NPORT-EX 2 NPORT_0BQK_15207754_0724.htm

 

Consolidated Schedule of Investments (unaudited) iShares® GSCI Commodity Dynamic Roll Strategy ETF
July 31, 2024 (Percentages shown are based on Net Assets)

 

Security 

Par

(000)

   Value 
         
Certificates of Deposit          
           
Banco Santander SA, 5.52%, 10/31/24  $6,560   $6,560,917 
Bank of America NA          
5.48%, 08/13/24   2,250    2,250,011 
5.75%, 11/07/24   4,000    4,001,881 
Bank of Montreal, 5.80%, 11/08/24   5,120    5,123,308 
Bank of Montreal/Chicago IL, 5.64%, 02/18/25,          
(1-day SOFR + 0.260%)(a)   3,750    3,749,925 
Bank of Nova Scotia (The), 5.80%, 11/08/24   3,510    3,511,753 
BNP Paribas SA, 5.83%, 08/08/24   6,820    6,820,425 
Commonwealth Bank of Australia, 5.70%, 11/27/24   2,150    2,151,116 
Cooperatieve Rabobank UA, 5.27%, 02/05/25   4,000    3,998,793 
Credit Agricole Corporate & Investment Bank SA          
5.12%, 06/02/25   1,730    1,734,741 
5.40%, 08/21/24   6,250    6,249,744 
Deutsche Bank AG/New York          
5.65%, 11/07/24, (1-day SOFR + 0.290%)(a)   10,000    10,002,350 
5.83%, 05/22/25, (1-day SOFR + 0.400%)(a)   6,250    6,251,999 
HSBC Bank USA NA, 5.79%, 11/25/24   3,000    3,001,430 
Lloyds Bank Corporate, 5.08%, 07/25/25   6,000    6,001,304 
Mitsubishi UFJ Trust & Banking Corp./New York,          
5.45%, 10/11/24, (1-day SOFR + 0.420%)(a)   3,000    3,001,689 
Mizuho Bank Ltd./New York          
5.58%, 11/06/24(a)   5,000    5,001,386 
5.73%, 01/10/25, (1-day SOFR + 0.400%)(a)   5,000    5,004,176 
MUFG Bank Ltd./New York, 5.57%, 10/25/24(a)   5,540    5,541,083 
Northern Trust Co. (The), 5.40%, 09/20/24   5,530    5,529,099 
Oversea-Chinese Banking Corp. Ltd.          
5.45%, 09/17/24   2,880    2,880,127 
5.56%, 11/26/24, (1-day SOFR + 0.230%)(a)   5,500    5,500,885 
Oversea-Chinese Banking Corp. Ltd/New York,          
5.56%, 12/09/24, (1-day SOFR + 0.230%)(a)   8,200    8,201,664 
Sumitomo Mitsui Banking Corp., 5.58%, 09/27/24(a)   2,780    2,780,731 
Sumitomo Mitsui Banking Corp./New York          
5.45%, 11/07/24, (1-day SOFR + 0.240%)(a)   5,300    5,302,178 
5.50%, 08/06/24, (1-day SOFR + 0.170%)(a)   4,090    4,090,026 
5.67%, 03/18/25, (1-day SOFR + 0.340%)(a)   4,140    4,142,581 
Svenska Handelsbanken/New York, 5.60%, 02/05/25,          
(1-day SOFR + 0.270%)(a)   10,000    10,003,151 
Toronto-Dominion Bank          
5.00%, 01/16/25   6,777    6,764,185 
6.00%, 10/02/24   5,000    5,002,908 
Wells Fargo Bank N.A., 5.93%, 09/04/24,          
(1-day SOFR + 0.600%)(a)   5,000    5,002,479 
Westpac Banking Corp., 5.40%, 04/09/25   4,250    4,255,315 
           
Total Certificates of Deposit — 16.6%          
(Cost: $159,361,701)       159,413,360 
           
