NPORT-EX 2 NPORT_0BWE_41057524_0723.htm

 

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

 

Security  Shares   Value 
           
Investment Companies          
           
Exchange-Traded Funds — 94.4%          
iShares iBoxx $ Investment Grade Corporate Bond ETF(a)   533,621   $57,551,025 
           
Total Investment Companies          
(Cost: $65,698,666)        57,551,025 
           
Short-Term Securities          
           
Money Market Funds — 1.1%          
BlackRock Cash Funds: Treasury, SL Agency Shares, 5.22%(a)(b)   680,000    680,000 
           
Total Short-Term Securities — 1.1%          
(Cost: $680,000)        680,000 
           
Total Investments in Securities — 95.5%          
(Cost: $66,378,666)        58,231,025 
           
Other Assets Less Liabilities — 4.5%        2,716,247 
           
Net Assets — 100.0%       $60,947,272 
(a) Affiliate of the Fund.
(b) Annualized 7-day yield as of period end.

Affiliates

 

Investments in issuers considered to be affiliate(s) of the Fund during the period ended July 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
07/31/23		   Shares
Held at
07/31/23		   Income   Capital
Gain
Distributions
from
Underlying
Funds		 
BlackRock Cash Funds: Institutional, SL Agency Shares(a)  $—   $—   $(188)(b) $188   $—   $—    —   $6,799(c) $— 
BlackRock Cash Funds: Treasury, SL Agency Shares   170,000    510,000(b)  —    —    —    680,000    680,000    17,539    — 
iShares iBoxx $Investment Grade Corporate Bond ETF   53,261,756    18,561,849    (17,565,081)   (4,156,643)   7,449,144    57,551,025    533,621    1,579,540    — 
                  $(4,156,455)  $7,449,144   $58,231,025        $1,603,878   $— 

 

(a)As of period end, the entity is no longer held.

(b)Represents net amount purchased (sold).

(c)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) 
3.32%  Annual   1-Day SOFR, 5.06%  Annual   N/A   12/06/29   USD   600   $23,477   $8   $23,469 
3.48%  Annual   1-Day SOFR, 5.06%  Annual   N/A   01/09/30   USD   200    5,632    3    5,629 
3.27%  Annual   1-Day SOFR, 5.06%  Annual   N/A   03/15/30   USD   100    3,842    1    3,841 
3.14%  Annual   1-Day SOFR, 5.06%  Annual   N/A   05/05/30   USD   170    7,557    2    7,555 
3.25%  Annual   1-Day SOFR, 5.06%  Annual   N/A   12/06/32   USD   200    9,252    3    9,249 
3.08%  Annual   1-Day SOFR, 5.06%  Annual   N/A   01/23/33   USD   200    11,743    3    11,740 
3.23%  Annual   1-Day SOFR, 5.06%  Annual   N/A   12/06/37   USD   100    5,707    2    5,705 

 

 1

 

 

Schedule of Investments (unaudited) (continued) iShares® Inflation Hedged Corporate Bond ETF
July 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) 
3.17%  Annual   1-Day SOFR, 5.06%  Annual   N/A   01/09/48   USD   200   $12,132   $6   $12,126 
2.98%  Annual   1-Day SOFR, 5.06%  Annual   N/A   03/15/48   USD   100    8,663    3    8,660 
3.07%  Annual   1-Day SOFR, 5.06%  Annual   N/A   05/05/48   USD   100    6,866    3    6,863 
3.15%  Annual   1-Day SOFR, 5.06%  Annual   N/A   11/23/52   USD   100    5,167    4    5,163 
2.93%  Annual   1-Day SOFR, 5.06%  Annual   N/A   12/06/52   USD   200    18,496    7    18,489 
2.99%  Annual   1-Day SOFR, 5.06%  Annual   N/A   05/05/53   USD   100    7,193    3    7,190 
                              $125,727   $48   $125,679 

 

Centrally Cleared Inflation Swaps

 

