LOGO

  OCTOBER 31, 2023

 

  

2023 Annual Report

 

 

iShares U.S. ETF Trust

 

·  

iShares Bloomberg Roll Select Commodity Strategy ETF | CMDY | NYSE Arca

 

·  

iShares Commodity Curve Carry Strategy ETF | CCRV | NYSE Arca

 

·  

iShares Gold Strategy ETF | IAUF | Cboe BZX

 

·  

iShares GSCI Commodity Dynamic Roll Strategy ETF | COMT | NASDAQ

 

·  

iShares Transition-Enabling Metals ETF | TMET | NASDAQ


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

     14  

Disclosure of Expenses

     14  

Consolidated Schedules of Investments

     15  

Consolidated Financial Statements

  

Consolidated Statements of Assets and Liabilities

     32  

Consolidated Statements of Operations

     34  

Consolidated Statements of Changes in Net Assets

     36  

Consolidated Financial Highlights

     39  

Notes to Consolidated Financial Statements

     44  

Report of Independent Registered Public Accounting Firm

     52  

Important Tax Information

     53  

Board Review and Approval of Investment Advisory Contract

     54  

Supplemental Information

     62  

Trustee and Officer Information

     63  

General Information

     66  

Glossary of Terms Used in this Report

     67  

 

 

 


Market Overview

 

iShares U.S. ETF Trust

Global Market Overview

Commodities finished the 12-month reporting period ended October 31, 2023 (the “reporting period”) lower, based on the -9.40% return for the S&P GSCI Index, a broad measure of commodity market performance.

Commodity prices chopped lower through the first half of the reporting period. During this time, the asset class came under pressure from the combination of rising interest rates and worries that the banking crisis of March 2023 would weigh on economic growth. In addition, China’s economy did not recover to the extent that investors had been expecting following the end of the nation’s extended COVID-19 lockdowns. The market experienced uneven trading over the subsequent three months and finished July only slightly above its March low. However, a rally over the final three months of the period helped the index make up for its earlier losses. The gains were driven by supply constraints, particularly in the energy market, as well as the prospect of instability in the Middle East. Commodities also benefited from renewed demand for inflation protection in this time, as well as signs that the world’s major central banks were moving closer to the point at which they could shift to neutral monetary policies.

Despite continued supply discipline by both energy companies and OPEC+Russia, crude oil underperformed the index. Still, it finished October 2023 well off of its previous lows thanks to a late rally that was driven by declining supplies and tension in the Middle East. Natural gas lagged considerably, due largely to elevated supply and weaker-than-expected demand.

Industrial metals, after performing very well in the first three months of the period on optimism related to China’s reopening, subsequently declined due to concerns about the potential impact slowing growth could have on demand. In addition, China’s economy did not rebound to the extent investors had been anticipating. Still, the category finished in positive territory and slightly outpaced the index.

Precious metals were the top performing major segment of the commodity market, with gold and silver both logging meaningful gains. The bulk of the positive return occurred in the first half of the period, when the U.S. Dollar weakened, and investors were looking ahead to the point at which the U.S. Federal Reserve (Fed) could stop raising interest rates. Precious metals lagged somewhat in the span from May to September 2023 due to the prospect of additional Fed tightening, a recovery in the Dollar, and rising real (after-inflation) interest rates. However, the category recaptured some of its previous outperformance in October following the outbreak of violence in the Middle East and ultimately closed with a solid gain.

Agricultural commodities also delivered a positive return and outpaced the index. Generally speaking, the category was supported by the combination of weaker-than-expected production and solid demand. It also has lower sensitivity to broader economic trends, which was a tailwind in the environment of slowing growth.

 

 

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Fund Summary as of October 31, 2023    iShares® Bloomberg Roll Select Commodity Strategy ETF

 

Investment Objective

The iShares Bloomberg Roll Select Commodity Strategy ETF (the “Fund”) seeks to track the investment results of an index composed of a broad range of commodity exposures with enhanced roll selection, on a total return basis, as represented by the Bloomberg Roll Select Commodity Total Return Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

 

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

Fund NAV

    (4.72 )%       6.35      4.81       (4.72 )%       36.02      29.96

Fund Market

    (4.49      6.32        4.81         (4.49      35.84        30.00  

Index

    (4.08      7.02        5.43               (4.08      40.39        34.27  

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

 

LOGO

The inception date of the Fund was April 3, 2018. The first day of secondary market trading was April 5, 2018.

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        $     1,009.70        $     1.37             $     1,000.00        $     1,023.80        $     1.38          0.27

 

  (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

  5


Fund Summary as of October 31, 2023 (continued)    iShares® Bloomberg Roll Select Commodity Strategy ETF

 

Portfolio Management Commentary

The Fund uses a mix of commodities futures designed to provide total returns consistent with investment in a broad variety of commodities.

Given continued strength in economic growth and inflation that remained above its 2% target, the U.S. Federal Reserve (the Fed) raised its benchmark overnight lending rate six times over the course of the 12-month period, bringing the fed funds target from a range of 3.0-3.25% to 5.25%-5.50%. Against this policy backdrop, U.S. consumer price inflation generally moved lower over the period, posting a year-over-year increase of 3.7% in September of 2023 versus 8.2% 12 months earlier.

Significant portfolio shifts during the period included increased exposure to gold, along with reduced exposure to natural gas, corn and soybeans. At the end of the period, the largest exposures were to gold, West Texas Intermediate crude oil, natural gas and Brent crude oil.

The Fund’s exposure to natural gas was the most significant driver of negative performance for the 12 months ended October 31, 2023. Following their price peak in November of 2022, natural gas prices began to collapse due to warmer than average U.S. temperatures and increased U.S. natural gas production. Agriculture was also down for the period, most notably corn and wheat. Heavy rains in Argentina boosted corn supply prospects while U.S. corn harvesting levels surpassed five-year averages. In addition, U.S. corn shipments to China weakened as China increased its corn sourcing from Brazil. Wheat supply has been strong, with Russia’s push to export the grain helping to drive prices to a three-year low.

Portfolio Information

 

PORTFOLIO COMPOSITION

 

Investment Type   Percent of
Net Assets
 

Commercial Paper

    52.0

U.S. Treasury Obligations

    37.3  

Certificates of Deposit

    1.0  

Money Market Funds

    4.6  

Cash

    6.6  

Futures

    (2.1

Other assets, less liabilities

    0.6  

COMMODITIES EXPOSURE

 

Sector Exposure(a)   Percent of
Exposure
 

Energy Futures

    32.7

Agriculture Futures

    26.9  

Precious Metals Futures

    20.6  

Industrial Metals Futures

    14.2  

Livestock Futures

    5.6  

 

  (a) 

Represents the sector allocation of the Bloomberg Roll Select Commodity Total Return Index.

 

 

 

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Fund Summary as of October 31, 2023     iShares® Commodity Curve Carry Strategy ETF

 

Investment Objective

The iShares Commodity Curve Carry Strategy ETF (the “Fund”) seeks to track the investment results of an index composed of commodities with the top ten highest ranking roll yields, on a total return basis, selected from a broad commodity universe, as represented by the ICE BofA Commodity Enhanced Carry Total Return Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

 

     Average Annual Total Returns           Cumulative Total Returns  
      1 Year    

Since

Inception

           1 Year     

Since

Inception

 

Fund NAV

     12.80     21.18       12.80      83.74

Fund Market

     13.33       21.25         13.33        84.08  

Index

     13.65       22.02               13.65        87.71  

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

 

LOGO

The inception date of the Fund was September 1, 2020. The first day of secondary market trading was September 3, 2020.

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        $     1,107.80        $     1.97             $      1,000.00        $     1,023.30        $     1.89          0.37

 

  (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

  7


Fund Summary as of October 31, 2023 (continued)    iShares® Commodity Curve Carry Strategy ETF

 

Portfolio Management Commentary

The Fund finished the reporting period in positive territory, reflecting higher prices for many commodities against a backdrop of historically high inflation. The Fund gains exposure to a concentrated mix of commodities futures exhibiting positive carry (the difference between the price of an expiring futures contract and its replacement) by investing in commodity total return swaps. During the reporting period, the Fund decreased its exposure to “hard” commodities used in agricultural production while increasing exposure to “soft” commodities such as wheat, corn and soybeans. At the end of the reporting period, the Fund’s largest exposures included Brent crude oil, copper, and soybeans.

Given continued strength in economic growth and inflation that remained above its 2% target, the U.S. Federal Reserve (the Fed) raised its benchmark overnight lending rate six times over the course of the 12-month period, bringing the fed funds target from a range of 3.0-3.25% to 5.25%-5.50%. Against this policy backdrop, U.S. consumer price inflation generally moved lower over the period, posting a year-over-year increase of 3.7% in September of 2023 versus 8.2% 12 months earlier.

Exposure via energy futures to commodities such as Brent crude oil, gasoil and West Texas crude oil were the largest contributors to the Fund’s performance over the 12 months, as energy prices were supported by OPEC Plus member production cuts.

Portfolio Information

 

PORTFOLIO COMPOSITION

 

Investment Type   Percent of
Net Assets
 

Commercial Paper

    38.0

U.S. Treasury Obligations

    27.6  

Certificates of Deposit

    5.5  

Money Market Funds

    28.6  

Cash

    0.0 (a) 

Total Return Commodity Swaps

    1.5  

Other assets, less liabilities

    (1.2

 

  (a)

Rounds to less than 0.1%.

 

FIVE LARGEST HOLDINGS

 

Security   Percent of
Net Assets
 

U.S. Treasury Bill, 5.44%, 01/11/24

    9.1

U.S. Treasury Bill, 5.47%, 12/07/23

    3.7  

U.S. Treasury Bill, 5.50%, 03/07/24

    3.6  

U.S. Treasury Bill, 5.47%, 11/09/23

    2.8  

U.S. Treasury Bill, 5.42%, 11/14/23

    2.7  

 

 

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Fund Summary as of October 31, 2023     iShares® Gold Strategy ETF

 

Investment Objective

The iShares Gold Strategy ETF (the “Fund”) seeks to track the investment results of an index that provides exposure, on a total return basis, to the price performance of gold, as represented by the Bloomberg Composite Gold Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

 

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

Fund NAV

    20.52      8.98      6.94       20.52      53.69      43.74

Fund Market

    20.76        8.93        6.94         20.76        53.36        43.70  

Index

    21.01        9.28        7.22               21.01        55.84        45.71  

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

 

LOGO

The inception date of the Fund was June 6, 2018. The first day of secondary market trading was June 8, 2018.

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        $     994.30        $     0.90             $     1,000.00        $     1,024.30        $     0.92          0.18

 

  (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. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio.

 

 

 

U N D    U M M A R Y

  9


Fund Summary as of October 31, 2023 (continued)    iShares® Gold Strategy ETF

 

Portfolio Management Commentary

The Fund finished the reporting period in positive territory, reflecting the increase in the price of gold over the 12 months. The Fund’s performance was approximately in line with the broader gold market, as represented by the Bloomberg Composite Gold Index, due to its composition as a mix of gold futures and exchange-traded products linked to or backed by gold.

Given continued strength in economic growth and inflation that remained above its 2% target, the U.S. Federal Reserve (the Fed) raised its benchmark overnight lending rate six times over the course of the 12-month period, bringing the fed funds target from a range of 3.0-3.25% to 5.25%-5.50%. In addition, the Fed indicated that rates were likely to stay “higher for longer”. Against this backdrop, Treasury yields finished the period higher across the maturity spectrum. To illustrate, the two-year Treasury yield rose from 4.51% to 5.07% while the 10-year yield rose from 4.10% to 4.88%. U.S. consumer price inflation generally moved lower over the period, posting a year-over-year increase of 3.7% in September of 2023 versus 8.2% 12 months earlier.

The price of gold finished the period higher despite rising yields on U.S. bonds, which generally reduce gold’s relative attractiveness as an investment as the metal does not pay interest. Gold was supported by a relative stabilizing of the U.S. dollar relative to other currencies. Because gold is priced in U.S. dollars, a rising dollar makes it more expensive for foreign investors to purchase gold. The demand backdrop for gold was mixed over the period, while gold ETFs saw outflows. Gold prices spiked late in the period as the conflict between Israel and Hamas escalated.

Portfolio Information

 

PORTFOLIO COMPOSITION

 

Investment Type   Percent of
Net Assets
 

Commercial Paper

    38.8

U.S. Treasury Obligations

    31.1  

Certificates of Deposit

    1.8  

Grantor Trust

    18.7  

Money Market Funds

    8.1  

Cash

    3.6  

Futures

    0.1  

Other assets, less liabilities

    (2.2

COMMODITY-LINKED FUTURES

 

Sector Exposure(a)   Percent of
Net Assets
 

Gold Futures

    75.8

 

  (a) 

Exposures are calculated as the current notional value of the futures contracts as a percentage of net assets.

 

 

 

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Fund Summary as of October 31, 2023    iShares® GSCI Commodity Dynamic Roll Strategy ETF

 

Investment Objective

The iShares GSCI Commodity Dynamic Roll Strategy ETF (the “Fund”) seeks to track the investment results of an index composed of a broad range of commodity exposures with enhanced roll selection, on a total return basis, as represented by the S&P GSCI Dynamic Roll (USD) Total Return Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

 

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

Fund NAV

    (3.47 )%       5.77      0.75       (3.47 )%       32.39      7.03

Fund Market

    (2.93      5.85        0.77         (2.93      32.86        7.23  

Index

    (3.19      6.24        (1.49             (3.19      35.36        (12.70

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

The inception date of the Fund was October 15, 2014. The first day of secondary market trading was October 16, 2014.

Index performance through January 30, 2020 reflects the performance of the S&P GSCI Dynamic Roll Reduced Energy 70/30 Futures/Equity Blend Total Return Index. Index performance beginning on January 31, 2020 reflects the performance of the S&P GSCI Dynamic Roll (USD) Total Return 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
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        $     1,054.40        $ 1.92             $ 1,000.00        $ 1,023.30        $ 1.89          0.37

 

  (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

  11


Fund Summary as of October 31, 2023 (continued)    iShares® GSCI Commodity Dynamic Roll Strategy ETF

 

Portfolio Management Commentary

The Fund uses a mix of commodities futures designed to provide total returns consistent with investment in a broad variety of commodities.

Given continued strength in economic growth and inflation that remained above its 2% target, the U.S. Federal Reserve (the Fed) raised its benchmark overnight lending rate six times over the course of the 12-month period, bringing the fed funds target from a range of 3.0-3.25% to 5.25%-5.50%. Against this policy backdrop, U.S. consumer price inflation generally moved lower over the period, posting a year-over-year increase of 3.7% in September of 2023 versus 8.2% 12 months earlier.

Exposure via futures to commodities such as sugar, live cattle and gold were the largest contributors to the Fund’s performance over the 12 months. Conversely, exposure to natural gas, wheat and corn weighed most heavily on performance. Adverse weather and supply concerns have impacted agricultural commodity futures; in this vein, poor growing conditions sustained higher prices for sugar. Gold performed well despite a stronger dollar, positive stock market performance and rising interest rates. The performance leadership of gold relative to industrial metals, grains and energy suggested a recessionary path for the economy.

Portfolio Information

 

PORTFOLIO COMPOSITION

 

Investment Type    
Percent of
Net Assets
 
 

Commercial Paper

    48.3

U.S. Treasury Obligations

    24.7  

Certificates of Deposit

    12.4  

Money Market Funds

    9.4  

Cash

    16.6  

Futures

    (3.5

Other assets, less liabilities

    (7.9

COMMODITY-LINKED FUTURES

 

Sector Exposure(a)    
Percent of
Net Assets
 
 

Energy Futures

    60.1

Agriculture Futures

    16.8  

Industrial Metals Futures

    10.0  

Livestock Futures

    7.7  

Gold Futures

    4.8  

Precious Metals Futures

    0.5  

 

  (a) 

Exposures are calculated as the current notional value of the futures contracts as a percentage of net assets.

