LOGO

  OCTOBER 31, 2023

 

   2023 Annual Report

 

iShares U.S. ETF Trust

 

·  

BlackRock Short Maturity Bond ETF | NEAR | Cboe BZX

 

·  

BlackRock Short Maturity Municipal Bond ETF | MEAR | Cboe BZX

 

·  

BlackRock Ultra Short-Term Bond ETF | ICSH | Cboe BZX


The Markets in Review

Dear Shareholder,

The combination of continued economic growth and cooling inflation provided a supportive backdrop for investors during the 12-month reporting period ended October 31, 2023. Significantly tighter monetary policy helped to rein in inflation, as the annual increase in the Consumer Price Index declined to its long-term average of approximately 3% in October 2023. Meanwhile, real economic growth proved more resilient than many investors anticipated. A moderating labor market also helped ease inflationary pressure, although wages continued to grow and unemployment rates touched the lowest levels in decades before rising slightly. This robust labor market powered further growth in consumer spending, backstopping the economy. On October 7, 2023, Hamas launched a horrific attack on Israel. The ensuing war will have a significant humanitarian impact and could lead to heightened economic and market volatility. We see geopolitics as a structural market risk going forward. See our geopolitical risk dashboard at blackrock.com for more details.

Equity returns were solid during the period, as the durability of consumer spending mitigated investors’ concerns about the economy’s trajectory. The U.S. economy continued to show strength, and growth further accelerated in the third quarter of 2023. However, equity returns were uneven, as the performance of a few notable technology companies supported gains among large-capitalization U.S. stocks, while small-capitalization U.S. stocks declined overall. Meanwhile, international developed market equities advanced, and emerging market equities posted solid gains.

The 10-year U.S. Treasury yield rose during the reporting period, driving its price down, as investors reacted to elevated inflation and attempted to anticipate future interest rate changes. The corporate bond market benefited from improving economic sentiment, although high-yield corporate bond prices fared significantly better than investment-grade bonds as demand from yield-seeking investors remained strong.

The U.S. Federal Reserve (the “Fed”), attempting to manage persistent inflation, raised interest rates six times during the 12-month period, but slowed and then paused its tightening later in the period. The Fed also wound down its bond-buying programs and incrementally reduced its balance sheet by not replacing securities that reach maturity.

Supply constraints appear to have become an embedded feature of the new macroeconomic environment, making it difficult for developed economies to increase production without sparking higher inflation. Geopolitical fragmentation and an aging population risk further exacerbating these constraints, keeping the labor market tight and wage growth high. Although the Fed has decelerated the pace of interest rate hikes and recently opted for several pauses, we believe that the new economic regime means that the Fed will need to maintain high rates for an extended period to keep inflation under control. Furthermore, ongoing structural changes may mean that the Fed will be hesitant to cut interest rates in the event of faltering economic activity lest inflation accelerate again.

While we favor an overweight position in developed market equities in the long term, we prefer an underweight stance in the near term. Expectations for corporate earnings remain elevated, which seems inconsistent with macroeconomic constraints. Nevertheless, we are overweight on Japanese stocks in the near term as shareholder-friendly policies generate increased investor interest. We also believe that stocks with an AI tilt should benefit from an investment cycle that is set to support revenues and margins. In credit, there are selective opportunities in the near term despite tightening credit and financial conditions. For fixed income investing with a six- to twelve-month horizon, we see the most attractive investments in short-term U.S. Treasuries, U.S. inflation-linked bonds, euro area government bonds and gilts, U.S. mortgage-backed securities, and hard-currency emerging market bonds.

Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit iShares.com for further insight about investing in today’s markets.

 

 

LOGO

Rob Kapito

President, BlackRock, Inc.

LOGO

Rob Kapito

President, BlackRock, Inc.

 

Total Returns as of October 31, 2023  
     
       6-Month       12-Month  
   

U.S. large cap equities

(S&P 500® Index)

    1.39     10.14
   

U.S. small cap equities

(Russell 2000® Index)

    (5.29     (8.56
   

International equities

(MSCI Europe, Australasia, Far East Index)

    (7.88     14.40  
   

Emerging market equities

(MSCI Emerging Markets Index)

    (4.78     10.80  
   

3-month Treasury bills

(ICE BofA 3-Month U.S. Treasury Bill Index)

    2.63       4.77  
   

U.S. Treasury securities

(ICE BofA 10-Year U.S. Treasury Index)

    (9.70     (3.25
   

U.S. investment grade bonds

(Bloomberg U.S. Aggregate Bond Index)

    (6.13     0.36  
   

Tax-exempt municipal bonds

(Bloomberg Municipal Bond Index)

    (4.65     2.64  
   

U.S. high yield bonds

(Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index)

    0.02       6.23  
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

 

 

 

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Table of Contents

 

      Page  

The Markets in Review

     2  

Annual Report:

  

Market Overview

     4  

Fund Summary

     5  

About Fund Performance

     11  

Disclosure of Expenses

     11  

Schedules of Investments

     12  

Financial Statements

  

Statements of Assets and Liabilities

     33  

Statements of Operations

     34  

Statements of Changes in Net Assets

     35  

Financial Highlights

     37  

Notes to Financial Statements

     40  

Report of Independent Registered Public Accounting Firm

     50  

Important Tax Information

     51  

Board Review and Approval of Investment Advisory Contract

     52  

Supplemental Information

     59  

Trustee and Officer Information

     60  

General Information

     63  

Glossary of Terms Used in this Report

     64  


Market Overview

 

iShares U.S. ETF Trust

U.S. Bond Market Overview

The U.S. fixed-income market, as measured by the Bloomberg U.S. Aggregate Bond Index, posted a return of 0.36% for the 12 months ended October 31, 2023 (the “reporting period”). The benefit of income outweighed the effect of falling prices, leading to a narrow gain.

Several factors played a role in the weak showing for bonds. When the reporting period began, the market was seeing support from a decline in inflation from the peak reached in the months following the outbreak of war in Ukraine. The easing of price pressures fueled expectations that the U.S. Federal Reserve (Fed) could be nearing the end of its long series of interest rate hikes, leading to positive market performance in late 2022. As 2023 progressed, however, the combination of persistent inflation and communications from Fed officials made it clear that although rate hikes were indeed winding down, interest rates were likely to remain “higher for longer.” Continued strength in economic growth, together with elevated housing prices and robust employment, reinforced the notion that the Fed would need to maintain high rates to prevent a reacceleration of inflation. The Fed ultimately raised rates six times over the course of the 12-month period, bringing the benchmark fed funds rate from a range of 3.0-3.25% to 5.25%-5.50%. More important, however, was the fact that the markets continued to push out expectations for the central bank’s first rate cut. At the beginning of the period, the futures markets were indicating the initial rate reduction would occur in the second half of 2023. In contrast, the expected timing had shifted to late 2024 by the end of October.

In this environment, U.S. Treasury yields moved higher across the maturity spectrum (as prices fell). The two-year note climbed 4.48% to 5.09% over the course of the 12-month period, while the 10-year yield rose from 4.05% to 4.93%. Both issues finished October 2023 near their highest levels since 2007. The government bond market, in addition to being affected by rising interest rates, was further pressured by worries that the need for increased Treasury issuance would create an imbalance of supply and demand in the market.

The volatility in U.S. Treasuries, together with lower mortgage pre-payments and the Fed’s efforts to reduce the fixed-income holdings on its balance sheet, caused mortgage-backed securities to finish with a negative return. Conversely, the other major segments of the securitized category—asset-backed securities and commercial mortgage-backed securities—posted gains. Investment-grade corporate bonds also produced positive returns and outpaced Treasuries. The asset class benefited from a larger contribution from income and a decline in its yield spreads versus government issues.

Bonds with maturities of ten years and above, which are most sensitive to rate movements, trailed the broader market. On the other hand, issues in the three- to- seven-year maturity range outperformed. Higher-rated investment-grade bonds, whose performance is dictated more by interest-rate trends than credit developments, generally lagged lower-rated securities.

 

 

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Fund Summary as of October 31, 2023    BlackRock Short Maturity Bond ETF

 

Investment Objective

The BlackRock Short Maturity Bond ETF (the “Fund”) seeks to maximize current income by investing, under normal circumstances, at least 80% of its net assets in a portfolio of U.S. dollar-denominated investment-grade fixed income securities and maintain a weighted average maturity that is less than three years. The Fund is an actively managed exchange-traded fund that does not seek to replicate the performance of a specified index.

On September 27, 2023, the Board approved a proposal to change the name of BlackRock Short Maturity Bond ETF to BlackRock Short Duration Bond ETF, the Fund’s index to Bloomberg U.S. 1-3 Year Government/Credit Bond Index, as well as certain changes to the Fund’s investment objective. These changes became effective on November 1, 2023.

Performance

 

     Average Annual Total Returns           Cumulative Total Returns  
                  
      1 Year      5 Years      10 Years            1 Year      5 Years      10 Years  

Fund NAV

     5.67      2.04      1.64       5.67      10.63      17.67

Fund Market

     5.71        2.04        1.64         5.71        10.61        17.64  

Bloomberg Short-Term Government/Corporate Index

     4.81        1.84        1.30               4.81        9.56        13.76  

GROWTH OF $10,000 INVESTMENT

(AT NET ASSET VALUE)

 

LOGO

The Bloomberg Short-Term Government/Corporate Index is an unmanaged index that measures the performance of government and corporate securities with less than 1 year remaining to maturity.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

Actual           Hypothetical 5% Return           
 

Beginning
Account Value
(05/01/23)
 
 
 
      

Ending
Account Value
(10/31/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
           

Beginning
Account Value
(05/01/23)
 
 
 
      

Ending
Account Value
(10/31/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
  $      1,000.00          $      1,027.20          $      1.28               $      1,000.00          $      1,023.90          $      1.28          0.25

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information.

 

 

 

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  5


Fund Summary as of October 31, 2023  (continued)    BlackRock Short Maturity Bond ETF

 

Portfolio Management Commentary

Short-term bonds posted a gain in the annual period. Although the U.S. Federal Reserve (Fed) continued to raise interest rates, which was detrimental for the market as a whole, shorter-dated issues were relatively insulated from this trend due to their lower degree of interest rate sensitivity. In addition, income—which has risen considerably in the past two years as the Fed has hiked rates—made a meaningful contribution to total returns. Corporate bonds outperformed U.S. Treasuries thanks to their above-average yields and the tailwind from better-than-expected economic growth.

The Fund’s active overweight positions in corporate issues and securitized products contributed to performance. The investment adviser maintained the Fund’s core allocation to corporates, while adjusting its positioning in a tactical fashion based on movements in yield spreads and shifts in fundamentals. The adviser added to the Fund’s weighting in the industrials sector over the course of the year. Within the sector, the adviser added to the consumer industries based on its view that the U.S. consumer remained fundamentally sound. Additionally, it focused on high-quality structured products, such as asset-backed securities (ABS) and collateralized loan obligations. Within ABS, the adviser preferred consumer sectors such as autos and credit cards. These market segments performed well due to a favorable fundamental backdrop and robust demand from investors seeking high-quality yield.

On the other hand, the Fund’s longer duration stance (interest-rate sensitivity that was above that of the Index) detracted from performance in the third calendar quarter of 2023. As the market began to price in a “higher for longer” interest-rate scenario, as well as expectations that the Fed was nearing the end of its hiking cycle, the adviser believed it was appropriate to maintain a long duration position.

The adviser continued to prioritize quality in the Fund, and it sought to decrease risk at the margin. As part of this process, it reduced the Fund’s allocation to commercial mortgage-backed securities in response to the unique headwinds facing the asset class.

Portfolio Information

 

PORTFOLIO COMPOSITION

 

Investment Type    
Percent of
Total Investments
 
(a) 

Corporate Bonds & Notes

    66.2

Asset-Backed Securities

    25.2  

Collaterized Mortgage Obligations

    6.3  

Commercial Paper

    1.3  

U.S. Government & Agency Obligations

    1.0  

CREDIT QUALITY ALLOCATION

 

Moody’s Credit Rating*    
Percent of
Total Investments
 
(a) 

Aaa

    20.4

Aa

    4.1  

A

    30.0  

Baa

    31.5  

Ba

    0.9  

Not Rated

    13.1  

 

  *

Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
  (a) 

Excludes money market funds.

 

 

 

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Fund Summary as of October 31, 2023    BlackRock Short Maturity Municipal Bond ETF

 

Investment Objective

The BlackRock Short Maturity Municipal Bond ETF (the “Fund”) seeks to maximize tax-free current income by investing, under normal circumstances, at least 80% of its net assets in municipal securities such that the interest on each bond is exempt from U.S. federal income taxes and the federal alternative minimum tax. Under normal circumstances, the effective duration of the Fund’s portfolio is expected to be 1.2 years or less, as calculated by the management team, and is not expected to exceed 1.5 years. The Fund is an actively managed exchange-traded fund that does not seek to replicate the performance of a specified index.

Performance

 

      Average Annual Total Returns             Cumulative Total Returns  
     1 Year      5 Years      Since
Inception
           1 Year      5 Years      Since
Inception
 

Fund NAV

    3.32      1.28      1.09       3.32      6.58      9.88

Fund Market

    3.25        1.26        1.09         3.25        6.47        9.88  

Bloomberg Municipal Bond: 1 Year (1-2) Index

    2.45        1.07        0.93               2.45        5.49        8.31  

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

The inception date of the Fund was March 3, 2015. The first day of secondary market trading was March 5, 2015.

