NPORT-EX 2 NPORT_2QGA_59802508_0123.htm

 

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

 

Security  Shares   Value 
         
Investment Companies          
           
Exchange-Traded Funds — 91.5%          
iShares 10+ Year Investment Grade Corporate Bond ETF(a)(b)   1,620,681   $86,690,227 
           
Total Investment Companies          
(Cost: $79,997,004)        86,690,227 
           
Short-Term Securities          
           
Money Market Funds — 48.6%          
BlackRock Cash Funds: Institutional, SL Agency Shares, 4.56%(a)(c)(d)   43,803,380    43,829,662 
BlackRock Cash Funds: Treasury, SL Agency Shares, 4.18%(a)(c)   2,180,000    2,180,000 
           
Total Short-Term Securities — 48.6%          
(Cost: $45,988,250)        46,009,662 
           
Total Investments in Securities — 140.1%          
(Cost: $125,985,254)        132,699,889 
           
Liabilities in Excess of Other Assets — (40.1)%        (37,966,806)
           
Net Assets — 100.0%       $94,733,083 

 

 

(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  $245,498   $43,561,377(a) $—   $1,375   $21,412   $43,829,662    43,803,380   $64,469(b) $— 
BlackRock Cash Funds: Treasury, SL Agency Shares   1,210,000    970,000(a)  —    —    —    2,180,000    2,180,000    17,332    2 
iShares 10+ Year Investment Grade Corporate Bond ETF   49,067,109    57,106,918    (29,352,713)   (5,775,773)   15,644,686    86,690,227    1,620,681    886,329    — 
                  $(5,774,398)  $15,666,098   $132,699,889        $968,130   $2 

 

(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) 
4.21%  Annual  1-Day SOFR, 4.30%    Annual  N/A   02/09/23   $(15,000)  $1,417   $2   $1,415 
4.25%  Annual  1-Day SOFR, 4.30%    Annual  N/A   02/14/23    (15,000)   1,997    3    1,994 
4.53%  Annual  1-Day SOFR, 4.30%    Annual  N/A   03/22/23    (20,000)   2,500    15    2,485 
1.49%  Annual  1-Day SOFR, 4.29%    Annual  N/A   02/18/24    (3,800)   129,109    10    129,099 
2.48%  Annual  1-Day SOFR, 4.29%    Annual  N/A   04/13/24    (890)   23,536    3    23,533 

 

