IALT

1. Summary

• IALT is an actively managed, model-driven, multi-asset alternatives ETF from BlackRock. It mixes several strategies across equities, fixed income, currencies, commodities and crypto, some long/short. Its benchmark is 3-month Treasury bills.
• The fund documents give no exposure figures. The N-PORT for July 31, 2026 does. Equity exposure was 136.5% long and 116.6% short, so 2.53x gross and 19.8% net (my arithmetic). Counting bond, rate, credit, commodity, VIX and crypto derivatives gives 4.02x. Adding currency forwards gives 6.10x.
• Almost all equity exposure came through total return swaps. On July 31, 2026 the fund held 2,634 single-stock swaps on 1,743 stocks, plus index swaps and index futures. It held no stocks sold short. Treasury bills were 91.6% of net assets and backed the derivatives (my inference).
• It is a commodity pool, and it holds commodity and crypto exposure through a Cayman subsidiary capped at 25% of total assets. On July 31, 2026 the subsidiary held 0.96% of net assets.
• Most relevant for us: this is the largest fund profiled so far ($6.96 billion), on BlackRock's own trust. It is a large, working precedent for the total return swap route (Route D) above 2.0x gross. It uses four main swap banks, State Street as custodian and no prime broker. The swap financing spreads are in the N-PORT but not in the expense ratio.

2. Key facts

Other data on September 30, 2026: 30-day SEC yield 2.65% (IALT-FS, page 1, "Fund Characteristics").

3. Service providers

Counsel to the trust is Ropes & Gray LLP (IALT-SAI, page 85, "Counsel").

4. Strategy

• Objective and benchmark. The fund "seeks total return over the long term" (IALT-PR, page 5, "Investment Objective"). The objective is non-fundamental and can change without a shareholder vote (IALT-PR, page 18). The benchmark is the ICE BofA 3-Month U.S. Treasury Bill Index. The prospectus also calls the Bloomberg U.S. Aggregate Bond Index "relevant" (IALT-PR, page 17, "Performance Information"; IALT-FS, page 1, "Key Facts").
• Universe. Global and multi-asset. The models analyze "equity, fixed income, commodity, currency, cryptocurrency and other instruments" across developed and emerging markets (IALT-PR, page 6, "Principal Investment Strategies"). Emerging markets are allowed "without limit." Any market cap is allowed (IALT-PR, page 6). Bonds of any credit quality, including junk bonds, are allowed (IALT-PR, page 6).
• How it picks investments. Quantitative with fundamental inputs. The process is "a systematic, model-driven implementation based on fundamental drivers of expected returns, risk and transaction costs" (IALT-PR, page 6). Inputs include macro data, company fundamentals, machine learning and large language models, and sentiment analysis (IALT-PR, pages 19 and 20, "Investment Process").
• Long/short use. The fund will spread money across "multiple investment strategies, certain of which will use both long and short positions" (IALT-PR, page 6). It does not say which strategies or how large each is.
• Neutrality targets. Not stated. No beta, dollar or sector neutral target is given. The fund aims for returns "resilient across different market environments" (IALT-FS, page 1, "Fund Description").
• Net exposure. No target or range is stated. Crypto net notional exposure is capped at "5% of the Fund's net assets" (IALT-PR, page 7, "Principal Investment Strategies").
• Limits on position size. The fund is diversified (IALT-PR, page 7). For 75% of total assets, no more than 5% in one issuer, other than U.S. government securities and other funds (IALT-SAI, page 15, "Notations Regarding the Fund's Fundamental Investment Policies"). It may not concentrate in one industry (IALT-SAI, page 13, "Fundamental Investment Policies"). Other registered funds are capped at 10% of assets (IALT-PR, page 6). The Cayman subsidiary is capped at 25% of total assets, "inclusive of leverage" (IALT-PR, page 7). Illiquid investments are capped at 15% of net assets (IALT-PR, page 20, "Other Strategies Applicable to the Fund").

5. Exposure and leverage

• Measured exposure, July 31, 2026 (IALT-NP, Part C; net assets $5,320,172,547.97 from Item B.1.c; all percentages my arithmetic). Futures are counted at notional on the trade date plus unrealized gain or loss. Index swaps are counted at notional.

