UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-21457

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Allocation Target Shares,
55 East 52^nd Street, New York, NY 10055

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

Date of fiscal year end: 03/31/2023

Date of reporting period: 09/30/2022

Item 1 – Report to Stockholders

(a) The Report to Shareholders is attached herewith.

BlackRock Allocation Target Shares

Table of Contents

Investment Objective

BATS: Series A Portfolio’s (the “Fund”) investment objective is to seek a high level of current income consistent with capital preservation.

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended September 30, 2022, the Fund outperformed its broad-based benchmark, the Bloomberg U.S. Universal Index, as well as its “Reference Benchmark” consisting of 50% Bloomberg U.S. Asset-Backed Securities Index and 50% Bloomberg Non-Agency Investment Grade CMBS Index. Shares of the Fund can be purchased or held only by or on behalf of (i) certain separately managed account clients; (ii) collective trust funds managed by BlackRock Institutional Trust Company N.A., an affiliate of the investment adviser, and (iii) mutual funds advised by BlackRock Advisors, LLC or its affiliates. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

Positive contributions to the Fund’s performance over the period were led by an allocation to commercial mortgage-backed securities (“CMBS”). Other contributors included the credit card segment within asset-backed securities (“ABS”), near-prime non-agency residential mortgage-backed securities (“RMBS”), mortgage derivatives, and bonds backed by single family rentals.

Holdings of ABS and non-agency RMBS detracted overall from performance, as did an allocation to collateralized loan obligations (“CLOs”). Some subsectors that detracted from performance include consumer loan ABS, student loan ABS, and CLOs in the AAA and BB ratings categories.

Describe recent portfolio activity.

Over the period the Fund modestly decreased exposure to non-agency RMBS and ABS while slightly increasing exposure to CLOs and CMBS. A key theme was a focus on shorter-maturity, higher-quality, senior risk.

The Fund’s cash position averaged 6.3% during the period and was 6.9% at the end of the period as some positions were sold into strength and the managers sought to be selective in redeploying assets. The Fund’s cash position did not have a material impact on performance.

Describe portfolio positioning at period end.

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

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

Performance

Expense Example

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

Portfolio Information

Investment Objective

BATS: Series C Portfolio’s (the “Fund”) investment objective is to seek to maximize total return, consistent with income generation and prudent investment management.

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended September 30, 2022, the Fund underperformed its benchmark, the Bloomberg U.S. Credit Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The Fund’s allocation to capital securities was the largest detractor from performance, followed by overweights in technology and automotive issuers. (Capital securities are dividend-paying securities that combine some features of both corporate bonds and preferred stocks, while generally providing higher yields to compensate for being less senior in the issuers’ capital structures.) The Fund’s allocation to fallen angels (investment-grade issues that were downgraded to high yield) also detracted from results. On the other hand, underweights in media/entertainment, life insurance, pharmaceutical and integrated energy issuers contributed positively.

Describe recent portfolio activity.

At the beginning of the reporting period, the investment adviser’s activity was centered on reducing risk given signs that monetary policy was starting to have a negative impact on economic growth. Specifically, the investment adviser rotated from sectors sensitive to credit spreads—such as capital securities, emerging market debt and fallen angels—to more defensive sectors such as utilities, taxable municipals and pharmaceuticals. As market volatility continued to rise, the investment adviser focused on selectively increasing the Fund’s issuer overweights and underweights with the expectation that the market would experience a higher dispersion of return across sectors and issuers. It added risk in communications and non-cyclical issues, while trimming in consumer-oriented areas such as retailers.

Outside of relative value trading, the investment adviser increased the Fund’s overweight in banks as heavy issuance in the primary market caused yield spreads to widen. The investment adviser also reduced the portfolio’s allocation to European banks due to the deteriorating outlook for economic growth in the region. With respect to duration (interest rate sensitivity), the Fund moved from an underweight versus the benchmark to an overweight after the sell-off that followed the Fed’s September 2022 meeting.

Describe portfolio positioning at period end.

The Fund’s largest overweights were in the banking, technology, midstream energy and automotive sectors, while its largest underweights were in the sovereign, media and entertainment, life insurance and pharmaceuticals sectors. The Fund’s duration was longer than that of the benchmark.

