NPORT-EX 2 NPORT_2QA2_5865223099.htm

 

Schedule of Investments (unaudited) iShares® Interest Rate Hedged Corporate Bond ETF
July 31, 2021 (Percentages shown are based on Net Assets)

 

Security  Shares   Value 
         
Investment Companies          
           
Exchange-Traded Funds — 97.8%          
iShares iBoxx $ Investment Grade Corporate Bond ETF(a)(b)(c)   4,107,961   $558,723,776 
           
Total Investment Companies — 97.8%          
(Cost: $544,915,639)        558,723,776 
           
Short-Term Investments          
           
Money Market Funds — 48.3%          
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.06%(a)(d)(e)   262,093,203    262,224,249 
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.00%(a)(d)   13,600,000    13,600,000 
         275,824,249 
           
Total Short-Term Investments — 48.3%          
(Cost: $275,824,249)        275,824,249 
           
Total Investments in Securities — 146.1%          
(Cost: $820,739,888)        834,548,025 
           
Other Assets, Less Liabilities — (46.1)%        (263,457,298)
           
Net Assets — 100.0%       $571,090,727 

 

 

(a)Affiliate of the Fund.

(b)All or a portion of the security has been pledged in connection with outstanding centrally cleared swaps.

(c)All or a portion of this security is on loan.

(d)Annualized 7-day yield as of period-end.

(e)All or a portion of this security was purchased with cash collateral received from loaned securities.

 

Affiliates

 

Investments in issuers considered to be affiliate(s) of the Fund during the period ended July 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer  Value at
10/31/20		   Purchases
at Cost		   Proceeds
from Sales		   Net Realized
Gain (Loss)		   Change in
Unrealized
Appreciation
(Depreciation)		   Value at
07/31/21		   Shares
Held at
07/31/21		   Income   Capital
Gain
Distributions
from
Underlying
Funds		 
BlackRock Cash Funds: Institutional, SL Agency Shares  $173,299,904   $88,970,063(a)  $—   $(63,036)  $17,318   $262,224,249    262,093,203   $802,914(b)  $— 
BlackRock Cash Funds: Treasury, SL Agency Shares   11,240,000    2,360,000(a)   —    —    —    13,600,000    13,600,000    2,059    — 
iShares iBoxx $Investment Grade Corporate Bond ETF   445,044,213    205,772,266    (105,419,617)   5,783,562    7,543,352    558,723,776    4,107,961    9,130,717    — 
                  $5,720,526   $7,560,670   $834,548,025        $9,935,690   $— 

 

(a)Represents net amount purchased (sold).

(b)All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

Centrally Cleared Interest Rate Swaps

 

                              Upfront     
                Notional       Premium   Unrealized 
Paid by the Fund   Received by the Fund   Effective   Termination   Amount       Paid   Appreciation 
Rate  Frequency   Rate(a)  Frequency   Date   Date    (000)   Value    (Received)    (Depreciation) 
1.17% Semi-annual   0.20% Quarterly   N/A   12/08/21   $(41,731)  $(154,870)  $(105,192)  $(49,678)
0.23  Semi-annual   0.20  Quarterly   N/A   10/19/22    (57,770)   (46,441)   1,174    (47,615)
2.38  Semi-annual   0.20  Quarterly   N/A   01/12/23    (14,338)   (457,288)   (327,772)   (129,516)
2.46  Semi-annual   0.20  Quarterly   N/A   01/12/25    (29,448)   (1,934,976)   (1,936,090)   1,114 
0.35  Semi-annual   0.20  Quarterly   N/A   09/22/25    (36,500)   492,276    21,862    470,414 

 

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Schedule of Investments (unaudited) (continued) iShares® Interest Rate Hedged Corporate Bond ETF
July 31, 2021  

 

Centrally Cleared Interest Rate Swaps (continued)

 