• Equity only: long 136.5%, short 116.6%, gross 2.53x, net 19.8%.
• Adding bond and rate futures, rate swaps, credit default swaps, commodity, VIX and crypto futures: gross 4.02x. Adding currency forwards: gross 6.10x.
• Selling credit protection is a long credit position, and paying fixed on a rate swap is a short bond position (my inference). These notionals carry different risk from a dollar of stock, so they are not comparable with equity exposure (my inference).
• How the N-PORT values single-stock swaps. For these swaps the Value field is the market value of the shares behind the swap, signed by direction, not the swap's mark-to-market. For example, the long Telstra Group swap shows 829,323 units and a value of $2,927,819.28 at an exchange rate of 1.421161, which is about AUD 5.02 a share. Its unrealized gain of $86,410.39 is reported separately (my arithmetic and inference, from IALT-NP, Items C.2 and C.11). The exposure figures above use this Value field.
• Direction. A swap where the fund receives the "equity-performance leg" is long. A swap where it pays that leg is short (IALT-NP, Item C.11.f).
• Country mix. U.S. stocks were 57.6% of single-stock long exposure and 56.4% of short exposure (my arithmetic, from IALT-NP, Item C.5).
• Largest single-stock positions. Long: Suncor Energy 0.86%, Parker-Hannifin 0.86%. Short: Prosus 0.47%, L'Oreal 0.46% (my arithmetic, from IALT-NP, Part C).
• Cash and collateral, July 31, 2026 (IALT-NP; my arithmetic).
  • 31 Treasury bill lines: $4,871.7 million (91.6%).
  • BlackRock Cash Funds: Treasury, SL Agency Shares: $205.1 million (3.9%). This is reinvested cash collateral from securities lending (IALT-NP, Item C.12.a).
  • Cash not in the holdings list: $256,341,718.27 (4.8%) (IALT-NP, Item B.2.f).
• Fact sheet, September 30, 2026. Long, short, gross and net exposure are not stated. What the fact sheet does give (IALT-FS, page 2):
  • Asset types: "Cash and/or Derivatives" 61.77%, Equity 26.22%, Fixed Income 12.00%, Alternatives 0.02%, Other 0.00%. These sum to 100.01% (my arithmetic). The fact sheet doesn't say what base these weights use.
  • Geography: "Cash and/or Derivatives" 61.77%, United States 27.96%, Japan 3.86%, and "Other" at -2.50%. A negative line suggests a net short position somewhere in the book (my inference).
  • Top 10 holdings total 57.21%. Nine are Treasury bills, totaling 54.65% (my arithmetic). The tenth is "CASH COLLATERAL USD GSCFT" at 2.56%.
  • The fact sheet's holdings count excludes derivatives (IALT-FS, page 3, "Glossary"), so it can't show the swap book.
• Stated targets or limits. None for gross or net exposure. "There is no limit to the Fund's ability to invest in derivatives, except as may be limited by" the 40 Act, and "at times the Fund may utilize derivatives to a significant extent" (IALT-PR, pages 6 and 7, "Principal Investment Strategies").
• How it gets exposure above 100%. Through derivatives. The prospectus permits derivatives "to maintain a portion of its portfolio long and short positions," plus reverse repurchase agreements and dollar rolls (IALT-PR, page 7). Leverage Risk names derivatives as a source of "economic leverage" (IALT-PR, page 13, "Leverage Risk"). On July 31, 2026 the leverage came from swaps and futures. The fund held no reverse repos and no options, and its borrowings were zero (IALT-NP, Part C and Item B.2.c).
• Borrowing limits. The fund may borrow "up to the limits set forth under the Investment Company Act" (IALT-PR, page 20, "Other Strategies Applicable to the Fund"). The 40 Act allows bank borrowing up to one-third of total assets, with "asset coverage of at least 300%" (IALT-SAI, page 14, "Notations Regarding the Fund's Fundamental Investment Policies").
• Line of credit. The fund is party to a shared 364-day, $2.4 billion credit agreement with other BlackRock funds, ending April 8, 2027. The shared amount available is $1.75 billion. The SAI says "the Fund may not borrow under the Credit Agreement for leverage" (IALT-SAI, page 50, "Credit Agreement").