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Schedule of Investments (unaudited) (continued) iShares® Interest Rate Hedged Long-Term 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) 
4.01%  Annual  1-Day SOFR, 4.30%    Annual  N/A    09/19/24    $(500)  $3,661   $2   $3,659 
4.65%  Annual  1-Day SOFR, 4.30%    Annual  N/A    10/24/24     (1,000)   (3,926)   4    (3,930)
0.40%  Semi-annual  3-Month LIBOR, 4.81%    Quarterly  N/A    10/19/25     (3,850)   365,359    33    365,326 
3.25%  Annual  1-Day SOFR, 4.29%    Annual  N/A    06/21/27     (1,300)   11,110    11    11,099 
2.45%  Annual  1-Day SOFR, 4.30%    Annual  N/A    08/04/27     (500)   20,470    4    20,466 
0.48%  Semi-annual  3-Month LIBOR, 4.81%    Quarterly  N/A    09/15/27     (2,335)   316,853    72,074    244,779 
3.47%  Annual  1-Day SOFR, 4.30%    Annual  N/A    09/19/27     (100)   (164)   1    (165)
3.56%  Annual  1-Day SOFR, 4.30%    Annual  N/A    10/06/27     (500)   (2,795)   5    (2,800)
3.94%  Annual  1-Day SOFR, 4.30%    Annual  N/A    10/20/27     (500)   (11,217)   5    (11,222)
4.01%  Annual  1-Day SOFR, 4.30%    Annual  N/A    10/27/27     (400)   (10,273)   4    (10,277)
0.78%  Semi-annual  3-Month LIBOR, 4.81%    Quarterly  N/A    10/19/30     (5,090)   936,553    73    936,480 
2.10%  Annual  1-Day SOFR, 4.29%    Annual  N/A    04/04/32     (3,960)   346,402    63    346,339 
2.47%  Annual  1-Day SOFR, 4.30%    Annual  N/A    08/01/32     (750)   45,011    12    44,999 
2.40%  Annual  1-Day SOFR, 4.30%    Annual  N/A    08/04/32     (100)   6,544    2    6,542 
2.47%  Annual  1-Day SOFR, 4.30%    Annual  N/A    08/08/32     (250)   15,057    4    15,053 
2.52%  Annual  1-Day SOFR, 4.30%    Annual  N/A    08/17/32     (100)   5,573    2    5,571 
2.86%  Annual  1-Day SOFR, 4.30%    Annual  N/A    08/25/32     (150)   4,269    2    4,267 
2.83%  Annual  1-Day SOFR, 4.30%    Annual  N/A    08/30/32     (100)   3,118    2    3,116 
3.45%  Annual  1-Day SOFR, 4.30%    Annual  N/A    10/07/32     (100)   (1,972)   1    (1,973)
3.57%  Annual  1-Day SOFR, 4.30%    Annual  N/A    11/16/32     (200)   (6,035)   3    (6,038)
3.38%  Annual  1-Day SOFR, 4.30%    Annual  N/A    01/09/33     (300)   (4,602)   5    (4,607)
3.19%  Annual  1-Day SOFR, 4.30%    Annual  N/A    01/11/33     (300)   421    5    416 
1.75%  Semi-annual  3-Month LIBOR, 4.81%    Quarterly  N/A    06/17/36     (16,785)   3,116,121    (473,557)   3,589,678 
2.69%  Annual  1-Day SOFR, 4.30%    Annual  N/A    08/16/37     (250)   14,769    5    14,764 
3.40%  Annual  1-Day SOFR, 4.30%    Annual  N/A    12/01/37     (1,000)   (24,141)   21    (24,162)
3.41%  Annual  1-Day SOFR, 4.30%    Annual  N/A    12/27/37     (300)   (7,463)   6    (7,469)
3.51%  Annual  1-Day SOFR, 4.30%    Annual  N/A    12/29/37     (300)   (11,036)   6    (11,042)
3.55%  Annual  1-Day SOFR, 4.30%    Annual  N/A    12/30/37     (100)   (4,098)   2    (4,100)
3.24%  Annual  1-Day SOFR, 4.30%    Annual  N/A    01/10/38     (400)   (1,790)   8    (1,798)
1.95%  Semi-annual  3-Month LIBOR, 4.81%    Quarterly  N/A    05/10/41     (18,527)   3,863,380    (1,083,149)   4,946,529 
3.37%  Annual  1-Day SOFR, 4.30%    Annual  N/A    10/11/42     (400)   (12,024)   11    (12,035)
3.56%  Annual  1-Day SOFR, 4.30%    Annual  N/A    10/20/42     (350)   (20,101)   10    (20,111)
3.15%  Annual  1-Day SOFR, 4.30%    Annual  N/A    12/06/42     (1,200)   2,358    34    2,324 
3.45%  Annual  1-Day SOFR, 4.30%    Annual  N/A    12/29/42     (300)   (12,683)   8    (12,691)
3.10%  Annual  1-Day SOFR, 4.30%    Annual  N/A    01/17/43     (600)   4,917    17    4,900 
3.21%  Annual  1-Day SOFR, 4.30%    Annual  N/A    01/31/43     (500)   (3,597)   14    (3,611)
1.61%  Semi-annual  3-Month LIBOR, 4.81%    Quarterly  N/A    08/24/46     (6,200)   1,804,807    61,144    1,743,663 
1.71%  Semi-annual  3-Month LIBOR, 4.81%    Quarterly  N/A    09/14/46     (4,400)   1,211,420    116    1,211,304 
1.40%  Annual  1-Day SOFR, 4.29%    Annual  N/A    11/12/46     (1,900)   534,188    51    534,137 
1.44%  Annual  1-Day SOFR, 4.29%    Annual  N/A    12/10/46     (1,550)   424,265    49    424,216 
3.21%  Annual  1-Day SOFR, 4.30%    Annual  N/A    10/11/47     (100)   (2,430)   3    (2,433)
3.40%  Annual  1-Day SOFR, 4.30%    Annual  N/A    10/20/47     (650)   (37,163)   21    (37,184)
3.26%  Annual  1-Day SOFR, 4.30%    Annual  N/A    11/25/47     (400)   (13,548)   13    (13,561)
3.13%  Annual  1-Day SOFR, 4.30%    Annual  N/A    11/30/47     (380)   (4,289)   12    (4,301)
3.03%  Annual  1-Day SOFR, 4.30%    Annual  N/A    12/08/47     (500)   3,055    17    3,038 
3.02%  Annual  1-Day SOFR, 4.30%    Annual  N/A    12/14/47     (250)   1,724    8    1,716 
3.23%  Annual  1-Day SOFR, 4.30%    Annual  N/A    12/27/47     (200)   (5,676)   6    (5,682)
3.08%  Annual  1-Day SOFR, 4.30%    Annual  N/A    01/13/48     (500)   (1,650)   16    (1,666)
2.04%  Semi-annual  3-Month LIBOR, 4.81%    Quarterly  N/A    05/07/51     (15,815)   3,631,235    (1,516,675)   5,147,910 
2.95%  Annual  1-Day SOFR, 4.30%    Annual  N/A    10/05/52     (150)   220    5    215 
3.00%  Annual  1-Day SOFR, 4.30%    Annual  N/A    11/30/52     (260)   (1,946)   9    (1,955)
2.91%  Annual  1-Day SOFR, 4.30%    Annual  N/A    12/06/52     (200)   2,021    7    2,014 
2.90%  Annual  1-Day SOFR, 4.30%    Annual  N/A    12/08/52     (500)   5,473    18    5,455 
2.89%  Annual  1-Day SOFR, 4.30%    Annual  N/A    12/14/52     (200)   2,582    7    2,575 
2.91%  Annual  1-Day SOFR, 4.30%    Annual  N/A    01/11/53     (400)   3,600    15    3,585 

 

2

 

 

Schedule of Investments (unaudited) (continued) iShares® Interest Rate Hedged Long-Term 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) 
2.96%  Annual  1-Day SOFR, 4.30%   Annual  N/A   01/13/53   $(400)  $(527)  $15   $(542)
3.00%  Annual  1-Day SOFR, 4.30%   Annual  N/A   01/25/53    (600)   (5,158)   21    (5,179)
                          $16,654,791   $(2,939,336)  $19,594,127 

 

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.

 

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  $86,690,227   $—   $—   $86,690,227 
Short-Term Securities                    
Money Market Funds   46,009,662    —    —    46,009,662 
   $132,699,889   $—   $—   $132,699,889 
Derivative Financial Instruments(a)                    
Assets                    
Interest Rate Contracts  $—   $19,804,661   $—   $19,804,661 
Liabilities                    
Interest Rate Contracts   —    (210,534)   —    (210,534)
   $—   $19,594,127   $—    19,594,127 

 

(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

 

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