Investment objective & strategy
As of Oct. 1, 2025 · prospectusObjective. The investment objective of the BATS: Mortgage Total Return Series (formerly known as BATS: Series M Portfolio) (the Fund) is to seek to maximize total return, consistent with income generation and prudent investment management.
Strategy. Under normal circumstances, the Fund seeks to invest at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in mortgage-related securities and derivatives that provide investment exposure to such securities or to one or more market risk factors associated with such securities. Such mortgage-related securities include, but are not limited to, commercial and residential mortgage-backed securities, collateralized mortgage obligations, and mortgage dollar rolls. The Fund may also invest in asset-backed securities, U.S. Treasury and agency securities, cash equivalent investments, and when-issued and delayed delivery securities. The Fund may only buy securities that are rated investment grade at the time of purchase by at least one major rating agency or, if unrated, determined by the … Under normal circumstances, the Fund seeks to invest at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in mortgage-related securities and derivatives that provide investment exposure to such securities or to one or more market risk factors associated with such securities. Such mortgage-related securities include, but are not limited to, commercial and residential mortgage-backed securities, collateralized mortgage obligations, and mortgage dollar rolls. The Fund may also invest in asset-backed securities, U.S. Treasury and agency securities, cash equivalent investments, and when-issued and delayed delivery securities. The Fund may only buy securities that are rated investment grade at the time of purchase by at least one major rating agency or, if unrated, determined by the management team to be of similar quality. The management team may, when consistent with the Funds investment objective, buy or sell options or futures on a security or an index of securities, or enter into interest rate or foreign currency transactions, including swaps (collectively, commonly known as derivatives). An option is the right to buy or sell a security or an index of securities at a specific price on or before a specific date. A future is an agreement to buy or sell a security or an index of securities at a specific price on a specific date. A swap is an agreement whereby one party exchanges its right to receive or its obligation to pay one type of interest or currency for another partys obligation to pay or its right to receive another type of interest or currency in the future or for a period of time. The management team typically uses derivatives as a substitute for taking a position in the underlying asset and/or as part of a strategy designed to reduce exposure to other risks, such as interest rate or currency risk. The Fund may engage in active and frequent trading of portfolio instruments to achieve its investment objective.
Top holdings
As of March 31, 2026 · N-PORT| Security | Ticker | Value | % of fund |
|---|---|---|---|
| FNCL 5 4/26 | — | $114.78M | 7.67% |
| FNCL 5.5 4/26 | — | $89.51M | 5.98% |
| FN MA5971 | — | $81.50M | 5.45% |
| FNCL 4 4/26 | — | $57.71M | 3.86% |
| FNCL 2.5 4/26 | — | $46.01M | 3.07% |
| FNCL 3 4/26 | — | $44.82M | 3.00% |
| FR RQ0041 | — | $42.72M | 2.85% |
| FNCL 6 4/26 | — | $42.48M | 2.84% |
| FNCI 4.5 4/25 | — | $39.54M | 2.64% |
| U.S. Treasury Bills | B | $39.34M | 2.63% |
Portfolio moves
Dec 31, 2025 → Mar 31, 2026How many positions this fund opened, exited, grew, trimmed, or left unchanged between its two most recent N-PORT snapshots — net changes between point-in-time reports, not a trade log.
Similar funds
Funds whose portfolios most overlap this one, by weight| Fund | Overlap | Net exp. |
|---|---|---|
| BlackRock Total Return Fund | 30% | 0.37% |
| iShares Mortgage-Backed Securities Active ETF | 30% | 0.25% |
| BlackRock Total Return V.I. Fund | 30% | 0.47% |
Advisers
| Firm | Role |
|---|---|
| BlackRock International Limited | Sub-adviser |
| BlackRock Advisors, LLC | Adviser |
Footnotes
- Expense ratio as of October 1, 2025, from the fund's prospectus.
- Net assets and holdings count as of March 31, 2026, from the fund's N-PORT filing.
- Total return for calendar year 2025, before tax and after fund expenses. Computed by compounding the twelve monthly total returns the fund reported in its SEC N-PORT filings for 2025 (the latest prospectus does not yet chart this year).
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