
|
|
(98,065,829 |
) |
|
|
|
|
|
|
|
|
|
|
|
| Total TBA Sale Commitments — (28.3)%
(Proceeds: $(349,902,401)) |
|
|
|
(348,945,138 |
) |
|
|
|
|
|
|
|
|
|
|
| Total Investments Net of TBA Sale Commitments — 107.0% |
|
|
|
| (Cost: $1,367,103,730) |
|
|
|
1,320,260,704 |
|
|
|
| Liabilities in Excess of Other Assets — (7.0)% |
|
|
|
(86,292,924 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
| Net Assets — 100.0% |
|
|
|
|
|
$ |
1,233,967,780 |
|
|
|
|
|
|
|
|
|
|
| (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) |
Represents or includes a TBA transaction. |
| (e) |
Annualized 7-day yield as of period end. |
| (f) |
Rates are discount rates or a range of discount rates as of period end. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| Description |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Notional
Amount (000) |
|
|
Value/
Unrealized
Appreciation
(Depreciation) |
|
|
|
|
|
|
| Long Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Notes (10 Year) |
|
|
55 |
|
|
|
12/19/24 |
|
|
$ |
6,285 |
|
|
$ |
(10,703 |
) |
| U.S. Treasury Notes (5 Year) |
|
|
95 |
|
|
|
12/31/24 |
|
|
|
10,439 |
|
|
|
(28,205 |
) |
| U.S. Ultra Treasury Notes (10 Year) |
|
|
46 |
|
|
|
12/19/24 |
|
|
|
5,442 |
|
|
|
(41,034 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(79,942 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short Contracts
3-month SOFR |
|
|
9 |
|
|
|
12/17/24 |
|
|
|
2,144 |
|
|
|
12,083 |
|
| U.S. Treasury Bonds (30 Year) |
|
|
53 |
|
|
|
12/19/24 |
|
|
|
6,582 |
|
|
|
20,350 |
|
| U.S. Ultra Treasury Bonds |
|
|
16 |
|
|
|
12/19/24 |
|
|
|
2,130 |
|
|
|
4,091 |
|
| U.S. Treasury Notes (2 Year) |
|
|
200 |
|
|
|
12/31/24 |
|
|
|
41,648 |
|
|
|
(92,631 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(56,107 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(136,049 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series M Portfolio |
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 0.18% |
|
|
Quarterly |
|
|
Effective Rate, 4.83% |
|
|
Quarterly |
|
|
|
10/21/25 |
|
|
|
USD 232 |
|
|
$ |
10,886 |
|
|
$ |
— |
|
|
$ |
10,886 |
|
| 1-day SOFR, 4.96% |
|
|
Quarterly |
|
|
0.17% |
|
|
Quarterly |
|
|
|
10/21/25 |
|
|
|
USD 232 |
|
|
|
(11,006 |
) |
|
|
— |
|
|
|
(11,006 |
) |
|
|
|
|
|
|
1-day Overnight Fed Funds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 0.56% |
|
|
Quarterly |
|
|
Effective Rate, 4.83% |
|
|
Quarterly |
|
|
|
10/21/30 |
|
|
|
USD 83 |
|
|
|
12,745 |
|
|
|
— |
|
|
|
12,745 |
|
| 1-day SOFR, 4.96% |
|
|
Quarterly |
|
|
0.53% |
|
|
Quarterly |
|
|
|
10/21/30 |
|
|
|
USD 83 |
|
|
|
(13,195 |
) |
|
|
— |
|
|
|
(13,195 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(570 |
) |
|
$ |
— |
|
|
$ |
(570 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Credit Default Swaps — Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
Reference
Obligation/Index |
|
Financing
Rate
Paid
by the Fund |
|
|
Payment
Frequency |
|
|
Counterparty |
|
|
Termination
Date |
|
|
|
|
|
Notional
Amount
(000) |
|
|
Value |
|
|
Upfront
Premium
Paid
(Received) |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| CMBX.NA.10.BBB- |
|
|
3.00 |
% |
|
|
Monthly |
|
|
|
Goldman Sachs International |
|
|
|
11/17/59 |
|
|
|
USD |
|
|
|
3,976 |
|
|
$ |
686,005 |
|
|
$ |
168,697 |
|
|
$ |
517,308 |
|
| CMBX.NA.10.BBB- |
|
|
3.00 |
|
|
|
Monthly |
|
|
|
Goldman Sachs International |
|
|
|
11/17/59 |
|
|
|
USD |
|
|
|
4,174 |
|
|
|
720,306 |
|
|
|
185,809 |
|
|
|
534,497 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,406,311 |
|
|
$ |
354,506 |
|
|
$ |
1,051,805 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Credit Default Swaps — Sell Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
Reference
Obligation/Index |
|
Financing
Rate
Received
by
the Fund |
|
|
Payment
Frequency |
|
|
Counterparty |
|
|
Termination
Date |
|
|
Credit
Rating(a) |
|
|
Notional
Amount
(000)(b) |
|
|
Value |
|
|
Upfront
Premium
Paid (Received) |
|
|
Unrealized
Appreciation (Depreciation) |
|
| CMBX.NA.10.BBB- |
|
|
3.00 |
% |
|
|
Monthly |
|
|
|
Goldman Sachs International |
|
|
|
11/17/59 |
|
|
|
BBB- |
|
|
|
USD 4,398 |
|
|
$ |
(758,804 |
) |
|
$ |
(283,676 |
) |
|
$ |
(475,128 |
) |
| CMBX.NA.10.BBB- |
|
|
3.00 |
|
|
|
Monthly |
|
|
|
J.P. Morgan Securities LLC |
|
|
|
11/17/59 |
|
|
|
BBB- |
|
|
|
USD 3,753 |
|
|
|
(647,507 |
) |
|
|
(243,947 |
) |
|
|
(403,560 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,406,311 |
) |
|
$ |
(527,623 |
) |
|
$ |
(878,688 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Using the rating of the issuer or the underlying securities of the index, as applicable, provided by S&P Global Ratings. |
|
| |
(b) |
The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement. |
|
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| |
|
Swap
Premiums
Paid |
|
|
Swap
Premiums
Received |
|
|
Unrealized
Appreciation |
|
|
Unrealized
Depreciation |
|
| Centrally Cleared Swaps(a) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
23,631 |
|
|
$ |
(24,201 |
) |
| OTC Swaps |
|
|
354,506 |
|
|
|
(527,623 |
) |
|
|
1,051,805 |
|
|
|
(878,688 |
) |
| |
(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. |
|
|
|
|
| 66 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series M Portfolio |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Currency
Exchange
Contracts |
|
|
Interest
Rate
Contracts |
|
|
Other
Contracts |
|
|
Total |
|
| Assets — Derivative Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized appreciation on futures contracts(a) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
36,524 |
|
|
$ |
— |
|
|
$ |
36,524 |
|
| Swaps — centrally cleared |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized appreciation on centrally cleared swaps(a) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
23,631 |
|
|
|
— |
|
|
|
23,631 |
|
| Swaps — OTC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized appreciation on OTC swaps; |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Swap premiums paid |
|
|
— |
|
|
|
1,406,311 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,406,311 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
1,406,311 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
60,155 |
|
|
$ |
— |
|
|
$ |
1,466,466 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities — Derivative Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized depreciation on futures contracts(a) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
172,573 |
|
|
$ |
— |
|
|
$ |
172,573 |
|
| Swaps — centrally cleared |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized depreciation on centrally cleared swaps(a) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
24,201 |
|
|
|
— |
|
|
|
24,201 |
|
| Swaps — OTC |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized depreciation on OTC swaps; |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Swap premiums received |
|
|
— |
|
|
|
1,406,311 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,406,311 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
1,406,311 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
196,774 |
|
|
$ |
— |
|
|
$ |
1,603,085 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
|
For the period ended September 30, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Currency
Exchange
Contracts |
|
|
Interest
Rate
Contracts |
|
|
Other
Contracts |
|
|
Total |
|
| Net Realized Gain (Loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(1,091,421 |
) |
|
$ |
— |
|
|
$ |
(1,091,421 |
) |
| Swaps |
|
|
— |
|
|
|
2,469 |
|
|
|
— |
|
|
|
— |
|
|
|
145 |
|
|
|
— |
|
|
|
2,614 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
2,469 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(1,091,276 |
) |
|
$ |
— |
|
|
$ |
(1,088,807 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Change in Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
82,466 |
|
|
$ |
— |
|
|
$ |
82,466 |
|
| Swaps |
|
|
— |
|
|
|
(2,470 |
) |
|
|
— |
|
|
|
— |
|
|
|
(225 |
) |
|
|
— |
|
|
|
(2,695 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
(2,470 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
82,241 |
|
|
$ |
— |
|
|
$ |
79,771 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
|
|
|
|
|
| Futures contracts |
|
|
|
|
| Average notional value of contracts — long |
|
|
$48,971,521 |
|
| Average notional value of contracts — short |
|
|
$74,649,117 |
|
| Credit default swaps |
|
|
|
|
| Average notional value — buy protection |
|
|
$8,150,000 |
|
| Average notional value — sell protection |
|
|
$8,150,000 |
|
| Interest rate swaps |
|
|
|
|
| Average notional value — pays fixed rate |
|
|
$315,014 |
|
| Average notional value — received fixed rate |
|
|
$315,014 |
|
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
|
|
|
| S C H E D U L E S O F I N V E S T M E N T S |
|
67 |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series M Portfolio |
Derivative Financial Instruments – Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
|
|
|
|
|
|
|
|
|
| |
|
|
| |
|
Assets |
|
|
Liabilities |
|
| Derivative Financial Instruments |
|
|
|
|
|
|
|
|
| Futures contracts |
|
$ |
124,444 |
|
|
$ |
83,524 |
|
| Swaps — centrally cleared |
|
|
— |
|
|
|
9 |
|
| Swaps — OTC(a) |
|
|
1,406,311 |
|
|
|
1,406,311 |
|
|
|
|
|
|
|
|
|
|
| Total derivative assets and liabilities in the Statements of Assets and Liabilities |
|
$ |
1,530,755 |
|
|
$ |
1,489,844 |
|
|
|
|
|
|
|
|
|
|
| Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
|
|
(124,444 |
) |
|
|
(83,533 |
) |
|
|
|
|
|
|
|
|
|
| Total derivative assets and liabilities subject to an MNA |
|
$ |
1,406,311 |
|
|
$ |
1,406,311 |
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums paid/(received) in the Statements of Assets and Liabilities. |
|
The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
|
Derivative
Assets
Subject to
an MNA by
Counterparty |
|
|
|
Derivatives
Available for
Offset(a) |
|
|
|
Non- Cash
Collateral
Received(b) |
|
|
|
Cash
Collateral
Received(b) |
|
|
|
Net Amount
of Derivative
Assets(c) |
|
| Goldman Sachs International |
|
$ |
1,406,311 |
|
|
$ |
(758,804 |
) |
|
$ |
— |
|
|
$ |
(647,507 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Counterparty |
|
|
Derivative
Liabilities
Subject to an
MNA by
Counterparty |
|
|
|
Derivatives
Available for
Offset(a) |
|
|
|
Non- Cash
Collateral
Pledged(b) |
|
|
|
Cash
Collateral
Pledged(b) |
|
|
|
Net Amount
of Derivative
Liabilities(d) |
|
| Goldman Sachs International |
|
$ |
758,804 |
|
|
$ |
(758,804 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
| J.P. Morgan Securities LLC |
|
|
647,507 |
|
|
|
— |
|
|
|
— |
|
|
|
(647,507 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,406,311 |
|
|
$ |
(758,804 |
) |
|
$ |
— |
|
|
$ |
(647,507 |
) |
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
|
| |
(b) |
Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
|
| |
(c) |
Net amount represents the net amount receivable from the counterparty in the event of default. |
|
| |
(d) |
Net amount represents the net amount payable due to the counterparty in the event of default. |
|
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments at the measurement date. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Long-Term Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
$ |
— |
|
|
$ |
34,314,523 |
|
|
$ |
— |
|
|
$ |
34,314,523 |
|
| Non-Agency Mortgage-Backed Securities |
|
|
— |
|
|
|
100,029,919 |
|
|
|
— |
|
|
|
100,029,919 |
|
| U.S. Government Sponsored Agency Securities |
|
|
— |
|
|
|
1,493,607,011 |
|
|
|
— |
|
|
|
1,493,607,011 |
|
| Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Money Market Funds |
|
|
7,870,857 |
|
|
|
— |
|
|
|
— |
|
|
|
7,870,857 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
33,383,532 |
|
|
|
— |
|
|
|
33,383,532 |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| TBA Sale Commitments |
|
|
— |
|
|
|
(348,945,138 |
) |
|
|
— |
|
|
|
(348,945,138 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
7,870,857 |
|
|
$ |
1,312,389,847 |
|
|
$ |
— |
|
|
$ |
1,320,260,704 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 68 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series M Portfolio |
Fair Value Hierarchy as of Period End (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| Derivative Financial Instruments(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Contracts |
|
$ |
— |
|
|
$ |
1,051,805 |
|
|
$ |
— |
|
|
$ |
1,051,805 |
|
| Interest Rate Contracts |
|
|
36,524 |
|
|
|
23,631 |
|
|
|
— |
|
|
|
60,155 |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Contracts |
|
|
— |
|
|
|
(878,688 |
) |
|
|
— |
|
|
|
(878,688 |
) |
| Interest Rate Contracts |
|
|
(172,573 |
) |
|
|
(24,201 |
) |
|
|
— |
|
|
|
(196,774 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(136,049 |
) |
|
$ |
172,547 |
|
|
$ |
— |
|
|
$ |
36,498 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(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 |
|
69 |
|
|
|
| Schedule of Investments (unaudited) September 30, 2024 |
|
BATS: Series P Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
| Security |
|
Shares |
|
|
Value |
|
|
|
|
| Investment Companies |
|
|
|
|
|
|
|
|
|
|
|
| Fixed-Income Funds — 28.8% |
|
|
|
|
|
|
| BATS: Series S Portfolio(a) |
|
|
128,923 |
|
|
$ |
1,195,113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 28.8%
(Cost: $1,190,819) |
|
|
|
|
|
|
1,195,113 |
|
|
|
|
| Other Assets Less Liabilities — 71.2% |
|
|
|
|
|
|
2,960,919 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Assets — 100.0% |
|
|
|
|
|
$ |
4,156,032 |
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Affiliate of the Fund. |
|
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended September 30, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Affiliated Issuer |
|
Value at
03/31/24 |
|
|
Purchases
at Cost |
|
|
Proceeds
from Sales |
|
|
Net
Realized
Gain (Loss) |
|
|
Change in
Unrealized
Appreciation
(Depreciation) |
|
|
Value at
09/30/24 |
|
|
Shares
Held at
09/30/24 |
|
|
Income |
|
|
Capital Gain
Distributions
from Underlying
Funds |
|
|
|
BATS: Series S Portfolio |
|
$ |
1,348,560 |
|
|
$ |
— |
|
|
$ |
(180,000 |
) |
|
$ |
(3,100 |
) |
|
$ |
29,653 |
|
|
$ |
1,195,113 |
|
|
|
128,923 |
|
|
$ |
31,395 |
|
|
$ |
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| Description |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Notional
Amount
(000) |
|
|
Value/
Unrealized
Appreciation
(Depreciation) |
|
| Long Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Notes (5 Year) |
|
|
4 |
|
|
|
12/31/24 |
|
|
$ |
440 |
|
|
$ |
142 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Notes (10 Year) |
|
|
21 |
|
|
|
12/19/24 |
|
|
|
2,400 |
|
|
|
(8,401 |
) |
| U.S. Ultra Treasury Notes (10 Year) |
|
|
19 |
|
|
|
12/19/24 |
|
|
|
2,248 |
|
|
|
(470 |
) |
| U.S. Treasury Notes (2 Year) |
|
|
5 |
|
|
|
12/31/24 |
|
|
|
1,041 |
|
|
|
(1,535 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(10,406 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(10,264 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 0.18% |
|
|
Quarterly |
|
|
Effective Rate, 4.83% |
|
|
Quarterly |
|
|
|
10/21/25 |
|
|
|
USD 3,167 |
|
|
$ |
148,871 |
|
|
$ |
— |
|
|
$ |
148,871 |
|
| 1-day SOFR, 4.96% |
|
|
Quarterly |
|
|
0.17% |
|
|
Quarterly |
|
|
|
10/21/25 |
|
|
|
USD 3,167 |
|
|
|
(150,509 |
) |
|
|
— |
|
|
|
(150,509 |
) |
|
|
|
|
|
|
1-day Overnight Fed Funds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 0.56% |
|
|
Quarterly |
|
|
Effective Rate, 4.83% |
|
|
Quarterly |
|
|
|
10/21/30 |
|
|
|
USD 336 |
|
|
|
51,401 |
|
|
|
— |
|
|
|
51,401 |
|
| 1-day SOFR, 4.96% |
|
|
Quarterly |
|
|
0.53% |
|
|
Quarterly |
|
|
|
10/21/30 |
|
|
|
USD 336 |
|
|
|
(53,216 |
) |
|
|
— |
|
|
|
(53,216 |
) |
| 0.75% |
|
|
Quarterly |
|
|
1-day SOFR, 4.96% |
|
|
Quarterly |
|
|
|
10/21/35 |
|
|
|
USD 22 |
|
|
|
5,429 |
|
|
|
— |
|
|
|
5,429 |
|
| 1-day Overnight Fed Funds Effective Rate, 4.83% |
|
|
Quarterly |
|
|
0.79% |
|
|
Quarterly |
|
|
|
10/21/35 |
|
|
|
USD 22 |
|
|
|
(5,191 |
) |
|
|
— |
|
|
|
(5,191 |
) |
| 0.84% |
|
|
Quarterly |
|
|
1-day SOFR, 4.96% |
|
|
Quarterly |
|
|
|
10/21/40 |
|
|
|
USD 39 |
|
|
|
12,779 |
|
|
|
— |
|
|
|
12,779 |
|
| 1-day Overnight Fed Funds Effective Rate, 4.83% |
|
|
Quarterly |
|
|
0.91% |
|
|
Quarterly |
|
|
|
10/21/40 |
|
|
|
USD 39 |
|
|
|
(12,108 |
) |
|
|
— |
|
|
|
(12,108 |
) |
|
|
|
| 70 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
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 |
| 0.91% |
|
|
Quarterly |
|
|
|
|
|
|
|
1-day SOFR, 4.96% |
|
|
Quarterly |
|
|
10/21/50 |
|
|
|
USD 22 |
|
|
$ |
9,430 |
|
|
$ |
— |
|
|
$ |
9,430 |
|
| 1-day Overnight Fed Funds Effective Rate, 4.83% |
|
|
Quarterly |
|
|
|
|
|
|
|
0.99% |
|
|
Quarterly |
|
|
10/21/50 |
|
|
|
USD 22 |
|
|
|
(8,852 |
) |
|
|
— |
|
|
|
(8,852 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,966 |
) |
|
$ |
— |
|
|
$ |
(1,966 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| |
|
Swap
Premiums
Paid |
|
|
Swap
Premiums
Received |
|
|
Unrealized
Appreciation |
|
|
Unrealized
Depreciation |
|
|
|
|
|
|
| Centrally Cleared Swaps(a) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
227,910 |
|
|
$ |
(229,876 |
) |
| |
(a) |
Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
|
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Currency
Exchange
Contracts |
|
|
Interest
Rate
Contracts |
|
|
Other
Contracts |
|
|
Total |
|
| Assets — Derivative Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized appreciation on futures contracts(a) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
142 |
|
|
$ |
— |
|
|
$ |
142 |
|
| Swaps — centrally cleared |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized appreciation on centrally cleared swaps(a) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
227,910 |
|
|
|
— |
|
|
|
227,910 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
228,052 |
|
|
$ |
— |
|
|
$ |
228,052 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities — Derivative Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized depreciation on futures contracts(a) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
10,406 |
|
|
$ |
— |
|
|
$ |
10,406 |
|
| Swaps — centrally cleared |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized depreciation on centrally cleared swaps |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
229,876 |
|
|
|
— |
|
|
|
229,876 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
240,282 |
|
|
$ |
— |
|
|
$ |
240,282 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
|
For the period ended September 30, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Currency
Exchange
Contracts |
|
|
Interest
Rate
Contracts |
|
|
Other
Contracts |
|
|
Total |
|
| Net Realized Gain (Loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(271,863 |
) |
|
$ |
— |
|
|
$ |
(271,863 |
) |
| Swaps |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
123 |
|
|
|
— |
|
|
|
123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(271,740 |
) |
|
$ |
— |
|
|
$ |
(271,740 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Change in Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
26,733 |
|
|
$ |
— |
|
|
$ |
26,733 |
|
| Swaps |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(1,298 |
) |
|
|
— |
|
|
|
(1,298 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
25,435 |
|
|
$ |
— |
|
|
$ |
25,435 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series P Portfolio |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
|
|
|
|
|
| Futures contracts |
|
|
|
|
| Average notional value of contracts — long |
|
|
$326,344 |
|
| Average notional value of contracts — short |
|
|
$6,203,863 |
|
| Interest rate swaps |
|
|
|
|
| Average notional value — pays fixed rate |
|
|
$3,586,320 |
|
| Average notional value — received fixed rate |
|
|
$3,586,320 |
|
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments at the measurement date. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Long-Term Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment Companies |
|
$ |
1,195,113 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,195,113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative Financial Instruments(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Contracts |
|
$ |
142 |
|
|
$ |
227,910 |
|
|
$ |
— |
|
|
$ |
228,052 |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Contracts |
|
|
(10,406 |
) |
|
|
(229,876 |
) |
|
|
— |
|
|
|
(240,282 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(10,264 |
) |
|
$ |
(1,966 |
) |
|
$ |
— |
|
|
$ |
(12,230 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
|
See notes to financial statements.
|
|
|
| 72 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) September 30, 2024 |
|
BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
| Asset-Backed Securities |
|
|
|
|
|
|
|
|
|
|
|
|
| AGL CLO 3 Ltd., Series 2020-3A, Class A, (3-mo. CME Term SOFR + 1.56%), 6.86%, 01/15/33(a)(b) |
|
|
USD |
|
|
|
250 |
|
|
$ |
250,160 |
|
| American Express Credit Account Master Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-1, Class A, 2.21%, 03/15/27 |
|
|
|
|
|
|
1,211 |
|
|
|
1,197,575 |
|
| Series 2022-2, Class A, 3.39%, 05/15/27 |
|
|
|
|
|
|
3,560 |
|
|
|
3,534,372 |
|
| Series 2022-3, Class A, 3.75%, 08/15/27 |
|
|
|
|
|
|
4,341 |
|
|
|
4,317,796 |
|
| AmeriCredit Automobile Receivables Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-3, Class A3, 0.76%, 08/18/26 |
|
|
|
|
|
|
197 |
|
|
|
196,011 |
|
| Series 2022-1, Class A3, 2.45%, 11/18/26 |
|
|
|
|
|
|
283 |
|
|
|
281,212 |
|
| Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class AR3, (3-mo. CME Term SOFR + 1.56%), 6.89%, 04/28/37(a)(b) |
|
|
|
|
|
|
865 |
|
|
|
870,637 |
|
| ARI Fleet Lease Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-A, Class A2, 5.30%, 11/15/32(a) |
|
|
|
|
|
|
265 |
|
|
|
266,894 |
|
| Series 2024-B, Class A2, 5.54%, 04/15/33(a) |
|
|
|
|
|
|
120 |
|
|
|
121,410 |
|
| BA Credit Card Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-A1, Class A1, 3.53%, 11/15/27 |
|
|
|
|
|
|
4,668 |
|
|
|
4,635,947 |
|
| Series 2022-A2, Class A2, 5.00%, 04/15/28 |
|
|
|
|
|
|
822 |
|
|
|
828,257 |
|
| Series 2024-A1, Class A, 4.93%, 05/15/29 |
|
|
|
|
|
|
1,688 |
|
|
|
1,727,179 |
|
| Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (3-mo. CME Term SOFR + 1.36%), 6.64%, 01/20/31(a)(b) |
|
|
|
|
|
|
255 |
|
|
|
255,853 |
|
| Betony CLO 2 Ltd., Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.34%), 6.60%, 04/30/31(a)(b) |
|
|
|
|
|
|
324 |
|
|
|
324,449 |
|
| BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3-mo. CME Term SOFR + 2.01%), 7.30%, 07/25/34(a)(b) |
|
|
|
|
|
|
250 |
|
|
|
250,301 |
|
| BMW Vehicle Owner Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-A, Class A3, 3.21%, 08/25/26 |
|
|
|
|
|
|
1,272 |
|
|
|
1,263,867 |
|
| Series 2023-A, Class A3, 5.47%, 02/25/28 |
|
|
|
|
|
|
629 |
|
|
|
636,797 |
|
| Canyon CLO Ltd., Series 2021-4A, Class B, (3-mo. CME Term SOFR + 1.96%), 7.26%, 10/15/34(a)(b) |
|
|
|
|
|
|
250 |
|
|
|
250,838 |
|
| Capital One Multi-Asset Execution Trust, Series 2022- A1, Class A1, 2.80%, 03/15/27 |
|
|
|
|
|
|
3,331 |
|
|
|
3,301,956 |
|
| Capital One Prime Auto Receivables Trust, Series 2022-2, Class A3, 3.66%, 05/17/27 |
|
|
|
|
|
|
1,739 |
|
|
|
1,727,499 |
|
| CarMax Auto Owner Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-2, Class A3, 0.52%, 02/17/26 |
|
|
|
|
|
|
58 |
|
|
|
57,771 |
|
| Series 2022-2, Class A3, 3.49%, 02/16/27 |
|
|
|
|
|
|
1,751 |
|
|
|
1,738,800 |
|
| Series 2022-3, Class A3, 3.97%, 04/15/27 |
|
|
|
|
|
|
1,054 |
|
|
|
1,048,805 |
|
| Chase Issuance Trust, Series 2023-A1, Class A, 5.16%, 09/15/28 |
|
|
|
|
|
|
2,680 |
|
|
|
2,738,168 |
|
| Chesapeake Funding II LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-2A, Class A1, 6.16%, 10/15/35(a) |
|
|
|
|
|
|
319 |
|
|
|
324,299 |
|
| Series 2024-1A, Class A1, 5.52%, 05/15/36(a) |