 

 

 

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


Fund Summary as of October 31, 2023    iShares® Transition-Enabling Metals ETF

 

The iShares Transition-Enabling Metals ETF (the “Fund”) seeks to track the investment results of an index that provides exposure to metals that are essential to a wide range of clean energy technologies supporting the transition to a low-carbon economy, as represented by the ICE Clean Energy Transition Metals Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

 

    Cumulative Total Returns  
    

Since

Inception

 

Fund NAV

    (0.34 )% 

Fund Market

    (0.48

Index

    (0.22

For the fiscal period ended October 31, 2023, the Fund did not have six months of performance and therefore line graphs are not presented.

The inception date of the Fund was September 26, 2023. The first day of secondary market trading was September 28, 2023.

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
(09/26/23)
 
 
(a)  
      

Ending
Account Value
(10/31/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(b)  
           

Beginning
Account Value
(05/01/23)
 
 
 
      

Ending
Account Value
(10/31/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(b)  
      

Annualized
Expense
Ratio
 
 
 
  $    1,000.00        $     996.60        $ 0.42             $ 1,000.00        $ 1,023.00        $ 2.24          0.44

 

  (a) 

Commencement of operations.

 
  (b) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 35/365 for actual expenses and 184/365 for hypothetical expenses (to reflect the six month 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.

 

Portfolio Information

 

PORTFOLIO COMPOSITION

 

Investment Type    
Percent of
Net Assets
 
 

U.S. Treasury Obligations

    38.7

Commercial Paper

    26.0  

Certificates of Deposit

    10.0  

Money Market Funds

    20.8  

Cash

    9.7  

Futures

    1.0  

Other assets, less liabilities

    (6.2

COMMODITY-LINKED FUTURES

 

Sector Exposure(a)    
Percent of
Net Assets
 
 

Industrial Metals Futures

    74.7

Precious Metals Futures

    25.1  

 

  (a) 

Exposures are calculated as the current notional value of the futures contracts as a percentage of net assets.

 

 

 

U N D    U M M A R Y

  13


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.

 

 

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


Consolidated Schedule of Investments

October 31, 2023

  

iShares® Bloomberg Roll Select Commodity Strategy ETF

(Percentages shown are based on Net Assets)

 

Security   Par 
(000)
    Value  

Certificates of Deposit

   

Mizuho Bank Ltd., 5.65%, 11/17/23,

   

(1-day SOFR + 0.340%)(a)

  $   3,000     $ 3,000,322  
   

 

 

 

Total Certificates of Deposit — 1.0%
(Cost: $3,000,883)

      3,000,322  
   

 

 

 

Commercial Paper

   

Amcor Finance USA Inc., 5.50%, 11/17/23

    5,700       5,685,233  

American Electric Power Co. Inc., 5.44%, 11/08/23

    2,120       2,117,439  

Aquitaine Funding Co. LLC, 5.32%, 11/01/23

    4,000       3,999,409  

Bedford Row Funding Corp., 5.57%, 01/22/24

    3,000       2,961,965  

Bell Telephone Co. of Canada or Bell Canada (The), 5.51%, 11/16/23

    1,500       1,496,336  

Britannia Funding Co. LLC, 5.60%, 01/18/24

    3,000       2,963,572  

Brookfield Corporate Treasury Ltd., 5.49%, 11/07/23

    3,370       3,366,409  

Canadian National Railway Co.
5.41%, 11/08/23

    3,376       3,371,947  

5.43%, 11/15/23

    3,000       2,993,233  

Eli Lilly & Co., 5.32%, 11/14/23

    3,310       3,303,166  

Estee Lauder Cos. Inc. (The), 5.43%, 12/11/23

    3,750       3,726,972  

Evergy Missouri West Inc., 5.53%, 11/21/23

    4,000       3,987,146  

Fidelity National Information Services Inc.
5.44%, 11/07/23

    1,000       998,944  

5.47%, 11/13/23

    5,000       4,990,139  

GTA Funding LLC, 5.36%, 11/14/23

    4,000       3,991,680  

Hyundai Capital America, 5.41%, 11/07/23

    4,900       4,894,855  

Intercontinental Exchange Inc., 5.67%, 11/15/23

    5,000       4,988,215  

John Deere Capital Corp., 5.43%, 01/10/24

    4,000       3,957,650  

Lime Funding LLC, 5.37%, 11/20/23

    1,000       997,024  

LSEGA Financing PLC, 5.62%, 11/28/23

    2,750       2,738,030  

Marriott International Inc.
5.51%, 11/03/23

    2,390       2,388,904  

5.60%, 11/17/23

    3,000       2,992,086  

Mercedes-Benz Finance North America LLC
5.30%, 11/02/23

    3,600       3,598,939  

5.31%, 11/03/23

    1,750       1,749,226  

Microchip Technology Inc., 5.60%, 11/07/23

    2,650       2,647,120  

Nestle Finance International Ltd., 5.37%, 01/22/24

    1,750       1,728,613  

NextEra Energy Capital Holdings Inc.
5.47%, 11/13/23

    3,250       3,243,597  

5.48%, 11/14/23

    3,000       2,993,623  

Penske Truck Leasing Co. LP, 5.50%, 11/02/23

    5,000       4,998,471  

RTX Corp.
5.43%, 11/06/23

    3,000       2,997,286  

5.51%, 11/20/23

    2,380       2,372,731  

Salisbury Receivables Co. LLC, 5.34%, 11/09/23

    3,000       2,996,000  

Siemens Capital Co. LLC, 5.33%, 12/04/23

    2,500       2,487,483  

Sony Capital Corp., 5.46%, 11/08/23

    3,500       3,495,757  

Spire Inc.
5.43%, 11/03/23

    500       499,774  

5.50%, 11/17/23

    3,410       3,401,165  

5.57%, 11/28/23

    1,000       995,684  

Security  

Par 

(000)

    Value  

5.62%, 12/11/23

  $ 1,000     $ 993,667  

Telstra Group Ltd., 5.74%, 01/16/24

    2,000       1,975,748  

Toyota Credit de Puerto Rico Corp., 5.32%, 11/07/23

    5,750       5,744,063  

Toyota Industries Commercial Finance Inc., 5.30%, 11/01/23

    6,000       5,999,116  

Unilever Finance Netherlands BV, 5.32%, 11/08/23

    1,500       1,498,230  

United Overseas Bank Ltd., 5.35%, 11/14/23

    3,000       2,993,767  

United Parcel Service Inc., 5.46%, 01/29/24

    3,500       3,453,102  

Verizon Communications Inc.
5.60%, 12/05/23

    5,000       4,972,924  

5.62%, 12/11/23

    1,000       993,643  

Versailles Commercial Paper LLC, 5.42%, 12/07/23

    4,500       4,475,088  

VW Credit Inc.
5.42%, 11/01/23

    3,000       2,999,548  

5.49%, 11/16/23

    2,300       2,294,398  
   

 

 

 

Total Commercial Paper — 52.0%
(Cost: $150,904,594)

      151,509,117  
   

 

 

 

U.S. Treasury Obligations(b)

   

U.S. Treasury Bill
5.34%, 11/02/23

    16,000       15,997,665  

5.39%, 11/07/23

    10,000       9,991,200  

5.40%, 11/28/23

    12,000       11,952,390  

5.41%, 12/12/23

    10,000       9,939,753  

5.42%, 11/14/23

    10,000       9,980,902  

5.44%, 01/11/24

    14,000       13,853,730  

5.47%, 11/09/23

    10,000       9,988,231  

5.47%, 12/07/23

    21,000       20,889,120  

5.48%, 12/21/23

    6,000       5,955,813  
   

 

 

 

Total U.S. Treasury Obligations — 37.3%
(Cost: $109,169,954)

      108,548,804  
   

 

 

 
     Shares         

Money Market Funds

   

BlackRock Cash Funds: Treasury, SL Agency Shares, 5.33%(c)(d)

    13,440,000       13,440,000  
   

 

 

 

Total Money Market Funds — 4.6%
(Cost: $13,440,000)

      13,440,000  
   

 

 

 

Total Investments — 94.9%
(Cost: $276,515,431)

      276,498,243  

Other Assets Less Liabilities — 5.1%

      14,813,733  
   

 

 

 

Net Assets — 100.0%

    $  291,311,976  
   

 

 

 

 

(a) 

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

(b) 

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

(c) 

Affiliate of the Fund.

(d) 

Annualized 7-day yield as of period end.

 

 

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

  15


Consolidated Schedule of Investments  (continued)

October 31, 2023

  

iShares® Bloomberg Roll Select Commodity Strategy  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 Cash Funds: Treasury, SL Agency Shares

  $ 34,050,000     $     $ (20,610,000 )(a)    $     $     $ 13,440,000       13,440,000     $ 1,256,599     $ 37  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

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

           

Bloomberg Roll Select Commodity Index

     10,763        12/20/23      $ 290,547      $ (6,041,071
           

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

 

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

 

 

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Unrealized depreciation on futures contracts(a)

   $ 6,041,071      $      $      $      $      $      $ 6,041,071  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts are reported in the Consolidated Schedule of Investments. In the Consolidated 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 Consolidated 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

                    

Futures contracts

   $ (29,276,078    $      $      $      $      $      $ (29,276,078
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                    

Futures contracts

   $ (1,065,525    $      $      $      $      $      $ (1,065,525
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — long

   $ 324,319,568  

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

 

 

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


Consolidated Schedule of Investments  (continued)

October 31, 2023

  

iShares® Bloomberg Roll Select Commodity Strategy  ETF

 

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 Consolidated Financial Statements.

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

 

 
     Level 1        Level 2        Level 3        Total  

 

 

Assets

                 

Investments

                 

Long-Term Investments

                 

Certificates of Deposit

   $        $ 3,000,322        $        $ 3,000,322  

Commercial Paper

              151,509,117                   151,509,117  

U.S. Treasury Obligations

              108,548,804                   108,548,804  

Short-Term Securities

                 

Money Market Funds

     13,440,000                            13,440,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 13,440,000        $ 263,058,243        $         —        $ 276,498,243  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Liabilities

                 

Commodity Contracts

   $ (6,041,071      $        $        $ (6,041,071
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 

See notes to Consolidated Financial Statements

 

 

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

  17


Consolidated Schedule of Investments

October 31, 2023

  

iShares® Commodity Curve Carry Strategy ETF

(Percentages shown are based on Net Assets)

 

Security  

Par 

(000)

    Value  

Certificates of Deposit

   

Bank of America N.A., 5.68%, 03/27/24

  $ 250     $ 250,024  

Credit Agricole Corporate & Investment Bank, 5.58%, 02/02/24, (1-day SOFR + 0.270%)(a)

    250       250,025  

Mitsubishi UFJ Trust & Banking Corp., 5.60%, 01/05/24

    250       250,055  

Mizuho Bank Ltd., 5.65%, 11/17/23,
(1-day SOFR + 0.340%)(a)

    250       250,027  

Nordea Bank Abp, 5.72%, 03/01/24

    250       250,104  

Wells Fargo Bank N.A., 6.10%, 09/04/24,
(1-day SOFR + 0.600%)(a)

    250       250,177  
   

 

 

 

Total Certificates of Deposit — 5.5%
(Cost: $1,500,061)

          1,500,412  
   

 

 

 

Commercial Paper

   

Amcor Finance USA Inc., 5.50%, 11/17/23

            350       349,093  

American Honda Finance Corp., 5.75%, 01/22/24

    400       394,763  

ANZ New Zealand International Ltd., 5.75%, 06/17/24

    250       241,146  

Barton Capital SA, 5.46%, 12/08/23

    250       248,569  

Bay Square Funding LLC, 5.50%, 01/02/24

    250       247,615  

BPCE SA, 5.87%, 06/06/24

    250       241,375  

Britannia Funding Co. LLC, 5.60%, 01/18/24

    300       296,357  

Brookfield Corporate Treasury Ltd., 5.49%, 11/07/23

    250       249,734  

Brookfield Infrastructure Holdings Canada Inc., 5.45%, 11/08/23

    260       259,686  

Canadian National Railway Co., 5.43%, 11/15/23

    250       249,436  

CDP Financial Inc., 5.88%, 10/04/24

    250       236,892  

Citigroup Global Markets Inc., 5.94%, 09/16/24

    250       237,419  

Eli Lilly & Co., 5.32%, 11/14/23

    250       249,484  

Estee Lauder Cos. Inc. (The), 5.43%, 12/11/23

    250       248,465  

Federation des Caisses Desjardins du Quebec, 5.66%, 02/28/24

    250       245,373  

Fidelity National Information Services Inc.

   

5.44%, 11/07/23

    250       249,736  

5.47%, 11/13/23

    250       249,507  

5.58%, 12/01/23

    250       248,805  

GTA Funding LLC, 5.68%, 02/21/24

    250       245,624  

Hyundai Capital America, 5.41%, 11/07/23

    500       499,475  

Intercontinental Exchange Inc., 5.67%, 11/15/23

    250       249,411  

Lloyds Bank PLC, 5.70%, 03/01/24

    250       245,258  

Marriott International Inc., 5.51%, 11/03/23

    250       249,885  

Mercedes-Benz Finance North America LLC, 5.30%, 11/02/23

    250       249,926  

NextEra Energy Capital Holdings Inc., 5.47%, 11/13/23

    300       299,409  

Oversea-Chinese Banking Corp. Ltd., 5.62%, 01/19/24

    250       246,919  

Penske Truck Leasing Co. LP, 5.50%, 11/02/23

    500       499,847  

RTX Corp., 5.43%, 11/06/23

    300       299,729  

Sony Capital Corp., 5.46%, 11/08/23

    260       259,685  
Security  

Par 

(000)

    Value  

Spire Inc., 5.50%, 11/17/23

  $ 250     $ 249,352  

Telstra Group Ltd., 5.74%, 01/16/24

    250       246,968  

Toyota Credit de Puerto Rico Corp., 5.32%, 11/07/23

    250       249,742  

Toyota Industries Commercial Finance Inc., 5.30%, 11/01/23

    250       249,963  

Unilever Finance Netherlands BV, 5.32%, 11/08/23

    250       249,705  

United Overseas Bank Ltd., 5.35%, 11/14/23

    300       299,377  

United Parcel Service Inc., 5.43%, 01/17/24

    250       247,091  

Verizon Communications Inc., 5.60%, 12/05/23

    250       248,646  

VW Credit Inc., 5.42%, 11/01/23

    250       249,962  
   

 

 

 

Total Commercial Paper — 38.0%
(Cost: $10,406,133)

      10,379,429  
   

 

 

 

U.S. Treasury Obligations(b)

   

U.S. Treasury Bill

   

5.39%, 11/07/23

    500       499,560  

5.40%, 11/28/23

    350       348,611  

5.41%, 06/13/24

    750       725,731  

5.42%, 11/14/23

    750       748,568  

5.44%, 01/11/24

    2,500           2,473,880  

5.47%, 11/09/23

    750       749,117  

5.47%, 12/07/23

    1,000       994,720  

5.50%, 03/07/24

    1,000       981,259  
   

 

 

 

Total U.S. Treasury Obligations — 27.6%
(Cost: $7,495,458)

      7,521,446  
   

 

 

 
     Shares         

Money Market Funds

   

BlackRock Cash Funds: Treasury, SL Agency Shares, 5.33%(c)(d)

    7,810,000       7,810,000  
   

 

 

 

Total Money Market Funds — 28.6%
(Cost: $7,810,000)

      7,810,000  
   

 

 

 

Total Investments — 99.7%
(Cost: $27,211,652)

      27,211,287  

Other Assets Less Liabilities — 0.3%

      78,588  
   

 

 

 

Net Assets — 100.0%

    $ 27,289,875  
   

 

 

 

 

(a) 

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

(b) 

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

(c) 

Affiliate of the Fund.

(d) 

Annualized 7-day yield as of period end.

 

 

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


Consolidated Schedule of Investments (continued)

October 31, 2023

   iShares® Commodity Curve Carry Strategy 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 Cash Funds: Treasury, SL Agency Shares

  $ 8,760,000      $     —      $ (950,000 )(a)    $     —      $     —      $ 7,810,000        7,810,000      $ 424,719      $     7    
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

   

 

  (a) 

Represents net amount purchased (sold).

