NPORT-EX 2 NPORT_2QA2_75697361_0722.htm

 

Schedule of Investments (unaudited) iShares® Interest Rate Hedged Corporate Bond ETF
July 31, 2022 (Percentages shown are based on Net Assets)

  

Security  Shares   Value 
         
Investment Companies          
           
Exchange-Traded Funds — 99.2%          
iShares iBoxx $ Investment Grade Corporate Bond ETF(a)(b)    6,337,123   $726,297,667 
           
Short-Term Securities          
Money Market Funds — 11.6%          
BlackRock Cash Funds: Institutional, SL Agency Shares, 1.93%(a)(c)(d)   84,585,647    84,577,189 
BlackRock Cash Funds: Treasury, SL Agency Shares, 1.81%(a)(c)    360,000    360,000 
           
Total Short-Term Securities — 11.6%          
(Cost: $84,911,813)        84,937,189 
           
Total Investments in Securities — 110.8%          
(Cost: $919,725,873)        811,234,856 
           
Liabilities in Excess of Other Assets — (10.8)%        (78,978,972)
           
Net Assets — 100.0%       $732,255,884 

 

 

(a)Affiliate of the Fund.

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

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

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


Affiliates

 

Investments in issuers considered to be affiliate(s) of the Fund during the period ended July 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer  Value at 10/31/21   Purchases at Cost   Proceeds from Sale   Net Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value at 07/31/22   Shares Held at 07/31/22   Income   Capital Gain Distributions from Underlying Funds 
BlackRock Cash Funds: Institutional, SL Agency Shares  $322,620,459   $—   $(237,817,201)(a)  $(251,445)  $25,376   $84,577,189    84,585,647   $1,987,780(b)  $— 
BlackRock Cash Funds: Treasury, SL Agency Shares   7,390,000    —    (7,030,000)(a)   —    —    360,000    360,000    50,745    — 
iShares iBoxx $ Investment Grade Corporate Bond ETF   709,029,875    975,997,658    (763,825,199)   (84,363,467)   (110,541,200)   726,297,667    6,337,123    20,772,205    — 
                  $(84,614,912)  $(110,515,824)  $811,234,856        $22,810,730   $— 

 

(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.

 

Derivative Financial Instruments Outstanding as of Period End

 

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  Frequency   Date  Date  (000)   Value   (Received)   (Depreciation) 
0.23%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  10/19/22  $(47,770)  $271,898   $91   $271,807 
3.27%   Annual   1-Day SOFR, 2.32%  Annual   N/A  07/15/23   (73,200)   (156,440)   (25,505)   (130,935)
3.11%   Annual   1-Day SOFR, 2.32%  Annual   N/A  07/15/24   (5,000)   (21,598)   (1,751)   (19,847)
2.96%   Annual   1-Day SOFR, 2.32%  Annual   N/A  07/27/24   (12,000)   (18,903)   57    (18,960)
0.35%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  09/22/25   (21,500)   1,633,954    5,689    1,628,265 
0.40%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  10/19/25   (62,900)   4,824,431    352,736    4,471,695 
0.93%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  05/17/26   (1,000)   67,370    7    67,363 
0.93%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  05/17/26   (17,100)   1,152,635    (5,304)   1,157,939 

 

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Schedule of Investments (unaudited) (continued) iShares® Interest Rate Hedged Corporate Bond ETF
July 31, 2022

 

