# EDGAR Filing Document

**Accession Number:** 0001221845
**File Stem:** 0001193125-25-135640
**Filing Date:** 2025-6
**Character Count:** 857740
**Document Hash:** e53c262de5e51fc0e910d629f521036f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001193125-25-135640.hdr.sgml**: 20250605

**ACCESSION NUMBER**: 0001193125-25-135640

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 26

**CONFORMED PERIOD OF REPORT**: 20250331

**FILED AS OF DATE**: 20250605

**DATE AS OF CHANGE**: 20250605

**EFFECTIVENESS DATE**: 20250605

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** BLACKROCK ALLOCATION TARGET SHARES
- **CENTRAL INDEX KEY:** 0001221845

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21457
- **FILM NUMBER:** 251026461

**BUSINESS ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809
- **BUSINESS PHONE:** 800-441-7762

**MAIL ADDRESS:**
- **STREET 1:** 100 BELLEVUE PARKWAY
- **CITY:** WILMINGTON
- **STATE:** DE
- **ZIP:** 19809

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** BLACKROCK BOND ALLOCATION TARGET SHARES
- **DATE OF NAME CHANGE:** 20030306

## Series and Classes Contracts Data

### BATS SERIES C (Series ID: S000001469)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000003891 | BATS SERIES C | BRACX           |

### BATS SERIES M (Series ID: S000001470)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000003892 | BATS SERIES M | BRAMX           |

### BATS SERIES S (Series ID: S000001471)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000003893 | BATS SERIES S | BRASX           |

### BATS SERIES P (Series ID: S000011985)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000032703 | BATS SERIES P | BATPX           |

### BATS SERIES E (Series ID: S000046220)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000144517 | BATS SERIES E | BATEX           |

### BATS SERIES A (Series ID: S000047014)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000146955 | BATS SERIES A |  |

### BATS: Series V Portfolio (Series ID: S000071703)

| Class ID   | Class Name               | Ticker Symbol   |
|:---|:---|:---|
| C000227189 | BATS: Series V Portfolio |  |

?xml version='1.0' encoding='ASCII'? BlackRock Allocation Target Shares

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

#### FORM N-CSR

#### CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:

811-21457

Name of Fund:

BlackRock Allocation Target Shares

BATS: Series A Portfolio

BATS: Series C Portfolio

BATS: Series E Portfolio

BATS: Series M Portfolio

BATS: Series P Portfolio

BATS: Series S Portfolio

BATS: Series V Portfolio

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

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

Registrant's telephone number, including area code:

&nbsp;&nbsp;&nbsp;&nbsp;(800) 441-7762

Date of fiscal year end:

03/31/2025

Date of reporting period:

03/31/2025

Item 1 — Reports to Stockholders

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The Reports to Shareholders are attached herewith

![TSR - Blackrock Fund Logo](g742859images_27640.jpg)

### BATS: Series A Portfolio

### BATAX

#### Annual Shareholder Report — March 31, 2025

------

This annual shareholder report contains important information about BATS: Series A Portfolio (the "Fund") for the period of April 1, 2024 to March 31, 2025. 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 year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund name** | **Costs of a $10,000<br>investment** | **Costs paid as a percentage of a <br>$10,000 investment** |
| BATS: Series A Portfolio | $0(a) | 0.01% |

---

<sup><sup>(a)</sup></sup><sup>Rounds to less than $1.</sup>

How did the Fund perform last year?

* For the reporting period ended March 31, 2025, the Fund returned 8.11%. 

* For the same period, the Bloomberg U.S. Universal Index returned 5.24% and the Reference Benchmark returned 6.51%. 

What contributed to performance?

All securitized asset classes contributed positively to the Fund's performance. Contributions were led by exposure to non-agency residential mortgage-backed securities, particularly those backed by near prime, non-performing/re-performing and subprime loans. This was followed by holdings of single asset/single borrower senior tranches within commercial mortgage-backed securities and AAA-rated collateralized loan obligations ("CLOs"), as those categories posted the largest gains over the period. Allocations to AA-rated CLOs, private student loan asset-backed securities ("ABS") and unsecured consumer ABS also showed positive returns.

The Fund held some private whole loan securities including commercial mortgage loans and consumer whole loans. These private holdings also produced positive returns.

What detracted from performance?

There were no material detractors from the Fund's performance during the reporting period.

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

#### Fund performance
Cumulative performance: September 21, 2015 through March 31, 2025

Initial investment of $10,000

![Fund Performance - Growth of 10K](g742859chartimages_9816359.jpg)

See "Average annual total returns" for additional information on fund performance.

Average annual total returns

---

| | | | |
|:---|:---|:---|:---|
|  | *1 Year* | *5 Years* | *Since Fund<br>Inception* |
| BATS: Series A Portfolio | 8.11% | 5.79% | 4.70% |
| Bloomberg U.S. Universal Index | 5.24 | 0.32 | 2.02 |
| Reference Benchmark | 6.51 | 2.27 | 2.48 |

---

Key Fund statistics

---

| | |
|:---|:---|
| Net Assets | &nbsp;&nbsp;$3576385769 |
| Number of Portfolio Holdings | &nbsp;&nbsp;1753 |
| Net Investment Advisory Fees | &nbsp;&nbsp;$0 |
| Portfolio Turnover Rate | &nbsp;&nbsp;50% |

---

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 March 31, 2025)

**Portfolio composition**

---

| | |
|:---|:---|
| *Investment Type* | &nbsp;&nbsp;*Percent of Total<br>Investments<sup>(a)</sup>* |
| Non-Agency Mortgage-Backed Securities | 50.0% |
| Asset-Backed Securities | 49.3% |
| U.S. Government Sponsored Agency Securities | 0.4% |
| Floating Rate Loan Interests | 0.3% |
| Corporate Bonds | — %(b) |

---

**Credit quality allocation**

---

| | |
|:---|:---|
| *Credit Rating<sup>(c)</sup>* | *Percent of Total<br>Investments<sup>(a)</sup>* |
| AAA/Aaa<sup>(d)</sup> | 36.5% |
| AA/Aa | 5.2% |
| A | 2.8% |
| BBB/Baa | 2.9% |
| BB/Ba | 3.4% |
| B | 0.8% |
| CCC/Caa | 1.7% |
| CC/Ca | 1.2% |
| C | 0.9% |
| D | 0.1% |
| N/R | 44.5% |

---

---

| |
|:---|
| <sup><sup>(a)</sup></sup><sup>Excludes short-term securities, short investments and options, if any.</sup> |
| <sup><sup>(b)</sup></sup><sup>Rounds to less than 0.1%.</sup> |
| <sup><sup>(c)</sup></sup><sup>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.</sup> |
| <sup><sup>(d)</sup></sup><sup>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.</sup> |

---

#### 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**.

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

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.©2025 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.

![TSR - Blackrock Footer Logo](g742859images_27639.jpg)

BATS: Series A Portfolio

Annual Shareholder Report — March 31, 2025

BATAX-03/25-AR

![TSR - Blackrock Fund Logo](g742859images_27640.jpg)

### BATS: Series C Portfolio

### BRACX

#### Annual Shareholder Report — March 31, 2025

------

This annual shareholder report contains important information about BATS: Series C Portfolio (the "Fund") for the period of April 1, 2024 to March 31, 2025. 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 year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund name** | **Costs of a $10,000<br>investment** | **Costs paid as a percentage of a <br>$10,000 investment** |
| BATS: Series C Portfolio | $0(a) | 0.00%(b) |

---

---

| |
|:---|
| <sup><sup>(a)</sup></sup> |
| <sup><sup>(b)</sup></sup> <sup>Rounds to less than 0.01%.</sup> |

---

How did the Fund perform last year?

* For the reporting period ended March 31, 2025, the Fund returned 4.73%. 

* For the same period, the Bloomberg U.S. Aggregate Bond Index returned 4.88% and the Bloomberg U.S. Credit Index returned 4.87%. 

What contributed to performance?

The Fund's allocations to the banking, utilities and technology sectors were the leading contributors.

What detracted from performance?

The Fund's duration and yield curve positioning was the largest detractor, followed by allocations to the consumer services sector and non-U.S. government debt. (Duration is a measure of interest rate sensitivity).

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

#### Fund performance
Cumulative performance: April 1, 2015 through March 31, 2025

Initial investment of $10,000

![Fund Performance - Growth of 10K](g742859chartimages_9816403.jpg)

See "Average annual total returns" for additional information on fund performance.

Average annual total returns

---

| | | | |
|:---|:---|:---|:---|
|  | *1 Year* | *5 Years* | *10 Years* |
| BATS: Series C Portfolio | 4.73% | 1.78% | 2.68% |
| Bloomberg U.S. Aggregate Bond Index | 4.88 | (0.40) | 1.46 |
| Bloomberg U.S. Credit Index | 4.87 | 1.35 | 2.31 |

---

Key Fund statistics

---

| | |
|:---|:---|
| Net Assets | &nbsp;&nbsp;$439499546 |
| Number of Portfolio Holdings | &nbsp;&nbsp;837 |
| Net Investment Advisory Fees | &nbsp;&nbsp;$0 |
| Portfolio Turnover Rate | &nbsp;&nbsp;446% |

---

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 March 31, 2025)

**Portfolio composition**

---

| | |
|:---|:---|
| *Investment Type* | &nbsp;&nbsp;*Percent of Total<br>Investments<sup>(a)</sup>* |
| Corporate Bonds | 88.9% |
| Preferred Securities | 3.3% |
| U.S. Treasury Obligations | 3.0% |
| Foreign Government Obligations | 3.0% |
| Foreign Agency Obligations | 0.9% |
| Municipal Bonds | 0.9% |

---

**Credit quality allocation**

---

| | |
|:---|:---|
| *Credit Rating<sup>(b)</sup>* | *Percent of Total<br>Investments<sup>(a)</sup>* |
| AAA/Aaa<sup>(c)</sup> | 3.0% |
| AA/Aa | 5.4% |
| A | 27.0% |
| BBB/Baa | 61.1% |
| BB/Ba | 2.3% |
| N/R | 1.2% |

---

---

| |
|:---|
| <sup><sup>(a)</sup></sup><sup>Excludes short-term securities, short investments and options, if any.</sup> |
| <sup><sup>(b)</sup></sup><sup>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.</sup> |
| <sup><sup>(c)</sup></sup><sup>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.</sup> |

---

#### 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**.

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

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.©2025 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.

![TSR - Blackrock Footer Logo](g742859images_27639.jpg)

BATS: Series C Portfolio

Annual Shareholder Report — March 31, 2025

BRACX-03/25-AR

![TSR - Blackrock Fund Logo](g742859images_27640.jpg)

### BATS: Series E Portfolio

### BATEX

#### Annual Shareholder Report — March 31, 2025

------

This annual shareholder report contains important information about BATS: Series E Portfolio (the "Fund") for the period of April 1, 2024 to March 31, 2025. 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 year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund name** | **Costs of a $10,000<br>investment** | **Costs paid as a percentage of a <br>$10,000 investment** |
| BATS: Series E Portfolio | $0(a) | 0.05% |

---

<sup><sup>(a)</sup></sup><sup>Rounds to less than $1.</sup>

How did the Fund perform last year?

* For the reporting period ended March 31, 2025, the Fund returned 5.05%. 

* For the same period, the Bloomberg Municipal Bond Index returned 1.22% and the Bloomberg Municipal High Yield Bond Index returned 5.59%. 

What contributed to performance?

On a sector basis, other industries, utilities and healthcare were the largest contributors to absolute performance. In terms of ratings categories, non-rated bonds—which had a 41% portfolio weighting at the close of the period—were the largest contributors by a wide margin. More generally, high yield bonds outperformed investment-grade securities. Bonds with maturities of 25 years and longer were also significant contributors.

At the individual holding level, the Fund benefitted from strong total returns for Puerto Rico Electric Power Authority bonds, Puerto Rico contingent value securities, and the bonds of Brightline East and Brightline West (which were issued to finance a high-speed rail project between Las Vegas and Southern California).

What detracted from performance?

At a time of positive performance for the Fund, no sector, rating, maturity, or coupon category experienced a negative total return. A few individual tobacco bonds posted losses due to declining consumption figures, but the Fund's overall position in the sector nonetheless delivered a gain. Short-duration, high-grade securities, while producing gains in absolute terms, made the smallest contribution.

The Fund's cash weighting was slightly elevated as of March 31, 2025. Cash yields remained attractive, and the securities provided stability to the Fund in periods of volatility.

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

#### Fund performance
Cumulative performance: April 1, 2015 through March 31, 2025

Initial investment of $10,000

![Fund Performance - Growth of 10K](g742859chartimages_9816447.jpg)

See "Average annual total returns" for additional information on fund performance.

Average annual total returns

---

| | | | |
|:---|:---|:---|:---|
|  | *1 Year* | *5 Years* | *10 Years* |
| BATS: Series E Portfolio | 5.05% | 4.19% | 4.47% |
| Bloomberg Municipal Bond Index | 1.22 | 1.07 | 2.13 |
| Bloomberg Municipal High Yield Bond Index | 5.59 | 4.31 | 4.25 |
| Customized Reference Benchmark | 4.05 | 3.31 | N/A |
| Customized Reference Benchmark (prior) | 2.73 | 2.21 | N/A |

---

Key Fund statistics

---

| | |
|:---|:---|
| Net Assets | &nbsp;&nbsp;$527280263 |
| Number of Portfolio Holdings | &nbsp;&nbsp;655 |
| Net Investment Advisory Fees | &nbsp;&nbsp;$0 |
| Portfolio Turnover Rate | &nbsp;&nbsp;23% |

---

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 March 31, 2025)

**Sector allocation**

---

| | |
|:---|:---|
| *Sector* | &nbsp;&nbsp;*Percent of Total<br>Investments* |
| County/City/Special District/School District | 35.9% |
| Transportation | 17.0% |
| Utilities | 14.7% |
| Health Care | 11.3% |
| Education | 10.6% |
| Housing | 5.9% |
| Tobacco | 4.6% |

---

**Credit quality allocation**

---

| | |
|:---|:---|
| *Credit Rating<sup>(a)</sup>* | *Percent of Total<br>Investments* |
| AAA/Aaa | 2.8% |
| AA/Aa | 16.7% |
| A | 11.8% |
| BBB/Baa | 10.5% |
| BB/Ba | 7.9% |
| B | 1.5% |
| CCC/Caa | 0.3% |
| N/R | 48.5% |

---

<sup><sup>(a)</sup></sup><sup>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.</sup>

#### 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**.

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

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.©2025 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.

![TSR - Blackrock Footer Logo](g742859images_27639.jpg)

BATS: Series E Portfolio

Annual Shareholder Report — March 31, 2025

BATEX-03/25-AR

![TSR - Blackrock Fund Logo](g742859images_27640.jpg)

### BATS: Series M Portfolio

### BRAMX

#### Annual Shareholder Report — March 31, 2025

------

This annual shareholder report contains important information about BATS: Series M Portfolio (the "Fund") for the period of April 1, 2024 to March 31, 2025. 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 year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund name** | **Costs of a $10,000<br>investment** | **Costs paid as a percentage of a <br>$10,000 investment** |
| BATS: Series M Portfolio | $0(a) | 0.00%(b) |

---

---

| |
|:---|
| <sup><sup>(a)</sup></sup> |
| <sup><sup>(b)</sup></sup> <sup>Rounds to less than 0.01%.</sup> |

---

How did the Fund perform last year?

* For the reporting period ended March 31, 2025, the Fund returned 5.96%. 

* For the same period, the Bloomberg U.S. Aggregate Bond Index returned 4.88% and the Bloomberg MBS Index returned 5.39%. 

What contributed to performance?

Out-of-benchmark allocations to commercial mortgage-backed securities were a leading contributor to performance. Agency mortgage derivatives and fixed rate collateralized mortgage obligations also contributed positively. Within residential mortgage-backed securities, the Fund's active benchmark strategy, which implements relative value decisions between specified pools and to-be-announced securities ("TBAs") contributed positively to performance.

What detracted from performance?

The Fund's active management of duration and corresponding sensitivity to changes in interest rates detracted modestly from performance over the period.

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

#### Fund performance
Cumulative performance: April 1, 2015 through March 31, 2025

Initial investment of $10,000

![Fund Performance - Growth of 10K](g742859chartimages_9816491.jpg)

See "Average annual total returns" for additional information on fund performance.

Average annual total returns

---

| | | | |
|:---|:---|:---|:---|
|  | *1 Year* | *5 Years* | *10 Years* |
| BATS: Series M Portfolio | 5.96% | 0.13% | 1.51% |
| Bloomberg U.S. Aggregate Bond Index | 4.88 | (0.40) | 1.46 |
| Bloomberg MBS Index | 5.39 | (0.69) | 1.11 |

---

Key Fund statistics

---

| | |
|:---|:---|
| Net Assets | &nbsp;&nbsp;$1295016533 |
| Number of Portfolio Holdings | &nbsp;&nbsp;1145 |
| Net Investment Advisory Fees | &nbsp;&nbsp;$0 |
| Portfolio Turnover Rate | &nbsp;&nbsp;892% |

---

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 March 31, 2025)

**Portfolio composition**

---

| | |
|:---|:---|
| *Investment Type* | &nbsp;&nbsp;*Percent of Total<br>Investments<sup>(a)</sup>* |
| U.S. Government Sponsored Agency Securities | 93.1% |
| Non-Agency Mortgage-Backed Securities | 5.4% |
| Asset-Backed Securities | 1.5% |

---

**Credit quality allocation**

---

| | |
|:---|:---|
| *Credit Rating<sup>(b)</sup>* | *Percent of Total<br>Investments<sup>(a)</sup>* |
| AAA/Aaa<sup>(c)</sup> | 97.3% |
| AA/Aa | 0.2% |
| A | 0.2% |
| BBB/Baa | 0.1% |
| N/R | 2.2% |

---

---

| |
|:---|
| <sup><sup>(a)</sup></sup><sup>Excludes short-term securities, short investments and options, if any.</sup> |
| <sup><sup>(b)</sup></sup><sup>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.</sup> |
| <sup><sup>(c)</sup></sup><sup>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.</sup> |

---

#### 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**.

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

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.©2025 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.

![TSR - Blackrock Footer Logo](g742859images_27639.jpg)

BATS: Series M Portfolio

Annual Shareholder Report — March 31, 2025

BRAMX-03/25-AR

![TSR - Blackrock Fund Logo](g742859images_27640.jpg)

### BATS: Series P Portfolio

### BATPX

#### Annual Shareholder Report — March 31, 2025

------

This annual shareholder report contains important information about BATS: Series P Portfolio (the "Fund") for the period of April 1, 2024 to March 31, 2025. 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 year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund name** | **Costs of a $10,000<br>investment** | **Costs paid as a percentage of a <br>$10,000 investment** |
| BATS: Series P Portfolio | $0(a) | 0.00%(b) |

---

---

| |
|:---|
| <sup><sup>(a)</sup></sup> |
| <sup><sup>(b)</sup></sup> <sup>Rounds to less than 0.01%.</sup> |

---

How did the Fund perform last year?

* For the reporting period ended March 31, 2025, the Fund returned 6.75%. 

* For the same period, the Bloomberg U.S. Aggregate Bond Index returned 4.88% and the Bloomberg U.S. Treasury 7-10 Year Bond Index returned 4.65%. 

What contributed to performance?

Allocations to cash and cash-like securities made the largest contribution to Fund performance. The Fund held cash as collateral in conjunction with its investments in U.S. Treasury futures and interest rate swaps.

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

The Fund's position in the Series S Portfolio also contributed positively.

What detracted from performance?

At a time of positive performance for the Fund, no aspects of its positioning stood out as meaningful detractors. However, certain individual securities in BlackRock Allocation Target Shares Series S posted negative absolute returns during the reporting period.

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

#### Fund performance
Cumulative performance: April 1, 2015 through March 31, 2025

Initial investment of $10,000

![Fund Performance - Growth of 10K](g742859chartimages_9816535.jpg)

See "Average annual total returns" for additional information on fund performance.

Average annual total returns

---

| | | | |
|:---|:---|:---|:---|
|  | *1 Year* | *5 Years* | *10 Years* |
| BATS: Series P Portfolio | 6.75% | 8.17% | 2.56% |
| Bloomberg U.S. Aggregate Bond Index | 4.88 | (0.40) | 1.46 |
| Bloomberg U.S. Treasury 7-10 Year Bond Index | 4.65 | (2.52) | 0.87 |
| Bloomberg U.S. Bellwether 10 Year Swap Index | 4.24 | (3.37) | 0.68 |

---

Key Fund statistics

---

| | |
|:---|:---|
| Net Assets | &nbsp;&nbsp;$3481645 |
| Number of Portfolio Holdings | &nbsp;&nbsp;16 |
| Net Investment Advisory Fees | &nbsp;&nbsp;$0 |
| Portfolio Turnover Rate | &nbsp;&nbsp;134% |

---

The Fund has added the Bloomberg U.S. Aggregate Bond Index in response to new regulatory requirements.

The Fund's 1 Year annual total return was impacted by a third-party payment for an operating event. Excluding the payment, the Fund's 1 Year annual total return would have been 6.34%.

**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 March 31, 2025)

**Portfolio composition**

---

| | |
|:---|:---|
| *Investment Type* | &nbsp;&nbsp;*Percent of Total<br>Investments* |
| Fixed-Income Funds | 21.0% |
| Short-Term Securities | 79.0% |

---

#### 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**.

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

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.©2025 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.

![TSR - Blackrock Footer Logo](g742859images_27639.jpg)

BATS: Series P Portfolio

Annual Shareholder Report — March 31, 2025

BATPX-03/25-AR

![TSR - Blackrock Fund Logo](g742859images_27640.jpg)

### BATS: Series S Portfolio

### BRASX

#### Annual Shareholder Report — March 31, 2025

------

This annual shareholder report contains important information about BATS: Series S Portfolio (the "Fund") for the period of April 1, 2024 to March 31, 2025. 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 year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund name** | **Costs of a $10,000<br>investment** | **Costs paid as a percentage of a <br>$10,000 investment** |
| BATS: Series S Portfolio | $0(a) | 0.00%(b) |

---

---

| |
|:---|
| <sup><sup>(a)</sup></sup> |
| <sup><sup>(b)</sup></sup> <sup>Rounds to less than 0.01%.</sup> |

---

How did the Fund perform last year?

* For the reporting period ended March 31, 2025, the Fund returned 6.31%. 

* For the same period, the Bloomberg U.S. Aggregate Bond Index returned 4.88% and the ICE BofA 1-3 Year U.S. Treasury Index returned 5.43%. 

What contributed to performance?

The Fund's allocation to investment-grade corporate bonds made the largest contribution to absolute performance. Allocations to asset-backed securities, U.S. Treasuries, agency residential mortgage-backed securities, and commercial mortgage-backed securities positively impacted returns, as well.

What detracted from performance?

At a time of positive performance for the Fund, no aspects of its positioning stood out as meaningful detractors. However, certain individual securities posted negative absolute returns in the period.

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

#### Fund performance
Cumulative performance: April 1, 2015 through March 31, 2025

Initial investment of $10,000

![Fund Performance - Growth of 10K](g742859chartimages_9816579.jpg)

See "Average annual total returns" for additional information on fund performance.

Average annual total returns

---

| | | | |
|:---|:---|:---|:---|
|  | *1 Year* | *5 Years* | *10 Years* |
| BATS: Series S Portfolio | 6.31% | 3.26% | 2.62% |
| Bloomberg U.S. Aggregate Bond Index | 4.88 | (0.40) | 1.46 |
| ICE BofA 1-3 Year U.S. Treasury Index | 5.43 | 1.16 | 1.50 |

---

Key Fund statistics

---

| | |
|:---|:---|
| Net Assets | &nbsp;&nbsp;$364929043 |
| Number of Portfolio Holdings | &nbsp;&nbsp;666 |
| Net Investment Advisory Fees | &nbsp;&nbsp;$0 |
| Portfolio Turnover Rate | &nbsp;&nbsp;162% |

---

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 March 31, 2025)

**Portfolio composition**

---

| | |
|:---|:---|
| *Investment Type* | &nbsp;&nbsp;*Percent of Total<br>Investments<sup>(a)</sup>* |
| Corporate Bonds | 33.5% |
| Asset-Backed Securities | 24.0% |
| U.S. Treasury Obligations | 16.9% |
| Non-Agency Mortgage-Backed Securities | 14.2% |
| U.S. Government Sponsored Agency Securities | 11.0% |
| Foreign Government Obligations | 0.4% |

---

**Credit quality allocation**

---

| | |
|:---|:---|
| *Credit Rating<sup>(b)</sup>* | *Percent of Total<br>Investments* |
| AAA/Aaa<sup>(c)</sup> | 61.4% |
| AA/Aa | 1.7% |
| A | 12.9% |
| BBB/Baa | 19.0% |
| N/R | 5.0% |

---

---

| |
|:---|
| <sup><sup>(a)</sup></sup><sup>Excludes short-term securities, short investments and options, if any.</sup> |
| <sup><sup>(b)</sup></sup><sup>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.</sup> |
| <sup><sup>(c)</sup></sup><sup>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.</sup> |

---

#### 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**.

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

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.©2025 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.

![TSR - Blackrock Footer Logo](g742859images_27639.jpg)

BATS: Series S Portfolio

Annual Shareholder Report — March 31, 2025

BRASX-03/25-AR

![TSR - Blackrock Fund Logo](g742859images_27640.jpg)

### BATS: Series V Portfolio

### BATVX

#### Annual Shareholder Report — March 31, 2025

------

This annual shareholder report contains important information about BATS: Series V Portfolio (the "Fund") for the period of April 1, 2024 to March 31, 2025. 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 year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Fund name** | **Costs of a $10,000<br>investment** | **Costs paid as a percentage of a <br>$10,000 investment** |
| BATS: Series V Portfolio | $0(a) | 0.00%(b) |

---

---

| |
|:---|
| <sup><sup>(a)</sup></sup> |
| <sup><sup>(b)</sup></sup> <sup>Rounds to less than 0.01%.</sup> |

---

How did the Fund perform last year?

* For the reporting period ended March 31, 2025, the Fund returned 3.23%. 

* For the same period, the Bloomberg Municipal Bond Index returned 1.22% and the SIFMA Municipal Swap Index returned 3.21%. 

What contributed to performance?

The Fund maintained high levels of liquidity while providing an attractive yield primarily through its holdings of variable rate demand notes ("VRDNs"). The Fund also opportunistically laddered maturities in holdings of attractive municipal commercial paper and select fixed-rate, tax-backed local credits, through both municipal notes and bonds. The Fund maintained its bias for daily and weekly reset VRDNs while also holding select longer-dated commercial paper and municipal notes. The Fund's weighted average maturity ("WAM") of 29 days remained longer than the benchmark WAM of 7 days, as the Fund took advantage of opportunities presented by interest rate volatility to purchase fixed-rate securities when their yields appeared attractive relative to expected VRDN yields.

What detracted from performance?

There were no material detractors from the Fund's performance during the reporting period.

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

#### Fund performance
Cumulative performance: May 5, 2021 through March 31, 2025

Initial investment of $10,000

![Fund Performance - Growth of 10K](g742859chartimages_9816623.jpg)

See "Average annual total returns" for additional information on fund performance.

Average annual total returns

---

| | | |
|:---|:---|:---|
|  | *1 Year* | *Since Fund<br>Inception* |
| BATS: Series V Portfolio | 3.23% | 2.17% |
| Bloomberg Municipal Bond Index | 1.22 | (0.24) |
| SIFMA Municipal Swap Index | 3.21 | 2.19 |

---

Key Fund statistics

---

| | |
|:---|:---|
| Net Assets | &nbsp;&nbsp;$125127991 |
| Number of Portfolio Holdings | &nbsp;&nbsp;81 |
| Net Investment Advisory Fees | &nbsp;&nbsp;$0 |
| Portfolio Turnover Rate | &nbsp;&nbsp;233% |

---

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 March 31, 2025)

**Sector allocation**

---

| | |
|:---|:---|
| *Sector* | &nbsp;&nbsp;*Percent of Total<br>Investments* |
| Housing | 26.5% |
| County/City/Special District/School District | 25.1% |
| Health Care | 19.3% |
| Education | 15.8% |
| Utilities | 12.5% |
| Transportation | 0.8% |

---

#### 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**.

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

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.©2025 BlackRock, Inc. or its affiliates. All rights reserved. BLACKROCK is a registered trademark of BlackRock, Inc. or its affiliates.

![TSR - Blackrock Footer Logo](g742859images_27639.jpg)

BATS: Series V Portfolio

Annual Shareholder Report — March 31, 2025

BATVX-03/25-AR

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Not Applicable

---

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

---

------

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

Lorenzo A. Flores

Catherine A. Lynch

Arthur P. Steinmetz

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

Item 4 – Principal Accountant Fees and Services

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

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **(a) Audit Fees** | **(a) Audit Fees** | (b) Audit-Related<br> **Fees<sup>1</sup>** | (b) Audit-Related<br> **Fees<sup>1</sup>** | **(c) Tax Fees<sup>2</sup>** | **(c) Tax Fees<sup>2</sup>** | **(d) All Other Fees** | **(d) All Other Fees** |
| &nbsp;&nbsp;&nbsp;**Entity Name** | **<u>Current</u> <br><u>Fiscal</u><br><u>Year</u>**<br> **<u>End</u>** | **<u>Previous</u> <br><u>Fiscal</u><br><u>Year</u>**<br> **<u>End</u>** | **<u>Current</u> <br><u>Fiscal</u><br><u>Year</u>**<br> **<u>End</u>** | **<u>Previous</u> <br><u>Fiscal</u><br><u>Year</u>**<br> **<u>End</u>** | **<u>Current</u> <br><u>Fiscal</u><br><u>Year</u>**<br> **<u>End</u>** | **<u>Previous</u> <br><u>Fiscal</u><br> <u>Year</u>**<br> **<u>End</u>** | **<u>Current</u> <br><u>Fiscal</u><br><u>Year</u>**<br> **<u>End</u>** | **<u>Previous</u> <br><u>Fiscal</u><br><u>Year</u>**<br> **<u>End</u>** |
| &nbsp;&nbsp;&nbsp;BATS: Series A Portfolio | $41923 | $41718 | $0 | $0 | $17600 | $17576 | $0 | $407 |
| &nbsp;&nbsp;&nbsp;BATS: Series C Portfolio | $36900 | $36720 | $0 | $0 | $17600 | $17576 | $0 | $407 |
| &nbsp;&nbsp;&nbsp;BATS: Series E Portfolio | $42948 | $42738 | $0 | $0 | $15600 | $15600 | $0 | $407 |
| &nbsp;&nbsp;&nbsp;BATS: Series M Portfolio | $32800 | $32640 | $0 | $0 | $17600 | $17576 | $0 | $407 |
| &nbsp;&nbsp;&nbsp;BATS: Series P Portfolio | $20910 | $20808 | $0 | $0 | $17600 | $17576 | $0 | $407 |
| &nbsp;&nbsp;&nbsp;BATS: Series S Portfolio | $36900 | $36720 | $0 | $0 | $17600 | $17576 | $0 | $407 |
| &nbsp;&nbsp;&nbsp;BATS: Series V Portfolio | $42948 | $42738 | $0 | $0 | $15600 | $15600 | $0 | $407 |

---

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

---

| | | |
|:---|:---|:---|
|  | **Current Fiscal Year End** | **Previous Fiscal Year End** |
| &nbsp;&nbsp;&nbsp; (b) Audit-Related Fees<sup>1</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$0 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$0 |

---

#### 2

------

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; (c) Tax Fees<sup>2</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$0 |
| &nbsp;&nbsp;&nbsp; (d) All Other Fees<sup>3</sup> | $2149000 |

---

<sup>1</sup> The nature of the services includes assurance and related services reasonably related to the performance of the audit or review of financial statements not included in Audit Fees, including accounting consultations, agreed-upon procedure reports, attestation reports, comfort letters, out-of-pocket expenses and internal control reviews not required by regulators.

<sup>2</sup> The nature of the services includes tax compliance and/or tax preparation, including services relating to the filing or amendment of federal, state or local income tax returns, regulated investment company qualification reviews, taxable income and tax distribution calculations.

<sup>3</sup> Non-audit fees of $2,149,000 and $2,149,000 for the current fiscal year and previous fiscal year, respectively, were paid to the Fund's principal accountant in their entirety by BlackRock, in connection with services provided to the Affiliated Service Providers of the Fund and of certain other funds sponsored and advised by BlackRock or its affiliates for a service organization review and an accounting research tool subscription. These amounts represent aggregate fees paid by BlackRock and were not allocated on a per fund basis.

(e)(1) Audit Committee Pre-Approval Policies and Procedures:

The Committee has adopted policies and procedures with regard to the pre-approval of services. Audit, audit-related and tax compliance services provided to the registrant on an annual basis require specific pre-approval by the Committee. The Committee also must approve other non-audit services provided to the registrant and those non-audit services provided to the Investment Adviser and Affiliated Service Providers that relate directly to the operations and the financial reporting of the registrant. Certain of these non-audit services that the Committee believes are (a) consistent with the SEC's auditor independence rules and (b) routine and recurring services that will not impair the independence of the independent accountants may be approved by the Committee without consideration on a specific case-by-case basis ("general pre-approval"). The term of any general pre-approval is 12 months from the date of the pre-approval, unless the Committee provides for a different period. Tax or other non-audit services provided to the registrant which have a direct impact on the operations or financial reporting of the registrant will only be deemed pre-approved provided that any individual project does not exceed $10,000 attributable to the registrant or $50,000 per project. For this purpose, multiple projects will be aggregated to determine if they exceed the previously mentioned cost levels.

Any proposed services exceeding the pre-approved cost levels will require specific pre-approval by the Committee, as will any other services not subject to general pre-approval (e.g., unanticipated but permissible services). The Committee is informed of each service approved subject to general pre-approval at the next regularly scheduled in-person board meeting. At this meeting, an analysis of such services is presented to the Committee for ratification. The Committee may delegate to the Committee Chairman the authority to approve the provision of and fees for any specific engagement of permitted non-audit services, including services exceeding pre-approved cost levels.

(e)(2) None of the services described in each of Items 4(b) through (d) were approved by the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Not Applicable

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) The aggregate non-audit fees, defined as the sum of the fees shown under "Audit-Related Fees," "Tax Fees" and "All Other Fees," paid to the accountant for services rendered by the accountant to the registrant, the Investment Adviser and the Affiliated Service Providers were:

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;**Entity Name** | **<u>Current Fiscal Year</u> <br><u>End</u>** | **<u>Previous Fiscal</u> <br><u>Year End</u>** |
| &nbsp;&nbsp;&nbsp;BATS: Series A Portfolio | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$17600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$17983 |
| &nbsp;&nbsp;&nbsp;BATS: Series C Portfolio | $17600 | $17983 |

---

#### 3

------

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;&nbsp;BATS: Series E Portfolio | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$15600 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$16007 |
| &nbsp;&nbsp;&nbsp;BATS: Series M Portfolio | $17600 | $17983 |
| &nbsp;&nbsp;&nbsp;BATS: Series P Portfolio | $17600 | $17983 |
| &nbsp;&nbsp;&nbsp;BATS: Series S Portfolio | $17600 | $17983 |
| &nbsp;&nbsp;&nbsp;BATS: Series V Portfolio | $15600 | $16007 |

---

Additionally, the amounts billed by D&T in connection with services provided to the Affiliated Service Providers of the Fund and of other funds sponsored or advised by BlackRock or its affiliates during the current and previous fiscal years for a service organization review and an accounting research tool subscription were:

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp; **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>Current Fiscal Year</u>** <br> **<u>End</u>** | **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<u>Previous Fiscal Year</u>** <br> **<u>End</u>** |
| &nbsp;&nbsp;&nbsp; $2149000 | $2149000 |

---

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

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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) – Not Applicable

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) – Not Applicable

Item 5 – Audit Committee of Listed Registrant – Not Applicable

Item 6 – Investments

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) The registrant's Financial Statements are attached herewith.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) The registrant's Financial Highlights are attached herewith.

------

---

| | |
|:---|:---|
| ![LOGO](g742859g42l24.jpg)  | **MARCH 31, 2025** |

---

**2025 Annual Financial Statements and Additional Information**<br>

#### 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

&nbsp;&nbsp;&nbsp; **Not FDIC Insured • May Lose Value • No Bank Guarantee**<br>

------

**Table of Contents**

---

| | |
|:---|:---|
|  | **Page** |
|  [The Benefits and Risks of Leveraging](#fin742859_1) | 3 |
|  [Derivative Financial Instruments](#fin742859_2) | 3 |
|  [Schedules of Investments](#fin742859_3) | 4 |
|  [Statements of Assets and Liabilities](#fin742859_4) | 91 |
|  [Statements of Operations](#fin742859_5) | 96 |
|  [Statements of Changes in Net Assets](#fin742859_6) | 99 |
|  [Financial Highlights](#fin742859_7) | 103 |
|  [Notes to Financial Statements](#fin742859_8) | 110 |
|  [Report of Independent Registered Public Accounting Firm](#fin742859_9) | 124 |
|  [Important Tax Information](#fin742859_10) | 125 |
|  [Additional Information](#fin742859_11) | 126 |
|  [Glossary of Terms Used in these Financial Statements](#fin742859_12) | 127 |

---

2.0 ------

The Benefits and Risks of Leveraging

The Funds may utilize leverage to seek to enhance returns and net asset value ("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<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** | **Asset-Backed Securities** |
|  510 Loan Acquisition Trust, Series 2020-1, Class A, 8.11%, 09/25/60<sup>(a)(b)</sup> | USD | 409 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;407977 |
|  522 Funding CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class CR, (3-mo. CME Term SOFR + 2.31%), 6.61%,<br>10/20/31<sup>(a)(c)</sup> |  | 500 | 499564 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-5A, Class AR, (3-mo. CME Term SOFR + 1.33%), 5.63%,<br>04/15/35<sup>(a)(c)</sup> |  | 430 | 427616 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-6A, Class A1R2, (3-mo. CME Term SOFR + 1.20%), 5.49%,<br>10/23/34<sup>(a)(c)</sup> |  | 1600 | 1596463 |
|  720 East CLO VII Ltd., Series 2025-7A, Class A1, (3-mo. CME Term SOFR + 1.06%), 5.34%, 04/20/37<sup>(a)(c)</sup> |  | 6300 | 6300000 |
|  AB BSL CLO 3 Ltd., Series 2021-3A, Class A1R, (3-mo. CME Term SOFR + 1.25%), 5.57%, 04/20/38<sup>(a)(c)</sup> |  | 2080 | 2073772 |
|  AB BSL CLO 4 Ltd., Series 2023-4A, Class A, (3-mo. CME Term SOFR + 2.00%), 6.29%, 04/20/36<sup>(a)(c)</sup> |  | 1370 | 1369315 |
|  ABFC Trust, Series 2007-WMC1, Class A2B, (1-mo. CME Term SOFR + 1.11%), 5.44%, 06/25/37<sup>(c)</sup> |  | 2602 | 2145122 |
|  AccessLex Institute, Series 2007-A, Class A3, (3-mo. CME Term SOFR + 0.56%), 4.88%, 05/25/36<sup>(c)</sup> |  | 1352 | 1335346 |
|  ACE Securities Corp. Home Equity Loan Trust, Series 2005-AG1, Class M2, (1-mo. CME Term SOFR + 0.80%), 5.13%, 08/25/35<sup>(c)</sup> |  | 352 | 289112 |
|  Affirm Asset Securitization Trust, Series 2024-A, Class A, 5.61%, 02/15/29<sup>(a)</sup> |  | 1973 | 1986197 |
|  Affirm Master Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.99%, 02/15/33<sup>(a)</sup> |  | 11446 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11505679 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class B, 5.13%, 02/15/33<sup>(a)</sup> |  | 897 | 901549 |
|  AGL CLO 12 Ltd., Series 2021-12A, Class A1, (3-mo. CME Term SOFR + 1.42%), 5.72%, 07/20/34<sup>(a)(c)</sup> |  | 4000 | 4007962 |
|  AGL CLO 13 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-13A, Class A1, (3-mo. CME Term SOFR + 1.42%), 5.72%,<br>10/20/34<sup>(a)(c)</sup> |  | 450 | 450000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-13A, Class B, (3-mo. CME Term SOFR + 1.91%), 6.21%,<br>10/20/34<sup>(a)(c)</sup> |  | 250 | 250000 |
|  AGL CLO 32 Ltd., Series 2024-32A, Class A1, (3-mo. CME Term SOFR + 1.38%), 5.67%, 07/21/37<sup>(a)(c)</sup> |  | 1590 | 1588580 |
|  AGL CLO 34 Ltd., Series 2024-34A, Class A1, (3-mo. CME Term SOFR + 1.34%), 5.74%, 01/22/38<sup>(a)(c)</sup> |  | 2500 | 2500369 |
|  AGL CLO 37 Ltd., Series 2024-37A, Class A1, (3-mo. CME Term SOFR + 1.24%), 5.54%, 04/22/38<sup>(a)(c)</sup> |  | 460 | 458348 |
|  AGL Core CLO 2 Ltd., Series 2019-2A, Class A1R, (3-mo. CME Term SOFR + 1.46%), 5.75%, 07/20/37<sup>(a)(c)</sup> |  | 3770 | 3776214 |
|  AGL Core CLO 27 Ltd., Series 2023-27A, Class A, (3-mo. CME Term SOFR + 1.73%), 6.02%, 10/21/36<sup>(a)(c)</sup> |  | 4000 | 4009999 |
|  AGL Core CLO 4 Ltd., Series 2020-4A, Class AR2, (3-mo. CME Term SOFR + 1.38%), 5.67%, 10/20/37<sup>(a)(c)</sup> |  | 4350 | 4353011 |
|  AGL Core CLO 8 Ltd., Series 2020-8A, Class A1R2, (3-mo. CME Term SOFR + 1.33%), 5.71%, 01/20/38<sup>(a)(c)</sup> |  | 1500 | 1500012 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  AIMCO CLO 11 Ltd., Series 2020-11A, Class BR2, (3-mo. CME Term SOFR + 1.65%), 5.95%, 07/17/37<sup>(a)(c)</sup> | USD | 2180 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2177921 |
|  AIMCO CLO 23 Ltd., Series 2025-23A, Class A, (3-mo. CME Term SOFR + 1.13%), 5.39%, 04/20/38<sup>(a)(c)</sup> |  | 1200 | 1190400 |
|  Ajax Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-G, Class A, 4.88%, 06/25/61<sup>(a)(c)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-G, Class A, 4.88%, 06/25/61<sup>(a)(c)</sup> | 6413 | 6321870 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-G, Class B, 3.75%, 06/25/61<sup>(a)(c)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-G, Class B, 3.75%, 06/25/61<sup>(a)(c)</sup> | 1287 | 1338476 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-G, Class C, 0.00%, 06/25/61<sup>(a)(d)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-G, Class C, 0.00%, 06/25/61<sup>(a)(d)</sup> | 2296 | 2245724 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-B, Class A, 4.25%, 10/25/62<sup>(a)(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-B, Class A, 4.25%, 10/25/62<sup>(a)(b)</sup> | 6592 | 6435660 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-B, Class B, 4.25%, 10/25/62<sup>(a)(b)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-B, Class B, 4.25%, 10/25/62<sup>(a)(b)</sup> | 881 | 843841 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-B, Class C, 0.00%, 10/25/62<sup>(a)(d)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-B, Class C, 0.00%, 10/25/62<sup>(a)(d)</sup> | 2009 | 1141468 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-B, Class SA, 0.00%, 10/25/62<sup>(a)(d)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-B, Class SA, 0.00%, 10/25/62<sup>(a)(d)</sup> | 219 | 200617 |
|  AMMC CLO 18 Ltd., Series 2016-18A, Class AR, (3-mo. CME Term SOFR + 1.36%), 5.68%, 05/26/31<sup>(a)(c)</sup> |  | 475 | 475190 |
|  AMSR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR4, Class F, 2.86%, 11/17/37<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR4, Class F, 2.86%, 11/17/37<sup>(a)</sup> | 4000 | 3933675 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR4, Class G2, 4.87%, 11/17/37<sup>(a)</sup> |  | 2537 | 2517820 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class F, 3.60%, 06/17/38<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class F, 3.60%, 06/17/38<sup>(a)</sup> | 2872 | 2634151 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class F1, 3.28%, 08/17/38<sup>(a)</sup> |  | 3756 | 3598233 |
|  Anchorage Capital CLO 29 Ltd., Series 2024-29A, Class A1, (3-mo. CME Term SOFR + 1.60%), 5.89%,<br>07/20/37<sup>(a)(c)</sup> |  | 4430 | 4438313 |
|  Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class BR3, (3-mo. CME Term SOFR + 2.10%), 6.39%, 04/22/34<sup>(a)(c)</sup> |  | 3720 | 3719010 |
|  Anchorage Capital CLO 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-7A, Class BR3, (3-mo. CME Term SOFR + 2.05%), 6.35%,<br>04/28/37<sup>(a)(c)</sup> |  | 800 | 799288 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-7A, Class CR3, (3-mo. CME Term SOFR + 2.45%), 6.75%,<br>04/28/37<sup>(a)(c)</sup> |  | 1625 | 1630751 |
|  Anchorage Capital CLO 8 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-8A, Class AR2A, (3-mo. CME Term SOFR + 1.46%), 5.76%,<br>10/27/34<sup>(a)(c)</sup> |  | 6670 | 6678214 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-8A, Class BR2, (3-mo. CME Term SOFR + 2.06%), 6.36%,<br>10/27/34<sup>(a)(c)</sup> |  | 1000 | 998388 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-8A, Class CR2, (3-mo. CME Term SOFR + 2.66%), 6.96%,<br>10/27/34<sup>(a)(c)</sup> |  | 1000 | 1000010 |
|  Apidos CLO LII, Series 2025-52A, Class A1, (3-mo. CME Term SOFR + 1.13%), 5.39%, 04/20/38<sup>(a)(c)</sup> |  | 2290 | 2279616 |
|  Apidos CLO XV, Series 2013-15A, Class A1RR, (3-mo. CME Term SOFR + 1.27%), 5.57%, 04/20/31<sup>(a)(c)</sup> |  | 278 | 277272 |
|  Apidos CLO XVIII-R, Series 2018-18A, Class A1R2, (3-mo. CME Term SOFR + 1.33%), 5.70%, 01/21/30<sup>(a)(c)</sup> |  | 1350 | 1350122 |
|  Apidos CLO XX, Series 2015-20A, Class A1RA, (3-mo. CME Term SOFR + 1.36%), 5.67%, 07/16/31<sup>(a)(c)</sup> |  | 462 | 462840 |
|  Apidos CLO XXIV, Series 2016-24A, Class A2LX, (3-mo. CME Term SOFR + 1.61%), 5.91%, 10/20/30<sup>(a)(c)</sup> |  | 340 | 340216 |
|  Apidos CLO XXV |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-25A, Class A1R3, (3-mo. CME Term SOFR + 1.14%), 5.47%,<br>01/20/37<sup>(a)(c)</sup> |  | 10720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10671760 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-25A, Class BR3, (3-mo. CME Term SOFR + 1.60%), 5.93%,<br>01/20/37<sup>(a)(c)</sup> |  | 4500 | 4487126 |

---

4 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Apidos CLO XXXII, Series 2019-32A, Class A1R, (3-mo. CME Term SOFR + 1.10%), 5.39%, 01/20/33<sup>(a)(c)</sup> | USD | 590 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;588561 |
|  Apidos CLO XXXIII, Series 2020-33A, Class AR, (3-mo. CME Term SOFR + 1.41%), 5.71%, 10/24/34<sup>(a)(c)</sup> |  | 1000 | 997765 |
|  Apidos CLO XXXIV, Series 2020-34A, Class A1R, (3-mo. CME Term SOFR + 1.41%), 5.71%, 01/20/35<sup>(a)(c)</sup> |  | 1450 | 1450730 |
|  Apidos CLO XXXIX, Series 2022-39A, Class A1, (3-mo. CME Term SOFR + 1.30%), 5.59%, 04/21/35<sup>(a)(c)</sup> |  | 5000 | 4997695 |
|  Apidos CLO XXXVI |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-36A, Class B, (3-mo. CME Term SOFR + 1.86%), 6.16%, 07/20/34<sup>(a)(c)</sup> |  | 740 | 739438 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-36A, Class D, (3-mo. CME Term SOFR + 3.16%), 7.46%, 07/20/34<sup>(a)(c)</sup> |  | 250 | 249650 |
|  Apidos CLO XXXVII, Series 2021-37A, Class A, (3-mo. CME Term SOFR + 1.39%), 5.68%, 10/22/34<sup>(a)(c)</sup> |  | 1780 | 1782681 |
|  Aqua Finance Trust, Series 2021-A, Class A, 1.54%, 07/17/46<sup>(a)</sup> |  | 141 | 129107 |
|  Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A, (SOFR (30-day) + 1.45%), 5.80%, 01/15/37<sup>(a)(c)</sup> |  | 106 | 105615 |
|  AREIT LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CRE7, Class A, (1-mo. CME Term SOFR + 2.24%), 6.56%, 06/17/39<sup>(a)(c)</sup> |  | 1450 | 1449758 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-CRE8, Class A, (1-mo. CME Term SOFR + 2.11%), 6.43%, 08/17/41<sup>(a)(c)</sup> |  | 1679 | 1670647 |
|  AREIT Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CRE9, Class A, (1-mo. CME Term SOFR + 1.69%), 6.01%, 05/17/41<sup>(a)(c)</sup> |  | 14720 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;14703592 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-CRE10, Class A, (1-mo. CME Term SOFR + 1.39%), 5.71%, 12/17/29<sup>(a)(c)</sup> |  | 1400 | 1398782 |
|  Ares L CLO Ltd., Series 2018-50A, Class BR, (3-mo. CME Term SOFR + 1.86%), 6.16%, 01/15/32<sup>(a)(c)</sup> |  | 1000 | 999994 |
|  Ares LIX CLO Ltd., Series 2021-59A, Class A, (3-mo. CME Term SOFR + 1.29%), 5.59%, 04/25/34<sup>(a)(c)</sup> |  | 250 | 249637 |
|  Ares Loan Funding IV Ltd., Series 2023-ALF4A, Class A1, (3-mo. CME Term SOFR + 1.75%), 6.05%, 10/15/36<sup>(a)(c)</sup> |  | 1160 | 1164060 |
|  Ares LVI CLO Ltd., Series 2020-56A, Class A1R2, (3-mo. CME Term SOFR + 1.25%), 5.55%, 01/25/38<sup>(a)(c)</sup> |  | 2130 | 2128941 |
|  Ares LXVII CLO Ltd., Series 2022-67A, Class A1R, (3-mo. CME Term SOFR + 1.19%), 5.49%, 01/25/38<sup>(a)(c)</sup> |  | 250 | 249026 |
|  Ares XLI CLO Ltd., Series 2016-41A, Class BR, (3-mo. CME Term SOFR + 1.71%), 6.01%, 04/15/34<sup>(a)(c)</sup> |  | 2500 | 2492871 |
|  Ares XLVIII CLO Ltd., Series 2018-48A, Class B, (3-mo. CME Term SOFR + 1.84%), 6.14%, 07/20/30<sup>(a)(c)</sup> |  | 680 | 679003 |
|  Argent Mortgage Loan Trust, Series 2005-W1, Class A2, (1-mo. CME Term SOFR + 0.59%), 4.92%, 05/25/35<sup>(c)</sup> |  | 37 | 29480 |
|  Argent Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-M1, Class A2C, (1-mo. CME Term SOFR + 0.41%), 4.74%, 07/25/36<sup>(c)</sup> |  | 2087 | 556539 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Argent Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-W2, Class A2C, (1-mo. CME Term SOFR + 0.69%), 5.02%, 03/25/36<sup>(c)</sup> | USD | 545 | $299129 |
|  ARM Master Trust LLC Agricultural Loan Backed Notes, Series 2021-T1, Class A, 2.43%, 11/15/27<sup>(a)</sup> |  | 12 | 11686 |
|  Asset-Backed Securities Corp. Home Equity Loan Trust OOMC, Series 2005-HE6, Class M6, (1-mo. CME Term SOFR + 1.22%), 5.55%, 07/25/35<sup>(c)</sup> |  | 914 | 815905 |
|  Assurant CLO I Ltd., Series 2017-1A, Class BR, (3-mo. CME Term SOFR + 1.96%), 6.26%, 10/20/34<sup>(a)(c)</sup> |  | 1400 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1398191 |
|  Assurant CLO II Ltd., Series 2018-2A, Class A, (3-mo. CME Term SOFR + 1.30%), 5.60%, 04/20/31<sup>(a)(c)</sup> |  | 112 | 112287 |
|  Bain Capital Credit CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class BR, (3-mo. CME Term SOFR + 1.55%), 5.84%, 07/19/31<sup>(a)(c)</sup> |  | 250 | 249023 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class A1R, (3-mo. CME Term SOFR + 1.20%), 5.49%,<br>10/20/34<sup>(a)(c)</sup> |  | 350 | 349465 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A1, (3-mo. CME Term SOFR + 1.32%), 5.61%, 04/18/35<sup>(a)(c)</sup> |  | 1200 | 1196596 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A1, (3-mo. CME Term SOFR + 1.52%), 5.82%, 07/15/37<sup>(a)(c)</sup> |  | 5090 | 5101194 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6A, Class A1, (3-mo. CME Term SOFR + 1.33%), 5.65%, 01/21/38<sup>(a)(c)</sup> |  | 1500 | 1498798 |
|  Ballyrock CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1R, (3-mo. CME Term SOFR + 1.33%), 5.63%,<br>01/15/38<sup>(a)(c)</sup> |  | 4600 | 4601490 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-25A, Class BR, (3-mo. CME Term SOFR + 1.75%), 6.05%,<br>01/25/38<sup>(a)(c)</sup> |  | 500 | 493006 |
|  BankAmerica Manufactured Housing Contract Trust, Series 1997-2, Class B1, 7.07%, 02/10/22<sup>(c)</sup> |  | 5740 | 684938 |
|  Bankers Healthcare Group Securitization Trust, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-A, Class C, 5.17%, 09/17/31<sup>(a)</sup> |  | 1940 | 1934869 |
|  Bardot CLO Ltd., Series 2019-2A, Class ARR, (3-mo. CME Term SOFR + 0.98%), 5.29%, 10/22/32<sup>(a)(c)</sup> |  | 1240 | 1232434 |
|  Barings CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-IA, Class BR, (3-mo. CME Term SOFR + 1.66%), 5.96%, 01/20/31<sup>(a)(c)</sup> |  | 250 | 249833 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class B1AR, (3-mo. CME Term SOFR + 1.65%), 5.95%,<br>07/15/36<sup>(a)(c)</sup> |  | 2560 | 2555227 |
|  Battalion CLO 18 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-18A, Class AR, (3-mo. CME Term SOFR + 1.46%), 5.76%,<br>10/15/36<sup>(a)(c)</sup> |  | 500 | 498752 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-18A, Class BR, (3-mo. CME Term SOFR + 2.01%), 6.31%,<br>10/15/36<sup>(a)(c)</sup> |  | 1000 | 994874 |
|  Battalion CLO VIII Ltd., Series 2015-8A, Class A1R2, (3-mo. CME Term SOFR + 1.33%), 5.63%, 07/18/30<sup>(a)(c)</sup> |  | 399 | 399032 |
|  Battalion CLO XV Ltd., Series 2020-15A, Class A1RR, (3-mo. CME Term SOFR + 0.98%), 5.28%, 01/17/33<sup>(a)(c)</sup> |  | 1560 | 1558440 |
|  Bayswater Park CLO Ltd., Series 2023-1A, Class A1, (3-mo. CME Term SOFR + 1.73%), 6.02%, 01/20/37<sup>(a)(c)</sup> |  | 660 | 661439 |
|  Bayview Financial Mortgage Pass-Through Trust, Series 2006-A, Class B2, (1-mo. CME Term SOFR + 2.59%), 6.92%, 02/28/41<sup>(c)</sup> |  | 5459 | 5490024 |

---

S C H E D U L E S O F I N V E S T M E N T S 5

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |  |  |
|  Bayview Financial Revolving Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A, Class A1, (1-mo. CME Term SOFR + 1.11%), 5.44%, 02/28/40<sup>(a)(c)</sup> | USD | 2940 | $2645903 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-E, Class A1, (1-mo. CME Term SOFR + 1.11%), 5.44%, 12/28/40<sup>(a)(c)</sup> |  | 873 | 873217 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-E, Class A2A, (1-mo. CME Term SOFR + 1.04%), 5.37%,<br>12/28/40<sup>(a)(c)</sup> |  | 715 | 688612 |
|  BBAM U.S. CLO I Ltd., Series 2022-1A, Class AR, (3-mo. CME Term SOFR + 1.20%), 5.52%, 03/30/38<sup>(a)(c)</sup> |  | 1340 | 1337202 |
|  BDS Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL11, Class ATS, (1-mo. CME Term SOFR + 1.80%), 6.12%, 03/19/39<sup>(a)(c)</sup> |  | 927 | 925245 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FL13, Class A, (1-mo. CME Term SOFR + 1.58%), 5.89%, 09/19/39<sup>(a)(c)</sup> |  | 1946 | 1943992 |
|  Bean Creek CLO Ltd., Series 2015-1A, Class BR, (3-mo. CME Term SOFR + 1.71%), 6.01%, 04/20/31<sup>(a)(c)</sup> |  | 450 | 449054 |
|  Bear Stearns Asset-Backed Securities I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-HE8, Class M3, (1-mo. CME Term SOFR + 2.06%), 6.39%, 08/25/35<sup>(c)</sup> |  | 3356 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3232369 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-EC1, Class M4, (1-mo. CME Term SOFR + 1.06%), 5.18%, 12/25/35<sup>(c)</sup> |  | 1428 | 1364692 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE5, Class M2, (1-mo. CME Term SOFR + 0.59%), 4.92%, 06/25/36<sup>(c)</sup> |  | 2146 | 2088502 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE7, Class 1A2, (1-mo. CME Term SOFR + 0.45%), 4.78%, 09/25/36<sup>(c)</sup> |  | 81 | 78884 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE2, Class 1A4, (1-mo. CME Term SOFR + 0.43%), 4.76%, 03/25/37<sup>(c)</sup> |  | 758 | 693482 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE2, Class 23A, (1-mo. CME Term SOFR + 0.39%), 4.72%, 03/25/37<sup>(c)</sup> |  | 29 | 27262 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE3, Class 1A4, (1-mo. CME Term SOFR + 0.46%), 4.79%, 04/25/37<sup>(c)</sup> |  | 365 | 344749 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE5, Class M2, (1-mo. CME Term SOFR + 0.49%), 4.82%, 06/25/47<sup>(c)</sup> |  | 5983 | 5260097 |
|  Benefit Street Partners CLO Ltd., Series 2015-6BR, Class A1R, (3-mo. CME Term SOFR + 1.18%), 5.46%, 04/20/38<sup>(a)(c)</sup> |  | 1460 | 1455745 |
|  Benefit Street Partners CLO V-B Ltd., Series 2018-5BA, Class A1R, (3-mo. CME Term SOFR + 1.53%), 5.82%, 07/20/37<sup>(a)(c)</sup> |  | 2366 | 2371611 |
|  Benefit Street Partners CLO VIII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-8A, Class A1AR, (3-mo. CME Term SOFR + 1.36%), 5.66%, 01/20/31<sup>(a)(c)</sup> |  | 819 | 818255 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-8A, Class A2R, (3-mo. CME Term SOFR + 1.71%), 6.01%, 01/20/31<sup>(a)(c)</sup> |  | 1885 | 1884638 |
|  Benefit Street Partners CLO X Ltd., Series 2016-10A, Class A2AR, (3-mo. CME Term SOFR + 1.81%), 6.11%, 04/20/34<sup>(a)(c)</sup> |  | 500 | 498177 |
|  Benefit Street Partners CLO XII-B Ltd., Series 2017-12BRA, Class B, (3-mo. CME Term SOFR + 1.70%), 6.00%, 10/15/37<sup>(a)(c)</sup> |  | 1700 | 1697544 |
|  Benefit Street Partners CLO XVI Ltd., Series 2018-16A, Class A1R2, (3-mo. CME Term SOFR + 1.32%), 5.64%, 01/17/38<sup>(a)(c)</sup> |  | 830 | 830830 |
|  Benefit Street Partners CLO XX Ltd., Series 2020-20A, Class AR, (3-mo. CME Term SOFR + 1.43%), 5.73%, 07/15/34<sup>(a)(c)</sup> |  | 1360 | 1360830 |
|  Benefit Street Partners CLO XXI Ltd., Series 2020-21A, Class A1R, (3-mo. CME Term SOFR + 1.43%), 5.73%, 10/15/34<sup>(a)(c)</sup> |  | 250 | 249652 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |  |  |
|  Benefit Street Partners CLO XXIX Ltd., Series 2022-29A, Class AR, (3-mo. CME Term SOFR + 1.18%), 5.49%, 01/25/38<sup>(a)(c)</sup> | USD | 1000 | $999680 |
|  Benefit Street Partners CLO XXVI Ltd., Series 2022-26A, Class AR, (3-mo. CME Term SOFR + 1.38%), 5.67%, 07/20/37<sup>(a)(c)</sup> |  | 1920 | 1921979 |
|  Benefit Street Partners CLO XXVII Ltd., Series 2022-27A, Class AR, (3-mo. CME Term SOFR + 1.37%), 5.66%, 10/20/37<sup>(a)(c)</sup> |  | 7630 | 7639892 |
|  Benefit Street Partners CLO XXXVII Ltd., Series 2024-37A, Class A, (3-mo. CME Term SOFR + 1.35%), 5.70%, 01/25/38<sup>(a)(c)</sup> |  | 3470 | 3464777 |
|  Benefit Street Partners CLO XXXVIII Ltd., Series 2024-38A, Class A, (3-mo. CME Term SOFR + 1.31%), 5.62%, 01/25/38<sup>(a)(c)</sup> |  | 3570 | 3568183 |
|  Betony CLO 2 Ltd., Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.34%), 5.63%, 04/30/31<sup>(a)(c)</sup> |  | 129 | 128611 |
|  BHG Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 1.42%, 11/17/33<sup>(a)</sup> |  | 56 | 54926 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class B, 2.79%, 11/17/33<sup>(a)</sup> |  | 3714 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3579733 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-C, Class B, 5.93%, 10/17/35<sup>(a)</sup> |  | 738 | 739563 |
|  Birch Grove CLO 10 Ltd., Series 2024-10A, Class A, (3-mo. CME Term SOFR + 1.39%), 5.95%, 01/22/38<sup>(a)(c)</sup> |  | 3400 | 3401772 |
|  Birch Grove CLO 2 Ltd., Series 2021-2A, Class A1R, (3-mo. CME Term SOFR + 1.40%), 5.69%, 10/19/37<sup>(a)(c)</sup> |  | 630 | 631055 |
|  Birch Grove CLO 3 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class A1R, (3-mo. CME Term SOFR + 1.26%), 5.57%,<br>01/19/38<sup>(a)(c)</sup> |  | 380 | 379892 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class BR, (3-mo. CME Term SOFR + 1.60%), 5.91%,<br>01/19/38<sup>(a)(c)</sup> |  | 730 | 721281 |
|  Birch Grove CLO 6 Ltd., Series 2023-6A, Class A1, (3-mo. CME Term SOFR + 2.20%), 6.49%, 07/20/35<sup>(a)(c)</sup> |  | 1500 | 1501083 |
|  BlueMountain CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class A1R, (3-mo. CME Term SOFR + 1.44%), 5.73%,<br>10/22/30<sup>(a)(c)</sup> |  | 313 | 312591 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class BR, (3-mo. CME Term SOFR + 1.86%), 6.15%,<br>10/22/30<sup>(a)(c)</sup> |  | 1250 | 1248125 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-3A, Class A1R, (3-mo. CME Term SOFR + 1.26%), 5.56%,<br>04/20/31<sup>(a)(c)</sup> |  | 1017 | 1015979 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3A, Class A1R2, (3-mo. CME Term SOFR + 1.20%), 5.52%,<br>11/15/30<sup>(a)(c)</sup> |  | 6476 | 6465524 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-3A, Class A2R2, (3-mo. CME Term SOFR + 1.70%), 6.02%,<br>11/15/30<sup>(a)(c)</sup> |  | 1000 | 999412 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class B, (3-mo. CME Term SOFR + 1.96%), 6.29%,<br>08/15/31<sup>(a)(c)</sup> |  | 1320 | 1318535 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class A1R, (3-mo. CME Term SOFR + 1.19%), 5.49%,<br>10/25/30<sup>(a)(c)</sup> |  | 1348 | 1348352 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class BR, (3-mo. CME Term SOFR + 1.85%), 6.15%,<br>10/25/30<sup>(a)(c)</sup> |  | 6350 | 6340765 |
|  BlueMountain CLO XXIX Ltd., Series 2020-29A, Class BR, (3-mo. CME Term SOFR + 2.01%), 6.31%, 07/25/34<sup>(a)(c)</sup> |  | 420 | 419435 |
|  BlueMountain CLO XXVIII Ltd., Series 2021-28A, Class A, (3-mo. CME Term SOFR + 1.52%), 5.82%, 04/15/34<sup>(a)(c)</sup> |  | 650 | 650164 |
|  BlueMountain CLO XXXI Ltd., Series 2021-31A, Class A1, (3-mo. CME Term SOFR + 1.41%), 5.71%, 04/19/34<sup>(a)(c)</sup> |  | 250 | 249431 |

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6 2 0 2 5 B L A C K R O C K 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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |  |  |
|  BlueMountain Fuji U.S. CLO II Ltd., Series 2017-2A, Class A1AR, (3-mo. CME Term SOFR + 1.26%), 5.56%, 10/20/30<sup>(a)(c)</sup> | USD | 2289 | $2288707 |
|  BRAVO Residential Funding Trust, Series 2024-CES2, Class A1A, 5.55%, 09/25/54<sup>(a)(b)</sup> |  | 1537 | 1538667 |
|  Brex Commercial Charge Card Master Trust, Series 2024-1, Class A1, 6.05%, 07/15/27<sup>(a)</sup> |  | 2027 | 2048073 |
|  Bridge Street CLO II Ltd., Series 2021-1A, Class A1A, (3-mo. CME Term SOFR + 1.49%), 5.79%, 07/20/34<sup>(a)(c)</sup> |  | 250 | 250252 |
|  Bryant Park Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-19A, Class A1R, (3-mo. CME Term SOFR + 1.20%), 5.49%, 04/15/38<sup>(a)(c)</sup> |  | 720 | 718967 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-25A, Class C, (3-mo. CME Term SOFR + 1.95%), 6.27%, 01/18/38<sup>(a)(c)</sup> |  | 500 | 498874 |
|  Buckhorn Park CLO Ltd., Series 2019-1A, Class ARR, (3-mo. CME Term SOFR + 1.07%), 5.36%, 07/18/34<sup>(a)(c)</sup> |  | 4810 | 4795570 |
|  BXMT Ltd. Mortgage-Backed Securities, Series 2025-FL5, Class A, (1-mo. CME Term SOFR + 1.64%), 5.96%, 10/18/42<sup>(a)(c)</sup> |  | 12936 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12903660 |
|  Canyon Capital CLO Ltd., Series 2016-1A, Class AR, (3-mo. CME Term SOFR + 1.33%), 5.63%, 07/15/31<sup>(a)(c)</sup> |  | 665 | 665681 |
|  Canyon CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.33%), 5.63%, 07/15/31<sup>(a)(c)</sup> |  | 312 | 311686 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class BR, (3-mo. CME Term SOFR + 1.95%), 6.25%, 10/15/37<sup>(a)(c)</sup> |  | 250 | 249260 |
|  Carbone CLO Ltd., Series 2017-1A, Class A1, (3-mo. CME Term SOFR + 1.40%), 5.70%, 01/20/31<sup>(a)(c)</sup> |  | 383 | 383182 |
|  Carlyle C17 CLO Ltd., Series C17A, Class A1AR, (3-mo. CME Term SOFR + 1.29%), 5.58%, 04/30/31<sup>(a)(c)</sup> |  | 793 | 792464 |
|  Carlyle Global Market Strategies CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1A, Class A1R2, (3-mo. CME Term SOFR + 1.23%), 5.53%, 04/17/31<sup>(a)(c)</sup> |  | 1297 | 1297899 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2RA, Class A1, (3-mo. CME Term SOFR + 1.31%), 5.64%, 05/15/31<sup>(a)(c)</sup> |  | 783 | 781935 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-3RA, Class A1A, (3-mo. CME Term SOFR + 1.31%), 5.61%, 07/27/31<sup>(a)(c)</sup> |  | 229 | 228969 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-3RA, Class A1B, (3-mo. CME Term SOFR + 1.56%), 5.86%, 07/27/31<sup>(a)(c)</sup> |  | 1000 | 1001144 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-5A, Class A1RR, (3-mo. CME Term SOFR + 1.40%), 5.70%, 07/15/31<sup>(a)(c)</sup> |  | 626 | 626781 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-5A, Class A2RR, (3-mo. CME Term SOFR + 1.71%), 6.01%, 07/15/31<sup>(a)(c)</sup> |  | 590 | 590401 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A, Class AR3, (3-mo. CME Term SOFR + 1.24%), 5.54%, 07/20/31<sup>(a)(c)</sup> |  | 241 | 241595 |
|  Carlyle U.S. CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class A1R2, (3-mo. CME Term SOFR + 1.40%), 5.69%, 10/21/37<sup>(a)(c)</sup> |  | 4610 | 4615781 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class BR2, (3-mo. CME Term SOFR + 1.78%), 6.07%, 10/21/37<sup>(a)(c)</sup> |  | 2810 | 2812886 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1AR, (3-mo. CME Term SOFR + 1.34%), 5.64%, 04/20/31<sup>(a)(c)</sup> |  | 285 | 285303 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-8A, Class B, (3-mo. CME Term SOFR + 1.91%), 6.21%, 10/15/34<sup>(a)(c)</sup> |  | 3000 | 2998470 |
|  Carrington Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FRE2, Class A4, (1-mo. CME Term SOFR + 0.36%), 4.69%, 10/25/36<sup>(c)</sup> |  | 1287 | 988351 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |  |  |
|  Carrington Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-NC4, Class A3, (1-mo. CME Term SOFR + 0.27%), 4.60%, 10/25/36<sup>(c)</sup> | USD | 19 | $18255 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FRE1, Class A3, (1-mo. CME Term SOFR + 0.37%), 4.70%, 02/25/37<sup>(c)</sup> |  | 3794 | 3607665 |
|  CarVal CLO VC Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.51%), 7.81%, 10/15/34<sup>(a)(c)</sup> |  | 1000 | 998064 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class E, (3-mo. CME Term SOFR + 7.01%), 11.31%, 10/15/34<sup>(a)(c)</sup> |  | 1250 | 1252802 |
|  CarVal CLO VIII-C Ltd., Series 2022-2A, Class A1R, (3-mo. CME Term SOFR + 1.42%), 5.71%, 10/22/37<sup>(a)(c)</sup> |  | 770 | 770387 |
|  Cascade MH Asset Trust, Series 2019-MH1, Class A, 4.00%, 11/25/44<sup>(a)(c)</sup> |  | 4392 | 4150773 |
|  Cayuga Park CLO Ltd., Series 2020-1A, Class AR, (3-mo. CME Term SOFR + 1.38%), 5.68%, 07/17/34<sup>(a)(c)</sup> |  | 3390 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3393945 |
|  CBAM Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-5A, Class B1, (3-mo. CME Term SOFR + 1.66%), 5.96%, 04/17/31<sup>(a)(c)</sup> |  | 540 | 537352 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-6A, Class B1R, (3-mo. CME Term SOFR + 2.36%), 6.66%,<br>01/15/31<sup>(a)(c)</sup> |  | 1000 | 998718 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-7A, Class B1, (3-mo. CME Term SOFR + 1.86%), 6.16%,<br>07/20/31<sup>(a)(c)</sup> |  | 500 | 499754 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-10A, Class A1R, (3-mo. CME Term SOFR + 1.38%), 5.68%,<br>04/20/32<sup>(a)(c)</sup> |  | 4228 | 4232642 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-12A, Class AR, (3-mo. CME Term SOFR + 1.44%), 5.74%,<br>07/20/34<sup>(a)(c)</sup> |  | 810 | 808270 |
|  C-BASS Trust, Series 2006-CB9, Class A4,<br>(1-mo. CME Term SOFR + 0.57%), 4.90%, 11/25/36<sup>(c)</sup> |  | 173 | 77460 |
|  Cedar Funding II CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class ARR, (3-mo. CME Term SOFR + 1.34%), 5.64%,<br>04/20/34<sup>(a)(c)</sup> |  | 750 | 746442 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class BRR, (3-mo. CME Term SOFR + 1.61%), 5.91%,<br>04/20/34<sup>(a)(c)</sup> |  | 500 | 496400 |
|  Cedar Funding V CLO Ltd., Series 2016-5A, Class A1R, (3-mo. CME Term SOFR + 1.36%), 5.66%, 07/17/31<sup>(a)(c)</sup> |  | 1287 | 1287190 |
|  Cedar Funding VI CLO Ltd., Series 2016-6A, Class ARR, (3-mo. CME Term SOFR + 1.31%), 5.61%, 04/20/34<sup>(a)(c)</sup> |  | 500 | 497283 |
|  Cedar Funding VII CLO Ltd., Series 2018-7A, Class AR, (3-mo. CME Term SOFR + 1.08%), 5.37%, 01/20/31<sup>(a)(c)</sup> |  | 207 | 207084 |
|  Cedar Funding XI CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-11A, Class A1R2, (3-mo. CME Term SOFR + 1.06%), 5.37%,<br>05/29/32<sup>(a)(c)</sup> |  | 921 | 919599 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-11A, Class A2R2, (3-mo. CME Term SOFR + 1.30%), 5.61%,<br>05/29/32<sup>(a)(c)</sup> |  | 250 | 249753 |
|  Cedar Funding XIV CLO Ltd., Series 2021-14A, Class B1R, (3-mo. CME Term SOFR + 1.70%), 6.00%, 10/15/37<sup>(a)(c)</sup> |  | 1480 | 1475511 |
|  CIFC Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class A2R, (3-mo. CME Term SOFR + 2.01%), 6.32%,<br>07/16/30<sup>(a)(c)</sup> |  | 250 | 250415 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class A1L2, (3-mo. CME Term SOFR + 1.26%), 5.56%,<br>10/18/30<sup>(a)(c)</sup> |  | 1130 | 1130173 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class A2L2, (3-mo. CME Term SOFR + 1.76%), 6.06%,<br>10/18/30<sup>(a)(c)</sup> |  | 250 | 249894 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1A, Class BR2, (3-mo. CME Term SOFR + 1.66%), 5.96%,<br>01/18/31<sup>(a)(c)</sup> |  | 2100 | 2097178 |

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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 (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  CIFC Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2RA, Class AR, (3-mo. CME Term SOFR + 1.36%), 5.66%, 10/24/37<sup>(a)(c)</sup> | USD | 10000 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10005035 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-4RA, Class A1A2, (3-mo. CME Term SOFR + 0.99%), 5.30%, 01/17/35<sup>(a)(c)</sup> |  | 1000 | 996809 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A, Class ARR, (3-mo. CME Term SOFR + 1.37%), 5.66%, 01/22/31<sup>(a)(c)</sup> |  | 781 | 781554 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-4A, Class A1A2, (3-mo. CME Term SOFR + 1.33%), 5.63%, 04/20/34<sup>(a)(c)</sup> |  | 1720 | 1719140 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-5A, Class AR, (3-mo. CME Term SOFR + 1.41%), 5.71%, 07/17/37<sup>(a)(c)</sup> |  | 1080 | 1080942 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-5A, Class DR, (3-mo. CME Term SOFR + 3.05%), 7.35%, 07/17/37<sup>(a)(c)</sup> |  | 380 | 376272 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A1R, (3-mo. CME Term SOFR + 1.32%), 5.67%, 01/18/38<sup>(a)(c)</sup> |  | 1390 | 1390039 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class BR, (3-mo. CME Term SOFR + 1.70%), 6.05%, 01/18/38<sup>(a)(c)</sup> |  | 1630 | 1628857 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A1R, (3-mo. CME Term SOFR + 1.37%), 5.66%, 10/20/37<sup>(a)(c)</sup> |  | 4140 | 4145830 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class BR, (3-mo. CME Term SOFR + 1.75%), 6.04%, 10/20/37<sup>(a)(c)</sup> |  | 1500 | 1502145 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class A, (3-mo. CME Term SOFR + 1.36%), 5.66%, 07/18/31<sup>(a)(c)</sup> |  | 779 | 777954 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class B, (3-mo. CME Term SOFR + 1.86%), 6.16%, 07/18/31<sup>(a)(c)</sup> |  | 256 | 256089 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1R2, (3-mo. CME Term SOFR + 1.36%), 5.65%, 10/20/37<sup>(a)(c)</sup> |  | 4297 | 4294852 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class BR2, (3-mo. CME Term SOFR + 1.70%), 5.99%, 10/20/37<sup>(a)(c)</sup> |  | 250 | 250021 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class CR2, (3-mo. CME Term SOFR + 2.00%), 6.29%, 10/20/37<sup>(a)(c)</sup> |  | 250 | 250812 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3A, Class CR2, (3-mo. CME Term SOFR + 1.80%), 6.11%, 01/16/38<sup>(a)(c)</sup> |  | 1550 | 1549653 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-5A, Class A1R1, (3-mo. CME Term SOFR + 1.40%), 5.70%, 01/15/35<sup>(a)(c)</sup> |  | 2250 | 2254103 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-6A, Class A1R, (3-mo. CME Term SOFR + 1.45%), 5.76%, 07/16/37<sup>(a)(c)</sup> |  | 4080 | 4086135 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class A1R, (3-mo. CME Term SOFR + 1.39%), 5.69%, 10/20/34<sup>(a)(c)</sup> |  | 7680 | 7691784 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class BR, (3-mo. CME Term SOFR + 1.91%), 6.21%, 10/20/34<sup>(a)(c)</sup> |  | 970 | 969350 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4A, Class A1R, (3-mo. CME Term SOFR + 1.30%), 5.73%, 01/15/40<sup>(a)(c)</sup> |  | 500 | 499772 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1R, (3-mo. CME Term SOFR + 1.42%), 5.72%, 07/25/37<sup>(a)(c)</sup> |  | 250 | 250264 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class BR, (3-mo. CME Term SOFR + 1.75%), 6.05%, 07/25/37<sup>(a)(c)</sup> |  | 690 | 688206 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class B, (3-mo. CME Term SOFR + 1.96%), 6.26%, 07/15/36<sup>(a)(c)</sup> |  | 510 | 510396 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class AR, (3-mo. CME Term SOFR + 1.36%), 5.65%, 07/23/37<sup>(a)(c)</sup> |  | 4210 | 4211637 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class BR, (3-mo. CME Term SOFR + 1.65%), 5.94%, 07/23/37<sup>(a)(c)</sup> |  | 2500 | 2497546 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class CR, (3-mo. CME Term SOFR + 1.90%), 6.19%, 07/23/37<sup>(a)(c)</sup> |  | 1000 | 1001314 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-5A, Class A1R, (3-mo. CME Term SOFR + 1.26%), 5.57%, 01/15/38<sup>(a)(c)</sup> |  | 5520 | 5514684 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-6A, Class A, (3-mo. CME Term SOFR + 1.40%), 5.70%, 10/15/34<sup>(a)(c)</sup> |  | 580 | 580982 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-6A, Class B, (3-mo. CME Term SOFR + 1.91%), 6.21%, 10/15/34<sup>(a)(c)</sup> |  | 550 | 549268 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  CIFC Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3A, Class A, (3-mo. CME Term SOFR + 1.60%), 5.89%, 01/20/37<sup>(a)(c)</sup> | USD | 1700 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1703402 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class A1, (3-mo. CME Term SOFR + 1.48%), 5.77%, 07/21/37<sup>(a)(c)</sup> |  | 2900 | 2907251 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, (3-mo. CME Term SOFR + 1.15%), 5.40%, 04/23/38<sup>(a)(c)</sup> |  | 250 | 249083 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2A, Class A, (3-mo. CME Term SOFR + 1.13%), 5.41%, 04/15/38<sup>(a)(c)</sup> |  | 2970 | 2957519 |
|  CIT Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class 1M2, (1-mo. CME Term SOFR + 2.74%), 7.06%, 10/25/37<sup>(a)(c)</sup> |  | 2144 | 2084495 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class 2M2, (1-mo. CME Term SOFR + 2.74%), 7.06%, 10/25/37<sup>(a)(c)</sup> |  | 293 | 276049 |
|  Citigroup Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AHL2, Class A3B, (1-mo. CME Term SOFR + 0.31%), 4.64%, 05/25/37<sup>(c)</sup> |  | 887 | 575959 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AHL2, Class A3C, (1-mo. CME Term SOFR + 0.38%), 4.71%, 05/25/37<sup>(c)</sup> |  | 413 | 268095 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-WFH2, Class M3, (1-mo. CME Term SOFR + 0.82%), 5.14%, 03/25/37<sup>(c)</sup> |  | 5000 | 4798079 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-WFH4, Class M3A, (1-mo. CME Term SOFR + 3.86%), 8.19%, 07/25/37<sup>(c)</sup> |  | 1000 | 967311 |
|  Clover CLO LLC, Series 2021-3A, Class AR, (3-mo. CME Term SOFR + 1.07%), 5.37%, 01/25/35<sup>(a)(c)</sup> |  | 3630 | 3626011 |
|  College Ave Student Loans LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class B, 2.42%, 06/25/52<sup>(a)</sup> |  | 419 | 380557 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class C, 2.72%, 06/25/52<sup>(a)</sup> |  | 1787 | 1647259 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class D, 3.78%, 06/25/52<sup>(a)</sup> |  | 327 | 308206 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class B, 2.72%, 07/26/55<sup>(a)</sup> |  | 298 | 268665 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class C, 3.06%, 07/26/55<sup>(a)</sup> |  | 2948 | 2695377 |
|  College Ave Student Loans Trust, Series 2024-A, Class A1B, (SOFR (30-day) + 1.75%), 6.09%, 06/25/54<sup>(a)(c)</sup> |  | 5851 | 5961640 |
|  Concord Music Royalties LLC, Series 2024-1A, Class A, 5.64%, 10/20/74<sup>(a)</sup> |  | 1998 | 1986269 |
|  Conseco Finance Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 1996-10, Class B1, 7.24%, 11/15/28<sup>(c)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; Series 1996-10, Class B1, 7.24%, 11/15/28<sup>(c)</sup> | 21 | 21381 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 1998-4, Class M1, 6.83%, 04/01/30<sup>(c)</sup> |  | 496 | 504436 |
|  Conseco Finance Securitizations Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2000-1, Class A5, 8.06%, 09/01/29<sup>(c)</sup> |  | 2165 | 314657 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2000-4, Class A6, 8.31%, 05/01/32<sup>(c)</sup> |  | 2157 | 314668 |
|  Cook Park CLO Ltd., Series 2018-1A, Class B, (3-mo. CME Term SOFR + 1.66%), 5.96%, 04/17/30<sup>(a)(c)</sup> |  | 250 | 249466 |
|  Countrywide Asset-Backed Certificates |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-16, Class 1AF, 4.53%, 04/25/36<sup>(c)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-16, Class 1AF, 4.53%, 04/25/36<sup>(c)</sup> | 1231 | 1083287 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-14, Class M1, (1-mo. CME Term SOFR + 0.55%), 4.87%, 02/25/37<sup>(c)</sup> |  | 823 | 727358 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-22, Class M1, (1-mo. CME Term SOFR + 0.46%), 4.78%, 05/25/47<sup>(c)</sup> |  | 463 | 403590 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-26, Class M1, (1-mo. CME Term SOFR + 0.49%), 4.81%, 06/25/37<sup>(c)</sup> |  | 4229 | 3707700 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-SEA2, Class 2A1, (1-mo. CME Term SOFR + 1.61%), 5.94%,<br>06/25/47<sup>(a)(c)</sup> |  | 939 | 744865 |
|  Countrywide Asset-Backed Certificates Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, (1-mo. CME Term SOFR + 0.38%), 4.70%, 03/15/34<sup>(c)</sup> |  | 8 | 8028 |