The Bloomberg Municipal Bond: 1 Year (1-2) Index is an unmanaged index comprised of national municipal bond issues having a maturity of at least one year and less than two years.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
Beginning        Ending        Expenses           Beginning        Ending        Expenses        Annualized  
Account Value        Account Value        Paid During           Account Value        Account Value        Paid During        Expense  
  (05/01/23)          (10/31/23)          the Period (a)              (05/01/23)          (10/31/23)          the Period (a)         Ratio  
  $ 1,000.00        $ 1,016.30        $ 1.27             $ 1,000.00        $ 1,023.90        $ 1.28          0.25

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information.

 

 

 

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Fund Summary as of October 31, 2023 (continued)    BlackRock Short Maturity Municipal Bond ETF

 

Portfolio Management Commentary

The combination of elevated inflation and a tight labor market prompted the U.S. Federal Reserve (Fed) to tighten monetary policy over the course of the 12-month period. As a result, the investment adviser’s decision to keep duration below that of the benchmark through the use of variable rate demand notes (VRDNs) made a positive contribution to performance. (Duration is a measure of interest rate sensitivity.) VRDNs trade at par and capture increases in yields with daily or weekly rate adjustments, which provided protection against adverse price movements. The adviser’s decision to add floating rate notes that offered a yield spread over VRDNs was an additional contributor. Holdings in non-rated municipal one-year operating notes added value, as well. On the other hand, positions in securities that were purchased prior to the point at which the Fed began raising rates detracted.

In terms of portfolio activity, the adviser added short-term bonds at attractive levels as yields rose. In addition, as municipalities addressed their annual operating financing needs for the 2024 fiscal year, the adviser took advantage of offerings with elevated yields. With the Fed approaching the end of its tightening cycle, the adviser selectively increased the Fund’s duration closer to a neutral stance in relation to the benchmark. It achieved this through purchases of higher yielding municipal bonds and notes, together with a reduction in its VRDN holdings.

Portfolio Information

 

CREDIT QUALITY ALLOCATION

 

S&P Credit Rating*    

Percent of

Total Investments

 

(a) 

AAA

    3.0

AA+

    9.2  

AA

    9.5  

AA-

    2.7  

A+

    2.6  

A

    2.2  

A-

    19.9  

BBB+

    8.6  

Not Rated

    42.3  

TEN LARGEST STATES

 

State    

Percent of

Total Investments

 

(a) 

Alabama

    11.0

Pennsylvania

    10.1  

New Jersey

    9.2  

Texas

    7.6  

Iowa

    7.3  

New York

    6.6  

Indiana

    6.1  

Kentucky

    5.9  

Louisiana

    5.1  

Tennessee

    4.0  
  *

Credit quality ratings shown reflect the ratings assigned by S&P Global Ratings, a widely used independent, nationally recognized statistical rating organization. S&P credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of BBB or higher. Below investment grade ratings are credit ratings of BB or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
  (a) 

Excludes money market funds.

 

 

 

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Fund Summary as of October 31, 2023     BlackRock Ultra Short-Term Bond ETF

 

Investment Objective

The BlackRock Ultra Short-Term Bond ETF (the “Fund”) seeks to provide current income consistent with preservation of capital by investing, under normal circumstances, at least 80% of its net assets in a portfolio of U.S. dollar-denominated investment-grade fixed- and floating-rate debt securities and maintain a dollar-weighted average maturity that is less than 180 days. The Fund is an actively managed exchange-traded fund that does not seek to replicate the performance of a specified index.

Performance

 

      Average Annual Total Returns             Cumulative Total Returns  
     1 Year      5 Years      Since
Inception
           1 Year      5 Years      Since
Inception
 

Fund NAV

    5.22      2.12      1.59       5.22      11.05      16.90

Fund Market

    5.26        2.10        1.59         5.26        10.98        16.89  

ICE BofA US 6-Month Treasury Bill Index

    4.88        1.89        1.31               4.88        9.82        13.68  

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

The inception date of the Fund was December 11, 2013. The first day of secondary market trading was December 13, 2013.

On 3/1/2021 the Fund began referencing the 4pm pricing variant of the ICE BofA US 6-Month Treasury Bill Index. Historical index data prior to 3/1/2021 is for the 3pm pricing variant of the ICE BofA US 6-Month Treasury Bill Index. Index data on and after 3/1/2021 is for the 4pm pricing variant of the ICE BofA US 6-Month Treasury Bill Index.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
Beginning        Ending        Expenses           Beginning        Ending        Expenses        Annualized  
Account Value        Account Value        Paid During           Account Value        Account Value        Paid During        Expense  
  (05/01/23)          (10/31/23)          the Period (a)              (05/01/23)          (10/31/23)          the Period (a)         Ratio  
  $ 1,000.00        $ 1,026.00        $ 0.41             $ 1,000.00        $ 1,024.80        $ 0.41          0.08

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information.

 

 

 

U N D    U M M A R Y

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Fund Summary as of October 31, 2023 (continued)    BlackRock Ultra Short-Term Bond ETF

 

Portfolio Management Commentary

Ultra short-term bonds posted a gain in the annual period. Although the U.S. Federal Reserve (Fed) continued to raise interest rates, which was a headwind for the market as a whole, shorter-dated issues were relatively insulated from this trend due to their lower degree of interest rate sensitivity. In addition, income—which has risen considerably in the past two years as the Fed has hiked rates—made a meaningful contribution to total returns.

In this environment, the Fund’s benchmark—the ICE BofA US 6-Month Treasury Bill Index—returned 4.88% and strongly outpaced the -0.36% return for the overall fixed-income market, as represented by the Bloomberg U.S. Aggregate Bond Index.

The Fund’s allocation to credit was the primary reason for its outperformance. In particular, the adviser focused on short-dated Tier 2 commercial paper, Tier 1 bank commercial paper, and certificates of deposit with maturities of less than a year, all of which outperformed the benchmark Index due to their higher yields. The Fund’s duration strategy detracted, primarily as a result of a slight long position against the benchmark in February and March. (Duration is a measure of interest rate sensitivity.)

Despite the long duration positioning in the first calendar quarter, the investment adviser’s intended strategy over the first nine months of the period was to maintain a short duration bias given the Fed’s aggressive interest rate hikes. In July, as core inflation began to moderate and the Fed signaled its tightening cycle was nearing an end, the adviser shifted to a long-duration bias. The adviser believed that although inflation was likely to remain elevated, the potential for additional policy tightening was limited. In addition, yields were attractive on a historical basis. The adviser also maintained a “barbell” strategy throughout the period, adding short-dated credit and laddering two-to three-year investment-grade corporate bonds as a way to capitalize on the compelling yields for higher-quality issues.

Portfolio Information

 

PORTFOLIO COMPOSITION

 

Investment Type    
Percent of
Total Investments
 
(a) 

Commercial Paper

    35.8

Corporate Bonds & Notes

    35.3  

Certificates of Deposit

    16.3  

Repurchase Agreements

    5.4  

Asset-Backed Securities

    5.0  

U.S. Government & Agency Obligations

    2.0  

Municipal Debt Obligations

    0.2  

CREDIT QUALITY ALLOCATION

 

Moody’s Credit Rating*    
Percent of
Total Investments
 
(a) 

Aaa

    5.9

Aa

    13.1  

A

    60.5  

Baa

    11.4  

Not Rated

    9.1  

 

  *

Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
  (a) 

Excludes money market funds.

 

 

 

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About Fund Performance

Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time and may continue to affect adversely the value and liquidity of each Fund’s investments. As a result, current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end is available at iShares.com. Performance results assume reinvestment of all dividends and capital gain distributions and do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. The investment return and principal value of shares will vary with changes in market conditions. Shares may be worth more or less than their original cost when they are redeemed or sold in the market. Performance for certain funds may reflect a waiver of a portion of investment advisory fees. Without such a waiver, performance would have been lower.

Net asset value or “NAV” is the value of one share of a fund as calculated in accordance with the standard formula for valuing mutual fund shares. Beginning August 10, 2020, the price used to calculate market return (“Market Price”) is the closing price. Prior to August 10, 2020, Market Price was determined using the midpoint between the highest bid and the lowest ask on the primary stock exchange on which shares of a fund are listed for trading, as of the time that such fund’s NAV is calculated. Since shares of a fund may not trade in the secondary market until after the fund’s inception, for the period from inception to the first day of secondary market trading in shares of the fund, the NAV of the fund is used as a proxy for the Market Price to calculate market returns. Market and NAV returns assume that dividends and capital gain distributions have been reinvested at Market Price and NAV, respectively.

An index is a statistical composite that tracks a specified financial market or sector. Unlike a fund, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by a fund. These expenses negatively impact fund performance. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower.

Disclosure of Expenses

Shareholders of each Fund may incur the following charges: (1) transactional expenses, including brokerage commissions on purchases and sales of fund shares and (2) ongoing expenses, including management fees and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other funds.

The expense examples provide information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number under the heading entitled “Expenses Paid During the Period.”

The expense examples also provide information about hypothetical account values and hypothetical expenses based on a fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as brokerage commissions and other fees paid on purchases and sales of fund shares. Therefore, the hypothetical examples are useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.

 

 

A B O U T    F U N D    P E R F O R M A N C E / D I S C L O S U R E    O F    E X P E N S E S  

11


Schedule of Investments

October 31, 2023

  

BlackRock Short Maturity Bond ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Asset-Backed Securities

 

ACAS CLO Ltd., 6.55%, 10/18/28 (Call 01/18/24),
(3-mo. SOFR + 1.516%)(a)(b)

    USD       1,137     $ 1,131,170  

Ally Auto Receivables Trust, 2.67%, 04/15/25 (Call 09/15/25)

    USD       1,627       1,624,253  

AmeriCredit Automobile Receivables Trust, 4.20%, 12/18/25 (Call 08/18/26)

    USD       2,666       2,652,838  

Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class A, 6.70%, 01/28/31 (Call 01/28/24),
(3-mo. SOFR + 1.312%)(a)(b)

    USD       3,303       3,289,007  

Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class AR2, 6.74%, 01/28/31 (Call 01/28/24),
(3-mo. SOFR + 1.352%)(a)(b)

    USD       12,189       12,119,325  

Apidos CLO XII, 6.74%, 04/15/31 (Call 01/15/24),
(3-mo. SOFR + 1.342%)(a)(b)

    USD       487       485,539  

ASSURANT CLO Ltd., Series 2018-2A, Class A, 6.72%, 04/20/31 (Call 01/20/24),
(3-mo. SOFR + 1.301%)(a)(b)

    USD       236       234,851  

Atlas Senior Loan Fund III Ltd., Series 2013-1A, Class AR, 6.47%, 11/17/27 (Call 11/17/23),
(3-mo. SOFR + 1.092%)(a)(b)

    USD       317       316,612  

Atrium XIII, Series 13A, Class A1, 6.85%, 11/21/30 (Call 01/23/24),
(3-mo. SOFR + 1.442%)(a)(b)

    USD       2,415       2,411,106  

Autoflorence 2 SRL

     

4.56%, 12/24/44 (Call 10/24/26),
(1-mo. EURIBOR + 0.700%)(b)(c)

    EUR       6,597       6,980,412  

4.61%, 12/24/44 (Call 10/24/26),
(1-mo. EURIBOR + 0.750%)(b)(c)

    EUR       574       598,270  

AutoFlorence 3 SRL, 6.21%, 12/25/46 (Call 06/25/28),
(1-mo. EURIBOR + 2.350%)(b)(c)

    EUR       359       381,246  

Autonoria Spain FTA, 5.86%, 01/26/40 (Call 05/25/28),
(1-mo. EURIBOR + 2.000%)(b)(c)

    EUR       425       455,881  

Azure Finance No. 3 PLC, 6.00%, 06/20/34 (Call 09/20/26),
(1-day SONIA + 0.800%)(b)(c)

    GBP       1,479       1,799,828  

Bain Capital Credit CLO Ltd., Series 2017-1A, Class A1R, 6.65%, 07/20/30 (Call 01/20/24),
(3-mo. SOFR + 1.232%)(a)(b)

    USD       2,521       2,509,009  

Barings CLO Ltd., 6.75%, 04/20/31 (Call 01/20/24),
(3-mo. SOFR + 1.332%)(a)(b)

    USD       550       547,464  

BDS 2021-FL9 Ltd., 6.52%, 11/16/38 (Call 11/16/23),
(1-mo. CME Term SOFR + 1.184%)(a)(b)

    USD       3,430       3,344,225  

Benefit Street Partners CLO III Ltd., Series 2013-IIIA, Class A1R2, 6.68%, 07/20/29 (Call 01/20/24),
(3-mo. SOFR + 1.262%)(a)(b)

    USD       44       43,405  

Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, 6.78%, 01/20/31 (Call 01/20/24),
(3-mo. SOFR + 1.362%)(a)(b)

    USD       634       632,788  

Benefit Street Partners Clo XII Ltd., 6.61%, 10/15/30 (Call 01/15/24),
(3-mo. SOFR + 1.212%)(a)(b)

    USD       1,315       1,310,792  
Security          Par
(000)
    Value  

BHG Securitization Trust, 3.75%, 06/18/35
(Call 11/17/28)(a)

    USD       420     $ 417,458  

BMW Vehicle Owner Trust
5.75%, 04/27/26

    USD       31,305       31,280,416  

5.84%, 12/26/24 (Call 12/25/25),
(30-day SOFR + 0.520%)(b)

    USD       1,433       1,433,197  

Capital One Prime Auto Receivables Trust,
2.71%, 06/16/25 (Call 04/15/26)

    USD       4,184       4,157,860  

Carlyle C17 CLO Ltd., Series C17A,
Class A1AR, 6.68%, 04/30/31 (Call 01/30/24),
(3-mo. SOFR + 1.292%)(a)(b)

    USD       975       969,724  

Carlyle Global Market Strategies CLO Ltd., Series 2014-1A, Class A1R2, 6.63%, 04/17/31 (Call 01/17/24),
(3-mo. SOFR + 1.232%)(a)(b)

    USD       4,997       4,977,151  

Carmax Auto Owner Trust 2022-3, 3.81%, 09/15/25 (Call 05/15/26)

    USD       3,086       3,069,656  

Carmax Auto Owner Trust 2023-3, 5.92%, 11/16/26

    USD       29,295       29,255,200  

Cbam Ltd., Series 2018-7A, Class A, 6.78%, 07/20/31 (Call 01/20/24),
(3-mo. SOFR + 1.362%)(a)(b)

    USD       732       726,193  

Chesapeake Funding II LLC, Series 2020-1A, Class A2, 6.08%, 08/15/32 (Call 11/15/23),
(30-day SOFR + 0.764%)(a)(b)

    USD       1,774       1,773,601  

CIFC Funding Ltd.

