NPORT-EX 2 NPORT_0BWK_45316776_0124.htm

 

Consolidated Schedule of Investments (unaudited) iShares® Commodity Curve Carry Strategy ETF
January 31, 2024 (Percentages shown are based on Net Assets)

 

Security  Par
(000)		  Value 
           
Certificates of Deposit          
           
Bank of America N.A., 5.46%, 03/27/24  $250   $250,097 
Bank of Montreal, 5.10%, 12/09/24   250    250,745 
BNP Paribas SA, 5.83%, 08/08/24   250    250,598 
Credit Agricole Corporate and Investment Bank/New York, 5.37%, 02/02/24, (1-day SOFR + 0.270%)(a)   250    250,003 
DG Bank, 5.30%, 06/13/24   250    250,349 
MUFG Bank Ltd., 5.08%, 01/10/25   250    250,332 
MUFG Bank Ltd./New York NY, 5.50%, 05/21/24, (1-day SOFR + 0.380%)(a)   250    250,182 
Nordea Bank Abp, 5.34%, 03/01/24   250    250,053 
Standard Chartered Bank, 5.09%, 01/08/25   250    250,232 
Sumitomo Mitsui Banking Corp./New York, 5.52%, 07/23/24   250    250,030 
Wells Fargo Bank N.A., 5.66%, 09/04/24, (1-day SOFR + 0.600%)(a)   250    250,514 
           
Total Certificates of Deposit — 8.4%          
(Cost: $2,749,998)       2,753,135 
           
Commercial Paper          
           
Alinghi Funding Co. LLC, 5.37%, 06/18/24   250    244,926 
Amcor Finance USA Inc., 5.45%, 02/09/24   250    249,660 
American Electric Power Co. Inc., 5.63%, 03/19/24   300    297,763 
American Honda Finance Corp., 5.67%, 04/16/24   300    296,454 
ANZ New Zealand Int'l Ltd./London, 5.36%, 06/17/24   250    244,962 
AstraZeneca PLC, 5.63%, 04/15/24   250    247,102 
Australia & New Zealand Banking Group Ltd., 4.98%, 01/06/25   250    238,739 
Banco Santander SA, 5.27%, 08/29/24   270    261,897 
BASF SE, 5.44%, 03/28/24   500    495,734 
Bell Telephone Co. of Canada or Bell Canada (The), 5.53%, 05/03/24   250    246,479 
BPCE SA, 5.43%, 06/06/24   250    245,303 
Britannia Funding Co. LLC, 5.46%, 04/16/24   350    346,010 
Canadian National Railway Co., 5.38%, 02/23/24   300    298,973 
CDP Financial Inc., 5.19%, 10/04/24   250    241,405 
CenterPoint Energy Resources Corp., 5.49%, 02/15/24   300    299,315 
Citigroup Global Markets Inc., 5.26%, 09/16/24   250    241,901 
Commonwealth Bank of Australia, 5.04%, 11/08/24   250    240,500 
CVS Health Corp., 5.40%, 02/05/24   350    349,738 
DBS Bank Ltd., 5.36%, 02/14/24   280    279,418 
Duke Energy Corp., 5.68%, 04/19/24   350    345,694 
Emerson Electric Co., 5.36%, 03/19/24   330    327,657 
EssilorLuxottica SA, 5.35%, 03/19/24   350    347,522 
Evergy Metro Inc., 5.49%, 02/15/24   400    399,148 
Federation des Caisses Desjardins du Quebec, 5.40%, 02/28/24   250    248,954 
Fidelity National Information Services Inc., 5.45%, 02/09/24   350    349,524 
General Dynamics Corp., 5.36%, 02/07/24   250    249,740 
GTA Funding LLC, 5.37%, 02/21/24   250    249,219 
Henkel of America Inc., 5.37%, 04/23/24   310    306,208 
HSBC USA Inc., 5.58%, 01/21/25   300    284,323 
Hyundai Capital America, 5.46%, 02/14/24   300    299,365 
Jupiter Securitization Co. LLC, 5.41%, 03/21/24   300    297,762 
Keurig Dr Pepper Inc., 5.60%, 03/05/24   250    248,685 
Korea Development Bank/New York NY, 5.49%, 04/09/24   300    296,874 
Lime Funding LLC          
5.42%, 03/15/24   350    347,695 
Security  Par
(000)		  Value 
           
5.44%, 04/19/24  $250   $247,053 
Lloyds Bank PLC, 5.37%, 03/01/24   250    248,885 
LSEGA Financing PLC, 5.56%, 04/23/24   250    246,838 
LVMH Moet Hennessy Louis Vuitton SE, 5.00%, 11/25/24   250    240,033 
Marriott International Inc./MD, 5.52%, 02/07/24   300    299,679 
Mitsubishi Corp. Americas, 5.42%, 03/19/24   300    297,847 
Mitsubishi HC Finance America LLC, 5.62%, 02/01/24   350    349,945 
Mohawk Industries Inc., 5.65%, 03/26/24   330    327,175 
Nutrien Ltd., 5.54%, 02/16/24   250    249,386 
Penske Truck Leasing Co. LP          
5.51%, 02/06/24   400    399,633 
5.65%, 02/20/24   330    328,968 
Philip Morris International Inc., 5.47%, 06/04/24   300    294,410 
PPG Industries Inc., 5.48%, 02/13/24   250    249,506 
Pure Grove Funding, 5.45%, 04/23/24   310    306,156 
Sanofi SA, 5.36%, 03/19/24   500    496,452 
Spire Inc., 5.50%, 02/16/24   300    299,268 
Ste Transcore Holdings Inc., 5.39%, 02/20/24   300    299,104 
Suncorp-Metway Ltd.          
5.56%, 07/29/24   270    262,696 
5.63%, 07/08/24   250    243,936 
Toyota Motor Credit Corp., 5.33%, 07/29/24   250    243,512 
Volvo Treasury North America LP, 5.44%, 02/07/24   280    279,704 
VW Credit Inc.          
5.62%, 03/08/24   280    278,393 
5.69%, 05/02/24   250    246,418 
Walt Disney Co. (The), 5.51%, 03/11/24   250    248,480 
Westpac Securities NZ Ltd., 5.16%, 01/24/25   270    256,776 
           