                              Upfront     
                      Notional       Premium   Unrealized 
Paid by the Fund   Received by the Fund   Effective   Termination   Amount       Paid   Appreciation 
Rate  Frequency   Rate(a)  Frequency   Date   Date   (000)  Value   (Received)   (Depreciation) 
0.40% Semi-annual   0.20% Quarterly   N/A   10/19/25   $(70,900)  $854,049   $624,595   $229,454 
0.93  Semi-annual   0.20  Quarterly   N/A   05/17/26    (1,000)   (7,443)   9    (7,452)
0.93  Semi-annual   0.20  Quarterly   N/A   05/17/26    (17,100)   (126,459)   (6,662)   (119,797)
0.49  Semi-annual   0.20  Quarterly   N/A   09/22/27    (65,232)   1,802,308    882,567    919,741 
3.25  Semi-annual   0.20  Quarterly   N/A   10/18/28    (41,460)   (6,408,452)   (6,615,623)   207,171 
0.77  Semi-annual   0.20  Quarterly   N/A   04/01/30    (18,514)   641,653    (142,125)   783,778 
0.78  Semi-annual   0.20  Quarterly   N/A   10/19/30    (27,400)   1,098,619    465    1,098,154 
1.22  Semi-annual   0.20  Quarterly   N/A   02/12/31    (25,180)   77,068    912,439    (835,371)
1.63  Semi-annual   0.20  Quarterly   N/A   05/25/31    (18,080)   (610,620)   (152,325)   (458,295)
0.91  Semi-annual   0.20  Quarterly   N/A   09/25/35    (26,000)   1,961,742    133,683    1,828,059 
2.34  Semi-annual   0.20  Quarterly   N/A   12/08/36    (22,966)   (2,674,327)   (2,774,900)   100,573 
1.11  Semi-annual   0.20  Quarterly   N/A   10/19/40    (21,700)   1,872,874    1,255,332    617,542 
2.03  Semi-annual   0.20  Quarterly   N/A   05/17/41    (14,180)   (1,031,939)   (540,727)   (491,212)
0.86  Semi-annual   0.20  Quarterly   N/A   03/30/45    (27,147)   4,416,491    1,204,167    3,212,324 
1.16  Semi-annual   0.20  Quarterly   N/A   10/19/45    (23,700)   2,464,671    3,933,748    (1,469,077)
1.06  Semi-annual   0.20  Quarterly   N/A   09/18/50    (26,365)   3,938,543    476,049    3,462,494 
1.18  Semi-annual   0.20  Quarterly   N/A   10/19/50    (18,750)   2,238,557    2,477,855    (239,298)
2.08  Semi-annual   0.20  Quarterly   N/A   05/17/51    (5,900)   (596,665)   (25,973)   (570,692)
                           $7,809,371   $(703,444)  $8,512,815 

 

(a)Represents 3-month LIBOR. Rate shown is the rate in effect as of period-end.

 

Fair Value Measurements

 

Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

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

 

●Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs); and

 

●Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, (including the Global Valuation Committee’s assumptions used in determining the fair value of financial instruments).

 

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds. There may not be a secondary market, and/or there are a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of financial instruments, refer to its most recent financial statements.

 

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Schedule of Investments (unaudited) (continued) iShares® Interest Rate Hedged Corporate Bond ETF
July 31, 2021  

 

Fair Value Measurements (continued)

 

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of July 31, 2021. The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.

 

   Level 1   Level 2   Level 3   Total 
Investments                
Assets                
Investment Companies  $558,723,776   $—   $—   $558,723,776 
Money Market Funds   275,824,249    —    —    275,824,249 
   $834,548,025   $—   $—   $834,548,025 
Derivative financial instruments(a)                    
Assets                    
Swaps  $—   $12,930,818   $—   $12,930,818 
Liabilities                    
Swaps   —    (4,418,003)   —    (4,418,003)
   $—   $8,512,815   $—   $8,512,815 

 

(a)Shown at the unrealized appreciation (depreciation) on the contracts.

 

Portfolio Abbreviations - Fixed Income
   
LIBOR London Interbank Offered Rate

 

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