                            Upfront     
                    Notional       Premium   Unrealized 
Paid by the Fund  Received by the Fund  Termination       Amount       Paid   Appreciation 
Reference  Frequency  Rate  Frequency  Date       (000)   Value    (Received)    (Depreciation) 
1.75%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  08/20/23   USD   10   $1,309   $—   $1,309 
U.S. CPI Urban Consumers NSA  At Termination  2.63%  At Termination  12/09/23   USD   2,700    (14,909)   (5,947)   (8,962)
3.35%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  01/05/24   USD   3,000    114,449    20    114,429 
3.12%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  11/04/24   USD   400    (2,470)   285    (2,755)
2.74%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  11/17/24   USD   800    620    5    615 
2.50%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  12/30/24   USD   560    959    (4)   963 
2.54%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  02/10/25   USD   60    117    —    117 
2.48%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  04/06/25   USD   66    74    —    74 
2.50%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  04/13/25   USD   400    113    276    (163)
2.42%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  04/25/25   USD   520    639    3    636 
2.27%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  05/05/25   USD   660    2,686    4    2,682 
2.43%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  07/27/25   USD   510    513    3    510 
2.68%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  09/07/26   USD   135    7,899    2    7,897 
2.74%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  09/15/26   USD   2,000    108,903    27    108,876 
2.92%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  10/21/26   USD   3,500    153,034    46    152,988 
3.13%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  10/27/26   USD   1,330    44,734    18    44,716 
3.15%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  10/29/26   USD   1,540    49,967    20    49,947 
2.59%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  10/11/27   USD   100    484    1    483 
2.75%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  12/07/27   USD   200    (412)   3    (415)
2.54%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  12/30/27   USD   430    2,207    (243)   2,450 
2.46%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  01/05/28   USD   1,900    16,522    25    16,497 
2.45%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  02/08/28   USD   965    9,807    13    9,794 

 

2

 

 

Schedule of Investments (unaudited) (continued) iShares® Inflation Hedged Corporate Bond ETF
July 31, 2023  

 

Centrally Cleared Inflation Swaps (continued)

 

                            Upfront     
                    Notional       Premium   Unrealized 
Paid by the Fund  Received by the Fund  Termination       Amount       Paid   Appreciation 
Reference  Frequency  Rate  Frequency  Date       (000)   Value    (Received)    (Depreciation) 
2.59%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  02/22/28   USD   360   $1,790   $5   $1,785 
2.71%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  02/24/28   USD   250    (11)   3    (14)
2.58%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  03/31/28   USD   80    257    1    256 
2.56%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  04/05/28   USD   125    443    2    441 
2.50%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  04/06/28   USD   700    4,571    9    4,562 
2.52%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  04/13/28   USD   1,200    6,469    1,935    4,534 
2.55%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  04/19/28   USD   800    2,964    11    2,953 
2.41%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  05/05/28   USD   1,600    15,650    21    15,629 
2.39%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  05/17/28   USD   1,400    15,916    19    15,897 
2.66%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  10/01/28   USD   1,000    58,265    18    58,247 
2.96%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  10/26/28   USD   1,500    56,159    28    56,131 
1.89%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  08/20/30   USD   360    59,573    7,108    52,465 
1.90%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  08/20/30   USD   420    69,226    10    69,216 
2.24%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  01/12/31   USD   2,000    249,084    47    249,037 
2.40%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  02/09/31   USD   3,000    326,707    70    326,637 
2.47%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  04/07/31   USD   2,000    202,499    47    202,452 
2.67%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  05/19/31   USD   1,000    78,835    23    78,812 
2.57%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  06/02/31   USD   3,000    262,819    2,870    259,949 
2.60%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  09/30/31   USD   1,000    62,386    23    62,363 
2.43%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  12/19/32   USD   110    2,356    3    2,353 
2.55%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  12/30/32   USD   270    2,559    (358)   2,917 
2.50%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  01/05/33   USD   700    9,821    16    9,805 
2.47%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  02/07/33   USD   410    7,060    10    7,050 
2.54%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  04/13/33   USD   435    4,311    646    3,665 
2.55%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  04/25/33   USD   1,200    9,847    28    9,819 
2.58%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  07/14/33   USD   330    1,841    8    1,833 
2.61%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  01/07/37   USD   3,500    166,910    101    166,809 
2.50%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  01/25/37   USD   560    33,300    16    33,284 
2.45%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  04/06/38   USD   310    6,748    9    6,739 