     

6.84%, 11/16/30 (Call 01/17/24),
(3-mo. SOFR + 1.442%)(a)(b)

    USD       578       576,380  

Series 2014-2RA, Class A1, 6.71%, 04/24/30 (Call 01/24/24),
(3-mo. SOFR + 1.312%)(a)(b)

    USD       199       198,764  

Series 2018-1A, Class A, 6.66%, 04/18/31 (Call 01/18/24),
(3-mo. SOFR + 1.262%)(a)(b)

    USD       9,375       9,338,695  

Series 2018-2A, Class A1, 6.72%, 04/20/31 (Call 01/20/24),
(3-mo. SOFR + 1.302%)(a)(b)

    USD       1,233       1,225,930  

Citibank Credit Card Issuance Trust 6.22%, 05/14/29,
(1-mo. CME Term SOFR + 0.884%)(b)

    USD       7,000       7,007,704  

Series 2019-A5, Class A5, 6.07%, 04/22/26,
(1-mo. CME Term SOFR + 0.734%)(b)

    USD       40,505       40,526,844  

Clover CLO 2018-1 LLC, 6.80%, 04/20/32 (Call 01/20/24),
(3-mo. SOFR + 1.382%)(a)(b)

    USD       1,000       997,519  

College Ave Student Loans LLC, Series 2021-A, Class A1, 6.54%, 07/25/51 (Call 02/25/32),
(1-mo. CME Term SOFR + 1.214%)(a)(b)

    USD       184       182,103  

Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.00%, 05/15/30 (Call 11/15/24)(a)

    USD       2,425       2,380,805  

Delamare Cards MTN Issuer PLC, 6.00%, 04/19/31 (Call 04/19/26),
(1-day SONIA + 0.800%)(b)(c)

    GBP       3,610       4,394,964  

Diameter Capital Clo 1 Ltd., 6.90%, 07/15/36 (Call 01/15/24),
(3-mo. SOFR + 1502%)(a)(b)

    USD       2,170       2,156,108  

Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.56%, 12/11/34(a)

    USD       3,167       3,107,668  

 

 

12  

2 0 2 3    H A R E S     N N U A L    E P O R T    T O    H A R E  H O L D E R S


Schedule of Investments (continued)

October 31, 2023

  

BlackRock Short Maturity Bond ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
     Value  

Dowson PLC
6.12%, 01/20/29 (Call 05/20/25),
    (1-day SONIA + 0.920%)(b)(c)

    GBP       1,017      $ 1,238,170  

6.95%, 01/20/29 (Call 05/20/25),
(1-day SONIA + 1.750%)(b)(c)

    GBP       646        787,132  

7.90%, 08/20/29 (Call 05/20/25),
(1-day SONIA + 2.700%)(b)(c)

    GBP       3,806        4,658,600  

Dryden 36 Senior Loan Fund, 6.68%, 04/15/29 (Call 01/15/24),
(3-mo. SOFR + 1.282%)(a)(b)

    USD       1,235        1,227,742  

Dryden 49 Senior Loan Fund, Series 2017-49A, Class AR, 6.61%, 07/18/30 (Call 01/18/24),
(3-mo. SOFR + 1.212%)(a)(b)

    USD       9,689        9,649,621  

Dryden 77 CLO Ltd., Series 2020-77A, Class XR, 6.64%, 05/20/34 (Call 11/20/23),
(3-mo. SOFR + 1.262%)(a)(b)

    USD       172        171,698  

Dryden XXVIII Senior Loan Fund, 6.83%, 08/15/30 (Call 11/15/23),
(3-mo. SOFR + 1.462%)(a)(b)

    USD       3,101        3,092,830  

Dutch Property Finance, Series 2021-2, Class A, 4.65%, 04/28/59 (Call 04/28/26),
(3-mo. EURIBOR + 0.700%)(b)(c)

    EUR       4,665        4,918,248  

Dutch Property Finance BV, 4.46%, 10/28/59 (Call 01/28/27),
(3-mo. EURIBOR + 0.750%)(b)(c)

    EUR       7,360        7,756,923  

Elevation CLO Ltd., Series 2014-2A, Class A1R, 6.89%, 10/15/29 (Call 01/15/24), (3-mo. SOFR + 1.492%)(a)(b)

    USD       161        161,032  

Elvet Mortgages PLC, Series 2021-1, Class A, 5.59%, 10/22/63,
(1-day SONIA + 0.370%)(c)

    GBP       3,308        4,014,226  

Enterprise Fleet Financing LLC, 6.40%, 03/20/30(a)

    USD       5,261        5,277,347  

Enterprise Fleet Funding LLC, Series 2021-1, Class A2, 0.44%, 12/21/26 (Call 06/20/24)(a)

    USD       2,262        2,235,881  

Ford Credit Auto Owner Trust
3.44%, 02/15/25 (Call 12/15/25)

    USD       5,731        5,713,852  

5.81%, 06/15/26

    USD       3,500        3,496,526  

6.04%, 03/15/26 (Call 10/15/26),
(30-day SOFR + 0.720%)(b)

    USD       18,669        18,677,755  

Ford Credit Floorplan Master Owner Trust A, 6.57%, 05/15/28,
(30-day SOFR + 1.250%)(a)(b)

    USD       21,540        21,688,477  

Galaxy XV CLO Ltd., Series 2013-15A, Class ARR, 6.63%, 10/15/30 (Call 01/15/24),
(3-mo. SOFR + 1.232%)(a)(b)

    USD       583        581,691  

Galaxy XXVII CLO Ltd., 6.65%, 05/16/31 (Call 11/16/23),
(3-mo. SOFR + 1.282%)(a)(b)

    USD       2,660        2,653,203  

Generate CLO 2 Ltd., 6.82%, 01/22/31 (Call 01/22/24),
(3-mo. SOFR + 1.412%)(a)(b)

    USD       1,492        1,487,999  

Gilbert Park CLO Ltd., 6.85%, 10/15/30 (Call 01/15/24),
(3-mo. SOFR + 1.452%)(a)(b)

    USD       212        211,850  

Ginkgo Personal Loans 2023, 4.65%, 09/23/44(c)

    EUR       1,800        1,904,892  

GM Financial Automobile Leasing Trust, 2.93%, 10/21/24 (Call 09/20/24)

    USD       1,677        1,673,450  

GM Financial Consumer Automobile Receivables Trust, 5.79%, 09/16/26 (Call 03/16/27),
(30-day SOFR + 0.470%)(b)

    USD       26,572        26,565,910  
Security          Par
(000)
     Value  

GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class AR2, 6.76%, 10/29/29 (Call 01/29/24),
(3-mo. SOFR + 1.372%)(a)(b)

    USD       5,895      $ 5,886,405  

Grippen Park CLO Ltd., 6.94%, 01/20/30 (Call 01/20/24),
(3-mo. SOFR + 1.522%)(a)(b)

    USD       362        361,270  

Highbridge Loan Management, Series 3A-2014, Class A1R, 6.84%, 07/18/29 (Call 01/18/24),
(3-mo. SOFR + 1.442%)(a)(b)

    USD       573        572,326  

Honda Auto Receivables Owner Trust, 3.81%, 03/18/25 (Call 01/18/26)

    USD       5,725        5,693,038  

Hyundai Auto Lease Securitization Trust, 5.94%, 10/15/24 (Call 09/15/24),
(30-day SOFR + 0.620%)(a)(b)

    USD       2,248        2,248,170  

Hyundai Auto Receivables Trust

      

3.64%, 05/15/25 (Call 07/15/26)

    USD       4,054        4,034,935  

5.80%, 05/15/26

    USD       18,036        18,014,525  

6.10%, 11/17/25 (Call 02/15/27),
(30-day SOFR + 0.780%)(b)

    USD       10,798        10,804,636  

John Deere Owner Trust, 3.73%, 06/16/25 (Call 02/15/26)

    USD       3,825        3,802,745  

KKR CLO 21 Ltd., 6.66%, 04/15/31 (Call 01/15/24),
(3-mo. SOFR + 1.262%)(a)(b)

    USD       5,316        5,284,761  

Koromo Italy Srl, 4.64%, 02/26/35 (Call 12/26/25),
(1-mo. EURIBOR + 0.800%)(b)(c)

    EUR       3,979        4,215,288  

KREF Ltd., 6.78%, 02/17/39 (Call 01/17/24),
(1-mo. CME Term SOFR + 1.450%)(a)(b)

    USD       3,205        3,132,888  

LCM 29 Ltd., Series 29A, Class AR, 6.73%, 04/15/31 (Call 01/15/24),
(3-mo. SOFR + 1.332%)(a)(b)

    USD       2,600        2,562,597  

Lt Autorahoitus IV DAC, 4.55%, 07/18/33 (Call 09/18/27),
(1-mo. EURIBOR + 0.700%)(b)(c)

    EUR       2,257        2,389,491  

Madison Park Funding XIII Ltd., Series 2014-13A, Class AR2, 6.61%, 04/19/30 (Call 01/19/24),
(3-mo. SOFR + 1.212%)(a)(b)

    USD       2,959        2,951,436  

Madison Park Funding XVII Ltd., Series 2015-17A, Class AR2, 6.67%, 07/21/30 (Call 01/21/24),
(3-mo. SOFR + 1.262%)(a)(b)

    USD       1,723        1,716,539  

Madison Park Funding XXVI Ltd., Series 2007-4A, Class AR, 6.85%, 07/29/30,
(3-mo. LIBOR US + 1.200%)(a)(b)

    USD       4,701        4,696,312  

Madison Park Funding XXXVII Ltd., 6.73%, 07/15/33 (Call 01/15/24),
(3-mo. SOFR + 1.332%)(a)(b)

    USD       1,750        1,736,982  

Mariner CLO LLC, Series 2016-3A, Class AR2, 6.66%, 07/23/29 (Call 01/23/24),
(3-mo. SOFR + 1.252%)(a)(b)

    USD       506        503,176  

MF1 Ltd., 6.55%, 07/16/36 (Call 11/16/23), (1-mo. CME Term SOFR + 1.214%)(a)(b)

    USD       4,363        4,281,158  

Navient Private Education Loan Trust

      

Series 2017-A, Class A2B, 6.35%, 12/16/58 (Call 11/15/28),
(1-mo. CME Term SOFR + 1.014%)(a)(b)

    USD       61        60,482  

Series 2020-IA, Class A1B, 6.45%, 04/15/69 (Call 11/15/31),
(1-mo. CME Term SOFR + 1.114%)(a)(b)

    USD       4,894        4,798,125  

 

 

C H E D U L E    O F    N V E S T  M E N T S

  13


Schedule of Investments (continued)

October 31, 2023

  

BlackRock Short Maturity Bond ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Navient Private Education Refi Loan Trust

     

Series 2021-BA, Class A, 0.94%, 07/15/69 (Call 02/15/29)(a)

    USD       4,945     $ 4,198,609  

Series 2021-DA, Class A, 6.51%, 04/15/60 (Call 05/15/32), (PRIME - 1.990%)(a)(b)

    USD       5,471       5,242,152  

Navient Student Loan Trust, 7.01%, 03/15/72(a)

    USD       2,972       2,976,744  

Nelnet Student Loan Trust

     

6.14%, 04/20/62 (Call 12/20/31),
(1-mo. CME Term SOFR + 0.804%)(a)(b)

    USD       2,321       2,277,658  

6.19%, 04/20/62 (Call 08/20/31),
(1-mo. CME Term SOFR + 0.854%)(a)(b)

    USD       4,339       4,259,431  

Series 2021-A, Class A1, 6.25%, 04/20/62 (Call 02/20/29),
(1-mo. CME Term SOFR + 0.914%)(a)(b)

    USD       5,501       5,432,284  

Series 2021-BA, Class AFL, 6.23%, 04/20/62 (Call 07/20/29),
(1-mo. CME Term SOFR + 0.894%)(a)(b)

    USD       9,677       9,510,154  

Neuberger Berman CLO Ltd., Series 2013-14A, Class AR2, 6.68%, 01/28/30 (Call 01/28/24),
(3-mo. SOFR + 1.292%)(a)(b)

    USD       416       415,258  

Niagara Park Clo Ltd., 6.66%, 07/17/32 (Call 01/17/24),
(3-mo. SOFR + 1.262%)(a)(b)

    USD       2,500       2,477,974  

OCP CLO Ltd., Series 2017-13A, 6.62%, 07/15/30 (Call 01/15/24),
(3-mo. SOFR + 1.222%)(a)(b)

    USD       3,708       3,686,210  

Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A1R2, 6.64%, 01/25/31 (Call 01/25/24),
(3-mo. SOFR + 1.262%)(a)(b)

    USD       2,707       2,700,520  

OneMain Direct Auto Receivables Trust, 6.92%, 03/14/29 (Call 03/14/26),
(30-day SOFR + 1.600%)(a)(b)

    USD       8,825       8,843,780  

OneMain Financial Issuance Trust

     

3.84%, 05/14/32 (Call 11/14/23)(a)

    USD       140       140,146  

6.08%, 06/16/36 (Call 06/14/26),
(30-day SOFR + 0.760%)(a)(b)

    USD       1,843       1,796,352  

6.82%, 09/15/36(a)

    USD       7,366       7,298,950  

Palmer Square CLO Ltd.