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8 2 0 2 5 B L A C K R O C K 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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |  |
|  Credit Suisse First Boston Mortgage Securities Corp., Series 2004-CF2, Class 1B, 6.00%, 01/25/43<sup>(a)(b)</sup> | USD | 213 | $160682 |
|  Credit-Based Asset Servicing & Securitization LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-CB2, Class AF4, 2.99%, 12/25/36<sup>(b)</sup> |  | 15 | 12238 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-MH1, Class B1, 6.75%, 10/25/36<sup>(a)(b)</sup> |  | 1085 | 1077194 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-MH1, Class B2, 6.75%, 10/25/36<sup>(a)(b)</sup> |  | 1793 | 1444866 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SL1, Class A3, (1-mo. CME Term SOFR + 0.55%), 4.88%, 09/25/36<sup>(a)(c)</sup> |  | 5480 | 191382 |
|  CreekSource Dunes Creek CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1X, Class A1, (3-mo. CME Term SOFR + 1.41%), 5.74%, 01/15/38<sup>(c)(e)</sup> |  | 250 | 250248 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1X, Class B, (3-mo. CME Term SOFR + 1.75%), 6.08%, 01/15/38<sup>(c)(e)</sup> |  | 960 | 957389 |
|  Crown Point CLO 10 Ltd., Series 2021-10A, Class B, (3-mo. CME Term SOFR + 1.96%), 6.26%, 07/20/34<sup>(a)(c)</sup> |  | 510 | 509243 |
|  CWHEQ Revolving Home Equity Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-C, Class 2A, (1-mo. CME Term SOFR + 0.29%), 4.61%, 05/15/36<sup>(c)</sup> |  | 330 | 325896 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-I, Class 1A, (1-mo. CME Term SOFR + 0.25%), 4.57%, 01/15/37<sup>(c)</sup> |  | 118 | 112749 |
|  Dewolf Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.18%), 5.48%, 10/15/30<sup>(a)(c)</sup> |  | 3553 | 3550954 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class CR, (3-mo. CME Term SOFR + 2.11%), 6.41%, 10/15/30<sup>(a)(c)</sup> |  | 500 | 499993 |
|  Diameter Capital CLO 1 Ltd., Series 2021-1A, Class A1R, (3-mo. CME Term SOFR + 1.39%), 5.69%, 10/15/37<sup>(a)(c)</sup> |  | 11025 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11041229 |
|  Diameter Capital CLO 2 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A1R, (3-mo. CME Term SOFR + 1.39%), 5.69%, 10/15/37<sup>(a)(c)</sup> |  | 9990 | 9980114 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A2R, (3-mo. CME Term SOFR + 1.80%), 6.10%, 10/15/37<sup>(a)(c)</sup> |  | 500 | 497374 |
|  Diameter Capital CLO 3 Ltd., Series 2022-3A, Class A1R, (3-mo. CME Term SOFR + 1.33%), 5.62%, 01/15/38<sup>(a)(c)</sup> |  | 1890 | 1886241 |
|  Diameter Capital CLO 5 Ltd., Series 2023-5A, Class A2, (3-mo. CME Term SOFR + 2.40%), 6.70%, 10/15/36<sup>(a)(c)</sup> |  | 1000 | 1004319 |
|  Diameter Capital CLO 9 Ltd., Series 2025-9A, Class A, (3-mo. CME Term SOFR + 1.17%), 5.49%, 04/20/38<sup>(a)(c)</sup> |  | 657 | 654337 |
|  Dryden 104 CLO Ltd., Series 2022-104A, Class A1R, (3-mo. CME Term SOFR + 1.29%), 5.61%, 08/20/34<sup>(a)(c)</sup> |  | 3370 | 3370172 |
|  Dryden 119 CLO Ltd., Series 2024-119A, Class C1, (3-mo. CME Term SOFR + 2.35%), 6.65%, 04/15/36<sup>(a)(c)</sup> |  | 1000 | 1003511 |
|  Dryden 37 Senior Loan Fund, Series 2015-37A, Class AR, (3-mo. CME Term SOFR + 1.36%), 5.66%, 01/15/31<sup>(a)(c)</sup> |  | 1397 | 1397584 |
|  Dryden 41 Senior Loan Fund, Series 2015-41A, Class AR, (3-mo. CME Term SOFR + 1.23%), 5.53%, 04/15/31<sup>(a)(c)</sup> |  | 1295 | 1294394 |
|  Dryden 43 Senior Loan Fund, Series 2016-43A, Class AR3, (3-mo. CME Term SOFR + 1.07%), 5.36%, 04/20/34<sup>(a)(c)</sup> |  | 1620 | 1616604 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |  |
|  Dryden 49 Senior Loan Fund, Series 2017-49A, Class AR, (3-mo. CME Term SOFR + 1.21%), 5.51%, 07/18/30<sup>(a)(c)</sup> | USD | 506 | $505660 |
|  Dryden 50 Senior Loan Fund, Series 2017-50A, Class A1R, (3-mo. CME Term SOFR + 1.26%), 5.56%, 07/15/30<sup>(a)(c)</sup> |  | 410 | 409516 |
|  Dryden 53 CLO Ltd., Series 2017-53A, Class A, (3-mo. CME Term SOFR + 1.38%), 5.68%, 01/15/31<sup>(a)(c)</sup> |  | 1423 | 1421388 |
|  Dryden 54 Senior Loan Fund, Series 2017-54A, Class AR, (3-mo. CME Term SOFR + 1.15%), 5.44%, 10/19/29<sup>(a)(c)</sup> |  | 1385 | 1383994 |
|  Dryden 55 CLO Ltd., Series 2018-55A, Class A1, (3-mo. CME Term SOFR + 1.28%), 5.58%, 04/15/31<sup>(a)(c)</sup> |  | 2236 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2236285 |
|  Dryden 60 CLO Ltd., Series 2018-60A, Class A, (3-mo. CME Term SOFR + 1.31%), 5.61%, 07/15/31<sup>(a)(c)</sup> |  | 170 | 169704 |
|  Dryden 64 CLO Ltd., Series 2018-64A, Class A, (3-mo. CME Term SOFR + 1.23%), 5.53%, 04/18/31<sup>(a)(c)</sup> |  | 290 | 289876 |
|  Dryden 65 CLO Ltd., Series 2018-65A, Class B, (3-mo. CME Term SOFR + 1.86%), 6.16%, 07/18/30<sup>(a)(c)</sup> |  | 500 | 500247 |
|  Dryden 76 CLO Ltd., Series 2019-76A, Class A1R2, (3-mo. CME Term SOFR + 1.37%), 5.67%, 10/15/37<sup>(a)(c)</sup> |  | 620 | 620428 |
|  Dryden 77 CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-77A, Class AR, (3-mo. CME Term SOFR + 1.38%), 5.70%,<br>05/20/34<sup>(a)(c)</sup> |  | 2000 | 2002024 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-77A, Class XR, (3-mo. CME Term SOFR + 1.26%), 5.58%,<br>05/20/34<sup>(a)(c)</sup> |  | 78 | 78113 |
|  Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR, (3-mo. CME Term SOFR + 1.16%), 5.46%, 04/15/29<sup>(a)(c)</sup> |  | 876 | 876264 |
|  Eaton Vance CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class A23R, (3-mo. CME Term SOFR + 1.81%), 6.11%,<br>01/15/34<sup>(a)(c)</sup> |  | 1080 | 1077742 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-1RA, Class A2, (3-mo. CME Term SOFR + 1.75%), 6.05%,<br>07/15/30<sup>(a)(c)</sup> |  | 250 | 250111 |
|  EDvestinU Private Education Loan Issue No. 1 LLC, Series 2019-A, Class A, 3.58%, 11/25/38<sup>(a)</sup> |  | 427 | 418056 |
|  EDvestinU Private Education Loan Issue No. 3 LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 1.80%, 11/25/45<sup>(a)</sup> |  | 183 | 169093 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class B, 3.50%, 11/25/50<sup>(a)</sup> |  | 1200 | 1012983 |
|  EDvestinU Private Education Loan Issue No. 4 LLC, Series 2022-A, Class A, 5.25%, 11/25/40<sup>(a)</sup> |  | 834 | 833379 |
|  Elmwood CLO 15 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A1, (3-mo. CME Term SOFR + 1.34%), 5.63%,<br>04/22/35<sup>(a)(c)</sup> |  | 10590 | 10584705 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class D, (3-mo. CME Term SOFR + 3.67%), 7.96%,<br>04/22/35<sup>(a)(c)</sup> |  | 1625 | 1621769 |
|  Elmwood CLO 23 Ltd., Series 2023-2A, Class A, (3-mo. CME Term SOFR + 1.80%), 6.11%, 04/16/36<sup>(a)(c)</sup> |  | 720 | 719439 |
|  Elmwood CLO 27 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class B, (3-mo. CME Term SOFR + 1.95%), 6.24%, 04/18/37<sup>(a)(c)</sup> |  | 1210 | 1217208 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3A, Class D, (3-mo. CME Term SOFR + 3.45%), 7.74%, 04/18/37<sup>(a)(c)</sup> |  | 250 | 251654 |

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S C H E D U L E S O F I N V E S T M E N T S 9

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |  |
|  Elmwood CLO 29 Ltd., Series 2024-5A, Class AR1, (3-mo. CME Term SOFR + 1.52%), 5.81%, 04/20/37<sup>(a)(c)</sup> | USD | 4250 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4259748 |
|  Elmwood CLO 30 Ltd., Series 2024-6A, Class A, (3-mo. CME Term SOFR + 1.43%), 5.73%, 07/17/37<sup>(a)(c)</sup> |  | 1700 | 1702145 |
|  Elmwood CLO 36 Ltd., Series 2024-12RA, Class AR, (3-mo. CME Term SOFR + 1.34%), 5.75%, 10/20/37<sup>(a)(c)</sup> |  | 1730 | 1731730 |
|  Elmwood CLO 38 Ltd., Series 2025-1A, Class A, (3-mo. CME Term SOFR + 1.15%), 5.43%, 04/22/38<sup>(a)(c)</sup> |  | 620 | 617759 |
|  Elmwood CLO I Ltd., Series 2019-1A, Class A1RR, (3-mo. CME Term SOFR + 1.52%), 5.81%, 04/20/37<sup>(a)(c)</sup> |  | 250 | 250375 |
|  Elmwood CLO II Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class A1RR, (3-mo. CME Term SOFR + 1.35%), 5.64%,<br>10/20/37<sup>(a)(c)</sup> |  | 4920 | 4924961 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class BRR, (3-mo. CME Term SOFR + 1.70%), 5.99%,<br>10/20/37<sup>(a)(c)</sup> |  | 900 | 896952 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class D1RR, (3-mo. CME Term SOFR + 3.05%), 7.34%,<br>10/20/37<sup>(a)(c)</sup> |  | 250 | 247654 |
|  Elmwood CLO III Ltd., Series 2019-3A, Class BRR, (3-mo. CME Term SOFR + 1.70%), 5.99%, 07/18/37<sup>(a)(c)</sup> |  | 1080 | 1076089 |
|  Elmwood CLO IV Ltd., Series 2020-1A, Class DR, (3-mo. CME Term SOFR + 3.35%), 7.64%, 04/18/37<sup>(a)(c)</sup> |  | 1000 | 1004399 |
|  Elmwood CLO VI Ltd., Series 2020-3A, Class ARR, (3-mo. CME Term SOFR + 1.38%), 5.67%, 07/18/37<sup>(a)(c)</sup> |  | 3690 | 3692063 |
|  Elmwood CLO VII Ltd., Series 2020-4A, Class A1RR, (3-mo. CME Term SOFR + 1.36%), 5.92%, 10/17/37<sup>(a)(c)</sup> |  | 1210 | 1210611 |
|  Elmwood CLO VIII Ltd., Series 2021-1A, Class FR, (3-mo. CME Term SOFR + 8.00%), 12.29%, 04/20/37<sup>(a)(c)</sup> |  | 250 | 232822 |
|  Elmwood CLO XII Ltd., Series 2021-5A, Class AR, (3-mo. CME Term SOFR + 1.36%), 5.66%, 10/15/37<sup>(a)(c)</sup> |  | 5880 | 5882419 |
|  Enterprise Fleet Financing LLC, Series 2024-4, Class A4, 4.70%, 06/20/31<sup>(a)</sup> |  | 1124 | 1128690 |
|  FBR Securitization Trust, Series 2005-5, Class M2, (1-mo. CME Term SOFR + 0.82%), 5.14%, 11/25/35<sup>(c)</sup> |  | 1673 | 1655559 |
|  FIGRE Trust, Series 2024-SL1, Class A1, 5.75%, 07/25/53<sup>(a)(c)</sup> |  | 8855 | 8889440 |
|  Fillmore Park CLO Ltd., Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.60%), 5.90%, 07/15/30<sup>(a)(c)</sup> |  | 250 | 250251 |
|  First Franklin Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FF16, Class 2A3, (1-mo. CME Term SOFR + 0.39%), 4.72%, 12/25/36<sup>(c)</sup> |  | 441 | 177942 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-FF17, Class A5, (1-mo. CME Term SOFR + 0.26%), 4.59%, 12/25/36<sup>(c)</sup> |  | 1330 | 1132328 |
|  FirstKey Homes Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class G, 4.78%, 08/17/37<sup>(a)</sup>  | &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class G, 4.78%, 08/17/37<sup>(a)</sup>  | 3650 | 3622884 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class F1, 3.24%, 08/17/38<sup>(a)</sup> |  | 4464 | 4308172 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR2, Class F1, 2.91%, 09/17/38<sup>(a)</sup> |  | 5500 | 5251427 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |  |
|  FirstKey Homes Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E1, 5.00%, 05/19/39<sup>(a)</sup> | USD | 4000 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3947440 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class E2, 5.00%, 05/19/39<sup>(a)</sup> |  | 2990 | 2933301 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class E1, 4.50%, 07/17/39<sup>(a)</sup> |  | 2681 | 2610547 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR3, Class E2, 3.50%, 07/17/38<sup>(a)</sup> |  | 6928 | 6674653 |
|  Flatiron CLO 18 Ltd., Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.21%), 5.51%, 04/17/31<sup>(a)(c)</sup> |  | 266 | 265891 |
|  Flatiron CLO 19 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class AR, (3-mo. CME Term SOFR + 1.34%), 5.67%, 11/16/34<sup>(a)(c)</sup> |  | 1045 | 1045936 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class DR, (3-mo. CME Term SOFR + 3.26%), 7.59%,<br>11/16/34<sup>(a)(c)</sup> |  | 900 | 900081 |
|  Flatiron CLO 20 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class BR, (3-mo. CME Term SOFR + 1.92%), 6.24%, 05/20/36<sup>(a)(c)</sup> |  | 1330 | 1329314 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class DR, (3-mo. CME Term SOFR + 3.45%), 7.77%,<br>05/20/36<sup>(a)(c)</sup> |  | 1000 | 998028 |
|  Flatiron CLO 21 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A2R, (3-mo. CME Term SOFR + 1.58%), 5.87%,<br>10/19/37<sup>(a)(c)</sup> |  | 2060 | 2055593 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class BR, (3-mo. CME Term SOFR + 1.70%), 5.99%,<br>10/19/37<sup>(a)(c)</sup> |  | 1200 | 1195888 |
|  Flatiron CLO 25 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A, (3-mo. CME Term SOFR + 1.35%), 5.62%, 10/17/37<sup>(a)(c)</sup> |  | 1060 | 1060401 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, (3-mo. CME Term SOFR + 1.60%), 5.87%,<br>10/17/37<sup>(a)(c)</sup> |  | 650 | 648650 |
|  FNA 8 LLC, Series 2025-1, Class A, 5.62%, 03/15/45<sup>(a)(c)</sup> |  | 7177 | 7177000 |
|  Fort Greene Park CLO LLC, Series 2025-2A, Class AR, (3-mo. CME Term SOFR + 0.95%), 5.27%, 04/22/34<sup>(a)(c)</sup> |  | 7900 | 7865257 |
|  Foundation Finance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A, 2.19%, 01/15/42<sup>(a)</sup> |  | 1093 | 1023723 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 5.95%, 12/15/49<sup>(a)</sup> |  | 662 | 677895 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, 4.93%, 03/15/50<sup>(a)</sup> |  | 1122 | 1114295 |
|  Fremont Home Loan Trust, Series 2006-3, Class 1A1, (1-mo. CME Term SOFR + 0.39%), 4.72%, 02/25/37<sup>(c)</sup> |  | 1776 | 1302377 |
|  FS Rialto Issuer Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL4, Class A, (SOFR (30-day) + 1.90%), 6.25%, 01/19/39<sup>(a)(c)</sup> |  | 2065 | 2062978 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FL9, Class A, (1-mo. CME Term SOFR + 1.63%), 5.95%, 10/19/39<sup>(a)(c)</sup> |  | 4618 | 4613479 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-FL10, Class A, (1-mo. CME Term SOFR + 1.39%), 5.69%,<br>08/19/42<sup>(a)(c)</sup> |  | 1240 | 1229074 |
|  Galaxy 33 CLO Ltd., Series 2024-33A, Class D1, (3-mo. CME Term SOFR + 3.55%), 7.84%, 04/20/37<sup>(a)(c)</sup> |  | 1900 | 1895851 |
|  Galaxy XV CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-15A, Class ARR, (3-mo. CME Term SOFR + 1.23%), 5.53%,<br>10/15/30<sup>(a)(c)</sup> |  | 86 | 86457 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-15A, Class CRR, (3-mo. CME Term SOFR + 2.11%), 6.41%,<br>10/15/30<sup>(a)(c)</sup> |  | 250 | 249873 |
|  Galaxy XVIII CLO Ltd., Series 2018-28A, Class A1, (3-mo. CME Term SOFR + 1.36%), 5.66%, 07/15/31<sup>(a)(c)</sup> |  | 127 | 126812 |

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10 2 0 2 5 B L A C K R O C K 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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |  |
|  Galaxy XX CLO Ltd., Series 2015-20A, Class AR, (3-mo. CME Term SOFR + 1.26%), 5.56%, 04/20/31<sup>(a)(c)</sup> | USD | 1621 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1619201 |
|  Galaxy XXVI CLO Ltd., Series 2018-26A, Class AR, (3-mo. CME Term SOFR + 1.17%), 5.50%, 11/22/31<sup>(a)(c)</sup> |  | 612 | 611359 |
|  Galaxy XXVII CLO Ltd., Series 2018-27A, Class A, (3-mo. CME Term SOFR + 1.28%), 5.61%, 05/16/31<sup>(a)(c)</sup> |  | 544 | 543353 |
|  Galaxy XXVIII CLO Ltd., Series 2018-28A, Class B, (3-mo. CME Term SOFR + 1.86%), 6.16%, 07/15/31<sup>(a)(c)</sup> |  | 510 | 509985 |
|  Generate CLO 2 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2A, Class AR2, (3-mo. CME Term SOFR + 1.41%), 5.70%, 10/22/37<sup>(a)(c)</sup> |  | 2020 | 2023607 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2A, Class BR2, (3-mo. CME Term SOFR + 1.80%), 6.09%, 10/22/37<sup>(a)(c)</sup> |  | 1990 | 1977683 |
|  Generate CLO 20 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-20A, Class A, (3-mo. CME Term SOFR + 1.30%), 5.59%,<br>01/25/38<sup>(a)(c)</sup> |  | 3630 | 3622740 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-20A, Class B, (3-mo. CME Term SOFR + 1.70%), 5.99%,<br>01/25/38<sup>(a)(c)</sup> |  | 1930 | 1921223 |
|  Generate CLO 7 Ltd., Series 7A, Class A1R, (3-mo. CME Term SOFR + 1.62%), 5.91%, 04/22/37<sup>(a)(c)</sup> |  | 8525 | 8542036 |
|  Generate CLO 8 Ltd., Series 8A, Class A1R2, (3-mo. CME Term SOFR + 1.38%), 5.67%, 01/20/38<sup>(a)(c)</sup> |  | 4500 | 4507420 |
|  GoldenTree Loan Management U.S. CLO 11 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-11A, Class AR, (3-mo. CME Term SOFR + 1.08%), 5.37%,<br>10/20/34<sup>(a)(c)</sup> |  | 7920 | 7909651 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-11A, Class ER, (3-mo. CME Term SOFR + 4.90%), 9.19%,<br>10/20/34<sup>(a)(c)</sup> |  | 1750 | 1722384 |
|  GoldenTree Loan Management U.S. CLO 23 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-23A, Class A, (3-mo. CME Term SOFR + 1.27%), 5.60%,<br>01/20/39<sup>(a)(c)</sup> |  | 1540 | 1534939 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-23A, Class B, (3-mo. CME Term SOFR + 1.60%), 5.93%,<br>01/20/39<sup>(a)(c)</sup> |  | 2470 | 2462134 |
|  GoldenTree Loan Management U.S. CLO 24 Ltd., Series 2025-24A, Class A, (3-mo. CME Term SOFR + 1.15%), 10/20/38<sup>(a)(c)(f)</sup> |  | 7500 | 7440000 |
|  GoldenTree Loan Management U.S. CLO 7 Ltd., Series 2020-7A, Class ARR, (3-mo. CME Term SOFR + 1.10%), 5.39%, 04/20/34<sup>(a)(c)</sup> |  | 450 | 449247 |
|  GoldenTree Loan Management U.S. CLO 9 Ltd., Series 2021-9R, Class DR, (3-mo. CME Term SOFR + 3.35%), 7.64%, 04/20/37<sup>(a)(c)</sup> |  | 750 | 753148 |
|  Goldman Home Improvement Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-GRN2, Class B, 1.97%, 06/25/51<sup>(a)</sup>  |  | 1898 | 1836504 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-GRN2, Class A, 6.80%, 10/25/52<sup>(a)</sup>  |  | 714 | 731395 |
|  Golub Capital Partners CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-41A, Class AR, (3-mo. CME Term SOFR + 1.58%), 5.88%,<br>01/20/34<sup>(a)(c)</sup> |  | 1700 | 1703393 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-43A, Class A1R, (3-mo. CME Term SOFR + 1.34%), 5.63%,<br>10/20/37<sup>(a)(c)</sup> |  | 3050 | 3051404 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-55A, Class A, (3-mo. CME Term SOFR + 1.46%), 5.76%,<br>07/20/34<sup>(a)(c)</sup> |  | 580 | 580708 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-58A, Class A1, (3-mo. CME Term SOFR + 1.44%), 5.74%,<br>01/25/35<sup>(a)(c)</sup> |  | 1780 | 1781666 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-66A, Class A, (3-mo. CME Term SOFR + 1.95%), 6.25%,<br>04/25/36<sup>(a)(c)</sup> |  | 290 | 289949 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |  |
|  Golub Capital Partners CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-71A, Class A, (3-mo. CME Term SOFR + 1.95%), 6.25%, 02/09/37<sup>(a)(c)</sup> | USD | 6000 | $5993258 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-76A, Class A1, (3-mo. CME Term SOFR + 1.37%), 6.11%, 10/25/37<sup>(a)(c)</sup> |  | 790 | 790513 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-76A, Class B, (3-mo. CME Term SOFR + 1.67%), 6.41%, 10/25/37<sup>(a)(c)</sup> |  | 560 | 556620 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-76A, Class D1, (3-mo. CME Term SOFR + 2.90%), 7.64%, 10/25/37<sup>(a)(c)</sup> |  | 490 | 490723 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-77A, Class A1, (3-mo. CME Term SOFR + 1.25%), 5.55%, 01/25/38<sup>(a)(c)</sup> |  | 410 | 409585 |
|  GoodLeap Home Improvement Solutions Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.35%, 10/20/46<sup>(a)</sup> |  | 10500 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10633310 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 5.38%, 02/20/49<sup>(a)</sup> |  | 10616 | 10755314 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class B, 6.27%, 02/20/49<sup>(a)</sup> |  | 2350 | 2376755 |
|  GoodLeap Sustainable Home Solutions Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-5CS, Class A, 2.31%, 10/20/48<sup>(a)</sup> |  | 1212 | 967787 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3CS, Class A, 4.95%, 07/20/49<sup>(a)</sup> |  | 858 | 781354 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1GS, Class A, 5.52%, 02/22/55<sup>(a)</sup> |  | 844 | 795471 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3C, Class A, 6.50%, 07/20/55<sup>(a)</sup> |  | 265 | 259961 |
|  Gracie Point International Funding LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, (SOFR (90-day) + 1.95%), 6.37%, 09/01/26<sup>(a)(c)</sup> |  | 1416 | 1419637 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (SOFR (90-day) + 1.70%), 6.12%, 03/01/28<sup>(a)(c)</sup> |  | 4053 | 4060114 |
|  Green Lakes Park CLO LLC, Series 2025-1A, Class ARR, (3-mo. CME Term SOFR + 1.18%), 5.47%, 01/25/38<sup>(a)(c)</sup> |  | 2480 | 2473576 |
|  GreenSky Home Improvement Issuer Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class A4, 5.67%, 06/25/59<sup>(a)</sup> |  | 6632 | 6714867 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class B, 5.87%, 06/25/59<sup>(a)</sup> |  | 764 | 774191 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class A4, 5.15%, 10/27/59<sup>(a)</sup> |  | 2455 | 2461016 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class B, 5.26%, 10/27/59<sup>(a)</sup> |  | 1685 | 1686353 |
|  Greenwood Park CLO Ltd., Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.29%), 5.59%, 04/15/31<sup>(a)(c)</sup> |  | 162 | 162424 |
|  GSAA Home Equity Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-14, Class 1A2, (1-mo. CME Term SOFR + 0.81%), 5.14%, 12/25/35<sup>(c)</sup> |  | 282 | 126476 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-14, Class A3A, (1-mo. CME Term SOFR + 0.61%), 4.94%, 09/25/36<sup>(c)</sup> |  | 4504 | 1344933 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-18, Class AF3A, 5.77%, 11/25/36<sup>(c)</sup>  |  | 1334 | 386228 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A1, 4.25%, 03/25/36<sup>(c)</sup> |  | 659 | 444506 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-2, Class AF3, 5.92%, 03/25/37<sup>(c)</sup> |  | 24 | 4453 |
|  GSAMP Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE4, Class M1, (1-mo. CME Term SOFR + 0.56%), 4.89%, 06/25/36<sup>(c)</sup> |  | 2900 | 2444686 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-H1, Class A1B, (1-mo. CME Term SOFR + 0.51%), 4.84%, 01/25/47<sup>(c)</sup> |  | 9 | 4597 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HS1, Class M5, (1-mo. CME Term SOFR + 3.49%), 7.81%, 02/25/47<sup>(c)</sup> |  | 3566 | 3546015 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HS1, Class M7, (1-mo. CME Term SOFR + 3.49%), 7.81%, 02/25/47<sup>(c)</sup> |  | 3000 | 2782073 |
|  Gulf Stream Meridian 7 Ltd., Series 2022-7A, Class A1, (3-mo. CME Term SOFR + 1.36%), 5.66%, 07/15/35<sup>(a)(c)</sup> |  | 2420 | 2422806 |
|  Halseypoint CLO 4 Ltd., Series 2021-4A, Class A, (3-mo. CME Term SOFR + 1.48%), 5.78%, 04/20/34<sup>(a)(c)</sup> |  | 920 | 918864 |
|  Home Efficiency Trust, Series 2024, Class A, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.00%, 12/31/54<sup>(a)(d)(g)</sup> |  | 1973 | 2012324 |

---

S C H E D U L E S O F I N V E S T M E N T S 11

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Home Equity Asset Trust, Series 2006-3, Class M2, (1-mo. CME Term SOFR + 0.71%), 5.04%, 07/25/36<sup>(c)</sup> | USD | 280 | $265158 |
|  Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2, (1-mo. CME Term SOFR + 2.14%), 3.94%, 07/25/34<sup>(c)</sup> |  | 12 | 11659 |
|  Home Partners of America Trust, Series 2021-2, Class F, 3.80%, 12/17/26<sup>(a)</sup> |  | 5760 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5515820 |
|  Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class B2, (SOFR (30-day) + 1.40%), 5.74%, 05/20/32<sup>(a)(c)</sup> |  | 8141 | 8152955 |
|  Invesco CLO Ltd., Series 2022-1A, Class B, (3-mo. CME Term SOFR + 1.80%), 6.09%, 04/20/35<sup>(a)(c)</sup> |  | 510 | 508799 |
|  JPMorgan Mortgage Acquisition Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-CH1, Class M7, (1-mo. CME Term SOFR + 1.31%), 5.64%, 07/25/36<sup>(c)</sup> |  | 3498 | 3109302 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-CH1, Class MF1, 4.50%, 11/25/36<sup>(b)</sup> |  | 100 | 102032 |
|  Juniper Valley Park CLO Ltd., Series 2023-1R, Class BR, (3-mo. CME Term SOFR + 1.55%), 5.84%, 07/20/36<sup>(a)(c)</sup> |  | 1800 | 1791447 |
|  KeyCorp Student Loan Trust, Series 2004-A, Class 2D, (3-mo. CME Term SOFR + 1.25%), 6.10%, 07/28/42<sup>(c)</sup> |  | 2046 | 1963402 |
|  Kings Park CLO Ltd., Series 2021-1A, Class A, (3-mo. CME Term SOFR + 1.39%), 5.69%, 01/21/35<sup>(a)(c)</sup> |  | 810 | 810563 |
|  KKR CLO 10 Ltd., Series 10, Class BR,<br>(3-mo. CME Term SOFR + 1.96%), 6.26%, 09/15/29<sup>(a)(c)</sup> |  | 342 | 339855 |
|  KKR CLO 17 Ltd., Series 17, Class AR,<br>(3-mo. CME Term SOFR + 1.34%), 5.64%, 04/15/34<sup>(a)(c)</sup> |  | 500 | 499834 |
|  KKR CLO 33 Ltd., Series 33A, Class A,<br>(3-mo. CME Term SOFR + 1.43%), 5.73%, 07/20/34<sup>(a)(c)</sup> |  | 500 | 500279 |
|  Lake George Park CLO Ltd., Series 2025-1A, Class B, (3-mo. CME Term SOFR + 1.50%), 04/15/38<sup>(a)(c)(f)(g)</sup> |  | 1140 | 1140000 |
|  LCM 26 Ltd., Series 26A, Class A1, (3-mo. CME Term SOFR + 1.33%), 5.63%, 01/20/31<sup>(a)(c)</sup> |  | 1010 | 1009312 |
|  LCM 36 Ltd., Series 36A, Class A1R, (3-mo. CME Term SOFR + 1.07%), 5.39%, 01/15/34<sup>(a)(c)</sup> |  | 4810 | 4801473 |
|  LCM XVII LP, Series 17A, Class A1AR,<br>(3-mo. CME Term SOFR + 1.39%), 5.69%, 10/15/31<sup>(a)(c)</sup> |  | 3366 | 3366229 |
|  LCM XVIII LP, Series 18A, Class A1R, (3-mo. CME Term SOFR + 1.28%), 5.58%, 04/20/31<sup>(a)(c)</sup> |  | 56 | 56381 |
|  Legacy Mortgage Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SL2, Class A, 3.38%, 02/25/59<sup>(a)(c)</sup>  |  | 2454 | 2351814 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SL2, Class B, 0.00%, 02/25/59<sup>(a)(d)</sup>  |  | 543 | 106556 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SL2, Class M, 4.25%, 02/25/59<sup>(a)(c)</sup>  |  | 674 | 615337 |
|  Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C, 0.00%, 06/15/33<sup>(d)</sup> |  | 379 | 371414 |
|  Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1, (1-mo. CME Term SOFR + 0.20%), 4.53%, 06/25/37<sup>(a)(c)</sup> |  | 72 | 47597 |
|  Lendmark Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 2.47%, 11/20/31<sup>(a)</sup> |  | 1525 | 1420347 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class B, 2.37%, 04/20/32<sup>(a)</sup> |  | 4630 | 4257958 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Lendmark Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class D, 4.46%, 04/20/32<sup>(a)</sup> | USD | 3500 | $3117957 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class D, 8.69%, 05/20/33<sup>(a)</sup> |  | 1310 | 1343776 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, 5.88%, 06/21/32<sup>(a)</sup> |  | 1205 | 1234023 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class C, 6.40%, 06/21/32<sup>(a)</sup> |  | 2447 | 2512048 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class D, 7.21%, 06/21/32<sup>(a)</sup> |  | 5550 | 5741075 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, 4.86%, 02/21/34<sup>(a)</sup> |  | 935 | 923287 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class C, 5.25%, 02/21/34<sup>(a)</sup> |  | 1905 | 1892910 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class D, 5.69%, 02/21/34<sup>(a)</sup> |  | 2948 | 2949456 |
|  LoanCore Issuer Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CRE7, Class A, (SOFR (30-day) + 1.55%), 5.90%, 01/17/37<sup>(a)(c)</sup> |  | 3393 | 3380205 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-CRE8, Class A, (1-mo. CME Term SOFR + 1.39%), 5.70%,<br>08/17/42<sup>(a)(c)</sup> |  | 1340 | 1336499 |
|  Loanpal Solar Loan Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2GF, Class A, 2.75%, 07/20/47<sup>(a)</sup> |  | 769 | 631589 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2GS, Class A, 2.22%, 03/20/48<sup>(a)</sup> |  | 2974 | 2333130 |
|  Long Beach Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-2, Class 1A, (1-mo. CME Term SOFR + 0.47%), 4.80%, 03/25/46<sup>(c)</sup> |  | 548 | 424503 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-5, Class 2A3, (1-mo. CME Term SOFR + 0.41%), 4.74%, 06/25/36<sup>(c)</sup> |  | 2958 | 1378004 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-7, Class 2A3, (1-mo. CME Term SOFR + 0.43%), 4.76%, 08/25/36<sup>(c)</sup> |  | 5364 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2116355 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-7, Class 2A4, (1-mo. CME Term SOFR + 0.59%), 4.92%, 08/25/36<sup>(c)</sup> |  | 1238 | 488862 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-9, Class 2A3, (1-mo. CME Term SOFR + 0.43%), 4.76%, 10/25/36<sup>(c)</sup> |  | 1931 | 613109 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-WL3, Class 2A4, (1-mo. CME Term SOFR + 0.71%), 5.04%, 01/25/36<sup>(c)</sup> |  | 2848 | 2609401 |
|  Long Point Park CLO Ltd., Series 2017-1A, Class A2, (3-mo. CME Term SOFR + 1.64%), 5.94%, 01/17/30<sup>(a)(c)</sup> |  | 820 | 820205 |
|  Lyra Music Assets Delaware LP, Series 2024-2A, Class A2, 5.76%, 12/22/64<sup>(a)</sup> |  | 5996 | 6053979 |
|  Madison Park Funding LVII Ltd., Series 2022-57A, Class A1R, (3-mo. CME Term SOFR + 1.28%), 5.58%, 07/27/34<sup>(a)(c)</sup> |  | 250 | 250028 |
|  Madison Park Funding LXII Ltd., Series 2022-62A, Class AR, (3-mo. CME Term SOFR + 1.85%), 6.15%, 07/17/36<sup>(a)(c)</sup> |  | 1800 | 1796181 |
|  Madison Park Funding LXVII Ltd., Series 2024- 67A, Class B, (3-mo. CME Term SOFR + 2.05%), 6.35%, 04/25/37<sup>(a)(c)</sup> |  | 4230 | 4241711 |
|  Madison Park Funding LXXI Ltd., Series 2025-71A, Class A1, (3-mo. CME Term SOFR + 1.14%), 5.41%, 04/23/38<sup>(a)(c)</sup> |  | 5910 | 5910241 |
|  Madison Park Funding XIX Ltd., Series 2015-19A, Class AR3, (3-mo. CME Term SOFR + 1.60%), 5.89%, 01/22/37<sup>(a)(c)</sup> |  | 330 | 330709 |
|  Madison Park Funding XL Ltd., Series 9A, Class AR2, (3-mo. CME Term SOFR + 1.25%), 5.57%, 05/28/30<sup>(a)(c)</sup> |  | 1255 | 1254467 |
|  Madison Park Funding XLII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 13A, Class AR, (3-mo. CME Term SOFR + 1.15%), 5.44%, 11/21/30<sup>(a)(c)</sup> |  | 311 | 310692 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 13A, Class B, (3-mo. CME Term SOFR + 1.76%), 6.05%, 11/21/30<sup>(a)(c)</sup> |  | 1250 | 1249266 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 13A, Class C, (3-mo. CME Term SOFR + 2.06%), 6.35%, 11/21/30<sup>(a)(c)</sup> |  | 1610 | 1610448 |

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12 2 0 2 5 B L A C K R O C K 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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Madison Park Funding XLVIII Ltd., Series 2021- 48A, Class E, (3-mo. CME Term SOFR + 6.51%), 10.81%, 04/19/33<sup>(a)(c)</sup> | USD | 500 | $500028 |
|  Madison Park Funding XVIII Ltd., Series 2015-18A, Class BR, (3-mo. CME Term SOFR + 1.86%), 6.16%, 10/21/30<sup>(a)(c)</sup> |  | 390 | 390050 |
|  Madison Park Funding XXI Ltd., Series 2016-21A, Class AARR, (3-mo. CME Term SOFR + 1.34%), 5.64%, 10/15/32<sup>(a)(c)</sup> |  | 493 | 492828 |
|  Madison Park Funding XXIV Ltd., Series 2016-24A, Class BR2, (3-mo. CME Term SOFR + 1.55%), 5.84%, 10/20/29<sup>(a)(c)</sup> |  | 740 | 739619 |
|  Madison Park Funding XXVII Ltd., Series 2018- 27A, Class D1R, (3-mo. CME Term SOFR + 2.85%), 7.17%, 04/20/38<sup>(a)(c)</sup> |  | 580 | 579275 |
|  Madison Park Funding XXX Ltd., Series 2018-30A, Class A1R, (3-mo. CME Term SOFR + 1.36%), 5.67%, 07/16/37<sup>(a)(c)</sup> |  | 2500 | 2501557 |
|  Madison Park Funding XXXI Ltd., Series 2018-31A, Class B1R, (3-mo. CME Term SOFR + 1.80%), 6.09%, 07/23/37<sup>(a)(c)</sup> |  | 510 | 510092 |
|  Madison Park Funding XXXIII Ltd., Series 2019- 33A, Class AR, (3-mo. CME Term SOFR + 1.29%), 5.59%, 10/15/32<sup>(a)(c)</sup> |  | 2290 | 2290000 |
|  Madison Park Funding XXXV Ltd., Series 2019- 35A, Class BR, (3-mo. CME Term SOFR + 1.66%), 5.96%, 04/20/32<sup>(a)(c)</sup> |  | 720 | 720678 |
|  Madison Park Funding XXXVII Ltd., Series 2019- 37A, Class AR2, (3-mo. CME Term SOFR + 1.53%), 5.83%, 04/15/37<sup>(a)(c)</sup> |  | 570 | 571196 |
|  Madison Park Funding XXXVIII Ltd., Series 2021- 38A, Class A, (3-mo. CME Term SOFR + 1.38%), 5.68%, 07/17/34<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250 | 1251150 |
|  Marble Point CLO XXIII Ltd., Series 2021-4A, Class D1, (3-mo. CME Term SOFR + 3.91%), 8.20%, 01/22/35<sup>(a)(c)</sup> |  | 750 | 749073 |
|  Mariner CLO LLC, Series 2016-3A, Class AR3, (3-mo. CME Term SOFR + 1.59%), 5.88%, 01/23/37<sup>(a)(c)</sup> |  | 890 | 890917 |
|  Mariner Finance Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-AA, Class A, 1.86%, 03/20/36<sup>(a)</sup> |  | 700 | 671104 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-AA, Class B, 2.33%, 03/20/36<sup>(a)</sup> |  | 1620 | 1532510 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-AA, Class C, 2.96%, 03/20/36<sup>(a)</sup> |  | 2850 | 2700278 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BA, Class C, 2.66%, 11/20/36<sup>(a)</sup> |  | 4403 | 4085717 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BA, Class E, 4.68%, 11/20/36<sup>(a)</sup> |  | 3620 | 3325143 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AA, Class A, 5.13%, 09/22/36<sup>(a)</sup> |  | 4126 | 4176057 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AA, Class D, 6.77%, 09/22/36<sup>(a)</sup> |  | 1969 | 2020563 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AA, Class E, 9.02%, 09/22/36<sup>(a)</sup> |  | 2800 | 2899472 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BA, Class A, 4.91%, 11/20/38<sup>(a)</sup> |  | 10404 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10468664 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BA, Class D, 6.36%, 11/20/38<sup>(a)</sup> |  | 1083 | 1108833 |
|  MASTR Asset-Backed Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-WF1, Class M8, (1-mo. CME Term SOFR + 1.97%), 6.30%, 06/25/35<sup>(c)</sup> |  | 1119 | 1134373 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AM2, Class A4, (1-mo. CME Term SOFR + 0.63%), 4.96%, 06/25/36<sup>(a)(c)</sup> |  | 219 | 202308 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-WMC2, Class A4, (1-mo. CME Term SOFR + 0.41%), 4.74%, 04/25/36<sup>(c)</sup> |  | 3183 | 637924 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE1, Class A4, (1-mo. CME Term SOFR + 0.67%), 5.00%, 05/25/37<sup>(c)</sup> |  | 83 | 70187 |
|  MASTR Specialized Loan Trust, Series 2006-3, Class A, (1-mo. CME Term SOFR + 0.63%), 4.96%, 06/25/46<sup>(a)(c)</sup> |  | 10 | 9482 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Meacham Park CLO Ltd., Series 2024-1A, Class B, (3-mo. CME Term SOFR + 1.60%), 6.39%, 10/20/37<sup>(a)(c)</sup> | USD | 2270 | $2261438 |
|  MERIT Securities Corp., Series 13, Class M2, 7.88%, 12/28/33<sup>(b)</sup> |  | 848 | 808726 |
|  Merrill Lynch First Franklin Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-2, Class A2C, (1-mo. CME Term SOFR + 0.59%), 4.92%, 05/25/37<sup>(c)</sup> |  | 909 | 623786 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-H1, Class 1A2, (1-mo. CME Term SOFR + 3.61%), 7.94%, 10/25/37<sup>(c)</sup> |  | 2160 | 2026527 |
|  Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class M1, (1-mo. CME Term SOFR + 0.50%), 4.83%, 08/25/37<sup>(c)</sup> |  | 1760 | 1561478 |
|  MF1 LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL10, Class A, (1-mo. CME Term SOFR + 2.64%), 6.95%, 09/17/37<sup>(a)(c)</sup> |  | 1206 | 1205312 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL9, Class A, (1-mo. CME Term SOFR + 2.15%), 6.47%, 06/19/37<sup>(a)(c)</sup> |  | 2812 | 2810125 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-FL12, Class A, (1-mo. CME Term SOFR + 2.07%), 6.38%, 10/19/38<sup>(a)(c)</sup> |  | 1306 | 1307185 |
|  MFA Trust, Series 2024-NPL1, Class A1, 6.33%, 09/25/54<sup>(a)(b)</sup> |  | 5672 | 5680187 |
|  MidOcean Credit CLO XI Ltd., Series 2022-11A, Class A1R2, (3-mo. CME Term SOFR + 1.21%), 5.53%, 01/18/36<sup>(a)(c)</sup> |  | 1470 | 1464076 |
|  MidOcean Credit CLO XII Ltd., Series 2023-12A, Class A1R, (3-mo. CME Term SOFR + 1.34%), 5.63%, 04/18/36<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12690 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12692055 |
|  Milford Park CLO Ltd., Series 2022-1A, Class AR, (3-mo. CME Term SOFR + 1.16%), 5.49%, 01/20/38<sup>(a)(c)</sup> |  | 2680 | 2666614 |
|  Mill City Solar Loan Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A, 4.34%, 03/20/43<sup>(a)</sup> |  | 920 | 828963 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2GS, Class A, 3.69%, 07/20/43<sup>(a)</sup> |  | 1579 | 1418373 |
|  Milos CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.33%), 5.63%, 10/20/30<sup>(a)(c)</sup> |  | 312 | 312361 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class BR, (3-mo. CME Term SOFR + 1.81%), 6.11%, 10/20/30<sup>(a)(c)</sup> |  | 250 | 249946 |
|  Morgan Stanley ABS Capital I, Inc. Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-NC1, Class A2D, (1-mo. CME Term SOFR + 0.33%), 4.66%, 11/25/36<sup>(c)</sup> |  | 4804 | 2284357 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-SEA1, Class 2A1, (1-mo. CME Term SOFR + 3.91%), 8.24%, 02/25/47<sup>(a)(c)</sup> |  | 45 | 41899 |
|  Morgan Stanley Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-12XS, Class A4, 6.51%, 10/25/36<sup>(b)</sup> |  | 2296 | 511554 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-12XS, Class A6A, 6.23%, 10/25/36<sup>(b)</sup> |  | 565 | 155273 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-16AX, Class 2A3, (1-mo. CME Term SOFR + 0.61%), 4.94%, 11/25/36<sup>(c)</sup> |  | 596 | 171235 |
|  Mosaic Solar Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2GS, Class A, 4.20%, 02/22/44<sup>(a)</sup> |  | 839 | 770833 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A, 4.37%, 12/21/43<sup>(a)</sup> |  | 1275 | 1187262 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class A, 2.88%, 09/20/40<sup>(a)</sup> |  | 213 | 189023 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class B, 2.21%, 08/20/46<sup>(a)</sup> |  | 1110 | 898194 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, 2.05%, 12/20/46<sup>(a)</sup> |  | 318 | 251946 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class B, 2.09%, 04/22/47<sup>(a)</sup> |  | 2962 | 2169826 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.32%, 06/20/53<sup>(a)</sup> |  | 762 | 739367 |
|  Myers Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.66%), 5.96%, 10/20/30<sup>(a)(c)</sup> |  | 540 | 539736 |

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S C H E D U L E S O F I N V E S T M E N T S 13

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Myers Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class B1, (3-mo. CME Term SOFR + 1.86%), 6.16%, 10/20/30<sup>(a)(c)</sup> | USD | 760 | $760395 |
|  Nationstar Home Equity Loan Trust, Series 2007-B, Class M1, (1-mo. CME Term SOFR + 0.73%), 5.05%, 04/25/37<sup>(c)</sup> |  | 380 | 361775 |
|  Navient Private Education Refi Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-DA, Class A2A, 4.00%, 12/15/59<sup>(a)</sup>  |  | 513 | 507671 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-D, Class A2A, 3.01%, 12/15/59<sup>(a)</sup> |  | 1898 | 1840847 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-CA, Class A2B, (1-mo. CME Term SOFR + 1.71%), 6.03%, 11/15/68<sup>(a)(c)</sup> |  | 2006 | 2022408 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-IA, Class B, 2.95%, 04/15/69<sup>(a)</sup> |  | 1880 | 1622580 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DA, Class A, (Prime Rate + (1.99)%), 5.51%, 04/15/60<sup>(a)(c)</sup> |  | 407 | 408136 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DA, Class B, 2.61%, 04/15/60<sup>(a)</sup> |  | 582 | 516679 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DA, Class C, 3.48%, 04/15/60<sup>(a)</sup> |  | 2651 | 2472782 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A, 5.66%, 10/15/72<sup>(a)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8935 | 9091087 |
|  Navient Student Loan Trust, Series 2019-BA, Class A2A, 3.39%, 12/15/59<sup>(a)</sup> |  | 776 | 760129 |
|  Nelnet Student Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A1, (1-mo. CME Term SOFR + 0.91%), 5.23%, 04/20/62<sup>(a)(c)</sup> |  | 966 | 966988 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A2, (1-mo. CME Term SOFR + 1.14%), 5.46%, 04/20/62<sup>(a)(c)</sup> |  | 2680 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2690696 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class APT2, 1.36%, 04/20/62<sup>(a)</sup> |  | 1387 | 1290174 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class B1, 2.85%, 04/20/62<sup>(a)</sup> |  | 1979 | 1735559 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class B2, 2.85%, 04/20/62<sup>(a)</sup> |  | 1640 | 1431612 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class C, 3.75%, 04/20/62<sup>(a)</sup> |  | 124 | 107328 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class D, 4.93%, 04/20/62<sup>(a)</sup> |  | 735 | 660208 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BA, Class B, 2.68%, 04/20/62<sup>(a)</sup> |  | 8450 | 7390580 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BA, Class C, 3.57%, 04/20/62<sup>(a)</sup> |  | 386 | 335041 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BA, Class D, 4.75%, 04/20/62<sup>(a)</sup> |  | 8380 | 7428480 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CA, Class B, 2.53%, 04/20/62<sup>(a)</sup> |  | 5370 | 4615071 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CA, Class C, 3.36%, 04/20/62<sup>(a)</sup> |  | 2770 | 2375023 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CA, Class D, 4.44%, 04/20/62<sup>(a)</sup> |  | 5590 | 4879168 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DA, Class B, 2.90%, 04/20/62<sup>(a)</sup> |  | 5408 | 4743362 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DA, Class C, 3.50%, 04/20/62<sup>(a)</sup> |  | 2700 | 2313208 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DA, Class D, 4.38%, 04/20/62<sup>(a)</sup> |  | 680 | 583949 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-PL1A, Class A1A, (SOFR (30-day) + 2.25%), 6.59%,<br>11/25/53<sup>(a)(c)</sup> |  | 1979 | 2011916 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AA, Class A1B, (SOFR (30-day) + 1.10%), 5.44%,<br>03/15/57<sup>(a)(c)</sup> |  | 11770 | 11697140 |
|  Neuberger Berman CLO XIV Ltd., Series 2013- 14A, Class AR2, (3-mo. CME Term SOFR + 1.29%), 5.59%, 01/28/30<sup>(a)(c)</sup> |  | 266 | 266078 |
|  Neuberger Berman CLO XV Ltd., Series 2013-15A, Class BR2, (3-mo. CME Term SOFR + 1.61%), 5.91%, 10/15/29<sup>(a)(c)</sup> |  | 250 | 249695 |
|  Neuberger Berman CLO XX Ltd., Series 2015-20A, Class A1R3, (3-mo. CME Term SOFR + 1.15%), 5.47%,<br>04/15/39<sup>(a)(c)</sup> |  | 525 | 523069 |
|  Neuberger Berman CLO XXI Ltd., Series 2016- 21A, Class A1R3, (3-mo. CME Term SOFR + 1.32%), 5.61%,<br>01/20/39<sup>(a)(c)</sup> |  | 5000 | 4999024 |
|  Neuberger Berman Loan Advisers CLO 32 Ltd., Series 2019-32A, Class BR, (3-mo. CME Term SOFR + 1.66%), 5.96%, 01/20/32<sup>(a)(c)</sup> |  | 910 | 909444 |
|  Neuberger Berman Loan Advisers CLO 34 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-34A, Class A1R, (3-mo. CME Term SOFR + 1.24%), 5.53%, 01/20/35<sup>(a)(c)</sup> |  | 890 | 889235 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-34A, Class BR, (3-mo. CME Term SOFR + 1.75%), 6.04%, 01/20/35<sup>(a)(c)</sup> |  | 1000 | 995473 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Neuberger Berman Loan Advisers CLO 40 Ltd., Series 2021-40A, Class A, (3-mo. CME Term SOFR + 1.32%), 5.63%, 04/16/33<sup>(a)(c)</sup> | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3695 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3696473 |
|  Neuberger Berman Loan Advisers CLO 46 Ltd., Series 2021-46A, Class BR, (3-mo. CME Term SOFR + 1.50%), 5.80%, 01/20/37<sup>(a)(c)</sup> |  | 1220 | 1211584 |
|  Neuberger Berman Loan Advisers CLO 47 Ltd., Series 2022-47A, Class A, (3-mo. CME Term SOFR + 1.30%), 5.59%, 04/14/35<sup>(a)(c)</sup> |  | 750 | 749176 |
|  Neuberger Berman Loan Advisers CLO 54 Ltd., Series 2024-54A, Class B, (3-mo. CME Term SOFR + 1.95%), 6.24%, 04/23/38<sup>(a)(c)</sup> |  | 970 | 974030 |
|  Neuberger Berman Loan Advisers CLO 55 Ltd., Series 2024-55A, Class C, (3-mo. CME Term SOFR + 2.35%), 6.64%, 04/22/38<sup>(a)(c)</sup> |  | 1000 | 1004997 |
|  New Mountain CLO 1 Ltd., Series CLO-1A, Class A1RR, (3-mo. CME Term SOFR + 1.25%), 5.55%, 01/15/38<sup>(a)(c)</sup> |  | 1370 | 1365205 |
|  New Mountain CLO 2 Ltd., Series CLO-2A, Class A1R, (3-mo. CME Term SOFR + 1.36%), 5.72%, 01/15/38<sup>(a)(c)</sup> |  | 3120 | 3116554 |
|  New Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class F, 4.44%, 02/17/39<sup>(a)</sup> |  | 502 | 479582 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR2, Class F, 4.00%, 09/04/39<sup>(a)</sup> |  | 3692 | 3417179 |
|  Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, (1-mo. CME Term SOFR + 0.51%), 4.84%, 10/25/36<sup>(a)(c)</sup> |  | 97 | 118139 |
|  NovaStar Mortgage Funding Trust, Series 2006-5, Class A2D, (1-mo. CME Term SOFR + 0.59%), 4.92%, 11/25/36<sup>(c)</sup> |  | 3671 | 1105561 |
|  Oak Hill Credit Partners X-R Ltd., Series 2014- 10RA, Class AR2, (3-mo. CME Term SOFR + 1.13%), 5.45%, 04/20/38<sup>(a)(c)</sup> |  | 2290 | 2279138 |
|  Oaktree CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class ARR, (3-mo. CME Term SOFR + 1.19%), 5.51%, 01/15/38<sup>(a)(c)</sup> |  | 630 | 627685 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class BRR, (3-mo. CME Term SOFR + 1.55%), 5.87%, 01/15/38<sup>(a)(c)</sup> |  | 820 | 817228 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class AR, (3-mo. CME Term SOFR + 0.97%), 5.27%, 01/15/35<sup>(a)(c)</sup> |  | 1950 | 1938027 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-27A, Class A2, (3-mo. CME Term SOFR + 1.57%), 6.35%, 10/22/37<sup>(a)(c)</sup> |  | 610 | 610183 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-27A, Class D1, (3-mo. CME Term SOFR + 3.00%), 7.78%, 10/22/37<sup>(a)(c)</sup> |  | 320 | 318171 |
|  Oakwood Mortgage Investors, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 1999-C, Class A2, 7.48%, 08/15/27 |  | 1459 | 1108174 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2001-D, Class A2, 5.26%, 01/15/19<sup>(c)</sup> |  | 23 | 8560 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2002-A, Class M1, 7.76%, 03/15/32<sup>(c)</sup> |  | 1607 | 1588901 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2002-C, Class M1, 6.89%, 11/15/32<sup>(c)</sup> |  | 1629 | 1584783 |
|  Ocean Trails CLO V, Series 2014-5A, Class BRR, (3-mo. CME Term SOFR + 2.21%), 6.50%, 10/13/31<sup>(a)(c)</sup> |  | 500 | 499682 |
|  OCP CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-10A, Class AR3, (3-mo. CME Term SOFR + 1.31%), 5.63%, 01/26/38<sup>(a)(c)</sup> |  | 4000 | 3999524 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-9A, Class AR3, (3-mo. CME Term SOFR + 1.10%), 5.42%, 01/15/37<sup>(a)(c)</sup> |  | 2440 | 2439463 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-11A, Class A1R2, (3-mo. CME Term SOFR + 1.42%), 5.72%, 04/26/36<sup>(a)(c)</sup> |  | 2060 | 2057565 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-12A, Class A1R3, (3-mo. CME Term SOFR + 1.37%), 5.66%, 10/18/37<sup>(a)(c)</sup> |  | 2500 | 2501262 |

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14 2 0 2 5 B L A C K R O C K 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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

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---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  OCP CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-12A, Class BAR3, (3-mo. CME Term SOFR + 1.68%), 5.97%, 10/18/37<sup>(a)(c)</sup>  | USD | 5360 | $5347272 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-13A, Class AR2, (3-mo. CME Term SOFR + 1.34%), 5.90%, 11/26/37<sup>(a)(c)</sup> |  | 3250 | 3246846 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-15A, Class AR, (3-mo. CME Term SOFR + 1.25%), 5.54%, 01/20/38<sup>(a)(c)</sup> |  | 4500 | 4495065 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-16A, Class AR, (3-mo. CME Term SOFR + 1.26%), 5.55%, 04/10/33<sup>(a)(c)</sup> |  | 1328 | 1328142 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-17A, Class AR2, (3-mo. CME Term SOFR + 1.40%), 5.69%, 07/20/37<sup>(a)(c)</sup> |  | 1680 | 1681350 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-18A, Class A1R2, (3-mo. CME Term SOFR + 1.37%), 5.66%, 07/20/37<sup>(a)(c)</sup> |  | 1100 | 1100653 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-18A, Class D1R2, (3-mo. CME Term SOFR + 3.10%), 7.39%, 07/20/37<sup>(a)(c)</sup> |  | 360 | 357137 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-20A, Class B1R, (3-mo. CME Term SOFR + 1.95%), 6.24%, 04/18/37<sup>(a)(c)</sup> |  | 370 | 369648 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-8RA, Class AR, (3-mo. CME Term SOFR + 1.25%), 5.55%, 10/17/36<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10841 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10841933 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-8RA, Class BR, (3-mo. CME Term SOFR + 1.65%), 5.95%, 10/17/36<sup>(a)(c)</sup> |  | 730 | 728172 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-8RA, Class CR, (3-mo. CME Term SOFR + 1.90%), 6.20%, 10/17/36<sup>(a)(c)</sup> |  | 250 | 249952 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-21A, Class AR, (3-mo. CME Term SOFR + 1.18%), 5.51%, 01/20/38<sup>(a)(c)</sup> |  | 1500 | 1496655 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-22A, Class BR, (3-mo. CME Term SOFR + 1.70%), 5.99%, 10/20/37<sup>(a)(c)</sup> |  | 340 | 339192 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-23A, Class ER, (3-mo. CME Term SOFR + 4.85%), 9.13%, 01/17/37<sup>(a)(c)</sup> |  | 420 | 416931 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-26A, Class AR, (3-mo. CME Term SOFR + 1.08%), 5.40%, 04/17/37<sup>(a)(c)</sup> |  | 7200 | 7160400 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-37A, Class A1, (3-mo. CME Term SOFR + 1.36%), 5.93%, 10/15/37<sup>(a)(c)</sup> |  | 2180 | 2179746 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-37A, Class B1, (3-mo. CME Term SOFR + 1.68%), 6.25%, 10/15/37<sup>(a)(c)</sup> |  | 2180 | 2167754 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-38A, Class A, (3-mo. CME Term SOFR + 1.33%), 5.68%, 01/21/38<sup>(a)(c)</sup> |  | 590 | 590056 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-40A, Class A, (3-mo. CME Term SOFR + 1.14%), 5.46%, 04/16/38<sup>(a)(c)(g)</sup> |  | 2720 | 2720000 |
|  Octagon 56 Ltd., Series 2021-1A, Class B, (3-mo. CME Term SOFR + 1.91%), 6.21%, 10/15/34<sup>(a)(c)</sup> |  | 250 | 249168 |
|  Octagon 57 Ltd., Series 2021-1A, Class B1, (3-mo. CME Term SOFR + 1.91%), 6.21%, 10/15/34<sup>(a)(c)</sup> |  | 870 | 868805 |
|  Octagon 61 Ltd., Series 2023-2A, Class C, (3-mo. CME Term SOFR + 3.00%), 7.29%, 04/20/36<sup>(a)(c)</sup> |  | 1353 | 1357867 |
|  Octagon 66 Ltd., Series 2022-1A, Class A1R, (3-mo. CME Term SOFR + 1.75%), 6.07%, 11/16/36<sup>(a)(c)</sup> |  | 6100 | 6124400 |
|  Octagon Investment Partners 18-R Ltd., Series 2018-18A, Class A1A, (3-mo. CME Term SOFR + 1.22%), 5.53%, 04/16/31<sup>(a)(c)</sup> |  | 1071 | 1071015 |
|  Octagon Investment Partners 37 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A2, (3-mo. CME Term SOFR + 1.84%), 6.14%, 07/25/30<sup>(a)(c)</sup> |  | 650 | 649752 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class B, (3-mo. CME Term SOFR + 2.01%), 6.31%, 07/25/30<sup>(a)(c)</sup> |  | 250 | 250000 |
|  Octagon Investment Partners 39 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class AR, (3-mo. CME Term SOFR + 1.15%), 5.44%, 10/20/30<sup>(a)(c)</sup> |  | 943 | 942254 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Octagon Investment Partners 39 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class BR, (3-mo. CME Term SOFR + 1.80%), 6.09%, 10/20/30<sup>(a)(c)</sup> | USD | 5640 | $5637203 |
|  Octagon Investment Partners XV Ltd., Series 2013- 1A, Class A2R, (3-mo. CME Term SOFR + 1.61%), 5.91%, 07/19/30<sup>(a)(c)</sup> |  | 350 | 349800 |
|  Octagon Investment Partners XVI Ltd., Series 2013-1A, Class A1R, (3-mo. CME Term SOFR + 1.28%), 5.58%, 07/17/30<sup>(a)(c)</sup> |  | 228 | 228414 |
|  Octagon Investment Partners XVII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class A1R2, (3-mo. CME Term SOFR + 1.26%), 5.56%, 01/25/31<sup>(a)(c)</sup> |  | 173 | 172996 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1A, Class A2R2, (3-mo. CME Term SOFR + 1.36%), 5.66%, 01/25/31<sup>(a)(c)</sup> |  | 500 | 499983 |
|  OHA Credit Funding 17 Ltd., Series 2024-17A, Class A, (3-mo. CME Term SOFR + 1.48%), 5.77%, 04/20/37<sup>(a)(c)</sup> |  | 2140 | 2132730 |
|  OHA Credit Funding 2 Ltd., Series 2019-2A, Class AR2, (3-mo. CME Term SOFR + 1.24%), 5.52%, 01/21/38<sup>(a)(c)</sup> |  | 2610 | 2608608 |
|  OHA Credit Funding 3 Ltd., Series 2019-3A, Class AR2, (3-mo. CME Term SOFR + 1.32%), 5.61%, 01/20/38<sup>(a)(c)</sup> |  | 250 | 250213 |
|  OHA Credit Funding 4 Ltd., Series 2019-4A, Class AR2, (3-mo. CME Term SOFR + 1.29%), 5.58%, 01/22/38<sup>(a)(c)</sup> |  | 1000 | 1000131 |
|  OHA Credit Funding 5 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5A, Class AR, (3-mo. CME Term SOFR + 1.35%), 5.64%, 10/18/37<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12790 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12803986 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5A, Class B1R, (3-mo. CME Term SOFR + 1.70%), 5.99%, 10/18/37<sup>(a)(c)</sup> |  | 2600 | 2600288 |
|  OHA Credit Funding 6 Ltd., Series 2020-6A, Class AR2, (3-mo. CME Term SOFR + 1.33%), 5.62%, 10/20/37<sup>(a)(c)</sup> |  | 670 | 670512 |
|  OHA Credit Funding 7 Ltd., Series 2020-7A, Class AR, (3-mo. CME Term SOFR + 1.30%), 5.59%, 02/24/37<sup>(a)(c)</sup> |  | 3520 | 3519185 |
|  OHA Credit Funding 9 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-9A, Class A1R, (3-mo. CME Term SOFR + 1.35%), 5.64%, 10/19/37<sup>(a)(c)</sup> |  | 3890 | 3894326 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-9A, Class B1R, (3-mo. CME Term SOFR + 1.70%), 5.99%, 10/19/37<sup>(a)(c)</sup> |  | 1890 | 1890156 |
|  OHA Credit Partners XI Ltd., Series 2015-11A, Class A1R2, (3-mo. CME Term SOFR + 1.46%), 5.75%, 04/20/37<sup>(a)(c)</sup> |  | 3345 | 3351262 |
|  OHA Credit Partners XII Ltd., Series 2015-12A, Class B1R2, (3-mo. CME Term SOFR + 1.95%), 6.24%, 04/23/37<sup>(a)(c)</sup> |  | 1700 | 1708446 |
|  OHA Credit Partners XVI, Series 2021-16A, Class AR, (3-mo. CME Term SOFR + 1.35%), 5.64%, 10/18/37<sup>(a)(c)</sup> |  | 5340 | 5345964 |
|  OHA Loan Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class AR, (3-mo. CME Term SOFR + 1.30%), 5.63%, 05/23/31<sup>(a)(c)</sup> |  | 616 | 616345 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A, Class AR3, (3-mo. CME Term SOFR + 1.41%), 5.71%, 01/19/37<sup>(a)(c)</sup> |  | 1360 | 1362988 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class A1R2, (3-mo. CME Term SOFR + 1.46%), 5.75%, 07/20/37<sup>(a)(c)</sup> |  | 2640 | 2646218 |
|  OneMain Direct Auto Receivables Trust, Series 2025-1A, Class D, 6.10%, 07/14/37<sup>(a)</sup> |  | 4519 | 4633395 |
|  OneMain Financial Issuance Trust Series 2021-1A, Class B, 1.95%, 06/16/36<sup>(a)</sup> |  | 4700 | 4357492 |

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S C H E D U L E S O F I N V E S T M E N T S 15

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  OneMain Financial Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, 2.22%, 06/16/36<sup>(a)</sup> | USD | 4680 | $4325369 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class D, 7.52%, 09/15/36<sup>(a)</sup> |  | 1720 | 1804034 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.79%, 05/14/41<sup>(a)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10618 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11053623 |
|  Option One Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-4, Class M3, (1-mo. CME Term SOFR + 0.85%), 5.17%, 11/25/35<sup>(c)</sup> |  | 460 | 391469 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FXD1, Class 1A1, 5.87%, 01/25/37<sup>(b)</sup> |  | 3934 | 3349313 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FXD1, Class 2A1, 5.87%, 01/25/37<sup>(b)</sup> |  | 2319 | 1988190 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FXD1, Class 3A4, 5.86%, 01/25/37<sup>(b)</sup> |  | 175 | 170151 |
|  Orchard Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (3-mo. CME Term SOFR + 1.36%), 6.01%, 10/20/37<sup>(a)(c)</sup> |  | 14850 | 14865050 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B1, (3-mo. CME Term SOFR + 1.70%), 6.35%, 10/20/37<sup>(a)(c)</sup> |  | 1340 | 1340048 |
|  Origen Manufactured Housing Contract Trust, Series 2007-B, Class A1, (1-mo. CME Term SOFR + 1.20%), 6.16%, 10/15/37<sup>(a)(c)</sup> |  | 348 | 344790 |
|  Owl Rock CLO V Ltd., Series 2020-5A, Class A1R, (3-mo. CME Term SOFR + 1.78%), 6.07%, 04/20/34<sup>(a)(c)</sup> |  | 1350 | 1350195 |
|  Owl Rock CLO VII LLC, Series 2022-7A, Class AR, (3-mo. CME Term SOFR + 1.40%), 5.72%, 04/20/38<sup>(a)(c)(g)</sup> |  | 460 | 460000 |
|  Owl Rock CLO XVIII LLC, Series 2024-18A, Class A, (3-mo. CME Term SOFR + 1.70%), 6.00%, 07/24/36<sup>(a)(c)</sup> |  | 2990 | 2989869 |
|  OZLM XVIII Ltd., Series 2018-18A, Class B, (3-mo. CME Term SOFR + 1.81%), 6.11%, 04/15/31<sup>(a)(c)</sup> |  | 550 | 549186 |
|  OZLM XXII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-22A, Class A1, (3-mo. CME Term SOFR + 1.33%), 5.63%, 01/17/31<sup>(a)(c)</sup> |  | 341 | 341211 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-22A, Class A2, (3-mo. CME Term SOFR + 1.76%), 6.06%, 01/17/31<sup>(a)(c)</sup> |  | 500 | 498700 |
|  Pagaya AI Debt Selection Trust, Series 2021-2, Class NOTE, 3.00%, 01/25/29<sup>(a)</sup> |  | 139 | 137940 |
|  Pagaya AI Technology in Housing Trust, Series 2023-1, Class F, 3.60%, 10/25/40<sup>(a)</sup> |  | 1000 | 809354 |
|  Palmer Square CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A, Class A1A5, (3-mo. CME Term SOFR + 1.05%), 5.38%, 05/21/34<sup>(a)(c)</sup> |  | 660 | 659080 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1A, Class A2R5, (3-mo. CME Term SOFR + 1.60%), 5.93%, 05/21/34<sup>(a)(c)</sup> |  | 1330 | 1322852 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1R, (3-mo. CME Term SOFR + 1.41%), 5.73%, 11/14/34<sup>(a)(c)</sup> |  | 2380 | 2379287 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3A, Class A1R2, (3-mo. CME Term SOFR + 1.65%), 5.97%, 11/15/36<sup>(a)(c)</sup> |  | 960 | 961747 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1AR, (3-mo. CME Term SOFR + 1.15%), 5.47%, 04/20/38<sup>(a)(c)</sup> |  | 2520 | 2509938 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.41%), 5.71%, 01/15/35<sup>(a)(c)</sup> |  | 390 | 390797 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class B, (3-mo. CME Term SOFR + 1.91%), 6.21%, 10/15/34<sup>(a)(c)</sup> |  | 250 | 249812 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A1R, (3-mo. CME Term SOFR + 1.35%), 5.64%, 07/20/37<sup>(a)(c)</sup> |  | 1480 | 1481483 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class B1R, (3-mo. CME Term SOFR + 1.60%), 5.89%, 07/20/37<sup>(a)(c)</sup> |  | 250 | 249183 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Palmer Square CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class D1R, (3-mo. CME Term SOFR + 2.95%), 7.24%, 07/20/37<sup>(a)(c)</sup> | USD | 450 | $446933 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class AR, (3-mo. CME Term SOFR + 1.25%), 5.54%, 01/20/38<sup>(a)(c)</sup> |  | 2000 | 1997804 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class B, (3-mo. CME Term SOFR + 1.65%), 5.94%, 07/20/37<sup>(a)(c)</sup> |  | 2300 | 2298428 |
|  Palmer Square Loan Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3A, Class D, (3-mo. CME Term SOFR + 5.26%), 9.56%, 07/20/29<sup>(a)(c)</sup> |  | 250 | 249957 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class B, (3-mo. CME Term SOFR + 2.01%), 6.31%, 10/15/29<sup>(a)(c)</sup> |  | 250 | 249595 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4A, Class C, (3-mo. CME Term SOFR + 2.86%), 7.16%, 10/15/29<sup>(a)(c)</sup> |  | 250 | 249799 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class A2, (3-mo. CME Term SOFR + 1.90%), 6.20%, 10/15/30<sup>(a)(c)</sup> |  | 2730 | 2731955 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class B, (3-mo. CME Term SOFR + 2.20%), 6.50%, 10/15/30<sup>(a)(c)</sup> |  | 1360 | 1358139 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2A, Class C, (3-mo. CME Term SOFR + 3.10%), 7.40%, 10/15/30<sup>(a)(c)</sup> |  | 250 | 249934 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A1BR, (3-mo. CME Term SOFR + 1.40%), 5.70%, 04/15/31<sup>(a)(c)</sup> |  | 250 | 250176 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A2R, (3-mo. CME Term SOFR + 1.60%), 5.90%, 04/15/31<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10380 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10341110 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A2, (3-mo. CME Term SOFR + 1.45%), 5.75%, 10/15/32<sup>(a)(c)</sup> |  | 1150 | 1146947 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2A, Class A1N, (3-mo. CME Term SOFR + 1.00%), 5.45%, 01/15/33<sup>(a)(c)</sup> |  | 770 | 768908 |
|  Park Avenue Institutional Advisers CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class DR, (3-mo. CME Term SOFR + 7.07%), 11.39%, 02/14/34<sup>(a)(c)</sup> |  | 900 | 838094 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class D, (3-mo. CME Term SOFR + 3.66%), 7.96%, 07/15/34<sup>(a)(c)</sup> |  | 1900 | 1897529 |
|  Park Blue CLO Ltd., Series 2024-6A, Class A1, (3-mo. CME Term SOFR + 1.34%), 5.64%, 01/25/38<sup>(a)(c)</sup> |  | 1490 | 1487151 |
|  PFS Financing Corp., Series 2022-E, Class B, 5.54%, 10/30/26<sup>(a)(g)</sup> |  | 9000 | 9033300 |
|  Pikes Peak CLO 8, Series 2021-8A, Class A1R, (3-mo. CME Term SOFR + 1.33%), 5.62%, 01/20/38<sup>(a)(c)</sup> |  | 1500 | 1497000 |
|  Point Au Roche Park CLO Ltd., Series 2021-1A, Class A, (3-mo. CME Term SOFR + 1.34%), 5.64%, 07/20/34<sup>(a)(c)</sup> |  | 580 | 580218 |
|  Popular ABS Mortgage Pass-Through Trust, Series 2006-B, Class M1, (1-mo. CME Term SOFR + 0.65%), 4.98%, 05/25/36<sup>(c)</sup> |  | 3051 | 2906855 |
|  Post CLO VI Ltd., Series 2024-2A, Class A1, (3-mo. CME Term SOFR + 1.42%), 5.88%, 01/20/38<sup>(a)(c)</sup> |  | 1650 | 1652062 |
|  PRET LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RN4, Class A1, 5.49%, 10/25/51<sup>(a)(c)</sup> |  | 4478 | 4473616 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NPL4, Class A1, 7.00%, 07/25/54<sup>(a)(b)</sup> |  | 4624 | 4625466 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NPL5, Class A1, 5.96%, 09/25/54<sup>(a)(b)</sup> |  | 3682 | 3678467 |
|  Prodigy Finance DAC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B, (1-mo. CME Term SOFR + 2.61%), 6.94%, 07/25/51<sup>(a)(c)</sup> |  | 637 | 644607 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class C, (1-mo. CME Term SOFR + 3.86%), 8.19%, 07/25/51<sup>(a)(c)</sup> |  | 637 | 653512 |

---

16 2 0 2 5 B L A C K R O C K 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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Prodigy Finance DAC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class D, (1-mo. CME Term SOFR + 6.01%), 10.34%, 07/25/51<sup>(a)(c)</sup> | USD | 475 | $490206 |
|  Progress Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR10, Class E2, 3.67%, 12/17/40<sup>(a)</sup> |  | 868 | 804014 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR10, Class F, 4.61%, 12/17/40<sup>(a)</sup> |  | 3508 | 3323823 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR5, Class F, 3.16%, 07/17/38<sup>(a)</sup> |  | 1808 | 1737281 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR6, Class F, 3.42%, 07/17/38<sup>(a)</sup> |  | 3577 | 3479205 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR8, Class F, 3.18%, 10/17/38<sup>(a)</sup> |  | 4500 | 4364150 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR9, Class F, 4.05%, 11/17/40<sup>(a)</sup> |  | 2400 | 2286590 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR1, Class F, 4.88%, 02/17/41<sup>(a)</sup> |  | 5000 | 4788854 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SFR5, Class E1, 6.62%, 06/17/39<sup>(a)</sup> |  | 3130 | 3167444 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SFR2, Class E1, 4.75%, 10/17/40<sup>(a)</sup> |  | 1041 | 982273 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class E1, 3.40%, 04/17/41<sup>(a)(c)</sup> |  | 2000 | 1804141 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR2, Class E2, 3.65%, 04/17/41<sup>(a)(c)</sup> |  | 2000 | 1788940 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR4, Class E1, 3.33%, 07/17/41<sup>(a)</sup> |  | 5640 | 5040719 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SFR4, Class E2, 3.40%, 07/17/41<sup>(a)</sup> |  | 5000 | 4396913 |
|  PRP Advisors LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class A1, 4.87%, 04/25/26<sup>(a)(b)</sup> |  | 2608 | 2608273 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 6.72%, 02/25/27<sup>(a)(b)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3649 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3651086 |
|  RAAC Trust, Series 2006-SP3, Class M3, (1-mo. CME Term SOFR + 1.46%), 5.79%, 08/25/36<sup>(c)</sup> |  | 1662 | 1605272 |
|  Race Point IX CLO Ltd., Series 2015-9A, Class A1A2, (3-mo. CME Term SOFR + 1.20%), 5.50%, 10/15/30<sup>(a)(c)</sup> |  | 136 | 135844 |
|  Rad CLO 15 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-15A, Class A, (3-mo. CME Term SOFR + 1.35%), 5.65%, 01/20/34<sup>(a)(c)</sup> |  | 1540 | 1538710 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-15A, Class B, (3-mo. CME Term SOFR + 1.91%), 6.21%, 01/20/34<sup>(a)(c)</sup> |  | 820 | 819275 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-15A, Class E, (3-mo. CME Term SOFR + 6.46%), 10.76%, 01/20/34<sup>(a)(c)</sup> |  | 4500 | 4363349 |
|  RAD CLO 21 Ltd., Series 2023-21A, Class A1R, (3-mo. CME Term SOFR + 1.07%), 5.39%, 01/25/37<sup>(a)(c)</sup> |  | 1200 | 1197635 |
|  Rad CLO 23 Ltd., Series 2024-23A, Class B1, (3-mo. CME Term SOFR + 2.05%), 6.34%, 04/20/37<sup>(a)(c)</sup> |  | 1090 | 1090172 |
|  RAD CLO 27 Ltd., Series 2024-27A, Class A1, (3-mo. CME Term SOFR + 1.32%), 5.61%, 01/15/38<sup>(a)(c)</sup> |  | 6320 | 6318861 |
|  Rad CLO 6 Ltd., Series 2019-6A, Class A1R, (3-mo. CME Term SOFR + 1.39%), 5.68%, 10/20/37<sup>(a)(c)</sup> |  | 4670 | 4676052 |
|  Rad CLO 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class A1R, (3-mo. CME Term SOFR + 1.35%), 5.65%, 04/17/36<sup>(a)(c)</sup> |  | 700 | 700109 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class B1R, (3-mo. CME Term SOFR + 1.90%), 6.20%, 04/17/36<sup>(a)(c)</sup> |  | 2500 | 2497674 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class CR, (3-mo. CME Term SOFR + 2.60%), 6.90%, 04/17/36<sup>(a)(c)</sup> |  | 1340 | 1342640 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-7A, Class D1R, (3-mo. CME Term SOFR + 4.15%), 8.45%, 04/17/36<sup>(a)(c)</sup> |  | 480 | 479142 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  RAMP Trust, Series 2007-RS1, Class A4,<br>(1-mo. CME Term SOFR + 0.67%), 5.00%, 02/25/37<sup>(c)</sup> | USD | 2074 | $466007 |
|  Redwood Funding Trust, Series 2023-1, Class A, 7.50%, 07/25/59<sup>(a)(b)</sup> |  | 512 | 513238 |
|  Regatta 30 Funding Ltd., Series 2024-4A, Class A1, (3-mo. CME Term SOFR + 1.32%), 5.63%, 01/25/38<sup>(a)(c)</sup> |  | 1510 | 1509431 |
|  Regatta 31 Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A1, (3-mo. CME Term SOFR + 1.17%), 5.40%, 03/25/38<sup>(a)(c)</sup> |  | 1750 | 1745316 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A2, (3-mo. CME Term SOFR + 1.60%), 5.83%, 03/25/38<sup>(a)(c)</sup> |  | 1630 | 1625129 |
|  Regatta VI Funding Ltd., Series 2016-1A, Class AR2, (3-mo. CME Term SOFR + 1.42%), 5.72%, 04/20/34<sup>(a)(c)</sup> |  | 3000 | 3002925 |
|  Regatta VII Funding Ltd., Series 2016-1A, Class BR2, (3-mo. CME Term SOFR + 1.86%), 6.17%, 06/20/34<sup>(a)(c)</sup> |  | 250 | 250413 |
|  Regatta VIII Funding Ltd., Series 2017-1A, Class BR, (3-mo. CME Term SOFR + 2.05%), 6.35%, 04/17/37<sup>(a)(c)</sup> |  | 1255 | 1257224 |
|  Regatta XI Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class AR, (3-mo. CME Term SOFR + 1.40%), 5.70%, 07/17/37<sup>(a)(c)</sup> |  | 250 | 250203 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class BR, (3-mo. CME Term SOFR + 1.75%), 6.05%, 07/17/37<sup>(a)(c)</sup> |  | 4650 | 4651440 |
|  Regatta XII Funding Ltd., Series 2019-1A, Class ARR, (3-mo. CME Term SOFR + 1.39%), 6.05%, 10/15/37<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4925506 |
|  Regatta XIX Funding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A1, (3-mo. CME Term SOFR + 1.32%), 5.61%, 04/20/35<sup>(a)(c)</sup> |  | 250 | 250036 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class B, (3-mo. CME Term SOFR + 1.85%), 6.14%, 04/20/35<sup>(a)(c)</sup> |  | 1140 | 1143226 |
|  Regatta XVIII Funding Ltd., Series 2021-1A, Class A1R, (3-mo. CME Term SOFR + 1.16%), 5.48%, 04/15/38<sup>(a)(c)</sup> |  | 3300 | 3289948 |
|  Regatta XX Funding Ltd., Series 2021-2A, Class AR, (3-mo. CME Term SOFR + 1.18%), 5.49%, 01/15/38<sup>(a)(c)</sup> |  | 800 | 798135 |
|  Regatta XXIII Funding Ltd., Series 2021-4A, Class A1, (3-mo. CME Term SOFR + 1.41%), 5.71%, 01/20/35<sup>(a)(c)</sup> |  | 840 | 841782 |
|  Regatta XXIV Funding Ltd., Series 2021-5A, Class AR, (3-mo. CME Term SOFR + 1.32%), 5.64%, 01/20/38<sup>(a)(c)</sup> |  | 1080 | 1080019 |
|  Regatta XXVII Funding Ltd., Series 2024-1A, Class A1, (3-mo. CME Term SOFR + 1.53%), 5.83%, 04/26/37<sup>(a)(c)</sup> |  | 2040 | 2044928 |
|  Regional Management Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A, 1.68%, 03/17/31<sup>(a)</sup> |  | 20 | 20349 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class B, 2.35%, 08/15/33<sup>(a)</sup> |  | 1098 | 1004437 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2, Class C, 3.23%, 08/15/33<sup>(a)</sup> |  | 820 | 754507 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class A, 3.88%,<br>10/17/33<sup>(a)(g)</sup> |  | 10210 | 9699500 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A, 3.07%, 03/15/32<sup>(a)</sup> |  | 2262 | 2236592 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class B, 3.71%, 03/15/32<sup>(a)</sup> |  | 5452 | 5323805 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class C, 4.46%, 03/15/32<sup>(a)</sup> |  | 1111 | 1082002 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class D, 6.72%, 03/15/32<sup>(a)</sup> |  | 2072 | 2045436 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class D, 7.46%, 07/15/36<sup>(a)</sup> |  | 1637 | 1697544 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 5.11%, 12/15/33<sup>(a)</sup> |  | 1418 | 1424107 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class D, 6.33%, 12/15/33<sup>(a)</sup> |  | 1665 | 1665516 |

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S C H E D U L E S O F I N V E S T M E N T S 17

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Renaissance Home Equity Loan Trust, Series 2005-3, Class AF4, 5.64%, 11/25/35<sup>(b)</sup> | USD | 428 | $426937 |
|  Republic Finance Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class D, 5.23%, 12/22/31<sup>(a)</sup> |  | 3550 | 3412202 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 6.47%, 08/20/32<sup>(a)</sup> |  | 4430 | 4529802 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class C, 7.28%, 08/20/32<sup>(a)</sup> |  | 1794 | 1837569 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class D, 9.49%, 08/20/32<sup>(a)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4072 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4142007 |
|  Riserva CLO Ltd., Series 2016-3A, Class ARR, (3-mo. CME Term SOFR + 1.32%), 5.62%, 01/18/34<sup>(a)(c)</sup> |  | 1100 | 1098570 |
|  Rockford Tower CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class AR2, (3-mo. CME Term SOFR + 1.36%), 5.66%, 04/20/34<sup>(a)(c)</sup> |  | 500 | 498815 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class BR, (3-mo. CME Term SOFR + 1.76%), 6.06%, 10/15/29<sup>(a)(c)</sup> |  | 1250 | 1247664 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class CR, (3-mo. CME Term SOFR + 2.16%), 6.46%, 10/15/29<sup>(a)(c)</sup> |  | 1000 | 1000072 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-2A, Class DR, (3-mo. CME Term SOFR + 3.11%), 7.41%, 10/15/29<sup>(a)(c)</sup> |  | 1000 | 1000008 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3A, Class A, (3-mo. CME Term SOFR + 1.45%), 5.75%, 10/20/30<sup>(a)(c)</sup> |  | 923 | 922020 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A, (3-mo. CME Term SOFR + 1.36%), 5.68%, 05/20/31<sup>(a)(c)</sup> |  | 731 | 730507 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A, (3-mo. CME Term SOFR + 1.42%), 5.72%, 10/20/31<sup>(a)(c)</sup> |  | 131 | 131172 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class B, (3-mo. CME Term SOFR + 2.06%), 6.36%, 10/20/31<sup>(a)(c)</sup> |  | 620 | 620427 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1, (3-mo. CME Term SOFR + 1.43%), 5.73%, 07/20/34<sup>(a)(c)</sup> |  | 3500 | 3498754 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class A1, (3-mo. CME Term SOFR + 1.42%), 5.72%, 07/20/34<sup>(a)(c)</sup> |  | 1510 | 1508099 |
|  Romark CLO II Ltd., Series 2018-2A, Class A1R, (3-mo. CME Term SOFR + 1.14%), 5.44%, 07/25/31<sup>(a)(c)</sup> |  | 183 | 182854 |
|  Romark CLO Ltd., Series 2017-1A, Class A1R, (3-mo. CME Term SOFR + 1.29%), 5.58%, 10/23/30<sup>(a)(c)</sup> |  | 1103 | 1104384 |
|  Romark WM-R Ltd., Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.29%), 5.59%, 04/20/31<sup>(a)(c)</sup> |  | 1144 | 1143912 |
|  RR 12 Ltd., Series 2020-12A, Class A2R3, (3-mo. CME Term SOFR + 1.60%), 5.90%, 01/15/36<sup>(a)(c)</sup> |  | 1210 | 1207027 |
|  RR 18 Ltd., Series 2021-18A, Class A2, (3-mo. CME Term SOFR + 1.86%), 6.16%, 10/15/34<sup>(a)(c)</sup> |  | 650 | 650783 |
|  RR 19 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-19A, Class A2, (3-mo. CME Term SOFR + 1.91%), 6.21%, 10/15/35<sup>(a)(c)</sup> |  | 500 | 500000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-19A, Class A2R, (3-mo. CME Term SOFR + 1.55%), 04/15/40<sup>(a)(c)(f)</sup> |  | 250 | 250000 |
|  RR 26 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-26A, Class A1, (3-mo. CME Term SOFR + 1.78%), 6.08%, 04/15/38<sup>(a)(c)</sup> |  | 920 | 918642 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-26A, Class A1R, (3-mo. CME Term SOFR + 1.12%), 5.44%, 04/15/38<sup>(a)(c)</sup> |  | 2720 | 2720000 |
|  RR 28 Ltd., Series 2024-28RA, Class A1R, (3-mo. CME Term SOFR + 1.55%), 5.85%, 04/15/37<sup>(a)(c)</sup> |  | 250 | 250501 |
|  RR 29 Ltd., Series 2024-29RA, Class A1R, (3-mo. CME Term SOFR + 1.39%), 5.69%, 07/15/39<sup>(a)(c)</sup> |  | 250 | 250360 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  RR 32 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-32RA, Class A1R, (3-mo. CME Term SOFR + 1.36%), 5.66%, 10/15/39<sup>(a)(c)</sup> | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11850 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11864607 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-32RA, Class A2R, (3-mo. CME Term SOFR + 1.70%), 6.00%, 10/15/39<sup>(a)(c)</sup> |  | 2690 | 2684167 |
|  Sandstone Peak II Ltd., Series 2023-1A, Class A, (3-mo. CME Term SOFR + 2.20%), 6.49%, 07/20/36<sup>(a)(c)</sup> |  | 2000 | 2000000 |
|  Sandstone Peak Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A1R, (3-mo. CME Term SOFR + 1.28%), 5.58%, 10/15/34<sup>(a)(c)</sup> |  | 250 | 249914 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A2R, (3-mo. CME Term SOFR + 1.68%), 5.98%, 10/15/34<sup>(a)(c)</sup> |  | 3360 | 3369397 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class B1R, (3-mo. CME Term SOFR + 1.83%), 6.13%, 10/15/34<sup>(a)(c)</sup> |  | 1290 | 1286527 |
|  Saxon Asset Securities Trust, Series 2004-2, Class MF5, 3.65%, 08/25/35<sup>(b)</sup> |  | 397 | 297649 |
|  Securitized Asset-Backed Receivables LLC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-BR1, Class A2A, (1-mo. CME Term SOFR + 0.33%), 4.66%, 02/25/37<sup>(c)</sup> |  | 377 | 157771 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-BR1, Class A2B, (1-mo. CME Term SOFR + 0.65%), 4.98%, 02/25/37<sup>(c)</sup> |  | 2007 | 840416 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-NC2, Class A2C, (1-mo. CME Term SOFR + 0.55%), 4.88%, 01/25/37<sup>(c)</sup> |  | 446 | 322906 |
|  Service Experts Issuer LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1A, Class A, 2.67%, 02/02/32<sup>(a)</sup> |  | 1289 | 1250445 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.39%, 11/20/35<sup>(a)</sup> |  | 2348 | 2382883 |
|  SESAC Finance LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class A2, 5.22%, 07/25/49<sup>(a)</sup> |  | 2465 | 2439437 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class A2, 6.42%, 01/25/54<sup>(a)</sup> |  | 667 | 674031 |
|  SG Mortgage Securities Trust, Series 2006-FRE2, Class A2C, (1-mo. CME Term SOFR + 0.43%), 4.76%, 07/25/36<sup>(c)</sup> |  | 183 | 37605 |
|  Shackleton CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-3A, Class AR, (3-mo. CME Term SOFR + 1.38%), 5.68%, 07/15/30<sup>(a)(c)</sup> |  | 125 | 124426 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-4RA, Class A1A, (3-mo. CME Term SOFR + 1.26%), 5.55%, 04/13/31<sup>(a)(c)</sup> |  | 145 | 145411 |
|  Signal Peak CLO 14 Ltd., Series 2024-14A, Class A, (3-mo. CME Term SOFR + 1.30%), 5.59%, 01/22/38<sup>(a)(c)</sup> |  | 2000 | 1982888 |
|  Signal Peak CLO 5 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-5A, Class A1R, (3-mo. CME Term SOFR + 1.55%), 5.85%, 04/25/37<sup>(a)(c)</sup> |  | 1810 | 1813620 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-5A, Class BR, (3-mo. CME Term SOFR + 2.20%), 6.50%, 04/25/37<sup>(a)(c)</sup> |  | 390 | 390158 |
|  Signal Peak CLO 7 Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class A1R, (3-mo. CME Term SOFR + 1.42%), 5.71%, 10/20/37<sup>(a)(c)</sup> |  | 600 | 600602 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1A, Class BR, (3-mo. CME Term SOFR + 1.80%), 6.09%, 10/20/37<sup>(a)(c)</sup> |  | 480 | 479343 |
|  Signal Peak CLO 8 Ltd., Series 2020-8A, Class A1R, (3-mo. CME Term SOFR + 1.39%), 5.68%, 10/20/37<sup>(a)(c)</sup> |  | 1230 | 1232170 |
|  Silver Point CLO 1 Ltd., Series 2022-1A, Class A1R, (3-mo. CME Term SOFR + 1.32%), 5.61%, 01/20/38<sup>(a)(c)</sup> |  | 1820 | 1814345 |
|  Silver Point CLO 4 Ltd., Series 2024-4A, Class A1, (3-mo. CME Term SOFR + 1.63%), 5.93%, 04/15/37<sup>(a)(c)</sup> |  | 2900 | 2901243 |

