NPORT-EX 2 NPORT_2QA2_39423280_0123.htm

 

Schedule of Investments (unaudited) iShares® Interest Rate Hedged Corporate Bond ETF
January 31, 2023 (Percentages shown are based on Net Assets)

 

Security  Shares   Value 
         
Investment Companies          
           
Exchange-Traded Funds — 96.4%          
iShares iBoxx $ Investment Grade Corporate Bond ETF(a)(b)   3,036,200   $336,623,494 
           
Total Investment Companies          
(Cost: $339,850,400)        336,623,494 
           
Short-Term Securities          
           
Money Market Funds — 28.6%          
BlackRock Cash Funds: Institutional, SL Agency Shares, 4.56%(a)(c)(d)   87,372,886    87,425,310 
BlackRock Cash Funds: Treasury, SL Agency Shares, 4.18%(a)(c)   12,340,000    12,340,000 
           
Total Short-Term Securities — 28.6%          
(Cost: $99,763,349)        99,765,310 
           
Total Investments in Securities — 125.0%          
(Cost: $439,613,749)        436,388,804 
           
Liabilities in Excess of Other Assets — (25.0)%        (87,216,201)
           
Net Assets — 100.0%       $349,172,603 

 

 

(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 January 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer  Value at
10/31/22		   Purchases
at Cost		   Proceeds
from Sale		   Net Realized
Gain (Loss)		   Change in
Unrealized
Appreciation
(Depreciation)		   Value at
01/31/23		   Shares
Held at
01/31/23		   Income   Capital
Gain
Distributions
from
Underlying
Funds		 
BlackRock Cash Funds: Institutional, SL Agency Shares  $94,026,906   $—   $(6,636,971)(a) $20,460   $14,915   $87,425,310    87,372,886   $24,435(b) $— 
BlackRock Cash Funds: Treasury, SL Agency Shares   1,120,000    11,220,000(a)  —    —    —    12,340,000    12,340,000    145,158    27 
iShares iBoxx $ Investment Grade Corporate Bond ETF   644,356,037    80,825,012    (435,470,280)   (108,506,022)   155,418,747    336,623,494    3,036,200    5,317,826    — 
                  $(108,485,562)  $155,433,662   $436,388,804        $5,487,419   $27 

 

(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) 
4.52%  Annual  1-Day SOFR, 4.30%   Annual  N/A   03/23/23   $(70,000)  $9,712   $54   $9,658 
4.60%  Annual  1-Day SOFR, 4.30%   Annual  N/A   04/05/23    (60,000)   3,387    59    3,328 
4.65%  Annual  1-Day SOFR, 4.30%   Annual  N/A   04/23/23    (100,000)   3,670    126    3,544 
3.27%  Annual  1-Day SOFR, 4.30%   Annual  N/A   07/15/23    (23,200)   170,650    (12,060)   182,710 
4.32%  Annual  1-Day SOFR, 4.30%   Annual  N/A   09/26/23    (10,000)   39,438    9    39,429 

 

 1

 

 

Schedule of Investments (unaudited) (continued) iShares® Interest Rate Hedged Corporate Bond ETF
January 31, 2023

 