 

OTC Total Return Swaps

 

Paid by the Fund  

Received by the Fund

  Counterparty   Effective
Date
     Termination
Date
   

Notional
Amount (000)

    Value     

Upfront
Premiums

Paid
(Received)

    

Unrealized

Appreciation
(Depreciation)

 
Rate(a)    Frequency   Reference(b)   Frequency
5.33%    At Termination  

ICE BofA Commodity Enhanced Carry Total Return Index

  At Termination   Citibank N.A.     N/A        02/29/24       USD        12,475       $112,430        $(109,292      $221,722  
5.33%    At Termination  

ICE BofA Commodity Enhanced Carry Total Return Index

  At Termination   Merrill Lynch International     N/A        08/30/24       USD        13,213       117,641        (117,206      234,847  
5.33%    At Termination  

ICE BofA Commodity Enhanced Carry Total Return Index

  At Termination   Merrill Lynch International     N/A        08/30/24       USD        1,129       (42,321      (5,969      (36,352
                    

 

 

    

 

 

    

 

 

 
                       $187,750        $(232,467      $420,217  
                    

 

 

    

 

 

    

 

 

 

 

  (a) 

Represents 3-month Treasury Bill. Rate shown is the rate in effect as of period-end.

 
  (b) 

Please refer to the Reference Entity below for more details.

 

Reference Entity

The ICE BofA Commodity Enhanced Carry Total Return Index consists of futures contracts under each counterparty. The following table represents the individual long positions and related weighting of the future contracts underlying the ICE BofA Commodity Enhanced Carry Total Return Index as of October 31, 2023.

 

 

 
Futures contracts    Maturity date        Weight %  

 

 

Brent Crude Oil

     10/31/2024          24.5

LME Copper

     12/17/2024          16.0  

Soybeans

     11/14/2024          11.3  

Gas Oil

     12/12/2024          10.6  

RBOB Gasoline

     5/31/2024          7.0  

Sugar

     9/30/2024          6.7  

WTI Crude Oil

     11/20/2024          6.4  

LME PRI Aluminum

     12/17/2024          4.6  

Coffee

     5/20/2024          4.5  

Cotton

     3/06/2024          3.3  

LME Zinc

     12/17/2024          3.1  

Live Cattle

     6/28/2024          1.9  

Balances Reported in the Statements of Assets and Liabilities for Total Return Swaps

 

Description    Swap Premiums
Paid
     Swap Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
 

Total Return Swaps

   $      $ (232,467    $ 456,569      $ (36,352

 

 

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

  19


Consolidated Schedule of Investments (continued)

October 31, 2023

  

iShares® Commodity Curve Carry Strategy  ETF

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Consolidated 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

                    

Swaps — OTC

                    

Unrealized appreciation on OTC swaps; Swap premiums paid

   $ 456,569      $      $      $      $      $      $    456,569  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Swaps — OTC

                    

Unrealized depreciation on OTC swaps; Swap premiums received

   $ 268,819      $      $      $      $      $      $ 268,819  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended October 31, 2023, the effect of derivative financial instruments in the Consolidated 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

                    

Swaps

   $ 1,016,923      $      $      $      $      $      $ 1,016,923  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                    

Swaps

   $ 1,080,414      $      $      $      $      $      $ 1,080,414  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   
Total return swaps:       

Average notional value

   $ 25,974,225  

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

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:

       

Swaps - OTC(a)

   $ 456,569        $ 268,819  
  

 

 

      

 

 

 

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

     456,569          268,819  

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

               
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

     456,569          268,819  
  

 

 

      

 

 

 

 

  (a) 

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.

 

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

 

 

 
Counterparty     



Derivative
Assets
Subject to

an MNA by
Counterparty

 
 
 


 

      

Derivatives
Available

for Offset

 
 

(a)  

    

Non-Cash
Collateral
Received
 
 
 
      

Cash
Collateral
Received
 
 
(b) 
    

Net Amount
of Derivative
Assets
 
 
(c)  

 

 

Citibank N.A.

   $ 221,722        $ (109,292    $        $ (112,430    $  

Merrill Lynch International

     234,847          (159,527                      75,320  
  

 

 

      

 

 

    

 

 

      

 

 

    

 

 

 
   $ 456,569        $ (268,819    $        $ (112,430    $ 75,320  
  

 

 

      

 

 

    

 

 

      

 

 

    

 

 

 

 

 

20  

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Consolidated Schedule of Investments (continued)

October 31, 2023

  

iShares® Commodity Curve Carry Strategy ETF

 

 

 
Counterparty     



Derivative
Liabilities
Subject to

an MNA by
Counterparty

 
 
 


 

      

Derivatives
Available

for Offset

 
 

(a)  

    

Non-Cash
Collateral
Pledged
 
 
 
      

Cash
Collateral
Pledged
 
 
 
      

Net Amount
of Derivative
Liabilities
 
 
(d)  

 

 

Citibank N.A.

   $ 109,292        $ (109,292    $        $        $  

Merrill Lynch International

     159,527          (159,527                         
  

 

 

      

 

 

    

 

 

      

 

 

      

 

 

 
   $ 268,819        $ (268,819    $        $        $  
  

 

 

      

 

 

    

 

 

      

 

 

      

 

 

 

 

  (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) 

Excess of collateral received/pledged, if any, from the individual counterparty is not shown for financial reporting purposes.

 
  (c) 

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

 
  (d) 

Net amount represents the net amount payable due to the counterparty in the event of default.

 

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 Consolidated Financial Statements.

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

 

 
     Level 1        Level 2        Level 3        Total  

 

 

Assets

                 

Investments

                 

Long-Term Investments

                 

Certificates of Deposit

   $        $ 1,500,412        $        $ 1,500,412  

Commercial Paper

              10,379,429                   10,379,429  

U.S. Treasury Obligations

              7,521,446                   7,521,446  

Short-Term Securities

                 

Money Market Funds

     7,810,000                            7,810,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 7,810,000        $ 19,401,287        $        $ 27,211,287  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Assets

                 

Commodity Contracts

   $        $ 456,569        $        $ 456,569  

Liabilities

                 

Commodity Contracts

              (36,352                 (36,352
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ 420,217        $          420,217  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 

See notes to Consolidated Financial Statements

 

 

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

  21


Consolidated Schedule of Investments  

October 31, 2023

  

iShares® Gold Strategy ETF

(Percentages shown are based on Net Assets)

 

Security  

Par 

(000)

    Value  

Certificates of Deposit

   

Mizuho Bank Ltd., 5.65%, 11/17/23,
(1-day SOFR + 0.340%)(a)

  $     450     $ 450,048  

MUFG Bank Ltd., 5.70%, 11/29/23,
(1-day SOFR + 0.380%)(a)

    500       500,091  
   

 

 

 

Total Certificates of Deposit — 1.8%
(Cost: $950,228)

      950,139  
   

 

 

 

Commercial Paper

   

Amcor Finance USA Inc.

   

5.50%, 11/17/23

    500       498,705  

5.52%, 11/20/23

    260       259,205  

American Honda Finance Corp., 5.75%, 01/22/24

    750       740,181  

Aquitaine Funding Co. LLC, 5.32%, 11/01/23

    350       349,948  

Barton Capital SA, 5.46%, 12/08/23

    410       407,653  

Bedford Row Funding Corp., 5.57%, 01/22/24

    500       493,661  

Bell Telephone Co. of Canada or Bell Canada (The), 5.51%, 11/16/23

    250       249,389  

Britannia Funding Co. LLC, 5.60%, 01/18/24

    500       493,929  

Brookfield Corporate Treasury Ltd., 5.49%, 11/07/23

    470       469,499  

Brookfield Infrastructure Holdings Canada Inc., 5.45%, 11/08/23

    480       479,420  

Canadian National Railway Co., 5.43%, 11/15/23

    750       748,308  

Eli Lilly & Co., 5.32%, 11/14/23

    450       449,071  

Estee Lauder Cos. Inc. (The), 5.43%, 12/11/23

    250       248,465  

Fidelity National Information Services Inc.

   

5.44%, 11/07/23

    450           449,525  

5.47%, 11/13/23

    500       499,014  

5.58%, 12/01/23

    500       497,610  

Hyundai Capital America, 5.41%, 11/07/23

    750       749,212  

Intercontinental Exchange Inc., 5.67%, 11/15/23

    410       409,034  

John Deere Capital Corp.

   

5.43%, 01/10/24

    250       247,353  

5.46%, 01/22/24

    480       474,037  

LSEGA Financing PLC, 5.62%, 11/28/23

    250       248,912  

Marriott International Inc., 5.60%, 11/17/23

    600       598,417  

Mercedes-Benz Finance North America LLC

   

5.30%, 11/02/23

    470       469,862  

5.31%, 11/03/23

    250       249,890  

Microchip Technology Inc., 5.60%, 11/07/23

    300       299,674  

Nestle Finance International Ltd., 5.37%, 01/22/24

    750       740,834  

NextEra Energy Capital Holdings Inc.

   

5.47%, 11/13/23

    450       449,113  

5.48%, 11/14/23

    350       349,256  

Pure Grove Funding, 5.60%, 01/23/24

    500       493,551  

RTX Corp.

   

5.43%, 11/06/23

    500       499,548  

5.51%, 11/20/23

    250       249,236  

Siemens Capital Co. LLC, 5.33%, 12/04/23

    250       248,748  

Sony Capital Corp., 5.46%, 11/08/23

    500       499,394  

Spire Inc.

   

5.57%, 11/28/23

    250       248,921  

5.62%, 12/11/23

    500       496,833  

Telstra Group Ltd., 5.74%, 01/16/24

    250       246,968  

Toyota Credit de Puerto Rico Corp., 5.32%, 11/07/23

    500       499,484  

Toyota Industries Commercial Finance Inc., 5.30%, 11/01/23

    500       499,926  

Unilever Finance Netherlands BV, 5.32%, 11/08/23

    250       249,705  

United Overseas Bank Ltd., 5.35%, 11/14/23

    450       449,065  
Security  

Par 

(000)

    Value  

United Parcel Service Inc.

   

5.43%, 01/17/24

  $ 500     $ 494,183  

5.46%, 01/29/24

    400       394,640  

Verizon Communications Inc.

   

5.60%, 12/05/23

    500       497,292  

5.62%, 12/11/23

    330       327,902  

Versailles Commercial Paper LLC, 5.42%, 12/07/23

    500       497,232  

Volvo Treasury North America LP

   

5.74%, 01/18/24

    250       246,892  

5.76%, 01/24/24

    480       473,565  

VW Credit Inc., 5.42%, 11/01/23

    500       499,925  
   

 

 

 

Total Commercial Paper — 38.8%
(Cost: $20,807,347)

      20,732,187  
   

 

 

 

U.S. Treasury Obligations(b)

   

U.S. Treasury Bill

   

5.34%, 11/02/23

    1,000       999,854  

5.39%, 11/07/23

    500       499,560  

5.40%, 11/28/23

    750       747,025  

5.41%, 06/13/24

    1,000       967,641  

5.42%, 11/14/23

    1,500       1,497,135  

5.44%, 01/11/24

    4,000       3,958,209  

5.47%, 11/09/23

    750       749,117  

5.47%, 12/07/23

    2,750       2,735,480  

5.47%, 01/18/24

    1,500       1,482,734  

5.48%, 02/15/24

    1,000       984,375  

5.50%, 03/07/24

    2,000       1,962,517  
   

 

 

 

Total U.S. Treasury Obligations — 31.1%
(Cost: $16,510,536)

      16,583,647  
   

 

 

 
     Shares     Value  

Grantor Trust — 18.7%

   

Grantor Trust —

   

iShares Gold Trust(c)(d)

    266,172       10,005,405  
   

 

 

 

Total Grantor Trust
(Cost: $9,129,499)

      10,005,405  
   

 

 

 

Money Market Funds

   

BlackRock Cash Funds: Treasury, SL Agency Shares, 5.33%(c)(e)

    4,340,000       4,340,000  
   

 

 

 

Total Money Market Funds — 8.1%
(Cost: $4,340,000)

      4,340,000  
   

 

 

 

Total Investments — 98.5%
(Cost: $51,737,610)

      52,611,378  

Other Assets Less Liabilities — 1.5%

      798,363  
   

 

 

 

Net Assets — 100.0%

    $ 53,409,741  
   

 

 

 

 

(a) 

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

(b) 

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

(c) 

Affiliate of the Fund.

(d) 

Non-income producing security.

(e) 

Annualized 7-day yield as of period end.

 

 

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


Consolidated Schedule of Investments (continued)

October 31, 2023

  

iShares® Gold Strategy 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 Cash Funds: Treasury, SL Agency Shares

   $ 350,000      $ 3,990,000 (a)     $      $      $      $ 4,340,000        4,340,000      $ 192,289      $ 2  

iShares Gold Trust

     6,213,349        14,518,595        (12,587,929      649,253        1,212,137        10,005,405        266,172                
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 
            $     649,253      $     1,212,137      $ 14,345,405         $ 192,289      $             2  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

  (a) 

Represents net amount purchased (sold).

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

                 

Gold 100 OZ

     203          12/27/23        $ 40,484        $     38,908  
                 

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure    

As of period end, the fair values of derivative financial instruments located in the Consolidated 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

                    

Futures contracts

                    

Unrealized appreciation on futures contracts(a)

   $ 38,908      $      $      $      $      $      $ 38,908  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts are reported in the Consolidated Schedule of Investments. In the Consolidated 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 Consolidated 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

                    

Futures contracts

   $ 2,476,635      $      $      $      $      $      $ 2,476,635  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                    

Futures contracts

   $ 1,682,122      $      $      $      $      $      $ 1,682,122  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments    

 

Futures contracts:

        

Average notional value of contracts — long

   $ 34,191,503  

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

 

 

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

  23


Consolidated Schedule of Investments (continued)

October 31, 2023

  

iShares® Gold Strategy ETF

 

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 Consolidated Financial Statements.

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Certificates of Deposit

   $        $ 950,139        $        $ 950,139  

Commercial Paper

              20,732,187                   20,732,187  

U.S. Treasury Obligations

              16,583,647                   16,583,647  

Grantor Trust

     10,005,405                            10,005,405  

Short-Term Securities

                 

Money Market Funds

     4,340,000                            4,340,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 14,345,405        $ 38,265,973        $        $ 52,611,378  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Assets

                 

Commodity Contracts

   $ 38,908        $        $         —        $ 38,908  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 

See notes to Consolidated Financial Statements

 

 

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


Consolidated Schedule of Investments

October 31, 2023

  

iShares® GSCI Commodity Dynamic Roll Strategy ETF

(Percentages shown are based on Net Assets)

 

Security  

Par 

(000)

    Value  

Certificates of Deposit

   

Banco Santander SA, 5.88%, 02/16/24

  $ 7,000     $ 6,990,011  

Bank of Montreal, 5.93%, 04/12/24

        2,500       2,500,741  

Bayerische Landesbank, 5.95%, 01/11/24, (1-day SOFR + 0.635%)(a)

    8,000           8,006,261  

BNP Paribas SA, 5.70%, 03/04/24

    3,000       2,999,594  

Canadian Imperial Bank of Commerce

   

5.40%, 02/08/24

    4,000       3,996,661  

5.95%, 07/22/24, (1-day SOFR + 0.640%)(a)

    5,000       5,007,118  

Credit Agricole Corporate & Investment Bank, 5.58%, 02/02/24, (1-day SOFR + 0.270%)(a)

    4,000       4,000,404  

DNB Bank ASA

   

5.63%, 12/14/23

    3,160       3,160,754  

5.65%, 12/20/23

    3,840       3,841,118  

Lloyds Bank Corporate Markets PLC, 5.91%, 01/09/24, (1-day SOFR + 0.600%)(a)

    4,000       4,003,035  

Mizuho Bank Ltd.