Total Commercial Paper — 52.6%          
(Cost: $17,201,562)        17,204,902 
         
U.S. Treasury Obligations(b)        
U.S. Treasury Bill        
5.22%, 07/05/24   1,000    978,299 
5.23%, 06/20/24   750    735,302 
5.33%, 02/06/24   750    749,453 
5.35%, 04/09/24   1,000    990,149 
5.40%, 02/20/24   250    249,306 
5.43%, 06/13/24   750    735,920 
5.50%, 03/05/24   750    746,387 
5.52%, 03/07/24   1,000    994,876 
           
Total U.S. Treasury Obligations — 18.9%          
(Cost: $6,179,381)       6,179,692 

 

   Shares      
           
Money Market Funds          
          
BlackRock Cash Funds: Treasury, SL Agency Shares, 5.32%(c)(d)   7,440,000    7,440,000 
           
Total Money Market Funds — 22.7%          
(Cost: $7,440,000)       7,440,000 
           
Total Investments — 102.6%          
(Cost: $33,570,941)       33,577,729 
           
Liabilities in Excess of Other Assets — (2.6)%       (860,622)
           
Net Assets — 100.0%      $32,717,107 

 

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Consolidated Schedule of Investments (unaudited) (continued) iShares® Commodity Curve Carry Strategy ETF
January 31, 2024

  

(a)Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

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

(c)Affiliate of the Fund.
(d)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, 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: Treasury, SL Agency Shares  $7,810,000   $—   $(370,000)(a)  $  —  $    —   $7,440,000    7,440,000   $103,281  $  — 

 

 

(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)  
5.21% At
Termination		   ICE BofA Commodity Enhanced Carry Total Return Index At
Termination		 Citibank N.A. N/A 02/29/24 USD 12,475   $ (7,327 )   $ (285,429)   $ 278,102  
5.21% At
Termination		   ICE BofA Commodity Enhanced Carry Total Return Index At
Termination		 Merrill Lynch International N/A 02/29/24 USD 2,148   29,417     (14,796)   44,213  
5.21% At
Termination		   ICE BofA Commodity Enhanced Carry Total Return Index At
Termination		 Merrill Lynch International N/A 08/30/24 USD 13,213   (11,536 )   (306,101)   294,565  
5.21% At
Termination		   ICE BofA Commodity Enhanced Carry Total Return Index At
Termination		 Merrill Lynch International N/A 08/30/24 USD 2,170   7,820     (14,611)   22,431  
5.21% At
Termination		   ICE BofA Commodity Enhanced Carry Total Return Index At
Termination		 Merrill Lynch International N/A 08/30/24 USD 990   30,416     (2,414)   32,830  
5.21% At
Termination		   ICE BofA Commodity Enhanced Carry Total Return Index At
Termination		 Merrill Lynch International N/A 08/30/24 USD 1,031   (5,378 )   (941)   (4,437 )
                      $ 43,412     $ (624,292)   $ 667,704  

 

(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.

 

USD United States Dollar

 

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Consolidated Schedule of Investments (unaudited) (continued) iShares® Commodity Curve Carry Strategy ETF
January 31, 2024

 

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, 2024.

 

Futures contracts  Maturity date  Weight % 
Brent Crude Oil  10/31/2024   27.4%
LME Copper  12/17/2024   16.5 
Gas Oil  12/12/2024   13.8 
Soybeans  11/14/2024   9.0 
Sugar  2/28/2025   9.0 
WTI Crude Oil  11/20/2024   7.6 
Live Cattle  6/28/2024   7.3 
Coffee  7/19/2024   4.3 
LME Zinc  12/17/2024   3.2 
Silver  5/29/2024   1.1 
Silver  7/29/2024   0.8 

 

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                    
Certificates of Deposit  $—   $2,753,135   $—   $2,753,135 
Commercial Paper   —    17,204,902    —    17,204,902 
U.S. Treasury Obligations   —    6,179,692    —    6,179,692 
Short-Term Securities                    
Money Market Funds   7,440,000    —    —    7,440,000 
   $7,440,000   $26,137,729   $—   $33,577,729 
Derivative Financial Instruments(a)                    
Assets                    
Commodity Contracts  $—   $672,141   $—   $672,141 
Liabilities                    
Commodity Contracts   —    (4,437)   —    (4,437)
   $—   $667,704   $—    667,704 

 

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

 

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Consolidated Schedule of Investments (unaudited) (continued) iShares® Commodity Curve Carry Strategy ETF
January 31, 2024

 

Portfolio Abbreviation

 

SOFR Secured Overnight Financing Rate

  

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