NPORT-EX 2 NPORT_0BWK_43152001_0123.htm

 

Consolidated Schedule of Investments (unaudited) iShares® Commodity Curve Carry Strategy ETF
January 31, 2023 (Percentages shown are based on Net Assets)

 

 

Security  Par
(000)		   Value 
           
Commercial Paper          
American Electric Power Co. Inc.          
4.71%, 02/07/23  $450   $449,588 
4.83%, 03/13/23   500    497,263 
Bell Canada Inc., 4.67%, 03/13/23   1,000    994,708 
Bell Telephone Co. of Canada or Bell Canada, 4.59%, 02/13/23   432    431,285 
Britannia Funding Co. LLC, 4.61%, 03/02/23   1,400    1,394,645 
Dominion Energy Inc., 4.66%, 02/06/23   250    249,806 
Lime Funding LLC, 4.61%, 03/10/23   885    880,713 
Lloyds Bank PLC, 4.52%, 03/01/23   1,300    1,295,279 
LMA-Americas LLC, 4.60%, 02/27/23   800    797,249 
Marriott International Inc., 5.34%, 03/01/23   420    418,429 
Mitsubishi UFJ Trust & Banking Corp., 4.48%, 02/08/23   1,400    1,398,606 
Mizuho Bank Ltd., 4.59%, 03/07/23   1,350    1,344,006 
Societe Generale SA, 4.53%, 03/06/23   800    796,592 
Spire Inc., 4.74%, 02/16/23   800    798,317 
Toyota Industries Commercial Finance Inc., 4.45%, 02/16/23   1,400    1,397,234 
TransCanada PipeLines Ltd., 4.77%, 02/24/23   250    249,207 
Union Electric Co., 4.72%, 02/14/23   429    428,214 
VW Credit Inc., 4.88%, 03/24/23   500    496,502 
           
Total Commercial Paper — 50.2%          
(Cost: $14,318,506)        14,317,643 

 

Security  Par/
Shares
(000)		   Value 
           
U.S. Treasury Obligations          
           
U.S. Treasury Bill, 4.52%, 02/28/23(a)  $500   $498,333 
           
Total U.S. Treasury Obligations — 1.7%          
(Cost: $498,370)        498,333 
           
Money Market Funds          
           
BlackRock Cash Funds: Treasury, SL Agency Shares, 4.18%(b)(c)   13,310    13,310,000 
           
Total Money Market Funds — 46.6%          
(Cost: $13,310,000)        13,310,000 
           
Total Investments — 98.5%          
(Cost: $28,126,876)        28,125,976 
           
Other Assets Less Liabilities — 1.5%        419,303 
           
Net Assets — 100.0%       $28,545,279 

 

(a)Rates are discount rates or a range of discount rates as of period end.

(b)Affiliate of the Fund.

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


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
(000)		   Income   Capital Gain
Distributions from
Underlying Funds		 
BlackRock Cash Funds: Treasury, SL Agency Shares  $8,760,000   $4,550,000(a)  $—   $—   $—   $13,310,000    13,310   $87,769   $7 

 

(a)Represents net amount purchased (sold).

 

OTC Total Return Swaps

Paid by the Fund  Received by the Fund                    Upfront     
                              Premiums   Unrealized 
               Effective  Termination   Notional       Paid   Appreciation 
Rate(a)  Frequency  Reference(b)  Frequency  Counterparty  Date  Date   Amount (000)   Value   (Received)   (Depreciation) 
4.60%  At Termination  ICE BofA Commodity Enhanced Carry Total Return Index  At Termination  Citibank N.A.  N/A  08/31/23    13,438   $255,687   $(237,482)  $493,169 
4.60%  At Termination  ICE BofA Commodity Enhanced Carry Total Return Index  At Termination  Merrill Lynch International  N/A  08/31/23    13,859    259,612    (249,024)   508,636 
                           $515,299   $(486,506)  $1,001,805 

 

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

(b)Please refer to the Reference Entity below for more details.

 

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Consolidated Schedule of Investments (unaudited) (continued) iShares® Commodity Curve Carry Strategy ETF
January 31, 2023  

 

Reference Entity

 

The ICE BofA Commodity Enhanced Carry Total Return Index consists of futures contracts under each counterparty. The following table represents the individual long positions and related weighting of the future contracts underlying the ICE BofA Commodity Enhanced Carry Total Return Index as of January 31, 2023.

 

Futures contracts  Maturity date  Weight % 
Brent Crude Oil  10/31/2023   25.8%
Copper  12/19/2023   15.8 
Gas Oil  12/12/2023   11.2 
Corn  12/14/2023   11.1 
Soybeans  11/14/2023   10.4 
WTI Crude Oil  11/20/2023   6.8 
Sugar  02/29/2024   6.7 
Live Cattle  06/30/2023   4.8 
Coffee  07/19/2023   4.2 
Zinc  12/19/2023   3.3 

 

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                    
Commercial Paper  $—   $14,317,643   $—   $14,317,643 
U.S. Treasury Obligations   —    498,333    —    498,333 
Short-Term Securities                    
Money Market Funds   13,310,000    —    —    13,310,000 
   $13,310,000   $14,815,976   $—   $28,125,976 
Derivative Financial Instruments(a)                    
Assets                    
Commodity Contracts  $—   $1,001,805   $—   $1,001,805 

 

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

 

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