|
|
|
|
|
|
547 |
|
|
|
553,577 |
|
| CNH Equipment Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-B, Class A3, 3.89%, 08/16/27 |
|
|
|
|
|
|
508 |
|
|
|
504,933 |
|
| Series 2024-A, Class A3, 4.77%, 06/15/29 |
|
|
|
|
|
|
452 |
|
|
|
458,178 |
|
| College Ave Student Loans LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-B, Class A1, (1-mo. CME Term SOFR + 0.91%), 5.77%, 06/25/52(a)(b) |
|
|
|
|
|
|
175 |
|
|
|
172,105 |
|
| Series 2021-C, Class B, 2.72%, 07/26/55(a) |
|
|
|
|
|
|
78 |
|
|
|
71,127 |
|
| Series 2023-A, Class A1, (SOFR (30-day) + 1.90%), 7.18%, 05/25/55(a)(b) |
|
|
|
|
|
|
419 |
|
|
|
425,745 |
|
| Credit Acceptance Auto Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-1A, Class A, 4.60%, 06/15/32(a) |
|
|
|
|
|
|
537 |
|
|
|
536,397 |
|
| Series 2022-3A, Class A, 6.57%, 10/15/32(a) |
|
|
|
|
|
|
452 |
|
|
|
455,170 |
|
| Diameter Capital CLO 2 Ltd., Series 2021-2A, Class A2, (3-mo. CME Term SOFR + 2.01%), 7.31%, 10/15/36(a)(b) |
|
|
|
|
|
|
250 |
|
|
|
250,402 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
| Asset-Backed Securities (continued) |
|
|
|
|
|
| Dryden 36 Senior Loan Fund, Series 2014-36A, Class AR3, (3-mo. CME Term SOFR + 1.28%), 6.58%, 04/15/29(a)(b) |
|
|
USD |
|
|
|
98 |
|
|
$ |
98,073 |
|
| EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.80%, 11/25/45(a) |
|
|
|
|
|
|
61 |
|
|
|
55,733 |
|
| ELFI Graduate Loan Program LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-A, Class A, 4.51%, 08/26/47(a) |
|
|
|
|
|
|
437 |
|
|
|
429,094 |
|
| Series 2023-A, Class A, 6.37%, 02/04/48(a) |
|
|
|
|
|
|
428 |
|
|
|
443,182 |
|
| Elmwood CLO III Ltd., Series 2019-3A, Class A2RR, (3-mo. CME Term SOFR + 1.60%), 6.92%, 07/18/37(a)(b) |
|
|
|
|
|
|
1,250 |
|
|
|
1,242,659 |
|
| Enterprise Fleet Financing LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-2, Class A2, 5.56%, 04/22/30(a) |
|
|
|
|
|
|
741 |
|
|
|
747,931 |
|
| Series 2024-1, Class A2, 5.23%, 03/20/30(a) |
|
|
|
|
|
|
429 |
|
|
|
433,095 |
|
| Series 2024-1, Class A3, 5.16%, 09/20/30(a) |
|
|
|
|
|
|
50 |
|
|
|
51,356 |
|
| Series 2024-3, Class A3, 4.98%, 08/21/28(a) |
|
|
|
|
|
|
200 |
|
|
|
203,558 |
|
| Series 2024-3, Class A4, 5.06%, 03/20/31(a) |
|
|
|
|
|
|
66 |
|
|
|
67,537 |
|
| Fairstone Financial Issuance Trust, Series 2020-1A, Class A, 2.51%, 10/20/39(a) |
|
|
CAD |
|
|
|
145 |
|
|
|
106,485 |
|
| Flatiron CLO 21 Ltd., Series 2021-1A, Class A1R, (3-mo. CME Term SOFR + 1.36%), 6.45%, 10/19/37(a)(b) |
|
|
USD |
|
|
|
1,945 |
|
|
|
1,945,735 |
|
| Ford Credit Auto Owner Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-B, Class A4, 3.93%, 08/15/27 |
|
|
|
|
|
|
417 |
|
|
|
414,556 |
|
| Series 2023-1, Class A, 4.85%, 08/15/35(a) |
|
|
|
|
|
|
1,380 |
|
|
|
1,405,466 |
|
| Series 2023-2, Class A, 5.28%, 02/15/36(a) |
|
|
|
|
|
|
1,125 |
|
|
|
1,163,787 |
|
| Series 2023-A, Class A3, 4.65%, 02/15/28 |
|
|
|
|
|
|
201 |
|
|
|
201,495 |
|
| Series 2024-1, Class A, 4.87%, 08/15/36(a)(c) |
|
|
|
|
|
|
739 |
|
|
|
754,537 |
|
| Series 2024-A, Class A3, 5.09%, 12/15/28 |
|
|
|
|
|
|
1,900 |
|
|
|
1,934,934 |
|
| Ford Credit Floorplan Master Owner Trust A |
|
|
|
|
|
|
|
|
|
| Series 2018-4, Class A, 4.06%, 11/15/30 |
|
|
|
|
|
|
907 |
|
|
|
899,046 |
|
| Series 2023-1, Class A1, 4.92%, 05/15/28(a) |
|
|
|
|
|
|
1,246 |
|
|
|
1,258,419 |
|
| Series 2023-1, Class A2, (SOFR (30-day) + 1.25%), 6.59%, 05/15/28(a)(b) |
|
|
|
260 |
|
|
|
262,678 |
|
| Series 2023-1, Class B, 5.31%, 05/15/28(a) |
|
|
|
|
|
|
280 |
|
|
|
283,164 |
|
| Series 2024-2, Class A, 5.24%, 04/15/31(a) |
|
|
|
|
|
|
545 |
|
|
|
566,831 |
|
| Foundation Finance Trust, Series 2024-1A, Class A, 5.50%, 12/15/49(a) |
|
|
|
|
|
|
339 |
|
|
|
346,353 |
|
| FS Rialto Issuer Ltd., Series 2021-FL2, Class A, (1-mo. CME Term SOFR + 1.33%), 6.43%, 05/16/38(a)(b) |
|
|
|
|
|
|
224 |
|
|
|
221,744 |
|
| Galaxy XIX CLO Ltd., Series 2015-19A, Class A2RR, (3-mo. CME Term SOFR + 1.66%), 6.95%, 07/24/30(a)(b) |
|
|
|
|
|
|
250 |
|
|
|
250,557 |
|
| Generate CLO 7 Ltd., Series 7A, Class A1R, (3-mo. CME Term SOFR + 1.62%), 6.90%, 04/22/37(a)(b) |
|
|
|
|
|
|
1,170 |
|
|
|
1,174,550 |
|
| GM Financial Consumer Automobile Receivables Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-1, Class A4, 1.51%, 04/17/28 |
|
|
|
|
|
|
277 |
|
|
|
267,624 |
|
| Series 2022-2, Class A3, 3.10%, 02/16/27 |
|
|
|
|
|
|
560 |
|
|
|
555,404 |
|
| Series 2022-2, Class A4, 3.25%, 04/17/28 |
|
|
|
|
|
|
629 |
|
|
|
619,498 |
|
| Series 2022-3, Class A4, 3.71%, 12/16/27 |
|
|
|
|
|
|
887 |
|
|
|
879,661 |
|
| Series 2023-4, Class A3, 5.78%, 08/16/28 |
|
|
|
|
|
|
668 |
|
|
|
683,901 |
|
| GM Financial Revolving Receivables Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-2, Class A, 5.77%, 08/11/36(a) |
|
|
|
|
|
|
1,031 |
|
|
|
1,087,978 |
|
| Series 2024-1, Class A, 4.98%, 12/11/36(a) |
|
|
|
|
|
|
284 |
|
|
|
291,563 |
|
| Series 2024-2, Class A, 4.52%, 03/11/37(a) |
|
|
|
|
|
|
824 |
|
|
|
831,029 |
|
| GoodLeap Sustainable Home Solutions Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-4GS, Class A, 1.93%, 07/20/48(a) |
|
|
|
|
|
|
126 |
|
|
|
101,745 |
|
| Series 2021-5CS, Class A, 2.31%, 10/20/48(a) |
|
|
|
|
|
|
52 |
|
|
|
42,800 |
|
| Series 2022-1GS, Class A, 2.70%, 01/20/49(a) |
|
|
|
|
|
|
95 |
|
|
|
81,477 |
|
| Series 2022-2CS, Class A, 4.00%, 04/20/49(a) |
|
|
|
|
|
|
71 |
|
|
|
64,141 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
| Asset-Backed Securities (continued) |
|
|
|
|
|
| GoodLeap Sustainable Home Solutions Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-1GS, Class A, 5.52%, 02/22/55(a) |
|
|
USD |
|
|
|
313 |
|
|
$ |
311,277 |
|
| Series 2023-3C, Class A, 6.50%, 07/20/55(a) |
|
|
|
|
|
|
294 |
|
|
|
305,526 |
|
| GreatAmerica Leasing Receivables Funding LLC, Series 2024-2, Class A2, 5.28%, 03/15/27(a) |
|
|
|
|
|
|
233 |
|
|
|
235,474 |
|
| Honda Auto Receivables Owner Trust, Series 2023-4, Class A3, 5.67%, 06/21/28 |
|
|
|
|
|
|
937 |
|
|
|
958,771 |
|
| Hyundai Auto Receivables Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-C, Class A3, 0.74%, 05/15/26 |
|
|
|
|
|
|
165 |
|
|
|
163,100 |
|
| Series 2022-B, Class A3, 3.72%, 11/16/26 |
|
|
|
|
|
|
342 |
|
|
|
340,879 |
|
| Series 2023-A, Class A3, 4.58%, 04/15/27 |
|
|
|
|
|
|
998 |
|
|
|
999,099 |
|
| Series 2023-B, Class A3, 5.48%, 04/17/28 |
|
|
|
|
|
|
1,424 |
|
|
|
1,445,627 |
|
| Series 2023-C, Class A3, 5.54%, 10/16/28 |
|
|
|
|
|
|
1,087 |
|
|
|
1,110,956 |
|
| Series 2024-A, Class A3, 4.99%, 02/15/29 |
|
|
|
|
|
|
1,466 |
|
|
|
1,490,775 |
|
| Jamestown CLO XVI Ltd., Series 2021-16A, Class B, (3-mo. CME Term SOFR + 2.06%), 7.35%, 07/25/34(a)(b) |
|
|
|
|
|
|
250 |
|
|
|
250,779 |
|
| John Deere Owner Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-B, Class A3, 5.18%, 03/15/28 |
|
|
|
|
|
|
529 |
|
|
|
535,132 |
|
| Series 2024-A, Class A3, 4.96%, 11/15/28 |
|
|
|
|
|
|
981 |
|
|
|
997,307 |
|
| Madison Park Funding XLII Ltd., Series 13A, Class B, (3-mo. CME Term SOFR + 1.76%), 7.05%, 11/21/30(a)(b) |
|
|
|
|
|
|
800 |
|
|
|
800,611 |
|
| Mariner Finance Issuance Trust, Series 2020-AA, Class A, 2.19%, 08/21/34(a) |
|
|
|
|
|
|
15 |
|
|
|
14,571 |
|
| Mercedes-Benz Auto Receivables Trust, Series 2023-2, Class A3, 5.95%, 11/15/28 |
|
|
|
|
|
|
760 |
|
|
|
780,626 |
|
| MMAF Equipment Finance LLC, Series 2024-A, Class A3, 4.95%, 07/14/31(a) |
|
|
|
|
|
|
150 |
|
|
|
151,988 |
|
| Navient Private Education Loan Trust, Series 2020-A, Class A2B, (1-mo. CME Term SOFR + 1.01%), 6.11%, 11/15/68(a)(b) |
|
|
|
|
|
|
960 |
|
|
|
956,507 |
|
| Navient Private Education Refi Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-CA, Class A2, 3.13%, 02/15/68(a) |
|
|
|
|
|
|
166 |
|
|
|
162,073 |
|
| Series 2019-GA, Class A, 2.40%, 10/15/68(a) |
|
|
|
|
|
|
70 |
|
|
|
66,969 |
|
| Series 2020-BA, Class A2, 2.12%, 01/15/69(a) |
|
|
|
|
|
|
267 |
|
|
|
253,924 |
|
| Series 2020-DA, Class A, 1.69%, 05/15/69(a) |
|
|
|
|
|
|
324 |
|
|
|
304,540 |
|
| Series 2020-FA, Class A, 1.22%, 07/15/69(a) |
|
|
|
|
|
|
458 |
|
|
|
428,197 |
|
| Series 2020-IA, Class A1A, 1.33%, 04/15/69(a) |
|
|
|
|
|
|
671 |
|
|
|
611,886 |
|
| Series 2021-A, Class A, 0.84%, 05/15/69(a) |
|
|
|
|
|
|
57 |
|
|
|
51,879 |
|
| Series 2021-BA, Class A, 0.94%, 07/15/69(a) |
|
|
|
|
|
|
358 |
|
|
|
323,389 |
|
| Series 2022-BA, Class A, 4.16%, 10/15/70(a) |
|
|
|
|
|
|
831 |
|
|
|
819,988 |
|
| Navient Student Loan Trust, Series 2023-BA, Class A1B, (SOFR (30-day) + 1.70%), 7.04%, 03/15/72(a)(b) |
|
|
|
|
|
|
258 |
|
|
|
259,633 |
|
| Navistar Financial Dealer Note Master Owner Trust, Series 2024-1, Class A, 5.59%, 04/25/29(a) |
|
|
|
|
|
|
390 |
|
|
|
396,327 |
|
| Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.18%, 08/25/28(a) |
|
|
|
|
|
|
167 |
|
|
|
169,287 |
|
| Nelnet Student Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-A, Class APT2, 1.36%, 04/20/62(a) |
|
|
|
|
|
|
478 |
|
|
|
443,382 |
|
| Series 2021-CA, Class AFL, (1-mo. CME Term SOFR + 0.85%), 5.82%, 04/20/62(a)(b) |
|
|
|
|
|
|
353 |
|
|
|
350,673 |
|
| Neuberger Berman CLO XV Ltd., Series 2013-15A, Class A1R2, (3-mo. CME Term SOFR + 1.18%), 6.48%, 10/15/29(a)(b) |
|
|
|
|
|
|
307 |
|
|
|
307,077 |
|
| Nissan Auto Receivables Owner Trust, Series 2023-A, Class A3, 4.91%, 11/15/27 |
|
|
|
|
|
|
2,002 |
|
|
|
2,012,208 |
|
| OCP CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-12A, Class BAR3, (3-mo. CME Term SOFR + 1.68%), 10/18/37(a)(b)(d) |
|
|
|
|
|
|
260 |
|
|
|
260,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
| Asset-Backed Securities (continued) |
|
|
|
|
|
| OCP CLO Ltd. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-19A, Class BR, (3-mo. CME Term SOFR + 1.96%), 7.24%, 10/20/34(a)(b) |
|
|
USD |
|
|
|
250 |
|
|
$ |
250,992 |
|
| Octagon 56 Ltd., Series 2021-1A, Class B, (3-mo. CME Term SOFR + 1.91%), 7.21%, 10/15/34(a)(b) |
|
|
|
|
|
|
300 |
|
|
|
300,428 |
|
| OHA Credit Partners XVI, Series 2021-16A, Class AR, (3-mo. CME Term SOFR + 1.35%), 6.20%, 10/18/37(a)(b) |
|
|
|
|
|
|
420 |
|
|
|
420,000 |
|
| OneMain Direct Auto Receivables Trust, Series 2021- 1A, Class A, 0.87%, 07/14/28(a) |
|
|
|
|
|
|
815 |
|
|
|
799,322 |
|
| OneMain Financial Issuance Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-2A, Class A, 3.14%, 10/14/36(a) |
|
|
|
|
|
|
402 |
|
|
|
388,814 |
|
| Series 2023-1A, Class A, 5.50%, 06/14/38(a) |
|
|
|
|
|
|
150 |
|
|
|
155,525 |
|
| OZLM XXII Ltd., Series 2018-22A, Class A2, (3-mo. CME Term SOFR + 1.76%), 7.05%, 01/17/31(a)(b) |
|
|
|
|
|
|
250 |
|
|
|
250,726 |
|
| Pagaya AI Technology in Housing Trust, Series 2023-1, Class A, 3.60%, 10/25/40(a) |
|
|
|
|
|
|
495 |
|
|
|
472,536 |
|
| Palmer Square CLO Ltd., Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.39%), 6.68%, 01/17/31(a)(b) |
|
|
|
|
|
|
212 |
|
|
|
213,903 |
|
| Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.06%), 6.34%, 07/20/29(a)(b) |
|
|
|
|
|
|
212 |
|
|
|
212,017 |
|
| Park Avenue Institutional Advisers CLO Ltd., Series 2018-1A, Class A1AR, (3-mo. CME Term SOFR + 1.26%), 6.54%, 10/20/31(a)(b) |
|
|
|
|
|
|
468 |
|
|
|
468,348 |
|
| PFS Financing Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-D, Class A, 4.27%, 08/15/27(a) |
|
|
|
|
|
|
706 |
|
|
|
703,767 |
|
| Series 2023-A, Class A, 5.80%, 03/15/28(a) |
|
|
|
|
|
|
1,030 |
|
|
|
1,050,101 |
|
| Series 2023-C, Class A, 5.52%, 10/15/28(a) |
|
|
|
|
|
|
432 |
|
|
|
442,850 |
|
| Series 2024-D, Class A, 5.34%, 04/15/29(a) |
|
|
|
|
|
|
115 |
|
|
|
118,017 |
|
| Pikes Peak CLO 8, Series 2021-8A, Class B, (3-mo. CME Term SOFR + 2.01%), 7.29%, 07/20/34(a)(b) |
|
|
|
|
|
|
250 |
|
|
|
251,096 |
|
| Prodigy Finance DAC, Series 2021-1A, Class A, (1- mo. CME Term SOFR + 1.36%), 6.22%, 07/25/51(a)(b) |
|
|
|
|
|
|
46 |
|
|
|
45,440 |
|
| Progress Residential Trust, Series 2021-SFR10, Class A, 2.39%, 12/17/40(a) |
|
|
|
|
|
|
496 |
|
|
|
456,074 |
|
| Regional Management Issuance Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-1, Class A, 1.68%, 03/17/31(a) |
|
|
|
|
|
|
50 |
|
|
|
48,971 |
|
| Series 2022-2B, Class A, 7.10%, 11/17/32(a) |
|
|
|
|
|
|
140 |
|
|
|
140,443 |
|
| Series 2024-1, Class A, 5.83%, 07/15/36(a) |
|
|
|
|
|
|
103 |
|
|
|
106,601 |
|
| Santander Drive Auto Receivables Trust, Series 2023-5, Class A3, 6.02%, 09/15/28 |
|
|
|
|
|
|
896 |
|
|
|
907,528 |
|
| SLM Student Loan Trust, Series 2013-4, Class A, (SOFR (30-day) + 0.66%), 5.95%, 06/25/43(b) |
|
|
|
|
|
|
124 |
|
|
|
122,299 |
|
| SMB Private Education Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-A, Class A2B, (1-mo. CME Term SOFR + 1.61%), 6.71%, 05/15/31(a)(b) |
|
|
|
|
|
|
18 |
|
|
|
18,125 |
|
| Series 2016-B, Class A2B, (1-mo. CME Term SOFR + 1.56%), 6.66%, 02/17/32(a)(b) |
|
|
|
|
|
|
69 |
|
|
|
69,608 |
|
| Series 2017-A, Class A2B, (1-mo. CME Term SOFR + 1.01%), 6.11%, 09/15/34(a)(b) |
|
|
|
|
|
|
296 |
|
|
|
295,839 |
|
| Series 2019-B, Class A2B, (1-mo. CME Term SOFR + 1.11%), 6.21%, 06/15/37(a)(b) |
|
|
|
|
|
|
515 |
|
|
|
514,746 |
|
| Series 2021-A, Class A2A1, (1-mo. CME Term SOFR + 0.84%), 5.94%, 01/15/53(a)(b) |
|
|
|
|
|
|
710 |
|
|
|
701,562 |
|
| Series 2021-A, Class APL, (1-mo. CME Term SOFR + 0.84%), 5.94%, 01/15/53(a)(b) |
|
|
|
|
|
|
834 |
|
|
|
824,227 |
|
| Series 2022-A, Class APT, 2.85%, 11/16/54(a) |
|
|
|
|
|
|
577 |
|
|
|
539,962 |
|
| Series 2022-B, Class A1A, 3.94%, 02/16/55(a) |
|
|
|
|
|
|
594 |
|
|
|
578,468 |
|
|
|
|
| 74 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
| Asset-Backed Securities (continued) |
|
|
|
|
|
| SMB Private Education Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-B, Class A1B, (SOFR (30-day) + 1.80%), 7.14%, 10/16/56(a)(b) |
|
|
USD |
|
|
|
660 |
|
|
$ |
669,187 |
|
| Series 2023-C, Class A1A, 5.67%, 11/15/52(a) |
|
|
|
|
|
|
146 |
|
|
|
150,788 |
|
| Series 2024-A, Class A1B, (SOFR (30-day) + 1.45%), 6.79%, 03/15/56(a)(b) |
|
|
|
|
|
|
733 |
|
|
|
737,320 |
|
| Series 2024-C, Class A1A, 5.50%, 06/17/52(a) |
|
|
|
|
|
|
1,157 |
|
|
|
1,190,709 |
|
| SoFi Personal Loan Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-1A, Class A, 6.00%, 11/12/30(a) |
|
|
|
|
|
|
202 |
|
|
|
206,182 |
|
| Series 2024-1A, Class A, 6.06%, 02/12/31(a) |
|
|
|
|
|
|
342 |
|
|
|
348,205 |
|
| SoFi Professional Loan Program Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-A, Class A2FX, 2.54%, 05/15/46(a) |
|
|
|
|
|
|
160 |
|
|
|
152,086 |
|
| Series 2020-C, Class AFX, 1.95%, 02/15/46(a) |
|
|
|
|
|
|
223 |
|
|
|
208,666 |
|
| Toyota Auto Loan Extended Note Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-1A, Class A, 4.93%, 06/25/36(a) |
|
|
|
|
|
|
1,000 |
|
|
|
1,025,221 |
|
| Series 2024-1A, Class A, 5.16%, 11/25/36(a) |
|
|
|
|
|
|
1,617 |
|
|
|
1,681,216 |
|
| Toyota Auto Receivables Owner Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-B, Class A3, 2.93%, 09/15/26 |
|
|
|
|
|
|
678 |
|
|
|
672,490 |
|
| Series 2022-B, Class A4, 3.11%, 08/16/27 |
|
|
|
|
|
|
573 |
|
|
|
563,318 |
|
| Series 2023-C, Class A3, 5.16%, 04/17/28 |
|
|
|
|
|
|
340 |
|
|
|
344,142 |
|
| Verizon Master Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-1, Class A1A, 5.00%, 12/20/28 |
|
|
|
|
|
|
3,133 |
|
|
|
3,156,481 |
|
| Series 2024-2, Class A, 4.83%, 12/22/31(a) |
|
|
|
|
|
|
266 |
|
|
|
271,989 |
|
| Volkswagen Auto Loan Enhanced Trust, Series 2021-1, Class A3, 1.02%, 06/22/26 |
|
|
|
|
|
|
295 |
|
|
|
291,751 |
|
| WF Card Issuance Trust, Series 2024-A1, Class A, 4.94%, 02/15/29 |
|
|
|
|
|
|
1,902 |
|
|
|
1,941,929 |
|
| Whitebox CLO I Ltd., Series 2019-1A, Class A1RR, (3-mo. CME Term SOFR + 1.32%), 6.66%, 07/24/36(a)(b) |
|
|
|
|
|
|
410 |
|
|
|
410,697 |
|
| Whitebox CLO II Ltd., Series 2020-2A, Class A1R, (3-mo. CME Term SOFR + 1.48%), 6.77%, 10/24/34(a)(b) |
|
|
|
|
|
|
400 |
|
|
|
400,671 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Asset-Backed Securities — 26.4%
(Cost: $103,060,581) |
|
|
|
103,405,683 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Corporate Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Aerospace & Defense — 2.0% |
|
|
|
|
|
|
|
|
|
|
|
|
| BAE Systems PLC, 5.00%, 03/26/27(a) |
|
|
|
|
|
|
425 |
|
|
|
431,864 |
|
| Boeing Co. (The), 2.20%, 02/04/26 |
|
|
|
|
|
|
1,400 |
|
|
|
1,348,185 |
|
| L3Harris Technologies, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.40%, 01/15/27 |
|
|
|
|
|
|
569 |
|
|
|
584,005 |
|
| 4.40%, 06/15/28 |
|
|
|
|
|
|
218 |
|
|
|
218,913 |
|
| 5.05%, 06/01/29 |
|
|
|
|
|
|
850 |
|
|
|
875,490 |
|
| Lockheed Martin Corp., 4.50%, 02/15/29 |
|
|
|
|
|
|
585 |
|
|
|
595,670 |
|
| Northrop Grumman Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.20%, 02/01/27 |
|
|
|
|
|
|
275 |
|
|
|
269,506 |
|
| 3.25%, 01/15/28 |
|
|
|
|
|
|
810 |
|
|
|
787,117 |
|
| RTX Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.65%, 11/01/26 |
|
|
|
|
|
|
38 |
|
|
|
36,894 |
|
| 5.75%, 11/08/26 |
|
|
|
|
|
|
1,465 |
|
|
|
1,510,311 |
|
| 3.50%, 03/15/27 |
|
|
|
|
|
|
470 |
|
|
|
463,160 |
|
| 3.13%, 05/04/27 |
|
|
|
|
|
|
770 |
|
|
|
751,323 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,872,438 |
|
| Automobiles — 0.3% |
|
|
|
|
|
|
|
|
|
|
|
|
| BMW U.S. Capital LLC, 4.65%, 08/13/29(a) |
|
|
|
|
|
|
475 |
|
|
|
478,496 |
|
| Nissan Motor Acceptance Co. LLC, 7.05%, 09/15/28(a) |
|
|
|
|
|
|
149 |
|
|
|
157,850 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
| Automobiles (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| Traton Finance Luxembourg SA |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.13%, 11/22/25(e) |
|
|
EUR |
|
|
|
100 |
|
|
$ |
112,173 |
|
| 3.75%, 03/27/27(e) |
|
|
|
|
|
|
300 |
|
|
|
338,014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,086,533 |
|
| Banks — 7.5% |
|
|
|
|
|
|
|
|
|
|
|
|
| Banco de Sabadell SA, 4.00%, 01/15/30(e) |
|
|
|
|
|
|
100 |
|
|
|
115,276 |
|
| Bank of America Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.53%, 12/06/25 |
|
|
USD |
|
|
|
1,188 |
|
|
|
1,179,648 |
|
| 1.32%, 06/19/26 |
|
|
|
|
|
|
2,942 |
|
|
|
2,869,528 |
|
| 2.55%, 02/04/28 |
|
|
|
|
|
|
415 |
|
|
|
398,725 |
|
| 3.42%, 12/20/28 |
|
|
|
|
|
|
1,045 |
|
|
|
1,016,579 |
|
| 5.82%, 09/15/29 |
|
|
|
|
|
|
1,336 |
|
|
|
1,405,985 |
|
| Barclays PLC, 5.69%, 03/12/30 |
|
|
|
|
|
|
590 |
|
|
|
613,746 |
|
| Citibank N.A., 4.93%, 08/06/26 |
|
|
|
|
|
|
260 |
|
|
|
263,831 |
|
| Citigroup, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.11%, 04/08/26 |
|
|
|
|
|
|
507 |
|
|
|
502,003 |
|
| 3.40%, 05/01/26 |
|
|
|
|
|
|
1,109 |
|
|
|
1,094,422 |
|
| 5.61%, 09/29/26 |
|
|
|
|
|
|
233 |
|
|
|
235,020 |
|
| 3.20%, 10/21/26 |
|
|
|
|
|
|
1,190 |
|
|
|
1,165,575 |
|
| 5.17%, 02/13/30 |
|
|
|
|
|
|
370 |
|
|
|
380,079 |
|
| 4.54%, 09/19/30 |
|
|
|
|
|
|
525 |
|
|
|
525,609 |
|
| Goldman Sachs Bank U.S.A., 5.41%, 05/21/27 |
|
|
|
|
|
|
108 |
|
|
|
109,748 |
|
| JPMorgan Chase & Co. |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.08%, 04/22/26 |
|
|
|
|
|
|
1,040 |
|
|
|
1,023,405 |
|
| 3.96%, 01/29/27 |
|
|
|
|
|
|
97 |
|
|
|
96,445 |
|
| 1.58%, 04/22/27 |
|
|
|
|
|
|
238 |
|
|
|
227,997 |
|
| 3.78%, 02/01/28 |
|
|
|
|
|
|
149 |
|
|
|
147,373 |
|
| 5.57%, 04/22/28 |
|
|
|
|
|
|
585 |
|
|
|
603,175 |
|
| 4.98%, 07/22/28 |
|
|
|
|
|
|
2,318 |
|
|
|
2,363,205 |
|
| 5.30%, 07/24/29 |
|
|
|
|
|
|
1,213 |
|
|
|
1,255,095 |
|
| 6.09%, 10/23/29 |
|
|
|
|
|
|
820 |
|
|
|
874,146 |
|
| 5.00%, 07/22/30 |
|
|
|
|
|
|
1,590 |
|
|
|
1,634,879 |
|
| KBC Group NV, 4.25%, 11/28/29(e) |
|
|
EUR |
|
|
|
200 |
|
|
|
232,126 |
|
| Morgan Stanley Bank N.A. |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.95%, 01/14/28 |
|
|
USD |
|
|
|
1,390 |
|
|
|
1,410,963 |
|
| 4.97%, 07/14/28 |
|
|
|
|
|
|
765 |
|
|
|
780,523 |
|
| NatWest Group PLC, 7.47%, 11/10/26 |
|
|
|
|
|
|
433 |
|
|
|
445,750 |
|
| Royal Bank of Canada |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.88%, 01/12/26 |
|
|
|
|
|
|
302 |
|
|
|
304,902 |
|
| 4.95%, 02/01/29 |
|
|
|
|
|
|
50 |
|
|
|
51,562 |
|
| Sumitomo Mitsui Financial Group, Inc., 1.90%, 09/17/28 |
|
|
|
|
|
|
464 |
|
|
|
423,846 |
|
| Truist Financial Corp.
6.05%, 06/08/27 |
|
|
|
|
|
|
667 |
|
|
|
684,437 |
|
| 5.44%, 01/24/30 |
|
|
|
|
|
|
275 |
|
|
|
284,642 |
|
| U.S. Bancorp, 5.38%, 01/23/30 |
|
|
|
|
|
|
285 |
|
|
|
295,975 |
|
| Wells Fargo & Co.
5.71%, 04/22/28 |
|
|
|
|
|
|
230 |
|
|
|
237,496 |
|
| 3.58%, 05/22/28 |
|
|
|
|
|
|
440 |
|
|
|
431,468 |
|
| 5.57%, 07/25/29 |
|
|
|
|
|
|
1,807 |
|
|
|
1,880,011 |
|
| 6.30%, 10/23/29 |
|
|
|
|
|
|
325 |
|
|
|
347,735 |
|
| 5.20%, 01/23/30 |
|
|
|
|
|
|
260 |
|
|
|
268,038 |
|
| Westpac Banking Corp., 4.18%, 05/22/28(a) |
|
|
|
|
|
|
1,205 |
|
|
|
1,215,770 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,396,738 |
|
| Biotechnology — 0.4% |
|
|
|
|
|
|
|
|
|
|
|
|
| AbbVie, Inc., 4.80%, 03/15/29 |
|
|
|
|
|
|
505 |
|
|
|
519,724 |
|
| Amgen, Inc.
2.60%, 08/19/26 |
|
|
|
|
|
|
815 |
|
|
|
792,426 |
|
| 4.05%, 08/18/29 |
|
|
|
|
|
|
435 |
|
|
|
431,946 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,744,096 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
| Capital Markets — 3.6% |
|
|
|
|
|
|
|
|
|
| Blue Owl Credit Income Corp., 6.60%, 09/15/29(a) |
|
|
USD |
|
|
|
150 |
|
|
$ |
153,881 |
|
| Charles Schwab Corp. (The), 5.88%, 08/24/26 |
|
|
|
|
|
|
547 |
|
|
|
562,819 |
|
| Goldman Sachs Group, Inc. (The)
3.85%, 01/26/27 |
|
|
|
|
|
|
1,830 |
|
|
|
1,814,204 |
|
| 1.95%, 10/21/27 |
|
|
|
|
|
|
1,748 |
|
|
|
1,666,392 |
|
| 2.64%, 02/24/28 |
|
|
|
|
|
|
565 |
|
|
|
543,071 |
|
| 3.69%, 06/05/28 |
|
|
|
|
|
|
682 |
|
|
|
671,204 |
|
| 5.05%, 07/23/30 |
|
|
|
|
|
|
1,922 |
|
|
|
1,972,117 |
|
| Jefferies GmbH, (1-day ESTRON + 0.80%), 4.39%, 07/22/26(b)(e) |
|
|
EUR |
|
|
|
500 |
|
|
|
556,005 |
|
| Morgan Stanley
1.16%, 10/21/25 |
|
|
USD |
|
|
|
504 |
|
|
|
502,976 |
|
| 1.51%, 07/20/27 |
|
|
|
|
|
|
332 |
|
|
|
315,721 |
|
| 5.66%, 04/18/30 |
|
|
|
|
|
|
1,725 |
|
|
|
1,814,554 |
|
| 5.04%, 07/19/30 |
|
|
|
|
|
|
1,745 |
|
|
|
1,793,208 |
|
| UBS AG, 5.00%, 07/09/27 |
|
|
|
|
|
|
491 |
|
|
|
501,769 |
|
| UBS Group AG
4.70%, 08/05/27(a) |
|
|
|
|
|
|
1,100 |
|
|
|
1,102,851 |
|
| 0.25%, 11/05/28(e) |
|
|
EUR |
|
|
|
294 |
|
|
|
300,158 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,270,930 |
|
|
|
|
| Communications Equipment — 0.1% |
|
|
|
|
|
|
|
| Motorola Solutions, Inc., 2.30%, 11/15/30 |
|
|
USD |
|
|
|
410 |
|
|
|
361,733 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Consumer Finance — 1.6% |
|
|
|
|
|
|
|
|
|
| American Express Co.
2.55%, 03/04/27 |
|
|
|
|
|
|
772 |
|
|
|
745,281 |
|
| 5.04%, 07/26/28 |
|
|
|
|
|
|
120 |
|
|
|
122,608 |
|
| Capital One Financial Corp.
3.30%, 10/30/24 |
|
|
|
|
|
|
258 |
|
|
|
258,000 |
|
| 4.99%, 07/24/26 |
|
|
|
|
|
|
300 |
|
|
|
300,020 |
|
| 6.31%, 06/08/29 |
|
|
|
|
|
|
343 |
|
|
|
361,298 |
|
| Ford Motor Credit Co. LLC
6.95%, 06/10/26 |
|
|
|
|
|
|
669 |
|
|
|
688,685 |
|
| 5.80%, 03/05/27 |
|
|
|
|
|
|
455 |
|
|
|
463,315 |
|
| 4.95%, 05/28/27 |
|
|
|
|
|
|
215 |
|
|
|
214,473 |
|
| 7.35%, 11/04/27 |
|
|
|
|
|
|
670 |
|
|
|
711,419 |
|
| General Motors Financial Co., Inc.
6.05%, 10/10/25 |
|
|
|
|
|
|
500 |
|
|
|
506,138 |
|
| 2.35%, 02/26/27 |
|
|
|
|
|
|
340 |
|
|
|
323,663 |
|
| 5.55%, 07/15/29 |
|
|
|
|
|
|
475 |
|
|
|
489,822 |
|
| Toyota Motor Credit Corp.
4.55%, 09/20/27 |
|
|
|
|
|
|
1,090 |
|
|
|
1,107,542 |
|
| 4.55%, 08/09/29 |
|
|
|
|
|
|
80 |
|
|
|
81,285 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,373,549 |
|
|
|
|
| Containers & Packaging — 0.0% |
|
|
|
|
|
|
|
| Sonoco Products Co., 2.25%, 02/01/27 |
|
|
|
|
|
|
121 |
|
|
|
115,341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Diversified REITs — 2.9% |
|
|
|
|
|
|
|
|
|
| American Tower Corp.
3.38%, 10/15/26 |
|
|
|
|
|
|
1,336 |
|
|
|
1,312,836 |
|
| 3.65%, 03/15/27 |
|
|
|
|
|
|
531 |
|
|
|
522,880 |
|
| 3.55%, 07/15/27 |
|
|
|
|
|
|
516 |
|
|
|
505,247 |
|
| Crown Castle, Inc.
1.05%, 07/15/26 |
|
|
|
|
|
|
618 |
|
|
|
582,926 |
|
| 5.00%, 01/11/28 |
|
|
|
|
|
|
153 |
|
|
|
155,681 |
|
| Equinix, Inc.
