NPORT-EX 2 NPORT_2QA2_83552872_0723.htm

 

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

 

 

 

Security  Shares   Value 
         
Investment Companies          
           
Exchange-Traded Funds — 93.8%          
iShares iBoxx $ Investment Grade Corporate Bond ETF(a)(b)    2,405,084   $259,388,309 
           
Total Investment Companies          
(Cost: $259,170,857)        259,388,309 
           
Short-Term Securities          
           
Money Market Funds — 6.2%          
BlackRock Cash Funds: Treasury, SL Agency Shares, 5.22%(a)(c)    17,090,000    17,090,000 
           
Total Short-Term Securities — 6.2%          
(Cost: $17,090,000)        17,090,000 
           
Total Investments in Securities — 100.0%          
(Cost: $276,260,857)        276,478,309 
           
Other Assets Less Liabilities — 0.0%        104,491 
           
Net Assets — 100.0%       $276,582,800 

 

(a) Affiliate of the Fund.

(b) All or a portion of the security has been pledged in connection with outstanding centrally cleared swaps.

(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 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)   $94,026,906   $—   $(94,017,760)(b)   $(22,100)  $12,954   $—    —   $77,201(c)   $— 
BlackRock Cash Funds: Treasury, SL Agency Shares   1,120,000    15,970,000(b)    —    —    —    17,090,000    17,090,000    476,706    27 
iShares iBoxx $ Investment Grade Corporate Bond ETF   644,356,037    125,601,052    (549,689,074)   (119,742,811)   158,863,105    259,388,309    2,405,084    11,144,851    — 
                  $(119,764,911)  $158,876,059   $276,478,309        $11,698,758   $27 

  

(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) 
5.36%   Annual   1-Day SOFR, 5.06%   Annual   N/A   07/05/24   USD  7,000  $1,926   $21   $1,905 
0.40%   Annual   1-Day SOFR, 5.06%   Annual   N/A   10/19/25   USD  10,900   1,187,741    (43,523)   1,231,264 
0.87%   Annual   1-Day SOFR, 5.06%   Annual   N/A   10/01/26   USD  4,000   526,492    23    526,469 
1.00%   Annual   1-Day SOFR, 5.06%   Annual   N/A   12/07/26   USD  5,000   629,549    33    629,516 
0.49%   Annual   1-Day SOFR, 5.06%   Annual   N/A   09/22/27   USD  62,232   9,623,935    (104,902)   9,728,837 
3.54%   Annual   1-Day SOFR, 5.06%   Annual   N/A   05/24/28   USD  1,500   34,212    13    34,199 

 

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Schedule of Investments (unaudited) (continued) iShares® Interest Rate 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) 
4.01%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/13/28   USD  2,300  $(1,439)  $22   $(1,461)
3.82%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/18/28   USD  2,000   15,233    19    15,214 
3.87%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/25/28   USD  2,000   9,601    19    9,582 
1.19%  Annual   1-Day SOFR, 5.06%   Annual   N/A   10/20/28   USD  22,300   3,466,357    217    3,466,140 
3.66%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/18/30   USD  1,500   13,707    20    13,687 
0.78%  Annual   1-Day SOFR, 5.06%   Annual   N/A   10/19/30   USD  25,400   5,205,702    (424,283)   5,629,985 
1.22%  Annual   1-Day SOFR, 5.06%   Annual   N/A   02/12/31   USD  13,180   2,382,772    155,849    2,226,923 
1.03%  Annual   1-Day SOFR, 5.06%   Annual   N/A   08/23/31   USD  1,000   217,291    13    217,278 
1.28%  Annual   1-Day SOFR, 5.06%   Annual   N/A   08/23/31   USD  5,000   924,911    (92,741)   1,017,652 
1.24%  Annual   1-Day SOFR, 5.06%   Annual   N/A   12/15/31   USD  18,300   3,649,893    267    3,649,626 
1.28%  Annual   1-Day SOFR, 5.06%   Annual   N/A   12/17/31   USD  3,100   609,344    45    609,299 
3.42%  Annual   1-Day SOFR, 5.06%   Annual   N/A   05/24/33   USD  1,000   25,110    16    25,094 
3.55%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/05/33   USD  1,500   18,117    24    18,093 
3.72%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/13/33   USD  900   (1,473)   15    (1,488)
3.56%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/18/33   USD  1,500   17,045    26    17,019 
3.57%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/25/33   USD  500   4,800    8    4,792 
3.62%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/28/33   USD  250   1,446    4    1,442 
0.91%  Annual   1-Day SOFR, 5.06%   Annual   N/A   09/25/35   USD  26,000   7,368,942    (561,543)   7,930,485 
1.35%  Annual   1-Day SOFR, 5.06%   Annual   N/A   12/15/36   USD  6,400   1,683,444    123    1,683,321 
3.53%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/18/38   USD  1,000   14,294    21    14,273 
3.52%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/25/38   USD  600   8,230    12    8,218 
1.11%  Annual   1-Day SOFR, 5.06%   Annual   N/A   10/19/40   USD  20,700   6,928,521    375,079    6,553,442 
3.58%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/13/43   USD  600   1,159    17    1,142 
3.47%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/18/43   USD  1,200   20,390    34    20,356 
3.46%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/25/43   USD  600   10,099    15    10,084 
3.58%  Annual   1-Day SOFR, 5.06%   Annual   N/A   08/01/43   USD  300   (313)   7    (320)
0.86%  Annual   1-Day SOFR, 5.06%   Annual   N/A   03/30/45   USD  19,747   8,166,238    118,767    8,047,471 
3.35%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/25/48   USD  400   7,446    11    7,435 
3.47%  Annual   1-Day SOFR, 5.06%   Annual   N/A   08/01/48   USD  300   (399)   8    (407)
1.06%  Annual   1-Day SOFR, 5.06%   Annual   N/A   09/18/50   USD  16,655   7,054,208    (413,473)   7,467,681 
1.18%  Annual   1-Day SOFR, 5.06%   Annual   N/A   10/19/50   USD  14,550   5,847,698    1,122,351    4,725,347 
1.29%  Annual   1-Day SOFR, 5.06%   Annual   N/A   12/07/51   USD  3,700   1,475,233    127    1,475,106 
3.13%  Annual   1-Day SOFR, 5.06%   Annual   N/A   06/27/53   USD  900   37,651    28    37,623 
3.18%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/05/53   USD  1,200   39,799    37    39,762 
3.27%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/07/53   USD  1,000   17,909    36    17,873 
3.26%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/18/53   USD  600   11,554    21    11,533 
3.24%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/25/53   USD  400   8,247    13    8,234 
3.26%  Annual   1-Day SOFR, 5.06%   Annual   N/A   07/28/53   USD  300   4,689    9    4,680 
3.35%  Annual   1-Day SOFR, 5.06%   Annual   N/A   08/01/53   USD  300   (361)   9    (370)
                              $67,266,950   $132,914   $67,134,036 

 

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

 

2

 

 

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

 

Fair Value Hierarchy as of Period End (continued)

 

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  $259,388,309   $—   $—   $259,388,309 
Short-Term Securities                    
Money Market Funds   17,090,000    —    —    17,090,000 
   $276,478,309   $—   $—   $276,478,309 
Derivative Financial Instruments(a)                     
Assets                    
Interest Rate Contracts  $—   $67,138,082   $—   $67,138,082 
Liabilities                    
Interest Rate Contracts   —    (4,046)   —    (4,046)
   $—   $67,134,036   $—    67,134,036 

 

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

 

Portfolio Abbreviation

 

SOFR  Secured Overnight Financing Rate

 

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