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style="color:#000000;font-family:arial;font-size:9.30pt">The investment objective of the BATS: Corporate Credit Total Return Series (formerly known as </span><span style="color:#000000;font-family:arial;font-size:9.30pt">“</span><span style="color:#000000;font-family:arial;font-size:9.30pt">BATS: Series C </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Portfolio</span><span style="color:#000000;font-family:arial;font-size:9.30pt">”</span><span style="color:#000000;font-family:arial;font-size:9.30pt">) (the “Fund”) is to seek to maximize total return, consistent with income generation and prudent investment </span><span style="color:#000000;font-family:arial;font-size:9.30pt">management.</span></div> Fees and Expenses of the Fund <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">This table describes the fees and expenses that you may pay if you buy, hold and sell shares of the Fund. Amounts in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the table are rounded to the nearest basis point, which in some cases may be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">“</span><span style="color:#000000;font-family:arial;font-size:9.30pt">0.00.</span><span style="color:#000000;font-family:arial;font-size:9.30pt">”</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span><span style="color:#000000;font-family:arial;font-size:1pt;line-height:0.93pt"> </span></div> Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) 0 0 0.0010 0.0010 -0.0010 0.0000 Example: <div style="line-height:10.695pt;margin-top:0.0pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">This Example is intended to help you compare the cost of investing in the Fund with the cost of investing in other </span><span style="color:#000000;font-family:arial;font-size:9.30pt">mutual funds. The Example assumes that you invest $10,000 in the Fund for the time periods indicated and then </span><span style="color:#000000;font-family:arial;font-size:9.30pt">redeem all of your shares at the end of those periods. The Example also assumes that your investment has a 5% </span><span style="color:#000000;font-family:arial;font-size:9.30pt">return each year and that the Fund’s operating expenses remain the same. Although your actual costs may be higher </span><span style="color:#000000;font-family:arial;font-size:9.30pt">or lower, based on these assumptions your costs would be:</span><span style="color:#000000;font-family:arial;font-size:1pt;line-height:0.93pt"> </span></div> 0 0 0 0 Portfolio Turnover: <div style="line-height:10.695pt;margin-top:0.0pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its </span><span style="color:#000000;font-family:arial;font-size:9.30pt">portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shares are held in a taxable account. These costs, which are not reflected in annual fund operating expenses or in the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Example, affect the Fund’s performance. During the most recent fiscal year, the Fund’s portfolio turnover rate was </span><span style="color:#000000;font-family:arial;font-size:9.30pt">158</span><span style="color:#000000;font-family:arial;font-size:9.30pt">% of the average value of its portfolio.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> 1.58 Principal Investment Strategies of the Fund <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Under normal circumstances, the Fund invests at least 80% of its total assets in corporate fixed-income instruments </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and derivatives that provide investment exposure to such instruments or to one or more market risk factors associated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">with such instruments. The corporate fixed-income instruments in which the Fund may invest include, but are not </span><span style="color:#000000;font-family:arial;font-size:9.30pt">limited to, corporate bonds, notes and debentures of U.S. and non-U.S. issuers.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may also purchase asset-backed securities; commercial and residential mortgage-backed securities; </span><span style="color:#000000;font-family:arial;font-size:9.30pt">obligations of non-U.S. governments and supra-national organizations, such as the International Bank for </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Reconstruction and Development (the “World Bank”), which are chartered to promote economic development; </span><span style="color:#000000;font-family:arial;font-size:9.30pt">collateralized mortgage obligations; U.S. Treasury and agency securities; cash equivalent investments; and when-issued</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> and delayed delivery securities. Depending on market conditions, the Fund may invest in other market sectors. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may also enter into repurchase agreements and reverse repurchase agreements and purchase restricted </span><span style="color:#000000;font-family:arial;font-size:9.30pt">securities.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may only buy securities that are rated investment grade at the time of purchase by at least one major rating </span><span style="color:#000000;font-family:arial;font-size:9.30pt">agency or, if unrated, determined by the management team to be of similar quality.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The management team may, when consistent with the Fund’s investment objective, buy or sell options or futures on a </span><span style="color:#000000;font-family:arial;font-size:9.30pt">security or an index of securities, or enter into interest rate or foreign currency transactions, including swaps </span><span style="color:#000000;font-family:arial;font-size:9.30pt">(collectively, commonly known as derivatives). An option is the right to buy or sell a security or an index of securities at </span><span style="color:#000000;font-family:arial;font-size:9.30pt">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 </span><span style="color:#000000;font-family:arial;font-size:9.30pt">at a specific price on a specific date. A swap is an agreement whereby one party exchanges its right to receive or its </span><span style="color:#000000;font-family:arial;font-size:9.30pt">obligation to pay one type of interest or currency for another party’s obligation to pay or its right to receive another </span><span style="color:#000000;font-family:arial;font-size:9.30pt">type of interest or currency in the future or for a period of time. The management team typically uses derivatives as a </span><span style="color:#000000;font-family:arial;font-size:9.30pt">substitute for taking a position in the underlying asset and/or as part of a strategy designed to reduce exposure to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">other risks, such as interest rate or currency risk.</span></div> Under normal circumstances, the Fund invests at least 80% of its total assets in corporate fixed-income instruments and derivatives that provide investment exposure to such instruments or to one or more market risk factors associated with such instruments. The corporate fixed-income instruments in which the Fund may invest include, but are not limited to, corporate bonds, notes and debentures of U.S. and non-U.S. issuers. You may lose part or all of your investment in the Fund or your investment may not perform as well as other similar investments. <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Debt Securities Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Debt securities, such as bonds, involve risks, such as credit risk, interest rate risk, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">extension risk, and prepayment risk, each of which are described in further detail below:</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Credit Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will not be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">able to make payments of interest and principal when due. Changes in an issuer’s credit rating or the market’s </span><span style="color:#000000;font-family:arial;font-size:9.30pt">perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. The </span><span style="color:#000000;font-family:arial;font-size:9.30pt">degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation.</span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Interest Rate Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The market value of bonds and other fixed-income securities changes in response to interest </span><span style="color:#000000;font-family:arial;font-size:9.30pt">rate changes and other factors. Interest rate risk is the risk that prices of bonds and other fixed-income securities </span><span style="color:#000000;font-family:arial;font-size:9.30pt">will increase as interest rates fall and decrease as interest rates rise.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may be subject to a greater risk of rising interest rates during a period of historically low interest rates. For </span><span style="color:#000000;font-family:arial;font-size:9.30pt">example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors </span><span style="color:#000000;font-family:arial;font-size:9.30pt">being equal, the value of the Fund’s investments would be expected to decrease by 10%. (Duration is a measure of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the price sensitivity of a debt security or portfolio of debt securities to relative changes in interest rates.) The </span><span style="color:#000000;font-family:arial;font-size:9.30pt">magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater </span><span style="color:#000000;font-family:arial;font-size:9.30pt">for those securities with longer maturities. Fluctuations in the market price of the Fund’s investments will not affect </span><span style="color:#000000;font-family:arial;font-size:9.30pt">interest income derived from instruments already owned by the Fund, but will be reflected in the Fund’s net asset </span><span style="color:#000000;font-family:arial;font-size:9.30pt">value. The Fund may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund management.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">To the extent the Fund invests in debt securities that may be prepaid at the option of the obligor (such as mortgage-backed</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> securities), the sensitivity of such securities to changes in interest rates may increase (to the detriment of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund) when interest rates rise. Moreover, because rates on certain floating rate debt securities typically reset </span><span style="color:#000000;font-family:arial;font-size:9.30pt">only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">expected to cause some fluctuations in the net asset value of the Fund to the extent that it invests in floating rate </span><span style="color:#000000;font-family:arial;font-size:9.30pt">debt securities.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="line-height:10.695pt;margin-left:12pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">These basic principles of bond prices also apply to U.S. Government securities. A security backed by the “full faith </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and credit” of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not </span><span style="color:#000000;font-family:arial;font-size:9.30pt">its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">value when interest rates change.</span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large </span><span style="color:#000000;font-family:arial;font-size:9.30pt">scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy </span><span style="color:#000000;font-family:arial;font-size:9.30pt">redemptions could cause the Fund to sell assets at inopportune times or at a loss or depressed value and could </span><span style="color:#000000;font-family:arial;font-size:9.30pt">hurt the Fund’s performance.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Extension Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — When interest rates rise, certain obligations will be paid off by the obligor more slowly than </span><span style="color:#000000;font-family:arial;font-size:9.30pt">anticipated, causing the value of these obligations to fall.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Prepayment Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — When interest rates fall, certain obligations will be paid off by the obligor more quickly than </span><span style="color:#000000;font-family:arial;font-size:9.30pt">originally anticipated, and the Fund may have to invest the proceeds in securities with lower yields.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.0pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">U.S. Government Issuer Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">—</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> Treasury obligations may differ in their interest rates, maturities, times of issuance </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and other characteristics. Obligations of U.S. Government agencies and authorities are supported by varying </span><span style="color:#000000;font-family:arial;font-size:9.30pt">degrees of credit but generally are not backed by the full faith and credit of the U.S. Government. No assurance can </span><span style="color:#000000;font-family:arial;font-size:9.30pt">be given that the U.S. Government will provide financial support to its agencies and authorities if it is not obligated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">by law to do so.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.0pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Foreign Securities Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Foreign investments often involve special risks not present in U.S. investments that can </span><span style="color:#000000;font-family:arial;font-size:9.30pt">increase the chances that the Fund will lose money. These risks include:</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;margin-left:12pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:493.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund generally holds its foreign securities and cash in foreign banks and securities depositories, which may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">be recently organized or new to the foreign custody business and may be subject to only limited or no regulatory </span><span style="color:#000000;font-family:arial;font-size:9.30pt">oversight.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;margin-left:12pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:493.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Changes in foreign currency exchange rates can affect the value of the Fund’s portfolio.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;margin-left:12pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:493.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The economies of certain foreign markets may not compare favorably with the economy of the United States with </span><span style="color:#000000;font-family:arial;font-size:9.30pt">respect to such issues as growth of gross national product, reinvestment of capital, resources and balance of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">payments position.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;margin-left:12pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:493.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The governments of certain countries, or the U.S. Government with respect to certain countries, may prohibit or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">impose substantial restrictions through capital controls and/or sanctions on foreign investments in the capital </span><span style="color:#000000;font-family:arial;font-size:9.30pt">markets or certain industries in those countries, which may prohibit or restrict the ability to own or transfer </span><span style="color:#000000;font-family:arial;font-size:9.30pt">currency, securities, derivatives or other assets.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;margin-left:12pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:493.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Many foreign governments do not supervise and regulate stock exchanges, brokers and the sale of securities to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the same extent as does the United States and may not have laws to protect investors that are comparable to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">U.S. securities laws.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;margin-left:12pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:493.0pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Settlement and clearance procedures in certain foreign markets may result in delays in payment for or delivery of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">securities not typically associated with settlement and clearance of U.S. investments.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;margin-left:12pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:493.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund’s claims to recover foreign withholding taxes may not be successful, and if the likelihood of recovery of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">foreign withholding taxes materially decreases, due to, for example, a change in tax regulation or approach in the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">foreign country, accruals in the Fund’s net asset value for such refunds may be written down partially or in full, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">which will adversely affect the Fund’s net asset value.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.0pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Derivatives Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The Fund’s use of derivatives may increase its costs, reduce the Fund’s returns and/or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">increase volatility. Derivatives involve significant risks, including:</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Leverage Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The Fund’s use of derivatives can magnify the Fund’s gains and losses. Relatively small market </span><span style="color:#000000;font-family:arial;font-size:9.30pt">movements may result in large changes in the value of a derivatives position and can result in losses that greatly </span><span style="color:#000000;font-family:arial;font-size:9.30pt">exceed the amount originally invested.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Market Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Some derivatives are more sensitive to interest rate changes and market price fluctuations than </span><span style="color:#000000;font-family:arial;font-size:9.30pt">other securities. The Fund could also suffer losses related to its derivatives positions as a result of unanticipated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">market movements, which losses are potentially unlimited. Finally, BlackRock may not be able to predict correctly </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the direction of securities prices, interest rates and other economic factors, which could cause the Fund’s </span><span style="color:#000000;font-family:arial;font-size:9.30pt">derivatives positions to lose value.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Counterparty Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Derivatives are also subject to counterparty risk, which is the risk that the other party in the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">transaction will be unable or unwilling to fulfill its contractual obligation, and the related risks of having concentrated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">exposure to such a counterparty.</span></div><div style="line-height:10.695pt;margin-left:12pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Illiquidity Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more </span><span style="color:#000000;font-family:arial;font-size:9.30pt">difficult for the Fund to value accurately.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Operational Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The use of derivatives includes the risk of potential operational issues, including documentation </span><span style="color:#000000;font-family:arial;font-size:9.30pt">issues, settlement issues, systems failures, inadequate controls and human error.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Legal Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The risk of insufficient documentation, insufficient capacity or authority of counterparty, or legality or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">enforceability of a contract.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Volatility and Correlation Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Volatility is defined as the characteristic of a security, an index or a market to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">fluctuate significantly in price within a short time period. A risk of the Fund’s use of derivatives is that the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">fluctuations in their values may not correlate with the overall securities markets.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Valuation Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Valuation for derivatives may not be readily available in the market. Valuation may be more difficult </span><span style="color:#000000;font-family:arial;font-size:9.30pt">in times of market turmoil since many investors and market makers may be reluctant to purchase complex </span><span style="color:#000000;font-family:arial;font-size:9.30pt">instruments or quote prices for them.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Hedging Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Hedges are sometimes subject to imperfect matching between the derivative and the underlying </span><span style="color:#000000;font-family:arial;font-size:9.30pt">security, and there can be no assurance that the Fund’s hedging transactions will be effective. The use of hedging </span><span style="color:#000000;font-family:arial;font-size:9.30pt">may result in certain adverse tax consequences.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Tax Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Certain aspects of the tax treatment of derivative instruments, including swap agreements and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment in an underlying asset and may adversely affect the timing, character and amount of income the Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">realizes from its investments.</span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Industrials Sector Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">—</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> Companies in the industrials sector may be adversely affected by changes in the supply </span><span style="color:#000000;font-family:arial;font-size:9.30pt">of and demand for products and services, product obsolescence claims, and changes in general economic </span><span style="color:#000000;font-family:arial;font-size:9.30pt">conditions, among other factors.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Illiquid Investments Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— The Fund may not acquire any illiquid investment if, immediately after the acquisition, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund would have invested more than 15% of its net assets in illiquid investments. An illiquid investment is any </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven </span><span style="color:#000000;font-family:arial;font-size:9.30pt">calendar days or less without the sale or disposition significantly changing the market value of the investment. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Liquid investments may become illiquid after purchase by the Fund, particularly during periods of market turmoil. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">There can be no assurance that a security or instrument that is deemed to be liquid when purchased will continue </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to be liquid for as long as it is held by the Fund, and any security or instrument held by the Fund may be deemed an </span><span style="color:#000000;font-family:arial;font-size:9.30pt">illiquid investment pursuant to the Fund’s liquidity risk management program. The Fund’s illiquid investments may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">reduce the returns of the Fund because it may be difficult to sell the illiquid investments at an advantageous time </span><span style="color:#000000;font-family:arial;font-size:9.30pt">or price. In addition, if the Fund is limited in its ability to dispose of illiquid investments during periods when </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shareholders are redeeming or selling their shares or the Fund’s net assets otherwise shrink, the Fund will need to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">dispose of liquid securities to meet redemption requests and illiquid securities will become a larger portion of the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund’s holdings. An investment may be illiquid due to, among other things, the reduced number and capacity of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">traditional market participants to make a market in fixed-income securities or the lack of an active trading market. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">To the extent that the Fund’s principal investment strategies involve derivatives or securities with substantial market </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and/or credit risk, the Fund will tend to have greater exposure to the risks associated with illiquid investments. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Illiquid investments may be harder to value, especially in changing markets, and if the Fund is forced to sell these </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investments to meet redemption requests or for other cash needs, the Fund may suffer a loss. This may be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">magnified in a rising interest rate environment or other circumstances where investor redemptions or sales of Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shares may be higher than normal. In addition, when there is illiquidity in the market for certain securities, the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund, due to limitations on illiquid investments, may be subject to purchase and sale restrictions.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Leverage Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Some transactions may give rise to a form of economic leverage. These transactions may include, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">among others, derivatives, and may expose the Fund to greater risk and increase its costs. The use of leverage may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">cause the Fund to liquidate portfolio positions when it may not be advantageous to do so to satisfy its obligations or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to meet the applicable requirements of the Investment Company Act of 1940, as amended (the “Investment </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Company Act”), and the rules thereunder. Increases and decreases in the value of the Fund’s portfolio will be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">magnified when the Fund uses leverage.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Market Risk and Selection Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Market risk is the risk that one or more markets in which the Fund invests will </span><span style="color:#000000;font-family:arial;font-size:9.30pt">go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a </span><span style="color:#000000;font-family:arial;font-size:9.30pt">security or other asset may decline due to changes in general market conditions, economic trends or events that </span><span style="color:#000000;font-family:arial;font-size:9.30pt">are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or </span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="line-height:10.695pt;margin-left:12pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health </span><span style="color:#000000;font-family:arial;font-size:9.30pt">issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Fund and its </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investments. Selection risk is the risk that the securities selected by Fund management will underperform the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">markets, the relevant indices or the securities selected by other funds with similar investment objectives and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment strategies. This means you may lose money.</span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Recent policy initiatives undertaken by the U.S. government have the potential to impact international relations, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">trade agreements and the overall regulatory environment in ways that could create uncertainty and instability in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">domestic and global markets, and could adversely affect the investment performance of the Fund. In particular, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">actions taken by the U.S. government in respect of international trade relations could lead to trade wars, increased </span><span style="color:#000000;font-family:arial;font-size:9.30pt">costs for imported goods, disruptions in supply chains, reduced foreign investment, and instability in regions where </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund invests.</span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Mortgage- and Asset-Backed Securities Risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Mortgage- and asset-backed securities represent interests in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">“pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-</span><span style="color:#000000;font-family:arial;font-size:9.30pt">backed securities are subject to credit, interest rate, prepayment and extension risks. These securities also are </span><span style="color:#000000;font-family:arial;font-size:9.30pt">subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">certain mortgage-backed securities.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Operational and Technology Risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— The Fund is directly and indirectly susceptible to operational and technology </span><span style="color:#000000;font-family:arial;font-size:9.30pt">risks, including those related to human errors, processing errors, communication errors, systems failures, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">cybersecurity incidents, and the use of artificial intelligence and machine learning (“AI”), which may result in losses </span><span style="color:#000000;font-family:arial;font-size:9.30pt">for the Fund and its shareholders or may impair the Fund’s operations. While the Fund’s service providers are </span><span style="color:#000000;font-family:arial;font-size:9.30pt">required to have appropriate operational, information security and cybersecurity risk management policies and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">procedures, their methods of risk management may differ from those of the Fund. Operational and technology risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt">for the issuers in which the Fund invests could also result in material adverse consequences for such issuers and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">may cause the Fund’s investments in such issuers to lose value.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Repurchase Agreements and Purchase and Sale Contracts Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — If the other party to a repurchase agreement or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">purchase and sale contract defaults on its obligation under the agreement, the Fund may suffer delays and incur </span><span style="color:#000000;font-family:arial;font-size:9.30pt">costs or lose money in exercising its rights under the agreement. If the seller fails to repurchase the security in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">either situation and the market value of the security declines, the Fund may lose money.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Restricted Securities Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Limitations on the resale, including any required lock up or holding periods, of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">restricted securities may have an adverse effect on their marketability and their liquidity, and may prevent the Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">from disposing of them promptly at advantageous prices, if at all. Restricted securities may not be listed on an </span><span style="color:#000000;font-family:arial;font-size:9.30pt">exchange and may have no active trading market. In order to sell certain restricted securities, the Fund may have to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">bear the expense of registering the securities for resale and the risk of substantial delays in effecting the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">registration. Other transaction costs may be higher for restricted securities than unrestricted securities. Restricted </span><span style="color:#000000;font-family:arial;font-size:9.30pt">securities may be difficult to value because market quotations may not be readily available, there may be limited </span><span style="color:#000000;font-family:arial;font-size:9.30pt">other information regarding the investment’s market or fair value, and the securities’ values may have significant </span><span style="color:#000000;font-family:arial;font-size:9.30pt">volatility. Also, the Fund may get only limited information about the issuer of a given restricted security, and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">therefore may be less able to determine the security’s market or fair value or assess the investment risks as fully </span><span style="color:#000000;font-family:arial;font-size:9.30pt">as for other issuers for which more information is available. Certain restricted securities may involve a high degree </span><span style="color:#000000;font-family:arial;font-size:9.30pt">of business and financial risk and may result in substantial losses to the Fund. Certain restricted securities may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">represent limited investment opportunities and each shareholder’s proportionate investment exposure to such </span><span style="color:#000000;font-family:arial;font-size:9.30pt">limited investment opportunities may be reduced proportionately as the Fund’s net assets grow from new or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">additional investments made in the Fund by other shareholders.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Reverse Repurchase Agreements Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Reverse repurchase agreements involve the sale of securities held by the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. Reverse </span><span style="color:#000000;font-family:arial;font-size:9.30pt">repurchase agreements involve the risk that the other party may fail to return the securities in a timely manner or at </span><span style="color:#000000;font-family:arial;font-size:9.30pt">all. The Fund could lose money if it is unable to recover the securities and the value of the collateral held by the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund, including the value of the investments made with cash collateral, is less than the value of the securities. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">These events could also trigger adverse tax consequences for the Fund. In addition, reverse repurchase agreements </span><span style="color:#000000;font-family:arial;font-size:9.30pt">involve the risk that the interest income earned in the investment of the proceeds will be less than the interest </span><span style="color:#000000;font-family:arial;font-size:9.30pt">expense.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Sovereign Debt Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">—</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> Sovereign debt instruments are subject to the risk that a governmental entity may delay or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient </span><span style="color:#000000;font-family:arial;font-size:9.30pt">foreign currency reserves, political considerations, the relative size of the governmental entity’s debt position in </span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="line-height:10.695pt;margin-left:12pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">or other multilateral agencies.