1.45%, 05/15/26 |
|
|
|
|
|
|
125 |
|
|
|
119,414 |
|
| 2.90%, 11/18/26 |
|
|
|
|
|
|
672 |
|
|
|
654,077 |
|
| 1.80%, 07/15/27 |
|
|
|
|
|
|
1,027 |
|
|
|
963,014 |
|
| 1.55%, 03/15/28 |
|
|
|
|
|
|
513 |
|
|
|
467,960 |
|
| GLP Capital LP/GLP Financing II, Inc., 5.38%, 04/15/26 |
|
|
|
|
|
|
1,440 |
|
|
|
1,445,833 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
| Diversified REITs (continued) |
|
|
|
|
|
|
|
|
|
| VICI Properties LP
4.38%, 05/15/25 |
|
|
USD |
|
|
|
2,479 |
|
|
$ |
2,465,292 |
|
| 4.75%, 02/15/28 |
|
|
|
|
|
|
324 |
|
|
|
325,251 |
|
| VICI Properties LP/VICI Note Co., Inc.
4.63%, 06/15/25(a) |
|
|
|
|
|
|
538 |
|
|
|
534,715 |
|
| 4.25%, 12/01/26(a) |
|
|
|
|
|
|
500 |
|
|
|
495,137 |
|
| 4.63%, 12/01/29(a) |
|
|
|
|
|
|
730 |
|
|
|
716,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,266,386 |
|
|
|
| Diversified Telecommunication Services — 0.5% |
|
|
|
|
| AT&T Inc., 1.65%, 02/01/28 |
|
|
|
|
|
|
710 |
|
|
|
654,517 |
|
| British Telecommunications PLC, 4.25%, 01/06/33(e) |
|
|
EUR |
|
|
|
100 |
|
|
|
118,289 |
|
| NTT Finance Corp.
4.37%, 07/27/27(a) |
|
|
USD |
|
|
|
275 |
|
|
|
276,003 |
|
| 1.59%, 04/03/28(a) |
|
|
|
|
|
|
200 |
|
|
|
182,620 |
|
| Verizon Communications, Inc.
4.33%, 09/21/28 |
|
|
|
|
|
|
565 |
|
|
|
568,064 |
|
| 4.02%, 12/03/29 |
|
|
|
|
|
|
100 |
|
|
|
98,542 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,898,035 |
|
|
|
|
|
| Electric Utilities — 2.0% |
|
|
|
|
|
|
|
|
|
| AEP Texas, Inc.
3.95%, 06/01/28 |
|
|
|
|
|
|
110 |
|
|
|
108,553 |
|
| 5.45%, 05/15/29 |
|
|
|
|
|
|
630 |
|
|
|
657,108 |
|
| Duke Energy Corp.
2.65%, 09/01/26 |
|
|
|
|
|
|
409 |
|
|
|
397,702 |
|
| 4.85%, 01/05/29 |
|
|
|
|
|
|
1,089 |
|
|
|
1,111,124 |
|
| Edison International
3.55%, 11/15/24 |
|
|
|
|
|
|
123 |
|
|
|
122,701 |
|
| 4.70%, 08/15/25 |
|
|
|
|
|
|
380 |
|
|
|
379,065 |
|
| Eversource Energy
4.75%, 05/15/26 |
|
|
|
|
|
|
285 |
|
|
|
286,609 |
|
| 2.90%, 03/01/27 |
|
|
|
|
|
|
353 |
|
|
|
341,591 |
|
| 5.45%, 03/01/28 |
|
|
|
|
|
|
245 |
|
|
|
254,002 |
|
| Exelon Corp.
5.15%, 03/15/28 |
|
|
|
|
|
|
169 |
|
|
|
173,660 |
|
| 5.15%, 03/15/29 |
|
|
|
|
|
|
270 |
|
|
|
279,742 |
|
| FirstEnergy Corp., Series B, 3.90%, 07/15/27 |
|
|
|
|
|
|
230 |
|
|
|
227,611 |
|
| FirstEnergy Transmission LLC, 4.55%, 01/15/30(a) |
|
|
|
|
|
|
175 |
|
|
|
176,538 |
|
| NextEra Energy Capital Holdings, Inc.
1.88%, 01/15/27 |
|
|
|
|
|
|
550 |
|
|
|
522,326 |
|
| 1.90%, 06/15/28 |
|
|
|
|
|
|
112 |
|
|
|
103,276 |
|
| Pacific Gas & Electric Co.
3.45%, 07/01/25 |
|
|
|
|
|
|
255 |
|
|
|
252,061 |
|
| (3-mo. SOFR Index + 0.95%), 5.91%, 09/04/25(b) |
|
|
|
720 |
|
|
|
720,224 |
|
| San Diego Gas & Electric Co., 4.95%, 08/15/28 |
|
|
|
|
|
|
138 |
|
|
|
141,801 |
|
| Southern California Edison Co., 5.65%, 10/01/28 |
|
|
|
|
|
|
110 |
|
|
|
115,592 |
|
| Southern Co. (The), 5.50%, 03/15/29 |
|
|
|
|
|
|
810 |
|
|
|
849,634 |
|
| Texas Electric Market Stabilization Funding N LLC, Series A-1, 4.27%, 08/01/34(a) |
|
|
|
|
|
|
296 |
|
|
|
295,617 |
|
| Virginia Electric & Power Co., Series A, 3.80%, 04/01/28 |
|
|
|
|
|
|
293 |
|
|
|
290,228 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,806,765 |
|
|
|
|
|
| Financial Services — 0.6% |
|
|
|
|
|
|
|
|
|
| Fidelity National Information Services, Inc.
1.15%, 03/01/26 |
|
|
|
|
|
|
349 |
|
|
|
333,600 |
|
| 1.65%, 03/01/28 |
|
|
|
|
|
|
225 |
|
|
|
205,776 |
|
| Glencore Funding LLC
6.13%, 10/06/28(a) |
|
|
|
|
|
|
423 |
|
|
|
448,187 |
|
| 5.37%, 04/04/29(a) |
|
|
|
|
|
|
700 |
|
|
|
723,606 |
|
|
|
|
| 76 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
| Financial Services (continued) |
|
|
|
|
|
|
|
|
|
| TER Finance Jersey Ltd., Series 22, 0.00%, 10/02/25(a)(f) |
|
|
USD |
|
|
|
580 |
|
|
$ |
546,735 |
|
| Worldline SA, 4.13%, 09/12/28(e) |
|
|
EUR |
|
|
|
200 |
|
|
|
216,908 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,474,812 |
|
|
|
|
|
| Food Products — 0.0% |
|
|
|
|
|
|
|
|
|
| General Mills, Inc., 5.24%, 11/18/25 |
|
|
USD |
|
|
|
109 |
|
|
|
109,032 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ground Transportation — 0.9% |
|
|
|
|
|
|
|
|
|
| Canadian Pacific Railway Co.
1.35%, 12/02/24 |
|
|
|
|
|
|
1,398 |
|
|
|
1,388,997 |
|
| 4.00%, 06/01/28 |
|
|
|
|
|
|
114 |
|
|
|
113,412 |
|
| Norfolk Southern Corp., 2.90%, 06/15/26 |
|
|
|
|
|
|
1,210 |
|
|
|
1,185,269 |
|
| Ryder System, Inc., 2.85%, 03/01/27 |
|
|
|
|
|
|
370 |
|
|
|
357,763 |
|
| Uber Technologies, Inc., 4.30%, 01/15/30 |
|
|
|
|
|
|
410 |
|
|
|
408,545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,453,986 |
|
|
|
| Health Care Equipment & Supplies — 0.2% |
|
|
|
|
| Edwards Lifesciences Corp., 4.30%, 06/15/28 |
|
|
|
|
|
|
340 |
|
|
|
339,809 |
|
| Sartorius Finance BV, 4.25%, 09/14/26(e) |
|
|
EUR |
|
|
|
300 |
|
|
|
341,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
681,284 |
|
|
|
| Health Care Providers & Services — 1.0% |
|
|
|
|
| Elevance Health, Inc., 5.15%, 06/15/29 |
|
|
USD |
|
|
|
475 |
|
|
|
492,846 |
|
| HCA, Inc.
5.25%, 06/15/26 |
|
|
|
|
|
|
590 |
|
|
|
594,343 |
|
| 5.38%, 09/01/26 |
|
|
|
|
|
|
1,022 |
|
|
|
1,033,065 |
|
| 5.63%, 09/01/28 |
|
|
|
|
|
|
740 |
|
|
|
768,296 |
|
| 4.13%, 06/15/29 |
|
|
|
|
|
|
420 |
|
|
|
413,418 |
|
| Humana, Inc., 5.75%, 12/01/28 |
|
|
|
|
|
|
610 |
|
|
|
641,635 |
|
| PeaceHealth Obligated Group, Series 2020, 1.38%, 11/15/25 |
|
|
|
|
|
|
114 |
|
|
|
109,732 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,053,335 |
|
|
|
| Health Care REITs — 0.0% |
|
|
|
|
| Healthpeak OP LLC, 1.35%, 02/01/27 |
|
|
|
|
|
|
100 |
|
|
|
93,531 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Hotels, Restaurants & Leisure — 0.2% |
|
|
|
|
| Las Vegas Sands Corp.
2.90%, 06/25/25 |
|
|
|
|
|
|
159 |
|
|
|
156,232 |
|
| 5.90%, 06/01/27 |
|
|
|
|
|
|
280 |
|
|
|
287,535 |
|
| 6.00%, 08/15/29 |
|
|
|
|
|
|
185 |
|
|
|
192,253 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
636,020 |
|
|
|
|
|
| Household Durables — 0.1% |
|
|
|
|
|
|
|
|
|
| DR Horton, Inc., 1.30%, 10/15/26 |
|
|
|
|
|
|
245 |
|
|
|
231,777 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Industrial Conglomerates — 0.1% |
|
|
|
|
|
|
|
|
|
| John Deere Capital Corp., 2.80%, 09/08/27 |
|
|
|
|
|
|
473 |
|
|
|
458,010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Insurance — 0.0% |
|
|
|
|
|
|
|
|
|
| Aon North America, Inc., 5.15%, 03/01/29 |
|
|
|
|
|
|
157 |
|
|
|
162,177 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| IT Services — 0.1% |
|
|
|
|
|
|
|
|
|
| Global Payments, Inc., 1.20%, 03/01/26 |
|
|
|
|
|
|
282 |
|
|
|
269,508 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Media — 0.7% |
|
|
|
|
|
|
|
|
|
| Charter Communications Operating LLC/Charter Communications Operating Capital
6.15%, 11/10/26 |
|
|
|
|
|
|
65 |
|
|
|
66,807 |
|
| 4.20%, 03/15/28 |
|
|
|
|
|
|
813 |
|
|
|
790,439 |
|
| 2.25%, 01/15/29 |
|
|
|
|
|
|
332 |
|
|
|
295,598 |
|
| Comcast Corp.
3.15%, 03/01/26 |
|
|
|
|
|
|
450 |
|
|
|
443,780 |
|
| 3.15%, 02/15/28 |
|
|
|
|
|
|
645 |
|
|
|
626,381 |
|
| Informa PLC, 2.13%, 10/06/25(e) |
|
|
EUR |
|
|
|
437 |
|
|
|
480,802 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,703,807 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
| Metals & Mining — 0.1% |
|
|
|
|
|
|
|
|
|
| Anglo American Capital PLC, 3.75%, 06/15/29(e) |
|
|
EUR |
|
|
|
380 |
|
|
$ |
428,784 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Multi-Utilities — 0.2% |
|
|
|
|
| Engie SA, 3.63%, 12/06/26(e) |
|
|
|
|
|
|
300 |
|
|
|
339,552 |
|
| National Grid North America, Inc., 4.15%, 09/12/27(e) |
|
|
|
|
|
|
290 |
|
|
|
333,324 |
|
| Sempra, 3.30%, 04/01/25 |
|
|
USD |
|
|
|
148 |
|
|
|
146,726 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
819,602 |
|
|
|
| Oil, Gas & Consumable Fuels — 3.0% |
|
|
|
|
| BP Capital Markets America, Inc., 3.94%, 09/21/28 |
|
|
|
|
|
|
435 |
|
|
|
432,395 |
|
| Cheniere Energy Partners LP, 4.50%, 10/01/29 |
|
|
|
|
|
|
256 |
|
|
|
252,500 |
|
| Diamondback Energy, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.20%, 04/18/27 |
|
|
|
|
|
|
482 |
|
|
|
491,927 |
|
| 3.50%, 12/01/29 |
|
|
|
|
|
|
493 |
|
|
|
468,895 |
|
| 5.15%, 01/30/30 |
|
|
|
|
|
|
480 |
|
|
|
492,466 |
|
| Enbridge, Inc., 5.25%, 04/05/27 |
|
|
|
|
|
|
330 |
|
|
|
337,876 |
|
| Energy Transfer LP |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.20%, 04/15/27 |
|
|
|
|
|
|
126 |
|
|
|
125,582 |
|
| 5.50%, 06/01/27 |
|
|
|
|
|
|
735 |
|
|
|
753,795 |
|
| 6.10%, 12/01/28 |
|
|
|
|
|
|
827 |
|
|
|
879,567 |
|
| Eni SpA, 3.63%, 05/19/27(e) |
|
|
EUR |
|
|
|
240 |
|
|
|
272,416 |
|
| EQT Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.90%, 10/01/27 |
|
|
USD |
|
|
|
382 |
|
|
|
375,387 |
|
| 7.00%, 02/01/30 |
|
|
|
|
|
|
29 |
|
|
|
31,663 |
|
| Marathon Petroleum Corp., 4.70%, 05/01/25 |
|
|
|
|
|
|
235 |
|
|
|
234,701 |
|
| MPLX LP, 1.75%, 03/01/26 |
|
|
|
|
|
|
886 |
|
|
|
853,235 |
|
| Occidental Petroleum Corp., 5.00%, 08/01/27 |
|
|
|
|
|
|
520 |
|
|
|
527,156 |
|
| ONEOK, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.55%, 11/01/26 |
|
|
|
|
|
|
490 |
|
|
|
501,104 |
|
| 5.65%, 11/01/28 |
|
|
|
|
|
|
412 |
|
|
|
430,615 |
|
| Sabine Pass Liquefaction LLC |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.63%, 03/01/25 |
|
|
|
|
|
|
549 |
|
|
|
549,505 |
|
| 5.88%, 06/30/26 |
|
|
|
|
|
|
1,198 |
|
|
|
1,217,570 |
|
| 5.00%, 03/15/27 |
|
|
|
|
|
|
101 |
|
|
|
102,311 |
|
| 4.20%, 03/15/28 |
|
|
|
|
|
|
517 |
|
|
|
514,272 |
|
| Targa Resources Corp., 5.20%, 07/01/27 |
|
|
|
|
|
|
527 |
|
|
|
539,075 |
|
| Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.50%, 03/01/30 |
|
|
|
|
|
|
1,200 |
|
|
|
1,221,958 |
|
| Wintershall Dea Finance BV, 10/03/29(d)(e) |
|
|
EUR |
|
|
|
200 |
|
|
|
223,462 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,829,433 |
|
|
|
|
|
| Passenger Airlines — 0.3% |
|
|
|
|
|
|
|
|
|
| Delta Air Lines, Inc., 7.00%, 05/01/25(a) |
|
|
USD |
|
|
|
970 |
|
|
|
980,218 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Pharmaceuticals — 0.3% |
|
|
|
|
|
|
|
|
|
| Bayer AG |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.00%, 08/26/26(e) |
|
|
EUR |
|
|
|
280 |
|
|
|
318,187 |
|
| 0.75%, 01/06/27(e) |
|
|
|
|
|
|
200 |
|
|
|
211,476 |
|
| Pfizer Investment Enterprises Pte Ltd., 4.45%, 05/19/28 |
|
|
USD |
|
|
|
309 |
|
|
|
313,584 |
|
| Pfizer, Inc., 3.00%, 12/15/26 |
|
|
|
|
|
|
313 |
|
|
|
307,036 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,150,283 |
|
|
|
|
|
| Retail REITs — 0.1% |
|
|
|
|
|
|
|
|
|
| Realty Income Corp., 3.25%, 06/15/29 |
|
|
|
|
|
|
258 |
|
|
|
246,241 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Semiconductors & Semiconductor Equipment — 0.4% |
|
|
|
|
| Broadcom, Inc., 5.05%, 07/12/27 |
|
|
|
|
|
|
367 |
|
|
|
375,091 |
|
| Microchip Technology, Inc., 5.05%, 03/15/29 |
|
|
|
|
|
|
445 |
|
|
|
456,987 |
|
| NXP BV/NXP Funding LLC/NXP U.S.A., Inc., 2.70%, 05/01/25 |
|
|
|
|
|
|
655 |
|
|
|
645,509 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,477,587 |
|
|
|
|
|
| Software — 0.7% |
|
|
|
|
|
|
|
|
|
| Oracle Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.65%, 07/15/26 |
|
|
|
|
|
|
408 |
|
|
|
396,529 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
|
|
| Software (continued) |
|
|
|
|
|
|
|
|
|
| Oracle Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.25%, 11/15/27 |
|
|
USD |
|
|
|
738 |
|
|
$
|
718,445 |
|
| 4.20%, 09/27/29 |
|
|
|
|
|
|
362 |
|
|
|
361,268 |
|
| VMware LLC, 1.40%, 08/15/26 |
|
|
|
|
|
|
1,087 |
|
|
|
1,029,806 |
|
| Workday, Inc., 3.50%, 04/01/27 |
|
|
|
|
|
|
278 |
|
|
|
273,516 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,779,564 |
|
|
|
|
|
| Specialty Retail — 0.1% |
|
|
|
|
|
|
|
|
|
| Home Depot, Inc. (The), 4.75%, 06/25/29 |
|
|
|
|
|
|
75 |
|
|
|
77,304 |
|
| Lowe’s Cos., Inc., 2.50%, 04/15/26 |
|
|
|
|
|
|
275 |
|
|
|
268,610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
345,914 |
|
|
|
| Technology Hardware, Storage & Peripherals — 0.1% |
|
|
|
|
| Dell International LLC/EMC Corp., 5.25%, 02/01/28 |
|
|
|
|
|
|
210 |
|
|
|
216,938 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Tobacco — 0.8% |
|
|
|
|
|
|
|
|
|
| Altria Group, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 6.20%, 11/01/28 |
|
|
|
|
|
|
879 |
|
|
|
935,773 |
|
| 4.80%, 02/14/29 |
|
|
|
|
|
|
540 |
|
|
|
546,705 |
|
| BAT Capital Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| 3.56%, 08/15/27 |
|
|
|
|
|
|
199 |
|
|
|
194,931 |
|
| 2.26%, 03/25/28 |
|
|
|
|
|
|
488 |
|
|
|
454,036 |
|
| BAT International Finance PLC |
|
|
|
|
|
|
|
|
|
|
|
|
| 4.45%, 03/16/28 |
|
|
|
|
|
|
277 |
|
|
|
277,187 |
|
| 5.93%, 02/02/29 |
|
|
|
|
|
|
692 |
|
|
|
730,920 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,139,552 |
|
|
|
| Trading Companies & Distributors — 0.0% |
|
|
|
|
| IMCD NV, 3.63%, 04/30/30(e) |
|
|
EUR |
|
|
|
120 |
|
|
|
133,887 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Wireless Telecommunication Services — 1.3% |
|
|
|
|
| Rogers Communications, Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.90%, 11/15/26 |
|
|
USD |
|
|
|
60 |
|
|
|
58,321 |
|
| 3.20%, 03/15/27 |
|
|
|
|
|
|
825 |
|
|
|
803,193 |
|
| 5.00%, 02/15/29 |
|
|
|
|
|
|
435 |
|
|
|
443,918 |
|
| Sprint LLC, 7.63%, 03/01/26 |
|
|
|
|
|
|
474 |
|
|
|
489,618 |
|
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 4.74%, 03/20/25(a) |
|
|
|
|
|
|
50 |
|
|
|
49,869 |
|
| T-Mobile U.S.A., Inc. |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.50%, 02/15/26 |
|
|
|
|
|
|
260 |
|
|
|
250,026 |
|
| 2.63%, 04/15/26 |
|
|
|
|
|
|
981 |
|
|
|
956,009 |
|
| 3.75%, 04/15/27 |
|
|
|
|
|
|
147 |
|
|
|
145,234 |
|
| 4.75%, 02/01/28 |
|
|
|
|
|
|
750 |
|
|
|
750,747 |
|
| 2.05%, 02/15/28 |
|
|
|
|
|
|
1,078 |
|
|
|
1,004,229 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,951,164 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Corporate Bonds — 32.2%
(Cost: $123,626,337) |
|
|
|
126,018,990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Foreign Government Obligations |
|
|
|
|
|
| Canada — 0.3% |
|
|
|
|
|
|
|
|
|
| Ontario Teachers’ Finance Trust, 4.25%, 04/25/28(a) |
|
|
|
|
|
|
965 |
|
|
|
977,535 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Uruguay — 0.0% |
|
|
|
|
|
|
|
|
|
| Oriental Republic of Uruguay, 4.38%, 01/23/31 |
|
|
|
|
|
|
0(g) |
|
|
|
3 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Foreign Government Obligations — 0.3%
(Cost: $964,217) |
|
|
|
977,538 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Non-Agency Mortgage-Backed Securities |
|
|
|
| Collateralized Mortgage Obligations — 3.0% |
|
|
|
|
| Angel Oak Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-2, Class A1A, 2.53%, 01/26/65(a)(b) |
|
|
|
|
|
|
123 |
|
|
|
115,428 |
|
| Series 2022-2, Class A1, 3.35%, 01/25/67(a)(b) |
|
|
|
|
|
|
272 |
|
|
|
258,497 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
| Collateralized Mortgage Obligations (continued) |
|
|
|
|
| Angel Oak Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2023-6, Class A1, 6.50%, 12/25/67(a)(c) |
|
|
USD |
|
|
|
172 |
|
|
$ |
174,463 |
|
| Arroyo Mortgage Trust, Series 2022-2, Class A1, 4.95%, 07/25/57(a)(c) |
|
|
|
|
|
|
235 |
|
|
|
234,149 |
|
| Barclays Mortgage Loan Trust, Series 2024-NQM1, Class A1, 5.90%, 01/25/64(a)(c) |
|
|
|
|
|
|
420 |
|
|
|
423,624 |
|
| BRAVO Residential Funding Trust, Series 2023- NQM6, Class A1,
6.60%, 09/25/63(a)(c) |
|
|
|
|
|
|
379 |
|
|
|
384,397 |
|
| Chase Home Lending Mortgage Trust, Series 2019- ATR2, Class A3,
3.50%, 07/25/49(a)(b) |
|
|
|
|
|
|
135 |
|
|
|
124,672 |
|
| COLT Mortgage Loan Trust, Series 2022-3, Class A1, 3.90%, 02/25/67(a)(b) |
|
|
|
|
|
|
116 |
|
|
|
113,088 |
|
| Credit Suisse Mortgage Capital Trust, Series 2022- ATH1, Class A1A, 2.87%, 01/25/67(a)(b) |
|
|
|
|
|
|
250 |
|
|
|
238,781 |
|
| Flagstar Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-1INV, Class A11, (1-mo. CME Term SOFR + 0.96%), 5.82%, 03/25/50(a)(b) |
|
|
|
|
|
|
394 |
|
|
|
372,405 |
|
| Series 2021-12, Class A19, 5.00%, 11/25/51(a)(b) |
|
|
|
|
|
|
612 |
|
|
|
612,752 |
|
| GCAT Trust, Series 2021-NQM7, Class A1, 1.92%, 08/25/66(a)(b) |
|
|
|
|
|
|
200 |
|
|
|
184,995 |
|
| GS Mortgage-Backed Securities Corp. Trust, Series 2022-PJ2, Class A4, 2.50%, 06/25/52(a)(b) |
|
|
|
|
|
|
490 |
|
|
|
411,875 |
|
| Homeward Opportunities Fund I Trust, Series 2022-1, Class A1, 5.08%, 07/25/67(a)(c) |
|
|
|
|
|
|
172 |
|
|
|
171,284 |
|
| JPMorgan Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-2, Class 1A1, 3.00%, 06/25/29(a)(b) |
|
|
|
|
|
|
163 |
|
|
|
159,135 |
|
| Series 2021-7, Class A3, 2.50%, 11/25/51(a)(b) |
|
|
|
|
|
|
418 |
|
|
|
352,141 |
|
| Series 2022-INV3, Class A3B, 3.00%, 09/25/52(a)(b) |
|
|
|
|
|
|
347 |
|
|
|
303,429 |
|
| Series 2023-DSC1, Class A1, 4.63%, 07/25/63(a)(b) |
|
|
|
|
|
|
361 |
|
|
|
354,132 |
|
| Series 2024-2, Class A3, 6.00%, 08/25/54(a)(b) |
|
|
|
|
|
|
139 |
|
|
|
140,038 |
|
| Mello Mortgage Capital Acceptance, Series 2022- INV2, Class A3,
3.00%, 04/25/52(a)(b) |
|
|
|
|
|
|
407 |
|
|
|
357,497 |
|
| MFA Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-INV2, Class A1, 1.91%, 11/25/56(a)(b) |
|
|
|
|
|
|
255 |
|
|
|
224,642 |
|
| Series 2023-INV2, Class A1, 6.78%, 10/25/58(a)(c) |
|
|
|
|
|
|
148 |
|
|
|
151,173 |
|
| Series 2023-NQM3, Class A1, 6.62%, 07/25/68(a)(c) |
|
|
|
|
|
|
401 |
|
|
|
406,245 |
|
| Mill City Mortgage Loan Trust, Series 2017-3, Class A1, 2.75%, 01/25/61(a)(b) |
|
|
|
|
|
|
71 |
|
|
|
70,342 |
|
| New Residential Mortgage Loan Trust, Series 2020- 1A, Class A1B, 3.50%, 10/25/59(a)(b) |
|
|
|
|
|
|
288 |
|
|
|
272,731 |
|
| OBX Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2020-EXP3, Class 2A1B, (1-mo. CME Term SOFR + 1.01%), 5.87%, 01/25/60(a)(b) |
|
|
|
|
|
|
695 |
|
|
|
697,095 |
|
| Series 2022-INV3, Class A1, 3.00%, 02/25/52(a)(b) |
|
|
|
|
|
|
183 |
|
|
|
159,969 |
|
| Series 2023-NQM6, Class A1, 6.52%, 07/25/63(a)(c) |
|
|
|
|
|
|
472 |
|
|
|
480,145 |
|
| Preston Ridge Partners Mortgage LLC, Series 2024- RCF1, Class A1, 4.00%, 01/25/54(a)(c) |
|
|
|
|
|
|
98 |
|
|
|
96,109 |
|
| Preston Ridge Partners Mortgage Trust, Series 2024- NQM2, Class A1, 6.33%, 06/25/69(a)(c) |
|
|
|
|
|
|
107 |
|
|
|
109,045 |
|
| PRKCM Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2021-AFC2, Class A1, 2.07%, 11/25/56(a)(b) |
|
|
|
|
|
|
309 |
|
|
|
272,684 |
|
| Series 2023-AFC3, Class A1, 6.58%, 09/25/58(a)(c) |
|
|
|
|
|
|
423 |
|
|
|
428,933 |
|
| RCKT Mortgage Trust, Series 2022-2, Class A1, 3.00%, 02/25/52(a)(b) |
|
|
|
|
|
|
420 |
|
|
|
367,794 |
|
| SG Residential Mortgage Trust, Series 2022-2, Class A1, 5.35%, 08/25/62(a)(c) |
|
|
|
|
|
|
138 |
|
|
|
137,946 |
|
| Starwood Mortgage Residential Trust, Series 2020-3, Class A1, 1.49%, 04/25/65(a)(b) |
|
|
|
|
|
|
128 |
|
|
|
123,753 |
|
|
|
|
| 78 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
| Collateralized Mortgage Obligations (continued) |
|
|
|
|
| Towd Point Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-1, Class A5, 4.72%, 10/25/53(a)(b) |
|
|
USD |
|
|
|
467 |
|
|
$ |
464,125 |
|
| Series 2018-1, Class A1, 3.00%, 01/25/58(a)(b) |
|
|
|
|
|
|
186 |
|
|
|
182,275 |
|
| Series 2018-2, Class A1, 3.25%, 03/25/58(a)(b) |
|
|
|
|
|
|
519 |
|
|
|
508,251 |
|
| Series 2018-6, Class A1A, 3.75%, 03/25/58(a)(b) |
|
|
|
|
|
|
493 |
|
|
|
486,448 |
|
| Verus Securitization Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-1, Class A1, 2.72%, 01/25/67(a)(c) |
|
|
|
|
|
|
141 |
|
|
|
131,222 |
|
| Series 2022-2, Class A1, 4.26%, 02/25/67(a)(c) |
|
|
|
|
|
|
227 |
|
|
|
220,019 |
|
| Series 2022-3, Class A1, 4.13%, 02/25/67(a)(c) |
|
|
|
|
|
|
334 |
|
|
|
321,727 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,799,455 |
|
|
|
| Commercial Mortgage-Backed Securities — 6.2% |
|
|
|
|
| 280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1-mo. CME Term SOFR + 1.18%), 6.30%, 09/15/34(a)(b) |
|
|
|
|
|
|
600 |
|
|
|
585,047 |
|
| Alen Mortgage Trust, Series 2021-ACEN, Class A, (1-mo. CME Term SOFR + 1.26%),
6.36%, 04/15/34(a)(b) |
|
|
|
|
|
|
420 |
|
|
|
380,100 |
|
| Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class ASB, 2.58%, 05/15/53(a) |
|
|
|
|
|
|
500 |
|
|
|
474,615 |
|
| BANK, Series 2024-BNK48, Class A5, 09/15/34(d) |
|
|
|
|
|
|
330 |
|
|
|
339,882 |
|
| BANK5, Series 2024-5YR8, Class A3, 5.88%, 08/15/57 |
|
|
|
|
|
|
220 |
|
|
|
232,193 |
|
| Barclays Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2019-C3, Class B, 4.10%, 05/15/52 |
|
|
|
|
|
|
400 |
|
|
|
373,550 |
|
| Series 2019-C5, Class ASB, 2.99%, 11/15/52 |
|
|
|
|
|
|
250 |
|
|
|
243,234 |
|
| BBCMS Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-5C29, Class A3, 5.21%, 09/15/57 |
|
|
|
|
|
|
640 |
|
|
|
657,769 |
|
| Series 2024-C26, Class A5, 5.83%, 05/15/57 |
|
|
|
|
|
|
260 |
|
|
|
283,458 |
|
| Benchmark Mortgage Trust, Series 2022-B34, Class AM, 3.96%, 04/15/55(b) |
|
|
|
|
|
|
265 |
|
|
|
240,514 |
|
| BFLD Mortgage Trust, Series 2024-WRHS, Class A, (1-mo. CME Term SOFR + 1.49%),
6.59%, 08/15/26(a)(b) |
|
|
|
|
|
|
300 |
|
|
|
299,813 |
|
| BMO Mortgage Trust, Series 2024-5C6, Class A3, 5.32%, 09/15/57 |
|
|
|
|
|
|
330 |
|
|
|
339,739 |
|
| BSST Mortgage Trust, Series 2021-SSCP, Class A, (1-mo. CME Term SOFR + 0.86%),
5.96%, 04/15/36(a)(b) |
|
|
|
|
|
|
964 |
|
|
|
955,132 |
|
| BX Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-LP2, Class A, (1-mo. CME Term SOFR + 1.01%), 6.11%, 02/15/39(a)(b) |
|
|
|
|
|
|
228 |
|
|
|
226,489 |
|
| Series 2023-XL3, Class A, (1-mo. CME Term SOFR + 1.76%), 6.86%, 12/09/40(a)(b) |
|
|
|
|
|
|
372 |
|
|
|
372,966 |
|
| Series 2024-AIRC, Class A, (1-mo. CME Term SOFR + 1.69%), 6.79%, 08/15/39(a)(b) |
|
|
|
|
|
|
450 |
|
|
|
450,563 |
|
| Series 2024-AIRC, Class B, (1-mo. CME Term SOFR + 2.14%), 7.24%, 08/15/39(a)(b) |
|
|
|
|
|
|
330 |
|
|
|
330,413 |
|
| Series 2024-MF, Class B, (1-mo. CME Term SOFR + 1.69%), 6.79%, 02/15/39(a)(b) |
|
|
|
|
|
|
124 |
|
|
|
123,692 |
|
| BX Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2022-IND, Class A, (1-mo. CME Term SOFR + 1.49%), 6.59%, 04/15/37(a)(b) |
|
|
|
|
|
|
651 |
|
|
|
650,884 |
|
| Series 2023-DELC, Class A, (1-mo. CME Term SOFR + 2.69%), 7.79%, 05/15/38(a)(b) |
|
|
|
|
|
|
460 |
|
|
|
461,725 |
|
| Series 2024-BIO, Class A, (1-mo. CME Term SOFR + 1.64%), 6.74%, 02/15/41(a)(b) |
|
|
|
|
|
|
626 |
|
|
|
622,870 |
|
| Series 2024-CNYN, Class A, (1-mo. CME Term SOFR + 1.44%), 6.54%, 04/15/41(a)(b) |
|
|
|
|
|
|
131 |
|
|
|
130,534 |
|
| Series 2024-PAT, Class A, (1-mo. CME Term SOFR + 2.09%), 7.19%, 03/15/41(a)(b) |
|
|
|
|
|
|
250 |
|
|
|
250,781 |
|
| Series 2024-PAT, Class B, (1-mo. CME Term SOFR + 3.04%), 8.14%, 03/15/41(a)(b) |
|
|
|
|
|
|
100 |
|
|
|
100,188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
| Commercial Mortgage-Backed Securities (continued) |
|
|
|
|
| BX Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-VLT4, Class A, (1-mo. CME Term SOFR + 1.49%), 6.59%, 07/15/29(a)(b) |
|
|
USD |
|
|
|
495 |
|
|
$ |
495,000 |
|
| CALI Mortgage Trust, Series 2024-SUN, Class A, (1-mo. CME Term SOFR + 1.89%), 6.99%, 07/15/41(a)(b) |
|
|
|
|
|
|
260 |
|
|
|
260,163 |
|
| CD Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2016-CD2, Class A4, 3.53%, 11/10/49(b) |
|
|
|
|
|
|
520 |
|
|
|
499,828 |
|
| Series 2017-CD5, Class A4, 3.43%, 08/15/50 |
|
|
|
|
|
|
525 |
|
|
|
507,895 |
|
| CENT Trust, Series 2023-CITY, Class A, (1-mo. CME Term SOFR + 2.62%), 7.72%, 09/15/38(a)(b) |
|
|
|
|
|
|
450 |
|
|
|
450,844 |
|