Commercial Paper          
           
Alinghi Funding Co. LLC, 5.31%, 01/08/25   7,110    6,945,204 
American Honda Finance Corp.          
5.54%, 09/09/24   10,000    9,938,852 
5.54%, 09/19/24   2,000    1,984,722 
Antalis SA, 5.33%, 08/01/24   9,900    9,898,534 
Australia & New Zealand Banking Group Ltd.          
5.04%, 06/26/25   5,750    5,496,051 
5.25%, 12/16/24   8,530    8,361,604 
Banco Santander SA, 5.43%, 10/11/24   6,000    5,935,584 
Bayerische Landesbank/New York, 5.33%, 08/06/24   10,500    10,490,685 
Security 

Par

(000)

   Value 
         
Bell Telephone Co. of Canada or Bell Canada (The),          
5.43%, 08/06/24  $11,000   $10,990,050 
BofA Securities Inc.          
5.33%, 01/08/25   8,000    7,813,860 
5.40%, 11/15/24   4,950    4,871,760 
Britannia Funding Co. LLC          
5.35%, 08/05/24   10,000    9,992,573 
5.43%, 09/05/24   1,710    1,700,769 
5.44%, 10/04/24   6,000    5,941,644 
Cabot Trail Funding LLC, 5.45%, 10/07/24   1,400    1,385,729 
Citigroup Global Markets Inc.          
5.42%, 09/16/24   5,000    4,964,872 
5.43%, 09/23/24   6,670    6,616,113 
Commonwealth Bank of Australia          
5.38%, 09/23/24   6,750    6,695,973 
5.53%, 01/21/25   3,000    3,000,068 
Concord Minutemen Capital Co. LLC          
5.37%, 12/06/24   2,950    2,894,710 
5.40%, 11/13/24   4,000    4,000,000 
Credit Agricole Corporate and Investment Bank/New York, 5.32%, 08/23/24   5,550    5,531,189 
CRH America Finance Inc.          
5.46%, 08/13/24   4,500    4,491,147 
5.55%, 09/23/24   8,000    7,934,000 
DNB Bank ASA, 5.14%, 04/01/25   3,950    3,816,903 
DUKE ENERGY Corp., 5.55%, 10/02/24   6,750    6,685,043 
Fiserv Inc., 5.46%, 08/07/24   3,100    3,096,715 
Florida Power & Light Co., 5.44%, 08/26/24   7,000    6,972,599 
GTA Funding LLC, 5.41%, 11/01/24   8,000    7,889,785 
HSBC USA Inc.          
5.23%, 07/25/25   4,300    4,086,960 
5.28%, 05/01/25   3,000    2,884,101 
5.33%, 02/12/25   2,640    2,565,523 
5.40%, 01/21/25   7,000    6,821,901 
Hyundai Capital America          
5.46%, 08/14/24   2,000    1,995,760 
5.61%, 08/19/24   3,500    3,489,668 
5.65%, 09/04/24   5,000    4,972,700 
ING U.S. Funding LLC          
5.36%, 11/22/24   7,000    6,883,177 
5.39%, 10/24/24   5,800    5,727,077 
5.40%, 09/03/24   2,025    2,014,726 
5.40%, 09/06/24   1,620    1,611,066 
5.58%, 11/18/24(a)   2,500    2,500,793 
Ionic Funding LLC          
5.43%, 08/15/24   2,380    2,374,625 
5.46%, 08/20/24   4,000    3,987,904 
Komatsu Finance America Inc., 5.37%, 09/27/24   4,000    3,965,720 
Korea Development Bank (The), 5.37%, 11/01/24   10,000    9,863,274 
Korea Development Bank/New York, 5.37%, 09/18/24   1,370    1,360,061 
Lime Funding LLC, 5.41%, 09/06/24   5,120    5,091,705 
Lloyds Bank Corporate Markets PLC/New York, 5.26%, 02/03/25   3,700    3,601,660 
LSEGA Financing PLC, 5.46%, 09/04/24   7,000    6,963,046 
LVMH Moet Hennessy Louis Vuitton SE, 5.35%, 11/12/24   2,470    2,432,395 
Macquarie Bank Ltd.          
5.14%, 07/24/25   6,350    6,041,235 
5.17%, 06/20/25   3,650    3,487,846 
5.65%, 03/03/25, (1-day SOFR + 0.280%)(a)(b)   3,990    3,990,856 
Marriott International Inc./MD, 5.52%, 08/07/24   3,000    2,996,786 
Mars Inc., 5.28%, 12/19/24   4,270    4,183,494 