6. Shorting, financing and collateral

• How it shorts, July 31, 2026. Through derivatives only. No holding is marked "Short" in Item C.3, so there were no direct short sales (IALT-NP, Item C.3). Of the 116.6% equity short (my arithmetic, from IALT-NP, Part C):
  • Single-stock total return swaps: 79.1%. A total return swap is a contract where a bank pays the fund the return on a stock, or the fund pays the bank that return, in exchange for a floating financing rate.
  • Index swaps on the MSCI World Equal Weighted Net Total Return Index: 25.6%. Index swaps on Asian and Brazilian index futures: 3.1%.
  • Index futures sold (DAX, SPI 200, FTSE 100, FTSE/JSE Top 40): 8.8%.
• Permitted methods. Direct short sales are permitted: "The Fund may engage in short sales for hedging purposes or to enhance total return" (IALT-PR, page 7, "Principal Investment Strategies"). So is short exposure "through certain derivative instruments, such as futures, options or swaps" (IALT-PR, page 15, "Short Sales and Short Position Risk").
• Who lends the stock and who holds collateral. No stock was borrowed on July 31, 2026. The swap banks provide the short exposure synthetically (my inference). The SAI's general Part II text on direct short sales (a broker-dealer lends the stock and holds collateral) did not apply on that date (IALT-SAI, page 183, "Short Sales").
• What is posted. Not stated in any document. Treasury bills were 91.6% of net assets on July 31, 2026 (IALT-NP, Part C). The fact sheet shows a "CASH COLLATERAL USD GSCFT" line on September 30, 2026 (IALT-FS, page 2). This fits Treasury bills and cash posted as swap and futures margin (my inference). The Cayman subsidiary may hold cash and fixed income "to serve as margin or collateral for the Cayman Subsidiary's derivative positions" (IALT-SAI, page 10, "Investments in the Cayman Subsidiary").
• Short sale proceeds used to buy longs. Not applicable on July 31, 2026, since there were no direct short sales. The risk text says any short loss "may or may not be offset by investing short-sale proceeds in other investments" (IALT-FS, page 3).
• Segregated or tri-party account. Not stated. State Street keeps the fund's cash and securities "in separate accounts" (IALT-SAI, page 50, "Administrator, Custodian and Transfer Agent").
• Financing terms on single-stock swaps, July 31, 2026 (IALT-NP, Item C.11.f; weighted by exposure, my arithmetic). The N-PORT gives spreads as plain numbers such as 0.20. They are read as percent per year (my inference).
  • Longs: the fund pays an overnight rate plus a spread. The weighted spread is 0.213%. 64.6% of long exposure pays +0.20%. U.S. longs pay the Overnight Bank Funding Rate (Citibank, Barclays) or the Fed Funds effective rate (Goldman Sachs, Morgan Stanley), plus 0.20%. Other currencies pay their local overnight rate plus 0.20% to 0.30% in most cases.
  • Shorts: the fund receives an overnight rate plus a spread. The weighted spread is -0.111%, so the fund gives up about 0.11% on shorts. 40.6% of short exposure receives the rate flat (0.00%, all Citibank). 22.6% receives the rate minus 0.15%.
  • Hard-to-borrow shorts: 8 short lines, about $5.2 million, carry spreads of -1% or lower. The lowest is -13.28% (my inference that these are hard-to-borrow names).
  • Maturities run from August 18, 2026 to December 11, 2028.
• Financing terms on index swaps. On the MSCI World Equal Weighted swaps the fund pays the index return and receives SOFR plus 0.01% to 0.30%. They end November 30, 2026 or January 29, 2027 (IALT-NP, Item C.11.f).
• Costs named. "The Fund may also pay transaction costs and borrowing fees in connection with short sales or positions" (IALT-PR, page 36, "Short Sales and Short Position Risk").
• Securities lending. Permitted up to 33 1/3% of total assets (IALT-PR, page 20). For the period ended April 30, 2026: gross income $2,668, rebates paid to borrowers $2,501, fees to BTC $16, and net income $122 (IALT-SAI, page 52, "Securities Lending"). The fund keeps 82% of lending income (IALT-SAI, page 52). On July 31, 2026, $209,206,276.31 (3.9%) was on loan (my arithmetic): three Treasury bill lines and Space Exploration Technologies Corp shares. All collateral was cash (IALT-NP, Items B.4 and C.12).
• Subsidiary. Assets in the Cayman subsidiary were $50,890,643.59, or 0.96% of net assets, on July 31, 2026 (IALT-NP, Item B.2.b; my arithmetic).
• Used on July 31, 2026: total return swaps, futures, currency forwards, interest rate swaps and credit default swaps. Permitted but not held on that date: direct short sales, options, reverse repurchase agreements, dollar rolls and borrowing (IALT-PR, pages 6 and 7; IALT-NP, Part C and Item B.2.c).