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18 2 0 2 5 B L A C K R O C K 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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Silver Point CLO 5 Ltd., Series 2024-5A, Class A1, (3-mo. CME Term SOFR + 1.40%), 5.69%, 10/20/37<sup>(a)(c)</sup> | USD | 970 | $971461 |
|  Silver Point CLO 7 Ltd., Series 2024-7A, Class A1, (3-mo. CME Term SOFR + 1.36%), 5.65%, 01/15/38<sup>(a)(c)</sup> |  | 760 | 760502 |
|  Silver Point CLO 8 Ltd., Series 2025-8A, Class A1, (3-mo. CME Term SOFR + 1.21%), 04/15/38<sup>(a)(c)(f)</sup> |  | 4090 | 4090000 |
|  Sixth Street CLO IX Ltd., Series 2017-9A, Class AR, (3-mo. CME Term SOFR + 1.38%), 5.67%, 07/21/37<sup>(a)(c)</sup> |  | 1290 | 1291935 |
|  Sixth Street CLO XIV Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-14A, Class A1R2, (3-mo. CME Term SOFR + 1.15%), 5.47%, 01/20/38<sup>(a)(c)</sup> |  | 1460 | 1454890 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-14A, Class ER2, (3-mo. CME Term SOFR + 4.65%), 8.97%, 01/20/38<sup>(a)(c)</sup> |  | 1250 | 1206251 |
|  Sixth Street CLO XX Ltd., Series 2021-20A, Class B, (3-mo. CME Term SOFR + 1.91%), 6.21%, 10/20/34<sup>(a)(c)</sup> |  | 970 | 968803 |
|  SLM Private Credit Student Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A, Class A4, (3-mo. CME Term SOFR + 0.57%), 4.87%, 12/15/38<sup>(c)</sup> |  | 759 | 743949 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-B, Class A4, (3-mo. CME Term SOFR + 0.59%), 4.89%, 06/15/39<sup>(c)</sup> |  | 602 | 586446 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-BW, Class A5, (3-mo. CME Term SOFR + 0.46%), 4.76%, 12/15/39<sup>(c)</sup> |  | 1178 | 1142504 |
|  SLM Private Education Loan Trust, Series 2010-C, Class A5, (1-mo. CME Term SOFR + 4.86%), 9.18%,<br>10/15/41<sup>(a)(c)</sup> |  | 2209 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2322560 |
|  SMB Private Education Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C, Class B, 3.50%, 09/15/43<sup>(a)</sup> |  | 691 | 685576 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-A, Class A2B, (1-mo. CME Term SOFR + 1.01%), 5.33%, 09/15/34<sup>(a)(c)</sup> |  | 190 | 190085 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-B, Class A2A, 2.82%, 10/15/35<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-B, Class A2A, 2.82%, 10/15/35<sup>(a)</sup> | 212 | 209307 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-B, Class A2B, (1-mo. CME Term SOFR + 0.86%), 5.18%, 10/15/35<sup>(a)(c)</sup> |  | 348 | 348022 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-A, Class A2B, (1-mo. CME Term SOFR + 0.91%), 5.23%, 02/15/36<sup>(a)(c)</sup> |  | 911 | 910665 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-B, Class A2A, 2.84%, 06/15/37<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-B, Class A2A, 2.84%, 06/15/37<sup>(a)</sup> | 1411 | 1374761 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class C, 2.99%, 01/15/53<sup>(a)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2100 | 1812783 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class D1, 3.86%, 01/15/53<sup>(a)</sup> |  | 398 | 353066 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class D2, 3.86%, 01/15/53<sup>(a)</sup> |  | 271 | 240355 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class A, 1.31%, 07/17/51<sup>(a)</sup> |  | 1726 | 1605967 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class A2, (1-mo. CME Term SOFR + 0.91%), 5.23%, 01/15/53<sup>(a)(c)</sup> |  | 1052 | 1050213 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class APT1, 1.39%, 01/15/53<sup>(a)</sup>  | &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class APT1, 1.39%, 01/15/53<sup>(a)</sup>  | 949 | 863422 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class B, 2.30%, 01/15/53<sup>(a)</sup> |  | 679 | 657015 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A1A, 5.24%, 03/15/56<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A1A, 5.24%, 03/15/56<sup>(a)</sup> | 1723 | 1739602 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A1B, (SOFR (30-day) + 1.45%), 5.80%,<br>03/15/56<sup>(a)(c)</sup> |  | 13267 | 13324935 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class B, 5.88%, 03/15/56<sup>(a)</sup> |  | 2415 | 2470020 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-C, Class A1B, (SOFR (30-day) + 1.10%), 5.45%,<br>06/17/52<sup>(a)(c)</sup> |  | 2378 | 2378471 |
|  SoFi Consumer Loan Program Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class A, 4.80%, 02/27/34<sup>(a)</sup> |  | 22508 | 22519594 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class B, 5.12%, 02/27/34<sup>(a)</sup> |  | 1373 | 1383313 |
|  SoFi Personal Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 6.00%, 11/12/30<sup>(a)</sup> |  | 3050 | 3087240 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.06%, 02/12/31<sup>(a)</sup> |  | 4482 | 4516197 |
|  SoFi Professional Loan Program LLC Series 2018-A, Class B, 3.61%, 02/25/42<sup>(a)</sup> |  | 290 | 278628 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  SoFi Professional Loan Program LLC Series 2019-B, Class A2FX, 3.09%, 08/17/48<sup>(a)</sup>  | USD | 223 | $217852 |
|  SoFi Professional Loan Program Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-B, Class BFX, 3.83%, 08/25/47<sup>(a)</sup> |  | 156 | 150222 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-D, Class BFX, 4.14%, 02/25/48<sup>(a)</sup> |  | 100 | 96121 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-A, Class BFX, 3.12%, 05/15/46<sup>(a)</sup> |  | 226 | 191773 |
|  Sound Point CLO II Ltd., Series 2013-1A, Class A1R, (3-mo. CME Term SOFR + 1.33%), 5.63%, 01/26/31<sup>(a)(c)</sup> |  | 90 | 89828 |
|  Sound Point CLO XXII Ltd., Series 2019-1A, Class ARR, (3-mo. CME Term SOFR + 1.03%), 5.32%, 01/20/32<sup>(a)(c)</sup> |  | 1520 | 1517880 |
|  Soundview Home Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2004-WMC1, Class M2, (1-mo. CME Term SOFR + 0.91%), 5.23%, 01/25/35<sup>(c)</sup> |  | 88 | 73344 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-OPT3, Class M4, (1-mo. CME Term SOFR + 1.13%), 5.46%, 11/25/35<sup>(c)</sup> |  | 313 | 248277 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-NS1, Class M1, (1-mo. CME Term SOFR + 0.64%), 4.96%, 01/25/37<sup>(c)</sup> |  | 447 | 426796 |
|  Southwick Park CLO LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4A, Class A1R, (3-mo. CME Term SOFR + 1.32%), 5.62%, 07/20/32<sup>(a)(c)</sup> |  | 435 | 435533 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-4A, Class B1R, (3-mo. CME Term SOFR + 1.76%), 6.06%, 07/20/32<sup>(a)(c)</sup> |  | 380 | 380053 |
|  SPLT |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 23-1, Class R1, 0.00%,<br>10/15/30<sup>(a)(d)</sup> |  | 43 | 2010025 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 24-1, Class R1, 0.00%,<br>02/12/31<sup>(a)(d)</sup> |  | 135 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3981552 |
|  SpringCastle America Funding LLC, Series 2020- AA, Class A, 1.97%, 09/25/37<sup>(a)</sup> |  | 788 | 734985 |
|  Steele Creek CLO Ltd., Series 2017-1A, Class A, (3-mo. CME Term SOFR + 1.51%), 5.81%, 10/15/30<sup>(a)(c)</sup> |  | 49 | 49169 |
|  Stratus CLO Ltd., Series 2021-1A, Class SUB, 0.00%, 12/29/29<sup>(a)(c)(d)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1000 | 1040 |
|  Structured Asset Investment Loan Trust, Series 2004-10, Class A11, (1-mo. CME Term SOFR + 1.61%), 5.94%, 11/25/34<sup>(c)</sup> |  | 88 | 94923 |
|  Structured Asset Securities Corp. Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-GEL1, Class A3, (1-mo. CME Term SOFR + 0.71%), 5.04%, 01/25/37<sup>(a)(c)</sup> |  | 1433 | 1166135 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-GEL2, Class M1, (1-mo. CME Term SOFR + 1.16%), 5.49%, 05/25/37<sup>(a)(c)</sup> |  | 1641 | 1287863 |
|  Subway Funding LLC, Series 2024-1A, Class A2II, 6.27%, 07/30/54<sup>(a)</sup> |  | 3597 | 3649569 |
|  Sunrun Xanadu Issuer LLC, Series 2019-1A, Class A, 3.98%, 06/30/54<sup>(a)</sup> |  | 845 | 785874 |
|  Sycamore Tree CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5A, Class B, (3-mo. CME Term SOFR + 2.25%), 6.54%, 04/20/36<sup>(a)(c)</sup> |  | 2150 | 2155287 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-6A, Class A1, (3-mo. CME Term SOFR + 1.20%), 5.48%, 04/20/38<sup>(a)(c)</sup> |  | 1140 | 1140000 |
|  Symphony CLO 40 Ltd., Series 2023-40A, Class AR, (3-mo. CME Term SOFR + 1.31%), 5.73%, 01/05/38<sup>(a)(c)</sup> |  | 730 | 730014 |
|  Symphony CLO 46 Ltd., Series 2024-46A, Class A2, (3-mo. CME Term SOFR + 1.59%), 6.03%, 01/20/38<sup>(a)(c)</sup> |  | 420 | 419967 |
|  Symphony CLO XIX Ltd., Series 2018-19A, Class A, (3-mo. CME Term SOFR + 1.22%), 5.53%, 04/16/31<sup>(a)(c)</sup> |  | 628 | 628452 |

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Symphony CLO XVI Ltd., Series 2015-16A, Class ARR, (3-mo. CME Term SOFR + 1.20%), 5.50%, 10/15/31<sup>(a)(c)</sup> | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1325 | $1324201 |
|  Symphony CLO XX Ltd., Series 2018-20A, Class BR2, (3-mo. CME Term SOFR + 1.55%), 5.86%, 01/16/32<sup>(a)(c)</sup> |  | 640 | 637499 |
|  Symphony CLO XXIV Ltd., Series 2020-24A, Class AR, (3-mo. CME Term SOFR + 1.20%), 5.49%, 01/23/32<sup>(a)(c)</sup> |  | 206 | 205885 |
|  Symphony CLO XXVI Ltd., Series 2021-26A, Class AR, (3-mo. CME Term SOFR + 1.34%), 5.64%, 04/20/33<sup>(a)(c)</sup> |  | 583 | 582567 |
|  TCI-Flatiron CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class AR, (3-mo. CME Term SOFR + 1.22%), 5.55%, 11/18/30<sup>(a)(c)</sup> |  | 110 | 109511 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class ANR, (3-mo. CME Term SOFR + 1.32%), 5.62%, 01/29/32<sup>(a)(c)</sup> |  | 186 | 186092 |
|  TCI-Symphony CLO Ltd., Series 2017-1A, Class BR, (3-mo. CME Term SOFR + 1.81%), 6.11%, 07/15/30<sup>(a)(c)</sup> |  | 1000 | 1000122 |
|  TCW CLO Ltd., Series 2019-2A, Class A1R2, (3-mo. CME Term SOFR + 1.27%), 5.59%, 01/20/38<sup>(a)(c)</sup> |  | 1200 | 1199188 |
|  Terwin Mortgage Trust, Series 2005-10HE, Class M5, (1-mo. CME Term SOFR + 1.13%), 5.46%, 06/25/36<sup>(c)</sup> |  | 256 | 228039 |
|  Thayer Park CLO Ltd., Series 2017-1A, Class A1R, (3-mo. CME Term SOFR + 1.30%), 5.60%, 04/20/34<sup>(a)(c)</sup> |  | 950 | 949192 |
|  TICP CLO VI Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-6A, Class AR2, (3-mo. CME Term SOFR + 1.38%), 5.68%, 01/15/34<sup>(a)(c)</sup> |  | 4250 | 4243502 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-6A, Class BR2, (3-mo. CME Term SOFR + 1.76%), 6.06%, 01/15/34<sup>(a)(c)</sup> |  | 320 | 319696 |
|  TICP CLO VII Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-7A, Class BR2, (3-mo. CME Term SOFR + 1.90%), 6.20%, 04/15/33<sup>(a)(c)</sup> |  | 2740 | 2735086 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-7A, Class ER, (3-mo. CME Term SOFR + 7.31%), 11.61%, 04/15/33<sup>(a)(c)</sup> |  | 600 | 597078 |
|  TICP CLO XI Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-11A, Class AR, (3-mo. CME Term SOFR + 1.53%), 5.83%, 04/25/37<sup>(a)(c)</sup> |  | 250 | 250626 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-11A, Class BR, (3-mo. CME Term SOFR + 2.05%), 6.35%, 04/25/37<sup>(a)(c)</sup> |  | 2760 | 2767279 |
|  TICP CLO XII Ltd., Series 2018-12A, Class AR, (3-mo. CME Term SOFR + 1.43%), 5.73%, 07/15/34<sup>(a)(c)</sup> |  | 2640 | 2645923 |
|  Towd Point Mortgage Trust, Series 2019-HY2, Class A1, (1-mo. CME Term SOFR + 1.11%), 5.44%, 05/25/58<sup>(a)(c)</sup> |  | 682 | 698995 |
|  Trestles CLO IV Ltd., Series 2021-4A, Class A, (3-mo. CME Term SOFR + 1.43%), 5.73%, 07/21/34<sup>(a)(c)</sup> |  | 2060 | 2061367 |
|  Trestles CLO V Ltd., Series 2021-5A, Class A1, (3-mo. CME Term SOFR + 1.43%), 5.73%, 10/20/34<sup>(a)(c)</sup> |  | 12895 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12903285 |
|  Tricon American Homes Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SFR1, Class E, 3.40%, 03/17/38<sup>(a)</sup>  | &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-SFR1, Class E, 3.40%, 03/17/38<sup>(a)</sup>  | 2000 | 1957636 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class F, 4.88%, 07/17/38<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SFR1, Class F, 4.88%, 07/17/38<sup>(a)</sup> | 7351 | 7307183 |
|  Tricon Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class F, 3.69%, 07/17/38<sup>(a)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class F, 3.69%, 07/17/38<sup>(a)</sup> | 3250 | 3135521 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class G, 4.13%, 07/17/38<sup>(a)</sup>  | &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SFR1, Class G, 4.13%, 07/17/38<sup>(a)</sup>  | 2099 | 2032704 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Trimaran CAVU Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class D1, (3-mo. CME Term SOFR + 3.51%), 7.81%, 10/25/34<sup>(a)(c)</sup> | USD | 300 | $299631 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (3-mo. CME Term SOFR + 1.38%), 5.64%, 01/25/38<sup>(a)(c)</sup> |  | 830 | 831305 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, (3-mo. CME Term SOFR + 1.75%), 6.01%, 01/25/38<sup>(a)(c)</sup> |  | 620 | 618488 |
|  Trinitas CLO IV Ltd., Series 2016-4A, Class A2L2, (3-mo. CME Term SOFR + 1.66%), 5.96%, 10/18/31<sup>(a)(c)</sup> |  | 250 | 249968 |
|  Trinitas CLO VII Ltd., Series 2017-7A, Class A1R2, (3-mo. CME Term SOFR + 1.06%), 5.37%, 01/25/35<sup>(a)(c)</sup> |  | 3250 | 3228581 |
|  Trinitas CLO XVIII Ltd., Series 2021-18A, Class A1, (3-mo. CME Term SOFR + 1.43%), 5.73%, 01/20/35<sup>(a)(c)</sup> |  | 250 | 249735 |
|  Trinitas CLO XXVIII Ltd., Series 2024-28A, Class A1, (3-mo. CME Term SOFR + 1.55%), 5.85%, 04/25/37<sup>(a)(c)</sup> |  | 620 | 620824 |
|  Trinitas CLO XXXI Ltd., Series 2024-31A, Class A1, (3-mo. CME Term SOFR + 1.35%), 5.73%, 01/22/38<sup>(a)(c)</sup> |  | 250 | 250306 |
|  Verdelite Static CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (3-mo. CME Term SOFR + 1.13%), 5.42%, 07/20/32<sup>(a)(c)</sup> |  | 1518 | 1516847 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class B, (3-mo. CME Term SOFR + 1.65%), 5.94%, 07/20/32<sup>(a)(c)</sup> |  | 290 | 290143 |
|  VOLT CVI LLC, Series 2021-NP12, Class A1, 5.73%, 12/26/51<sup>(a)(b)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7381 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;7373127 |
|  Voya CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-2A, Class A1R, (3-mo. CME Term SOFR + 1.23%), 5.53%, 04/25/31<sup>(a)(c)</sup> |  | 305 | 305422 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-3A, Class A1RR, (3-mo. CME Term SOFR + 1.41%), 5.70%, 10/18/31<sup>(a)(c)</sup> |  | 233 | 233664 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-1A, Class A1R, (3-mo. CME Term SOFR + 1.33%), 5.63%, 01/20/31<sup>(a)(c)</sup> |  | 433 | 433086 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1A, Class A1R, (3-mo. CME Term SOFR + 1.21%), 5.51%, 04/17/30<sup>(a)(c)</sup> |  | 35 | 34660 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.21%), 5.51%, 04/19/31<sup>(a)(c)</sup> |  | 303 | 303366 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1A, Class A2, (3-mo. CME Term SOFR + 1.56%), 5.86%, 04/19/31<sup>(a)(c)</sup> |  | 250 | 249330 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2A, Class A1, (3-mo. CME Term SOFR + 1.26%), 5.56%, 07/15/31<sup>(a)(c)</sup> |  | 110 | 110195 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3A, Class A1R2, (3-mo. CME Term SOFR + 1.20%), 5.50%, 10/15/31<sup>(a)(c)</sup> |  | 169 | 168687 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class AR, (3-mo. CME Term SOFR + 1.20%), 5.49%, 07/20/32<sup>(a)(c)</sup> |  | 3663 | 3659116 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class A1RR, (3-mo. CME Term SOFR + 1.31%), 5.59%, 01/20/38<sup>(a)(c)</sup> |  | 3000 | 2998106 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2A, Class BR, (3-mo. CME Term SOFR + 1.55%), 5.85%, 04/20/38<sup>(a)(c)</sup> |  | 810 | 804069 |
|  Washington Mutual Asset-Backed Certificates Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE3, Class 1A, (1-mo. CME Term SOFR + 0.42%), 4.75%, 08/25/36<sup>(c)</sup> |  | 5469 | 5250719 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE4, Class 2A2, (1-mo. CME Term SOFR + 0.47%), 4.80%, 09/25/36<sup>(c)</sup> |  | 196 | 49408 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-HE5, Class 1A, (1-mo. CME Term SOFR + 0.42%), 4.64%, 10/25/36<sup>(c)</sup> |  | 2301 | 1729689 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HE3, Class 2A3, (1-mo. CME Term SOFR + 0.35%), 4.68%, 05/25/37<sup>(c)</sup> |  | 97 | 85527 |

---

20 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Wellington Management CLO 1 Ltd., Series 2023- 1A, Class A, (3-mo. CME Term SOFR + 1.80%), 6.09%, 10/20/36<sup>(a)(c)</sup> | USD | 550 | $549160 |
|  Wellington Management CLO 4 Ltd., Series 2025- 4A, Class A, (3-mo. CME Term SOFR + 1.15%), 5.43%, 04/18/38<sup>(a)(c)(g)</sup> |  | 1520 | 1520000 |
|  Whitebox CLO I Ltd., Series 2019-1A, Class A1RR, (3-mo. CME Term SOFR + 1.32%), 5.62%,<br>07/24/36<sup>(a)(c)</sup> |  | 8091 | 8086745 |
|  Whitebox CLO II Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class A1R2, (3-mo. CME Term SOFR + 1.38%), 5.68%, 10/24/37<sup>(a)(c)</sup> |  | 2500 | 2501264 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2A, Class BR2, (3-mo. CME Term SOFR + 1.75%), 6.05%, 10/24/37<sup>(a)(c)</sup> |  | 410 | 408576 |
|  Whitebox CLO III Ltd., Series 2021-3A, Class A1R, (3-mo. CME Term SOFR + 1.27%), 5.57%,<br>10/15/35<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11410 | 11387478 |
|  Whitebox CLO IV Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-4A, Class A1, (3-mo. CME Term SOFR + 2.15%), 6.44%, 04/20/36<sup>(a)(c)</sup> |  | 725 | 725578 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-4A, Class B, (3-mo. CME Term SOFR + 2.60%), 6.89%, 04/20/36<sup>(a)(c)</sup> |  | 1000 | 1005467 |
|  Wildwood Park CLO Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, (3-mo. CME Term SOFR + 1.36%), 5.78%, 10/20/37<sup>(a)(c)</sup> |  | 2390 | 2382528 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class E, (3-mo. CME Term SOFR + 5.75%), 10.17%, 10/20/37<sup>(a)(c)</sup> |  | 250 | 251996 |
|  Yale Mortgage Loan Trust, Series 2007-1, Class A, (1-mo. CME Term SOFR + 0.51%), 4.84%,<br>06/25/37<sup>(a)(c)</sup> |  | 409 | 127480 |
|  **Total Asset-Backed Securities — 48.8%<br>(Cost: $1,781,737,451)** | **Total Asset-Backed Securities — 48.8%<br>(Cost: $1,781,737,451)** |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1743470992 |
|  **Corporate Bonds** |  |  |  |
| **Banks — 0.0%** |  |  |  |
|  Washington Mutual Escrow Bonds |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.00%<sup>(d)(g)(h)(i)(j)</sup> |  | 500 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.00%<sup>(d)(g)(h)(i)(j)</sup> |  | 250 |  |
| **Insurance — 0.0%** |  |  |  |
|  Ambac Assurance Corp., 5.10%<sup>(a)(j)</sup> |  | 58 | 79396 |
|  **Total Corporate Bonds — 0.0%<br>(Cost: $75,211)** |  |  | 79396 |
|  **Floating Rate Loan Interests<sup>(c)</sup>** | **Floating Rate Loan Interests<sup>(c)</sup>** |  |  |
| **Financial Services — 0.3%** |  |  |  |
|  CTP-02 Propco LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 7.57%, 12/06/29 |  | 1475 | 1474650 |
|  Promontoria Beech DAC, 1st Lien Term Loan, (1-mo. EURIBOR at 0.00% Floor + 3.75%), 6.05%, 05/17/27<sup>(g)</sup> | EUR | 2983 | 3225232 |
|  Sirocco Lux S.A., Facility A, (3-mo. EURIBOR at 0.00% Floor + 3.90%), 6.60%, 02/28/26<sup>(g)</sup> |  | 5816 | 6288906 |
|  |  |  | 10988788 |
|  **Total Floating Rate Loan<br>Interests — 0.3%<br>(Cost: $11,045,908)** | **Total Floating Rate Loan<br>Interests — 0.3%<br>(Cost: $11,045,908)** |  | 10988788 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |
| **Collateralized Mortgage Obligations — 21.5%** | **Collateralized Mortgage Obligations — 21.5%** | **Collateralized Mortgage Obligations — 21.5%** | **Collateralized Mortgage Obligations — 21.5%** |
|  A&D Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM5, Class A1, 7.05%, 11/25/68<sup>(a)(b)</sup> | USD | 5194 | $5275002 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM5, Class A1, 5.70%, 11/25/69<sup>(a)</sup> |  | 4814 | 4825339 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM5, Class M1, 6.52%, 11/25/69<sup>(a)(c)</sup> |  | 4238 | 4265341 |
|  ACRA Trust, Series 2024-NQM1, Class A1, 5.61%, 10/25/64<sup>(a)(b)</sup> |  | 8121 | 8106188 |
|  Adjustable Rate Mortgage Trust, Series 2006-2, Class 4A1, 4.17%, 05/25/36<sup>(c)</sup> |  | 4077 | 3084108 |
|  Agate Bay Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1, Class B5, 3.63%, 01/25/45<sup>(a)(c)</sup> |  | 723 | 475117 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-3, Class B5, 3.46%, 04/25/45<sup>(a)(c)</sup> |  | 832 | 549603 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-4, Class B5, 3.49%, 06/25/45<sup>(a)(c)</sup> |  | 580 | 358297 |
|  Ajax Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-D, Class B, 0.00%, 12/25/57<sup>(a)(c)(d)</sup> |  | 6 | 1920 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-C, Class C, 0.00%, 09/27/60<sup>(a)(d)</sup> |  | 6 | 198 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-C, Class RW, 0.00%, 09/25/60<sup>(a)(d)</sup> |  | 9 | 8747 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-D, Class RW, 0.00%, 06/25/60<sup>(a)(d)</sup> |  | 13 | 12879 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class A, 5.12%, 01/25/61<sup>(a)(b)</sup> |  | 1811 | 1809723 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class B, 6.72%, 01/25/61<sup>(a)(b)</sup> |  | 832 | 822972 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class C, 0.00%, 01/25/61<sup>(a)(d)</sup> |  | 2010 | 2302098 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-D, Class A, 5.00%, 03/25/60<sup>(a)(b)</sup> |  | 4499 | 4482624 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-D, Class B, 4.00%, 03/25/60<sup>(a)(c)</sup> |  | 1639 | 1700554 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-D, Class C, 0.00%, 03/25/60<sup>(a)(c)(d)</sup> |  | 2380 | 2773213 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-E, Class A1, 1.74%, 12/25/60<sup>(a)(c)</sup> |  | 10133 | 8836228 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-E, Class A2, 2.69%, 12/25/60<sup>(a)(c)</sup> |  | 1770 | 1344148 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-E, Class B1, 3.73%, 12/25/60<sup>(a)(c)</sup> |  | 1068 | 686717 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-E, Class B3, 3.81%, 12/25/60<sup>(a)(c)</sup> |  | 632 | 213974 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-E, Class M1, 2.94%, 12/25/60<sup>(a)(c)</sup> |  | 698 | 502418 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-E, Class SA, 0.00%, 12/25/60<sup>(a)(c)(d)</sup> |  | 4 | 1875 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-F, Class A, 4.88%, 06/25/61<sup>(a)(b)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16669 | 16651327 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-F, Class B, 3.75%, 06/25/61<sup>(a)(b)</sup> |  | 4496 | 4426938 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-F, Class C, 0.00%, 06/25/61<sup>(a)(d)</sup> |  | 6784 | 6286400 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-F, Class RW1, 0.00%, 06/27/61<sup>(a)(d)(g)</sup> |  | 13 | 13108 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class A2, 3.00%, 10/25/61<sup>(a)(c)</sup> |  | 478 | 427069 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class A3, 3.00%, 10/25/61<sup>(a)(c)</sup> |  | 255 | 226946 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class B, 3.00%, 10/25/61<sup>(a)</sup> |  | 1912 | 1444679 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class C, 3.00%, 10/25/61<sup>(a)</sup> |  | 938 | 973821 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class M1, 3.00%, 10/25/61<sup>(a)</sup> |  | 279 | 247218 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class M2, 3.00%, 10/25/61<sup>(a)</sup> |  | 1250 | 983957 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class M3, 3.00%, 10/25/61<sup>(a)</sup> |  | 80 | 62482 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class A2, 3.00%, 03/27/62<sup>(a)(c)</sup> |  | 376 | 334888 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class A3, 3.00%, 03/27/62<sup>(a)(c)</sup> |  | 322 | 286015 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class B, 3.00%, 03/27/62<sup>(a)</sup> |  | 1789 | 1363853 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class C, 3.00%, 03/27/62<sup>(a)</sup> |  | 1659 | 1284297 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class M1, 3.00%, 03/27/62<sup>(a)</sup> |  | 241 | 213704 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class M2, 3.00%, 03/27/62<sup>(a)</sup> |  | 1198 | 1021414 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class A1, 3.50%, 07/25/62<sup>(a)(b)</sup> |  | 9511 | 8983072 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class A2, 3.00%, 07/25/62<sup>(a)(c)</sup> |  | 515 | 450033 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class A3, 2.50%, 07/25/62<sup>(a)(c)</sup> |  | 292 | 247737 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class B, 2.50%, 07/25/62<sup>(a)(c)</sup> |  | 1717 | 1257603 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class C, 2.50%, 07/25/62<sup>(a)(c)</sup> |  | 1256 | 671228 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class M1, 2.50%, 07/25/62<sup>(a)(c)</sup> |  | 884 | 747177 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-C, Class A1, 3.50%, 05/25/63<sup>(a)(b)</sup> |  | 11543 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10863152 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-C, Class A2, 3.00%, 05/25/63<sup>(a)(c)</sup> |  | 789 | 684896 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-C, Class A3, 2.50%, 05/25/63<sup>(a)(c)</sup> |  | 421 | 352245 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-C, Class C, 2.50%, 05/25/63<sup>(a)(c)</sup> |  | 3624 | 2625855 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
|  Ajax Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-C, Class M1, 2.50%, 05/25/63<sup>(a)(c)</sup>  | USD | 368 | $306833 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-C, Class M2, 2.50%, 05/25/63<sup>(a)(c)</sup> |  | 2284 | 1779175 |
|  American Home Mortgage Assets Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A12, (1-mo. CME Term SOFR + 0.32%), 4.65%, 10/25/46<sup>(c)</sup> |  | 81 | 41321 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-6, Class A1A, (1-mo. CME Term SOFR + 0.30%), 4.63%, 12/25/46<sup>(c)</sup> |  | 4202 | 3580019 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class A1, (12-mo. Federal Reserve Cumulative Average US + 0.70%), 5.34%, 02/25/47<sup>(c)</sup> |  | 31 | 10731 |
|  American Home Mortgage Investment Trust, Series 2006-2, Class 2A2, (1-mo. CME Term SOFR + 1.74%), 6.06%, 05/25/36<sup>(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15106 | 1326660 |
|  Angel Oak Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-5, Class B1, 3.96%, 10/25/49<sup>(a)(c)</sup> |  | 405 | 372527 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class B1, 3.20%, 01/20/65<sup>(a)(c)</sup> |  | 200 | 141096 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 3.35%, 01/25/67<sup>(a)(c)</sup> |  | 229 | 215461 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-7, Class A1, 4.80%, 11/25/67<sup>(a)(b)</sup> |  | 6793 | 6700828 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class A1, 5.21%, 08/25/68<sup>(a)(b)</sup> |  | 975 | 969395 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-10, Class A1, 5.35%, 10/25/69<sup>(a)(b)</sup> . |  | 2269 | 2261346 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-11, Class A1, 5.70%, 08/25/69<sup>(a)(b)</sup> |  | 2755 | 2762460 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class A1, 5.64%, 02/25/70<sup>(a)(b)</sup> |  | 4995 | 5022541 |
|  APS Resecuritization Trust, Series 2016-1, Class 1MZ, 2.79%, 07/31/57<sup>(a)(c)</sup> |  | 2275 | 851913 |
|  Banc of America Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class 3CB1, (1-mo. CME Term SOFR + 0.91%), 5.24%, 05/25/46<sup>(c)</sup> |  | 404 | 346177 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-7, Class A4, 6.50%, 10/25/36<sup>(b)</sup> |  | 2277 | 637640 |
|  Banc of America Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class 1A6, 5.75%, 01/25/37 |  | 14 | 11624 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-R2, Class 1C, 0.00%, 11/26/36<sup>(a)(c)(d)</sup> |  | 7023 | 2431296 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-R3, Class 1A2, 2.75%, 03/27/36<sup>(a)(c)</sup> |  | 1836 | 1551778 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-R2, Class 1A1, 4.70%, 05/01/33<sup>(a)(c)</sup> |  | 151 | 151110 |
|  Banc of America Mortgage Trust, Series 2007-4, Class 1A1, 6.25%, 12/28/37 |  | 706 | 514269 |
|  Barclays Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class A, 2.00%, 11/25/51<sup>(a)(b)</sup> |  | 5545 | 5513904 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class B, 4.63%, 11/25/51<sup>(a)(b)</sup> |  | 1060 | 1061891 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class C, 0.00%, 11/25/51<sup>(a)(d)</sup> |  | 2193 | 2792875 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NPL1, Class RW1, 0.00%, 11/27/51<sup>(a)(d)(g)</sup> |  | 5 | 4545 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class A1, 4.55%, 07/25/52<sup>(a)(b)</sup> |  | 2978 | 2957008 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class A, 4.25%, 02/25/28<sup>(a)(b)</sup> |  | 5741 | 5675267 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class B, 4.25%, 02/25/28<sup>(a)(b)</sup> |  | 1242 | 1195860 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class C, 0.00%, 02/25/28<sup>(a)(d)</sup> |  | 2098 | 461445 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class RW1, 0.00%, 02/25/28<sup>(a)(d)(g)</sup> |  | 3 | 2670 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-RPL1, Class SA, 0.00%, 02/25/28<sup>(a)(d)</sup> |  | 16 | 12619 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class A1, 6.90%, 10/25/63<sup>(a)(b)</sup> |  | 11155 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11329024 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
|  Barclays Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class A2, 7.36%, 10/25/63<sup>(a)(b)</sup> | USD | 1774 | $1801904 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class A3, 7.69%, 10/25/63<sup>(a)(b)</sup> |  | 1071 | 1089370 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class B1, 7.99%, 10/25/63<sup>(a)(c)</sup> |  | 681 | 685301 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class B2, 7.99%, 10/25/63<sup>(a)(c)</sup> |  | 573 | 567015 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class B3, 7.99%, 10/25/63<sup>(a)(c)</sup> |  | 1567 | 1470753 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class M1, 7.99%, 10/25/63<sup>(a)(c)</sup> |  | 1134 | 1162563 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class SA, 0.00%, 10/25/63<sup>(a)(c)(d)</sup> |  | 0 <sup>(k)</sup> | 229 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A1, 5.90%, 01/25/64<sup>(a)(b)</sup> |  | 1661 | 1668129 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A2, 6.11%, 01/25/64<sup>(a)(b)</sup> |  | 1132 | 1134987 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A3, 6.31%, 01/25/64<sup>(a)(b)</sup> |  | 864 | 867835 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B1, 8.09%, 01/25/64<sup>(a)(c)</sup> |  | 512 | 516912 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B2, 8.69%, 01/25/64<sup>(a)(c)</sup> |  | 469 | 470355 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B3, 8.69%, 01/25/64<sup>(a)(c)</sup> |  | 1007 | 952056 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class M1, 6.80%, 01/25/64<sup>(a)(c)</sup> |  | 879 | 884373 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class SA, 0.00%, 01/25/64<sup>(a)(c)(d)</sup> |  | 2 | 2191 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class A1, 6.04%, 06/25/64<sup>(a)(b)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15069 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15198169 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class A2, 6.30%, 06/25/64<sup>(a)(b)</sup> |  | 1188 | 1197806 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class A3, 6.50%, 06/25/64<sup>(a)(b)</sup> |  | 2073 | 2088657 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B1, 7.50%, 06/25/64<sup>(a)(c)</sup> |  | 1109 | 1117237 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B2, 8.04%, 06/25/64<sup>(a)(c)</sup> |  | 1016 | 1006247 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B3, 8.04%, 06/25/64<sup>(a)(c)</sup> |  | 2779 | 2553508 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class M1, 6.41%, 06/25/64<sup>(a)(c)</sup> |  | 1617 | 1622822 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class SA, 0.00%, 06/25/64<sup>(a)(c)(d)</sup> |  | 2 | 2213 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class A1, 4.79%, 12/26/64<sup>(a)(b)</sup> |  | 26766 | 26479584 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class A2, 5.10%, 12/26/64<sup>(a)(b)</sup> |  | 2518 | 2496789 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class A3, 5.25%, 12/26/64<sup>(a)(b)</sup> |  | 2820 | 2799553 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class B1, 6.96%, 12/26/64<sup>(a)(c)</sup> |  | 1145 | 1143050 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class B2, 7.59%, 12/26/64<sup>(a)(c)</sup> |  | 873 | 864912 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class B3, 7.59%, 12/26/64<sup>(a)(c)</sup> |  | 1999 | 1924380 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class M1, 6.31%, 12/26/64<sup>(a)(c)</sup> |  | 1882 | 1891090 |

---

22 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
|  Barclays Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class SA, 0.00%, 12/26/64<sup>(a)(c)(d)</sup> | USD | 4 | $3643 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, 5.66%, 01/25/65<sup>(a)(b)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;26203 | &nbsp;&nbsp;&nbsp;&nbsp;26313739 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A2, 5.87%, 01/25/65<sup>(a)(b)</sup> |  | 2391 | 2400798 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A3, 5.97%, 01/25/65<sup>(a)(b)</sup> |  | 2277 | 2286470 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class B1, 6.94%, 01/25/65<sup>(a)(c)</sup> |  | 1321 | 1322213 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class B2, 7.83%, 01/25/65<sup>(a)(c)</sup> |  | 1148 | 1136017 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class B3, 7.83%, 01/25/65<sup>(a)(c)</sup> |  | 2546 | 2351553 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class M1, 6.49%, 01/25/65<sup>(a)(c)</sup> |  | 2125 | 2146800 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class SA, 0.00%, 01/25/65<sup>(a)(c)(d)</sup> |  | 5 | 5214 |
|  BCAP LLC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2011-RR4, Class 3A6, 5.08%, 07/26/36<sup>(a)(c)</sup> |  | 1058 | 1055680 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2011-RR5, Class 11A5, (1-mo. CME Term SOFR + 0.26%), 4.46%, 05/28/36<sup>(a)(c)</sup> |  | 186 | 178761 |
|  Bear Stearns ALT-A Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-7, Class 26A1, 5.04%, 09/25/35<sup>(c)</sup> |  | 1306 | 438974 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class 21A1, 4.82%, 01/25/47<sup>(c)</sup> |  | 2697 | 1304648 |
|  Bear Stearns Asset-Backed Securities I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AC1, Class 1A2, 6.25%, 02/25/36<sup>(b)</sup> |  | 114 | 116405 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AC2, Class 1A1, (1-mo. CME Term SOFR + 0.46%), 4.79%, 03/25/36<sup>(c)</sup> |  | 1835 | 480255 |
|  Bear Stearns Mortgage Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SL1, Class A1, (1-mo. CME Term SOFR + 0.39%), 4.72%, 08/25/36<sup>(c)</sup> |  | 247 | 244167 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AR2, Class A1, (1-mo. CME Term SOFR + 0.45%), 4.78%, 03/25/37<sup>(c)</sup> |  | 165 | 156112 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AR4, Class 2A1, (1-mo. CME Term SOFR + 0.32%), 4.65%, 06/25/37<sup>(c)</sup> |  | 14 | 13732 |
|  BRAVO Residential Funding Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM1, Class B1, 3.17%, 02/25/49<sup>(a)(c)</sup> |  | 1427 | 1151142 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM6, Class B1, 8.00%, 09/25/63<sup>(a)(c)</sup> |  | 1500 | 1512120 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B1, 8.04%, 12/01/63<sup>(a)</sup> |  | 566 | 573686 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B1, 8.10%, 03/25/64<sup>(a)(c)</sup> |  | 845 | 859086 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM6, Class B2, 8.08%, 08/01/64<sup>(a)(c)</sup> |  | 250 | 249446 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.68%, 11/25/64<sup>(a)(b)</sup> |  | 6495 | 6515119 |
|  CAFL Issuer LLC, Series 2024-RTL1, Class A1, 6.75%, 11/28/31<sup>(a)(b)</sup> |  | 3330 | 3375408 |
|  CFMT LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB14, Class M2, 3.00%, 06/25/34<sup>(a)(c)</sup> |  | 192 | 179883 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB14, Class M3, 3.00%, 06/25/34<sup>(a)(c)</sup> |  | 473 | 436928 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HB15, Class M2, 4.00%, 08/25/34<sup>(a)(c)</sup> |  | 358 | 340365 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-R1, Class A1, 4.00%, 10/25/54<sup>(a)(b)</sup>  |  | 1396 | 1363166 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
|  CFMT LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-R1, Class A2, 4.00%, 10/25/54<sup>(a)(b)</sup>  | USD | 177 | $168085 |
|  Chase Mortgage Finance Corp.,<br>Series 2016-SH1, Class M4, 3.75%,<br>04/25/45<sup>(a)(c)</sup> |  | 453 | 403026 |
|  Chase Mortgage Finance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-S2, Class 1A16, 6.25%, 10/25/36 |  | 2719 | &nbsp;&nbsp;&nbsp;&nbsp;1022839 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-S6, Class 1A1, 6.00%, 12/25/37 |  | 8990 | 3640467 |
|  CHNGE Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 3.01%, 01/25/67<sup>(a)(c)</sup> |  | 1986 | 1867229 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 3.76%, 03/25/67<sup>(a)(c)</sup> |  | 6676 | 6410054 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class A1, 6.00%, 10/25/57<sup>(a)(b)</sup> |  | 416 | 416262 |
|  CIM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-J2, Class B4, 3.76%, 10/25/49<sup>(a)(c)</sup> |  | 839 | 689109 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-I2, Class A2, 6.85%, 12/25/67<sup>(a)(b)</sup> |  | 746 | 753075 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NR1, Class A1, 5.00%, 06/25/64<sup>(a)(b)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;14000 | 13492553 |
|  Citicorp Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-4, Class 1A14, 6.00%, 05/25/37 |  | 345 | 312954 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-9, Class 1A1, 6.25%, 12/25/37 |  | 1479 | 1374681 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2008-2, Class 1A1, 6.50%, 06/25/38 |  | 234 | 192865 |
|  Citigroup Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-6, Class 1A2A, 4.18%, 03/25/37<sup>(c)</sup> |  | 3417 | 2577907 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-6, Class 2A1, (1-mo. CME Term SOFR + 0.61%), 4.94%, 05/25/37<sup>(c)</sup> |  | 1023 | 940961 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2009-12, Class 5A2, 4.37%, 07/25/37<sup>(a)(c)</sup> |  | 5146 | 2267038 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-C, Class B2, 4.25%, 02/25/54<sup>(a)(c)</sup> |  | 317 | 309165 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-RP1, Class A1, 3.50%, 01/25/66<sup>(a)(c)</sup> |  | 1026 | 997188 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class A1, 6.17%, 09/25/62<sup>(a)(b)</sup> |  | 5810 | 5812522 |
|  CitiMortgage Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A3, Class 1A5, 6.00%, 03/25/37 |  | 1411 | 1300395 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-A6, Class 1A21, 5.50%, 06/25/37 |  | 826 | 696699 |
|  COLT Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class M1, 5.25%, 03/25/65<sup>(a)(c)</sup> |  | 761 | 757532 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HX1, Class B1, 3.11%, 10/25/66<sup>(a)(c)</sup> |  | 1471 | 1100642 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HX1, Class B2, 3.86%, 10/25/66<sup>(a)(c)</sup> |  | 1000 | 780633 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class B2, 4.16%, 12/27/66<sup>(a)(c)</sup> |  | 227 | 187414 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class B1, 4.21%, 02/25/67<sup>(a)(c)</sup> |  | 3500 | 3032046 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-5, Class B1, 4.67%, 03/25/67<sup>(a)(c)</sup> |  | 1707 | 1597998 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6, Class A1, 5.39%, 11/25/69<sup>(a)(b)</sup> |  | 3265 | 3260281 |
|  Countrywide Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-11CB, Class 2A1, 5.50%, 06/25/35 |  | 68 | 54899 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-11CB, Class 2A6, 5.50%, 06/25/25 |  | 587 | 470780 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-22T1, Class A1, (1-mo. CME Term SOFR + 0.46%), 4.79%, 06/25/35<sup>(c)</sup> |  | 982 | 856517 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-29CB, Class A6, 5.50%, 07/25/35 |  | 224 | 132705 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-51, Class 3A3A, (1-mo. CME Term SOFR + 0.75%), 5.07%, 11/20/35<sup>(c)</sup> |  | 361 | 315521 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-55CW, Class 2A3, (1-mo. CME Term SOFR + 0.46%), 4.78%, 11/25/35<sup>(c)</sup> |  | 413 | 303247 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-59, Class 1A1, (1-mo. CME Term SOFR + 0.77%), 5.09%, 11/20/35<sup>(c)</sup> |  | 851 | 827922 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-76, Class 2A1, (12-mo. Federal Reserve Cumulative Average US + 1.00%), 5.64%, 02/25/36<sup>(c)</sup> |  | 341 | 309413 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9CB, Class 1A1, (1-mo. CME Term SOFR + 0.61%), 4.94%, 05/25/35<sup>(c)</sup> |  | 1054 | 925572 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-11CB, Class 3A1, 6.50%, 05/25/36 |  | 977 | 448747 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-13T1, Class A3, 6.00%, 05/25/36 |  | 1712 | 795221 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
|  Countrywide Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-28CB, Class A14, 6.25%, 10/25/36 | USD | 646 | $313219 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-29T1, Class 2A6, 6.50%, 10/25/36 |  | &nbsp;&nbsp;&nbsp;&nbsp;2176 | 1306209 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-6CB, Class 2A10, 6.00%, 05/25/36 |  | 172 | 66011 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-J4, Class 2A1, 6.00%, 07/25/36 |  | 3284 | &nbsp;&nbsp;&nbsp;&nbsp;1898423 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-J7, Class 1A2, 6.25%, 11/25/36 |  | 2794 | 1325105 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OA11, Class A4, (1-mo. CME Term SOFR + 0.49%), 4.82%, 09/25/46<sup>(c)</sup> |  | 195 | 180808 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OC1, Class 1A1, (1-mo. CME Term SOFR + 0.57%), 4.90%, 03/25/36<sup>(c)</sup> |  | 595 | 583337 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OC10, Class 2A3, (1-mo. CME Term SOFR + 0.57%), 4.90%, 11/25/36<sup>(c)</sup> |  | 458 | 392372 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-OC7, Class 2A3, (1-mo. CME Term SOFR + 0.61%), 4.94%, 07/25/46<sup>(c)</sup> |  | 2752 | 2373616 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-3T1, Class 1A1, 6.00%, 04/25/37 |  | 1117 | 497841 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-9T1, Class 1A1, 6.00%, 05/25/37 |  | 163 | 78905 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA2, Class 1A1, (12-mo. Federal Reserve Cumulative Average US + 0.84%), 5.48%, 03/25/47<sup>(c)</sup> |  | 128 | 108862 |
|  Countrywide Home Loan Mortgage Pass-Through Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-J2, Class 3A9, (1-mo. CME Term SOFR + 1.51%), 5.84%, 08/25/35<sup>(c)</sup> |  | 2248 | 1451831 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-17, Class A6, 6.00%, 12/25/36 |  | 196 | 87021 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class A2, 6.00%, 03/25/37 |  | 204 | 91573 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-14, Class A18, 6.00%, 09/25/37 |  | 6058 | 3100545 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-15, Class 2A2, 6.50%, 09/25/37 |  | 621 | 224414 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-16, Class A1, 6.50%, 10/25/37 |  | 4205 | 1742620 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-9, Class A1, 5.75%, 07/25/37 |  | 745 | 350119 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-9, Class A11, 5.75%, 07/25/37 |  | 407 | 191340 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HYB1, Class 3A1, 4.33%, 03/25/37<sup>(c)</sup> |  | 1142 | 974283 |
|  Credit Suisse First Boston Mortgage Securities Corp., Series 2005-11, Class 1A1, 6.50%, 12/25/35 |  | 2879 | 1314733 |
|  Credit Suisse Mortgage Capital Certificates, Series 2009-12R, Class 3A1, 6.50%, 10/27/37<sup>(a)</sup> |  | 39 | 15375 |
|  Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A3, 6.00%, 05/25/36 |  | 372 | 200165 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class 4A1, 7.00%, 05/25/36 |  | 5027 | 1298898 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-5, Class 1A11, 7.00%, 08/25/37<sup>(c)</sup> |  | 1851 | 889320 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-10R, Class 5A2, 5.55%, 05/27/36<sup>(a)(c)</sup> |  | 861 | 303502 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-9R, Class 9A1, (1-mo. CME Term SOFR + 0.23%), 4.67%, 08/27/36<sup>(a)(c)</sup> |  | 63 | 51275 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-SAF1, Class B5, 3.84%, 03/25/44<sup>(a)(c)</sup> |  | 1578 | 1188895 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-6R, Class 5A2, (1-mo. CME Term SOFR + 0.29%), 4.27%, 03/27/36<sup>(a)(c)</sup> |  | 1156 | 888613 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SPT1, Class B2, 3.39%, 04/25/65<sup>(a)(c)</sup> |  | 8400 | 6955093 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM1, Class M1, 2.13%, 05/25/65<sup>(a)(c)</sup> |  | 3299 | 2504410 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM8, Class M1, 3.26%, 10/25/66<sup>(a)(c)</sup> |  | 590 | 445631 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-RPL9, Class A1, 3.69%, 02/25/61<sup>(a)(c)</sup> |  | 3546 | 3531463 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class A1, 2.27%, 11/25/66<sup>(a)(c)</sup> |  | 4453 | 3969622 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM3, Class A1B, 4.27%, 03/25/67<sup>(a)(c)</sup> |  | 2291 | 2205848 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
|  Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM6, Class PT, 8.68%, 12/25/67<sup>(a)(c)</sup> | USD | 6748 | $6819053 |
|  Cross Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-H2, Class A1A, 7.14%, 11/25/68<sup>(a)(b)</sup> |  | 1431 | 1452328 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-H7, Class A1, 5.59%, 11/25/69<sup>(a)(c)</sup> |  | 9779 | 9806332 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-H1, Class A1, 5.74%, 02/25/70<sup>(a)(c)</sup> |  | 3852 | 3864894 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-H1, Class M1, 6.48%, 02/25/70<sup>(a)(c)</sup> |  | 1405 | 1408818 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-H2, Class A1, 5.36%, 03/25/70<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11674 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11698793 |
|  Deephaven Residential Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class B2, 3.96%, 05/25/65<sup>(a)(c)</sup> |  | 150 | 130566 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class M1, 2.09%, 05/25/65<sup>(a)(c)</sup> |  | 1620 | 1461869 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class B1, 3.27%, 08/25/66<sup>(a)(c)</sup> |  | 3671 | 2679205 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class M1, 4.31%, 03/25/67<sup>(a)(c)</sup> |  | 884 | 798396 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class B1, 5.29%, 07/25/67<sup>(a)(c)</sup> |  | 1349 | 1243560 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class M1, 5.29%, 07/25/67<sup>(a)(c)</sup> |  | 2742 | 2621027 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class A1, 5.74%, 07/25/69<sup>(a)(b)</sup> |  | 4958 | 4968207 |
|  Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB3, Class A8, 6.36%, 07/25/36<sup>(c)</sup> |  | 14 | 12157 |
|  Deutsche Mortgage Securities, Inc. Mortgage Loan Trust, Series 2006-PR1, Class CWA1, 6.00%, 06/25/35<sup>(a)(c)</sup> |  | 1057 | 565872 |
|  Ellington Financial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class B2, 5.94%, 09/25/67<sup>(a)(c)</sup> |  | 1629 | 1379426 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class B1, 6.77%, 02/25/68<sup>(a)(c)</sup> |  | 2600 | 2583968 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class A1A, 5.71%, 11/25/69<sup>(a)(b)</sup> |  | 9239 | 9261613 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-INV1, Class A1, 5.63%, 03/25/70<sup>(a)(b)</sup> |  | 10182 | 10196735 |
|  First Horizon Alternative Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AA12, Class 2A1, 5.04%, 02/25/36<sup>(c)</sup> |  | 14 | 8420 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AA7, Class A1, 5.08%, 01/25/37<sup>(c)</sup> |  | 2603 | 2078992 |
|  Gaea Mortgage Loan Trust, Series 2025-A, Class A, 6.75%, 02/25/30<sup>(a)(c)</sup> |  | 1899 | 1860808 |
|  GCAT Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-NQM2, Class B1, 4.85%, 04/25/65<sup>(a)(c)</sup> |  | 2533 | 2358981 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NQM3, Class B1, 3.47%, 05/25/66<sup>(a)(c)</sup> |  | 1151 | 857311 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-HX1, Class A1, 2.89%, 12/27/66<sup>(a)(c)</sup> |  | 259 | 239640 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM4, Class A1, 5.27%, 08/25/67<sup>(a)(b)</sup> |  | 3097 | 3082134 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM4, Class A1, 4.25%, 05/25/67<sup>(a)(c)</sup> |  | 3668 | 3430702 |
|  GreenPoint Mortgage Funding Trust, Series 2006- AR2, Class 4A1, (12-mo. Federal Reserve Cumulative Average US + 2.00%), 6.64%, 03/25/36<sup>(c)</sup> |  | 14 | 12592 |
|  GS Mortgage-Backed Securities Corp. Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PJ2, Class A4, 4.00%, 11/25/49<sup>(a)(c)</sup> |  | 207 | 195424 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-PJ2, Class B4, 3.53%, 07/25/50<sup>(a)(c)</sup> |  | 1044 | 877416 |
|  GS Mortgage-Backed Securities Trust, Series 2022-NQM1, Class A4, 4.00%, 05/25/62<sup>(a)(c)</sup> |  | 312 | 286097 |
|  GSMPS Mortgage Loan Trust Series 2004-4, Class 1AF, (1-mo. CME Term SOFR + 0.51%), 4.84%, 06/25/34<sup>(a)(c)</sup> |  | 2566 | 2283858 |

---

24 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
|  GSMPS Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP2, Class 1AF, (1-mo. CME Term SOFR + 0.46%), 4.79%, 03/25/35<sup>(a)(c)</sup> | USD | 45 | $41730 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RP3, Class 2A1, 4.29%, 09/25/35<sup>(a)(c)</sup> |  | 2404 | 2061024 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RP1, Class 1AF1, (1-mo. CME Term SOFR + 0.46%), 4.79%, 01/25/36<sup>(a)(c)</sup> |  | 38 | 30295 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RP2, Class 2A1, 4.48%, 04/25/36<sup>(a)(c)</sup> |  | 1959 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1629023 |
|  GSMSC Resecuritization Trust, Series 2015-5R, Class 1D, (1-mo. CME Term SOFR + 0.25%), 3.87%, 04/26/37<sup>(a)(c)</sup> |  | 3740 | 2137946 |
|  GSR Mortgage Loan Trust, Series 2006-AR2, Class 3A1, 5.93%, 04/25/36<sup>(c)</sup> |  | 1595 | 933795 |
|  HarborView Mortgage Loan Trust, Series 2007-3, Class 1A1A, (1-mo. CME Term SOFR + 0.51%), 4.83%, 05/19/37<sup>(c)</sup> |  | 1024 | 814741 |
|  Homes Trust, Series 2024-NQM2, Class A1, 5.72%, 10/25/69<sup>(a)(b)</sup> |  | 3655 | 3663390 |
|  Homeward Opportunities Fund I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class B1, 5.45%, 05/25/65<sup>(a)(c)</sup> |  | 4160 | 4200170 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 5.08%, 07/25/67<sup>(a)(b)</sup> |  | 5446 | 5414099 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class M1, 5.03%, 07/25/67<sup>(a)(c)</sup> |  | 3077 | 2991893 |
|  Impac Secured Assets Trust, Series 2006-3, Class A1, (1-mo. CME Term SOFR + 0.45%), 4.78%, 11/25/36<sup>(c)</sup> |  | 1287 | 1170266 |
|  IndyMac Index Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR27, Class 2A2, (1-mo. CME Term SOFR + 0.51%), 4.84%, 10/25/36<sup>(c)</sup> |  | 176 | 160119 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR35, Class 2A1A, (1-mo. CME Term SOFR + 0.45%), 4.78%, 01/25/37<sup>(c)</sup> |  | 311 | 277967 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-AR19, Class 3A1, 4.03%, 09/25/37<sup>(c)</sup> |  | 594 | 386362 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FLX2, Class A1A, (1-mo. CME Term SOFR + 0.43%), 4.76%, 04/25/37<sup>(c)</sup> |  | 4056 | 3564028 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-FLX5, Class 2A2, (1-mo. CME Term SOFR + 0.59%), 4.92%, 08/25/37<sup>(c)</sup> |  | 2368 | 2155844 |
|  JPMorgan Alternative Loan Trust, Series 2006-S2, Class A5, 6.88%, 05/25/36<sup>(b)</sup> |  | 3752 | 3297191 |
|  JPMorgan Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-A4, Class B1, 6.09%, 07/25/35<sup>(c)</sup> |  | 187 | 179074 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-5, Class B3, 3.57%, 12/25/50<sup>(a)(c)</sup> |  | 3568 | 3108028 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class B4, 2.90%, 08/25/51<sup>(a)(c)</sup> |  | 211 | 165384 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class B5, 2.90%, 08/25/51<sup>(a)(c)</sup> |  | 158 | 115863 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class B6, 2.90%, 08/25/51<sup>(a)(c)</sup> |  | 102 | 42421 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A3A, 2.50%, 02/25/52<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13089 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11691978 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A4A, 2.50%, 02/25/52<sup>(a)(c)</sup> |  | 6218 | 4252353 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B1, 3.27%, 02/25/52<sup>(a)(c)</sup> |  | 3622 | 3089562 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B2, 3.27%, 02/25/52<sup>(a)(c)</sup> |  | 850 | 717220 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B3, 3.27%, 02/25/52<sup>(a)(c)</sup> |  | 1183 | 987313 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B4, 3.27%, 02/25/52<sup>(a)(c)</sup> |  | 628 | 509533 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B5, 3.27%, 02/25/52<sup>(a)(c)</sup> |  | 259 | 197406 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class B6, 3.15%, 02/25/52<sup>(a)(c)</sup> |  | 847 | 405924 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
|  JPMorgan Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VIS1, Class B2, 8.08%, 07/25/64<sup>(a)(c)</sup> | USD | 1000 | $991713 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VIS2, Class B1, 7.73%, 11/25/64<sup>(a)(c)</sup> |  | 3289 | 3330718 |
|  Lehman XS Trust, Series 2007-20N, Class A1, (1-mo. CME Term SOFR + 2.41%), 6.74%, 12/25/37<sup>(c)</sup> |  | 21 | 19938 |
|  MASTR Reperforming Loan Trust, Series 2005-1, Class 1A3, 7.00%, 08/25/34<sup>(a)</sup> |  | 1820 | 1289982 |
|  MASTR Resecuritization Trust,<br>Series 2008-1, Class A1, 6.00%, 09/27/37<sup>(a)(c)</sup> |  | 815 | 557400 |
|  MCM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VFN1, Class Cert, 0.00%, 09/25/31<sup>(d)(g)</sup> |  | 1578 | 1004757 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VFN1, Class Note, 0.00%, 09/25/31<sup>(d)(g)</sup> |  | 1193 | 1146624 |
|  Merrill Lynch Mortgage Investors Trust, Series 2006-AF2, Class AV1, (1-mo. CME Term SOFR + 0.43%), 4.76%, 09/25/37<sup>(c)</sup> |  | 522 | 277067 |
|  MFA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV1, Class M1, 2.29%, 01/25/56<sup>(a)(c)</sup> |  | 700 | 648472 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CHM1, Class A1, 4.88%, 09/25/56<sup>(a)(b)</sup> |  | 5309 | 5157069 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class M1, 4.26%, 12/25/66<sup>(a)(c)</sup> |  | 2112 | 1831288 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL1, Class A1, 7.09%, 02/25/29<sup>(a)(b)</sup> |  | 3231 | 3256355 |
|  Mill City Mortgage Loan Trust, Series 2023-NQM1, Class A1, 6.05%, 10/25/67<sup>(a)(b)</sup> |  | 3968 | 3971422 |
|  Morgan Stanley Mortgage Loan Trust, Series 2006- 11, Class 1A3, 6.92%, 08/25/36<sup>(b)</sup> |  | 4265 | 738198 |
|  Morgan Stanley Residential Mortgage Loan Trust, Series 2014-1A, Class B3, 5.89%, 06/25/44<sup>(a)(c)</sup>  |  | 198 | 197872 |
|  Mortgage Loan Resecuritization Trust, Series 2009- RS1, Class A85, (1-mo. CME Term SOFR + 0.34%), 5.30%,<br>04/16/36<sup>(a)(c)</sup> |  | 130 | 126459 |
|  New Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class A1, 4.25%, 12/25/57<sup>(a)(c)</sup> . |  | 968 | 944459 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class B1, 7.17%, 11/25/64<sup>(a)(c)</sup> |  | 1596 | 1575403 |
|  New York Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-INV1, Class A1, 5.38%, 06/25/69<sup>(a)(c)</sup> |  | 964 | 960026 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RR1, Class A, 7.38%, 05/25/64<sup>(a)(b)</sup>. |  | 4956 | 4920185 |
|  NMLT Trust, Series 2021-INV1, Class B1, 3.61%, 05/25/56<sup>(a)(c)</sup> |  | 922 | 673869 |
|  Nomura Asset Acceptance Corp. Alternative Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-AP1, Class 2A4, 6.05%, 02/25/35<sup>(b)</sup> |  | 289 | 287831 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-2, Class A4, (1-mo. CME Term SOFR + 0.95%), 5.28%, 06/25/37<sup>(c)</sup> |  | 496 | 411359 |
|  OBX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-EXP1, Class 1A3, 4.00%, 01/25/59<sup>(a)(c)</sup> |  | 56 | 55311 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM3, Class A1, 5.65%, 12/01/64<sup>(a)(b)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3767 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3779792 |
|  PRET LLC, Series 2024-RN2, Class A1, 7.13%, 04/25/54<sup>(a)(b)</sup> |  | 1455 | 1461253 |

---

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
|  PRKCM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-AFC2, Class A1, 2.07%, 11/25/56<sup>(a)(c)</sup> | USD | 1022 | $890269 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-AFC1, Class A1A, 4.10%, 04/25/57<sup>(a)(c)</sup> |  | 408 | 401621 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-AFC2, Class A1, 5.34%, 08/25/57<sup>(a)(c)</sup> |  | 5952 | 5929669 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-AFC1, Class B1, 7.39%, 02/25/58<sup>(a)(c)</sup> |  | 4666 | 4677793 |
|  PRP Advisors LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NQM1, Class B1, 5.42%, 08/25/67<sup>(a)(c)</sup> |  | 335 | 328784 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class B1, 7.50%, 12/25/68<sup>(a)(c)</sup> |  | 2067 | 2079264 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, 5.80%, 11/25/69<sup>(a)(b)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10685 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10716193 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class M1A, 6.65%, 11/25/69<sup>(a)(c)</sup> |  | 2636 | 2674723 |
|  Rain City Mortgage Trust, Series 2024-RTL1, Class A1, 6.53%, 11/25/29<sup>(a)(c)</sup> |  | 1256 | 1271248 |
|  RALI Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-QA10, Class A21, 5.00%, 09/25/35<sup>(c)</sup> |  | 4963 | 1955271 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-QO2, Class A1, (12-mo. Federal Reserve Cumulative Average US + 1.36%), 6.00%, 09/25/45<sup>(c)</sup> |  | 655 | 556905 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-QS15, Class 3A, 6.00%, 10/25/35 |  | 3901 | 3408215 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-QA10, Class A2, (1-mo. CME Term SOFR + 0.47%), 4.80%, 12/25/36<sup>(c)</sup> |  | 1322 | 1154788 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-QO1, Class 3A1, (1-mo. CME Term SOFR + 0.65%), 4.98%, 02/25/46<sup>(c)</sup> |  | 1690 | 657753 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-QO10, Class A1, (1-mo. CME Term SOFR + 0.43%), 4.76%, 01/25/37<sup>(c)</sup> |  | 1562 | 1394783 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-QH3, Class A1, (1-mo. CME Term SOFR + 0.43%), 4.76%, 04/25/37<sup>(c)</sup> |  | 4465 | 4293199 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-QO2, Class A1, (1-mo. CME Term SOFR + 0.26%), 4.59%, 02/25/47<sup>(c)</sup> |  | 2659 | 807282 |
|  RCKT Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class B4, 3.47%, 02/25/50<sup>(a)(c)</sup> |  | 891 | 797569 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CES8, Class A1A, 5.49%, 11/25/44<sup>(a)(b)</sup> |  | 4049 | 4048498 |
|  RCO VII Mortgage LLC, Series 2024-1, Class A1, 7.02%, 01/25/29<sup>(a)(b)</sup> |  | 3016 | 3024445 |
|  Reperforming Loan REMIC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-R1, Class 1AF1, (1-mo. CME Term SOFR + 0.47%), 4.80%, 03/25/35<sup>(a)(c)</sup> |  | 1065 | 1022688 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-R2, Class 1AF1, (1-mo. CME Term SOFR + 0.45%), 4.78%, 06/25/35<sup>(a)(c)</sup> |  | 203 | 194878 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-R3, Class AF, (1-mo. CME Term SOFR + 0.51%), 4.84%, 09/25/35<sup>(a)(c)</sup> |  | 324 | 267894 |
|  Residential Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class B2, 6.04%, 05/25/59<sup>(a)(c)</sup> |  | 656 | 647349 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class B2, 5.66%, 09/25/59<sup>(a)(c)</sup> |  | 3102 | 3025384 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class B2, 4.67%, 01/26/60<sup>(a)(c)</sup> |  | 622 | 569700 |
|  RFMSI Series Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-SA4, Class 2A1, 5.56%, 09/25/35<sup>(c)</sup> |  | 1708 | 985672 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SA2, Class 2A1, 5.70%, 08/25/36<sup>(c)</sup> |  | 408 | 291134 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SA4, Class 2A1, 5.69%, 11/25/36<sup>(c)</sup> |  | 170 | 140410 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
|  RMF Buyout Issuance Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HB1, Class M3, 3.69%, 11/25/31<sup>(a)(c)</sup> | USD | 3379 | $3174825 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-HB1, Class M6, 6.00%, 11/25/31<sup>(a)(c)</sup> |  | 1258 | 1070849 |
|  Saluda Grade Alternative Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL4, Class A1, 7.50%, 02/25/30<sup>(a)(b)</sup> |  | 5668 | 5689568 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RTL5, Class A1, 7.76%, 04/25/30<sup>(a)(b)</sup> |  | 4013 | 4043514 |
|  Seasoned Loans Structured Transaction Trust, Series 2020-3, Class M1, 4.75%, 04/26/60<sup>(a)(c)</sup> |  | 519 | 513086 |
|  SG Residential Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 5.35%, 08/25/62<sup>(a)(b)</sup> |  | 659 | 657078 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class B1, 5.30%, 08/25/62<sup>(a)(c)</sup> |  | 3715 | 3615719 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class M1, 5.30%, 08/25/62<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3313 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3264691 |
|  Spruce Hill Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-SH2, Class B1, 5.00%, 06/25/55<sup>(a)(c)</sup> |  | 1850 | 1794757 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SH1, Class A3, 4.10%, 07/25/57<sup>(a)(b)</sup> |  | 693 | 629943 |
|  Starwood Mortgage Residential Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-3, Class B1, 4.75%, 04/25/65<sup>(a)(c)</sup> |  | 2820 | 2585121 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-INV1, Class B1, 3.26%, 11/25/55<sup>(a)</sup>  |  | 260 | 228957 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-INV1, Class M1, 2.50%, 11/25/55<sup>(a)</sup> |  | 2688 | 2436824 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class B1, 3.52%, 05/25/65<sup>(a)(c)</sup> |  | 648 | 553808 |
|  Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 2A1, (1-mo. CME Term SOFR + 0.53%), 4.86%, 05/25/46<sup>(c)</sup> |  | 25 | 17589 |
|  Structured Asset Securities Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RF3, Class 1A, (1-mo. CME Term SOFR + 0.46%), 4.79%, 06/25/35<sup>(a)(c)</sup> |  | 624 | 548997 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-RF5, Class 2A, 4.32%, 07/25/35<sup>(a)(c)</sup> |  | 1535 | 1453511 |
|  Structured Asset Securities Corp. Mortgage Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RF3, Class 1A2, 6.00%, 10/25/36<sup>(a)</sup> |  | 4313 | 2372430 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-RF4, Class 2A1, 6.00%, 10/25/36<sup>(a)</sup> |  | 1247 | 642517 |
|  Thornburg Mortgage Securities Trust, Series 2006-3, Class A1, 4.41%, 06/25/46<sup>(c)</sup> |  | 958 | 582835 |
|  Toorak Mortgage Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV1, Class B1, 3.29%, 07/25/56<sup>(a)(c)</sup> |  | 657 | 512205 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV2, Class B1, 4.10%, 11/25/56<sup>(a)(c)</sup> |  | 5929 | 4777958 |
|  Toorak Mortgage Trust, Series 2024-2, Class A1, 6.33%, 10/25/31<sup>(a)(b)</sup> |  | 1635 | 1636774 |
|  TVC Mortgage Trust, Series 2023-RTL1, Class A1, 8.25%, 11/25/27<sup>(a)(b)</sup> |  | 4107 | 4114573 |
|  Verus Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-INV3, Class B1, 3.73%, 11/25/59<sup>(a)(c)</sup> |  | 100 | 96073 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-4, Class B1, 5.05%, 05/25/65<sup>(a)(c)</sup> |  | 2600 | 2566523 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class M1, 1.97%, 01/25/66<sup>(a)(c)</sup> |  | 3000 | 2360137 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-6, Class B1, 4.05%, 10/25/66<sup>(a)(c)</sup> |  | 169 | 133238 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-6, Class M1, 2.94%, 10/25/66<sup>(a)(c)</sup> |  | 462 | 344942 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R1, Class M1, 2.34%, 10/25/63<sup>(a)</sup> |  | 3250 | 2942819 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-R2, Class B1, 3.25%, 02/25/64<sup>(a)(c)</sup>  |  | 265 | 203170 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class B1, 4.01%, 01/25/67<sup>(a)(c)</sup> |  | 1507 | 1127924 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class B1, 4.06%, 02/25/67<sup>(a)(c)</sup> |  | 2188 | 1720448 |

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26 2 0 2 5 B L A C K R O C K 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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
|  Verus Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class B1, 4.77%, 04/25/67<sup>(a)(c)</sup>  | USD | 443 | $399318 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-INV1, Class B1, 5.81%, 08/25/67<sup>(a)(c)</sup> |  | 830 | 815856 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2, Class B1, 7.49%, 03/25/68<sup>(a)(c)</sup> |  | 4333 | 4331733 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3, Class B1, 7.78%, 03/25/68<sup>(a)(c)</sup> |  | 415 | 415826 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-INV1, Class B1, 7.51%, 02/25/68<sup>(a)(c)</sup> |  | 3200 | 3197132 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-7, Class B1, 6.50%, 09/25/69<sup>(a)(c)</sup> |  | 648 | 640015 |
|  Visio Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class B1, 3.91%, 11/25/54<sup>(a)(c)</sup> |  | 100 | 81472 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class B1, 6.02%, 08/25/57<sup>(a)(c)</sup> |  | 1718 | 1538525 |
|  Vista Point Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class A3, 2.50%, 04/25/65<sup>(a)(c)</sup> |  | 88 | 85269 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class B1, 4.90%, 04/25/65<sup>(a)(c)</sup> |  | 2763 | 2681780 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class B2, 5.16%, 04/25/65<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1047314 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class M1, 3.40%, 04/25/65<sup>(a)(c)</sup> |  | 170 | 159247 |
|  Washington Mutual Mortgage Pass-Through Certificates Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-11, Class A1, 5.75%, 01/25/36 |  | 1085 | 900396 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-11, Class A7, 5.75%, 01/25/36 |  | 2206 | 1829394 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9, Class 5A6, (1-mo. CME Term SOFR + 0.66%), 4.99%, 11/25/35<sup>(c)</sup> |  | 328 | 241511 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2005-9, Class 5A9, 5.50%, 11/25/35 |  | 135 | 107873 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class 1A1, 6.00%, 04/25/36 |  | 126 | 116832 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4, Class 3A1, 7.00%, 05/25/36<sup>(b)</sup> |  | 82 | 71769 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-6, Class 3CB1, 7.00%, 08/25/36 |  | 3930 | 1588550 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR1, Class A1A, (1-mo. CME Term SOFR + 0.61%), 4.94%, 02/25/36<sup>(c)</sup> |  | 1074 | 883264 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR3, Class A1A, (12-mo. Federal Reserve Cumulative Average US + 0.97%), 5.61%, 05/25/46<sup>(c)</sup> |  | 2681 | 2328872 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR5, Class A1A, (12-mo. Federal Reserve Cumulative Average US + 0.99%), 5.63%, 06/25/46<sup>(c)</sup> |  | 137 | 125428 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-AR9, Class 1A, (12-mo. Federal Reserve Cumulative Average US + 1.00%), 5.64%, 08/25/46<sup>(c)</sup> |  | 2237 | 2048524 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HY1, Class A2A, (1-mo. CME Term SOFR + 0.43%), 4.76%, 02/25/37<sup>(c)</sup> |  | 443 | 340805 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-HY3, Class 4A1, 5.16%, 03/25/37<sup>(c)</sup> |  | 18 | 16447 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA1, Class 1A, (12-mo. Federal Reserve Cumulative Average US + 0.71%), 5.35%, 12/25/46<sup>(c)</sup> |  | 2211 | 1995630 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA1, Class 2A, (12-mo. Federal Reserve Cumulative Average US + 0.72%), 5.36%, 12/25/46<sup>(c)</sup> |  | 134 | 107805 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA3, Class 5A, (12-mo. Federal Reserve Cumulative Average US + 1.25%), 5.89%, 04/25/47<sup>(c)</sup> |  | 530 | 454699 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA4, Class 2A, (12-mo. Federal Reserve Cumulative Average US + 0.80%), 5.43%, 05/25/47<sup>(c)</sup> |  | 1971 | 1614515 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA5, Class 1A, (12-mo. Federal Reserve Cumulative Average US + 0.75%), 5.39%, 06/25/47<sup>(c)</sup> |  | 431 | 357306 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OA5, Class 2A, (12-mo. Federal Reserve Cumulative Average US + 0.80%), 5.43%, 06/25/47<sup>(c)</sup> |  | 1566 | 1298048 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-OC2, Class A3, (1-mo. CME Term SOFR + 0.73%), 5.06%, 06/25/37<sup>(c)</sup> |  | 660 | 604003 |

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---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |
|  Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR15, Class A1, 7.42%, 10/25/36<sup>(c)</sup> | USD | 670 | $635894 |
|  Western Alliance Bank |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CL2, Class M1,<br>(SOFR (30-day) + 3.15%), 7.49%, 07/25/59<sup>(a)(c)</sup> |  | 3728 | 3869012 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CL2, Class M2,<br>(SOFR (30-day) + 3.70%), 8.04%, 07/25/59<sup>(a)(c)</sup> |  | 5331 | 5542012 |
|  WinWater Mortgage Loan Trust, Series 2014-3, Class B5, 3.98%, 11/20/44<sup>(a)(c)</sup> |  | 923 | 710114 |
|  |  |  | 767979618 |
| **Commercial Mortgage-Backed Securities — 27.2%** | **Commercial Mortgage-Backed Securities — 27.2%** | **Commercial Mortgage-Backed Securities — 27.2%** |  |
|  245 Park Avenue Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-245P, Class A, 3.51%, 06/05/37<sup>(a)</sup> |  | 5000 | 4825061 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-245P, Class C, 3.66%, 06/05/37<sup>(a)(c)</sup> |  | 3000 | 2837143 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-245P, Class E, 3.66%, 06/05/37<sup>(a)(c)</sup> |  | 1151 | 1062394 |
|  280 Park Avenue Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-280P, Class A, (1-mo. CME Term SOFR + 1.18%), 5.50%, 09/15/34<sup>(a)(c)</sup> |  | 5000 | 4906250 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-280P, Class B, (1-mo. CME Term SOFR + 1.38%), 5.70%, 09/15/34<sup>(a)(c)</sup> |  | 585 | 568913 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-280P, Class E, (1-mo. CME Term SOFR + 2.42%), 6.74%, 09/15/34<sup>(a)(c)</sup> |  | 2159 | 2078541 |
|  3650R Commercial Mortgage Trust, Series 2022- PF2, Class A5, 5.29%, 11/15/55<sup>(c)</sup> |  | 600 | 611001 |
|  ACREC LLC, Series 2023-FL2, Class A, (1-mo. CME Term SOFR + 2.23%), 6.55%, 02/19/38<sup>(a)(c)</sup> |  | 2265 | 2270516 |
|  Alen Mortgage Trust, Series 2021-ACEN, Class A, (1-mo. CME Term SOFR + 1.26%), 5.58%, 04/15/34<sup>(a)(c)</sup> |  | 644 | 608580 |
|  Angel Oak SB Commercial Mortgage Trust, Series 2020-SBC1, Class A1, 2.07%, 05/25/50<sup>(a)(c)</sup> |  | 4787 | 4464651 |
|  Arbor Multifamily Mortgage Securities Trust, Series 2021-MF3, Class A5, 2.58%, 10/15/54<sup>(a)</sup>  |  | 1504 | 1309966 |
|  ARES Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IND, Class A, (1-mo. CME Term SOFR + 1.69%), 6.01%, 07/15/41<sup>(a)(c)</sup> |  | 5730 | 5715675 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IND2, Class A, (1-mo. CME Term SOFR + 1.44%), 5.76%, 10/15/34<sup>(a)(c)</sup> |  | 9250 | 9226875 |
|  ARZ Trust, Series 2024-BILT, Class A, 5.77%, 06/11/29<sup>(a)</sup> |  | 2710 | 2764750 |
|  Ashford Hospitality Trust,<br>Series 2018-ASHF, Class D, (1-mo. CME Term SOFR + 2.27%), 6.59%, 04/15/35<sup>(a)(c)</sup> |  | 1128 | 1116720 |
|  Atrium Hotel Portfolio Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ATRM, Class A, 5.05%, 11/10/29<sup>(a)(c)</sup> |  | 6510 | 6503661 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ATRM, Class E, 8.60%, 11/10/29<sup>(a)(c)</sup> |  | 1462 | 1517216 |
|  BAHA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MAR, Class A, 5.57%, 12/10/41<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21100 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21398244 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MAR, Class B, 6.39%, 12/10/41<sup>(a)(c)</sup> |  | 894 | 926046 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MAR, Class C, 7.02%, 12/10/41<sup>(a)(c)</sup> |  | 4400 | 4546051 |