   

5.57%, 11/02/23

    5,000       5,000,054  

5.74%, 01/31/24(a)

    2,000       2,001,174  

5.80%, 01/29/24

    6,500       6,501,669  

MUFG Bank Ltd., 5.70%, 11/29/23, (1-day SOFR + 0.380%)(a)

    2,000       2,000,363  

Royal Bank of Canada, 5.66%, 11/09/23, (1-day SOFR + 0.350%)(a)

    1,750       1,750,065  

Sumitomo Mitsui Banking Corp.

   

5.71%, 02/20/24, (1-day SOFR + 0.400%)(a)

    7,000       7,002,474  

5.73%, 02/27/24, (1-day SOFR + 0.420%)(a)

    2,000       2,000,868  

Sumitomo Mitsui Trust Bank Ltd., 5.70%, 01/18/24

    3,500       3,500,063  

Svenska Handelsbanken AB, 5.66%, 11/06/23, (1-day SOFR + 0.350%)(a)

    4,000       4,000,169  

Svenska Handelsbanken/New York NY, 5.86%, 04/29/24, (1-day SOFR + 0.550%)(a)

    4,000       4,003,346  

Toronto-Dominion Bank, 6.00%, 10/02/24

    5,000       5,002,453  

Wells Fargo Bank N.A., 6.10%, 09/04/24, (1-day SOFR + 0.600%)(a)

    5,000       5,003,546  

Wells Fargo Bank NA, 5.95%, 07/08/24, (1-day SOFR + 0.640%)(a)

    4,000       4,005,118  

Westpac Banking Corp., 5.63%, 11/06/23, (1-day SOFR + 0.320%)(a)

    3,000       3,000,099  
   

 

 

 

Total Certificates of Deposit — 12.4%
(Cost: $99,252,661)

          99,277,158  
   

 

 

 

Commercial Paper

   

Amcor Flexibles North America Inc., 5.71%, 11/29/23

    8,750       8,712,025  

American Electric Power Co. Inc., 5.44%, 11/08/23

    5,000       4,993,960  

Australia & New Zealand Banking Group Ltd.

   

5.39%, 12/01/23

    10,000       9,953,827  

5.75%, 07/30/24

    3,000       2,874,667  

Bank of Nova Scotia, 5.81%, 06/11/24

    6,000       5,790,558  

Barton Capital SA, 5.46%, 12/08/23

    5,000       4,971,373  

Bedford Row Funding Corp., 5.57%, 01/22/24

    8,000       7,898,574  

Bell Telephone Co. of Canada or Bell Canada (The), 5.51%, 11/16/23

    3,500       3,491,451  

BPCE SA, 5.87%, 06/06/24

    6,930       6,690,916  

Brookfield Corporate Treasury Ltd., 5.49%, 11/07/23

    8,720       8,710,708  

Brookfield Infrastructure Holdings Canada Inc., 5.45%, 11/08/23

    8,540       8,529,675  

Canadian National Railway Co., 5.43%, 11/15/23

    3,000       2,993,233  
Security  

Par 

(000)

    Value  

CDP Financial Inc.

   

5.48%, 01/05/24

  $ 6,500     $ 6,435,316  

5.81%, 06/07/24

    1,081       1,043,962  

Citigroup Global Markets Inc.

   

5.86%, 06/06/24

        3,000           2,896,760  

5.94%, 09/16/24

    5,000       4,748,372  

5.95%, 09/23/24

    6,670       6,327,150  

Commonwealth Bank of Australia, 5.81%, 07/26/24

    4,750       4,552,288  

Estee Lauder Cos. Inc. (The), 5.43%, 12/11/23

    6,500       6,460,084  

Evergy Missouri West Inc., 5.53%, 11/21/23

    6,000       5,980,719  

Federation des Caisses Desjardins du Quebec, 5.66%, 02/28/24

    1,750       1,717,608  

Fidelity National Information Services Inc.

   

5.44%, 11/07/23

    3,500       3,496,305  

5.47%, 11/13/23

    8,500       8,483,236  

5.58%, 12/01/23

    3,000       2,985,657  

FMS Wertmanagement

   

5.69%, 05/02/24

    4,000       3,886,970  

5.69%, 05/03/24

    4,000       3,886,362  

GlaxoSmithKline LLC

   

5.33%, 11/06/23

    3,000       2,997,336  

5.34%, 11/10/23

    7,000       6,989,626  

GTA Funding LLC, 5.68%, 02/21/24

    9,750       9,579,351  

Hyundai Capital America, 5.41%, 11/07/23

    9,800       9,789,710  

Intercontinental Exchange Inc., 5.67%, 11/15/23

    5,000       4,988,215  

Lime Funding LLC, 5.37%, 11/20/23

    2,750       2,741,816  

Lloyds Bank PLC, 5.70%, 03/01/24

    6,810       6,680,840  

L’Oreal SA, 5.37%, 11/20/23

    5,000       4,985,132  

LSEGA Financing PLC, 5.62%, 11/28/23

    6,000       5,973,883  

LVMH Moet Hennessy Louis Vuitton SE

   

5.50%, 02/09/24

    4,637       4,566,511  

5.51%, 02/12/24

    1,904       1,874,169  

5.61%, 03/21/24

    3,500       3,424,254  

5.72%, 05/23/24

    1,237       1,198,005  

5.74%, 07/26/24

    1,750       1,678,073  

Macquarie Bank Ltd., 5.88%, 05/16/24

    2,750       2,663,848  

Mercedes-Benz Finance North America LLC, 5.31%, 11/03/23

    10,000       9,995,580  

MUFG Bank Ltd., 5.37%, 12/08/23

    6,000       5,966,162  

National Australia Bank Ltd., 5.81%, 04/12/24, (1-day SOFR + 0.500%)(a)(b)

    5,000       5,003,310  

National Bank of Canada, 5.53%, 01/16/24

    5,000       4,941,505  

NextEra Energy Capital Holdings Inc.

   

5.47%, 11/13/23

    4,500       4,491,134  

5.48%, 11/14/23

    9,000       8,980,870  

Penske Truck Leasing Co. LP

   

5.50%, 11/02/23

    9,000       8,997,249  

5.51%, 11/03/23

    4,500       4,497,936  

Pure Grove Funding

   

5.36%, 11/14/23

    6,250       6,237,000  

5.53%, 01/08/24

    5,000       4,947,550  

Ryder System Inc., 5.49%, 11/16/23

    2,250       2,244,519  

Salisbury Receivables Co. LLC, 5.34%, 11/09/23

    5,000       4,993,333  

Sanofi SA, 5.64%, 04/08/24

    6,809       6,642,356  

Societe Generale SA, 5.61%, 03/06/24

    10,000       9,805,890  

Sony Capital Corp., 5.46%, 11/08/23

    10,000       9,987,877  

Spire Inc.

   

5.43%, 11/03/23

    1,250       1,249,435  

5.57%, 11/28/23

    3,000       2,987,053  

5.62%, 12/11/23

    8,500       8,446,167  

Suncorp-Metway Ltd., 6.19%, 04/29/24

    3,300       3,200,448  

Toyota Credit de Puerto Rico Corp., 5.32%, 11/07/23

    5,750       5,744,063  

 

 

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

  25


Consolidated Schedule of Investments (continued)

October 31, 2023

  

iShares® GSCI Commodity Dynamic Roll Strategy ETF

(Percentages shown are based on Net Assets)

 

Security  

Par 

(000)

    Value  

Toyota Industries Commercial Finance Inc.

   

5.30%, 11/01/23

  $ 8,000     $ 7,998,822  

5.52%, 01/26/24

    5,000           4,934,218  

Toyota Motor Credit Corp., 5.56%, 02/23/24

    8,000       7,860,509  

Unilever Finance Netherlands BV, 5.32%, 11/08/23

    4,250       4,244,984  

United Parcel Service Inc., 5.43%, 01/17/24

    7,250       7,165,646  

Verizon Communications Inc.

   

5.60%, 12/05/23

        10,000       9,945,847  

5.62%, 12/11/23

    3,000       2,980,928  

VW Credit Inc.

   

5.42%, 11/01/23

    6,250       6,249,059  

5.49%, 11/16/23

    7,380       7,362,024  
   

 

 

 

Total Commercial Paper — 48.3%
(Cost: $386,815,533)

      386,743,999  
   

 

 

 

U.S. Treasury Obligations(c)

   

U.S. Treasury Bill

   

5.21%, 04/18/24

    8,000       7,800,007  

5.34%, 11/02/23

    14,000       13,997,957  

5.39%, 11/07/23

    9,000       8,992,080  

5.40%, 11/28/23

    5,000       4,980,163  

5.41%, 12/12/23

    5,000       4,969,876  

5.41%, 06/13/24

    12,000       11,611,687  

5.42%, 11/14/23

    15,000       14,971,353  

5.44%, 01/11/24

    15,000       14,843,282  

5.45%, 05/16/24

    12,000       11,655,152  

5.46%, 11/24/23

    20,000       19,932,434  

5.47%, 11/09/23

    20,000       19,976,463  

5.47%, 12/07/23

    15,000       14,920,800  

5.47%, 01/18/24

    12,000       11,861,875  

5.48%, 12/21/23

    3,000       2,977,906  
Security  

Par 

(000)

    Value  

5.48%, 02/15/24

  $ 8,000     $ 7,875,003  

5.50%, 03/07/24

    10,000       9,812,587  

5.51%, 03/14/24

    7,000       6,861,554  

5.53%, 04/04/24

    10,000       9,771,106  
   

 

 

 

Total U.S. Treasury Obligations — 24.7%
(Cost: $197,827,199)

      197,811,285  
   

 

 

 
     Shares         

Money Market Funds

   

BlackRock Cash Funds: Treasury, SL Agency Shares, 5.33%(d)(e)

    75,490,095       75,490,095  
   

 

 

 

Total Money Market Funds — 9.4%
(Cost: $75,490,095)

      75,490,095  
   

 

 

 

Total Investments — 94.8%
(Cost: $759,385,488)

      759,322,537  

Other Assets Less Liabilities — 5.2%

      42,002,526  
   

 

 

 

Net Assets — 100.0%

    $  801,325,063  
   

 

 

 

 

(a) 

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

(b) 

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

(c) 

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

(d) 

Affiliate of the Fund.

(e) 

Annualized 7-day yield as of period end.

Affiliates    

Investments in issuers considered to be affiliate(s) of the Fund during the 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: Treasury, SL Agency Shares

  $ 207,400,095     $     $ (131,910,000 )(a)    $     $     $ 75,490,095       75,490,095     $ 4,518,408     $ 131  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

Derivative Financial Instruments Outstanding as of Period End    

Futures Contracts    

 

Description   

Number of

Contracts

    

Expiration

Date

    

Notional

Amount

(000)

    

Value/

Unrealized

Appreciation

(Depreciation)

 

Long Contracts

           

Brent Crude Oil

     1,913        11/30/23      $ 162,643      $ (9,928,713

NY Harbor ULSD (Heat Oil)

     321        11/30/23        39,233        (3,257,666

RBOB Gasoline

     352        11/30/23        32,781        (4,735,679

 

 

26  

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


Consolidated Schedule of Investments (continued)

October 31, 2023

  

iShares® GSCI Commodity Dynamic Roll Strategy  ETF

 

Futures Contracts (continued)

 

Description   

Number of

Contracts

    

Expiration

Date

    

Notional

Amount

(000)

    

Value/

Unrealized

Appreciation

(Depreciation)

 

Cotton

     194        12/06/23      $ 7,878      $ (364,811

Gas

     572        12/12/23        48,663        8,789,761  

Lean Hogs

     432        12/14/23        12,394        (589,001

Coffee

     101        12/18/23        6,336        282,376  

LME Lead

     80        12/18/23        4,173        (29,404

WTI Crude Oil

     2,161        12/19/23        173,961        (12,114,730

Silver

     32        12/27/23        3,672        (386,957

LME Nickel

     62        01/15/24        6,733        (967,978

LME PRI Aluminum

     486        01/15/24        27,342        357,509  

Live Cattle

     113        01/25/24        13,402        (868,723

LME Zinc

     97        02/19/24        5,898        (136,243

Natural Gas

     705        02/27/24        24,449        1,071,576  

Cocoa

     93        03/13/24        3,578        421,372  

Wheat KCBT

     299        03/14/24        9,587        (2,042,671

Gold 100 OZ

     186        06/26/24        38,208        134,357  

Live Cattle

     495        06/28/24        35,793        (1,841,876

Sugar

     625        06/28/24        17,234        268,167  

Wheat

     689        07/12/24        21,333        (3,029,753

Soybean

     447        11/14/24        28,312        505,618  

Corn

     1,574        12/13/24        40,373        (97,167

LME Copper

     171        12/15/25        36,395        284,214  
           

 

 

 
            $ (28,276,422
           

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure    

As of period end, the fair values of derivative financial instruments located in the Consolidated 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

                    

Futures contracts

                    

Unrealized appreciation on futures contracts(a)

   $ 12,114,950      $      $      $      $      $      $ 12,114,950  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Futures contracts

                    

Unrealized depreciation on futures contracts(a)

   $ 40,391,372      $      $      $      $      $      $ 40,391,372  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Net cumulative unrealized appreciation (depreciation) on futures contracts are reported in the Consolidated Schedule of Investments. In the Consolidated 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 Consolidated 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

                    

Futures contracts

   $ (117,935,537    $      $      $      $      $      $ (117,935,537
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                    

Futures contracts

   $ (37,977,676    $      $      $      $      $      $ (37,977,676
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

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

  27


Consolidated Schedule of Investments (continued)

October 31, 2023

  

iShares® GSCI Commodity Dynamic Roll Strategy  ETF

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments    

 

   

Futures contracts:

  

Average notional value of contracts — long

   $ 891,639,799  

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

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 Consolidated Financial Statements.    

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.    

 

      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Certificates of Deposit

   $        $ 99,277,158        $        $ 99,277,158  

Commercial Paper

              386,743,999                   386,743,999  

U.S. Treasury Obligations

              197,811,285                   197,811,285  

Short-Term Securities

                 

Money Market Funds

     75,490,095                            75,490,095  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 75,490,095        $ 683,832,442        $        $ 759,322,537  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Assets

                 

Commodity Contracts

   $ 12,114,950        $        $        $ 12,114,950  

Liabilities

                 

Commodity Contracts

     (40,391,372                          (40,391,372
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ (28,276,422      $        $             —          (28,276,422
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 

See notes to Consolidated Financial Statements

 

 

28  

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


Consolidated Schedule of Investments  

October 31, 2023

  

iShares® Transition-Enabling Metals ETF

(Percentages shown are based on Net Assets)

 

Security  

Par 

(000)

    Value  

Certificates of Deposit

   

Bank of America NA, 5.78%, 06/12/24

  $     250     $ 249,672  

Bank of Nova Scotia, 6.00%, 10/18/24

    250       250,161  

Citibank N.A., 5.92%, 07/26/24

    250       249,986  

Lloyds Bank Corporate Markets PLC, 5.95%, 07/24/24

    250       250,042  

MUFG Bank Ltd., 5.70%, 11/29/23, (1-day SOFR + 0.380%)(a)

    250       250,046  
   

 

 

 

Total Certificates of Deposit — 10.0%
(Cost: $1,249,647)

      1,249,907  
   

 

 

 

Commercial Paper

   

Amcor Flexibles North America Inc., 5.71%, 11/29/23

    250       248,855  

Bell Telephone Co. of Canada or Bell Canada (The), 5.47%, 11/02/23

    250       249,924  

Fidelity National Information Services Inc., 5.58%, 12/01/23

    250       248,805  

GTA Funding LLC, 5.36%, 11/16/23

    250       249,405  

Mercedes-Benz Finance North America LLC, 5.31%, 11/03/23

    250       249,890  

NextEra Energy Capital Holdings Inc., 5.61%, 12/07/23

    250       248,568  

PPG Industries Inc., 5.43%, 11/03/23

    250       249,887  

Sony Capital Corp., 5.47%, 11/10/23

    250       249,620  

Spire Inc., 5.62%, 12/11/23

    250       248,417  

Toyota Industries Commercial Finance Inc., 5.54%, 02/09/24

    250       246,175  

United Parcel Service Inc., 5.46%, 01/29/24

    250       246,650  

Verizon Communications Inc., 5.60%, 12/05/23

    250       248,646  

VW Credit Inc., 5.42%, 11/01/23

    250       249,962  
   

 

 

 

Total Commercial Paper — 26.0%
(Cost: $3,251,281)

          3,234,804  
   

 

 

 

U.S. Treasury Obligations(b)

   

U.S. Treasury Bill
5.39%, 11/07/23

    500       499,560  
Security  

Par 

(000)

    Value  

5.40%, 11/28/23

  $ 500     $ 498,016  

5.41%, 12/05/23

    500       497,501  

5.42%, 11/14/23

    750       748,568  

5.44%, 11/16/23

    850       848,134  

5.47%, 01/23/24

    500       493,872  

5.48%, 02/06/24

    250       246,418  

5.50%, 01/04/24

    500       495,289  

5.50%, 03/07/24

    500       490,629  
   

 

 

 

Total U.S. Treasury Obligations — 38.7%
(Cost: $4,801,811)

      4,817,987  
   

 

 

 
     Shares         

Money Market Funds

   

BlackRock Cash Funds: Treasury, SL Agency Shares, 5.33%(c)(d)

    2,590,000       2,590,000  
   

 

 

 

Total Money Market Funds — 20.8%
(Cost: $2,590,000)

      2,590,000  
   

 

 

 

Total Investments — 95.5%
(Cost: $11,892,739)

      11,892,698  

Other Assets Less Liabilities — 4.5%

      564,895  
   

 

 

 

Net Assets — 100.0%

    $ 12,457,593  
   

 

 

 

 

(a) 

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

(b) 

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

(c) 

Affiliate of the Fund.