7. Derivatives and Rule 18f-4

• Derivatives permitted. Swaps (total return, credit default, index, interest rate), options, forwards, futures, options on futures and swaps, and FX, "for hedging purposes, as well as to enhance returns" (IALT-PR, page 6). Crypto exposure is to come mainly through bitcoin and ether futures held in the Cayman subsidiary (IALT-PR, page 7). The fact sheet's risk text says "The Fund's use of derivatives may reduce the Fund's returns and/or increase volatility" (IALT-FS, page 3).
• Derivatives held, July 31, 2026 (IALT-NP, Part C):
  • 2,634 single-stock total return swaps with five banks (see section 3).
  • 27 index total return swaps on the MSCI World Equal Weighted Net Total Return Index and on KOSPI 200, TAIEX, Ibovespa and SET50 futures.
  • 35 futures on equity indices, government bonds, commodities, VIX, bitcoin and ether.
  • 475 currency forwards with 13 banks.
  • 28 cleared SOFR interest rate swaps (fund pays fixed, ending September 2028 or September 2031) and 4 cleared index credit default swaps.
  • No options.
• Limited derivatives user or full program. Not stated. The N-PORT's Rule 18f-4 items (B.9 for limited users, B.10 for VaR) are blank (IALT-NP, Items B.9 and B.10). The SAI's general text defines the limited user exception as derivatives exposure of 10% of net assets or less (IALT-SAI, page 102, "Rule 18f-4 Under the Investment Company Act"). Equity derivatives alone were about 253% of net assets on July 31, 2026, so the fund almost certainly runs a full program with a VaR limit (my inference). The prospectus says only that "the Fund must either use derivatives in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk" (IALT-PR, page 31, "Leverage Risk").
• VaR test and reference portfolio. Not stated. VaR (value at risk) estimates the most a fund could lose over a set period at a set confidence level.
• Reverse repos under 18f-4. The fund may either keep 300% asset coverage on reverse repos and borrowings, or treat them as derivatives under Rule 18f-4 (IALT-SAI, pages 14 and 15). Which it chose is not stated. It held none on July 31, 2026 (IALT-NP, Part C).
• Commodity pool status. "The Fund will be considered a 'commodity pool' under the Commodity Exchange Act." BFA "has registered as a 'commodity pool operator'" for the fund (IALT-SAI, page 10, "Regulation Regarding Derivatives"). So it does not rely on the CFTC Rule 4.5 exclusion (my inference).

8. Costs

• Who pays what. BFA pays State Street's administration, custody and transfer agency fees out of its fee (IALT-SAI, page 50). The fund pays the 0.99% fee plus the excluded items above (IALT-PR, page 5). BFA pays the sub-adviser from its own fee (IALT-PR, page 41).
• Management fees paid. $408,103 net of waivers for the period ended April 30, 2026 (IALT-SAI, page 44, "Investment Adviser").
• Collateral investment fees. For cash lending collateral in BlackRock money market funds, BTC limits the fund's cost to 0.04% a year (IALT-SAI, page 51, "Securities Lending").
• Expense example. $101 for 1 year and $315 for 3 years per $10,000 (IALT-PR, page 5).
• Brokerage commissions. $16,990 for the period ended April 30, 2026 (IALT-SAI, page 62, "Brokerage Transactions").
• Portfolio turnover. 181% from inception to April 30, 2026, not annualized, excluding in-kind trades (IALT-PR, page 6, "Portfolio Turnover"; IALT-PR, page 50).
• Gap between expense ratio and management fee. 0.99% minus 0.99% is 0.00% (my arithmetic). The fee covers operating costs, and no financing or short costs show up as expenses.
• IALT's spreads in our cost formula. Using the total return swap formula in fund_context.md with IALT's weighted spreads (L = 0.213%, S = 0.111%): $150 × 0.213% + $150 × 0.111% is about $0.49 per $100 per year above the base rate (my arithmetic). This mixes currencies and base rates, and our fund's spreads would depend on its own size and terms (my inference).

9. Performance and risk

Cumulative returns to September 30, 2026 (IALT-FS, page 1, "Cumulative Performance (%)"):

• First fiscal period. 11.99% at NAV from December 9, 2025 to April 30, 2026, not annualized (IALT-PR, page 50, "Financial Highlights").
• Monthly returns from the N-PORT. Month 1 0.94%, Month 2 -0.78%, Month 3 2.35% (IALT-NP, Item B.5.a). The months are read as May, June and July 2026 (my inference). Compounded, that is 2.51% for the 3 months to July 31, 2026 (my arithmetic).
• Where the gains came from, May to July 2026. Realized plus unrealized gains by category (my arithmetic, from IALT-NP, Items B.5.c and B.5.d): equity swaps +$72.1 million, equity futures -$11.5 million, interest rate contracts +$6.0 million, currency contracts +$3.8 million, commodity futures -$3.4 million, credit swaps +$1.0 million, non-derivatives -$2.1 million.
• Calendar-year returns. None. The fact sheet shows "-" for 2021 to 2025 (IALT-FS, page 1). The prospectus has no full calendar year to report (IALT-PR, page 17, "Performance Information").
• Risk statistics. "Equity Beta (3y) : -" and "Standard Deviation (3y) : -," so none are given (IALT-FS, page 1, "Fund Characteristics"). No correlation, Sharpe ratio, drawdown or capture figures.
• Note. The fund beat its T-bill benchmark by 16.43 percentage points since inception at NAV (my arithmetic). Its return source is not equity market neutral, so this isn't comparable to our target strategy (my inference).