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  Banc of America Merrill Lynch Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BHP, Class A, (1-mo. CME Term SOFR + 2.35%), 6.67%, 08/15/39<sup>(a)(c)</sup> | USD | 820 | $821061 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ASHF, Class A, (1-mo. CME Term SOFR + 1.85%), 6.17%, 02/15/42<sup>(a)(c)</sup> |  | 8471 | 8439640 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ASHF, Class E, (1-mo. CME Term SOFR + 5.25%), 9.57%, 02/15/42<sup>(a)(c)</sup> |  | 3454 | 3444484 |
|  BANK, Series 2019-BN22, Class A4, 2.98%, 11/15/62 |  | 3000 | 2757977 |
|  BANK5 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5YR10, Class A3, 5.30%, 10/15/57 |  | 1300 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1320953 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5YR11, Class A3, 5.89%, 11/15/57 |  | 1810 | 1883702 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5YR6, Class A3, 6.23%, 05/15/57 |  | 1800 | 1885009 |
|  Bayview Commercial Asset Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1A, Class A1, (1-mo. CME Term SOFR + 0.52%), 4.84%, 04/25/36<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4680 | 4403338 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-1A, Class A2, (1-mo. CME Term SOFR + 0.65%), 4.98%, 04/25/36<sup>(a)(c)</sup> |  | 11 | 9898 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-4A, Class A2, (1-mo. CME Term SOFR + 0.52%), 4.84%, 12/25/36<sup>(a)(c)</sup> |  | 966 | 906712 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2006-SP2, Class A, (1-mo. CME Term SOFR + 0.53%), 4.86%, 01/25/37<sup>(a)(c)</sup> |  | 1024 | 970115 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-1, Class A2, (1-mo. CME Term SOFR + 0.52%), 4.84%, 03/25/37<sup>(a)(c)</sup> |  | 4509 | 4263601 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-2A, Class A1, (1-mo. CME Term SOFR + 0.52%), 4.84%, 07/25/37<sup>(a)(c)</sup> |  | 24 | 21947 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-4A, Class A1, (1-mo. CME Term SOFR + 0.79%), 5.11%, 09/25/37<sup>(a)(c)</sup> |  | 4245 | 4132258 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-5A, Class A4, (1-mo. CME Term SOFR + 2.36%), 6.69%, 10/25/37<sup>(a)(c)</sup> |  | 2089 | 1190084 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-6A, Class A4A, (1-mo. CME Term SOFR + 1.61%), 5.94%, 12/25/37<sup>(a)(c)</sup> |  | 2667 | 2341369 |
|  BBCMS Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-CHRS, Class E, 4.27%, 08/05/38<sup>(a)(c)</sup> |  | 650 | 535686 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-TALL, Class A, (1-mo. CME Term SOFR + 0.92%), 5.24%, 03/15/37<sup>(a)(c)</sup> |  | 3997 | 3787527 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-TALL, Class B, (1-mo. CME Term SOFR + 1.17%), 5.49%, 03/15/37<sup>(a)(c)</sup> |  | 781 | 714815 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-5C23, Class D, 7.46%, 12/15/56<sup>(a)(c)</sup> |  | 332 | 336215 |
|  BBCMS Trust, Series 2015-SRCH, Class A1, 3.31%, 08/10/35<sup>(a)</sup> |  | 191 | 186292 |
|  BDS Ltd., Series 2022-FL12, Class A,<br>(1-mo. CME Term SOFR + 2.14%), 6.45%, 08/19/38<sup>(a)(c)</sup> |  | 1226 | 1225206 |
|  BFLD Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-EYP, Class E, (1-mo. CME Term SOFR + 3.81%), 8.13%, 10/15/35<sup>(a)(c)</sup> |  | 1353 | 20173 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-UNIV, Class A, (1-mo. CME Term SOFR + 1.49%), 5.81%, 11/15/41<sup>(a)(c)</sup> |  | 3790 | 3785262 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-UNIV, Class E, (1-mo. CME Term SOFR + 3.64%), 7.96%, 11/15/41<sup>(a)(c)</sup> |  | 1723 | 1724204 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VICT, Class A, (1-mo. CME Term SOFR + 1.89%), 6.21%, 07/15/41<sup>(a)(c)</sup> |  | 2970 | 2970000 |
|  BHMS |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-ATLS, Class A, (1-mo. CME Term SOFR + 1.55%), 5.87%, 07/15/35<sup>(a)(c)</sup> |  | 3988 | 3984918 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-ATLS, Class C, (1-mo. CME Term SOFR + 2.20%), 6.52%, 07/15/35<sup>(a)(c)</sup> |  | 2600 | 2592250 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  BLP Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-IND, Class A, (1-mo. CME Term SOFR + 1.69%), 6.01%, 03/15/40<sup>(a)(c)</sup> | USD | 2114 | $2101470 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IND2, Class A, (1-mo. CME Term SOFR + 1.34%), 5.66%, 03/15/41<sup>(a)(c)</sup> |  | 2821 | 2815576 |
|  BMP, Series 2024-MF23, Class E, (1-mo. CME Term SOFR + 3.39%), 7.71%, 06/15/41<sup>(a)(c)</sup> |  | 1719 | 1697504 |
|  BOCA Commercial Mortgage Trust, Series 2024- BOCA, Class A, (1-mo. CME Term SOFR + 1.92%), 6.24%,<br>08/15/41<sup>(a)(c)</sup> |  | 2031 | 2039830 |
|  BPR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-TY, Class A, (1-mo. CME Term SOFR + 1.16%), 5.48%, 09/15/38<sup>(a)(c)</sup> |  | 5500 | 5479508 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-TY, Class E, (1-mo. CME Term SOFR + 3.71%), 8.03%, 09/15/38<sup>(a)(c)</sup> |  | 3138 | 3122408 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-SSP, Class A, (1-mo. CME Term SOFR + 3.00%), 7.32%, 05/15/39<sup>(a)(c)</sup> |  | 770 | 770960 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-STON, Class A, 7.50%, 12/05/39<sup>(a)</sup>  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2722 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2839390 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PARK, Class A, 4.87%, 11/05/39<sup>(a)(c)</sup> |  | 1420 | 1422687 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PARK, Class D, 6.53%, 11/05/39<sup>(a)(c)</sup> |  | 879 | 904413 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PMDW, Class A, 5.36%, 11/05/41<sup>(a)(c)</sup> |  | 640 | 644341 |
|  BWAY Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1515, Class A2, 3.45%, 03/10/33<sup>(a)</sup>  |  | 1108 | 1047058 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-1515, Class C, 3.45%, 03/10/33<sup>(a)</sup> |  | 250 | 226976 |
|  BX Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VIV2, Class C, 3.54%, 03/09/44<sup>(a)(c)</sup> |  | 2204 | 1994993 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VIV3, Class B, 3.54%, 03/09/44<sup>(a)(c)</sup> |  | 2788 | 2568915 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-VIV4, Class A, 2.84%, 03/09/44<sup>(a)</sup> |  | 781 | 705873 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NWM, Class A, (1-mo. CME Term SOFR + 1.02%), 5.34%, 02/15/33<sup>(a)(c)</sup> |  | 1061 | 1052351 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NWM, Class B, (1-mo. CME Term SOFR + 2.26%), 6.58%, 02/15/33<sup>(a)(c)</sup> |  | 622 | 618517 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-NWM, Class C, (1-mo. CME Term SOFR + 4.36%), 8.68%, 02/15/33<sup>(a)(c)</sup> |  | 410 | 410223 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-SOAR, Class G, (1-mo. CME Term SOFR + 2.91%), 7.23%, 06/15/38<sup>(a)(c)</sup> |  | 2544 | 2493048 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VINO, Class A, (1-mo. CME Term SOFR + 0.77%), 5.09%, 05/15/38<sup>(a)(c)</sup> |  | 1075 | 1072165 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VINO, Class F, (1-mo. CME Term SOFR + 2.92%), 7.24%, 05/15/38<sup>(a)(c)</sup> |  | 838 | 833711 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VIV5, Class A, 2.84%, 03/09/44<sup>(a)(c)</sup> |  | 1522 | 1355996 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-XL2, Class F, (1-mo. CME Term SOFR + 2.36%), 6.68%, 10/15/38<sup>(a)(c)</sup> |  | 3544 | 3526379 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-CSMO, Class B, (1-mo. CME Term SOFR + 3.14%), 7.46%, 06/15/27<sup>(a)(c)</sup> |  | 2475 | 2477320 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-VLT3, Class A, (1-mo. CME Term SOFR + 1.94%), 6.26%, 11/15/28<sup>(a)(c)</sup> |  | 1010 | 1011252 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-XL3, Class A, (1-mo. CME Term SOFR + 1.76%), 6.08%, 12/09/40<sup>(a)(c)</sup> |  | 4185 | 4185071 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-XL3, Class D, (1-mo. CME Term SOFR + 3.59%), 7.91%, 12/09/40<sup>(a)(c)</sup> |  | 3279 | 3275221 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AIR2, Class A, (1-mo. CME Term SOFR + 1.49%), 5.81%, 10/15/41<sup>(a)(c)</sup> |  | 3160 | 3160000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AIRC, Class A, (1-mo. CME Term SOFR + 1.69%), 6.01%, 08/15/39<sup>(a)(c)</sup> |  | 6488 | 6488000 |

---

28 2 0 2 5 B L A C K R O C K 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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  BX Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BRBK, Class A, (1-mo. CME Term SOFR + 2.88%), 7.20%, 10/15/41<sup>(a)(c)</sup> | USD | 6200 | $6207744 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BRBK, Class B, (1-mo. CME Term SOFR + 3.93%), 8.24%, 10/15/41<sup>(a)(c)</sup> |  | 1512 | 1513888 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BRBK, Class D, (1-mo. CME Term SOFR + 5.97%), 10.29%, 10/15/41<sup>(a)(c)</sup> |  | 337 | 337421 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GPA3, Class A, (1-mo. CME Term SOFR + 1.29%), 5.61%, 12/15/39<sup>(a)(c)</sup> |  | 4060 | 4050151 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GPA3, Class B, (1-mo. CME Term SOFR + 1.64%), 5.96%, 12/15/39<sup>(a)(c)</sup> |  | 1274 | 1271167 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-KING, Class A, (1-mo. CME Term SOFR + 1.54%), 5.86%, 05/15/34<sup>(a)(c)</sup> |  | 6307 | 6291203 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MDHS, Class A, (1-mo. CME Term SOFR + 1.64%), 5.96%, 05/15/41<sup>(a)(c)</sup> |  | 8581 | 8575465 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF, Class A, (1-mo. CME Term SOFR + 1.44%), 5.76%, 02/15/39<sup>(a)(c)</sup> |  | 615 | 615074 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF, Class E, (1-mo. CME Term SOFR + 3.74%), 8.06%, 02/15/39<sup>(a)(c)</sup> |  | 1931 | 1928992 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL4, Class A, (1-mo. CME Term SOFR + 1.44%), 5.76%, 02/15/39<sup>(a)(c)</sup> |  | 3834 | 3836008 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL4, Class D, (1-mo. CME Term SOFR + 3.14%), 7.46%, 02/15/39<sup>(a)(c)</sup> |  | 2897 | 2889347 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL4, Class E, (1-mo. CME Term SOFR + 4.19%), 8.51%, 02/15/39<sup>(a)(c)</sup> |  | 1720 | 1686431 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL5, Class A, (1-mo. CME Term SOFR + 1.39%), 5.71%, 03/15/41<sup>(a)(c)</sup> |  | 3228 | 3232798 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SPOT, Class A, (1-mo. CME Term SOFR + 1.44%), 5.76%, 04/15/40<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12911 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12902929 |
|  BX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-OC11, Class A, 3.20%, 12/09/41<sup>(a)</sup> |  | 1186 | 1095065 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ARIA, Class A, (1-mo. CME Term SOFR + 1.01%), 5.33%, 10/15/36<sup>(a)(c)</sup> |  | 566 | 564585 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class AJV, (1-mo. CME Term SOFR + 0.91%), 5.23%, 02/15/36<sup>(a)(c)</sup> |  | 1700 | 1697672 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class AV, (1-mo. CME Term SOFR + 0.91%), 5.23%, 02/15/36<sup>(a)(c)</sup> |  | 594 | 591331 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MFM1, Class A, (1-mo. CME Term SOFR + 0.81%), 5.13%, 01/15/34<sup>(a)(c)</sup> |  | 1878 | 1871270 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MFM1, Class G, (1-mo. CME Term SOFR + 4.01%), 8.33%, 01/15/34<sup>(a)(c)</sup> |  | 525 | 517238 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VIEW, Class E, (1-mo. CME Term SOFR + 3.71%), 8.03%, 06/15/36<sup>(a)(c)</sup> |  | 2542 | 2507466 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-VIEW, Class F, (1-mo. CME Term SOFR + 4.04%), 8.36%, 06/15/36<sup>(a)(c)</sup> |  | 856 | 810378 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-LBA6, Class A, (1-mo. CME Term SOFR + 1.00%), 5.32%, 01/15/39<sup>(a)(c)</sup> |  | 1065 | 1062338 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-VAMF, Class A, (1-mo. CME Term SOFR + 0.85%), 5.17%, 01/15/39<sup>(a)(c)</sup> |  | 5000 | 4971875 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-VAMF, Class B, (1-mo. CME Term SOFR + 1.28%), 5.60%, 01/15/39<sup>(a)(c)</sup> |  | 397 | 393774 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-DELC, Class A, (1-mo. CME Term SOFR + 2.69%), 7.01%, 05/15/38<sup>(a)(c)</sup> |  | 5023 | 5026139 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-DELC, Class D, (1-mo. CME Term SOFR + 4.39%), 8.71%, 05/15/38<sup>(a)(c)</sup> |  | 270 | 270000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNYN, Class A, (1-mo. CME Term SOFR + 1.44%), 5.76%, 04/15/41<sup>(a)(c)</sup> |  | 3830 | 3837382 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNYN, Class D, (1-mo. CME Term SOFR + 2.69%), 7.01%, 04/15/41<sup>(a)(c)</sup> |  | 1648 | 1644181 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNYN, Class E, (1-mo. CME Term SOFR + 3.69%), 8.01%, 04/15/41<sup>(a)(c)</sup> |  | 2505 | 2481567 |

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| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  BX Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PALM, Class A, (1-mo. CME Term SOFR + 1.54%), 5.86%, 06/15/37<sup>(a)(c)</sup> | USD | 9566 | $9530089 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PALM, Class B, (1-mo. CME Term SOFR + 1.79%), 6.11%, 06/15/37<sup>(a)(c)</sup> |  | 697 | 695723 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class A, (1-mo. CME Term SOFR + 2.09%), 6.41%, 03/15/41<sup>(a)(c)</sup> |  | 2210 | 2207239 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class C, (1-mo. CME Term SOFR + 4.44%), 8.76%, 03/15/41<sup>(a)(c)</sup> |  | 4722 | 4708157 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class D, (1-mo. CME Term SOFR + 5.39%), 9.71%, 03/15/41<sup>(a)(c)</sup> |  | 2263 | 2249256 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VLT4, Class A, (1-mo. CME Term SOFR + 1.49%), 5.81%, 07/15/29<sup>(a)(c)</sup> |  | 1303 | 1296485 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ROIC, Class E, (1-mo. CME Term SOFR + 2.94%), 7.26%, 03/15/30<sup>(a)(c)</sup> |  | 8350 | 8297914 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-VLT6, Class A, (1-mo. CME Term SOFR + 1.44%), 5.76%, 03/15/42<sup>(a)(c)</sup> |  | 7446 | 7408770 |
|  BXP Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-GM, Class B, 3.43%, 06/13/39<sup>(a)(c)</sup> |  | 265 | 253667 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-601L, Class D, 2.78%, 01/15/44<sup>(a)(c)</sup> |  | 1120 | 857749 |
|  CALI Mortgage Trust, Series 2024-SUN, Class A, (1-mo. CME Term SOFR + 1.89%), 6.21%, 07/15/41<sup>(a)(c)</sup> |  | 2390 | 2390000 |
|  CAMB Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-LIFE, Class D, (1-mo. CME Term SOFR + 2.05%), 6.37%, 12/15/37<sup>(a)(c)</sup> |  | 1000 | 998125 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-LIFE, Class E, (1-mo. CME Term SOFR + 2.45%), 6.77%, 12/15/37<sup>(a)(c)</sup> |  | 1437 | 1434306 |
|  CD Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-CD1, Class A3, 2.46%, 08/10/49 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4116 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3999317 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-CD6, Class B, 3.91%, 11/13/50<sup>(c)</sup> |  | 336 | 313946 |
|  CENT Trust, Series 2023-CITY, Class A,<br>(1-mo. CME Term SOFR + 2.62%), 6.94%, 09/15/38<sup>(a)(c)</sup> |  | 5474 | 5484292 |
|  CFCRE Commercial Mortgage Trust, Series 2016- C4, Class C, 4.85%, 05/10/58<sup>(c)</sup> |  | 130 | 126653 |
|  CFK Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-FAX, Class D, 4.64%, 01/15/39<sup>(a)(c)</sup> . |  | 2500 | 2306565 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-FAX, Class E, 4.64%, 01/15/39<sup>(a)(c)</sup> . |  | 2600 | 2324637 |
|  CFSP Mortgage Trust, Series 2024-AHP1, Class A, 6.50%, 04/15/37 |  | 6545 | 6305106 |
|  Citigroup Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-P1, Class D, 3.23%, 09/15/48<sup>(a)</sup> |  | 694 | 636181 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-P3, Class A4, 3.33%, 04/15/49 |  | 2635 | 2580677 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-P7, Class A4, 3.71%, 04/14/50 |  | 6000 | 5814535 |
|  COAST Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2HTL, Class A, (1-mo. CME Term SOFR + 2.59%), 6.91%, 08/15/36<sup>(a)(c)</sup> |  | 1482 | 1479150 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2HTL, Class D, (1-mo. CME Term SOFR + 4.44%), 8.76%, 08/15/36<sup>(a)(c)</sup> |  | 2600 | 2580204 |
|  Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-CR26, Class A4, 3.63%, 10/10/48 |  | 3535 | 3509294 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-LC19, Class B, 3.83%, 02/10/48<sup>(c)</sup> |  | 296 | 290193 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-PC1, Class B, 4.33%, 07/10/50<sup>(c)</sup> |  | 3175 | 3075058 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-667M, Class D, 3.18%, 10/10/36<sup>(a)(c)</sup> |  | 500 | 351194 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CBM, Class A2, 5.87%, 12/10/41<sup>(a)(c)</sup> |  | 630 | 642896 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WCL1, Class A, (1-mo. CME Term SOFR + 1.84%), 6.16%, 06/15/41<sup>(a)(c)</sup> |  | 5270 | 5253484 |

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WCL1, Class B, (1-mo. CME Term SOFR + 2.59%), 6.91%, 06/15/41<sup>(a)(c)</sup> | USD | 2007 | $1978139 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WCL1, Class E, (1-mo. CME Term SOFR + 4.49%), 8.81%, 06/15/41<sup>(a)(c)</sup> |  | 2319 | 2319522 |
|  CONE Trust, Series 2024-DFW1, Class E, (1-mo. CME Term SOFR + 3.89%), 8.21%, 08/15/41<sup>(a)(c)</sup> |  | 2330 | 2320111 |
|  Credit Suisse Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-PFHP, Class A, (1-mo. CME Term SOFR + 1.00%), 5.32%, 12/15/30<sup>(a)(c)</sup> |  | 240 | 238380 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-FACT, Class E, (1-mo. CME Term SOFR + 5.48%), 9.80%, 10/15/37<sup>(a)(c)</sup> |  | 1134 | 1040573 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BHAR, Class A, (1-mo. CME Term SOFR + 1.26%), 5.58%, 11/15/38<sup>(a)(c)</sup> |  | 1020 | 1016120 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BHAR, Class B, (1-mo. CME Term SOFR + 1.61%), 5.93%, 11/15/38<sup>(a)(c)</sup> |  | 649 | 645272 |
|  CRSO Trust, Series 2023-BRND, 7.12%, 07/10/40<sup>(a)</sup> |  | 1929 | 2019143 |
|  CSAIL Commercial Mortgage Trust, Series 2019- C18, Class A4, 2.97%, 12/15/52 |  | 2990 | 2735587 |
|  CSTL Commercial Mortgage Trust, Series 2024- GATE, Class A, 4.76%,<br>11/10/41<sup>(a)(c)</sup> |  | 7600 | 7457491 |
|  DBGS Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-5BP, Class A, (1-mo. CME Term SOFR + 0.89%), 5.21%, 06/15/33<sup>(a)(c)</sup> |  | 5000 | 4678505 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-BIOD, Class D, (1-mo. CME Term SOFR + 1.60%), 5.92%, 05/15/35<sup>(a)(c)</sup> |  | 2625 | 2582344 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-BIOD, Class F, (1-mo. CME Term SOFR + 2.30%), 6.62%, 05/15/35<sup>(a)(c)</sup> |  | 2505 | 2497169 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SBL, Class A, (1-mo. CME Term SOFR + 1.88%), 6.20%, 08/15/34<sup>(a)(c)</sup> |  | 3719 | 3721325 |
|  DBSG Mortgage Trust, Series 2024-ALTA, Class A, 5.95%, 06/10/37<sup>(a)(c)</sup> |  | 1613 | 1636496 |
|  DBWF Mortgage Trust, Series 2024-LCRS, Class A, (1-mo. CME Term SOFR + 1.74%), 6.06%, 04/15/37<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2423 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2417698 |
|  DC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HLTN, Class A, 5.73%, 04/13/40<sup>(a)(c)</sup> |  | 1110 | 1124616 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HLTN, Class F, 10.31%, 04/13/40<sup>(a)(c)</sup> |  | 2932 | 3018499 |
|  DK Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SPBX, Class A, (1-mo. CME Term SOFR + 1.50%), 5.82%, 03/15/34<sup>(a)(c)</sup> |  | 2860 | 2858212 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-SPBX, Class E, (1-mo. CME Term SOFR + 4.00%), 8.32%, 03/15/34<sup>(a)(c)</sup> |  | 8186 | 8197189 |
|  ELM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class A10, 5.41%, 06/10/39<sup>(a)(c)</sup> |  | 3350 | 3392951 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class A15, 5.41%, 06/10/39<sup>(a)(c)</sup> |  | 3350 | 3392951 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class E10, 7.27%, 06/10/39<sup>(a)(c)</sup> |  | 4157 | 4195612 |
|  ELP Commercial Mortgage Trust, Series 2021-ELP, Class G, (1-mo. CME Term SOFR + 3.23%), 7.55%,<br>11/15/38<sup>(a)(c)</sup> |  | 660 | 656768 |
|  EQT Trust, Series 2024-EXTR, Class A, 5.33%, 07/05/41<sup>(a)(c)</sup> |  | 23949 | 24076864 |
|  Extended Stay America Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ESH, Class D, (1-mo. CME Term SOFR + 2.36%), 6.68%, 07/15/38<sup>(a)(c)</sup> |  | 3329 | 3325320 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  Extended Stay America Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ESH, Class E, (1-mo. CME Term SOFR + 2.96%), 7.28%, 07/15/38<sup>(a)(c)</sup> | USD | 2446 | $2441422 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ESH, Class F, (1-mo. CME Term SOFR + 3.81%), 8.13%, 07/15/38<sup>(a)(c)</sup> |  | 8886 | 8880293 |
|  Fashion Show Mall LLC, Series 2024-SHOW, Class A, 4.76%, 10/10/41<sup>(a)(c)</sup> |  | 363 | 363149 |
|  Fontainebleau Miami Beach Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FBLU, Class A, (1-mo. CME Term SOFR + 1.45%), 5.77%, 12/15/39<sup>(a)(c)</sup> |  | 9797 | 9790590 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FBLU, Class F, (1-mo. CME Term SOFR + 4.25%), 8.57%, 12/15/39<sup>(a)(c)</sup> |  | 315 | 315000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-FBLU, Class G, (1-mo. CME Term SOFR + 5.65%), 9.97%, 12/15/39<sup>(a)(c)</sup> |  | 2672 | 2670815 |
|  FREMF Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-K74, Class B, 4.09%, 02/25/51<sup>(a)(c)</sup>  |  | 2150 | 2102668 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-W5FX, Class CFX, 3.42%, 04/25/28<sup>(a)(c)</sup> |  | 4100 | 3736271 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-K105, Class B, 3.53%, 03/25/53<sup>(a)(c)</sup> |  | 2905 | 2698987 |
|  Great Wolf Trust, Series 2024-WOLF, Class A, (1-mo. CME Term SOFR + 1.54%), 5.86%, 03/15/39<sup>(a)(c)</sup> |  | 1914 | 1915199 |
|  GS Mortgage Securities Corp. II, Series 2018- GS10, Class A5, 4.16%, 07/10/51<sup>(c)</sup> |  | 4100 | 3954060 |
|  GS Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-GC32, Class C, 4.45%, 07/10/48<sup>(c)</sup>  |  | 881 | 854319 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-GS6, Class A3, 3.43%, 05/10/50 |  | 2000 | 1932553 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-GSA1, Class A4, 3.05%, 11/10/52 |  | 2587 | 2411598 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-GSA1, Class C, 3.80%, 11/10/52<sup>(c)</sup>  |  | 2530 | 2270836 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-DM, Class A, (1-mo. CME Term SOFR + 1.00%), 5.32%, 11/15/36<sup>(a)(c)</sup> |  | 1970 | 1950879 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-ECI, Class A, (1-mo. CME Term SOFR + 2.19%), 6.51%, 08/15/39<sup>(a)(c)</sup> |  | 3415 | 3415000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-FUN, Class A, (1-mo. CME Term SOFR + 2.09%), 6.41%, 03/15/28<sup>(a)(c)</sup> |  | 5707 | 5707000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SHIP, Class A, 4.32%, 09/10/38<sup>(a)(c)</sup> |  | 1322 | 1311857 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SHIP, Class C, 5.51%, 09/10/38<sup>(a)(c)</sup> |  | 1000 | 1000940 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-SHIP, Class E, 7.43%, 09/10/38<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11123 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11240121 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RVR, Class E, 6.97%, 08/10/41<sup>(a)(c)</sup> |  | 1263 | 1256820 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-800D, Class A, 6.97%, 11/18/29<sup>(a)(c)</sup> |  | 7253 | 7253000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-800D, Class C, 9.02%, 11/18/29<sup>(a)(c)</sup> |  | 2125 | 2125000 |
|  GWT, Series 2024-WLF2, Class A, (1-mo. CME Term SOFR + 1.69%), 6.01%, 05/15/41<sup>(a)(c)</sup> |  | 11768 | 11764322 |
|  Harvest Commercial Capital Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class M5, 5.73%, 09/25/46<sup>(a)(c)</sup> |  | 1536 | 1458014 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class M4, 5.96%, 04/25/52<sup>(a)(c)</sup> |  | 669 | 668192 |
|  HIG RCP LLC, Series 2023-FL1, Class A, (1-mo. CME Term SOFR + 2.27%), 6.59%, 09/19/38<sup>(a)(c)</sup> |  | 202 | 202347 |
|  HIH Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-61P, Class A, (1-mo. CME Term SOFR + 1.84%), 6.16%, 10/15/41<sup>(a)(c)</sup> |  | 2400 | 2410506 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-61P, Class D, (1-mo. CME Term SOFR + 3.64%), 7.96%, 10/15/41<sup>(a)(c)</sup> |  | 900 | 901970 |

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30 2 0 2 5 B L A C K R O C K 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

------

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  HILT Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ORL, Class A, (1-mo. CME Term SOFR + 1.54%), 5.86%, 05/15/37<sup>(a)(c)</sup> | USD | 3695 | $3692690 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ORL, Class C, (1-mo. CME Term SOFR + 2.44%), 6.76%, 05/15/37<sup>(a)(c)</sup> |  | 1426 | 1422435 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ORL, Class D, (1-mo. CME Term SOFR + 3.19%), 7.51%, 05/15/37<sup>(a)(c)</sup> |  | 4173 | 4152135 |
|  HIT Trust, Series 2022-HI32, Class A, (1-mo. CME Term SOFR + 2.39%), 6.71%, 07/15/39<sup>(a)(c)</sup> |  | 666 | 666627 |
|  HLTN Commercial Mortgage Trust, Series 2024- DPLO, Class A, (1-mo. CME Term SOFR + 1.64%), 5.96%, 06/15/41<sup>(a)(c)</sup> |  | 2096 | 2096000 |
|  HONO Mortgage Trust, Series 2021-LULU, Class A, (1-mo. CME Term SOFR + 1.26%), 5.58%, 10/15/36<sup>(a)(c)</sup> |  | 13232 | 13000145 |
|  Houston Galleria Mall Trust, Series 2025-HGLR, Class A, 5.46%, 02/05/45<sup>(a)(c)</sup> |  | 327 | 331223 |
|  HTL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-T53, Class A, 5.88%, 05/10/39<sup>(a)(c)</sup>  |  | 1380 | 1389415 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-T53, Class E, 10.26%, 05/10/39<sup>(a)(c)</sup> |  | 3538 | 3658131 |
|  Hudson Yards Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-55HY, Class F, 2.94%, 12/10/41<sup>(a)(c)</sup> |  | 712 | 596238 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SPRL, Class A, 5.47%, 01/13/40<sup>(a)(c)</sup> |  | 635 | 646033 |
|  ILPT Commercial Mortgage Trust, Series 2022- LPF2, Class A, (1-mo. CME Term SOFR + 2.25%),<br>6.56%, 10/15/39<sup>(a)(c)</sup> |  | 6218 | 6222976 |
|  INV Mortgage Trust, Series 2024-IND, Class A, (1-mo. CME Term SOFR + 1.74%), 6.06%, 11/15/41<sup>(a)(c)</sup> |  | 3510 | 3501225 |
|  JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class D1, 4.13%, 12/15/48<sup>(a)(c)</sup> |  | 507 | 461139 |
|  JPMDB Commercial Mortgage Securities Trust, Series 2018-C8, Class AS, 4.42%, 06/15/51 |  | 111 | 107911 |
|  JPMorgan Chase Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-JP2, Class A4, 2.82%, 08/15/49 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3655 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3558579 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-NINE, Class B, 2.85%, 09/06/38<sup>(a)(c)</sup> |  | 2073 | 1996175 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-PHH, Class A, (1-mo. CME Term SOFR + 1.26%), 5.58%, 06/15/35<sup>(a)(c)</sup> |  | 1036 | 905920 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-609M, Class D, (1-mo. CME Term SOFR + 3.13%), 7.45%, 10/15/33<sup>(a)(c)</sup> |  | 926 | 917590 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class A, (1-mo. CME Term SOFR + 1.16%), 5.48%, 04/15/38<sup>(a)(c)</sup> |  | 277 | 276336 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class E, (1-mo. CME Term SOFR + 2.81%), 7.13%, 04/15/38<sup>(a)(c)</sup> |  | 3101 | 3091309 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-NLP, Class F, (1-mo. CME Term SOFR + 3.54%), 7.86%, 04/15/37<sup>(a)(c)</sup> |  | 2978 | 2787461 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-OPO, Class D, 3.45%, 01/05/39<sup>(a)(c)</sup> |  | 2061 | 1732847 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class A, 5.17%, 11/09/39<sup>(a)(c)</sup> |  | 7170 | 7201258 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class D, 6.48%, 11/09/39<sup>(a)(c)</sup> |  | 5319 | 5311247 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class E, 7.25%, 11/09/39<sup>(a)(c)</sup> |  | 6096 | 6085418 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class F, 8.22%, 11/09/39<sup>(a)(c)</sup> |  | 5223 | 5225648 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  JPMorgan Chase Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-OMNI, Class A, 5.80%, 10/05/39<sup>(a)(c)</sup> | USD | 1660 | $1684069 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-BHR5, Class A, (1-mo. CME Term SOFR + 1.69%), 5.99%, 03/15/40<sup>(a)(c)</sup> |  | 8228 | 8166290 |
|  JW Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BERY, Class A, (1-mo. CME Term SOFR + 1.59%), 5.91%, 11/15/39<sup>(a)(c)</sup> |  | 1700 | 1698406 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MRCO, Class A, (1-mo. CME Term SOFR + 1.62%), 5.94%, 06/15/39<sup>(a)(c)</sup> |  | 10813 | 10806240 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MRCO, Class D, (1-mo. CME Term SOFR + 3.19%), 7.51%, 06/15/39<sup>(a)(c)</sup> |  | 1506 | 1510417 |
|  KSL Commercial Mortgage Trust, Series 2024-HT2, Class A, (1-mo. CME Term SOFR + 1.54%), 5.86%,<br>12/15/39<sup>(a)(c)</sup> |  | 6119 | 6111344 |
|  LBA Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-7IND, Class A, (1-mo. CME Term SOFR + 1.44%), 5.76%, 10/15/41<sup>(a)(c)</sup> |  | 2340 | 2335612 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-7IND, Class D, (1-mo. CME Term SOFR + 2.64%), 6.96%, 10/15/41<sup>(a)(c)</sup> |  | 592 | 590519 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BOLT, Class A, (1-mo. CME Term SOFR + 1.59%), 5.91%, 06/15/39<sup>(a)(c)</sup> |  | 10030 | 10004925 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BOLT, Class F, (1-mo. CME Term SOFR + 4.44%), 8.76%, 06/15/39<sup>(a)(c)</sup> |  | 690 | 685942 |
|  Lehman Brothers Small Balance Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-2A, Class M1, (1-mo. CME Term SOFR + 0.51%), 4.84%, 06/25/37<sup>(a)(c)</sup> |  | 49 | 48505 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2007-3A, Class M2, (1-mo. CME Term SOFR + 2.11%), 6.44%, 10/25/37<sup>(a)(c)</sup> |  | 3340 | 2852302 |
|  LUX, Series 2023-LION, Class A, (1-mo. CME Term SOFR + 2.69%), 7.01%, 08/15/40<sup>(a)(c)</sup> |  | 1281 | 1293372 |
|  MCR Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HF1, Class A, (1-mo. CME Term SOFR + 1.79%), 6.11%, 12/15/41<sup>(a)(c)</sup> |  | 2354 | 2359889 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HTL, Class A, (1-mo. CME Term SOFR + 1.76%), 6.08%, 02/15/37<sup>(a)(c)</sup> |  | 191 | 191009 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-HTL, Class E, (1-mo. CME Term SOFR + 4.65%), 8.97%, 02/15/37<sup>(a)(c)</sup> |  | 1378 | 1389585 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-TWA, Class A, 5.92%, 06/12/39<sup>(a)</sup> |  | 2250 | 2275478 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-TWA, Class E, 8.73%, 06/12/39<sup>(a)</sup> |  | 2080 | 2114652 |
|  MF1 LLC, Series 2024-FL14, Class A, (1-mo. CME Term SOFR + 1.74%), 6.05%, 03/19/39<sup>(a)(c)</sup> |  | 1010 | 1011320 |
|  MHC Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class A, (1-mo. CME Term SOFR + 0.92%), 5.23%, 04/15/38<sup>(a)(c)</sup> |  | 1524 | 1520655 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class F, (1-mo. CME Term SOFR + 2.72%), 7.03%, 04/15/38<sup>(a)(c)</sup> |  | 182 | 181944 |
|  MHP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-STOR, Class A, (1-mo. CME Term SOFR + 0.81%), 5.13%, 07/15/38<sup>(a)(c)</sup> |  | 1105 | 1098094 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-STOR, Class G, (1-mo. CME Term SOFR + 2.86%), 7.18%, 07/15/38<sup>(a)(c)</sup> |  | 3426 | 3391740 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-STOR, Class J, (1-mo. CME Term SOFR + 4.06%), 8.38%, 07/15/38<sup>(a)(c)</sup> |  | 1917 | 1893179 |
|  MIC Trust (The), Series 2023-MIC, Class A, 8.44%, 12/05/38<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3089 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3359555 |
|  MIRA Trust, Series 2023-MILE, Class A, 6.76%, 06/10/38<sup>(a)</sup> |  | 1978 | 2066322 |

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  Morgan Stanley Bank of America Merrill Lynch Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-C25, Class A5, 3.64%, 10/15/48 | USD | 1455 | $1444324 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C32, Class A4, 3.72%, 12/15/49 |  | 1060 | 1038095 |
|  Morgan Stanley Capital I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-MS1, Class A4, 3.78%, 05/15/48<sup>(c)</sup>  |  | 2000 | 1991814 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-ASHF, Class G, (1-mo. CME Term SOFR + 7.20%), 11.52%, 11/15/34<sup>(a)(c)</sup> |  | 939 | 892356 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H1, Class B, 4.08%, 06/15/50 |  | 2400 | 2281008 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-MP, Class E, 4.28%, 07/11/40<sup>(a)(c)</sup> |  | 2184 | 1470517 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H6, Class D, 3.00%, 06/15/52<sup>(a)</sup> |  | 470 | 366098 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H7, Class AS, 3.52%, 07/15/52 |  | 1900 | 1778288 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H7, Class C, 4.13%, 07/15/52 |  | 5000 | 4572602 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-H7, Class D, 3.00%, 07/15/52<sup>(a)</sup> |  | 3000 | 2448760 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NSTB, Class A, 3.90%, 09/24/57<sup>(a)(c)</sup> |  | 2278 | 2201135 |
|  MTN Commercial Mortgage Trust, Series 2022- LPFL, Class A, (1-mo. CME Term SOFR + 1.40%), 5.72%,<br>03/15/39<sup>(a)(c)</sup> |  | 910 | 906588 |
|  Natixis Commercial Mortgage Securities Trust, Series 2017-75B, Class A, 3.86%, 04/10/37<sup>(a)</sup> |  | 1850 | 1597653 |
|  NJ Trust, Series 2023-GSP, Class A, 6.48%, 01/06/29<sup>(a)(c)</sup> |  | 1470 | 1540725 |
|  NY Commercial Mortgage Trust, Series 2025-299P, Class B, 5.53%, 02/10/47<sup>(a)(c)</sup> |  | 697 | 710513 |
|  NYC Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3ELV, Class A, (1-mo. CME Term SOFR + 1.99%), 6.31%, 08/15/29<sup>(a)(c)</sup> |  | 441 | 442229 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3ELV, Class C, (1-mo. CME Term SOFR + 2.84%), 7.16%, 08/15/29<sup>(a)(c)</sup> |  | 405 | 405568 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3ELV, Class D, (1-mo. CME Term SOFR + 3.84%), 8.16%, 08/15/29<sup>(a)(c)</sup> |  | 1564 | 1562701 |
|  Olympic Tower Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-OT, Class A, 3.57%, 05/10/39<sup>(a)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2920 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2673727 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-OT, Class D, 3.95%, 05/10/39<sup>(a)(c)</sup> |  | 1080 | 868743 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-OT, Class E, 3.95%, 05/10/39<sup>(a)(c)</sup> |  | 498 | 379538 |
|  One Bryant Park Trust, Series 2019-OBP, Class A, 2.52%, 09/15/54<sup>(a)</sup> |  | 1930 | 1723126 |
|  One Market Plaza Trust, Series 2017-1MKT, Class D, 4.15%, 02/10/32<sup>(a)</sup> |  | 1127 | 978750 |
|  One New York Plaza Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1NYP, Class A, (1-mo. CME Term SOFR + 1.06%), 5.38%, 01/15/36<sup>(a)(c)</sup> |  | 1035 | 991574 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1NYP, Class AJ, (1-mo. CME Term SOFR + 1.36%), 5.68%, 01/15/36<sup>(a)(c)</sup> |  | 2142 | 2025681 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1NYP, Class B, (1-mo. CME Term SOFR + 1.61%), 5.93%, 01/15/36<sup>(a)(c)</sup> |  | 1338 | 1245271 |
|  OPEN Trust, Series 2023-AIR, Class A, (1-mo. CME Term SOFR + 3.09%), 7.41%, 11/15/40<sup>(a)(c)</sup> |  | 1531 | 1535274 |
|  ORL Trust, Series 2024-GLKS, Class A, (1-mo. CME Term SOFR + 1.49%), 5.81%, 12/15/39<sup>(a)(c)</sup> |  | 3090 | 3088069 |
|  PGA Trust, Series 2024-RSR2, Class A, (1-mo. CME Term SOFR + 1.89%), 6.21%, 06/15/39<sup>(a)(c)</sup> |  | 1754 | 1749613 |
|  PKHL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MF, Class F, (1-mo. CME Term SOFR + 3.46%), 7.78%, 07/15/38<sup>(a)(c)</sup> |  | 900 | 526027 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MF, Class G, (1-mo. CME Term SOFR + 4.46%), 8.78%, 07/15/38<sup>(a)(c)</sup> |  | 1967 | 577034 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  PRM5 Trust, Series 2025-PRM5, Class D, 5.25%, 03/10/33<sup>(a)(c)</sup> | USD | 1300 | $1279663 |
|  Ready Capital Mortgage Financing LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL10, Class A, (1-mo. CME Term SOFR + 2.55%), 6.87%, 10/25/39<sup>(a)(c)</sup> |  | 3104 | 3118382 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-FL9, Class A, (1-mo. CME Term SOFR + 2.47%), 6.79%, 06/25/37<sup>(a)(c)</sup> |  | 411 | 411165 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-FL11, Class A, (1-mo. CME Term SOFR + 2.37%), 6.69%, 10/25/39<sup>(a)(c)</sup> |  | 1506 | 1501135 |
|  RIAL Issuer Ltd., Series 2022-FL8, Class A, (1-mo. CME Term SOFR + 2.25%), 6.57%, 01/19/37<sup>(a)(c)</sup> |  | 5654 | 5620372 |
|  ROCK Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNTR, Class A, 5.39%, 11/13/41<sup>(a)</sup>  |  | 3877 | 3906581 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNTR, Class E, 8.82%, 11/13/41<sup>(a)</sup>  |  | 3977 | 4191467 |
|  SCG Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DLFN, Class D, (1-mo. CME Term SOFR + 2.15%), 6.46%, 03/15/35<sup>(a)(c)</sup> |  | 413 | 410416 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-DLFN, Class E, (1-mo. CME Term SOFR + 2.95%), 7.26%, 03/15/35<sup>(a)(c)</sup> |  | 3142 | 3139340 |
|  SCG Mortgage Trust, Series 2024-MSP, Class A, (1-mo. CME Term SOFR + 1.74%), 6.06%, 04/15/41<sup>(a)(c)</sup> |  | 2750 | 2751715 |
|  SELF Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-STRG, Class A, (1-mo. CME Term SOFR + 1.54%), 5.86%, 11/15/34<sup>(a)(c)</sup> |  | 2930 | 2932698 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-STRG, Class E, (1-mo. CME Term SOFR + 4.19%), 8.51%, 11/15/34<sup>(a)(c)</sup> |  | 3007 | 2996201 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-STRG, Class F, (1-mo. CME Term SOFR + 5.19%), 9.51%, 11/15/34<sup>(a)(c)</sup> |  | 435 | 433446 |
|  SG Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C5, Class B, 3.93%, 10/10/48 |  | 1000 | 945754 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-PREZ, Class E, 3.48%, 09/15/39<sup>(a)(c)</sup> |  | 3391 | 2823519 |
|  SHER Trust, Series 2024-DAL, Class A, (1-mo. CME Term SOFR + 1.64%), 5.96%, 04/15/37<sup>(a)(c)</sup> |  | 1935 | 1930766 |
|  SHR Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-LXRY, Class A, (1-mo. CME Term SOFR + 1.95%), 6.27%, 10/15/41<sup>(a)(c)</sup> |  | 6747 | 6746997 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-LXRY, Class D, (1-mo. CME Term SOFR + 3.60%), 7.92%, 10/15/41<sup>(a)(c)</sup> |  | 2720 | 2719998 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-LXRY, Class E, (1-mo. CME Term SOFR + 4.45%), 8.77%, 10/15/41<sup>(a)(c)</sup> |  | 1836 | 1835999 |
|  SLG Office Trust, Series 2021-OVA, Class A, 2.59%, 07/15/41<sup>(a)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3936 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3380928 |
|  SREIT Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MFP, Class F, (1-mo. CME Term SOFR + 2.74%), 7.06%, 11/15/38<sup>(a)(c)</sup> |  | 2607 | 2567783 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MFP2, Class A, (1-mo. CME Term SOFR + 0.94%), 5.26%, 11/15/36<sup>(a)(c)</sup> |  | 5000 | 4968750 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MFP2, Class F, (1-mo. CME Term SOFR + 2.73%), 7.05%, 11/15/36<sup>(a)(c)</sup> |  | 1136 | 1124640 |
|  STWD Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FLWR, Class A, (1-mo. CME Term SOFR + 0.69%), 5.01%, 07/15/36<sup>(a)(c)</sup> |  | 1101 | 1094509 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FLWR, Class B, (1-mo. CME Term SOFR + 1.04%), 5.36%, 07/15/36<sup>(a)(c)</sup> |  | 1600 | 1589000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FLWR, Class E, (1-mo. CME Term SOFR + 2.04%), 6.36%, 07/15/36<sup>(a)(c)</sup> |  | 1390 | 1379972 |

---

32 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  TCO Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-DPM, Class A, (1-mo. CME Term SOFR + 1.24%), 5.56%, 12/15/39<sup>(a)(c)</sup> | USD | 8232 | $8211420 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-DPM, Class D, (1-mo. CME Term SOFR + 2.74%), 7.06%, 12/15/39<sup>(a)(c)</sup> |  | 387 | 386374 |
|  THPT Mortgage Trust, Series 2023-THL, Class A, 6.99%, 12/10/34<sup>(a)(c)</sup> |  | 1122 | 1143443 |
|  TTAN |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class A, (1-mo. CME Term SOFR + 0.96%), 5.28%, 03/15/38<sup>(a)(c)</sup> |  | 4203 | 4189694 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-MHC, Class F, (1-mo. CME Term SOFR + 3.01%), 7.33%, 03/15/38<sup>(a)(c)</sup> |  | 2815 | 2805907 |
|  TYSN Mortgage Trust, Series 2023-CRNR, Class A, 6.58%, 12/10/33<sup>(a)(c)</sup> |  | 1340 | 1406290 |
|  UBS Commercial Mortgage Trust, Series 2017-C4, Class AS, 3.84%, 10/15/50<sup>(c)</sup> |  | 765 | 724177 |
|  VEGAS Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GCS, Class C, 6.22%, 07/10/36<sup>(a)(c)</sup> |  | 5520 | 5391547 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GCS, Class D, 6.22%, 07/10/36<sup>(a)(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12440 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11633587 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-TI, Class A, 5.52%, 11/10/39<sup>(a)</sup> |  | 2520 | 2536968 |
|  Velocity Commercial Capital Loan Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2, Class M6, 7.05%, 10/26/48<sup>(a)(c)</sup> |  | 1449 | 1228660 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-1, Class M2, 4.01%, 03/25/49<sup>(a)(c)</sup> |  | 145 | 130463 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class M2, 3.39%, 07/25/49<sup>(a)(c)</sup> |  | 944 | 824270 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class M3, 3.48%, 07/25/49<sup>(a)(c)</sup> |  | 1022 | 861807 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2, Class M4, 3.99%, 07/25/49<sup>(a)(c)</sup> |  | 1059 | 873137 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-3, Class M6, 6.03%, 10/25/49<sup>(a)(c)</sup> |  | 511 | 443899 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1, Class AFX, 2.61%, 02/25/50<sup>(a)(c)</sup> |  | 2125 | 1908979 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class M4, 2.85%, 05/25/51<sup>(a)(c)</sup> |  | 1773 | 1347415 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class M6, 5.03%, 05/25/51<sup>(a)(c)</sup> |  | 2036 | 1438605 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-3, Class M4, 3.48%, 10/25/51<sup>(a)(c)</sup> |  | 2263 | 1898117 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class A, 2.52%, 12/26/51<sup>(a)(c)</sup> |  | 5949 | 5256249 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4, Class M4, 4.48%, 12/26/51<sup>(a)(c)</sup> |  | 1074 | 906144 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class M4, 5.20%, 02/25/52<sup>(a)(c)</sup> |  | 5124 | 3982097 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class M2, 6.97%, 08/25/52<sup>(a)(c)</sup> |  | 1019 | 1026161 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-4, Class M3, 7.53%, 08/25/52<sup>(a)(c)</sup> |  | 855 | 865667 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2, Class A, 6.22%, 05/25/53<sup>(a)(c)</sup> |  | 580 | 580541 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 6.55%, 01/25/54<sup>(a)(c)</sup> |  | 3325 | 3353735 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class M2, 7.23%, 01/25/54<sup>(a)(c)</sup> |  | 342 | 342991 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class M3, 8.44%, 01/25/54<sup>(a)(c)</sup> |  | 353 | 360491 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class M3, 8.02%, 04/25/54<sup>(a)(c)</sup> |  | 1733 | 1748592 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class M4, 10.70%, 04/25/54<sup>(a)(c)</sup> |  | 3280 | 3328121 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3, Class M2, 7.23%, 06/25/54<sup>(a)(c)</sup> |  | 1687 | 1693092 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5, Class A, 5.49%, 10/25/54<sup>(a)(c)</sup> |  | 1519 | 1506707 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5, Class M2, 5.96%, 10/25/54<sup>(a)(c)</sup> |  | 527 | 516208 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5, Class M3, 6.76%, 10/25/54<sup>(a)(c)</sup> |  | 885 | 875416 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5, Class M4, 9.53%, 10/25/54<sup>(a)(c)</sup> |  | 554 | 548054 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6, Class M2, 6.55%, 12/25/54<sup>(a)(c)</sup> |  | 843 | 835790 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6, Class M3, 6.92%, 12/25/54<sup>(a)(c)</sup> |  | 1543 | 1533712 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6, Class M4, 9.67%, 12/25/54<sup>(a)(c)</sup> |  | 975 | 972490 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class M3, 7.33%, 02/25/55<sup>(a)(c)</sup> |  | 3995 | 4009569 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1, Class M4, 10.15%, 02/25/55<sup>(a)(c)</sup> |  | 3995 | 4014233 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-RTL1, Class A1, 03/25/30<sup>(a)(b)(f)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;16000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;15999771 |
|  Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C39, Class B, 4.03%, 09/15/50 |  | 1000 | 940342 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1745, Class A, 3.75%, 06/15/36<sup>(a)(c)</sup> |  | 1190 | 1090040 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-C46, Class A4, 4.15%, 08/15/51 |  | 3740 | 3633050 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-C49, Class D, 3.00%, 03/15/52<sup>(a)</sup> |  | 354 | 297568 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-C50, Class B, 4.19%, 05/15/52 |  | 3121 | 2867290 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  Wells Fargo Commercial Mortgage Trust |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-C53, Class A3, 2.79%, 10/15/52 | USD | 1000 | $| 923449 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C59, Class A4, 2.34%, 04/15/54 |  | 5000 |  | 4367969 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FCMT, Class A, (1-mo. CME Term SOFR + 1.31%), 5.63%, 05/15/31<sup>(a)(c)</sup> |  | 4660 |  | 4631198 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1CHI, Class A, 4.95%, 07/15/35<sup>(a)(c)</sup> |  | 395 |  | 396626 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5C2, Class A3, 5.92%, 11/15/57<sup>(c)</sup> |  | 1280 |  | 1332863 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BPRC, Class B, 6.22%, 07/15/43<sup>(a)</sup>  |  | 3055 |  | 3138781 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BPRC, Class C, 6.43%, 07/15/43<sup>(a)</sup>  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1945 |  | 1955947 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BPRC, Class D, 7.08%, 07/15/43<sup>(a)</sup>  |  | 2628 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2641370 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-5C3, Class A3, 6.10%, 01/15/58 |  | 750 |  | 786260 |
|  WEST Trust, Series 2025-ROSE, Class A, 5.45%, 04/10/30<sup>(a)(c)</sup> |  | 1836 |  | 1843567 |
|  WMRK Commercial Mortgage Trust |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-WMRK, Class A, (1-mo. CME Term SOFR + 2.79%), 7.11%, 11/15/27<sup>(a)(c)</sup> |  | 3829 |  | 3821821 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-WMRK, Class B, (1-mo. CME Term SOFR + 3.44%), 7.76%, 11/15/27<sup>(a)(c)</sup> |  | 1435 |  | 1432309 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;972113545 |
| **Interest Only Collateralized Mortgage Obligations — 0.3%** | **Interest Only Collateralized Mortgage Obligations — 0.3%** | **Interest Only Collateralized Mortgage Obligations — 0.3%** | **Interest Only Collateralized Mortgage Obligations — 0.3%** | **Interest Only Collateralized Mortgage Obligations — 0.3%** |
|  Ajax Mortgage Loan Trust, Series 2021-E, Class XS, 0.00%, 12/25/60<sup>(a)(c)(d)</sup> |  | 8103 |  | 298208 |
|  Barclays Mortgage Loan Trust Series 2023-NQM3, Class XS, 0.82%, 10/25/63<sup>(a)(c)</sup> |  | 17954 |  | 242142 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM1, Class XS, 2.45%, 01/25/64<sup>(a)(c)</sup> |  | 13215 |  | 782142 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM3, Class XS, 0.00%, 06/25/64<sup>(a)(c)(d)</sup> |  | 24851 |  | 907073 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM4, Class XS, 0.00%, 12/26/64<sup>(a)(c)(d)</sup> |  | 38004 |  | 1730363 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class XS, 0.00%, 01/25/65<sup>(a)(c)(d)</sup> |  | 38010 |  | 1709048 |
|  JPMorgan Mortgage Trust |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A2X, 0.50%, 02/25/52<sup>(a)(c)</sup> |  | 28722 |  | 807293 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A3X, 0.50%, 02/25/52<sup>(a)(c)</sup> |  | 16572 |  | 307581 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A4X, 0.50%, 02/25/52<sup>(a)(c)</sup> |  | 7873 |  | 338360 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class A5X, 0.50%, 02/25/52<sup>(a)(c)</sup> |  | 3128 |  | 87907 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV7, Class AX1, 0.27%, 02/25/52<sup>(a)(c)</sup> |  | 56294 |  | 883766 |
|  JPMorgan Resecuritization Trust, Series 2014-5, Class 5C, 0.00%, 05/27/36<sup>(a)(c)(d)</sup> |  | 9373 |  | 1608816 |
|  Voyager OPTONE Delaware Trust, Series 2009-1, Class SAA7, 5.99%, 02/25/38<sup>(a)(c)</sup> |  | 9245 |  | 2028628 |
|  |  |  |  | 11731327 |
| **Interest Only Commercial Mortgage-Backed Securities — 0.4%** | **Interest Only Commercial Mortgage-Backed Securities — 0.4%** | **Interest Only Commercial Mortgage-Backed Securities — 0.4%** | **Interest Only Commercial Mortgage-Backed Securities — 0.4%** | **Interest Only Commercial Mortgage-Backed Securities — 0.4%** |
|  BANK |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-BN22, Class XA, 0.58%, 11/15/62<sup>(c)</sup> |  | 37994 |  | 894331 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-BN22, Class XB, 0.14%, 11/15/62<sup>(c)</sup> |  | 85561 |  | 591706 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-BN28, Class XB, 0.98%, 03/15/63<sup>(c)</sup> |  | 29819 |  | 1399289 |
|  BBCMS Trust, Series 2015-SRCH, Class XB, 0.20%, 08/10/35<sup>(a)(c)</sup> |  | 12500 |  | 53825 |
|  Benchmark Mortgage Trust Series 2019-B12, Class XA, 1.07%, 08/15/52<sup>(c)</sup> |  | 34868 |  | 1031515 |

---

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
| **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** |
|  Benchmark Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-B9, Class XA, 1.01%, 03/15/52<sup>(c)</sup>  | USD | 14795 | $474204 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-B17, Class XB, 0.51%, 03/15/53<sup>(c)</sup> |  | 17599 | 339838 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-B19, Class XA, 1.76%, 09/15/53<sup>(c)</sup> |  | 22598 | 1154347 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B23, Class XA, 1.26%, 02/15/54<sup>(c)</sup> |  | 18157 | 950962 |
|  BMO Mortgage Trust, Series 2023-C5, Class XA, 0.72%, 06/15/56<sup>(c)</sup> |  | 8050 | 383947 |
|  CFK Trust, Series 2019-FAX, Class XA, 0.23%, 01/15/39<sup>(a)(c)</sup> |  | 62648 | 561775 |
|  Commercial Mortgage Trust, Series 2019-GC44, Class XA, 0.61%, 08/15/57<sup>(c)</sup> |  | 38308 | 762867 |
|  CSAIL Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-C16, Class XA, 1.54%, 06/15/52<sup>(c)</sup> |  | 9456 | 490863 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-C17, Class XA, 1.32%, 09/15/52<sup>(c)</sup> |  | 3650 | 160954 |
|  Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 06/10/50<sup>(a)(c)</sup> |  | 11214 | 207634 |
|  ELM Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class XP10, 0.22%,<br>06/10/39<sup>(a)(c)</sup> |  | 33570 | 89682 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class XP15, 1.46%,<br>06/10/39<sup>(a)(c)</sup> |  | 30405 | 539093 |
|  JPMDB Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C4, Class XC, 0.75%, 12/15/49<sup>(a)(c)</sup> |  | 8570 | 82825 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-C5, Class XB, 0.24%, 03/15/50<sup>(c)</sup> |  | 30000 | 179253 |
|  JPMorgan Chase Commercial Mortgage Securities Trust, Series 2016-JP3, Class XC, 0.75%, 08/15/49<sup>(a)(c)</sup> |  | 17400 | 146153 |
|  LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 0.84%, 03/10/50<sup>(a)(c)</sup> |  | 8272 | 94875 |
|  MCR Mortgage Trust, Series 2024-TWA, Class XA, 0.92%, 06/12/39<sup>(a)</sup> |  | 11446 | 166148 |
|  Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class XF, 1.19%, 12/15/47<sup>(a)(c)</sup> |  | 220 | 2504 |
|  Morgan Stanley Capital I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-H1, Class XD, 2.14%, 06/15/50<sup>(a)(c)</sup> |  | 8625 | 353998 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-L2, Class XA, 1.00%, 03/15/52<sup>(c)</sup> |  | 10238 | 329081 |
|  MSWF Commercial Mortgage Trust, Series 2023-2, Class XA, 0.91%, 12/15/56<sup>(c)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2055394 |
|  Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.38%, 05/10/39<sup>(a)(c)</sup> |  | 28100 | 187365 |
|  One Market Plaza Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1MKT, Class XCP, 0.00%, 02/10/32<sup>(a)(c)(d)</sup> |  | 91391 | 285139 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1MKT, Class XNCP, 0.09%, 02/10/32<sup>(a)(c)</sup> |  | 18278 | 47816 |
|  UBS Commercial Mortgage Trust, Series 2019- C17, Class XA, 1.44%, 10/15/52<sup>(c)</sup> |  | 8554 | 438985 |
|  Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-LC20, Class XB, 0.67%, 04/15/50<sup>(c)</sup> |  | 6430 | 64 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-BNK1, Class XD, 1.24%, 08/15/49<sup>(a)(c)</sup> |  | 1000 | 13720 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BPRC, Class X, 0.09%, 07/15/43<sup>(a)(c)</sup> |  | 24115 | 224342 |
|  |  |  | 14694494 |
|  **Total Non-Agency Mortgage-Backed Securities — 49.4%<br>(Cost: $1,813,823,017)** | **Total Non-Agency Mortgage-Backed Securities — 49.4%<br>(Cost: $1,813,823,017)** | **Total Non-Agency Mortgage-Backed Securities — 49.4%<br>(Cost: $1,813,823,017)** | 1766518984 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par*<br> *(000)* | *Value* |
|  **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Commercial Mortgage-Backed Securities — 0.2%** | **Commercial Mortgage-Backed Securities — 0.2%** | **Commercial Mortgage-Backed Securities — 0.2%** |  |
|  Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-P015, Class A1, 4.02%, 11/25/32<sup>(c)</sup>  | USD | 2442 | $2378505 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series KJ48, Class A2, 5.03%, 10/25/31 |  | 1413 | 1438820 |
|  Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-118, Class BA, 3.75%, 05/16/65<sup>(c)</sup> |  | 803 | 735483 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-119, Class AD, 2.25%, 04/16/65 |  | 1429 | 1153964 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-50, Class AC, 3.25%, 09/16/63<sup>(c)</sup> |  | 794 | 720896 |
|  |  |  | 6427668 |
| **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** |
|  Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K116, Class X1, 1.42%, 07/25/30<sup>(c)</sup> |  | 23605 | 1403221 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series KL05, Class X1P, 0.89%, 06/25/29<sup>(c)</sup> |  | 12845 | 433533 |
|  Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-36, Class IO, 0.66%, 08/16/57<sup>(c)</sup> |  | 2564 | 72434 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-24, Class IO, 0.74%, 12/16/56<sup>(c)</sup> |  | 9684 | 302585 |
|  |  |  | 2211773 |
| **Mortgage-Backed Securities — 0.1%** | **Mortgage-Backed Securities — 0.1%** | **Mortgage-Backed Securities — 0.1%** | **Mortgage-Backed Securities — 0.1%** |
|  Fannie Mae Mortgage-Backed Securities, 5.81%, 06/01/31 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3533 | 3701590 |
|  **Total U.S. Government Sponsored Agency Securities — 0.3%<br>(Cost: $12,777,995)** | **Total U.S. Government Sponsored Agency Securities — 0.3%<br>(Cost: $12,777,995)** | **Total U.S. Government Sponsored Agency Securities — 0.3%<br>(Cost: $12,777,995)** | 12341031 |
|  **Total Long-Term Investments — 98.8%<br>(Cost: $3,619,459,582)** | **Total Long-Term Investments — 98.8%<br>(Cost: $3,619,459,582)** | **Total Long-Term Investments — 98.8%<br>(Cost: $3,619,459,582)** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3533399191 |
|  |  | *Shares* |  |
|  **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 2.3%** | **Money Market Funds — 2.3%** | **Money Market Funds — 2.3%** | **Money Market Funds — 2.3%** |
|  Dreyfus Treasury Securities Cash Management, Institutional Class, 4.17%<sup>(l)</sup> |  | 84584022 | 84584022 |
|  **Total Short-Term Securities — 2.3%<br>(Cost: $84,584,022)** | **Total Short-Term Securities — 2.3%<br>(Cost: $84,584,022)** | **Total Short-Term Securities — 2.3%<br>(Cost: $84,584,022)** | 84584022 |
|  **Total Investments Before TBA Sale Commitments — 101.1%<br>(Cost: $3,704,043,604)** | **Total Investments Before TBA Sale Commitments — 101.1%<br>(Cost: $3,704,043,604)** | **Total Investments Before TBA Sale Commitments — 101.1%<br>(Cost: $3,704,043,604)** | 3617983213 |
|  |  | *Par*<br> *(000)* |  |
|  **TBA Sale Commitments<sup>(m)</sup>** | **TBA Sale Commitments<sup>(m)</sup>** | **TBA Sale Commitments<sup>(m)</sup>** | **TBA Sale Commitments<sup>(m)</sup>** |
| **Mortgage-Backed Securities — (0.6)%** | **Mortgage-Backed Securities — (0.6)%** | **Mortgage-Backed Securities — (0.6)%** |  |
|  Uniform Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 04/01/55 | USD | (4579) | (3638371) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/01/55 |  | (22139) | (18407157) |
|  **Total TBA Sale Commitments — (0.6)%<br>(Proceeds: $(22061694))** | **Total TBA Sale Commitments — (0.6)%<br>(Proceeds: $(22061694))** | **Total TBA Sale Commitments — (0.6)%<br>(Proceeds: $(22061694))** | (22045528) |
|  **Total Investments Net of TBA Sale Commitments — 100.5%<br>(Cost: $3,681,981,910)** | **Total Investments Net of TBA Sale Commitments — 100.5%<br>(Cost: $3,681,981,910)** | **Total Investments Net of TBA Sale Commitments — 100.5%<br>(Cost: $3,681,981,910)** | 3595937685 |
|  **Liabilities in Excess of Other Assets — (0.5)%** | **Liabilities in Excess of Other Assets — (0.5)%** | **Liabilities in Excess of Other Assets — (0.5)%** | (19551916) |
|  **Net Assets — 100.0%** |  |  | $3576385769 |

---

<sup>(a)</sup> 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.

<sup>(b)</sup> 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.

<sup>(c)</sup> 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.

34 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series A Portfolio** |

---

<sup>(d)</sup> Zero-coupon bond.

<sup>(e)</sup> This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

<sup>(f)</sup> When-issued security.

<sup>(g)</sup> Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

<sup>(h)</sup> Issuer filed for bankruptcy and/or is in default.

<sup>(i)</sup> Non-income producing security.

<sup>(j)</sup> Perpetual security with no stated maturity date.

<sup>(k)</sup> Rounds to less than 1,000.

<sup>(l)</sup> Annualized 7-day yield as of period end.

<sup>(m)</sup> 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* | *Currency Sold* | *Counterparty* | *Settlement<br>Date* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  USD 8,967,586 | EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;8173000 | Deutsche Bank AG | 06/18/25 | $90899 |

---

#### OTC Credit Default Swaps — Buy Protection

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing<br>Rate<br>Paid<br>by the<br>Fund* | *Payment<br>Frequency* | *Counterparty* | *Termination<br>Date* | *Notional<br>Amount*<br> *(000)* | *Notional<br>Amount*<br> *(000)* | *Value* | *Upfront<br>Premium<br>Paid<br>(Received)* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  CMBX.NA.9.BBB- | 3.00% | Monthly | Citigroup Global Markets, Inc. | 09/17/58 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140 | $24856 | $4196 | $20660 |
|  CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;53 | 9410 | 3640 | 5770 |
|  CMBX.NA.9.BBB- | 3.00 | Monthly | Morgan Stanley & Co. International PLC | 09/17/58 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27 | 4794 | 1325 | 3469 |
|  CMBX.NA.6.AAA | 0.50 | Monthly | Deutsche Bank AG | 05/11/63 | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1 |  |  |  |
|  |  |  |  |  |  |  | $39060 | $9161 | $29899 |

---

#### OTC Credit Default Swaps — Sell Protection

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing<br>Rate<br>Received<br>by*<br> *the Fund* | *Payment<br>Frequency* | *Counterparty* | *Termination<br>Date* | *Credit<br>Rating<sup>(a)</sup>* | *Notional<br>Amount<br>(000)<sup>(b)</sup>* | *Notional<br>Amount<br>(000)<sup>(b)</sup>* | *Value* | *Upfront<br>Premium<br>Paid<br>(Received)* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  CMBX.NA.9.BBB- | 3.00% | Monthly | Deutsche Bank AG | 09/17/58 | Not Rated | USD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;220 | $(39059) | $(23297) | $(15762) |
|  CMBX.NA.10.BBB- | 3.00 | Monthly | Deutsche Bank AG | 11/17/59 | BBB- | USD | 1000 | (193479) | (74306) | (119173) |
|  CMBX.NA.10.BBB- | 3.00 | Monthly | Deutsche Bank AG | 11/17/59 | BBB- | USD | 500 | (96739) | (44816) | (51923) |
|  |  |  |  |  |  |  |  | $(329277) | $(142419) | $(186858) |

---

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

<sup>(b)</sup> 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<br>Premiums<br>Paid* | *Swap<br>Premiums<br>Received* | *Unrealized<br>Appreciation* | *Unrealized<br>Depreciation* |
| OTC Swaps | $9161 | $(142419) | $29899 | $(186858) |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **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<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on forward foreign currency exchange contracts | $— | $— | $— | $90899 | $— | $— | $90899 |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on OTC swaps;<br>Swap premiums paid |  | 39060 |  |  |  |  | 39060 |
|  | $— | $39060 | $— | $90899 | $— | $— | $129959 |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on OTC swaps;<br>Swap premiums received | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;329277 | $— | $— | $— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;329277 |

---

For the period ended March 31, 2025, the effect of derivative financial instruments in the Statements of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Forward foreign currency exchange contracts | $— | $— | $— | $132442 | $— | $— | $132442 |
|  Swaps |  | (102812) |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(102812) |
|  | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(102812) | $— | $132442 | $— | $— | $29630 |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** | **Net Change in Unrealized Appreciation (Depreciation) on:** | **Net Change in Unrealized Appreciation (Depreciation) on:** | **Net Change in Unrealized Appreciation (Depreciation) on:** | **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |
|  Forward foreign currency exchange contracts | $— | $— | $— | $(42806) | $— | $— | $(42806) |
|  Swaps |  | 106301 |  |  |  |  | 106301 |
|  | $— | $106301 | $— | $(42806) | $— | $— | $63495 |

---

#### Average Quarterly Balances of Outstanding Derivative Financial Instruments

---

| | |
|:---|:---|
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | $11046408.0 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | 69597.0 |
|  Credit default swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — buy protection | 220593.0 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — sell protection | 1720000.0 |

---

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 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | $90899 | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps — OTC<sup>(a)</sup> | 39060 | 329277 |
|  Total derivative assets and liabilities in the Statements of Assets and Liabilities | $129959 | $329277 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") |  |  |
|  Total derivative assets and liabilities subject to an MNA | $129959 | $329277 |

---

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

36 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **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<br>Assets<br>Subject to<br>an MNA by<br>Counterparty* | *Derivatives<br>Available<br>for Offset<sup>(a)</sup>* | *Non-<br>Cash<br>Collateral<br>Received<sup>(b)</sup>* | *Cash<br>Collateral<br>Received<sup>(b)</sup>* | *Net<br>Amount of<br>Derivative<br>Assets<sup>(c)(d)</sup>* |
|  Citigroup Global Markets, Inc. | $24856 | $— | $— | $— | $24856 |
|  Deutsche Bank AG | 90899 | (90899) |  |  |  |
|  Morgan Stanley & Co. International PLC | 14204 |  |  |  | 14204 |
|  | $129959 | $(90899) | $— | $— | $39060 |
| *Counterparty* | *Derivative<br>Liabilities<br>Subject to<br>an MNA by<br>Counterparty* | *Derivatives<br>Available<br>for Offset<sup>(a)</sup>* | *Non-<br>Cash<br>Collateral<br>Pledged<sup>(b)</sup>* | *Cash<br>Collateral<br>Pledged<sup>(b)</sup>* | *Net<br>Amount of<br>Derivative<br>Liabilities<sup>(e)</sup>* |
|  Deutsche Bank AG | $329277 | $(90899) | $— | $(238378) | $— |

---

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

<sup>(b)</sup> Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

<sup>(c)</sup> Net amount represents the net amount receivable from the counterparty in the event of default. 

<sup>(d)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

<sup>(e)</sup> 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 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $1716885868 | $26585124 | $1743470992 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds |  | 79396 |  | 79396 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Floating Rate Loan Interests |  | 1474650 | 9514138 | 10988788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities |  | 1764347280 | 2171704 | 1766518984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities |  | 12341031 |  | 12341031 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 84584022 |  |  | 84584022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unfunded Floating Rate Loan Interests<sup>(a)</sup> |  | 23606 |  | 23606 |
|  Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA Sale Commitments |  | (22045528) |  | (22045528) |
|  | $84584022 | $3473106303 | $38270966 | $3595961291 |
|  Derivative Financial Instruments<sup>(b)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | $— | $29899 | $— | $29899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | 90899 |  | 90899 |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts |  | (186858) |  | (186858) |
|  | $— | $(66060) | $— | $(66060) |

---

<sup>(a)</sup> Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

<sup>(b)</sup> 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.

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series A Portfolio** |

---

A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments 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<br>Securities* | *Corporate<br>Bonds* | *Floating Rate<br>Loan Interest* | *Non-Agency<br>Mortgage-Backed<br>Securities* | *Total* |
|  **Assets** |  |  |  |  |  |
|  Opening Balance, as of March 31, 2024 | $9304373 | $— <sup>(a)</sup> | $14990234 | $3559253 | $27853860 |
|  Transfers into Level 3 |  |  |  |  |  |
|  Transfers out of Level 3 |  |  |  | (857540) | (857540) |
|  Accrued discounts/premiums | (640) |  | 4494 | 65593 | 69447 |
|  Net realized gain (loss) | (32767) |  | (77538) |  | (110305) |
|  Net change in unrealized appreciation (depreciation)<sup>(b)(c)</sup> | 426118 |  | 96171 | (43609) | 478680 |
|  Purchases | 17592076 |  |  | 281579 | 17873655 |
|  Sales | (704036) |  | (5499223) | (833572) | (7036831) |
|  Closing Balance, as of March 31, 2025 | $26585124 | $— <sup>(a)</sup> | $9514138 | $2171704 | $38270966 |
|  Net change in unrealized appreciation (depreciation) on investments still held at March 31, 2025<sup>(c)</sup> | $426118 | $— | $96656 | $(43609) | $479165 |

---

<sup>(a)</sup> Rounds to less than $1. 

<sup>(b)</sup> Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

<sup>(c)</sup> Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at March 31, 2025 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.* 

38 2 0 2 5 B L A C K R O C K 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<br> March 31, 2025 | **BATS: Series C Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Corporate Bonds** |  |  |  |
| **Aerospace & Defense — 1.8%** |  |  |  |
|  Boeing Co. (The) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 06/15/46 | USD | 274 | $183684 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 03/01/48 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1843 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1258978 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 11/01/48 |  | 1279 | 900771 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 05/01/49 |  | 205 | 147752 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/01/50 |  | 3276 | 2296172 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.86%, 05/01/54 |  | 115 | 124912 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 08/01/59 |  | 449 | 305901 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.93%, 05/01/60 |  | 99 | 93125 |
|  Embraer Netherlands Finance BV,<br>5.98%, 02/11/35 |  | 890 | 902905 |
|  L3Harris Technologies, Inc.,<br>4.85%, 04/27/35 |  | 442 | 426731 |
|  Lockheed Martin Corp., 3.80%, 03/01/45 |  | 359 | 284770 |
|  Northrop Grumman Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.88%, 03/01/26 |  | 81 | 83637 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 05/01/50 |  | 141 | 133332 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 06/01/54 |  | 251 | 235089 |
|  RTX Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 05/15/45 |  | 409 | 335005 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 11/01/46 |  | 112 | 85458 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 04/15/47 |  | 103 | 85683 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 05/04/47 |  | 109 | 86519 |
|  |  |  | 7970424 |
| **Automobile Components — 0.4%** |  |  |  |
|  Aptiv Swiss Holdings Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 03/15/29 |  | 269 | 263890 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 09/13/29 |  | 536 | 528191 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 03/01/32 |  | 607 | 528900 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 09/13/34 |  | 553 | 522794 |
|  |  |  | 1843775 |
| **Automobiles — 0.8%** |  |  |  |
|  Daimler Truck Finance North America LLC, 3.65%, 04/07/27<sup>(a)</sup> |  | 941 | 923245 |
|  Ford Holdings LLC, 9.30%, 03/01/30 |  | 587 | 667008 |
|  Ford Motor Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.45%, 07/16/31 |  | 121 | 128251 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 02/12/32 |  | 427 | 351909 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 08/19/32 |  | 556 | 545161 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 01/15/43 |  | 851 | 645768 |
|  General Motors Co., 5.95%, 04/01/49 |  | 450 | 412249 |
|  |  |  | 3673591 |
| **Banks — 11.2%** |  |  |  |
|  Associated Banc-Corp, 6.46%, 08/29/30 |  | 1557 | 1575481 |
|  Bank of America Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.42%, 12/20/28 |  | 3724 | 3609021 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.51%, 01/24/36 |  | 4553 | 4633698 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.74%, 02/12/36 |  | 3267 | 3260758 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.68%, 06/19/41 |  | 116 | 82281 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.31%, 04/22/42 |  | 58 | 44094 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 01/23/49 |  | 291 | 226737 |
|  Bank of Ireland Group PLC,<br>6.25%, 09/16/26<sup>(a)</sup> |  | 1130 | 1137805 |
|  Barclays PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.84%, 09/10/28 |  | 1335 | 1336180 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.79%, 02/25/36 |  | 1840 | 1850046 |
|  Citigroup, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.98%, 03/20/30 |  | 333 | 322817 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.02%, 01/24/36 |  | 2656 | 2681367 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 01/30/42 |  | 196 | 200645 |
|  Commonwealth Bank of Australia,<br>5.93%, 03/14/46<sup>(a)</sup>  |  | 575 | 569152 |
|  Fifth Third Bank N.A., 4.97%, 01/28/28 |  | 625 | 628553 |
|  First Horizon Corp., 5.51%, 03/07/31 |  | 378 | 379905 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Banks (continued)** |  |  |  |
|  FNB Corp., 5.72%, 12/11/30 | USD | 912 | $911062 |
|  HSBC Holdings PLC, 5.29%, 11/19/30 |  | 837 | 845671 |
|  Huntington National Bank (The),<br>4.87%, 04/12/28 |  | 1080 | 1084308 |
|  JPMorgan Chase & Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.92%, 01/24/29 |  | 650 | 656181 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/24/36 |  | 1883 | 1923561 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.53%, 11/29/45 |  | 4377 | 4333548 |
|  KeyBank N.A., 4.90%, 08/08/32 |  | 795 | 759830 |
|  KeyCorp, 6.40%, 03/06/35 |  | 3404 | 3596055 |
|  Lloyds Banking Group PLC, 4.58%, 12/10/25 |  | 834 | 832395 |
|  M&T Bank Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.83%, 01/16/29 |  | 1318 | 1318622 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.39%, 01/16/36 |  | 1545 | 1515236 |
|  National Australia Bank Ltd.,<br>5.90%, 01/14/36<sup>(a)</sup> |  | 1370 | 1390192 |
|  PNC Financial Services Group, Inc. (The) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.88%, 10/20/34 |  | 277 | 306264 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.68%, 01/22/35 |  | 359 | 367452 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 07/23/35 |  | 656 | 658161 |
|  Santander UK Group Holdings PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.69%, 04/15/31 |  | 497 | 507327 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 03/15/32 |  | 561 | 493727 |
|  Sumitomo Mitsui Financial Group, Inc., 1.47%, 07/08/25 |  | 547 | 542652 |
|  U.S. Bancorp, 5.42%, 02/12/36 |  | 1133 | 1139803 |
|  Wells Fargo & Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/23/35 |  | 818 | 829126 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 11/04/44 |  | 191 | 162079 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 11/17/45 |  | 193 | 167291 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 06/14/46 |  | 263 | 212302 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.01%, 04/04/51 |  | 291 | 261927 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.61%, 04/25/53 |  | 428 | 363164 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series W, 4.90%, 01/24/28 |  | 530 | 532988 |
|  Wells Fargo Bank N.A., 5.25%, 12/11/26 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1065 | 1080117 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;49329581 |
| **Beverages — 0.1%** |  |  |  |
|  Anheuser-Busch InBev Worldwide, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 01/23/39 |  | 279 | 283350 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 06/01/50 |  | 98 | 86527 |
|  |  |  | 369877 |
| **Biotechnology — 1.0%** |  |  |  |
|  AbbVie, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 05/14/45 |  | 852 | 769469 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 05/14/46 |  | 165 | 143371 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 11/21/49 |  | 866 | 717458 |
|  Amgen, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.56%, 06/15/48 |  | 767 | 645922 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 02/21/50 |  | 332 | 232385 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.66%, 06/15/51 |  | 138 | 117908 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/15/52 |  | 171 | 110355 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 02/22/52 |  | 358 | 281506 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 03/01/53 |  | 319 | 278557 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 03/02/53 |  | 121 | 118692 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.77%, 09/01/53 |  | 445 | 264657 |
|  Gilead Sciences, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 02/01/45 |  | 100 | 87188 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 03/01/46 |  | 223 | 200592 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 03/01/47 |  | 106 | 87143 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 10/01/50 |  | 287 | 180100 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 10/15/53 |  | 86 | 85592 |
|  |  |  | 4320895 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series C Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Broadline Retail — 0.2%** |  |  |  |
|  Alibaba Group Holding Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 12/06/47 | USD | 200 | $162900 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 02/09/51 |  | 300 | 197700 |
|  Amazon.com, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 08/22/47 |  | 390 | 324376 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 08/22/57 |  | 52 | 42807 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 06/03/60 |  | 203 | 118005 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 05/12/61 |  | 279 | 184169 |
|  |  |  | 1029957 |
| **Capital Markets — 8.9%** |  |  |  |
|  Apollo Debt Solutions BDC, 6.55%, 03/15/32<sup>(a)</sup> |  | 1117 | 1131788 |
|  Ares Capital Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 07/15/29 |  | 533 | 541649 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 11/15/31 |  | 659 | 570095 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 03/08/32 |  | 1120 | 1113273 |
|  Ares Strategic Income Fund |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 03/15/28<sup>(a)</sup> |  | 1653 | 1653038 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.20%, 03/21/32<sup>(a)</sup> |  | 1355 | 1347322 |
|  Bain Capital Specialty Finance, Inc., 5.95%, 03/15/30 |  | 425 | 417698 |
|  Blackstone Secured Lending Fund, 5.30%, 06/30/30 |  | 181 | 177796 |
|  Blue Owl Capital Corp., 5.95%, 03/15/29 |  | 1160 | 1163009 |
|  Blue Owl Credit Income Corp., 5.80%, 03/15/30<sup>(a)</sup> |  | 93 | 91194 |
|  Deutsche Bank AG |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.37%, 01/10/29 |  | 1251 | 1264816 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.74%, 01/07/33 |  | 200 | 175746 |
|  Goldman Sachs Group, Inc. (The) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.73%, 04/25/30 |  | 1765 | 1820760 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.21%, 01/28/31 |  | 2703 | 2739770 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.99%, 01/27/32 |  | 939 | 795119 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.62%, 04/22/32 |  | 355 | 309966 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 07/21/32 |  | 1189 | 1018369 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 10/21/32 |  | 265 | 229029 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 02/24/33 |  | 2866 | 2525947 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.56%, 11/19/45 |  | 130 | 126673 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.73%, 01/28/56 |  | 402 | 400391 |
|  Intercontinental Exchange, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/15/31 |  | 527 | 539894 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 03/15/33 |  | 138 | 135274 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/21/48 |  | 104 | 85925 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 06/15/52 |  | 95 | 85724 |
|  Morgan Stanley |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.77%, 01/24/29 |  | 5543 | 5421770 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.23%, 01/15/31 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9863 | 10023464 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.52%, 11/19/55 |  | 116 | 113320 |
|  Oaktree Specialty Lending Corp., 6.34%, 02/27/30 |  | 575 | 572690 |
|  Sixth Street Lending Partners, 6.13%, 07/15/30<sup>(a)</sup> |  | 208 | 209348 |
|  Sixth Street Specialty Lending, Inc., 5.63%, 08/15/30 |  | 1165 | 1155066 |
|  UBS AG, 4.86%, 01/10/28 |  | 575 | 577631 |
|  UBS Group AG |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 05/15/45 |  | 368 | 331327 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 09/06/45<sup>(a)</sup> |  | 200 | 191026 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;39055907 |
|  **Chemicals — 1.8%** |  |  |  |
|  Celanese U.S. Holdings LLC, 6.95%, 11/15/33 |  | 147 | 153625 |
|  DuPont de Nemours, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.73%, 11/15/28 |  | 3110 | 3122254 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.32%, 11/15/38 |  | 610 | 629032 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.42%, 11/15/48 |  | 81 | 81643 |
|  Eastman Chemical Co.,<br>4.65%, 10/15/44 |  | 99 | 84183 |
|  LYB International Finance III LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 05/15/33 |  | 137 | 139567 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 03/01/34 |  | 448 | 444961 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Chemicals (continued)** |  |  |  |
|  Olin Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 08/01/29 | USD | 2416 | $2351144 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/01/30 |  | 749 | 705334 |
|  |  |  | 7711743 |
| **Communications Equipment — 0.4%** | **Communications Equipment — 0.4%** |  |  |
|  Cisco Systems, Inc., 5.30%, 02/26/54 |  | 71 | 69500 |
|  Motorola Solutions, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 05/24/31 |  | 775 | 686551 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 06/01/32 |  | 163 | 168471 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 04/15/34 |  | 956 | 967177 |
|  |  |  | 1891699 |
| **Construction Materials — 0.1%** |  |  |  |
|  CRH America Finance, Inc.,<br>5.88%, 01/09/55 |  | 200 | 202534 |
| **Consumer Finance — 5.0%** |  |  |  |
|  Ally Financial, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 11/20/25 |  | 959 | 961841 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 11/02/28 |  | 257 | 232858 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.54%, 01/17/31 |  | 951 | 946189 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 11/01/31 |  | 1327 | 1476202 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.65%, 01/17/40 |  | 230 | 222557 |
|  American Express Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.04%, 07/26/28 |  | 255 | 258209 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.44%, 01/30/36 |  | 431 | 435632 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 12/03/42 |  | 242 | 204730 |
|  Capital One Financial Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.27%, 05/10/33 |  | 881 | 867428 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 07/26/35 |  | 559 | 564381 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.18%, 01/30/36 |  | 390 | 389101 |
|  Ford Motor Credit Co. LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.39%, 01/08/26 |  | 397 | 394747 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 06/10/26 |  | 233 | 236604 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 08/10/26 |  | 1686 | 1625856 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 05/17/27 |  | 748 | 751922 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 08/17/27 |  | 545 | 526494 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 11/05/31 |  | 325 | 318407 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.53%, 03/19/32 |  | 2209 | 2207817 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 02/07/35 |  | 2204 | 2162922 |
|  General Motors Financial Co., Inc., 1.50%, 06/10/26 |  | 962 | 924927 |
|  Hyundai Capital America,<br>5.80%, 06/26/25<sup>(a)</sup> |  | 849 | 850747 |
|  Synchrony Financial |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.94%, 08/02/30 |  | 1935 | 1962223 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 10/28/31 |  | 983 | 831314 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.25%, 02/02/33 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1659 | 1707775 |
|  Toyota Motor Credit Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 01/09/30 |  | 479 | 486210 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 11/20/30 |  | 581 | 604333 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;22151426 |
|  **Consumer Staples Distribution & Retail — 0.1%** | **Consumer Staples Distribution & Retail — 0.1%** | **Consumer Staples Distribution & Retail — 0.1%** |  |
|  CVS Health Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 06/01/26 |  | 89 | 87212 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 07/20/45 |  | 134 | 116827 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 04/01/50 |  | 113 | 84538 |
|  Walmart, Inc., 4.88%, 07/08/40 |  | 176 | 173476 |
|  |  |  | 462053 |
| **Containers & Packaging — 1.3%** |  |  |  |
|  Amcor Flexibles North America, Inc.,<br>5.50%, 03/17/35<sup>(a)</sup> |  | 1070 | 1073619 |
|  Berry Global, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.57%, 01/15/26 |  | 2843 | 2771110 |