 

 3

 

 

Schedule of Investments (unaudited) (continued) iShares® Inflation Hedged Corporate Bond ETF
July 31, 2023  

 

Centrally Cleared Inflation Swaps (continued)

 

                            Upfront     
                    Notional       Premium   Unrealized 
Paid by the Fund  Received by the Fund  Termination       Amount       Paid   Appreciation 
Reference  Frequency  Rate  Frequency  Date       (000)   Value    (Received)    (Depreciation) 
2.56%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  07/14/38   USD   248   $1,737   $7   $1,730 
2.40%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  06/29/41   USD   500    50,753    19    50,734 
2.45%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  06/29/41   USD   1,000    94,185    38    94,147 
2.38%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  07/16/41   USD   300    30,486    4    30,482 
2.58%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  01/05/42   USD   1,530    68,803    59    68,744 
2.33%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  12/19/42   USD   200    8,619    8    8,611 
2.40%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  01/13/43   USD   40    1,188    2    1,186 
2.47%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  03/31/43   USD   120    2,086    5    2,081 
2.43%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  04/05/43   USD   275    6,534    11    6,523 
2.47%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  04/19/43   USD   325    5,594    12    5,582 
2.54%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  07/14/43   USD   65    388    3    385 
2.58%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  07/31/43   USD   60    (61)   2    (63)
2.50%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  12/06/46   USD   500    29,361    22    29,339 
2.47%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  12/09/46   USD   1,000    64,856    45    64,811 
2.31%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  01/20/48   USD   230    10,689    10    10,679 
2.49%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  07/24/48   USD   244    2,144    11    2,133 
2.57%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  07/27/48   USD   100    (618)   4    (622)
2.55%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  07/31/48   USD   100    (322)   4    (326)
1.83%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  10/18/49   USD   418    96,899    (11,789)   108,688 
1.94%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  08/20/50   USD   10    2,230    —    2,230 
1.95%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  08/20/50   USD   600    132,561    16,730    115,831 
2.23%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  01/06/51   USD   300    45,052    15    45,037 
2.41%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  07/30/51   USD   1,000    93,013    49    92,964 
2.42%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  08/02/51   USD   459    41,128    23    41,105 
2.37%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  02/08/53   USD   225    8,925    11    8,914 
2.35%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  04/06/53   USD   50    2,129    2    2,127 
2.43%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  06/06/53   USD   101    2,547    5    2,542 
2.49%  At Termination  U.S. CPI Urban Consumers NSA  At Termination  07/24/53   USD   391    3,269    19    3,250 
                        $3,019,775   $12,617   $3,007,158 

 

4

 

 

Schedule of Investments (unaudited) (continued) iShares® Inflation Hedged Corporate Bond ETF
July 31, 2023  

 

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  $57,551,025   $—   $—   $57,551,025 
Short-Term Securities                    
Money Market Funds   680,000    —    —    680,000 
   $58,231,025   $—   $—   $58,231,025 
Derivative Financial Instruments(a)                    
Assets                    
Inflation Linked Contracts  $—   $3,020,478   $—   $3,020,478 
Interest Rate Contracts   —    125,679    —    125,679 
Liabilities                    
Inflation Linked Contracts   —    (13,320)   —    (13,320)
   $—   $3,132,837   $—    3,132,837 

 

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

 

Portfolio Abbreviation

 

CPI Consumer Price Index
SOFR Secured Overnight Financing Rate

 

 5