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

Performance

Expense Example

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

Portfolio Information

Investment Objective

BATS: Series E Portfolio’s (the “Fund”) investment objective is to seek to maximize Federal tax-free yield with a secondary goal of total return.

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended September 30, 2022, the Fund underperformed its broad-based benchmark, the Bloomberg Municipal High Yield Bond Index and its customized weighted index comprised of 65% Bloomberg Municipal Bond Index Total Return Index Value Unhedged/35% Bloomberg Municipal Bond: High Yield (non-Investment Grade) Total Return Index the (“Customized Reference Benchmark”). Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The Fund’s long duration positioning (above-average interest rate sensitivity) detracted in the rising-rate environment. Yield curve positioning also detracted due to holdings in bonds with maturities of 20 years and longer. Positions in securities with coupons below 5%, which tend to have above-average interest rate sensitivity, further hurt results. An overweight in high yield bonds was an additional detractor, as was the Fund’s use of leverage. On a sector basis, overweights in the education, development districts and healthcare sectors cost the Fund some relative performance.

Income was the leading contributor to results at a time in which bond prices generally declined. The Fund’s position in cash, while limited, nonetheless contributed given the negative return for the broader market. At the sector level, positions in school districts and local tax-backed issues helped relative performance.

The Fund actively sought to manage interest rate risk using U.S. Treasury futures. Since Treasury yields rose in response to the Fed’s shift to tighter monetary policy, this strategy contributed to results. (Prices and yields move in opposite directions.)

Describe recent portfolio activity.

The Fund maintained its long duration positioning throughout the period, although the use of U.S. Treasury futures reduced the portfolio’s interest rate sensitivity. The investment adviser picked up tax-loss harvesting activity as bond prices moved materially lower. In some cases, the investment adviser took the opportunity to add back to positions at higher yields.

Market volatility was elevated as markets grappled with rising inflation and more hawkish monetary policy, leading to outflows from municipal bond funds. In response, the investment adviser opted to keep an above-average weighting in cash to meet redemptions. When replenishing cash reserves, the investment adviser first sold its positions in more defensive market segments that had outperformed—such as pre-refunded bonds—and maintained holdings in those it believed had the highest potential for price appreciation.

The investment adviser sought to capitalize on rising yields by moving up in credit quality to capture the increasingly attractive yield spreads in higher-rated securities. The Fund’s weighting in higher-quality municipals rose as a result, while its allocation to lower-quality bonds declined.

At the sector level, the most notable increases occurred in corporate-backed and education issues. The largest decreases occurred in pre-refunded bonds and healthcare.

Describe portfolio positioning at period end.

The Fund remained long duration relative to the benchmark due to the more attractive yields and yield spreads available following the sell-off of the past year. It was overweight in longer-term bonds, specifically those with maturities of 20 years and above, as well as in non-investment-grade issues. Notable sector-level overweights included education (led by charter schools), development districts and healthcare. State tax-backed, local tax-backed and school districts were the largest underweights, highlighting the team’s preference for revenue sectors.

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

Performance

Expense Example

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

Portfolio Information

Investment Objective

BATS: Series M Portfolio’s (the “Fund”) investment objective is to seek to maximize total return, consistent with income generation and prudent investment management.

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended September 30, 2022, the Fund outperformed its benchmark, the Bloomberg MBS Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The largest contributors to the Fund’s performance included active positioning with respect to duration and corresponding interest rate sensitivity. The Fund’s active benchmark strategy, which implements relative value decisions between specified pools and to-be-announced securities (“TBAs”) versus the benchmark also contributed positively.

Detractors from the Fund’s relative performance over the period included interest rate volatility strategies and out-of-benchmark exposure to commercial mortgage-backed securities (“CMBS”).

Describe recent portfolio activity.

Within agency MBS, the Fund shifted to a defensive stance on lower coupons on the view that prepayment dynamics were unfavorable. The Fund’s allocation to CMBS was reduced modestly over the period while continuing to favor single-asset/single-borrower (“SASB”) issues.

The Fund’s cash position was 5.8% at period end and averaged 5.3% over the six-month period. The Fund’s cash position did not have a material impact on the Fund’s return for the period.

Describe portfolio positioning at period end.