---

40 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series C Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Containers & Packaging (continued)** | **Containers & Packaging (continued)** | **Containers & Packaging (continued)** | **Containers & Packaging (continued)** |
|  Berry Global, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 06/15/31 | USD | 1718 | $1784940 |
|  WRKCo, Inc.,<br>3.38%, 09/15/27 |  | 287 | 278473 |
|  |  |  | 5908142 |
| **Diversified Consumer Services — 0.2%** |  |  |  |
|  United Rentals North America, Inc.,<br>6.00%, 12/15/29<sup>(a)</sup> |  | 759 | 771291 |
| **Diversified REITs — 2.7%** |  |  |  |
|  American Tower Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 01/15/30 |  | 1177 | 1082674 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/31/30 |  | 100 | 100818 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 10/15/30 |  | 1040 | 889615 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.30%, 09/15/31 |  | 648 | 554097 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 03/15/32 |  | 99 | 93440 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 01/31/35 |  | 1365 | 1377303 |
|  Crown Castle, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 02/15/26 |  | 711 | 708933 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.05%, 07/15/26 |  | 2095 | 1996981 |
|  Digital Realty Trust LP, 1.88%, 11/15/29<sup>(a)</sup> |  | 300 | 297090 |
|  Equinix, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 07/15/50 |  | 136 | 85834 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 09/15/51 |  | 471 | 291566 |
|  GLP Capital LP/GLP Financing II, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 01/15/30 |  | 303 | 286425 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 09/15/54 |  | 462 | 454041 |
|  VICI Properties LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 11/15/31 |  | 2529 | 2494003 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 05/15/32 |  | 175 | 171278 |
| &nbsp;&nbsp;&nbsp;&nbsp; 04/01/35<sup>(b)</sup> |  | 605 | 601577 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 05/15/52 |  | 498 | 454191 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;11939866 |
| **Diversified Telecommunication Services — 0.6%** | **Diversified Telecommunication Services — 0.6%** | **Diversified Telecommunication Services — 0.6%** |  |
|  AT&T Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 09/15/55 |  | 260 | 176203 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 03/01/57 |  | 205 | 198089 |
|  Sprint Capital Corp., 6.88%, 11/15/28 |  | 1929 | 2059361 |
|  |  |  | 2433653 |
| **Electric Utilities — 8.8%** | **Electric Utilities — 8.8%** | **Electric Utilities — 8.8%** |  |
|  AEP Transmission Co. LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 12/01/47 |  | 155 | 117336 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series N, 2.75%, 08/15/51 |  | 310 | 188432 |
|  AES Corp. (The) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 07/15/25<sup>(a)</sup> |  | 862 | 856652 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 01/15/26 |  | 354 | 344281 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 01/15/31 |  | 1219 | 1042040 |
|  Alabama Power Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.94%, 09/01/32 |  | 91 | 85720 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 02/15/33 |  | 1105 | 1147097 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 10/01/49 |  | 422 | 298897 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/15/52 |  | 280 | 179962 |
|  Baltimore Gas & Electric Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 08/15/47 |  | 232 | 175536 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/15/48 |  | 386 | 313625 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 09/15/49 |  | 228 | 152074 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 06/01/52 |  | 202 | 170193 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 06/01/53 |  | 180 | 171213 |
|  Berkshire Hathaway Energy Co.,<br>2.85%, 05/15/51 |  | 476 | 291991 |
|  Colbun SA, 3.15%, 01/19/32<sup>(a)</sup> |  | 615 | 533912 |
|  Commonwealth Edison Co., 4.00%, 03/01/48 |  | 289 | 226598 |
|  Constellation Energy Generation LLC,<br>5.75%, 03/15/54 |  | 147 | 141425 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Electric Utilities (continued)** |  |  |  |
|  DTE Electric Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 06/01/46 | USD | 112 | $86319 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 03/01/49 |  | 224 | 177133 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 4.00%, 04/01/43 |  | 100 | 83264 |
|  Duke Energy Carolinas LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 11/15/28 |  | 1278 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1259627 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 08/15/29 |  | 227 | 208368 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 02/01/30 |  | 865 | 786691 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 12/01/47 |  | 184 | 137960 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 04/15/51 |  | 117 | 81802 |
|  Duke Energy Florida LLC, 4.20%, 07/15/48 |  | 252 | 202765 |
|  Duke Energy Progress LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 03/15/29 |  | 1163 | 1120341 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 08/15/45 |  | 122 | 100381 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 10/15/46 |  | 250 | 187632 |
|  Edison International, 6.25%, 03/15/30 |  | 365 | 369667 |
|  Enel Finance International NV |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.05%, 10/14/25<sup>(a)</sup> |  | 550 | 555137 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.63%, 07/12/26<sup>(a)</sup> |  | 969 | 932999 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 06/15/27<sup>(a)</sup> |  | 200 | 199832 |
|  Eversource Energy, 3.45%, 01/15/50 |  | 174 | 120374 |
|  FirstEnergy Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 03/01/30 |  | 445 | 400735 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.90%, 07/15/27 |  | 782 | 768921 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 4.85%, 07/15/47 |  | 289 | 247137 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series C, 3.40%, 03/01/50 |  | 959 | 651301 |
|  FirstEnergy Pennsylvania Electric Co.,<br>3.25%, 03/15/28<sup>(a)</sup> |  | 384 | 370204 |
|  FirstEnergy Transmission LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/15/35 |  | 552 | 541079 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 04/01/49<sup>(a)</sup> |  | 175 | 149759 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 04/01/49<sup>(c)</sup> |  | 158 | 135211 |
|  Florida Power & Light Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 02/01/38 |  | 77 | 82142 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 10/01/44 |  | 205 | 169073 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 12/01/47 |  | 113 | 85978 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 10/01/49 |  | 126 | 85662 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 12/04/51 |  | 146 | 92566 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 06/15/54 |  | 86 | 86358 |
|  Georgia Power Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 05/15/32 |  | 532 | 525884 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 05/17/33 |  | 1330 | 1320826 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 03/15/35 |  | 388 | 390591 |
|  Jersey Central Power & Light Co.,<br>5.10%, 01/15/35<sup>(a)</sup>  |  | 250 | 247158 |
|  MidAmerican Energy Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 08/01/47 |  | 145 | 113719 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 08/01/48 |  | 154 | 115144 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 07/15/49 |  | 263 | 214291 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.15%, 04/15/50 |  | 296 | 198601 |
|  Nevada Power Co., Series GG, 5.90%, 05/01/53 |  | 171 | 171147 |
|  NextEra Energy Capital Holdings, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 06/15/28 |  | 293 | 270308 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 03/15/30 |  | 190 | 192504 |
|  Northern States Power Co., 2.60%, 06/01/51 |  | 366 | 218620 |
|  NRG Energy, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 12/02/27<sup>(a)</sup> |  | 130 | 121930 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 06/15/29<sup>(a)</sup> |  | 390 | 378713 |
|  Ohio Power Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 04/01/48 |  | 506 | 396538 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 06/01/49 |  | 270 | 207100 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series D, 6.60%, 03/01/33 |  | 194 | 208829 |
|  Oklahoma Gas & Electric Co., 04/01/55<sup>(b)</sup> |  | 160 | 159524 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series C Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Electric Utilities (continued)** |  |  |  |
|  Pacific Gas & Electric Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 02/01/31 | USD | 810 | $696281 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 06/01/31 |  | 320 | 284726 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 12/01/46 |  | 446 | 328695 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 12/01/47 |  | 153 | 111847 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 07/01/50 |  | 669 | 558637 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 03/01/52 |  | 1859 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1603640 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 01/15/53 |  | 92 | 96077 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.70%, 04/01/53 |  | 335 | 348584 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 10/01/54 |  | 237 | 224468 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.15%, 03/01/55 |  | 257 | 251545 |
|  PECO Energy Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 08/15/52 |  | 205 | 168489 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 09/15/54 |  | 147 | 139241 |
|  PPL Capital Funding, Inc., 5.25%, 09/01/34 |  | 555 | 552252 |
|  Public Service Electric & Gas Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 12/01/36 |  | 176 | 182407 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 05/01/49 |  | 111 | 86422 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 08/01/49 |  | 199 | 136817 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/01/51 |  | 390 | 255148 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 03/15/53 |  | 91 | 85530 |
|  San Diego Gas & Electric Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 03/15/52 |  | 179 | 129038 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series RRR, 3.75%, 06/01/47 |  | 108 | 80619 |
|  Southern California Edison Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 09/06/26 |  | 735 | 731353 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 02/01/32 |  | 191 | 162625 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 02/01/50 |  | 167 | 115800 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 20A, 2.95%, 02/01/51 |  | 1533 | 929875 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 3.70%, 08/01/25 |  | 87 | 86697 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 5.45%, 06/01/52 |  | 165 | 148251 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series H, 3.65%, 06/01/51 |  | 207 | 141827 |
|  Southern Co. (The) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 06/15/33 |  | 2397 | 2402624 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 07/01/36 |  | 482 | 437458 |
|  System Energy Resources, Inc.,<br>5.30%, 12/15/34 |  | 281 | 277793 |
|  Tampa Electric Co., 5.15%, 03/01/35 |  | 411 | 407836 |
|  Vistra Operations Co. LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 05/13/25<sup>(a)</sup> |  | 2410 | 2407499 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.95%, 10/15/33<sup>(a)</sup> |  | 246 | 264242 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 04/15/34<sup>(a)</sup> |  | 136 | 137435 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 12/30/34<sup>(a)</sup> |  | 1113 | 1107192 |
|  Wisconsin Electric Power Co., 5.05%, 10/01/54 |  | 181 | 166388 |
|  |  |  | 38610187 |
| **Electrical Equipment — 0.3%** |  |  |  |
|  NXP BV/NXP Funding LLC/NXP U.S.A., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 05/01/30 |  | 196 | 182670 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 05/11/31 |  | 1034 | 900717 |
|  Otis Worldwide Corp., 5.25%, 08/16/28 |  | 282 | 288201 |
|  |  |  | 1371588 |
| **Financial Services — 1.7%** |  |  |  |
|  Andiron Financing LLC, (1-mo. CME Term SOFR + 3.00%), 7.31%, 01/21/30<sup>(d)(e)</sup> |  | 76 | 76069 |
|  AT&T Reign II Multi-Property Lease-Backed<br>Pass- Through Trust, 6.09%, 12/15/44<sup>(a)</sup> |  | 1935 | 1971942 |
|  Aviation Capital Group LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 01/30/26<sup>(a)</sup> |  | 190 | 185550 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 09/20/26<sup>(a)</sup> |  | 1090 | 1046865 |
|  Glencore Funding LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 09/01/30<sup>(a)</sup> |  | 351 | 308877 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 05/08/33<sup>(a)</sup> |  | 803 | 820884 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 04/04/34<sup>(a)</sup> |  | 268 | 269123 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Financial Services (continued)** |  |  |  |
|  Glencore Funding LLC<br>04/01/55<sup>(a)(b)</sup> | USD | 191 | $192180 |
|  Nasdaq, Inc., 5.55%, 02/15/34 |  | 333 | 341503 |
|  TER Finance Jersey Ltd., Series 22,<br>0.00%, 10/02/25<sup>(a)(f)</sup> |  | 2226 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2145846 |
|  |  |  | 7358839 |
| **Food Products — 0.7%** |  |  |  |
|  Kraft Heinz Foods Co., 4.88%, 10/01/49 |  | 250 | 216379 |
|  Mars, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 03/01/32<sup>(a)</sup> |  | 685 | 687961 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 03/01/35<sup>(a)</sup> |  | 1020 | 1025107 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 05/01/55<sup>(a)</sup> |  | 501 | 500577 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 05/01/65<sup>(a)</sup> |  | 56 | 56135 |
|  Nestle Holdings, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 09/24/38<sup>(a)</sup> |  | 361 | 320961 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/24/48<sup>(a)</sup> |  | 184 | 149123 |
|  |  |  | 2956243 |
| **Gas Utilities — 0.1%** |  |  |  |
|  Atmos Energy Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 02/15/52 |  | 173 | 106874 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 10/15/52 |  | 115 | 115511 |
|  |  |  | 222385 |
| **Ground Transportation — 1.5%** |  |  |  |
|  Burlington Northern Santa Fe LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.20%, 08/15/36 |  | 127 | 139510 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.15%, 05/01/37 |  | 144 | 156291 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 05/01/40 |  | 122 | 126897 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 09/15/41 |  | 377 | 353950 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 03/15/42 |  | 66 | 58118 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 09/01/42 |  | 114 | 99560 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 03/15/43 |  | 137 | 120515 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 04/01/44 |  | 158 | 146842 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 09/01/44 |  | 103 | 91271 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 04/01/45 |  | 103 | 85717 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 08/01/46 |  | 110 | 87705 |
|  Canadian National Railway Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 08/05/32 |  | 196 | 183051 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 01/20/49 |  | 100 | 85878 |
|  CSX Corp., 4.10%, 11/15/32 |  | 346 | 330507 |
|  Norfolk Southern Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 02/28/48 |  | 216 | 173638 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 08/25/51 |  | 133 | 83244 |
|  Penske Truck Leasing Co. LP/PTL Finance Corp., 6.05%, 08/01/28<sup>(a)</sup> |  | 1806 | 1874536 |
|  Ryder System, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 03/01/27 |  | 565 | 546601 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 03/15/27 |  | 344 | 348489 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 06/15/27 |  | 246 | 244375 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/01/28 |  | 213 | 216745 |
|  Uber Technologies, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 09/15/34 |  | 163 | 158307 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 09/15/54 |  | 683 | 637993 |
|  Union Pacific Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 02/05/70 |  | 126 | 86078 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 02/14/72 |  | 180 | 126206 |
|  |  |  | 6562024 |
| **Health Care Equipment & Supplies — 1.5%** |  |  |  |
|  Abbott Laboratories, 5.30%, 05/27/40 |  | 54 | 55157 |
|  Baxter International, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 04/01/30 |  | 336 | 323449 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.73%, 04/01/31 |  | 303 | 253208 |

---

42 2 0 2 5 B L A C K R O C K 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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series C Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Health Care Equipment & Supplies (continued)** | **Health Care Equipment & Supplies (continued)** |  |  |
|  Baxter International, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.54%, 02/01/32 | USD | 103 | $88339 |
|  Becton Dickinson & Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.69%, 02/13/28 |  | 636 | 638397 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.87%, 02/08/29 |  | 1064 | 1071774 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.08%, 06/07/29 |  | 176 | 178623 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.82%, 05/20/30 |  | 115 | 104947 |
|  Solventum Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 03/23/34 |  | 2148 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2177352 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 04/30/54 |  | 1736 | 1717061 |
|  |  |  | 6608307 |
| **Health Care Providers & Services — 3.1%** |  |  |  |
|  Aetna, Inc., 3.88%, 08/15/47 |  | 354 | 257213 |
|  Banner Health |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.91%, 01/01/42 |  | 212 | 154744 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020, 3.18%, 01/01/50 |  | 116 | 79964 |
|  Centene Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 02/15/30 |  | 1737 | 1570937 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 10/15/30 |  | 707 | 618363 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 03/01/31 |  | 858 | 723366 |
|  CommonSpirit Health |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.78%, 10/01/30 |  | 354 | 318335 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.21%, 12/01/31 |  | 86 | 86525 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.82%, 10/01/49 |  | 182 | 135838 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.91%, 10/01/50 |  | 292 | 215559 |
|  Elevance Health, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 02/15/35 |  | 1109 | 1112585 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 01/15/36 |  | 229 | 237648 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 02/15/53 |  | 219 | 196464 |
|  HCA, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 04/01/31 |  | 361 | 366685 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 07/15/31 |  | 369 | 313944 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 03/01/35 |  | 1682 | 1697139 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.90%, 06/01/53 |  | 612 | 584889 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.20%, 03/01/55 |  | 1130 | 1121928 |
|  Hoag Memorial Hospital Presbyterian,<br>3.80%, 07/15/52 |  | 251 | 192067 |
|  Humana, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 12/01/42 |  | 103 | 85935 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 03/15/47 |  | 139 | 114505 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 08/15/49 |  | 118 | 85793 |
|  Memorial Health Services, 3.45%, 11/01/49 |  | 191 | 138193 |
|  Mount Nittany Medical Center Obligated Group, | Mount Nittany Medical Center Obligated Group, | Mount Nittany Medical Center Obligated Group, |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022, 3.80%, 11/15/52 |  | 140 | 104218 |
|  Nationwide Children's Hospital, Inc.,<br>4.56%, 11/01/52 |  | 151 | 132021 |
|  Sutter Health |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018, 4.09%, 08/15/48 |  | 33 | 26593 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 20A, 2.29%, 08/15/30 |  | 398 | 353184 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 20A, 3.36%, 08/15/50 |  | 177 | 123886 |
|  UnitedHealth Group, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 08/15/39 |  | 123 | 100089 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 10/15/40 |  | 82 | 84118 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 02/15/41 |  | 97 | 100936 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 11/15/41 |  | 117 | 104725 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 10/15/42 |  | 103 | 84391 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 07/15/44 |  | 99 | 97521 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 01/15/47 |  | 310 | 252541 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 04/15/47 |  | 249 | 205227 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 10/15/47 |  | 460 | 347289 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 06/15/48 |  | 310 | 251584 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 12/15/48 |  | 107 | 89338 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* | *Value* |
|  **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** | **Health Care Providers & Services (continued)** |  |  |
|  UnitedHealth Group, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 07/15/54 | USD | 59 | $| 57915 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 08/15/59 |  | 801 |  | 573967 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;13498162 |
| **Health Care REITs — 0.8%** |  |  |  |  |
|  DOC DR LLC, 2.63%, 11/01/31 |  | 182 |  | 157481 |
|  Healthpeak OP LLC |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 01/15/30 |  | 90 |  | 82887 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 01/15/31 |  | 190 |  | 170035 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 12/15/32 |  | 126 |  | 126531 |
|  Ventas Realty LP, 5.00%, 01/15/35 |  | 1365 |  | 1320140 |
|  Welltower OP LLC |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 01/15/29 |  | 93 |  | 84490 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 03/15/29 |  | 87 |  | 85236 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 01/15/30 |  | 301 |  | 279608 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 06/01/31 |  | 567 |  | 503978 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 01/15/32 |  | 154 |  | 134145 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 06/15/32 |  | 551 |  | 512761 |
|  |  |  |  | 3457292 |
| **Independent Power and Renewable Electricity Producers — 0.3%** | **Independent Power and Renewable Electricity Producers — 0.3%** | **Independent Power and Renewable Electricity Producers — 0.3%** | **Independent Power and Renewable Electricity Producers — 0.3%** | **Independent Power and Renewable Electricity Producers — 0.3%** |
|  Algonquin Power & Utilities Corp., 5.37%, 06/15/26<sup>(g)</sup>  | Algonquin Power & Utilities Corp., 5.37%, 06/15/26<sup>(g)</sup>  | 1487 |  | 1495562 |
| **Industrial Conglomerates — 1.1%** |  |  |  |  |
|  3M Co. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 04/15/30 |  | 187 |  | 174315 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 03/15/35 |  | 1992 |  | 1991355 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 03/15/37 |  | 113 |  | 118204 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/14/48 |  | 103 |  | 81860 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 08/26/49 |  | 140 |  | 96284 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/15/50 |  | 266 |  | 197872 |
|  Honeywell International, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 02/01/30 |  | 728 |  | 731929 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 09/01/31 |  | 727 |  | 738845 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 06/01/50 |  | 406 |  | 258374 |
|  John Deere Capital Corp., 4.20%, 07/15/27 |  | 515 |  | 515363 |
|  |  |  |  | 4904401 |
| **Industrial REITs — 0.1%** |  |  |  |  |
|  Prologis LP, 1.75%, 07/01/30 |  | 588 |  | 504486 |
| **Insurance — 0.7%** |  |  |  |  |
|  AEGON Funding Co. LLC, 5.50%, 04/16/27<sup>(a)</sup> |  | 1807 |  | 1831708 |
|  Aon Corp./Aon Global Holdings PLC,<br>3.90%, 02/28/52 |  | 113 |  | 83722 |
|  Aon Global Ltd. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 06/14/44 |  | 98 |  | 84467 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 05/15/45 |  | 129 |  | 112894 |
|  Aon North America, Inc., 5.75%, 03/01/54 |  | 88 |  | 86786 |
|  Meiji Yasuda Life Insurance Co.,<br>6.10%, 06/11/55<sup>(a)</sup> |  | 366 |  | 364713 |
|  MetLife, Inc., Series G, 6.35%, 03/15/55 |  | 290 |  | 290569 |
|  Swiss RE Subordinated Finance PLC, 04/01/46<sup>(a)(b)</sup> |  | 400 |  | 400333 |
|  |  |  |  | 3255192 |
| **Interactive Media & Services — 0.7%** |  |  |  |  |
|  Meta Platforms, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 08/15/52 |  | 562 |  | 478471 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 05/15/53 |  | 360 |  | 362927 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 08/15/62 |  | 2688 |  | 2303831 |
|  |  |  |  | 3145229 |
| **IT Services — 2.4%** |  |  |  |  |
|  Fidelity National Information Services, Inc., 3.10%, 03/01/41 |  | 600 |  | 438591 |

---

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

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series C Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **IT Services (continued)** |  |  |  |
|  Fiserv, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 03/02/33 | USD | 240 | $246619 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 08/21/33 |  | 101 | 103979 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 03/15/34 |  | 235 | 238227 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 08/12/34 |  | 301 | 298546 |
|  Foundry JV Holdco LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/25/31<sup>(a)</sup> |  | 625 | 635065 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.15%, 01/25/32<sup>(a)</sup> |  | 824 | 856643 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 01/25/34<sup>(a)</sup> |  | 1216 | 1218890 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 01/25/36<sup>(a)</sup> |  | 2827 | 2894262 |
|  Global Payments, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 03/01/26 |  | 306 | 296349 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 04/01/26 |  | 1510 | 1510379 |
|  International Business Machines Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.43%, 02/09/52 |  | 332 | 229272 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 07/27/52 |  | 353 | 314315 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 02/10/55 |  | 206 | 204317 |
|  Mastercard, Inc., 4.10%, 01/15/28 |  | 868 | 866313 |
|  PayPal Holdings, Inc., 5.10%, 04/01/35 |  | 345 | 343117 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10694884 |
| **Life Sciences Tools & Services — 0.3%** |  |  |  |
|  Agilent Technologies, Inc., 4.20%, 09/09/27 |  | 1231 | 1223809 |
| **Machinery — 0.3%** |  |  |  |
|  Ingersoll Rand, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 08/14/33 |  | 525 | 541848 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 06/15/34 |  | 749 | 760075 |
|  |  |  | 1301923 |
| **Media — 2.9%** |  |  |  |
|  Charter Communications Operating LLC/Charter Communications Operating Capital |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 05/01/47 |  | 121 | 100258 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 04/01/48 |  | 206 | 177667 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 07/01/49 |  | 654 | 519076 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 03/01/50 |  | 717 | 540570 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/01/51 |  | 1609 | 1014671 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 06/01/52 |  | 2274 | 1470431 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 04/01/53 |  | 228 | 184247 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 04/01/61 |  | 679 | 412397 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 12/01/61 |  | 4990 | 3313477 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 06/30/62 |  | 1637 | 1005753 |
|  Comcast Corp.<br>|  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 08/15/45 |  | 721 | 624328 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 07/15/46 |  | 121 | 86589 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 08/15/47 |  | 792 | 618133 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.97%, 11/01/47 |  | 113 | 87249 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 10/15/48 |  | 101 | 87499 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/01/49 |  | 370 | 283857 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 01/15/51 |  | 497 | 299582 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.45%, 08/15/52 |  | 167 | 91564 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 11/01/52 |  | 112 | 85095 |
|  Cox Communications, Inc., 2.95%, 10/01/50<sup>(a)</sup> |  | 187 | 107223 |
|  Paramount Global |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 10/04/26 |  | 177 | 173204 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 01/15/27 |  | 668 | 646292 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 02/15/28 |  | 48 | 46104 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 09/01/43 |  | 211 | 184754 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 08/15/44 |  | 112 | 86620 |
|  Walt Disney Co. (The) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 05/13/40 |  | 108 | 87635 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Media (continued)** |  |  |  |
|  Walt Disney Co. (The)<br>2.75%, 09/01/49 | USD | 76 | $47767 |
|  Warnermedia Holdings, Inc., 5.39%, 03/15/62 |  | 181 | 131025 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12513067 |
| **Metals & Mining — 1.1%** |  |  |  |
|  Anglo American Capital PLC, 5.75%, 04/05/34<sup>(a)</sup> |  | 882 | 891693 |
|  Freeport-McMoRan, Inc., 5.40%, 11/14/34 |  | 1170 | 1170197 |
|  Glencore Canada Corp., 6.20%, 06/15/35 |  | 148 | 152164 |
|  Rio Tinto Finance U.S.A. PLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 03/14/35 |  | 329 | 331527 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 03/14/55 |  | 179 | 179297 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 03/14/65 |  | 283 | 286222 |
|  Southern Copper Corp., 5.25%, 11/08/42 |  | 205 | 189727 |
|  Steel Dynamics, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 10/15/50 |  | 351 | 231217 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 05/15/55 |  | 395 | 382704 |
|  Vale Overseas Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 07/08/30 |  | 697 | 646230 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.40%, 06/28/54 |  | 473 | 466141 |
|  |  |  | 4927119 |
| **Multi-Utilities — 0.6%** |  |  |  |
|  CenterPoint Energy Houston Electric LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 04/01/33 |  | 177 | 175775 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 03/01/34 |  | 91 | 90966 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 03/01/35 |  | 179 | 177715 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series AH, 3.60%, 03/01/52 |  | 153 | 110469 |
|  CenterPoint Energy Resources Corp.,<br>4.40%, 07/01/32 |  | 86 | 82373 |
|  CMS Energy Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.95%, 02/15/27 |  | 171 | 165969 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 03/31/43 |  | 101 | 87511 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 03/01/44 |  | 95 | 85159 |
|  Consumers Energy Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.60%, 05/30/29 |  | 132 | 132273 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 07/15/47 |  | 234 | 187246 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 05/15/48 |  | 105 | 84760 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 08/15/50 |  | 244 | 164432 |
|  NiSource, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 06/15/41 |  | 191 | 193778 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 02/01/42 |  | 115 | 113210 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 02/01/45 |  | 518 | 504291 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.85%, 04/01/55 |  | 111 | 110337 |
|  Virginia Electric & Power Co., 4.00%, 01/15/43 |  | 304 | 247084 |
|  |  |  | 2713348 |
| **Oil, Gas & Consumable Fuels — 10.5%** |  |  |  |
|  BP Capital Markets America, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.06%, 06/17/41 |  | 391 | 287154 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.77%, 11/10/50 |  | 80 | 49123 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.94%, 06/04/51 |  | 54 | 34071 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 03/17/52 |  | 29 | 18379 |
|  Cameron LNG LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 01/15/35<sup>(a)</sup> |  | 415 | 351260 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 01/15/38<sup>(a)</sup> |  | 161 | 135220 |
|  Cheniere Corpus Christi Holdings LLC,<br>3.70%, 11/15/29 |  | 593 | 566262 |
|  Cheniere Energy Partners LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/01/31 |  | 1111 | 1041924 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 01/31/32 |  | 133 | 117045 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 06/30/33 |  | 136 | 139676 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 08/15/34 |  | 415 | 420875 |
|  Cheniere Energy, Inc., 5.65%, 04/15/34 |  | 1209 | 1223006 |

---

44 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series C Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** |  |  |
|  Chevron Corp., 2.98%, 05/11/40 | USD | 161 | $124299 |
|  Chevron U.S.A., Inc., 5.25%, 11/15/43 |  | 109 | 108664 |
|  ConocoPhillips Co., 3.80%, 03/15/52 |  | 432 | 319583 |
|  Coterra Energy, Inc., 5.40%, 02/15/35 |  | 1732 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1704556 |
|  DCP Midstream Operating LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 05/15/29 |  | 89 | 89592 |
| &nbsp;&nbsp;&nbsp;&nbsp; 8.13%, 08/16/30 |  | 75 | 85980 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 02/15/32 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1103 | 964103 |
|  Devon Energy Corp., 5.75%, 09/15/54 |  | 188 | 172100 |
|  Diamondback Energy, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 12/01/29 |  | 807 | 763281 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 04/18/34 |  | 399 | 398337 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 04/01/35 |  | 148 | 148581 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 03/24/51 |  | 249 | 194408 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 03/15/52 |  | 271 | 205708 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 03/15/53 |  | 477 | 477608 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 04/18/54 |  | 925 | 872053 |
|  Eastern Energy Gas Holdings LLC,<br>6.20%, 01/15/55 |  | 860 | 899345 |
|  Enbridge, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.20%, 11/15/30 |  | 560 | 592615 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 03/08/33 |  | 86 | 88265 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 08/01/33 |  | 516 | 422164 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 20-A, 5.75%, 07/15/80 |  | 202 | 195327 |
|  Energy Transfer LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 10/01/43 |  | 381 | 370732 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 04/01/44 |  | 857 | 768669 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/15/44 |  | 317 | 273549 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 04/15/47 |  | 688 | 608394 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.25%, 04/15/49 |  | 475 | 471223 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/15/50 |  | 1083 | 911920 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 05/15/54 |  | 870 | 830834 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 09/01/54 |  | 328 | 318498 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.20%, 04/01/55 |  | 155 | 153685 |
|  Enterprise Products Operating LLC,<br>3.70%, 01/31/51 |  | 128 | 92986 |
|  EQT Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 05/15/26<sup>(a)</sup> |  | 1382 | 1357525 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 05/15/31<sup>(a)</sup> |  | 815 | 744440 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 02/01/34 |  | 2096 | 2136885 |
|  Expand Energy Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 02/01/29 |  | 4360 | 4341804 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 02/01/29<sup>(a)</sup> |  | 559 | 558011 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 04/15/29<sup>(a)</sup> |  | 1144 | 1158355 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 03/15/30 |  | 2879 | 2857949 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/01/32 |  | 538 | 508863 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.70%, 01/15/35 |  | 1982 | 1989100 |
|  Exxon Mobil Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.57%, 03/06/45 |  | 114 | 87343 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.11%, 03/01/46 |  | 107 | 88059 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 08/16/49 |  | 46 | 31290 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 04/15/51 |  | 151 | 107985 |
|  Hess Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.30%, 08/15/31 |  | 900 | 1018570 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 01/15/40 |  | 161 | 170943 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 04/01/47 |  | 336 | 339479 |
|  Kinder Morgan Energy Partners LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 09/01/41 |  | 348 | 328250 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 08/15/42 |  | 99 | 88257 |
|  Kinder Morgan, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 08/01/50 |  | 450 | 289270 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.95%, 08/01/54 |  | 794 | 776202 |
|  ONEOK, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 09/15/46 |  | 71 | 54821 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** |  |  |
|  ONEOK, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 02/01/49 | USD | 478 | $397449 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 03/01/50 |  | 629 | 451810 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.15%, 01/15/51 |  | 91 | 98844 |
|  Ovintiv, Inc., 5.65%, 05/15/25 |  | 1203 | 1203771 |
|  Pioneer Natural Resources Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 08/15/30 |  | 374 | 325067 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.15%, 01/15/31 |  | 547 | 476568 |
|  Raizen Fuels Finance SA,<br>6.70%, 02/25/37<sup>(a)</sup> |  | 1650 | 1647608 |
|  Sabine Pass Liquefaction LLC,<br>5.88%, 06/30/26 |  | 721 | 727213 |
|  Saudi Arabian Oil Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 07/17/54<sup>(a)</sup> |  | 390 | 367084 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 07/17/64<sup>(a)</sup> |  | 505 | 471102 |
|  Shell Finance U.S., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 08/12/43 |  | 43 | 38125 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 05/11/45 |  | 54 | 46054 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 05/10/46 |  | 54 | 43256 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 09/12/46 |  | 54 | 41610 |
|  Shell International Finance BV |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 11/26/41 |  | 51 | 36809 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 11/07/49 |  | 222 | 148860 |
|  Targa Resources Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 08/15/35 |  | 376 | 375477 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 05/15/55 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1516 | 1505616 |
|  TotalEnergies Capital International SA, 2.99%, 06/29/41 |  | 54 | 39369 |
|  TotalEnergies Capital SA, 5.49%, 04/05/54 |  | 106 | 102559 |
|  Western Midstream Operating LP,<br>3.95%, 06/01/25 |  | 604 | 602861 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;46191567 |
| **Passenger Airlines — 0.4%** |  |  |  |
|  AS Mileage Plan IP Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.02%, 10/20/29<sup>(a)</sup> |  | 98 | 95970 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.31%, 10/20/31<sup>(a)</sup> |  | 564 | 551394 |
|  United Airlines Pass-Through Trust,<br>Series 2024-1, A, 5.88%, 02/15/37 |  | 1272 | 1279598 |
|  |  |  | 1926962 |
| **Pharmaceuticals — 0.9%** |  |  |  |
|  Bristol-Myers Squibb Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 11/13/40 |  | 86 | 58714 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 10/26/49 |  | 107 | 87537 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 03/15/62 |  | 109 | 78909 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.40%, 11/15/63 |  | 49 | 53598 |
|  Eli Lilly & Co. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 02/12/35 |  | 97 | 98914 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 03/15/59 |  | 232 | 184230 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.60%, 02/12/65 |  | 55 | 55504 |
|  Merck & Co., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 02/10/45 |  | 107 | 84538 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/17/53 |  | 31 | 28637 |
|  Pfizer Investment Enterprises Pte Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.11%, 05/19/43 |  | 124 | 118256 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 05/19/53 |  | 120 | 113937 |
|  Pfizer, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.10%, 09/15/38 |  | 303 | 270329 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 03/15/39 |  | 325 | 280459 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 05/28/40 |  | 845 | 600381 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 06/15/43 |  | 765 | 661737 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 05/15/44 |  | 102 | 89330 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 12/15/46 |  | 272 | 222713 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series C Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Pharmaceuticals (continued)** |  |  |  |
|  Takeda Pharmaceutical Co. Ltd. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 07/05/34 | USD | 528 | $534299 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.18%, 07/09/50 |  | 256 | 168221 |
|  |  |  | 3790243 |
| **Professional Services — 0.8%** |  |  |  |
|  Booz Allen Hamilton, Inc., 5.95%, 04/15/35 |  | 1325 | 1321563 |
|  Equifax, Inc., 4.80%, 09/15/29 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2060 | 2062454 |
|  |  |  | 3384017 |
| **Residential REITs — 0.3%** |  |  |  |
|  American Homes 4 Rent LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 02/01/34 |  | 148 | 148156 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 07/15/34 |  | 183 | 182410 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 03/15/35 |  | 381 | 373812 |
|  Invitation Homes Operating Partnership LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 08/15/31 |  | 134 | 112130 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 08/15/33 |  | 149 | 149949 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.70%, 01/15/34 |  | 102 | 83035 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 02/01/35 |  | 331 | 316668 |
|  |  |  | 1366160 |
| **Retail REITs — 0.3%** |  |  |  |
|  Realty Income Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 01/15/31 |  | 95 | 87281 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 10/13/32 |  | 83 | 85652 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 12/15/32 |  | 101 | 87008 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 03/15/47 |  | 93 | 79998 |
|  Regency Centers LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 01/15/34 |  | 426 | 426468 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.10%, 01/15/35 |  | 760 | 751636 |
|  |  |  | 1518043 |
| **Semiconductors & Semiconductor Equipment — 2.1%** | **Semiconductors & Semiconductor Equipment — 2.1%** | **Semiconductors & Semiconductor Equipment — 2.1%** |  |
|  Analog Devices, Inc., 5.30%, 12/15/45 |  | 110 | 107192 |
|  AP Grange Holdings LLC, 6.50%, 03/20/45 (Acquired 06/21/24, cost $760,117)<sup>(d)(h)</sup> |  | 760 | 762017 |
|  Applied Materials, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 04/01/27 |  | 226 | 222096 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 06/01/30 |  | 235 | 205271 |
|  Broadcom, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.15%, 02/15/28 |  | 744 | 737691 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 11/15/31 |  | 2265 | 2297007 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 02/15/32 |  | 422 | 411747 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 04/15/32 |  | 158 | 160323 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 10/15/34 |  | 1796 | 1753220 |
|  KLA Corp., 3.30%, 03/01/50 |  | 1088 | 755154 |
|  Lam Research Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 03/15/49 |  | 139 | 126765 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 06/15/50 |  | 131 | 84099 |
|  Micron Technology, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 01/15/31 |  | 99 | 100107 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 02/09/33 |  | 348 | 360419 |
|  NVIDIA Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/40 |  | 965 | 809615 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/50 |  | 137 | 103940 |
|  QUALCOMM, Inc., 3.25%, 05/20/50 |  | 169 | 117258 |
|  Texas Instruments, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 03/14/53 |  | 146 | 136121 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 05/18/63 |  | 70 | 64152 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9314194 |
| **Software — 1.8%** |  |  |  |
|  AppLovin Corp., 5.95%, 12/01/54 |  | 1043 | 1024361 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* |
|  **Software (continued)** |  |  |  |
|  Oracle Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 11/15/37 | USD | 487 | $410317 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 07/08/39 |  | 177 | 184524 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.60%, 04/01/40 |  | 224 | 176183 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 07/15/40 |  | 588 | 561762 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 03/25/41 |  | 475 | 368583 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 05/15/45 |  | 162 | 127905 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 07/15/46 |  | 649 | 496330 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 11/15/47 |  | 422 | 319921 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 03/25/51 |  | 245 | 179944 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 08/03/55 |  | 1709 | 1706824 |
|  Salesforce, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 07/15/51 |  | 107 | 69034 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.05%, 07/15/61 |  | 126 | 77726 |
|  Synopsys, Inc., 5.70%, 04/01/55 |  | 550 | 546102 |
|  VMware LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.70%, 05/15/30 |  | 513 | 508500 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.20%, 08/15/31 |  | 1328 | 1128763 |
|  |  |  | 7886779 |
| **Specialized REITs — 0.6%** |  |  |  |
|  Extra Space Storage LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 02/01/34 |  | 130 | 130162 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 01/15/35 |  | 903 | 895675 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 06/15/35 |  | 1639 | 1629521 |
|  |  |  | 2655358 |
| **Specialty Retail — 0.5%** |  |  |  |
|  Home Depot, Inc. (The) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.38%, 03/15/31 |  | 207 | 172248 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 06/25/31 |  | 184 | 186463 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 06/15/47 |  | 122 | 96727 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 12/06/48 |  | 135 | 116274 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 12/15/49 |  | 129 | 87501 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.35%, 04/15/50 |  | 174 | 122522 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.38%, 03/15/51 |  | 169 | 96798 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 09/15/51 |  | 286 | 176385 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.63%, 04/15/52 |  | 122 | 89546 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 09/15/52 |  | 94 | 86236 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 09/15/56 |  | 149 | 104281 |
|  Lowe's Cos., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 04/15/46 |  | 180 | 134064 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 05/03/47 |  | 110 | 85674 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.55%, 04/05/49 |  | 103 | 85895 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.13%, 04/15/50 |  | 310 | 279589 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/51 |  | 125 | 86090 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 07/01/53 |  | 87 | 85296 |
|  |  |  | 2091589 |
| **Technology Hardware, Storage & Peripherals — 0.6%** | **Technology Hardware, Storage & Peripherals — 0.6%** | **Technology Hardware, Storage & Peripherals — 0.6%** |  |
|  Dell International LLC/EMC Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 04/01/28<sup>(b)</sup> |  | 290 | 291326 |
| &nbsp;&nbsp;&nbsp;&nbsp; 04/01/32<sup>(b)</sup> |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2256 | 2270471 |
|  Hewlett Packard Enterprise Co.,<br>5.60%, 10/15/54 |  | 235 | 223585 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2785382 |
| **Tobacco — 0.8%** |  |  |  |
|  BAT Capital Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.54%, 08/15/47 |  | 1231 | 983318 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.76%, 09/06/49 |  | 914 | 743728 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.28%, 04/02/50 |  | 329 | 289099 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 03/16/52 |  | 882 | 811925 |
|  BAT International Finance PLC,<br>5.93%, 02/02/29 |  | 413 | 430444 |

---

46 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series C Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* | *Value* |
| **Tobacco (continued)** |  |  |  |  |
|  Philip Morris International, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 03/04/43 | USD | 55 | $| 45339 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 11/15/43 |  | 55 |  | 50039 |
|  |  |  |  | 3353892 |
| **Trading Companies & Distributors — 0.7%** | **Trading Companies & Distributors — 0.7%** | **Trading Companies & Distributors — 0.7%** | **Trading Companies & Distributors — 0.7%** | **Trading Companies & Distributors — 0.7%** |
|  Air Lease Corp. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 01/15/26 |  | 596 |  | 587352 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 08/15/26 |  | 2112 |  | 2033701 |
|  Marubeni Corp., 04/01/35<sup>(a)(b)</sup> |  | 425 |  | 426312 |
|  |  |  |  | 3047365 |
| **Wireless Telecommunication Services — 0.9%** | **Wireless Telecommunication Services — 0.9%** | **Wireless Telecommunication Services — 0.9%** | **Wireless Telecommunication Services — 0.9%** | **Wireless Telecommunication Services — 0.9%** |
|  America Movil SAB de CV, 4.38%, 04/22/49 |  | 221 |  | 180970 |
|  Rogers Communications, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.80%, 03/15/32 |  | 1725 |  | 1565965 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.30%, 02/15/48 |  | 488 |  | 383135 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 05/01/49 |  | 154 |  | 120512 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 11/15/49 |  | 190 |  | 132792 |
|  T-Mobile U.S.A., Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 04/15/40 |  | 453 |  | 398748 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 02/15/41 |  | 174 |  | 126238 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.40%, 10/15/52 |  | 134 |  | 90560 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 01/15/53 |  | 122 |  | 119012 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 06/15/54 |  | 141 |  | 143923 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/15/55 |  | 347 |  | 330067 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 11/15/55 |  | 220 |  | 221478 |
|  Vodafone Group PLC, 5.63%, 02/10/53 |  | 243 |  | 227971 |
|  |  |  |  | 4041371 |
| **Total Corporate Bonds — 86.8%** | **Total Corporate Bonds — 86.8%** | **Total Corporate Bonds — 86.8%** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $381,693,933)** |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;381743383 |
| **Foreign Agency Obligations** | **Foreign Agency Obligations** | **Foreign Agency Obligations** |  |  |
| **Mexico — 0.8%** |  |  |  |  |
|  Petroleos Mexicanos, 7.69%, 01/23/50 |  | 4913 |  | 3669274 |
| **Panama — 0.1%** |  |  |  |  |
|  Banco Nacional de Panama, 2.50%, 08/11/30<sup>(a)</sup> |  | 360 |  | 297810 |
| **Total Foreign Agency Obligations — 0.9%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $4,176,375)** |  |  |  | 3967084 |
| **Foreign Government Obligations** | **Foreign Government Obligations** | **Foreign Government Obligations** |  |  |
| **Chile — 0.3%** |  |  |  |  |
|  Republic of Chile |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.86%, 06/21/47 |  | 811 |  | 620010 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.10%, 01/22/61 |  | 297 |  | 178078 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 09/21/71 |  | 647 |  | 390141 |
|  |  |  |  | 1188229 |
| **Colombia — 0.2%** |  |  |  |  |
|  Republic of Colombia, 8.38%, 11/07/54 |  | 1120 |  | 1072960 |
| **Israel — 0.4%** |  |  |  |  |
|  State of Israel |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 07/03/50 |  | 244 |  | 172554 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 03/12/54 |  | 1533 |  | 1406288 |
|  |  |  |  | 1578842 |
| **Mexico — 0.9%** |  |  |  |  |
|  United Mexican States |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 01/11/40 |  | 168 |  | 158592 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.35%, 01/15/47 |  | 704 |  | 504064 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.40%, 02/12/52 |  | 501 |  | 347694 |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* | *Value* |
|  **Mexico (continued)** |  |  |  |  |
|  United Mexican States |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.34%, 05/04/53 | USD | 1564 | $| 1423240 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.40%, 05/07/54 |  | 428 |  | 390978 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.38%, 05/13/55 |  | 967 |  | 991175 |
|  |  |  |  | 3815743 |
| **Peru — 0.5%** |  |  |  |  |
|  Republic of Peru |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.30%, 03/11/41 |  | 563 |  | 411975 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 08/08/54 |  | 1163 |  | 1123749 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.78%, 12/01/60 |  | 1235 |  | 671222 |
|  |  |  |  | 2206946 |
| **Poland — 0.2%** |  |  |  |  |
|  Republic of Poland, 5.38%, 02/12/35 |  | 980 |  | 982940 |
| **Romania — 0.0%** |  |  |  |  |
|  Romania, 7.63%, 01/17/53<sup>(a)</sup> |  | 226 |  | 224994 |
| **Saudi Arabia — 0.2%** |  |  |  |  |
|  Kingdom of Saudi Arabia, 5.13%, 01/13/28<sup>(a)</sup> |  | 925 |  | 934851 |
| **Uruguay — 0.2%** |  |  |  |  |
|  Oriental Republic of Uruguay |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.98%, 04/20/55 |  | 613 |  | 547409 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 09/10/60 |  | 217 |  | 197904 |
|  |  |  |  | 745313 |
|  **Total Foreign Government Obligations — 2.9%** | **Total Foreign Government Obligations — 2.9%** | **Total Foreign Government Obligations — 2.9%** | **Total Foreign Government Obligations — 2.9%** | **Total Foreign Government Obligations — 2.9%** |
| &nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $13,096,246)** |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;12750818 |
| **Municipal Bonds** |  |  |  |  |
| **California — 0.3%** |  |  |  |  |
|  State of California, GO, 7.63%, 03/01/40 |  | 950 |  | 1135507 |
| **Illinois — 0.2%** |  |  |  |  |
|  Chicago O'Hare International Airport RB, Series B, | Chicago O'Hare International Airport RB, Series B, | Chicago O'Hare International Airport RB, Series B, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.40%, 01/01/40 |  | 1000 |  | 1089114 |
| **New York — 0.3%** |  |  |  |  |
|  Metropolitan Transportation Authority, New York RB, | Metropolitan Transportation Authority, New York RB, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.34%, 11/15/39 |  | 985 |  | 1167828 |
|  Port Authority of New York & New Jersey RB, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.46%, 10/01/62 |  | 385 |  | 327235 |
|  |  |  |  | 1495063 |
| **Total Municipal Bonds — 0.8%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $3,725,458)** |  |  |  | 3719684 |
| **Preferred Securities** |  |  |  |  |
| **Capital Trusts — 3.2%** |  |  |  |  |
| **Banks — 1.3%** |  |  |  |  |
|  Banco Santander SA, 9.63%<sup>(i)</sup> |  | 400 |  | 459473 |
|  Bank of Nova Scotia (The), 8.00%, 01/27/84 |  | 421 |  | 434822 |
|  Barclays PLC |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.63%<sup>(i)</sup> |  | 370 |  | 361840 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.63%<sup>(i)</sup> |  | 1150 |  | 1261379 |
|  Citigroup, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series EE, 6.75%<sup>(i)</sup> |  | 703 |  | 695145 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series FF, 6.95%<sup>(i)</sup> |  | 1889 |  | 1883555 |
|  HSBC Holdings PLC, 4.60%<sup>(i)</sup> |  | 478 |  | 422635 |
|  |  |  |  | 5518849 |
| **Capital Markets — 0.5%** |  |  |  |  |
|  Brookfield Finance, Inc., 6.30%, 01/15/55 |  | 816 |  | 777513 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series C Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Security* |  | *Par<br>(000)* | *Value* | *Value* |
| **Capital Markets (continued)** |  |  |  |  |
|  UBS Group AG |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%<sup>(a)(i)</sup> | USD | 505 | $| 497340 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.13%<sup>(a)(i)</sup> |  | 580 |  | 570498 |
| &nbsp;&nbsp;&nbsp;&nbsp; 9.25%<sup>(a)(i)</sup> |  | 373 |  | 425668 |
|  |  |  |  | 2271019 |
| **Consumer Staples Distribution & Retail — 0.2%** | **Consumer Staples Distribution & Retail — 0.2%** | **Consumer Staples Distribution & Retail — 0.2%** | **Consumer Staples Distribution & Retail — 0.2%** | **Consumer Staples Distribution & Retail — 0.2%** |
|  CVS Health Corp., 7.00%, 03/10/55 |  | 685 |  | 690404 |
| **Electric Utilities — 0.7%** |  |  |  |  |
|  American Electric Power Co., Inc., 5.70%, 08/15/25 |  | 867 |  | 870063 |
|  Edison International, 8.13%, 06/15/53 |  | 2338 |  | 2280018 |
|  |  |  |  | 3150081 |
| **Insurance — 0.1%** |  |  |  |  |
|  Dai-ichi Life Insurance Co. Ltd. (The),<br>6.20%<sup>(a)(i)</sup> |  | 595 |  | 596872 |
| **Multi-Utilities — 0.4%** |  |  |  |  |
|  CenterPoint Energy, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.70%, 05/15/55 |  | 615 |  | 606389 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series A, 7.00%, 02/15/55 |  | 188 |  | 190878 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 6.85%, 02/15/55 |  | 188 |  | 188340 |
|  Dominion Energy, Inc. |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.63%, 05/15/55 |  | 471 |  | 467691 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 7.00%, 06/01/54 |  | 81 |  | 85136 |
|  |  |  |  | 1538434 |
| **Oil, Gas & Consumable Fuels — 0.0%** |  |  |  |  |
|  Energy Transfer LP, 8.00%, 05/15/54 |  | 32 |  | 33675 |
|  Enterprise Products Operating LLC |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 02/15/78 |  | 64 |  | 62602 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series E, 5.25%, 08/16/77 |  | 101 |  | 99442 |
|  |  |  |  | 195719 |
| **Total Preferred Securities — 3.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $14,082,487)** |  |  |  | 13961378 |
| **U.S. Treasury Obligations** |  |  |  |  |
|  U.S. Treasury Bonds |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 05/15/45 - 02/15/49 |  | 2000 |  | 1519463 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.75%, 08/15/47 |  | 1135 |  | 829969 |
|  U.S. Treasury Notes |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 01/15/28 |  | 2400 |  | 2422500 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 04/30/29 |  | 235 |  | 225774 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 02/28/30 |  | 8000 |  | 8018125 |
| **Total U.S. Treasury Obligations — 3.0%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $13,007,080)** |  |  |  | 13015831 |
| **Total Long-Term Investments — 97.6%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $429,781,579)** |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;429158178 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *<br>Shares* | *Value* | *Value* |
|  **Short-Term Securities** |  |  |  |
| **Money Market Funds — 2.3%** |  |  |  |
|  Dreyfus Treasury Securities Cash Management, | Dreyfus Treasury Securities Cash Management, | Dreyfus Treasury Securities Cash Management, | Dreyfus Treasury Securities Cash Management, |
| &nbsp;&nbsp;&nbsp;&nbsp; Institutional Class, 4.17%<sup>(j)</sup> | 10153541 | $| 10153541 |
| **Total Short-Term Securities — 2.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $10,153,541)** |  |  | 10153541 |
| Options Purchased — 0.3% |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $737,172)** |  |  | 1195330 |
| **Total Investments Before Options Written — 100.2%** | **Total Investments Before Options Written — 100.2%** | **Total Investments Before Options Written — 100.2%** | **Total Investments Before Options Written — 100.2%** |
| &nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $440,672,292)** |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;440507049 |
| Options Written — (0.1)% |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; **(Premiums Received: $(593937))** |  |  | (653225) |
| **Total Investments Net of Options Written — 100.1%** | **Total Investments Net of Options Written — 100.1%** | **Total Investments Net of Options Written — 100.1%** | **Total Investments Net of Options Written — 100.1%** |
| &nbsp;&nbsp;&nbsp;&nbsp; **(Cost: $440,078,355)** |  |  | 439853824 |
|  **Liabilities in Excess of Other Assets — (0.1)%** | **Liabilities in Excess of Other Assets — (0.1)%** |  | (354278) |
| **Net Assets — 100.0%** |  | $439499546 | $439499546 |

---

<sup>(a)</sup> 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.

<sup>(b)</sup> When-issued security.

<sup>(c)</sup> This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

<sup>(d)</sup> Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

<sup>(e)</sup> 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.

<sup>(f)</sup> Zero-coupon bond.

<sup>(g)</sup> 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.

<sup>(h)</sup> Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $762,017, representing 0.2% of its net assets as of period end, and an original cost of $760,117. 

<sup>(i)</sup> Perpetual security with no stated maturity date.

<sup>(j)</sup> 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
48 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series C Portfolio** |

---

#### Futures Contracts

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount<br>(000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds (30 Year) | 97 | 06/18/25 | $11419 | $66133 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes (10 Year) | 29 | 06/18/25 | 3231 | 23371 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes (2 Year) | 236 | 06/30/25 | 48909 | 40192 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes (5 Year) | 286 | 06/30/25 | 30966 | 145889 |
|  |  |  |  | 275585 |
|  Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Ultra Treasury Bonds | 79 | 06/18/25 | 9710 | (15419) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Ultra Treasury Notes (10 Year) | 231 | 06/18/25 | 26431 | (93770) |
|  |  |  |  | (109189) |
|  |  |  |  | $166396 |

---

#### OTC Interest Rate Swaptions Purchased

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund |  | *Expiration* | *Exercise* | *Notional<br>Amount* | *Notional<br>Amount* |  |
| *Description* | *Rate* | *Frequency* | *Rate* | *Frequency* | *Counterparty* | *Date* | *Rate* | *(000)* | *(000)* | *Value* |
|  Call |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 02/19/28 | 1-day SOFR, 4.41% | Annual | 3.53% | Annual | Goldman Sachs Bank USA | 02/17/26 | 3.53% | USD | 117400 | $969628 |
|  Put |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 10-Year Interest Rate Swap, 03/07/36 | 4.32% | Annual | 1-day SOFR, 4.41% | Annual | JPMorgan Chase Bank N.A. | 03/05/26 | 4.32% | USD | 15650 | 225702 |
|  |  |  |  |  |  |  |  |  |  | $1195330 |

---

#### OTC Interest Rate Swaptions Written

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund |  | *Expiration* | *Exercise* | *Notional<br>Amount* | *Notional<br>Amount* |  |
| *Description* | *Rate* | *Frequency* | *Rate* | *Frequency* | *Counterparty* | *Date* | *Rate* | *(000)* | *(000)* | *Value* |
|  Call |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 04/23/27 | 3.86% | Annual | 1-day SOFR, 4.41% | Annual | Goldman Sachs Bank USA | 04/21/25 | 3.86% | USD | 37625 | $(140757) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 09/10/27 | 3.33% | Annual | 1-day SOFR, 4.41% | Annual | JPMorgan Chase Bank N.A. | 09/08/25 | 3.33% | USD | 23500 | (90262) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 11/15/27 | 3.73% | Annual | 1-day SOFR, 4.41% | Annual | Bank of America N.A. | 11/13/25 | 3.73% | USD | 33520 | (290754) |
|  |  |  |  |  |  |  |  |  |  | (521773) |
|  Put |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 04/23/27 | 1-day SOFR, 4.41% | Annual | 4.36% | Annual | Goldman Sachs Bank USA | 04/21/25 | 4.36% | USD | 37625 | $(65) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 09/10/27 | 1-day SOFR, 4.41% | Annual | 3.83% | Annual | JPMorgan Chase Bank N.A. | 09/08/25 | 3.83% | USD | 23500 | (71530) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2-Year Interest Rate Swap, 11/15/27 | 1-day SOFR, 4.41% | Annual | 4.23% | Annual | Bank of America N.A. | 11/13/25 | 4.23% | USD | 33520 | (59857) |
|  |  |  |  |  |  |  |  |  |  | $(131452) |
|  |  |  |  |  |  |  |  |  |  | $(653225) |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series C Portfolio** |

---

#### Centrally Cleared Credit Default Swaps — Buy Protection

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing<br>Rate<br>Paid by<br>the*<br> *Fund* | *Payment<br>Frequency* | *Termination<br>Date* |  | *Notional<br>Amount<br>(000)* | *Value* | *Upfront<br>Premium*<br> *Paid<br>(Received)* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  CDX.EM.IG.43.V1 | 1.00% | Quarterly | 06/20/30 | USD | 10010 | $(61427) | $(62931) | $1504 |
|  CDX.NA.IG.44.V1 | 1.00 | Quarterly | 06/20/30 | USD | 51275 | (942974) | (1007885) | 64911 |
|  |  |  |  |  |  | $(1004401) | $(1070816) | $66415 |

---

#### Centrally Cleared Interest Rate Swaps

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund | *Effective* | *Termination* | *Notional<br>Amount* | *Notional<br>Amount* |  | *Upfront<br>Premium<br>Paid* | *Unrealized<br>Appreciation* |
| *Rate* | *Frequency* | *Rate* | *Frequency* | *Date* | *Date* | *(000)* | *(000)* | *Value* | *(Received)* | *(Depreciation)* |
|  1-day SOFR, 4.41% | Annual | 3.63% | Annual | 04/23/25 <sup>(a)</sup> | 04/23/27 | USD | 10071 | $(13156) | $1793 | $(14949) |
|  1-day SOFR, 4.41% | Annual | 3.76% | Annual | 04/23/25 <sup>(a)</sup> | 04/23/27 | USD | 5660 | 6489 |  | 6489 |
|  1-day SOFR, 4.41% | Annual | 3.97% | Annual | 04/23/25 <sup>(a)</sup> | 04/23/27 | USD | 5245 | 27322 |  | 27322 |
|  1-day SOFR, 4.41% | Annual | 4.10% | Annual | 04/23/25 <sup>(a)</sup> | 04/23/27 | USD | 1920 | 14608 |  | 14608 |
|  3.87% | Annual | 1-day SOFR, 4.41% | Annual | 04/23/25 <sup>(a)</sup> | 04/23/27 | USD | 3030 | (10118) | (93) | (10025) |
|  1-day SOFR, 4.41% | Annual | 3.99% | Annual | 04/28/25 <sup>(a)</sup> | 04/28/27 | USD | 4330 | 24452 |  | 24452 |
|  1-day SOFR, 4.41% | Annual | 3.62% | Annual | 09/10/25 <sup>(a)</sup> | 09/10/27 | USD | 2790 | 3808 |  | 3808 |
|  3.76% | Annual | 1-day SOFR, 4.41% | Annual | 09/10/25 <sup>(a)</sup> | 09/10/27 | USD | 3490 | (13764) | (279) | (13485) |
|  1-day SOFR, 4.41% | Annual | 3.52% | Annual | 09/25/25 <sup>(a)</sup> | 09/25/27 | USD | 5455 | (1970) |  | (1970) |
|  1-day SOFR, 4.41% | Annual | 3.56% | Annual | 11/17/25 <sup>(a)</sup> | 11/17/27 | USD | 12720 | 12513 |  | 12513 |
|  3.97% | Annual | 1-day SOFR, 4.41% | Annual | 01/27/26 <sup>(a)</sup> | 01/27/28 | USD | 225 | (2014) |  | (2014) |
|  4.05% | Annual | 1-day SOFR, 4.41% | Annual | 01/28/26 <sup>(a)</sup> | 01/28/28 | USD | 29430 | (308902) |  | (308902) |
|  3.55% | Annual | 1-day SOFR, 4.41% | Annual | 02/19/26 <sup>(a)</sup> | 02/19/28 | USD | 11080 | (12105) |  | (12105) |
|  3.64% | Annual | 1-day SOFR, 4.41% | Annual | 02/19/26 <sup>(a)</sup> | 02/19/28 | USD | 5095 | (14527) | 527 | (15054) |
|  3.65% | Annual | 1-day SOFR, 4.41% | Annual | 02/19/26 <sup>(a)</sup> | 02/19/28 | USD | 5730 | (16872) | (288) | (16584) |
|  3.90% | Annual | 1-day SOFR, 4.41% | Annual | 02/19/26 <sup>(a)</sup> | 02/19/28 | USD | 7695 | (58779) |  | (58779) |
|  3.79% | Annual | 1-day SOFR, 4.41% | Annual | 03/09/26 <sup>(a)</sup> | 03/09/36 | USD | 600 | (1330) |  | (1330) |
|  |  |  |  |  |  |  |  | $(364345) | $1660 | $(366005) |

---

<sup>(a)</sup> Forward Swap.

#### OTC Credit Default Swaps — Sell Protection

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing<br>Rate<br>Received<br>by*<br> *the Fund* | *Payment Frequency* | *Counterparty* | *Termination<br>Date* | *Credit Rating<sup>(a)</sup>* |  | *Notional<br>Amount<br>(000)* | *<br><sup>(b)</sup>* | *Value* | *Upfront<br>Premium<br>Paid<br>(Received)* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  AT&T Inc. | 1.00% | Quarterly | Bank of America N.A. | 06/20/29 | BBB | USD | 655 |  | $10696 | $8034 | $2662 |
|  AT&T Inc. | 1.00 | Quarterly | Bank of America N.A. | 06/20/29 | BBB | USD | 139 |  | 2270 | 1888 | 382 |
|  AT&T Inc. | 1.00 | Quarterly | Bank of America N.A. | 06/20/29 | BBB | USD | 139 |  | 2270 | 1885 | 385 |
|  AT&T Inc. | 1.00 | Quarterly | Deutsche Bank AG | 06/20/29 | BBB | USD | 177 |  | 2890 | 2171 | 719 |
|  Energy Transfer LP | 1.00 | Quarterly | Barclays Bank PLC | 06/20/29 | BBB | USD | 1390 |  | 24586 | 20176 | 4410 |
|  Ford Motor Co. | 5.00 | Quarterly | Bank of America N.A. | 06/20/29 | BBB- | USD | 328 |  | 41337 | 42468 | (1131) |
|  Ford Motor Co. | 5.00 | Quarterly | Bank of America N.A. | 06/20/29 | BBB- | USD | 292 |  | 36800 | 38009 | (1209) |
|  Ford Motor Co. | 5.00 | Quarterly | Bank of America N.A. | 06/20/29 | BBB- | USD | 125 |  | 15754 | 15918 | (164) |
|  Ford Motor Co. | 5.00 | Quarterly | Bank of America N.A. | 06/20/29 | BBB- | USD | 139 |  | 17518 | 18093 | (575) |
|  Ford Motor Co. | 5.00 | Quarterly | Bank of America N.A. | 06/20/29 | BBB- | USD | 208 |  | 26190 | 26577 | (387) |
|  Ford Motor Co. | 5.00 | Quarterly | Bank of America N.A. | 06/20/29 | BBB- | USD | 125 |  | 15753 | 15832 | (79) |
|  Ford Motor Co. | 5.00 | Quarterly | Deutsche Bank AG | 06/20/29 | BBB- | USD | 118 |  | 14819 | 15176 | (357) |
|  Freeport-McMoRan, Inc. | 1.00 | Quarterly | Bank of America N.A. | 06/20/29 | BBB- | USD | 655 |  | 8513 | 5332 | 3181 |
|  Freeport-McMoRan, Inc. | 1.00 | Quarterly | Bank of America N.A. | 06/20/29 | BBB- | USD | 207 |  | 2690 | 1377 | 1313 |
|  Freeport-McMoRan, Inc. | 1.00 | Quarterly | Bank of America N.A. | 06/20/29 | BBB- | USD | 138 |  | 1794 | 1074 | 720 |
|  Freeport-McMoRan, Inc. | 1.00 | Quarterly | Bank of America N.A. | 06/20/29 | BBB- | USD | 207 |  | 2690 | 1942 | 748 |
|  Freeport-McMoRan, Inc. | 1.00 | Quarterly | Bank of America N.A. | 06/20/29 | BBB- | USD | 137 |  | 1781 | 1181 | 600 |
|  Freeport-McMoRan, Inc. | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/29 | BBB- | USD | 219 |  | 2846 | 1887 | 959 |
|  Freeport-McMoRan, Inc. | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/29 | BBB- | USD | 148 |  | 1923 | 887 | 1036 |
|  Kinder Morgan, Inc. | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/29 | BBB | USD | 396 |  | 6543 | 6504 | 39 |

---

50 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series C Portfolio** |

---

#### OTC Credit Default Swaps — Sell Protection (continued)

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing<br>Rate<br>Received<br>by<br>the Fund* | *Payment* <br> *Frequency*  | *Counterparty* | *Termination<br>Date* | *Credit*<br> *Rating<sup>(a)</sup>* |  | *Notional*<br> *Amount*<br> *(000)* | <br>*<sup>(b)</sup>*  | *Value* | *Upfront<br>Premium<br>Paid<br>(Received)* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  Kinder Morgan, Inc. | 1.00% | Quarterly | JPMorgan Chase Bank N.A. | 06/20/29 | BBB | USD | 284 |  | $4692 | $4478 | $214 |
|  Petroleos Mexicanos | 1.00 | Quarterly | Bank of America N.A. | 06/20/29 | BBB | USD | 1724 |  | (209534) | (201687) | (7847) |
|  Teck Resources Ltd. | 5.00 | Quarterly | Bank of America N.A. | 06/20/29 | BBB- | USD | 790 |  | 134422 | 112644 | 21778 |
|  Verizon Communications, Inc. | 1.00 | Quarterly | Barclays Bank PLC | 06/20/29 | BBB+ | USD | 2767 |  | 45192 | 44347 | 845 |
|  Verizon Communications, Inc. | 1.00 | Quarterly | Barclays Bank PLC | 06/20/29 | BBB+ | USD | 320 |  | 5226 | 5012 | 214 |
|  Verizon Communications, Inc. | 1.00 | Quarterly | Barclays Bank PLC | 06/20/29 | BBB+ | USD | 415 |  | 6778 | 7224 | (446) |
|  Verizon Communications, Inc. | 1.00 | Quarterly | Barclays Bank PLC | 06/20/29 | BBB+ | USD | 377 |  | 6158 | 6424 | (266) |
|  Verizon Communications, Inc. | 1.00 | Quarterly | Barclays Bank PLC | 06/20/29 | BBB+ | USD | 503 |  | 8215 | 8570 | (355) |
|  Verizon Communications, Inc. | 1.00 | Quarterly | Barclays Bank PLC | 06/20/29 | BBB+ | USD | 1475 |  | 24090 | 25087 | (997) |
|  Williams Cos., Inc. (The) | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/29 | BBB+ | USD | 722 |  | 14619 | 11039 | 3580 |
|  Williams Cos., Inc. (The) | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/29 | BBB+ | USD | 396 |  | 8018 | 6203 | 1815 |
|  Williams Cos., Inc. (The) | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/29 | BBB+ | USD | 283 |  | 5730 | 3923 | 1807 |
|  CDX.NA.IG.43 0-3% | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/29 | BBB+ | USD | 116 |  | (34296) | (30027) | (4269) |
|  CDX.NA.IG.43 3-7% | 1.00 | Quarterly | JPMorgan Chase Bank N.A. | 12/20/29 | BBB+ | USD | 232 |  | (12482) | (8805) | (3677) |
|  Ally Financial, Inc. | 5.00 | Quarterly | JPMorgan Chase Bank N.A. | 06/20/30 | BBB- | USD | 1518 |  | 222899 | 226836 | (3937) |
|  Boeing Co. (The) | 1.00 | Quarterly | Bank of America N.A. | 06/20/30 | BBB- | USD | 1089 |  | 4435 |  | 4435 |
|  |  |  |  |  |  |  |  |  | $473825 | $447679 | $26146 |

---

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

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

#### OTC Total Return Swaps

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund |  | *Termination<br>Date* | *Notional<br>Amount<br>(000)* | *Value* | *Upfront<br>Premium<br>Paid<br>(Received)* | *Unrealized<br>Appreciation<br>(Depreciation)* |
| *Reference* | *Frequency* | *Rate* | *Frequency* | *Counterparty* | *Termination<br>Date* | *Notional<br>Amount<br>(000)* | *Value* | *Upfront<br>Premium<br>Paid<br>(Received)* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  iBoxx USD<br>Liquid<br>Investment<br>Grade<br>Index | At Termination | 1-day SOFR,<br>4.41% | Quarterly | JPMorgan Chase Bank N.A. | 06/20/25 | USD 2,700 | $(8256) | $— | $(8256) |

---

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | *Swap/Options<br>Premiums<br>Paid* | *Swap/Options<br>Premiums<br>Received* | *Unrealized<br>Appreciation* | *Unrealized<br>Depreciation* | *Value* |
|  Centrally Cleared Swaps<sup>(a)</sup> | $2320 | $(1071476) | $155607 | $(455197) | $— |
|  OTC Swaps | 688198 | (240519) | 51842 | (33952) |  |
|  Options Written | N/A | (593937) | 153215 | (212503) | (653225) |

---

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

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series C Portfolio** |

---

#### Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on futures contracts<sup>(a)</sup> | $— | $— | $— | $— | $275585 | $— | $275585 |
|  Options purchased |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments at value — unaffiliated<sup>(b)</sup> |  |  |  |  | 1195330 |  | 1195330 |
|  Swaps — centrally cleared |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on centrally cleared swaps<sup>(a)</sup> |  | 66415 |  |  | 89192 |  | 155607 |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on OTC swaps; |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap premiums paid |  | 740040 |  |  |  |  | 740040 |
|  | $— | $806455 | $— | $— | $1560107 | $— | $2366562 |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup> | $— | $— | $— | $— | $109189 | $— | $109189 |
|  Options written |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Options written at value |  |  |  |  | 653225 |  | 653225 |
|  Swaps — centrally cleared |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on centrally cleared swaps<sup>(a)</sup> |  |  |  |  | 455197 |  | 455197 |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on OTC swaps; |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap premiums received |  | 266215 |  |  | 8256 |  | 274471 |
|  | $— | $266215 | $— | $— | $1225867 | $— | $1492082 |

---

<sup>(a)</sup> 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). 

<sup>(b)</sup> Includes options purchased at value as reported in the Schedule of Investments.

For the period ended March 31, 2025, the effect of derivative financial instruments in the Statements of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $— | $— | $(521211) | $— | $(521211) |
|  Options purchased<sup>(a)</sup> |  |  |  |  | 554814 |  | 554814 |
|  Options written |  |  |  |  | (883113) |  | (883113) |
|  Swaps |  | (109716) |  |  | (551900) |  | (661616) |
|  | $— | $(109716) | $— | $— | $(1401410) | $— | $(1511126) |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $— | $— | $183328 | $— | $183328 |
|  Options purchased<sup>(b)</sup> |  |  |  |  | 366239 |  | 366239 |
|  Options written |  |  |  |  | (59288) |  | (59288) |
|  Swaps |  | 83983 |  |  | (177900) |  | (93917) |
|  | $— | $83983 | $— | $— | $312379 | $— | $396362 |

---

<sup>(a)</sup> Options purchased are included in net realized gain (loss) from investments — unaffiliated.

<sup>(b)</sup> Options purchased are included in net change in unrealized appreciation (depreciation) on investments.

52 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series C Portfolio** |

---

#### Average Quarterly Balances of Outstanding Derivative Financial Instruments

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $53193272 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | 31881547 |
|  Options: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of swaption contracts purchased | 65862500 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of swaption contracts written | 203102500 |
|  Credit default swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — buy protection | 30441921 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — sell protection | 25899084 |
|  Total return swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value | 675069 |
|  Interest rate swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — pays fixed rate | 22818500 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — receives fixed rate | 16593750 |

---

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 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $103584 | $176641 |
| &nbsp;&nbsp;&nbsp;&nbsp; Options<sup>(a)</sup> | 1195330 | 653225 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps — centrally cleared |  | 12390 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps — OTC<sup>(b)</sup> | 740040 | 274471 |
| &nbsp;&nbsp;&nbsp;&nbsp; Total derivative assets and liabilities in the Statements of Assets and Liabilities | $2038954 | $1116727 |
| &nbsp;&nbsp;&nbsp;&nbsp; Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") | (103584) | (189031) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total derivative assets and liabilities subject to an MNA | $1935370 | $927696 |

---

<sup>(a)</sup> 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.

<sup>(b)</sup> 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 53

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **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*<br> *Assets*<br> *Subject to<br>an MNA by<br>Counterparty* | *Derivatives<br>Available<br>for Offset<sup>(a)</sup>* | *Non-*<br> *Cash<br>Collateral<br>Received<sup>(b)</sup>* | *Cash<br>Collateral<br>Received<sup>(b)</sup>* | *Net<br>Amount of<br>Derivative<br>Assets<sup>(c)</sup>* |
|  Bank of America N.A | $328458 | $(328458) | $— | $— | $— |
|  Barclays Bank PLC | 122309 | (2064) |  |  | 120245 |
|  Deutsche Bank AG | 18066 | (357) |  | (17709) |  |
|  Goldman Sachs Bank USA | 969628 | (140822) |  | (420000) | 408806 |
|  JPMorgan Chase Bank N.A | 496909 | (220762) |  | (40000) | 236147 |
|  | $1935370 | $(692463) | $— | $(477709) | $765198 |
| *Counterparty* | *Derivative<br>Liabilities<br>Subject to<br>an MNA by<br>Counterparty* | *Derivatives<br>Available<br>for Offset<sup>(a)</sup>* | *Non-*<br> *Cash<br>Collateral<br>Pledged<sup>(b)</sup>* | *Cash<br>Collateral<br>Pledged<sup>(b)</sup>* | *Net<br>Amount of<br>Derivative<br>Liabilities<sup>(d)</sup>* |
|  Bank of America N.A | $563691 | $(328458) | $— | $— | $235233 |
|  Barclays Bank PLC | 2064 | (2064) |  |  |  |
|  Deutsche Bank AG | 357 | (357) |  |  |  |
|  Goldman Sachs Bank USA | 140822 | (140822) |  |  |  |
|  JPMorgan Chase Bank N.A | 220762 | (220762) |  |  |  |
|  | $927696 | $(692463) | $— | $— | $235233 |

---

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

<sup>(b)</sup> Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

<sup>(c)</sup> Net amount represents the net amount receivable from the counterparty in the event of default. 

<sup>(d)</sup> 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 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds | $— | $380905297 | $838086 | $381743383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Agency Obligations |  | 3967084 |  | 3967084 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Government Obligations |  | 12750818 |  | 12750818 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds |  | 3719684 |  | 3719684 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Preferred Securities |  | 13961378 |  | 13961378 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations |  | 13015831 |  | 13015831 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 10153541 |  |  | 10153541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options Purchased |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts |  | 1195330 |  | 1195330 |
|  | $10153541 | $429515422 | $838086 | $440507049 |
|  Derivative Financial Instruments<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | $— | $118257 | $— | $118257 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | 275585 | 89192 |  | 364777 |

---

54 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series C Portfolio** |

---

#### Fair Value Hierarchy as of Period End (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | *Level 1* | *Level 2* | *Level 3* | *Total* |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | $— | $(25696) | $— | $(25696) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (109189) | (1116678) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | (1225867) |
|  | $166396 | $(934925) | $— | $(768529) |

---

<sup>(a)</sup> 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 55

------

---

| | |
|:---|:---|
| Schedule of Investments<br> March 31, 2025 | **BATS: Series E Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Municipal Bonds** |  |  |
| **Alabama — 4.9%** |  |  |
|  Black Belt Energy Gas District, Refunding RB, 4.00%, 06/01/51<sup>(a)</sup> | USD 1,100 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1097726 |
|  County of Jefferson Sewer Revenue, Refunding RB, 5.25%, 10/01/49 | 3020 | 3120105 |
|  Energy Southeast A Cooperative District, RB, Series B, 5.25%, 07/01/54<sup>(a)</sup> | 545 | 582043 |
|  Hoover IDB, RB, AMT, 6.38%, 11/01/50<sup>(a)</sup> | 1295 | 1440394 |
|  Mobile County IDA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series A, 5.00%, 06/01/54 | 5180 | 5131103 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series B, 4.75%, 12/01/54 | 3970 | 3761154 |
|  Southeast Alabama Gas Supply District (The) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 06/01/49<sup>(a)</sup> | 3000 | 3151711 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 5.00%, 08/01/54<sup>(a)</sup> | 4000 | 4232101 |
|  Southeast Energy Authority A Cooperative District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 4.00%, 11/01/51<sup>(a)</sup> | 1785 | 1790210 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 01/01/56<sup>(a)</sup> | 1000 | 1035813 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A-1, 5.50%, 01/01/53<sup>(a)</sup> | 655 | 692458 |
|  |  | 26034818 |
| **Arizona — 2.5%** |  |  |
|  Arizona IDA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 07/01/45<sup>(b)</sup> | 265 | 239376 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 7.10%, 01/01/55<sup>(b)</sup> | 900 | 911528 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 07/01/55<sup>(b)</sup> | 285 | 246411 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series B, 5.13%, 07/01/47<sup>(b)</sup> | 195 | 187718 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.50%, 07/01/52<sup>(b)</sup> | 610 | 578944 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 5.00%, 07/01/26<sup>(b)</sup> | 125 | 125791 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 5.13%, 07/01/37<sup>(b)</sup> | 605 | 607164 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series G, 5.00%, 07/01/47<sup>(b)</sup> | 185 | 178196 |
|  City of Phoenix IDA (The), RB, 5.00%, 07/01/46<sup>(b)</sup> | 570 | 540852 |
|  County of Pima IDA (The) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.13%, 07/01/39 | 145 | 136423 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.25%, 07/01/49 | 180 | 159692 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 4.00%, 06/15/51<sup>(b)</sup> | 625 | 512182 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 07/01/56<sup>(b)</sup> | 295 | 238080 |
|  Glendale IDA, RB, 5.00%, 05/15/56 | 305 | 281249 |
|  La Paz County IDA, RB, 5.88%, 06/15/48<sup>(b)</sup> | 285 | 276348 |
|  Maricopa County IDA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.25%, 10/01/40<sup>(b)</sup> | 280 | 254796 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.50%, 10/01/51<sup>(b)</sup> | 280 | 243885 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 4.00%, 10/15/47<sup>(b)</sup> | 5970 | 5156357 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 4.13%, 09/01/38 | 230 | 225398 |
|  Salt Verde Financial Corp., RB, 5.00%, 12/01/37 | 500 | 531098 |
|  Sierra Vista IDA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 06/15/34<sup>(b)</sup> | 45 | 46473 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 06/15/44<sup>(b)</sup> | 395 | 388525 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 06/15/54<sup>(b)</sup> | 440 | 419828 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 6.38%, 06/15/64<sup>(b)</sup> | 445 | 455014 |
|  |  | 12941328 |
| **Arkansas — 1.9%** |  |  |
|  Arkansas Development Finance Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 4.50%, 09/01/49<sup>(b)</sup> | 2600 | 2472332 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 4.75%, 09/01/49<sup>(b)</sup> | 4165 | 4017360 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 5.45%, 09/01/52 | 2000 | 2054992 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 5.70%, 05/01/53 | 350 | 364722 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series A, 6.88%, 07/01/48<sup>(b)</sup> | 900 | 982184 |
|  |  | 9891590 |
| **California — 7.0%** |  |  |
|  California HFA, RB, Series 2021-3, Class A, 3.25%, 08/20/36 | 928 | 849727 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **California (continued)** |  |  |
|  California Infrastructure & Economic Development Bank, Refunding RB, AMT, Series A, 9.50%, 01/01/65<sup>(a)(b)</sup> | USD 20,270 | $&nbsp;&nbsp;&nbsp;&nbsp;20244662 |
|  California Municipal Finance Authority RB, 5.63%, 07/01/44<sup>(b)</sup> | 150 | 150012 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 4.00%, 07/15/29 | 2500 | 2471984 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Tax Bonds, Series A, 5.00%, 09/01/54 | 355 | 361478 |
|  California Public Finance Authority, RB, Series A, 6.50%, 06/01/54<sup>(b)</sup> | 2270 | 2199455 |
|  California School Finance Authority, Refunding RB, 5.00%, 07/01/51<sup>(b)</sup> | 300 | 294757 |
|  California Statewide Financing Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 6.00%, 05/01/43 | 315 | 315127 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 6.00%, 05/01/43 | 85 | 85032 |
|  City of Los Angeles Department of Airports, RB, AMT, 5.25%, 05/15/47 | 1500 | 1562761 |
|  CSCDA Community Improvement Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 4.00%, 10/01/46<sup>(b)</sup> | 1055 | 834258 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 4.00%, 07/01/56<sup>(b)</sup> | 205 | 158077 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 4.00%, 03/01/57<sup>(b)</sup> | 505 | 381781 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 4.00%, 07/01/58<sup>(b)</sup> | 300 | 172847 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 4.00%, 07/01/58<sup>(b)</sup> | 265 | 181235 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 4.00%, 12/01/59<sup>(b)</sup> | 435 | 276321 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 3.00%, 09/01/56<sup>(b)</sup> | 1090 | 721000 |
|  Golden State Tobacco Securitization Corp., Refunding RB, Series B-2, 0.00%, 06/01/66<sup>(c)</sup> | 29390 | 3156701 |
|  Hastings Campus Housing Finance Authority, RB, Series A, 0.00%, 07/01/61<sup>(b)(c)</sup> | 1045 | 516688 |
|  Inland Empire Tobacco Securitization Corp., RB, Series C-1, 0.00%, 06/01/36<sup>(c)</sup> | 3845 | 1831125 |
|  Rancho Mirage Community Facilities District, Special Tax Bonds, Series A, 5.00%, 09/01/54 | 330 | 333808 |
|  |  | 37098836 |
| **Colorado — 3.8%** |  |  |
|  Amber Creek Metropolitan District, GO, Refunding, Series A, 5.13%, 12/01/47 | 1000 | 836080 |
|  Aviation Station North Metropolitan District No. 2, GO, Series A, 5.00%, 12/01/48 | 500 | 455561 |
|  Banning Lewis Ranch Metropolitan District No. 8, GO, 4.88%, 12/01/51<sup>(b)</sup> | 500 | 397585 |
|  Baseline Metropolitan District No. 1, GO, Series B, 6.75%, 12/15/54 | 530 | 528458 |
|  Canyons Metropolitan District No. 5, GO, Refunding, Series B, 6.50%, 12/01/54 | 500 | 510253 |
|  Centerra Metropolitan District No. 1, TA, 5.00%, 12/01/47<sup>(b)</sup> | 155 | 140409 |
|  City & County of Denver Airport System Revenue, Refunding RB, AMT,<br>Series A, 4.13%, 11/15/53 | 455 | 402292 |
|  Colorado Educational & Cultural Facilities Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 4.00%, 12/01/30<sup>(b)</sup> | 100 | 97560 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 12/15/45<sup>(b)</sup> | 500 | 476304 |
|  Colorado Health Facilities Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.25%, 11/01/39 | 195 | 209023 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.50%, 11/01/47 | 120 | 126503 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.25%, 11/01/52 | 305 | 315918 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 05/15/35 | 250 | 216654 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 05/15/44 | 270 | 210392 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 05/15/49 | 420 | 310819 |
|  Creekwalk Marketplace Business Improvement District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 6.00%, 12/01/54 | 2025 | 1948362 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series B, 8.00%, 12/15/54 | 513 | 508701 |
|  Denver Convention Center Hotel Authority, Refunding RB, 5.00%, 12/01/40 | 950 | 958076 |

---

56 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series E Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Colorado (continued)** |  |  |
|  Elbert County Independence Water & Sanitation District, Refunding RB, 5.13%, 12/01/33 | USD 500 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;501908 |
|  Gold Hill North Business Improvement District, GO, Series A, 5.60%, 12/01/54<sup>(b)</sup> | 500 | 494620 |
|  Highlands Metropolitan District No. 1, GO, 5.00%, 12/01/51 | 575 | 485820 |
|  Independence Metropolitan District No. 3 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Series B, 7.13%, 12/15/54 | 500 | 499480 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Refunding, Series A, 5.38%, 12/01/54 | 680 | 664829 |
|  Lanterns Metropolitan District No. 2, GO, Series A, 4.50%, 12/01/50 | 500 | 386863 |
|  Loretto Heights Community Authority, RB, 4.88%, 12/01/51 | 570 | 452048 |
|  North Holly Metropolitan District, GO, Series A, 5.50%, 12/01/48 | 500 | 487857 |
|  North Range Metropolitan District No. 3, GO, Series A, 5.25%, 12/01/50 | 500 | 487018 |
|  Orchard Park Place South Metropolitan District, GO, 6.00%, 12/01/54<sup>(b)</sup> | 940 | 948261 |
|  Palisade Metropolitan District No. 2, Refunding RB, Series B, 0.00%, 12/15/54<sup>(b)(c)</sup> | 1020 | 888943 |
|  Redtail Ridge Metropolitan District, GO, 0.00%, 12/01/32<sup>(c)</sup> | 3999 | 2562903 |
|  Riverpark Metropolitan District/Arapahoe County, GO, 6.00%, 12/01/42 | 500 | 496152 |
|  Southlands Metropolitan District No. 1, GO, Refunding, Series A-1, 5.00%, 12/01/37 | 250 | 251722 |
|  St. Vrain Lakes Metropolitan District No. 4, GO, Series A, 0.00%, 09/20/54<sup>(b)(c)</sup> | 765 | 547935 |
|  Waters' Edge Metropolitan District No. 2, GO, 5.00%, 12/01/51 | 560 | 500411 |
|  Westcreek Metropolitan District No. 2, GO, Series A, 5.38%, 12/01/48 | 500 | 472304 |
|  |  | 19778024 |
| **Connecticut — 0.8%** |  |  |
|  Connecticut State Health & Educational Facilities Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.38%, 07/01/54 | 775 | 775909 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 01/01/55<sup>(b)</sup> | 570 | 477211 |
|  Mohegan Tribal Finance Authority, RB, 7.00%, 02/01/45<sup>(b)</sup> | 2430 | 2419772 |
|  Stamford Housing Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 10/01/55<sup>(d)</sup> | 375 | 384951 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 10/01/60<sup>(d)</sup> | 260 | 262339 |
|  |  | 4320182 |
| **Delaware — 0.3%** |  |  |
|  Affordable Housing Opportunities Trust, RB, Series AH-01, Class B, 6.88%, 05/01/39<sup>(b)</sup> | 663 | 630233 |
|  Town of Bridgeville |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Tax Bonds, 5.25%, 07/01/44<sup>(b)</sup> | 100 | 100113 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Tax Bonds, 5.63%, 07/01/53<sup>(b)</sup> | 100 | 100649 |
|  Town of Milton |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Tax Bonds, 5.70%, 09/01/44<sup>(b)</sup> | 150 | 151374 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Tax Bonds, 5.95%, 09/01/53<sup>(b)</sup> | 300 | 303848 |
|  |  | 1286217 |
| **District of Columbia — 0.9%** |  |  |
|  District of Columbia, Refunding RB, 5.00%, 06/01/46 | 580 | 563562 |
|  District of Columbia Tobacco Settlement Financing Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 0.00%, 06/15/46<sup>(c)</sup> | 10325 | 2568822 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 0.00%, 06/15/55<sup>(c)</sup> | 17300 | 1790248 |
|  |  | 4922632 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Florida — 11.8%** |  |  |
|  Antillia Community Development District, Special Assessment RB, 5.88%, 05/01/54 | USD 220 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;229382 |
|  Arbors Community Development District, Special Assessment RB, 5.50%, 05/01/55<sup>(b)</sup> | 1000 | 937961 |
|  Bella Collina Community Development District, Special Assessment RB, 5.30%, 05/01/55 | 155 | 147453 |
|  Berry Bay II Community Development District, Special Assessment RB, 5.45%, 05/01/54 | 225 | 227884 |
|  Brevard County Health Facilities Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 4.00%, 11/15/26<sup>(b)</sup> | 475 | 471371 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 4.00%, 11/15/28<sup>(b)</sup> | 510 | 500252 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 4.00%, 11/15/30<sup>(b)</sup> | 555 | 526946 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 4.00%, 11/15/34<sup>(b)</sup> | 650 | 590814 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 04/01/47 | 505 | 515720 |
|  Buckhead Trails Community Development District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.60%, 05/01/44 | 350 | 353153 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, Series 2022, 5.75%, 05/01/52 | 210 | 223294 |
|  Capital Projects Finance Authority, RB, 6.63%, 06/15/59<sup>(b)</sup> | 145 | 148791 |
|  Capital Region Community Development District, Special Assessment Refunding RB, Series A-2, 4.60%, 05/01/31 | 460 | 461073 |
|  Capital Trust Agency, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 01/01/55<sup>(b)</sup> | 1570 | 1438688 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 4.88%, 06/15/56<sup>(b)</sup> | 1335 | 1040281 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 0.00%, 07/01/61<sup>(b)(c)</sup> | 10070 | 708633 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 06/15/49<sup>(b)</sup> | 100 | 87813 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 12/15/49 | 265 | 252842 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.75%, 06/01/54<sup>(b)</sup> | 420 | 336297 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 12/15/54 | 285 | 267740 |
|  Capital Trust Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 07/01/44<sup>(b)</sup> | 200 | 180099 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.25%, 07/01/54<sup>(b)</sup> | 350 | 310894 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 4.75%, 06/15/40<sup>(b)</sup> | 135 | 129047 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 5.13%, 06/15/50<sup>(b)</sup> | 125 | 118422 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 5.25%, 06/15/59<sup>(b)</sup> | 170 | 161252 |
|  Celebration Pointe Community Development District No. 1, Special Assessment RB, 5.13%, 05/01/45<sup>(e)(f)</sup> | 235 | 232650 |
|  Coral Creek Community Development District, Special Assessment RB, 5.75%, 05/01/54 | 140 | 144721 |
|  County of Lee Airport Revenue, RB, AMT, 5.25%, 10/01/54 | 3000 | 3074188 |
|  County of Miami-Dade Seaport Department, Refunding RB, AMT, Series A, 5.25%, 10/01/52 | 460 | 471005 |
|  County of Osceola Transportation Revenue |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A-2, 0.00%, 10/01/46<sup>(c)</sup> | 935 | 322694 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A-2, 0.00%, 10/01/47<sup>(c)</sup> | 900 | 293786 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A-2, 0.00%, 10/01/48<sup>(c)</sup> | 635 | 195311 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A-2, 0.00%, 10/01/49<sup>(c)</sup> | 525 | 152399 |
|  Crossings Community Development District, Special Assessment RB, 5.60%, 05/01/54 | 145 | 148478 |
|  Crosswinds East Community Development District, Special Assessment RB, 5.75%, 05/01/54 | 105 | 108540 |
|  Curiosity Creek Community Development District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.40%, 05/01/44<sup>(b)</sup> | 110 | 104384 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.70%, 05/01/55<sup>(b)</sup> | 180 | 166806 |
|  Darby Community Development District, Special Assessment RB, Series 2, 5.88%, 05/01/35 | 700 | 714270 |
|  Escambia County Health Facilities Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 4.00%, 08/15/45 | 3060 | 2687672 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, (AGM), 3.00%, 08/15/50 | 2500 | 1773432 |
|  Florida Development Finance Corp. RB, 5.25%, 06/01/55<sup>(b)</sup> | 645 | 609815 |

