NPORT-EX 2 NPORT_2QA2_51067404_0124.htm

 

Schedule of Investments (unaudited) iShares® Interest Rate Hedged Corporate Bond ETF
January 31, 2024 (Percentages shown are based on Net Assets)

 

Security  Shares   Value 
         
Investment Companies          
           
Exchange-Traded Funds — 94.5%          
iShares iBoxx $ Investment Grade Corporate Bond ETF(a)(b)   2,454,469   $270,408,850 
           
Total Investment Companies          
(Cost: $262,227,909)        270,408,850 
         
Short-Term Securities          
           
Money Market Funds — 51.0%          
BlackRock Cash Funds: Institutional, SL Agency Shares, 5.51%(a)(c)(d)   129,105,918    129,183,381 
BlackRock Cash Funds: Treasury, SL Agency Shares, 5.32%(a)(c)   16,590,000    16,590,000 
           
Total Short-Term Securities — 51.0%          
(Cost: $145,772,135)        145,773,381 
           
Total Investments in Securities — 145.5%          
(Cost: $408,000,044)        416,182,231 
           
Liabilities in Excess of Other Assets — (45.5)%        (130,124,408)
           
Net Assets — 100.0%       $286,057,823 

 

(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, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer 

Value at

10/31/23

  

Purchases

at Cost

  

Proceeds

from Sale

  

Net Realized

Gain (Loss)

  

Change in

Unrealized

Appreciation

(Depreciation)

  

Value at

01/31/24

  

Shares

Held at

01/31/24

   Income  

Capital

Gain

Distributions

from

Underlying

Funds

 
BlackRock Cash Funds: Institutional, SL Agency Shares  $107,796,134   $21,384,852(a)  $—   $9,639   $(7,244)  $129,183,381   129,105,918   $237,145(b)  $— 
BlackRock Cash Funds: Treasury, SL Agency Shares   15,240,000    1,350,000(a)   —    —    —    16,590,000   16,590,000    104,167    — 
iShares iBoxx $ Investment Grade Corporate Bond ETF   240,053,877    23,039,801    (19,688,729)   (359,450)   27,363,351    270,408,850   2,454,469    2,830,893    — 
                  $(349,811)  $27,356,107   $416,182,231       $3,172,205   $— 

 

(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) 
5.36%  At Termination  1-Day SOFR, 5.32%  At Termination  N/A   07/05/24   USD 7,000   $(317)  $9   $(326)
0.40%  Annual  1-Day SOFR, 5.32%  Annual  N/A   10/19/25   USD 10,900    688,923    (33,956)   722,879 
1.00%  Annual  1-Day SOFR, 5.32%  Annual  N/A   12/07/26   USD 3,800    289,190    21    289,169 
0.49%  Annual  1-Day SOFR, 5.32%  Annual  N/A   09/22/27   USD 61,232    6,666,722    (91,440)   6,758,162 
3.54%  Annual  1-Day SOFR, 5.32%  Annual  N/A   05/24/28   USD 1,500    7,271    13    7,258 

 

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Schedule of Investments (unaudited) (continued) iShares® Interest Rate Hedged Corporate Bond ETF
January 31, 2024  