     

6.66%, 10/17/31 (Call 01/17/24),
(3-mo. SOFR + 1.262%)(a)(b)

    USD       1,800       1,793,687  

Series 2015-2, 6.78%, 07/20/30 (Call 01/20/24),
(3-mo. SOFR + 1.362%)(a)(b)

    USD       2,436       2,428,951  

Series 2021-3A, Class A1, 6.81%, 01/15/35 (Call 01/15/24),
(3-mo. SOFR + 1.412%)(a)(b)

    USD       500       495,211  

PCL Funding VI PLC, 6.60%, 07/15/26 (Call 07/15/24),
(1-day SONIA + 1.400%)(b)(c)

    GBP       6,611       8,057,626  

PCL Funding VIII PLC

     

6.38%, 05/15/28 (Call 05/15/26),

     

(1-day SONIA + 1.180%)(b)(c)

    GBP       3,193       3,884,772  

7.70%, 05/15/28(c)

    GBP       592       719,892  

PFS Financing Corp.

     

5.92%, 02/15/26,
(30-day SOFR + 0.600%)(a)(b)

    USD       20,642       20,626,252  

6.47%, 08/15/27(a)

    USD       11,549       11,537,100  

Pikes Peak CLO 1, Series 2018-1A, Class A, 6.84%, 07/24/31 (Call 01/24/24),
(3-mo. SOFR + 1.442%)(a)(b)

    USD       1,500       1,491,419  
Security          Par
(000)
    Value  

Prodigy Finance CM2021-1 DAC, Series 2021-1A, Class A, 6.69%, 07/25/51 (Call 02/25/27),
(1-mo. CME Term SOFR + 1.364%)(a)(b)

    USD       775     $ 766,993  

Red & Black Auto Germany 8 UG, Class B, 4.62%, 09/15/30 (Call 12/15/25),
(1-mo. EURIBOR + 0.750%)(b)(c)

    EUR       289       304,193  

Red & Black Auto Italy S.r.l., Class A, 4.58%, 12/28/31 (Call 09/28/25),
(1-mo. EURIBOR + 0.700%)(b)(c)

    EUR       7,314       7,740,768  

Romark WM-R Ltd., Series 2018-1A, Class A1, 6.71%, 04/20/31 (Call 01/20/24),
(3-mo. SOFR + 1.292%)(a)(b)

    USD       3,675       3,650,593  

RR 3 Ltd., Series 2018-3A, Class A1R2, 6.75%, 01/15/30 (Call 01/15/24),
(3-mo. SOFR + 1.362%)(a)(b)

    USD       1,607       1,602,285  

Satus PLC

     

5.90%, 08/17/28 (Call 02/17/25),
(1-day SONIA + 0.700%)(b)(c)

    GBP       21       25,202  

6.80%, 08/17/28 (Call 02/17/25),
(1-day SONIA + 1.600%)(b)(c)

    GBP       300       364,471  

SFS Auto Receivables Securitization Trust, 5.89%, 03/22/27(a)

    USD       10,033       10,007,911  

Shackleton Clo Ltd., Series 2017-11A, 6.72%, 08/15/30 (Call 11/15/23),
(3-mo. SOFR + 1.352%)(a)(b)

    USD       2,059       2,054,041  

Shackleton CLO Ltd., Series 2015-7R, 6.81%, 07/15/31 (Call 01/15/24),
(3-mo. SOFR + 1.412%)(a)(b)

    USD       2,730       2,722,539  

Signal Peak CLO 2 LLC, Series 2015-1A, Class AR2, 6.66%, 04/20/29 (Call 01/20/24),
(3-mo. SOFR + 1.242%)(a)(b)

    USD       672       669,729  

Silver Creek CLO Ltd., 6.92%, 07/20/30 (Call 01/20/24),
(3-mo. SOFR + 1.502%)(a)(b)

    USD       3,009       3,011,575  

Silverstone Master Issuer PLC, 5.51%, 01/21/70 (Call 04/21/27),
(1-day SONIA + 0.290%)(b)(c)

    GBP       3,485       4,207,571  

SLM Private Credit Student Loan Trust

     

Series 2004-A, Class A3, 6.07%, 06/15/33 (Call 12/15/23),
(3-mo. SOFR + 0.662%)(b)

    USD       2,135       2,105,334  

Series 2005-A, Class A4, 5.98%, 12/15/38 (Call 09/15/24),
(3-mo. SOFR + 0.572%)(b)

    USD       5,440       5,287,557  

Series 2005-B, Class A4, 6.00%, 06/15/39 (Call 12/15/25),
(3-mo. SOFR + 0.592%)(b)

    USD       3,839       3,714,209  

Series 2006-A, Class A5, 5.96%, 06/15/39 (Call 03/15/28),
(3-mo. SOFR + 0.552%)(b)

    USD       9,004       8,655,564  

Series 2006-B, Class A5, 5.94%, 12/15/39 (Call 06/15/27),
(3-mo. SOFR + 0.532%)(b)

    USD       6,398       6,138,699  

SMB Private Education Loan Trust

     

6.45%, 06/15/37,
(1-mo. CME Term SOFR + 1.114%)(a)(b)

    USD       1,869       1,850,823  

6.76%, 11/15/52(a)

    USD       6,287       6,286,668  

6.77%, 02/16/55,
(30-day SOFR + 1.450%)(a)(b)

    USD       13,618       13,508,258  

7.12%, 10/16/56,
(30-day SOFR + 1.800%)(a)(b)

    USD       7,186       7,224,770  

 

 

14  

2 0 2 3    H A R E S     N N U A L    E P O R T    T O    H A R E  H O L D E R S


Schedule of Investments (continued)

October 31, 2023

  

BlackRock Short Maturity Bond ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

7.12%, 10/15/58,
(30-day SOFR + 1.800%)(a)(b)

    USD       17,487     $ 17,582,333  

7.17%, 05/16/50,
(30-day SOFR + 1.850%)(a)(b)

    USD       4,295       4,306,517  

Series 2017-A, Class A2B, 6.35%, 09/15/34,
(1-mo. CME Term SOFR + 1.014%)(a)(b)

    USD       4,593       4,574,941  

SoFi Professional Loan Program LLC

     

2.65%, 09/25/40 (Call 03/25/25)(a)

    USD       827       788,867  

3.34%, 08/25/47 (Call 09/25/25)(a)

    USD       932       902,021  

3.59%, 01/25/48 (Call 03/25/26)(a)

    USD       1,147       1,100,531  

Sound Point Clo XV Ltd., Series 2017-1A, Class ARR, 6.57%, 01/23/29 (Call 01/23/24),
(3-mo. SOFR + 1.162%)(a)(b)

    USD       431       430,379  

Sound Point CLO XXVIII Ltd., Series 2020 3A, Class A1, 6.92%, 01/25/32 (Call 01/25/24),
(3-mo. SOFR + 1.541%)(a)(b)

    USD       1,250       1,243,892  

Southwick Park CLO LLC, 6.74%, 07/20/32 (Call 01/20/24),
(3-mo. SOFR + 1.322%)(a)(b)

    USD       8,760       8,688,103  

Symphony CLO XVI Ltd., Series 2015-16A, Class AR, 6.81%, 10/15/31 (Call 01/15/24),
(3-mo. SOFR + 1.412%)(a)(b)

    USD       500       497,908  

TAGUS - Sociedade de Titularizacao de Creditos SA/Ulisses Finance No. 2, 4.56%, 09/23/38 (Call 02/23/28),
(1-mo. EURIBOR + 0.700%)(b)(c)

    EUR       8,775       9,247,832  

TAGUS - Sociedade de Titularizacao de Creditos SA/Viriato Finance No. 1, 4.83%, 10/28/40 (Call 09/28/27),
(1-mo. EURIBOR + 0.950%)(b)(c)

    EUR       1,348       1,407,281  

TCI-Symphony CLO Ltd.

     

6.59%, 07/15/30 (Call 01/15/24),
(3-mo. SOFR + 1.192%)(a)(b)

    USD       7,058       7,022,645  

6.68%, 10/13/32 (Call 01/13/24),
(3-mo. SOFR + 1.282%)(a)(b)

    USD       5,235       5,204,994  

TICP CLO IX Ltd., Series 2017-9A, Class A, 6.82%, 01/20/31 (Call 01/20/24),
(3-mo. SOFR + 1.402%)(a)(b)

    USD       372       371,416  

Together Asset-Backed Securitisation PLC, 5.92%, 07/12/63,
(1-day SONIA + 0.700%)(c)

    GBP       1,646       1,986,432  

Toyota Auto Receivables Owner Trust, 6.02%, 01/15/26 (Call 01/15/27),
(1-mo. CME Term SOFR + 0.690%)(b)

    USD       8,621       8,623,200  

Trestles CLO V Ltd., 6.85%, 10/20/34 (Call 01/20/24),
(3-mo. SOFR + 1.432%)(a)(b)

    USD       7,640       7,588,397  

Volkswagen Auto Lease Trust, 3.02%, 10/21/24 (Call 08/20/24)

    USD       4,521       4,509,439  

Voya CLO, Series 2017-2A, Class A1R, 6.64%, 06/07/30 (Call 01/15/24),
(3-mo. SOFR + 1.242%)(a)(b)

    USD       3,750       3,743,560  

Voya CLO Ltd., 6.72%, 04/15/31 (Call 01/15/24),
(3-mo. SOFR + 1.322%)(a)(b)

    USD       1,074       1,070,511  

Voya Ltd., Series 2012-4, 6.66%, 10/15/30 (Call 01/15/24),
(3-mo. SOFR + 1.262%)(a)(b)

    USD       10,536       10,510,287  

Wellfleet CLO Ltd., Series 2016-1A, Class AR, 6.59%, 04/20/28 (Call 01/20/24),
(3-mo. SOFR + 1.716%)(a)(b)

    USD       1       1,400  
Security          Par
(000)
     Value  

Westlake Automobile Receivables Trust

      

3.36%, 08/15/25 (Call 01/15/26)(a)

    USD       1,700      $ 1,694,407  

6.07%, 07/15/26 (Call 09/15/26),
(30-day SOFR + 0.750%)(a)(b)

    USD       5,494        5,494,529  
      

 

 

 

Total Asset-Backed Securities — 23.2%
(Cost: $733,356,963)

 

       725,397,008  
      

 

 

 

Collaterized Mortgage Obligations

 

Mortgage-Backed Securities — 5.8%

 

280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, 6.52%, 09/15/34 (Call 09/15/24),
(1-mo. CME Term SOFR + 0.930%)(a)(b)

    USD       7,100        6,818,689  

BAMLL Commercial Mortgage Securities Trust, Series 2018-DSNY, Class A, 6.48%, 09/15/34,
(1-mo. CME Term SOFR + 0.897%)(a)(b)

    USD       14,220        14,076,888  

BBCMS-TALL Mortgage Trust, Series 2018-TALL, Class A, 6.25%, 03/15/37,
(1-mo. CME Term SOFR + 0.919%)(a)(b)

    USD       8,630        7,979,174  

Beast Mortgage Trust, 6.20%, 04/15/36 (Call 04/15/24),
(1-mo. CME Term SOFR + 0.864%)(a)(b)

    USD       4,905        4,782,000  

Brass No. 11 PLC, 5.97%, 11/16/70 (Call 11/16/27),
(1-day SONIA + 0.750%)(b)(c)

    GBP       5,059        6,179,817  

BX Trust

      

6.25%, 02/15/36,
(1-mo. CME Term SOFR + 0.914%)(a)(b)

    USD       7,351        7,191,975  

Series 2019-CALM, Class A, 6.32%, 11/15/32,
(1-mo. CME Term SOFR + 0.990%)(a)(b)

    USD       1,290        1,281,995  

Series 2021, Class A, 6.73%, 06/15/36,
(1-mo. CME Term SOFR + 1.394%)(a)(b)

    USD       2,070        1,973,445  

CEDR Commercial Mortgage Trust, 6.32%, 02/15/39,
(1-mo. CME Term SOFR + 0.988%)(a)(b)

    USD       5,410        4,993,528  

CENT Trust, 7.95%, 09/15/28(a)

    USD       3,862        3,874,351  

Chase Home Lending Mortgage Trust, Series 2019-ATR2, Class A11, 6.34%, 07/25/49 (Call 07/25/29),
(1-mo. CME Term SOFR + 1.014%)(a)(b)

    USD       1,043        992,472  

COAST Commercial Mortgage Trust, 7.93%, 08/15/36(a)

    USD       4,000        3,944,851  

Cold Storage Trust, Series 2020-ICE5, Class A, 6.35%, 11/15/37,
(1-mo. CME Term SOFR + 1.014%)(a)(b)

    USD       3,692        3,650,997  

CSMC Trust Capital Certificates, Series 2019-ICE4, Class A, 6.36%, 05/15/36,
(1-mo. CME Term SOFR + 1.027%)(a)(b)

    USD       6,018        5,995,116  

Domi BV, 4.90%, 02/15/55 (Call 02/15/28),
(3-mo. EURIBOR + 1.120%)(b)(c)

    EUR       2,643        2,804,802  

Extended Stay America Trust, Series 2021-ESH, Class A, 6.53%, 07/15/38,
(1-mo. CME Term SOFR + 1.194%)(a)(b)