 

1

 

 

Consolidated Schedule of Investments (unaudited) (continued) iShares® GSCI Commodity Dynamic Roll Strategy ETF
July 31, 2024 (Percentages shown are based on Net Assets)

 

Security  

Par

(000)

   Value 
          
Mohawk Industries Inc., 5.55%, 09/06/24   $5,000   $4,971,633 
National Bank of Canada           
5.14%, 06/05/25    6,360    6,091,051 
5.14%, 06/12/25    6,560    6,276,861 
5.61%, 04/25/25    4,000    4,000,102 
Natixis SA/New York, 5.35%, 11/06/24    10,000    9,856,354 
Nestle Finance International Ltd., 5.19%, 12/16/24    6,400    6,275,174 
NextEra Energy Capital Holdings Inc.           
5.49%, 08/21/24    5,890    5,871,196 
5.55%, 09/24/24    3,050    3,024,372 
Norfina Ltd., 5.39%, 10/10/24    8,490    8,400,664 
PACCAR Financial Corp., 5.56%, 09/06/24    10,500    10,440,322 
Penske Truck Leasing Co. LP, 5.63%, 09/06/24    5,000    4,971,215 
PFIZER Inc., 5.22%, 01/07/25    3,000    2,932,000 
PPG Industries Inc., 5.42%, 08/02/24    10,500    10,496,837 
Pure Grove Funding, 5.35%, 12/12/24    8,310    8,147,691 
Sanofi SA, 5.35%, 10/17/24    4,000    3,954,171 
Sumitomo Mitsui Trust Bank Ltd/.Singapore, 5.43%, 10/02/24    9,350    9,261,957 
Svensk Exportkredit AB, 5.32%, 09/25/24    5,000    4,958,944 
Svenska Handelsbanken AB, 5.27%, 08/09/24    6,530    6,521,402 
Telstra Group Ltd.           
5.55%, 12/17/24    8,580    8,399,865 
5.63%, 11/06/24    8,230    8,105,876 
Toyota Industries Commercial Finance Inc., 5.32%, 11/22/24    8,000    7,867,552 
Toyota Motor Credit Corp., 5.35%, 11/04/24    10,000    9,859,221 
Versailles CDS LLC, 5.40%, 09/09/24    7,000    6,958,259 
Volvo Treasury North America LP, 5.55%, 11/15/24    1,250    1,229,729 
VW Credit Inc., 5.45%, 08/12/24    8,030    8,015,426 
Westpac Banking Corp., 5.35%, 11/07/24    3,970    3,912,482 
Westpac Securities NZ Ltd./London, 5.29%, 01/02/25    8,750    8,555,290 
            
Total Commercial Paper — 48.1%           
(Cost: $461,538,368)        461,586,443 
            
U.S. Treasury Obligations(c)        
U.S. Treasury Bill        
5.07%, 02/20/25   5,000    4,863,577 
5.10%, 06/12/25   10,000    9,597,872 
5.11%, 01/30/25   3,000    2,925,418 
5.15%, 01/23/25   3,500    3,416,459 
Security 

Par

(000)

   Value 
         
5.30%, 10/24/24  $5,000   $4,940,045 
5.31%, 01/02/25   8,000    7,831,447 
5.33%, 12/26/24   4,000    3,919,786 
5.34%, 10/17/24   10,000    9,889,858 
5.36%, 09/26/24   5,000    4,959,099 
5.37%, 09/19/24   8,000    7,942,863 
5.37%, 11/05/24   9,500    9,370,306 
5.38%, 09/12/24   8,000    7,950,702 
5.38%, 10/08/24   19,500    19,309,185 
5.38%, 10/22/24   14,250    14,082,888 
5.39%, 08/29/24   3,000    2,987,692 
5.39%, 10/03/24   14,000    13,873,049 
5.40%, 08/15/24   9,500    9,480,548 
5.40%, 09/05/24   16,000    15,917,916 
5.41%, 09/24/24   7,500    7,440,881 
           
Total U.S. Treasury Obligations — 16.8%          
(Cost: $160,670,107)        160,699,591 

 

   Shares     
         
Money Market Funds          
           
BlackRock Cash Funds: Treasury, SL Agency Shares, 5.29%(d)(e)   95,432,360    95,432,360 
           
Total Money Market Funds — 9.9%          
(Cost: $95,432,360)        95,432,360 
           
Total Investments — 91.4%          
(Cost: $877,002,536)        877,131,754 
           
Other Assets Less Liabilities — 8.6%        82,023,594 
           
Net Assets — 100.0%       $959,155,348 

 

(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)Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

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

(d)Affiliate of the Fund.