</span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Supranational Entities Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The Fund may invest in obligations issued or guaranteed by the World Bank. The </span><span style="color:#000000;font-family:arial;font-size:9.30pt">government members, or “stockholders,” usually make initial capital contributions to the World Bank and in many </span><span style="color:#000000;font-family:arial;font-size:9.30pt">cases are committed to make additional capital contributions if the World Bank is unable to repay its borrowings. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">There is no guarantee that one or more stockholders of the World Bank will continue to make any necessary </span><span style="color:#000000;font-family:arial;font-size:9.30pt">additional capital contributions. If such contributions are not made, the entity may be unable to pay interest or repay </span><span style="color:#000000;font-family:arial;font-size:9.30pt">principal on its debt securities, and the Fund may lose money on such investments.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">When-Issued and Delayed Delivery Securities and Forward Commitments Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— When-issued and delayed </span><span style="color:#000000;font-family:arial;font-size:9.30pt">delivery securities and forward commitments involve the risk that the security the Fund buys will lose value prior to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">its delivery. There also is the risk that the security will not be issued or that the other party to the transaction will </span><span style="color:#000000;font-family:arial;font-size:9.30pt">not meet its obligation. If this occurs, the Fund may lose both the investment opportunity for the assets it set aside </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to pay for the security and any gain in the security’s price.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> Performance Information <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The information shows you how the Fund’s performance has varied year by year and provides some indication of the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">risks of investing in the Fund. The table compares the Fund’s performance to that of the Bloomberg U.S. Aggregate </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Bond Index and the Bloomberg U.S. Credit Index. The Bloomberg U.S. Credit Index is relevant to the Fund because it </span><span style="color:#000000;font-family:arial;font-size:9.30pt">has characteristics similar to the Fund’s investment strategies. To the extent that dividends and distributions have </span><span style="color:#000000;font-family:arial;font-size:9.30pt">been paid by the Fund, the performance information for the Fund in the chart and table assumes reinvestment of the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">dividends and distributions. As with all such investments, past performance (before and after taxes) is not an </span><span style="color:#000000;font-family:arial;font-size:9.30pt">indication of future results. The table includes all applicable fees. If the Fund’s investment manager and its affiliates </span><span style="color:#000000;font-family:arial;font-size:9.30pt">had not waived or reimbursed certain Fund expenses during these periods, the Fund’s returns would have been lower. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Updated information on the Fund’s performance, including its current net asset value, can be obtained by visiting </span><span style="color:#000000;font-family:arial;font-size:9.30pt">http://www.blackrock.com or can be obtained by phone at 800-882-0052.</span></div> The information shows you how the Fund’s performance has varied year by year and provides some indication of the risks of investing in the Fund. The table compares the Fund’s performance to that of the Bloomberg U.S. Aggregate Bond Index and the Bloomberg U.S. Credit Index. The Bloomberg U.S. Credit Index is relevant to the Fund because it has characteristics similar to the Fund’s investment strategies. As with all such investments, past performance (before and after taxes) is not an indication of future results. http://www.blackrock.com 800-882-0052 ANNUAL TOTAL RETURNS BATS: Corporate Credit Total Return Series As of 12/31 <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">During the ten-year period shown in the bar chart, the highest return for a quarter was 8.87% (quarter ended </span><span style="color:#000000;font-family:arial;font-size:9.30pt">June 30, 2020) and the lowest return for a quarter was -7.31% (quarter ended March 31, 2022). The year-to-date </span><span style="color:#000000;font-family:arial;font-size:9.30pt">return as of June 30, 2026 was 1.04%.</span><span style="color:#000000;font-family:arial;font-size:1pt;line-height:0.93pt"> </span></div> highest return 0.0887 2020-06-30 lowest return -0.0731 2022-03-31 year-to-date return 2026-06-30 0.0104 For the periods ended 12/31/25Average Annual Total Returns 0.0795 0.0024 0.0356 0.0564 -0.0151 0.0175 0.0466 -0.0055 0.0200 0.0730 -0.0036 0.0201 0.0783 -0.0005 0.0315 <div style="line-height:10.695pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not </span><span style="color:#000000;font-family:arial;font-size:9.30pt">reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through </span><span style="color:#000000;font-family:arial;font-size:9.30pt">tax-deferred arrangements, such as 401(k) plans or individual retirement accounts.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through tax-deferred arrangements, such as 401(k) plans or individual retirement accounts. Fund Overview Key Facts About BATS: High Income Municipal Series Investment Objective The investment objective of the BATS: High Income Municipal Series (formerly known as “BATS: Series E Portfolio”) (the “Fund”) is to seek to maximize Federal tax-free yield with a secondary goal of total return. Fees and Expenses of the Fund <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">This table describes the fees and expenses that you may pay if you buy, hold and sell shares of the Fund. Amounts in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the table are rounded to the nearest basis point, which in some cases may be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">“</span><span style="color:#000000;font-family:arial;font-size:9.30pt">0.00.</span><span style="color:#000000;font-family:arial;font-size:9.30pt">”</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span><span style="color:#000000;font-family:arial;font-size:1pt;line-height:0.93pt"> </span></div> Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) 0 0 0.0023 0.0007 0.0016 0.0023 -0.0007 0.0016 Example: <div style="line-height:10.695pt;margin-top:0.0pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">This Example is intended to help you compare the cost of investing in the Fund with the cost of investing in other </span><span style="color:#000000;font-family:arial;font-size:9.30pt">mutual funds. The Example assumes that you invest $10,000 in the Fund for the time periods indicated and then </span><span style="color:#000000;font-family:arial;font-size:9.30pt">redeem all of your shares at the end of those periods. The Example also assumes that your investment has a 5% </span><span style="color:#000000;font-family:arial;font-size:9.30pt">return each year and that the Fund’s operating expenses remain the same. Although your actual costs may be higher </span><span style="color:#000000;font-family:arial;font-size:9.30pt">or lower, based on these assumptions your costs would be:</span><span style="color:#000000;font-family:arial;font-size:1pt;line-height:0.93pt"> </span></div> 16 52 90 205 Portfolio Turnover: <div style="line-height:10.695pt;margin-top:0.0pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its </span><span style="color:#000000;font-family:arial;font-size:9.30pt">portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shares are held in a taxable account. These costs, which are not reflected in annual fund operating expenses or in the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Example, affect the Fund’s performance. During the most recent fiscal year, the Fund’s portfolio turnover rate was </span><span style="color:#000000;font-family:arial;font-size:9.30pt">36</span><span style="color:#000000;font-family:arial;font-size:9.30pt">% of the average value of its portfolio.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> 0.36 Principal Investment Strategies of the Fund <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Under normal circumstances, the Fund seeks to invest at least 80% of its net assets, plus the amount of any </span><span style="color:#000000;font-family:arial;font-size:9.30pt">borrowings for investment purposes, in investments the income of which is free from federal income tax and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">derivatives that provide investment exposure to such securities or to one or more market risk factors associated with </span><span style="color:#000000;font-family:arial;font-size:9.30pt">such securities.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund seeks to provide investors with greater federal tax-free income, in comparison with other municipal bond </span><span style="color:#000000;font-family:arial;font-size:9.30pt">funds that invest primarily in investment grade securities, by investing in a combination of investment grade and non-investment</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> grade municipal bonds. Municipal bonds include debt obligations issued by or on behalf of a governmental </span><span style="color:#000000;font-family:arial;font-size:9.30pt">entity or other qualifying issuer that pay interest that is, in the opinion of bond counsel to the issuer, generally </span><span style="color:#000000;font-family:arial;font-size:9.30pt">excludable from gross income for federal income tax purposes (except that the interest may be includable in taxable </span><span style="color:#000000;font-family:arial;font-size:9.30pt">income for purposes of the federal alternative minimum tax). Issuers of municipal bonds may be states, territories and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">possessions of the United States and the District of Columbia and their political subdivisions, agencies and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">instrumentalities. Municipal bonds also include private activity bonds, short-term tax-exempt obligations like municipal </span><span style="color:#000000;font-family:arial;font-size:9.30pt">notes and variable rate demand obligations.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may invest in municipal bonds rated in any rating category or in unrated municipal bonds. Currently, the Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">expects to invest approximately 50% of its net assets in below investment grade municipal bonds. While the level of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund’s investments in below investment grade municipal bonds may vary depending on market conditions, the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund will not invest more than 70% of its net assets, at the time of purchase, in below investment grade municipal </span><span style="color:#000000;font-family:arial;font-size:9.30pt">bonds, as rated by the independent rating agencies at the time of purchase (BB or lower by S&amp;P Global Ratings </span><span style="color:#000000;font-family:arial;font-size:9.30pt">(“S&amp;P”) and Fitch Ratings, Inc. (“Fitch”), and Ba or lower by Moody’s Investors Service, Inc. (“Moody’s”)), or if unrated, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">determined to be of comparable quality by Fund management. Obligations rated BB or lower and Ba or lower are </span><span style="color:#000000;font-family:arial;font-size:9.30pt">commonly known as “junk bonds.” Split rated bonds will be considered to have the higher credit rating. Split rated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">bonds are bonds that receive different ratings from two or more rating agencies.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund is permitted to engage in transactions in certain derivatives, including, but not limited to, financial futures </span><span style="color:#000000;font-family:arial;font-size:9.30pt">contracts and options thereon, options, indexed and inverse floating rate obligations and swap agreements, including </span><span style="color:#000000;font-family:arial;font-size:9.30pt">credit default swap agreements. Derivatives are financial instruments whose value is derived from another security or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">an index . The Fund may use derivative instruments to hedge its investments or to seek to enhance returns. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Derivatives may allow the Fund to increase or decrease its risk exposure more quickly and efficiently than other types </span><span style="color:#000000;font-family:arial;font-size:9.30pt">of instruments. The Fund is not required to use hedging and may choose not to do so.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund intends to invest so that no more than 25% of the Fund’s net assets are represented by the municipal </span><span style="color:#000000;font-family:arial;font-size:9.30pt">securities of issuers located in the same state.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may also invest up to 10% of its net assets in municipal bonds that are considered “distressed securities.” </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Distressed securities are securities that are the subject of bankruptcy proceedings or otherwise in default as to the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">repayment of principal and/or payment of interest at the time of acquisition or are rated in the lowest rating categories </span><span style="color:#000000;font-family:arial;font-size:9.30pt">by the independent rating agencies (CC or lower by S&amp;P and Fitch, and Ca or lower by Moody’s), or if unrated, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">determined to be of comparable quality by Fund management. Generally, the Fund will invest in distressed securities </span><span style="color:#000000;font-family:arial;font-size:9.30pt">when Fund management believes they offer significant potential for higher returns or can be exchanged for other </span><span style="color:#000000;font-family:arial;font-size:9.30pt">securities that offer this potential. However, there can be no assurance that the Fund will achieve these returns or that </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the issuer will make an exchange offer or adopt a plan of reorganization.</span></div> <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Under normal circumstances, the Fund seeks to invest at least 80% of its net assets, plus the amount of any </span><span style="color:#000000;font-family:arial;font-size:9.30pt">borrowings for investment purposes, in investments the income of which is free from federal income tax and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">derivatives that provide investment exposure to such securities or to one or more market risk factors associated with </span><span style="color:#000000;font-family:arial;font-size:9.30pt">such securities.</span></div> <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund seeks to provide investors with greater federal tax-free income, in comparison with other municipal bond </span><span style="color:#000000;font-family:arial;font-size:9.30pt">funds that invest primarily in investment grade securities, by investing in a combination of investment grade and non-investment</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> grade municipal bonds. Municipal bonds include debt obligations issued by or on behalf of a governmental </span><span style="color:#000000;font-family:arial;font-size:9.30pt">entity or other qualifying issuer that pay interest that is, in the opinion of bond counsel to the issuer, generally </span><span style="color:#000000;font-family:arial;font-size:9.30pt">excludable from gross income for federal income tax purposes (except that the interest may be includable in taxable </span><span style="color:#000000;font-family:arial;font-size:9.30pt">income for purposes of the federal alternative minimum tax). Issuers of municipal bonds may be states, territories and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">possessions of the United States and the District of Columbia and their political subdivisions, agencies and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">instrumentalities. Municipal bonds also include private activity bonds, short-term tax-exempt obligations like municipal </span><span style="color:#000000;font-family:arial;font-size:9.30pt">notes and variable rate demand obligations.</span></div> <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may invest in municipal bonds rated in any rating category or in unrated municipal bonds. Currently, the Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">expects to invest approximately 50% of its net assets in below investment grade municipal bonds. While the level of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund’s investments in below investment grade municipal bonds may vary depending on market conditions, the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund will not invest more than 70% of its net assets, at the time of purchase, in below investment grade municipal </span><span style="color:#000000;font-family:arial;font-size:9.30pt">bonds, as rated by the independent rating agencies at the time of purchase (BB or lower by S&amp;P Global Ratings </span><span style="color:#000000;font-family:arial;font-size:9.30pt">(“S&amp;P”) and Fitch Ratings, Inc. (“Fitch”), and Ba or lower by Moody’s Investors Service, Inc. (“Moody’s”)), or if unrated, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">determined to be of comparable quality by Fund management. Obligations rated BB or lower and Ba or lower are </span><span style="color:#000000;font-family:arial;font-size:9.30pt">commonly known as “junk bonds.” Split rated bonds will be considered to have the higher credit rating. Split rated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">bonds are bonds that receive different ratings from two or more rating agencies.</span></div> You may lose part or all of your investment in the Fund or your investment may not perform as well as other similar investments. <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Debt Securities Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Debt securities, such as bonds, involve risks, such as credit risk, interest rate risk, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">extension risk, and prepayment risk, each of which are described in further detail below:</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Credit Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will not be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">able to make payments of interest and principal when due. Changes in an issuer’s credit rating or the market’s </span><span style="color:#000000;font-family:arial;font-size:9.30pt">perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. The </span><span style="color:#000000;font-family:arial;font-size:9.30pt">degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation.</span></div><div style="line-height:10.695pt;margin-left:12pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Interest Rate Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The market value of bonds and other fixed-income securities changes in response to interest </span><span style="color:#000000;font-family:arial;font-size:9.30pt">rate changes and other factors. Interest rate risk is the risk that prices of bonds and other fixed-income securities </span><span style="color:#000000;font-family:arial;font-size:9.30pt">will increase as interest rates fall and decrease as interest rates rise.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may be subject to a greater risk of rising interest rates during a period of historically low interest rates. For </span><span style="color:#000000;font-family:arial;font-size:9.30pt">example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors </span><span style="color:#000000;font-family:arial;font-size:9.30pt">being equal, the value of the Fund’s investments would be expected to decrease by 10%. (Duration is a measure of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the price sensitivity of a debt security or portfolio of debt securities to relative changes in interest rates.) The </span><span style="color:#000000;font-family:arial;font-size:9.30pt">magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater </span><span style="color:#000000;font-family:arial;font-size:9.30pt">for those securities with longer maturities. Fluctuations in the market price of the Fund’s investments will not affect </span><span style="color:#000000;font-family:arial;font-size:9.30pt">interest income derived from instruments already owned by the Fund, but will be reflected in the Fund’s net asset </span><span style="color:#000000;font-family:arial;font-size:9.30pt">value. The Fund may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund management.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">To the extent the Fund invests in debt securities that may be prepaid at the option of the obligor (such as mortgage-backed</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> securities), the sensitivity of such securities to changes in interest rates may increase (to the detriment of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund) when interest rates rise. Moreover, because rates on certain floating rate debt securities typically reset </span><span style="color:#000000;font-family:arial;font-size:9.30pt">only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">expected to cause some fluctuations in the net asset value of the Fund to the extent that it invests in floating rate </span><span style="color:#000000;font-family:arial;font-size:9.30pt">debt securities.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">These basic principles of bond prices also apply to U.S. Government securities. A security backed by the “full faith </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and credit” of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not </span><span style="color:#000000;font-family:arial;font-size:9.30pt">its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">value when interest rates change.</span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large </span><span style="color:#000000;font-family:arial;font-size:9.30pt">scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy </span><span style="color:#000000;font-family:arial;font-size:9.30pt">redemptions could cause the Fund to sell assets at inopportune times or at a loss or depressed value and could </span><span style="color:#000000;font-family:arial;font-size:9.30pt">hurt the Fund’s performance.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Extension Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — When interest rates rise, certain obligations will be paid off by the obligor more slowly than </span><span style="color:#000000;font-family:arial;font-size:9.30pt">anticipated, causing the value of these obligations to fall.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Prepayment Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — When interest rates fall, certain obligations will be paid off by the obligor more quickly than </span><span style="color:#000000;font-family:arial;font-size:9.30pt">originally anticipated, and the Fund may have to invest the proceeds in securities with lower yields.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Municipal Securities Risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Municipal securities risks include the ability of the issuer to repay the obligation, the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">relative lack of information about certain issuers of municipal securities, and the possibility of future legislative </span><span style="color:#000000;font-family:arial;font-size:9.30pt">changes which could affect the market for and value of municipal securities. Budgetary constraints of local, state, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and federal governments upon which the issuers may be relying for funding may also impact municipal securities. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">These risks include:</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">General Obligation Bonds Risks</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Timely payments depend on the issuer’s credit quality, ability to raise tax </span><span style="color:#000000;font-family:arial;font-size:9.30pt">revenues and ability to maintain an adequate tax base.</span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Revenue Bonds Risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— These payments depend on the money earned by the particular facility or class of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">facilities, or the amount of revenues derived from another source.</span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Private Activity Bonds Risks</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Municipalities and other public authorities issue private activity bonds to finance </span><span style="color:#000000;font-family:arial;font-size:9.30pt">development of industrial facilities for use by a private enterprise. The private enterprise pays the principal and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">interest on the bond, and the issuer does not pledge its full faith, credit and taxing power for repayment.</span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Moral Obligation Bonds Risks</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Moral obligation bonds are generally issued by special purpose public authorities </span><span style="color:#000000;font-family:arial;font-size:9.30pt">of a state or municipality. If the issuer is unable to meet its obligations, repayment of these bonds becomes a moral </span><span style="color:#000000;font-family:arial;font-size:9.30pt">commitment, but not a legal obligation, of the state or municipality.</span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Municipal Notes Risks</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Municipal notes are shorter term municipal debt obligations. If there is a shortfall in the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">anticipated proceeds, the notes may not be fully repaid and the Fund may lose money.</span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Municipal Lease Obligations Risks</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — In a municipal lease obligation, the issuer agrees to make payments when </span><span style="color:#000000;font-family:arial;font-size:9.30pt">due on the lease obligation. Although the issuer does not pledge its unlimited taxing power for payment of the lease </span><span style="color:#000000;font-family:arial;font-size:9.30pt">obligation, the lease obligation is secured by the leased property.</span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Tax-Exempt Status Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The Fund and its investment manager will rely on the opinion of issuers’ bond counsel </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and, in the case of derivative securities, sponsors’ counsel, on the tax-exempt status of interest on municipal bonds </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and payments under derivative securities. Neither the Fund nor its investment manager will independently review the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">bases for those tax opinions, which may ultimately be determined to be incorrect and subject the Fund and its </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shareholders to substantial tax liabilities.</span></div> <div> <div style="clear:both;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">High Yield Bonds Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Although junk bonds generally pay higher rates of interest than investment grade bonds, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">junk bonds are high risk investments that are considered speculative and may cause income and principal losses </span><span style="color:#000000;font-family:arial;font-size:9.30pt">for the Fund.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.0pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Derivatives Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The Fund’s use of derivatives may increase its costs, reduce the Fund’s returns and/or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">increase volatility. Derivatives involve significant risks, including:</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Leverage Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The Fund’s use of derivatives can magnify the Fund’s gains and losses. Relatively small market </span><span style="color:#000000;font-family:arial;font-size:9.30pt">movements may result in large changes in the value of a derivatives position and can result in losses that greatly </span><span style="color:#000000;font-family:arial;font-size:9.30pt">exceed the amount originally invested.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Market Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Some derivatives are more sensitive to interest rate changes and market price fluctuations than </span><span style="color:#000000;font-family:arial;font-size:9.30pt">other securities. The Fund could also suffer losses related to its derivatives positions as a result of unanticipated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">market movements, which losses are potentially unlimited. Finally, BlackRock may not be able to predict correctly </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the direction of securities prices, interest rates and other economic factors, which could cause the Fund’s </span><span style="color:#000000;font-family:arial;font-size:9.30pt">derivatives positions to lose value.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Counterparty Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Derivatives are also subject to counterparty risk, which is the risk that the other party in the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">transaction will be unable or unwilling to fulfill its contractual obligation, and the related risks of having concentrated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">exposure to such a counterparty.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Illiquidity Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more </span><span style="color:#000000;font-family:arial;font-size:9.30pt">difficult for the Fund to value accurately.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Operational Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The use of derivatives includes the risk of potential operational issues, including documentation </span><span style="color:#000000;font-family:arial;font-size:9.30pt">issues, settlement issues, systems failures, inadequate controls and human error.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Legal Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The risk of insufficient documentation, insufficient capacity or authority of counterparty, or legality or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">enforceability of a contract.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Volatility and Correlation Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Volatility is defined as the characteristic of a security, an index or a market to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">fluctuate significantly in price within a short time period. A risk of the Fund’s use of derivatives is that the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">fluctuations in their values may not correlate with the overall securities markets.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Valuation Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Valuation for derivatives may not be readily available in the market. Valuation may be more difficult </span><span style="color:#000000;font-family:arial;font-size:9.30pt">in times of market turmoil since many investors and market makers may be reluctant to purchase complex </span><span style="color:#000000;font-family:arial;font-size:9.30pt">instruments or quote prices for them.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Hedging Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Hedges are sometimes subject to imperfect matching between the derivative and the underlying </span><span style="color:#000000;font-family:arial;font-size:9.30pt">security, and there can be no assurance that the Fund’s hedging transactions will be effective. The use of hedging </span><span style="color:#000000;font-family:arial;font-size:9.30pt">may result in certain adverse tax consequences.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Tax Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Certain aspects of the tax treatment of derivative instruments, including swap agreements and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment in an underlying asset and may adversely affect the timing, character and amount of income the Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">realizes from its investments.</span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Distressed Securities Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">—</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> Distressed securities are speculative and involve substantial risks in addition to the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">risks of investing in junk bonds. The Fund will generally not receive interest payments on the distressed securities </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and may incur costs to protect its investment. In addition, distressed securities involve the substantial risk that </span><span style="color:#000000;font-family:arial;font-size:9.30pt">principal will not be repaid. These securities may present a substantial risk of default or may be in default at the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">time of investment. The Fund may incur additional expenses to the extent it is required to seek recovery upon a </span><span style="color:#000000;font-family:arial;font-size:9.30pt">default in the payment of principal of or interest on its portfolio holdings. In any reorganization or liquidation </span><span style="color:#000000;font-family:arial;font-size:9.30pt">proceeding relating to a portfolio company, the Fund may lose its entire investment or may be required to accept </span><span style="color:#000000;font-family:arial;font-size:9.30pt">cash or securities with a value less than its original investment. Distressed securities and any securities received in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">an exchange for such securities may be subject to restrictions on resale.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Illiquid Investments Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— The Fund may not acquire any illiquid investment if, immediately after the acquisition, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund would have invested more than 15% of its net assets in illiquid investments. An illiquid investment is any </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven </span><span style="color:#000000;font-family:arial;font-size:9.30pt">calendar days or less without the sale or disposition significantly changing the market value of the investment. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Liquid investments may become illiquid after purchase by the Fund, particularly during periods of market turmoil. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">There can be no assurance that a security or instrument that is deemed to be liquid when purchased will continue </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to be liquid for as long as it is held by the Fund, and any security or instrument held by the Fund may be deemed an </span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="line-height:10.695pt;margin-left:12pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">illiquid investment pursuant to the Fund’s liquidity risk management program. The Fund’s illiquid investments may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">reduce the returns of the Fund because it may be difficult to sell the illiquid investments at an advantageous time </span><span style="color:#000000;font-family:arial;font-size:9.30pt">or price. In addition, if the Fund is limited in its ability to dispose of illiquid investments during periods when </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shareholders are redeeming or selling their shares or the Fund’s net assets otherwise shrink, the Fund will need to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">dispose of liquid securities to meet redemption requests and illiquid securities will become a larger portion of the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund’s holdings. An investment may be illiquid due to, among other things, the reduced number and capacity of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">traditional market participants to make a market in fixed-income securities or the lack of an active trading market. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">To the extent that the Fund’s principal investment strategies involve derivatives or securities with substantial market </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and/or credit risk, the Fund will tend to have greater exposure to the risks associated with illiquid investments. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Illiquid investments may be harder to value, especially in changing markets, and if the Fund is forced to sell these </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investments to meet redemption requests or for other cash needs, the Fund may suffer a loss. This may be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">magnified in a rising interest rate environment or other circumstances where investor redemptions or sales of Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shares may be higher than normal. In addition, when there is illiquidity in the market for certain securities, the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund, due to limitations on illiquid investments, may be subject to purchase and sale restrictions.</span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Leverage Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Some transactions may give rise to a form of economic leverage. These transactions may include, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">among others, derivatives, and may expose the Fund to greater risk and increase its costs. The use of leverage may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">cause the Fund to liquidate portfolio positions when it may not be advantageous to do so to satisfy its obligations or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to meet the applicable requirements of the Investment Company Act of 1940, as amended (the “Investment </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Company Act”), and the rules thereunder. Increases and decreases in the value of the Fund’s portfolio will be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">magnified when the Fund uses leverage.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Market Risk and Selection Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Market risk is the risk that one or more markets in which the Fund invests will </span><span style="color:#000000;font-family:arial;font-size:9.30pt">go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a </span><span style="color:#000000;font-family:arial;font-size:9.30pt">security or other asset may decline due to changes in general market conditions, economic trends or events that </span><span style="color:#000000;font-family:arial;font-size:9.30pt">are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health </span><span style="color:#000000;font-family:arial;font-size:9.30pt">issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Fund and its </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investments. Selection risk is the risk that the securities selected by Fund management will underperform the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">markets, the relevant indices or the securities selected by other funds with similar investment objectives and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment strategies. This means you may lose money.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Recent policy initiatives undertaken by the U.S. government have the potential to impact international relations, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">trade agreements and the overall regulatory environment in ways that could create uncertainty and instability in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">domestic and global markets, and could adversely affect the investment performance of the Fund. In particular, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">actions taken by the U.S. government in respect of international trade relations could lead to trade wars, increased </span><span style="color:#000000;font-family:arial;font-size:9.30pt">costs for imported goods, disruptions in supply chains, reduced foreign investment, and instability in regions where </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund invests.</span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Operational and Technology Risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— The Fund is directly and indirectly susceptible to operational and technology </span><span style="color:#000000;font-family:arial;font-size:9.30pt">risks, including those related to human errors, processing errors, communication errors, systems failures, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">cybersecurity incidents, and the use of artificial intelligence and machine learning (“AI”), which may result in losses </span><span style="color:#000000;font-family:arial;font-size:9.30pt">for the Fund and its shareholders or may impair the Fund’s operations. While the Fund’s service providers are </span><span style="color:#000000;font-family:arial;font-size:9.30pt">required to have appropriate operational, information security and cybersecurity risk management policies and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">procedures, their methods of risk management may differ from those of the Fund. Operational and technology risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt">for the issuers in which the Fund invests could also result in material adverse consequences for such issuers and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">may cause the Fund’s investments in such issuers to lose value.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Risk of Investing in the United States </span><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">—</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> Certain changes in the U.S. economy, such as when the U.S. economy </span><span style="color:#000000;font-family:arial;font-size:9.30pt">weakens or when its financial markets decline, may have an adverse effect on the securities to which the Fund has </span><span style="color:#000000;font-family:arial;font-size:9.30pt">exposure.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">School District Investment Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">—</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> School districts rely, in part, on funding appropriations from, among others, the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">federal government and state governments. As a result, municipal securities issued by school districts may be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">adversely affected by political and economic changes at the state or federal levels, such as decreased tax or other </span><span style="color:#000000;font-family:arial;font-size:9.30pt">revenues, spending reductions or changes in appropriations. Municipal securities that are issued to finance a </span><span style="color:#000000;font-family:arial;font-size:9.30pt">particular school district project often depend on revenues from ad valorem taxes (i.e., property taxes) to make </span><span style="color:#000000;font-family:arial;font-size:9.30pt">principal and interest payments. Adverse conditions and developments affecting a particular project can result in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">lower revenues to the issuer of the municipal securities. Investors in these securities, similar to investors in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">municipal securities generally, face heightened risk of loss upon insolvency of the school district issuers because </span><span style="color:#000000;font-family:arial;font-size:9.30pt">there is often no ready source of funding to pay the bonds other than the local tax base, which a bankruptcy court </span><span style="color:#000000;font-family:arial;font-size:9.30pt">or administrator does not control.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Variable Rate Demand Obligations Risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">—</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> Variable rate demand obligations are floating rate securities that </span><span style="color:#000000;font-family:arial;font-size:9.30pt">combine an interest in a long term municipal bond with a right to demand payment before maturity from a bank or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">other financial institution. If the bank or financial institution is unable to pay, the Fund may lose money.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Zero Coupon Securities Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">—</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> While interest payments are not made on such securities, holders of such </span><span style="color:#000000;font-family:arial;font-size:9.30pt">securities are deemed to have received income (“phantom income”) annually, notwithstanding that cash may not be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">received currently. The effect of owning instruments that do not make current interest payments is that a fixed yield </span><span style="color:#000000;font-family:arial;font-size:9.30pt">is earned not only on the original investment but also, in effect, on all discount accretion during the life of the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">obligations. This implicit reinvestment of earnings at a fixed rate eliminates the risk of being unable to invest </span><span style="color:#000000;font-family:arial;font-size:9.30pt">distributions at a rate as high as the implicit yield on the zero coupon bond, but at the same time eliminates the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">holder’s ability to reinvest at higher rates in the future. For this reason, some of these securities may be subject to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">substantially greater price fluctuations during periods of changing market interest rates than are comparable </span><span style="color:#000000;font-family:arial;font-size:9.30pt">securities that pay interest currently. Longer term zero coupon bonds are more exposed to interest rate risk than </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shorter term zero coupon bonds. These investments benefit the issuer by mitigating its need for cash to meet debt </span><span style="color:#000000;font-family:arial;font-size:9.30pt">service, but also require a higher rate of return to attract investors who are willing to defer receipt of cash.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> Performance Information <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The information shows you how the Fund’s performance has varied year by year and provides some indication of the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">risks of investing in the Fund. The table compares the Fund’s performance to that of the Bloomberg Municipal Bond </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Index, the Bloomberg Municipal High Yield Bond Index and a customized weighted index comprised of 60% Bloomberg </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Municipal Bond: High Yield (non-Investment Grade) Total Return Index; 20% Bloomberg Municipal Bond Rated Baa </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Index; and 20% Bloomberg Municipal Investment Grade ex BBB (the “Customized Reference Benchmark”). The </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Bloomberg Municipal High Yield Bond Index and the Customized Reference Benchmark are relevant to the Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">because they have characteristics similar to the Fund’s investment strategies. To the extent that dividends and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">distributions have been paid by the Fund, the performance information for the Fund in the chart and table assumes </span><span style="color:#000000;font-family:arial;font-size:9.30pt">reinvestment of the dividends and distributions. As with all such investments, past performance (before and after </span><span style="color:#000000;font-family:arial;font-size:9.30pt">taxes) is not an indication of future results. The table includes all applicable fees. If the Fund’s investment manager </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and its affiliates had not waived or reimbursed certain Fund expenses during these periods, the Fund’s returns would </span><span style="color:#000000;font-family:arial;font-size:9.30pt">have been lower. Updated information on the Fund’s performance, including its current net asset value, can be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">obtained by visiting http://www.blackrock.com or can be obtained by phone at 800-882-0052.</span></div> The information shows you how the Fund’s performance has varied year by year and provides some indication of the risks of investing in the Fund. The table compares the Fund’s performance to that of the Bloomberg Municipal Bond Index, the Bloomberg Municipal High Yield Bond Index and a customized weighted index 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 (the “Customized Reference Benchmark”). The Bloomberg Municipal High Yield Bond Index and the Customized Reference Benchmark are relevant to the Fund because they have characteristics similar to the Fund’s investment strategies. As with all such investments, past performance (before and after taxes) is not an indication of future results. http://www.blackrock.com 800-882-0052 ANNUAL TOTAL RETURNS BATS: High Income Municipal Series As of 12/31 <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">During the ten-year period shown in the bar chart, the highest return for a quarter was 10.46% (quarter ended </span><span style="color:#000000;font-family:arial;font-size:9.30pt">December 31, 2023) and the lowest return for a quarter was -6.87% (quarter ended March 31, 2022). The year-to-date</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> return as of June 30, 2026 was 4.36%.</span><span style="color:#000000;font-family:arial;font-size:1pt;line-height:0.93pt"> </span></div> highest return 0.1046 2023-12-31 lowest return -0.0687 2022-03-31 year-to-date return 2026-06-30 0.0436 For the periods ended 12/31/25Average Annual Total Returns 0.0319 0.0221 0.0428 0.0319 0.0208 0.0415 0.0394 0.0267 0.0428 0.0425 0.0080 0.0234 For the periods ended 12/31/25Average Annual Total Returns 0.0246 0.0218 0.0435 0.0315 0.0178 <div style="margin-top:12pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not </span><span style="color:#000000;font-family:arial;font-size:9.30pt">reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through </span><span style="color:#000000;font-family:arial;font-size:9.30pt">tax-deferred arrangements, such as 401(k) plans or individual retirement accounts.</span></div> After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through tax-deferred arrangements, such as 401(k) plans or individual retirement accounts. Fund Overview Key Facts About BATS: Mortgage Total Return Series Investment Objective <div style="margin-top:3pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The investment objective of the BATS: Mortgage Total Return Series (formerly known as </span><span style="color:#000000;font-family:arial;font-size:9.30pt">“</span><span style="color:#000000;font-family:arial;font-size:9.30pt">BATS: Series M Portfolio</span><span style="color:#000000;font-family:arial;font-size:9.30pt">”</span><span style="color:#000000;font-family:arial;font-size:9.30pt">) </span><span style="color:#000000;font-family:arial;font-size:9.30pt">(the “Fund”) is to seek to maximize total return, consistent with income generation and prudent investment </span><span style="color:#000000;font-family:arial;font-size:9.30pt">management.</span></div> Fees and Expenses of the Fund <div style="margin-top:3pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">This table describes the fees and expenses that you may pay if you buy, hold and sell shares of the Fund. Amounts in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the table are rounded to the nearest basis point, which in some cases may be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">“</span><span style="color:#000000;font-family:arial;font-size:9.30pt">0.00.</span><span style="color:#000000;font-family:arial;font-size:9.30pt">”</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.2207pt"> </span><span style="color:#000000;font-family:arial;font-size:1pt;line-height:0.93pt"> </span></div> Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) 0 0 0.0004 0.0004 -0.0004 0.0000 Example: <div style="line-height:10.2207pt;margin-top:-0.01pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">This Example is intended to help you compare the cost of investing in the Fund with the cost of investing in other </span><span style="color:#000000;font-family:arial;font-size:9.30pt">mutual funds. The Example assumes that you invest $10,000 in the Fund for the time periods indicated and then </span><span style="color:#000000;font-family:arial;font-size:9.30pt">redeem all of your shares at the end of those periods. The Example also assumes that your investment has a 5% </span><span style="color:#000000;font-family:arial;font-size:9.30pt">return each year and that the Fund’s operating expenses remain the same. Although your actual costs may be higher </span><span style="color:#000000;font-family:arial;font-size:9.30pt">or lower, based on these assumptions your costs would be:</span><span style="color:#000000;font-family:arial;font-size:1pt;line-height:0.93pt"> </span></div> 0 0 0 0 Portfolio Turnover: <div style="line-height:10.2207pt;margin-top:0.00pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its </span><span style="color:#000000;font-family:arial;font-size:9.30pt">portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shares are held in a taxable account. These costs, which are not reflected in annual fund operating expenses or in the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Example, affect the Fund’s performance. During the most recent fiscal year, the Fund’s portfolio turnover rate was </span><span style="color:#000000;font-family:arial;font-size:9.30pt">931</span><span style="color:#000000;font-family:arial;font-size:9.30pt">% of the average value of its portfolio.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.2207pt"> </span></div> 9.31 Principal Investment Strategies of the Fund <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Under normal circumstances, the Fund seeks to invest at least 80% of its net assets, plus the amount of any </span><span style="color:#000000;font-family:arial;font-size:9.30pt">borrowings for investment purposes, in mortgage-related securities and derivatives that provide investment exposure </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to such securities or to one or more market risk factors associated with such securities. Such mortgage-related </span><span style="color:#000000;font-family:arial;font-size:9.30pt">securities include, but are not limited to, commercial and residential mortgage-backed securities, collateralized </span><span style="color:#000000;font-family:arial;font-size:9.30pt">mortgage obligations, and mortgage dollar rolls. The Fund may also invest in asset-backed securities, U.S. Treasury </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and agency securities, cash equivalent investments, and when-issued and delayed delivery securities.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may only buy securities that are rated investment grade at the time of purchase by at least one major rating </span><span style="color:#000000;font-family:arial;font-size:9.30pt">agency or, if unrated, determined by the management team to be of similar quality.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The management team may, when consistent with the Fund’s investment objective, buy or sell options or futures on a </span><span style="color:#000000;font-family:arial;font-size:9.30pt">security or an index of securities, or enter into interest rate or foreign currency transactions, including swaps </span><span style="color:#000000;font-family:arial;font-size:9.30pt">(collectively, commonly known as derivatives). An option is the right to buy or sell a security or an index of securities at </span><span style="color:#000000;font-family:arial;font-size:9.30pt">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 </span><span style="color:#000000;font-family:arial;font-size:9.30pt">at a specific price on a specific date. A swap is an agreement whereby one party exchanges its right to receive or its </span><span style="color:#000000;font-family:arial;font-size:9.30pt">obligation to pay one type of interest or currency for another party’s obligation to pay or its right to receive another </span><span style="color:#000000;font-family:arial;font-size:9.30pt">type of interest or currency in the future or for a period of time. The management team typically uses derivatives as a </span><span style="color:#000000;font-family:arial;font-size:9.30pt">substitute for taking a position in the underlying asset and/or as part of a strategy designed to reduce exposure to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">other risks, such as interest rate or currency risk.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may engage in active and frequent trading of portfolio instruments to achieve its investment objective.</span></div> 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. You may lose part or all of your investment in the Fund or your investment may not perform as well as other similar investments. <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Debt Securities Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Debt securities, such as bonds, involve risks, such as credit risk, interest rate risk, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">extension risk, and prepayment risk, each of which are described in further detail below:</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Credit Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will not be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">able to make payments of interest and principal when due. Changes in an issuer’s credit rating or the market’s </span><span style="color:#000000;font-family:arial;font-size:9.30pt">perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. The </span><span style="color:#000000;font-family:arial;font-size:9.30pt">degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation.</span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Interest Rate Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The market value of bonds and other fixed-income securities changes in response to interest </span><span style="color:#000000;font-family:arial;font-size:9.30pt">rate changes and other factors. Interest rate risk is the risk that prices of bonds and other fixed-income securities </span><span style="color:#000000;font-family:arial;font-size:9.30pt">will increase as interest rates fall and decrease as interest rates rise.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may be subject to a greater risk of rising interest rates during a period of historically low interest rates. For </span><span style="color:#000000;font-family:arial;font-size:9.30pt">example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors </span><span style="color:#000000;font-family:arial;font-size:9.30pt">being equal, the value of the Fund’s investments would be expected to decrease by 10%. (Duration is a measure of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the price sensitivity of a debt security or portfolio of debt securities to relative changes in interest rates.) The </span><span style="color:#000000;font-family:arial;font-size:9.30pt">magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater </span><span style="color:#000000;font-family:arial;font-size:9.30pt">for those securities with longer maturities. Fluctuations in the market price of the Fund’s investments will not affect </span><span style="color:#000000;font-family:arial;font-size:9.30pt">interest income derived from instruments already owned by the Fund, but will be reflected in the Fund’s net asset </span><span style="color:#000000;font-family:arial;font-size:9.30pt">value. The Fund may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund management.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">To the extent the Fund invests in debt securities that may be prepaid at the option of the obligor (such as mortgage-backed</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> securities), the sensitivity of such securities to changes in interest rates may increase (to the detriment of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund) when interest rates rise. Moreover, because rates on certain floating rate debt securities typically reset </span><span style="color:#000000;font-family:arial;font-size:9.30pt">only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">expected to cause some fluctuations in the net asset value of the Fund to the extent that it invests in floating rate </span><span style="color:#000000;font-family:arial;font-size:9.30pt">debt securities.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">These basic principles of bond prices also apply to U.S. Government securities. A security backed by the “full faith </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and credit” of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not </span><span style="color:#000000;font-family:arial;font-size:9.30pt">its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">value when interest rates change.</span></div><div style="line-height:10.695pt;margin-left:12pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large </span><span style="color:#000000;font-family:arial;font-size:9.30pt">scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy </span><span style="color:#000000;font-family:arial;font-size:9.30pt">redemptions could cause the Fund to sell assets at inopportune times or at a loss or depressed value and could </span><span style="color:#000000;font-family:arial;font-size:9.30pt">hurt the Fund’s performance.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Extension Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — When interest rates rise, certain obligations will be paid off by the obligor more slowly than </span><span style="color:#000000;font-family:arial;font-size:9.30pt">anticipated, causing the value of these obligations to fall.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Prepayment Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — When interest rates fall, certain obligations will be paid off by the obligor more quickly than </span><span style="color:#000000;font-family:arial;font-size:9.30pt">originally anticipated, and the Fund may have to invest the proceeds in securities with lower yields.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.0pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Derivatives Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The Fund’s use of derivatives may increase its costs, reduce the Fund’s returns and/or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">increase volatility. Derivatives involve significant risks, including:</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Leverage Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The Fund’s use of derivatives can magnify the Fund’s gains and losses. Relatively small market </span><span style="color:#000000;font-family:arial;font-size:9.30pt">movements may result in large changes in the value of a derivatives position and can result in losses that greatly </span><span style="color:#000000;font-family:arial;font-size:9.30pt">exceed the amount originally invested.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Market Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Some derivatives are more sensitive to interest rate changes and market price fluctuations than </span><span style="color:#000000;font-family:arial;font-size:9.30pt">other securities. The Fund could also suffer losses related to its derivatives positions as a result of unanticipated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">market movements, which losses are potentially unlimited. Finally, BlackRock may not be able to predict correctly </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the direction of securities prices, interest rates and other economic factors, which could cause the Fund’s </span><span style="color:#000000;font-family:arial;font-size:9.30pt">derivatives positions to lose value.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Counterparty Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Derivatives are also subject to counterparty risk, which is the risk that the other party in the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">transaction will be unable or unwilling to fulfill its contractual obligation, and the related risks of having concentrated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">exposure to such a counterparty.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Illiquidity Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more </span><span style="color:#000000;font-family:arial;font-size:9.30pt">difficult for the Fund to value accurately.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Operational Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The use of derivatives includes the risk of potential operational issues, including documentation </span><span style="color:#000000;font-family:arial;font-size:9.30pt">issues, settlement issues, systems failures, inadequate controls and human error.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Legal Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The risk of insufficient documentation, insufficient capacity or authority of counterparty, or legality or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">enforceability of a contract.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Volatility and Correlation Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Volatility is defined as the characteristic of a security, an index or a market to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">fluctuate significantly in price within a short time period. A risk of the Fund’s use of derivatives is that the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">fluctuations in their values may not correlate with the overall securities markets.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Valuation Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Valuation for derivatives may not be readily available in the market. Valuation may be more difficult </span><span style="color:#000000;font-family:arial;font-size:9.30pt">in times of market turmoil since many investors and market makers may be reluctant to purchase complex </span><span style="color:#000000;font-family:arial;font-size:9.30pt">instruments or quote prices for them.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Hedging Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Hedges are sometimes subject to imperfect matching between the derivative and the underlying </span><span style="color:#000000;font-family:arial;font-size:9.30pt">security, and there can be no assurance that the Fund’s hedging transactions will be effective. The use of hedging </span><span style="color:#000000;font-family:arial;font-size:9.30pt">may result in certain adverse tax consequences.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Tax Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Certain aspects of the tax treatment of derivative instruments, including swap agreements and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment in an underlying asset and may adversely affect the timing, character and amount of income the Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">realizes from its investments.</span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Dollar Rolls Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Dollar rolls involve the risk that the market value of the securities that the Fund is committed to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">buy may decline below the price of the securities the Fund has sold. These transactions may involve leverage.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">High Portfolio Turnover Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— The Fund may engage in active and frequent trading of its portfolio securities. High </span><span style="color:#000000;font-family:arial;font-size:9.30pt">portfolio turnover (more than 100%) may result in increased transaction costs to the Fund, including brokerage </span><span style="color:#000000;font-family:arial;font-size:9.30pt">commissions, dealer mark-ups and other transaction costs on the sale of the securities and on reinvestment in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">other securities. The sale of Fund portfolio securities may result in the realization and/or distribution to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shareholders of higher capital gains or losses as compared to a fund with less active trading policies. These effects </span><span style="color:#000000;font-family:arial;font-size:9.30pt">of higher than normal portfolio turnover may adversely affect Fund performance. In addition, investment in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">mortgage dollar rolls and participation in to-be-announced (</span><span style="color:#000000;font-family:arial;font-size:9.30pt">“</span><span style="color:#000000;font-family:arial;font-size:9.30pt">TBA</span><span style="color:#000000;font-family:arial;font-size:9.30pt">”</span><span style="color:#000000;font-family:arial;font-size:9.30pt">) transactions may significantly increase the Fund’s </span><span style="color:#000000;font-family:arial;font-size:9.30pt">portfolio turnover rate. A TBA transaction is a method of trading mortgage-backed securities where the buyer and </span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="line-height:10.695pt;margin-left:12pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">seller agree upon general trade parameters such as agency, settlement date, par amount, and price at the time the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">contract is entered into but the mortgage-backed securities are delivered in the future, generally 30 days later.</span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Illiquid Investments Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— The Fund may not acquire any illiquid investment if, immediately after the acquisition, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund would have invested more than 15% of its net assets in illiquid investments. An illiquid investment is any </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven </span><span style="color:#000000;font-family:arial;font-size:9.30pt">calendar days or less without the sale or disposition significantly changing the market value of the investment. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Liquid investments may become illiquid after purchase by the Fund, particularly during periods of market turmoil. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">There can be no assurance that a security or instrument that is deemed to be liquid when purchased will continue </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to be liquid for as long as it is held by the Fund, and any security or instrument held by the Fund may be deemed an </span><span style="color:#000000;font-family:arial;font-size:9.30pt">illiquid investment pursuant to the Fund’s liquidity risk management program. The Fund’s illiquid investments may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">reduce the returns of the Fund because it may be difficult to sell the illiquid investments at an advantageous time </span><span style="color:#000000;font-family:arial;font-size:9.30pt">or price. In addition, if the Fund is limited in its ability to dispose of illiquid investments during periods when </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shareholders are redeeming or selling their shares or the Fund’s net assets otherwise shrink, the Fund will need to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">dispose of liquid securities to meet redemption requests and illiquid securities will become a larger portion of the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund’s holdings. An investment may be illiquid due to, among other things, the reduced number and capacity of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">traditional market participants to make a market in fixed-income securities or the lack of an active trading market. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">To the extent that the Fund’s principal investment strategies involve derivatives or securities with substantial market </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and/or credit risk, the Fund will tend to have greater exposure to the risks associated with illiquid investments. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Illiquid investments may be harder to value, especially in changing markets, and if the Fund is forced to sell these </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investments to meet redemption requests or for other cash needs, the Fund may suffer a loss. This may be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">magnified in a rising interest rate environment or other circumstances where investor redemptions or sales of Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shares may be higher than normal. In addition, when there is illiquidity in the market for certain securities, the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund, due to limitations on illiquid investments, may be subject to purchase and sale restrictions.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Leverage Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Some transactions may give rise to a form of economic leverage. These transactions may include, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">among others, derivatives, and may expose the Fund to greater risk and increase its costs. The use of leverage may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">cause the Fund to liquidate portfolio positions when it may not be advantageous to do so to satisfy its obligations or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to meet the applicable requirements of the Investment Company Act of 1940, as amended (the “Investment </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Company Act”), and the rules thereunder. Increases and decreases in the value of the Fund’s portfolio will be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">magnified when the Fund uses leverage.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Market Risk and Selection Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Market risk is the risk that one or more markets in which the Fund invests will </span><span style="color:#000000;font-family:arial;font-size:9.30pt">go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a </span><span style="color:#000000;font-family:arial;font-size:9.30pt">security or other asset may decline due to changes in general market conditions, economic trends or events that </span><span style="color:#000000;font-family:arial;font-size:9.30pt">are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health </span><span style="color:#000000;font-family:arial;font-size:9.30pt">issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Fund and its </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investments. Selection risk is the risk that the securities selected by Fund management will underperform the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">markets, the relevant indices or the securities selected by other funds with similar investment objectives and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment strategies. This means you may lose money.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Recent policy initiatives undertaken by the U.S. government have the potential to impact international relations, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">trade agreements and the overall regulatory environment in ways that could create uncertainty and instability in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">domestic and global markets, and could adversely affect the investment performance of the Fund. In particular, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">actions taken by the U.S. government in respect of international trade relations could lead to trade wars, increased </span><span style="color:#000000;font-family:arial;font-size:9.30pt">costs for imported goods, disruptions in supply chains, reduced foreign investment, and instability in regions where </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund invests.</span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Mortgage- and Asset-Backed Securities Risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Mortgage- and asset-backed securities represent interests in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">“pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-</span><span style="color:#000000;font-family:arial;font-size:9.30pt">backed securities are subject to credit, interest rate, prepayment and extension risks. These securities also are </span><span style="color:#000000;font-family:arial;font-size:9.30pt">subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">certain mortgage-backed securities.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Operational and Technology Risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— The Fund is directly and indirectly susceptible to operational and technology </span><span style="color:#000000;font-family:arial;font-size:9.30pt">risks, including those related to human errors, processing errors, communication errors, systems failures, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">cybersecurity incidents, and the use of artificial intelligence and machine learning (“AI”), which may result in losses </span><span style="color:#000000;font-family:arial;font-size:9.30pt">for the Fund and its shareholders or may impair the Fund’s operations. While the Fund’s service providers are </span><span style="color:#000000;font-family:arial;font-size:9.30pt">required to have appropriate operational, information security and cybersecurity risk management policies and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">procedures, their methods of risk management may differ from those of the Fund. Operational and technology risks </span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="line-height:10.695pt;margin-left:12pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">for the issuers in which the Fund invests could also result in material adverse consequences for such issuers and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">may cause the Fund’s investments in such issuers to lose value.</span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.0pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">U.S. Government Issuer Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">—</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> Treasury obligations may differ in their interest rates, maturities, times of issuance </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and other characteristics. Obligations of U.S. Government agencies and authorities are supported by varying </span><span style="color:#000000;font-family:arial;font-size:9.30pt">degrees of credit but generally are not backed by the full faith and credit of the U.S. Government. No assurance can </span><span style="color:#000000;font-family:arial;font-size:9.30pt">be given that the U.S. Government will provide financial support to its agencies and authorities if it is not obligated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">by law to do so.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">When-Issued and Delayed Delivery Securities and Forward Commitments Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— When-issued and delayed </span><span style="color:#000000;font-family:arial;font-size:9.30pt">delivery securities and forward commitments involve the risk that the security the Fund buys will lose value prior to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">its delivery. There also is the risk that the security will not be issued or that the other party to the transaction will </span><span style="color:#000000;font-family:arial;font-size:9.30pt">not meet its obligation. If this occurs, the Fund may lose both the investment opportunity for the assets it set aside </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to pay for the security and any gain in the security’s price.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> Performance Information <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The information shows you how the Fund’s performance has varied year by year and provides some indication of the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">risks of investing in the Fund. The table compares the Fund’s performance to that of the Bloomberg U.S. Aggregate </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Bond Index and the Bloomberg MBS Index. The Bloomberg MBS Index is relevant to the Fund because it has </span><span style="color:#000000;font-family:arial;font-size:9.30pt">characteristics similar to the Fund’s investment strategies. To the extent that dividends and distributions have been </span><span style="color:#000000;font-family:arial;font-size:9.30pt">paid by the Fund, the performance information for the Fund in the chart and table assumes reinvestment of the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">dividends and distributions. As with all such investments, past performance (before and after taxes) is not an </span><span style="color:#000000;font-family:arial;font-size:9.30pt">indication of future results. The table includes all applicable fees. If the Fund’s investment manager and its affiliates </span><span style="color:#000000;font-family:arial;font-size:9.30pt">had not waived or reimbursed certain Fund expenses during these periods, the Fund’s returns would have been lower. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Updated information on the Fund’s performance, including its current net asset value, can be obtained by visiting </span><span style="color:#000000;font-family:arial;font-size:9.30pt">http://www.blackrock.com or can be obtained by phone at 800-882-0052.</span></div> The information shows you how the Fund’s performance has varied year by year and provides some indication of the risks of investing in the Fund. The table compares the Fund’s performance to that of the Bloomberg U.S. Aggregate Bond Index and the Bloomberg MBS Index. The Bloomberg MBS Index is relevant to the Fund because it has characteristics similar to the Fund’s investment strategies. As with all such investments, past performance (before and after taxes) is not an indication of future results. http://www.blackrock.com 800-882-0052 ANNUAL TOTAL RETURNS BATS: Mortgage Total Return Series As of 12/31 <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">During the ten-year period shown in the bar chart, the highest return for a quarter was 7.44% (quarter ended </span><span style="color:#000000;font-family:arial;font-size:9.30pt">December 31, 2023) and the lowest return for a quarter was -5.14% (quarter ended March 31, 2022). The year-to-date</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> return as of June 30, 2026 was 1.19%.</span><span style="color:#000000;font-family:arial;font-size:1pt;line-height:0.93pt"> </span></div> highest return 0.0744 2023-12-31 lowest return -0.0514 2022-03-31 year-to-datereturn 2026-06-30 0.0119 For the periods ended 12/31/25Average Annual Total Returns 0.0866 0.0048 0.0202 0.0669 -0.0093 0.0062 0.0509 -0.0025 0.0093 0.0730 -0.0036 0.0201 0.0858 0.0015 0.0159 <div style="margin-top:12pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not </span><span style="color:#000000;font-family:arial;font-size:9.30pt">reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may </span></div><div style="line-height:10.695pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through </span><span style="color:#000000;font-family:arial;font-size:9.30pt">tax-deferred arrangements, such as 401(k) plans or individual retirement accounts.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and maydiffer from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through tax-deferred arrangements, such as 401(k) plans or individual retirement accounts. Fund Overview Key Facts About BATS: Interest Rate Hedge Series Investment Objective <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The investment objective of the BATS: Interest Rate Hedge Series (formerly known as </span><span style="color:#000000;font-family:arial;font-size:9.30pt">“</span><span style="color:#000000;font-family:arial;font-size:9.30pt">BATS: Series P Portfolio</span><span style="color:#000000;font-family:arial;font-size:9.30pt">”</span><span style="color:#000000;font-family:arial;font-size:9.30pt">) (the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">“Fund”) is to seek to provide a duration that is the inverse of its benchmark.</span></div> Fees and Expenses of the Fund <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">This table describes the fees and expenses that you may pay if you buy, hold and sell shares of the Fund. Amounts in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the table are rounded to the nearest basis point, which in some cases may be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">“</span><span style="color:#000000;font-family:arial;font-size:9.30pt">0.00.</span><span style="color:#000000;font-family:arial;font-size:9.30pt">”</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span><span style="color:#000000;font-family:arial;font-size:1pt;line-height:0.93pt"> </span></div> Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) 0 0 0.0415 0.0014 0.0429 -0.0415 0.0014 The Total Annual Fund Operating Expenses do not correlate to the ratio of expenses to average net assets given in the Fund’s most recent Annual Financial Statements and Additional Information, which do not include Acquired Fund Fees and Expenses. Example: <div style="line-height:10.695pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">This Example is intended to help you compare the cost of investing in the Fund with the cost of investing in other </span><span style="color:#000000;font-family:arial;font-size:9.30pt">mutual funds. The Example assumes that you invest $10,000 in the Fund for the time periods indicated and then </span><span style="color:#000000;font-family:arial;font-size:9.30pt">redeem all of your shares at the end of those periods. The Example also assumes that your investment has a 5% </span><span style="color:#000000;font-family:arial;font-size:9.30pt">return each year and that the Fund’s operating expenses remain the same. Although your actual costs may be higher </span><span style="color:#000000;font-family:arial;font-size:9.30pt">or lower, based on these assumptions your costs would be:</span><span style="color:#000000;font-family:arial;font-size:1pt;line-height:0.93pt"> </span></div> 14 45 79 179 Portfolio Turnover: <div style="line-height:10.695pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its </span><span style="color:#000000;font-family:arial;font-size:9.30pt">portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shares are held in a taxable account. These costs, which are not reflected in annual fund operating expenses or in the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Example, affect the Fund’s performance. During the most recent fiscal year, the Fund’s portfolio turnover rate was </span><span style="color:#000000;font-family:arial;font-size:9.30pt">0</span><span style="color:#000000;font-family:arial;font-size:9.30pt">% </span><span style="color:#000000;font-family:arial;font-size:9.30pt">of the average value of its portfolio.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> 0 Principal Investment Strategies of the Fund <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund is intended to be used as part of a broader separately managed account program administered directly by </span><span style="color:#000000;font-family:arial;font-size:9.30pt">BlackRock. The performance and objectives of the Fund should be evaluated only in the context of the investor’s </span><span style="color:#000000;font-family:arial;font-size:9.30pt">complete investment program. The Fund is not designed to be used as a stand-alone investment.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may invest in a portfolio of securities and other financial instruments, including derivative instruments, in an </span><span style="color:#000000;font-family:arial;font-size:9.30pt">attempt to provide returns that are the inverse of its benchmark index, the Bloomberg U.S. Treasury 7-10 Year Bond </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Index. The Fund’s return is intended to move in the opposite direction of the return of a traditional fixed-income fund. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Unlike a traditional fixed-income fund, the value of the Fund is expected to move in the same direction as that of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">interest rates. The value of a traditional fixed-income fund generally drops as interest rates rise, however, it is </span><span style="color:#000000;font-family:arial;font-size:9.30pt">expected that the Fund will provide positive returns in a rising interest rate environment. Under normal circumstances, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund maintains an average portfolio duration that is within ±20% of the inverse duration of its benchmark, as </span><span style="color:#000000;font-family:arial;font-size:9.30pt">calculated by BlackRock.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund will seek to pursue its investment objective primarily by engaging in short sales of U.S. Treasury securities </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and by investing in derivative instruments that provide returns that are inverse to those available by investing directly </span><span style="color:#000000;font-family:arial;font-size:9.30pt">in U.S. Treasury securities. Derivative instruments that the Fund may invest in include, but are not limited to, futures </span><span style="color:#000000;font-family:arial;font-size:9.30pt">(including U.S. Treasury futures), options, forward contracts and/or swaps, including interest rate swaps, swaptions </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and total return swaps.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may also invest significantly in a variety of short-term fixed-income instruments, including, but not limited to, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">U.S. government securities, U.S. government agency securities, securities issued by U.S. government-sponsored </span><span style="color:#000000;font-family:arial;font-size:9.30pt">enterprises and U.S. government instrumentalities, investment grade corporate bonds or bonds determined by Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">management to be of similar quality, asset-backed securities and mortgage-backed securities. The Fund will invest in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">these short-term fixed-income instruments in order to generate income to cover some or all of the costs associated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">with the Fund’s derivative positions. The Fund will also invest a significant portion of its total assets in cash and cash </span><span style="color:#000000;font-family:arial;font-size:9.30pt">equivalents and held by the Fund to use for margin requirements for its derivative positions.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may invest in other investment companies, such as exchange-traded funds, unit investment trusts, and open-end</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> and closed-end funds, including affiliated investment companies and affiliated and unaffiliated money market </span><span style="color:#000000;font-family:arial;font-size:9.30pt">funds. As of the date of this prospectus, the Fund intends to invest a significant portion of its assets in the BATS: </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Short Duration Taxable Total Return Series (the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">“</span><span style="color:#000000;font-family:arial;font-size:9.30pt">Short Duration Taxable Total Return Series</span><span style="color:#000000;font-family:arial;font-size:9.30pt">”</span><span style="color:#000000;font-family:arial;font-size:9.30pt">). The investment </span><span style="color:#000000;font-family:arial;font-size:9.30pt">objective of Short Duration Taxable Total Return Series is to seek to maximize total return, consistent with income </span><span style="color:#000000;font-family:arial;font-size:9.30pt">generation and prudent investment management. In pursuit of its investment objective, Short Duration Taxable Total </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Return Series principally invests in commercial and residential mortgage-backed securities; obligations of non-U.S. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">governments and supra-national organizations, such as the International Bank for Reconstruction and Development, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">which are chartered to promote economic development; obligations of domestic and non-U.S. corporations; asset-backed</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> securities; collateralized mortgage obligations; U.S. Treasury and agency securities; when-issued and delayed </span><span style="color:#000000;font-family:arial;font-size:9.30pt">delivery securities; derivatives; cash equivalent investments; repurchase agreements and reverse repurchase </span><span style="color:#000000;font-family:arial;font-size:9.30pt">agreements; and dollar rolls.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may engage in active and frequent trading of portfolio instruments to achieve its investment objective.</span></div> <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund will seek to pursue its investment objective primarily by engaging in short sales of U.S. Treasury securities </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and by investing in derivative instruments that provide returns that are inverse to those available by investing directly </span><span style="color:#000000;font-family:arial;font-size:9.30pt">in U.S. Treasury securities. Derivative instruments that the Fund may invest in include, but are not limited to, futures </span><span style="color:#000000;font-family:arial;font-size:9.30pt">(including U.S. Treasury futures), options, forward contracts and/or swaps, including interest rate swaps, swaptions </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and total return swaps.</span></div> <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may also invest significantly in a variety of short-term fixed-income instruments, including, but not limited to, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">U.S. government securities, U.S. government agency securities, securities issued by U.S. government-sponsored </span><span style="color:#000000;font-family:arial;font-size:9.30pt">enterprises and U.S. government instrumentalities, investment grade corporate bonds or bonds determined by Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">management to be of similar quality, asset-backed securities and mortgage-backed securities. The Fund will invest in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">these short-term fixed-income instruments in order to generate income to cover some or all of the costs associated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">with the Fund’s derivative positions. The Fund will also invest a significant portion of its total assets in cash and cash </span><span style="color:#000000;font-family:arial;font-size:9.30pt">equivalents and held by the Fund to use for margin requirements for its derivative positions.</span></div> You may lose part or all of your investment in the Fund or your investment may not perform as well as other similar investments. <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Debt Securities Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Debt securities, such as bonds, involve risks, such as credit risk, interest rate risk, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">extension risk, and prepayment risk, each of which are described in further detail below:</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Credit Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will not be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">able to make payments of interest and principal when due. Changes in an issuer’s credit rating or the market’s </span><span style="color:#000000;font-family:arial;font-size:9.30pt">perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. The </span><span style="color:#000000;font-family:arial;font-size:9.30pt">degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation.</span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Interest Rate Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The market value of bonds and other fixed-income securities changes in response to interest </span><span style="color:#000000;font-family:arial;font-size:9.30pt">rate changes and other factors. Interest rate risk is the risk that prices of bonds and other fixed-income securities </span><span style="color:#000000;font-family:arial;font-size:9.30pt">will increase as interest rates fall and decrease as interest rates rise.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="line-height:10.695pt;margin-left:12pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may be subject to a greater risk of rising interest rates during a period of historically low interest rates. For </span><span style="color:#000000;font-family:arial;font-size:9.30pt">example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors </span><span style="color:#000000;font-family:arial;font-size:9.30pt">being equal, the value of the Fund’s investments would be expected to decrease by 10%. (Duration is a measure of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the price sensitivity of a debt security or portfolio of debt securities to relative changes in interest rates.) The </span><span style="color:#000000;font-family:arial;font-size:9.30pt">magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater </span><span style="color:#000000;font-family:arial;font-size:9.30pt">for those securities with longer maturities. Fluctuations in the market price of the Fund’s investments will not affect </span><span style="color:#000000;font-family:arial;font-size:9.30pt">interest income derived from instruments already owned by the Fund, but will be reflected in the Fund’s net asset </span><span style="color:#000000;font-family:arial;font-size:9.30pt">value. The Fund may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund management.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">To the extent the Fund invests in debt securities that may be prepaid at the option of the obligor (such as mortgage-backed</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> securities), the sensitivity of such securities to changes in interest rates may increase (to the detriment of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund) when interest rates rise. Moreover, because rates on certain floating rate debt securities typically reset </span><span style="color:#000000;font-family:arial;font-size:9.30pt">only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">expected to cause some fluctuations in the net asset value of the Fund to the extent that it invests in floating rate </span><span style="color:#000000;font-family:arial;font-size:9.30pt">debt securities.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">These basic principles of bond prices also apply to U.S. Government securities. A security backed by the “full faith </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and credit” of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not </span><span style="color:#000000;font-family:arial;font-size:9.30pt">its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">value when interest rates change.</span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large </span><span style="color:#000000;font-family:arial;font-size:9.30pt">scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy </span><span style="color:#000000;font-family:arial;font-size:9.30pt">redemptions could cause the Fund to sell assets at inopportune times or at a loss or depressed value and could </span><span style="color:#000000;font-family:arial;font-size:9.30pt">hurt the Fund’s performance.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Extension Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — When interest rates rise, certain obligations will be paid off by the obligor more slowly than </span><span style="color:#000000;font-family:arial;font-size:9.30pt">anticipated, causing the value of these obligations to fall.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Prepayment Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — When interest rates fall, certain obligations will be paid off by the obligor more quickly than </span><span style="color:#000000;font-family:arial;font-size:9.30pt">originally anticipated, and the Fund may have to invest the proceeds in securities with lower yields.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.0pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">U.S. Government Issuer Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">—</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> Treasury obligations may differ in their interest rates, maturities, times of issuance </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and other characteristics. Obligations of U.S. Government agencies and authorities are supported by varying </span><span style="color:#000000;font-family:arial;font-size:9.30pt">degrees of credit but generally are not backed by the full faith and credit of the U.S. Government. No assurance can </span><span style="color:#000000;font-family:arial;font-size:9.30pt">be given that the U.S. Government will provide financial support to its agencies and authorities if it is not obligated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">by law to do so.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Investment in Other Investment Companies Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt">— As with other investments, investments in other investment </span><span style="color:#000000;font-family:arial;font-size:9.30pt">companies, including exchange-traded funds are subject to market and selection risk. In addition, if the Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">acquires shares of investment companies, including ones affiliated with the Fund, shareholders bear both their </span><span style="color:#000000;font-family:arial;font-size:9.30pt">proportionate share of expenses in the Fund (including management and advisory fees) and, indirectly, the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">expenses of the investment companies (to the extent not offset by BlackRock through waivers). To the extent the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund is held by an affiliated fund, the ability of the Fund itself to hold other investment companies may be limited.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.0pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Derivatives Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The Fund’s use of derivatives may increase its costs, reduce the Fund’s returns and/or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">increase volatility. Derivatives involve significant risks, including:</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Leverage Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The Fund’s use of derivatives can magnify the Fund’s gains and losses. Relatively small market </span><span style="color:#000000;font-family:arial;font-size:9.30pt">movements may result in large changes in the value of a derivatives position and can result in losses that greatly </span><span style="color:#000000;font-family:arial;font-size:9.30pt">exceed the amount originally invested.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Market Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Some derivatives are more sensitive to interest rate changes and market price fluctuations than </span><span style="color:#000000;font-family:arial;font-size:9.30pt">other securities. The Fund could also suffer losses related to its derivatives positions as a result of unanticipated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">market movements, which losses are potentially unlimited. Finally, BlackRock may not be able to predict correctly </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the direction of securities prices, interest rates and other economic factors, which could cause the Fund’s </span><span style="color:#000000;font-family:arial;font-size:9.30pt">derivatives positions to lose value.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Counterparty Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Derivatives are also subject to counterparty risk, which is the risk that the other party in the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">transaction will be unable or unwilling to fulfill its contractual obligation, and the related risks of having concentrated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">exposure to such a counterparty.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Illiquidity Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more </span><span style="color:#000000;font-family:arial;font-size:9.30pt">difficult for the Fund to value accurately.</span></div><div style="line-height:10.695pt;margin-left:12pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Operational Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The use of derivatives includes the risk of potential operational issues, including documentation </span><span style="color:#000000;font-family:arial;font-size:9.30pt">issues, settlement issues, systems failures, inadequate controls and human error.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Legal Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The risk of insufficient documentation, insufficient capacity or authority of counterparty, or legality or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">enforceability of a contract.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Volatility and Correlation Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Volatility is defined as the characteristic of a security, an index or a market to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">fluctuate significantly in price within a short time period. A risk of the Fund’s use of derivatives is that the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">fluctuations in their values may not correlate with the overall securities markets.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Valuation Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Valuation for derivatives may not be readily available in the market. Valuation may be more difficult </span><span style="color:#000000;font-family:arial;font-size:9.30pt">in times of market turmoil since many investors and market makers may be reluctant to purchase complex </span><span style="color:#000000;font-family:arial;font-size:9.30pt">instruments or quote prices for them.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Hedging Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Hedges are sometimes subject to imperfect matching between the derivative and the underlying </span><span style="color:#000000;font-family:arial;font-size:9.30pt">security, and there can be no assurance that the Fund’s hedging transactions will be effective. The use of hedging </span><span style="color:#000000;font-family:arial;font-size:9.30pt">may result in certain adverse tax consequences.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Tax Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Certain aspects of the tax treatment of derivative instruments, including swap agreements and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment in an underlying asset and may adversely affect the timing, character and amount of income the Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">realizes from its investments.</span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Illiquid Investments Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— The Fund may not acquire any illiquid investment if, immediately after the acquisition, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund would have invested more than 15% of its net assets in illiquid investments. An illiquid investment is any </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven </span><span style="color:#000000;font-family:arial;font-size:9.30pt">calendar days or less without the sale or disposition significantly changing the market value of the investment. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Liquid investments may become illiquid after purchase by the Fund, particularly during periods of market turmoil. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">There can be no assurance that a security or instrument that is deemed to be liquid when purchased will continue </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to be liquid for as long as it is held by the Fund, and any security or instrument held by the Fund may be deemed an </span><span style="color:#000000;font-family:arial;font-size:9.30pt">illiquid investment pursuant to the Fund’s liquidity risk management program. The Fund’s illiquid investments may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">reduce the returns of the Fund because it may be difficult to sell the illiquid investments at an advantageous time </span><span style="color:#000000;font-family:arial;font-size:9.30pt">or price. In addition, if the Fund is limited in its ability to dispose of illiquid investments during periods when </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shareholders are redeeming or selling their shares or the Fund’s net assets otherwise shrink, the Fund will need to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">dispose of liquid securities to meet redemption requests and illiquid securities will become a larger portion of the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund’s holdings. An investment may be illiquid due to, among other things, the reduced number and capacity of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">traditional market participants to make a market in fixed-income securities or the lack of an active trading market. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">To the extent that the Fund’s principal investment strategies involve derivatives or securities with substantial market </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and/or credit risk, the Fund will tend to have greater exposure to the risks associated with illiquid investments. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Illiquid investments may be harder to value, especially in changing markets, and if the Fund is forced to sell these </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investments to meet redemption requests or for other cash needs, the Fund may suffer a loss. This may be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">magnified in a rising interest rate environment or other circumstances where investor redemptions or sales of Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shares may be higher than normal. In addition, when there is illiquidity in the market for certain securities, the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund, due to limitations on illiquid investments, may be subject to purchase and sale restrictions.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Leverage Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Some transactions may give rise to a form of economic leverage. These transactions may include, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">among others, derivatives, and may expose the Fund to greater risk and increase its costs. The use of leverage may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">cause the Fund to liquidate portfolio positions when it may not be advantageous to do so to satisfy its obligations or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to meet the applicable requirements of the Investment Company Act of 1940, as amended (the “Investment </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Company Act”), and the rules thereunder. Increases and decreases in the value of the Fund’s portfolio will be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">magnified when the Fund uses leverage.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Market Risk and Selection Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Market risk is the risk that one or more markets in which the Fund invests will </span><span style="color:#000000;font-family:arial;font-size:9.30pt">go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a </span><span style="color:#000000;font-family:arial;font-size:9.30pt">security or other asset may decline due to changes in general market conditions, economic trends or events that </span><span style="color:#000000;font-family:arial;font-size:9.30pt">are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health </span><span style="color:#000000;font-family:arial;font-size:9.30pt">issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Fund and its </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investments. Selection risk is the risk that the securities selected by Fund management will underperform the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">markets, the relevant indices or the securities selected by other funds with similar investment objectives and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment strategies. This means you may lose money.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="line-height:10.695pt;margin-left:12pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Recent policy initiatives undertaken by the U.S. government have the potential to impact international relations, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">trade agreements and the overall regulatory environment in ways that could create uncertainty and instability in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">domestic and global markets, and could adversely affect the investment performance of the Fund. In particular, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">actions taken by the U.S. government in respect of international trade relations could lead to trade wars, increased </span><span style="color:#000000;font-family:arial;font-size:9.30pt">costs for imported goods, disruptions in supply chains, reduced foreign investment, and instability in regions where </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund invests.</span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Mortgage- and Asset-Backed Securities Risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Mortgage- and asset-backed securities represent interests in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">“pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-</span><span style="color:#000000;font-family:arial;font-size:9.30pt">backed securities are subject to credit, interest rate, prepayment and extension risks. These securities also are </span><span style="color:#000000;font-family:arial;font-size:9.30pt">subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">certain mortgage-backed securities.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Operational and Technology Risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— The Fund is directly and indirectly susceptible to operational and technology </span><span style="color:#000000;font-family:arial;font-size:9.30pt">risks, including those related to human errors, processing errors, communication errors, systems failures, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">cybersecurity incidents, and the use of artificial intelligence and machine learning (“AI”), which may result in losses </span><span style="color:#000000;font-family:arial;font-size:9.30pt">for the Fund and its shareholders or may impair the Fund’s operations. While the Fund’s service providers are </span><span style="color:#000000;font-family:arial;font-size:9.30pt">required to have appropriate operational, information security and cybersecurity risk management policies and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">procedures, their methods of risk management may differ from those of the Fund. Operational and technology risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt">for the issuers in which the Fund invests could also result in material adverse consequences for such issuers and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">may cause the Fund’s investments in such issuers to lose value.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Short Sales Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Because making short sales in securities that it does not own exposes the Fund to the risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt">associated with those securities, such short sales involve speculative exposure risk. The Fund will incur a loss as a </span><span style="color:#000000;font-family:arial;font-size:9.30pt">result of a short sale if the price of the security increases between the date of the short sale and the date on which </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund replaces the security sold short.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> </div> <div style="clear:both;position:relative;"> </div> </div> Performance Information <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The information shows you how the Fund’s performance has varied year by year and provides some indication of the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">risks of investing in the Fund. The table compares the Fund’s performance to those of the Bloomberg U.S. Aggregate </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Bond Index, Bloomberg U.S. Treasury 7-10 Year Bond Index and the Bloomberg U.S. Bellwether 10 Year Swap Index. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">The Bloomberg U.S. Treasury 7-10 Year Bond Index and the Bloomberg U.S. Bellwether 10 Year Swap Index are </span><span style="color:#000000;font-family:arial;font-size:9.30pt">relevant to the Fund because they have characteristics similar to the Fund’s investment strategies. To the extent that </span><span style="color:#000000;font-family:arial;font-size:9.30pt">dividends and distributions have been paid by the Fund, the performance information for the Fund in the chart and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">table assumes reinvestment of the dividends and distributions. As with all such investments, past performance </span><span style="color:#000000;font-family:arial;font-size:9.30pt">(before and after taxes) is not an indication of future results. The table includes all applicable fees. If the Fund’s </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment manager and its affiliates had not waived or reimbursed certain Fund expenses during these periods, the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund’s returns would have been lower. Updated information on the Fund’s performance, including its current net asset </span><span style="color:#000000;font-family:arial;font-size:9.30pt">value, can be obtained by visiting http://www.blackrock.com or can be obtained by phone at 800-882-0052.</span></div> The information shows you how the Fund’s performance has varied year by year and provides some indication of the risks of investing in the Fund. The table compares the Fund’s performance to those of the Bloomberg U.S. Aggregate Bond Index, Bloomberg U.S. Treasury 7-10 Year Bond Index and the Bloomberg U.S. Bellwether 10 Year Swap Index. The Bloomberg U.S. Treasury 7-10 Year Bond Index and the Bloomberg U.S. Bellwether 10 Year Swap Index are relevant to the Fund because they have characteristics similar to the Fund’s investment strategies. As with all such investments, past performance (before and after taxes) is not an indication of future results. http://www.blackrock.com 800-882-0052 ANNUAL TOTAL RETURNS BATS: Interest Rate Hedge Series As of 12/31 <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">During the ten-year period shown in the bar chart, the highest return for a quarter was 7.67% (quarter ended </span><span style="color:#000000;font-family:arial;font-size:9.30pt">December 31, 2024) and the lowest return for a quarter was -10.31% (quarter ended March 31, 2020). The year-to-date</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> return as of June 30, 2026 was 3.86%.</span><span style="color:#000000;font-family:arial;font-size:1pt;line-height:0.93pt"> </span></div> highest return 0.0767 2024-12-31 lowest return -0.1031 2020-03-31 year-to-datereturn 2026-06-30 0.0386 For the periods ended 12/31/25Average Annual Total Returns 0.0018 0.0803 0.0281 -0.0389 0.0609 0.0177 0.0010 0.0546 0.0173 0.0730 -0.0036 0.0201 0.0840 -0.0166 0.0139 0.0656 -0.0260 0.0090 <div style="margin-top:12pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not </span><span style="color:#000000;font-family:arial;font-size:9.30pt">reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through </span><span style="color:#000000;font-family:arial;font-size:9.30pt">tax-deferred arrangements, such as 401(k) plans or individual retirement accounts.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through tax-deferred arrangements, such as 401(k) plans or individual retirement accounts. Fund Overview Key Facts About BATS: Short Duration Taxable Total Return Series Investment Objective <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The investment objective of the BATS: Short Duration Taxable Total Return Series (formerly known as </span><span style="color:#000000;font-family:arial;font-size:9.30pt">“</span><span style="color:#000000;font-family:arial;font-size:9.30pt">BATS: Series S </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Portfolio</span><span style="color:#000000;font-family:arial;font-size:9.30pt">”</span><span style="color:#000000;font-family:arial;font-size:9.30pt">) (the “Fund”) is to seek to maximize total return, consistent with income generation and prudent investment </span><span style="color:#000000;font-family:arial;font-size:9.30pt">management.</span></div> Fees and Expenses of the Fund <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">This table describes the fees and expenses that you may pay if you buy, hold and sell shares of the Fund. Amounts in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the table are rounded to the nearest basis point, which in some cases may be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">“</span><span style="color:#000000;font-family:arial;font-size:9.30pt">0.00.</span><span style="color:#000000;font-family:arial;font-size:9.30pt">”</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span><span style="color:#000000;font-family:arial;font-size:1pt;line-height:0.93pt"> </span></div> Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) 0 0 0.0012 0.0012 -0.0012 0.0000 Example: <div style="line-height:10.695pt;margin-top:0.0pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">This Example is intended to help you compare the cost of investing in the Fund with the cost of investing in other </span><span style="color:#000000;font-family:arial;font-size:9.30pt">mutual funds. The Example assumes that you invest $10,000 in the Fund for the time periods indicated and then </span><span style="color:#000000;font-family:arial;font-size:9.30pt">redeem all of your shares at the end of those periods. The Example also assumes that your investment has a 5% </span><span style="color:#000000;font-family:arial;font-size:9.30pt">return each year and that the Fund’s operating expenses remain the same. Although your actual costs may be higher </span><span style="color:#000000;font-family:arial;font-size:9.30pt">or lower, based on these assumptions your costs would be:</span><span style="color:#000000;font-family:arial;font-size:1pt;line-height:0.93pt"> </span></div> 0 0 0 0 Portfolio Turnover: <div style="line-height:10.695pt;margin-top:0.0pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its </span><span style="color:#000000;font-family:arial;font-size:9.30pt">portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shares are held in a taxable account. These costs, which are not reflected in annual fund operating expenses or in the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Example, affect the Fund’s performance. During the most recent fiscal year, the Fund’s portfolio turnover rate was </span><span style="color:#000000;font-family:arial;font-size:9.30pt">88</span><span style="color:#000000;font-family:arial;font-size:9.30pt">% of the average value of its portfolio.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> 0.88 Principal Investment Strategies of the Fund <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">In pursuit of the investment objective, the Fund will principally invest in the following securities:</span></div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">commercial and residential mortgage-backed securities;</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">obligations of non-U.S. governments and supra-national organizations, such as the International Bank for </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Reconstruction and Development (the “World Bank”), which are chartered to promote economic development;</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">obligations of domestic and non-U.S. corporations;</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">asset-backed securities;</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">collateralized mortgage obligations;</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">U.S. Treasury and agency securities;</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">when-issued and delayed delivery securities;</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">derivatives;</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">cash equivalent investments;</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.0pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">repurchase agreements and reverse repurchase agreements; and</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">dollar rolls.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Under normal circumstances, the Fund invests at least 80% of its total assets in fixed-income instruments. This 80% </span><span style="color:#000000;font-family:arial;font-size:9.30pt">policy is a non-fundamental policy of the Fund and may not be changed without 60 days’ prior notice to shareholders. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund’s investments in derivatives will be counted toward the Fund’s 80% policy to the extent that they provide </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment exposure to the securities included within that policy or to one or more market risk factors associated with </span><span style="color:#000000;font-family:arial;font-size:9.30pt">such securities.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The management team evaluates sectors of the bond market and individual securities within these sectors. The </span><span style="color:#000000;font-family:arial;font-size:9.30pt">management team may, when consistent with the Fund’s investment objective, buy or sell options or futures on a </span><span style="color:#000000;font-family:arial;font-size:9.30pt">security or an index of securities, or enter into interest rate or foreign currency transactions, including swaps </span><span style="color:#000000;font-family:arial;font-size:9.30pt">(collectively, commonly known as derivatives).</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may only buy securities that are rated investment grade at the time of purchase by at least one major rating </span><span style="color:#000000;font-family:arial;font-size:9.30pt">agency or, if unrated, determined by the management team to be of similar quality.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Under normal circumstances, the Fund seeks to maintain an average portfolio duration of zero to three years. Duration </span><span style="color:#000000;font-family:arial;font-size:9.30pt">is a mathematical calculation of the average life of a bond (or bonds in a bond fund) that serves as a useful measure </span><span style="color:#000000;font-family:arial;font-size:9.30pt">of its price risk. Each year of duration represents an expected 1% change in the net asset value of a bond fund for </span><span style="color:#000000;font-family:arial;font-size:9.30pt">every 1% immediate change in interest rates. For example, if a bond fund has an average duration of ten years, its net </span><span style="color:#000000;font-family:arial;font-size:9.30pt">asset value would be expected to fall about 10% when interest rates rise by one percentage point, assuming all other </span><span style="color:#000000;font-family:arial;font-size:9.30pt">factors remain equal. Conversely, the bond fund’s net asset value would be expected to rise about 10% when interest </span><span style="color:#000000;font-family:arial;font-size:9.30pt">rates fall by one percentage point, assuming all other factors remain equal. Duration, which measures price sensitivity </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to interest rate changes, is not necessarily equal to average maturity.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may engage in active and frequent trading of portfolio instruments to achieve its investment objective.</span></div> <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Under normal circumstances, the Fund invests at least 80% of its total assets in fixed-income instruments. This 80% </span><span style="color:#000000;font-family:arial;font-size:9.30pt">policy is a non-fundamental policy of the Fund and may not be changed without 60 days’ prior notice to shareholders. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund’s investments in derivatives will be counted toward the Fund’s 80% policy to the extent that they provide </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment exposure to the securities included within that policy or to one or more market risk factors associated with </span><span style="color:#000000;font-family:arial;font-size:9.30pt">such securities.</span></div> <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may only buy securities that are rated investment grade at the time of purchase by at least one major rating </span><span style="color:#000000;font-family:arial;font-size:9.30pt">agency or, if unrated, determined by the management team to be of similar quality.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> You may lose part or all of your investment in the Fund or your investment may not perform as well as other similar investments. <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Debt Securities Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Debt securities, such as bonds, involve risks, such as credit risk, interest rate risk, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">extension risk, and prepayment risk, each of which are described in further detail below:</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Credit Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will not be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">able to make payments of interest and principal when due. Changes in an issuer’s credit rating or the market’s </span><span style="color:#000000;font-family:arial;font-size:9.30pt">perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. The </span><span style="color:#000000;font-family:arial;font-size:9.30pt">degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation.</span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Interest Rate Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The market value of bonds and other fixed-income securities changes in response to interest </span><span style="color:#000000;font-family:arial;font-size:9.30pt">rate changes and other factors. Interest rate risk is the risk that prices of bonds and other fixed-income securities </span><span style="color:#000000;font-family:arial;font-size:9.30pt">will increase as interest rates fall and decrease as interest rates rise.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="line-height:10.695pt;margin-left:12pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund may be subject to a greater risk of rising interest rates during a period of historically low interest rates. For </span><span style="color:#000000;font-family:arial;font-size:9.30pt">example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors </span><span style="color:#000000;font-family:arial;font-size:9.30pt">being equal, the value of the Fund’s investments would be expected to decrease by 10%. (Duration is a measure of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the price sensitivity of a debt security or portfolio of debt securities to relative changes in interest rates.) The </span><span style="color:#000000;font-family:arial;font-size:9.30pt">magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater </span><span style="color:#000000;font-family:arial;font-size:9.30pt">for those securities with longer maturities. Fluctuations in the market price of the Fund’s investments will not affect </span><span style="color:#000000;font-family:arial;font-size:9.30pt">interest income derived from instruments already owned by the Fund, but will be reflected in the Fund’s net asset </span><span style="color:#000000;font-family:arial;font-size:9.30pt">value. The Fund may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund management.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">To the extent the Fund invests in debt securities that may be prepaid at the option of the obligor (such as mortgage-backed</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> securities), the sensitivity of such securities to changes in interest rates may increase (to the detriment of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund) when interest rates rise. Moreover, because rates on certain floating rate debt securities typically reset </span><span style="color:#000000;font-family:arial;font-size:9.30pt">only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">expected to cause some fluctuations in the net asset value of the Fund to the extent that it invests in floating rate </span><span style="color:#000000;font-family:arial;font-size:9.30pt">debt securities.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">These basic principles of bond prices also apply to U.S. Government securities. A security backed by the “full faith </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and credit” of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not </span><span style="color:#000000;font-family:arial;font-size:9.30pt">its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">value when interest rates change.</span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large </span><span style="color:#000000;font-family:arial;font-size:9.30pt">scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy </span><span style="color:#000000;font-family:arial;font-size:9.30pt">redemptions could cause the Fund to sell assets at inopportune times or at a loss or depressed value and could </span><span style="color:#000000;font-family:arial;font-size:9.30pt">hurt the Fund’s performance.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Extension Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — When interest rates rise, certain obligations will be paid off by the obligor more slowly than </span><span style="color:#000000;font-family:arial;font-size:9.30pt">anticipated, causing the value of these obligations to fall.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Prepayment Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — When interest rates fall, certain obligations will be paid off by the obligor more quickly than </span><span style="color:#000000;font-family:arial;font-size:9.30pt">originally anticipated, and the Fund may have to invest the proceeds in securities with lower yields.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Mortgage- and Asset-Backed Securities Risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Mortgage- and asset-backed securities represent interests in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">“pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-</span><span style="color:#000000;font-family:arial;font-size:9.30pt">backed securities are subject to credit, interest rate, prepayment and extension risks. These securities also are </span><span style="color:#000000;font-family:arial;font-size:9.30pt">subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">certain mortgage-backed securities.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.0pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Foreign Securities Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Foreign investments often involve special risks not present in U.S. investments that can </span><span style="color:#000000;font-family:arial;font-size:9.30pt">increase the chances that the Fund will lose money. These risks include:</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;margin-left:12pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:493.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund generally holds its foreign securities and cash in foreign banks and securities depositories, which may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">be recently organized or new to the foreign custody business and may be subject to only limited or no regulatory </span><span style="color:#000000;font-family:arial;font-size:9.30pt">oversight.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;margin-left:12pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:493.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Changes in foreign currency exchange rates can affect the value of the Fund’s portfolio.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;margin-left:12pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:493.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The economies of certain foreign markets may not compare favorably with the economy of the United States with </span><span style="color:#000000;font-family:arial;font-size:9.30pt">respect to such issues as growth of gross national product, reinvestment of capital, resources and balance of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">payments position.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;margin-left:12pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:493.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The governments of certain countries, or the U.S. Government with respect to certain countries, may prohibit or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">impose substantial restrictions through capital controls and/or sanctions on foreign investments in the capital </span><span style="color:#000000;font-family:arial;font-size:9.30pt">markets or certain industries in those countries, which may prohibit or restrict the ability to own or transfer </span><span style="color:#000000;font-family:arial;font-size:9.30pt">currency, securities, derivatives or other assets.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;margin-left:12pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:493.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Many foreign governments do not supervise and regulate stock exchanges, brokers and the sale of securities to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the same extent as does the United States and may not have laws to protect investors that are comparable to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">U.S. securities laws.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;margin-left:12pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:493.0pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Settlement and clearance procedures in certain foreign markets may result in delays in payment for or delivery of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">securities not typically associated with settlement and clearance of U.S. investments.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;margin-left:12pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:493.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The Fund’s claims to recover foreign withholding taxes may not be successful, and if the likelihood of recovery of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">foreign withholding taxes materially decreases, due to, for example, a change in tax regulation or approach in the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">foreign country, accruals in the Fund’s net asset value for such refunds may be written down partially or in full, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">which will adversely affect the Fund’s net asset value.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.0pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Derivatives Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The Fund’s use of derivatives may increase its costs, reduce the Fund’s returns and/or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">increase volatility. Derivatives involve significant risks, including:</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Leverage Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The Fund’s use of derivatives can magnify the Fund’s gains and losses. Relatively small market </span><span style="color:#000000;font-family:arial;font-size:9.30pt">movements may result in large changes in the value of a derivatives position and can result in losses that greatly </span><span style="color:#000000;font-family:arial;font-size:9.30pt">exceed the amount originally invested.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Market Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Some derivatives are more sensitive to interest rate changes and market price fluctuations than </span><span style="color:#000000;font-family:arial;font-size:9.30pt">other securities. The Fund could also suffer losses related to its derivatives positions as a result of unanticipated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">market movements, which losses are potentially unlimited. Finally, BlackRock may not be able to predict correctly </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the direction of securities prices, interest rates and other economic factors, which could cause the Fund’s </span><span style="color:#000000;font-family:arial;font-size:9.30pt">derivatives positions to lose value.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Counterparty Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Derivatives are also subject to counterparty risk, which is the risk that the other party in the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">transaction will be unable or unwilling to fulfill its contractual obligation, and the related risks of having concentrated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">exposure to such a counterparty.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Illiquidity Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more </span><span style="color:#000000;font-family:arial;font-size:9.30pt">difficult for the Fund to value accurately.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Operational Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The use of derivatives includes the risk of potential operational issues, including documentation </span><span style="color:#000000;font-family:arial;font-size:9.30pt">issues, settlement issues, systems failures, inadequate controls and human error.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Legal Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The risk of insufficient documentation, insufficient capacity or authority of counterparty, or legality or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">enforceability of a contract.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Volatility and Correlation Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Volatility is defined as the characteristic of a security, an index or a market to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">fluctuate significantly in price within a short time period. A risk of the Fund’s use of derivatives is that the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">fluctuations in their values may not correlate with the overall securities markets.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Valuation Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Valuation for derivatives may not be readily available in the market. Valuation may be more difficult </span><span style="color:#000000;font-family:arial;font-size:9.30pt">in times of market turmoil since many investors and market makers may be reluctant to purchase complex </span><span style="color:#000000;font-family:arial;font-size:9.30pt">instruments or quote prices for them.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Hedging Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Hedges are sometimes subject to imperfect matching between the derivative and the underlying </span><span style="color:#000000;font-family:arial;font-size:9.30pt">security, and there can be no assurance that the Fund’s hedging transactions will be effective. The use of hedging </span><span style="color:#000000;font-family:arial;font-size:9.30pt">may result in certain adverse tax consequences.</span></div><div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">Tax Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Certain aspects of the tax treatment of derivative instruments, including swap agreements and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment in an underlying asset and may adversely affect the timing, character and amount of income the Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">realizes from its investments.