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series E Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Florida (continued)** |  |  |
|  Florida Development Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.13%, 06/15/55<sup>(b)</sup> | USD 2,490 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2120374 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 6.50%, 06/30/57<sup>(b)(e)(f)</sup> | 151 | 40005 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 6.13%, 06/15/44<sup>(b)</sup> | 45 | 45007 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series C, 5.75%, 12/15/56<sup>(b)</sup> | 370 | 289967 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 6.13%, 07/01/32<sup>(a)(b)</sup> | 1375 | 1399847 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series A, 4.38%, 10/01/54<sup>(a)(b)</sup> | 680 | 680977 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series A, 8.25%, 07/01/57<sup>(a)(b)</sup> | 1000 | 1037737 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series A, 10.00%,<br>07/15/59<sup>(a)(b)</sup> | 2580 | 2654983 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 4.00%, 06/01/46<sup>(b)</sup> | 300 | 244346 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 4.50%, 12/15/56<sup>(b)</sup> | 1085 | 761406 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, 12.00%, 07/15/32<sup>(a)(b)</sup> | 2800 | 2998348 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, (AGM), 5.25%, 07/01/53 | 2460 | 2539946 |
|  Gardens at Hammock Beach Community Development District, Special Assessment RB, Series 2, 5.88%, 05/01/55 | 710 | 722226 |
|  Golden Gem Community Development District, Special Assessment RB, 6.00%, 05/01/55 | 1185 | 1227410 |
|  Grand Oaks Community Development District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 4.25%, 05/01/40 | 210 | 200195 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 4.50%, 05/01/52 | 235 | 216241 |
|  Greenbriar Community Development District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.65%, 05/01/45 | 185 | 182994 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.88%, 05/01/54 | 220 | 214577 |
|  Hammock Oaks Community Development District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.85%, 05/01/44 | 265 | 274658 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 05/01/45<sup>(b)(d)</sup> | 220 | 220215 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 05/01/55<sup>(b)(d)</sup> | 335 | 335035 |
|  Harbor Bay Community Development District, Special Assessment Refunding RB, Series A-2, 3.70%, 05/01/33 | 370 | 347314 |
|  Hillcrest Preserve Community Development District, Special Assessment RB, 5.30%, 05/01/54<sup>(b)</sup> | 270 | 270460 |
|  Hobe-St. Lucie Conservancy District, Special Assessment RB, 5.88%, 05/01/55 | 165 | 171871 |
|  Lakes of Sarasota Community Development District 2 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, Series A, 5.50%, 05/01/45 | 630 | 613614 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, Series A, 5.70%, 05/01/55 | 765 | 731388 |
|  Lakewood Ranch Stewardship District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 3.13%, 05/01/25 | 70 | 69955 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 3.25%, 05/01/29 | 225 | 220713 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 4.75%, 05/01/29 | 180 | 182095 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 4.88%, 05/01/35 | 150 | 150011 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 4.40%, 05/01/39 | 520 | 497128 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.30%, 05/01/39 | 205 | 208494 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.30%, 05/01/44 | 100 | 101995 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.45%, 05/01/48 | 365 | 368917 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.55%, 05/01/54 | 105 | 107041 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.50%, 05/01/55 | 765 | 776379 |
|  Lee County IDA, RB, Series B-1, 4.75%, 11/15/29 | 260 | 261275 |
|  Lowery Hills Community Development District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 05/01/45<sup>(b)(d)</sup> | 160 | 159382 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 05/01/55<sup>(b)(d)</sup> | 220 | 217406 |
|  LT Ranch Community Development District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.50%, 05/01/44 | 205 | 212050 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.85%, 05/01/54 | 150 | 156129 |
|  LTC Ranch West Residential Community Development District, Special Assessment RB, 5.70%, 05/01/44 | 115 | 116628 |
|  Malabar Springs Community Development District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.20%, 05/01/44 | 165 | 167191 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.50%, 05/01/54 | 250 | 254135 |

---

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| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Florida (continued)** |  |  |
|  Marion Ranch Community Development District, Special Assessment RB, 5.95%, 05/01/54 | USD 285 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;298681 |
|  Normandy Community Development District, Special Assessment RB, 5.55%, 05/01/54<sup>(b)</sup> | 415 | 423409 |
|  North AR-1 Pasco Community Development District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, Series A, 5.75%, 05/01/44 | 100 | 105245 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, Series A, 6.00%, 05/01/54 | 110 | 115673 |
|  Orange County Health Facilities Authority RB, 5.00%, 08/01/35 | 250 | 250946 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 4.50%, 10/01/56 | 5145 | 4953212 |
|  Osceola Chain Lakes Community Development District, Special Assessment RB, 3.25%, 05/01/25 | 125 | 124935 |
|  Parker Road Community Development District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment Refunding RB, 3.10%, 05/01/25 | 100 | 99885 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment Refunding RB, 3.38%, 05/01/30 | 335 | 320567 |
|  Parrish Lakes Community Development District, Special Assessment RB, 5.80%, 05/01/54 | 485 | 503855 |
|  Parrish Plantation Community Development District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.80%, 05/01/44 | 120 | 126726 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 6.05%, 05/01/54 | 230 | 242683 |
|  Pioneer Ranch Community Development District, Special Assessment RB, 5.30%, 05/01/55 | 1000 | 906694 |
|  Poitras East Community Development District, Special Assessment RB, 5.00%, 05/01/43 | 355 | 355257 |
|  Portico Community Development District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, Series 2, 3.25%, 05/01/31 | 100 | 95218 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, Series 2, 4.00%, 05/01/50 | 425 | 353399 |
|  Preserve at South Branch Community Development District, Special Assessment RB, 3.50%, 11/01/30 | 200 | 196106 |
|  Sandridge Community Development District, Special Assessment RB, Series A1, 4.00%, 05/01/51 | 130 | 111982 |
|  Seminole County IDA, Refunding RB, 5.75%, 11/15/54 | 595 | 584908 |
|  Seminole Palms Community Development District, Special Assessment RB, 5.50%, 05/01/55<sup>(b)</sup> | 270 | 274187 |
|  Shadowlawn Community Development District, Special Assessment RB, 5.85%, 05/01/54 | 920 | 930992 |
|  Southern Groves Community Development District No. 5, Special Assessment Refunding RB, 3.60%, 05/01/34 | 365 | 336603 |
|  Tolomato Community Development District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 4.80%, 05/01/44 | 600 | 553495 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.13%, 05/01/54 | 605 | 552037 |
|  Tradition Community Development District No. 9 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 05/01/45<sup>(d)</sup> | 160 | 158171 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 05/01/56<sup>(d)</sup> | 225 | 221361 |
|  Trout Creek Community Development District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.00%, 05/01/28 | 140 | 141963 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.63%, 05/01/45 | 200 | 200074 |
|  Volusia County Educational Facility Authority, RB, 5.25%, 06/01/49 | 705 | 714208 |
|  West Villages Improvement District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 4.75%, 05/01/39 | 190 | 188138 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.00%, 05/01/50 | 290 | 281200 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.63%, 05/01/54 | 220 | 225454 |
|  Westside Community Development District, Special Assessment Refunding RB, 3.75%, 05/01/29<sup>(b)</sup> | 805 | 797869 |
|  Westside Haines City Community Development District, Special Assessment RB, 6.00%, 05/01/54 | 165 | 168720 |
|  Windward at Lakewood Ranch Community Development District, Special Assessment RB, 4.25%, 05/01/52 | 165 | 141362 |
|  |  | 62389533 |

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58 2 0 2 5 B L A C K R O C K 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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series E Portfolio**<br> **(Percentages shown are based on Net Assets)** |

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| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Georgia — 0.9%** |  |  |
|  Atlanta Development Authority (The) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; TA, Series A-1, 5.00%, 04/01/34<sup>(b)</sup> | USD 470 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;470755 |
| &nbsp;&nbsp;&nbsp;&nbsp; TA, Series A-2, 5.50%, 04/01/39<sup>(b)</sup> | 720 | 737489 |
|  Development Authority of Cobb County (The), RB, Series A, 6.38%, 06/15/58<sup>(b)</sup> | 145 | 145976 |
|  East Point Business & IDA, RB, Series A, 5.25%, 06/15/62<sup>(b)</sup> | 150 | 142624 |
|  Main Street Natural Gas, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 05/15/49 | 905 | 942715 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series B, 5.00%, 12/01/52<sup>(a)</sup> | 1635 | 1701349 |
|  Municipal Electric Authority of Georgia, RB, 5.00%, 07/01/52 | 645 | 650500 |
|  |  | 4791408 |
| **Idaho — 0.1%** |  |  |
|  Idaho Health Facilities Authority, RB, 4.00%, 12/01/43 | 330 | 305199 |
| **Illinois — 3.4%** |  |  |
|  Chicago Board of Education |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Series A, 5.00%, 12/01/42 | 1500 | 1476915 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Series A, 7.00%, 12/01/46<sup>(b)</sup> | 250 | 261750 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Series D, 5.00%, 12/01/46 | 1620 | 1578421 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Series D, 5.00%, 12/01/46 | 685 | 667709 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Refunding, Series B, 4.00%, 12/01/41 | 930 | 826039 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Refunding, Series C, 5.00%, 12/01/34 | 625 | 629520 |
|  Chicago Transit Authority Sales Tax Receipts Fund, Refunding RB, Series A, 5.00%, 12/01/49 | 4635 | 4773848 |
|  City of Marion Sales Tax Revenue |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 6.38%, 06/01/45 | 605 | 603465 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 6.63%, 06/01/55 | 1120 | 1131514 |
|  County of Cook, RB, 6.50%, 01/01/45 | 1125 | 1148186 |
|  Illinois Finance Authority, Refunding RB, 6.13%, 02/01/45 | 150 | 150025 |
|  Illinois State Toll Highway Authority, RB, Series A, 4.00%, 01/01/46 | 2000 | 1831031 |
|  Metropolitan Pier & Exposition Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.50%, 06/15/53 | 390 | 391283 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 06/15/57 | 660 | 660266 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 4.00%, 06/15/50 | 1895 | 1638043 |
|  Village of Lincolnwood Il, RB, Series B, 5.75%, 12/01/43<sup>(b)</sup> | 265 | 269876 |
|  |  | 18037891 |
| **Indiana — 0.3%** |  |  |
|  City of Valparaiso, Refunding RB, AMT, 4.50%, 01/01/34<sup>(b)</sup> | 175 | 179972 |
|  City of Vincennes, Refunding RB, 6.25%, 01/01/29<sup>(b)(e)(f)</sup> | 325 | 198250 |
|  Indiana Finance Authority, RB, AMT, 6.75%, 05/01/39 | 640 | 722634 |
|  Indianapolis Local Public Improvement Bond Bank, RB, Series E, 6.00%, 03/01/53 | 400 | 419854 |
|  |  | 1520710 |
| **Iowa — 0.5%** |  |  |
|  Iowa Finance Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 5.13%, 05/15/59 | 725 | 707557 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series E, 4.00%, 08/15/46 | 570 | 509415 |
|  Iowa Student Loan Liquidity Corp., Refunding RB, AMT, 3.50%, 12/01/44 | 2000 | 1538635 |
|  |  | 2755607 |
| **Kentucky — 0.8%** |  |  |
|  City of Henderson, RB, AMT, 4.70%, 01/01/52<sup>(b)</sup> | 1895 | 1811750 |
|  Kentucky Public Energy Authority, RB, Series C, 4.00%, 02/01/50<sup>(a)</sup> | 2310 | 2322487 |
|  |  | 4134237 |
| **Louisiana — 0.8%** |  |  |
|  Louisiana Public Facilities Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.25%, 06/01/60<sup>(b)</sup> | 1225 | 966822 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Louisiana (continued)** |  |  |
|  Louisiana Public Facilities Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 6.50%, 06/01/62<sup>(b)</sup> | USD 150 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;142936 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 5.50%, 09/01/59 | 1335 | 1379878 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series R2, 6.50%,<br>10/01/53<sup>(a)(b)</sup> | 505 | 538776 |
|  Parish of St. James, RB, Series 2, 6.35%, 07/01/40<sup>(b)</sup> | 950 | 1028778 |
|  |  | 4057190 |
| **Maine — 0.6%** |  |  |
|  Finance Authority of Maine |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 9.50%, 12/31/32 | 398 | 397500 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 8.00%, 12/01/51<sup>(b)(e)(f)</sup> | 670 | 219425 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, 4.63%,<br>12/01/47<sup>(a)(b)</sup> | 400 | 399664 |
|  Maine Health & Higher Educational Facilities Authority, Refunding RB, 4.00%, 07/01/37<sup>(b)</sup> | 2100 | 1881173 |
|  |  | 2897762 |
| **Maryland — 1.4%** |  |  |
|  City of Baltimore |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 4.88%, 06/01/42 | 170 | 170657 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding TA, 3.20%, 06/01/30<sup>(b)</sup> | 200 | 189868 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding TA, 3.25%, 06/01/31<sup>(b)</sup> | 225 | 211679 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding TA, 3.30%, 06/01/32<sup>(b)</sup> | 500 | 466139 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding TA, 3.35%, 06/01/33<sup>(b)</sup> | 540 | 499299 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding TA, 3.40%, 06/01/34<sup>(b)</sup> | 570 | 523033 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding TA, 3.45%, 06/01/35<sup>(b)</sup> | 610 | 556119 |
|  Maryland Community Development Administration, RB, Series 1, (FNMA COL), 4.35%, 02/01/44 | 2500 | 2355815 |
|  Maryland EDC, RB, AMT, 5.25%, 06/30/47 | 570 | 579800 |
|  Maryland Health & Higher Educational Facilities Authority, RB, 7.00%, 03/01/55<sup>(b)</sup> | 1940 | 2001094 |
|  |  | 7553503 |
| **Massachusetts — 0.7%** |  |  |
|  Massachusetts Development Finance Agency |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 01/01/48 | 1000 | 997795 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 10/01/54 | 710 | 607504 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 01/01/47 | 500 | 494043 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series N, 5.00%, 07/01/44 | 500 | 500017 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 10/01/57<sup>(b)</sup> | 500 | 481510 |
|  Massachusetts HFA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, Series A, 4.45%, 12/01/42 | 310 | 294793 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, Series A, 4.50%, 12/01/47 | 490 | 468092 |
|  |  | 3843754 |
| **Michigan — 0.5%** |  |  |
|  Michigan Strategic Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 11/15/42 | 210 | 210312 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 4.00%, 10/01/61<sup>(a)</sup> | 1200 | 1200069 |
|  Wayne County Airport Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series B, 5.00%, 12/01/44 | 500 | 500121 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series D, 5.00%, 12/01/40 | 500 | 501225 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 5.00%, 12/01/39 | 250 | 240634 |
|  |  | 2652361 |
| **Minnesota — 0.7%** |  |  |
|  City of Deephaven, Refunding RB, 5.25%, 07/01/37 | 605 | 605372 |
|  City of Eagan, RB, Series A, 6.38%, 02/01/55<sup>(b)</sup> | 100 | 94324 |
|  City of Forest Lake, Refunding RB, 5.00%, 07/01/56 | 2140 | 1749566 |
|  Duluth EDA, Refunding RB, 5.25%, 02/15/58 | 425 | 425764 |
|  Housing & Redevelopment Authority of the City of St. Paul, RB, Series A, 5.50%, 07/01/38<sup>(b)</sup> | 240 | 240369 |
|  Minnesota HFA, RB, Series M, (GNMA/FNMA/FHLMC COL), 6.00%, 01/01/53 | 625 | 664872 |
|  |  | 3780267 |

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series E Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Missouri — 0.7%** |  |  |
|  City of St. Louis IDA (The) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 4.38%, 11/15/35 | USD 215 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;197077 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 5.75%, 06/15/54 | 585 | 597639 |
|  Kansas City IDA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A-1, 5.00%, 06/01/46<sup>(b)</sup> | 290 | 279586 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A-1, 5.00%, 06/01/54<sup>(b)</sup> | 185 | 173699 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series C, 7.50%, 11/15/46<sup>(e)(f)</sup> | 64 | 50270 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 5.00%, 03/01/54 | 1275 | 1276971 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 2.00%, 11/15/46<sup>(e)(f)</sup> | 52 | 2168 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 11/15/46<sup>(e)(f)</sup> | 116 | 78169 |
|  Kansas City Land Clearance Redevelopment Authority, TA, 5.00%, 02/01/40<sup>(b)</sup> | 260 | 254285 |
|  St. Louis County IDA, Refunding RB, 5.00%, 09/01/37 | 695 | 700366 |
|  |  | 3610230 |
| **Nebraska — 0.1%** |  |  |
|  Douglas County Hospital Authority No. 3, Refunding RB, 5.00%, 11/01/45 | 500 | 500119 |
| **Nevada — 0.1%** |  |  |
|  City of Las Vegas Special Improvement District No. 613 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.25%, 12/01/47 | 110 | 109943 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.50%, 12/01/53 | 100 | 101019 |
|  Tahoe-Douglas Visitors Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 07/01/40 | 215 | 219550 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 07/01/45 | 280 | 282537 |
|  |  | 713049 |
| **New Hampshire — 2.6%** |  |  |
|  New Hampshire Business Finance Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.38%, 12/01/31<sup>(b)</sup> | 1245 | 1226548 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 0.00%, 04/01/32<sup>(b)(c)</sup> | 550 | 360963 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 0.00%, 12/15/33<sup>(b)(c)</sup> | 4735 | 2730426 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.25%, 12/01/35<sup>(b)</sup> | 4950 | 4939056 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.38%, 12/15/35<sup>(b)</sup> | 1710 | 1689792 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series 2024-1, Class A, 4.25%, 07/01/51 | 618 | 596351 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 4.13%, 08/15/40 | 320 | 283082 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 4.15%, 10/20/40<sup>(a)</sup> | 1080 | 1034569 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 4.25%, 08/15/46 | 365 | 304345 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 4.50%, 08/15/55 | 755 | 614286 |
|  |  | 13779418 |
| **New Jersey — 2.1%** |  |  |
|  New Jersey EDA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.25%, 11/01/54<sup>(b)</sup> | 945 | 824035 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series WW, 5.25%, 06/15/40 | 55 | 55258 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series WW, 5.25%, 06/15/40 | 945 | 949163 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 6.50%, 04/01/31 | 70 | 72255 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 6.00%, 08/01/49<sup>(b)</sup> | 250 | 249990 |
|  New Jersey Health Care Facilities Financing Authority, RB, 4.00%, 07/01/51 | 1065 | 966181 |
|  New Jersey Higher Education Student Assistance Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series B, 4.25%, 12/01/45 | 275 | 269293 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, Series C, 4.25%, 12/01/50 | 1540 | 1334984 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, Sub-Series C, 3.63%, 12/01/49 | 820 | 621715 |
|  New Jersey Transportation Trust Fund Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series AA, 5.25%, 06/15/41 | 205 | 205716 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series AA, 4.00%, 06/15/45 | 3000 | 2752310 |
|  Tobacco Settlement Financing Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 5.00%, 06/01/35 | 375 | 384228 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Sub-Series B, 5.00%, 06/01/46 | 2560 | 2521526 |
|  |  | 11206654 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **New York — 6.9%** |  |  |
|  Build NYC Resource Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 6.13%, 07/01/43 | USD 385 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;404932 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 6.38%, 07/01/53 | 705 | 732027 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, 5.00%, 01/01/35<sup>(b)</sup> | 485 | 469555 |
|  County of Cattaraugus, RB, 5.00%, 05/01/44 | 195 | 195027 |
|  Hempstead Town Local Development Corp., RB, 5.00%, 07/01/44 | 500 | 500037 |
|  Huntington Local Development Corp., RB, Series A, 5.25%, 07/01/56 | 125 | 105809 |
|  Metropolitan Transportation Authority, RB, Series B, 3.00%, 11/15/25 | 165 | 164626 |
|  New York City Housing Development Corp. RB, Series C-1, 4.20%, 11/01/44 | 1000 | 951426 |
|  Refunding RB, Series A, 4.15%, 11/01/38 | 1265 | 1237836 |
|  New York Counties Tobacco Trust IV, Refunding RB, Series A, 5.00%, 06/01/42 | 915 | 798684 |
|  New York Counties Tobacco Trust VI, Refunding RB, Series 2B, 5.00%, 06/01/51 | 835 | 737671 |
|  New York State Dormitory Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 3.00%, 03/15/51 | 800 | 590104 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 5.00%, 03/15/55 | 1960 | 2039526 |
|  New York State Thruway Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 4.00%, 03/15/49 | 3690 | 3351544 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series B, 4.00%, 01/01/45 | 1190 | 1110447 |
|  New York Transportation Development Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 5.00%, 10/01/35 | 3710 | 3813767 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 5.63%, 04/01/40 | 500 | 525369 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 5.00%, 12/01/40 | 830 | 843219 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 4.00%, 04/30/53 | 640 | 526502 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 6.00%, 06/30/54 | 6000 | 6407518 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 5.50%, 06/30/60 | 5000 | 5166762 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, 5.38%, 08/01/36 | 865 | 890846 |
|  Oneida Indian Nation of New York, RB, Series B, 6.00%, 09/01/43<sup>(b)</sup> | 270 | 293747 |
|  Suffolk Regional Off-Track Betting Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 12/01/34 | 405 | 408565 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.75%, 12/01/44 | 700 | 712930 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 6.00%, 12/01/53 | 1000 | 1020849 |
|  Westchester County Local Development Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 07/01/41<sup>(b)</sup> | 510 | 515123 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 07/01/56<sup>(b)</sup> | 560 | 541292 |
|  Westchester Tobacco Asset Securitization Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Sub-Series C, 4.00%, 06/01/42 | 670 | 584797 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Sub-Series C, 5.13%, 06/01/51 | 500 | 462972 |
|  |  | 36103509 |
| **North Carolina — 0.2%** |  |  |
|  North Carolina HFA, RB, (GNMA/FNMA/FHLMC), 6.00%, 07/01/53 | 735 | 782295 |
|  North Carolina Medical Care Commission, Refunding RB, Series A, 5.25%, 01/01/41 | 230 | 221832 |
|  |  | 1004127 |
| **North Dakota — 0.2%** |  |  |
|  City of Grand Forks, RB, Series A, (AGM), 5.00%, 12/01/53 | 350 | 353179 |
|  County of Cass, Refunding RB, 5.25%, 02/15/58 | 855 | 865510 |
|  |  | 1218689 |
| **Ohio — 3.1%** |  |  |
|  Buckeye Tobacco Settlement Financing Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series B-2, 5.00%, 06/01/55 | 7905 | 6962524 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series B-3, 0.00%, 06/01/57<sup>(c)</sup> | 14410 | 1506338 |

---

60 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series E Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Ohio (continued)** |  |  |
|  Cleveland-Cuyahoga County Port Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 5.38%, 01/01/39<sup>(b)</sup> | USD 145 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;140451 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 5.88%, 01/01/49<sup>(b)</sup> | 330 | 319364 |
|  County of Hamilton |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 01/01/46 | 190 | 185495 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 4.00%, 08/15/50 | 915 | 803522 |
|  County of Hardin |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 05/01/30 | 140 | 138415 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.25%, 05/01/40 | 145 | 137866 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.50%, 05/01/50 | 670 | 616535 |
|  Hickory Chase Community Authority, Refunding RB, 5.00%, 12/01/40<sup>(b)</sup> | 765 | 748365 |
|  Ohio Air Quality Development Authority, RB, AMT, 4.50%, 01/15/48<sup>(b)</sup> | 4715 | 4473468 |
|  State of Ohio, RB, AMT, Series P-3, 5.00%, 06/30/53 | 370 | 370047 |
|  |  | 16402390 |
| **Oklahoma — 1.0%** |  |  |
|  Oklahoma Development Finance Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 7.25%, 09/01/51<sup>(b)</sup> | 3290 | 3324373 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series B, 5.50%, 08/15/52 | 580 | 588468 |
|  Tulsa Authority for Economic Opportunity, TA, 4.38%, 12/01/41<sup>(b)</sup> | 235 | 221796 |
|  Tulsa County Industrial Authority, Refunding RB, 5.25%, 11/15/45 | 965 | 974870 |
|  |  | 5109507 |
| **Oregon — 1.7%** |  |  |
|  Clackamas County Hospital Facility Authority, Refunding RB, Series A, 5.25%, 11/15/50 | 200 | 195831 |
|  Clackamas County School District No. 12 North Clackamas, GO, Series A, (School Bond Guaranty), 0.00%, 06/15/38<sup>(c)</sup> | 275 | 148439 |
|  Oregon State Facilities Authority, RB, 5.25%, 06/15/55<sup>(b)</sup> | 305 | 270203 |
|  Port of Morrow, GO, Series A, 5.15%, 10/01/26<sup>(b)</sup> | 3515 | 3543289 |
|  Salem Hospital Facility Authority, Refunding RB, 4.00%, 05/15/49 | 5000 | 4502190 |
|  Yamhill County Hospital Authority, Refunding RB, 5.00%, 11/15/36 | 300 | 286985 |
|  |  | 8946937 |
| **Pennsylvania — 2.3%** |  |  |
|  Allegheny Community Broadband, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 7.75%, 09/01/45<sup>(b)</sup> | 160 | 158029 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 8.00%, 09/01/51<sup>(b)</sup> | 185 | 184106 |
|  Allentown Neighborhood Improvement Zone Development Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.25%, 05/01/32<sup>(b)</sup> | 100 | 103402 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.25%, 05/01/42<sup>(b)</sup> | 100 | 99316 |
|  Beaver County IDA, Refunding RB, Series B, 3.75%, 10/01/47 | 1085 | 894720 |
|  Bucks County IDA, RB, 4.00%, 07/01/46 | 200 | 166695 |
|  Doylestown Hospital Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 07/01/31<sup>(b)</sup> | 125 | 129180 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.38%, 07/01/39<sup>(b)</sup> | 290 | 307595 |
|  Geisinger Authority, Refunding RB, 4.00%, 04/01/50 | 2500 | 2226066 |
|  Lancaster Municipal Authority, RB, Series B, 5.00%, 05/01/54 | 100 | 97103 |
|  Montgomery County Higher Education & Health Authority, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 4.00%, 09/01/49 | 1135 | 1009505 |
|  Montgomery County IDA, RB, 5.00%, 11/15/45 | 875 | 886000 |
|  Pennsylvania Economic Development Financing Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 5.75%, 06/30/48 | 490 | 517291 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 5.25%, 06/30/53 | 770 | 785281 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Pennsylvania (continued)** |  |  |
|  Pennsylvania Economic Development Financing Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series B, 5.25%, 12/01/38<sup>(a)</sup> | USD 455 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;459500 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series C, 5.25%, 12/01/37<sup>(a)</sup> | 795 | 802862 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, 5.50%, 11/01/44 | 500 | 499976 |
|  Pennsylvania Higher Education Assistance Agency |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series B, 3.00%, 06/01/47 | 1010 | 694430 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Sub-Series 1C, 5.00%, 06/01/51 | 165 | 161014 |
|  Pennsylvania Higher Educational Facilities Authority, RB, 4.00%, 08/15/44 | 1045 | 983364 |
|  Philadelphia Authority for Industrial Development RB, 5.25%, 11/01/52 | 235 | 243289 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series 2015, 5.00%, 04/01/45 | 500 | 500000 |
|  School District of Philadelphia (The), GO, Series A, 5.50%, 09/01/48 | 265 | 281375 |
|  |  | 12190099 |
| **Puerto Rico — 7.6%** |  |  |
|  Children's Trust Fund, RB, Series A, 0.00%, 05/15/57<sup>(c)</sup> | 17040 | 1152464 |
|  Commonwealth of Puerto Rico |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Series A, 0.00%, 07/01/33<sup>(c)</sup> | 537 | 366680 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Series A1, 5.63%, 07/01/29 | 1049 | 1117953 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Series A1, 5.75%, 07/01/31 | 440 | 481222 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Series A1, 4.00%, 07/01/33 | 418 | 412569 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Series A1, 4.00%, 07/01/35 | 375 | 364045 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Series A1, 4.00%, 07/01/37 | 322 | 305942 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Series A1, 4.00%, 07/01/41 | 438 | 401138 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Series A1, 4.00%, 07/01/46 | 455 | 395851 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Sub-Series CW, 0.00%,<br>11/01/43<sup>(a)(c)(e)(f)</sup> | 2153 | 1345392 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Sub-Series CW/PRIFA, 0.00%, 11/01/51<sup>(a)(c)(e)(f)</sup> | 14563 | 7791270 |
|  Puerto Rico Electric Power Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 07/01/29<sup>(e)(f)</sup> | 385 | 185762 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 7.00%, 07/01/33<sup>(e)(f)</sup> | 1795 | 866087 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 6.75%, 07/01/36<sup>(e)(f)</sup> | 775 | 373937 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 07/01/42<sup>(e)(f)</sup> | 325 | 156812 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 7.00%, 07/01/43<sup>(e)(f)</sup> | 175 | 84438 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A-1, 10.00%, 07/01/19<sup>(e)(f)</sup> | 42 | 20270 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A-2, 10.00%, 07/01/19<sup>(e)(f)</sup> | 212 | 102262 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A-3, 10.00%, 07/01/19<sup>(e)(f)</sup> | 177 | 85411 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series B-3, 10.00%, 07/01/19<sup>(e)(f)</sup> | 177 | 85411 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series C-1, 5.40%, 01/01/18<sup>(e)(f)</sup> | 486 | 234662 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series C-2, 5.40%, 07/01/18<sup>(e)(f)</sup> | 486 | 234701 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series C-3, 5.40%, 01/01/20<sup>(e)(f)</sup> | 49 | 23725 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series C-4, 5.40%, 07/01/20<sup>(e)(f)</sup> | 49 | 23725 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series CCC, 5.25%, 07/01/26<sup>(e)(f)</sup> | 125 | 60313 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series CCC, 5.00%, 07/01/27<sup>(e)(f)</sup> | 545 | 262962 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series CCC, 5.25%, 07/01/28<sup>(e)(f)</sup> | 70 | 33775 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series D-1, 7.50%, 01/01/20<sup>(e)(f)</sup> | 426 | 205351 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series D-2, 7.50%, 01/01/20<sup>(e)(f)</sup> | 840 | 405467 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series D-4, 7.50%, 07/01/20<sup>(e)(f)</sup> | 145 | 69961 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series TT, 5.00%, 07/01/18<sup>(e)(f)</sup> | 160 | 77200 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series TT, 5.00%, 07/01/25<sup>(e)(f)</sup> | 45 | 21713 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series TT, 5.00%, 07/01/26<sup>(e)(f)</sup> | 190 | 91675 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series TT, 5.00%, 07/01/32<sup>(e)(f)</sup> | 395 | 190587 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series WW, 5.50%, 07/01/17<sup>(e)(f)</sup> | 110 | 53075 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series WW, 5.50%, 07/01/18<sup>(e)(f)</sup> | 95 | 45838 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series WW, 5.50%, 07/01/19<sup>(e)(f)</sup> | 70 | 33775 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series WW, 5.38%, 07/01/22<sup>(e)(f)</sup> | 940 | 453550 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series WW, 5.38%, 07/01/24<sup>(e)(f)</sup> | 65 | 31363 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series WW, 5.00%, 07/01/28<sup>(e)(f)</sup> | 165 | 79613 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series WW, 5.25%, 07/01/33<sup>(e)(f)</sup> | 75 | 36188 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series WW, 5.50%, 07/01/38<sup>(e)(f)</sup> | 220 | 106150 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series XX, 5.25%, 07/01/27<sup>(e)(f)</sup> | 50 | 24125 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series XX, 5.25%, 07/01/35<sup>(e)(f)</sup> | 30 | 14475 |

---

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

------

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series E Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Puerto Rico (continued)** |  |  |
|  Puerto Rico Electric Power Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series XX, 5.75%, 07/01/36<sup>(e)(f)</sup> | USD 600 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;289500 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series XX, 5.25%, 07/01/40<sup>(e)(f)</sup> | 2320 | 1119400 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series AAA, 5.25%, 07/01/22<sup>(e)(f)</sup> | 160 | 77200 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series AAA, 5.25%, 07/01/28<sup>(e)(f)</sup> | 265 | 127862 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series AAA, 5.25%, 07/01/29<sup>(e)(f)</sup> | 40 | 19300 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series DDD, 5.00%, 07/01/19<sup>(e)(f)</sup> | 895 | 431837 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series UU, 0.00%, 07/01/17<sup>(a)(c)(e)(f)</sup> | 30 | 14475 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series UU, 0.00%, 07/01/18<sup>(a)(c)(e)(f)</sup> | 30 | 14475 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series UU, 0.00%, 07/01/20<sup>(a)(c)(e)(f)</sup> | 250 | 120625 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series UU, 3.95%, 07/01/31<sup>(a)(e)(f)</sup> | 300 | 144750 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series ZZ, 5.00%, 07/01/17<sup>(e)(f)</sup> | 70 | 33775 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series ZZ, 5.25%, 07/01/19<sup>(e)(f)</sup> | 235 | 113387 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series ZZ, 5.25%, 07/01/23<sup>(e)(f)</sup> | 930 | 448725 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series ZZ, 5.25%, 07/01/24<sup>(e)(f)</sup> | 150 | 72375 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series ZZ, 5.00%, 07/01/28<sup>(e)(f)</sup> | 75 | 36188 |
|  Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series A-1, 6.75%, 01/01/45 | 165 | 189682 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series A-2, 6.50%, 01/01/42 | 110 | 126160 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series A-2, 6.75%, 01/01/45 | 165 | 189873 |
|  Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A-1, 0.00%, 07/01/33<sup>(c)</sup> | 496 | 354560 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A-1, 0.00%, 07/01/46<sup>(c)</sup> | 1971 | 639390 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A-1, 0.00%, 07/01/51<sup>(c)</sup> | 3670 | 877759 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A-1, 4.75%, 07/01/53 | 3377 | 3275755 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A-1, 5.00%, 07/01/58 | 2158 | 2134871 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A-2, 4.33%, 07/01/40 | 3825 | 3716804 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A-2, 4.54%, 07/01/53 | 317 | 295010 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A-2, 4.78%, 07/01/58 | 6146 | 5906399 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series B-1, 0.00%, 07/01/46<sup>(c)</sup> | 477 | 154920 |
|  |  | 39833942 |
| **South Carolina — 0.7%** |  |  |
|  Patriots Energy Group Financing Agency, RB, Series A1, 5.25%, 10/01/54<sup>(a)</sup> | 1880 | 2011886 |
|  South Carolina Jobs EDA | South Carolina Jobs EDA |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 7.50%, 08/15/62<sup>(b)</sup> | 325 | 303952 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 02/01/38 | 200 | 203626 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 02/01/38 | 800 | 808603 |
|  South Carolina Public Service Authority, Refunding RB, Series B, 4.00%, 12/01/56 | 200 | 171008 |
|  |  | 3499075 |
| **Tennessee — 1.2%** |  |  |
|  Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, Refunding RB, 4.00%, 10/01/49 | 220 | 178796 |
|  Metropolitan Government Nashville & Davidson County IDB, Special Assessment RB, 0.00%, 06/01/43<sup>(b)(c)</sup> | 685 | 280307 |
|  Metropolitan Government Nashville & Davidson County Sports Authority, RB, Series A, (AGM), 5.25%, 07/01/48 | 935 | 993597 |
|  Metropolitan Nashville Airport Authority (The) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series B, 5.25%, 07/01/35 | 320 | 339350 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series B, 5.50%, 07/01/36 | 265 | 285033 |
|  Tennergy Corp., RB, Series A, 5.50%, 10/01/53<sup>(a)</sup> | 2320 | 2462369 |
|  Tennessee Energy Acquisition Corp., RB, Series A, 5.00%, 05/01/52<sup>(a)</sup> | 1750 | 1827016 |
|  |  | 6366468 |
| **Texas — 6.6%** |  |  |
|  Angelina & Neches River Authority, RB, AMT, 7.50%, 12/01/45<sup>(b)(e)(f)</sup> | 510 | 254997 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Texas (continued)** |  |  |
|  Arlington Higher Education Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.63%, 08/15/54<sup>(b)</sup> | USD 1,305 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1018792 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 7.88%, 11/01/62<sup>(b)</sup> | 280 | 285755 |
|  City of Anna, Special Assessment RB, 5.75%, 09/15/54<sup>(b)</sup> | 315 | 316276 |
|  City of Bastrop |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 09/01/45<sup>(b)(d)</sup> | 110 | 109640 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 09/01/55<sup>(b)(d)</sup> | 220 | 219911 |
|  City of Buda |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 6.00%, 09/01/55<sup>(b)</sup> | 345 | 340835 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 6.75%, 09/01/55<sup>(b)</sup> | 685 | 687612 |
|  City of Celina |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 09/01/45<sup>(b)(d)</sup> | 110 | 108219 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.50%, 09/01/45<sup>(b)</sup> | 100 | 99062 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.50%, 09/01/54<sup>(b)</sup> | 450 | 434908 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.63%, 09/01/55<sup>(b)</sup> | 110 | 107350 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 09/01/55<sup>(b)(d)</sup> | 190 | 187340 |
|  City of Corpus Christi |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.38%, 09/15/31 | 100 | 98917 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 6.13%, 09/15/44 | 152 | 146588 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 6.50%, 09/15/54 | 227 | 221644 |
|  City of Crandall |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.25%, 09/15/45<sup>(b)</sup> | 100 | 96475 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.50%, 09/15/55<sup>(b)</sup> | 225 | 216273 |
|  City of Fate, Special Assessment RB, 5.75%, 08/15/54<sup>(b)</sup> | 100 | 100493 |
|  City of Friendswood, Special Assessment RB, 7.00%, 09/15/54 | 657 | 641653 |
|  City of Houston Airport System Revenue |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 4.00%, 07/01/41 | 700 | 631115 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series B, 5.50%, 07/15/39 | 410 | 432889 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series B-1, 5.00%, 07/15/30 | 395 | 395198 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, 5.00%, 07/01/29 | 1500 | 1500709 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, Series A, (AGM), 5.25%, 07/01/48 | 485 | 500075 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, Series C, 5.00%, 07/15/27 | 1410 | 1437478 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, Sub-Series A, 4.00%, 07/01/41 | 3590 | 3324769 |
|  City of Lavon, Special Assessment RB, 5.50%, 09/15/54<sup>(b)</sup> | 750 | 724712 |
|  City of Oak Point, Special Assessment RB, 5.25%, 09/15/54<sup>(b)</sup> | 305 | 286654 |
|  City of Princeton |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 4.38%, 09/01/31<sup>(b)</sup> | 50 | 49800 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.00%, 09/01/44<sup>(b)</sup> | 100 | 93649 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.13%, 09/01/44<sup>(b)</sup> | 100 | 95343 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 09/01/45<sup>(b)(d)</sup> | 95 | 94118 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 09/01/45<sup>(b)(d)</sup> | 110 | 108990 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.25%, 09/01/54<sup>(b)</sup> | 150 | 139074 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.38%, 09/01/54<sup>(b)</sup> | 172 | 162859 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 09/01/55<sup>(b)(d)</sup> | 155 | 154066 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 09/01/55<sup>(b)(d)</sup> | 150 | 149095 |
|  City of San Antonio Airport System, RB, AMT, 5.00%, 07/01/45 | 500 | 500023 |
|  Clifton Higher Education Finance Corp., RB, Series A, 6.00%, 06/15/54<sup>(b)</sup> | 100 | 94659 |
|  Club Municipal Management District No. 1, Special Assessment RB, 5.38%, 09/01/55<sup>(b)</sup> | 180 | 165749 |
|  County of Denton |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.88%, 12/31/45<sup>(b)</sup> | 440 | 440341 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 6.13%, 12/31/55<sup>(b)</sup> | 635 | 627617 |
|  County of Hays, Special Assessment RB, 7.00%, 09/15/45 | 200 | 201608 |
|  Dallas ISD, GO, (Permanent School Fund GTD), 5.00%, 02/15/48 | 1375 | 1427211 |
|  Del Valle ISD, GO, (Permanent School Fund GTD), 4.00%, 06/15/47 | 1335 | 1232641 |

---

62 2 0 2 5 B L A C K R O C K 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

------

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series E Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Texas (continued)** |  |  |
|  Fort Bend County IDC, RB, Series B, 4.75%, 11/01/42 | USD 1,465 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1464923 |
|  New Hope Cultural Education Facilities Finance Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 08/15/51<sup>(b)</sup> | 250 | 244207 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 6.75%, 10/01/52 | 800 | 816092 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 01/01/55 | 200 | 176907 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 6.50%, 10/01/55 | 140 | 141341 |
|  New Hope Higher Education Finance Corp., RB, Series A, 5.75%, 06/15/51<sup>(b)</sup> | 1175 | 997073 |
|  Newark Higher Education Finance Corp., RB, Series A, 5.50%, 08/15/35<sup>(b)</sup> | 300 | 301411 |
|  Port of Beaumont Navigation District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series A, 5.00%, 01/01/39<sup>(b)</sup> | 2330 | 2390305 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series A, 5.13%, 01/01/44<sup>(b)</sup> | 1040 | 1061431 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, 3.63%, 01/01/35<sup>(b)</sup> | 690 | 633873 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, 4.00%, 01/01/50<sup>(b)</sup> | 1975 | 1610532 |
|  Tarrant County Cultural Education Facilities Finance Corp., RB, 5.50%, 11/15/47 | 595 | 638967 |
|  Texas Private Activity Bond Surface Transportation Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 5.00%, 06/30/58 | 315 | 312034 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 5.50%, 12/31/58 | 1050 | 1103073 |
|  Texas Transportation Commission State Highway 249 System |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 0.00%, 08/01/40<sup>(c)</sup> | 1000 | 466033 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 0.00%, 08/01/42<sup>(c)</sup> | 655 | 270301 |
|  Texas Water Development Board, RB, 4.00%, 10/15/45 | 1295 | 1214553 |
|  |  | 34506238 |
| **Utah — 1.1%** |  |  |
|  Black Desert Public Infrastructure District, Special Assessment RB, 5.63%, 12/01/53<sup>(b)</sup> | 390 | 390406 |
|  MIDA Mountain Veterans Program Public Infrastructure District, TA, 5.20%, 06/01/54<sup>(b)</sup> | 800 | 758049 |
|  Mida Mountain Village Public Infrastructure District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; TA, Series 1, 5.13%, 06/15/54<sup>(b)</sup> | 710 | 679494 |
| &nbsp;&nbsp;&nbsp;&nbsp; TA, Series 2, 5.75%, 06/15/44<sup>(b)</sup> | 500 | 514591 |
|  SkyRidge Pegasus Infrastructure Financing District, Special Assessment RB, 5.25%, 12/01/44<sup>(b)</sup> | 1140 | 1116938 |
|  Utah Charter School Finance Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 06/15/52<sup>(b)</sup> | 285 | 242102 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 10/15/44 | 1615 | 1615148 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 06/15/55<sup>(b)</sup> | 230 | 204107 |
|  Utah Infrastructure Agency |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.50%, 10/15/44 | 120 | 126461 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.50%, 10/15/48 | 115 | 119753 |
|  Wood Ranch Public Infrastructure District, Special Assessment RB, 5.63%, 12/01/53<sup>(b)</sup> | 130 | 131181 |
|  |  | 5898230 |
| **Vermont — 0.4%** |  |  |
|  East Central Vermont Telecommunications District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 4.75%, 12/01/40<sup>(b)</sup> | 695 | 610653 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 4.50%, 12/01/44<sup>(b)</sup> | 705 | 577186 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 6.88%, 12/01/46<sup>(b)</sup> | 785 | 827990 |
|  |  | 2015829 |
| **Virginia — 0.5%** |  |  |
|  Ballston Quarter Community Development Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; TA, Series A, 5.50%, 03/01/46 | 92 | 94858 |
| &nbsp;&nbsp;&nbsp;&nbsp; TA, Series A, 0.00%, 03/01/59<sup>(c)</sup> | 220 | 185587 |
|  Hampton Roads Transportation Accountability Commission, RB,<br>Series A, 4.00%, 07/01/55 | 285 | 253421 |
|  James City County EDA |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 6.88%, 12/01/58 | 345 | 375516 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series C3, 5.25%, 12/01/27 | 250 | 250325 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Virginia (continued)** |  |  |
|  Lower Magnolia Green Community Development Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.00%, 03/01/35<sup>(b)</sup> | USD 230 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;228601 |
| &nbsp;&nbsp;&nbsp;&nbsp; Special Assessment RB, 5.00%, 03/01/45<sup>(b)</sup> | 85 | 81084 |
|  Norfolk Redevelopment & Housing Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 4.00%, 01/01/29 | 205 | 198911 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 01/01/34 | 190 | 187907 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 01/01/49 | 365 | 326250 |
|  Virginia Beach Development Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 7.00%, 09/01/53 | 360 | 404548 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series B3, 5.38%, 09/01/29 | 235 | 240540 |
|  |  | 2827548 |
| **Washington — 0.8%** |  |  |
|  King County Public Hospital District No. 4, GO, Refunding, 5.00%, 12/01/30 | 200 | 200053 |
|  Washington State Housing Finance Commission |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 6.00%, 07/01/59<sup>(b)</sup> | 100 | 102452 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 07/01/50<sup>(b)</sup> | 310 | 287323 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.75%, 01/01/53<sup>(b)</sup> | 200 | 193060 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.88%, 01/01/59<sup>(b)</sup> | 160 | 155037 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series B2, 3.95%, 07/01/29<sup>(b)</sup> | 775 | 775822 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 01/01/26<sup>(b)</sup> | 190 | 190775 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.00%, 01/01/43<sup>(b)</sup> | 1935 | 1830471 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 6.00%, 01/01/45<sup>(b)</sup> | 210 | 210093 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 5.00%, 07/01/43 | 200 | 205763 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series A, 5.00%, 07/01/48 | 190 | 192314 |
|  |  | 4343163 |
| **West Virginia — 0.3%** |  |  |
|  City of Martinsburg, RB, Series A-1,<br>4.63%, 12/01/43 | 430 | 374834 |
|  Morgantown Utility Board, Inc., RB,<br>Series B, 4.00%, 12/01/48 | 1215 | 1092063 |
|  |  | 1466897 |
| **Wisconsin — 5.7%** |  |  |
|  Public Finance Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 6.25%, 10/01/31<sup>(b)(e)(f)</sup> | 195 | 16575 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.50%, 12/15/32<sup>(b)</sup> | 1620 | 1578907 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.75%, 12/15/33<sup>(b)</sup> | 3305 | 3241910 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 0.00%, 01/01/35<sup>(b)(c)</sup> | 1030 | 569206 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 4.50%, 01/01/35<sup>(b)</sup> | 650 | 637836 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 0.00%, 12/15/38<sup>(b)(c)</sup> | 795 | 352380 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 06/15/41<sup>(b)</sup> | 210 | 168776 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 6.85%, 11/01/46<sup>(b)(e)(f)</sup> | 275 | 137500 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 7.00%, 11/01/46<sup>(b)(e)(f)</sup> | 155 | 77500 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.38%, 07/15/47<sup>(b)</sup> | 335 | 334228 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 7.00%, 10/01/47<sup>(b)(e)(f)</sup> | 195 | 16575 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.63%, 06/15/49<sup>(b)</sup> | 1420 | 1340870 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 06/15/51<sup>(b)</sup> | 195 | 158012 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.25%, 12/01/51<sup>(b)</sup> | 1060 | 713157 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.75%, 12/01/54<sup>(b)</sup> | 1015 | 1021553 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 06/15/55<sup>(b)</sup> | 550 | 393791 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 06/15/55<sup>(b)</sup> | 2750 | 2118476 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 07/01/55<sup>(b)</sup> | 880 | 760849 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 01/01/56<sup>(b)</sup> | 875 | 728863 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 4.75%, 06/15/56<sup>(b)</sup> | 440 | 344900 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 5.00%, 06/15/56<sup>(b)</sup> | 145 | 115196 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, 0.00%, 01/01/60<sup>(b)(c)</sup> | 19530 | 1497106 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 7.75%, 07/01/43<sup>(b)</sup> | 1920 | 1971159 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 12/15/44<sup>(b)</sup> | 120 | 115547 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.63%, 06/15/49<sup>(b)</sup> | 855 | 799401 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.00%, 12/15/54<sup>(b)</sup> | 350 | 326742 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 7.50%, 07/01/59<sup>(b)</sup> | 2020 | 2267930 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 6.45%, 04/01/60<sup>(b)</sup> | 345 | 334255 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series E Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Wisconsin (continued)** |  |  |
|  Public Finance Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A-4, 5.50%, 11/15/32<sup>(b)</sup> | USD 1,750 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1706611 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 4.00%, 09/30/51 | 2025 | 1672229 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 4.25%, 07/01/54 | 560 | 457491 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, 4.00%, 03/31/56 | 680 | 548535 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, 5.25%, 05/15/52<sup>(b)</sup> | 1135 | 1084619 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, AMT, Series B, 5.00%, 07/01/42 | 750 | 732557 |
|  Wisconsin Health & Educational Facilities Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.50%, 08/15/44 | 1305 | 1383833 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A, 5.75%, 08/15/54 | 350 | 365012 |
|  Wisconsin Housing & EDA, RB, Series A, 4.55%, 07/01/37 | 165 | 163982 |
|  |  | 30254069 |
| **Wyoming — 0.1%** |  |  |
|  University of Wyoming, RB,<br>Series C, (AGM), 4.00%, 06/01/51 | 775 | 683392 |
|  **Total Municipal Bonds — 90.6%<br>(Cost: $494,285,071)** |  | 477472628 |
|  **Municipal Bonds Transferred to Tender Option Bond Trusts<sup>(g)</sup>** | **Municipal Bonds Transferred to Tender Option Bond Trusts<sup>(g)</sup>** | **Municipal Bonds Transferred to Tender Option Bond Trusts<sup>(g)</sup>** |
| **Alabama — 1.0%** |  |  |
|  Black Belt Energy Gas District, RB, Series C-1, 5.25%, 02/01/53 | 5095 | 5346073 |
| **Massachusetts — 1.9%** |  |  |
|  Commonwealth of Massachusetts, GO, Series I, 5.00%, 12/01/54 | 9450 | 9834887 |
| **New York — 3.3%** |  |  |
|  New York City Housing Development Corp., RB, Series D-1-B, 4.25%, 11/01/45 | 1000 | 927665 |
|  New York City Transitional Finance Authority Revenue, RB, Sub-Series H-1, 5.00%, 11/01/50 | 7500 | 7823046 |
|  New York State Dormitory Authority, Refunding RB, Series A, 5.00%, 03/15/54 | 4365 | 4530794 |
|  Port Authority of New York & New Jersey, RB, AMT, Series 221, 4.00%, 07/15/55 | 5015 | 4358336 |
|  |  | 17639841 |
|  **Total Municipal Bonds Transferred to Tender Option Bond Trusts — 6.2%<br>(Cost: $33,389,174)** | **Total Municipal Bonds Transferred to Tender Option Bond Trusts — 6.2%<br>(Cost: $33,389,174)** | 32820801 |
|  **Total Long-Term Investments — 96.8%<br>(Cost: $527,674,245)** | **Total Long-Term Investments — 96.8%<br>(Cost: $527,674,245)** | 510293429 |
|  **Short-Term Securities** |  |  |
|  **Municipal Bonds** |  |  |
| **Connecticut — 0.4%** |  |  |
|  Connecticut Housing Finance Authority, RB, Series 3, VRDN, (TD Bank NA SBPA), 2.84%, 04/07/25<sup>(h)</sup> | 1960 | 1960000 |
| **Florida — 0.8%** |  |  |
|  Hillsborough County IDA, Refunding RB, Series D, VRDN, (PNC Bank NA SBPA), 3.45%, 04/01/25<sup>(h)</sup> | 2785 | 2785000 |
|  Miami-Dade County IDA, RB, VRDN, (Northern Trust Co. LOC), 2.90%, 04/07/25<sup>(h)</sup> | 1800 | 1800000 |
|  |  | 4585000 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Nevada — 0.7%** |  |  |
|  County of Clark Department of Aviation, Refunding RB, Series D-2B, VRDN, (Sumitomo Mitsui Banking Corp. LOC), 2.85%, 04/07/25<sup>(h)</sup> | USD 3,800 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3800000 |
| **New York — 1.4%** |  |  |
|  New York City, GO, Series 4, VRDN, (TD Bank NA SBPA), 3.55%, 04/01/25<sup>(h)</sup> | 1900 | 1900000 |
|  New York City Municipal Water Finance Authority, Refunding RB, Series AA, VRDN, (JPMorgan Chase Bank NA SBPA), 3.55%, 04/01/25<sup>(h)</sup> | 5400 | 5400000 |
|  |  | 7300000 |
| **North Dakota — 0.8%** |  |  |
|  North Dakota HFA, RB, Series C, VRDN, (TD Bank NA SBPA), 2.84%, 04/07/25<sup>(h)</sup> | 4100 | 4100000 |
| **Pennsylvania — 0.3%** |  |  |
|  Philadelphia Authority for Industrial Development, RB, Series 1, VRDN, (JPMorgan Chase Bank NA SBPA), 3.45%, 04/01/25<sup>(h)</sup> | 1540 | 1540000 |
| **Washington — 0.2%** |  |  |
|  Washington State Housing Finance Commission, Refunding RB, Series VR, VRDN, (Royal Bank of Canada SBPA), 2.85%, 04/07/25<sup>(h)</sup> | 1000 | 1000000 |
| **Wisconsin — 0.7%** |  |  |
|  Wisconsin Housing & EDA Home Ownership Revenue, RB, Series D, VRDN, (GNMA/FHLMC/FNMA), (Royal Bank of Canada SBPA), 2.85%, 04/07/25<sup>(h)</sup> | 3700 | 3700000 |
|  **Total Short-Term Securities — 5.3%<br>(Cost: $27,985,000)** |  | 27985000 |
|  **Total Investments — 102.1%<br>(Cost: $555,659,245)** |  | 538278429 |
|  **Other Assets Less Liabilities — 2.1%** |  | 11120211 |
|  **Liability for TOB Trust Certificates,<br>Including Interest Expense and Fees Payable — (4.2)%** | **Liability for TOB Trust Certificates,<br>Including Interest Expense and Fees Payable — (4.2)%** | (22118377) |
|  **Net Assets — 100.0%** |  | $527280263 |

---

<sup>(a)</sup> 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.

<sup>(b)</sup> 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.

<sup>(c)</sup> Zero-coupon bond.

<sup>(d)</sup> When-issued security.

<sup>(e)</sup> Issuer filed for bankruptcy and/or is in default.

<sup>(f)</sup> Non-income producing security.

<sup>(g)</sup> 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.

<sup>(h)</sup> Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

64 2 0 2 5 B L A C K R O C K 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

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **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 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds | $— | $477472628 | $— | $477472628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds Transferred to Tender Option Bond Trusts |  | 32820801 |  | 32820801 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds |  | 27985000 |  | 27985000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unfunded Commitments<sup>(a)</sup> |  |  | 1510088 | 1510088 |
|  | $— | $538278429 | $1510088 | $539788517 |

---

<sup>(a)</sup> 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 reporting purposes. As of period end, TOB Trust Certificates of $21,925,000 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 65

------

---

| | |
|:---|:---|
| Schedule of Investments<br> March 31, 2025 | **BATS: Series M Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities** |  |  |
|  ARI Fleet Lease Trust, Series 2024-A, Class A2, 5.30%, 11/15/32<sup>(a)</sup> | USD 1,201 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1206650 |
|  Chesapeake Funding II LLC, Series 2023-2A, Class A1, 6.16%, 10/15/35<sup>(a)</sup> | 830 | 841335 |
|  Enterprise Fleet Financing LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2, Class A2, 5.56%, 04/22/30<sup>(a)</sup> | 1304 | 1312727 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class A3, 5.16%, 09/20/30<sup>(a)</sup> | 294 | 298480 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class A3, 5.61%, 04/20/28<sup>(a)</sup> | 8007 | 8159349 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3, Class A4, 5.06%, 03/20/31<sup>(a)</sup> | 378 | 384681 |
|  Ford Credit Floorplan Master Owner Trust A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class A1, 4.92%, 05/15/28<sup>(a)</sup> | 3331 | 3345404 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 5.24%, 04/15/31<sup>(a)</sup> | 5015 | 5159343 |
|  GMF Floorplan Owner Revolving Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class A1, 5.34%, 06/15/28<sup>(a)</sup> | 1805 | 1822783 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2, Class A, 5.34%, 06/15/30<sup>(a)</sup> | 617 | 632788 |
|  Mosaic Solar Loan Trust, Series 2019-2A, Class A, 2.88%, 09/20/40<sup>(a)</sup> | 99 | 87663 |
|  Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.18%, 08/25/28<sup>(a)</sup> | 794 | 797310 |
|  PFS Financing Corp., Series 2024-D, Class A, 5.34%, 04/15/29<sup>(a)</sup> | 4901 | 4987838 |
|  **Total Asset-Backed Securities — 2.2%<br>(Cost: $28,573,994)** | **Total Asset-Backed Securities — 2.2%<br>(Cost: $28,573,994)** | 29036351 |
|  **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |  |
| **Commercial Mortgage-Backed Securities — 7.6%** | **Commercial Mortgage-Backed Securities — 7.6%** |  |
|  1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2, 3.90%, 08/10/35<sup>(a)</sup> | 945 | 926100 |
|  280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1-mo. CME Term SOFR + 1.18%), 5.50%, 09/15/34<sup>(a)(b)</sup> | 3928 | 3854350 |
|  Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class C, 3.60%, 05/15/53<sup>(a)(b)</sup> | 400 | 358635 |
|  ARES Commercial Mortgage Trust, Series 2024-IND, Class A, (1-mo. CME Term SOFR + 1.69%), 6.01%, 07/15/41<sup>(a)(b)</sup> | 2220 | 2214450 |
|  Atrium Hotel Portfolio Trust, Series 2024-ATRM, Class A, 5.05%, 11/10/29<sup>(a)(b)</sup> | 550 | 549464 |
|  Banc of America Merrill Lynch Commercial Mortgage Securities Trust, Series 2024-BHP, Class A, (1-mo. CME Term SOFR + 2.35%), 6.67%, 08/15/39<sup>(a)(b)</sup> | 600 | 600777 |
|  BANK |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-BN11, Class B, 4.34%, 03/15/61<sup>(b)</sup> | 1769 | 1650337 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BN38, Class A5, 2.52%, 12/15/64 | 5090 | 4372019 |
|  BBCMS Mortgage Trust, Series 2018-TALL, Class A, (1-mo. CME Term SOFR + 0.92%), 5.24%,<br>03/15/37<sup>(a)(b)</sup> | 555 | 525914 |
|  Benchmark Mortgage Trust, Series 2018-B2, Class A5, 3.88%, 02/15/51<sup>(b)</sup> | 1000 | 969077 |
|  BFLD Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-UNIV, Class A, (1-mo. CME Term SOFR + 1.49%), 5.81%, 11/15/41<sup>(a)(b)</sup> | 560 | 559300 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WRHS, Class A, (1-mo. CME Term SOFR + 1.49%), 5.81%, 08/15/26<sup>(a)(b)</sup> | 2012 | 2004040 |
|  BLP Commercial Mortgage Trust, Series 2023-IND, Class A, (1-mo. CME Term SOFR + 1.69%), 6.01%, 03/15/40<sup>(a)(b)</sup> | 2000 | 1988145 |
|  BX Commercial Mortgage Trust Series 2022-LP2, Class A, (1-mo. CME Term SOFR + 1.01%), 5.33%, 02/15/39<sup>(a)(b)</sup> | 3859 | 3847199 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |  |
|  BX Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-VLT3, Class A, (1-mo. CME Term SOFR + 1.94%), 6.26%, 11/15/28<sup>(a)(b)</sup> | USD 1,060 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1061314 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-XL3, Class A, (1-mo. CME Term SOFR + 1.76%), 6.08%, 12/09/40<sup>(a)(b)</sup> | 2199 | 2199579 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AIRC, Class A, (1-mo. CME Term SOFR + 1.69%), 6.01%, 08/15/39<sup>(a)(b)</sup> | 3780 | 3780000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GPA3, Class A, (1-mo. CME Term SOFR + 1.29%), 5.61%, 12/15/39<sup>(a)(b)</sup> | 1031 | 1028907 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF, Class A, (1-mo. CME Term SOFR + 1.44%), 5.76%, 02/15/39<sup>(a)(b)</sup> | 2364 | 2362686 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-XL4, Class A, (1-mo. CME Term SOFR + 1.44%), 5.76%, 02/15/39<sup>(a)(b)</sup> | 2430 | 2431547 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-SPOT, Class A, (1-mo. CME Term SOFR + 1.44%), 5.76%, 04/15/40<sup>(a)(b)</sup> | 1720 | 1718925 |
|  BX Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-OC11, Class D, 3.94%, 12/09/41<sup>(a)(b)</sup> | 1489 | 1365146 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-LBA, Class AV, (1-mo. CME Term SOFR + 0.91%), 5.23%, 02/15/36<sup>(a)(b)</sup> | 217 | 216533 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class A, (1-mo. CME Term SOFR + 2.09%), 6.41%, 03/15/41<sup>(a)(b)</sup> | 1530 | 1528088 |
|  CENT Trust, Series 2023-CITY, Class A, (1-mo. CME Term SOFR + 2.62%), 6.94%, 09/15/38<sup>(a)(b)</sup>  | 2994 | 3000114 |
|  CFK Trust, Series 2020-MF2, Class B, 2.79%, 03/15/39<sup>(a)</sup> | 1254 | 1146140 |
|  Citigroup Commercial Mortgage Trust, Series 2023-SMRT, Class A, 5.82%, 10/12/40<sup>(a)(b)</sup> | 1370 | 1398951 |
|  Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-CR27, Class B, 4.33%, 10/10/48<sup>(b)</sup> | 2917 | 2823761 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-LC23, Class ASB, 3.60%, 10/10/48 | 437 | 435515 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WCL1, Class A, (1-mo. CME Term SOFR + 1.84%), 6.16%, 06/15/41<sup>(a)(b)</sup> | 1750 | 1744516 |
|  CONE Trust, Series 2024-DFW1, Class A, (1-mo. CME Term SOFR + 1.64%), 5.96%, 08/15/41<sup>(a)(b)</sup>  | 930 | 923023 |
|  Credit Suisse Mortgage Capital Trust, Series 2020- NET, Class C, 3.53%, 08/15/37<sup>(a)</sup> | 266 | 260308 |
|  CRSO Trust, Series 2023-BRND, 7.12%, 07/10/40<sup>(a)</sup> | 763 | 798195 |
|  Grace Mortgage Trust, Series 2020-GRCE, Class B, 2.60%, 12/10/40<sup>(a)</sup> | 900 | 773805 |
|  GS Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-GC24, Class A5, 3.93%, 09/10/47 | 88 | 87679 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-ROSS, Class A, (1-mo. CME Term SOFR + 1.41%), 5.73%, 05/15/26<sup>(a)(b)</sup> | 730 | 697655 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-ECI, Class A, (1-mo. CME Term SOFR + 2.19%), 6.51%, 08/15/39<sup>(a)(b)</sup> | 3060 | 3060000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-FUN, Class A, (1-mo. CME Term SOFR + 2.09%), 6.41%, 03/15/28<sup>(a)(b)</sup> | 1100 | 1100000 |
|  GWT, Series 2024-WLF2, Class A,<br>(1-mo. CME Term SOFR + 1.69%), 6.01%, 05/15/41<sup>(a)(b)</sup> | 1570 | 1569509 |
|  Houston Galleria Mall Trust, Series 2025-HGLR, Class A, 5.46%, 02/05/45<sup>(a)(b)</sup> | 1875 | 1899215 |
|  Hudson Yards Mortgage Trust, Series 2019-30HY, Class D, 3.44%, 07/10/39<sup>(a)(b)</sup> | 669 | 601669 |
|  INTOWN Mortgage Trust, Series 2025-STAY, Class A, (1-mo. CME Term SOFR + 1.35%), 5.65%, 03/15/42<sup>(a)(b)</sup> | 2084 | 2068370 |
|  INV Mortgage Trust, Series 2024-IND, Class A, (1-mo. CME Term SOFR + 1.74%), 6.06%, 11/15/41<sup>(a)(b)</sup> | 640 | 638400 |

---

66 2 0 2 5 B L A C K R O C K 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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series M Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  JPMorgan Chase Commercial Mortgage Securities Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-NINE, Class A, 2.85%, 09/06/38<sup>(a)(b)</sup>  | USD 1,790 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1734788 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-609M, Class A, (1-mo. CME Term SOFR + 1.73%), 6.05%, 10/15/33<sup>(a)(b)</sup> | 2000 |  | 1970574 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-609M, Class D, (1-mo. CME Term SOFR + 3.13%), 7.45%, 10/15/33<sup>(a)(b)</sup> | 600 |  | 594551 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-2NU, Class A, 1.97%, 01/05/40<sup>(a)</sup> | 1210 |  | 1074402 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class A, 5.17%, 11/09/39<sup>(a)(b)</sup>  | 440 |  | 441918 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-BHR5, Class A, (1-mo. CME Term SOFR + 1.69%), 5.99%, 03/15/40<sup>(a)(b)</sup> | 1027 |  | 1019298 |
|  KSL Commercial Mortgage Trust, Series 2024-HT2, Class A, (1-mo. CME Term SOFR + 1.54%), 5.86%, 12/15/39<sup>(a)(b)</sup> | 760 |  | 759049 |
|  LSTAR Commercial Mortgage Trust, Series 2016-4, Class A2, 2.58%, 03/10/49<sup>(a)</sup> | 393 |  | 392180 |
|  LUX, Series 2023-LION, Class A,<br>(1-mo. CME Term SOFR + 2.69%), 7.01%, 08/15/40<sup>(a)(b)</sup> | 880 |  | 888189 |
|  MCR Mortgage Trust, Series 2024-HF1, Class A, (1-mo. CME Term SOFR + 1.79%), 6.11%,<br>12/15/41<sup>(a)(b)</sup> | 1338 |  | 1341348 |
|  MF1, Series 2021-W10, Class B,<br>(1-mo. CME Term SOFR + 1.37%), 5.69%, 12/15/34<sup>(a)(b)</sup> | 640 |  | 632207 |
|  Morgan Stanley Capital I Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-UBS9, Class ASB, 3.34%, 03/15/49 | 759 |  | 753630 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-H3, Class B, 4.62%, 07/15/51<sup>(b)</sup> | 739 |  | 704036 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-MP, Class A, 4.28%, 07/11/40<sup>(a)(b)</sup> | 1000 |  | 927465 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NSTB, Class A, 3.90%, 09/24/57<sup>(a)(b)</sup> | 658 |  | 635673 |
|  NJ, Series 2025-WBRK, Class A, 5.87%, 03/05/35<sup>(a)</sup> | 1235 |  | 1267326 |
|  NYC Commercial Mortgage Trust, Series 2025-3BP, Class A, (1-mo. CME Term SOFR + 1.21%), 5.53%, 02/15/42<sup>(a)(b)</sup> | 1401 |  | 1383567 |
|  OPEN Trust, Series 2023-AIR, Class A, (1-mo. CME Term SOFR + 3.09%), 7.41%, 11/15/40<sup>(a)(b)</sup> | 234 |  | 234621 |
|  PRM5 Trust, Series 2025-PRM5, Class A, 4.17%, 03/10/33<sup>(a)(b)</sup> | 2572 |  | 2525426 |
|  VEGAS Trust, Series 2024-TI, Class A, 5.52%, 11/10/39<sup>(a)</sup> | 1040 |  | 1047003 |
|  Wells Fargo Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-LC22, Class ASB, 3.57%, 09/15/58 | 74 |  | 73746 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-NXS3, Class ASB, 3.37%, 09/15/57 | 569 |  | 567240 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-P2, Class AS, 4.01%, 12/15/48 | 1605 |  | 1590267 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-AUS, Class A, 4.06%, 08/17/36<sup>(a)(b)</sup> | 2417 |  | 2345309 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-FCMT, Class A, (1-mo. CME Term SOFR + 1.31%), 5.63%, 05/15/31<sup>(a)(b)</sup> | 3516 |  | 3494058 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1CHI, Class A, 4.95%, 07/15/35<sup>(a)(b)</sup>  | 1090 |  | 1094486 |
|  WEST Trust, Series 2025-ROSE, Class A, 5.45%, 04/10/30<sup>(a)(b)</sup> | 1309 |  | 1314395 |
|  |  |  | 97946109 |
| **Interest Only Commercial Mortgage-Backed Securities — 0.2%** | **Interest Only Commercial Mortgage-Backed Securities — 0.2%** | **Interest Only Commercial Mortgage-Backed Securities — 0.2%** | **Interest Only Commercial Mortgage-Backed Securities — 0.2%** |
|  Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class XA, 0.93%, 05/15/53<sup>(a)(b)</sup> | 1542 |  | 57861 |
|  BANK |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-BN29, Class XA, 1.30%, 11/15/53<sup>(b)</sup> | 4155 |  | 240333 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BN33, Class XA, 1.05%, 05/15/64<sup>(b)</sup>  | 15708 |  | 686112 |
|  Benchmark Mortgage Trust, Series 2020-B21, Class XA, 1.44%, 12/17/53<sup>(b)</sup> | 3689 |  | 221431 |
|  BMO Mortgage Trust, Series 2023-C5, Class XA, 0.72%, 06/15/56<sup>(b)</sup> | 8753 |  | 417477 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** | **Interest Only Commercial Mortgage-Backed Securities (continued)** |
|  UBS Commercial Mortgage Trust, Series 2019-C17, Class XA, 1.44%, 10/15/52<sup>(b)</sup> | USD 9,624 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;493918 |
|  Wells Fargo Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-C44, Class XA, 0.70%, 05/15/51<sup>(b)</sup> | 7966 | 144137 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-C58, Class XA, 1.80%, 07/15/53<sup>(b)</sup> | 4399 | 329638 |
|  |  | 2590907 |
|  **Total Non-Agency Mortgage-Backed Securities — 7.8%<br>(Cost: $103,312,561)** | **Total Non-Agency Mortgage-Backed Securities — 7.8%<br>(Cost: $103,312,561)** | 100537016 |
|  **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Collateralized Mortgage Obligations — 4.3%** | **Collateralized Mortgage Obligations — 4.3%** |  |
|  Fannie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2011-8, Class ZA, 4.00%, 02/25/41 | 522 | 501079 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-81, Class YK, 4.00%, 08/25/43 | 200 | 183984 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-100, Class ZJ, 3.50%, 12/25/47 | 3140 | 2780447 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-76, Class PB, 3.00%, 10/25/57 | 900 | 658400 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-32, Class PS, (SOFR (30-day) + 7.10%), 2.04%, 05/25/48<sup>(b)</sup> | 1782 | 1558245 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-76, Class ZL, 4.00%, 10/25/58 | 4797 | 4337523 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-25, Class KL, 4.00%, 05/25/52 | 1500 | 1359046 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-46, Class FA, (SOFR (30-day) + 1.30%), 5.64%, 10/25/53<sup>(b)</sup> | 4629 | 4665027 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-56, Class FA, (SOFR (30-day) + 1.40%), 5.74%, 11/25/53<sup>(b)</sup> | 859 | 865777 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-48, Class FC, (SOFR (30-day) + 1.10%), 5.44%, 07/25/54<sup>(b)</sup> | 3009 | 3016632 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-54, Class FD, (SOFR (30-day) + 1.25%), 5.59%, 08/25/54<sup>(b)</sup> | 2523 | 2534314 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-83, Class FA, (SOFR (30-day) + 1.15%), 5.49%, 10/25/54<sup>(b)</sup> | 4103 | 4092180 |
|  Freddie Mac |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 3745, Class ZA, 4.00%, 10/15/40 | 330 | 315193 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 3780, Class ZA, 4.00%, 12/15/40 | 1220 | 1155409 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4161, Class BW, 2.50%, 02/15/43 | 1400 | 1223307 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4355, Class ZL, 4.00%, 06/15/44 | 2473 | 2299995 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4384, Class LB, 3.50%, 08/15/43 | 804 | 784437 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4758, Class Z, 4.00%, 02/15/48 | 1692 | 1582848 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4988, Class AK, 1.00%, 07/25/50 | 1836 | 1450675 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5002, Class TJ, 2.00%, 07/25/50 | 1799 | 1508169 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5443, Class FA, (SOFR (30-day) + 1.20%), 5.54%, 08/25/54<sup>(b)</sup> | 3470 | 3481825 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5444, Class FC, (SOFR (30-day) + 1.12%), 5.46%, 08/25/54<sup>(b)</sup> | 5059 | 5070770 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5458, Class PF, (SOFR (30-day) + 1.00%), 5.34%, 09/25/54<sup>(b)</sup> | 1234 | 1231693 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5468, Class FM, (SOFR (30-day) + 1.20%), 5.54%, 11/25/54<sup>(b)</sup> | 3615 | 3610105 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5468, Class MF, (SOFR (30-day) + 1.30%), 5.64%, 11/25/54<sup>(b)</sup> | 2796 | 2799541 |
|  Freddie Mac Seasoned Credit Risk Transfer Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3, Class MA, 3.50%, 08/25/57<sup>(b)</sup> | 1064 | 1021303 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-4, Class MA, 3.50%, 03/25/58 | 1192 | 1141471 |
|  Ginnie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-107, Class WX, 6.57%, 07/20/39<sup>(b)</sup> | 224 | 231585 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-123, Class LM, 3.00%, 09/20/46 | 600 | 505021 |
|  |  | 55966001 |
| **Commercial Mortgage-Backed Securities — 1.3%** | **Commercial Mortgage-Backed Securities — 1.3%** |  |
|  Freddie Mac |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K082, Class A2, 3.92%, 09/25/28<sup>(b)</sup> | 2400 | 2372294 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series M Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K139, Class A2, 2.59%, 01/25/32<sup>(b)</sup> | USD 12,000 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10692629 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K154, Class A2, 3.42%, 04/25/32 | 3500 |  | 3374015 |
|  |  |  | 16438938 |
| **Interest Only Collateralized Mortgage Obligations — 1.3%** | **Interest Only Collateralized Mortgage Obligations — 1.3%** | **Interest Only Collateralized Mortgage Obligations — 1.3%** | **Interest Only Collateralized Mortgage Obligations — 1.3%** |
|  Fannie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2013-10, Class PI, 3.00%, 02/25/43 | 860 |  | 104620 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-66, Class AS, (SOFR (30-day) + 6.14%), 1.80%, 09/25/45<sup>(b)</sup> | 1822 |  | 104694 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-27, Class IJ, 4.50%, 05/25/50 | 4508 |  | 881126 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-32, Class IO, 4.00%, 05/25/50 | 1560 |  | 335188 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-32, Class PI, 4.00%, 05/25/50 | 1619 |  | 347898 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-23, Class CI, 3.50%, 07/25/46 | 2148 |  | 390217 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-41, Class IO, 3.50%, 07/25/51 | 4096 |  | 725852 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-88, Class IO, 2.50%, 12/25/51 | 1919 |  | 262062 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-7, Class IA, 3.50%, 11/25/49 | 5051 |  | 648173 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 435, Class C24, 2.00%, 04/25/52 | 20470 |  | 2613066 |
|  Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4941, Class SH, (SOFR (30-day) + 5.84%), 1.50%, 12/25/49<sup>(b)</sup> | 3475 |  | 377681 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5052, Class KI, 4.00%, 12/25/50 | 11452 |  | 2328202 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5109, Class ID, 2.50%, 05/25/51 | 1760 |  | 255387 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5112, Class KI, 3.50%, 06/25/51 | 1319 |  | 244810 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5119, Class IC, 4.00%, 06/25/51 | 3047 |  | 655390 |
|  Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-101, Class SL, (1-mo. CME Term SOFR + 6.09%), 1.77%, 07/20/47<sup>(b)</sup> | 1322 |  | 160979 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-146, Class DI, 2.50%, 10/20/50 | 3201 |  | 457639 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-175, Class DI, 2.50%, 11/20/50 | 1128 |  | 164837 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-185, Class MI, 2.50%, 12/20/50 | 3954 |  | 559249 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-104, Class IH, 3.00%, 06/20/51 | 4156 |  | 701412 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-149, Class KI, 3.00%, 08/20/51 | 7796 |  | 1234978 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-5, Class LI, 3.50%, 01/20/52 | 10501 |  | 1929746 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-78, Class IO, 3.00%, 08/20/51 | 9611 |  | 1625167 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-6, Class ES, (SOFR (30-day) + 6.05%), 1.71%, 07/20/53<sup>(b)</sup> | 4754 |  | 406615 |
|  |  |  | 17514988 |
| **Interest Only Commercial Mortgage-Backed Securities — 0.1%** | **Interest Only Commercial Mortgage-Backed Securities — 0.1%** | **Interest Only Commercial Mortgage-Backed Securities — 0.1%** | **Interest Only Commercial Mortgage-Backed Securities — 0.1%** |
|  Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K110, Class X1, 1.66%, 04/25/30<sup>(b)</sup> | 1131 |  | 74140 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K116, Class X1, 1.42%, 07/25/30<sup>(b)</sup> | 2060 |  | 122431 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K119, Class X1, 0.92%, 09/25/30<sup>(b)</sup> | 3275 |  | 134286 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series K122, Class X1, 0.87%, 11/25/30<sup>(b)</sup> | 4998 |  | 198189 |
|  Ginnie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-151, Class IO, 0.88%, 06/16/58<sup>(b)</sup> | 16425 |  | 707649 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-61, Class IO, 0.70%, 05/16/59<sup>(b)</sup> | 955 |  | 34900 |
|  |  |  | 1271595 |
| **Mortgage-Backed Securities — 127.1%** | **Mortgage-Backed Securities — 127.1%** |  |  |
|  Fannie Mae Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 12/01/35 - 04/01/52 | 41723 |  | 34379577 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 10/01/31 - 03/01/52 | 134132 |  | 110052219 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 09/01/27 - 02/01/52 | 85275 |  | 73310956 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 04/01/28 - 06/01/52 | 39152 |  | 35076337 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/01/29 - 04/01/52 | 30360 |  | 28136465 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 02/01/31 - 05/01/52 | 26533 |  | 25060172 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 07/01/25 - 10/01/52 | 31823 |  | 30723605 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/01/35 - 04/01/53 | 18447 |  | 18272071 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 05/01/34 - 03/01/55 | 58680 |  | 58764179 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.81%, 06/01/31 | 3574 |  | 3744546 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 02/01/38 - 03/01/55 | 73086 |  | 74463114 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 07/01/37 - 07/01/54 | 20501 |  | 21248228 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* | *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
|  Freddie Mac Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 04/01/36 - 04/01/52 | USD 11,930 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9507299 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 01/01/36 - 02/01/52 | 111718 |  | 91248473 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 02/01/30 - 05/01/52 | 71696 |  | 60672182 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 09/01/27 - 08/01/52 | 44528 |  | 39592382 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 02/01/31 - 06/01/50 | 19056 |  | 17597166 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 08/01/40 - 06/01/52 | 16284 |  | 15463651 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 07/01/26 - 08/01/52 | 6226 |  | 5987489 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 05/01/28 - 11/01/53 | 19269 |  | 19008203 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 01/01/28 - 04/01/55 | 31981 |  | 32058284 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 08/01/28 - 03/01/55 | 78311 |  | 79707333 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 11/01/53 - 07/01/54 | 3494 |  | 3628585 |
|  Ginnie Mae Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 08/20/50 - 04/15/55<sup>(c)</sup> | 52218 |  | 42722074 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/20/51 - 04/15/55<sup>(c)</sup> | 52295 |  | 44623189 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 12/20/44 - 04/15/55<sup>(c)</sup> | 36423 |  | 32290984 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 01/15/42 - 04/15/55<sup>(c)</sup> | 55071 |  | 50382396 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/20/39 - 04/15/55<sup>(c)</sup> | 28902 |  | 27167461 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/20/39 - 04/15/55<sup>(c)</sup> | 49785 |  | 47846617 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/15/33 - 04/15/55<sup>(c)</sup> | 27128 |  | 26696817 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 07/15/38 - 04/15/55<sup>(c)</sup> | 102898 |  | 103117201 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 03/20/53 - 04/15/55<sup>(c)</sup> | 18790 |  | 19070589 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 04/15/55<sup>(c)</sup> | 10716 |  | 10969411 |
|  Uniform Mortgage-Backed Securities |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 04/01/40<sup>(c)</sup> | 2664 |  | 2337114 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 04/01/40 - 04/01/55<sup>(c)</sup> | 27378 |  | 22810924 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/01/40 - 04/01/55<sup>(c)</sup> | 40691 |  | 34253441 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 04/01/40 - 04/01/55<sup>(c)</sup> | 18811 |  | 16449035 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/40 - 04/01/55<sup>(c)</sup> | 59113 |  | 53330438 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/01/40 - 04/01/55<sup>(c)</sup> | 2005 |  | 1925927 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/40 - 04/01/55<sup>(c)</sup> | 96044 |  | 92074518 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/01/55<sup>(c)</sup> | 12882 |  | 12625010 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/01/55<sup>(c)</sup> | 33913 |  | 33867919 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 04/01/55<sup>(c)</sup> | 12758 |  | 12937522 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 04/01/55<sup>(c)</sup> | 68598 |  | 70698236 |
|  |  |  | 1645899339 |
| **Principal Only Collateralized Mortgage Obligations — 0.9%** | **Principal Only Collateralized Mortgage Obligations — 0.9%** | **Principal Only Collateralized Mortgage Obligations — 0.9%** | **Principal Only Collateralized Mortgage Obligations — 0.9%** |
|  Fannie Mae |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-36, Class AO, 0.00%, 08/25/50<sup>(d)</sup> | 3462 |  | 2484758 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-16, Class PO, 0.00%, 03/25/51<sup>(d)</sup> | 1552 |  | 1103745 |
|  Freddie Mac |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5319, Class PO, 0.00%, 08/25/50<sup>(d)</sup> | 6756 |  | 4618840 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5341, Class AO, 0.00%, 06/25/50<sup>(d)</sup> | 3891 |  | 2770434 |
|  Ginnie Mae, Series 2022-195, Class PO, 0.00%, 11/20/52<sup>(d)</sup> | 517 |  | 403164 |
|  |  |  | 11380941 |
|  **Total U.S. Government Sponsored Agency Securities — 135.0%<br>(Cost: $1,814,014,986)** | **Total U.S. Government Sponsored Agency Securities — 135.0%<br>(Cost: $1,814,014,986)** |  | 1748471802 |
|  **Total Long-Term Investments — 145.0%<br>(Cost: $1,945,901,541)** | **Total Long-Term Investments — 145.0%<br>(Cost: $1,945,901,541)** |  | 1878045169 |
|  | *Shares* |  |  |
|  **Short-Term Securities** |  |  |  |
| **Money Market Funds — 0.6%** |  |  |  |
|  Dreyfus Treasury Securities Cash Management, Institutional Class, 4.17%<sup>(e)</sup> | 7342714 |  | 7342714 |

---

68 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series M Portfolio**<br> **&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **U.S. Treasury Obligations<sup>(f)</sup> — 0.8%** | **U.S. Treasury Obligations<sup>(f)</sup> — 0.8%** |  |
|  U.S. Treasury Bills, 4.23%, 04/22/25 | USD 10,727 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;10700404 |
|  **Total Short-Term Securities — 1.4%<br>(Cost: $18,043,335)** | **Total Short-Term Securities — 1.4%<br>(Cost: $18,043,335)** | 18043118 |
|  **Total Investments Before TBA Sale Commitments — 146.4%<br>(Cost: $1,963,944,876)** | **Total Investments Before TBA Sale Commitments — 146.4%<br>(Cost: $1,963,944,876)** | 1896088287 |
|  **TBA Sale Commitments<sup>(c)</sup>** | **TBA Sale Commitments<sup>(c)</sup>** |  |
| **Mortgage-Backed Securities — (33.4)%** | **Mortgage-Backed Securities — (33.4)%** |  |
|  Ginnie Mae Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 04/15/55 | (273) | (223233) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/15/55 | (267) | (227709) |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 04/15/55 | (189) | (167383) |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/15/55 | (24334) | (22263824) |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/15/55 | (91) | (85180) |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/15/55 | (27540) | (26421187) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/15/55 | (136) | (133762) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/15/55 | (36034) | (36108056) |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 04/15/55 | (179) | (181666) |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 04/15/55 | (318) | (325520) |
|  Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 04/01/40 - 04/01/55 | (1664) | (1360561) |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 04/01/40 - 04/01/55 | (913) | (766308) |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 04/01/40 - 04/01/55 | (492) | (429760) |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |  |
|  Uniform Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/40 - 04/01/55 | USD (330) | $(298436) |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 04/01/40 - 04/01/55 | (5803) | (5407321) |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 04/01/40 - 04/01/55 | (128582) | (122934111) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 04/01/55 | (260) | (254813) |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 04/01/55 | (35379) | (35331971) |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.00%, 04/01/55 | (82393) | (83661751) |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 04/01/55 | (93202) | (96019148) |
|  **Total TBA Sale Commitments — (33.4)%<br>(Proceeds: $(431976368))** | **Total TBA Sale Commitments — (33.4)%<br>(Proceeds: $(431976368))** | (432601700) |
|  **Total Investments Net of TBA Sale Commitments — 113.0%<br>(Cost: $1,531,968,508)** | **Total Investments Net of TBA Sale Commitments — 113.0%<br>(Cost: $1,531,968,508)** | 1463486587 |
|  **Liabilities in Excess of Other Assets — (13.0)%** | **Liabilities in Excess of Other Assets — (13.0)%** | (168470054) |
|  **Net Assets — 100.0%** |  | $1295016533 |

---

<sup>(a)</sup> 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.

<sup>(b)</sup> 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.