    USD       5,902        5,833,006  

GCT Commercial Mortgage Trust, Series 2021-GCT, Class A, 6.25%, 02/15/38,
(1-mo. CME Term SOFR + 0.914%)(a)(b)

    USD       8,600        6,622,000  

Great Wolf Trust, 6.48%, 12/15/36,
(1-mo. CME Term SOFR + 1.148%)(a)(b)

    USD       5,180        5,151,201  

 

 

C H E D U L E    O F    N V E S T  M E N T S

  15


Schedule of Investments (continued)

October 31, 2023

  

BlackRock Short Maturity Bond ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Mortgage-Backed Securities (continued)

 

GS Mortgage Securities Corportation Trust, 6.40%, 10/15/36,
(1-mo. CME Term SOFR + 1.064%)(a)(b)

    USD       4,785     $ 4,563,343  

Hops Hill No. 1 PLC, 6.15%, 05/27/54 (Call 05/27/24),
(1-day SONIA + 0.950%)(b)(c)

    GBP       2,676       3,251,731  

JP Morgan Chase Commercial Mortgage

     

Securities Trust

     

6.72%, 03/15/39,
(30-day SOFR + 1.400%)(a)(b)

    USD       3,540       3,473,462  

Series 2019-BKWD, Class A, 6.95%, 09/15/29,
(1-mo. CME Term SOFR +
1.364%)(a)(b)

    USD       1,299       1,207,742  

KNDL Mortgage Trust, Series 2019-KNSQ, Class A, 6.33%, 05/15/36,
(1-mo. CME Term SOFR + 0.996%)(a)(b)

    USD       8,033       8,000,079  

Last Mile Securities PE DAC, 4.69%, 08/17/31,
(3-mo. Euribor + 0.900%)(b)(c)

    EUR       3,965       4,070,194  

LUX, 8.02%, 08/15/40

    USD       1,649       1,654,200  

MF1 Trust, 6.40%, 12/15/34,
(1-mo. CME Term SOFR + 1.070%)(a)(b)

    USD       1,230       1,195,841  

Morgan Stanley Capital I Trust, Series 2018-BOP, Class A, 6.23%, 08/15/33,
(1-mo. CME Term SOFR + 0.897%)(a)(b)

    USD       1,426       1,198,226  

MTN Commercial Mortgage Trust, 6.74%, 03/15/39,
(1-mo. CME Term SOFR + 1.396%)(a)(b)

    USD       3,000       2,932,493  

Ready Capital Mortgage Financing LLC, 6.97%, 01/25/37 (Call 02/25/25),
(30-day SOFR + 1.650%)(a)(b)

    USD       3,351       3,304,423  

RIAL Issuer Ltd., 7.58%, 01/19/37,
(1-mo. CME Term SOFR + 2.250%)(a)(b)

    USD       2,000       1,955,624  

SMRT Commercial Mortgage Trust, 6.34%, 01/15/39,
(1-mo. CME Term SOFR + 1.000%)(a)(b)

    USD       3,570       3,467,130  

Taubman Centers Commercial Mortgage Trust, 7.52%, 05/15/37,
(1-mo. CME Term SOFR + 2.186%)(a)(b)

    USD       4,675       4,603,413  

Taurus U.K. DAC

     

6.17%, 08/17/31 (Call 08/17/26),
(1-day SONIA + 0.950%)(b)(c)

    GBP       6,718       7,961,288  

6.54%, 11/17/29,
(1-day SONIA + 1.319%)(b)(c)

    GBP       6,922       8,324,521  

Vita Scientia DAC, 5.08%, 02/27/33,
(3-mo. EURIBOR + 1.300%)(b)(c)

    EUR       9,031       9,268,005  

Wells Fargo Commercial Mortgage Trust, Series 2017-SMP, Class A, 6.26%, 12/15/34,
(1-mo. CME Term SOFR + 0.922%)(a)(b)

    USD       17,280       16,174,586  
     

 

 

 

Total Collaterized Mortgage Obligations — 5.8%
(Cost: $187,561,289)

 

      180,752,608  
     

 

 

 

Commercial Paper

 

AT&T Inc., 5.78%, 02/21/24(d)

  $         18,000       17,679,268  

Harley-Davidson Financial Services Inc., 5.60%, 11/14/23(d)

      5,000       4,989,137  

HSBC USA Inc.
6.18%, 06/24/24(d)

      5,000       4,804,607  
Security          Par
(000)
    Value  

6.43%, 10/11/24(d)

    $       10,000     $ 9,418,036  
     

 

 

 

Total Commercial Paper — 1.2%
(Cost: $36,005,275)

 

    36,891,048  
     

 

 

 

Corporate Bonds & Notes

 

Aerospace & Defense — 1.5%

 

Boeing Co. (The)

     

1.43%, 02/04/24 (Call 11/13/23)(e)

      10,000       9,873,194  

1.95%, 02/01/24

      22,000       21,775,083  

Northrop Grumman Corp., 2.93%, 01/15/25 (Call 11/15/24)

      5,000       4,829,262  

RTX Corp., 3.20%, 03/15/24 (Call 01/15/24)

      10,000       9,896,990  
     

 

 

 
        46,374,529  

Agriculture — 0.2%

 

BAT Capital Corp., 3.22%, 08/15/24
(Call 06/15/24)

      6,477       6,331,876  
     

 

 

 

Auto Manufacturers — 9.5%

 

American Honda Finance Corp.

     

0.55%, 07/12/24(e)

      10,550       10,178,105  

6.26%, 01/12/26,
(1-day SOFR + 0.920%)(b)(e)

      10,735       10,779,920  

BMW U.S. Capital LLC

     

0.80%, 04/01/24(a)(e)

      9,285       9,091,721  

5.72%, 08/12/24,
(1-day SOFR + 0.380%)(a)(b)

      20,795       20,785,258  

6.18%, 04/01/25,
(1-day SOFR + 0.840%)(a)(b)(e)

      10,820       10,863,328  

Daimler Finance North America LLC, 0.75%,
03/01/24(a)(e)

      21,485       21,120,089  

Daimler Trucks Finance North America LLC

     

1.13%, 12/14/23(a)(e)

      15,000       14,918,140  

5.20%, 01/17/25(a)(e)

      8,695       8,618,088  

General Motors Financial Co. Inc.

     

1.05%, 03/08/24

      19,320       18,976,733  

4.35%, 04/09/25 (Call 02/09/25)

      10,000       9,722,937  

5.96%, 10/15/24, (1-day SOFR + 0.620%)(b)

      14,480       14,442,530  

Hyundai Capital America, 1.00%, 09/17/24(a)(e)

      26,110       24,950,950  

Nissan Motor Acceptance Co. LLC, 1.13%,
09/16/24(a)(e)

      18,560       17,708,433  

Nissan Motor Acceptance Corp.

     

1.05%, 03/08/24(a)

      12,075       11,846,219  

6.30%, 03/08/24,
(3-mo. SOFR + 0.902%)(a)(b)(e)

      4,215       4,208,214  

Toyota Motor Credit Corp.

     

5.91%, 01/10/25,
(1-day SOFR + 0.560%)(b)(e)

      19,320       19,323,714  

5.99%, 12/29/23, (1-day SOFR + 0.650%)(b)

      14,480       14,489,021  

Volkswagen Group of America Finance LLC

     

0.88%, 11/22/23(a)

      22,000       21,939,155  

4.25%, 11/13/23(a)

      13,000       12,992,286  

6.29%, 06/07/24,
(1-day SOFR + 0.950%)(a)(b)

      19,465       19,501,723  
     

 

 

 
        296,456,564  

Banks — 15.4%

 

Banco Santander SA, 5.74%, 06/30/24,
(1-year CMT + 0.450%)(b)

      21,200       21,131,518  

 

 

16  

2 0 2 3    H A R E S     N N U A L    E P O R T    T O    H A R E  H O L D E R S


Schedule of Investments (continued)

October 31, 2023

  

BlackRock Short Maturity Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Banks (continued)  

Bank of America Corp.
4.83%, 07/22/26 (Call 07/22/25),

   

(1-day SOFR + 1.750%)(b)

  $     29,320     $ 28,571,239  

5.08%, 01/20/27 (Call 01/20/26),

   

(1-day SOFR + 1.290%)(b)

    13,150       12,801,066  

Bank of Montreal
6.40%, 06/07/25,

   

(1-day SOFR + 1.060%)(b)(e)

    18,800       18,832,988  

Series H, 4.25%, 09/14/24(e)

    4,000       3,935,209  

BPCE SA, 5.91%, 01/14/25,

   

(1-day SOFR + 0.570%)(a)(b)(e)

    3,110       3,097,089  

Citigroup Inc.

   

3.35%, 04/24/25 (Call 04/24/24),

   

(3-mo. SOFR + 1.158%)(b)

    20,000           19,691,403  

6.71%, 05/24/25 (Call 05/24/24),

   

(1-day SOFR + 1.372%)(b)

    21,700       21,756,772  

Cooperatieve Rabobank UA, 5.50%, 07/18/25

    10,000       9,934,995  

Credit Suisse AG/New York NY, 0.50%,
02/02/24

    14,100       13,871,361  

Deutsche Bank AG/New York NY, Series E,
5.84%, 11/08/23, (1-day SOFR + 0.500%)(b)

    13,790       13,789,407  

DNB Bank ASA, 6.17%, 03/28/25 (Call 03/28/24),
(1-day SOFR + 0.830%)(a)(b)(e)

    15,000       15,001,324  

Federation des Caisses Desjardins du Quebec, 5.77%, 05/21/24,
(1-day SOFR + 0.430%)(a)(b)

    20,000       19,987,326  

Goldman Sachs Group Inc. (The)

   

1.22%, 12/06/23 (Call 11/06/23)

    27,899       27,777,159  

7.27%, 11/29/23, (3-mo. SOFR + 1.862%)(b)

    12,060       12,069,896  

HSBC Holdings PLC

   

6.90%, 03/11/25 (Call 03/11/24),
(3-mo. SOFR + 1.492%)(b)

    13,000       13,034,159  

5.92%, 11/22/24 (Call 11/22/23),

   

(1-day SOFR + 0.580%)(b)

    6,570       6,569,866  

HSBC USA Inc., 5.63%, 03/17/25(e)

    15,000       14,902,435  

JPMorgan Chase & Co., 5.55%, 12/15/25

   

(Call 12/15/24), (1-day SOFR + 1.070%)(b)

    20,000       19,849,741  

Mitsubishi UFJ Financial Group Inc., 6.99%,

   

07/18/25 (Call 07/18/24),

   

(1-day SOFR + 1.650%)(b)

    19,100       19,201,186  

Morgan Stanley, 5.80%, 01/25/24

   

(Call 12/25/23), (1-day SOFR + 0.455%)(b)

    53,860       53,859,461  

Morgan Stanley Bank NA, 5.48%, 07/16/25

   

(Call 06/16/25)

    9,765       9,722,196  

National Bank of Canada, 5.83%, 08/06/24,

   

(1-day SOFR + 0.490%)(b)

    8,695       8,683,579  

NatWest Markets PLC, 3.48%, 03/22/25(a)

    10,000       9,649,258  

Nordea Bank Abp, 6.30%, 06/06/25,

   

(1-day SOFR + 0.960%)(a)(b)(e)

    19,885       19,963,176  

Royal Bank of Canada, 5.66%, 10/25/24(e)

    9,830       9,797,814  

Toronto-Dominion Bank (The), 4.29%,
09/13/24

    19,650       19,371,638  

UBS AG/London, 5.79%, 08/09/24,

   

(1-day SOFR + 0.450%)(a)(b)

    15,725       15,695,280  

Wells Fargo & Co., 3.91%, 04/25/26

   

(Call 04/25/25), (1-day SOFR + 1.320%)(b)

    18,690       18,020,979  
   

 

 

 
      480,569,520  
Beverages — 0.6%  

Keurig Dr Pepper Inc., 0.75%, 03/15/24
(Call 11/13/23)(e)

    20,760       20,358,926  
   

 

 

 
Security  

Par

(000)

    Value  
Biotechnology — 1.9%  

Amgen Inc., 5.25%, 03/02/25

  $     26,932     $ 26,714,708  

Gilead Sciences Inc., 3.70%, 04/01/24
(Call 01/01/24)

    33,800       33,491,316  
   

 

 

 
            60,206,024  
Diversified Financial Services — 4.4%  

AerCap Ireland Capital DAC/AerCap Global

   

Aviation Trust, 4.88%, 01/16/24

   

(Call 12/16/23)

    10,000       9,968,730  

Air Lease Corp., 0.80%, 08/18/24

   

(Call 07/18/24)(e)

    3,205       3,064,718  

American Express Co.

   

3.40%, 02/22/24 (Call 01/22/24)

    20,011       19,851,585  

5.57%, 11/03/23, (1-day SOFR + 0.230%)(b)

    6,765       6,764,978  

6.27%, 03/04/25 (Call 02/01/25),

   

(1-day SOFR + 0.930%)(b)(e)

    8,930       8,947,729  

Capital One Financial Corp.

   

4.17%, 05/09/25 (Call 05/09/24),

   

(1-day SOFR + 1.370%)(b)

    13,800       13,520,601  

6.03%, 12/06/24 (Call 12/06/23),

   

(1-day SOFR + 0.690%)(b)(e)

    8,680       8,578,826  

6.69%, 05/09/25 (Call 05/09/24),

   

(1-day SOFR + 1.350%)(b)(e)

    21,085       20,961,442  

Charles Schwab Corp. (The), 5.84%, 03/18/24

   

(Call 02/18/24), (1-day SOFR + 0.500%)(b)(e)

    32,140       32,098,530  

Nasdaq Inc., 5.65%, 06/28/25

    5,795       5,773,954  

Synchrony Financial

   

4.25%, 08/15/24 (Call 05/15/24)(e)

    3,130       3,064,501  

4.38%, 03/19/24 (Call 02/19/24)

    6,050       5,992,866  
   

 

 

 
      138,588,460  
Electric — 2.0%  

NextEra Energy Capital Holdings Inc.