(d) 

Annualized 7-day yield as of period end.

Affiliates    

Investments in issuers considered to be affiliate(s) of the Fund during the period ended 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
09/26/23
 
(a) 
   

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: Treasury, SL Agency Shares

  $     $ 2,590,000 (b)    $      $      $      $ 2,590,000        2,590,000      $ 14,614      $    
          

 

 

    

 

 

    

 

 

       

 

 

    

 

 

   

 

  (a) 

Commencement of operations.

 
  (b) 

Represents net amount purchased (sold).

 

 

 

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

  29


Consolidated Schedule of Investments  (continued)

October 31, 2023

  

iShares® Transition-Enabling Metals ETF

 

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

                 

LME Nickel

     12          01/15/24        $ 1,303        $ (37,905

LME PRI Aluminum

     58          01/15/24          3,263          40,330  

LME Zinc

     16          01/15/24          971          (21,225

Platinum

     12          01/29/24          567          19,670  

LME Cobalt Fastmarket

     2          01/31/24          75          (2,339

Copper

     40          03/26/24          3,686          28,296  

Silver

     22          03/26/24          2,562          92,727  
                 

 

 

 
                  $ 119,554  
                 

 

 

 

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

                    
 

Futures contracts

                    
 

Unrealized appreciation on futures contracts(a)

   $ 181,023      $      $      $      $      $      $ 181,023  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
 

Liabilities — Derivative Financial Instruments

                    
 

Futures contracts

                    
 

Unrealized depreciation on futures contracts(a)

   $ 61,469      $      $      $      $      $      $ 61,469  
    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
 

(a) Net cumulative unrealized appreciation (depreciation) on futures contracts are reported in the Consolidated Schedule of Investments. In the Consolidated 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

                   
 

Futures contracts

   $ (187,988   $      $      $      $      $      $ (187,988
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
 

Net Change in Unrealized Appreciation (Depreciation) on

                   
 

Futures contracts

   $ 119,554     $      $      $      $      $      $ 119,554  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments    

 

   

Futures contracts:

  

Average notional value of contracts — long

   $ 12,427,389  

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

 

 

30  

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


Consolidated Schedule of Investments  (continued)

October 31, 2023

  

iShares® Transition-Enabling Metals ETF

 

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

                 

Certificates of Deposit

   $        $ 1,249,907        $        $ 1,249,907  

Commercial Paper

              3,234,804                   3,234,804  

U.S. Treasury Obligations

              4,817,987                   4,817,987  

Short-Term Securities

                 

Money Market Funds

     2,590,000                            2,590,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $   2,590,000        $   9,302,698        $             —        $ 11,892,698  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Assets

                 

Commodity Contracts

   $ 181,023        $        $        $ 181,023  

Liabilities

                 

Commodity Contracts

     (61,469                          (61,469
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 119,554        $        $          119,554  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 

See notes to Consolidated Financial Statements    

 

 

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

  31


 

Consolidated Statements of Assets and Liabilities

October 31, 2023

 

    

iShares

Bloomberg

Roll Select

Commodity

Strategy ETF

    

iShares

Commodity

Curve Carry

Strategy ETF

    

iShares

Gold

Strategy ETF

    

iShares

GSCI

Commodity

Dynamic Roll

Strategy ETF

 

ASSETS

          

Investments, at value — unaffiliated(a)

  $ 263,058,243      $ 19,401,287      $ 38,265,973      $ 683,832,442  

Investments, at value — affiliated(b)

    13,440,000        7,810,000        14,345,405        75,490,095  

Cash

    8,235        5,017        150,340        120,718  

Cash pledged for futures contracts

    19,103,000               1,751,000        132,682,000  

Receivables:

          

Dividends — affiliated

    71,417        43,872        24,823        1,202,144  

Interest — unaffiliated

    7,057        587        1,059        319  

Variation margin on futures contracts

    140,029                       

Unrealized appreciation on OTC swaps

           456,569                
 

 

 

    

 

 

    

 

 

    

 

 

 

Total assets

    295,827,981        27,717,332        54,538,600        893,327,718  
 

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

          

Cash received as collateral for OTC swaps

           150,000                

Payables:

          

Investments purchased

    4,446,768               891,474        17,158,192  

Investment advisory fees

    69,237        8,638        8,011        325,224  

Variation margin on futures contracts

                  229,374        74,519,239  

Swap premiums received

           232,467                

Unrealized depreciation on OTC swaps

           36,352                
 

 

 

    

 

 

    

 

 

    

 

 

 

Total liabilities

    4,516,005        427,457        1,128,859        92,002,655  
 

 

 

    

 

 

    

 

 

    

 

 

 

Commitments and contingent liabilities

          

NET ASSETS

  $ 291,311,976      $ 27,289,875      $ 53,409,741      $ 801,325,063  
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS CONSIST OF

          

Paid-in capital

  $ 286,086,589      $ 24,659,873      $ 46,438,520      $ 849,289,196  

Accumulated earnings (loss)

    5,225,387        2,630,002        6,971,221        (47,964,133
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS

  $ 291,311,976      $ 27,289,875      $ 53,409,741      $ 801,325,063  
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSET VALUE

          

Shares outstanding

    5,650,000        1,250,000        900,000        28,500,000  
 

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value

  $ 51.56      $ 21.83      $ 59.34      $ 28.12  
 

 

 

    

 

 

    

 

 

    

 

 

 

Shares authorized

    Unlimited        Unlimited        Unlimited        Unlimited  
 

 

 

    

 

 

    

 

 

    

 

 

 

Par value

    None        None        None        None  
 

 

 

    

 

 

    

 

 

    

 

 

 

(a)   Investments, at cost — unaffiliated

  $ 263,075,431      $ 19,401,652      $ 38,268,111      $ 683,895,393  

(b)   Investments, at cost — affiliated

  $ 13,440,000      $ 7,810,000      $ 13,469,499      $ 75,490,095  

See notes to Consolidated Financial Statements

 

 

32  

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


 

Consolidated Statements of Assets and Liabilities  (continued)

October 31, 2023

 

    

iShares

Transition-Enabling

Metals ETF

 

ASSETS

 

Investments, at value — unaffiliated(a)

  $ 9,302,698  

Investments, at value — affiliated(b)

    2,590,000  

Cash pledged for futures contracts

    1,214,000  

Receivables:

 

Dividends — affiliated

    20,532  
 

 

 

 

Total assets

    13,127,230  
 

 

 

 

LIABILITIES

 

Bank overdraft

    32,742  

Payables:

 

Investments purchased

    495,067  

Investment advisory fees

    3,774  

Variation margin on futures contracts

    138,054  
 

 

 

 

Total liabilities

    669,637  
 

 

 

 

Commitments and contingent liabilities

 

NET ASSETS

  $ 12,457,593  
 

 

 

 

NET ASSETS CONSIST OF

 

Paid-in capital

  $ 12,301,970  

Accumulated earnings

    155,623  
 

 

 

 

NET ASSETS

  $ 12,457,593  
 

 

 

 

NET ASSET VALUE

 

Shares outstanding

    500,000  
 

 

 

 

Net asset value

  $ 24.92  
 

 

 

 

Shares authorized

    Unlimited  
 

 

 

 

Par value

    None  
 

 

 

 

(a)   Investments, at cost — unaffiliated

  $ 9,302,739  

(b)   Investments, at cost — affiliated

  $ 2,590,000  

See notes to Consolidated Financial Statements    

 

 

O N S O L I D A T E D    I N A N C  I A L    T A T E M E N T S

  33


 

Consolidated Statements of Operations

Year Ended October 31, 2023

 

   

iShares

Bloomberg

Roll Select

Commodity

Strategy ETF

   

iShares

Commodity

Curve Carry

Strategy ETF

   

iShares

Gold

Strategy ETF

   

iShares

GSCI

Commodity

Dynamic Roll

Strategy ETF

 

 

 

INVESTMENT INCOME

       

Dividends — affiliated

  $ 1,256,599     $ 424,719     $ 192,289     $ 4,518,408  

Interest — unaffiliated

    14,407,750       892,357       1,373,503       50,792,136  

Foreign taxes withheld

                      7,729  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    15,664,349       1,317,076       1,565,792       55,318,273  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

       

Investment advisory

    905,336       110,856       104,916       5,367,745  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    905,336       110,856       104,916       5,367,745  

Less:

       

Investment advisory fees waived

    (24,786     (8,121     (28,379     (474,319
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived

    880,550       102,735       76,537       4,893,426  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    14,783,799       1,214,341       1,489,255       50,424,847  
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

       

Net realized gain (loss) from:

       

Investments — unaffiliated

    (1,120     (660     (313     171,869  

Investments — affiliated

                158,006        

Capital gain distributions from underlying funds — affiliated

    37       7       2       131  

Futures contracts

    (29,276,078           2,476,635       (117,935,537

In-kind redemptions — affiliated(a)

                491,247        

Swaps

          1,016,923              
 

 

 

   

 

 

   

 

 

   

 

 

 
    (29,277,161     1,016,270       3,125,577       (117,763,537
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments — unaffiliated

    19,574       4,382       1,476       1,058,942  

Investments — affiliated

                1,212,137        

Futures contracts

    (1,065,525           1,682,122       (37,977,676

Swaps

          1,080,414              
 

 

 

   

 

 

   

 

 

   

 

 

 
    (1,045,951     1,084,796       2,895,735       (36,918,734
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain (loss)

    (30,323,112     2,101,066       6,021,312       (154,682,271
 

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

  $ (15,539,313   $ 3,315,407     $ 7,510,567     $ (104,257,424
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

See Note 2 of the Notes to Financial Statements.    

See notes to Consolidated Financial Statements    

 

 

34  

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


 

Consolidated Statements of Operations  (continued)

Year Ended October 31, 2023

 

   

iShares

Transition-Enabling

Metals

ETF

 

 

 

(a)  

 

 

INVESTMENT INCOME

 

Dividends — affiliated

  $ 14,614  

Interest — unaffiliated

    32,933  
 

 

 

 

Total investment income

    47,547  
 

 

 

 

EXPENSES

 

Investment advisory

    4,492  
 

 

 

 

Total expenses

    4,492  

Less:

 

Investment advisory fees waived

    (261
 

 

 

 

Total expenses after fees waived

    4,231  
 

 

 

 

Net investment income

    43,316  
 

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

 

Net realized gain (loss) from:

 

Futures contracts

    (187,988
 

 

 

 
    (187,988
 

 

 

 

Net change in unrealized appreciation (depreciation) on:

 

Investments — unaffiliated

    (41

Futures contracts

    119,554  
 

 

 

 
    119,513  
 

 

 

 

Net realized and unrealized loss

    (68,475
 

 

 

 

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ (25,159
 

 

 

 

 

(a) 

For the period from September 26, 2023 (commencement of operations) to October 31, 2023.    

See notes to Consolidated Financial Statements    

 

 

O N S O L I D A T E D    I N A N C  I A L    T A T E M E N T S

  35


 

Consolidated Statements of Changes in Net Assets

 

    iShares
Bloomberg Roll Select Commodity
Strategy ETF
   

iShares
Commodity Curve Carry Strategy ETF

 
 

 

 

   

 

 
     

Year Ended

10/31/23

 

 

     
Year Ended
10/31/22
 
 
     
Year Ended
10/31/23
 
 
     
Year Ended
10/31/22
 
 

 

 

INCREASE (DECREASE) IN NET ASSETS

               

OPERATIONS

               

Net investment income

           $ 14,783,799               $ 2,802,355           $ 1,214,341               $ 215,782  

Net realized gain (loss)

      (29,277,161       25,994,873         1,016,270         9,106,199  

Net change in unrealized appreciation (depreciation)

      (1,045,951       (15,664,480       1,084,796         (4,514,622
   

 

 

     

 

 

     

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

      (15,539,313       13,132,748         3,315,407         4,807,359  
   

 

 

     

 

 

     

 

 

     

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

               

Decrease in net assets resulting from distributions to shareholders

      (12,597,356       (30,653,592       (9,342,441       (8,253,258
   

 

 

     

 

 

     

 

 

     

 

 

 

CAPITAL SHARE TRANSACTIONS

               

Net increase (decrease) in net assets derived from capital share transactions

      4,558,297         123,567,454         (2,946,795        
   

 

 

     

 

 

     

 

 

     

 

 

 

NET ASSETS

               

Total increase (decrease) in net assets

      (23,578,372       106,046,610         (8,973,829       (3,445,899

Beginning of year

      314,890,348         208,843,738         36,263,704         39,709,603  
   

 

 

     

 

 

     

 

 

     

 

 

 

End of year

    $ 291,311,976       $ 314,890,348       $ 27,289,875       $ 36,263,704  
   

 

 

     

 

 

     

 

 

     

 

 

 

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.    

See notes to Consolidated Financial Statements    

 

 

36  

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


 

Consolidated Statements of Changes in Net Assets  (continued)

 

   

iShares

Gold Strategy ETF

    iShares
  GSCI Commodity Dynamic Roll Strategy ETF  
 
 

 

 

   

 

 
          Year Ended
10/31/23
    Year Ended
10/31/22
        Year Ended
10/31/23
          Year Ended
10/31/22
 

 

 

INCREASE (DECREASE) IN NET ASSETS

             

OPERATIONS

                                

Net investment income

    $ 1,489,255     $ 247,905       $ 50,424,847       $ 15,953,017  

Net realized gain (loss)

      3,125,577       (2,405,989       (117,763,537       684,859,983  

Net change in unrealized appreciation (depreciation)

      2,895,735       (1,934,782       (36,918,734       (74,968,003
   

 

 

   

 

 

     

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

      7,510,567       (4,092,866       (104,257,424       625,844,997  
   

 

 

   

 

 

     

 

 

     

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

             

Decrease in net assets resulting from distributions to shareholders

      (338,128             (514,790,044       (426,344,721
   

 

 

   

 

 

     

 

 

     

 

 

 

CAPITAL SHARE TRANSACTIONS

             

Net increase (decrease) in net assets derived from capital share transactions

      11,463,927       8,870,593         (938,775,903       (665,137,244
   

 

 

   

 

 

     

 

 

     

 

 

 

NET ASSETS

             

Total increase (decrease) in net assets

      18,636,366       4,777,727         (1,557,823,371       (465,636,968

Beginning of year

      34,773,375       29,995,648         2,359,148,434         2,824,785,402  
   

 

 

   

 

 

     

 

 

     

 

 

 

End of year

    $ 53,409,741     $ 34,773,375       $ 801,325,063       $ 2,359,148,434  
   

 

 

   

 

 

     

 

 

     

 

 

 

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.    