10. History and structural changes

• Predecessor funds. None stated.
• Reorganizations and 351 conversions. None stated. The SAI has a "Sections 351 and 362" tax section in its contents (IALT-SAI, page 3), which is standard text about creation units. I did not read it.
• Name, ticker, strategy, adviser or trust changes. None stated.
• Growth. Net assets went from $216,992 thousand on April 30, 2026 (IALT-PR, page 50) to $5,320.2 million on July 31, 2026 (IALT-NP, Item B.1.c) and $6,963.15 million on September 30, 2026 (IALT-FS, page 1). That is about 32 times larger in five months (my arithmetic). Shares sold were $369.1 million, $4,299.9 million and $380.7 million in Months 1 to 3, with $2.3 million redeemed in Month 3 (IALT-NP, Item B.6).
• Document dates. The prospectus and SAI are dated August 24, 2026 (IALT-PR, page 1; IALT-SAI, page 1). The N-PORT reports July 31, 2026 and was signed August 31, 2026 (IALT-NP, Item A.3.b and signature block). The fact sheet is as of September 30, 2026. No supplements are attached. The prospectus and SAI figures cover only the first fiscal period, ended April 30, 2026.
• Conflicts between documents.
  • Distribution frequency: "Semi-Annual" (IALT-FS, page 1) versus income "declared and paid at least once a year" (IALT-PR, page 46). These don't strictly conflict, but the fact sheet is more specific.
  • Treasury bills: 91.6% of net assets on July 31, 2026 (IALT-NP, Part C) versus nine bills totaling 54.65% among the top 10 holdings on September 30, 2026 (IALT-FS, page 2). The dates differ and the fact sheet shows only the top 10, so this is not a strict conflict.
• Unexplained in the N-PORT. Total liabilities were $5,171,465,801.41, or 97.2% of net assets, with zero borrowings (IALT-NP, Items B.1.b and B.2.c; my arithmetic). The N-PORT doesn't break them down. They may include the short swaps' reported values, given how the N-PORT values swaps (my inference).

11. Principal risks

Summary list: IALT-PR, pages 7 to 17, "Summary of Principal Risks." The first group is "prioritized," the rest alphabetical (IALT-PR, page 7). Longer descriptions: IALT-PR, pages 21 to 38, "A Further Discussion of Principal Risks."

• Equity Securities Risk (page 7).
• Debt Securities Risk, with Credit, Interest Rate, Extension and Prepayment risks (pages 7 and 8).
• Derivatives Risk (pages 8 and 9). Flag: leverage and counterparties. Sub-risks:
  • Leverage Risk (page 8): losses "that greatly exceed the amount originally invested."
  • Market Risk (page 8): losses "potentially unlimited."
  • Counterparty Risk (page 8), including "concentrated exposure to such a counterparty."
  • Illiquidity, Operational, Legal, Volatility and Correlation, Valuation, Hedging and Tax risks (pages 8 and 9).
• Commodities Related Investments Risk (page 9).
• Model Risk (page 9).
• Assets Under Management (AUM) Risk (page 9).
• Authorized Participant Concentration Risk (page 9).
• Contingent Convertible Bonds ("CoCos") Risk (pages 9 and 10).
• Convertible Securities Risk (page 10).
• Corporate Loans Risk (page 10).
• Cryptocurrency Risk (pages 10 and 11).
• Depositary Receipts Risk (page 11).
• Dollar Rolls Risk (page 12).
• Emerging Markets Risk (page 12).
• Foreign Currency Transactions Risk (page 12).
• Foreign Securities Risk (page 12).
• High Portfolio Turnover Risk (page 12).
• High Yield Bonds Risk (pages 12 and 13).
• Indexed and Inverse Securities Risk (page 13).
• Investment in Other Investment Companies Risk (page 13).
• Issuer Risk (page 13).
• Large-Capitalization Companies Risk (page 13).
• Large Shareholder and Large-Scale Redemption Risk (page 13).
• Leverage Risk (page 13; also page 31). Flag: leverage. Leverage "may cause the Fund to liquidate portfolio positions when it may not be advantageous."
• Market Risk and Selection Risk (page 13).
• Market Trading Risk (page 14).
• Mezzanine Securities Risk (page 14).
• New Fund Risk (page 14).
• Preferred Securities Risk (page 14).
• Repurchase Agreements and Purchase and Sale Contracts Risk (page 14). Flag: counterparties.
• Reverse Repurchase Agreements Risk (pages 14 and 15). Flag: leverage and counterparties. Interest earned may be "less than the interest expense."
• Second Lien Loans Risk (page 15).
• Short Sales and Short Position Risk (page 15; also pages 35 and 36). Flag: shorting. Losses "are theoretically unlimited." The longer text adds "borrowing fees" and the risk that "the counterparty to a short sale or position may fail to honor its contractual terms" (page 36).
• Small and Mid-Capitalization Company Risk (page 15).
• Small Fund Risk (page 15).
• Structured Securities Risk (page 15).
• Subsidiary Risk (pages 15 and 16). Flag: the Cayman subsidiary is not registered under the 40 Act.
• Tax Risk (Straddle Rules) (page 16): offsetting positions in the relative value strategy may be caught by straddle rules.
• U.S. Government Obligations Risk (page 16).
• Variable and Floating Rate Instrument Risk (page 16).
• When-Issued and Delayed Settlement Transactions Risk (page 17).