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  Frequency   Date  Date  (000)   Value   (Received)   (Depreciation) 
0.86%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  08/23/26  $(4,420)  $323,629   $33   $323,596 
0.87%   Annual   1-Day SOFR, 2.32%  Annual   N/A  10/01/26   (7,500)   484,359    57    484,302 
1.01%   Annual   1-Day SOFR, 2.32%  Annual   N/A  10/29/26   (950)   57,021    7    57,014 
0.98%   Annual   1-Day SOFR, 2.32%  Annual   N/A  11/10/26   (3,512)   215,397    28    215,369 
1.32%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  11/23/26   (1,000)   58,291    8    58,283 
1.00%   Annual   1-Day SOFR, 2.32%  Annual   N/A  12/07/26   (8,100)   497,061    70    496,991 
1.06%   Annual   1-Day SOFR, 2.32%  Annual   N/A  12/15/26   (29,360)   1,735,444    253    1,735,191 
1.09%   Annual   1-Day SOFR, 2.32%  Annual   N/A  12/17/26   (18,200)   1,057,251    157    1,057,094 
0.49%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  09/22/27   (65,232)   6,949,618    740,594    6,209,024 
1.08%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  08/19/28   (2,350)   212,316    3,892    208,424 
1.19%   Annual   1-Day SOFR, 2.32%  Annual   N/A  10/20/28   (38,300)   2,720,584    442    2,720,142 
1.23%   Annual   1-Day SOFR, 2.32%  Annual   N/A  10/22/28   (1,460)   100,371    17    100,354 
1.15%   Annual   1-Day SOFR, 2.32%  Annual   N/A  12/15/28   (27,500)   2,053,103    343    2,052,760 
1.19%   Annual   1-Day SOFR, 2.32%  Annual   N/A  12/30/28   (5,590)   406,113    70    406,043 
1.21%   Annual   1-Day SOFR, 2.32%  Annual   N/A  01/04/29   (1,600)   114,551    20    114,531 
1.33%   Annual   1-Day SOFR, 2.32%  Annual   N/A  01/06/29   (12,000)   781,451    151    781,300 
1.43%   Annual   1-Day SOFR, 2.32%  Annual   N/A  01/10/29   (11,385)   669,332    144    669,188 
2.69%   Annual   1-Day SOFR, 2.32%  Annual   N/A  07/15/29   (2,400)   (42,148)   32    (42,180)
2.41%   Annual   1-Day SOFR, 2.32%  Annual   N/A  08/01/29   (4,500)   1,579    61    1,518 
0.77%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  04/01/30   (18,514)   2,465,948    (126,711)   2,592,659 
0.78%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  10/19/30   (27,400)   3,912,723    417    3,912,306 
1.22%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  02/12/31   (25,180)   2,871,464    822,798    2,048,666 
1.63%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  05/25/31   (18,080)   1,539,460    (138,248)   1,677,708 
1.03%   Annual   1-Day SOFR, 2.32%  Annual   N/A  08/23/31   (1,000)   114,121    15    114,106 
1.28%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  08/23/31   (5,000)   580,039    73    579,966 
1.37%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  09/22/31   (10,460)   1,143,305    154    1,143,151 
1.24%   Annual   1-Day SOFR, 2.32%  Annual   N/A  12/15/31   (18,300)   1,829,555    296    1,829,259 
1.28%   Annual   1-Day SOFR, 2.32%  Annual   N/A  12/17/31   (29,900)   2,903,367    485    2,902,882 
0.91%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  09/25/35   (26,000)   5,557,870    124,853    5,433,017 
1.59%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  09/14/36   (3,200)   474,865    60    474,805 
1.44%   Annual   1-Day SOFR, 2.32%  Annual   N/A  10/05/36   (3,600)   480,791    68    480,723 
1.46%   Annual   1-Day SOFR, 2.32%  Annual   N/A  10/29/36   (8,360)   1,093,612    161    1,093,451 
1.35%   Annual   1-Day SOFR, 2.32%  Annual   N/A  12/15/36   (20,000)   2,912,232    410    2,911,822 
1.34%   Annual   1-Day SOFR, 2.32%  Annual   N/A  12/21/36   (11,500)   1,700,507    222    1,700,285 
2.68%   Annual   1-Day SOFR, 2.32%  Annual   N/A  07/27/37   (2,000)   (29,532)   43    (29,575)
1.11%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  10/19/40   (21,700)   5,594,884    1,196,606    4,398,278 
1.57%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  08/23/41   (17,970)   3,522,283    37,118    3,485,165 
1.41%   Annual   1-Day SOFR, 2.32%  Annual   N/A  12/15/41   (11,600)   2,099,531    318    2,099,213 
1.48%   Annual   1-Day SOFR, 2.32%  Annual   N/A  12/30/41   (3,890)   661,788    107    661,681 
0.86%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  03/30/45   (23,747)   8,060,096    1,141,181    6,918,915 
1.16%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  10/19/45   (13,283)   3,896,268    1,930,044    1,966,224 
1.61%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  08/23/46   (610)   133,319    4,221    129,098 
1.40%   Annual   1-Day SOFR, 2.32%  Annual   N/A  12/15/46   (7,000)   1,443,508    222    1,443,286 
1.45%   Annual   1-Day SOFR, 2.32%  Annual   N/A  12/17/46   (20,500)   4,072,727    653    4,072,074 
2.73%   Annual   1-Day SOFR, 2.32%  Annual   N/A  07/22/47   (1,700)   (61,896)   55    (61,951)
2.52%   Annual   1-Day SOFR, 2.32%  Annual   N/A  08/01/47   (1,000)   2,036    33    2,003 
1.06%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  09/18/50   (18,755)   6,457,531    444,876    6,012,655 
1.18%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  10/19/50   (18,750)   6,014,716    2,405,930    3,608,786 
1.63%   Semi-annual   3-Month LIBOR, 2.79%  Quarterly   N/A  09/16/51   (2,500)   583,741    75    583,666 
1.52%   Annual   1-Day SOFR, 2.32%  Annual   N/A  09/29/51   (4,900)   974,814    148    974,666 
1.29%   Annual   1-Day SOFR, 2.32%  Annual   N/A  12/07/51   (3,700)   919,421    131    919,290 
1.38%   Annual   1-Day SOFR, 2.32%  Annual   N/A  12/15/51   (19,300)   4,414,885    679    4,414,206 
1.46%   Annual   1-Day SOFR, 2.32%  Annual   N/A  01/04/52   (1,815)   384,159    64    384,095 
2.54%   Annual   1-Day SOFR, 2.32%  Annual   N/A  07/15/52   (1,700)   (23,699)   60    (23,759)
                          $104,849,109   $8,920,016   $95,929,093 

 

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Schedule of Investments (unaudited) (continued) iShares® Interest Rate Hedged Corporate Bond ETF
July 31, 2022

 

Fair Value Hierarchy as of Period End

 

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 BlackRock Global Valuation Methodologies Committee’s (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.

 

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

   Level 1   Level 2   Level 3   Total 
Investments                    
Assets                    
Investment Companies  $726,297,667   $—   $—   $726,297,667 
Money Market Funds   84,937,189    —    —    84,937,189 
   $811,234,856   $—   $—   $811,234,856 
Derivative financial instruments(a)                    
Assets                    
Swaps  $—   $96,256,300   $—   $96,256,300 
Liabilities                    
Swaps   —    (327,207)   —    (327,207)
   $—   $95,929,093   $—   $95,929,093 

 

(a)Derivative financial instruments are swaps. Swaps are valued at the unrealized appreciation (depreciation) on the instrument.

 

Portfolio Abbreviations - Fixed Income

 

LIBOR London Interbank Offered Rate

SOFR Secured Overnight Financing Rate

 

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