| CFCRE Commercial Mortgage Trust, Series 2016-C6, Class A3, 3.22%, 11/10/49(b) |
|
|
|
|
|
|
820 |
|
|
|
794,633 |
|
| Citigroup Commercial Mortgage Trust, Series 2018- B2, Class A4, 4.01%, 03/10/51 |
|
|
|
|
|
|
535 |
|
|
|
527,047 |
|
| COAST Commercial Mortgage Trust, Series 2023- 2HTL, Class A, (1-mo. CME Term SOFR + 2.59%), 7.69%, 08/15/36(a)(b) |
|
|
|
|
|
|
300 |
|
|
|
299,625 |
|
| Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2013-CR8, Class B, 3.64%, 06/10/46(a)(b) |
|
|
|
|
|
|
73 |
|
|
|
72,841 |
|
| Series 2015-CR24, Class B, 4.50%, 08/10/48(b) |
|
|
|
|
|
|
500 |
|
|
|
482,559 |
|
| Series 2015-LC23, Class A4, 3.77%, 10/10/48 |
|
|
|
|
|
|
550 |
|
|
|
542,703 |
|
| CONE Trust, Series 2024-DFW1, Class A, (1-mo. CME Term SOFR + 1.64%), 6.74%, 08/15/41(a)(b) |
|
|
|
|
|
|
190 |
|
|
|
190,000 |
|
| CSAIL Commercial Mortgage Trust, Series 2019-C17, Class A4, 2.76%, 09/15/52 |
|
|
|
|
|
|
1,000 |
|
|
|
926,432 |
|
| ELM Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2024-ELM, Class A10, 5.99%, 06/10/39(a)(b) |
|
|
|
|
|
|
730 |
|
|
|
746,506 |
|
| Series 2024-ELM, Class A15, 5.99%, 06/10/39(a)(b) |
|
|
|
|
|
|
730 |
|
|
|
746,506 |
|
| EQT Trust, Series 2024-EXTR, Class A, 5.33%, 07/05/41(a)(b) |
|
|
|
|
|
|
450 |
|
|
|
460,691 |
|
| FREMF Mortgage Trust, Series 2015-K45, Class B, 3.72%, 04/25/48(a)(b) |
|
|
|
|
|
|
290 |
|
|
|
287,792 |
|
| GS Mortgage Securities Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-GC30, Class AAB, 3.12%, 05/10/50 |
|
|
|
|
|
|
15 |
|
|
|
14,913 |
|
| Series 2022-ECI, Class A, (1-mo. CME Term SOFR + 2.19%), 7.29%, 08/15/39(a)(b) |
|
|
|
|
|
|
135 |
|
|
|
135,042 |
|
| Series 2023-FUN, Class A, (1-mo. CME Term SOFR + 2.09%), 7.19%, 03/15/28(a)(b) |
|
|
|
|
|
|
410 |
|
|
|
410,769 |
|
| Series 2023-FUN, Class B, (1-mo. CME Term SOFR + 2.79%), 7.89%, 03/15/28(a)(b) |
|
|
|
|
|
|
415 |
|
|
|
415,778 |
|
| Series 2024-RVR, Class A, 5.37%, 08/10/29(a)(b) |
|
|
|
|
|
|
120 |
|
|
|
120,681 |
|
| ILPT Commercial Mortgage Trust, Series 2022-LPF2, Class A, (1-mo. CME Term SOFR + 2.25%), 7.34%, 10/15/39(a)(b) |
|
|
|
|
|
|
500 |
|
|
|
499,531 |
|
| JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class ASB, 3.04%, 10/15/48 |
|
|
|
|
|
|
66 |
|
|
|
65,586 |
|
| JPMorgan Chase Commercial Mortgage Securities Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-JP6, Class A3, 3.11%, 07/15/50 |
|
|
|
|
|
|
414 |
|
|
|
402,118 |
|
| Series 2019-BKWD, Class A, (1-mo. CME Term SOFR + 1.61%), 6.71%, 09/15/29(a)(b) |
|
|
|
|
|
|
93 |
|
|
|
87,530 |
|
| Series 2022-NXSS, Class A, (1-mo. CME Term SOFR + 2.18%), 7.28%, 09/15/39(a)(b) |
|
|
|
|
|
|
180 |
|
|
|
180,003 |
|
| Series 2022-OPO, Class D, 3.57%, 01/05/39(a)(b) |
|
|
|
|
|
|
100 |
|
|
|
76,500 |
|
| KSL Commercial Mortgage Trust, Series 2023-HT, Class A, (1-mo. CME Term SOFR + 2.29%), 7.39%, 12/15/36(a)(b) |
|
|
|
|
|
|
200 |
|
|
|
200,500 |
|
| LBA Trust, Series 2024-7IND, Class A, (1-mo. CME Term SOFR + 1.44%), 6.54%, 10/15/41(a)(b) |
|
|
|
|
|
|
590 |
|
|
|
589,631 |
|
| LUX, Series 2023-LION, Class A, (1-mo. CME Term SOFR + 2.69%), 7.79%, 08/15/40(a)(b) |
|
|
|
|
|
|
183 |
|
|
|
183,779 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
| Commercial Mortgage-Backed Securities (continued) |
|
|
|
|
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class ASB, 2.73%, 09/15/49 |
|
|
USD |
|
|
|
77 |
|
|
$ |
75,971 |
|
| Morgan Stanley Capital I Trust, Series 2024-NSTB, Class A, 3.90%, 09/24/57(a)(b) |
|
|
|
|
|
|
140 |
|
|
|
135,816 |
|
| OPEN Trust, Series 2023-AIR, Class A, (1-mo. CME Term SOFR + 3.09%), 8.19%, 10/15/28(a)(b) |
|
|
|
|
|
|
97 |
|
|
|
98,413 |
|
| Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class A, (1-mo. CME Term SOFR + 2.19%), 7.28%, 05/15/37(a)(b) |
|
|
|
|
|
|
270 |
|
|
|
270,675 |
|
| Wells Fargo Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2014-LC18, Class ASB, 3.24%, 12/15/47 |
|
|
|
|
|
|
0(g) |
|
|
|
23 |
|
| Series 2015-C26, Class B, 3.78%, 02/15/48 |
|
|
|
|
|
|
515 |
|
|
|
507,904 |
|
| Series 2015-C27, Class A5, 3.45%, 02/15/48 |
|
|
|
|
|
|
495 |
|
|
|
491,269 |
|
| Series 2016-LC24, Class A3, 2.68%, 10/15/49 |
|
|
|
|
|
|
809 |
|
|
|
786,333 |
|
| Series 2021-C60, Class ASB, 2.13%, 08/15/54 |
|
|
|
|
|
|
834 |
|
|
|
765,505 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,931,486 |
|
|
| Interest Only Commercial Mortgage-Backed Securities — 0.0% |
|
| Citigroup Commercial Mortgage Trust, Series 2015- P1, Class XA, 0.84%, 09/15/48(b) |
|
|
|
|
|
|
4,143 |
|
|
|
16,101 |
|
| Commercial Mortgage Trust |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2015-CR23, Class XA, 0.95%, 05/10/48(b) |
|
|
|
|
|
|
1,527 |
|
|
|
3,618 |
|
| Series 2015-LC21, Class XA, 0.75%, 07/10/48(b) |
|
|
|
|
|
|
4,011 |
|
|
|
7,259 |
|
| CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA, 2.02%, 01/15/49(b) |
|
|
|
|
|
|
587 |
|
|
|
10,694 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,672 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Non-Agency Mortgage-Backed Securities — 9.2%
(Cost: $36,263,500) |
|
|
|
35,768,613 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Government Sponsored Agency Securities |
|
|
|
|
|
| Agency Obligations — 4.4% |
|
|
|
|
|
|
|
|
|
| Fannie Mae |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.54%, 10/27/25 |
|
|
|
|
|
|
4,500 |
|
|
|
4,348,870 |
|
| 0.74%, 08/25/27 |
|
|
|
|
|
|
1,000 |
|
|
|
921,048 |
|
| 0.81%, 09/25/28 |
|
|
|
|
|
|
1,000 |
|
|
|
889,637 |
|
| Federal Farm Credit Banks Funding Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.25%, 08/15/29 |
|
|
|
|
|
|
1,000 |
|
|
|
936,398 |
|
| 2.17%, 10/29/29 |
|
|
|
|
|
|
700 |
|
|
|
649,734 |
|
| 1.30%, 02/03/31 |
|
|
|
|
|
|
770 |
|
|
|
652,647 |
|
| 1.68%, 09/17/35 |
|
|
|
|
|
|
2,080 |
|
|
|
1,601,130 |
|
| Federal Home Loan Banks |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.60%, 12/30/26 |
|
|
|
|
|
|
1,000 |
|
|
|
931,500 |
|
| 2.06%, 09/27/29 |
|
|
|
|
|
|
1,000 |
|
|
|
923,789 |
|
| 2.18%, 11/06/29 |
|
|
|
|
|
|
700 |
|
|
|
646,317 |
|
| Freddie Mac |
|
|
|
|
|
|
|
|
|
|
|
|
| 0.60%, 09/30/25 |
|
|
|
|
|
|
3,000 |
|
|
|
2,900,053 |
|
| 0.90%, 10/13/27 |
|
|
|
|
|
|
2,000 |
|
|
|
1,840,889 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,242,012 |
|
|
|
| Collateralized Mortgage Obligations — 2.8% |
|
|
|
|
| Fannie Mae |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2018-21, Class CA, 3.50%, 04/25/45 |
|
|
|
|
|
|
72 |
|
|
|
71,368 |
|
| Series 2019-73, Class P, 3.00%, 03/25/48 |
|
|
|
|
|
|
433 |
|
|
|
422,141 |
|
| Series 2020-79, Class JA, 1.50%, 11/25/50 |
|
|
|
|
|
|
421 |
|
|
|
382,419 |
|
| Series 2022-65, Class FB, (SOFR (30-day) + 0.80%), 6.00%, 09/25/52(b) |
|
|
|
|
|
|
3,293 |
|
|
|
3,285,171 |
|
| Freddie Mac |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 3959, Class MA, 4.50%, 11/15/41 |
|
|
|
|
|
|
39 |
|
|
|
39,287 |
|
| Series 3986, Class M, 4.50%, 09/15/41 |
|
|
|
|
|
|
1 |
|
|
|
858 |
|
| Series 4274, Class PN, 3.50%, 10/15/35 |
|
|
|
|
|
|
50 |
|
|
|
49,426 |
|
| Series 4390, Class CA, 3.50%, 06/15/50 |
|
|
|
|
|
|
25 |
|
|
|
25,199 |
|
| Series 4459, Class BN, 3.00%, 08/15/43 |
|
|
|
|
|
|
247 |
|
|
|
232,368 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par
(000) |
|
|
Value |
|
|
|
| Collateralized Mortgage Obligations (continued) |
|
|
|
|
| Freddie Mac |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 4482, Class DH, 3.00%, 06/15/42 |
|
|
USD |
|
|
|
10 |
|
|
$ |
9,543 |
|
| Series 4494, Class KA, 3.75%, 10/15/42 |
|
|
|
|
|
|
49 |
|
|
|
48,909 |
|
| Series 4752, Class PL, 3.00%, 09/15/46 |
|
|
|
|
|
|
286 |
|
|
|
278,712 |
|
| Series 4777, Class CB, 3.50%, 10/15/45 |
|
|
|
|
|
|
205 |
|
|
|
202,584 |
|
| Series 4941, Class MB, 3.00%, 07/25/49 |
|
|
|
|
|
|
249 |
|
|
|
228,829 |
|
| Series 5000, Class MA, 2.00%, 06/25/44 |
|
|
|
|
|
|
204 |
|
|
|
190,802 |
|
| Series 5006, Class KA, 2.00%, 06/25/45 |
|
|
|
|
|
|
585 |
|
|
|
542,853 |
|
| Series 5105, Class LA, 1.50%, 04/15/44 |
|
|
|
|
|
|
1,172 |
|
|
|
1,137,073 |
|
| Series 5249, Class HA, 4.00%, 09/25/49 |
|
|
|
|
|
|
2,347 |
|
|
|
2,327,343 |
|
| Freddie Mac Seasoned Credit Risk Transfer Trust, Series 2018-3, Class MA, 3.50%, 08/25/57(b) |
|
|
|
|
|
|
992 |
|
|
|
964,080 |
|
| Ginnie Mae |
|
|
|
|
|
|
|
|
|
|
|
|
| Series 2017-136, Class GB, 3.00%, 03/20/47 |
|
|
|
|
|
|
369 |
|
|
|
344,570 |
|
| Series 2020-127, Class LP, 1.50%, 06/20/50 |
|
|
|
|
|
|
390 |
|
|
|
312,728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,096,263 |
|
|
|
|
|
| Mortgage-Backed Securities — 5.4% |
|
|
|
|
|
|
|
|
|
| Fannie Mae Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
|
|
|
|
| 1.50%, 07/01/31 |
|
|
|
|
|
|
1,143 |
|
|
|
1,068,982 |
|
| 2.50%, 12/01/27 - 12/01/36 |
|
|
|
|
|
|
1,316 |
|
|
|
1,256,371 |
|
| 3.00%, 09/01/30 - 09/01/35 |
|
|
|
|
|
|
5,569 |
|
|
|
5,401,234 |
|
| 3.03%, 12/01/27 |
|
|
|
|
|
|
1,252 |
|
|
|
1,219,248 |
|
| 3.50%, 05/01/37 |
|
|
|
|
|
|
561 |
|
|
|
554,174 |
|
| 4.00%, 03/01/32 - 08/01/49 |
|
|
|
|
|
|
4,324 |
|
|
|
4,264,658 |
|
| 4.50%, 09/01/26 - 05/01/38 |
|
|
|
|
|
|
439 |
|
|
|
443,680 |
|
| 5.00%, 07/01/25 - 06/01/39 |
|
|
|
|
|
|
1,127 |
|
|
|
1,160,730 |
|
| 5.50%, 05/01/38 |
|
|
|
|
|
|
190 |
|
|
|
196,097 |
|
| 5.81%, 06/01/31 |
|
|
|
|
|
|
1,362 |
|
|
|
1,435,369 |
|
| (Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.57%), 7.03%, 07/01/44(b) |
|
|
|
|
|
|
108 |
|
|
|
111,634 |
|
| (Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.59%), 3.50%, 06/01/45(b) |
|
|
|
|
|
|
106 |
|
|
|
109,116 |
|
| (Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.70%), 7.10%, 07/01/43(b) |
|
|
|
|
|
|
155 |
|
|
|
160,554 |
|
| Freddie Mac Mortgage-Backed Securities |
|
|
|
|
|
|
|
|
|
|
|
|
| 2.50%, 11/01/27 - 03/01/37 |
|
|
|
|
|
|
489 |
|
|
|
463,128 |
|
| 3.00%, 12/01/31 - 02/01/36 |
|
|
|
|
|
|
772 |
|
|
|
746,734 |
|
| 3.50%, 04/01/32 - 11/01/38 |
|
|
|
|
|
|
837 |
|
|
|
824,226 |
|
| 4.00%, 09/01/33 - 06/01/37 |
|
|
|
|
|
|
1,138 |
|
|
|
1,143,157 |
|
| (Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.62%), 3.34%, 05/01/45(b) |
|
|
|
|
|
|
307 |
|
|
|
310,868 |
|
| (Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.62%), 6.16%, 03/01/45(b) |
|
|
|
|
|
|
105 |
|
|
|
108,521 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,978,481 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Government Sponsored Agency Securities — 12.6% |
|
|
|
| (Cost: $49,896,121) |
|
|
|
49,316,756 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| U.S. Treasury Obligations |
|
| U.S. Treasury Notes |
|
|
|
|
|
|
|
|
|
|
|
|
| 5.00%, 08/31/25 |
|
|
|
|
|
|
3,250 |
|
|
|
3,277,168 |
|
| 4.63%, 02/28/26 |
|
|
|
|
|
|
7,109 |
|
|
|
7,187,739 |
|
| 4.25%, 03/15/27 |
|
|
|
|
|
|
26,000 |
|
|
|
26,401,172 |
|
| 4.50%, 04/15/27 - 05/15/27 |
|
|
|
|
|
|
10,835 |
|
|
|
11,072,757 |
|
| 3.75%, 08/15/27 |
|
|
|
|
|
|
6,500 |
|
|
|
6,530,976 |
|
| 3.63%, 09/15/27 |
|
|
|
|
|
|
9,760 |
|
|
|
9,710,437 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total U.S. Treasury Obligations — 16.4%
(Cost: $63,255,574) |
|
|
|
|
|
|
|
|
|
|
64,180,249 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Long-Term Investments — 97.1%
(Cost: $377,066,330) |
|
|
|
|
|
|
|
|
|
|
379,667,829 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 80 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series S Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Shares |
|
|
Value |
|
|
|
|
|
| Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Money Market Funds — 3.7% |
|
|
|
|
|
|
|
|
|
| Dreyfus Treasury Securities Cash Management, Institutional Class, 4.88%(h) |
|
|
|
|
|
|
14,562,393 |
|
|
$ |
14,562,393 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Short-Term Securities — 3.7%
(Cost: $14,562,393) |
|
|
|
14,562,393 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 100.8%
(Cost: $391,628,723) |
|
|
|
394,230,222 |
|
|
|
| Liabilities in Excess of Other Assets — (0.8)% |
|
|
(3,048,872) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Assets — 100.0% |
|
|
|
|
|
|
|
$391,181,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
| (b) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
| (c) |
Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
| (d) |
When-issued security. |
| (e) |
This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
| (g) |
Rounds to less than 1,000. |
| (h) |
Annualized 7-day yield as of period end. |
For purposes of this report, industry and sector sub-classifications may differ from those utilized by the Fund for compliance purposes.
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| Description |
|
Number of
Contracts |
|
|
Expiration
Date |
|
|
Notional
Amount
(000) |
|
|
Value/
Unrealized
Appreciation
(Depreciation) |
|
| |
|
| Long Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Euro-Schatz |
|
|
5 |
|
|
|
12/06/24 |
|
|
$ |
597 |
|
|
$ |
2,606 |
|
| U.S. Treasury Notes (2 Year) |
|
|
673 |
|
|
|
12/31/24 |
|
|
|
140,147 |
|
|
|
270,972 |
|
| U.S. Ultra Treasury Notes (10 Year) |
|
|
1 |
|
|
|
12/19/24 |
|
|
|
118 |
|
|
|
(125 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
273,453 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Euro-Bobl |
|
|
22 |
|
|
|
12/06/24 |
|
|
|
2,940 |
|
|
|
(19,411 |
) |
| U.S. Treasury Bonds (30 Year) |
|
|
37 |
|
|
|
12/19/24 |
|
|
|
4,595 |
|
|
|
19,592 |
|
| U.S. Treasury Notes (10 Year) |
|
|
34 |
|
|
|
12/19/24 |
|
|
|
3,886 |
|
|
|
(13,602 |
) |
| U.S. Ultra Treasury Bonds |
|
|
5 |
|
|
|
12/19/24 |
|
|
|
665 |
|
|
|
1,279 |
|
| U.S. Treasury Notes (5 Year) |
|
|
547 |
|
|
|
12/31/24 |
|
|
|
60,106 |
|
|
|
(41,312 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(53,454 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
219,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
| Currency Purchased |
|
|
Currency Sold |
|
|
Counterparty |
|
Settlement
Date |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| |
|
| USD |
|
|
126,879 |
|
|
CAD |
|
|
172,000 |
|
|
Royal Bank of Canada |
|
|
12/18/24 |
|
|
$ |
(557 |
) |
| USD |
|
|
101,609 |
|
|
EUR |
|
|
91,000 |
|
|
Deutsche Bank AG |
|
|
12/18/24 |
|
|
|
(12 |
) |
| USD |
|
|
4,834,344 |
|
|
EUR |
|
|
4,330,000 |
|
|
UBS AG |
|
|
12/18/24 |
|
|
|
(1,052 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(1,621 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series S Portfolio |
Centrally Cleared Credit Default Swaps — Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
| Reference Obligation/Index |
|
Financing
Rate
Paid by
the Fund |
|
|
Payment
Frequency |
|
|
Termination
Date |
|
Notional
Amount (000) |
|
|
Value |
|
Upfront
Premium
Paid
(Received) |
|
|
Unrealized
Appreciation
(Depreciation) |
|
| |
|
| CDX.NA.IG.43.V1 |
|
|
1.00 |
% |
|
|
Quarterly |
|
|
12/20/29 |
|
USD |
|
|
13,925 |
|
|
$ (315,580) |
|
$ |
(314,809 |
) |
|
$ |
(771 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Centrally Cleared Interest Rate Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
| Paid by the Fund |
|
Received by the Fund |
|
Effective |
|
Termination |
|
|
Notional Amount |
|
|
|
|
|
Upfront
Premium
Paid |
|
|
Unrealized
Appreciation |
|
| Rate |
|
Frequency |
|
Rate |
|
Frequency |
|
Date |
|
Date |
|
|
|
|
(000) |
|
|
Value |
|
|
(Received) |
|
|
(Depreciation) |
|
| |
|
| 1-day TONA, 0.23% |
|
Annual |
|
0.37% |
|
Annual |
|
N/A |
|
|
08/08/26 |
|
|
JPY |
|
|
1,390,730 |
|
|
$ |
11,436 |
|
|
$ |
3,043 |
|
|
$ |
8,393 |
|
| 1-day TONA, 0.23% |
|
Annual |
|
0.39% |
|
Annual |
|
N/A |
|
|
08/09/26 |
|
|
JPY |
|
|
707,160 |
|
|
|
3,264 |
|
|
|
307 |
|
|
|
2,957 |
|
| 1-day SOFR, 4.96% |
|
Annual |
|
3.30% |
|
Annual |
|
12/02/24(a) |
|
|
05/15/34 |
|
|
USD |
|
|
3,726 |
|
|
|
(7,018 |
) |
|
|
— |
|
|
|
(7,018 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
7,682 |
|
|
$ |
3,350 |
|
|
$ |
4,332 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
| |
|
Swap
Premiums
Paid |
|
|
Swap
Premiums
Received |
|
|
Unrealized
Appreciation |
|
|
Unrealized
Depreciation |
|
| |
|
| Centrally Cleared Swaps(a) |
|
$ |
3,350 |
|
|
$ |
(314,809 |
) |
|
$ |
11,350 |
|
|
$ |
(7,789 |
) |
| |
|
| |
(a) |
Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
|
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Currency
Exchange
Contracts |
|
|
Interest
Rate
Contracts |
|
|
Other
Contracts |
|
|
Total |
|
| Assets — Derivative Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized appreciation on futures contracts(a) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
294,449 |
|
|
$ |
— |
|
|
$ |
294,449 |
|
| Swaps — centrally cleared |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized appreciation on centrally cleared swaps(a) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
11,350 |
|
|
|
— |
|
|
|
11,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
305,799 |
|
|
$ |
— |
|
|
$ |
305,799 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Liabilities — Derivative Financial Instruments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized depreciation on futures contracts(a) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
74,450 |
|
|
$ |
— |
|
|
$ |
74,450 |
|
| Forward foreign currency exchange contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized depreciation on forward foreign currency exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,621 |
|
|
|
— |
|
|
|
— |
|
|
|
1,621 |
|
| Swaps — centrally cleared |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Unrealized depreciation on centrally cleared swaps(a) |
|
|
— |
|
|
|
771 |
|
|
|
— |
|
|
|
— |
|
|
|
7,018 |
|
|
|
— |
|
|
|
7,789 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
771 |
|
|
$ |
— |
|
|
$ |
1,621 |
|
|
$ |
81,468 |
|
|
$ |
— |
|
|
$ |
83,860 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
|
|
|
|
| 82 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series S Portfolio |
For the period ended September 30, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
| |
|
Commodity
Contracts |
|
|
Credit
Contracts |
|
|
Equity
Contracts |
|
|
Foreign
Currency
Exchange
Contracts |
|
|
Interest
Rate
Contracts |
|
|
Other
Contracts |
|
|
Total |
|
| |
|
| Net Realized Gain (Loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(1,124,191 |
) |
|
$ |
— |
|
|
$ |
(1,124,191 |
) |
| Forward foreign currency exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(48,288 |
) |
|
|
— |
|
|
|
— |
|
|
|
(48,288 |
) |
| Swaps |
|
|
— |
|
|
|
(2,276 |
) |
|
|
— |
|
|
|
— |
|
|
|
23,959 |
|
|
|
— |
|
|
|
21,683 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
(2,276 |
) |
|
$ |
— |
|
|
$ |
(48,288 |
) |
|
$ |
(1,100,232 |
) |
|
$ |
— |
|
|
$ |
(1,150,796 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Change in Unrealized Appreciation (Depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures contracts |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
613,324 |
|
|
$ |
— |
|
|
$ |
613,324 |
|
| Forward foreign currency exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(45,412 |
) |
|
|
— |
|
|
|
— |
|
|
|
(45,412 |
) |
| Swaps |
|
|
— |
|
|
|
16,127 |
|
|
|
— |
|
|
|
— |
|
|
|
7,898 |
|
|
|
— |
|
|
|
24,025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
— |
|
|
$ |
16,127 |
|
|
$ |
— |
|
|
$ |
(45,412 |
) |
|
$ |
621,222 |
|
|
$ |
— |
|
|
$ |
591,937 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
|
|
|
|
|
| Futures contracts |
|
|
|
|
| Average notional value of contracts — long |
|
|
$160,497,239 |
|
| Average notional value of contracts — short |
|
|
$84,624,611 |
|
| Forward foreign currency exchange contracts |
|
|
|
|
| Average amounts purchased — in USD |
|
|
$4,798,889 |
|
| Credit default swaps |
|
|
|
|
| Average notional value — buy protection |
|
|
$6,962,500 |
|
| Average notional value — sell protection |
|
|
$6,375,000 |
|
| Interest rate swaps |
|
|
|
|
| Average notional value — pays fixed rate |
|
|
$9,161,278 |
|
| Average notional value — received fixed rate |
|
|
$— |
(a) |
| |
|
| |
(a) |
Derivative not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
|
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
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 |
|
$ |
293,205 |
|
|
$ |
254,850 |
|
| Forward foreign currency exchange contracts |
|
|
— |
|
|
|
1,621 |
|
| Swaps — centrally cleared |
|
|
— |
|
|
|
6,848 |
|
|
|
|
|
|
|
|
|
|
| Total derivative assets and liabilities in the Statements of Assets and Liabilities |
|
$ |
293,205 |
|
|
$ |
263,319 |
|
|
|
|
|
|
|
|
|
|
| Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
|
|
(293,205 |
) |
|
|
(261,698 |
) |
|
|
|
|
|
|
|
|
|
| Total derivative assets and liabilities subject to an MNA |
|
$ |
— |
|
|
$ |
1,621 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series S Portfolio |
The following table presents the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
| Counterparty |
|
Derivative
Liabilities
Subject to
an MNA by
Counterparty |
|
|
Derivatives
Available
for Offset(a) |
|
|
Non-
Cash
Collateral
Pledged(b) |
|
|
Cash
Collateral
Pledged(b) |
|
|
Net Amount of
Derivative
Liabilities(c)(d) |
|
| |
|
| Deutsche Bank AG |
|
$ |
12 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
12 |
|
| Royal Bank of Canada |
|
|
557 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
557 |
|
| UBS AG |
|
|
1,052 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
1,052 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,621 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
1,621 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
|
| |
(b) |
Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes. |
|
| |
(c) |
Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
|
| |
(d) |
Net amount represents the net amount payable due to the counterparty in the event of default. |
|
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments at the measurement date. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| |
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Long-Term Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Asset-Backed Securities |
|
$ |
— |
|
|
$ |
103,405,683 |
|
|
$ |
— |
|
|
$ |
103,405,683 |
|
| Corporate Bonds |
|
|
— |
|
|
|
126,018,990 |
|
|
|
— |
|
|
|
126,018,990 |
|
| Foreign Government Obligations |
|
|
— |
|
|
|
977,538 |
|
|
|
— |
|
|
|
977,538 |
|
| Non-Agency Mortgage-Backed Securities |
|
|
— |
|
|
|
35,768,613 |
|
|
|
— |
|
|
|
35,768,613 |
|
| U.S. Government Sponsored Agency Securities |
|
|
— |
|
|
|
49,316,756 |
|
|
|
— |
|
|
|
49,316,756 |
|
| U.S. Treasury Obligations |
|
|
— |
|
|
|
64,180,249 |
|
|
|
— |
|
|
|
64,180,249 |
|
| Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Money Market Funds |
|
|
14,562,393 |
|
|
|
— |
|
|
|
— |
|
|
|
14,562,393 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
14,562,393 |
|
|
$ |
379,667,829 |
|
|
$ |
— |
|
|
$ |
394,230,222 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Derivative Financial Instruments(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Interest Rate Contracts |
|
$ |
294,449 |
|
|
$ |
11,350 |
|
|
$ |
— |
|
|
$ |
305,799 |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Credit Contracts |
|
|
— |
|
|
|
(771 |
) |
|
|
— |
|
|
|
(771 |
) |
| Foreign Currency Exchange Contracts |
|
|
— |
|
|
|
(1,621 |
) |
|
|
— |
|
|
|
(1,621 |
) |
| Interest Rate Contracts |
|
|
(74,450 |
) |
|
|
(7,018 |
) |
|
|
— |
|
|
|
(81,468 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
219,999 |
|
|
$ |
1,940 |
|
|
$ |
— |
|
|
$ |
221,939 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
(a) |
Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
|
See notes to financial statements.