   

4.20%, 06/20/24(e)

    6,105       6,033,844  

4.26%, 09/01/24

    20,000       19,677,579  

5.74%, 11/03/23,

   

(1-day SOFR + 0.400%)(b)(e)

    23,695       23,694,993  

6.05%, 03/01/25

    3,635       3,632,919  

Southern California Edison Co., Series K,

   

0.98%, 08/01/24(e)

    10,000       9,628,464  
   

 

 

 
      62,667,799  
Food — 1.1%  

General Mills Inc., 3.65%, 02/15/24

   

(Call 11/16/23)

    23,365       23,218,478  

JM Smucker Co. (The), 3.50%, 03/15/25(e)

    10,140       9,814,687  
   

 

 

 
      33,033,165  
Health Care - Products — 0.9%  

Baxter International Inc., 5.78%, 11/29/24

   

(Call 10/29/24), (1-day SOFR + 0.440%)(b)

    5,505       5,469,883  

GE HealthCare Technologies Inc., 5.55%,

   

11/15/24(e)

    23,705       23,591,332  
   

 

 

 
      29,061,215  
Health Care - Services — 0.2%  

Humana Inc., 3.85%, 10/01/24 (Call 07/01/24)

    5,000       4,902,379  
   

 

 

 
Home Builders — 0.4%  

Lennar Corp., 4.50%, 04/30/24

   

(Call 01/31/24)(e)

    11,480       11,388,340  
   

 

 

 
Household Products & Wares — 0.3%  

Avery Dennison Corp., 0.85%, 08/15/24

   

(Call 11/13/23)

    10,440       10,019,921  
   

 

 

 

 

 

C H E D U L E    O F    N V E S T  M E N T S

  17


Schedule of Investments  (continued)

October 31, 2023

  

BlackRock Short Maturity Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Insurance — 1.7%  

Marsh & McLennan Companies Inc., 3.88%,

   

03/15/24 (Call 02/15/24)(e)

  $     4,281     $ 4,248,264  

MassMutual Global Funding II, 6.21%,

   

03/21/25, (1-day SOFR + 0.870%)(a)(b)

    3,996       4,010,944  

Metropolitan Life Global Funding I, 6.25%,

   

03/21/25, (1-day SOFR + 0.910%)(a)(b)(e)

    8,745       8,790,572  

New York Life Global Funding

   

2.90%, 01/17/24(a)

    5,000       4,969,544  

3.15%, 06/06/24(a)(e)

    12,605             12,410,127  

Northwestern Mutual Global Funding, 6.04%,

   

06/13/25, (1-day SOFR + 0.700%)(a)

    17,700       17,710,433  
   

 

 

 
      52,139,884  
Machinery — 1.1%  

Caterpillar Financial Services Corp.

   

5.79%, 11/13/23,

   

(1-day SOFR + 0.450%)(b)(e)

    24,160       24,162,150  

5.86%, 06/13/25, (1-day SOFR + 0.520%)(e)

    10,000       10,019,368  
   

 

 

 
      34,181,518  
Machinery - Diversified — 0.3%  

John Deere Capital Corp., 5.30%, 09/08/25(e)

    8,153       8,139,505  
   

 

 

 
Manufacturing — 0.7%  

Parker-Hannifin Corp., 3.65%, 06/15/24

    21,640       21,322,856  
   

 

 

 
Media — 0.8%  

Charter Communications Operating LLC/Charter Communications Operating Capital

   

4.50%, 02/01/24 (Call 01/01/24)(e)

    9,680       9,601,770  

7.29%, 02/01/24 (Call 01/01/24),
(3-mo. SOFR + 1.912%)(b)

    17,040       17,074,013  
   

 

 

 
      26,675,783  
Oil & Gas — 0.6%  

Phillips 66, 0.90%, 02/15/24 (Call 11/16/23)

    17,890       17,612,637  
   

 

 

 
Pharmaceuticals — 4.8%  

AbbVie Inc.

   

2.60%, 11/21/24 (Call 10/21/24)

    49,975       48,288,855  

3.60%, 05/14/25 (Call 02/14/25)

    4,000       3,869,635  

Bayer U.S. Finance II LLC

   

3.88%, 12/15/23 (Call 12/01/23)(a)(e)

    29,682       29,600,380  

6.68%, 12/15/23 (Call 12/01/23),
(3-mo. SOFR + 1.272%)(a)(b)(e)

    32,500       32,505,103  

Cigna Group (The), 0.61%, 03/15/24

   

(Call 11/13/23)(e)

    8,210       8,047,955  

Pfizer Investment Enterprises Pte. Ltd., 4.65%, 05/19/25

    20,000       19,746,631  

Takeda Pharmaceutical Co. Ltd., 4.40%,

   

11/26/23

    6,662       6,654,657  
   

 

 

 
      148,713,216  
Pipelines — 2.1%  

Enbridge Inc., 2.15%, 02/16/24(e)

    6,620       6,540,891  

Energy Transfer LP, 5.88%, 01/15/24

   

(Call 11/16/23)

    9,680       9,677,401  

Energy Transfer LP/Regency Energy Finance

   

Corp., 4.50%, 11/01/23

    18,660       18,660,000  

Kinder Morgan Energy Partners LP, 4.30%,

   

05/01/24 (Call 02/01/24)

    14,660       14,527,344  

Sabine Pass Liquefaction LLC, 5.63%,

   

03/01/25 (Call 12/01/24)(e)

    8,800       8,742,444  
Security  

Par

(000)

    Value  
Pipelines (continued)  

Spectra Energy Partners LP, 4.75%, 03/15/24

   

(Call 12/15/23)(e)

  $     9,000     $ 8,957,052  
   

 

 

 
            67,105,132  
Real Estate Investment Trusts — 2.0%  

American Tower Corp.

   

2.40%, 03/15/25 (Call 02/15/25)

    5,000       4,748,169  

3.38%, 05/15/24 (Call 04/15/24)

    29,463       29,032,030  

5.00%, 02/15/24

    4,840       4,822,915  

Crown Castle International Corp., 3.20%,

   

09/01/24 (Call 07/01/24)

    3,000       2,927,633  

Equinix Inc., 2.63%, 11/18/24 (Call 10/18/24)(e)

    21,100       20,373,157  
   

 

 

 
      61,903,904  
Retail — 1.0%  

7-Eleven Inc., 0.80%, 02/10/24

   

(Call 12/01/23)(a)

    28,600       28,174,978  

Starbucks Corp., 5.76%, 02/14/24

   

(Call 11/13/23), (1-day SOFR + 0.420%)(b)

    4,130       4,130,056  
   

 

 

 
      32,305,034  
Semiconductors — 1.5%  

Analog Devices Inc., 5.59%, 10/01/24,

   

(1-day SOFR + 0.250%)(b)(e)

    5,025       5,022,889  

Broadcom Corp./Broadcom Cayman Finance

   

Ltd., 3.63%, 01/15/24 (Call 12/04/23)

    16,400       16,316,485  

Broadcom Inc., 3.63%, 10/15/24

   

(Call 09/15/24)(e)

    4,840       4,733,558  

NXP BV/NXP Funding LLC, 4.88%, 03/01/24

   

(Call 02/01/24)

    22,000       21,886,920  
   

 

 

 
      47,959,852  
Software — 3.0%  

Fidelity National Information Services Inc.,

   

0.60%, 03/01/24

    20,000       19,637,197  

Fiserv Inc., 2.75%, 07/01/24 (Call 06/01/24)(e)

    30,200       29,545,263  

Oracle Corp.

   

2.95%, 11/15/24 (Call 09/15/24)

    10,000       9,698,092  

2.95%, 05/15/25 (Call 02/15/25)

    8,000       7,656,893  

3.40%, 07/08/24 (Call 04/08/24)

    9,675       9,508,953  

VMware Inc., 1.00%, 08/15/24 (Call 11/13/23)

    20,000       19,208,871  
   

 

 

 
      95,255,269  
Telecommunications — 1.3%  

AT&T Inc., 6.85%, 06/12/24,

   

(3-mo. SOFR + 1.442%)(b)

    13,870       13,938,826  

Rogers Communications Inc., 2.95%,

   

03/15/25(e)

    23,330       22,315,149  

Verizon Communications Inc., 3.38%, 02/15/25

    5,000       4,848,282  
   

 

 

 
      41,102,257  
Transportation — 1.6%  

Canadian Pacific Railway Co., 1.35%, 12/02/24 (Call 12/01/23)(e)

    20,220       19,254,893  

Ryder System Inc.

   

3.65%, 03/18/24 (Call 02/18/24)(e)

    24,950       24,721,288  

3.88%, 12/01/23 (Call 11/01/23)

    4,840       4,831,928  
   

 

 

 
      48,808,109  
Trucking & Leasing — 0.2%  

Penske Truck Leasing Co. LP/PTL Finance

   

Corp., 3.90%, 02/01/24 (Call 01/01/24)(a)

    5,800       5,767,082  
   

 

 

 

Total Corporate Bonds & Notes — 61.1%

   

(Cost: $1,921,574,326)

      1,908,950,756  
   

 

 

 

 

 

18  

2 0 2 3    H A R E S     N N U A L    E P O R T    T O    H A R E  H O L D E R S


Schedule of Investments (continued)

October 31, 2023

  

BlackRock Short Maturity Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

U.S. Government Agency Obligations

 

 

U.S. Government Agency Obligations — 0.9%

 

 

Federal Home Loan Banks

   

5.51%, 04/01/24 (Call 12/08/23)

  $ 15,000     $ 14,977,960  

5.55%, 04/05/24 (Call 12/13/23)

    14,524       14,499,802  
   

 

 

 

Total U.S. Government Agency Obligations — 0.9%

 

 

(Cost: $29,523,810)

      29,477,762  
   

 

 

 
     Shares         

Money Market Funds

   

BlackRock Cash Funds: Institutional, SL
Agency Shares, 5.54%(f)(g)(h)

    40,115,222       40,131,268  

BlackRock Cash Funds: Treasury, SL Agency Shares, 5.33%(f)(g)

    217,490,000       217,490,000  
   

 

 

 

Total Money Market Funds — 8.3%

   

(Cost: $257,594,942)

      257,621,268  
   

 

 

 

Total Investments — 100.5%

   

(Cost: $3,165,616,605)

      3,139,090,450  

Liabilities in Excess of Other Assets — (0.5)%

 

    (14,135,148
   

 

 

 

Net Assets — 100.0%

    $   3,124,955,302  
   

 

 

 
(a) 

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.

(b) 

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.

(c) 

This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

(d) 

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

(e) 

All or a portion of this security is on loan.

(f) 

Affiliate of the Fund.

(g) 

Annualized 7-day yield as of period end.

(h) 

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 year ended October 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
10/31/23
 
 
   


Shares

Held at
10/31/23

 


 

    Income      





Capital

Gain
Distributions
from
Underlying
Funds

 


 
 
 
 

BlackRock Cash Funds: Institutional,
SL Agency Shares

  $ 77,892,775     $     $ (37,817,406 )(a)    $ 25,857     $ 30,042     $ 40,131,268       40,115,222     $ 299,299 (b)    $  

BlackRock Cash Funds: Treasury,
SL Agency Shares

    190,200,000       27,290,000 (a)                        217,490,000       217,490,000       4,909,677       187  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ 25,857     $ 30,042     $ 257,621,268       $ 5,208,976     $ 187  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

(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

Futures Contracts

 

 

 
Description   Number of
Contracts
    Expiration
Date
     Notional
Amount
(000)
     Value/
Unrealized
Appreciation
(Depreciation)
 

Long Contracts

         

2-Year U.S. Treasury Note

    8,200       12/29/23      $ 1,660,116      $ (722

5-Year U.S. Treasury Note

    4,250       12/29/23        443,892        (71,761
         

 

 

 
          $ (72,483
         

 

 

 

 

 

C H E D U L E    O F    N V E S T  M E N T S

  19


Schedule of Investments (continued)

October 31, 2023

  

BlackRock Short Maturity Bond ETF

 

Forward Foreign Currency Exchange Contracts

 

Currency Purchased       

Currency Sold

       Counterparty      Settlement Date        Unrealized
Appreciation
(Depreciation)
 
GBP     963,000        USD     1,168,945        State Street Bank and Trust Co.        12/20/23        $ 1,975  
USD     64,289,039        EUR     60,044,000        Deutsche Bank Securities Inc.        12/20/23          614,860  
USD     483,163        EUR     455,000        State Street Bank and Trust Co.        12/20/23          655  
USD     64,964,776        GBP     52,463,000        Barclays Bank PLC        12/20/23          1,174,558  
                       

 

 

 
                          1,792,048  
                       

 

 

 
                        $ 1,792,048  
                       

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

 

 
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

 

 

Assets — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

   $     —      $     —      $     —      $ 1,792,048      $     —      $     —      $ 1,792,048  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Unrealized depreciation on futures contracts(a)

   $      $      $      $      $ 72,483      $      $ 72,483  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

 

For the period ended October 31, 2023, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

 

 
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

 

 

Net Realized Gain (Loss) from

                    

Forward foreign currency exchange contracts

   $      $      $      $ (7,043,455    $      $      $ (7,043,455
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                    

Futures contracts

   $      $      $      $      $ (72,483    $      $ (72,483

Forward foreign currency exchange contracts

                          1,488,931                      1,488,931  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $      $      $      $ 1,488,931      $ (72,483    $      $ 1,416,448  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

 

 

Futures contracts:

  

Average notional value of contracts — long

   $ 526,002,053  

Forward foreign currency exchange contracts:

  

Average amounts purchased — in USD

   $ 3,915,366  

Average amounts sold — in USD

   $ 166,817,980  

 

 

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

 

20  

2 0 2 3    H A R E S     N N U A L    E P O R T    T O    H A R E  H O L D E R S


Schedule of Investments (continued)

October 31, 2023

  

BlackRock Short Maturity Bond ETF

 

Derivative Financial Instruments - Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

      Assets        Liabilities  

Derivative Financial Instruments:

       

Futures contracts

   $        $ 72,483  

Forward foreign currency exchange contracts

     1,792,048           
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Statement of Assets and Liabilities

     1,792,048          72,483  

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

              (72,483
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

     1,792,048           
  

 

 

      

 

 

 

The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under an MNA and net of the related collateral received by the Fund:

 

Counterparty     



Derivative
Assets
Subject to
an MNA by
Counterparty
 
 
 
 
 
      

Derivatives
Available
for Offset
 
 
(a) 
    

Non-Cash
Collateral
Received
 
 
 
      

Cash
Collateral
Received
 
 
 
      

Net Amount
of Derivative
Assets
 
 
(b)(c) 

Barclays Bank PLC

   $ 1,174,558        $      $        $        $ 1,174,558  

Deutsche Bank Securities Inc.