No principal risk names a prime broker, borrow recalls (a lender demanding its stock back) or a specific swap counterparty.

12. Relevance to our fund

• How close is its structure and leverage? Closer than the fund documents suggest (my inference). IALT is a multi-asset, multi-strategy fund benchmarked to T-bills, not an equity market neutral stock book. But on July 31, 2026 its equity book was 136.5% long and 116.6% short, 2.53x gross (my arithmetic, from IALT-NP). That is near our 150/150 (3.0x) and well above 2.0x. Its net equity exposure was 19.8%, not neutral.
• What does it show about 3.0x gross in a 40 Act ETF? (my inference)
  • A $5.3 billion 40 Act ETF ran 2.53x equity gross and 4.02x across asset classes, entirely through derivatives, with zero borrowing and no direct shorts. This is a working precedent for Route D (total return swaps) at scale.
  • The book was built stock by stock: 2,634 single-stock swaps on 1,743 names, not one custom basket swap. Index swaps and futures were added on top, mainly as market hedges. This avoids the hidden-holdings concern with a single basket swap, at least in the N-PORT.
  • The shared credit agreement bars borrowing "for leverage" (IALT-SAI, page 50). So BlackRock does not use its bank line to lever this fund.
• What does it show about financing, collateral, custody and costs? (my inference)
  • Custody: State Street holds the fund's assets, mostly Treasury bills. No prime broker is used. Swap exposure is spread across four main banks, each with 16% to 43% of one side.
  • Cost: the N-PORT shows what BlackRock pays at this size. Longs pay about 0.21% over the overnight rate and shorts give up about 0.11%. In our formula that is about $0.49 per $100 per year above the base rate for a 150/150 book (my arithmetic; see section 8). None of it shows in the 0.99% expense ratio. This is the "hidden swap costs" trap in fund_context.md. The cost is visible only to someone who reads the N-PORT.
  • Commodity pool: BFA registered as a commodity pool operator because of the fund's derivatives use (IALT-SAI, page 10). If our fund used futures or swaps above the CFTC thresholds, Tidal might face the same step. We should ask.
  • Scale: $6.96 billion in under a year shows that a large sponsor can grow a derivatives-heavy alternatives ETF fast. But this is BlackRock's own trust, not a multi-client platform like Tidal's, and a new fund on Tidal may not get the same swap spreads.

13. Gaps and open questions

What the documents don't answer, for a 150/150 fund:

• Exposure at dates other than July 31, 2026, and any internal limit on gross exposure.
• What collateral is posted to the swap banks and futures brokers, where it is held, and the ISDA terms.
• What "GSCFT" refers to in "CASH COLLATERAL USD GSCFT." Goldman Sachs is a swap counterparty, which makes it a likely candidate, but nothing confirms it.
• The futures commission merchants.
• Rule 18f-4 VaR test, reference portfolio and derivatives risk manager. The N-PORT's Items B.9 and B.10 are blank.
• What makes up the $5.17 billion of total liabilities on July 31, 2026.
• Beta, volatility and other risk figures.
• The annual report for the period ended April 30, 2026 (Form N-CSR) would show swap financing in the notes, but it wasn't attached.

Questions to ask:

• To BlackRock: What were gross and net equity exposure on September 30, 2026? Is there a gross exposure limit?
• To BlackRock: What collateral does the fund post to its swap banks, and is it held at State Street in control accounts or with the banks? Does "GSCFT" mean Goldman Sachs?
• To BlackRock: Is the fund a full Rule 18f-4 user, and which VaR test and reference index does it use?
• To BlackRock: What makes up the $5.17 billion of liabilities on July 31, 2026?
• To Tidal: Could a 150/150 fund on Tidal run single-stock swaps with several banks, as IALT does, with State Street or Tidal's custodian holding the collateral? What spreads would banks offer a new fund of our size?
• To Tidal: If we used swaps or futures for the extra 50/50, would Tidal need to register as a commodity pool operator for our fund, as BFA did here?
• To Tidal: Can Tidal's platform report swap financing cost separately, so investors can see the true cost of leverage?

Search terms tried for fields left "Not stated":

• Long, short, gross and net: leverage, long and short, net notional, gross (fact sheet, prospectus summary, SAI Part I).
• Prime broker and margin type: prime broker, borrow, margin, Regulation T, portfolio margin, tri-party, segregat.
• Short method and Leverage Method: short sale, sold short, swap, counterparty, futures, futures commission merchant, box spread, reverse repurchase, options.
• Leverage cost and short dividends: interest expense, dividend expense, dividends on short, borrowing, line of credit, credit agreement.
• Rule 18f-4: 18f-4, value at risk, value-at-risk, derivatives risk manager, limited derivatives user, reference portfolio, designated reference.
• Commodity pool: commodity pool, Rule 4.5, Cayman.
• Beta and risk data: beta, standard deviation, Morningstar.
• History: predecessor, reorganiz, 351.
• CUSIP in prospectus and SAI: CUSIP (found only on the fact sheet).
• N-PORT (IALT-NP): Items A.1 to A.4, B.1 to B.10, Part E and the signature block, read in full. All 3,238 Part C holdings parsed by script for asset type, payoff, derivative type, counterparty, value, notional, swap legs and spreads. One record of each derivative type read in full. Items B.9 and B.10 (Rule 18f-4) are blank.