|
|
|
| 84 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) September 30, 2024 |
|
BATS: Series V Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
|
|
|
| Municipal Bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Alaska — 1.0% |
|
|
|
|
|
|
|
|
|
| Alaska Housing Finance Corp., Refunding RB, Series D, VRDN, (Federal Home Loan Bank SBPA), 3.10%, 10/07/24(a) |
|
|
USD |
|
|
|
1,300 |
|
|
$ |
1,300,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Colorado — 2.3% |
|
|
|
|
|
|
|
|
|
| Colorado Health Facilities Authority, RB, Series D, VRDN, 4.10%, 10/01/24(a) |
|
|
|
|
|
|
3,000 |
|
|
|
3,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Connecticut — 0.6% |
|
|
|
|
|
|
|
|
|
| Connecticut Housing Finance Authority, Refunding RB, Sub- Series C-3, VRDN, (Royal Bank of Canada SBPA),
3.15%, 10/07/24(a) |
|
|
|
|
|
|
725 |
|
|
|
725,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Florida — 6.7% |
|
|
|
|
|
|
|
|
|
| County of St. Lucie Florida Power & Light Co., Refunding RB, VRDN,
3.40%, 10/07/24(a) |
|
|
|
|
|
|
400 |
|
|
|
400,000 |
|
| JEA Electric System Revenue, Refunding RB, Series THREE-B-3, VRDN, (Royal Bank of Canada SBPA), 3.15%, 10/07/24(a) |
|
|
|
|
|
|
2,750 |
|
|
|
2,750,000 |
|
| JEA Water & Sewer System Revenue, Refunding RB, Sub- Series 2, VRDN, (JPMorgan Chase Bank NA SBPA),
3.15%, 10/07/24(a) |
|
|
|
|
|
|
2,550 |
|
|
|
2,550,000 |
|
| Monroe County School District, RB, 4.00%, 05/29/25 |
|
|
|
|
|
|
1,570 |
|
|
|
1,584,588 |
|
| Pinellas County Housing Finance Authority, RB, VRDN, (FHLMC LOC),
3.15%, 10/07/24(a) |
|
|
|
|
|
|
1,400 |
|
|
|
1,400,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,684,588 |
|
|
|
|
|
| Georgia — 1.7% |
|
|
|
|
|
|
|
|
|
| Private Colleges & Universities Authority, RB, Series B, VRDN, 2.90%, 10/07/24(a) |
|
|
|
|
|
|
2,130 |
|
|
|
2,130,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Illinois — 1.4% |
|
|
|
|
|
|
|
|
|
| Illinois Finance Authority, Refunding RB, VRDN, (JPMorgan Chase Bank NA SBPA), 3.45%, 10/01/24(a) |
|
|
|
|
|
|
1,800 |
|
|
|
1,800,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Indiana — 1.4% |
|
|
|
|
|
|
|
|
|
| Indiana Finance Authority |
|
|
|
|
|
|
|
|
|
|
|
|
| RB, VRDN, (Barclays Bank plc LOC), 3.05%, 10/07/24(a) |
|
|
|
|
|
|
750 |
|
|
|
750,000 |
|
| Refunding RB, Series D, VRDN, (TD Bank NA LOC), 3.80%, 10/01/24(a) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,750,000 |
|
|
|
|
|
| Iowa — 0.9% |
|
|
|
|
|
|
|
|
|
| Iowa Finance Authority, RB, Series E, VRDN, (GNMA/FNMA/FHLMC COL), (Fannie Mae LIQ), (Federal Home Loan Bank SBPA), 3.15%, 10/07/24(a) |
|
|
|
|
|
|
1,100 |
|
|
|
1,100,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Louisiana — 4.0% |
|
|
|
|
|
|
|
|
|
| Louisiana Public Facilities Authority |
|
|
|
|
|
|
|
|
|
|
|
|
| RB, Series C, VRDN, 4.05%, 10/01/24(a) |
|
|
|
|
|
|
3,000 |
|
|
|
3,000,000 |
|
| Refunding RB, Series B-1, VRDN, (Sumitomo Mitsui Banking Corp. LOC), 3.15%, 10/07/24(a) |
|
|
|
|
|
|
2,100 |
|
|
|
2,100,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,100,000 |
|
|
|
|
|
| Maryland — 3.9% |
|
|
|
|
|
|
|
|
|
| Maryland Health & Higher Educational Facilities Authority, Refunding RB, Series A, VRDN, (TD Bank NA LOC),
2.94%, 10/07/24(a) |
|
|
|
|
|
|
200 |
|
|
|
200,000 |
|
| Montgomery County, GO, TECP, Series B, (State Street Bank & Trust Co. SBPA), 3.28%, 11/06/24 |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,043 |
|
| Montgomery County Housing Opportunities Commission, Refunding RB, VRDN, (FNMA COL), (TD Bank NA LOC),
3.80%, 10/01/24(a) |
|
|
|
|
|
|
3,800 |
|
|
|
3,800,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000,043 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
|
|
|
| Massachusetts — 4.7% |
|
|
|
|
|
|
|
|
|
|
|
|
| Massachusetts Bay Transportation A, RB, TECP, (TD Bank NA SBPA), 3.20%, 11/05/24 |
|
|
USD |
|
|
|
1,000 |
|
|
$ |
999,998 |
|
| Massachusetts Development Finance Agency |
|
|
|
|
|
|
|
|
|
|
|
|
| RB, Series K2, VRDN, (Sumitomo Mitsui Banking Corp. SBPA), 3.00%, 10/07/24(a) |
|
|
|
|
|
|
900 |
|
|
|
900,000 |
|
| RB, VRDN, (Wells Fargo Bank NA SBPA), 3.05%, 10/07/24(a) |
|
|
|
|
|
|
1,150 |
|
|
|
1,150,000 |
|
| Massachusetts HFA, Refunding RB,
Series 200, VRDN, (TD Bank NA SBPA),
3.10%, 10/07/24(a) |
|
|
|
|
|
|
1,050 |
|
|
|
1,050,000 |
|
| Town of Sharon, GO, BAN, 4.50%, 02/27/25 |
|
|
|
|
|
|
2,000 |
|
|
|
2,016,506 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,116,504 |
|
|
|
|
|
| Michigan — 0.9% |
|
|
|
|
|
|
|
|
|
| University of Michigan, Refunding RB, Series D-1, VRDN, 3.80%, 10/01/24(a) |
|
|
|
|
|
|
1,100 |
|
|
|
1,100,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Minnesota — 0.8% |
|
|
|
|
|
|
|
|
|
| County of Hennepin, GO, Refunding, Series B, VRDN, (TD Bank NA SBPA),
3.13%, 10/07/24(a) |
|
|
|
|
|
|
1,080 |
|
|
|
1,080,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Mississippi — 2.0% |
|
|
|
|
|
|
|
|
|
| Mississippi Business Finance Corp. |
|
|
|
|
|
|
|
|
|
|
|
|
| RB, Series B, VRDN, 3.90%, 10/01/24(a) |
|
|
|
|
|
|
900 |
|
|
|
900,000 |
|
| RB, Series K, VRDN, 3.75%, 10/01/24(a) |
|
|
|
|
|
|
1,700 |
|
|
|
1,700,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,600,000 |
|
|
|
|
|
| Nebraska — 3.5% |
|
|
|
|
|
|
|
|
|
| Lincoln Nebraska Electric, RB, TECP, (JPMorgan Chase Bank NA SBPA),
3.28%, 11/13/24 |
|
|
|
|
|
|
1,000 |
|
|
|
999,998 |
|
| Nebraska Investment Finance Authority, RB, Series C, VRDN, (GNMA/FNMA/FHLMC), (Federal Home Loan Bank SBPA),
3.20%, 10/07/24(a) |
|
|
|
|
|
|
2,525 |
|
|
|
2,525,000 |
|
| Omaha Public Power District, GO, TECP, Series A, (Bank of America NA SBPA), 3.25%, 12/16/24 |
|
|
|
|
|
|
1,000 |
|
|
|
999,988 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,524,986 |
|
|
|
|
|
| New Jersey — 6.4% |
|
|
|
|
|
|
|
|
|
| Borough of Pompton Lakes, GO, BAN,
4.50%, 06/06/25 |
|
|
|
|
|
|
1,430 |
|
|
|
1,447,911 |
|
| Essex County Improvement Authority, Refunding RB, (County GTD), 5.00%, 06/18/25 |
|
|
|
|
|
|
2,315 |
|
|
|
2,349,175 |
|
| Jersey City Municipal Utilities Authority, RB, Series B, 5.00%, 05/01/25 |
|
|
|
|
|
|
400 |
|
|
|
404,209 |
|
| Township of Bordentown, GO, BAN,
4.50%, 04/01/25 |
|
|
|
|
|
|
2,000 |
|
|
|
2,018,300 |
|
| Township of Egg Harbor, GO, BAN,
4.00%, 08/07/25 |
|
|
|
|
|
|
1,000 |
|
|
|
1,008,651 |
|
| Township of Maplewood, GO, BAN, 10/07/25(b) |
|
|
|
|
|
|
1,000 |
|
|
|
1,009,035 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,237,281 |
|
|
|
|
|
| New York — 15.2% |
|
|
|
|
|
|
|
|
|
| City of New York |
|
|
|
|
|
|
|
|
|
|
|
|
| GO, Sub-Series 2, VRDN, (JPMorgan Chase Bank NA SBPA), 4.05%, 10/01/24(a) |
|
|
|
|
|
|
400 |
|
|
|
400,000 |
|
| GO, Sub-Series 5, VRDN, (Barclays Bank plc SBPA), 4.15%, 10/01/24(a) |
|
|
|
|
|
|
1,900 |
|
|
|
1,900,000 |
|
| Lafayette Central School District, GO, Refunding, 4.50%, 06/20/25 |
|
|
|
|
|
|
1,000 |
|
|
|
1,014,806 |
|
| Metropolitan Transportation Authority, RB, Sub-Series E-1, VRDN, (Barclays Bank plc LOC), 4.15%, 10/01/24(a) |
|
|
|
|
|
|
3,350 |
|
|
|
3,350,000 |
|
| New York City Housing Development Corp., RB, VRDN, (Royal Bank of Canada SBPA), 3.15%, 10/07/24(a) |
|
|
|
|
|
|
2,300 |
|
|
|
2,300,000 |
|
| New York City Municipal Water Finance Authority |
|
|
|
|
|
|
|
|
|
|
|
|
| Refunding RB, Series 2, VRDN, (UBS AG SBPA), 3.90%, 10/01/24(a) |
|
|
|
|
|
|
2,600 |
|
|
|
2,600,000 |
|
| Refunding RB, VRDN, (JPMorgan Chase Bank NA SBPA), 4.05%, 10/01/24(a) |
|
|
|
|
|
|
100 |
|
|
|
100,000 |
|
|
|
|
| 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 (unaudited) (continued) September 30, 2024 |
|
BATS: Series V Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
|
|
|
| New York (continued) |
|
|
|
|
|
|
|
|
|
| New York City Transitional Finance Authority Future Tax Secured Revenue |
|
|
|
|
|
|
|
|
|
|
|
|
| RB, Sub-Series A-4, VRDN, (Barclays Bank plc SBPA), 4.15%, 10/01/24(a) |
|
|
USD |
|
|
|
3,000 |
|
|
$ |
3,000,000 |
|
| RB, Sub-Series C, VRDN, (JPMorgan Chase Bank NA SBPA),
4.05%, 10/01/24(a) |
|
|
|
|
|
|
2,000 |
|
|
|
2,000,000 |
|
| New York State HFA, RB, Series A, VRDN, (Fannie Mae LIQ), 3.00%, 10/07/24(a) |
|
|
|
|
|
|
900 |
|
|
|
900,000 |
|
| Palmyra Macedon Central School District, GO, Refunding, BAN, 4.50%, 06/17/25 |
|
|
|
|
|
|
1,000 |
|
|
|
1,010,376 |
|
| Schodack Central School District, GO, Refunding, BAN, 4.00%, 07/15/25 |
|
|
|
|
|
|
1,000 |
|
|
|
1,009,690 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,584,872 |
|
|
|
|
|
| North Carolina — 2.8% |
|
|
|
|
|
|
|
|
|
| Charlotte-Mecklenburg Hospital Authority (The), Refunding RB, Series E, VRDN, (Royal Bank of Canada LOC), 3.85%, 10/01/24(a) |
|
|
|
|
|
|
2,000 |
|
|
|
2,000,000 |
|
| University of North Carolina at Chapel Hill, Refunding RB, Series B, VRDN, (TD Bank NA SBPA), 3.13%, 10/07/24(a) |
|
|
|
|
|
|
1,550 |
|
|
|
1,550,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,550,000 |
|
|
|
|
|
| North Dakota — 1.1% |
|
|
|
|
|
|
|
|
|
| North Dakota Housing Finance Agency, RB, Series E, VRDN, (TD Bank NA SBPA), 3.15%, 10/07/24(a) |
|
|
|
|
|
|
1,360 |
|
|
|
1,360,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ohio — 5.9% |
|
|
|
|
|
|
|
|
|
| Akron Bath Copley Joint Township Hospital District, RB, Series A-R, VRDN, (BMO Harris Bank NA LOC), 3.23%, 10/07/24(a) |
|
|
|
|
|
|
3,300 |
|
|
|
3,300,000 |
|
| Ohio Water Development Authority, RB, TECP, (TD Bank NA SBPA),
3.18%, 12/11/24 |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,084 |
|
| Ohio Water Development Authority Water Pollution Control Loan Fund, RB, Series C, VRDN, (TD Bank NA SBPA), 3.80%, 10/01/24(a) |
|
|
|
|
|
|
3,300 |
|
|
|
3,300,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,600,084 |
|
|
|
|
|
| Pennsylvania — 0.9% |
|
|
|
|
|
|
|
|
|
| Allegheny County Sanitary Authority, Refunding RB, 12/01/24(b) |
|
|
|
|
|
|
415 |
|
|
|
416,039 |
|
| Washington County Authority, Refunding RB, Series RF, VRDN, 3.00%, 10/07/24(a) |
|
|
|
|
|
|
750 |
|
|
|
750,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,166,039 |
|
|
|
|
|
| South Carolina — 2.7% |
|
|
|
|
|
|
|
|
|
| South Carolina Housing Finance & Development Authority, RB, VRDN, (Federal Home Loan Bank LOC),
3.29%, 10/07/24(a) |
|
|
|
|
|
|
1,405 |
|
|
|
1,405,000 |
|
| South Carolina Jobs EDA, RB, VRDN, (Federal Home Loan Bank LOC),
3.39%, 10/07/24(a) |
|
|
|
|
|
|
2,100 |
|
|
|
2,100,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,505,000 |
|
|
|
|
|
| South Dakota — 0.8% |
|
|
|
|
|
|
|
|
|
| South Dakota HDA, Refunding RB, Series B, VRDN, (South Dakota HDA SBPA), 3.10%, 10/07/24(a) |
|
|
|
|
|
|
1,025 |
|
|
|
1,025,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Tennessee — 1.7% |
|
|
|
|
|
|
|
|
|
| Metropolitan Government Nashville & Davidson County GO, 3.55%, 10/24/24 |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,032 |
|
| RB, TECP, (TD Bank NA LOC), 3.36%, 11/18/24 |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,118 |
|
| Public Building Authority of Sevier County (The), RB, Series B-1, VRDN, (County GTD), (Bank of America NA LOC), 3.17%, 10/07/24(a) |
|
|
|
|
|
|
200 |
|
|
|
200,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,200,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
|
|
|
|
| Texas — 15.5% |
|
|
|
|
|
|
|
|
|
| Bexar County Housing Finance Corp., RB, VRDN, (Fannie Mae LIQ),
3.15%, 10/07/24(a) |
|
|
USD |
|
|
|
1,205 |
|
|
$ |
1,205,000 |
|
| City of El Paso, Water & Sewer Revenue |
|
|
|
|
|
|
|
|
|
|
|
|
| RB, TECP, 3.55%, 12/09/24 |
|
|
|
|
|
|
900 |
|
|
|
900,161 |
|
| RB, TECP, 3.50%, 12/16/24 |
|
|
|
|
|
|
900 |
|
|
|
900,181 |
|
| Harris County Health Facilities Development Corp., Refunding RB, Series A-1, VRDN, 4.05%, 10/01/24(a) |
|
|
|
|
|
|
1,900 |
|
|
|
1,900,000 |
|
| Permanent University Fund |
|
|
|
|
|
|
|
|
|
|
|
|
| RB, TECP, 0.00%, 01/14/25 |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,000 |
|
| RB, TECP, 3.10%, 02/13/25 |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,178 |
|
| Red River Education Finance Corp., RB, VRDN, (TD Bank NA SBPA),
3.20%, 10/07/24(a) |
|
|
|
|
|
|
4,800 |
|
|
|
4,800,000 |
|
| State of Texas |
|
|
|
|
|
|
|
|
|
|
|
|
| GO, Series B, VRDN, (Federal Home Loan Bank SBPA), 3.15%, 10/07/24(a) |
|
|
|
|
|
|
2,245 |
|
|
|
2,245,000 |
|
| GO, VRDN, (Federal Home Loan Bank SBPA), 3.15%, 10/07/24(a) |
|
|
|
|
|
|
2,315 |
|
|
|
2,315,000 |
|
| Texas State University System, Refunding RB, 5.00%, 03/15/25 |
|
|
|
|
|
|
750 |
|
|
|
757,375 |
|
| University of Texas |
|
|
|
|
|
|
|
|
|
|
|
|
| RB, TECP, 3.15%, 01/04/25 |
|
|
|
|
|
|
2,500 |
|
|
|
2,500,701 |
|
| RB, TECP, Series A, 3.48%, 10/18/24 |
|
|
|
|
|
|
500 |
|
|
|
500,097 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,023,693 |
|
|
|
|
|
| Utah — 1.5% |
|
|
|
|
|
|
|
|
|
| County of Utah, RB, Series E, VRDN, (JPMorgan Chase Bank NA SBPA),
3.20%, 10/07/24(a) |
|
|
|
|
|
|
2,000 |
|
|
|
2,000,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Virginia — 1.7% |
|
|
|
|
|
|
|
|
|
| Fairfax County IDA, Refunding RB, VRDN, 3.20%, 10/07/24(a) |
|
|
|
|
|
|
940 |
|
|
|
940,000 |
|
| Loudoun County EDA, RB, Series B, VRDN, 2.90%, 10/07/24(a) |
|
|
|
|
|
|
1,295 |
|
|
|
1,295,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,235,000 |
|
|
|
|
|
| Washington — 2.9% |
|
|
|
|
|
|
|
|
|
| Washington Housing Finance Commission, Refunding RB, Series VR, VRDN, (Royal Bank of Canada SBPA), 3.15%, 10/07/24(a) |
|
|
|
|
|
|
3,700 |
|
|
|
3,700,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Wisconsin — 4.5% |
|
|
|
|
|
|
|
|
|
| State of Wisconsin, GO, Refunding, Series 2, 5.00%, 05/01/25 |
|
|
|
|
|
|
1,455 |
|
|
|
1,475,679 |
|
| Wisconsin Health & Educational Facilities Authority, Refunding RB, Series B, VRDN, (TD Bank NA LOC), 3.80%, 10/01/24(a) |
|
|
|
|
|
|
1,000 |
|
|
|
1,000,000 |
|
| Wisconsin Housing & EDA |
|
|
|
|
|
|
|
|
|
|
|
|
| RB, Series C, VRDN, (Federal Home Loan Bank SBPA), 3.15%, 10/07/24(a) |
|
|
|
|
|
|
1,500 |
|
|
|
1,500,000 |
|
| RB, Series C, VRDN, (FNMA COL), (Royal Bank of Canada SBPA),
3.15%, 10/07/24(a) |
|
|
|
|
|
|
1,390 |
|
|
|
1,390,000 |
|
| RB, Series D, VRDN, (FNMA COL), (Royal Bank of Canada SBPA),
3.15%, 10/07/24(a) |
|
|
|
|
|
|
450 |
|
|
|
450,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,815,679 |
|
|
|
|
| 86 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
|
|
|
| Schedule of Investments (unaudited) (continued) September 30, 2024 |
|
BATS: Series V Portfolio (Percentages shown are based on Net Assets) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Security |
|
|
|
|
Par (000) |
|
|
Value |
|
| |
|
|
|
|
|
| Wyoming — 1.5% |
|
|
|
|
|
|
|
|
|
| Wyoming Community Development Authority |
|
|
|
|
|
|
|
|
|
|
|
|
| RB, Series 4, VRDN, (Bank of America NA SBPA), 3.15%, 10/07/24(a) |
|
|
USD |
|
|
|
1,800 |
|
|
$ |
1,800,000 |
|
| Refunding RB, Series 2, VRDN, (GNMA/FNMA/FHLMC COL), (Barclays Bank plc SBPA), 3.05%, 10/07/24(a) |
|
|
|
|
|
|
100 |
|
|
|
100,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,900,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Investments — 100.9%
(Cost: $129,834,062) |
|
|
|
|
|
|
|
|
|
|
129,913,919 |
|
| Liabilities in Excess of Other
Assets — (0.9)% |
|
|
|
|
|
|
|
|
|
|
(1,106,527 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net Assets — 100.0% |
|
|
|
|
|
|
|
|
|
$ |
128,807,392 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
| (b) |
When-issued security. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments at the measurement date. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| |
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
|
Total |
|
| |
|
|
|
|
|
|
| Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Short-Term Securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Municipal Bonds |
|
$ |
— |
|
|
$ |
129,913,919 |
|
|
$ |
— |
|
|
$ |
129,913,919 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
87 |
Statements of Assets and Liabilities (unaudited)
September 30, 2024
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BATS: Series A Portfolio |
|
|
BATS: Series C Portfolio |
|
|
BATS: Series E Portfolio |
|
|
|
|
|
| ASSETS |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments, at value — unaffiliated(a) |
|
$ |
2,931,182,026 |
|
|
$ |
455,886,437 |
|
|
$ |
498,540,304 |
|
| Cash |
|
|
— |
|
|
|
— |
|
|
|
16,171 |
|
| Cash pledged: |
|
|
|
|
|
|
|
|
|
|
|
|
| Collateral — OTC derivatives |
|
|
490,000 |
|
|
|
— |
|
|
|
— |
|
| Futures contracts |
|
|
— |
|
|
|
650,000 |
|
|
|
— |
|
| Centrally cleared swaps |
|
|
— |
|
|
|
497,000 |
|
|
|
— |
|
| Foreign currency, at value(c) |
|
|
1,386 |
|
|
|
— |
|
|
|
— |
|
| Receivables: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments sold |
|
|
— |
|
|
|
7,375,774 |
|
|
|
— |
|
| Swaps |
|
|
— |
|
|
|
277,625 |
|
|
|
— |
|
| TBA sale commitments |
|
|
23,153,504 |
|
|
|
— |
|
|
|
— |
|
| Capital shares sold |
|
|
110,001,746 |
|
|
|
1,627,592 |
|
|
|
1,698,870 |
|
| Dividends — unaffiliated |
|
|
274,420 |
|
|
|
61,158 |
|
|
|
— |
|
| Interest — unaffiliated |
|
|
18,422,024 |
|
|
|
4,867,927 |
|
|
|
6,125,781 |
|
| From the Manager |
|
|
49,200 |
|
|
|
39,443 |
|
|
|
36,791 |
|
| Variation margin on futures contracts |
|
|
— |
|
|
|
159,310 |
|
|
|
— |
|
| Variation margin on centrally cleared swaps |
|
|
— |
|
|
|
38,915 |
|
|
|
— |
|
| Swap premiums paid |
|
|
9,297 |
|
|
|
572,847 |
|
|
|
— |
|
| Unrealized appreciation on: |
|
|
|
|
|
|
|
|
|
|
|
|
| OTC swaps |
|
|
25,518 |
|
|
|
51,766 |
|
|
|
— |
|
| Unfunded commitments |
|
|
— |
|
|
|
— |
|
|
|
1,375,579 |
|
| Prepaid expenses |
|
|
37,015 |
|
|
|
30,919 |
|
|
|
128,330 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total assets |
|
|
3,083,646,136 |
|
|
|
472,136,713 |
|
|
|
507,921,826 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| LIABILITIES |
|
|
|
|
|
|
|
|
|
|
|
|
| Cash received: |
|
|
|
|
|
|
|
|
|
|
|
|
| Collateral — OTC derivatives |
|
|
— |
|
|
|
460,000 |
|
|
|
— |
|
| Options written, at value(d) |
|
|
— |
|
|
|
1,492,050 |
|
|
|
— |
|
| TBA sale commitments, at value(e) |
|
|
22,892,417 |
|
|
|
— |
|
|
|
— |
|
| Payables: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments purchased |
|
|
125,868,660 |
|
|
|
10,760,131 |
|
|
|
6,678,693 |
|
| Accounting services fees |
|
|
43,771 |
|
|
|
14,747 |
|
|
|
14,991 |
|
| Capital shares redeemed |
|
|
32,894 |
|
|
|
129,905 |
|
|
|
793,632 |
|
| Income dividend distributions |
|
|
14,653,607 |
|
|
|
1,830,551 |
|
|
|
1,704,406 |
|
| Interest expense and fees |
|
|
— |
|
|
|
— |
|
|
|
84,145 |
|
| Trustees’ and Officer’s fees |
|
|
3,423 |
|
|
|
1,091 |
|
|
|
297 |
|
| Other accrued expenses |
|
|
47,917 |
|
|
|
52,684 |
|
|
|
38,682 |
|
| Printing and postage fees |
|
|
12,874 |
|
|
|
9,032 |
|
|
|
8,525 |
|
| Professional fees |
|
|
34,683 |
|
|
|
35,851 |
|
|
|
62,719 |
|
| Registration fees |
|
|
— |
|
|
|
97,244 |
|
|
|
— |
|
| Variation margin on futures contracts |
|
|
— |
|
|
|
142,426 |
|
|
|
— |
|
| Swap premiums received |
|
|
144,481 |
|
|
|
255,086 |
|
|
|
— |
|
| Unrealized depreciation on: |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward foreign currency exchange contracts |
|
|
4,095 |
|
|
|
— |
|
|
|
— |
|
| OTC swaps |
|
|
149,164 |
|
|
|
15,578 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total accrued liabilities |
|
|
163,887,986 |
|
|
|
15,296,376 |
|
|
|
9,386,090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Other Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| TOB Trust Certificates |
|
|
— |
|
|
|
— |
|
|
|
6,647,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total other liabilities |
|
|
— |
|
|
|
— |
|
|
|
6,647,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total liabilities |
|
|
163,887,986 |
|
|
|
15,296,376 |
|
|
|
16,033,090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commitments and contingent liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS |
|
$ |
2,919,758,150 |
|
|
$ |
456,840,337 |
|
|
$ |
491,888,736 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 88 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
Statements of Assets and Liabilities (unaudited) (continued)
September 30, 2024
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BATS: Series A Portfolio |
|
|
BATS: Series C Portfolio |
|
|
BATS: Series E Portfolio |
|
|
|
|
|
| NET ASSETS CONSIST OF: |
|
|
|
|
|
|
|
|
|
|
|
|
| Paid-in capital |
|
$ |
3,065,541,363 |
|
|
$ |
510,794,448 |
|
|
$ |
507,101,575 |
|
| Accumulated loss |
|
|
(145,783,213 |
) |
|
|
(53,954,111 |
) |
|
|
(15,212,839 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS |
|
$ |
2,919,758,150 |
|
|
$ |
456,840,337 |
|
|
$ |
491,888,736 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSET VALUE |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding |
|
|
306,173,044 |
|
|
|
49,061,704 |
|
|
|
47,012,769 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net asset value |
|
$ |
9.54 |
|
|
$ |
9.31 |
|
|
$ |
10.46 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares authorized |
|
|
Unlimited |
|
|
|
Unlimited |
|
|
|
Unlimited |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Par value |
|
$ |
0.001 |
|
|
$ |
0.001 |
|
|
$ |
0.001 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) Investments, at cost — unaffiliated |
|
$ |
3,013,509,140 |
|
|
$ |
449,833,454 |
|
|
$ |
499,997,419 |
|
| (c) Foreign currency, at cost |
|
$ |
1,385 |
|
|
$ |
— |
|
|
$ |
— |
|
| (d) Premiums received |
|
$ |
— |
|
|
$ |
1,487,417 |
|
|
$ |
— |
|
| (e) Proceeds from TBA sale commitments |
|
$ |
23,153,504 |
|
|
$ |
— |
|
|
$ |
— |
|
See notes to financial statements.