     614,860                                   614,860  

State Street Bank and Trust Co.

     2,630                                   2,630  
  

 

 

      

 

 

    

 

 

      

 

 

      

 

 

 
   $ 1,792,048        $      $        $        $ 1,792,048  
  

 

 

      

 

 

    

 

 

      

 

 

      

 

 

 
  (a) 

The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

 
  (b) 

Net amount represents the net amount receivable from the counterparty in the event of default.

 
  (c) 

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to 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

                 

Asset-Backed Securities

   $        $ 725,397,008        $        $ 725,397,008  

Collaterized Mortgage Obligations

              180,752,608                   180,752,608  

Commercial Paper

              36,891,048                   36,891,048  

Corporate Bonds & Notes

              1,908,950,756                   1,908,950,756  

U.S. Government & Agency Obligations

              29,477,762                   29,477,762  

Short-Term Securities

                 

Money Market Funds

     257,621,268                            257,621,268  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 257,621,268        $ 2,881,469,182        $        $ 3,139,090,450  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Assets

                 

Foreign Currency Exchange Contracts

   $        $ 1,792,048        $        $ 1,792,048  

Liabilities

                 

Interest Rate Contracts

     (72,483                          (72,483
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ (72,483      $ 1,792,048        $          1,719,565  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are futures contracts and forward foreign currency exchange contracts. Futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

See notes to financial statements.

 

 

C H E D U L E    O F    N V E S T  M E N T S

  21


Schedule of Investments

October 31, 2023

  

BlackRock Short Maturity Municipal Bond ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Municipal Debt Obligations            
Alabama — 11.0%            

Black Belt Energy Gas District RB

   

4.00%, 12/01/24

  $ 1,250     $ 1,233,041  

4.81%, 12/01/48 (Call 09/01/24),
(SIFMA Municipal Swap Index)(a)(b)

    20,000       19,916,834  

5.00%, 12/01/23

    1,000       999,332  

5.25%, 12/01/23

    530       529,800  

5.25%, 06/01/24

    500       500,068  

5.25%, 12/01/24

    2,745       2,743,304  

5.25%, 12/01/24

    630       630,355  

5.25%, 06/01/25

    615       615,561  

Columbia Industrial Development Board RB, 4.25%, 12/01/37 (Put 10/31/23)(b)

    26,575       26,575,000  

Energy Southeast A Cooperative District RB

   

5.50%, 11/01/26

    800       807,604  

5.50%, 05/01/27

    1,570       1,587,094  

Eutaw Industrial Development Board RB, 4.25%, 06/01/28 (Put 10/31/23)(b)

    1,600       1,600,000  

Southeast Energy Authority A Cooperative District RB

   

5.00%, 07/01/24

    350       349,309  

5.00%, 06/01/25

    170       169,884  

5.00%, 07/01/25

    650       647,214  

5.00%, 06/01/26

    185       184,910  

5.00%, 06/01/27

    1,000       999,753  

5.00%, 05/01/53 (Put 08/01/28)

    5,500       5,446,730  

Series B, 4.00%, 06/01/24

    1,200       1,191,151  
   

 

 

 
        66,726,944  
Alaska — 0.1%            

Borough of North Slope AK GO, 5.00%, 06/30/24

    750       754,275  
   

 

 

 
Arizona — 0.6%            

Arizona Health Facilities Authority RB

   

VRDN, 4.34%, 01/01/46 (PR 11/04/25),
(SIFMA Municipal Swap Index)(a)(b)

    500       500,000  

VRDN, 4.34%, 01/01/46 (Put 11/04/26),
(SIFMA Municipal Swap Index)(a)(b)

    3,100       3,016,907  
   

 

 

 
      3,516,907  
California — 0.3%            

California Community Choice Financing Authority RB

   

4.00%, 02/01/24

    500       498,116  

4.00%, 08/01/24

    350       347,171  

State of California GO, 5.00%, 12/01/24

    1,190       1,206,491  
   

 

 

 
      2,051,778  
Colorado — 0.9%            

City & County of Denver Co. Airport System Revenue RB, Series A, 5.00%, 11/15/23

    250       250,055  

Colorado School of Mines RB, 5.06%, 12/01/25 (Call 06/01/25), (SIFMA Municipal Swap
Index)(a)(b)

    5,000       5,012,826  
   

 

 

 
      5,262,881  
Connecticut — 4.0%            

Connecticut State Health & Educational Facilities Authority RB, 4.13%, 07/01/37 (Put 11/01/23)(b)

    7,500       7,500,000  

State of Connecticut GO

   

5.00%, 08/01/25

    4,575       4,662,240  

5.18%, 03/01/25 , (SIFMA Municipal Swap Index)(a)(b)

    4,600       4,620,488  

VRDN, 5.14%, 03/01/24 , (SIFMA Municipal Swap Index)(a)(b)

    5,130       5,126,556  

Series C, VRDN, 4.13%, 05/15/34 (Put 10/31/23)(b)

    2,400       2,400,000  
   

 

 

 
      24,309,284  
Security   Par
(000)
    Value  
District of Columbia — 0.2%            

Tender Option Bond Trust Receipts/Certificates RB, 1.95%, 10/01/53 (Put 10/01/29)(b)(c)

  $ 1,435     $ 1,435,000  
   

 

 

 
Florida — 0.5%            

County of Martin FL RB, 4.20%, 07/01/52
(Put 10/31/23)(b)

    2,500       2,500,000  

County of St. Lucie FL RB, 4.20%, 09/01/28
(Put 10/31/23)(b)

    550       550,000  
   

 

 

 
      3,050,000  
Georgia — 3.3%            

Main Street Natural Gas Inc. RB

   

5.00%, 05/15/24

    1,500       1,498,552  

5.00%, 06/01/24

    560       559,451  

5.00%, 09/01/24

    220       219,980  

5.00%, 12/01/24

    300       299,559  

5.00%, 03/01/25

    290       290,089  

5.00%, 06/01/25

    750       748,491  

5.00%, 09/01/25

    260       260,242  

5.00%, 12/01/25

    550       548,660  

5.00%, 05/15/26

    2,695       2,686,335  

5.00%, 12/01/26

    1,000       997,404  

5.00%, 06/01/27

    1,750       1,743,236  

VRDN, 4.76%, 08/01/48 (Call 12/01/23),
(SIFMA Municipal Swap Index)(a)(b)

    5,000       4,978,358  

Series D, VRDN, 4.46%, 08/01/48
(Call 12/01/23)(a)(b)

    5,000       4,981,477  
   

 

 

 
      19,811,834  
Illinois — 2.3%            

City of Chicago Waterworks Revenue, 5.00%, 11/01/23

    750       750,000  

Illinois Finance Authority RB

   

VRDN, 4.09%, 01/01/37 (Put 11/01/23)(b)

    2,900       2,900,000  

4.10%, 11/01/38 (Put 10/31/23)(b)

    5,000       5,000,000  

Illinois Housing Development Authority RB, 3.50%, 10/01/54 (Call 04/01/24)
(GNMA/FNMA/FHLMC COLL)(b)

    3,200       3,189,806  

State of Illinois GO, 5.00%, 05/01/24

    2,000       2,005,680  
   

 

 

 
      13,845,486  
Indiana — 6.1%            

Indiana Finance Authority RB

   

3.95%, 05/01/28 (Put 12/01/23)(b)

    8,000       8,000,000  

4.30%, 05/01/34 (Put 12/01/23)

    10,000       10,000,000  

4.50%, 12/15/46 (Put 11/15/23)

    12,000       11,994,855  

Class B, 4.39%, 03/01/39 (Put 03/01/27),
(SIFMA Municipal Swap Index)(a)(b)

    920       884,440  

Tender Option Bond Trust Receipts/Certificates RB,
2.05%, 04/01/30 (Put 11/01/23)(b)(c)

    6,000       6,000,000  
   

 

 

 
      36,879,295  
Iowa — 7.4%            

Iowa Finance Authority RB, 4.22%, 12/01/41
(Put 10/31/23)(b)(c)

    29,600       29,600,000  

PEFA Inc., 5.00%, 09/01/49 (Put 09/01/26)

    15,100       14,989,759  
   

 

 

 
      44,589,759  
Kansas — 1.2%            

City of Burlington KS RB

   

Series A, VRDN, 4.10%, 09/01/35
(Put 10/31/23)(b)

    4,000       4,000,000  

Series B, VRDN, 4.10%, 09/01/35
(Put 10/31/23)(b)

    3,000       3,000,000  
   

 

 

 
      7,000,000  
Kentucky — 5.9%            

County of Meade KY RB

   

VRDN, 4.75%, 08/01/61 (Put 10/31/23)(b)

    8,775       8,775,000  

VRDN, 4.80%, 08/01/61 (Put 10/31/23)(b)

    17,900       17,900,000  

 

 

22  

2 0 2 3    H A R E S     N N U A L    E P O R T    T O    H A R E  H O L D E R S


Schedule of Investments (continued)

October 31, 2023

  

BlackRock Short Maturity Municipal Bond ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Kentucky (continued)            

Kentucky Public Energy Authority RB

   

4.00%, 12/01/49 (Put 06/01/25)

  $ 4,000     $ 3,929,546  

Series A, VRDN, 4.00%, 04/01/48
(Put 04/01/24)(b)

    3,930       3,910,338  

Kentucky State Property & Building Commission RB

   

5.00%, 11/01/24

    300       302,062  

5.00%, 11/01/25

    375       380,519  

Tender Option Bond Trust Receipts/Certificates RB,
1.93%, 12/01/41 (Put 12/01/27) (AGM)(b)(c)

    500       500,000  
   

 

 

 
      35,697,465  
Louisiana — 5.1%            

Lake Charles Harbor & Terminal District RB, 1.00%, 12/01/51
(Put 12/01/24)(b)

    4,325       4,130,251  

Louisiana Offshore Terminal Authority RB, 1.65%, 09/01/27
(Put 12/01/23)(b)

    400       398,640  

Parish of St James LA RB, Series B1, 4.61%, 11/01/40 (Put 10/31/23)(b)

    26,500       26,500,000  
   

 

 

 
      31,028,891  
Massachusetts — 1.2%            

City of Somerville RB, 5.00%, 05/30/24

    3,000       3,016,431  

Massachusetts Educational Financing Authority RB,
5.00%, 01/01/24

    2,500       2,499,452  

Massachusetts Housing Finance Agency RB

   

Series A, 0.30%, 12/01/23 (Call 11/21/23)

    1,000       996,406  

Series A, 0.40%, 06/01/24 (Call 11/21/23)

    1,000       977,336  
   

 

 

 
      7,489,625  
Minnesota — 2.4%            

City of Minneapolis MN RB, 4.05%, 12/01/40
(Put 11/01/23)(b)

    9,450       9,450,000  

City of Rochester MN RB, 4.07%, 05/01/61
(Put 10/31/23)(b)

    4,800       4,800,000  
   

 

 

 
      14,250,000  
Missouri — 0.3%            

RBC Municipal Products Inc. Trust RB, 4.14%, 09/01/39 (Put 11/01/23)(b)(c)

    2,000       2,000,000  
   

 

 

 
Nebraska — 0.7%            

Central Plains Energy Project RB, 5.00%, 03/01/50 (Call 12/28/23)(b)

    1,000       1,000,185  

County of Douglas NE RB, 4.62%, 07/01/35
(Put 09/01/26),
(SIFMA Municipal Swap Index)(a)(b)

    3,435       3,337,631  
   

 

 

 
      4,337,816  
Nevada — 0.4%            

State of Nevada Department of Business & Industry RB, 3.70%, 01/01/50 (Put 01/31/24)(c)

    2,600       2,573,014  
   

 

 

 
New Jersey — 9.3%            

Borough of Tinton Falls NJ RB, 5.00%, 04/25/24

    2,300       2,306,236  

Borough of Waldwick NJ RB, 5.00%, 10/10/24

    1,114       1,119,024  

City of Clifton NJ RB, 5.00%, 05/23/24

    2,000       2,004,803  

City of South Amboy RB, 5.00%, 06/28/24

    1,090       1,091,954  

Hudson County Improvement Authority RB,
5.00%, 07/24/24 (GTD)