14. Documents used

Page numbering.

• IALT-FS: no printed page numbers. PDF pages 1 to 3 used.
• IALT-PR: PDF page 1 is the cover. PDF page 3 is the contents (printed "i"). PDF pages 2 and 4 are blank. The summary runs PDF pages 5 to 17, printed S-1 to S-13, so PDF page = S-number + 4. The main body runs PDF pages 18 to 51, printed 1 to 34, so PDF page = printed page + 17. PDF pages 52 to 55 are blank. PDF page 56 is the back cover.
• IALT-SAI: PDF page 1 is the cover. PDF pages 2 and 3 are the contents. Part I runs PDF pages 4 to 85, printed 1 to 82, so PDF page = printed page + 3. Part II starts at PDF page 86, printed II-1, so PDF page = II-number + 85 (for example, PDF page 183 is printed II-98).
• IALT-NP: a text file with no page numbers. It is cited by Form N-PORT item number.

15. Snapshot sources

• Ticker: IALT-FS, page 1, header.
• Fund name: IALT-FS, page 1, header.
• As of date: "Fact Sheet as of September 30, 2026" (IALT-FS, page 1, header). Exposure, counterparty and leverage cost fields use the N-PORT date, July 31, 2026.
• Adviser: "The Fund's investment adviser is BFA" (IALT-PR, page 17, "Management"); BFA is BlackRock Fund Advisors (IALT-PR, page 18, "More Information About the Fund").
• Platform: the fund is a series of BlackRock ETF Trust (IALT-SAI, page 4, "Part I"). The trust is BlackRock's own, with BlackRock entities as adviser, sub-adviser, distributor and lending agent (my inference from IALT-PR, pages 41 to 43, "Management").
• Exchange: "Exchange : NASDAQ" (IALT-FS, page 1, "Key Facts"); IALT-PR, page 5, summary header.
• Inception: "Fund Launch Date : 12/09/2025" (IALT-FS, page 1, "Key Facts"); "From inception (December 9, 2025)" (IALT-PR, page 6, "Portfolio Turnover").
• Net assets: "Net Assets of Fund (M) : $6,963.15" (IALT-FS, page 1, "Key Facts"), as of September 30, 2026.
• Strategy type: (my inference) from "combines differentiated sources of return across equities, credit, and macro strategies" (IALT-FS, page 1, "Fund Description") and "allocate its investments across multiple investment strategies" (IALT-PR, page 6, "Principal Investment Strategies").
• Long %: long single-stock swaps $5,741.9 million (107.9%), equity index futures bought $1,509.4 million (28.4%) and Space Exploration Technologies Corp shares $8.2 million (0.15%) total $7,259.6 million, or 136.5% of net assets of $5,320,172,547.97 (my arithmetic, from IALT-NP, Part C and Item B.1.c), as of July 31, 2026. Equity only. Swap values are the market value of the shares behind each swap (see section 5).
• Short %: short single-stock swaps $4,210.8 million (79.1%), MSCI World Equal Weighted index swaps $1,364.1 million notional (25.6%), Asian and Brazilian index swaps $163.4 million (3.1%) and equity index futures sold $467.2 million (8.8%) total $6,205.5 million, or 116.6% (my arithmetic, from IALT-NP, Part C), as of July 31, 2026. Equity only.
• Gross: equity long plus short is 253.1%, or 2.53x. Adding bond futures (9.4% long, 7.5% short), pay-fixed rate swaps (48.2%), credit default swaps (64.8% protection sold, 4.4% bought), commodity futures (12.5% long, 0.9% short), VIX futures (1.0%) and crypto futures (0.01%) gives 401.7%, or 4.02x. Adding currency forwards, counted once on the U.S. dollar leg at $11,071.9 million (208.1%), gives 609.9%, or 6.10x (all my arithmetic, from IALT-NP, Part C), as of July 31, 2026. Futures are at trade-date notional plus unrealized gain or loss.
• Above 2.0x: equity alone is 2.53x, above 2.0x (my arithmetic), as of July 31, 2026.
• Net: equity long minus equity short is 19.8% (my arithmetic, from IALT-NP, Part C), as of July 31, 2026.
• Short method: no holding is marked "Short" in Item C.3, so there were no direct short sales. All shorts were derivatives: single-stock swaps 79.1%, index swaps 28.7% and index futures 8.8% of net assets (my arithmetic, from IALT-NP, Items C.3 and C.11), as of July 31, 2026. The documents permit short sales and short exposure "through certain derivative instruments, such as futures, options or swaps" (IALT-PR, pages 7 and 15).