The Fund was positioned overweight Agency MBS relative to the benchmark, on a view that MBS valuations are at historically attractive levels. Despite compelling valuations, the MBS overweight was modest in size in acknowledgment of the elevated state of macro uncertainty. Within the MBS sector, the Fund favored an overweight in higher coupons relative to an underweight in lower coupons. This coupon stack positioning was motivated by attractive relative value and an assessment that lower coupons remain vulnerable to slowing prepayment speeds and duration extension. The Fund also favored specified pools relative to TBAs, based on attractive relative valuations and a weakened outlook for TBA dollar rolls. Within securitized assets, the Fund favored high quality SASB CMBS, as well as Agency CMBS. The Fund closed the period positioned neutral duration with respect to the benchmark.

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

Performance

Expense Example

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

Portfolio Information

Investment Objective

BATS: Series P Portfolio’s (the “Fund”) investment objective is to seek to provide a duration that is the inverse of its benchmark.

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended September 30, 2022 the Fund outperformed the Bloomberg U.S. Treasury 7-10 Year Bond Index and the Bloomberg U.S. Bellwether 10 Year Swap Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

The use and cost of derivatives 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 given that bond yields moved higher in the period.

The Fund’s position in the Series S Portfolio—which was hurt by its holdings in the bond market’s spread sectors—detracted from performance.

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

Describe recent portfolio activity.

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

Describe portfolio positioning at period end.

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

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

Performance

Expense Example

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

Investment Objective

BATS: Series S Portfolio’s (the “Fund”) investment objective is to seek to maximize total return, consistent with income generation and prudent investment management.

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended September 30, 2022, the Fund underperformed its benchmark, the ICE BofA 1-3 Year U.S. Treasury Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

Securities that trade based off of their yield spreads over U.S. Treasuries suffered in an environment of rising yields and increasing investor risk aversion. The Fund’s out-of-benchmark allocations to investment-grade corporate bonds, commercial mortgage-backed securities (“CMBS”), mortgage-backed securities (“MBS”), emerging markets debt, asset-backed securities (“ABS”), and 15- and 30-year pass-throughs therefore detracted from performance. The Fund’s allocation to U.S. Treasuries contributed.

The Fund used derivatives to manage risk and adjust the portfolio’s interest-rate sensitivity, which marginally contributed to results. The Fund’s cash position had no material impact to performance.

Describe recent portfolio activity.

The Fund increased its allocations to ABS and reduced its allocations to U.S. Treasuries and corporate issues. The increase in ABS was primarily the result of additions in securities linked to prime auto and credit cards receivables that have been supported by continued strength in the consumer. Within the investment-grade corporate portfolio, the Fund reduced its allocations to the utilities and industrials sectors.

Describe portfolio positioning at period end.

The Fund was positioned with a neutral to long duration bias versus the benchmark (i.e., a higher sensitivity to interest-rate movements). Since the index is comprised solely of U.S. Treasuries, the Fund was overweight in all spread sectors but underweight in U.S. Treasuries.

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

Performance

Expense Example

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

Portfolio Information

Investment Objective

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

Portfolio Management Commentary

How did the Fund perform?

For the six-month period ended September 30, 2022, the Fund performed in line with its benchmark, the SIFMA Municipal Swap Index. Shares of the Fund can be purchased or held only by or on behalf of certain separately managed account clients. Comparisons of the Fund’s performance versus its benchmark index will differ from comparisons of the benchmark against the performance of the separately managed accounts.

What factors influenced performance?

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

Detractors from the Fund’s performance relative to the benchmark included a slightly longer stance with respect to duration (and corresponding interest rate sensitivity) with fixed rate exposure to tax-backed local and school district issues, as well as commercial paper holdings which had a maturity profile that did not keep pace with the Fed’s aggressive rate hikes. The Fund’s cash position had no material impact on performance.

Describe recent portfolio activity.

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

Describe portfolio positioning at period end.

The Fund’s duration position at period end remained modestly longer than the benchmark. The Fund maintained a defensive bias amid expectations for continued Fed rate hikes.

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

Performance

Expense Example

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

Portfolio Information

About Fund Performance

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

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

Disclosure of Expenses

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

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

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

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

The Benefits and Risks of Leveraging

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

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

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

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

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

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

Derivative Financial Instruments

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