|
|
|
| S T A T E M E N T S O F A S S E T S A N D L I A B I L I T I E S |
|
89 |
Statements of Assets and Liabilities (unaudited) (continued)
September 30, 2024
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BATS: Series M Portfolio |
|
|
BATS: Series P Portfolio |
|
|
BATS: Series S Portfolio |
|
|
|
|
|
| ASSETS |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments, at value — unaffiliated(a) |
|
$ |
1,669,205,842 |
|
|
$ |
— |
|
|
$ |
394,230,222 |
|
| Investments, at value — affiliated(b) |
|
|
— |
|
|
|
1,195,113 |
|
|
|
— |
|
| Cash |
|
|
— |
|
|
|
2,870,492 |
|
|
|
— |
|
| Cash pledged: |
|
|
|
|
|
|
|
|
|
|
|
|
| Collateral — OTC derivatives |
|
|
760,000 |
|
|
|
— |
|
|
|
— |
|
| Futures contracts |
|
|
335,000 |
|
|
|
102,190 |
|
|
|
1,062,000 |
|
| Centrally cleared swaps |
|
|
1,000 |
|
|
|
— |
|
|
|
391,000 |
|
| Foreign currency, at value(c) |
|
|
— |
|
|
|
— |
|
|
|
221,337 |
|
| Receivables: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments sold |
|
|
816,286 |
|
|
|
— |
|
|
|
3,959,236 |
|
| TBA sale commitments |
|
|
349,902,401 |
|
|
|
— |
|
|
|
— |
|
| Capital shares sold |
|
|
1,885,672 |
|
|
|
— |
|
|
|
587,391 |
|
| Dividends — unaffiliated |
|
|
38,580 |
|
|
|
— |
|
|
|
38,552 |
|
| Dividends — affiliated |
|
|
— |
|
|
|
5,063 |
|
|
|
— |
|
| Interest — unaffiliated |
|
|
4,644,726 |
|
|
|
— |
|
|
|
2,249,970 |
|
| From the Manager |
|
|
47,935 |
|
|
|
12,225 |
|
|
|
34,676 |
|
| Variation margin on futures contracts |
|
|
124,444 |
|
|
|
21,903 |
|
|
|
293,205 |
|
| Variation margin on centrally cleared swaps |
|
|
— |
|
|
|
95 |
|
|
|
— |
|
| Swap premiums paid |
|
|
354,506 |
|
|
|
— |
|
|
|
— |
|
| Unrealized appreciation on OTC swaps |
|
|
1,051,805 |
|
|
|
— |
|
|
|
— |
|
| Prepaid expenses |
|
|
39,026 |
|
|
|
7,152 |
|
|
|
27,602 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total assets |
|
|
2,029,207,223 |
|
|
|
4,214,233 |
|
|
|
403,095,191 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| LIABILITIES |
|
|
|
|
|
|
|
|
|
|
|
|
| Cash received: |
|
|
|
|
|
|
|
|
|
|
|
|
| Collateral — OTC derivatives |
|
|
820,000 |
|
|
|
— |
|
|
|
— |
|
| Collateral — TBA commitments |
|
|
56,000 |
|
|
|
— |
|
|
|
— |
|
| TBA sale commitments, at value(e) |
|
|
348,945,138 |
|
|
|
— |
|
|
|
— |
|
| Payables: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments purchased |
|
|
439,056,586 |
|
|
|
— |
|
|
|
9,520,986 |
|
| Accounting services fees |
|
|
24,260 |
|
|
|
8,553 |
|
|
|
14,105 |
|
| Capital shares redeemed |
|
|
423,196 |
|
|
|
— |
|
|
|
358,500 |
|
| Income dividend distributions |
|
|
4,056,900 |
|
|
|
— |
|
|
|
1,473,137 |
|
| Trustees’ and Officer’s fees |
|
|
3,375 |
|
|
|
150 |
|
|
|
1,359 |
|
| Other accrued expenses |
|
|
70,421 |
|
|
|
6,952 |
|
|
|
50,762 |
|
| Printing and postage fees |
|
|
9,105 |
|
|
|
8,477 |
|
|
|
8,987 |
|
| Professional fees |
|
|
33,417 |
|
|
|
27,160 |
|
|
|
35,919 |
|
| Registration fees |
|
|
251,201 |
|
|
|
5,440 |
|
|
|
186,767 |
|
| Variation margin on futures contracts |
|
|
83,524 |
|
|
|
1,469 |
|
|
|
254,850 |
|
| Variation margin on centrally cleared swaps |
|
|
9 |
|
|
|
— |
|
|
|
6,848 |
|
| Swap premiums received |
|
|
527,623 |
|
|
|
— |
|
|
|
— |
|
| Unrealized depreciation on: |
|
|
|
|
|
|
|
|
|
|
|
|
| Forward foreign currency exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
1,621 |
|
| OTC swaps |
|
|
878,688 |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total liabilities |
|
|
795,239,443 |
|
|
|
58,201 |
|
|
|
11,913,841 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Commitments and contingent liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS |
|
$ |
1,233,967,780 |
|
|
$ |
4,156,032 |
|
|
$ |
391,181,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS CONSIST OF: |
|
|
|
|
|
|
|
|
|
|
|
|
| Paid-in capital |
|
$ |
1,383,027,199 |
|
|
$ |
29,600,559 |
|
|
$ |
413,136,372 |
|
| Accumulated loss |
|
|
(149,059,419 |
) |
|
|
(25,444,527 |
) |
|
|
(21,955,022 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS |
|
$ |
1,233,967,780 |
|
|
$ |
4,156,032 |
|
|
$ |
391,181,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 90 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
Statements of Assets and Liabilities (unaudited) (continued)
September 30, 2024
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BATS: Series M Portfolio |
|
|
BATS: Series P Portfolio |
|
|
BATS: Series S Portfolio |
|
|
|
|
|
| NET ASSET VALUE |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding |
|
|
143,499,121 |
|
|
|
399,425 |
|
|
|
42,179,802 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net asset value |
|
$ |
8.60 |
|
|
$ |
10.41 |
|
|
$ |
9.27 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares authorized |
|
|
Unlimited |
|
|
|
Unlimited |
|
|
|
Unlimited |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Par value |
|
$ |
0.001 |
|
|
$ |
0.001 |
|
|
$ |
0.001 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) Investments, at cost — unaffiliated |
|
$ |
1,717,006,131 |
|
|
$ |
— |
|
|
$ |
391,628,723 |
|
|
|
|
|
| (b) Investments, at cost — affiliated |
|
$ |
— |
|
|
$ |
1,190,819 |
|
|
$ |
— |
|
|
|
|
|
| (c) Foreign currency, at cost |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
221,018 |
|
|
|
|
|
| (e) Proceeds from TBA sale commitments |
|
$ |
349,902,401 |
|
|
$ |
— |
|
|
$ |
— |
|
See notes to financial statements.
|
|
|
| S T A T E M E N T S O F A S S E T S A N D L I A B I L I T I E S |
|
91 |
Statements of Assets and Liabilities (unaudited) (continued)
September 30, 2024
|
|
|
|
|
| |
|
BATS: Series V Portfolio |
|
|
|
| ASSETS |
|
|
|
|
| Investments, at value — unaffiliated(a) |
|
$ |
129,913,919 |
|
| Cash |
|
|
68,533 |
|
| Receivables: |
|
|
|
|
| Capital shares sold |
|
|
465,660 |
|
| Interest — unaffiliated |
|
|
567,668 |
|
| From the Manager |
|
|
17,836 |
|
| Prepaid expenses |
|
|
23,466 |
|
|
|
|
|
|
|
|
| Total assets |
|
|
131,057,082 |
|
|
|
|
|
|
|
|
| LIABILITIES |
|
|
|
|
| Payables: |
|
|
|
|
| Investments purchased |
|
|
1,425,634 |
|
| Accounting services fees |
|
|
10,919 |
|
| Capital shares redeemed |
|
|
402,180 |
|
| Income dividend distributions |
|
|
359,707 |
|
| Other accrued expenses |
|
|
8,175 |
|
| Printing and postage fees |
|
|
7,425 |
|
| Professional fees |
|
|
35,650 |
|
|
|
|
|
|
|
|
| Total liabilities |
|
|
2,249,690 |
|
|
|
|
|
|
|
|
| Commitments and contingent liabilities |
|
|
|
|
|
|
| NET ASSETS |
|
$ |
128,807,392 |
|
|
|
|
|
|
|
|
| NET ASSETS CONSIST OF: |
|
|
|
|
| Paid-in capital |
|
$ |
128,726,570 |
|
| Accumulated earnings |
|
|
80,822 |
|
|
|
|
|
|
|
|
| NET ASSETS |
|
$ |
128,807,392 |
|
|
|
|
|
|
|
|
| NET ASSET VALUE |
|
|
|
|
| Shares outstanding |
|
|
12,885,435 |
|
|
|
|
|
|
|
|
| Net asset value |
|
$ |
10.00 |
|
|
|
|
|
|
|
|
| Shares authorized |
|
|
Unlimited |
|
|
|
|
|
|
|
|
| Par value |
|
$ |
0.001 |
|
|
|
|
|
|
|
|
| (a) Investments, at cost — unaffiliated |
|
$ |
129,834,062 |
|
See notes to financial statements.
|
|
|
| 92 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
Statements of Operations (unaudited)
Six Months Ended September 30, 2024
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BATS: Series A Portfolio |
|
|
BATS: Series C Portfolio |
|
|
BATS: Series E Portfolio |
|
|
|
|
|
| INVESTMENT INCOME |
|
|
|
|
|
|
|
|
|
|
|
|
| Dividends — unaffiliated |
|
$ |
2,082,711 |
|
|
$ |
267,194 |
|
|
$ |
593,474 |
|
| Interest — unaffiliated |
|
|
87,432,533 |
|
|
|
11,018,472 |
|
|
|
10,039,458 |
|
| Other income |
|
|
95,732 |
|
|
|
18,058 |
|
|
|
7,610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total investment income |
|
|
89,610,976 |
|
|
|
11,303,724 |
|
|
|
10,640,542 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| EXPENSES |
|
|
|
|
|
|
|
|
|
|
|
|
| Accounting services |
|
|
84,776 |
|
|
|
29,097 |
|
|
|
29,372 |
|
| Professional |
|
|
50,379 |
|
|
|
34,464 |
|
|
|
96,780 |
|
| Pricing |
|
|
34,387 |
|
|
|
37,369 |
|
|
|
30,765 |
|
| Custodian |
|
|
24,050 |
|
|
|
15,092 |
|
|
|
2,518 |
|
| Trustees and Officer |
|
|
22,070 |
|
|
|
4,681 |
|
|
|
4,253 |
|
| Registration |
|
|
18,411 |
|
|
|
18,989 |
|
|
|
23,819 |
|
| Transfer agent |
|
|
15,551 |
|
|
|
77,048 |
|
|
|
15,329 |
|
| Printing and postage |
|
|
6,312 |
|
|
|
5,215 |
|
|
|
4,476 |
|
| Miscellaneous |
|
|
38,182 |
|
|
|
8,022 |
|
|
|
15,502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses excluding interest expense and interest expense |
|
|
294,118 |
|
|
|
229,977 |
|
|
|
222,814 |
|
| Interest expense |
|
|
62,591 |
|
|
|
651 |
|
|
|
1 |
|
| Interest expense and fees(a) |
|
|
— |
|
|
|
— |
|
|
|
137,951 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses |
|
|
356,709 |
|
|
|
230,628 |
|
|
|
360,766 |
|
| Less: |
|
|
|
|
|
|
|
|
|
|
|
|
| Fees waived and/or reimbursed by the Manager |
|
|
(289,483 |
) |
|
|
(227,843 |
) |
|
|
(222,756 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses after fees waived and/or reimbursed |
|
|
67,226 |
|
|
|
2,785 |
|
|
|
138,010 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
89,543,750 |
|
|
|
11,300,939 |
|
|
|
10,502,532 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| REALIZED AND UNREALIZED GAIN (LOSS) |
|
|
|
|
|
|
|
|
|
|
|
|
| Net realized gain (loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments — unaffiliated |
|
|
(2,296,003 |
) |
|
|
(3,055,295 |
) |
|
|
(1,308,019 |
) |
| Options written |
|
|
— |
|
|
|
535,486 |
|
|
|
— |
|
| Futures contracts |
|
|
— |
|
|
|
(1,622,073 |
) |
|
|
— |
|
| Forward foreign currency exchange contracts |
|
|
(171,327 |
) |
|
|
— |
|
|
|
— |
|
| Foreign currency transactions |
|
|
21,646 |
|
|
|
— |
|
|
|
— |
|
| Swaps |
|
|
(125,636 |
) |
|
|
(663,952 |
) |
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(2,571,320 |
) |
|
$ |
(4,805,834 |
) |
|
$ |
(1,308,019 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments — unaffiliated |
|
|
41,785,203 |
|
|
|
16,923,523 |
|
|
|
16,412,962 |
|
| Options written |
|
|
— |
|
|
|
(4,633 |
) |
|
|
— |
|
| Futures contracts |
|
|
— |
|
|
|
90,340 |
|
|
|
— |
|
| Forward foreign currency exchange contracts |
|
|
(137,800 |
) |
|
|
— |
|
|
|
— |
|
| Foreign currency translations |
|
|
1 |
|
|
|
— |
|
|
|
— |
|
| Swaps |
|
|
139,614 |
|
|
|
220,560 |
|
|
|
— |
|
| Unfunded commitments |
|
|
— |
|
|
|
— |
|
|
|
(2,069,652 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
41,787,018 |
|
|
|
17,229,790 |
|
|
|
14,343,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net realized and unrealized gain |
|
|
39,215,698 |
|
|
|
12,423,956 |
|
|
|
13,035,291 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
|
$ |
128,759,448 |
|
|
$ |
23,724,895 |
|
|
$ |
23,537,823 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Related to TOB Trusts. |
See notes to financial statements.
|
|
|
| S T A T E M E N T S O F O P E R A T I O N S |
|
93 |
Statements of Operations (unaudited) (continued)
Six Months Ended September 30, 2024
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BATS: Series M Portfolio |
|
|
BATS: Series P Portfolio |
|
|
BATS: Series S Portfolio |
|
|
|
|
|
| INVESTMENT INCOME |
|
|
|
|
|
|
|
|
|
|
|
|
| Dividends — unaffiliated |
|
$ |
225,314 |
|
|
$ |
— |
|
|
$ |
158,949 |
|
| Dividends — affiliated |
|
|
— |
|
|
|
31,395 |
|
|
|
— |
|
| Interest — unaffiliated |
|
|
25,512,350 |
|
|
|
— |
|
|
|
8,950,813 |
|
| Other income |
|
|
39,570 |
|
|
|
101,412 |
|
|
|
39,237 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total investment income |
|
|
25,777,234 |
|
|
|
132,807 |
|
|
|
9,148,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| EXPENSES |
|
|
|
|
|
|
|
|
|
|
|
|
| Transfer agent |
|
|
87,468 |
|
|
|
9,827 |
|
|
|
86,404 |
|
| Accounting services |
|
|
47,548 |
|
|
|
16,974 |
|
|
|
28,103 |
|
| Professional |
|
|
36,342 |
|
|
|
28,115 |
|
|
|
36,923 |
|
| Pricing |
|
|
35,595 |
|
|
|
13 |
|
|
|
26,229 |
|
| Custodian |
|
|
33,083 |
|
|
|
673 |
|
|
|
13,388 |
|
| Registration |
|
|
25,497 |
|
|
|
11,047 |
|
|
|
16,452 |
|
| Trustees and Officer |
|
|
11,812 |
|
|
|
794 |
|
|
|
4,520 |
|
| Printing and postage |
|
|
5,487 |
|
|
|
4,662 |
|
|
|
5,191 |
|
| Miscellaneous |
|
|
18,195 |
|
|
|
1,131 |
|
|
|
10,197 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses excluding interest expense |
|
|
301,027 |
|
|
|
73,236 |
|
|
|
227,407 |
|
| Interest expense |
|
|
1,050 |
|
|
|
— |
|
|
|
610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses |
|
|
302,077 |
|
|
|
73,236 |
|
|
|
228,017 |
|
| Less: |
|
|
|
|
|
|
|
|
|
|
|
|
| Fees waived and/or reimbursed by the Manager |
|
|
(298,892 |
) |
|
|
(73,066 |
) |
|
|
(224,897 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses after fees waived and/or reimbursed |
|
|
3,185 |
|
|
|
170 |
|
|
|
3,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
25,774,049 |
|
|
|
132,637 |
|
|
|
9,145,879 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| REALIZED AND UNREALIZED GAIN (LOSS) |
|
|
|
|
|
|
|
|
|
|
|
|
| Net realized gain (loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments — unaffiliated |
|
|
3,295,210 |
|
|
|
— |
|
|
|
167,527 |
|
| Investments — affiliated |
|
|
— |
|
|
|
(3,100 |
) |
|
|
— |
|
| Futures contracts |
|
|
(1,091,421 |
) |
|
|
(271,863 |
) |
|
|
(1,124,191 |
) |
| Forward foreign currency exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
(48,288 |
) |
| Foreign currency transactions |
|
|
— |
|
|
|
— |
|
|
|
16,850 |
|
| Swaps |
|
|
2,614 |
|
|
|
123 |
|
|
|
21,683 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,206,403 |
|
|
$ |
(274,840 |
) |
|
$ |
(966,419 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments — unaffiliated |
|
|
40,665,322 |
|
|
|
— |
|
|
|
7,956,866 |
|
| Investments — affiliated |
|
|
— |
|
|
|
29,653 |
|
|
|
— |
|
| Futures contracts |
|
|
82,466 |
|
|
|
26,733 |
|
|
|
613,324 |
|
| Forward foreign currency exchange contracts |
|
|
— |
|
|
|
— |
|
|
|
(45,412 |
) |
| Foreign currency translations |
|
|
— |
|
|
|
10 |
|
|
|
2,660 |
|
| Swaps |
|
|
(2,695 |
) |
|
|
(1,298 |
) |
|
|
24,025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40,745,093 |
|
|
|
55,098 |
|
|
|
8,551,463 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net realized and unrealized gain (loss) |
|
|
42,951,496 |
|
|
|
(219,742 |
) |
|
|
7,585,044 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
$ |
68,725,545 |
|
|
$ |
(87,105 |
) |
|
$ |
16,730,923 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
|
|
|
| 94 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
Statements of Operations (unaudited) (continued)
Six Months Ended September 30, 2024
|
|
|
|
|
| |
|
BATS: Series V Portfolio |
|
|
|
| INVESTMENT INCOME |
|
|
|
|
| Interest — unaffiliated |
|
$ |
2,436,243 |
|
| Other income |
|
|
3,212 |
|
|
|
|
|
|
|
|
| Total investment income |
|
|
2,439,455 |
|
|
|
|
|
|
|
|
| EXPENSES |
|
|
|
|
| Professional |
|
|
41,457 |
|
| Registration |
|
|
25,506 |
|
| Accounting services |
|
|
21,897 |
|
| Transfer agent |
|
|
12,026 |
|
| Printing and postage |
|
|
5,111 |
|
| Pricing |
|
|
4,051 |
|
| Custodian |
|
|
1,890 |
|
| Trustees and Officer |
|
|
1,890 |
|
| Miscellaneous |
|
|
2,929 |
|
|
|
|
|
|
|
|
| Total expenses excluding interest expense |
|
|
116,757 |
|
| Interest expense |
|
|
3,858 |
|
|
|
|
|
|
|
|
| Total expenses |
|
|
120,615 |
|
| Less: |
|
|
|
|
| Fees waived and/or reimbursed by the Manager |
|
|
(116,699 |
) |
|
|
|
|
|
|
|
| Total expenses after fees waived and/or reimbursed |
|
|
3,916 |
|
|
|
|
|
|
|
|
| Net investment income |
|
|
2,435,539 |
|
|
|
|
|
|
|
|
| REALIZED AND UNREALIZED GAIN (LOSS) |
|
|
|
|
| Net realized gain (loss) from investments |
|
|
— |
|
| Net change in unrealized appreciation (depreciation) on investments |
|
|
79,366 |
|
|
|
|
|
|
|
|
| Net realized and unrealized gain |
|
|
79,366 |
|
|
|
|
|
|
|
|
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
|
$ |
2,514,905 |
|
|
|
|
|
|
See notes to financial statements.
|
|
|
| F I N A N C I A L S T A T E M E N T S |
|
95 |
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BATS: Series A Portfolio |
|
|
BATS: Series C Portfolio |
|
|
|
|
|
|
| |
|
Six Months Ended 09/30/24 (unaudited) |
|
|
Year Ended 03/31/24 |
|
|
Six Months Ended 09/30/24 (unaudited) |
|
|
Year Ended 03/31/24 |
|
|
|
|
|
|
| INCREASE (DECREASE) IN NET ASSETS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
$ |
89,543,750 |
|
|
$ |
140,157,224 |
|
|
$ |
11,300,939 |
|
|
$ |
18,472,055 |
|
| Net realized loss |
|
|
(2,571,320 |
) |
|
|
(21,319,143 |
) |
|
|
(4,805,834 |
) |
|
|
(21,627,833 |
) |
| Net change in unrealized appreciation (depreciation) |
|
|
41,787,018 |
|
|
|
69,378,015 |
|
|
|
17,229,790 |
|
|
|
22,752,532 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase in net assets resulting from operations |
|
|
128,759,448 |
|
|
|
188,216,096 |
|
|
|
23,724,895 |
|
|
|
19,596,754 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Decrease in net assets resulting from distributions to shareholders |
|
|
(88,258,737 |
) |
|
|
(139,801,698 |
) |
|
|
(11,347,919 |
) |
|
|
(18,482,170 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CAPITAL SHARE TRANSACTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase in net assets derived from capital share transactions |
|
|
385,217,211 |
|
|
|
22,051,489 |
|
|
|
20,866,321 |
|
|
|
43,563,103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total increase in net assets |
|
|
425,717,922 |
|
|
|
70,465,887 |
|
|
|
33,243,297 |
|
|
|
44,677,687 |
|
| Beginning of period |
|
|
2,494,040,228 |
|
|
|
2,423,574,341 |
|
|
|
423,597,040 |
|
|
|
378,919,353 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| End of period |
|
$ |
2,919,758,150 |
|
|
$ |
2,494,040,228 |
|
|
$ |
456,840,337 |
|
|
$ |
423,597,040 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
|
|
|
| 96 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
Statements of Changes in Net Assets (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BATS: Series E Portfolio |
|
|
BATS: Series M Portfolio |
|
|
|
|
|
|
| |
|
Six Months Ended 09/30/24 (unaudited) |
|
|
Year Ended 03/31/24 |
|
|
Six Months Ended 09/30/24 (unaudited) |
|
|
Year Ended 03/31/24 |
|
|
|
|
|
|
| INCREASE (DECREASE) IN NET ASSETS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
$ |
10,502,532 |
|
|
$ |
16,406,654 |
|
|
$ |
25,774,049 |
|
|
$ |
45,671,591 |
|
| Net realized gain (loss) |
|
|
(1,308,019 |
) |
|
|
(4,294,629 |
) |
|
|
2,206,403 |
|
|
|
(16,480,233 |
) |
| Net change in unrealized appreciation (depreciation) |
|
|
14,343,310 |
|
|
|
7,288,958 |
|
|
|
40,745,093 |
|
|
|
(5,170,741 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase in net assets resulting from operations |
|
|
23,537,823 |
|
|
|
19,400,983 |
|
|
|
68,725,545 |
|
|
|
24,020,617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Decrease in net assets resulting from distributions to shareholders |
|
|
(9,902,101 |
) |
|
|
(16,206,570 |
) |
|
|
(23,473,765 |
) |
|
|
(44,108,637 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CAPITAL SHARE TRANSACTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase in net assets derived from capital share transactions |
|
|
65,774,683 |
|
|
|
66,912,335 |
|
|
|
42,332,531 |
|
|
|
60,573,605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total increase in net assets |
|
|
79,410,405 |
|
|
|
70,106,748 |
|
|
|
87,584,311 |
|
|
|
40,485,585 |
|
| Beginning of period |
|
|
412,478,331 |
|
|
|
342,371,583 |
|
|
|
1,146,383,469 |
|
|
|
1,105,897,884 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| End of period |
|
$ |
491,888,736 |
|
|
$ |
412,478,331 |
|
|
$ |
1,233,967,780 |
|
|
$ |
1,146,383,469 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
|
|
|
| S T A T E M E N T S O F C H A N G E S I N N E T A S S E T S |
|
97 |
Statements of Changes in Net Assets (continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BATS: Series P Portfolio |
|
|
BATS: Series S Portfolio |
|
|
|
|
|
|
| |
|
Six Months Ended 09/30/24 (unaudited) |
|
|
Year Ended 03/31/24 |
|
|
Six Months Ended 09/30/24 (unaudited) |
|
|
Year Ended 03/31/24 |
|
|
|
|
|
|
| INCREASE (DECREASE) IN NET ASSETS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| OPERATIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
$ |
132,637 |
|
|
$ |
506,036 |
|
|
$ |
9,145,879 |
|
|
$ |
16,635,824 |
|
| Net realized gain (loss) |
|
|
(274,840 |
) |
|
|
61,704 |
|
|
|
(966,419 |
) |
|
|
(3,427,889 |
) |
| Net change in unrealized appreciation (depreciation) |
|
|
55,098 |
|
|
|
1,288,543 |
|
|
|
8,551,463 |
|
|
|
6,211,665 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase (decrease) in net assets resulting from operations |
|
|
(87,105 |
) |
|
|
1,856,283 |
|
|
|
16,730,923 |
|
|
|
19,419,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS(a) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Decrease in net assets resulting from distributions to shareholders |
|
|
— |
|
|
|
(640,002 |
) |
|
|
(9,103,523 |
) |
|
|
(17,132,314 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CAPITAL SHARE TRANSACTIONS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net decrease in net assets derived from capital share transactions |
|
|
(1,390,688 |
) |
|
|
(22,168,143 |
) |
|
|
(8,379,179 |
) |
|
|
(11,225,214 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total decrease in net assets |
|
|
(1,477,793 |
) |
|
|
(20,951,862 |
) |
|
|
(751,779 |
) |
|
|
(8,937,928 |
) |
| Beginning of period |
|
|
5,633,825 |
|
|
|
26,585,687 |
|
|
|
391,933,129 |
|
|
|
400,871,057 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| End of period |
|
$ |
4,156,032 |
|
|
$ |
5,633,825 |
|
|
$ |
391,181,350 |
|
|
$ |
391,933,129 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
|
|
|
| 98 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
Statements of Changes in Net Assets (continued)
|
|
|
|
|
|
|
|
|
| |
|
BATS: Series V Portfolio |
|
|
|
|
| |
|
Six Months Ended 09/30/24 (unaudited) |
|
|
Year Ended 03/31/24 |
|
|
|
|
| INCREASE (DECREASE) IN NET ASSETS |
|
|
|
|
|
|
|
|
|
|
|
| OPERATIONS |
|
|
|
|
|
|
|
|
| Net investment income |
|
$ |
2,435,539 |
|
|
$ |
2,959,343 |
|
| Net change in unrealized appreciation (depreciation) |
|
|
79,366 |
|
|
|
3,814 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase in net assets resulting from operations |
|
|
2,514,905 |
|
|
|
2,963,157 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS(a) |
|
|
|
|
|
|
|
|
|
|
|
| Decrease in net assets resulting from distributions to shareholders |
|
|
(2,435,030 |
) |
|
|
(2,961,031 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
| CAPITAL SHARE TRANSACTIONS |
|
|
|
|
|
|
|
|
|
|
|
| Net increase in net assets derived from capital share transactions |
|
|
11,210,944 |
|
|
|
32,075,499 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS |
|
|
|
|
|
|
|
|
| Total increase in net assets |
|
|
11,290,819 |
|
|
|
32,077,625 |
|
| Beginning of period |
|
|
117,516,573 |
|
|
|
85,438,948 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| End of period |
|
$ |
128,807,392 |
|
|
$ |
117,516,573 |
|
|
|
|
|
|
|
|
|
|
| (a) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
|
|
|
| S T A T E M E N T S O F C H A N G E S I N N E T A S S E T S |
|
99 |
Financial Highlights
(For a share outstanding throughout each period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
BATS: Series A Portfolio |
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
Six Months Ended 09/30/24 (unaudited) |
|
|
Year Ended 03/31/24 |
|
|
Year Ended 03/31/23 |
|
|
Year Ended 03/31/22 |
|
|
Year Ended
03/31/21 |
|
|
Year Ended 03/31/20 |
|
|
|
|
|
|
|
|
|
| Net asset value, beginning of period |
|
|
|
|
|
$ |
9.39 |
|
|
$ |
9.19 |
|
|
$ |
9.67 |
|
|
$ |
9.99 |
|
|
$ |
9.05 |
|
|
$ |
9.99 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income(a) |
|
|
|
|
|
|
0.32 |
|
|
|
0.57 |
|
|
|
0.43 |
|
|
|
0.26 |
|
|
|
0.31 |
|
|
|
0.45 |
|
| Net realized and unrealized gain (loss) |
|
|
|
|
|
|
0.14 |
|
|
|
0.20 |
|
|
|
(0.48 |
) |
|
|
(0.31 |
) |
|
|
0.94 |
|
|
|
(0.94 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase (decrease) from investment operations |
|
|
|
|
|
|
0.46 |
|
|
|
0.77 |
|
|
|
(0.05 |
) |
|
|
(0.05 |
) |
|
|
1.25 |
|
|
|
(0.49 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Distributions(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| From net investment income |
|
|
|
|
|
|
(0.31 |
) |
|
|
(0.57 |
) |
|
|
(0.42 |
) |
|
|
(0.27 |
) |
|
|
(0.31 |
) |
|
|
(0.45 |
) |
| From net realized gain |
|
|
|
|
|
|
— |
|
|
|
— |
|
|
|
(0.01 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total distributions |
|
|
|
|
|
|
(0.31 |
) |
|
|
(0.57 |
) |
|
|
(0.43 |
) |
|
|
(0.27 |
) |
|
|
(0.31 |
) |
|
|
(0.45 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net asset value, end of period |
|
|
|
|
|
$ |
9.54 |
|
|
$ |
9.39 |
|
|
$ |
9.19 |
|
|
$ |
9.67 |
|
|
$ |
9.99 |
|
|
$ |
9.05 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Based on net asset value |
|
|
|
|
|
|
5.03 |
%(d) |
|
|
8.66 |
% |
|
|
(0.42 |
)% |
|
|
(0.59 |
)% |
|
|
13.95 |
% |
|
|
(5.22 |
)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ratios to Average Net Assets(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses |
|
|
|
|
|
|
0.03 |
%(f) |
|
|
0.03 |
% |
|
|
0.02 |
% |
|
|
0.02 |
% |
|
|
0.04 |
% |
|
|
0.05 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses after fees waived and/or reimbursed |
|
|
|
|
|
|
0.01 |
%(f) |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(g) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses after fees waived and/or reimbursed and excluding interest expense |
|
|
|
|
|
|
0.00 |
%(f)(g) |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(g) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
|
|
|
|
6.74 |
%(f) |
|
|
6.18 |
% |
|
|
4.65 |
% |
|
|
2.64 |
% |
|
|
3.20 |
% |
|
|
4.45 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (000) |
|
|
|
|
|
$ |
2,919,758 |
|
|
$ |
2,494,040 |
|
|
$ |
2,423,574 |
|
|
$ |
2,635,009 |
|
|
$ |
1,541,153 |
|
|
$ |
1,035,675 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Portfolio turnover rate(h) |
|
|
|
|
|
|
26 |
% |
|
|
53 |
% |
|
|
43 |
% |
|
|
45 |
% |
|
|
26 |
% |
|
|
48 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Based on average shares outstanding. |
| (b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) |
Where applicable, assumes the reinvestment of distributions. |
| (e) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (g) |
Amount is less than 0.005%. |
| (h) |
Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| |
|
Six Months Ended 09/30/24 (unaudited) |
|
|
Year Ended 03/31/24 |
|
|
Year Ended 03/31/23 |
|
|
Year Ended 03/31/22 |
|
|
Year Ended 03/31/21 |
|
|
Year Ended 03/31/20 |
|
|
|
|
|
|
|
|
| Portfolio turnover rate (excluding MDRs) |
|
|
21 |
% |
|
|
42 |
% |
|
|
30 |
% |
|
|
34 |
% |
|
|
26 |
% |
|
|
48 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
|
|
|
| 100 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
Financial Highlights (continued)
(For a share outstanding throughout each period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BATS: Series C Portfolio |
|
|
|
|
|
|
|
|
| |
|
Six Months Ended 09/30/24 (unaudited) |
|
|
Year Ended 03/31/24 |
|
|
Year Ended 03/31/23 |
|
|
Year Ended 03/31/22 |
|
|
Year Ended 03/31/21 |
|
|
Year Ended 03/31/20 |
|
|
|
|
|
|
|
|
|
| Net asset value, beginning of period |
|
|
|
|
|
$ |
9.05 |
|
|
$ |
9.03 |
|
|
$ |
9.84 |
|
|
$ |
10.69 |
|
|
$ |
10.49 |
|
|
$ |
10.28 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income(a) |
|
|
|
|
|
|
0.24 |
|
|
|
0.41 |
|
|
|
0.32 |
|
|
|
0.28 |
|
|
|
0.33 |
|
|
|
0.38 |
|
| Net realized and unrealized gain (loss) |
|
|
|
|
|
|
0.26 |
|
|
|
0.02 |
|
|
|
(0.81 |
) |
|
|
(0.66 |
) |
|
|
0.60 |
|
|
|
0.27 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase (decrease) from investment operations |
|
|
|
|
|
|
0.50 |
|
|
|
0.43 |
|
|
|
(0.49 |
) |
|
|
(0.38 |
) |
|
|
0.93 |
|
|
|
0.65 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Distributions(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| From net investment income |
|
|
|
|
|
|
(0.24 |
) |
|
|
(0.41 |
) |
|
|
(0.32 |
) |
|
|
(0.29 |
) |
|
|
(0.33 |
) |
|
|
(0.38 |
) |
|
|
|
|
|
|
|
|
| From net realized gain |
|
|
|
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(0.18 |
) |
|
|
(0.40 |
) |
|
|
(0.06 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total distributions |
|
|
|
|
|
|
(0.24 |
) |
|
|
(0.41 |
) |
|
|
(0.32 |
) |
|
|
(0.47 |
) |
|
|
(0.73 |
) |
|
|
(0.44 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net asset value, end of period |
|
|
|
|
|
$ |
9.31 |
|
|
$ |
9.05 |
|
|
$ |
9.03 |
|
|
$ |
9.84 |
|
|
$ |
10.69 |
|
|
$ |
10.49 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Based on net asset value |
|
|
|
|
|
|
5.62 |
%(d) |
|
|
4.98 |
% |
|
|
(4.92 |
)% |
|
|
(3.88 |
)% |
|
|
8.70 |
% |
|
|
6.31 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ratios to Average Net Assets(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses |
|
|
|
|
|
|
0.11 |
%(f) |
|
|
0.12 |
% |
|
|
0.12 |
% |
|
|
0.10 |
% |
|
|
0.09 |
% |
|
|
0.09 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses after fees waived and/or reimbursed |
|
|
|
|
|
|
0.00 |
%(f)(g) |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(g) |
|
|
0.01 |
% |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(g) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
|
|
|
|
5.23 |
%(f) |
|
|
4.66 |
% |
|
|
3.50 |
% |
|
|
2.59 |
% |
|
|
2.96 |
% |
|
|
3.55 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (000) |
|
|
|
|
|
$ |
456,840 |
|
|
$ |
423,597 |
|
|
$ |
378,919 |
|
|
$ |
476,478 |
|
|
$ |
534,926 |
|
|
$ |
464,267 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Portfolio turnover rate |
|
|
|
|
|
|
211 |
% |
|
|
103 |
% |
|
|
47 |
% |
|
|
42 |
% |
|
|
85 |
% |
|
|
83 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Based on average shares outstanding. |
| (b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) |
Where applicable, assumes the reinvestment of distributions. |
| (e) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (g) |
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 |
|
101 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BATS: Series E Portfolio |
|
|
|
|
|
|
|
|
|
| |
|
|
|
Six Months Ended 09/30/24 (unaudited) |
|
|
Year Ended 03/31/24 |
|
|
Year Ended 03/31/23 |
|
|
Year Ended 03/31/22 |
|
|
Year Ended 03/31/21 |
|
|
Year Ended 03/31/20 |
|
|
|
|
|
|
|
|
|
| Net asset value, beginning of period |
|
|
|
$ |
10.15 |
|
|
$ |
10.01 |
|
|
$ |
11.14 |
|
|
$ |
11.75 |
|
|
$ |
10.53 |
|
|
$ |
10.91 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income(a) |
|
|
|
|
0.24 |
|
|
|
0.46 |
|
|
|
0.43 |
|
|
|
0.46 |
|
|
|
0.45 |
|
|
|
0.43 |
|
| Net realized and unrealized gain (loss) |
|
|
|
|
0.30 |
|
|
|
0.13 |
|
|
|
(0.92 |
) |
|
|
(0.56 |
) |
|
|
1.22 |
|
|
|
(0.37 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase (decrease) from investment operations |
|
|
|
|
0.54 |
|
|
|
0.59 |
|
|
|
(0.49 |
) |
|
|
(0.10 |
) |
|
|
1.67 |
|
|
|
0.06 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Distributions(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| From net investment income |
|
|
|
|
(0.23 |
) |
|
|
(0.45 |
) |
|
|
(0.46 |
) |
|
|
(0.45 |
) |
|
|
(0.45 |
) |
|
|
(0.44 |
) |
| From net realized gain |
|
|
|
|
— |
|
|
|
— |
|
|
|
(0.18 |
) |
|
|
(0.06 |
) |
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total distributions |
|
|
|
|
(0.23 |
) |
|
|
(0.45 |
) |
|
|
(0.64 |
) |
|
|
(0.51 |
) |
|
|
(0.45 |
) |
|
|
(0.44 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net asset value, end of period |
|
|
|
$ |
10.46 |
|
|
$ |
10.15 |
|
|
$ |
10.01 |
|
|
$ |
11.14 |
|
|
$ |
11.75 |
|
|
$ |
10.53 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Based on net asset value |
|
|
|
|
5.39 |
%(d) |
|
|
6.18 |
% |
|
|
(4.21 |
)% |
|
|
(1.07 |
)% |
|
|
16.16 |
% |
|
|
0.33 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ratios to Average Net Assets(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses |
|
|
|
|
0.16 |
%(f) |
|
|
0.20 |
% |
|
|
0.26 |
% |
|
|
0.11 |
% |
|
|
0.15 |
% |
|
|
0.18 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses after fees waived and/or reimbursed |
|
|
|
|
0.06 |
%(f) |
|
|
0.09 |
% |
|
|
0.11 |
% |
|
|
0.03 |
% |
|
|
0.04 |
% |
|
|
0.06 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses after fees waived and/or reimbursed and excluding interest expense and fees |
|
|
|
|
0.00 |
%(f)(g) |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(f)(g) |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(g) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
|
|
4.74 |
%(f) |
|
|
4.66 |
% |
|
|
4.16 |
% |
|
|
3.80 |
% |
|
|
4.06 |
% |
|
|
3.78 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (000) |
|
|
|
$ |
491,889 |
|
|
$ |
412,478 |
|
|
$ |
342,372 |
|
|
$ |
382,519 |
|
|
$ |
400,615 |
|
|
$ |
313,282 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Borrowings outstanding, end of period (000) |
|
|
|
$ |
6,647 |
|
|
$ |
6,647 |
|
|
$ |
8,889 |
|
|
$ |
22,111 |
|
|
$ |
18,987 |
|
|
$ |
10,713 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Portfolio turnover rate |
|
|
|
|
8 |
% |
|
|
19 |
% |
|
|
37 |
% |
|
|
26 |
% |
|
|
31 |
% |
|
|
54 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Based on average shares outstanding. |
| (b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) |
Where applicable, assumes the reinvestment of distributions. |
| (e) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (g) |
Amount is less than 0.005%. |
See notes to financial statements.