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, 5.32%  Annual  N/A   07/13/28   USD 2,300   $(33,057)  $20   $(33,077)
4.05% Annual  1-Day SOFR, 5.32%  Annual  N/A   08/31/28   USD 800    (13,484)   8    (13,492)
1.19% Annual  1-Day SOFR, 5.32%  Annual  N/A   10/20/28   USD 22,300    2,341,604    197    2,341,407 
4.53% Annual  1-Day SOFR, 5.32%  Annual  N/A   10/30/28   USD 2,000    (76,508)   19    (76,527)
4.32% Annual  1-Day SOFR, 5.32%  Annual  N/A   11/08/28   USD 2,000    (59,010)   19    (59,029)
4.15% Annual  1-Day SOFR, 5.32%  Annual  N/A   11/22/28   USD 4,000    (90,131)   38    (90,169)
3.93% Annual  1-Day SOFR, 5.32%  Annual  N/A   12/14/28   USD 900    (11,810)   8    (11,818)
3.58% Annual  1-Day SOFR, 5.32%  Annual  N/A   12/28/28   USD 800    1,602    8    1,594 
3.70% Annual  1-Day SOFR, 5.32%  Annual  N/A   01/12/29   USD 2,000    (6,476)   19    (6,495)
3.79% Annual  1-Day SOFR, 5.32%  Annual  N/A   01/25/29   USD 4,000    (29,528)   40    (29,568)
0.78% Annual  1-Day SOFR, 5.32%  Annual  N/A   10/19/30   USD 25,400    4,219,580    (398,163)   4,617,743 
1.22% Annual  1-Day SOFR, 5.32%  Annual  N/A   02/12/31   USD 13,180    1,920,438    146,795    1,773,643 
1.03% Annual  1-Day SOFR, 5.32%  Annual  N/A   08/23/31   USD 1,000    167,801    12    167,789 
1.28% Annual  1-Day SOFR, 5.32%  Annual  N/A   08/23/31   USD 5,000    757,026    (87,690)   844,716 
1.24% Annual  1-Day SOFR, 5.32%  Annual  N/A   12/15/31   USD 18,300    2,918,967    253    2,918,714 
1.28% Annual  1-Day SOFR, 5.32%  Annual  N/A   12/17/31   USD 3,100    487,369    43    487,326 
3.42% Annual  1-Day SOFR, 5.32%  Annual  N/A   05/24/33   USD 1,000    12,809    15    12,794 
3.55% Annual  1-Day SOFR, 5.32%  Annual  N/A   07/05/33   USD 1,500    3,724    24    3,700 
3.56% Annual  1-Day SOFR, 5.32%  Annual  N/A   07/18/33   USD 1,500    3,918    25    3,893 
4.08% Annual  1-Day SOFR, 5.32%  Annual  N/A   09/22/33   USD 600    (23,520)   11    (23,531)
4.30% Annual  1-Day SOFR, 5.32%  Annual  N/A   10/17/33   USD 1,000    (57,407)   17    (57,424)
4.07% Annual  1-Day SOFR, 5.32%  Annual  N/A   11/22/33   USD 1,000    (38,974)   17    (38,991)
3.51% Annual  1-Day SOFR, 5.32%  Annual  N/A   12/28/33   USD 800    5,695    14    5,681 
3.65% Annual  1-Day SOFR, 5.32%  Annual  N/A   01/12/34   USD 400    (1,882)   7    (1,889)
3.72% Annual  1-Day SOFR, 5.32%  Annual  N/A   01/24/34   USD 2,000    (21,446)   34    (21,480)
3.77% Annual  1-Day SOFR, 5.32%  Annual  N/A   01/25/34   USD 1,000    (14,854)   17    (14,871)
0.91% Annual  1-Day SOFR, 5.32%  Annual  N/A   09/25/35   USD 26,000    6,639,340    (542,896)   7,182,236 
1.35% Annual  1-Day SOFR, 5.32%  Annual  N/A   12/15/36   USD 6,400    1,496,515    119    1,496,396 
3.53% Annual  1-Day SOFR, 5.32%  Annual  N/A   07/18/38   USD 1,000    14,129    21    14,108 
3.94% Annual  1-Day SOFR, 5.32%  Annual  N/A   09/07/38   USD 500    (15,926)   10    (15,936)
4.14% Annual  1-Day SOFR, 5.32%  Annual  N/A   11/20/38   USD 800    (44,202)   17    (44,219)
3.83% Annual  1-Day SOFR, 5.32%  Annual  N/A   01/25/39   USD 600    (11,839)   12    (11,851)