</span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Dollar Rolls Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Dollar rolls involve the risk that the market value of the securities that the Fund is committed to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">buy may decline below the price of the securities the Fund has sold. These transactions may involve leverage.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">High Portfolio Turnover Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— The Fund may engage in active and frequent trading of its portfolio securities. High </span><span style="color:#000000;font-family:arial;font-size:9.30pt">portfolio turnover (more than 100%) may result in increased transaction costs to the Fund, including brokerage </span><span style="color:#000000;font-family:arial;font-size:9.30pt">commissions, dealer mark-ups and other transaction costs on the sale of the securities and on reinvestment in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">other securities. The sale of Fund portfolio securities may result in the realization and/or distribution to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shareholders of higher capital gains or losses as compared to a fund with less active trading policies. These effects </span><span style="color:#000000;font-family:arial;font-size:9.30pt">of higher than normal portfolio turnover may adversely affect Fund performance.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Illiquid Investments Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— The Fund may not acquire any illiquid investment if, immediately after the acquisition, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund would have invested more than 15% of its net assets in illiquid investments. An illiquid investment is any </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven </span><span style="color:#000000;font-family:arial;font-size:9.30pt">calendar days or less without the sale or disposition significantly changing the market value of the investment. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Liquid investments may become illiquid after purchase by the Fund, particularly during periods of market turmoil. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">There can be no assurance that a security or instrument that is deemed to be liquid when purchased will continue </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to be liquid for as long as it is held by the Fund, and any security or instrument held by the Fund may be deemed an </span><span style="color:#000000;font-family:arial;font-size:9.30pt">illiquid investment pursuant to the Fund’s liquidity risk management program. The Fund’s illiquid investments may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">reduce the returns of the Fund because it may be difficult to sell the illiquid investments at an advantageous time </span><span style="color:#000000;font-family:arial;font-size:9.30pt">or price. In addition, if the Fund is limited in its ability to dispose of illiquid investments during periods when </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shareholders are redeeming or selling their shares or the Fund’s net assets otherwise shrink, the Fund will need to </span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="line-height:10.695pt;margin-left:12pt;text-align:left;"><span style="color:#000000;font-family:arial;font-size:9.30pt">dispose of liquid securities to meet redemption requests and illiquid securities will become a larger portion of the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund’s holdings. An investment may be illiquid due to, among other things, the reduced number and capacity of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">traditional market participants to make a market in fixed-income securities or the lack of an active trading market. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">To the extent that the Fund’s principal investment strategies involve derivatives or securities with substantial market </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and/or credit risk, the Fund will tend to have greater exposure to the risks associated with illiquid investments. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Illiquid investments may be harder to value, especially in changing markets, and if the Fund is forced to sell these </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investments to meet redemption requests or for other cash needs, the Fund may suffer a loss. This may be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">magnified in a rising interest rate environment or other circumstances where investor redemptions or sales of Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">shares may be higher than normal. In addition, when there is illiquidity in the market for certain securities, the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund, due to limitations on illiquid investments, may be subject to purchase and sale restrictions.</span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Leverage Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — Some transactions may give rise to a form of economic leverage. These transactions may include, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">among others, derivatives, and may expose the Fund to greater risk and increase its costs. The use of leverage may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">cause the Fund to liquidate portfolio positions when it may not be advantageous to do so to satisfy its obligations or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to meet the applicable requirements of the Investment Company Act of 1940, as amended (the “Investment </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Company Act”), and the rules thereunder. Increases and decreases in the value of the Fund’s portfolio will be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">magnified when the Fund uses leverage.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Market Risk and Selection Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Market risk is the risk that one or more markets in which the Fund invests will </span><span style="color:#000000;font-family:arial;font-size:9.30pt">go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a </span><span style="color:#000000;font-family:arial;font-size:9.30pt">security or other asset may decline due to changes in general market conditions, economic trends or events that </span><span style="color:#000000;font-family:arial;font-size:9.30pt">are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health </span><span style="color:#000000;font-family:arial;font-size:9.30pt">issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Fund and its </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investments. Selection risk is the risk that the securities selected by Fund management will underperform the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">markets, the relevant indices or the securities selected by other funds with similar investment objectives and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">investment strategies. This means you may lose money.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div><div style="margin-top:4pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">Recent policy initiatives undertaken by the U.S. government have the potential to impact international relations, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">trade agreements and the overall regulatory environment in ways that could create uncertainty and instability in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">domestic and global markets, and could adversely affect the investment performance of the Fund. In particular, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">actions taken by the U.S. government in respect of international trade relations could lead to trade wars, increased </span><span style="color:#000000;font-family:arial;font-size:9.30pt">costs for imported goods, disruptions in supply chains, reduced foreign investment, and instability in regions where </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the Fund invests.</span></div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Operational and Technology Risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— The Fund is directly and indirectly susceptible to operational and technology </span><span style="color:#000000;font-family:arial;font-size:9.30pt">risks, including those related to human errors, processing errors, communication errors, systems failures, </span><span style="color:#000000;font-family:arial;font-size:9.30pt">cybersecurity incidents, and the use of artificial intelligence and machine learning (“AI”), which may result in losses </span><span style="color:#000000;font-family:arial;font-size:9.30pt">for the Fund and its shareholders or may impair the Fund’s operations. While the Fund’s service providers are </span><span style="color:#000000;font-family:arial;font-size:9.30pt">required to have appropriate operational, information security and cybersecurity risk management policies and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">procedures, their methods of risk management may differ from those of the Fund. Operational and technology risks </span><span style="color:#000000;font-family:arial;font-size:9.30pt">for the issuers in which the Fund invests could also result in material adverse consequences for such issuers and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">may cause the Fund’s investments in such issuers to lose value.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Repurchase Agreements and Purchase and Sale Contracts Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — If the other party to a repurchase agreement or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">purchase and sale contract defaults on its obligation under the agreement, the Fund may suffer delays and incur </span><span style="color:#000000;font-family:arial;font-size:9.30pt">costs or lose money in exercising its rights under the agreement. If the seller fails to repurchase the security in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">either situation and the market value of the security declines, the Fund may lose money.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Reverse Repurchase Agreements Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Reverse repurchase agreements involve the sale of securities held by the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. Reverse </span><span style="color:#000000;font-family:arial;font-size:9.30pt">repurchase agreements involve the risk that the other party may fail to return the securities in a timely manner or at </span><span style="color:#000000;font-family:arial;font-size:9.30pt">all. The Fund could lose money if it is unable to recover the securities and the value of the collateral held by the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund, including the value of the investments made with cash collateral, is less than the value of the securities. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">These events could also trigger adverse tax consequences for the Fund. In addition, reverse repurchase agreements </span><span style="color:#000000;font-family:arial;font-size:9.30pt">involve the risk that the interest income earned in the investment of the proceeds will be less than the interest </span><span style="color:#000000;font-family:arial;font-size:9.30pt">expense.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Sovereign Debt Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">—</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> Sovereign debt instruments are subject to the risk that a governmental entity may delay or </span><span style="color:#000000;font-family:arial;font-size:9.30pt">refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient </span><span style="color:#000000;font-family:arial;font-size:9.30pt">foreign currency reserves, political considerations, the relative size of the governmental entity’s debt position in </span><span style="color:#000000;font-family:arial;font-size:9.30pt">relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund </span><span style="color:#000000;font-family:arial;font-size:9.30pt">or other multilateral agencies.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Supranational Entities Risk</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> — The Fund may invest in obligations issued or guaranteed by the World Bank. The </span><span style="color:#000000;font-family:arial;font-size:9.30pt">government members, or “stockholders,” usually make initial capital contributions to the World Bank and in many </span><span style="color:#000000;font-family:arial;font-size:9.30pt">cases are committed to make additional capital contributions if the World Bank is unable to repay its borrowings. </span><span style="color:#000000;font-family:arial;font-size:9.30pt">There is no guarantee that one or more stockholders of the World Bank will continue to make any necessary </span><span style="color:#000000;font-family:arial;font-size:9.30pt">additional capital contributions. If such contributions are not made, the entity may be unable to pay interest or repay </span><span style="color:#000000;font-family:arial;font-size:9.30pt">principal on its debt securities, and the Fund may lose money on such investments.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">Treasury Obligations Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— Direct obligations of the U.S. Treasury have historically involved little risk of loss of </span><span style="color:#000000;font-family:arial;font-size:9.30pt">principal if held to maturity. However, due to fluctuations in interest rates, the market value of such securities may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">vary during the period shareholders own shares of the Fund. In addition, notwithstanding that U.S. Treasury </span><span style="color:#000000;font-family:arial;font-size:9.30pt">obligations are backed by the full faith and credit of the United States, circumstances could arise that could prevent </span><span style="color:#000000;font-family:arial;font-size:9.30pt">the timely payment of interest or principal, such as reaching the legislative “debt ceiling.” Such non-payment could </span><span style="color:#000000;font-family:arial;font-size:9.30pt">result in losses to the Fund and substantial negative consequences for the U.S. economy and the global financial </span><span style="color:#000000;font-family:arial;font-size:9.30pt">system.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.0pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">U.S. Government Issuer Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic">—</span><span style="color:#000000;font-family:arial;font-size:9.30pt"> Treasury obligations may differ in their interest rates, maturities, times of issuance </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and other characteristics. Obligations of U.S. Government agencies and authorities are supported by varying </span><span style="color:#000000;font-family:arial;font-size:9.30pt">degrees of credit but generally are not backed by the full faith and credit of the U.S. Government. No assurance can </span><span style="color:#000000;font-family:arial;font-size:9.30pt">be given that the U.S. Government will provide financial support to its agencies and authorities if it is not obligated </span><span style="color:#000000;font-family:arial;font-size:9.30pt">by law to do so.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> <div> <div style="clear:both;margin-top:4.805pt;position:relative;width:100%;"> <div style="float:left;line-height:9.87pt;text-align:left;width:8pt;"><span style="color:#000000;font-family:arial;font-size:8.37pt;position:relative;top:-0.5pt">◼</span></div> <div style="float:left;line-height:10.80pt;margin-left:4pt;text-align:left;width:505.00pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt;font-style:italic;font-weight:bold">When-Issued and Delayed Delivery Securities and Forward Commitments Risk </span><span style="color:#000000;font-family:arial;font-size:9.30pt">— When-issued and delayed </span><span style="color:#000000;font-family:arial;font-size:9.30pt">delivery securities and forward commitments involve the risk that the security the Fund buys will lose value prior to </span><span style="color:#000000;font-family:arial;font-size:9.30pt">its delivery. There also is the risk that the security will not be issued or that the other party to the transaction will </span><span style="color:#000000;font-family:arial;font-size:9.30pt">not meet its obligation. If this occurs, the Fund may lose both the investment opportunity for the assets it set aside </span><span style="color:#000000;font-family:arial;font-size:9.30pt">to pay for the security and any gain in the security’s price.</span></div> </div> <div style="clear:both;position:relative;"> </div> </div> Performance Information <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">The information shows you how the Fund’s performance has varied year by year and provides some indication of the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">risks of investing in the Fund. The table compares the Fund’s performance to that of the Bloomberg U.S. Aggregate </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Bond Index and the ICE BofA 1-3 Year U.S. Treasury Index. The ICE BofA 1-3 Year U.S. Treasury Index is relevant to the </span><span style="color:#000000;font-family:arial;font-size:9.30pt">Fund because it has characteristics similar to the Fund’s investment strategies. To the extent that dividends and </span><span style="color:#000000;font-family:arial;font-size:9.30pt">distributions have been paid by the Fund, the performance information for the Fund in the chart and table assumes </span><span style="color:#000000;font-family:arial;font-size:9.30pt">reinvestment of the dividends and distributions. As with all such investments, past performance (before and after </span><span style="color:#000000;font-family:arial;font-size:9.30pt">taxes) is not an indication of future results. The table includes all applicable fees. If the Fund’s investment manager </span><span style="color:#000000;font-family:arial;font-size:9.30pt">and its affiliates had not waived or reimbursed certain Fund expenses during these periods, the Fund’s returns would </span><span style="color:#000000;font-family:arial;font-size:9.30pt">have been lower. Updated information on the Fund’s performance, including its current net asset value, can be </span><span style="color:#000000;font-family:arial;font-size:9.30pt">obtained by visiting http://www.blackrock.com or can be obtained by phone at 800-882-0052.</span></div> The information shows you how the Fund’s performance has varied year by year and provides some indication of the risks of investing in the Fund. The table compares the Fund’s performance to that of the Bloomberg U.S. Aggregate Bond Index and the ICE BofA 1-3 Year U.S. Treasury Index. The ICE BofA 1-3 Year U.S. Treasury Index is relevant to the Fund because it has characteristics similar to the Fund’s investment strategies. As with all such investments, past performance (before and after taxes) is not an indication of future results. http://www.blackrock.com 800-882-0052 ANNUAL TOTAL RETURNS BATS: Short Duration Taxable Total Return Series As of 12/31 <div style="margin-top:6pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">During the ten-year period shown in the bar chart, the highest return for a quarter was 5.50% (quarter ended </span><span style="color:#000000;font-family:arial;font-size:9.30pt">June 30, 2020) and the lowest return for a quarter was -3.46% (quarter ended March 31, 2020). The year-to-date </span><span style="color:#000000;font-family:arial;font-size:9.30pt">return as of June 30, 2026 was 0.93%.</span><span style="color:#000000;font-family:arial;font-size:1pt;line-height:0.93pt"> </span></div> highest return 0.0550 2020-06-30 lowest return -0.0346 2020-03-31 year-to-datereturn 2026-06-30 0.0093 For the periods ended 12/31/25Average Annual Total Returns 0.0606 0.0264 0.0302 0.0410 0.0117 0.0166 0.0356 0.0137 0.0171 0.0730 -0.0036 0.0201 0.0509 0.0179 0.0185 <div style="margin-top:12pt;"><span style="color:#000000;font-family:arial;font-size:9.30pt">After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not </span><span style="color:#000000;font-family:arial;font-size:9.30pt">reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may </span><span style="color:#000000;font-family:arial;font-size:9.30pt">differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through </span><span style="color:#000000;font-family:arial;font-size:9.30pt">tax-deferred arrangements, such as 401(k) plans or individual retirement accounts.</span><span style="color:#000000;font-family:arial;font-size:9.30pt;line-height:10.695pt"> </span></div> After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through tax-deferred arrangements, such as 401(k) plans or individual retirement accounts. Fund OverviewKey Facts About BATS: Short Term Municipal Income Series Investment Objective <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">The investment objective of the BATS: Short Term Municipal Income Series (formerly known as </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">“</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">BATS: Series V </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Portfolio</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">”</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">) (the “Fund”) is to seek as high a level of income exempt from federal income tax consistent with </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">preservation of capital while seeking to minimize price volatility.</span></div> Fees and Expenses of the Fund <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">This table describes the fees and expenses that you may pay if you buy, hold and sell shares of the Fund. Amounts in </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">the table are rounded to the nearest basis point, which in some cases may be </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">“</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">0.00.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">”</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span><span style="color: #000000; font-family: arial; font-size: 1pt; line-height: 0.93pt;"> </span></div> Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) 0 0 0.0018 0.0018 -0.0018 0.0000 Example: <div style="line-height: 10.695pt; margin-top: 0.0pt; text-align: left;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">This Example is intended to help you compare the cost of investing in the Fund with the cost of investing in other </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">mutual funds. The Example assumes that you invest $10,000 in the Fund for the time periods indicated and then </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">redeem all of your shares at the end of those periods. The Example also assumes that your investment has a 5% </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">return each year and that the Fund’s operating expenses remain the same. Although your actual costs may be higher </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">or lower, based on these assumptions your costs would be:</span><span style="color: #000000; font-family: arial; font-size: 1pt; line-height: 0.93pt;"> </span></div> 0 0 0 0 Portfolio Turnover: <div style="line-height: 10.695pt; margin-top: 0.0pt; text-align: left;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">shares are held in a taxable account. These costs, which are not reflected in annual fund operating expenses or in the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Example, affect the Fund’s performance. During the most recent fiscal year, the Fund’s portfolio turnover rate was </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">34</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">% of the average value of its portfolio.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> 0.34 Principal Investment Strategies of the Fund <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Under normal circumstances, the Fund seeks to invest at least 80% of its net assets, plus the amount of any </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">borrowings for investment purposes, in investments the income of which is free from federal income tax and </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">derivatives that provide investment exposure to such securities or to one or more market risk factors associated with </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">such securities.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">The obligations issued by or on behalf of states, territories and possessions of the United States, the District of </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Columbia, and their respective authorities, agencies, instrumentalities and political subdivisions (“Municipal </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Obligations”) in which the Fund may invest will also not be subject to the federal alternative minimum tax. Municipal </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Obligations in which the Fund may invest include variable rate demand notes, commercial paper, municipal bonds and </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">municipal notes. The Fund may invest in variable and floating rate instruments, and transact in securities on a when </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">issued, delayed delivery or forward commitment basis.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">The Fund invests in securities maturing in two years or less (with certain exceptions) and will maintain a dollar-weighted</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> average maturity of 120 days or less. Because of their shorter maturities, the Fund’s investments will not </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">usually be as sensitive to changes in prevailing interest rates as are long-term municipal bonds. Fluctuations in </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">interest rates on short-term municipal bonds may, however, vary more widely from time to time than those on long-term</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> municipal bonds.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Short-term investments (or the issuers of such securities) will carry a rating in the highest rating categories of at least </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">one nationally recognized statistical rating organization (e.g., A-1, P-1 or F1 or better by S&amp;P Global Ratings (“S&amp;P”), </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Moody’s Investors Service, Inc. (“Moody’s”) or Fitch Ratings Inc. (“Fitch”), respectively), or if such investments are </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">unrated, determined to be of comparable quality by BlackRock, at the time of investment. Long-term investments (or </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">the issuers of such securities) will carry a rating of A-, A3 or A- or better by S&amp;P, Moody’s or Fitch, respectively, or if </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">such investments are unrated, determined to be of comparable quality by BlackRock, at the time of investment.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">The Fund is not a money market fund and does not seek to maintain a stable net asset value of $1.00 per share.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Under normal circumstances, the Fund seeks to invest at least 80% of its net assets, plus the amount of any </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">borrowings for investment purposes, in investments the income of which is free from federal income tax and </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">derivatives that provide investment exposure to such securities or to one or more market risk factors associated with </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">such securities.</span></div> Municipal Obligations in which the Fund may invest include variable rate demand notes, commercial paper, municipal bonds and municipal notes.The Fund invests in securities maturing in two years or less (with certain exceptions) <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">The Fund invests in securities maturing in two years or less (with certain exceptions) and will maintain a dollar-weighted</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> average maturity of 120 days or less. Because of their shorter maturities, the Fund’s investments will not </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">usually be as sensitive to changes in prevailing interest rates as are long-term municipal bonds. Fluctuations in </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">interest rates on short-term municipal bonds may, however, vary more widely from time to time than those on long-term</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> municipal bonds.</span></div> You may lose part or all of your investment in the Fund or your investment may not perform as well as other similar investments. <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Variable Rate Demand Obligations Risks </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">— Variable rate demand obligations are floating rate securities that </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">combine an interest in a long-term municipal bond with a right to demand payment before maturity from a bank or </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">other financial institution. If the bank or financial institution is unable to pay, the Fund may lose money.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Municipal Securities Risks </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">— Municipal securities risks include the ability of the issuer to repay the obligation, the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">relative lack of information about certain issuers of municipal securities, and the possibility of future legislative </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">changes which could affect the market for and value of municipal securities. Budgetary constraints of local, state, </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">and federal governments upon which the issuers may be relying for funding may also impact municipal securities. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">These risks include:</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">General Obligation Bonds Risks</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — Timely payments depend on the issuer’s credit quality, ability to raise tax </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">revenues and ability to maintain an adequate tax base.</span></div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Revenue Bonds Risks </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">— These payments depend on the money earned by the particular facility or class of </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">facilities, or the amount of revenues derived from another source.</span></div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Private Activity Bonds Risks</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — Municipalities and other public authorities issue private activity bonds to finance </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">development of industrial facilities for use by a private enterprise. The private enterprise pays the principal and </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">interest on the bond, and the issuer does not pledge its full faith, credit and taxing power for repayment.</span></div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Moral Obligation Bonds Risks</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — Moral obligation bonds are generally issued by special purpose public authorities </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">of a state or municipality. If the issuer is unable to meet its obligations, repayment of these bonds becomes a moral </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">commitment, but not a legal obligation, of the state or municipality.</span></div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Municipal Notes Risks</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — Municipal notes are shorter term municipal debt obligations. If there is a shortfall in the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">anticipated proceeds, the notes may not be fully repaid and the Fund may lose money.</span></div> <div style="line-height: 10.695pt; margin-left: 12pt; text-align: left;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Municipal Lease Obligations Risks</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — In a municipal lease obligation, the issuer agrees to make payments when </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">due on the lease obligation. Although the issuer does not pledge its unlimited taxing power for payment of the lease </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">obligation, the lease obligation is secured by the leased property.</span></div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Tax-Exempt Status Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — The Fund and its investment manager will rely on the opinion of issuers’ bond counsel </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">and, in the case of derivative securities, sponsors’ counsel, on the tax-exempt status of interest on municipal bonds </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">and payments under derivative securities. Neither the Fund nor its investment manager will independently review the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">bases for those tax opinions, which may ultimately be determined to be incorrect and subject the Fund and its </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">shareholders to substantial tax liabilities.</span></div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Credit Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will be unable </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">or unwilling to make timely payments of interest and principal when due or otherwise honor their obligations. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Changes in an issuer’s credit rating or the market’s perception of an issuer’s creditworthiness may also affect the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">value of the Fund’s investment in that issuer.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Foreign Exposure Risk </span><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">—</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> Securities issued or supported by foreign entities, including foreign banks and </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">corporations, may involve additional risks and considerations. Extensive public information about the foreign issuer </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">may not be available, and unfavorable political, economic or governmental developments in the foreign country </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">involved could affect the payment of principal and interest.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Income Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — Income risk is the risk that the Fund’s yield will vary as short-term securities in its portfolio mature </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">and the proceeds are reinvested in securities with different interest rates.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.0pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Interest Rate Risk </span><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">—</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> Interest rate risk is the risk that the value of a debt security may fall when interest rates rise. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">In general, the market price of debt securities with longer maturities will go up or down more in response to changes </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">in interest rates than the market price of shorter-term securities. Due to fluctuations in interest rates, the market </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">value of such securities may vary during the period shareholders own shares of the Fund. Very low or negative </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">interest rates may magnify interest rate risk. During periods of very low or negative interest rates, the Fund may be </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">unable to maintain positive returns or pay dividends to Fund shareholders. The Fund may be subject to a greater </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">risk of rising interest rates during a period of historically low interest rates. Changing interest rates may have </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">unpredictable effects on markets, may result in heightened market volatility and may detract from the Fund’s ability </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">to achieve its investment objective.