|
|
|
| 102 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
Financial Highlights (continued)
(For a share outstanding throughout each period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BATS: Series M Portfolio |
|
|
|
|
|
|
|
|
| |
|
Six Months Ended 09/30/24 (unaudited) |
|
|
Year Ended 03/31/24 |
|
|
Year Ended 03/31/23 |
|
|
Year Ended 03/31/22 |
|
|
Year Ended 03/31/21 |
|
|
Year Ended 03/31/20 |
|
| |
|
|
|
|
|
|
| Net asset value, beginning of period |
|
$ |
8.28 |
|
|
$ |
8.42 |
|
|
$ |
9.11 |
|
|
$ |
9.77 |
|
|
$ |
9.81 |
|
|
$ |
9.59 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income(a) |
|
|
0.18 |
|
|
|
0.33 |
|
|
|
0.25 |
|
|
|
0.11 |
|
|
|
0.21 |
|
|
|
0.30 |
|
| Net realized and unrealized gain (loss) |
|
|
0.31 |
|
|
|
(0.15 |
) |
|
|
(0.68 |
) |
|
|
(0.59 |
) |
|
|
0.05 |
|
|
|
0.25 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase (decrease) from investment operations |
|
|
0.49 |
|
|
|
0.18 |
|
|
|
(0.43 |
) |
|
|
(0.48 |
) |
|
|
0.26 |
|
|
|
0.55 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Distributions from net investment income(b) |
|
|
(0.17 |
) |
|
|
(0.32 |
) |
|
|
(0.26 |
) |
|
|
(0.18 |
) |
|
|
(0.30 |
) |
|
|
(0.33 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net asset value, end of period |
|
$ |
8.60 |
|
|
$ |
8.28 |
|
|
$ |
8.42 |
|
|
$ |
9.11 |
|
|
$ |
9.77 |
|
|
$ |
9.81 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Based on net asset value |
|
|
5.97 |
%(d) |
|
|
2.19 |
% |
|
|
(4.76 |
)% |
|
|
(4.98 |
)% |
|
|
2.68 |
% |
|
|
5.86 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ratios to Average Net Assets(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses |
|
|
0.05 |
%(f) |
|
|
0.06 |
% |
|
|
0.06 |
% |
|
|
0.06 |
% |
|
|
0.05 |
% |
|
|
0.06 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses after fees waived and/or reimbursed |
|
|
0.00 |
%(f)(g) |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(g) |
|
|
0.00 |
%(g) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
4.41 |
%(f) |
|
|
3.99 |
% |
|
|
2.97 |
% |
|
|
1.11 |
% |
|
|
2.12 |
% |
|
|
3.03 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (000) |
|
$ |
1,233,968 |
|
|
$ |
1,146,383 |
|
|
$ |
1,105,898 |
|
|
$ |
1,126,195 |
|
|
$ |
1,197,167 |
|
|
$ |
1,006,778 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Portfolio turnover rate(h) |
|
|
396 |
% |
|
|
704 |
% |
|
|
873 |
% |
|
|
1,473 |
% |
|
|
1,500 |
% |
|
|
1,316 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Based on average shares outstanding. |
| (b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) |
Where applicable, assumes the reinvestment of distributions. |
| (e) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (g) |
Amount is less than 0.005%. |
| (h) |
Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| |
|
Six Months Ended 09/30/24 (unaudited) |
|
|
Year Ended 03/31/24 |
|
|
Year Ended 03/31/23 |
|
|
Year Ended 03/31/22 |
|
|
Year Ended 03/31/21 |
|
|
Year Ended 03/31/20 |
|
|
|
|
|
|
|
|
| Portfolio turnover rate (excluding MDRs) |
|
|
213 |
% |
|
|
420 |
% |
|
|
521 |
% |
|
|
665 |
% |
|
|
896 |
% |
|
|
813 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
|
|
|
| F I N A N C I A L H I G H L I G H T S |
|
103 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BATS: Series P Portfolio |
|
|
|
|
|
|
|
|
| |
|
Six Months Ended 09/30/24 (unaudited) |
|
|
Year Ended 03/31/24 |
|
|
Year Ended 03/31/23 |
|
|
Year Ended 03/31/22 |
|
|
Year Ended 03/31/21 |
|
|
Year Ended 03/31/20 |
|
| |
|
|
|
|
|
|
| Net asset value, beginning of period |
|
$ |
10.40 |
|
|
$ |
9.75 |
|
|
$ |
8.95 |
|
|
$ |
8.69 |
|
|
$ |
7.92 |
|
|
$ |
9.25 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income(a) |
|
|
0.19 |
|
|
|
0.31 |
|
|
|
0.15 |
|
|
|
0.04 |
|
|
|
0.06 |
|
|
|
0.12 |
|
| Net realized and unrealized gain (loss) |
|
|
(0.18 |
) |
|
|
0.78 |
|
|
|
0.76 |
|
|
|
0.22 |
|
|
|
0.71 |
|
|
|
(1.33 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase (decrease) from investment operations |
|
|
0.01 |
|
|
|
1.09 |
|
|
|
0.91 |
|
|
|
0.26 |
|
|
|
0.77 |
|
|
|
(1.21 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Distributions(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| From net investment income |
|
|
— |
|
|
|
(0.44 |
) |
|
|
(0.11 |
) |
|
|
— |
|
|
|
— |
|
|
|
(0.12 |
) |
| Return of capital |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
(0.00 |
)(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total distributions |
|
|
— |
|
|
|
(0.44 |
) |
|
|
(0.11 |
) |
|
|
— |
|
|
|
— |
|
|
|
(0.12 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net asset value, end of period |
|
$ |
10.41 |
|
|
$ |
10.40 |
|
|
$ |
9.75 |
|
|
$ |
8.95 |
|
|
$ |
8.69 |
|
|
$ |
7.92 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return(d) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Based on net asset value |
|
|
0.10 |
%(e) |
|
|
11.44 |
% |
|
|
10.14 |
% |
|
|
2.99 |
% |
|
|
9.72 |
% |
|
|
(13.25 |
)% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ratios to Average Net Assets(f) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses |
|
|
2.05 |
%(g) |
|
|
0.88 |
% |
|
|
0.33 |
% |
|
|
0.28 |
% |
|
|
0.46 |
% |
|
|
0.31 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses after fees waived and/or reimbursed |
|
|
0.00 |
%(g) |
|
|
0.01 |
% |
|
|
0.00 |
%(h) |
|
|
0.00 |
%(h) |
|
|
0.00 |
%(h) |
|
|
0.00 |
%(h) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
3.71 |
%(g) |
|
|
3.06 |
% |
|
|
1.55 |
% |
|
|
0.45 |
% |
|
|
0.71 |
% |
|
|
1.33 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (000) |
|
$ |
4,156 |
|
|
$ |
5,634 |
|
|
$ |
26,586 |
|
|
$ |
54,571 |
|
|
$ |
53,175 |
|
|
$ |
41,305 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Portfolio turnover rate |
|
|
0 |
% |
|
|
0 |
% |
|
|
9 |
% |
|
|
0 |
% |
|
|
36 |
% |
|
|
15 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Based on average shares outstanding. |
| (b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) |
Amount is greater than $(0.005) per share. |
| (d) |
Where applicable, assumes the reinvestment of distributions. |
| (f) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (h) |
Amount is less than 0.005%. |
See notes to financial statements.
|
|
|
| 104 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
Financial Highlights (continued)
(For a share outstanding throughout each period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BATS: Series S Portfolio |
|
|
|
|
|
|
|
|
| |
|
Six Months Ended 09/30/24 (unaudited) |
|
|
Year Ended 03/31/24 |
|
|
Year Ended 03/31/23 |
|
|
Year Ended 03/31/22 |
|
|
Year Ended 03/31/21 |
|
|
Year Ended 03/31/20 |
|
| |
|
|
|
|
|
|
| Net asset value, beginning of period |
|
$ |
9.09 |
|
|
$ |
9.04 |
|
|
$ |
9.28 |
|
|
$ |
9.73 |
|
|
$ |
9.23 |
|
|
$ |
9.50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income(a) |
|
|
0.21 |
|
|
|
0.38 |
|
|
|
0.27 |
|
|
|
0.14 |
|
|
|
0.18 |
|
|
|
0.27 |
|
| Net realized and unrealized gain (loss) |
|
|
0.18 |
|
|
|
0.06 |
|
|
|
(0.21 |
) |
|
|
(0.43 |
) |
|
|
0.54 |
|
|
|
(0.23 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase (decrease) from investment operations |
|
|
0.39 |
|
|
|
0.44 |
|
|
|
0.06 |
|
|
|
(0.29 |
) |
|
|
0.72 |
|
|
|
0.04 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Distributions(b) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| From net investment income |
|
|
(0.21 |
) |
|
|
(0.39 |
) |
|
|
(0.28 |
) |
|
|
(0.16 |
) |
|
|
(0.22 |
) |
|
|
(0.31 |
) |
| From net realized gain |
|
|
— |
|
|
|
— |
|
|
|
(0.02 |
) |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total distributions |
|
|
(0.21 |
) |
|
|
(0.39 |
) |
|
|
(0.30 |
) |
|
|
(0.16 |
) |
|
|
(0.22 |
) |
|
|
(0.31 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net asset value, end of period |
|
$ |
9.27 |
|
|
$ |
9.09 |
|
|
$ |
9.04 |
|
|
$ |
9.28 |
|
|
$ |
9.73 |
|
|
$ |
9.23 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return(c) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Based on net asset value |
|
|
4.38 |
%(d) |
|
|
4.98 |
% |
|
|
0.62 |
% |
|
|
(3.02 |
)% |
|
|
7.80 |
%(e) |
|
|
0.34 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ratios to Average Net Assets(f) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses |
|
|
0.12 |
%(g) |
|
|
0.13 |
% |
|
|
0.10 |
% |
|
|
0.12 |
% |
|
|
0.13 |
% |
|
|
1.14 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses after fees waived and/or reimbursed |
|
|
0.00 |
%(g)(h) |
|
|
0.00 |
%(h) |
|
|
0.00 |
%(h) |
|
|
0.01 |
% |
|
|
0.02 |
% |
|
|
0.99 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses after fees waived and/or reimbursed and excluding interest expense |
|
|
0.00 |
%(g)(h) |
|
|
0.00 |
%(h) |
|
|
0.00 |
%(h) |
|
|
0.01 |
%(g) |
|
|
0.00 |
%(h) |
|
|
0.00 |
%(h) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
4.66 |
%(g) |
|
|
4.19 |
% |
|
|
2.96 |
% |
|
|
1.42 |
% |
|
|
1.89 |
% |
|
|
2.84 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (000) |
|
$ |
391,181 |
|
|
$ |
391,933 |
|
|
$ |
400,871 |
|
|
$ |
408,273 |
|
|
$ |
398,906 |
|
|
$ |
146,302 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Portfolio turnover rate(i) |
|
|
55 |
% |
|
|
166 |
% |
|
|
127 |
% |
|
|
68 |
% |
|
|
124 |
% |
|
|
144 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Based on average shares outstanding. |
| (b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (c) |
Where applicable, assumes the reinvestment of distributions. |
| (e) |
Includes a payment received from an affiliate, which had no impact on the Fund’s total return. |
| (f) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (h) |
Amount is less than 0.005%. |
| (i) |
Includes mortgage dollar roll transactions (“MDRs”). Additional information regarding portfolio turnover rate is as follows: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
| |
|
Six Months Ended 09/30/24 (unaudited) |
|
|
Year Ended 03/31/24 |
|
|
Year Ended 03/31/23 |
|
|
Year Ended 03/31/22 |
|
|
Year Ended 03/31/21 |
|
|
Year Ended 03/31/20 |
|
|
|
|
|
|
|
|
| Portfolio turnover rate (excluding MDRs) |
|
|
53 |
% |
|
|
140 |
% |
|
|
106 |
% |
|
|
67 |
% |
|
|
122 |
% |
|
|
101 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See notes to financial statements.
|
|
|
| F I N A N C I A L H I G H L I G H T S |
|
105 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BATS: Series V Portfolio |
|
|
|
|
|
|
| |
|
Six Months Ended 09/30/24 (unaudited) |
|
|
|
Year Ended
03/31/24 |
|
|
|
Year Ended
03/31/23 |
|
|
|
Period From
05/05/21 to 03/31/22 |
(a) |
|
|
|
|
|
|
| Net asset value, beginning of period |
|
|
|
$ |
9.99 |
|
|
$ |
9.99 |
|
|
$ |
9.99 |
|
|
$ |
10.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income(b) |
|
|
|
|
0.17 |
|
|
|
0.34 |
|
|
|
0.22 |
|
|
|
0.01 |
|
| Net realized and unrealized gain (loss) |
|
|
|
|
0.01 |
|
|
|
(0.00 |
)(c) |
|
|
(0.04 |
) |
|
|
(0.01 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net increase from investment operations |
|
|
|
|
0.18 |
|
|
|
0.34 |
|
|
|
0.18 |
|
|
|
0.00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Distributions from net investment income(d) |
|
|
|
|
(0.17 |
) |
|
|
(0.34 |
) |
|
|
(0.18 |
) |
|
|
(0.01 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net asset value, end of period |
|
|
|
$ |
10.00 |
|
|
$ |
9.99 |
|
|
$ |
9.99 |
|
|
$ |
9.99 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return(e) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Based on net asset value |
|
|
|
|
1.83 |
%(f) |
|
|
3.44 |
% |
|
|
1.83 |
% |
|
|
0.01 |
%(f) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Ratios to Average Net Assets(g) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses |
|
|
|
|
0.17 |
%(h) |
|
|
0.25 |
% |
|
|
0.52 |
% |
|
|
4.06 |
%(h)(i) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses after fees waived and/or reimbursed |
|
|
|
|
0.01 |
%(h) |
|
|
0.00 |
%(j) |
|
|
0.00 |
%(j) |
|
|
0.00 |
%(h)(j) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total expenses after fees waived and/or reimbursed and excluding interest expense |
|
|
|
|
0.00 |
%(h)(j) |
|
|
0.00 |
%(j) |
|
|
0.00 |
%(j) |
|
|
0.00 |
%(h)(j) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income |
|
|
|
|
3.39 |
%(h) |
|
|
3.39 |
% |
|
|
2.21 |
% |
|
|
0.13 |
%(h) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Supplemental Data |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net assets, end of period (000) |
|
|
|
$ |
128,807 |
|
|
$ |
117,517 |
|
|
$ |
85,439 |
|
|
$ |
10,201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Portfolio turnover rate |
|
|
|
|
145 |
% |
|
|
170 |
% |
|
|
189 |
% |
|
|
283 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| (a) |
Commencement of operations. |
| (b) |
Based on average shares outstanding. |
| (c) |
Amount is greater than $(0.005) per share. |
| (d) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
| (e) |
Where applicable, assumes the reinvestment of distributions. |
| (g) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
| (i) |
Audit, offering, organization and printing costs were not annualized in the calculation of the expense ratios. If these expenses were annualized, the total expenses would have been 4.35%. |
| (j) |
Amount is less than 0.005%. |
See notes to financial statements.
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Notes to Financial Statements (unaudited)
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”:
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| Fund Name |
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Herein Referred To As |
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Diversification Classification |
| BATS: Series A Portfolio |
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Series A |
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Diversified |
| BATS: Series C Portfolio |
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Series C |
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Diversified |
| BATS: Series E Portfolio |
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Series E |
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Diversified |
| BATS: Series M Portfolio |
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Series M |
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Diversified |
| BATS: Series P Portfolio |
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Series P |
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Diversified |
| BATS: Series S Portfolio |
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Series S |
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Diversified |
| BATS: Series V Portfolio |
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Series V |
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Diversified |
Shares of the Funds are offered to separate account clients of the adviser, BlackRock Advisors, LLC (the “Manager”) or certain of its affiliates. Shares of Series A are also offered to collective trust funds managed by BlackRock Institutional Trust Company, N.A., an affiliate of the Manager, and mutual funds advised by the Manager or its affiliates. Participants in wrap-fee programs pay a single aggregate fee to the program sponsor for all costs and expenses of the wrap-fee programs including investment advice and portfolio execution.
The Funds, together with certain other registered investment companies advised by the Manager or its affiliates, are included in a complex of funds referred to as the BlackRock Fixed-Income Complex.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed (the “trade dates”). Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.
Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates determined as of the close of trading on the New York Stock Exchange (“NYSE”). Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
Each Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Bank Overdraft: Certain Funds had outstanding cash disbursements exceeding deposited cash amounts at the custodian during the reporting period. The Funds are obligated to repay the custodian for any overdraft, including any related costs or expenses, where applicable. For financial reporting purposes, overdraft fees, if any, are included in interest expense in the Statements of Operations.
Collateralization: If required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.
Distributions: Distributions from net investment income are declared daily and paid monthly, except for Series P, which declares and pays dividends at least annually. Distributions of capital gains are recorded on the ex-dividend dates and made at least annually. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Deferred Compensation Plan: Under the Deferred Compensation Plan (the “Plan”) approved by the Board of Trustees of the Trust (the “Board”), the trustees who are not “interested persons” of the 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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107 |
Notes to Financial Statements (unaudited) (continued)
The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, as applicable. Deferred compensation liabilities, if any, are included in the Trustees’ and Officer’s fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan. Net appreciation (depreciation) in the value of participants’ deferral accounts is allocated among the participating funds in the BlackRock Fixed Income Complex and reflected as Trustee and Officer expense on the Statements of Operations. The Trustee and Officer expense may be negative as a result of a decrease in value of the deferred accounts.
Indemnifications: In the normal course of business, a Fund enters into contracts that contain a variety of representations that provide general indemnification. A Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against a Fund, which cannot be predicted with any certainty.
Other: Expenses directly related to a Fund are charged to that Fund. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
The Funds have an arrangement with their custodian whereby credits are earned on uninvested cash balances. For financial reporting purposes, custodian credits, if any, are included in interest income in the Statements of Operations.
3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of each Fund has approved the designation of each Fund’s Manager as the valuation designee for each Fund. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager’s policies. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager’s policies and procedures as reflecting fair value. The Manager has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:
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· |
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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. |
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· |
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Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s net asset value (“NAV”). |
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· |
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Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded. |
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· |
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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. |
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· |
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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. |
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· |
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Interest rate, credit default, inflation and currency swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate market data and discounted cash flows. Total return swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using models that incorporate market trades and fair value of the underlying reference instruments. |
Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the NYSE. Each business day, the Funds use current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which occurs after the close of the local markets.
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee in accordance with the Manager’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement as of the measurement date.
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Notes to Financial Statements (unaudited) (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 Valuation Committee and third-party pricing services utilized by the Valuation Committee include one or a combination of, but not limited to, the following inputs:
(i) recent market transactions, including secondary market transactions, merger or acquisition activity and subsequent rounds of financing in the underlying investment or comparable issuers
(ii) recapitalizations and other transactions across the capital structure
(iii) market or relevant indices multiples of comparable issuers
(iv) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks
(v) quoted prices for similar investments or assets in active markets
(vi) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts and/or default rates
(vii) audited or unaudited financial statements, investor communications and Private Company financial or operational metrics
(viii) relevant market news and other public sources.
Investments in series of preferred stock issued by Private Companies are typically valued utilizing a market approach to determine the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Enterprise valuation techniques such as an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), current value method or a hybrid of those techniques are used as deemed appropriate under the circumstances. The use of these valuation techniques involves a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.
Private Companies are not subject to public company disclosure, timing, and reporting standards applicable to other investments held by a Fund. Certain information made available 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 at the measurement date. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
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· |
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Level 1 – Unadjusted price quotations in active markets/exchanges that each Fund has the ability to access for identical assets or liabilities; |
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· |
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Level 2 – Inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly or indirectly; and |
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· |
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Level 3 – Inputs that are unobservable and significant to the entire fair value measurement for the asset or liability (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by 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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| 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 |
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109 |
Notes to Financial Statements (unaudited) (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 (unaudited) (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 Secured Overnight Financing Rate (“SOFR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.
When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.
Forward Commitments, When-Issued and Delayed Delivery Securities: The Funds may purchase securities on a when-issued basis and may purchase or sell securities on a forward commitment basis. Settlement of such transactions normally occurs within a month or more after the purchase or sale commitment is made. The Funds may purchase securities under such conditions with the intention of actually acquiring them but may enter into a separate agreement to sell the securities before the settlement date. Since the value of securities purchased may fluctuate prior to settlement, the Funds may be required to pay more at settlement than the security is worth. In addition, a fund is not entitled to any of the interest earned prior to settlement. When purchasing a security on a delayed delivery basis, the Funds assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations. In the event of default by the counterparty, the Funds’ maximum amount of loss is the unrealized appreciation of unsettled when-issued transactions. These types of securities may be considered unfunded and may obligate the Funds to make future cash payments. An unfunded commitment is marked-to-market and any unrealized appreciation (depreciation) is separately presented in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Funds had the following unfunded commitments:
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| Fund Name |
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Investment Name |
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Commitment
Amount |
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Value |
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Unrealized
Appreciation
(Depreciation) |
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| Series E |
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Puerto Rico Electric Power Authority, Series B-1 |
|
$ |
2,323,863 |
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|
$ |
2,485,721 |
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|
$ |
161,858 |
|
| Series E |
|
Puerto Rico Electric Power Authority, Series B-2 |
|
|
11,249,141 |
|
|
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12,462,862 |
|
|
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1,213,721 |
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|
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|
|
|
|
|
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|
|
|
|
|
|
|
|
|
$ |
1,375,579 |
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|
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|
TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.
In order to better define contractual rights and to secure rights that will help a fund mitigate its counterparty risk, TBA commitments may be entered into by a fund under Master Securities Forward Transaction Agreements (each, an “MSFTA”). An MSFTA typically contains, among other things, collateral posting terms and netting provisions in the event of default and/or termination event. The collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of the collateral currently pledged by a fund and the counterparty. Cash collateral that has been pledged to cover the obligations of a fund and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral for TBA commitments or cash received as collateral for TBA commitments, respectively. Non-cash collateral pledged by a fund, if any, is noted in the Schedules of Investments. Typically, a fund is permitted to sell, re-pledge or use the collateral it receives; however, the counterparty is not permitted to do so. To the extent amounts due to a fund are not fully collateralized, contractually or otherwise, a fund bears the risk of loss from counterparty non-performance.
Mortgage Dollar RollTransactions: 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.
|
|
|
| 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 |
|
111 |
Notes to Financial Statements (unaudited) (continued)
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 TOBTrusts: The municipal bonds deposited into a TOB Trust are presented in a Fund’s Schedules of Investments and the TOB Trust Certificates are shown in Other Liabilities in the Statements of Assets and Liabilities. Any loans drawn by the TOB Trust pursuant to the liquidity facility to purchase tendered TOB Trust Certificates are shown as Loan for TOB Trust Certificates. The carrying amount of a Fund’s payable to the holder of the TOB Trust Certificates, as reported in the Statements of Assets and Liabilities as TOB Trust Certificates, approximates its fair value.
Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a Fund on an accrual basis. Interest expense incurred on the TOB Trust transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust are shown as interest expense, fees and amortization of offering costs in the Statements of Operations. Fees paid upon creation of the TOB Trust are recorded as debt issuance costs and are amortized to interest expense, fees and amortization of offering costs in the Statements of Operations to the expected maturity of the TOB Trust. In connection with the restructurings of the TOB Trusts to non-bank sponsored TOB Trusts, a Fund incurred non-recurring, legal and restructuring fees, which are recorded as interest expense, fees and amortization of offering costs in the Statements of Operations. Amounts recorded within interest expense, fees and amortization of offering costs in the Statements of Operations are:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
| Fund Name |
|
Interest Expense |
|
|
Liquidity Fees |
|
|
Other Expenses |
|
|
Total |
|
| |
|
| Series E |
|
$ |
124,326 |
|
|
$ |
10,383 |
|
|
$ |
3,242 |
|
|
$ |
137,951 |
|
| |
|
For the six months ended September 30, 2024, the following table is a summary of each Fund’s TOB Trusts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
|
|
| Fund Name |
|
Underlying
Municipal Bonds
Transferred to
TOB Trusts(a) |
|
|
Liability for
TOB Trust
Certificates(b) |
|
|
Range of
Interest Rates
on TOB Trust
Certificates at
Period End |
|
|
Average
TOB Trust
Certificates
Outstanding |
|
|
Daily Weighted
Average Rate of
Interest and
Other Expenses
on TOB Trusts |
|
| |
|
| Series E |
|
$ |
12,653,265 |
|
|
$ |
6,647,000 |
|
|
|
3.18% - 3.45% |
|
|
$ |
6,647,000 |
|
|
|
4.08 |
% |
| |
|
| |
(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 September 30, 2024, in proportion to their participation in the TOB Trust. The recourse TOB Trusts are identified in the Schedules of Investments including the maximum potential amounts owed by a Fund at September 30, 2024. |
|
|
|
|
| 112 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
Notes to Financial Statements (unaudited) (continued)
5. DERIVATIVE FINANCIAL INSTRUMENTS
The Funds engage in various portfolio investment strategies using derivative contracts both to increase the returns of the Funds and/or to manage their exposure to certain risks such as credit risk, equity risk, interest rate risk, foreign currency exchange rate risk, commodity price risk or other risks (e.g., inflation risk). Derivative financial instruments categorized by risk exposure are included in the Schedules of Investments. These contracts may be transacted on an exchange or OTC.
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded OTC and not on an organized exchange.
The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation (depreciation) in the Statements of Assets and Liabilities. When a contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a forward foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund.
Options: The Funds may purchase and write call and put options to increase or decrease their exposure to the risks of underlying instruments, including equity risk, interest rate risk and/or commodity price risk and/or, in the case of options written, to generate gains from options premiums.