See notes to Consolidated Financial Statements    

 

 

O N S O L I D A T E D    I N A N C  I A L    T A T E M E N T S

  37


 

Consolidated Statements of Changes in Net Assets  (continued)

 

   

iShares

Transition-Enabling
Metals ETF

 
 

 

 

 
   

Period From

09/26/23

to 10/31/23

 

(a)  

 

 

 

INCREASE (DECREASE) IN NET ASSETS

 

OPERATIONS

 

Net investment income

  $ 43,316  

Net realized loss

    (187,988

Net change in unrealized appreciation (depreciation)

    119,513  
 

 

 

 

Net decrease in net assets resulting from operations

    (25,159
 

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(b)

 

Decrease in net assets resulting from distributions to shareholders

     
 

 

 

 

CAPITAL SHARE TRANSACTIONS

 

Net increase in net assets derived from capital share transactions

    12,482,752  
 

 

 

 

NET ASSETS

 

Total increase in net assets

    12,457,593  

Beginning of period

     
 

 

 

 

End of period

  $ 12,457,593  
 

 

 

 

 

(a) 

Commencement of operations.

(b) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to Consolidated Financial Statements    

 

 

38  

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


Consolidated Financial Highlights

(For a share outstanding throughout each period)

 

    iShares Bloomberg Roll Select Commodity Strategy ETF  
 

 

 
     

Year Ended

10/31/23

 

 

     

Year Ended

10/31/22

 

 

      

Year Ended

10/31/21

 

 

      

Year Ended

10/31/20

 

 

     

Year Ended

10/31/19

 

 

 

 

Net asset value, beginning of year

    $ 56.23       $ 59.67        $ 41.91        $ 45.01       $ 47.77  
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Net investment income (loss)(a)

      2.39         0.53          (0.09        0.23         1.05  

Net realized and unrealized gain (loss)(b)

      (4.89       3.99          17.92          (2.33       (3.05
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Net increase (decrease) from investment operations

      (2.50       4.52          17.83          (2.10       (2.00
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Distributions from net investment income(c)

      (2.17       (7.96        (0.07        (1.00       (0.76
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Net asset value, end of year

    $ 51.56       $ 56.23        $ 59.67        $ 41.91       $ 45.01  
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Total Return(d)

                     

Based on net asset value

      (4.72 )%        9.78        42.59        (4.81 )%        (4.19 )% 
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Ratios to Average Net Assets(e)

                     

Total expenses

      0.28       0.28        0.28        0.28       0.28
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Total expenses after fees waived

      0.27       0.27        0.27        0.27       0.19
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Net investment income (loss)

      4.57       0.91        (0.16 )%         0.55       2.30
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Supplemental Data

                     

Net assets, end of year (000)

    $ 291,312       $ 314,890        $ 208,844        $ 41,912       $ 27,004  
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Portfolio turnover rate(f)

      0       0        0        0       0
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

 

(a) 

Based on average shares outstanding.

(b) 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.    

(c) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) 

Where applicable, assumes the reinvestment of distributions.

(e) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(f) 

Portfolio turnover rate excludes in-kind transactions.

See notes to Consolidated Financial Statements    

 

 

O N S O L I D A T E D    I N A N C  I A L    I G H L I G H T S

  39


Consolidated Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

          iShares Commodity Curve Carry Strategy ETF  
 

 

 

 
                Period From  
      Year Ended          Year Ended          Year Ended          09/01/20 (a)  
      10/31/23          10/31/22          10/31/21          to 10/31/20  

 

 

Net asset value, beginning of period

    $ 25.90        $ 28.36        $ 19.45        $ 20.16  
   

 

 

      

 

 

      

 

 

      

 

 

 

Net investment income (loss)(b)

      0.92          0.15          (0.07        (0.01

Net realized and unrealized gain (loss)(c)

      1.68          3.29          8.98          (0.70
   

 

 

      

 

 

      

 

 

      

 

 

 

Net increase (decrease) from investment operations

      2.60          3.44          8.91          (0.71
   

 

 

      

 

 

      

 

 

      

 

 

 

Distributions from net investment income(d)

      (6.67        (5.90                  
   

 

 

      

 

 

      

 

 

      

 

 

 

Net asset value, end of period

    $ 21.83        $ 25.90        $ 28.36        $ 19.45  
   

 

 

      

 

 

      

 

 

      

 

 

 

Total Return(e)

                  

Based on net asset value

      12.80        15.79        45.81        (3.52 )%(f) 
   

 

 

      

 

 

      

 

 

      

 

 

 

Ratios to Average Net Assets(g)

                  

Total expenses

      0.40        0.40        0.40        0.40 %(h) 
   

 

 

      

 

 

      

 

 

      

 

 

 

Total expenses after fees waived

      0.37        0.38        0.39        0.00 %(h) 
   

 

 

      

 

 

      

 

 

      

 

 

 

Net investment income (loss)

      4.38        0.57        (0.28 )%         (0.28 )%(h) 
   

 

 

      

 

 

      

 

 

      

 

 

 

Supplemental Data

                  

Net assets, end of period (000)

    $ 27,290        $ 36,264        $ 39,710        $ 29,178  
   

 

 

      

 

 

      

 

 

      

 

 

 

Portfolio turnover rate(i)

      0        0        0        0
   

 

 

      

 

 

      

 

 

      

 

 

 

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

(d) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(e) 

Where applicable, assumes the reinvestment of distributions.

(f) 

Not annualized.

(g) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(h) 

Annualized.

(i) 

Portfolio turnover rate excludes in-kind transactions.

See notes to Consolidated Financial Statements

 

 

40  

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


Consolidated Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

        iShares Gold Strategy ETF  
 

 

 
     
Year Ended
10/31/23
 
 
     
Year Ended
10/31/22
 
 
      
Year Ended
10/31/21
 
 
      
Year Ended
10/31/20
 
 
     
Year Ended
10/31/19
 
 

 

 

Net asset value, beginning of year

         $ 49.68          $ 54.54           $ 62.75           $ 57.41              $ 46.76  
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Net investment income (loss)(a)

      2.03         0.38          (0.07        0.13         0.82  

Net realized and unrealized gain (loss)(b)

      8.11         (5.24        (3.67        10.47         10.20  
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Net increase (decrease) from investment operations

      10.14         (4.86        (3.74        10.60         11.02  
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Distributions from net investment income(c)

      (0.48                (4.47        (5.26       (0.37
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Net asset value, end of year

    $ 59.34       $ 49.68        $ 54.54        $ 62.75       $ 57.41  
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Total Return(d)

                     

Based on net asset value

      20.52       (8.92 )%         (6.21 )%         20.64       23.74
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Ratios to Average Net Assets(e)

                     

Total expenses

      0.25       0.25        0.25        0.25       0.25
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Total expenses after fees waived

      0.18       0.17        0.13        0.13       0.18
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Net investment income (loss)

      3.55       0.69        (0.12 )%         0.22       1.58
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Supplemental Data

                     

Net assets, end of year (000)

    $ 53,410       $ 34,773        $ 29,996        $ 21,964       $ 8,612  
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Portfolio turnover rate(f)

      101       52        121        77       47
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

 

(a) 

Based on average shares outstanding.

(b) 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

(c) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) 

Where applicable, assumes the reinvestment of distributions.

(e) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(f) 

Portfolio turnover rate excludes in-kind transactions.

See notes to Consolidated Financial Statements

 

 

O N S O L I D A T E D    I N A N C  I A L    I G H L I G H T S

  41


Consolidated Financial Highlights  (continued)

(For a share outstanding throughout each period)

 

        iShares GSCI Commodity Dynamic Roll Strategy ETF  
 

 

 
     
Year Ended
10/31/23
 
 
     
Year Ended
10/31/22
 
 
      
Year Ended
10/31/21
 
 
      
Year Ended
10/31/20
 
 
     
Year Ended
10/31/19
 
 

 

 

Net asset value, beginning of year

         $ 37.93          $ 37.41           $ 24.27           $ 31.80              $ 37.18  
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Net investment income (loss)(a)

      1.33         0.21          (0.13        0.26         0.76  

Net realized and unrealized gain (loss)(b)

      (2.74       5.80          13.37          (6.93       (3.04
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Net increase (decrease) from investment operations

      (1.41       6.01          13.24          (6.67       (2.28
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Distributions from net investment income(c)

      (8.40       (5.49        (0.10        (0.86       (3.10
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Net asset value, end of year

    $ 28.12       $ 37.93        $ 37.41        $ 24.27       $ 31.80  
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Total Return(d)

                     

Based on net asset value

      (3.47 )%        19.92        54.75        (21.66 )%        (5.87 )% 
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Ratios to Average Net Assets(e)

                     

Total expenses

      0.48       0.48        0.48        0.48       0.48
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Total expenses after fees waived

      0.44       0.48        0.48        0.48       0.48
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Net investment income (loss)

      4.51       0.54        (0.38 )%         0.95       2.32
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Supplemental Data

                     

Net assets, end of year (000)

    $ 801,325       $ 2,359,148        $ 2,824,785        $ 196,558       $ 518,373  
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

Portfolio turnover rate(f)

      0       0        0        5       32
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

 

(a) 

Based on average shares outstanding.

(b) 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

(c) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(d) 

Where applicable, assumes the reinvestment of distributions.

(e) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(f) 

Portfolio turnover rate excludes in-kind transactions.

See notes to Consolidated Financial Statements

 

 

42  

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Consolidated Financial Highlights  (continued)

(For a share outstanding throughout the period)

 

    iShares
Transition-Enabling
Metals
ETF
 
     

Period

From

09/26/23

to

10/31/23

 

 

(a) 

 

 

 

 

Net asset value, beginning of period

    $ 25.00  
   

 

 

 

Net investment income(b)

      0.11  

Net realized and unrealized loss(c)

      (0.19
   

 

 

 

Net decrease from investment operations

                       (0.08
   

 

 

 

Net asset value, end of period

    $ 24.92  
   

 

 

 

Total Return(d)

   

Based on net asset value

      (0.34 )%(e) 
   

 

 

 

Ratios to Average Net Assets(f)

   

Total expenses

      0.47 %(g) 
   

 

 

 

Total expenses after fees waived

      0.44 %(g) 
   

 

 

 

Net investment income

      4.38 %(g) 
   

 

 

 

Supplemental Data

   

Net assets, end of period (000)

    $ 12,458  
   

 

 

 

Portfolio turnover rate(h)

      0
   

 

 

 

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

(d) 

Where applicable, assumes the reinvestment of distributions.

(e) 

Not annualized.

(f) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(g) 

Annualized.

(h) 

Portfolio turnover rate excludes in-kind transactions.

See notes to Consolidated Financial Statements

 

 

O N S O L I D A T E D    I N A N C  I A L    I G H L I G H T S

  43


Notes to Consolidated Financial Statements

 

1.    ORGANIZATION

iShares U.S. ETF Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust and is authorized to have multiple series or portfolios.

These consolidated financial statements relate only to the following funds (each, a “Fund” and collectively, the “Funds”):

 

iShares ETF   Diversification
Classification
 

Bloomberg Roll Select Commodity Strategy(a)

    Diversified  

Commodity Curve Carry Strategy

    Non-diversified  

Gold Strategy

    Non-diversified    

GSCI Commodity Dynamic Roll Strategy

    Diversified  

Transition-Enabling Metals(b)

    Non-diversified  

 

  (a) 

The Fund’s classification changed from non-diversified to diversified during the reporting period.

 
  (b) 

The Fund commenced operations on September 26, 2023.

 

Basis of Consolidation: The accompanying consolidated financial statements for each Fund include the accounts of its wholly-owned subsidiary in the Cayman Islands (each, a “Subsidiary”) that invests in certain “commodity-linked instruments” and cash and cash equivalents in accordance with each Fund’s investment objective. In compliance with Sub-chapter M of the Internal Revenue Code of 1986, as amended, each Fund may invest up to 25% of its total assets in its Subsidiary. Intercompany accounts and transactions, if any, have been eliminated. Each Fund’s commodity-linked instruments held in its Subsidiary are intended to provide the Fund with exposure to applicable commodity markets or commodities consistent with current U.S. federal income tax laws applicable to investment companies such as the Fund. Each Subsidiary has the same investment objective as its Fund.

2.    SIGNIFICANT ACCOUNTING POLICIES

The consolidated financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the consolidated financial statements, disclosure of contingent assets and liabilities at the date of the consolidated financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend date. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.

ForeignTaxes: Certain Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Fund invests. These foreign taxes, if any, are paid by each Fund and are reflected in its Consolidated Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Other foreign taxes”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of October 31, 2023, if any, are disclosed in the Consolidated Statements of Assets and Liabilities.

The Funds file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Funds may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Consolidated Statements of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.

Collateralization: If required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.

In-kind Redemptions: For financial reporting purposes, in-kind redemptions are treated as sales of securities resulting in realized capital gains or losses to the Funds. Because such gains or losses are not taxable to the Funds and are not distributed to existing Fund shareholders, the gains or losses are reclassified from accumulated net realized gain (loss) to paid-in capital at the end of the Funds’ tax year. These reclassifications have no effect on net assets or net asset value (“NAV”) per share.

Distributions: Dividends and distributions paid by each Fund are recorded on the ex-dividend dates. Distributions are determined on a tax basis and may differ from net investment income and net realized capital gains for financial reporting purposes. Dividends and distributions are paid in U.S. dollars and cannot be automatically reinvested in additional shares of the Funds.

Net income and realized gains from investments held by each Subsidiary are treated as ordinary income for tax purposes. If a net loss is realized by the Subsidiary in any taxable year, the loss will generally not be available to offset the Fund’s ordinary income and/or capital gains for that year.

 

44  

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Notes to Consolidated Financial Statements  (continued)

 

Indemnifications: In the normal course of business, each Fund enters into contracts that contain a variety of representations that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown because it involves future potential claims against the Funds, which cannot be predicted with any certainty.

3.    INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the consolidated financial statements) each day that the Fund’s listing exchange is open and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of the Trust (the “Board”) of each Fund has approved the designation of BlackRock Fund Advisors (“BFA”), the Funds’ investment adviser, as the valuation designee for each Fund. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under BFA’s policies. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with BFA’s policies and procedures as reflecting fair value. BFA has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:

 

   

Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last traded price.

 

   

Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Pricing services generally value fixed income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless BFA determines such method does not represent fair value.

 

   

Exchange-traded funds and closed-end funds traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the fund is primarily traded. Funds traded on a recognized exchange for which there were no sales on that day may be valued at the last traded price.

 

   

Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV.

 

   

Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded.

 

   

Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments.

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee, in accordance with BFA’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.

Fair value pricing could result in a difference between the prices used to calculate a fund’s NAV and the prices used by the fund’s underlying index, which in turn could result in a difference between the fund’s performance and the performance of the fund’s underlying index.

Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

   

Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access;

 

   

Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs); and

 

 

O T E S    T O    O N S O L I D A  T E D    I N A N C I A L    T A T E M E N T S

  45


Notes to Consolidated Financial Statements  (continued)

 

   

Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

 

4.

DERIVATIVE FINANCIAL INSTRUMENTS

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk) or to the applicable commodities market (commodities price risk).

Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Consolidated Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Consolidated Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Consolidated Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Consolidated Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Consolidated Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the statement of assets and liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the statement of assets and liabilities. Payments received or paid are recorded in the statement of operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the statement of operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

Total return swaps are entered into by the iShares Commodity Curve Carry Strategy ETF to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket or underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instruments or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Fund receives payment from or makes a payment to the counterparty.

Certain total return swaps are designed to function as a portfolio of direct investments in long and short equity positions. This means that the Fund has the ability to trade in and out of these long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions, subject to certain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap’s market value. The market value also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the portfolio.

Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Fund and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Consolidated Statement of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risks in excess of the amounts recognized in the Consolidated Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its

 

 

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Notes to Consolidated Financial Statements  (continued)

 

obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement, and comparing that amount to the value of any collateral currently pledged by a fund and the counterparty.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Consolidated Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Consolidated Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from the counterparty are not fully collateralized, each Fund bears the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Consolidated Statements of Assets and Liabilities.

 

5.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory Fees: Pursuant to an Investment Advisory Agreement with the Trust, BlackRock Fund Advisors (“BFA”) manages the investment of each Fund’s assets. BFA is a California corporation indirectly owned by BlackRock, Inc. (“BlackRock”). Under the Investment Advisory Agreement, BFA is responsible for substantially all expenses of the Funds, except (i) interest and taxes; (ii) brokerage commissions and other expenses connected with the execution of portfolio transactions; (iii) distribution fees; (iv) the advisory fee payable to BFA; and (v) litigation expenses and any extraordinary expenses (in each case as determined by a majority of the independent trustees).

For its investment advisory services to each of the following Funds, BFA is entitled to an annual investment advisory fee, accrued daily and paid monthly by the Funds, based on the average daily net assets of each Fund as follows:

 

   
iShares ETF   Investment Advisory Fees  

Bloomberg Roll Select Commodity Strategy

    0.28

Commodity Curve Carry Strategy

    0.40  

Gold Strategy

    0.25  

GSCI Commodity Dynamic Roll Strategy

    0.48  

Transition-Enabling Metals

    0.47  

Expense Waivers: A fund may incur its pro rata share of fees and expenses attributable to its investments in other investment companies (“acquired fund fees and expenses”). The total of the investment advisory fee and acquired fund fees and expenses, if any, is a fund’s total annual operating expenses. Total expenses as shown in the Consolidated Statements of Operations does not include acquired fund fees and expenses.

BFA has contractually agreed to waive a portion of its investment advisory fee for the iShares Bloomberg Roll Select Commodity Strategy ETF, iShares Commodity Curve Carry Strategy ETF and iShares GSCI Commodity Dynamic Roll Strategy ETF through February 28, 2025, March 1, 2024 and February 29, 2024, respectively, in an amount equal to the acquired fund fees and expenses, if any, attributable to the Fund’s investments in other registered investment companies advised by BFA or its affiliates.

BFA has contractually agreed to waive a portion of its investment advisory fee for the iShares Gold Strategy ETF through February 29, 2024 in an amount equal to the acquired fund fees and expenses, if any, attributable to the Fund’s investments in other exchange-traded products sponsored by BFA or its affiliates and other funds advised by BFA or its affiliates, provided that the waiver be no greater than the Fund’s investment advisory fee of 0.25%.

BFA has contractually agreed to waive a portion of its investment advisory fee for the iShares Transition-Enabling Metals ETF through February 29, 2028 in an amount equal to the acquired fund fees and expenses, if any, attributable to investments by the Fund in other funds advised by BFA or its affiliates.

 

 

O T E S    T O    O N S O L I D A  T E D    I N A N C I A L    T A T E M E N T S

  47


Notes to Consolidated Financial Statements  (continued)

 

These amounts are included in investment advisory fees waived in the Consolidated Statements of Operations. For the year ended October 31, 2023, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:

 

   
iShares ETF   Amounts Waived  

Bloomberg Roll Select Commodity Strategy

  $ 24,786    

Commodity Curve Carry Strategy

    8,121  

Gold Strategy

    28,379  

GSCI Commodity Dynamic Roll Strategy

    474,319  

Transition-Enabling Metals

    261  

Each Subsidiary has entered into a separate contract with BFA under which BFA provides investment advisory services to the Subsidiary but does not receive separate compensation from the Subsidiary for providing it with such services. Each Subsidiary has also entered into separate arrangements that provide for the provision of other services to the Subsidiary (including administrative, custody, transfer agency and other services), and BFA pays the costs and expenses related to the provision of those services.

Sub-Adviser: BFA has entered into a sub-advisory agreement with BlackRock International Limited (the “Sub-Adviser”), an affiliate of BFA, under which BFA pays the Sub-Adviser for services it provides to the iShares GSCI Commodity Dynamic Roll Strategy ETF and its Subsidiary.

Distributor: BlackRock Investments, LLC, an affiliate of BFA, is the distributor for each Fund. Pursuant to the distribution agreement, BFA is responsible for any fees or expenses for distribution services provided to the Funds.

Officers and Trustees: Certain officers and/or trustees of the Trust are officers and/or trustees of BlackRock or its affiliates.

Other Transactions: During the year ended October 31, 2023, iShares GSCI Commodity Dynamic Roll Strategy ETF received a reimbursement of $400,115 from an affiliate, which is included in Investment Advisory Fees Waived in the Consolidated Statement of Operations, related to an operating event.

Each Fund may invest its positive cash balances in certain money market funds managed by BFA or an affiliate. The income earned on these temporary cash investments is shown as dividends – affiliated in the Consolidated Statements of Operations.

A fund, in order to improve its portfolio liquidity and its ability to track its underlying index, may invest in shares of other iShares funds that invest in securities in the fund’s underlying index.

 

6.

PURCHASES AND SALES

For the year ended October 31, 2023, purchases and sales of investments, excluding short-term securities and in-kind transactions, were as follows:

 

     
iShares ETF   Purchases      Sales  

Gold Strategy

  $ 9,161,137      $ 9,809,912    

For the year ended October 31, 2023, in-kind transactions were as follows:

 

     
iShares ETF   In-kind
Purchases
    

In-kind

Sales

 

Gold Strategy

  $ 5,357,458      $ 2,778,017    

 

7.

INCOME TAX INFORMATION

Each Fund is treated as an entity separate from the Trust’s other funds for federal income tax purposes. It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Management has analyzed tax laws and regulations and their application to the Funds as of October 31, 2023, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ consolidated financial statements.

 

 

48  

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Notes to Consolidated Financial Statements  (continued)

 

U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or NAV per share. As of October 31, 2023, permanent differences attributable to the character of income (losses) from a wholly-owned subsidiary were reclassified to the following accounts:

 

     
iShares ETF   Paid-in Capital    

Accumulated

Earnings (Loss)

 

Bloomberg Roll Select Commodity Strategy

  $ (27,614,810   $ 27,614,810  

Gold Strategy

    (1,683,012     1,683,012    

GSCI Commodity Dynamic Roll Strategy

    (106,938,684     106,938,684  

Transition-Enabling Metals

    (180,782     180,782  

The tax character of distributions paid was as follows:

 

 

 
iShares ETF   Year Ended
10/31/23
     Year Ended
10/31/22
 

 

 

Bloomberg Roll Select Commodity Strategy

    

Ordinary income

  $ 12,597,356      $ 30,653,592  
 

 

 

    

 

 

 

Commodity Curve Carry Strategy

    

Ordinary income

  $ 9,342,441      $ 8,253,258  
 

 

 

    

 

 

 

Gold Strategy

    

Ordinary income

  $ 338,128      $  
 

 

 

    

 

 

 

GSCI Commodity Dynamic Roll Strategy

    

Ordinary income

  $ 514,790,044      $ 426,344,721  
 

 

 

    

 

 

 

As of October 31, 2023, the tax components of accumulated net earnings (losses) were as follows:

 

iShares ETF    
Undistributed
Ordinary Income
 
 
    

Non-expiring
Capital Loss
Carryforwards
 
 
(a) 
   

Net Unrealized

Gains (Losses)

 

 

    Total  

Bloomberg Roll Select Commodity Strategy

  $ 11,290,982      $ (7,336   $ (6,058,259   $ 5,225,387  

Commodity Curve Carry Strategy

    2,211,796        (1,646     419,852       2,630,002  

Gold Strategy

    6,135,735        (77,190     912,676       6,971,221  

GSCI Commodity Dynamic Roll Strategy

    27,675,441        (47,300,218     (28,339,356     (47,964,133

Transition-Enabling Metals

    36,110              119,513       155,623  

 

  (a) 

Amounts available to offset future realized capital gains.

 

A fund may own shares in certain foreign investment entities, referred to, under U.S. tax law, as “passive foreign investment companies.” Such fund may elect to mark-to-market annually the shares of each passive foreign investment company and would be required to distribute to shareholders any such marked-to-market gains.

As of October 31, 2023, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

 

iShares ETF   Tax Cost     

Gross Unrealized

Appreciation

    

Gross Unrealized

Depreciation

    Net Unrealized
Appreciation
(Depreciation)
 

Bloomberg Roll Select Commodity Strategy

  $ 276,515,431      $ 1,135,387      $ (7,193,646   $ (6,058,259

Commodity Curve Carry Strategy

    27,211,652        521,407        (101,555     419,852    

Gold Strategy

    51,737,610        1,919,727        (1,007,051     912,676  

GSCI Commodity Dynamic Roll Strategy

    759,385,488        17,071,744        (45,411,117     (28,339,373

Transition-Enabling Metals

    11,892,739        202,349        (82,836     119,513  

 

8.

PRINCIPAL RISKS

In the normal course of business, each Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including, among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate or price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund’s prospectus provides details of the risks to which the Fund is subject.

 

 

O T E S    T O    O N S O L I D A  T E D    I N A N C I A L    T A T E M E N T S

  49


Notes to Consolidated Financial Statements  (continued)

 

BFA uses a “passive” or index approach to try to achieve each Fund’s investment objective following the securities included in its underlying index during upturns as well as downturns. BFA does not take steps to reduce market exposure or to lessen the effects of a declining market. Divergence from the underlying index and the composition of the portfolio is monitored by BFA.

Market Risk: Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.

Infectious Illness Risk: An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A fund may invest in illiquid investments. An illiquid investment is any investment that a fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause a fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a fund may lose value, regardless of the individual results of the securities and other instruments in which a fund invests.

Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that BFA believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Consolidated Statements of Assets and Liabilities, less any collateral held by the Funds.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

With exchange-traded futures, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

Geographic/Asset Class Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Consolidated Schedule of Investments.

The Funds invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the the Funds invest.

Certain Funds a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the period of historically low interest rates that ended in March 2022. The Federal Reserve has recently been raising the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Funds’ performance.

Certain Funds have substantial exposure to certain commodity markets through investments in commodity-linked instruments and through commodity-related equities. Any negative changes in commodity markets that may be due to changes in supply and demand for the commodities, market events, regulatory developments or other factors that the Funds cannot control could have an adverse impact on the Funds’ portfolios.

 

 

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Notes to Consolidated Financial Statements  (continued)

 

The iShares Gold Strategy ETF has substantial exposure to gold through its investments in gold investments and the Fund’s portfolio may be adversely affected by changes or trends in the price of gold, which historically has been volatile. Governments, central banks, or other large holders can influence the production and sale of gold, which may adversely affect the performance of the Fund.

Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.

 

9.

CAPITAL SHARE TRANSACTIONS

Capital shares are issued and redeemed by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”) at NAV. Except when aggregated in Creation Units, shares of each Fund are not redeemable.

Transactions in capital shares were as follows:

 

 

 
   

 

Year Ended

10/31/23

          

Year Ended

10/31/22

 
 

 

 

      

 

 

 
iShares ETF   Shares     Amount            Shares     Amount  

 

 

Bloomberg Roll Select Commodity Strategy

          

Shares sold

    3,300,000     $ 176,430,513          4,400,000     $ 256,785,591  

Shares redeemed

    (3,250,000     (171,872,216        (2,300,000     (133,218,137
 

 

 

   

 

 

      

 

 

   

 

 

 
    50,000     $ 4,558,297          2,100,000     $ 123,567,454  
 

 

 

   

 

 

      

 

 

   

 

 

 

Commodity Curve Carry Strategy

          

Shares sold

    50,000     $ 1,128,500              $  

Shares redeemed

    (200,000     (4,075,295               
 

 

 

   

 

 

      

 

 

   

 

 

 
    (150,000   $ (2,946,795            $  
 

 

 

   

 

 

      

 

 

   

 

 

 

Gold Strategy

          

Shares sold

    400,000     $ 23,092,387          200,000     $ 11,484,407  

Shares redeemed

    (200,000     (11,628,460        (50,000     (2,613,814
 

 

 

   

 

 

      

 

 

   

 

 

 
    200,000     $ 11,463,927          150,000     $ 8,870,593  
 

 

 

   

 

 

      

 

 

   

 

 

 

GSCI Commodity Dynamic Roll Strategy

          

Shares sold

    6,800,000     $ 187,851,660          32,700,000     $ 1,230,993,779  

Shares redeemed

    (40,500,000     (1,126,627,563        (46,000,000     (1,896,131,023
 

 

 

   

 

 

      

 

 

   

 

 

 
    (33,700,000   $ (938,775,903        (13,300,000   $ (665,137,244
 

 

 

   

 

 

      

 

 

   

 

 

 

 

    

Period Ended

10/31/23

 
 

 

 

 
iShares ETF   Shares      Amount  

Transition-Enabling Metals(a)

    

Shares sold

    500,000      $ 12,482,752  
 

 

 

    

 

 

 

 

  (a) 

The Fund commenced operations on September 26, 2023.

 

The consideration for the purchase of Creation Units of a fund in the Trust generally consists of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Certain funds in the Trust may be offered in Creation Units solely or partially for cash in U.S. dollars. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to State Street Bank and Trust Company, the Trust’s administrator, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. Investors transacting in Creation Units for cash may also pay an additional variable charge to compensate the relevant fund for certain transaction costs (i.e., stamp taxes, taxes on currency or other financial transactions, and brokerage costs) and market impact expenses relating to investing in portfolio securities. Such variable charges, if any, are included in shares sold in the table above.

From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable in the Consolidated Statements of Assets and Liabilities.

 

10.

SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Funds through the date the consolidated financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the consolidated financial statements.

 

 

O T E S    T O    O N S O L I D A  T E D    I N A N C I A L    T A T E M E N T S

  51


Report of Independent Registered Public Accounting Firm

 

To the Board of Trustees of

iShares U.S. ETF Trust and Shareholders of each of the five funds listed in the table below

Opinions on the Financial Statements

We have audited the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, of each of the funds listed in the table below and their subsidiaries (five of the funds constituting iShares U.S. ETF Trust, hereafter collectively referred to as the “Funds”) as of October 31, 2023, the related consolidated statements of operations and of changes in net assets for each of the periods indicated in the table below, including the related notes, and the consolidated financial highlights for each of the periods indicated therein (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2023, the results of each of their operations and the changes in each of their net assets for the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.

 

 

iShares Bloomberg Roll Select Commodity Strategy ETF(1)

iShares Commodity Curve Carry Strategy ETF(1)

iShares Gold Strategy ETF(1)

iShares GSCI Commodity Dynamic Roll Strategy ETF(1)

iShares Transition-Enabling Metals ETF(2)

 

 

(1) 

Consolidated statement of operations for the year ended October 31, 2023 and consolidated statement of changes in net assets for each of the two years in the period ended October 31, 2023.

(2) 

Consolidated statement of operations and consolidated statement of changes in net assets for the period September 26, 2023 (commencement of operations) to October 31, 2023.

Basis for Opinions

These consolidated financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ consolidated financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of October 31, 2023 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

December 21, 2023

We have served as the auditor of one or more BlackRock investment companies since 2000.

 

 

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Important Tax Information  (unaudited)   

 

The Funds hereby designate the following amounts, or maximum amounts allowable by law, of distributions from direct federal obligation interest for the fiscal year ended October 31, 2023:

 

iShares ETF   Federal Obligation
Interest
 

Bloomberg Roll Select Commodity Strategy

  $ 3,454,121  

Commodity Curve Carry Strategy

    252,301  

Gold Strategy

    488,853  

GSCI Commodity Dynamic Roll Strategy

    6,445,360  

Transition-Enabling Metals

    21,392  

The law varies in each state as to whether and what percent of ordinary income dividends attributable to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.