<sup>(c)</sup> Represents or includes a TBA transaction.

<sup>(d)</sup> Zero-coupon bond.

<sup>(e)</sup> Annualized 7-day yield as of period end.

<sup>(f)</sup> 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<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount<br>(000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes (10 Year) | 75 | 06/18/25 | $8357 | $50003 |
|  Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds (30 Year) | 197 | 06/18/25 | 23191 | (148677) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Ultra Treasury Notes (10 Year) | 70 | 06/18/25 | 8010 | (114961) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes (2 Year) | 86 | 06/30/25 | 17823 | (47729) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes (5 Year) | 127 | 06/30/25 | 13751 | (44386) |
|  |  |  |  | (355753) |
|  |  |  |  | $(305750) |

---

#### OTC Credit Default Swaps — Buy Protection

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing<br>Rate<br>Paid<br>by the<br>Fund* | *Payment<br>Frequency* | *Counterparty* | *Termination<br>Date* | *Notional<br>Amount<br>(000)* | *Value* | *Upfront<br>Premium<br>Paid<br>(Received)* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  CMBX.NA.10.BBB- | 3.00% | Monthly | Goldman Sachs International | 11/17/59 | USD 3,976 | $769198 | $166304 | $602894 |
|  CMBX.NA.10.BBB- | 3.00 | Monthly | Goldman Sachs International | 11/17/59 | USD 4,174 | 807658 | 183173 | 624485 |
|  |  |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1576856 | $349477 | $1227379 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series M Portfolio** |

---

#### OTC Credit Default Swaps — Sell Protection

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing<br>Rate<br>Received<br>by<br>the Fund* | *Payment<br>Frequency* | *Counterparty* | *Termination<br>Date* | *Credit<br>Rating<sup>(a)</sup>* | *Notional<br>Amount<br>(000)<sup>(b)</sup>* | *Value* | *Upfront<br>Premium<br>Paid<br>(Received)* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  CMBX.NA.10.BBB- | 3.00% | Monthly | Goldman Sachs International | 11/17/59 | BBB- | USD 4,398 | $(850825) | $(279652) | $(571173) |
|  CMBX.NA.10.BBB- | 3.00 | Monthly | J.P. Morgan Securities LLC | 11/17/59 | BBB- | USD 3,753 | (726031) | (240487) | (485544) |
|  |  |  |  |  |  |  | $(1576856) | $(520139) | $(1056717) |

---

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

<sup>(b)</sup> 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<br>Premiums<br>Paid* | *Swap<br>Premiums<br>Received* | *Unrealized<br>Appreciation* | *Unrealized<br>Depreciation* |
|  OTC Swaps | $349477 | $(520139) | $1227379 | $(1056717) |

---

#### 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<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on futures contracts<sup>(a)</sup> | $— | $— | $— | $— | $50003 | $— | $50003 |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on OTC swaps; |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap premiums paid |  | 1576856 |  |  |  |  | 1576856 |
|  | $— | $1576856 | $— | $— | $50003 | $— | $1626859 |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup> | $— | $— | $— | $— | $355753 | $— | $355753 |
|  Swaps — OTC |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on OTC swaps; |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap premiums received |  | 1576856 |  |  |  |  | 1576856 |
|  | $— | $1576856 | $— | $— | $355753 | $— | $1932609 |

---

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

For the period ended March 31, 2025, the effect of derivative financial instruments in the Statements of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $— | $— | $(2867201) | $— | $(2867201) |
|  Swaps |  | 4925 |  |  | (238) |  | 4687 |
|  | $— | $4925 | $— | $— | $(2867439) | $— | $(2862514) |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $— | $— | $(87235) | $— | $(87235) |
|  Swaps |  | (4925) |  |  | 345 |  | (4580) |
|  | $— | $(4925) | $— | $— | $(86890) | $— | $(91815) |

---

70 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series M Portfolio** |

---

#### Average Quarterly Balances of Outstanding Derivative Financial Instruments

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;34268983 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | 67964416 |
|  Credit default swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — buy protection | 8150000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — sell protection | 8150000 |
|  Interest rate swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — pays fixed rate | 157507 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — receives fixed rate | 157507 |

---

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 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $16406 | $166615 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps — OTC<sup>(a)</sup> | 1576856 | 1576856 |
|  Total derivative assets and liabilities in the Statements of Assets and Liabilities | $1593262 | $1743471 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") | (16406) | (166615) |
|  Total derivative assets and liabilities subject to an MNA | $1576856 | $1576856 |

---

<sup>(a)</sup> 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<br>Assets<br>Subject to an<br>MNA by<br>Counterparty* | *Derivatives<br>Available<br>for Offset<sup>(a)</sup>* | *Non- Cash<br>Collateral<br>Received<sup>(b)</sup>* | *Cash<br>Collateral<br>Received<sup>(b)</sup>* | *Net<br>Amount of<br>Derivative<br>Assets<sup>(c)</sup>* |
|  Goldman Sachs International | $1576856 | $(850825) | $— | $(726031) | $— |
| *Counterparty* | *Derivative<br>Liabilities<br>Subject to<br>an MNA by<br>Counterparty* | *Derivatives<br>Available<br>for Offset<sup>(a)</sup>* | *Non-*<br> *Cash<br>Collateral<br>Pledged<sup>(b)</sup>* | *Cash<br>Collateral<br>Pledged<sup>(b)</sup>* | *Net<br>Amount of<br>Derivative<br>Liabilities<sup>(d)</sup>* |
|  Goldman Sachs International | $850825 | $(850825) | $— | $— | $— |
|  J.P. Morgan Securities LLC | 726031 |  |  | (726031) |  |
|  | $1576856 | $(850825) | $— | $(726031) | $— |

---

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

<sup>(b)</sup> Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

<sup>(c)</sup> Net amount represents the net amount receivable from the counterparty in the event of default. 

<sup>(d)</sup> Net amount represents the net amount payable due to the counterparty in the event of default. 

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series M 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 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $29036351 | $— | $29036351 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities |  | 100537016 |  | 100537016 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities |  | 1748471802 |  | 1748471802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 7342714 |  |  | 7342714 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations |  | 10700404 |  | 10700404 |
|  Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TBA Sale Commitments |  | (432601700) |  | (432601700) |
|  | $7342714 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1456143873 | $— | $1463486587 |
|  Derivative Financial Instruments<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | $— | $1227379 | $— | $1227379 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | 50003 |  |  | 50003 |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts |  | (1056717) |  | (1056717) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (355753) |  |  | (355753) |
|  | $(305750) | $170662 | $— | $(135088) |

---

<sup>(a)</sup> 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 5 B L A C K R O C K 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 <br> March 31, 2025 | **BATS: Series P Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Shares* | *Value* |
|  **Investment Companies** |  |  |
| **Fixed-Income Funds — 20.5%** |  |  |
|  BATS: Series S Portfolio<sup>(a)</sup> | 77157 | $712158 |
|  **Total Long-Term Investments — 20.5%<br>(Cost: $709,844)** |  | 712158 |
|  **Short-Term Securities** |  |  |
| **Money Market Funds — 76.8%** |  |  |
|  Dreyfus Treasury Securities Cash Management, Institutional Class, 4.17%<sup>(b)</sup> | 2673791 | 2673791 |
|  **Total Short-Term Securities — 76.8%<br>(Cost: $2,673,791)** |  | 2673791 |
|  **Total Investments — 97.3%<br>(Cost: $3,383,635)** |  | 3385949 |
|  **Other Assets Less Liabilities — 2.7%** |  | 95696 |
|  **Net Assets — 100.0%** |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3481645 |

---

<sup>(a)</sup> Affiliate of the Fund.

<sup>(b)</sup> Annualized 7-day yield as of period end.

#### Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended March 31, 2025 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Affiliated Issuer* | *Value at<br>03/31/24* | *Purchases<br>at Cost* | *Proceeds<br>from Sales* | *Net<br>Realized<br>Gain (Loss)* | *Change in<br>Unrealized<br>Appreciation<br>(Depreciation)* | *Value at<br>03/31/25* | *Shares<br>Held at<br>03/31/25* | *Income* | *Capital*<br> *Gain<br>Distributions<br>from Underlying<br>Funds* |
| BATS: Series S Portfolio | $1348560 | $1700000 | $(2362500) | $(1575) | $27673 | $712158 | 77157 | $60027 | $— |

---

#### Derivative Financial Instruments Outstanding as of Period End

#### Futures Contracts

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount<br>(000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
|  Long Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes (5 Year) | 2 | 06/30/25 | $217 | $966 |
|  Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes (10 Year) | 16 | 06/18/25 | 1783 | (13122) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Ultra Treasury Notes (10 Year) | 17 | 06/18/25 | 1945 | (27403) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes (2 Year) | 3 | 06/30/25 | 622 | (1059) |
|  |  |  |  | (41584) |
|  |  |  |  | $(40618) |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series P Portfolio** |

---

#### Centrally Cleared Interest Rate Swaps

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund | *Termination*<br> *Date* | *Notional<br>Amount*<br> *(000)* | *Notional<br>Amount*<br> *(000)* | *Value* | *Upfront<br>Premium<br>Paid*<br> *(Received)* | *Unrealized<br>Appreciation*<br> *(Depreciation)* |
| *Rate* | *Frequency* | *Rate* | *Frequency* | *Termination*<br> *Date* | *Notional<br>Amount*<br> *(000)* | *Notional<br>Amount*<br> *(000)* | *Value* | *Upfront<br>Premium<br>Paid*<br> *(Received)* | *Unrealized<br>Appreciation*<br> *(Depreciation)* |
|  |  | 1-day Overnight Fed Funds |  |  |  |  |  |  |  |
|  0.18% | Quarterly | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Effective Rate, 4.33% | Quarterly | 10/21/25 | USD | 3167 | $94510 | $— | $94510 |
|  1-day SOFR, 4.41% | Quarterly | 0.17% | Quarterly | 10/21/25 | USD | 3167 | (94872) |  | (94872) |
|  |  | 1-day Overnight Fed Funds |  |  |  |  |  |  |  |
|  0.56% | Quarterly | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Effective Rate, 4.33% | Quarterly | 10/21/30 | USD | 336 | 53730 |  | 53730 |
|  1-day SOFR, 4.41% | Quarterly | 0.53% | Quarterly | 10/21/30 | USD | 336 | (55129) |  | (55129) |
|  0.75% | Quarterly | 1-day SOFR, 4.41% | Quarterly | 10/21/35 | USD | 22 | 5913 |  | 5913 |
|  1-day Overnight Fed Funds Effective Rate, 4.33% | Quarterly | 0.79% | Quarterly | 10/21/35 | USD | 22 | (5713) |  | (5713) |
|  0.84% | Quarterly | 1-day SOFR, 4.41% | Quarterly | 10/21/40 | USD | 39 | 14118 |  | 14118 |
|  1-day Overnight Fed Funds Effective Rate, 4.33% | Quarterly | 0.91% | Quarterly | 10/21/40 | USD | 39 | (13546) |  | (13546) |
|  0.91% | Quarterly | 1-day SOFR, 4.41% | Quarterly | 10/21/50 | USD | 22 | 10565 |  | 10565 |
|  1-day Overnight Fed Funds Effective Rate, 4.33% | Quarterly | 0.99% | Quarterly | 10/21/50 | USD | 22 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(10077) |  | (10077) |
|  |  |  |  |  |  |  | $(501) | $— | $(501) |

---

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

---

| | | | |
|:---|:---|:---|:---|
|  | *Swap<br>Premiums<br>Paid* | *Unrealized<br>Appreciation* | *Unrealized<br>Depreciation* |
|  Centrally Cleared Swaps<sup>(a)</sup> | $– $– $| 178836 | $(179337) |

---

<sup>(a)</sup> 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<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on futures contracts<sup>(a)</sup> | $— | $— | $— | $— | $966 | $— | $966 |
|  Swaps — centrally cleared |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on centrally cleared swaps<sup>(a)</sup> |  |  |  |  | 178836 |  | 178836 |
|  | $— | $— | $— | $— | $179802 | $— | $179802 |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup> | $— | $— | $— | $— | $41584 | $— | $41584 |
|  Swaps — centrally cleared |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on centrally cleared swaps<sup>(a)</sup> |  |  |  |  | 179337 |  | 179337 |
|  | $— | $— | $— | $— | $220921 | $— | $220921 |

---

<sup>(a)</sup> 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). 

74 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series P Portfolio** |

---

For the period ended March 31, 2025, the effect of derivative financial instruments in the Statements of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| *Currency* | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $— | $— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(280287) | $— | $(280287) |
|  Swaps |  |  |  |  | (177) |  | (177) |
|  | $— | $— | $— | $— | $(280464) | $— | $(280464) |
|  **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |  |  |  |  |
|  Futures contracts | $— | $— | $— | $— | $(3621) | $— | $(3621) |
|  Swaps |  |  |  |  | 167 |  | 167 |
|  | $— | $— | $— | $— | $(3454) | $— | $(3454) |

---

#### Average Quarterly Balances of Outstanding Derivative Financial Instruments

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $243885 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | 5361660 |
|  Interest rate swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — pays fixed rate | 3586431 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — receives fixed rate | 3586431 |

---

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 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investment Companies | $712158 | $— | $— | $712158 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 2673791 |  |  | 2673791 |
|  | $3385949 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;— | $3385949 |
|  Derivative Financial Instruments<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | $966 | $178836 | $— | $179802 |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (41584) | (179337) |  | (220921) |
|  | $(40618) | $(501) | $— | $(41119) |

---

<sup>(a)</sup> 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 75

------

---

| | |
|:---|:---|
| Schedule of Investments<br> March 31, 2025 | **BATS: Series S Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities** |  |  |
|  American Express Credit Account Master Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A, 3.39%, 05/15/27 | USD 3,560 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3554413 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class A, 3.75%, 08/15/27 | 3741 | 3729062 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 5.24%, 04/15/31 | 406 | 419670 |
|  AmeriCredit Automobile Receivables Trust, Series 2022-1, Class A3, 2.45%, 11/18/26 | 44 | 44063 |
|  Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class AR3, (3-mo. CME Term SOFR + 1.56%), 5.86%, 04/28/37<sup>(a)(b)</sup> | 865 | 866490 |
|  ARI Fleet Lease Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A2, 5.30%, 11/15/32<sup>(a)</sup> | 219 | 219919 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-B, Class A2, 5.54%, 04/15/33<sup>(a)</sup> | 111 | 111272 |
|  BA Credit Card Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A1, Class A1, 3.53%, 11/15/27 | 3668 | 3660254 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A2, Class A2, 5.00%, 04/15/28 | 822 | 824424 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A1, Class A, 4.93%, 05/15/29 | 1383 | 1401102 |
|  Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, (3-mo. CME Term SOFR + 1.36%), 5.66%, 01/20/31<sup>(a)(b)</sup> | 149 | 148774 |
|  Betony CLO 2 Ltd., Series 2018-1A, Class A1, (3-mo. CME Term SOFR + 1.34%), 5.63%, 04/30/31<sup>(a)(b)</sup> | 247 | 246932 |
|  BMW Vehicle Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class A3, 3.21%, 08/25/26 | 546 | 544307 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class A3, 5.47%, 02/25/28 | 594 | 597652 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class A3, 4.56%, 09/25/29 | 500 | 502341 |
|  Canyon CLO Ltd., Series 2021-4A, Class B, (3-mo. CME Term SOFR + 1.96%), 6.26%, 10/15/34<sup>(a)(b)</sup> | 250 | 249337 |
|  Capital One Prime Auto Receivables Trust, Series 2022-2, Class A3, 3.66%, 05/17/27 | 1093 | 1088210 |
|  CarMax Auto Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A3, 3.49%, 02/16/27 | 947 | 943617 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class A3, 3.97%, 04/15/27 | 650 | 648302 |
|  Chase Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A1, Class A, 5.16%, 09/15/28 | 2680 | 2710359 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A2, Class A, 4.63%, 01/15/31 | 293 | 295806 |
|  Chesapeake Funding II LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2A, Class A1, 6.16%, 10/15/35<sup>(a)</sup> | 249 | 253006 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A1, 5.52%, 05/15/36<sup>(a)</sup> | 451 | 455400 |
|  CNH Equipment Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class A3, 3.89%, 11/15/27 | 408 | 406431 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 4.77%, 06/15/29 | 452 | 454408 |
|  College Ave Student Loans LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-B, Class A1, (1-mo. CME Term SOFR + 0.91%), 5.24%, 06/25/52<sup>(a)(b)</sup> | 160 | 159621 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C, Class B, 2.72%, 07/26/55<sup>(a)</sup> | 73 | 66174 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class A1, (SOFR (30-day) + 1.90%), 6.24%, 05/25/55<sup>(a)(b)</sup> | 381 | 389227 |
|  Credit Acceptance Auto Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1A, Class A, 4.60%, 06/15/32<sup>(a)</sup> | 78 | 77877 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3A, Class A, 6.57%, 10/15/32<sup>(a)</sup> | 148 | 148281 |
|  EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.80%, 11/25/45<sup>(a)</sup> | 54 | 49491 |
|  ELFI Graduate Loan Program LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class A, 4.51%, 08/26/47<sup>(a)</sup> | 412 | 402107 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class A, 6.37%, 02/04/48<sup>(a)</sup> | 393 | 411566 |
|  Elmwood CLO III Ltd., Series 2019-3A, Class A2RR, (3-mo. CME Term SOFR + 1.60%), 5.89%, 07/18/37<sup>(a)(b)</sup> | 425 | 424041 |
|  Enterprise Fleet Financing LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2, Class A2, 5.56%, 04/22/30<sup>(a)</sup> | 547 | 550937 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class A2, 5.23%, 03/20/30<sup>(a)</sup> | 351 | 353172 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class A3, 5.16%, 09/20/30<sup>(a)</sup> | 50 | 50762 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  Enterprise Fleet Financing LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3, Class A3, 4.98%, 08/21/28<sup>(a)</sup> | USD 200 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;202591 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-3, Class A4, 5.06%, 03/20/31<sup>(a)</sup> | 66 | 67166 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4, Class A3, 4.56%, 11/20/28<sup>(a)</sup> | 182 | 182456 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4, Class A4, 4.70%, 06/20/31<sup>(a)</sup> | 50 | 50209 |
|  Fairstone Financial Issuance Trust, Series 2020-1A, Class A, 2.51%, 10/20/39<sup>(a)</sup> | CAD 18 | 12346 |
|  Ford Credit Auto Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class A4, 3.93%, 08/15/27 | USD 417 | 415295 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class A, 4.85%, 08/15/35<sup>(a)</sup> | 1380 | 1395172 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2, Class A, 5.28%, 02/15/36<sup>(a)</sup> | 1125 | 1151677 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class A3, 4.65%, 02/15/28 | 172 | 171927 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 4.87%, 08/15/36<sup>(a)(c)</sup> | 308 | 311733 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 5.09%, 12/15/28 | 1900 | 1920069 |
|  Ford Credit Auto Owner Trust/Ford Credit, Series 2025-1, Class A, 4.86%, 08/15/37<sup>(a)(c)</sup> | 715 | 725423 |
|  Ford Credit Floorplan Master Owner Trust A | Ford Credit Floorplan Master Owner Trust A |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-4, Class A, 4.06%, 11/15/30 | 907 | 893135 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class A1, 4.92%, 05/15/28<sup>(a)</sup> | 1246 | 1251388 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class A2, (SOFR (30-day) + 1.25%), 5.60%, 05/15/28<sup>(a)(b)</sup> | 260 | 261867 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1, Class B, 5.31%, 05/15/28<sup>(a)</sup> | 280 | 281772 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 5.24%, 04/15/31<sup>(a)</sup> | 545 | 560686 |
|  Foundation Finance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 5.50%, 12/15/49<sup>(a)</sup> | 288 | 293238 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-1A, Class A, 4.95%, 04/15/50<sup>(a)</sup> | 378 | 379033 |
|  FS Rialto Issuer Ltd., Series 2021-FL2, Class A, (1-mo. CME Term SOFR + 1.33%), 5.65%, 05/16/38<sup>(a)(b)</sup> | 185 | 184286 |
|  GM Financial Consumer Automobile Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A4, 1.51%, 04/17/28 | 277 | 271191 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A3, 3.10%, 02/16/27 | 306 | 304406 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A4, 3.25%, 04/17/28 | 629 | 620845 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class A4, 3.71%, 12/16/27 | 887 | 879801 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-4, Class A3, 5.78%, 08/16/28 | 668 | 676699 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-4, Class A3, 4.40%, 08/16/29 | 1103 | 1104418 |
|  GM Financial Revolving Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2, Class A, 5.77%, 08/11/36<sup>(a)</sup> | 1031 | 1075780 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 4.98%, 12/11/36<sup>(a)</sup> | 284 | 288657 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 4.52%, 03/11/37<sup>(a)</sup> | 824 | 823554 |
|  GoodLeap Sustainable Home Solutions Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-4GS, Class A, 1.93%, 07/20/48<sup>(a)</sup> | 121 | 94045 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-5CS, Class A, 2.31%, 10/20/48<sup>(a)</sup> | 49 | 39377 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1GS, Class A, 2.70%, 01/20/49<sup>(a)</sup> | 90 | 75362 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2CS, Class A, 4.00%, 04/20/49<sup>(a)</sup> | 69 | 57056 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1GS, Class A, 5.52%, 02/22/55<sup>(a)</sup> | 186 | 175706 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-3C, Class A, 6.50%, 07/20/55<sup>(a)</sup> | 225 | 220548 |
|  GreatAmerica Leasing Receivables Funding LLC, Series 2024-2, Class A2, 5.28%, 03/15/27<sup>(a)</sup> | 233 | 234103 |
|  Honda Auto Receivables Owner Trust, Series 2023-4, Class A3, 5.67%, 06/21/28 | 937 | 948288 |
|  Hyundai Auto Receivables Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class A3, 3.72%, 11/16/26 | 169 | 168669 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class A3, 4.58%, 04/15/27 | 726 | 725295 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-B, Class A3, 5.48%, 04/17/28 | 1424 | 1435378 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-C, Class A3, 5.54%, 10/16/28 | 1087 | 1101257 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A3, 4.99%, 02/15/29 | 966 | 974844 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-B, Class A3, 4.84%, 03/15/29 | 1338 | 1347699 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-C, Class A3, 4.41%, 05/15/29 | 1622 | 1624174 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-A, Class A3, 4.32%, 10/15/29 | 366 | 365567 |
|  John Deere Owner Trust Series 2023-B, Class A3, 5.18%, 03/15/28 | 529 | 532133 |

---

76 2 0 2 5 B L A C K R O C K 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

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---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series S Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  John Deere Owner Trust Series 2024-A, Class A3, 4.96%, 11/15/28 | USD 981 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;990806 |
|  Mercedes-Benz Auto Receivables Trust, Series 2023-2, Class A3, 5.95%, 11/15/28 | 760 | 772311 |
|  MMAF Equipment Finance LLC, Series 2024-A, Class A3, 4.95%, 07/14/31<sup>(a)</sup> | 150 | 151328 |
|  Navient Private Education Loan Trust, Series 2020-A, Class A2B, (1-mo. CME Term SOFR + 1.01%), 5.33%, 11/15/68<sup>(a)(b)</sup> | 836 | 834559 |
|  Navient Private Education Refi Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-CA, Class A2, 3.13%, 02/15/68<sup>(a)</sup> | 132 | 129778 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-GA, Class A, 2.40%, 10/15/68<sup>(a)</sup> | 58 | 55971 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-BA, Class A2, 2.12%, 01/15/69<sup>(a)</sup> | 231 | 218052 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-DA, Class A, 1.69%, 05/15/69<sup>(a)</sup> | 279 | 262783 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-FA, Class A, 1.22%, 07/15/69<sup>(a)</sup> | 398 | 370680 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-IA, Class A1A, 1.33%, 04/15/69<sup>(a)</sup> | 610 | 562408 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A, 0.84%, 05/15/69<sup>(a)</sup> | 50 | 45916 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-BA, Class A, 0.94%, 07/15/69<sup>(a)</sup> | 318 | 289283 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-BA, Class A, 4.16%, 10/15/70<sup>(a)</sup> | 762 | 745941 |
|  Navient Student Loan Trust, Series 2023-BA, Class A1B, (SOFR (30-day) + 1.70%), 6.05%, 03/15/72<sup>(a)(b)</sup> | 212 | 212898 |
|  Navistar Financial Dealer Note Master Owner Trust, Series 2024-1, Class A, 5.59%, 04/25/29<sup>(a)</sup> | 390 | 394057 |
|  Navistar Financial Dealer Note Master Owner Trust II, Series 2023-1, Class A, 6.18%, 08/25/28<sup>(a)</sup> | 167 | 167696 |
|  Nelnet Student Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class APT2, 1.36%, 04/20/62<sup>(a)</sup> | 416 | 386710 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-CA, Class AFL, (1-mo. CME Term SOFR + 0.85%), 5.17%, 04/20/62<sup>(a)(b)</sup> | 310 | 308408 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-AA, Class A1B, (SOFR (30-day) + 1.10%), 5.44%, 03/15/57<sup>(a)(b)</sup> | 407 | 404481 |
|  Neuberger Berman CLO XV Ltd., Series 2013-15A, Class A1R2, (3-mo. CME Term SOFR + 1.18%), 5.48%, 10/15/29<sup>(a)(b)</sup> | 249 | 248601 |
|  Nissan Auto Receivables Owner Trust, Series 2023-A, Class A3, 4.91%, 11/15/27 | 1809 | 1812622 |
|  OCP CLO Ltd., Series 2016-12A, Class BAR3, (3-mo. CME Term SOFR + 1.68%), 5.97%, 10/18/37<sup>(a)(b)</sup> | 260 | 259383 |
|  OHA Credit Partners XVI, Series 2021-16A, Class AR, (3-mo. CME Term SOFR + 1.35%), 5.64%, 10/18/37<sup>(a)(b)</sup> | 420 | 420449 |
|  OneMain Direct Auto Receivables Trust, Series 2021- 1A, Class A, 0.87%, 07/14/28<sup>(a)</sup> | 399 | 394176 |
|  OneMain Financial Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-2A, Class A, 3.14%, 10/14/36<sup>(a)</sup> | 402 | 389422 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 5.50%, 06/14/38<sup>(a)</sup> | 150 | 153237 |
|  OZLM XXII Ltd., Series 2018-22A, Class A2, (3-mo. CME Term SOFR + 1.76%), 6.06%, 01/17/31<sup>(a)(b)</sup> | 250 | 249350 |
|  Pagaya AI Technology in Housing Trust, Series 2023-1, Class A, 3.60%, 10/25/40<sup>(a)</sup> | 495 | 470396 |
|  Palmer Square Loan Funding Ltd., Series 2021-3A, Class A1, (3-mo. CME Term SOFR + 1.06%), 5.36%, 07/20/29<sup>(a)(b)</sup> | 52 | 52278 |
|  Park Avenue Institutional Advisers CLO Ltd., Series 2018-1A, Class A1AR, (3-mo. CME Term SOFR + 1.26%), 5.56%, 10/20/31<sup>(a)(b)</sup> | 180 | 179865 |
|  PFS Financing Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-D, Class A, 4.27%, 08/15/27<sup>(a)</sup> | 706 | 704802 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-A, Class A, 5.80%, 03/15/28<sup>(a)</sup> | 1030 | 1041719 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-C, Class A, 5.52%, 10/15/28<sup>(a)</sup> | 432 | 439057 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-D, Class A, 5.34%, 04/15/29<sup>(a)</sup> | 115 | 117038 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  PFS Financing Corp. Series 2025-B, Class A, 4.85%, 02/15/30<sup>(a)</sup> | USD 628 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;633258 |
|  Porsche Financial Auto Securitization Trust, Series 2024-1A, Class A3, 4.44%, 01/22/30<sup>(a)</sup> | 2163 | 2166405 |
|  Prodigy Finance DAC, Series 2021-1A, Class A, (1-mo. CME Term SOFR + 1.36%), 5.69%, 07/25/51<sup>(a)(b)</sup> | 38 | 38287 |
|  Progress Residential Trust, Series 2021-SFR10, Class A, 2.39%, 12/17/40<sup>(a)</sup> | 459 | 427755 |
|  Regional Management Issuance Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-1, Class A, 1.68%, 03/17/31<sup>(a)</sup> | 17 | 16662 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class A, 5.83%, 07/15/36<sup>(a)</sup> | 103 | 105065 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 5.11%, 12/15/33<sup>(a)</sup> | 100 | 100431 |
|  Santander Drive Auto Receivables Trust, Series 2023-5, Class A3, 6.02%, 09/15/28 | 896 | 902097 |
|  SFS Auto Receivables Securitization Trust, Series 2025-1A, Class A3, 4.75%, 07/22/30<sup>(a)</sup> | 450 | 453289 |
|  SLM Student Loan Trust, Series 2013-4, Class A, (SOFR (30-day) + 0.66%), 5.00%, 06/25/43<sup>(b)</sup> | 119 | 117697 |
|  SMB Private Education Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-A, Class A2B, (1-mo. CME Term SOFR + 1.01%), 5.33%, 09/15/34<sup>(a)(b)</sup> | 133 | 133059 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-B, Class A2B, (1-mo. CME Term SOFR + 1.11%), 5.43%, 06/15/37<sup>(a)(b)</sup> | 423 | 423765 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class A2A1, (1-mo. CME Term SOFR + 0.84%), 5.16%, 01/15/53<sup>(a)(b)</sup> | 645 | 632701 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-A, Class APL, (1-mo. CME Term SOFR + 0.84%), 5.16%, 01/15/53<sup>(a)(b)</sup> | 757 | 743326 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-A, Class APT, 2.85%, 11/16/54<sup>(a)</sup> | 525 | 490047 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class A1A, 3.94%, 02/16/55<sup>(a)</sup> | 541 | 523867 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-B, Class A1B, (SOFR (30-day) + 1.80%), 6.15%, 10/16/56<sup>(a)(b)</sup> | 598 | 609423 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-C, Class A1A, 5.67%, 11/15/52<sup>(a)</sup> | 132 | 133853 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-A, Class A1B, (SOFR (30-day) + 1.45%), 5.80%, 03/15/56<sup>(a)(b)</sup> | 680 | 683012 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-C, Class A1A, 5.50%, 06/17/52<sup>(a)</sup> | 1081 | 1102565 |
|  SoFi Consumer Loan Program Trust, Series 2025-1, Class A, 4.80%, 02/27/34<sup>(a)</sup> | 343 | 343177 |
|  SoFi Personal Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-1A, Class A, 6.00%, 11/12/30<sup>(a)</sup> | 120 | 121929 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1A, Class A, 6.06%, 02/12/31<sup>(a)</sup> | 221 | 222378 |
|  SoFi Professional Loan Program Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-A, Class A2FX, 2.54%, 05/15/46<sup>(a)</sup> | 138 | 132199 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-C, Class AFX, 1.95%, 02/15/46<sup>(a)</sup> | 196 | 182806 |
|  Toyota Auto Loan Extended Note Trust, Series 2023-1A, Class A, 4.93%, 06/25/36<sup>(a)</sup> | 1000 | 1015728 |
|  Toyota Auto Receivables Owner Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class A3, 2.93%, 09/15/26 | 337 | 335814 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B, Class A4, 3.11%, 08/16/27 | 573 | 565820 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-C, Class A3, 5.16%, 04/17/28 | 340 | 342169 |
|  Verizon Master Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-1, Class A1A, 5.00%, 12/20/28 | 1783 | 1789067 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class A, 4.83%, 12/22/31<sup>(a)</sup> | 266 | 269116 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-8, Class A1A, 4.62%, 11/20/30 | 1042 | 1048997 |
|  Volkswagen Auto Loan Enhanced Trust, Series 2021-1, Class A3, 1.02%, 06/22/26 | 16 | 15860 |

---

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series S Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** | **Asset-Backed Securities (continued)** |
|  WF Card Issuance Trust, Series 2024-A1, Class A, 4.94%, 02/15/29 | USD 1,902 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1924912 |
|  Whitebox CLO I Ltd., Series 2019-1A, Class A1RR, (3-mo. CME Term SOFR + 1.32%), 5.62%, 07/24/36<sup>(a)(b)</sup> | 410 | 409795 |
|  **Total Asset-Backed Securities — 24.1%<br>(Cost: $87,631,428)** | **Total Asset-Backed Securities — 24.1%<br>(Cost: $87,631,428)** | 87727920 |
|  **Corporate Bonds** |  |  |
| **Aerospace & Defense — 0.8%** |  |  |
|  BAE Systems PLC, 5.00%, 03/26/27<sup>(a)</sup> | 425 | 428678 |
|  L3Harris Technologies, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 01/15/27 | 569 | 577155 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 06/01/29 | 495 | 501410 |
|  RTX Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 11/01/26 | 38 | 37009 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 03/15/27 | 470 | 461762 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 05/04/27 | 770 | 749299 |
|  |  | 2755313 |
| **Automobile Components — 0.1%** |  |  |
|  Aptiv Swiss Holdings Ltd., 4.65%, 09/13/29 | 440 | 433590 |
| **Automobiles — 0.1%** |  |  |
|  Stellantis NV, 3.38%, 11/19/28<sup>(d)</sup> | EUR 200 | 216903 |
|  Traton Finance Luxembourg SA, 4.13%, 11/22/25<sup>(d)</sup> | 100 | 108879 |
|  |  | 325782 |
| **Banks — 8.7%** |  |  |
|  Bank of America Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.32%, 06/19/26 | USD 2,942 | 2920973 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.56%, 04/23/27 | 914 | 904093 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.55%, 02/04/28 | 415 | 400364 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.20%, 11/10/28 | 1235 | 1283560 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.98%, 01/24/29 | 890 | 899021 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.82%, 09/15/29 | 166 | 172030 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.16%, 01/24/31 | 751 | 761352 |
|  Barclays PLC, 5.69%, 03/12/30 | 390 | 399859 |
|  Citigroup, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.11%, 04/08/26 | 507 | 506832 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.61%, 09/29/26 | 2083 | 2092981 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 10/21/26 | 1190 | 1166568 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.79%, 03/04/29 | 1035 | 1037252 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.17%, 02/13/30 | 370 | 374815 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.54%, 09/19/30 | 525 | 517920 |
|  Goldman Sachs Bank U.S.A., 5.41%, 05/21/27 | 204 | 205932 |
|  JPMorgan Chase & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.08%, 04/22/26 | 1040 | 1038302 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.05%, 11/19/26 | 915 | 895042 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.96%, 01/29/27 | 97 | 96516 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.07%, 10/22/27 | 1036 | 1060460 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.57%, 04/22/28 | 585 | 596691 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.98%, 07/22/28 | 1999 | 2016839 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.92%, 01/24/29 | 1090 | 1100365 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.30%, 07/24/29 | 1213 | 1237743 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 07/22/30 | 505 | 509571 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.14%, 01/24/31 | 867 | 880521 |
|  KeyCorp, 5.12%, 04/04/31 | 200 | 200878 |
|  Morgan Stanley Bank N.A. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 10/15/27 | 825 | 823963 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 01/14/28 | 915 | 920723 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.97%, 07/14/28 | 765 | 771650 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.02%, 01/12/29 | 300 | 303601 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Banks (continued)** |  |  |
|  Royal Bank of Canada, 4.88%, 01/12/26 | USD 12 | $12047 |
|  Truist Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.05%, 06/08/27 | 667 | 678104 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.44%, 01/24/30 | 147 | 150027 |
|  U.S. Bancorp, 5.38%, 01/23/30 | 252 | 257106 |
|  Wells Fargo & Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.54%, 08/15/26 | 55 | 54974 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.71%, 04/22/28 | 165 | 168607 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.58%, 05/22/28 | 440 | 430793 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.57%, 07/25/29 | 1295 | 1330210 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 01/23/30 | 260 | 264356 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.24%, 01/24/31 | 389 | 395521 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series W, 4.90%, 01/24/28 | 821 | 825629 |
|  Westpac Banking Corp., 4.18%, 05/22/28<sup>(a)</sup> | 1205 | 1202528 |
|  |  | &nbsp;&nbsp;&nbsp;&nbsp;31866319 |
| **Biotechnology — 0.4%** |  |  |
|  AbbVie, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 03/15/29 | 381 | 385837 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 11/21/29 | 155 | 146418 |
|  Amgen, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.60%, 08/19/26 | 346 | 337694 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.05%, 08/18/29 | 187 | 182846 |
|  Gilead Sciences, Inc., 4.80%, 11/15/29 | 405 | 409074 |
|  |  | 1461869 |
| **Capital Markets — 3.6%** |  |  |
|  Ares Strategic Income Fund, 5.70%, 03/15/28<sup>(a)</sup> | 1000 | 1000023 |
|  Bain Capital Specialty Finance, Inc., 5.95%, 03/15/30 . | 110 | 108110 |
|  Blackstone Private Credit Fund, 5.60%, 11/22/29<sup>(a)</sup> | 425 | 421428 |
|  Blue Owl Credit Income Corp., 6.60%, 09/15/29<sup>(a)</sup> | 150 | 152423 |
|  Deutsche Bank AG, 5.37%, 01/10/29 | 336 | 339711 |
|  Goldman Sachs Group, Inc. (The) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.85%, 01/26/27 | 687 | 680364 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.95%, 10/21/27 | 1748 | 1676669 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.64%, 02/24/28 | 400 | 386090 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.69%, 06/05/28 | 682 | 668970 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.48%, 08/23/28 | 940 | 937718 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 07/23/30 | 730 | 736051 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.21%, 01/28/31 | 655 | 663910 |
|  HPS Corporate Lending Fund, 5.45%, 01/14/28<sup>(a)</sup> | 95 | 94775 |
|  Morgan Stanley |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 01/27/26 | 1221 | 1214800 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.59%, 05/04/27 | 1504 | 1456538 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.30%, 10/18/28 | 450 | 467976 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.04%, 07/19/30 | 1092 | 1101124 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.23%, 01/15/31 | 400 | 406508 |
|  Oaktree Specialty Lending Corp., 6.34%, 02/27/30 | 205 | 204176 |
|  UBS AG, 5.00%, 07/09/27 | 491 | 496653 |
|  |  | 13214017 |
| **Consumer Finance — 1.0%** |  |  |
|  American Express Co., 5.09%, 01/30/31 | 295 | 298729 |
|  Capital One Financial Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.99%, 07/24/26 | 300 | 300080 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.88%, 11/02/27 | 488 | 466803 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.31%, 06/08/29 | 343 | 356674 |
|  Ford Motor Credit Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.80%, 03/05/27 | 255 | 256104 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 05/28/27 | 215 | 211875 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.35%, 11/04/27 | 470 | 487010 |
|  General Motors Financial Co., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.35%, 02/26/27 | 340 | 324450 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 07/15/29 | 152 | 153190 |

---

78 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series S Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* | *Value* |
| **Consumer Finance (continued)** |  |  |  |
|  Synchrony Financial |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.94%, 08/02/30 | USD 115 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;116618 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 03/06/31 | 570 |  | 565915 |
|  |  |  | 3537448 |
| **Containers & Packaging — 0.0%** |  |  |  |
|  Amcor Flexibles North America, Inc., 5.10%, 03/17/30<sup>(a)</sup> | 190 |  | 191523 |
| **Diversified REITs — 3.9%** |  |  |  |
|  American Tower Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 10/15/26 | 571 |  | 560719 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 03/15/27 | 531 |  | 522020 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.55%, 07/15/27 | 516 |  | 504453 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 02/15/29 | 164 |  | 166619 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 01/15/30 | 350 |  | 321951 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/31/30 | 229 |  | 230873 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 03/15/30 | 530 |  | 532805 |
|  Crown Castle, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.05%, 07/15/26 | 618 |  | 589085 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.65%, 09/01/27 | 325 |  | 316622 |
|  Equinix, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.45%, 05/15/26 | 125 |  | 120808 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 11/18/26 | 672 |  | 654217 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.80%, 07/15/27 | 1027 |  | 965805 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.55%, 03/15/28 | 213 |  | 195443 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 05/15/28 | 300 |  | 277693 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 11/18/29 | 555 |  | 519183 |
|  GLP Capital LP/GLP Financing II, Inc., 5.38%, 04/15/26 | 1985 |  | 1991231 |
|  VICI Properties LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.38%, 05/15/25 | 2479 |  | 2476414 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/15/28 | 236 |  | 236016 |
| &nbsp;&nbsp;&nbsp;&nbsp; 04/01/28<sup>(e)</sup> | 110 |  | 110219 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.95%, 02/15/30 | 410 |  | 406459 |
|  VICI Properties LP/VICI Note Co., Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 06/15/25<sup>(a)</sup> | 538 |  | 537863 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 12/01/26<sup>(a)</sup> | 500 |  | 494536 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 02/01/27<sup>(a)</sup> | 385 |  | 389995 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 01/15/28<sup>(a)</sup> | 170 |  | 167855 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.88%, 02/15/29<sup>(a)</sup> | 75 |  | 71604 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.63%, 12/01/29<sup>(a)</sup> | 532 |  | 516101 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 08/15/30<sup>(a)</sup> | 260 |  | 244748 |
|  |  |  | 14121337 |
| **Diversified Telecommunication Services — 0.2%** | **Diversified Telecommunication Services — 0.2%** | **Diversified Telecommunication Services — 0.2%** | **Diversified Telecommunication Services — 0.2%** |
|  AT&T Inc., 1.65%, 02/01/28 | 435 |  | 402401 |
|  NTT Finance Corp., 4.37%, 07/27/27<sup>(a)</sup> | 275 |  | 274897 |
|  |  |  | 677298 |
| **Electric Utilities — 3.2%** |  |  |  |
|  AEP Texas, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.95%, 06/01/28 | 110 |  | 107812 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 05/15/29 | 576 |  | 589530 |
|  Dominion Energy, Inc., 5.00%, 06/15/30 | 305 |  | 306498 |
|  Duke Energy Carolinas LLC, 4.85%, 03/15/30 | 335 |  | 338387 |
|  Duke Energy Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 09/01/26 | 409 |  | 398241 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 01/05/29 | 840 |  | 845181 |
|  Edison International, 4.70%, 08/15/25 | 380 |  | 380005 |
|  Evergy Kansas Central, Inc., 4.70%, 03/13/28 | 475 |  | 476669 |
|  Eversource Energy |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 05/15/26 | 285 |  | 285129 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 03/01/27 | 353 |  | 341906 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.45%, 03/01/28 | 245 |  | 250341 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Electric Utilities (continued)** |  |  |
|  Exelon Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 03/15/28 | USD 253 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;257076 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 03/15/29 | 270 | 274562 |
|  FirstEnergy Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 3.90%, 07/15/27 | 230 | 226153 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series B, 2.25%, 09/01/30 | 237 | 206101 |
|  FirstEnergy Transmission LLC, 4.55%, 01/15/30 | 175 | 172583 |
|  National Rural Utilities Cooperative Finance Corp., 4.75%, 02/07/28 | 280 | 282772 |
|  NextEra Energy Capital Holdings, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 02/04/28 | 485 | 490703 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.90%, 06/15/28 | 112 | 103326 |
|  NRG Energy, Inc., 2.45%, 12/02/27<sup>(a)</sup> | 243 | 227916 |
|  Oncor Electric Delivery Co. LLC, 4.65%, 11/01/29 | 500 | 500496 |
|  Pacific Gas & Electric Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.45%, 07/01/25 | 255 | 253981 |
| &nbsp;&nbsp;&nbsp;&nbsp; (3-mo. SOFR Index + 0.95%), 5.31%, 09/04/25<sup>(b)</sup> | 720 | 720067 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 08/01/28 | 120 | 118644 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.55%, 05/15/29 | 1330 | 1348155 |
|  Public Service Enterprise Group, Inc., 4.90%, 03/15/30 | 385 | 386820 |
|  San Diego Gas & Electric Co., 4.95%, 08/15/28 | 25 | 25346 |
|  Southern California Edison Co. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.65%, 10/01/28 | 110 | 112619 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 06/01/29 | 122 | 122792 |
|  Southern Co. (The), 5.50%, 03/15/29 | 719 | 741511 |
|  Texas Electric Market Stabilization Funding N LLC, Series A-1, 4.27%, 08/01/34<sup>(a)</sup> | 283 | 279782 |
|  Vistra Operations Co. LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 12/30/26<sup>(a)</sup> | 120 | 120341 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.70%, 01/30/27<sup>(a)</sup> | 265 | 259353 |
|  |  | 11550798 |
| **Electrical Equipment — 0.0%** |  |  |
|  NXP BV/NXP Funding LLC/NXP U.S.A., Inc., 3.40%, 05/01/30 | 39 | 36348 |
| **Financial Services — 1.0%** |  |  |
|  Aviation Capital Group LLC, 4.75%, 04/14/27<sup>(a)</sup> | 435 | 435303 |
|  Fidelity National Information Services, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.15%, 03/01/26 | 349 | 338308 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.65%, 03/01/28 | 225 | 207215 |
|  Glencore Funding LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/27/27<sup>(a)</sup> | 916 | 903496 |
| &nbsp;&nbsp;&nbsp;&nbsp; 04/01/28<sup>(a)(e)</sup> | 230 | 230939 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.40%, 05/08/28<sup>(a)</sup> | 254 | 258476 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.13%, 10/06/28<sup>(a)</sup> | 423 | 440232 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.37%, 04/04/29<sup>(a)</sup> | 310 | 315062 |
|  TER Finance Jersey Ltd., Series 22, 0.00%, 10/02/25<sup>(a)(f)</sup> | 580 | 559115 |
|  |  | 3688146 |
| **Food Products — 0.1%** |  |  |
|  Mars, Inc., 4.80%, 03/01/30<sup>(a)</sup> | 390 | 392231 |
| **Ground Transportation — 0.3%** |  |  |
|  Canadian Pacific Railway Co., 4.00%, 06/01/28 | 114 | 112071 |
|  Norfolk Southern Corp., 2.90%, 06/15/26 | 145 | 142485 |
|  Ryder System, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.85%, 03/01/27 | 370 | 357951 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/01/28 | 130 | 132286 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.90%, 12/01/29 | 65 | 65322 |
|  Uber Technologies, Inc., 4.30%, 01/15/30 | 410 | 402650 |
|  |  | 1212765 |

---

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series S Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Health Care Equipment & Supplies — 0.2%** | **Health Care Equipment & Supplies — 0.2%** | **Health Care Equipment & Supplies — 0.2%** |
|  Becton Dickinson & Co., 5.08%, 06/07/29 | USD 600 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;608942 |
|  Edwards Lifesciences Corp., 4.30%, 06/15/28 | 12 | 11850 |
|  |  | 620792 |
| **Health Care Providers & Services — 1.1%** | **Health Care Providers & Services — 1.1%** | **Health Care Providers & Services — 1.1%** |
|  Elevance Health, Inc., 5.15%, 06/15/29 | 414 | 422406 |
|  HCA, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 06/15/26 | 590 | 591724 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.38%, 09/01/26 | 876 | 880814 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 03/01/28 | 49 | 49399 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.63%, 09/01/28 | 727 | 743576 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.13%, 06/15/29 | 610 | 592297 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 03/01/30 | 410 | 414864 |
|  Humana, Inc., 5.75%, 03/01/28 | 124 | 127460 |
|  PeaceHealth Obligated Group, Series 2020, 1.38%, 11/15/25 | 114 | 111611 |
|  |  | 3934151 |
| **Health Care REITs — 0.0%** |  |  |
|  Healthpeak OP LLC, 1.35%, 02/01/27 | 10 | 9428 |
| **Industrial Conglomerates — 0.2%** |  |  |
|  3M Co., 4.80%, 03/15/30 | 325 | 326009 |
|  Honeywell International, Inc., 4.70%, 02/01/30 | 320 | 321727 |
|  |  | 647736 |
| **Interactive Media & Services — 0.1%** |  |  |
|  Netflix, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 11/15/28 | 215 | 224855 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 06/15/30<sup>(a)</sup> | 280 | 282959 |
|  |  | 507814 |
| **IT Services — 0.2%** |  |  |
|  Gartner, Inc., 4.50%, 07/01/28<sup>(a)</sup> | 110 | 107849 |
|  Global Payments, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.20%, 03/01/26 | 282 | 273105 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 04/01/26 | 178 | 178045 |
|  |  | 558999 |
| **Media — 0.7%** |  |  |
|  Charter Communications Operating LLC/Charter Communications Operating Capital |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.15%, 11/10/26 | 1335 | 1362091 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 03/15/28 | 813 | 797292 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 01/15/29 | 332 | 299007 |
|  Discovery Communications LLC, 4.90%, 03/11/26 | 133 | 133007 |
|  Warnermedia Holdings, Inc., 3.76%, 03/15/27 | 20 | 19507 |
|  |  | 2610904 |
| **Metals & Mining — 0.1%** |  |  |
|  Anglo American Capital PLC, 3.75%, 06/15/29<sup>(d)</sup> | EUR 380 | 419913 |
| **Multi-Utilities — 0.0%** |  |  |
|  Sempra, 3.30%, 04/01/25 | USD 148 | 148000 |
| **Oil, Gas & Consumable Fuels — 3.5%** |  |  |
|  Canadian Natural Resources Ltd., 5.00%, 12/15/29<sup>(a)</sup>  | 300 | 299842 |
|  Cheniere Corpus Christi Holdings LLC, 3.70%, 11/15/29 | 600 | 572946 |
|  Cheniere Energy Partners LP, 4.50%, 10/01/29 | 1113 | 1082544 |
|  Diamondback Energy, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 12/01/29 | 493 | 466292 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.15%, 01/30/30 | 480 | 487280 |
|  Enbridge, Inc., 5.25%, 04/05/27 | 330 | 334149 |
|  Energy Transfer LP |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 04/15/27 | 126 | 124935 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 06/01/27 | 735 | 746181 |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* | *Value* |
| **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** | **Oil, Gas & Consumable Fuels (continued)** |
|  Energy Transfer LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.10%, 12/01/28 | USD 827 | $| 863413 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.25%, 07/01/29 | 365 |  | 370314 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 04/01/30 | 400 |  | 404518 |
|  EQT Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 05/15/26<sup>(a)</sup> | 111 |  | 109034 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.90%, 10/01/27 | 521 |  | 511678 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 01/15/29 | 188 |  | 189233 |
| &nbsp;&nbsp;&nbsp;&nbsp; 7.00%, 02/01/30 | 284 |  | 306241 |
|  Marathon Petroleum Corp., 4.70%, 05/01/25 | 235 |  | 234942 |
|  MPLX LP |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 03/01/26 | 886 |  | 862830 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 12/01/27 | 129 |  | 127862 |
|  Occidental Petroleum Corp., 5.00%, 08/01/27 | 255 |  | 255852 |
|  Sabine Pass Liquefaction LLC |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.88%, 06/30/26 | 1198 |  | &nbsp;&nbsp;&nbsp;&nbsp;1208323 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 03/15/27 | 101 |  | 101458 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.20%, 03/15/28 | 657 |  | 649608 |
|  Targa Resources Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.20%, 07/01/27 | 527 |  | 533238 |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.15%, 03/01/29 | 660 |  | 690114 |
|  Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.50%, 03/01/30 | 918 |  | 926555 |
|  Williams Cos., Inc. (The), 3.75%, 06/15/27 | 153 |  | 150401 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;12609783 |
| **Passenger Airlines — 0.4%** |  |  |  |
|  AS Mileage Plan IP Ltd., 5.02%, 10/20/29<sup>(a)</sup> | 545 |  | 533709 |
|  Delta Air Lines, Inc., 7.00%, 05/01/25<sup>(a)</sup> | 970 |  | 971305 |
|  |  |  | 1505014 |
| **Retail REITs — 0.1%** |  |  |  |
|  Realty Income Corp., 3.25%, 06/15/29 | 258 |  | 243841 |
| **Semiconductors & Semiconductor Equipment — 0.6%** | **Semiconductors & Semiconductor Equipment — 0.6%** | **Semiconductors & Semiconductor Equipment — 0.6%** | **Semiconductors & Semiconductor Equipment — 0.6%** |
|  Broadcom, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.05%, 07/12/27 | 274 |  | 277454 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 04/15/28 | 505 |  | 508706 |
|  Intel Corp., 5.13%, 02/10/30 | 310 |  | 312179 |
|  Microchip Technology, Inc., 5.05%, 03/15/29 | 300 |  | 302031 |
|  NXP BV/NXP Funding LLC/NXP U.S.A., Inc., 2.70%, 05/01/25 | 655 |  | 653097 |
|  |  |  | 2053467 |
| **Software — 0.8%** |  |  |  |
|  AppLovin Corp., 5.13%, 12/01/29 | 1622 |  | 1628284 |
|  Oracle Corp. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.65%, 07/15/26 | 71 |  | 69313 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.80%, 04/01/27 | 195 |  | 188860 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.25%, 11/15/27 | 738 |  | 715429 |
|  Synopsys, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.65%, 04/01/28 | 190 |  | 191087 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 04/01/30 | 240 |  | 241579 |
|  Workday, Inc., 3.50%, 04/01/27 | 74 |  | 72556 |
|  |  |  | 3107108 |
| **Technology Hardware, Storage & Peripherals — 0.1%** | **Technology Hardware, Storage & Peripherals — 0.1%** | **Technology Hardware, Storage & Peripherals — 0.1%** | **Technology Hardware, Storage & Peripherals — 0.1%** |
|  Dell International LLC/EMC Corp., 04/01/28<sup>(e)</sup> | 310 |  | 311417 |
| **Tobacco — 1.0%** |  |  |  |
|  Altria Group, Inc. |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 6.20%, 11/01/28 | 399 |  | 419011 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.80%, 02/14/29 | 625 |  | 626274 |
|  BAT Capital Corp., 3.56%, 08/15/27 | 886 |  | 864596 |
|  BAT International Finance PLC 1.67%, 03/25/26 | 91 |  | 88379 |

---

80 2 0 2 5 B L A C K R O C K 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

------

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series S Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Tobacco (continued)** |  |  |
|  BAT International Finance PLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.45%, 03/16/28 | USD 277 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;275656 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.93%, 02/02/29 | 555 | 578442 |
|  Philip Morris International, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.88%, 02/15/28 | 778 | 788262 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.13%, 03/02/28 | 152 | 146553 |
|  |  | 3787173 |
| **Wireless Telecommunication Services — 1.1%** | **Wireless Telecommunication Services — 1.1%** |  |
|  Rogers Communications, Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.90%, 11/15/26 | 60 | 58396 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.20%, 03/15/27 | 825 | 802647 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 02/15/29 | 435 | 435390 |
|  T-Mobile U.S.A., Inc. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 02/15/26 | 260 | 252894 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 04/15/27 | 147 | 144872 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.75%, 02/01/28 | 868 | 866941 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.05%, 02/15/28 | 1078 | 1006833 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.38%, 04/15/29 | 410 | 389453 |
|  |  | 3957426 |
|  **Total Corporate Bonds — 33.6%<br>(Cost: $121,539,769)** | **Total Corporate Bonds — 33.6%<br>(Cost: $121,539,769)** | 122497750 |
|  **Foreign Government Obligations** | **Foreign Government Obligations** |  |
| **Canada — 0.4%** | **Canada — 0.4%** |  |
|  OMERS Finance Trust, 4.38%, 03/20/30<sup>(a)</sup> | 550 | 551236 |
|  Ontario Teachers' Finance Trust, 4.25%, 04/25/28<sup>(a)</sup> | 965 | 966960 |
|  |  | 1518196 |
| **Uruguay — 0.0%** |  |  |
|  Oriental Republic of Uruguay, 4.38%, 01/23/31 | 0 <sup>(g)</sup> | 3 |
|  **Total Foreign Government Obligations — 0.4%<br>(Cost: $1,512,888)** | **Total Foreign Government Obligations — 0.4%<br>(Cost: $1,512,888)** | 1518199 |
|  **Non-Agency Mortgage-Backed Securities** | **Non-Agency Mortgage-Backed Securities** |  |
| **Collateralized Mortgage Obligations — 4.8%** | **Collateralized Mortgage Obligations — 4.8%** |  |
|  ACRA Trust, Series 2024-NQM1, Class A1, 5.61%, 10/25/64<sup>(a)(c)</sup> | 400 | 399672 |
|  Angel Oak Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class A1A, 2.53%, 01/26/65<sup>(a)(b)</sup> | 110 | 102702 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 3.35%, 01/25/67<sup>(a)(b)</sup> | 261 | 246241 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-6, Class A1, 6.50%, 12/25/67<sup>(a)(c)</sup> | 153 | 154069 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-2, Class A1, 5.64%, 02/25/70<sup>(a)(c)</sup> | 218 | 219429 |
|  Arroyo Mortgage Trust, Series 2022-2, Class A1, 4.95%, 07/25/57<sup>(a)(c)</sup> | 221 | 219232 |
|  Barclays Mortgage Loan Trust, Series 2024-NQM1, Class A1, 5.90%, 01/25/64<sup>(a)(c)</sup> | 357 | 358580 |
|  BRAVO Residential Funding Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM6, Class A1, 6.60%, 09/25/63<sup>(a)(c)</sup>. | 330 | 332500 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.68%, 11/25/64<sup>(a)(c)</sup> . | 322 | 323428 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM3, Class A1, 5.57%, 03/25/65<sup>(a)(c)</sup>. | 150 | 149998 |
|  Bunker Hill Loan Depositary Trust, Series 2019-3, Class A1, 2.72%, 11/25/59<sup>(a)(c)</sup> | 174 | 171838 |
|  Chase Home Lending Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-ATR2, Class A3, 3.50%, 07/25/49<sup>(a)(b)</sup> . | 126 | 114269 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-3, Class A11, (SOFR (30-day) + 1.30%), 5.65%, 02/25/56<sup>(a)(b)</sup> | 590 | 589998 |
|  COLT Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class A1, 3.90%, 02/25/67<sup>(a)(b)</sup> | 110 | 105811 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2, Class A1, 6.60%, 07/25/68<sup>(a)(c)</sup> | 217 | 219176 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-INV2, Class A1, 5.60%, 02/25/70<sup>(a)(c)</sup> | 189 | 189471 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |  |
|  Credit Suisse Mortgage Capital Trust, Series 2022- ATH1, Class A1A, 2.87%, 01/25/67<sup>(a)(b)</sup> | USD 226 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;215008 |
|  Cross Mortgage Trust, Series 2025-H2, Class A1, 5.36%, 03/25/70<sup>(a)(b)</sup> | 352 | 353103 |
|  Flagstar Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1INV, Class A11, (1-mo. CME Term SOFR + 0.96%), 5.29%, 03/25/50<sup>(a)(b)</sup> | 376 | 362012 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-12, Class A19, 5.00%, 11/25/51<sup>(a)(b)</sup> | 595 | 585245 |
|  GCAT Trust, Series 2021-NQM7, Class A1, 1.92%, 08/25/66<sup>(a)(b)</sup> | 181 | 167040 |
|  Homes Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM2, Class A1, 6.46%, 02/25/68<sup>(a)(c)</sup> | 418 | 420102 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM2, Class A1, 5.72%, 10/25/69<sup>(a)(c)</sup> | 495 | 496067 |
|  Homeward Opportunities Fund I Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-2, Class A3, 3.20%, 05/25/65<sup>(a)(b)</sup> | 200 | 197230 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 5.08%, 07/25/67<sup>(a)(c)</sup> | 160 | 159035 |
|  JPMorgan Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2014-2, Class 1A1, 3.00%, 06/25/29<sup>(a)(b)</sup> | 125 | 122819 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-DSC1, Class A1, 4.63%, 07/25/63<sup>(a)(b)</sup>  | 338 | 327663 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-2, Class A3, 6.00%, 08/25/54<sup>(a)(b)</sup> | 100 | 100361 |
|  Mello Mortgage Capital Acceptance, Series 2022-INV2, Class A3, 3.00%, 04/25/52<sup>(a)(b)</sup> | 393 | 333394 |
|  MFA Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-INV2, Class A1, 1.91%, 11/25/56<sup>(a)(b)</sup> | 234 | 206081 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-INV2, Class A1, 6.78%, 10/25/58<sup>(a)(c)</sup> | 138 | 139841 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM3, Class A1, 6.62%, 07/25/68<sup>(a)(c)</sup> | 344 | 346095 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, 5.44%, 03/25/70<sup>(a)(b)</sup> | 727 | 725907 |
|  Mill City Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-1, Class M2, 3.25%, 11/25/58<sup>(a)(b)</sup> | 136 | 133676 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-3, Class A1, 2.75%, 01/25/61<sup>(a)(b)</sup> | 23 | 23231 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM2, Class A1, 6.24%, 12/25/67<sup>(a)(c)</sup> | 436 | 437324 |
|  Mill City Mortgage Trust, Series 2015-2, Class M3, 3.72%, 09/25/57<sup>(a)(b)</sup> | 364 | 358562 |
|  New Residential Mortgage Loan Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-1A, Class A1B, 3.50%, 10/25/59<sup>(a)(b)</sup> | 266 | 249155 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM2, Class A1, 5.57%, 05/25/65<sup>(a)(c)</sup> | 281 | 281110 |
|  OBX Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-EXP3, Class 2A1B, (1-mo. CME Term SOFR + 1.01%), 5.34%, 01/25/60<sup>(a)(b)</sup> | 572 | 573041 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-INV3, Class A1, 3.00%, 02/25/52<sup>(a)(b)</sup> | 177 | 150526 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM6, Class A1, 6.52%, 07/25/63<sup>(a)(c)</sup> | 411 | 415744 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM3, Class A1, 5.65%, 12/01/64<sup>(a)(c)</sup> | 172 | 172889 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM4, Class A1, 5.40%, 02/25/55<sup>(a)(c)</sup> | 362 | 360724 |
|  PRET Trust, Series 2025-RPL2, Class A1, 4.00%, 08/25/64<sup>(a)(c)</sup> | 100 | 95302 |
|  PRKCM Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-AFC2, Class A1, 2.07%, 11/25/56<sup>(a)(b)</sup> | .291 | 253384 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-AFC3, Class A1, 6.58%, 09/25/58<sup>(a)(c)</sup> | .371 | 374442 |
|  PRP Advisors LLC |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-NQM2, Class A1, 6.25%, 08/25/68<sup>(a)(c)</sup> | 124 | 124247 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-NQM2, Class A1, 6.33%, 06/25/69<sup>(a)(c)</sup> | 96 | 97629 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RCF1, Class A1, 4.00%, 01/25/54<sup>(a)(c)</sup>  | 90 | 87739 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-NQM1, Class A1, 5.80%, 11/25/69<sup>(a)(c)</sup>  | 279 | 279676 |
|  RCKT Mortgage Trust, Series 2022-2, Class A1, 3.00%, 02/25/52<sup>(a)(b)</sup> | 405 | 344462 |
|  Residential Mortgage Loan Trust, Series 2019-3, Class M1, 3.26%, 09/25/59<sup>(a)(b)</sup> | 443 | 435465 |
|  Sequoia Mortgage Trust, Series 2024-HYB1, Class A1A, 4.55%, 11/25/63<sup>(a)(b)</sup> | 475 | 469846 |
|  SG Residential Mortgage Trust, Series 2022-2, Class A1, 5.35%, 08/25/62<sup>(a)(c)</sup> | 132 | 131733 |

---

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

------

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series S Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | | |
|:---|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* | *Value* |
| **Collateralized Mortgage Obligations (continued)** | **Collateralized Mortgage Obligations (continued)** |  |  |
|  Starwood Mortgage Residential Trust, Series 2020-3, Class A1, 1.49%, 04/25/65<sup>(a)(b)</sup> | USD 110 | $| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;105122 |
|  Towd Point Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-1, Class A5, 4.74%, 10/25/53<sup>(a)(b)</sup> | 381 |  | 378127 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-2, Class M1, 3.00%, 08/25/55<sup>(a)(b)</sup> | 222 |  | 217446 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-4, Class A1, 2.75%, 06/25/57<sup>(a)(b)</sup> | 57 |  | 55773 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-1, Class A1, 3.00%, 01/25/58<sup>(a)(b)</sup> | 143 |  | 140442 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-2, Class A1, 3.25%, 03/25/58<sup>(a)(b)</sup> | 386 |  | 378708 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-6, Class A1A, 3.75%, 03/25/58<sup>(a)(b)</sup> | 376 |  | 371864 |
|  Verus Securitization Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-1, Class A1, 2.72%, 01/25/67<sup>(a)(c)</sup> | 134 |  | 123325 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-2, Class A1, 4.26%, 02/25/67<sup>(a)(c)</sup> | 217 |  | 206526 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-3, Class A1, 4.13%, 02/25/67<sup>(a)(c)</sup> | 319 |  | 301077 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-INV2, Class A1, 6.79%, 10/25/67<sup>(a)(c)</sup> | 205 |  | 205965 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-2, Class A1, 6.19%, 03/25/68<sup>(a)(c)</sup> | 176 |  | 176748 |
|  |  |  | 17664447 |
| **Commercial Mortgage-Backed Securities — 9.4%** | **Commercial Mortgage-Backed Securities — 9.4%** | **Commercial Mortgage-Backed Securities — 9.4%** | **Commercial Mortgage-Backed Securities — 9.4%** |
|  280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, (1-mo. CME Term SOFR + 1.18%), 5.50%, 09/15/34<sup>(a)(b)</sup> | 600 |  | 588750 |
|  Alen Mortgage Trust, Series 2021-ACEN, Class A, (1-mo. CME Term SOFR + 1.26%), 5.58%, 04/15/34<sup>(a)(b)</sup> | 420 |  | 396900 |
|  Arbor Multifamily Mortgage Securities Trust, Series 2020-MF1, Class ASB, 2.58%, 05/15/53<sup>(a)</sup> | 500 |  | 477072 |
|  BANK5 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5YR10, Class A3, 5.30%, 10/15/57 | 975 |  | 990715 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5YR11, Class A3, 5.89%, 11/15/57 | 195 |  | 202940 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5YR8, Class A3, 5.88%, 08/15/57 | 220 |  | 229134 |
|  Barclays Commercial Mortgage Trust, Series 2019-C5, Class ASB, 2.99%, 11/15/52 | 226 |  | 219050 |
|  BBCMS Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-TALL, Class A, (1-mo. CME Term SOFR + 0.92%), 5.24%, 03/15/37<sup>(a)(b)</sup> | 100 |  | 94759 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5C29, Class A3, 5.21%, 09/15/57 | 640 |  | 648371 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5C31, Class A3, 5.61%, 12/15/57 | 390 |  | 401659 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-5C33, Class A4, 5.84%, 03/15/58 | 250 |  | 259842 |
|  Benchmark Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-B34, Class AM, 3.83%, 04/15/55<sup>(b)</sup> | 265 |  | 236899 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-V12, Class A3, 5.74%, 12/15/57 | 1100 |  | 1138189 |
|  BFLD Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-UNIV, Class A, (1-mo. CME Term SOFR + 1.49%), 5.81%, 11/15/41<sup>(a)(b)</sup> | 100 |  | 99875 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-UNIV, Class B, (1-mo. CME Term SOFR + 1.84%), 6.16%, 11/15/41<sup>(a)(b)</sup> | 70 |  | 69913 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-WRHS, Class A, (1-mo. CME Term SOFR + 1.49%), 5.81%, 08/15/26<sup>(a)(b)</sup> | 278 |  | 277056 |
|  BMO Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5C6, Class A3, 5.32%, 09/15/57 | 330 |  | 335286 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5C8, Class A3, 5.63%, 12/15/57<sup>(b)</sup> | 390 |  | 401307 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-5C9, Class AS, 6.17%, 04/15/58<sup>(b)</sup> | 155 |  | 160292 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-C11, Class A5, 5.69%, 02/15/58 | 216 |  | 225130 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-C11, Class ASB, 5.68%, 02/15/58 | 185 |  | 192801 |
|  BX Commercial Mortgage Trust |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-LP2, Class A, (1-mo. CME Term SOFR + 1.01%), 5.33%, 02/15/39<sup>(a)(b)</sup> | 184 |  | 183696 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-XL3, Class A, (1-mo. CME Term SOFR + 1.76%), 6.08%, 12/09/40<sup>(a)(b)</sup> | 344 |  | 343684 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AIRC, Class A, (1-mo. CME Term SOFR + 1.69%), 6.01%, 08/15/39<sup>(a)(b)</sup> | 450 |  | 450000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-AIRC, Class B, (1-mo. CME Term SOFR + 2.14%), 6.46%, 08/15/39<sup>(a)(b)</sup> | 330 |  | 329794 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  BX Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BRBK, Class A, (1-mo. CME Term SOFR + 2.88%), 7.20%, 10/15/41<sup>(a)(b)</sup> | USD 201 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;201360 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-GPA3, Class A, (1-mo. CME Term SOFR + 1.29%), 5.61%, 12/15/39<sup>(a)(b)</sup> | 234 | 233842 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-MF, Class B, (1-mo. CME Term SOFR + 1.69%), 6.01%, 02/15/39<sup>(a)(b)</sup> | 124 | 123886 |
|  BX Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-IND, Class A, (1-mo. CME Term SOFR + 1.49%), 5.81%, 04/15/37<sup>(a)(b)</sup> | 562 | 562126 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-DELC, Class A, (1-mo. CME Term SOFR + 2.69%), 7.01%, 05/15/38<sup>(a)(b)</sup> | 460 | 460288 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-BIO, Class A, (1-mo. CME Term SOFR + 1.64%), 5.96%, 02/15/41<sup>(a)(b)</sup> | 626 | 625218 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-CNYN, Class A, (1-mo. CME Term SOFR + 1.44%), 5.76%, 04/15/41<sup>(a)(b)</sup> | 112 | 111875 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class A, (1-mo. CME Term SOFR + 2.09%), 6.41%, 03/15/41<sup>(a)(b)</sup> | 250 | 249688 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-PAT, Class B, (1-mo. CME Term SOFR + 3.04%), 7.36%, 03/15/41<sup>(a)(b)</sup> | 100 | 99875 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-VLT4, Class A, (1-mo. CME Term SOFR + 1.49%), 5.81%, 07/15/29<sup>(a)(b)</sup> | 380 | 378100 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-ROIC, Class A, (1-mo. CME Term SOFR + 1.14%), 5.46%, 03/15/30<sup>(a)(b)</sup> | 808 | 803969 |
|  CALI Mortgage Trust, Series 2024-SUN, Class A, (1-mo. CME Term SOFR + 1.89%), 6.21%, 07/15/41<sup>(a)(b)</sup> | 260 | 260000 |
|  CD Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-CD2, Class A4, 3.53%, 11/10/49<sup>(b)</sup> | 520 | 499527 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-CD5, Class A4, 3.43%, 08/15/50 | 525 | 506962 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-CD5, Class AAB, 3.22%, 08/15/50 | 450 | 441469 |
|  CFCRE Commercial Mortgage Trust, Series 2016-C6, Class A3, 3.22%, 11/10/49<sup>(b)</sup> | 820 | 798559 |
|  Citigroup Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-P1, Class A5, 3.72%, 09/15/48 | 145 | 144158 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C3, Class AAB, 2.98%, 11/15/49 | 267 | 264029 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-B2, Class A4, 4.01%, 03/10/51 | 535 | 522330 |
|  COAST Commercial Mortgage Trust, Series 2023- 2HTL, Class A, (1-mo. CME Term SOFR + 2.59%), 6.91%, 08/15/36<sup>(a)(b)</sup> | 300 | 299356 |
|  Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-CR24, Class B, 4.35%, 08/10/48<sup>(b)</sup> | 500 | 489687 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-CR25, Class A3, 3.51%, 08/10/48 | 607 | 605315 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-CR25, Class A4, 3.76%, 08/10/48 | 1400 | 1392899 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-LC23, Class A4, 3.77%, 10/10/48 | 550 | 545489 |
|  CONE Trust, Series 2024-DFW1, Class A, (1-mo. CME Term SOFR + 1.64%), 5.96%, 08/15/41<sup>(a)(b)</sup> | 190 | 188575 |
|  CSAIL Commercial Mortgage Trust, Series 2019-C17, Class A4, 2.76%, 09/15/52 | 1000 | 921034 |
|  ELM Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class A10, 5.41%, 06/10/39<sup>(a)(b)</sup>  | 730 | 739360 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-ELM, Class A15, 5.41%, 06/10/39<sup>(a)(b)</sup>  | 730 | 739359 |
|  EQT Trust, Series 2024-EXTR, Class A, 5.33%, 07/05/41<sup>(a)(b)</sup> | 645 | 648444 |
|  GS Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-GC32, Class A4, 3.76%, 07/10/48 | 389 | 387544 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-ECI, Class A, (1-mo. CME Term SOFR + 2.19%), 6.51%, 08/15/39<sup>(a)(b)</sup> | 135 | 135000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2023-FUN, Class B, (1-mo. CME Term SOFR + 2.79%), 7.11%, 03/15/28<sup>(a)(b)</sup> | 415 | 415000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-RVR, Class A, 4.85%, 08/10/41<sup>(a)(b)</sup> | 120 | 120798 |

---

82 2 0 2 5 B L A C K R O C K 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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series S Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** | **Commercial Mortgage-Backed Securities (continued)** |
|  Houston Galleria Mall Trust, Series 2025-HGLR, Class A, 5.46%, 02/05/45<sup>(a)(b)</sup> | USD 110 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;111421 |
|  Hudson Yards Mortgage Trust, Series 2025-SPRL, Class A, 5.47%, 01/13/40<sup>(a)(b)</sup> | 280 | 284865 |
|  ILPT Commercial Mortgage Trust,<br>Series 2022-LPF2, Class A, (1-mo. CME Term SOFR + 2.25%), 6.56%, 10/15/39<sup>(a)(b)</sup> | 500 | 500400 |
|  INTOWN Mortgage Trust, Series 2025-STAY, Class A, (1-mo. CME Term SOFR + 1.35%), 5.65%, 03/15/42<sup>(a)(b)</sup> | 474 | 470445 |
|  INV Mortgage Trust, Series 2024-IND, Class A, (1-mo. CME Term SOFR + 1.74%), 6.06%, 11/15/41<sup>(a)(b)</sup> | 160 | 159600 |
|  JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class ASB, 3.56%, 12/15/48 | 233 | 231770 |
|  JPMorgan Chase Commercial Mortgage Securities Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-JP2, Class ASB, 2.71%, 08/15/49 | 111 | 110419 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-JP6, Class A3, 3.11%, 07/15/50 | 414 | 400728 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-BKWD, Class A, (1-mo. CME Term SOFR + 1.61%), 5.93%, 09/15/29<sup>(a)(b)</sup> | 93 | 89126 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-OPO, Class D, 3.45%, 01/05/39<sup>(a)(b)</sup> | 100 | 84078 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-IGLG, Class A, 5.17%, 11/09/39<sup>(a)(b)</sup> | 270 | 271177 |
|  LBA Trust, Series 2024-7IND, Class A, (1-mo. CME Term SOFR + 1.44%), 5.76%, 10/15/41<sup>(a)(b)</sup> | 590 | 588894 |
|  MCR Mortgage Trust, Series 2024-HF1, Class A, (1-mo. CME Term SOFR + 1.79%), 6.11%, 12/15/41<sup>(a)(b)</sup> | 100 | 100250 |
|  Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C30, Class ASB, 2.73%, 09/15/49 | 46 | 45802 |
|  Morgan Stanley Capital I Trust, Series 2024-NSTB, Class A, 3.90%, 09/24/57<sup>(a)(b)</sup> | 137 | 132827 |
|  NY Commercial Mortgage Trust, Series 2025-299P, Class A, 5.29%, 02/10/47<sup>(a)(b)</sup> | 210 | 215342 |
|  NYC Commercial Mortgage Trust, Series 2025-3BP, Class A, (1-mo. CME Term SOFR + 1.21%), 5.53%, 02/15/42<sup>(a)(b)</sup> | 179 | 176773 |
|  PRM5 Trust, Series 2025-PRM5, Class A, 4.17%, 03/10/33<sup>(a)(b)</sup> | 376 | 369191 |
|  SCG Commercial Mortgage Trust, Series 2025-DLFN, Class B, (1-mo. CME Term SOFR + 1.50%), 5.81%, 03/15/35<sup>(a)(b)</sup> | 100 | 99374 |
|  SG Commercial Mortgage Securities Trust, Series 2016-C5, Class A3, 2.78%, 10/10/48 | 597 | 582249 |
|  TCO Commercial Mortgage Trust, Series 2024-DPM, Class A, (1-mo. CME Term SOFR + 1.24%), 5.56%, 12/15/39<sup>(a)(b)</sup> | 425 | 423938 |
|  TEXAS Commercial Mortgage Trust, Series 2025- TWR, Class A, (1-mo. CME Term SOFR + 1.29%), 5.60%, 04/15/42<sup>(a)(b)</sup> | 327 | 326388 |
|  Wells Fargo Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-NXS2, Class A5, 3.77%, 07/15/58<sup>(b)</sup> | 200 | 198882 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-P2, Class A3, 3.54%, 12/15/48 | 1184 | 1176169 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-SG1, Class A4, 3.79%, 09/15/48 | 392 | 389939 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-C33, Class A4, 3.43%, 03/15/59 | 380 | 374556 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2016-LC24, Class A3, 2.68%, 10/15/49 | 809 | 792188 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2021-C60, Class ASB, 2.13%, 08/15/54 | 834 | 765330 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-5C2, Class A3, 5.92%, 11/15/57<sup>(b)</sup> | 90 | 93717 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2025-C64, Class A5, 5.65%, 02/15/58 | 485 | 503562 |
|  WEST Trust, Series 2025-ROSE, Class A, 5.45%, 04/10/30<sup>(a)(b)</sup> | 331 | 332364 |
|  |  | 34269999 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** | **Interest Only Commercial Mortgage-Backed Securities — 0.0%** |
|  Citigroup Commercial Mortgage Trust, Series 2015-P1, Class XA, 0.70%, 09/15/48<sup>(b)</sup> | USD 3,164 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2507 |
|  Commercial Mortgage Trust |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-CR23, Class XA, 0.82%, 05/10/48<sup>(b)</sup> | 146 | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2015-LC21, Class XA, 0.57%, 07/10/48<sup>(b)</sup> | 2967 | 30 |
|  CSAIL Commercial Mortgage Trust, Series 2016-C6, Class XA, 1.85%, 01/15/49<sup>(b)</sup> | 580 | 5343 |
|  |  | 7881 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Total Non-Agency Mortgage-Backed Securities — 14.2%<br>(Cost: $52,298,715)** | &nbsp;&nbsp;&nbsp;&nbsp; **Total Non-Agency Mortgage-Backed Securities — 14.2%<br>(Cost: $52,298,715)** | 51942327 |
|  **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** | **U.S. Government Sponsored Agency Securities** |
| **Agency Obligations — 1.1%** | **Agency Obligations — 1.1%** | **Agency Obligations — 1.1%** |
|  Federal Farm Credit Banks Funding Corp. |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.17%, 10/29/29 | 700 | 643894 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.30%, 02/03/31 | 770 | 651863 |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.68%, 09/17/35 | 2080 | 1566385 |
|  Federal Home Loan Banks, 2.06%, 09/27/29 | 1000 | 914919 |
|  |  | 3777061 |
| **Collateralized Mortgage Obligations — 3.7%** | **Collateralized Mortgage Obligations — 3.7%** | **Collateralized Mortgage Obligations — 3.7%** |
|  Fannie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-21, Class CA, 3.50%, 04/25/45 | 52 | 51246 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2019-73, Class P, 3.00%, 03/25/48 | 399 | 387302 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-79, Class JA, 1.50%, 11/25/50 | 394 | 357123 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2022-65, Class FB, (SOFR (30-day) + 0.80%), 5.14%, 09/25/52<sup>(b)</sup> | 3109 | 3017374 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-91, Class FA, (SOFR (30-day) + 1.20%), 5.54%, 12/25/54<sup>(b)</sup> | 1301 | 1308383 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2024-94, Class FB, (SOFR (30-day) + 1.42%), 5.76%, 12/25/54<sup>(b)</sup> | 295 | 295903 |
|  Freddie Mac |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 3959, Class MA, 4.50%, 11/15/41 | 33 | 33360 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4274, Class PN, 3.50%, 10/15/35 | 41 | 40688 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4390, Class CA, 3.50%, 06/15/50 | 16 | 15972 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4459, Class BN, 3.00%, 08/15/43 | 232 | 214535 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4494, Class KA, 3.75%, 10/15/42 | 32 | 31766 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4752, Class PL, 3.00%, 09/15/46 | 265 | 257261 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4777, Class CB, 3.50%, 10/15/45 | 175 | 173292 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 4941, Class MB, 3.00%, 07/25/49 | 233 | 209055 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5000, Class MA, 2.00%, 06/25/44 | 190 | 176466 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5006, Class KA, 2.00%, 06/25/45 | 551 | 501703 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5105, Class LA, 1.50%, 04/15/44 | 819 | 793641 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5249, Class HA, 4.00%, 09/25/49 | 2149 | 2117443 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5478, Class FH, (SOFR (30-day) + 1.45%), 5.79%, 04/25/54<sup>(b)</sup> | 1052 | 1057638 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 5480, Class FA, (SOFR (30-day) + 1.45%), 5.79%, 03/25/54<sup>(b)</sup> | 1011 | 1014982 |
|  Freddie Mac Seasoned Credit Risk Transfer Trust, |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2018-3, Class MA, 3.50%, 08/25/57<sup>(b)</sup> | 918 | 881206 |
|  Ginnie Mae |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2017-136, Class GB, 3.00%, 03/20/47 | 339 | 315046 |
| &nbsp;&nbsp;&nbsp;&nbsp; Series 2020-127, Class LP, 1.50%, 06/20/50 | 379 | 302372 |
|  |  | 13553757 |
| **Mortgage-Backed Securities — 6.2%** |  |  |
|  Fannie Mae Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 07/01/31 | 1024 | 954186 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 12/01/27 - 12/01/36 | 1188 | 1125132 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 09/01/30 - 09/01/35 | 4997 | 4818759 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.03%, 12/01/27 | 1241 | 1202702 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 05/01/37 | 504 | 490721 |

---

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series S Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** | **Mortgage-Backed Securities (continued)** |
|  Fannie Mae Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 03/01/32 - 08/01/49 | USD 4,065 | $3914485 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.50%, 09/01/26 - 05/01/38 | 392 | 389508 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 06/01/39 | 1061 | 1070365 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 05/01/38 | 169 | 173490 |
| &nbsp;&nbsp;&nbsp;&nbsp; 5.81%, 06/01/31 | 1362 | 1426993 |
| &nbsp;&nbsp;&nbsp;&nbsp; (Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.57%), 6.99%, 07/01/44<sup>(b)</sup> | 89 | 91735 |
| &nbsp;&nbsp;&nbsp;&nbsp; (Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.59%), 4.65%, 06/01/45<sup>(b)</sup> | 77 | 79404 |
| &nbsp;&nbsp;&nbsp;&nbsp; (Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.70%), 7.07%, 07/01/43<sup>(b)</sup> | 131 | 135159 |
|  Freddie Mac Mortgage-Backed Securities |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 11/01/27 - 03/01/37 | 442 | 412699 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 12/01/31 - 02/01/36 | 705 | 674052 |
| &nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 04/01/32 - 11/01/38 | 621 | 608659 |
| &nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 09/01/33 - 06/01/37 | 1077 | 1060731 |
| &nbsp;&nbsp;&nbsp;&nbsp; (Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.62%), 3.34%, 05/01/45<sup>(b)</sup> | 302 | 309215 |
| &nbsp;&nbsp;&nbsp;&nbsp; (Refinitiv USD IBOR Consumer Cash Fallbacks Term 1 Year + 1.62%), 6.53%, 03/01/45<sup>(b)</sup> | 104 | 107299 |
|  Uniform Mortgage-Backed Securities, 5.50%, 04/01/55<sup>(h)</sup> | 3635 | 3630168 |
|  |  | 22675462 |
|  **Total U.S. Government Sponsored Agency Securities — 11.0%<br>(Cost: $40,710,992)** | **Total U.S. Government Sponsored Agency Securities — 11.0%<br>(Cost: $40,710,992)** | 40006280 |
|  **U.S. Treasury Obligations** | **U.S. Treasury Obligations** | **U.S. Treasury Obligations** |
|  U.S. Treasury Notes |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 03/31/26 - 05/31/26 | 34400 | 33132153 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.13%, 05/31/26 | 10800 | 10567547 |
| &nbsp;&nbsp;&nbsp;&nbsp; 2.88%, 08/15/28 | 18700 | 18096633 |
|  **Total U.S. Treasury Obligations — 16.9%<br>(Cost: $61,781,052)** | **Total U.S. Treasury Obligations — 16.9%<br>(Cost: $61,781,052)** | 61796333 |
|  **Total Long-Term Investments — 100.2%<br>(Cost: $365,474,844)** | **Total Long-Term Investments — 100.2%<br>(Cost: $365,474,844)** | 365488809 |

---

---

| | | |
|:---|:---|:---|
| *Security* | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;<br> *Shares* | *Value* |
|  **Short-Term Securities** | **Short-Term Securities** | **Short-Term Securities** |
| **Money Market Funds — 0.5%** |  |  |
|  Dreyfus Treasury Securities Cash Management, Institutional Class, 4.17%<sup>(i)</sup> | 2007043 | $2007043 |
|  **Total Short-Term Securities — 0.5%<br>(Cost: $2,007,043)** | **Total Short-Term Securities — 0.5%<br>(Cost: $2,007,043)** | 2007043 |
|  **Total Investments — 100.7%<br>(Cost: $367,481,887)** | **Total Investments — 100.7%<br>(Cost: $367,481,887)** | 367495852 |
|  **Liabilities in Excess of Other Assets — (0.7)%** | **Liabilities in Excess of Other Assets — (0.7)%** | (2566809) |
|  **Net Assets — 100.0%** |  | $364929043 |

---

<sup>(a)</sup> 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.

<sup>(b)</sup> 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.

<sup>(c)</sup> 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.

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

<sup>(e)</sup> When-issued security.

<sup>(f)</sup> Zero-coupon bond.

<sup>(g)</sup> Rounds to less than 1,000.

<sup>(h)</sup> Represents or includes a TBA transaction.

<sup>(i)</sup> 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.