• Prime broker or counterparty: no prime broker is named in any document. Swap and forward counterparties are from IALT-NP, Item C.11.b, as of July 31, 2026 (see section 3). Futures counterparties are listed as exchanges, so no FCM is named.
• Custodian: "State Street Bank and Trust Company ('State Street') is the administrator, custodian and transfer agent for the Fund" (IALT-PR, page 42, "Management"); IALT-SAI, page 50.
• Management fee: IALT-PR, page 5, "Fees and Expenses"; IALT-FS, page 1, "Fees and Expenses Breakdown."
• Total expense ratio: "Total Annual Fund Operating Expenses After Fee Waiver 0.99%" (IALT-PR, page 5); "Expense Ratio 0.99%" (IALT-FS, page 1). The first fiscal period's actual figure was also 0.99% (IALT-PR, page 50).
• Short costs in expense ratio: the 0.99% has no line for short dividends, borrow fees or interest. "Other Expenses" are 0.00%, "based on estimated amounts" (IALT-PR, page 5, footnote 2). Interest expenses are excluded from what BFA pays (IALT-PR, page 5).
• 3-month return: 6.38% at NAV, 3 months to September 30, 2026 (IALT-FS, page 1, "Cumulative Performance (%)"). The N-PORT's 3 months to July 31, 2026 compound to 2.51% (my arithmetic, from IALT-NP, Item B.5.a).
• 1-year return: not available. The fund launched December 9, 2025, and the fact sheet gives no 1-year figure (IALT-FS, page 1). No period end applies.
• Beta: "Equity Beta (3y) : -" (IALT-FS, page 1, "Fund Characteristics"). No value given.
• Beta benchmark: not stated, because no beta is given.
• Beta period: not stated, because no beta is given. The fact sheet's label is "(3y)."
• Leverage Method: total return swaps carried 79.1% of 116.6% equity short and 107.9% of 136.5% equity long. Index futures carried 28.4% long and 8.8% short (my arithmetic, from IALT-NP, Part C), as of July 31, 2026. No options were held, so "Index futures and options" here means futures only. Listed swaps first because they are the larger share.
• Leverage cost: single-stock swap spreads weighted by exposure: longs pay the overnight rate plus 0.213%, shorts receive the overnight rate minus 0.111% (my arithmetic, from IALT-NP, Item C.11.f), as of July 31, 2026. Spreads read as percent per year (my inference). For December 9, 2025 to April 30, 2026, total expenses were 0.99%, equal to the management fee, so no financing cost is reported as an expense (my arithmetic, from IALT-PR, page 50).
• Short dividend expense: no figure, and the phrase does not appear in the prospectus or SAI Part I. All shorts on July 31, 2026 were swaps, where the fund pays the "equity-performance leg" (IALT-NP, Item C.11.f). Dividends on short names would be paid through that leg (my inference).
• Ranking properties (Rank to Score): from the ranking of the 27 LS peers prepared November 11, 2026, using only the project's fund profiles. Each of the seven criteria scores Yes = 1, Partly = 0.5, No or Not stated = 0. Funds sort first by Portfolio margin (YES, LIKELY, POSSIBLE, UNLIKELY, NO), then by Score, then Tidal funds first, then higher gross exposure (my inference).
• Rank: 20 of 27, as of November 11, 2026.
• Long/short: Partly. An equity sleeve within a multi-strategy fund: 136.5% long and 116.6% short in equity on July 31, 2026 (IALT-NP, Part C; my arithmetic).
• Portfolio margin: NO. No holding was marked "Short" on July 31, 2026, so the fund held no short stock book. All shorts were derivatives (IALT-NP, Item C.3).
• Cross-collateral: Not stated. Collateral posted to the swap banks is not stated (see section 6).
• Outside Reg T: No. Leverage comes through swaps and futures, not a margin account (IALT-NP, Part C) (my inference).
• Short costs (includes dividends): Yes. Single-stock swaps on July 31, 2026: longs pay the overnight rate plus about 0.213%, and shorts receive the overnight rate minus about 0.111% (IALT-NP, Item C.11.f; my arithmetic). At 150/150 that is about 0.49% a year above the base rate (my arithmetic). These are swap spreads, not short costs.
• Over 2.0x: Yes. 2.53x equity gross on July 31, 2026 (IALT-NP, Part C; my arithmetic).
• Tidal: No. The fund is a series of BlackRock ETF Trust (IALT-SAI, page 4).
• Score: 2.5 (my arithmetic).

16. Fund Documents

Fact Sheet

Prospectus

SAI