    1,785       1,795,264  

New Jersey Economic Development Authority RB

   

5.00%, 03/01/24

    2,850       2,855,672  

5.25%, 09/01/24 (c)

    7,600       7,660,735  

Series B, 5.00%, 11/01/23

    1,450       1,450,000  

Series B, 5.00%, 11/01/24

    1,010       1,018,868  

Series N-1, 5.50%, 09/01/24 (AMBAC)

    1,460       1,476,469  

New Jersey Higher Education Student Assistance Authority RB, 5.00%, 12/01/24

    500       502,039  
Security   Par
(000)
    Value  
New Jersey (continued)            

New Jersey Sports & Exposition Authority RB, 5.00%, 09/01/24

  $ 3,165     $ 3,183,912  

New Jersey Transportation Trust Fund Authority RB
5.00%, 06/15/24

    1,150       1,156,191  

Series A, 5.00%, 06/15/24

    1,575       1,583,478  

Series A, 5.00%, 12/15/24

    1,000       1,009,785  

Series A, 5.50%, 12/15/23

    155       155,250  

Series D, 5.00%, 12/15/23

    470       470,244  

Series D, 5.25%, 12/15/23

    1,275       1,276,694  

Township of Cranford NJ RB, 5.00%, 08/22/24

    1,940       1,947,950  

Township of Cranford RB, 5.00%, 06/20/24

    1,940       1,944,560  

Township of Montville NJ RB, 5.00%, 11/06/24

    1,300       1,310,035  

Township of Ocean NJ/Ocean County RB, 5.00%, 05/30/24

    1,428       1,430,068  

Township of Plainsboro RB, 5.00%, 07/25/24

    10,080       10,110,912  

Township of Toms River RB, 5.00%, 07/26/24

    3,900       3,923,999  

Township of Voorhees NJ RB, 5.00%, 09/25/24

    1,000       1,007,212  

Township of Winslow NJ RB, 5.00%, 03/29/24

    2,375       2,378,431  
   

 

 

 
      56,169,785  
New Mexico — 0.2%            

New Mexico Mortgage Finance Authority RB, 5.00%, 02/01/42 (Call 04/01/25) (HUD SECT 8)(b)

    970       975,675  
   

 

 

 
New York — 6.6%            

Albany Industrial Development Agency RB, 4.20%, 07/01/32 (Put 11/02/23)(b)

    700       700,000  

Catskill Central School District RB, 5.00%, 06/28/24 (SAW)

    1,915       1,920,126  

Genesee County Funding Corp. (The) RB, 5.00%, 12/01/23

    150       149,957  

Mount Pleasant Central School District RB, 5.00%, 06/28/24 (SAW)

    1,760       1,765,382  

New York City Housing Development Corp. RB, 0.45%, 11/01/25 (FHA)

    1,560       1,456,752  

New York City Municipal Water Finance Authority RB, 4.00%, 06/15/44 (Put 10/31/23)(b)

    5,700       5,700,000  

New York City Transitional Finance Authority Future Tax Secured Revenue RB

   

Series A-4, VRDN, 3.95%, 08/01/45
(Put 11/01/23)(b)

    9,700       9,700,000  

Series G-6, VRDN, 4.00%, 05/01/34
(Put 10/31/23)(b)

    1,225       1,225,000  

New York Transportation Development Corp. RB, Series A, 5.00%, 12/01/23

    1,250       1,249,962  

Town of New Paltz NY RB, 5.00%, 10/04/24

    3,237       3,259,192  

Triborough Bridge & Tunnel Authority RB, 4.61%, 04/01/26 (Call 10/01/25),
(1-day SOFR + 0.650%)(a)(b)

    11,000       11,000,000  

Village of Ossining NY RB, 5.00%, 09/20/24

    1,873       1,891,583  
   

 

 

 
      40,017,954  
North Carolina — 2.1%            

North Carolina Capital Facilities Finance Agency RB, Series A, 3.95%, 07/01/34 (Put 12/01/23)(b)

    13,000       13,000,000  
   

 

 

 
Ohio — 0.9%            

Akron Bath Copley Joint Township Hospital District RB, 5.00%, 11/15/23

    325       325,027  

Ohio Higher Educational Facility Commission RB,
Series B, 4.32%, 12/01/42 (Put 12/01/26),
(SIFMA Municipal Swap Index)(a)(b)

    5,500       5,323,545  
   

 

 

 
      5,648,572  
Oregon — 0.5%            

State of Oregon Housing & Community Services Department RB, 4.21%, 07/01/37 (Put 12/01/23)(b)

    2,965       2,965,000  
   

 

 

 

 

 

C H E D U L E    O F    N V E S T  M E N T S

  23


Schedule of Investments (continued)

October 31, 2023

  

BlackRock Short Maturity Municipal Bond ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Pennsylvania — 10.2%            

Allegheny County Hospital Development Authority RB
VRDN, 4.56%, 11/15/23 , (SIFMA Municipal
    Swap Index)(a)(b)

  $ 1,500     $ 1,494,975  

VRDN, 4.77%, 11/15/26 , (SIFMA Municipal
Swap Index)(a)(b)

    1,000       992,836  

Ephrata Area School District GO, 3.00%, 03/01/24

    1,000       995,866  

Pennsylvania Economic Development Financing Authority RB

   

VRDN, 4.49%, 06/01/41 (Put 06/03/24),
(SIFMA Municipal Swap Index)(a)(b)

    3,000       2,968,527  

VRDN, 5.25%, 12/01/37 (Put 10/31/23)(b)

    19,970       19,970,000  

VRDN, 5.25%, 12/01/38 (Put 10/31/23)(b)

    23,000       23,000,000  

Pennsylvania Housing Finance Agency RB, 5.00%, 10/01/25

    500       509,816  

Pennsylvania Turnpike Commission RB, 4.79%, 12/01/23 (Call 12/01/23), (SIFMA Municipal Swap Index)(a)(b)

    10,750       10,712,293  

Philadelphia Gas Works Co. RB, 5.00%, 10/01/24

    1,000       1,005,646  
   

 

 

 
      61,649,959  
South Carolina — 1.2%            

South Carolina Jobs-Economic Development Authority RB, 4.11%, 03/01/63 (Put 10/31/23)(b)

    6,000       6,000,000  

Tender Option Bond Trust Receipts/Certificates RB,
2.02%, 12/01/55 (Put 06/01/32) (BAM-TCRS)(b)(c)

    1,000       1,000,000  
   

 

 

 
      7,000,000  
Tennessee — 4.1%            

Tender Option Bond Trust Receipts/Certificates RB,
4.27%, 09/01/36 (Put 12/01/23)(b)(c)

    4,360       4,360,000  

Tennergy Corp./TN RB

   

5.25%, 12/01/23

    650       649,590  

5.25%, 12/01/24

    575       573,569  

5.25%, 12/01/25

    575       573,066  

Tennessee Energy Acquisition Corp. RB

   

5.25%, 09/01/24

    8,985       8,991,569  

5.25%, 09/01/26

    3,355       3,364,259  

5.63%, 09/01/26

    5,925       5,894,153  

Series A, 5.00%, 11/01/23

    250       250,000  
   

 

 

 
      24,656,206  
Texas — 7.6%            

Bexar County Housing Finance Corp. RB, 4.05%, 12/15/25 (Put 11/15/23)(b)

    2,005       2,005,000  

City of Houston TX Combined Utility System Revenue RB, 4.13%, 05/15/34
(Put 10/31/23)(b)

    1,700       1,700,000  

Fort Bend Independent School District, 3.85%, 12/13/23

    3,000       2,999,283  

Harris County Cultural Education Facilities Finance Corp. RB, 4.05%, 10/01/45 (Put 11/01/23)(b)

    5,000       5,000,000  

Mission Economic Development Corp. RB, 4.25%, 07/01/40 (Put 12/01/23)(b)

    5,000       4,980,232  

Port of Arthur Navigation District Industrial Development Corp. RB, 4.11%, 06/01/41
(Put 11/01/23)(b)

    3,000       3,000,000  
Security   Par
(000)
    Value  
Texas (continued)            

State of Texas GO

   

VRDN, 4.10%, 12/01/46 (Put 11/01/23)(b)

  $ 3,405     $ 3,405,000  

VRDN, 4.15%, 12/01/43 (Put 11/01/23)(b)

    9,045       9,045,000  

Series A, VRDN, 4.15%, 06/01/45
(Put 10/31/23)(b)

    5,335       5,335,000  

Texas Municipal Gas Acquisition & Supply Corp. III RB

   

5.00%, 12/15/23

    4,300       4,297,526  

5.00%, 12/15/25

    2,500       2,498,713  

5.00%, 12/15/26

    1,850       1,843,811  
   

 

 

 
      46,109,565  
Utah — 0.3%            

County of Utah UT RB, 3.90%, 05/15/58
(Put 10/31/23)(b)

    1,600       1,600,000  
   

 

 

 
Washington — 0.1%            

Washington Health Care Facilities Authority RB, 5.00%, 08/01/49 (Put 08/01/25)(b)

    800       802,643  
   

 

 

 
Wisconsin — 3.6%            

State of Wisconsin GO, 4.61%, 05/01/25 (Call 11/01/24),
(SIFMA Municipal Swap Index)(a)(b)

    19,990       19,692,968  

Wisconsin Health & Educational Facilities Authority RB, 4.37%, 08/15/54 (Put 07/01/26),
(SIFMA Municipal Swap Index)(a)(b)

    2,000       1,993,523  
   

 

 

 
      21,686,491  
   

 

 

 

Total Municipal Debt Obligations — 100.6%
(Cost $611,671,430)

      608,892,104  
   

 

 

 
     Shares         

Money Market Funds

   

BlackRock Liquidity Funds: MuniCash,
3.82%(d)(e)

    91,129       91,129  
   

 

 

 

Total Money Market Funds — 0.0%
(Cost: $91,129)

      91,129  
   

 

 

 

Total Investments — 100.6%
(Cost: $611,762,559)

        608,983,233  

Liabilities in Excess of Other Assets — (0.6)%

 

    (3,780,398
   

 

 

 

Net Assets — 100.0%

    $ 605,202,835  
   

 

 

 

 

(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) 

Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

(c) 

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.

(d) 

Affiliate of the Fund.

(e) 

Annualized 7-day yield as of period end.

 

 

24  

2 0 2 3    H A R E S     N N U A L    E P O R T    T O    H A R E  H O L D E R S


Schedule of Investments (continued)

October 31, 2023

  

BlackRock Short Maturity Municipal Bond ETF

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended October 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
10/31/23
     Shares
Held at
10/31/23
     Income      Capital Gain
Distributions
from
Underlying
Funds
 

BlackRock Liquidity Funds: MuniCash, 3.57%

   $ 28,912      $ 61,258 (a)     $      $ 959      $      $ 91,129        91,129      $ 14,894      $  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

(a) 

Represents net amount purchased (sold).

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to 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

                   

Municipal Debt Obligations

     $        $ 608,892,104        $        $ 608,892,104  

Short-Term Securities

                   

Money Market Funds

       91,129                            91,129  
    

 

 

      

 

 

      

 

 

      

 

 

 
     $ 91,129        $ 608,892,104        $        $ 608,983,233  
    

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

C H E D U L E    O F    N V E S T  M E N T S

  25


Schedule of Investments

October 31, 2023

  

BlackRock Ultra Short-Term Bond ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Asset-Backed Securities

 

American Express Credit Account Master Trust,
Class A, 4.95%, 10/15/27

  $ 14,709     $ 14,520,453  

BMW Vehicle Lease Trust

   

5.27%, 02/25/25

    3,870       3,862,089  

5.95%, 08/25/25

    19,139       19,139,193  

BMW Vehicle Owner Trust, 2.52%, 12/26/24 (Call 12/25/25)

    1,421       1,416,950  

Carmax Auto Owner Trust, 6.17%, 06/15/26
(Call 09/15/26), (30-day SOFR + 0.850%)(a)

    16,756       16,773,331  

CarMax Auto Owner Trust

   

2.81%, 05/15/25 (Call 03/15/26)

    329       328,778  

5.23%, 01/15/26 (Call 07/15/26)

    15,862       15,802,925  

6.08%, 12/15/26

    13,818       13,817,306  

6.12%, 12/15/26

    710       710,302  

Carmax Auto Owner Trust 2022-4, 5.34%, 12/15/25 (Call 09/15/26)

    7,301       7,281,041  

Carmax Auto Owner Trust 2023-3, 5.92%, 11/16/26

    12,180       12,163,452  

Chase Issuance Trust, 3.97%, 09/15/27

    14,100       13,673,163  

CNH Equipment Trust, 5.34%, 09/15/26
(Call 08/15/27)

    8,421       8,375,684  

Ford Credit Auto Lease Trust

   

5.19%, 06/15/25 (Call 08/15/25)

    2,957       2,949,829  

5.90%, 02/15/26

    7,684       7,674,745  

Ford Credit Auto Owner Trust, 3.44%, 02/15/25
(Call 12/15/25)

    2,058       2,051,990  

Honda Auto Receivables Owner Trust

   

1.44%, 10/15/24 (Call 08/15/25)

    1,403       1,398,295  

5.41%, 04/15/26 (Call 09/15/26)

    15,800       15,725,696  

Hyundai Auto Lease Securitization Trust

   

2.75%, 10/15/24 (Call 09/15/24)(b)

    1,766       1,763,634  

4.34%, 01/15/25 (Call 02/15/25)(b)

    1,173       1,168,786  

5.20%, 04/15/25 (Call 05/15/25)(b)

    8,414       8,387,156