84 2 0 2 5 B L A C K R O C K 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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series S Portfolio** |

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#### Derivative Financial Instruments Outstanding as of Period End

#### Futures Contracts

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Description* | *Number of<br>Contracts* | *Expiration<br>Date* | *Notional<br>Amount<br>(000)* | *Value/<br>Unrealized<br>Appreciation<br>(Depreciation)* |
| &nbsp;&nbsp;&nbsp;&nbsp; Long Contracts<br> Euro-Bobl | 8 | 06/06/25 | $1019 | $9121 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes (2 Year) | 651 | 06/30/25 | 134915 | 715193 |
|  |  |  |  | 724314 |
| Short Contracts |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Euro-Schatz | 4 | 06/06/25 | 463 | (1320) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Bonds (30 Year) | 29 | 06/18/25 | 3414 | (52613) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes (10 Year) | 75 | 06/18/25 | 8357 | (25745) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Ultra Treasury Bonds | 2 | 06/18/25 | 246 | (3687) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Ultra Treasury Notes (10 Year) | 17 | 06/18/25 | 1945 | (15257) |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes (5 Year) | 442 | 06/30/25 | 47857 | (428066) |
|  |  |  |  | (526688) |
|  |  |  |  | $197626 |

---

#### Forward Foreign Currency Exchange Contracts

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| *Currency Purchased* | *Currency Purchased* | *Currency Sold* | *Currency Sold* | *Counterparty* | *Settlement<br>Date* | *Unrealized<br>Appreciation<br>(Depreciation)* |
| USD | 590920 | EUR | 539000 | Deutsche Bank AG | 06/18/25 | $5513 |

---

#### Centrally Cleared Credit Default Swaps — Buy Protection

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| *Reference Obligation/Index* | *Financing<br>Rate<br>Paid by<br>the*<br> *Fund* | *Payment<br>Frequency* | *Termination<br>Date* | *Notional<br>Amount<br>(000)* | *Notional<br>Amount<br>(000)* | *Value* | *Upfront<br>Premium<br>Paid<br>(Received)* | *Unrealized<br>Appreciation<br>(Depreciation)* |
|  CDX.NA.IG.44.V1 | 1.00% | Quarterly | 06/20/30 | USD | 3775 | $(69424) | $(73592) | $4168 |

---

#### Centrally Cleared Interest Rate Swaps

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Paid by the Fund | Paid by the Fund | Received by the Fund | Received by the Fund | Effective | Termination | *Notional*<br> *Amount* |  | Upfront<br>Premium<br>Paid | Unrealized<br>Appreciation |
| *Rate* | *Frequency* | *Rate* | *Frequency* | *Date* | *Date* | *(000)* | *Value* | *(Received)* | *(Depreciation)* |
| 4.05% | Annual | 1-day SOFR, 4.41% | Annual | 06/02/25 <sup>(a)</sup> | 11/15/34 | USD 2,254 | $(55334) | $— | $(55334) |

---

<sup>(a)</sup> Forward Swap.

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

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Premiums Paid* | *Swap*<br> *Premiums<br>Paid* | *Swap<br>Premiums<br>Received* | *Unrealized<br>Appreciation* | *Unrealized<br>Depreciation* |
|  Centrally Cleared Swaps<sup>(a)</sup> | $– $| (73592) | $4168 | $(55334) |

---

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

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

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| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series S Portfolio** |

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#### 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<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Assets — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on futures contracts<sup>(a)</sup> | $— | $— | $— | $— | $724314 | $— | $724314 |
|  Forward foreign currency exchange contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on forward foreign currency exchange contracts |  |  |  | 5513 |  |  | 5513 |
|  Swaps — centrally cleared |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized appreciation on centrally cleared swaps<sup>(a)</sup> |  | 4168 |  |  |  |  | 4168 |
|  | $— | $4168 | $— | $5513 | $724314 | $— | $733995 |
|  **Liabilities — Derivative Financial Instruments** |  |  |  |  |  |  |  |
|  Futures contracts |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on futures contracts<sup>(a)</sup> | $— | $— | $— | $— | $526688 | $— | $526688 |
|  Swaps — centrally cleared |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unrealized depreciation on centrally cleared swaps<sup>(a)</sup> |  |  |  |  | 55334 |  | 55334 |
|  | $— | $— | $— | $— | $582022 | $— | $582022 |

---

<sup>(a)</sup> 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 March 31, 2025, the effect of derivative financial instruments in the Statements of Operations was as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
|  | *Commodity<br>Contracts* | *Credit<br>Contracts* | *Equity<br>Contracts* | *Foreign<br>Currency<br>Exchange<br>Contracts* | *Interest<br>Rate<br>Contracts* | *Other<br>Contracts* | *Total* |
|  **Net Realized Gain (Loss) from:** | **Net Realized Gain (Loss) from:** | **Net Realized Gain (Loss) from:** | **Net Realized Gain (Loss) from:** | **Net Realized Gain (Loss) from:** |  |  |  |
|  Futures contracts | $— | $— | $— | $— | $(569044) | $— | $(569044) |
|  Forward foreign currency exchange contracts |  |  |  | 56258 |  |  | 56258 |
|  Swaps |  | (23635) |  |  | 313229 |  | 289594 |
|  | $— | $(23635) | $— | $56258 | $(255815) | $— | $(223192) |
| **Net Change in Unrealized Appreciation (Depreciation) on:** | **Net Change in Unrealized Appreciation (Depreciation) on:** | **Net Change in Unrealized Appreciation (Depreciation) on:** | **Net Change in Unrealized Appreciation (Depreciation) on:** | **Net Change in Unrealized Appreciation (Depreciation) on:** |  |  |  |
|  Futures contracts | $— | $— | $— | $— | $590951 | $— | $590951 |
|  Forward foreign currency exchange contracts |  |  |  | (38278) |  |  | (38278) |
|  Swaps |  | 21066 |  |  | (51768) |  | (30702) |
|  | $— | $21066 | $— | $(38278) | $539183 | $— | $521971 |

---

#### Average Quarterly Balances of Outstanding Derivative Financial Instruments

---

| | |
|:---|:---|
|  Futures contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — long | $147318631 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value of contracts — short | 74147750 |
|  Forward foreign currency exchange contracts: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts purchased — in USD | 3945171 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average amounts sold — in USD | 54818 |
|  Credit default swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — buy protection | 7898750 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — sell protection | 3187500 |
|  Interest rate swaps: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — pays fixed rate | 4580639 |
| &nbsp;&nbsp;&nbsp;&nbsp; Average notional value — receives fixed rate | 2050500 |

---

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

86 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series S Portfolio** |

---

#### Derivative Financial Instruments – Offsetting as of Period End
The Fund's derivative assets and liabilities (by type) were as follows:

---

| | | |
|:---|:---|:---|
|  | *Assets* | *Liabilities* |
|  Derivative Financial Instruments |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | $40796 | $75944 |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 5513 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps — centrally cleared |  | 6635 |
|  Total derivative assets and liabilities in the Statements of Assets and Liabilities | $46309 | $82579 |
|  Derivatives not subject to a Master Netting Agreement or similar agreement ("MNA") | (40796) | (82579) |
|  Total derivative assets and liabilities subject to an MNA | $5513 | $— |

---

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<br>Assets<br>Subject to<br>an MNA by<br>Counterparty* | *Derivatives<br>Available<br>for Offset<sup>(a)</sup>* | *Net<br>Amount of<br>Derivative<br>Assets<sup>(c)(d)</sup>* |
|  Deutsche Bank AG | $5513 | $– $– $– $| 5513 |

---

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

<sup>(b)</sup> Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

<sup>(c)</sup> Net amount represents the net amount receivable from the counterparty in the event of default. 

<sup>(d)</sup> Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. 

#### 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 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Long-Term Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset-Backed Securities | $— | $87727920 | $— | $87727920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds |  | 122497750 |  | 122497750 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Government Obligations |  | 1518199 |  | 1518199 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Mortgage-Backed Securities |  | 51942327 |  | 51942327 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Sponsored Agency Securities |  | 40006280 |  | 40006280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Obligations |  | 61796333 |  | 61796333 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Money Market Funds | 2007043 |  |  | 2007043 |
|  | $2007043 | $365488809 | $— | $367495852 |
|  Derivative Financial Instruments<sup>(a)</sup> |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Assets |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Credit Contracts | $— | $4168 | $— | $4168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Currency Exchange Contracts |  | 5513 |  | 5513 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | 724314 |  |  | 724314 |
| &nbsp;&nbsp;&nbsp;&nbsp; Liabilities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interest Rate Contracts | (526688) | (55334) |  | (582022) |
|  | $197626 | $(45653) | $— | $151973 |

---

<sup>(a)</sup> 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.* 

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

------

---

| | |
|:---|:---|
| Schedule of Investments<br> March 31, 2025 | **BATS: Series V Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
|  **Municipal Bonds** | **Municipal Bonds** |  |
| **Alaska — 1.2%** | **Alaska — 1.2%** |  |
|  Alaska Housing Finance Corp., Refunding RB, Series D, VRDN, (Federal Home Loan Bank SBPA), 2.85%, 04/07/25<sup>(a)</sup> | USD 1,500 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1500000 |
| **Connecticut — 3.4%** |  |  |
|  Connecticut Housing Finance Authority, Refunding RB, Sub-Series C-3, VRDN, (Royal Bank of Canada SBPA), 2.83%, 04/07/25<sup>(a)</sup> | 725 | 725000 |
|  Connecticut State Health & Educational Facilities Authority, Refunding RB, Series A, VRDN, 2.70%, 04/07/25<sup>(a)</sup> | 3500 | 3500000 |
|  |  | 4225000 |
| **Florida — 4.7%** |  |  |
|  County of St. Lucie Florida Power & Light Co., Refunding RB, VRDN, 3.05%, 04/07/25<sup>(a)</sup> | 400 | 400000 |
|  JEA Water & Sewer System Revenue, Refunding RB, Sub- Series 2, VRDN, (JPMorgan Chase Bank NA SBPA), 2.87%, 04/07/25<sup>(a)</sup> | 2550 | 2550000 |
|  Monroe County School District, RB, 4.00%, 05/29/25 | 1570 | 1572833 |
|  Pinellas County Housing Finance Authority, RB, VRDN, (FHLMC LOC), 2.87%, 04/07/25<sup>(a)</sup> | 1400 | 1400000 |
|  |  | 5922833 |
| **Illinois — 3.8%** |  |  |
|  Cook County Community Consolidated School District No. 64 Park Ridge-Niles, GO, 5.00%, 12/01/25 | 740 | 750865 |
|  DuPage County Forest Preserve District, GO, 5.00%, 11/01/25 | 775 | 784998 |
|  Illinois Finance Authority, RB, Series C, VRDN, (JPMorgan Chase Bank NA SBPA), 3.45%, 04/01/25<sup>(a)</sup> | 1300 | 1300000 |
|  Illinois Finance Authority Northwestern University, RB, Sub-Series D, VRDN, 2.80%, 04/07/25<sup>(a)</sup> | 1900 | 1900000 |
|  |  | 4735863 |
| **Indiana — 0.6%** |  |  |
|  Indiana Finance Authority, RB, VRDN, (Barclays Bank plc LOC), 2.85%, 04/07/25<sup>(a)</sup> | 750 | 750000 |
| **Iowa — 1.0%** |  |  |
|  Iowa Finance Authority, RB, Series E, VRDN, (GNMA/FNMA/FHLMC COL), (Fannie Mae LIQ), (Federal Home Loan Bank SBPA), 2.83%, 04/07/25<sup>(a)</sup> | 1200 | 1200000 |
| **Louisiana — 1.7%** |  |  |
|  Louisiana Public Facilities Authority, Refunding RB, Series B-1, VRDN, (Sumitomo Mitsui Banking Corp. LOC), 2.83%, 04/07/25<sup>(a)</sup> | 2100 | 2100000 |
| **Maryland — 2.6%** |  |  |
|  Maryland Health & Higher Educational Facilities Authority, Refunding RB, Series B, VRDN, (TD Bank NA LOC), 3.50%, 04/01/25<sup>(a)</sup> | 1900 | 1900000 |
|  Montgomery County Housing Opportunities Commission, Refunding RB, VRDN, (FNMA COL), (TD Bank NA LOC), 3.55%, 04/01/25<sup>(a)</sup> | 1300 | 1300000 |
|  |  | 3200000 |
| **Massachusetts — 4.2%** |  |  |
|  Massachusetts Bay Transportation Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, TECP, (TD Bank NA SBPA), 2.86%, 05/06/25 | 1000 | 999945 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, TECP, 2.85%, 05/01/25 | 2000 | 1999906 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Massachusetts (continued)** |  |  |
|  Massachusetts Development Finance Agency, RB, VRDN, (Wells Fargo Bank NA SBPA), 2.70%, 04/07/25<sup>(a)</sup> | USD 1,250 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1250000 |
|  Massachusetts HFA, Refunding RB, Series 200, VRDN, (TD Bank NA SBPA), 2.80%, 04/07/25<sup>(a)</sup> | 1050 | 1050000 |
|  |  | 5299851 |
| **Minnesota — 3.2%** |  |  |
|  Minnesota HFA, Refunding RB, AMT, Series F, VRDN, (GNMA/FNMA/FHLMC), (Royal Bank of Canada SBPA), 2.85%, 04/07/25<sup>(a)</sup> | 4000 | 4000000 |
| **Mississippi — 1.7%** |  |  |
|  Mississippi Business Finance Corp., RB, Series K, VRDN, 3.60%, 04/01/25<sup>(a)</sup> | 2115 | 2115000 |
| **Missouri — 0.6%** |  |  |
|  Health & Educational Facilities Authority of the State of Missouri, Refunding RB, Series 2, VRDN, (Wells Fargo Bank NA LOC), 3.80%, 04/01/25<sup>(a)</sup> | 730 | 730000 |
| **Nebraska — 3.6%** |  |  |
|  Lincoln Nebraska Electric, RB, TECP, (JPMorgan Chase Bank NA SBPA), 2.90%, 05/19/25 | 2000 | 1999977 |
|  Nebraska Investment Finance Authority, RB, AMT, Series C, VRDN, (GNMA/FNMA/FHLMC), (Federal Home Loan Bank SBPA), 2.85%, 04/07/25<sup>(a)</sup> | 2525 | 2525000 |
|  |  | 4524977 |
| **New Jersey — 6.5%** |  |  |
|  Borough of Pompton Lakes, GO, BAN, 4.50%, 06/06/25 | 1430 | 1434452 |
|  Essex County Improvement Authority, Refunding RB, (County GTD), 5.00%, 06/18/25 | 2315 | 2324331 |
|  Jersey City Municipal Utilities Authority, RB, Series B, 5.00%, 05/01/25 | 400 | 400522 |
|  Township of Bordentown, GO, BAN, 4.50%, 04/01/25 | 2000 | 2000000 |
|  Township of Egg Harbor, GO, BAN, 4.00%, 08/07/25 | 1000 | 1003388 |
|  Township of Maplewood, GO, BAN, 4.00%, 10/07/25 | 1000 | 1004502 |
|  |  | 8167195 |
| **New York — 11.3%** |  |  |
|  Lafayette Central School District, GO, Refunding, 4.50%, 06/20/25 | 1000 | 1002829 |
|  New York City Health & Hospitals Corp., Refunding RB, Series B, VRDN, (TD Bank NA LOC), 2.95%, 04/07/25<sup>(a)</sup>  | 1605 | 1605000 |
|  New York City Housing Development Corp., RB, VRDN, (Royal Bank of Canada SBPA), 2.85%, 04/07/25<sup>(a)</sup> | 2300 | 2300000 |
|  New York City Municipal Water Finance Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Sub-Series BB-4, VRDN, (Barclays Bank plc SBPA), 3.60%, 04/01/25<sup>(a)</sup> | 2100 | 2100000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, VRDN, (JPMorgan Chase Bank NA SBPA), 3.55%, 04/01/25<sup>(a)</sup> | 2500 | 2500000 |
|  New York State Dormitory Authority, RB, Series A, VRDN, 2.65%, 04/07/25<sup>(a)</sup> | 1675 | 1675000 |
|  New York State HFA, RB, Series A, VRDN, (Fannie Mae LIQ), 2.80%, 04/07/25<sup>(a)</sup> | 900 | 900000 |
|  Palmyra Macedon Central School District, GO, Refunding, BAN, 4.50%, 06/17/25 | 1000 | 1002408 |
|  Schodack Central School District, GO, Refunding, BAN, 4.00%, 07/15/25 | 1000 | 1002091 |
|  |  | 14087328 |
| **North Carolina — 1.0%** |  |  |
|  University of North Carolina at Chapel Hill, Refunding RB, Series B, VRDN, (TD Bank NA SBPA), 2.80%, 04/07/25<sup>(a)</sup> | 1255 | 1255000 |

---

88 2 0 2 5 B L A C K R O C K 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 (continued)<br> March 31, 2025 | **BATS: Series V Portfolio**<br> **(Percentages shown are based on Net Assets)** |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **North Dakota — 1.6%** |  |  |
|  North Dakota HFA, RB, Series E, VRDN, (TD Bank NA SBPA), 2.84%, 04/07/25<sup>(a)</sup> | USD 2,020 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2020000 |
| **Ohio — 8.0%** |  |  |
|  Akron Bath Copley Joint Township Hospital District |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series A-R, VRDN, (BMO Harris Bank NA LOC), 3.07%, 04/07/25<sup>(a)</sup> | 1000 | 1000000 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series C, VRDN, (BMO Harris Bank NA LOC), 3.07%, 04/07/25<sup>(a)</sup> | 5030 | 5030000 |
|  City of Hamilton, GO, Refunding, BAN, 4.00%, 12/17/25 | 500 | 503554 |
|  City of Miamisburg, GO, BAN, 3.75%, 02/10/26 | 400 | 402842 |
|  Ohio Water Development Authority, RB, TECP, (TD Bank NA SBPA), 3.09%, 05/01/25 | 1000 | 1000189 |
|  Ohio Water Development Authority Water Pollution Control Loan Fund, RB, Series C, VRDN, (TD Bank NA SBPA), 3.55%, 04/01/25<sup>(a)</sup> | 2100 | 2100000 |
|  |  | 10036585 |
| **Pennsylvania — 3.5%** |  |  |
|  Northampton County General Purpose Authority, RB, Series B, VRDN, (TD Bank NA LOC), 3.55%, 04/01/25<sup>(a)</sup>  | 3200 | 3200000 |
|  State Public School Building Authority, Refunding RB, 5.00%, 05/01/25 | 1145 | 1146905 |
|  |  | 4346905 |
| **South Carolina — 2.8%** |  |  |
|  South Carolina Housing Finance & Development Authority, RB, VRDN, (Federal Home Loan Bank LOC), 2.99%, 04/07/25<sup>(a)</sup> | 1405 | 1405000 |
|  South Carolina Jobs EDA, RB, VRDN, (Federal Home Loan Bank LOC), 3.09%, 04/07/25<sup>(a)</sup> | 2100 | 2100000 |
|  |  | 3505000 |
| **South Dakota — 0.8%** |  |  |
|  South Dakota HDA, Refunding RB, Series B, VRDN, (South Dakota HDA SBPA), 2.87%, 04/07/25<sup>(a)</sup> | 1025 | 1025000 |
| **Tennessee — 3.0%** |  |  |
|  Metropolitan Government Nashville & Davidson County |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, TECP, 3.05%, 04/07/25 | 1000 | 999978 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, TECP, 3.10%, 04/10/25 | 1000 | 999983 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, TECP, 3.10%, 04/17/25 | 1100 | 1099998 |
|  Tennessee Housing Development Agency, Refunding RB, VRDN, 3.50%, 10/01/25<sup>(a)</sup> | 600 | 600123 |
|  |  | 3700082 |
| **Texas — 18.3%** |  |  |
|  City of Austin Electric Utility System Revenue, GO, TECP, (JPMorgan Chase Bank NA SBPA), 2.90%, 06/16/25 | 2000 | 1999766 |
|  City of El Paso Water & Sewer Revenue |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, TECP, 3.05%, 06/20/25 | 1200 | 1199995 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, TECP, 3.05%, 06/20/25 | 900 | 899997 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, TECP, 3.05%, 06/20/25 | 900 | 899898 |
|  Harris County Cultural Education Facilities Finance Corp., Refunding RB, Series B, VRDN, 3.55%, 04/01/25<sup>(a)</sup> | 1700 | 1700000 |
|  Permanent University Fund |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, TECP, 2.88%, 05/21/25 | 1000 | 999916 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, TECP, 2.85%, 07/01/25 | 1000 | 1000084 |

---

---

| | | |
|:---|:---|:---|
| *Security* | *Par*<br> *(000)* | *Value* |
| **Texas (continued)** |  |  |
|  Permanent University Fund RB, TECP, 2.85%, 07/01/25 | USD 1,000 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;999970 |
|  Plano ISD, GO, (Permanent School Fund GTD), 5.00%, 02/15/26 | 900 | 918121 |
|  Red River Education Finance Corp., RB, VRDN, (TD Bank NA SBPA), 2.90%, 04/07/25<sup>(a)</sup> | 4800 | 4800000 |
|  State of Texas |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, Series B, VRDN, (Federal Home Loan Bank SBPA), 2.85%, 04/07/25<sup>(a)</sup> | 2245 | 2245000 |
| &nbsp;&nbsp;&nbsp;&nbsp; GO, VRDN, (Federal Home Loan Bank SBPA), 2.85%, 04/07/25<sup>(a)</sup> | 2215 | 2215000 |
|  University of Texas |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, TECP, Series A, 2.85%, 05/22/25 | 500 | 499988 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, TECP, Series A, 2.87%, 06/16/25 | 500 | 499936 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, TECP, Series C, 2.94%, 05/01/25 | 2000 | 1999975 |
|  |  | 22877646 |
| **Utah — 1.6%** |  |  |
|  County of Utah, RB, Series E, VRDN, (JPMorgan Chase Bank NA SBPA), 2.90%, 04/07/25<sup>(a)</sup> | 2000 | 2000000 |
| **Virginia — 0.7%** |  |  |
|  Fairfax County IDA, Refunding RB, VRDN, 2.90%, 04/07/25<sup>(a)</sup> | 940 | 940000 |
| **Washington — 2.9%** |  |  |
|  Washington State Housing Finance Commission, Refunding RB, Series VR, VRDN, (Royal Bank of Canada SBPA), 2.85%, 04/07/25<sup>(a)</sup> | 3700 | 3700000 |
| **Wisconsin — 3.8%** |  |  |
|  State of Wisconsin, GO, Refunding, Series 2, 5.00%, 05/01/25 | 1455 | 1457591 |
|  Wisconsin Housing & EDA Home Ownership Revenue |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series D, VRDN, (FNMA COL), (Royal Bank of Canada SBPA), 2.85%, 04/07/25<sup>(a)</sup> | 450 | 450000 |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, AMT, Series C, VRDN, (FNMA COL), (Royal Bank of Canada SBPA), 2.85%, 04/07/25<sup>(a)</sup> | 1390 | 1390000 |
|  Wisconsin Housing & EDA Housing Revenue, RB, Series C, VRDN, (Federal Home Loan Bank SBPA), 2.85%, 04/07/25<sup>(a)</sup> | 1500 | 1500000 |
|  |  | 4797591 |
| **Wyoming — 1.5%** |  |  |
|  Wyoming Community Development Authority |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; RB, Series 4, VRDN, (Bank of America NA SBPA), 2.88%, 04/07/25<sup>(a)</sup> | 1800 | 1800000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Refunding RB, Series 2, VRDN, (GNMA/FNMA/FHLMC COL), (Barclays Bank plc SBPA), 2.85%, 04/07/25<sup>(a)</sup> | 100 | 100000 |
|  |  | 1900000 |
|  **Total Investments — 99.6%<br>(Cost: $124,647,484)** | **Total Investments — 99.6%<br>(Cost: $124,647,484)** | 124661856 |
|  **Other Assets Less Liabilities — 0.4%** | **Other Assets Less Liabilities — 0.4%** | 466135 |
|  **Net Assets — 100.0%** |  | $125127991 |

---

<sup>(a)</sup> Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

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

------

---

| | |
|:---|:---|
| Schedule of Investments (continued)<br> March 31, 2025 | **BATS: Series V Portfolio** |

---

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 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short-Term Securities |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds | $— | $124661856 | $— | $124661856 |

---

*See notes to financial statements.* 

90 2 0 2 5 B L A C K R O C K 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

March 31, 2025

---

| | | | |
|:---|:---|:---|:---|
|  | BATS:<br>Series A Portfolio | BATS:<br>Series C Portfolio | BATS:<br>Series E Portfolio |
|  **ASSETS** |  |  |  |
|  Investments, at value — unaffiliated<sup>(a)</sup> | $3617983213 | $440507049 | $538278429 |
|  Cash |  | 19005 | 78489 |
|  Cash pledged: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral — OTC derivatives | 490000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral — TBA commitments | 16000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  | 694000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Centrally cleared swaps |  | 1340000 |  |
|  Foreign currency, at value<sup>(c)</sup> | 150435 |  |  |
|  Receivables: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments sold |  | 220725 | 6975535 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps |  | 65287 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; TBA sale commitments | 22061694 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; TOB Trust |  |  | 8899494 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares sold | 1009725 | 273451 | 389162 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | 503100 | 25030 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 20799031 | 4755738 | 6901083 |
| &nbsp;&nbsp;&nbsp;&nbsp; From the Manager | 75931 | 58044 | 24127 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts |  | 103584 |  |
|  Swap premiums paid | 9161 | 688198 |  |
|  Unrealized appreciation on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 90899 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; OTC swaps | 29899 | 51842 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unfunded floating rate loan interests | 23606 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unfunded commitments |  |  | 1510088 |
|  Prepaid expenses | 30036 | 17506 | 127832 |
|  Total assets | 3663272730 | 448819459 | 563184239 |
|  **LIABILITIES** |  |  |  |
|  Cash received: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral — OTC derivatives |  | 480000 |  |
|  Options written, at value<sup>(d)</sup> |  | 653225 |  |
|  TBA sale commitments, at value<sup>(e)</sup> | 22045528 |  |  |
|  Payables: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments purchased | 46415988 | 4962889 | 11225841 |
| &nbsp;&nbsp;&nbsp;&nbsp; Swaps |  | 331691 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services fees | 51149 | 14308 | 15410 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares redeemed | 15299 | 74368 | 191844 |
| &nbsp;&nbsp;&nbsp;&nbsp; Income dividend distributions | 17860573 | 2066238 | 2174989 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest expense and fees |  |  | 193377 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' and Officer's fees |  | 471 | 29 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other accrued expenses | 78651 | 72642 | 41337 |
| &nbsp;&nbsp;&nbsp;&nbsp; Printing and postage fees | 18131 | 12160 | 11766 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 61785 | 57785 | 114503 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration fees |  | 97244 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees | 10580 | 33390 | 9880 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts |  | 176641 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on centrally cleared swaps |  | 12390 |  |
|  Swap premiums received | 142419 | 240519 |  |
|  Unrealized depreciation on OTC swaps | 186858 | 33952 |  |
|  Total accrued liabilities | 86886961 | 9319913 | 13978976 |
|  **Other Liabilities** |  |  |  |
|  TOB Trust Certificates |  |  | 21925000 |
|  Total other liabilities |  |  | 21925000 |
|  Total liabilities | 86886961 | 9319913 | 35903976 |
|  **Commitments and contingent liabilities** |  |  |  |
|  NET ASSETS | $3576385769 | $439499546 | $527280263 |

---

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 (continued)

March 31, 2025

---

| | | | |
|:---|:---|:---|:---|
|  | BATS:<br> Series A Portfolio | BATS:<br> Series C Portfolio | BATS:<br> Series E Portfolio |
|  **NET ASSETS CONSIST OF:** |  |  |  |
|  Paid-in capital | $3725223996 | $508686587 | $556098283 |
|  Accumulated loss | (148838227) | (69187041) | (28818020) |
|  NET ASSETS | $3576385769 | $439499546 | $527280263 |
|  **NET ASSET VALUE** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 375625230 | 48887915 | 51757966 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $9.52 | $8.99 | $10.19 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | $0.001 | $0.001 | $0.001 |
|  <sup>(a) </sup>Investments, at cost — unaffiliated | $3704043604 | $440672292 | $555659245 |
|  <sup>(c)</sup> Foreign currency, at cost | $149677 | $— | $— |
|  <sup>(d) </sup>Premiums received | $— | $593937 | $— |
|  <sup>(e) </sup>Proceeds from TBA sale commitments | $22061694 | $— | $— |

---

*See notes to financial statements.* 

92 2 0 2 5 B L A C K R O C K 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 (continued)

March 31, 2025

---

| | | | |
|:---|:---|:---|:---|
|  | BATS:<br> Series M Portfolio | BATS:<br> Series P Portfolio | BATS:<br> Series S Portfolio |
|  **ASSETS** |  |  |  |
|  Investments, at value — unaffiliated<sup>(a)</sup> | $1896088287 | $2673791 | $367495852 |
|  Investments, at value — affiliated<sup>(b)</sup> |  | 712158 |  |
|  Cash pledged: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral — OTC derivatives | 760000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | 1096000 | 78190 | 1101000 |
| &nbsp;&nbsp;&nbsp;&nbsp; Centrally cleared swaps |  | 2000 | 163000 |
|  Foreign currency, at value<sup>(c)</sup> |  |  | 112969 |
|  Receivables: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments sold | 1443147 |  | 17165416 |
| &nbsp;&nbsp;&nbsp;&nbsp; TBA sale commitments | 431976368 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares sold | 898971 |  | 1457565 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | 34517 | 24180 | 5754 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated |  | 8319 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 5473018 |  | 2005165 |
| &nbsp;&nbsp;&nbsp;&nbsp; From the Manager | 60085 | 5061 | 43573 |
| &nbsp;&nbsp;&nbsp;&nbsp; Principal paydowns |  |  | 662 |
| &nbsp;&nbsp;&nbsp;&nbsp; Third party service provider |  | 54333 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 16406 | 172 | 40796 |
|  Swap premiums paid | 349477 |  |  |
|  Unrealized appreciation on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts |  |  | 5513 |
| &nbsp;&nbsp;&nbsp;&nbsp; OTC swaps | 1227379 |  |  |
|  Prepaid expenses | 26723 | 10902 | 16321 |
|  Total assets | 2339450378 | 3569106 | 389613586 |
|  **LIABILITIES** |  |  |  |
|  Cash received: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral — OTC derivatives | 820000 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateral — TBA commitments | 53000 |  |  |
|  TBA sale commitments, at value<sup>(e)</sup> | 432601700 |  |  |
|  Payables: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Investments purchased | 603734684 |  | 22704008 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services fees | 24599 | 8349 | 13453 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares redeemed | 275632 |  | 132314 |
| &nbsp;&nbsp;&nbsp;&nbsp; Income dividend distributions | 4753431 |  | 1421712 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' and Officer's fees | 1086 | 21 | 587 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other accrued expenses | 75210 | 2018 | 40417 |
| &nbsp;&nbsp;&nbsp;&nbsp; Printing and postage fees | 11719 | 13428 | 11956 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 54166 | 41787 | 58488 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration fees | 251201 | 5441 | 186767 |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees | 33946 | 5966 | 32262 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on futures contracts | 166615 | 10328 | 75944 |
| &nbsp;&nbsp;&nbsp;&nbsp; Variation margin on centrally cleared swaps |  | 123 | 6635 |
|  Swap premiums received | 520139 |  |  |
|  Unrealized depreciation on OTC swaps | 1056717 |  |  |
|  Total liabilities | 1044433845 | 87461 | 24684543 |
|  **Commitments and contingent liabilities** |  |  |  |
|  NET ASSETS | $1295016533 | $3481645 | $364929043 |
|  **NET ASSETS CONSIST OF:** |  |  |  |
|  Paid-in capital | $1472925651 | $29002193 | $388731758 |
|  Accumulated loss | (177909118) | (25520548) | (23802715) |
|  NET ASSETS | $1295016533 | $3481645 | $364929043 |

---

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 93

------

Statements of Assets and Liabilities (continued)

March 31, 2025

---

| | | | |
|:---|:---|:---|:---|
|  | BATS:<br>Series M Portfolio | BATS:<br>Series P Portfolio | BATS:<br> Series S Portfolio |
|  **NET ASSET VALUE** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 154300663 | 335507 | 39525001 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $8.39 | $10.38 | $9.23 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited | Unlimited | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | $0.001 | $0.001 | $0.001 |
|  <sup>(a) </sup>Investments, at cost — unaffiliated | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1963944876 | $2673791 | $367481887 |
|  <sup>(b) </sup>Investments, at cost — affiliated | $— | $709844 | $— |
|  <sup>(c)</sup> Foreign currency, at cost | $— | $— | $115046 |
|  <sup>(e) </sup>Proceeds from TBA sale commitments | $431976368 | $— | $— |

---

*See notes to financial statements.* 

94 2 0 2 5 B L A C K R O C K 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 (continued)

March 31, 2025

---

| | |
|:---|:---|
|  | BATS:<br> Series V Portfolio |
|  **ASSETS** |  |
|  Investments, at value — unaffiliated<sup>(a)</sup> | $124661856 |
|  Cash | 32915 |
|  Receivables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares sold | 21598 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 841819 |
| &nbsp;&nbsp;&nbsp;&nbsp; From the Manager | 16969 |
|  Prepaid expenses | 18473 |
|  Total assets | 125593630 |
|  **LIABILITIES** |  |
|  Payables: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services fees | 10574 |
| &nbsp;&nbsp;&nbsp;&nbsp; Capital shares redeemed | 53636 |
| &nbsp;&nbsp;&nbsp;&nbsp; Income dividend distributions | 311274 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees' and Officer's fees | 86 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other accrued expenses | 8210 |
| &nbsp;&nbsp;&nbsp;&nbsp; Printing and postage fees | 10871 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional fees | 64522 |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfer agent fees | 6466 |
|  Total liabilities | 465639 |
|  **Commitments and contingent liabilities** |  |
|  NET ASSETS | $125127991 |
|  **NET ASSETS CONSIST OF:** |  |
|  Paid-in capital | $125112225 |
|  Accumulated earnings | 15766 |
|  NET ASSETS | $125127991 |
|  **NET ASSET VALUE** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares outstanding | 12523657 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net asset value | $9.99 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares authorized | Unlimited |
| &nbsp;&nbsp;&nbsp;&nbsp; Par value | $0.001 |
|  <sup>(a) </sup>Investments, at cost — unaffiliated | $124647484 |

---

*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 95

------

Statements of Operations

Year Ended March 31, 2025

---

| | | | |
|:---|:---|:---|:---|
|  | BATS:<br> Series A Portfolio | BATS:<br> Series C Portfolio | BATS:<br> Series E Portfolio |
|  **INVESTMENT INCOME** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | $4530343 | $447636 | $593474 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 187806683 | 22109922 | 21867522 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other income | 271279 | 47264 | 9190 |
|  Total investment income | 192608305 | 22604822 | 22470186 |
|  EXPENSES |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services | 185298 | 57980 | 60235 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 125388 | 64061 | 173648 |
| &nbsp;&nbsp;&nbsp;&nbsp; Pricing | 82774 | 75991 | 72342 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian | 55670 | 60996 | 5893 |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfer agent | 50892 | 149936 | 31540 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees and Officer | 44036 | 8008 | 8543 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration | 38630 | 38563 | 46010 |
| &nbsp;&nbsp;&nbsp;&nbsp; Printing and postage | 15000 | 12210 | 10497 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 62590 | 16615 | 10680 |
|  Total expenses excluding interest expense and fees | 660278 | 484360 | 419388 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest expense | 178567 | 1705 | 90 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest expense and fees<sup>(a)</sup> |  |  | 249334 |
|  Total expenses | 838845 | 486065 | 668812 |
|  Less: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Manager | (655643) | (482225) | (419330) |
|  Total expenses after fees waived and/or reimbursed | 183202 | 3840 | 249482 |
|  Net investment income | 192425103 | 22600982 | 22220704 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | (1933374) | (11366757) | 832191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options written |  | (883113) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  | (521211) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | 132442 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions | 21902 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swaps | (102812) | (661616) |  |
|  | (1881842) | (13432697) | 832191 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | 37807005 | 10705297 | 489261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options written |  | (59288) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts |  | 183328 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts | (42806) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations | 758 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swaps | 106301 | (93917) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unfunded floating rate loan interests | 23606 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unfunded commitments |  |  | (1935143) |
|  | 37894864 | 10735420 | (1445882) |
|  Net realized and unrealized gain (loss) | 36013022 | (2697277) | (613691) |
|  NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;228438125 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;19903705 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21607013 |

---

<sup>(a)</sup> Related to TOB Trusts.

*See notes to financial statements.* 

96 2 0 2 5 B L A C K R O C K 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 (continued)

Year Ended March 31, 2025

---

| | | | |
|:---|:---|:---|:---|
|  | BATS:<br> Series M Portfolio | BATS:<br> Series P Portfolio | BATS:<br> Series S Portfolio |
|  **INVESTMENT INCOME** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — unaffiliated | $433125 | $27467 | $315577 |
| &nbsp;&nbsp;&nbsp;&nbsp; Dividends — affiliated |  | 60027 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | 53058829 |  | 17088297 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other income | 64771 | 229948 | 66638 |
|  Total investment income | 53556725 | 317442 | 17470512 |
|  EXPENSES |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfer agent | 178285 | 19246 | 175043 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services | 96800 | 33819 | 55477 |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 73483 | 45509 | 67660 |
| &nbsp;&nbsp;&nbsp;&nbsp; Pricing | 72636 | 17 | 52804 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian | 63637 | 876 | 21812 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration | 50745 | 21653 | 33906 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees and Officer | 19568 | 1420 | 7212 |
| &nbsp;&nbsp;&nbsp;&nbsp; Printing and postage | 15862 | 10130 | 11544 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 25057 | 2076 | 17407 |
|  Total expenses excluding interest expense | 596073 | 134746 | 442865 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest expense | 1538 |  | 1006 |
|  Total expenses | 597611 | 134746 | 443871 |
|  Less: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Manager | (593938) | (134576) | (440355) |
|  Total expenses after fees waived and/or reimbursed | 3673 | 170 | 3516 |
|  Net investment income | 53553052 | 317272 | 17466996 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) from: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | 890909 |  | 50961 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated |  | (1575) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (2867201) | (280287) | (569044) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts |  |  | 56258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency transactions |  |  | 84844 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Payment by third party service provider |  | 54333 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swaps | 4687 | (177) | 289594 |
|  | (1971605) | (227706) | (87387) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on: |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — unaffiliated | 19026427 |  | 5369332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments — affiliated |  | 27673 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures contracts | (87235) | (3621) | 590951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward foreign currency exchange contracts |  |  | (38278) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign currency translations |  | 2 | (799) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swaps | (4580) | 167 | (30702) |
|  | 18934612 | 24221 | 5890504 |
|  Net realized and unrealized gain (loss) | 16963007 | (203485) | 5803117 |
|  NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;70516059 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;113787 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23270113 |

---

*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 97

------

Statements of Operations (continued)

Year Ended March 31, 2025

---

| | |
|:---|:---|
|  | BATS:<br> Series V Portfolio |
|  **INVESTMENT INCOME** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest — unaffiliated | $4274466 |
| &nbsp;&nbsp;&nbsp;&nbsp; Other income | 8076 |
|  Total investment income | 4282542 |
|  EXPENSES |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Professional | 74484 |
| &nbsp;&nbsp;&nbsp;&nbsp; Registration | 48493 |
| &nbsp;&nbsp;&nbsp;&nbsp; Accounting services | 43233 |
| &nbsp;&nbsp;&nbsp;&nbsp; Transfer agent | 22331 |
| &nbsp;&nbsp;&nbsp;&nbsp; Printing and postage | 11304 |
| &nbsp;&nbsp;&nbsp;&nbsp; Pricing | 10562 |
| &nbsp;&nbsp;&nbsp;&nbsp; Custodian | 4014 |
| &nbsp;&nbsp;&nbsp;&nbsp; Trustees and Officer | 3715 |
| &nbsp;&nbsp;&nbsp;&nbsp; Miscellaneous | 6219 |
|  Total expenses excluding interest expense | 224355 |
| &nbsp;&nbsp;&nbsp;&nbsp; Interest expense | 3862 |
|  Total expenses | 228217 |
|  Less: |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Fees waived and/or reimbursed by the Manager | (224295) |
|  Total expenses after fees waived and/or reimbursed | 3922 |
|  Net investment income | 4278620 |
|  **REALIZED AND UNREALIZED GAIN (LOSS)** |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain from investments | 1 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) on investments | 13881 |
|  Net realized and unrealized gain | 13882 |
|  NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4292502 |

---

*See notes to financial statements.* 

98 2 0 2 5 B L A C K R O C K 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

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BATS: Series A Portfolio | BATS: Series A Portfolio | BATS: Series C Portfolio | BATS: Series C Portfolio |
|  | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |  |  |
|  **OPERATIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $192425103 | $140157224 | $22600982 | $18472055 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized loss | (1881842) | (21319143) | (13432697) | (21627833) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | 37894864 | 69378015 | 10735420 | 22752532 |
|  Net increase in net assets resulting from operations | 228438125 | 188216096 | 19903705 | 19596754 |
|  **DISTRIBUTIONS TO SHAREHOLDERS<sup>(a)</sup>** |  |  |  |  |
|  Decrease in net assets resulting from distributions to shareholders | (190992428) | (139801698) | (22759659) | (18482170) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |  |  |
|  Net increase in net assets derived from capital share transactions | 1044899844 | 22051489 | 18758460 | 43563103 |
|  *NET ASSETS* |  |  |  |  |
|  Total increase in net assets | 1082345541 | 70465887 | 15902506 | 44677687 |
|  Beginning of year | 2494040228 | 2423574341 | 423597040 | 378919353 |
|  End of year | $3576385769 | $2494040228 | $439499546 | $423597040 |

---

<sup>(a)</sup> 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

------

Statements of Changes in Net Assets (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BATS: Series E Portfolio | BATS: Series E Portfolio | BATS: Series M Portfolio | BATS: Series M Portfolio |
|  | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |  |  |
|  **OPERATIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $22220704 | $16406654 | $53553052 | $45671591 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | 832191 | (4294629) | (1971605) | (16480233) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | (1445882) | 7288958 | 18934612 | (5170741) |
|  Net increase in net assets resulting from operations | 21607013 | 19400983 | 70516059 | 24020617 |
|  **DISTRIBUTIONS TO SHAREHOLDERS<sup>(a)</sup>** |  |  |  |  |
|  Decrease in net assets resulting from distributions to shareholders | (21576472) | (16206570) | (54113978) | (44108637) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |  |  |
|  Net increase in net assets derived from capital share transactions | 114771391 | 66912335 | 132230983 | 60573605 |
|  *NET ASSETS* |  |  |  |  |
|  Total increase in net assets | 114801932 | 70106748 | 148633064 | 40485585 |
|  Beginning of year | 412478331 | 342371583 | 1146383469 | 1105897884 |
|  End of year | $527280263 | $412478331 | $1295016533 | $1146383469 |

---

<sup>(a)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

*See notes to financial statements.* 

100 2 0 2 5 B L A C K R O C K 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 P Portfolio | BATS: Series P Portfolio | BATS: Series S Portfolio | BATS: Series S Portfolio |
|  | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |  |  |
|  **OPERATIONS** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $317272 | $506036 | $17466996 | $16635824 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain (loss) | (227706) | 61704 | (87387) | (3427889) |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | 24221 | 1288543 | 5890504 | 6211665 |
|  Net increase in net assets resulting from operations | 113787 | 1856283 | 23270113 | 19419600 |
|  **DISTRIBUTIONS TO SHAREHOLDERS<sup>(a)</sup>** |  |  |  |  |
|  Decrease in net assets resulting from distributions to shareholders | (276913) | (640002) | (17490406) | (17132314) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |  |  |
|  Net decrease in net assets derived from capital share transactions | (1989054) | (22168143) | (32783793) | (11225214) |
|  *NET ASSETS* |  |  |  |  |
|  Total decrease in net assets | (2152180) | (20951862) | (27004086) | (8937928) |
|  Beginning of year | 5633825 | 26585687 | 391933129 | 400871057 |
|  End of year | $3481645 | $5633825 | $364929043 | $391933129 |

---

<sup>(a)</sup> 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 101

------

Statements of Changes in Net Assets (continued)

---

| | | |
|:---|:---|:---|
|  | BATS: Series V Portfolio | BATS: Series V Portfolio |
|  | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 |
|  *INCREASE (DECREASE) IN NET ASSETS* |  |  |
|  **OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income | $4278620 | $2959343 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized gain | 1 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Net change in unrealized appreciation (depreciation) | 13881 | 3814 |
|  Net increase in net assets resulting from operations | 4292502 | 2963157 |
|  **DISTRIBUTIONS TO SHAREHOLDERS<sup>(a)</sup>** |  |  |
|  Decrease in net assets resulting from distributions to shareholders | (4277683) | (2961031) |
|  **CAPITAL SHARE TRANSACTIONS** |  |  |
|  Net increase in net assets derived from capital share transactions | 7596599 | 32075499 |
|  *NET ASSETS* |  |  |
|  Total increase in net assets | 7611418 | 32077625 |
|  Beginning of year | 117516573 | 85438948 |
|  End of year | $125127991 | $117516573 |

---

<sup>(a)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

*See notes to financial statements.* 

102 2 0 2 5 B L A C K R O C K 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

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BATS: Series A Portfolio | BATS: Series A Portfolio | BATS: Series A Portfolio | BATS: Series A Portfolio | BATS: Series A Portfolio |
|  | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 | Year Ended<br>03/31/23 | Year Ended<br>03/31/22 | Year Ended<br>03/31/21 |
|  **Net asset value, beginning of year** | $9.39 | $9.19 | $9.67 | $9.99 | $9.05 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.61 | 0.57 | 0.43 | 0.26 | 0.31 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.13 | 0.20 | (0.48) | (0.31) | 0.94 |
|  Net increase (decrease) from investment operations | 0.74 | 0.77 | (0.05) | (0.05) | 1.25 |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.61) | (0.57) | (0.42) | (0.27) | (0.31) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain |  |  | (0.01) |  |  |
|  Total distributions | (0.61) | (0.57) | (0.43) | (0.27) | (0.31) |
|  **Net asset value, end of year** | $9.52 | $9.39 | $9.19 | $9.67 | $9.99 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | 8.11% | 8.66% | (0.42)% | (0.59)% | 13.95% |
|  **Ratios to Average Net Assets<sup>(d)</sup>** |  |  |  |  |  |
|  Total expenses | 0.03% | 0.03% | 0.02% | 0.02% | 0.04% |
|  Total expenses after fees waived and/or reimbursed | 0.01% | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> |
|  Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> |
|  Net investment income | 6.47% | 6.18% | 4.65% | 2.64% | 3.20% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $3576386 | $2494040 | $2423574 | $2635009 | $1541153 |
|  Portfolio turnover rate<sup>(f)</sup> | 50% | 53% | 43% | 45% | 26% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Amount is less than 0.005%. 

<sup>(f)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 | Year Ended<br>03/31/23 | Year Ended<br>03/31/22 | Year Ended<br>03/31/21 |
|  Portfolio turnover rate (excluding MDRs) | 41% | 42% | 30% | 34% | 26% |

---

*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 C Portfolio | BATS: Series C Portfolio | BATS: Series C Portfolio | BATS: Series C Portfolio | BATS: Series C Portfolio |
|  | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 | Year Ended<br>03/31/23 | Year Ended<br>03/31/22 | Year Ended<br>03/31/21 |
|  **Net asset value, beginning of year** | $9.05 | $9.03 | $9.84 | $10.69 | $10.49 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.48 | 0.41 | 0.32 | 0.28 | 0.33 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | (0.06) | 0.02 | (0.81) | (0.66) | 0.60 |
|  Net increase (decrease) from investment operations | 0.42 | 0.43 | (0.49) | (0.38) | 0.93 |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.48) | (0.41) | (0.32) | (0.29) | (0.33) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain |  |  |  | (0.18) | (0.40) |
|  Total distributions | (0.48) | (0.41) | (0.32) | (0.47) | (0.73) |
|  **Net asset value, end of year** | $8.99 | $9.05 | $9.03 | $9.84 | $10.69 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | 4.73% | 4.98% | (4.92)% | (3.88)% | 8.70% |
|  **Ratios to Average Net Assets<sup>(d)</sup>** |  |  |  |  |  |
|  Total expenses | 0.11% | 0.12% | 0.12% | 0.10% | 0.09% |
|  Total expenses after fees waived and/or reimbursed | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> | 0.01% | 0.00 %<sup>(e)</sup> |
|  Net investment income | 5.26% | 4.66% | 3.50% | 2.59% | 2.96% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $439500 | $423597 | $378919 | $476478 | $534926 |
|  Portfolio turnover rate | 446% | 103% | 47% | 42% | 85% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Amount is less than 0.005%. 

*See notes to financial statements.* 

104 2 0 2 5 B L A C K R O C K 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 E Portfolio | BATS: Series E Portfolio | BATS: Series E Portfolio | BATS: Series E Portfolio | BATS: Series E Portfolio |
|  | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 | Year Ended<br>03/31/23 | Year Ended<br>03/31/22 | Year Ended<br>03/31/21 |
|  **Net asset value, beginning of year** | $10.15 | $10.01 | $11.14 | $11.75 | $10.53 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.48 | 0.46 | 0.43 | 0.46 | 0.45 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.03 | 0.13 | (0.92) | (0.56) | 1.22 |
|  Net increase (decrease) from investment operations | 0.51 | 0.59 | (0.49) | (0.10) | 1.67 |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.47) | (0.45) | (0.46) | (0.45) | (0.45) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain |  |  | (0.18) | (0.06) |  |
|  Total distributions | (0.47) | (0.45) | (0.64) | (0.51) | (0.45) |
|  **Net asset value, end of year** | $10.19 | $10.15 | $10.01 | $11.14 | $11.75 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | 5.05% | 6.18% | (4.21)% | (1.07)% | 16.16% |
|  **Ratios to Average Net Assets<sup>(d)</sup>** |  |  |  |  |  |
|  Total expenses | 0.14% | 0.20% | 0.26% | 0.11% | 0.15% |
|  Total expenses after fees waived and/or reimbursed | 0.05% | 0.09% | 0.11% | 0.03% | 0.04% |
|  Total expenses after fees waived and/or reimbursed and excluding interest expense and fees<sup>(e)</sup> | 0.00 %<sup>(f)</sup> | 0.00 %<sup>(f)</sup> | 0.00 %<sup>(f)</sup> | 0.00 %<sup>(f)</sup> | 0.00 %<sup>(f)</sup> |
|  Net investment income | 4.68% | 4.66% | 4.16% | 3.80% | 4.06% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $527280 | $412478 | $342372 | $382519 | $400615 |
|  Borrowings outstanding, end of year (000) | $21925 | $6647 | $8889 | $22111 | $18987 |
|  Portfolio turnover rate | 23% | 19% | 37% | 26% | 31% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Interest expense and fees relate to TOB Trusts. See Note 4 of the Notes to Financial Statements for details.

<sup>(f)</sup> 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 105

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BATS: Series M Portfolio | BATS: Series M Portfolio | BATS: Series M Portfolio | BATS: Series M Portfolio | BATS: Series M Portfolio |
|  | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 | Year Ended<br>03/31/23 | Year Ended<br>03/31/22 | Year Ended<br>03/31/21 |
|  **Net asset value, beginning of year** | $8.28 | $8.42 | $9.11 | $9.77 | $9.81 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.37 | 0.33 | 0.25 | 0.11 | 0.21 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.11 | (0.15) | (0.68) | (0.59) | 0.05 |
|  Net increase (decrease) from investment operations | 0.48 | 0.18 | (0.43) | (0.48) | 0.26 |
|  Distributions from net investment income<sup>(b)</sup> | (0.37) | (0.32) | (0.26) | (0.18) | (0.30) |
|  **Net asset value, end of year** | $8.39 | $8.28 | $8.42 | $9.11 | $9.77 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | 5.96% | 2.19% | (4.76)% | (4.98)% | 2.68% |
|  **Ratios to Average Net Assets<sup>(d)</sup>** |  |  |  |  |  |
|  Total expenses | 0.05% | 0.06% | 0.06% | 0.06% | 0.05% |
|  Total expenses after fees waived and/or reimbursed | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> | 0.00 %<sup>(e)</sup> |
|  Net investment income | 4.44% | 3.99% | 2.97% | 1.11% | 2.12% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $1295017 | $1146383 | $1105898 | $1126195 | $1197167 |
|  Portfolio turnover rate<sup>(f)</sup> | 892% | 704% | 873% | 1473% | 1500% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(e)</sup> Amount is less than 0.005%. 

<sup>(f)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 | Year Ended<br>03/31/23 | Year Ended<br>03/31/22 | Year Ended<br>03/31/21 |
|  Portfolio turnover rate (excluding MDRs) | 483% | 420% | 521% | 665% | 896% |

---

*See notes to financial statements.* 

106 2 0 2 5 B L A C K R O C K 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 P Portfolio | BATS: Series P Portfolio | BATS: Series P Portfolio | BATS: Series P Portfolio | BATS: Series P Portfolio |
|  | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 | Year Ended<br>03/31/23 | Year Ended<br>03/31/22 | Year Ended<br>03/31/21 |
|  **Net asset value, beginning of year** | $10.40 | $9.75 | $8.95 | $8.69 | $7.92 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.52 | 0.31 | 0.15 | 0.04 | 0.06 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain | 0.20 | 0.78 | 0.76 | 0.22 | 0.71 |
|  Net increase from investment operations | 0.72 | 1.09 | 0.91 | 0.26 | 0.77 |
|  Distributions from net investment income<sup>(b)</sup> | (0.74) | (0.44) | (0.11) |  |  |
|  **Net asset value, end of year** | $10.38 | $10.40 | $9.75 | $8.95 | $8.69 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | 6.75 %<sup>(d)</sup> | 11.44% | 10.14% | 2.99% | 9.72% |
|  **Ratios to Average Net Assets<sup>(e)</sup>** |  |  |  |  |  |
|  Total expenses | 2.11% | 0.88% | 0.33% | 0.28% | 0.46% |
|  Total expenses after fees waived and/or reimbursed | 0.00 %<sup>(f)</sup> | 0.01% | 0.00 %<sup>(f)</sup> | 0.00 %<sup>(f)</sup> | 0.00 %<sup>(f)</sup> |
|  Net investment income | 4.98% | 3.06% | 1.55% | 0.45% | 0.71% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $3482 | $5634 | $26586 | $54571 | $53175 |
|  Portfolio turnover rate | 134% | 0% | 9% | 0% | 36% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Includes a third-party payment for an operating event, which impacted the Fund's total return. Excluding the payment, the Fund's total return would have been 6.34%. 

<sup>(e)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(f)</sup> 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 107

------

Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | BATS: Series S Portfolio | BATS: Series S Portfolio | BATS: Series S Portfolio | BATS: Series S Portfolio | BATS: Series S Portfolio |
|  | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 | Year Ended<br>03/31/23 | Year Ended<br>03/31/22 | Year Ended<br>03/31/21 |
|  **Net asset value, beginning of year** | $9.09 | $9.04 | $9.28 | $9.73 | $9.23 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(a)</sup> | 0.42 | 0.38 | 0.27 | 0.14 | 0.18 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.14 | 0.06 | (0.21) | (0.43) | 0.54 |
|  Net increase (decrease) from investment operations | 0.56 | 0.44 | 0.06 | (0.29) | 0.72 |
|  **Distributions<sup>(b)</sup>** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; From net investment income | (0.42) | (0.39) | (0.28) | (0.16) | (0.22) |
| &nbsp;&nbsp;&nbsp;&nbsp; From net realized gain |  |  | (0.02) |  |  |
|  Total distributions | (0.42) | (0.39) | (0.30) | (0.16) | (0.22) |
|  **Net asset value, end of year** | $9.23 | $9.09 | $9.04 | $9.28 | $9.73 |
|  **Total Return<sup>(c)</sup>** |  |  |  |  |  |
|  Based on net asset value | 6.31% | 4.98% | 0.62% | (3.02)% | 7.80 %<sup>(d)</sup> |
|  **Ratios to Average Net Assets<sup>(e)</sup>** |  |  |  |  |  |
|  Total expenses | 0.12% | 0.13% | 0.10% | 0.12% | 0.13% |
|  Total expenses after fees waived and/or reimbursed | 0.00 %<sup>(f)</sup> | 0.00 %<sup>(f)</sup> | 0.00 %<sup>(f)</sup> | 0.01% | 0.02% |
|  Total expenses after fees waived and/or reimbursed and excluding interest expense | 0.00 %<sup>(f)</sup> | 0.00 %<sup>(f)</sup> | 0.00 %<sup>(f)</sup> | 0.01% | 0.00 %<sup>(f)</sup> |
|  Net investment income | 4.60% | 4.19% | 2.96% | 1.42% | 1.89% |
|  **Supplemental Data** |  |  |  |  |  |
|  Net assets, end of year (000) | $364929 | $391933 | $400871 | $408273 | $398906 |
|  Portfolio turnover rate<sup>(g)</sup> | 162% | 166% | 127% | 68% | 124% |

---

<sup>(a)</sup> Based on average shares outstanding.

<sup>(b)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(c)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(d)</sup> Includes a payment received from an affiliate, which had no impact on the Fund's total return. 

<sup>(e)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(f)</sup> Amount is less than 0.005%. 

<sup>(g)</sup> Includes mortgage dollar roll transactions ("MDRs"). Additional information regarding portfolio turnover rate is as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 | Year Ended<br>03/31/23 | Year Ended<br>03/31/22 | Year Ended<br>03/31/21 |
|  Portfolio turnover rate (excluding MDRs) | 158% | 140% | 106% | 67% | 122% |

---

*See notes to financial statements.* 

108 2 0 2 5 B L A C K R O C K 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

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Financial Highlights (continued)

(For a share outstanding throughout each period)

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | BATS: Series V Portfolio | BATS: Series V Portfolio | BATS: Series V Portfolio | BATS: Series V Portfolio |
|  | Year Ended<br>03/31/25 | Year Ended<br>03/31/24 | Year Ended<br>03/31/23 | Period From<br> 05/05/21<br> to 03/31/22<br><sup>(a)</sup> <br>|
|  **Net asset value, beginning of period** | $9.99 | $9.99 | $9.99 | $10.00 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net investment income<sup>(b)</sup> | 0.32 | 0.34 | 0.22 | 0.01 |
| &nbsp;&nbsp;&nbsp;&nbsp; Net realized and unrealized gain (loss) | 0.00 <sup>(c)</sup> | (0.00)<sup>(d)</sup> | (0.04) | (0.01) |
|  Net increase from investment operations | 0.32 | 0.34 | 0.18 | 0.00 |
|  Distributions from net investment income<sup>(e)</sup> | (0.32) | (0.34) | (0.18) | (0.01) |
|  **Net asset value, end of period** | $9.99 | $9.99 | $9.99 | $9.99 |
|  **Total Return<sup>(f)</sup>** |  |  |  |  |
|  Based on net asset value | 3.23% | 3.44% | 1.83% | 0.01 %<sup>(g)</sup> |
|  **Ratios to Average Net Assets<sup>(h)</sup>** |  |  |  |  |
|  Total expenses | 0.17% | 0.25% | 0.52% | 4.06 %<sup>(i)(j)</sup> |
|  Total expenses after fees waived and/or reimbursed | 0.00 %<sup>(k)</sup> | 0.00 %<sup>(k)</sup> | 0.00 %<sup>(k)</sup> | 0.00 %<sup>(i)(k)</sup> |
|  Net investment income | 3.18% | 3.39% | 2.21% | 0.13 %<sup>(i)</sup> |
|  **Supplemental Data** |  |  |  |  |
|  Net assets, end of period (000) | $125128 | $117517 | $85439 | $10201 |
|  Portfolio turnover rate | 233% | 170% | 189% | 283% |

---

<sup>(a)</sup> Commencement of operations.

<sup>(b)</sup> Based on average shares outstanding.

<sup>(c)</sup> Amount is less than $0.005 per share. 

<sup>(d)</sup> Amount is greater than $(0.005) per share. 

<sup>(e)</sup> Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

<sup>(f)</sup> Where applicable, assumes the reinvestment of distributions.

<sup>(g)</sup> Not annualized.

<sup>(h)</sup> Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

<sup>(i)</sup> Annualized.

<sup>(j)</sup> 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%. 

<sup>(k)</sup> 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 109

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Notes to Financial Statements

*1. ORGANIZATION* 

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

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Herein Referred To As* | *Diversification Classification* |
|  BATS: Series A Portfolio | Series A | Diversified |
|  BATS: Series C Portfolio | Series C | Diversified |
|  BATS: Series E Portfolio | Series E | Diversified |
|  BATS: Series M Portfolio | Series M | Diversified |
|  BATS: Series P Portfolio | Series P | Diversified |
|  BATS: Series S Portfolio | Series S | Diversified |
|  BATS: Series V Portfolio | Series V | Diversified |

---

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

The Funds, together with certain other registered investment companies advised by the Manager or its affiliates, are included in a complex of funds referred to as the BlackRock Fixed-Income Complex.

*2. SIGNIFICANT ACCOUNTING POLICIES* 

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

**Investment Transactions and Income Recognition:** For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed (the "trade dates"). Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates. Non-cash dividends, if any, are recorded on the ex-dividend dates at fair value. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.

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

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

**Cash:** The Funds may maintain cash at their custodian which, at times may exceed United States federally insured limits. The Funds may, at times, have outstanding cash disbursements that exceed 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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Notes to Financial Statements (continued)

The Plan is not funded and obligations thereunder represent general unsecured claims against the general assets of each Fund, as applicable. Deferred compensation liabilities, if any, are included in the Trustees' and Officer's fees payable in the Statements of Assets and Liabilities and will remain as a liability of the Funds until such amounts are distributed in accordance with the Plan. Net appreciation (depreciation) in the value of participants' deferral accounts is allocated among the participating funds in the BlackRock Fixed Income Complex and reflected as Trustee and Officer expense on the Statements of Operations. The Trustee and Officer expense may be negative as a result of a decrease in value of the deferred accounts.

**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.

**Segment Reporting:** The Funds adopted Financial Accounting Standards Board Update 2023-07, Segment Reporting (Topic 280) – Improvements to Reportable Segment Disclosures ("ASU 2023-07") during the period. The Funds' adoption of the new standard impacted financial statement disclosures only and did not affect each Fund's financial position or results of operations.

The Chief Financial Officer acts as the Funds' Chief Operating Decision Maker ("CODM') and is responsible for assessing performance and allocating resources with respect to each Fund. The CODM has concluded that each Fund operates as a single operating segment since each Fund has a single investment strategy as disclosed in their prospectus, against which the CODM assesses performance. The financial information provided to and reviewed by the CODM is presented within the Funds' financial statements.

*3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS* 

**Investment Valuation Policies:** Each Fund's investments are valued at fair value (also referred to as "market value" within the financial statements) each day that the Fund is open for business and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of each Fund has approved the designation of each Fund's Manager as the valuation designee for each Fund. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under the Manager's policies. If a security's market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with the Manager's policies and procedures as reflecting fair value. The Manager has formed a committee (the "Valuation Committee") to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.

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

· Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Floating rate loan interests are valued at the mean of the bid prices from one or more independent brokers or dealers as obtained from a third-party pricing service. Pricing services generally value fixed-income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots of securities in certain asset classes may trade at lower prices than institutional round lots, and the value ultimately realized when the securities are sold could differ from the prices used by a fund. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

· Investments in open-end U.S. mutual funds (including money market funds) are valued at that day's NAV.

· Futures contracts are valued based on that day's last reported settlement or trade price on the exchange where the contract is traded.

· Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day's prevailing forward exchange rate for the underlying currencies.

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

· 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.

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

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Notes to Financial Statements (continued)

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.

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:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) recent market transactions, including secondary market transactions, merger or acquisition activity and subsequent rounds of financing in the underlying investment or comparable issuers

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(ii) recapitalizations and other transactions across the capital structure

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iii) market or relevant indices multiples of comparable issuers

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(iv) future cash flows discounted to present and adjusted as appropriate for liquidity, credit, and/or market risks

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(v) quoted prices for similar investments or assets in active markets

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(vii) audited or unaudited financial statements, investor communications and Private Company financial or operational metrics

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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:

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

· Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly; and

· 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.

112 2 0 2 5 B L A C K R O C K 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

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Notes to Financial Statements (continued)

*4. SECURITIES AND OTHER INVESTMENTS* 

**Asset-Backed and Mortgage-Backed Securities:** Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the "Mortgage Assets") there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower's ability to repay its loans.

**Collateralized Debt Obligations:** Collateralized debt obligations ("CDOs"), including collateralized bond obligations ("CBOs") and collateralized loan obligations ("CLOs"), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called "tranches," which will vary in risk profile and yield. The riskiest segment is the subordinated or "equity" tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a "senior" tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

**Inflation-Indexed Bonds:** Inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds (other than municipal inflation-indexed and certain corporate inflation-indexed bonds) will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond 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,

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

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Notes to Financial Statements (continued)

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 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.

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

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Borrower* | *Par* | *Commitment<br>Amount* | *Value* | *Unrealized<br>Appreciation<br> (Depreciation)* |
|  Series A | CTP-02 Propco LLC, Term Loan | $2525350 | $2501744 | $2525350 | $23606 |

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**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

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Notes to Financial Statements (continued)

commitment is marked-to-market and any unrealized appreciation (depreciation) is separately presented in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Funds had the following unfunded commitments:

---

| | | | | |
|:---|:---|:---|:---|:---|
| *Fund Name* | *Investment Name* | *Commitment<br>Amount* | *Value* | *Unrealized<br>Appreciation<br> (Depreciation)* |
|  Series E | Puerto Rico Electric Power Authority, Series B-1 | $2323863 | $2499361 | $175498 |
|  Series E | Puerto Rico Electric Power Authority, Series B-2 | 11249141 | 12583731 | 1334590 |
|  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1510088 |

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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.

**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.

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Notes to Financial Statements (continued)

Interest income, including amortization and accretion of premiums and discounts, from the underlying municipal bonds is recorded by a Fund on an accrual basis. Interest expense incurred on the TOB Trust transaction and other expenses related to remarketing, administration, trustee, liquidity and other services to a TOB Trust are shown as interest expense and fees 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 and fees 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 and fees in the Statements of Operations. Amounts recorded within interest expense and fees in the Statements of Operations are:

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| | | | | |
|:---|:---|:---|:---|:---|
| *Fund Name* | *Interest Expense* | *Liquidity Fees* | *Other Expenses* | *Total* |
|  Series E | $221746 | $20686 | $6902 | $249334 |

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For the year ended March 31, 2025, the following table is a summary of each Fund's TOB Trusts:

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Underlying<br>Municipal Bonds<br>Transferred to<br>TOB Trusts<sup>(a)</sup>* | *Liability for<br>TOB Trust<br>Certificates<sup>(b)</sup>* | *Range of<br>Interest Rates<br>on TOB Trust<br>Certificates at<br>Period End* | *Average<br>TOB Trust<br>Certificates<br>Outstanding* | *Daily Weighted<br>Average<br>Rate of<br>Interest and<br>Other Expenses<br>on TOB Trusts* |
|  Series E | $32820801 | $21925000 | 2.87% - 3.17% | $6564162 | 3.75% |

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<sup>(a)</sup> 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. 

<sup>(b)</sup> TOB Trusts may be structured on a non-recourse or recourse basis. When a Fund invests in TOB Trusts on a non-recourse basis, the Liquidity Provider may be required to make a payment under the liquidity facility to allow the TOB Trust to repurchase TOB Trust Certificates. The Liquidity Provider will be reimbursed from the liquidation of bonds held in the TOB Trust. If a Fund invests in a TOB Trust on a recourse basis, a Fund enters into a reimbursement agreement with the Liquidity Provider where a Fund is required to reimburse the Liquidity Provider for any shortfall between the amount paid by the Liquidity Provider and proceeds received from liquidation of municipal bonds held in the TOB Trust (the "Liquidation Shortfall"). As a result, if a Fund invests in a recourse TOB Trust, a Fund will bear the risk of loss with respect to any Liquidation Shortfall. If multiple funds participate in any such TOB Trust, these losses will be shared ratably, including the maximum potential amounts owed by a Fund at March 31, 2025, in proportion to their participation in the TOB Trust. The recourse TOB Trusts are identified in the Schedules of Investments including the maximum potential amounts owed by a Fund at March 31, 2025. 

*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

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Notes to Financial Statements (continued)

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").

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.

· Total return swaps — Total return swaps are entered into to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).

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Notes to Financial Statements (continued)

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket of underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instrument(s) or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Funds receive payment from or make a payment to the counterparty.

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

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

· Forward swaps — The Funds may enter into forward interest rate swaps and forward total return swaps. In a forward swap, each Fund and the counterparty agree to make periodic net payments beginning on a specified date or a net payment at termination.

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

**Master Netting Arrangements:** In order to define its contractual rights and to secure rights that will help it mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement ("ISDA Master Agreement") or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments' payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

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

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

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

*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 is responsible for the management of each Fund's portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of each Fund. 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

118 2 0 2 5 B L A C K R O C K 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 (continued)

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 | $655643 |
|  Series C | 482225 |
|  Series E | 419330 |
|  Series M | 593938 |
|  Series P | 134576 |
|  Series S | 440355 |
|  Series V | 224295 |

---

**Interfund Lending:** In accordance with an exemptive order (the "Order") from the U.S. Securities and Exchange Commission ("SEC"), each Fund participated 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. Effective March 3, 2025, the Interfund Lending Program was not renewed but remains available for renewal in the future.

During the period ended March 3, 2025, the Funds did not participate in the Interfund Lending Program.

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

**Other Transactions:** The Funds may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the year ended March 31, 2025, 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<br>Gain (Loss)* |
|  Series E | $24115702 | $15998262 | $— |
|  Series V | 10707400 | 18214185 |  |

---

*7. PURCHASES AND SALES* 

For the year ended March 31, 2025, 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 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-U.S. Government Securities | $2118996999 | $1072318540 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Securities | 405856020 | 397483760 |
|  Series C |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-U.S. Government Securities | 1753491771 | 1746177375 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Securities | 133869352 | 127180663 |
|  Series E |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-U.S. Government Securities | 261939676 | 96853311 |
|  Series M |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-U.S. Government Securities | 82988399 | 80664358 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Securities | 11916693975 | 11729687409 |
|  Series P |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-U.S. Government Securities | 1700000 | 2362500 |
|  Series S |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-U.S. Government Securities | 207560992 | 209288790 |
| &nbsp;&nbsp;&nbsp;&nbsp; U.S. Government Securities | 388285393 | 385902970 |
|  Series V |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-U.S. Government Securities | 250374212 | 272076218 |

---

For the year ended March 31, 2025, purchases and sales related to mortgage dollar rolls were as follows:

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Purchases* | *Sales* |
|  Series A | $263673630 | $263884072 |
|  Series M | 5421998802 | 5421934510 |
|  Series S | 11614198 | 11608598 |

---

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 119

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Notes to Financial Statements (continued)

*8. INCOME TAX INFORMATION* 

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

Each Fund files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on each Fund's U.S. federal tax returns generally remains open for a period of three years after they are filed. The statutes of limitations on each Fund's state and local tax returns may remain open for an additional year depending upon the jurisdiction.

Management has analyzed tax laws and regulations and their application to the Funds as of March 31, 2025, 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.

The tax character of distributions paid was as follows:

---

| | | |
|:---|:---|:---|
| *Fund Name* | *Year Ended<br>03/31/25* | *Year Ended<br>03/31/24* |
|  Series A |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $190992428 | $139801698 |
|  Series C |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $22759659 | $18482170 |
|  Series E |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Tax-exempt income | $21530420 | $16139547 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | 46052 | 67023 |
|  | $21576472 | $16206570 |
|  Series M |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $54113978 | $44108637 |
|  Series P |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $276913 | $640002 |
|  Series S |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | $17490406 | $17132314 |
|  Series V |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Tax-exempt income | $4269614 | $2960931 |
| &nbsp;&nbsp;&nbsp;&nbsp; Ordinary income | 8069 | 100 |
|  | $4277683 | $2961031 |

---

As of March 31, 2025, the tax components of accumulated earnings (loss) were as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| *Fund Name* | *Undistributed<br>tax-exempt income* | *Undistributed<br>Ordinary Income* | *Non-expiring<br>Capital Loss<br>Carryforwards<sup>(a)</sup>* | *Net Unrealized<br>Gains (Losses)<sup>(b)</sup>* | *Total* |
|  Series A | $— | $2802221 | $(65436685) | $(86203763) | $(148838227) |
|  Series C |  |  | (66744328) | (2442713) | (69187041) |
|  Series E | 166383 |  | (13394484) | (15589919) | (28818020) |
|  Series M |  | 2186350 | (111770353) | (68325115) | (177909118) |
|  Series P |  | 210949 | (25733312) | 1815 | (25520548) |
|  Series S |  |  | (23331360) | (471355) | (23802715) |
|  Series V |  | 1394 |  | 14372 | 15766 |

---

<sup>(a)</sup> Amounts available to offset future realized capital gains. 

<sup>(b)</sup> The differences between book-basis and tax-basis net unrealized gains (losses) was attributable primarily to the tax deferral of losses on wash sales and straddles, amortization and accretion methods for premiums and discounts on fixed income securities, the realization for tax purposes of unrealized gains/losses on certain futures and foreign currency exchange contracts, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, the accounting for swap agreements, timing and recognition of partnership income, the treatment of residual interests in tender option bond trusts and the classification of investments. 

During the year ended March 31, 2025, the Funds listed below utilized the following amounts of their respective capital loss carryforwards:

---

| | |
|:---|:---|
| *Fund Name* | *Utilized* |
|  Series E | $1143732 |
|  Series S | 307069 |

---

120 2 0 2 5 B L A C K R O C K 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

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Notes to Financial Statements (continued)

As of March 31, 2025, 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<br>Appreciation* | *Gross Unrealized<br>Depreciation* | *Net Unrealized<br>Appreciation<br>(Depreciation)* |
|  Series A | $3704069671 | $25142531 | $(111370657) | $(86228126) |
|  Series C | 442276433 | 3635356 | (5575479) | (1940123) |
|  Series E | 533453436 | 7369757 | (22959676) | (15589919) |
|  Series M | 1963866732 | 9458224 | (77783339) | (68325115) |
|  Series P | 3383635 | 222808 | (220921) | 1887 |
|  Series S | 367533347 | 2910015 | (2997418) | (87403) |
|  Series V | 124647484 | 15668 | (1296) | 14372 |

---

*9. BANK BORROWINGS* 

The Trust, on behalf of each Fund, along with certain other funds managed by the Manager and its affiliates ("Participating Funds"), is party to a 364-day, $2.40 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 year ended March 31, 2025, the Funds did not borrow under the credit agreement.

*10. PRINCIPAL RISKS* 

In the normal course of business, the Funds invest in securities or other instruments and may enter into certain transactions, and such activities subject each Fund to various risks, including among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation, tariffs 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 121

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Notes to Financial Statements (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. 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.

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Notes to Financial Statements (continued)

*11. CAPITAL SHARE TRANSACTIONS* 

Transactions in capital shares were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | Year Ended 03/31/25 | Year Ended 03/31/25 | Year Ended 03/31/24 | Year Ended 03/31/24 |
| *Fund Name* | *Shares* | *Amount* | *Shares* | *Amount* |
|  Series A |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 116237200 | $1102556386 | 47562008 | $445090304 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (6083528) | (57656542) | (45775267) | (423038815) |
|  | 110153672 | $1044899844 | 1786741 | $22051489 |
|  Series C |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 15119297 | $136660107 | 15783759 | $140503861 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (13011949) | (117901647) | (10951684) | (96940758) |
|  | 2107348 | $18758460 | 4832075 | $43563103 |
|  Series E |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 23591648 | $243253866 | 23301016 | $230906817 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (12490902) | (128482475) | (16841996) | (163994482) |
|  | 11100746 | $114771391 | 6459020 | $66912335 |
|  Series M |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 45422514 | $378619609 | 47160356 | $389133798 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (29603877) | (246388626) | (39977105) | (328560193) |
|  | 15818637 | $132230983 | 7183251 | $60573605 |
|  Series P |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 1757282 | $18365781 | 287267 | $2940745 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (1963547) | (20354835) | (2472653) | (25108888) |
|  | (206265) | $(1989054) | (2185386) | $(22168143) |
|  Series S |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 10569864 | $96923210 | 12836280 | $115922375 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (14144637) | (129707003) | (14087279) | (127147589) |
|  | (3574773) | $(32783793) | (1250999) | $(11225214) |
|  Series V |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares sold | 16534949 | $165219269 | 14653215 | $146385613 |
| &nbsp;&nbsp;&nbsp;&nbsp; Shares redeemed | (15773651) | (157622670) | (11442454) | (114310114) |
|  | 761298 | $7596599 | 3210761 | $32075499 |

---

*12. SUBSEQUENT EVENTS* 

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

Effective April 10, 2025, the credit agreement was extended until April 2026 under substantially similar terms.

N O T E S T O F I N A N C I A L S T A T E M E N T S 123

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Report of Independent Registered Public Accounting Firm

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

#### Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series E Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio, BATS: Series S Portfolio, and BATS Series V Portfolio of BlackRock Allocation Target Shares (the "Funds"), including the schedules of investments, as of March 31, 2025, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for the periods indicated in the table below, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of March 31, 2025, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.

---

| | |
|:---|:---|
| &nbsp;&nbsp;&nbsp;Fund(s) | Financial Highlights |
| &nbsp;&nbsp;&nbsp; BATS: Series A Portfolio, BATS: Series C Portfolio, BATS: Series E <br> Portfolio, BATS: Series M Portfolio, BATS: Series P Portfolio,<br> BATS: Series S Portfolio | For each of the five years in the period ended March 31, 2025. |
| &nbsp;&nbsp;&nbsp; BATS: Series V Portfolio | For each of the three years in the period ended March 31, 2025 and for the period from May 5,<br> 2021 (commencement of operations) through March 31, 2022. |

---

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2025, by correspondence with custodians or counterparties; when replies were not received, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/ Deloitte & Touche LLP

Boston, Massachusetts

May 22, 2025

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

124 2 0 2 5 B L A C K R O C K 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

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Important Tax Information (unaudited)

The following amounts, or maximum amounts allowable by law, are hereby designated as tax exempt-interest dividends for the fiscal year ended March 31, 2025:

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| | |
|:---|:---|
| *Fund Name* | *Exempt-Interest<br>Dividends* |
|  Series E | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;21450940 |
|  Series V | 4270551 |

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The following amounts, or maximum amounts allowable by law, are hereby designated as qualified dividend income for individuals for the fiscal year ended March 31, 2025:

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| | |
|:---|:---|
| *Fund Name* | *Qualified Dividend<br>Income* |
|  Series A | $78266 |
|  Series C | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;351428 |

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The Funds hereby designate the following amounts, or maximum amounts allowable by law, of distributions from direct federal obligation interest for the fiscal year ended March 31, 2025:

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| | |
|:---|:---|
| *Fund Name* | *Federal Obligation<br>Interest* |
|  Series A | $4526039 |
|  Series C | 804674 |
|  Series M | 1503530 |
|  Series P | 10584 |
|  Series S | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3102506 |

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The law varies in each state as to whether and what percent of ordinary income dividends attributable to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.

The following percentages, or maximum percentages allowable by law, of ordinary income distributions paid during the fiscal year ended March 31, 2025 qualified for the dividends-received deduction for corporate shareholders:

---

| | |
|:---|:---|
| *Fund Name* | *Dividends-Received<br>Deduction* |
|  Series A | 0.04% |
|  Series C | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;0.18 |

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The Funds hereby designates the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended March 31, 2025:

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| | |
|:---|:---|
| *Fund Name* | *Interest Dividends* |
|  Series A | $187965145 |
|  Series C | 22078355 |
|  Series E | 46052 |
|  Series M | 49548881 |
|  Series P | 285094 |
|  Series S | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;17403719 |
|  Series V | 8069 |

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The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest-related dividends for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended March 31, 2025:

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| | |
|:---|:---|
| *Fund Name* | *Interest-Related<br>Dividends* |
|  Series A | $133890457 |
|  Series C | 18757569 |
|  Series E | 46052 |
|  Series M | 49523960 |
|  Series P | 280829 |
|  Series S | 15964366 |
|  Series V | 8069 |

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I M P O R T A N T T A X I N F O R M A T I O N 125

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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, shareholder reports, semi-annual and annual financial statements, 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

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| | |
|:---|:---|
| **Investment Adviser** | **Independent Registered Public Accounting Firm** |
| BlackRock Advisors, LLC | Deloitte & Touche LLP |
| Wilmington, DE 19809 | Boston, MA 02110 |
| **Sub-Advisor<sup>(a)</sup>** | **Distributor** |
| BlackRock International Limited | BlackRock Investments, LLC |
| Edinburgh EH3 8BL, United Kingdom | New York, NY 10001 |
| **Accounting Agent, Administrator and Transfer Agent** | **Legal Counsel** |
| BNY Mellon Investment Servicing (US) Inc. | Willkie Farr & Gallagher LLP |
| Wilmington, DE 19809 | New York, NY 10019 |
| **Custodian** | **Address of the Trust** |
| The Bank of New York Mellon | 100 Bellevue Parkway |
| New York, NY 10286 | Wilmington, DE 19809 |
|  <sup>(a) </sup>Excludes BATS: Series E Portfolio and BATS: Series V Portfolio |  |

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126 2 0 2 5 B L A C K R O C K 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

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Glossary of Terms Used in these Financial Statements

#### Currency Abbreviation

---

| | |
|:---|:---|
| CAD | Canadian Dollar |
| EUR | Euro |
| USD | United States Dollar |
| Portfolio Abbreviation | Portfolio Abbreviation |
| ABS | Asset-Backed Security |
| AGM | Assured Guaranty Municipal Corp. |
| AMT | Alternative Minimum Tax |
| BAN | Bond Anticipation Notes |
| CLO | Collateralized Loan Obligation |
| CME | Chicago Mercantile Exchange |
| COL | Collateralized |
| DAC | Designated Activity Co. |
| EDA | Economic Development Authority |
| EDC | Economic Development Corp. |
| EURIBOR | Euro Interbank Offered Rate |
| FHLMC | Federal Home Loan Mortgage Corp. |
| FNMA | Federal National Mortgage Association |
| GNMA | Government National Mortgage Association |
| GO | General Obligation Bonds |
| GTD | Guaranteed |
| HDA | Housing Development Authority |
| HFA | Housing Finance Agency |
| IDA | Industrial Development Authority |
| IDB | Industrial Development Board |
| IDC | Industrial Development Corp. |
| IO | Interest Only |
| ISD | Independent School District |
| LIQ | Liquidity Agreement |
| LOC | Letter of Credit |
| LP | Limited Partnership |
| OTC | Over-the-Counter |
| RB | Revenue Bonds |
| REIT | Real Estate Investment Trust |
| REMIC | Real Estate Mortgage Investment Conduit |
| SBPA | Stand-By Bond Purchase Agreements |
| SOFR | Secured Overnight Financing Rate |
| TA | Tax Allocation |
| TBA | To-be-Announced |
| TECP | Tax-Exempt Commercial Paper |
| VRDN | Variable Rate Demand Note |

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G L O S S A R Y O F T E R M S U S E D I N T H E S E F I N A N C I A L S T A T E M E N T S 127

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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.

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| | |
|:---|:---|
| ![LOGO](g742859g42l24.jpg)  | ![LOGO](g742859g53i55.jpg) |

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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

#### 4

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– See Item 7

Item 11 – Statement Regarding Basis for Approval of Investment Advisory Contract – Not Applicable

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

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| | |
|:---|:---|
| Item 15 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures.  |

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Item 16 – Controls and Procedures

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(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 – See Item 2](#item2)

(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.](d742859dex99cert.htm)

(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

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;[(b) Section 906 Certifications are attached.](d742859dex99906cert.htm)

#### 5

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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Allocation Target Shares

---

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

---

Date: May 22, 2025

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

---

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

---

Date: May 22, 2025

---

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

---

Date: May 22, 2025

#### 6

## Ex-99.Cert

**EX-99. CERT** 

**CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE** 

**SARBANES-OXLEY ACT OF 2002** 

I, John M. Perlowski, Chief Executive Officer (principal executive officer) of BlackRock Allocation Target Shares, certify that:

1. I have reviewed this report on Form N-CSR of BlackRock Allocation Target Shares;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: May 22, 2025

<u>/s/ John M. Perlowski</u> 

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Allocation Target Shares

------

**EX-99. CERT** 

**CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE** 

**SARBANES-OXLEY ACT OF 2002** 

I, Trent Walker, Chief Financial Officer (principal financial officer) of BlackRock Allocation Target Shares, certify that:

1. I have reviewed this report on Form N-CSR of BlackRock Allocation Target Shares;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d) disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of trustees (or persons performing the equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a) all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b) any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date: May 22, 2025

<u>/s/ Trent Walker</u> 

Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock Allocation Target Shares

## Exhibit 99.906

Exhibit 99.906CERT

**Certification Pursuant to Rule 30a-2(b) under the 1940 Act and** 

**Section 906 of the Sarbanes-Oxley Act of 2002** 

Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Allocation Target Shares (the "Registrant"), hereby certifies, to the best of his knowledge, that the Registrant's Report on Form N-CSR for the period ended March 31, 2025 (the "Report") fully complies with the requirements of Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date: May 22, 2025

<u>/s/ John M. Perlowski</u> 

John M. Perlowski

Chief Executive Officer (principal executive officer) of

BlackRock Allocation Target Shares

Pursuant to 18 U.S.C. § 1350, the undersigned officer of BlackRock Allocation Target Shares (the "Registrant"), hereby certifies, to the best of his knowledge, that the Registrant's Report on Form N-CSR for the period ended March 31, 2025 (the "Report") fully complies with the requirements of Section 13(a) or Section 15(d) of the Securities Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date: May 22, 2025

<u>/s/ Trent Walker</u> 

Trent Walker

Chief Financial Officer (principal financial officer) of

BlackRock Allocation Target Shares

This certification is being furnished pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as amended, and 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR with the Securities and Exchange Commission**.**