A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period. A put option gives the holder the right to sell and obligates the writer to buy the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums paid on options purchased and premiums received on options written, as well as the daily fluctuation in market value, are included in investments at value – unaffiliated and options written at value, respectively, in the Statements of Assets and Liabilities. When an instrument is purchased or sold through the exercise of an option, the premium is offset against the cost or proceeds of the underlying instrument. When an option expires, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received or paid. When an option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds the premiums received or paid. When the Funds write a call option, such option is typically “covered,” meaning that they hold the underlying instrument subject to being called by the option counterparty. When the Funds write a put option, cash is segregated in an amount sufficient to cover the obligation. These amounts, which are considered restricted, are included in cash pledged as collateral for options written in the Statements of Assets and Liabilities.
| |
· |
|
Swaptions – The Funds may purchase and write swaptions primarily to preserve a return or spread on a particular investment or portion of the Funds’ holdings, as a duration management technique or to protect against an increase in the price of securities it anticipates purchasing at a later date. The purchaser and writer of a swaption is buying or granting the right to enter into a previously agreed upon interest rate or credit default swap agreement (interest rate risk and/or credit risk) at any time before the expiration of the option. |
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”).
|
|
|
| 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 |
|
113 |
Notes to Financial Statements (unaudited) (continued)
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. The Funds are required to interface with the CCP through the broker. Upon entering into a centrally cleared swap, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is shown as cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker variation margin. Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statements of Operations, including those at termination.
| |
· |
|
Credit default swaps — Credit default swaps are entered into to manage exposure to the market or certain sectors of the market, to reduce risk exposure to defaults of corporate and/or sovereign issuers or to create exposure to corporate and/or sovereign issuers to which a fund is not otherwise exposed (credit risk). |
The Funds may either buy or sell (write) credit default swaps on single-name issuers (corporate or sovereign), a combination or basket of single-name issuers or traded indexes. Credit default swaps are agreements in which the protection buyer pays fixed periodic payments to the seller in consideration for a promise from the protection seller to make a specific payment should a negative credit event take place with respect to the referenced entity (e.g., bankruptcy, failure to pay, obligation acceleration, repudiation, moratorium or restructuring). As a buyer, if an underlying credit event occurs, the Funds will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the referenced security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, the Funds will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the referenced security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the security or underlying securities comprising the index.
| |
· |
|
Interest rate swaps — Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk). |
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.
| |
· |
|
Forward swaps — The Funds may enter into forward interest rate swaps and forward total return swaps. In a forward swap, each Fund and the counterparty agree to make periodic net payments beginning on a specified date or a net payment at termination. |
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risks in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral Requirements: For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds and the counterparty.
Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from the counterparties are not fully collateralized, each Fund bears the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
|
|
|
| 114 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
Notes to Financial Statements (unaudited) (continued)
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 and Series V, the Manager entered into a sub-advisory agreement with BlackRock International Limited (“BIL”), an affiliate of the Manager.
Service and Distribution Fees: The Trust, on behalf of the Funds, entered into a Distribution Agreement with BlackRock Investments, LLC (“BRIL”), an affiliate of the Manager.
Expense Limitations, Waivers and Reimbursements: The Manager contractually agreed to waive all fees and pay or reimburse all operating expenses of each Fund, except extraordinary expenses. Extraordinary expenses may include interest expense, dividend expense, tax expense, acquired fund fees and expenses and certain other fund expenses. This agreement has no fixed termination date. With respect to Series C, Series E, Series M, Series P, Series S and Series V, the Manager does not charge the Funds a management fee, although investors in the Funds will pay a fee to BlackRock Investment Management, LLC (“BIM”), an affiliate of the Manager, or their managed account program sponsor. With respect to Series A, the Manager does not charge the Fund a management fee, although investors in the Fund that are (i) retail and institutional separately managed account clients of BIM will pay a fee to BIM or their managed account program sponsor, (ii) participants in the collective trust funds managed by BlackRock Institutional Trust Company, N.A. (“BTC”), an affiliate of the Manager, that invest in the Fund will pay a fee to BTC, and (iii) mutual funds that are advised by the Manager or its affiliates will pay the Manager or its affiliate a management fee pursuant to a management agreement between each such fund and BlackRock or its affiliate. The Manager waived fees for each Fund which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations.
Although the Funds do not compensate the Manager directly for its services under the Investment Advisory Agreement, because each Fund is an investment option for certain wrap-fee or other separately managed account program clients, the Manager may benefit from the fees charged to such clients who have retained the Manager’s affiliates to manage their accounts. The Manager waived fees for each Fund which are included in fees waived and/or reimbursed by the Manager in the Statements of Operations. The waivers were as follows:
|
|
|
|
|
| Fund Name |
|
Amounts Waived |
|
| Series A |
|
$ |
289,483 |
|
| Series C |
|
|
227,843 |
|
| Series E |
|
|
222,756 |
|
| Series M |
|
|
298,892 |
|
| Series P |
|
|
73,066 |
|
| Series S |
|
|
224,897 |
|
| Series V |
|
|
116,699 |
|
Interfund Lending: In accordance with an exemptive order (the “Order”) from the U.S. Securities and Exchange Commission (“SEC”), each Fund may participate in a joint lending and borrowing facility for temporary purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by each Fund’s investment policies and restrictions. Each Fund is currently permitted to borrow and lend under the Interfund Lending Program.
A lending BlackRock fund may lend in aggregate up to 15% of its net assets, but may not lend more than 5% of its net assets, to any one borrowing fund through the Interfund Lending Program. A borrowing BlackRock fund may not borrow through the Interfund Lending Program or from any other source more than 33 1/3% of its total assets (or any lower threshold provided for by the fund’s investment restrictions). If a borrowing BlackRock fund’s total outstanding borrowings exceed 10% of its total assets, each of its outstanding interfund loans will be subject to collateralization of at least 102% of the outstanding principal value of the loan. All interfund loans are for temporary or emergency purposes and the interest rate to be charged will be the average of the highest current overnight repurchase agreement rate available to a lending fund and the bank loan rate, as calculated according to a formula established by the Board.
During the six months ended September 30, 2024, the Funds did not participate in the Interfund Lending Program.
Trustees and Officers: Certain trustees and/or officers of the Trust are directors and/or officers of BlackRock or its affiliates. The Funds reimburse the Manager for a portion of the compensation paid to the Trust’s Chief Compliance Officer, which is included in Trustees and Officer in the Statements of Operations.
Other Transactions: The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended September 30, 2024, the purchase and sale transactions and any net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| Fund Name |
|
Purchases |
|
|
Sales |
|
|
Net Realized
Gain (Loss) |
|
| Series E |
|
$ |
10,115,769 |
|
|
$ |
6,615,165 |
|
|
$ |
— |
|
| Series V |
|
|
8,905,511 |
|
|
|
12,909,010 |
|
|
|
— |
|
|
|
|
| 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 |
|
115 |
Notes to Financial Statements (unaudited) (continued)
7. PURCHASES AND SALES
For the six months ended September 30, 2024, purchases and sales of investments, including paydowns and mortgage dollar rolls and excluding short-term securities, were as follows:
|
|
|
|
|
|
|
|
|
| |
|
| Fund Name/Asset Type |
|
Purchases |
|
|
Sales |
|
| |
|
| Series A |
|
|
|
|
|
|
|
|
| Non-U.S. Government Securities |
|
$ |
898,212,800 |
|
|
$ |
460,342,290 |
|
| U.S. Government Securities |
|
|
238,037,330 |
|
|
|
233,778,543 |
|
| Series C |
|
|
|
|
|
|
|
|
| Non-U.S. Government Securities |
|
|
822,724,777 |
|
|
|
844,826,362 |
|
| U.S. Government Securities |
|
|
76,243,186 |
|
|
|
37,576,674 |
|
| Series E |
|
|
|
|
|
|
|
|
| Non-U.S. Government Securities |
|
|
119,140,845 |
|
|
|
32,629,286 |
|
| Series M |
|
|
|
|
|
|
|
|
| Non-U.S. Government Securities |
|
|
60,606,383 |
|
|
|
53,636,167 |
|
| U.S. Government Securities |
|
|
4,864,480,101 |
|
|
|
4,870,916,412 |
|
| Series P |
|
|
|
|
|
|
|
|
| Non-U.S. Government Securities |
|
|
— |
|
|
|
180,000 |
|
| Series S |
|
|
|
|
|
|
|
|
| Non-U.S. Government Securities |
|
|
105,679,889 |
|
|
|
105,891,568 |
|
| U.S. Government Securities |
|
|
111,688,269 |
|
|
|
98,453,416 |
|
| Series V |
|
|
|
|
|
|
|
|
| Non-U.S. Government Securities |
|
|
181,765,525 |
|
|
|
186,517,000 |
|
| |
|
For the six months ended September 30, 2024, purchases and sales related to mortgage dollar rolls were as follows:
|
|
|
|
|
|
|
|
|
| |
|
| Fund Name |
|
Purchases |
|
|
Sales |
|
| |
|
| Series A |
|
$ |
131,792,153 |
|
|
$ |
131,949,909 |
|
| Series M |
|
|
2,276,430,832 |
|
|
|
2,276,005,626 |
|
| Series S |
|
|
7,801,045 |
|
|
|
7,795,262 |
|
| |
|
8. INCOME TAX INFORMATION
It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund’s U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on each Fund’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Funds as of September 30, 2024, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements. Management’s analysis is based on the tax laws and judicial and administrative interpretations thereof in effect as of date of these financial statements, all of which are subject to change, possibly with retroactive effect which may impact the Funds’ NAV.
As of March 31, 2024, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:
|
|
|
|
|
| |
|
| Fund Name |
|
Non-Expiring Capital Loss Carryforwards |
|
| |
|
| Series A |
|
$ |
63,337,034 |
|
| Series C |
|
|
54,102,185 |
|
| Series E |
|
|
14,538,216 |
|
| Series M |
|
|
109,703,098 |
|
| Series P |
|
|
25,432,893 |
|
| Series S |
|
|
23,638,429 |
|
| |
|
|
|
|
| 116 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
Notes to Financial Statements (unaudited) (continued)
As of September 30, 2024, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
| Fund Name |
|
Tax Cost |
|
|
Gross Unrealized
Appreciation |
|
|
Gross Unrealized
Depreciation |
|
|
Net Unrealized
Appreciation
(Depreciation) |
|
| Series A |
|
$ |
3,013,540,950 |
|
|
$ |
26,195,964 |
|
|
$ |
(108,421,542 |
) |
|
$ |
(82,225,578 |
) |
| Series C |
|
|
450,871,171 |
|
|
|
7,596,988 |
|
|
|
(2,480,170 |
) |
|
|
5,116,818 |
|
| Series E |
|
|
493,481,781 |
|
|
|
15,304,509 |
|
|
|
(15,517,407 |
) |
|
|
(212,898 |
) |
| Series M |
|
|
1,717,023,345 |
|
|
|
15,578,666 |
|
|
|
(62,402,408 |
) |
|
|
(46,823,742 |
) |
| Series P |
|
|
1,205,755 |
|
|
|
232,346 |
|
|
|
(255,218 |
) |
|
|
(22,872 |
) |
| Series S |
|
|
391,712,751 |
|
|
|
5,619,345 |
|
|
|
(2,879,935 |
) |
|
|
2,739,410 |
|
| Series V |
|
|
129,834,062 |
|
|
|
80,518 |
|
|
|
(661 |
) |
|
|
79,857 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Trust, on behalf of each Fund, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is party to a 364-day, $2.40 billion credit agreement with a group of lenders. Under this agreement, the Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Funds, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate (“OBFR”) (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily Simple SOFR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum. The agreement expires in April 2025 unless extended or renewed. Prior to April 11, 2024, the aggregate commitment amount was $2.50 billion. 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 six months ended September 30, 2024, the Funds did not borrow under the credit agreement.
In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate and price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund’s prospectus provides details of the risks to which each Fund is subject.
Series E structures and “sponsors” the TOB Trusts in which it holds TOB Residuals and has certain duties and responsibilities, which may give rise to certain additional risks including, but not limited to, compliance, securities law and operational risks.
As short-term interest rates rise, Series E’s investments in the TOB Trusts may adversely affect Series E’s net investment income and dividends to shareholders. Also, fluctuations in the market value of municipal bonds deposited into the TOB Trust may adversely affect Series E’s NAV per share.
The SEC and various federal banking and housing agencies have adopted credit risk retention rules for securitizations (the “Risk Retention Rules”). The Risk Retention Rules would require the sponsor of a TOB Trust to retain at least 5% of the credit risk of the underlying assets supporting the TOB Trust’s municipal bonds. The Risk Retention Rules may adversely affect Series E’s ability to engage in TOB Trust transactions or increase the costs of such transactions in certain circumstances.
TOB Trusts constitute an important component of the municipal bond market. Any modifications or changes to rules governing TOB Trusts may adversely impact the municipal market and Series E, including through reduced demand for and liquidity of municipal bonds and increased financing costs for municipal issuers. The ultimate impact of any potential modifications on the TOB Trust market and the overall municipal market is not yet certain.
Certain obligations held by Series V have a credit enhancement or liquidity feature that may, under certain circumstances, provide for repayment of principal and interest on the obligation when due. These enhancements, which may include letters of credit, stand-by bond purchase agreements and/or third-party insurance, are issued by financial institutions. The value of the obligations may be affected by changes in creditworthiness of the entities that provide the credit enhancements or liquidity features. Series V monitors its exposure by reviewing the creditworthiness of the issuers, as well as the financial institutions issuing the credit enhancements and by limiting the amount of holdings with credit enhancements from one financial institution.
Market Risk: Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.
Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities
|
|
|
| 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 |
|
117 |
Notes to Financial Statements (unaudited) (continued)
backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly available information on the financial condition of municipal security issuers than for issuers of other securities.
Valuation Risk: The price a Fund could receive upon the sale of any particular portfolio investment may differ from a Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore a Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by a Fund, and a Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment.
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.
With exchange-traded futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
Geographic/Asset Class Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.
Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.
Certain Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates during a period of historically low interest rates. The Federal Reserve has raised the federal funds rate as part of its efforts to address inflation. Changing interest rates may have unpredictable effects on markets, may result in heightened market volatility, and could negatively impact certain Funds’ performance.
The Funds invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the Funds invest.
Certain Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedules of Investments.
Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.
LIBOR Transition Risk: The Funds may be exposed to financial instruments that recently transitioned from, or continue to be tied to, the London Interbank Offered Rate (’’LIBOR’’) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased publishing all LIBOR settings, but some USD LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for
|
|
|
| 118 |
|
2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S A N D A D D I T I O N A L I N F O R M A T I O N |
Notes to Financial Statements (unaudited) (continued)
certain legacy contracts. The SOFR has been used increasingly on a voluntary basis in new instruments and transactions. Under U.S. regulations that implement a statutory fallback mechanism to replace LIBOR, benchmark rates based on SOFR have replaced LIBOR in certain financial contracts. The ultimate effect of the LIBOR transition process on the Funds is uncertain.
| 11. |
CAPITAL SHARE TRANSACTIONS |
Transactions in capital shares were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Six Months Ended 09/30/24 |
|
|
Year Ended 03/31/24 |
|
| Fund Name |
|
Shares |
|
|
Amount |
|
|
Shares |
|
|
Amount |
|
| Series A |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares sold |
|
|
42,745,993 |
|
|
$ |
404,509,030 |
|
|
|
47,562,008 |
|
|
$ |
445,090,304 |
|
| Shares redeemed |
|
|
(2,044,507 |
) |
|
|
(19,291,819 |
) |
|
|
(45,775,267 |
) |
|
|
(423,038,815 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40,701,486 |
|
|
$ |
385,217,211 |
|
|
|
1,786,741 |
|
|
$ |
22,051,489 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series C |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares sold |
|
|
7,494,634 |
|
|
$ |
67,949,931 |
|
|
|
15,783,759 |
|
|
$ |
140,503,861 |
|
| Shares redeemed |
|
|
(5,213,497 |
) |
|
|
(47,083,610 |
) |
|
|
(10,951,684 |
) |
|
|
(96,940,758 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,281,137 |
|
|
$ |
20,866,321 |
|
|
|
4,832,075 |
|
|
$ |
43,563,103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series E |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares sold |
|
|
10,842,567 |
|
|
$ |
111,803,336 |
|
|
|
23,301,016 |
|
|
$ |
230,906,817 |
|
| Shares redeemed |
|
|
(4,487,018 |
) |
|
|
(46,028,653 |
) |
|
|
(16,841,996 |
) |
|
|
(163,994,482 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,355,549 |
|
|
$ |
65,774,683 |
|
|
|
6,459,020 |
|
|
$ |
66,912,335 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series M |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares sold |
|
|
20,890,196 |
|
|
$ |
174,200,857 |
|
|
|
47,160,356 |
|
|
$ |
389,133,798 |
|
| Shares redeemed |
|
|
(15,873,101 |
) |
|
|
(131,868,326 |
) |
|
|
(39,977,105 |
) |
|
|
(328,560,193 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,017,095 |
|
|
$ |
42,332,531 |
|
|
|
7,183,251 |
|
|
$ |
60,573,605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series P |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares sold |
|
|
814,161 |
|
|
$ |
8,329,533 |
|
|
|
287,267 |
|
|
$ |
2,940,745 |
|
| Shares redeemed |
|
|
(956,509 |
) |
|
|
(9,720,221 |
) |
|
|
(2,472,653 |
) |
|
|
(25,108,888 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(142,348 |
) |
|
$ |
(1,390,688 |
) |
|
|
(2,185,386 |
) |
|
$ |
(22,168,143 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series S |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares sold |
|
|
4,739,295 |
|
|
$ |
43,275,420 |
|
|
|
12,836,280 |
|
|
$ |
115,922,375 |
|
| Shares redeemed |
|
|
(5,659,267 |
) |
|
|
(51,654,599 |
) |
|
|
(14,087,279 |
) |
|
|
(127,147,589 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(919,972 |
) |
|
$ |
(8,379,179 |
) |
|
|
(1,250,999 |
) |
|
$ |
(11,225,214 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Series V |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares sold |
|
|
12,946,093 |
|
|
$ |
129,366,208 |
|
|
|
14,653,215 |
|
|
$ |
146,385,613 |
|
| Shares redeemed |
|
|
(11,823,017 |
) |
|
|
(118,155,264 |
) |
|
|
(11,442,454 |
) |
|
|
(114,310,114 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,123,076 |
|
|
$ |
11,210,944 |
|
|
|
3,210,761 |
|
|
$ |
32,075,499 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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12. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
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| 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 |
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119 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements
The Board of Trustees (the “Board,” the members of which are referred to as “Board Members”) of BlackRock Allocation Target Shares (the “Trust”) met on May 3, 2024 (the “May Meeting”) and June 6-7, 2024 (the “June Meeting”) to consider the approval to continue the investment advisory agreement (the “Advisory Agreement”) between the Trust, on behalf of BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series E Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio, BATS: Series S Portfolio and BATS: Series V Portfolio (collectively, the “Funds” and each, a “Fund,”), and BlackRock Advisors, LLC (the “Manager”), each Fund’s investment advisor. The Board also considered the approval to continue the sub-advisory agreements (the “Sub-Advisory Agreements”) between the Manager and BlackRock International Limited (the “Sub-Advisor”), with respect to BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio and BATS: Series S Portfolio. The Manager and the Sub-Advisor are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreements are referred to herein as the “Agreements.”
The Approval Process
Consistent with the requirements of the Investment Company Act of 1940 (the “1940 Act”), the Board considers the approval of the continuation of the Agreements for each Fund on an annual basis. The Board members who are not “interested persons” of the Trust, as defined in the 1940 Act, are considered independent Board members (the “Independent Board Members”). The Board’s consideration entailed a year-long deliberative process during which the Board and its committees assessed BlackRock’s various services to each Fund, including through the review of written materials and oral presentations, and the review of additional information provided in response to requests from the Independent Board Members. The Board had four quarterly meetings per year, each of which extended over a two-day period, as well as additional ad hoc meetings and executive sessions throughout the year, as needed. The committees of the Board similarly met throughout the year. The Board also had an additional one-day meeting to consider specific information regarding the renewal of the Agreements. In considering the renewal of the Agreements, the Board assessed, among other things, the nature, extent and quality of the services provided to each Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of each Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services. Throughout the year, including during the contract renewal process, the Independent Board Members were advised by independent legal counsel, and met with independent legal counsel in various executive sessions outside of the presence of BlackRock’s management.
During the year, the Board, acting directly and through its committees, considered information that was relevant to its annual consideration of the renewal of the Agreements, including the services and support provided by BlackRock to each Fund and its shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, and/or since inception periods, as applicable, against peer funds, relevant benchmarks, and other performance metrics, as applicable, as well as BlackRock senior management’s and portfolio managers’ investment performance analyses, and the reasons for any outperformance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by each Fund for services; (c) Fund operating expenses and how BlackRock allocates expenses to each Fund; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of each Fund’s investment objective, policies and restrictions, and meeting regulatory requirements; (e) BlackRock’s and each Fund’s adherence to applicable compliance policies and procedures; (f) the nature, character and scope of non-investment management services provided by BlackRock and its affiliates and the estimated cost of such services, as applicable; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) execution quality of portfolio transactions; (j) BlackRock’s implementation of each Fund’s valuation and liquidity procedures; (k) an analysis of management fees paid to BlackRock for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to each Fund; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.
Prior to and in preparation for the May Meeting, the Board received and reviewed materials specifically relating to the renewal of the Agreements. The Independent Board Members continuously engaged in a process with their independent legal counsel and BlackRock to review the nature and scope of the information provided to the Board to better assist its deliberations. The materials provided in connection with the May Meeting included, among other things: (a) a discussion of fall-out benefits to BlackRock and its affiliates; (b) a general analysis provided by BlackRock concerning investment management fees received in connection with other types of investment products, such as institutional accounts, sub-advised mutual funds, ETFs, closed-end funds, open-end funds, and separately managed accounts, under similar investment mandates, as well as the performance of such other products, as applicable; (c) a review of non-management fees; (d) the existence, impact and sharing of potential economies of scale, if any, with each Fund; (e) a summary of aggregate amounts paid by each Fund to BlackRock; and (f) various additional information requested by the Board as appropriate regarding BlackRock’s and each Fund’s operations.
At the May Meeting, the Board reviewed materials relating to its consideration of the Agreements and the Independent Board Members presented BlackRock with questions and requests for additional information. BlackRock responded to these questions and requests with additional written information in advance of the June Meeting, and such responses were reviewed by the Board Members.
At the June Meeting, the Board concluded its assessment of, among other things: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of each Fund as compared to its Performance Peers and to other metrics, as applicable; (c) the advisory fee and the estimated cost of the services and estimated profits realized by BlackRock and its affiliates from their relationship with each Fund; (d) each Fund’s fees and expenses compared to its Expense Peers; (e) the existence and sharing of potential economies of scale; (f) any fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with each Fund; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board evaluated the information available to it on a fund-by-fund basis. The following paragraphs provide more information about some of the primary factors that were relevant to the Board’s decision. The Board Members did not identify any particular information, or any single factor as determinative, and each Board Member may have attributed different weights to the various items and factors considered.
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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
A. Nature, Extent and Quality of the Services Provided by BlackRock
The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services, and the resulting performance of each Fund. Throughout the year, the Board compared Fund performance to the performance of a comparable group of mutual funds, relevant benchmarks, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by each Fund’s portfolio management team discussing each Fund’s performance, investment strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the experience of each Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group. The Board engaged in a review of BlackRock’s compensation structure with respect to each Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services provided to each Fund. BlackRock and its affiliates provide each Fund with certain administrative, shareholder and other services (in addition to any such services provided to each Fund by third parties) and officers and other personnel as are necessary for the operations of each Fund. In particular, BlackRock and its affiliates provide each Fund with administrative services including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators; (iv) overseeing and coordinating the activities of third-party service providers including, among others, each Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing or managing administrative functions necessary for the operation of each Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing each Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans.
The Board noted that the engagement of the Sub-Advisor with respect to BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio and BATS: Series S Portfolio facilitates the provision of investment advice and trading by investment personnel out of non-U.S. jurisdictions. The Board considered that this arrangement provides additional flexibility to the portfolio management team, which may benefit the pertinent Fund and its shareholders.
B. The Investment Performance of each Fund
The Board, including the Independent Board Members, reviewed and considered the performance history of each Fund throughout the year and at the May Meeting. In preparation for the May Meeting, the Board was provided with reports independently prepared by Broadridge, which included an analysis of each Fund’s performance as of December 31, 2023, as compared to its Performance Peers. Broadridge ranks funds in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. In connection with its review, the Board received and reviewed information regarding the investment performance of each Fund. The Board and its Performance Oversight Committee regularly review and meet with Fund management to discuss the performance of each Fund throughout the year.
In evaluating performance, the Board focused particular attention on funds with less favorable performance records. The Board also noted that while it found the data provided by Broadridge generally useful, it recognized the limitations of such data, including in particular, that notable differences may exist between a fund and its Performance Peers (for example, the investment objectives and strategies). Further, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. The Board also acknowledged that long-term performance could be impacted by even one period of significant outperformance or underperformance, and that a single investment theme could have the ability to disproportionately affect long-term performance.
The Board noted that the Funds are investments that are available solely to separately managed accounts or institutional clients, primarily to complement their existing BlackRock fixed-income portfolios. Given the resulting comparability issues to peer funds, rather than a comparison to peers, the Board reviewed other performance criteria for the Funds.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services and Estimated Profits Realized by BlackRock and its Affiliates from their Relationship with each Fund
The Board, including the Independent Board Members, reviewed each Fund’s contractual management fee rate. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board noted that BlackRock does not charge each Fund an advisory fee. The Board reviewed BlackRock’s estimated profitability with respect to other funds the Board currently oversees for the year ended December 31, 2023 compared to available aggregate estimated profitability data provided for the prior two years. The Board reviewed BlackRock’s estimated profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the estimated profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at the individual fund level is difficult.
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121 |
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time and resources, assumption of risk, and liability profile in servicing each Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that BlackRock does not charge the Funds an advisory fee, although investors in the Funds will pay a fee to an affiliate of BlackRock or their managed account program sponsor. The Board also noted that BlackRock and the Board have contractually agreed to waive all fees and pay or reimburse all direct expenses of each Fund, except extraordinary expenses. Extraordinary expenses may include interest expense, dividend expense and acquired fund fees and expenses.
D. Economies of Scale
The Board, including the Independent Board Members, considered the extent to which any economies of scale might benefit each Fund in a variety of ways as the assets of each Fund increase. The Board considered multiple factors, including the advisory fee rate and breakpoints, unitary fee structure, fee waivers, and/or expense caps, as applicable. The Board considered each Fund’s asset levels and whether the current fee schedule was appropriate.
E. Other Factors Deemed Relevant by the Board Members
The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with each Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to each Fund, including for administrative, distribution, securities lending, and cash management services. With respect to securities lending, during the year the Board also considered information provided by independent third-party consultants related to the performance of each BlackRock affiliate as securities lending agent. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
In connection with its consideration of the Agreements, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
Conclusion
At the June Meeting, in a continuation of the discussions that occurred during the May Meeting, and as a culmination of the Board’s year-long deliberative process, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement between the Manager and the Trust, on behalf of each Fund, for a one-year term ending June 30, 2025, and the Sub-Advisory Agreements between the Manager and the Sub-Advisor, with respect to BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio and BATS: Series S Portfolio, for a one-year term ending June 30, 2025. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of each Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were advised by independent legal counsel throughout the deliberative process.
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Additional Information
Changes in and Disagreements with Accountants
Not applicable.
Proxy Results
Not applicable.
Remuneration Paid to Trustees, Officers, and Others
Compensation to the independent directors/trustees of the Trust is paid by the Trust, on behalf of the Funds.
General Information
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.
BlackRock’s Mutual Fund Family
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed income and tax-exempt investing. Visit blackrock.com for more information.
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
| (a) |
Excludes BATS: Series E Portfolio and BATS: Series V Portfolio |
Independent Registered Public Accounting Firm
Deloitte & Touche LLP
Boston, MA 02110
Distributor
BlackRock Investments, LLC
New York, NY 10001
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019
Address of the Trust
100 Bellevue Parkway
Wilmington, DE 19809
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| A D D I T I O N A L I N F O R M A T I O N |
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123 |
Glossary of Terms Used in this Report
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| Currency Abbreviation |
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| CAD |
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Canadian Dollar |
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| EUR |
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Euro |
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| JPY |
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Japanese Yen |
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| USD |
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United States Dollar |
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| Portfolio Abbreviation |
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| ABS |
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Asset-Backed Security |
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| AGM |
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Assured Guaranty Municipal Corp. |
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| AMT |
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Alternative Minimum Tax |
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| BAN |
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Bond Anticipation Notes |
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| CLO |
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Collateralized Loan Obligation |
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| COL |
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Collateralized |
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| DAC |
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Designated Activity Co. |
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| EDA |
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Economic Development Authority |
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| EDC |
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Economic Development Corp. |
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| ESTRON |
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Euro Short-Term Rate |
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| EURIBOR |
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Euro Interbank Offered Rate |
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| FHLMC |
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Federal Home Loan Mortgage Corp. |
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| FNMA |
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Federal National Mortgage Association |
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| GNMA |
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Government National Mortgage Association |
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| GO |
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General Obligation Bonds |
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| GTD |
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Guaranteed |
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| HDA |
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Housing Development Authority |
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| HFA |
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Housing Finance Agency |
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| IDA |
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Industrial Development Authority |
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| IDB |
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Industrial Development Board |
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| IDC |
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Industrial Development Corp. |
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| IO |
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Interest Only |
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| ISD |
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Independent School District |
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| LIBOR |
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London Interbank Offered Rate |
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| LIQ |
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Liquidity Agreement |
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| LOC |
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Letter of Credit |
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| LP |
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Limited Partnership |
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| NVS |
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Non-Voting Shares |
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| OTC |
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Over-the-Counter |
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| RB |
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Revenue Bonds |
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| REMIC |
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Real Estate Mortgage Investment Conduit |
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| SBPA |
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Stand-By Bond Purchase Agreements |
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| SOFR |
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Secured Overnight Financing Rate |
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| TA |
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Tax Allocation |
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| TBA |
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To-be-Announced |
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| TECP |
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Tax-Exempt Commercial Paper |
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| TONA |
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Tokyo Overnight Average Rate |
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| VRDN |
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Variable Rate Demand Note |
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Want to know more?
blackrock.com | 800-441-7762
This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless preceded or accompanied by the Funds’ current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
| Item 8 – |
Changes in and Disagreements with Accountants for Open-End Management Investment Companies – See Item 7 |
| Item 9 – |
Proxy Disclosures for Open-End Management Investment Companies – See Item 7 |
| Item 10 – |
Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies – See Item 7 |
| Item 11 – |
Statement Regarding Basis for Approval of Investment Advisory Contract – See Item 7 |
| Item 12 – |
Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable |
| Item 13 – |
Portfolio Managers of Closed-End Management Investment Companies – Not Applicable |
| Item 14 – |
Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable |
| Item 15 – |
Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
| Item 16 – |
Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
| Item 17 – |
Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable |
| Item 18 – |
Recovery of Erroneously Awarded Compensation – Not Applicable |
| Item 19 – |
Exhibits attached hereto |
(a)(1) Code of Ethics – Not Applicable to this semi-annual report
(a)(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant’s securities are listed – Not Applicable
(a)(3) Section 302 Certifications are attached
(a)(4) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
(a)(5) Change in registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached
3
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
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By: |
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/s/ John M. Perlowski |
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John M. Perlowski |
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Chief Executive Officer (principal executive officer) of |
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BlackRock Allocation Target Shares |
Date: November 20, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
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By: |
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/s/ John M. Perlowski |
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John M. Perlowski |
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Chief Executive Officer (principal executive officer) of |
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BlackRock Allocation Target Shares |
Date: November 20, 2024
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By: |
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/s/ Trent Walker |
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Trent Walker |
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Chief Financial Officer (principal financial officer) of |
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BlackRock Allocation Target Shares |
Date: November 20, 2024
4