1.11% Annual  1-Day SOFR, 5.32%  Annual  N/A   10/19/40   USD 20,700    6,568,116    367,196    6,200,920 
3.47% Annual  1-Day SOFR, 5.32%  Annual  N/A   07/18/43   USD 1,200    30,706    33    30,673 
3.78% Annual  1-Day SOFR, 5.32%  Annual  N/A   08/31/43   USD 1,000    (17,471)   28    (17,499)
3.82% Annual  1-Day SOFR, 5.32%  Annual  N/A   12/14/43   USD 500    (11,452)   13    (11,465)
3.52% Annual  1-Day SOFR, 5.32%  Annual  N/A   12/28/43   USD 1,000    18,761    28    18,733 
3.76% Annual  1-Day SOFR, 5.32%  Annual  N/A   01/24/44   USD 1,000    (15,451)   28    (15,479)
0.86% Annual  1-Day SOFR, 5.32%  Annual  N/A   03/30/45   USD 19,747    8,015,450    116,972    7,898,478 
3.60% Annual  1-Day SOFR, 5.32%  Annual  N/A   01/12/49   USD 400    (979)   13    (992)
3.68% Annual  1-Day SOFR, 5.32%  Annual  N/A   01/19/49   USD 550    (8,405)   18    (8,423)
3.75% Annual  1-Day SOFR, 5.32%  Annual  N/A   01/25/49   USD 700    (18,882)   22    (18,904)
1.06% Annual  1-Day SOFR, 5.32%  Annual  N/A   09/18/50   USD 16,655    7,048,082    (409,000)   7,457,082 
1.18% Annual  1-Day SOFR, 5.32%  Annual  N/A   10/19/50   USD 14,550    5,856,538    1,110,324    4,746,214 
1.29% Annual  1-Day SOFR, 5.32%  Annual  N/A   12/07/51   USD 3,700    1,464,061    125    1,463,936 
3.13% Annual  1-Day SOFR, 5.32%  Annual  N/A   06/27/53   USD 900    59,752    27    59,725 
3.18% Annual  1-Day SOFR, 5.32%  Annual  N/A   07/05/53   USD 1,200    70,066    37    70,029 
3.27% Annual  1-Day SOFR, 5.32%  Annual  N/A   07/07/53   USD 1,000    45,118    36    45,082 
3.74% Annual  1-Day SOFR, 5.32%  Annual  N/A   09/22/53   USD 1,000    (40,203)   36    (40,239)
3.87% Annual  1-Day SOFR, 5.32%  Annual  N/A   09/26/53   USD 350    (22,357)   12    (22,369)
3.96% Annual  1-Day SOFR, 5.32%  Annual  N/A   09/28/53   USD 500    (40,181)   18    (40,199)
4.03% Annual  1-Day SOFR, 5.32%  Annual  N/A   11/14/53   USD 1,000    (93,410)   35    (93,445)
3.35% Annual  1-Day SOFR, 5.32%  Annual  N/A   12/28/53   USD 700    20,649    25    20,624 
3.52% Annual  1-Day SOFR, 5.32%  Annual  N/A   01/12/54   USD 500    (676)   18    (694)
3.60% Annual  1-Day SOFR, 5.32%  Annual  N/A   01/19/54   USD 550    (8,839)   20    (8,859)
3.67% Annual  1-Day SOFR, 5.32%  Annual  N/A   01/25/54   USD 700    (20,012)   25    (20,037)
                          $56,991,233   $179,826   $56,811,407 

 

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Schedule of Investments (unaudited) (continued) iShares® Interest Rate Hedged Corporate Bond ETF
January 31, 2024  

 

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  $270,408,850   $—   $—   $270,408,850 
Short-Term Securities                    
Money Market Funds   145,773,381    —    —    145,773,381 
   $416,182,231   $—   $—   $416,182,231 
Derivative Financial Instruments(a)                    
Assets                    
Interest Rate Contracts  $—   $57,660,704   $—   $57,660,704 
Liabilities                    
Interest Rate Contracts   —    (849,297)   —    (849,297)
   $—   $56,811,407   $—    56,811,407 

 

(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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