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Market Risk and Selection Risk </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">— Market risk is the risk that one or more markets in which the Fund invests will </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">security or other asset may decline due to changes in general market conditions, economic trends or events that </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Fund and its </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">investments. Selection risk is the risk that the securities selected by Fund management will underperform the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">markets, the relevant indices or the securities selected by other funds with similar investment objectives and </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">investment strategies. This means you may lose money.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Recent policy initiatives undertaken by the U.S. government have the potential to impact international relations, </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">trade agreements and the overall regulatory environment in ways that could create uncertainty and instability in </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">domestic and global markets, and could adversely affect the investment performance of the Fund. In particular, </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">actions taken by the U.S. government in respect of international trade relations could lead to trade wars, increased </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">costs for imported goods, disruptions in supply chains, reduced foreign investment, and instability in regions where </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">the Fund invests.</span></div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Operational and Technology Risks </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">— The Fund is directly and indirectly susceptible to operational and technology </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">risks, including those related to human errors, processing errors, communication errors, systems failures, </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">cybersecurity incidents, and the use of artificial intelligence and machine learning (“AI”), which may result in losses </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">for the Fund and its shareholders or may impair the Fund’s operations. While the Fund’s service providers are </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">required to have appropriate operational, information security and cybersecurity risk management policies and </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">procedures, their methods of risk management may differ from those of the Fund. Operational and technology risks </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">for the issuers in which the Fund invests could also result in material adverse consequences for such issuers and </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">may cause the Fund’s investments in such issuers to lose value.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Risk of Investing in the United States </span><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">—</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> Certain changes in the U.S. economy, such as when the U.S. economy </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">weakens or when its financial markets decline, may have an adverse effect on the securities to which the Fund has </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">exposure.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">School District Investment Risk </span><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">—</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> School districts rely, in part, on funding appropriations from, among others, the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">federal government and state governments. As a result, municipal securities issued by school districts may be </span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div style="line-height: 10.695pt; margin-left: 12pt; text-align: left;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">adversely affected by political and economic changes at the state or federal levels, such as decreased tax or other </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">revenues, spending reductions or changes in appropriations. Municipal securities that are issued to finance a </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">particular school district project often depend on revenues from ad valorem taxes (i.e., property taxes) to make </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">principal and interest payments. Adverse conditions and developments affecting a particular project can result in </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">lower revenues to the issuer of the municipal securities. Investors in these securities, similar to investors in </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">municipal securities generally, face heightened risk of loss upon insolvency of the school district issuers because </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">there is often no ready source of funding to pay the bonds other than the local tax base, which a bankruptcy court </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">or administrator does not control.</span></div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Taxability Risk </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">— Future laws, regulations, rulings or court decisions may cause interest on municipal securities to </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">be subject, directly or indirectly, to U.S. federal income taxation or currently exempt interest on state municipal </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">securities to be subject to state or local income taxation, or the value of state municipal securities that are currently </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">exempt to be subject to state or local intangible personal property tax, or may otherwise prevent the Fund from </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">realizing the full current benefit of the tax-exempt status of such securities. Any such change could also affect the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">market price of such securities, and thus the value of an investment in the Fund.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Legal Opinion Risk — The Fund will rely on legal opinions of counsel to issuers of municipal securities as to the tax-exempt</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> status of investments and will not do its own analysis. The status of a municipal security as tax-exempt may </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">be affected by events that occur after the municipal security is issued.</span></div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">U.S. Government Obligations Risk </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">— Certain securities in which the Fund may invest, including securities issued by </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">certain U.S. Government agencies and U.S. Government sponsored enterprises, are not guaranteed by the U.S. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Government or supported by the full faith and credit of the United States. In addition, circumstances could arise </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">that could prevent the timely payment of interest or principal on U.S. Government obligations, such as reaching the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">legislative </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">“</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">debt ceiling.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">”</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> Such non-payment could result in losses to the Fund and substantial negative </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">consequences for the U.S. economy and the global financial system.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Variable and Floating Rate Instrument Risk </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">— Variable and floating rate securities provide for periodic adjustment </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">in the interest rate paid on the securities. Securities with floating or variable interest rates can be less sensitive to </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">interest rate changes than securities with fixed interest rates, but may decline in value if their coupon rates do not </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">reset as high, or as quickly, as comparable market interest rates, and generally carry lower yields than fixed </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">securities of the same maturity. These securities will not generally increase in value if interest rates decline. A </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">decline in interest rates may result in a reduction in income received from variable and floating rate securities held </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">by the Fund and may adversely affect the value of the Fund’s shares. Benchmark interest rates may not accurately </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">track market interest rates. Although floating rate securities are less sensitive to interest rate risk than fixed-rate </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">securities, they are subject to credit risk and default risk, which could impair their value.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">When-Issued and Delayed Delivery Securities and Forward Commitments Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — When-issued and delayed </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">delivery securities and forward commitments involve the risk that the security the Fund buys will lose value prior to </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">its delivery. There also is the risk that the security will not be issued or that the other party to the transaction will </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">not meet its obligation. If this occurs, the Fund may lose both the investment opportunity for the assets it set aside </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">to pay for the security and any gain in the security’s price.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> Performance Information <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">The information shows you how the Fund’s performance has varied year by year and provides some indication of the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">risks of investing in the Fund. The table compares the Fund’s performance to that of the Bloomberg Municipal Bond </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Index and the SIFMA Municipal Swap Index. The SIFMA Municipal Swap Index is relevant to the Fund because it has </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">characteristics similar to the Fund’s investment strategies. To the extent that dividends and distributions have been </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">paid by the Fund, the performance information for the Fund in the chart and table assumes reinvestment of the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">dividends and distributions. As with all such investments, past performance (before and after taxes) is not an </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">indication of future results. The table includes all applicable fees. If the Fund’s investment manager and its affiliates </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">had not waived or reimbursed certain Fund expenses during these periods, the Fund’s returns would have been lower. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Updated information on the Fund’s performance, including its current net asset value, can be obtained by visiting </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">http://www.blackrock.com or can be obtained by phone at 800-882-0052.</span></div> The information shows you how the Fund’s performance has varied year by year and provides some indication of the risks of investing in the Fund. The table compares the Fund’s performance to that of the Bloomberg Municipal Bond Index and the SIFMA Municipal Swap Index. The SIFMA Municipal Swap Index is relevant to the Fund because it has characteristics similar to the Fund’s investment strategies. As with all such investments, past performance (before and after taxes) is not an indication of future results. http://www.blackrock.com 800-882-0052 ANNUAL TOTAL RETURNS BATS: Short Term Municipal Income Series As of 12/31 <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">During the period shown in the bar chart, the highest return for a quarter was 0.94% (quarter ended </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">September 30, 2024) and the lowest return for a quarter was -0.06% (quarter ended March 31, 2022). The year-to-date return</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> as of June 30, 2026 was 1.19%.</span><span style="color: #000000; font-family: arial; font-size: 1pt; line-height: 0.93pt;"> </span></div> highest return 0.0094 2024-09-30 lowest return -0.0006 2022-03-31 year-to-date return 2026-06-30 0.0119 For the periods ended 12/31/25Average Annual Total Returns 2021-05-05 2021-05-05 2021-05-05 0.0279 0.0228 0.0279 0.0227 0.0279 0.0228 0.0425 0.0074 0.0268 0.0227 <div style="margin-top: 12pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">tax-deferred arrangements, such as 401(k) plans or individual retirement accounts.</span></div> After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through tax-deferred arrangements, such as 401(k) plans or individual retirement accounts. Fund OverviewKey Facts About BATS: Securitized Total Return Series Investment Objective <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">The investment objective of the BATS: Securitized Total Return Series (formerly known as </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">“</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">BATS: Series A Portfolio</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">”</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">) </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">(the “Fund”) is to seek a high level of current income consistent with capital preservation.</span></div> Fees and Expenses of the Fund <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">This table describes the fees and expenses that you may pay if you buy, hold and sell shares of the Fund. Amounts in </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">the table are rounded to the nearest basis point, which in some cases may be </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">“</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">0.00.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">”</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span><span style="color: #000000; font-family: arial; font-size: 1pt; line-height: 0.93pt;"> </span></div> Annual Fund Operating Expenses (expenses that you pay each year as a percentage of the value of your investment) 0 0 0.0002 0.0002 -0.0002 0.0000 Example: <div style="line-height: 10.695pt; text-align: left;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">This Example is intended to help you compare the cost of investing in the Fund with the cost of investing in other </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">mutual funds. The Example assumes that you invest $10,000 in the Fund for the time periods indicated and then </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">redeem all of your shares at the end of those periods. The Example also assumes that your investment has a 5% </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">return each year and that the Fund’s operating expenses remain the same. Although your actual costs may be higher </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">or lower, based on these assumptions your costs would be:</span><span style="color: #000000; font-family: arial; font-size: 1pt; line-height: 0.93pt;"> </span></div> 0 0 0 0 Portfolio Turnover: <div style="line-height: 10.695pt; text-align: left;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">The Fund pays transaction costs, such as commissions, when it buys and sells securities (or “turns over” its </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in higher taxes when </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">shares are held in a taxable account. These costs, which are not reflected in annual fund operating expenses or in the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Example, affect the Fund’s performance. During the most recent fiscal year, the Fund’s portfolio turnover rate was </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">59</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">% of the average value of its portfolio.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> 0.59 Principal Investment Strategies of the Fund <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Under normal circumstances, the Fund seeks to invest at least 80% of its net assets, plus the amount of any </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">borrowings for investment purposes, in securitized assets and derivatives that provide investment exposure to such </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">assets or to one or more market risk factors associated with such assets.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Such securitized assets include, but are not limited to, the following:</span></div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">asset-backed securities;</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">commercial and residential mortgage-backed securities issued or guaranteed by the U.S. Government, various </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">agencies of the U.S. Government or various instrumentalities that have been established or sponsored by the U.S. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Government;</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">commercial and residential mortgage-backed securities issued by banks and other financial institutions;</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">collateralized debt obligations (“CDOs”);</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">collateralized loan obligations (“CLOs”);</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">collateralized mortgage obligations (“CMOs”);</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">fixed and floating rate commercial mortgage loans (“CMLs”);</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">fixed and floating rate, first and second lien residential mortgage loans (“RMLs”); and</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">consumer loans (“CLs”).</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Certain of the asset-backed securities and mortgage-backed securities in which the Fund may invest include securities </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">backed by pools of subprime auto loans and subprime mortgages, respectively. The Fund invests at least 25% of its </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">total assets in mortgage-related securities, which include, but are not limited to, mortgage-backed securities issued or </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">guaranteed by the U.S. government, its agencies or its instrumentalities or those issued by private issuers, CMOs, real </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">estate loans, dollar rolls, stripped mortgage-backed securities and CMO residuals. The Fund’s investment in mortgage-related</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> securities may consist entirely of privately issued securities, which are issued by commercial banks, savings </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">and loan institutions, mortgage bankers, private mortgage insurance companies and other non-governmental issuers.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">The management team evaluates sectors of the securitized asset market (i.e., asset-backed and mortgage-backed </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">securities market) and individual securities within these sectors. The Fund may also enter into repurchase agreements </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">and reverse repurchase agreements.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">The management team may, when consistent with the Fund’s investment objective, buy or sell options or futures on a </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">security or an index of securities, or enter into swap agreements, including total return, interest rate and credit default </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">swaps, or foreign currency transactions (collectively, commonly known as derivatives). An option is the right to buy or </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">sell an instrument (which can be a security, an index of securities, a futures contract, a currency, or a basket of </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">currencies) at a specific price on or before a specific date. A future is an agreement to buy or sell a security or an </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">index of securities at a specific price on a specific date. A total return swap is a contract in which one party agrees to </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">make periodic payments to another party based on the change in market value of the assets underlying the contract, </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">which may include a specified security, basket of securities or securities indices, during the specified period, in return </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">for periodic payments. The Fund may invest in derivatives for hedging purposes, as well as to increase the return on its </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">portfolio investments. The Fund may also use derivatives for leverage, in which case their use would involve leveraging </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">risk. The Fund may seek to obtain market exposure to the securities in which it primarily invests by entering into a </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">series of purchase and sale contracts or by using other investment techniques (such as reverse repurchase </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">agreements or dollar rolls, which involves a sale by the fund of a mortgage-backed or other security concurrently with </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">an agreement by the fund to repurchase a similar security at a later date at an agreed-upon price).</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">The Fund may invest in investment grade securities and non-investment grade securities (high yield or junk bonds) of </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">any maturity. Investment grade securities acquired by the Fund will be rated investment grade by at least one major </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">nationally recognized statistical rating organization (“NRSRO”) (S&amp;P Global Ratings, a division of S&amp;P Global Inc. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">(“S&amp;P”), Fitch Ratings, Inc. (“Fitch”), Moody’s Investors Service, Inc. (“Moody’s”), Kroll Bond Rating Agency (“Kroll”), </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">or Morningstar DBRS (“DBRS”)) or, if unrated, determined by the management team to be of similar quality. Non-investment</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> grade securities acquired by the Fund will generally be in the lower rating categories of the major rating </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">agencies NRSROs (BB or lower by S&amp;P or Fitch; Ba or lower by Moody’s; BB+ for long term and B for short term by </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Kroll; or BB (high) for long-term and R-3 for short term by DBRS) or, if unrated, determined by the management team to </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">be of similar quality. The Fund may invest in unrated securities without limit.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">The Fund may engage in active and frequent trading of portfolio securities to achieve its principal investment </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">strategies.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Under normal circumstances, the Fund seeks to invest at least 80% of its net assets, plus the amount of any </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">borrowings for investment purposes, in securitized assets and derivatives that provide investment exposure to such </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">assets or to one or more market risk factors associated with such assets.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Such securitized assets include, but are not limited to, the following:</span></div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">asset-backed securities;</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">commercial and residential mortgage-backed securities issued or guaranteed by the U.S. Government, various </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">agencies of the U.S. Government or various instrumentalities that have been established or sponsored by the U.S. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Government;</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">commercial and residential mortgage-backed securities issued by banks and other financial institutions;</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">collateralized debt obligations (“CDOs”);</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">collateralized loan obligations (“CLOs”);</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">collateralized mortgage obligations (“CMOs”);</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">fixed and floating rate commercial mortgage loans (“CMLs”);</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">fixed and floating rate, first and second lien residential mortgage loans (“RMLs”); and</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">consumer loans (“CLs”).</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">The Fund may invest in investment grade securities and non-investment grade securities (high yield or junk bonds) of </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">any maturity. Investment grade securities acquired by the Fund will be rated investment grade by at least one major </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">nationally recognized statistical rating organization (“NRSRO”) (S&amp;P Global Ratings, a division of S&amp;P Global Inc. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">(“S&amp;P”), Fitch Ratings, Inc. (“Fitch”), Moody’s Investors Service, Inc. (“Moody’s”), Kroll Bond Rating Agency (“Kroll”), </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">or Morningstar DBRS (“DBRS”)) or, if unrated, determined by the management team to be of similar quality. Non-investment</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> grade securities acquired by the Fund will generally be in the lower rating categories of the major rating </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">agencies NRSROs (BB or lower by S&amp;P or Fitch; Ba or lower by Moody’s; BB+ for long term and B for short term by </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Kroll; or BB (high) for long-term and R-3 for short term by DBRS) or, if unrated, determined by the management team to </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">be of similar quality. The Fund may invest in unrated securities without limit.</span></div> You may lose part or all of your investment in the Fund or your investment may not perform as well as other similar investments. <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Mortgage- and Asset-Backed Securities Risks </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">— Mortgage- and asset-backed securities represent interests in </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">“pools” of mortgages or other assets, including consumer loans or receivables held in trust. Mortgage- and asset-</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">backed securities are subject to credit, interest rate, prepayment and extension risks. These securities also are </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">subject to risk of default on the underlying mortgage or asset, particularly during periods of economic downturn. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Small movements in interest rates (both increases and decreases) may quickly and significantly reduce the value of </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">certain mortgage-backed securities.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Loans Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — An economic downturn generally leads to a higher non-payment rate, and a loan may lose significant </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">value before a default occurs. Moreover, any specific collateral used to secure a loan may decline in value or </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">become illiquid, which would adversely affect the loan’s value. No active trading market may exist for certain loans, </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">which may impair the ability of the Fund to realize full value in the event of the need to sell a loan and which may </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">make it difficult to value loans. Although loans in which the Fund will invest generally will be secured by specific </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">collateral, there can be no assurance that liquidation of such collateral would satisfy the borrower’s obligation in the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">event of non-payment of scheduled interest or principal or that such collateral could be readily liquidated. To the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">extent that a loan is collateralized by stock in the borrower or its subsidiaries, such stock may lose all of its value in </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">the event of the bankruptcy of the borrower. Uncollateralized loans involve a greater risk of loss.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Debt Securities Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — Debt securities, such as bonds, involve risks, such as credit risk, interest rate risk, </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">extension risk, and prepayment risk, each of which are described in further detail below:</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Credit Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — Credit risk refers to the possibility that the issuer of a debt security (i.e., the borrower) will not be </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">able to make payments of interest and principal when due. Changes in an issuer’s credit rating or the market’s </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">perception of an issuer’s creditworthiness may also affect the value of the Fund’s investment in that issuer. The </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">degree of credit risk depends on both the financial condition of the issuer and the terms of the obligation.</span></div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Interest Rate Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — The market value of bonds and other fixed-income securities changes in response to interest </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">rate changes and other factors. Interest rate risk is the risk that prices of bonds and other fixed-income securities </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">will increase as interest rates fall and decrease as interest rates rise.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">The Fund may be subject to a greater risk of rising interest rates during a period of historically low interest rates. For </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">example, if interest rates increase by 1%, assuming a current portfolio duration of ten years, and all other factors </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">being equal, the value of the Fund’s investments would be expected to decrease by 10%. (Duration is a measure of </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">the price sensitivity of a debt security or portfolio of debt securities to relative changes in interest rates.) The </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">magnitude of these fluctuations in the market price of bonds and other fixed-income securities is generally greater </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">for those securities with longer maturities. Fluctuations in the market price of the Fund’s investments will not affect </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">interest income derived from instruments already owned by the Fund, but will be reflected in the Fund’s net asset </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">value. The Fund may lose money if short-term or long-term interest rates rise sharply in a manner not anticipated by </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Fund management.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">To the extent the Fund invests in debt securities that may be prepaid at the option of the obligor (such as mortgage-backed</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> securities), the sensitivity of such securities to changes in interest rates may increase (to the detriment of </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">the Fund) when interest rates rise. Moreover, because rates on certain floating rate debt securities typically reset </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">expected to cause some fluctuations in the net asset value of the Fund to the extent that it invests in floating rate </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">debt securities.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">These basic principles of bond prices also apply to U.S. Government securities. A security backed by the “full faith </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">and credit” of the U.S. Government is guaranteed only as to its stated interest rate and face value at maturity, not </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">its current market price. Just like other fixed-income securities, government-guaranteed securities will fluctuate in </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">value when interest rates change.</span></div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">A general rise in interest rates has the potential to cause investors to move out of fixed-income securities on a large </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">scale, which may increase redemptions from funds that hold large amounts of fixed-income securities. Heavy </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">redemptions could cause the Fund to sell assets at inopportune times or at a loss or depressed value and could </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">hurt the Fund’s performance.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Extension Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — When interest rates rise, certain obligations will be paid off by the obligor more slowly than </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">anticipated, causing the value of these obligations to fall.