(e)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, 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 Sales   Net Realized Gain (Loss)   Change in Unrealized Appreciation (Depreciation)   Value at 07/31/24   Shares
Held at
07/31/24		   Income   Capital Gain Distributions from Underlying Funds 
BlackRock Cash Funds: Treasury, SL Agency Shares  $75,490,095   $19,942,265(a)  $—   $—   $—   $95,432,360    95,432,360   $2,960,649   $— 

 

(a)Represents net amount purchased (sold).

 

 

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Consolidated Schedule of Investments (unaudited) (continued) iShares® GSCI Commodity Dynamic Roll Strategy ETF
July 31, 2024

  

Derivative Financial Instruments Outstanding as of Period End

 

Futures Contracts

 

Description 

Number of

Contracts

  

Expiration

Date

 

Notional

Amount

(000)

  

Value/

Unrealized

Appreciation

(Depreciation)

 
Long Contracts                  
Brent Crude Oil   2,501   08/30/24  $202,181   $(2,315,860)
Cocoa   117   09/13/24   9,468    (808,560)
LME Lead   103   09/16/24   5,342    (298,561)
WTI Crude Oil   2,481   09/20/24   190,640    1,155,770 
RBOB Gasoline   411   09/30/24   38,946    (1,433,103)
Lean Hogs   614   10/14/24   18,647    (2,374,201)
Cattle Feeder   155   10/31/24   19,852    (89,237)
Live Cattle   611   10/31/24   45,623    683,189 
Soybean   561   11/14/24   28,681    (3,698,766)
Cotton   246   12/06/24   8,486    (1,428,082)
Gas Oil   686   12/12/24   50,507    (3,512,783)
Wheat   881   12/13/24   24,316    (4,948,613)
Wheat KCBT   342   12/13/24   9,674    (1,928,946)
LME Zinc   120   12/16/24   8,088    (337,580)
Coffee   130   12/18/24   11,122    263,578 
Silver   37   12/27/24   5,433    115,759 
Natural Gas   929   02/26/25   27,638    (2,317,712)
NY Harbor ULSD (Heat Oil)   392   03/31/25   39,839    (1,558,451)
Gold 100 OZ   227   04/28/25   57,115    786,070 
Sugar   774   04/30/25   16,046    (31,133)
Corn   1,975   12/12/25   43,968    (4,385,238)
LME Copper   214   12/15/25   51,015    2,564,243 
LME Nickel   79   12/15/25   8,362    (652,343)
LME PRI Aluminum   608   12/15/25   37,260    (1,802,582)
                $(28,353,142)

 

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.

  

3

 

 

Consolidated Schedule of Investments (unaudited) (continued) iShares® GSCI Commodity Dynamic Roll Strategy ETF
July 31, 2024

 

Fair Value Hierarchy as of Period End (continued)

 

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  $—   $159,413,360   $—   $159,413,360 
Commercial Paper   —    461,586,443    —    461,586,443 
U.S. Treasury Obligations   —    160,699,591    —    160,699,591 
Short-Term Securities                    
Money Market Funds   95,432,360    —    —    95,432,360 
   $95,432,360   $781,699,394   $—   $877,131,754 
Derivative Financial Instruments(a)                    
Assets                    
Commodity Contracts  $5,568,609   $—   $—   $5,568,609 
Liabilities                    
Commodity Contracts   (33,921,751)   —    —    (33,921,751)
   $(28,353,142)  $—   $—    (28,353,142)

 

(a)Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

Portfolio Abbreviation

 

SOFRSecured Overnight Financing Rate

 

4