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) 
0.40%  Semi-annual  3-Month LIBOR, 4.81%   Quarterly  N/A   10/19/25   $(47,900)  $4,545,640   $101,595   $4,444,045 
0.86%  Semi-annual  3-Month LIBOR, 4.81%   Quarterly  N/A   08/23/26    (4,420)   438,031    29    438,002 
0.87%  Annual  1-Day SOFR, 4.30%   Annual  N/A   10/01/26    (7,500)   696,078    51    696,027 
1.00%  Annual  1-Day SOFR, 4.30%   Annual  N/A   12/07/26    (5,000)   455,892    37    455,855 
0.49%  Semi-annual  3-Month LIBOR, 4.81%   Quarterly  N/A   09/22/27    (62,232)   8,431,731    571,684    7,860,047 
1.19%  Annual  1-Day SOFR, 4.30%   Annual  N/A   10/20/28    (25,300)   2,789,632    268    2,789,364 
0.77%  Semi-annual  3-Month LIBOR, 4.82%   Quarterly  N/A   04/01/30    (13,514)   2,345,993    (118,594)   2,464,587 
0.78%  Semi-annual  3-Month LIBOR, 4.81%   Quarterly  N/A   10/19/30    (27,400)   5,041,456    392    5,041,064 
1.22%  Semi-annual  3-Month LIBOR, 4.81%   Quarterly  N/A   02/12/31    (25,180)   4,013,430    776,996    3,236,434 
1.63%  Semi-annual  3-Month LIBOR, 4.81%   Quarterly  N/A   05/25/31    (1,000)   134,667    (15,244)   149,911 
1.03%  Annual  1-Day SOFR, 4.30%   Annual  N/A   08/23/31    (1,000)   162,384    14    162,370 
1.28%  Semi-annual  3-Month LIBOR, 4.81%   Quarterly  N/A   08/23/31    (5,000)   818,370    69    818,301 
1.37%  Semi-annual  3-Month LIBOR, 4.81%   Quarterly  N/A   09/22/31    (5,460)   862,479    77    862,402 
1.24%  Annual  1-Day SOFR, 4.30%   Annual  N/A   12/15/31    (18,300)   2,756,357    282    2,756,075 
1.28%  Annual  1-Day SOFR, 4.30%   Annual  N/A   12/17/31    (3,100)   458,854    48    458,806 
0.91%  Semi-annual  3-Month LIBOR, 4.81%   Quarterly  N/A   09/25/35    (26,000)   6,859,579    120,327    6,739,252 
1.35%  Annual  1-Day SOFR, 4.30%   Annual  N/A   12/15/36    (10,500)   2,156,597    209    2,156,388 
1.34%  Annual  1-Day SOFR, 4.30%   Annual  N/A   12/21/36    (3,500)   726,284    66    726,218 
3.25%  Annual  1-Day SOFR, 4.30%   Annual  N/A   01/31/38    (1,500)   (8,678)   32    (8,710)
1.11%  Semi-annual  3-Month LIBOR, 4.81%   Quarterly  N/A   10/19/40    (21,700)   6,874,531    1,166,332    5,708,199 
1.57%  Semi-annual  3-Month LIBOR, 4.81%   Quarterly  N/A   08/23/41    (3,470)   911,228    78    911,150 
0.86%  Semi-annual  3-Month LIBOR, 4.82%   Quarterly  N/A   03/30/45    (23,747)   9,521,630    1,119,522    8,402,108 
1.16%  Semi-annual  3-Month LIBOR, 4.81%   Quarterly  N/A   10/19/45    (8,783)   3,148,818    1,177,181    1,971,637 
1.06%  Semi-annual  3-Month LIBOR, 4.82%   Quarterly  N/A   09/18/50    (18,755)   7,670,377    437,902    7,232,475 
1.18%  Semi-annual  3-Month LIBOR, 4.81%   Quarterly  N/A   10/19/50    (18,750)   7,250,395    2,368,855    4,881,540 
1.29%  Annual  1-Day SOFR, 4.30%   Annual  N/A   12/07/51    (3,700)   1,188,805    128    1,188,677 
1.38%  Annual  1-Day SOFR, 4.30%   Annual  N/A   12/15/51    (3,600)   1,091,626    125    1,091,501 
                          $81,569,043   $7,696,649   $73,872,394 

 

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 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 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.

 

2

 

 

Schedule of Investments (unaudited) (continued) iShares® Interest Rate Hedged Corporate Bond ETF
January 31, 2023

 

Fair Value Hierarchy as of Period End (continued)

 

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 
Assets                
Investments                
Long-Term Investments                    
Investment Companies  $336,623,494   $—   $—   $336,623,494 
Short-Term Securities                    
Money Market Funds   99,765,310    —    —    99,765,310 
   $436,388,804   $—   $—   $436,388,804 
Derivative Financial Instruments(a)                    
Assets                    
Interest Rate Contracts  $—   $73,881,104   $—   $73,881,104 
Liabilities                    
Interest Rate Contracts   —    (8,710)   —    (8,710)
   $—   $73,872,394   $—    73,872,394 

 

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

 

Portfolio Abbreviation

 

SOFR Secured Overnight Financing Rate
LIBOR London Interbank Offered Rate

 

 3