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> <div style="line-height: 10.695pt; margin-left: 12pt; text-align: left;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Prepayment Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — When interest rates fall, certain obligations will be paid off by the obligor more quickly than </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">originally anticipated, and the Fund may have to invest the proceeds in securities with lower yields.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Collateralized Debt Obligations Risk </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">— In addition to the typical risks associated with fixed-income securities and </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">asset-backed securities, CDOs, including CLOs, carry additional risks including, but not limited to: (i) the possibility </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">that distributions from collateral securities will not be adequate to make interest or other payments; (ii) the risk that </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">the collateral may default or decline in value or be downgraded, if rated by a nationally recognized statistical rating </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">organization; (iii) the Fund may invest in tranches of CDOs that are subordinate to other tranches; (iv) the structure </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">and complexity of the transaction and the legal documents could lead to disputes among investors regarding the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">characterization of proceeds; (v) the investment return achieved by the Fund could be significantly different than </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">those predicted by financial models; (vi) the lack of a readily available secondary market for CDOs; (vii) the risk of </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">forced “fire sale” liquidation due to technical defaults such as coverage test failures; and (viii) the CDO’s manager </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">may perform poorly.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Concentration Risk </span><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">—</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> The Fund’s strategy of concentrating in mortgage-related securities means that its </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">performance will be closely tied to the performance of a particular market segment. The Fund’s concentration in </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">these securities may present more risks than if it were broadly diversified over numerous industries and sectors of </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">the economy. A downturn in these securities would have a larger impact on the Fund than on a mutual fund that </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">does not concentrate in such securities. At times, the performance of these securities will lag the performance of </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">other industries or the broader market as a whole.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.0pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Derivatives Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — The Fund’s use of derivatives may increase its costs, reduce the Fund’s returns and/or </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">increase volatility. Derivatives involve significant risks, including:</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Leverage Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — The Fund’s use of derivatives can magnify the Fund’s gains and losses. Relatively small market </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">movements may result in large changes in the value of a derivatives position and can result in losses that greatly </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">exceed the amount originally invested.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Market Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — Some derivatives are more sensitive to interest rate changes and market price fluctuations than </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">other securities. The Fund could also suffer losses related to its derivatives positions as a result of unanticipated </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">market movements, which losses are potentially unlimited. Finally, BlackRock may not be able to predict correctly </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">the direction of securities prices, interest rates and other economic factors, which could cause the Fund’s </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">derivatives positions to lose value.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Counterparty Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — Derivatives are also subject to counterparty risk, which is the risk that the other party in the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">transaction will be unable or unwilling to fulfill its contractual obligation, and the related risks of having concentrated </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">exposure to such a counterparty.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Illiquidity Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — The possible lack of a liquid secondary market for derivatives and the resulting inability of the Fund </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">to sell or otherwise close a derivatives position could expose the Fund to losses and could make derivatives more </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">difficult for the Fund to value accurately.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Operational Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — The use of derivatives includes the risk of potential operational issues, including documentation </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">issues, settlement issues, systems failures, inadequate controls and human error.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Legal Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — The risk of insufficient documentation, insufficient capacity or authority of counterparty, or legality or </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">enforceability of a contract.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Volatility and Correlation Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — Volatility is defined as the characteristic of a security, an index or a market to </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">fluctuate significantly in price within a short time period. A risk of the Fund’s use of derivatives is that the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">fluctuations in their values may not correlate with the overall securities markets.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Valuation Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — Valuation for derivatives may not be readily available in the market. Valuation may be more difficult </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">in times of market turmoil since many investors and market makers may be reluctant to purchase complex </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">instruments or quote prices for them.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Hedging Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — Hedges are sometimes subject to imperfect matching between the derivative and the underlying </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">security, and there can be no assurance that the Fund’s hedging transactions will be effective. The use of hedging </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">may result in certain adverse tax consequences.</span></div> <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">Tax Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — Certain aspects of the tax treatment of derivative instruments, including swap agreements and </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">commodity-linked derivative instruments, are currently unclear and may be affected by changes in legislation, </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">regulations or other legally binding authority. Such treatment may be less favorable than that given to a direct </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">investment in an underlying asset and may adversely affect the timing, character and amount of income the Fund </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">realizes from its investments.</span></div> <div> <div style="clear: both; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Dollar Rolls Risk </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">— Dollar rolls involve the risk that the market value of the securities that the Fund is committed to </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">buy may decline below the price of the securities the Fund has sold. These transactions may involve leverage.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">High Yield Bonds Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — Although junk bonds generally pay higher rates of interest than investment grade bonds, </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">junk bonds are high risk investments that are considered speculative and may cause income and principal losses </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">for the Fund.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Illiquid Investments Risk </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">— The Fund may not acquire any illiquid investment if, immediately after the acquisition, </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">the Fund would have invested more than 15% of its net assets in illiquid investments. An illiquid investment is any </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">investment that the Fund reasonably expects cannot be sold or disposed of in current market conditions in seven </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">calendar days or less without the sale or disposition significantly changing the market value of the investment. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Liquid investments may become illiquid after purchase by the Fund, particularly during periods of market turmoil. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">There can be no assurance that a security or instrument that is deemed to be liquid when purchased will continue </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">to be liquid for as long as it is held by the Fund, and any security or instrument held by the Fund may be deemed an </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">illiquid investment pursuant to the Fund’s liquidity risk management program. The Fund’s illiquid investments may </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">reduce the returns of the Fund because it may be difficult to sell the illiquid investments at an advantageous time </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">or price. In addition, if the Fund is limited in its ability to dispose of illiquid investments during periods when </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">shareholders are redeeming or selling their shares or the Fund’s net assets otherwise shrink, the Fund will need to </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">dispose of liquid securities to meet redemption requests and illiquid securities will become a larger portion of the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Fund’s holdings. An investment may be illiquid due to, among other things, the reduced number and capacity of </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">traditional market participants to make a market in fixed-income securities or the lack of an active trading market. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">To the extent that the Fund’s principal investment strategies involve derivatives or securities with substantial market </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">and/or credit risk, the Fund will tend to have greater exposure to the risks associated with illiquid investments. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Illiquid investments may be harder to value, especially in changing markets, and if the Fund is forced to sell these </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">investments to meet redemption requests or for other cash needs, the Fund may suffer a loss. This may be </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">magnified in a rising interest rate environment or other circumstances where investor redemptions or sales of Fund </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">shares may be higher than normal. In addition, when there is illiquidity in the market for certain securities, the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Fund, due to limitations on illiquid investments, may be subject to purchase and sale restrictions.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Indexed and Inverse Securities Risk </span><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic;">—</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> Indexed and inverse securities provide a potential return based on a </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">particular index of value or interest rates. The Fund’s return on these securities will be subject to risk with respect </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">to the value of the particular index. These securities are subject to leverage risk and correlation risk. Certain </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">indexed and inverse securities have greater sensitivity to changes in interest rates or index levels than other </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">securities, and the Fund’s investment in such instruments may decline significantly in value if interest rates or index </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">levels move in a way Fund management does not anticipate.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Leverage Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — Some transactions may give rise to a form of economic leverage. These transactions may include, </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">among others, derivatives, and may expose the Fund to greater risk and increase its costs. The use of leverage may </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">cause the Fund to liquidate portfolio positions when it may not be advantageous to do so to satisfy its obligations or </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">to meet the applicable requirements of the Investment Company Act of 1940, as amended (the “Investment </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Company Act”), and the rules thereunder. Increases and decreases in the value of the Fund’s portfolio will be </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">magnified when the Fund uses leverage.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Market Risk and Selection Risk </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">— Market risk is the risk that one or more markets in which the Fund invests will </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">go down in value, including the possibility that the markets will go down sharply and unpredictably. The value of a </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">security or other asset may decline due to changes in general market conditions, economic trends or events that </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">are not specifically related to the issuer of the security or other asset, or factors that affect a particular issuer or </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">issuers, exchange, country, group of countries, region, market, industry, group of industries, sector or asset class. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">issues like pandemics or epidemics, recessions, or other events could have a significant impact on the Fund and its </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">investments. Selection risk is the risk that the securities selected by Fund management will underperform the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">markets, the relevant indices or the securities selected by other funds with similar investment objectives and </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">investment strategies. This means you may lose money.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Recent policy initiatives undertaken by the U.S. government have the potential to impact international relations, </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">trade agreements and the overall regulatory environment in ways that could create uncertainty and instability in </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">domestic and global markets, and could adversely affect the investment performance of the Fund. In particular, </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">actions taken by the U.S. government in respect of international trade relations could lead to trade wars, increased </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">costs for imported goods, disruptions in supply chains, reduced foreign investment, and instability in regions where </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">the Fund invests.</span> <br/><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Non-Agency Securities Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — There are no direct or indirect government or agency guarantees of payments in </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">mortgage pools created by non-government issuers. Non-agency securities are also not subject to the same </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">underwriting requirements for the underlying mortgages that are applicable to those mortgage-related securities </span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div style="line-height: 10.695pt; margin-left: 12pt; text-align: left;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">that have a government or government-sponsored entity guarantee. Non-agency securities with payments not </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">guaranteed by a government agency generally involve greater credit risk than securities guaranteed by government </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">agencies. In addition, a substantial portion of the non-agency securities in which the Fund invests may be rated </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">below investment grade (commonly known as “junk bonds”).</span></div> <div style="margin-top: 4pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Non-agency mortgage-related securities are not traded on an exchange and there may be a limited market for the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">securities, especially when there is a perceived weakness in the mortgage and real estate market sectors. Without </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">an active trading market, the non-agency mortgage-related securities held in the Fund’s portfolio may be particularly </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">difficult to value because of the complexities involved in assessing the value of the underlying mortgage loans.</span></div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Operational and Technology Risks </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">— The Fund is directly and indirectly susceptible to operational and technology </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">risks, including those related to human errors, processing errors, communication errors, systems failures, </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">cybersecurity incidents, and the use of artificial intelligence and machine learning (“AI”), which may result in losses </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">for the Fund and its shareholders or may impair the Fund’s operations. While the Fund’s service providers are </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">required to have appropriate operational, information security and cybersecurity risk management policies and </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">procedures, their methods of risk management may differ from those of the Fund. Operational and technology risks </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">for the issuers in which the Fund invests could also result in material adverse consequences for such issuers and </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">may cause the Fund’s investments in such issuers to lose value.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Repurchase Agreements and Purchase and Sale Contracts Risk</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> — If the other party to a repurchase agreement or </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">purchase and sale contract defaults on its obligation under the agreement, the Fund may suffer delays and incur </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">costs or lose money in exercising its rights under the agreement. If the seller fails to repurchase the security in </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">either situation and the market value of the security declines, the Fund may lose money.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> <div> <div style="clear: both; margin-top: 4.805pt; position: relative; width: 100%;"> <div style="float: left; line-height: 9.87pt; text-align: left; width: 8pt;"><span style="color: #000000; font-family: arial; font-size: 8.37pt; position: relative; top: -0.5pt;">◼</span></div> <div style="float: left; line-height: 10.80pt; margin-left: 4pt; text-align: left; width: 505.00pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt; font-style: italic; font-weight: bold;">Reverse Repurchase Agreements Risk </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">— Reverse repurchase agreements involve the sale of securities held by the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Fund with an agreement to repurchase the securities at an agreed-upon price, date and interest payment. Reverse </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">repurchase agreements involve the risk that the other party may fail to return the securities in a timely manner or at </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">all. The Fund could lose money if it is unable to recover the securities and the value of the collateral held by the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Fund, including the value of the investments made with cash collateral, is less than the value of the securities. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">These events could also trigger adverse tax consequences for the Fund. In addition, reverse repurchase agreements </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">involve the risk that the interest income earned in the investment of the proceeds will be less than the interest </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">expense.</span></div> </div> <div style="clear: both; position: relative;"> </div> </div> Performance Information <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">The information shows you how the Fund’s performance has varied year by year and provides some indication of the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">risks of investing in the Fund. The table compares the Fund’s performance to that of the Bloomberg U.S. Universal </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Index and the Reference Benchmark (50% Bloomberg U.S. Asset-Backed Securities Index and 50% Bloomberg Non-Agency</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> Investment Grade CMBS Index). To the extent that dividends and distributions have been paid by the Fund, the </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">performance information for the Fund in the chart and table assumes reinvestment of the dividends and distributions. </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">As with all such investments, past performance (before and after taxes) is not an indication of future results. The table </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">includes all applicable fees. If the Fund’s investment manager and its affiliates had not waived or reimbursed certain </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">Fund expenses during these periods, the Fund’s returns would have been lower. Updated information on the Fund’s </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">performance, including its current net asset value, can be obtained by visiting http://www.blackrock.com or can be </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">obtained by phone at 800-882-0052.</span></div> The information shows you how the Fund’s performance has varied year by year and provides some indication of the risks of investing in the Fund. As with all such investments, past performance (before and after taxes) is not an indication of future results. http://www.blackrock.com 800-882-0052 ANNUAL TOTAL RETURNS BATS: Securitized Total Return Series As of 12/31 <div style="margin-top: 6pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">During the ten-year period shown in the bar chart, the highest return for a quarter was 8.56% (quarter ended </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">June 30, 2020) and the lowest return for a quarter was -9.01% (quarter ended March 31, 2020). The year-to-date return</span><span style="color: #000000; font-family: arial; font-size: 9.30pt;"> as of June 30, 2026 was 2.31%.</span><span style="color: #000000; font-family: arial; font-size: 1pt; line-height: 0.93pt;"> </span></div> highest return 0.0856 2020-06-30 lowest return -0.0901 2020-03-31 year-to-date return 2026-06-30 0.0231 For the periods ended 12/31/25Average Annual Total Returns 0.0734 0.0426 0.0471 0.0478 0.0216 0.0251 0.0430 0.0233 0.0262 0.0758 0.0006 0.0244 0.0685 0.0192 0.0289 <div style="margin-top: 12pt;"><span style="color: #000000; font-family: arial; font-size: 9.30pt;">After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through </span><span style="color: #000000; font-family: arial; font-size: 9.30pt;">tax-deferred arrangements, such as 401(k) plans or individual retirement accounts.</span><span style="color: #000000; font-family: arial; font-size: 9.30pt; line-height: 10.695pt;"> </span></div> After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on the investor’s tax situation and may differ from those shown, and the after-tax returns shown are not relevant to investors who hold their shares through tax-deferred arrangements, such as 401(k) plans or individual retirement accounts. As described in the “Management of the Funds” section of the Fund’s prospectus beginning on page 72, pursuant to the management agreement between BlackRock Advisors, LLC (“BlackRock”) and BlackRock Allocation Target Shares, on behalf of the Fund, BlackRock has contractually agreed to waive all fees and pay or reimburse all fees and expenses of the Fund, except extraordinary expenses, indefinitely. Extraordinary expenses may include Dividend Expense, Interest Expense, Acquired Fund Fees and Expenses and certain other Fund expenses. You should also be aware that the Fund is an investment option for certain “wrap-fee” programs or other separately managed account clients for which BlackRock Investment Management, LLC or certain of its affiliates (individually or collectively referred to as “BIM LLC”) receives compensation pursuant to an investment management agreement. Wrap-fee program participants pay a “wrap-fee” to the sponsor of the program which typically covers investment advice and transaction costs on trades executed with the sponsor or a designated broker-dealer. You should read carefully the wrap-fee or other program brochure provided to you by your program sponsor or investment adviser. The brochure is required to include information about the fees charged to you and, in case of a wrap-fee program, the fees paid by the sponsor to BIM LLC. 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. As described in the “Management of the Funds” section of the Fund’s prospectus beginning on page 72, pursuant to the management agreement between BlackRock Advisors, LLC (“BlackRock”) and BlackRock Allocation Target Shares, on behalf of the Fund, BlackRock has contractually agreed to waive all fees and pay or reimburse all fees and expenses of the Fund, except extraordinary expenses, indefinitely. Extraordinary expenses may include Dividend Expense, Interest Expense, Acquired Fund Fees and Expenses and certain other Fund expenses. You should also be aware that the Fund is an investment option for certain “wrap-fee” programs or other separately managed account clients for which BlackRock Investment Management, LLC or certain of its affiliates (individually or collectively referred to as “BIM LLC”) receives compensation pursuant to an investment management agreement. Wrap-fee program participants pay a “wrap-fee” to the sponsor of the program which typically covers investment advice and transaction costs on trades executed with the sponsor or a designated broker-dealer. You should read carefully the wrap-fee or other program brochure provided to you by your program sponsor or investment adviser. The brochure is required to include information about the fees charged to you and, in case of a wrap-fee program, the fees paid by the sponsor to BIM LLC. As described in the “Management of the Fund” section of the Fund’s prospectus beginning on page 27, pursuant to the management agreement between BlackRock Advisors, LLC (“BlackRock”) and BlackRock Allocation Target Shares, on behalf of the Fund, BlackRock has contractually agreed to waive all fees and pay or reimburse all fees and expenses of the Fund, except extraordinary expenses, indefinitely. Extraordinary expenses may include Dividend Expense, Interest Expense, Acquired Fund Fees and Expenses and certain other Fund expenses. You should also be aware that the Fund is an investment option for (i) certain “wrap-fee” programs or other retail and institutional separately managed account clients for which BlackRock Investment Management, LLC or certain of its affiliates (individually or collectively referred to as “BIM LLC”) receives compensation pursuant to an investment management agreement, (ii) collective trust funds managed by BlackRock Institutional Trust Company, N.A. (“BTC”) and (iii) mutual funds advised by BlackRock or its affiliates. Wrap-fee program participants pay a “wrap-fee” to the sponsor of the program which typically covers investment advice and transaction costs on trades executed with the sponsor or a designated broker-dealer. You should read carefully the wrap-fee or other program brochure provided to you by your program sponsor or investment adviser. The brochure is required to include information about the fees charged to you and, in case of a wrap-fee program, the fees paid by the sponsor to BIM LLC. As described in the “Management of the Funds” section of the Fund’s prospectus beginning on page 72, pursuant to the management agreement between BlackRock Advisors, LLC (“BlackRock”) and BlackRock Allocation Target Shares, on behalf of the Fund, BlackRock has contractually agreed to waive all fees and pay or reimburse all fees and expenses of the Fund, except extraordinary expenses, indefinitely. Extraordinary expenses may include Dividend Expense, Interest Expense, Acquired Fund Fees and Expenses and certain other Fund expenses. You should also be aware that the Fund is an investment option for certain “wrap-fee” programs or other separately managed account clients for which BlackRock Investment Management, LLC or certain of its affiliates (individually or collectively referred to as “BIM LLC”) receives compensation pursuant to an investment management agreement. Wrap-fee program participants pay a “wrap-fee” to the sponsor of the program which typically covers investment advice and transaction costs on trades executed with the sponsor or a designated broker-dealer. You should read carefully the wrap-fee or other program brochure provided to you by your program sponsor or investment adviser. The brochure is required to include information about the fees charged to you and, in case of a wrap-fee program, the fees paid by the sponsor to BIM LLC. As described in the “Management of the Funds” section of the Fund’s prospectus beginning on page 72, pursuant to the management agreement between BlackRock Advisors, LLC (“BlackRock”) and BlackRock Allocation Target Shares, on behalf of the Fund, BlackRock has contractually agreed to waive all fees and pay or reimburse all fees and expenses of the Fund, except extraordinary expenses, indefinitely. Extraordinary expenses may include Dividend Expense, Interest Expense, Acquired Fund Fees and Expenses and certain other Fund expenses. You should also be aware that the Fund is an investment option for certain “wrap-fee” programs or other separately managed account clients for which BlackRock Investment Management, LLC or certain of its affiliates (individually or collectively referred to as “BIM LLC”) receives compensation pursuant to an investment management agreement. Wrap-fee program participants pay a “wrap-fee” to the sponsor of the program which typically covers investment advice and transaction costs on trades executed with the sponsor or a designated broker-dealer. You should read carefully the wrap-fee or other program brochure provided to you by your program sponsor or investment adviser. The brochure is required to include information about the fees charged to you and, in case of a wrap-fee program, the fees paid by the sponsor to BIM LLC. The Customized Reference Benchmark commenced in September 2016 and therefore the Customized Reference Benchmark does not have a return for the 10 years ended December 31, 2025. As described in the “Management of the Funds” section of the Fund’s prospectus beginning on page 72, pursuant to the management agreement between BlackRock Advisors, LLC (“BlackRock”) and BlackRock Allocation Target Shares, on behalf of the Fund, BlackRock has contractually agreed to waive all fees and pay or reimburse all fees and expenses of the Fund, except extraordinary expenses, indefinitely. Extraordinary expenses may include Dividend Expense, Interest Expense, Acquired Fund Fees and Expenses and certain other Fund expenses. You should also be aware that the Fund is an investment option for certain “wrap-fee” programs or other separately managed account clients for which BlackRock Investment Management, LLC or certain of its affiliates (individually or collectively referred to as “BIM LLC”) receives compensation pursuant to an investment management agreement. Wrap-fee program participants pay a “wrap-fee” to the sponsor of the program which typically covers investment advice and transaction costs on trades executed with the sponsor or a designated broker-dealer. You should read carefully the wrap-fee or other program brochure provided to you by your program sponsor or investment adviser. The brochure is required to include information about the fees charged to you and, in case of a wrap-fee program, the fees paid by the sponsor to BIM LLC. The Total Annual Fund Operating Expenses do not correlate to the ratio of expenses to average net assets given in the Fund’s most recent Annual Financial Statements and Additional Information, which do not include Acquired Fund Fees and Expenses. As described in the “Management of the Funds” section of the Fund’s prospectus beginning on page 72, pursuant to the management agreement between BlackRock Advisors, LLC (“BlackRock”) and BlackRock Allocation Target Shares, on behalf of the Fund, BlackRock has contractually agreed to waive all fees and pay or reimburse all fees and expenses of the Fund, except extraordinary expenses, indefinitely. Extraordinary expenses may include Dividend Expense, Interest Expense, Acquired Fund Fees and Expenses and certain other Fund expenses. You should also be aware that the Fund is an investment option for certain “wrap-fee” programs or other separately managed account clients for which BlackRock Investment Management, LLC or certain of its affiliates (individually or collectively referred to as “BIM LLC”) receives compensation pursuant to an investment management agreement. Wrap-fee program participants pay a “wrap-fee” to the sponsor of the program which typically covers investment advice and transaction costs on trades executed with the sponsor or a designated broker-dealer. You should read carefully the wrap-fee or other program brochure provided to you by your program sponsor or investment adviser. The brochure is required to include information about the fees charged to you and, in case of a wrap-fee program, the fees paid by the sponsor to BIM LLC.