The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended October 31, 2023:

 

iShares ETF   Interest Dividends  

Bloomberg Roll Select Commodity Strategy

  $ 13,122,565  

Commodity Curve Carry Strategy

    874,846  

Gold Strategy

    1,393,875  

GSCI Commodity Dynamic Roll Strategy

    41,151,466  

Transition-Enabling Metals

    34,294  

The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended October 31, 2023:

 

iShares ETF  

Interest-Related

Dividends

 

Bloomberg Roll Select Commodity Strategy

  $ 13,122,565  

Commodity Curve Carry Strategy

    874,846  

Gold Strategy

    1,393,875  

GSCI Commodity Dynamic Roll Strategy

    41,119,201  

Transition-Enabling Metals

    34,294  

 

 

M P O R T A N T    A X    N  F O R M A T I O N

  53


Board Review and Approval of Investment Advisory Contract

 

iShares Bloomberg Roll Select Commodity Strategy ETF (the “Fund”)

Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Trust’s Board of Trustees (the “Board”), including a majority of Board Members who are not “interested persons” of the Trust (as that term is defined in the 1940 Act) (the “Independent Board Members”), is required annually to consider the approval of the Investment Advisory Agreement between the Trust and BFA (the “Advisory Agreement”) on behalf of the Fund. The Board’s consideration entails a year-long process whereby the Board and its committees (composed solely of Independent Board Members) assess BlackRock’s services to the Fund, including investment management; fund accounting; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements. The Independent Board Members requested, and BFA provided, such information as the Independent Board Members, with advice from independent counsel, deemed reasonably necessary to evaluate the Advisory Agreement. At meetings on May 2, 2023 and May 15, 2023, a committee composed of all of the Independent Board Members (the “15(c) Committee”), with independent counsel, met with management and reviewed and discussed information provided in response to initial requests of the 15(c) Committee and/or its independent counsel, and requested certain additional information, which management agreed to provide. At a meeting held on June 7-8, 2023, the Board, including the Independent Board Members, reviewed the additional information provided by management in response to these requests.

After extensive discussions and deliberations, the Board, including all of the Independent Board Members, approved the continuance of the Advisory Agreement for the Fund, based on a review of qualitative and quantitative information provided by BFA and their cumulative experience as Board Members. The Board noted its satisfaction with the extent and quality of information provided and its frequent interactions with management, as well as the detailed responses and other information provided by BFA. The Independent Board Members were advised by their independent counsel throughout the process, including about the legal standards applicable to their review. In approving the continuance of the Advisory Agreement for the Fund, the Board, including the Independent Board Members, considered various factors, including: (i) the expenses and performance of the Fund; (ii) the nature, extent and quality of the services provided by BFA; (iii) the costs of services provided to the Fund and profits realized by BFA and its affiliates; (iv) potential economies of scale and the sharing of related benefits; (v) the fees and services provided for other comparable funds/accounts managed by BFA and its affiliates; and (vi) other benefits to BFA and/or its affiliates. The material factors, none of which was controlling, and conclusions that formed the basis for the Board, including the Independent Board Members, to approve the continuance of the Advisory Agreement are discussed below.

Expenses and Performance of the Fund: The Board reviewed statistical information prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, regarding the expense ratio components, including gross and net total expenses, fees and expenses of other fund(s) in which the Fund invests (if applicable), and waivers/reimbursements (if applicable) of the Fund in comparison with the same information for other ETFs, objectively selected by Broadridge as comprising the Fund’s applicable expense peer group pursuant to Broadridge’s proprietary ETF methodology (the “Peer Group”). The Board was provided with a detailed description of the proprietary ETF methodology used by Broadridge to determine the Fund’s Peer Group. The Board noted that, due to the limitations in providing comparable funds in the Peer Group, the statistical information provided in Broadridge’s report may or may not provide meaningful direct comparisons to the Fund in all instances. The Board also noted that the investment advisory fee rate and overall expenses (net of any waivers and reimbursements) for the Fund were lower than the median of the investment advisory fee rates and overall expenses (net of any waivers and reimbursements) of the funds in its Peer Group, excluding iShares funds.

In addition, to the extent that any of the comparison funds included in the Peer Group, excluding iShares funds, track the same index as the Fund, Broadridge also provided, and the Board reviewed, a comparison of the Fund’s performance for the one-year, three-year, five-year, ten-year, and since inception periods, as applicable, and for the quarter ended December 31, 2022, to that of such relevant comparison fund(s) for the same periods. The Board noted that the Fund seeks to track its specified underlying index and that, during the year, the Board received periodic reports on the Fund’s short- and longer-term performance in comparison with its underlying index. Such periodic comparative performance information, including additional detailed information as requested by the Board, was also considered. The Board noted that the Fund generally performed in line with its underlying index over the relevant periods.

Based on this review, the other factors considered at the meeting, and their general knowledge of ETF pricing, the Board concluded that the investment advisory fee rate and expense level and the historical performance of the Fund supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.

Nature, Extent and Quality of Services Provided: Based on management’s representations, including information about ongoing enhancements and initiatives with respect to the iShares business, including with respect to capital markets support and analysis, technology, portfolio management, product design and quality, compliance and risk management, global public policy and other services, the Board expected that there would be no diminution in the scope of services required of or provided by BFA under the Advisory Agreement for the coming year as compared with the scope of services provided by BFA during prior years. In reviewing the scope of these services, the Board considered BFA’s investment philosophy and experience, noting that BFA and its affiliates have committed significant resources over time, including during the past year, to support the iShares funds and their shareholders and have made significant investments into the iShares business. The Board also considered BFA’s compliance program and its compliance record with respect to the Fund, including related programs implemented pursuant to regulatory requirements. In that regard, the Board noted that BFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board, and on other occasions as necessary and appropriate, and has provided information and made relevant officers and other employees of BFA (and its affiliates) available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Fund, as well as the resources available to them in managing the Fund. In addition to the above considerations, the Board reviewed and considered detailed presentations regarding BFA’s investment performance, investment and risk management processes and strategies provided at the May 2, 2023 meeting and throughout the year, and matters related to BFA’s portfolio compliance program and other compliance programs and services.

Based on review of this information, and the performance information discussed above, the Board concluded that the nature, extent and quality of services provided to the Fund under the Advisory Agreement supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.

Costs of Services Provided to the Fund and Profits Realized by BFA and its Affiliates: The Board reviewed information about the estimated profitability to BlackRock in managing the Fund, based on the fees payable to BFA and its affiliates (including fees under the Advisory Agreement), and other sources of revenue and expense to BFA

 

 

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Board Review and Approval of Investment Advisory Contract  (continued)

 

and its affiliates from the Fund’s operations for the last calendar year. The Board reviewed BlackRock’s methodology for calculating estimated profitability of the iShares funds, noting that the 15(c) Committee and the Board had focused on the methodology and profitability presentation. The Board recognized that profitability may be affected by numerous factors, including, among other things, fee waivers by BFA, the types of funds managed, expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at individual fund levels is challenging. The Board discussed with management the sources of direct and ancillary revenue, including the revenues to BTC, a BlackRock affiliate, from securities lending by the Fund. The Board also discussed BFA’s estimated profit margin as reflected in the Fund’s profitability analysis and reviewed information regarding potential economies of scale (as discussed below).

Based on this review, the Board concluded that the information considered with respect to the profits realized by BFA and its affiliates under the Advisory Agreement and from other relationships between the Fund and BFA and/or its affiliates, if any, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.

Economies of Scale: The Board reviewed information and considered the extent to which economies of scale might be realized as the assets of the Fund increase, noting that the issue of potential economies of scale had been focused on by the 15(c) Committee and the Board during their meetings and addressed by management. The 15(c) Committee and the Board received information regarding BlackRock’s historical estimated profitability (as discussed above), including BFA’s and its affiliates’ estimated costs in providing services. The estimated cost information distinguished, among other things, between fixed and variable costs, and showed how the level and nature of fixed and variable costs may impact the existence or size of scale benefits, with the Board recognizing that potential economies of scale are difficult to measure. The 15(c) Committee and the Board reviewed information provided by BFA regarding the sharing of scale benefits with the iShares funds through various means, including, as applicable, through relatively low fee rates established at inception, breakpoints, waivers, or other fee reductions, as well as through additional investment in the iShares business and the provision of improved or additional infrastructure and services to the iShares funds and their shareholders. The Board noted that the Advisory Agreement for the Fund did not provide for breakpoints in the Fund’s investment advisory fee rate as the assets of the Fund increase. However, the Board noted that it would continue to assess the appropriateness of adding breakpoints in the future.

The Board concluded that this review of potential economies of scale and the sharing of related benefits, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.

Fees and Services Provided for Other Comparable Funds/Accounts Managed by BFA and its Affiliates: The Board received and considered information regarding the investment advisory/management fee rates for other funds/accounts in the U.S. for which BFA (or its affiliates) provides investment advisory/management services, including open-end funds registered under the 1940 Act (including sub-advised funds), collective trust funds and institutional separate accounts (collectively, the “Other Accounts”). The Board acknowledged BFA’s representation that the iShares funds are fundamentally different investment vehicles from the Other Accounts.

The Board received detailed information regarding how the Other Accounts generally differ from the Fund, including in terms of the types of services and generally more extensive services provided to the Fund, as well as other significant differences. In that regard, the Board considered that the pricing of services to institutional clients is typically based on a number of factors beyond the nature and extent of the specific services to be provided and often depends on the overall relationship between the client and its affiliates and the adviser and its affiliates. In addition, the Board considered the relative complexity and inherent risks and challenges of managing and providing other services to the Fund, as a publicly traded investment vehicle, as compared to the Other Accounts, particularly those that are institutional clients, in light of differing regulatory requirements and client-imposed mandates. The Board noted that BFA and its affiliates manage Other Accounts with substantially the same investment objective and strategy as the Fund and that track the same index as the Fund. The Board also acknowledged management’s assertion that, for certain iShares funds, and for client segmentation purposes, BlackRock has launched an iShares fund that may provide a similar investment exposure at a lower investment advisory fee rate.

The Board considered the “all-inclusive” nature of the Fund’s advisory fee structure, and the Fund’s expenses borne by BFA under this arrangement and noted that the investment advisory fee rate under the Advisory Agreement for the Fund was generally higher than the investment advisory/management fee rates for certain of the Other Accounts (particularly institutional clients) and concluded that the differences appeared to be consistent with the factors discussed.

Other Benefits to BFA and/or its Affiliates: The Board reviewed other benefits or ancillary revenue received by BFA and/or its affiliates in connection with the services provided to the Fund by BFA, both direct and indirect, including, but not limited to, payment of revenue to BTC, the Fund’s securities lending agent, for loaning portfolio securities, as applicable (which was included in the profit margins reviewed by the Board pursuant to BFA’s estimated profitability methodology), payment of advisory fees or other fees to BFA (or its affiliates) in connection with any investments by the Fund in other funds for which BFA (or its affiliates) provides investment advisory services or other services, and BlackRock’s profile in the investment community. The Board further considered other direct benefits that might accrue to BFA, including the potential for reduction in the Fund’s expenses that are borne by BFA under the “all-inclusive” management fee arrangement, due in part to the size and scope of BFA’s investment operations servicing the Fund (and other funds in the iShares complex) as well as in response to a changing market environment. The Board also reviewed and considered information provided by BFA concerning authorized participant primary market order processing services that are provided by BlackRock Investments, LLC (“BRIL”), an affiliate of BFA, and paid for by authorized participants under the ETF Servicing Platform. The Board also noted the revenue received by BFA and/or its affiliates pursuant to an agreement that permits a service provider to use certain portions of BlackRock’s technology platform to service accounts managed by BFA and/or its affiliates, including the iShares funds. The Board noted that BFA generally does not use soft dollars or consider the value of research or other services that may be provided to BFA (including its affiliates) in selecting brokers for portfolio transactions for the Fund. The Board concluded that any such ancillary benefits would not be disadvantageous to the Fund and thus would not alter the Board’s conclusion with respect to the appropriateness of approving the continuance of the Advisory Agreement for the coming year.

Conclusion: Based on a review of the factors described above, as well as such other factors as deemed appropriate by the Board, the Board, including all of the Independent Board Members, determined that the Fund’s investment advisory fee rate under the Advisory Agreement does not constitute a fee that is so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded to approve the continuance of the Advisory Agreement for the coming year.

 

 

O A R D  E V I E W   A N D  P P R O V A L   O F  N V E S T M E N T  D V I S O R Y  O N T R A C T

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Board Review and Approval of Investment Advisory Contract  (continued)

 

iShares Commodity Curve Carry Strategry ETF, iShares Gold Strategy ETF (each the “Fund”)

Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Trust’s Board of Trustees (the “Board”), including a majority of Board Members who are not “interested persons” of the Trust (as that term is defined in the 1940 Act) (the “Independent Board Members”), is required annually to consider the approval of the Investment Advisory Agreement between the Trust and BFA (the “Advisory Agreement”) on behalf of the Fund. The Board’s consideration entails a year-long process whereby the Board and its committees (composed solely of Independent Board Members) assess BlackRock’s services to the Fund, including investment management; fund accounting; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements. The Independent Board Members requested, and BFA provided, such information as the Independent Board Members, with advice from independent counsel, deemed reasonably necessary to evaluate the Advisory Agreement. At meetings on May 2, 2023 and May 15, 2023, a committee composed of all of the Independent Board Members (the “15(c) Committee”), with independent counsel, met with management and reviewed and discussed information provided in response to initial requests of the 15(c) Committee and/or its independent counsel, and requested certain additional information, which management agreed to provide. At a meeting held on June 7-8, 2023, the Board, including the Independent Board Members, reviewed the additional information provided by management in response to these requests.

After extensive discussions and deliberations, the Board, including all of the Independent Board Members, approved the continuance of the Advisory Agreement for the Fund, based on a review of qualitative and quantitative information provided by BFA and their cumulative experience as Board Members. The Board noted its satisfaction with the extent and quality of information provided and its frequent interactions with management, as well as the detailed responses and other information provided by BFA. The Independent Board Members were advised by their independent counsel throughout the process, including about the legal standards applicable to their review. In approving the continuance of the Advisory Agreement for the Fund, the Board, including the Independent Board Members, considered various factors, including: (i) the expenses and performance of the Fund; (ii) the nature, extent and quality of the services provided by BFA; (iii) the costs of services provided to the Fund and profits realized by BFA and its affiliates; (iv) potential economies of scale and the sharing of related benefits; (v) the fees and services provided for other comparable funds/accounts managed by BFA and its affiliates; and (vi) other benefits to BFA and/or its affiliates. The material factors, none of which was controlling, and conclusions that formed the basis for the Board, including the Independent Board Members, to approve the continuance of the Advisory Agreement are discussed below.

Expenses and Performance of the Fund: The Board reviewed statistical information prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, regarding the expense ratio components, including gross and net total expenses, fees and expenses of other fund(s) in which the Fund invests (if applicable), and waivers/reimbursements (if applicable) of the Fund in comparison with the same information for other ETFs, objectively selected by Broadridge as comprising the Fund’s applicable expense peer group pursuant to Broadridge’s proprietary ETF methodology (the “Peer Group”). The Board was provided with a detailed description of the proprietary ETF methodology used by Broadridge to determine the Fund’s Peer Group. The Board noted that, due to the limitations in providing comparable funds in the Peer Group, the statistical information provided in Broadridge’s report may or may not provide meaningful direct comparisons to the Fund in all instances. The Board also noted that the investment advisory fee rate and overall expenses (net of any waivers and reimbursements) for the Fund were lower than the median of the investment advisory fee rates and overall expenses (net of any waivers and reimbursements) of the funds in its Peer Group, excluding iShares funds.

In addition, to the extent that any of the comparison funds included in the Peer Group, excluding iShares funds, track the same index as the Fund, Broadridge also provided, and the Board reviewed, a comparison of the Fund’s performance for the one-year, three-year, five-year, ten-year, and since inception periods, as applicable, and for the quarter ended December 31, 2022, to that of such relevant comparison fund(s) for the same periods. The Board noted that the Fund seeks to track its specified underlying index and that, during the year, the Board received periodic reports on the Fund’s short- and longer-term performance in comparison with its underlying index. Such periodic comparative performance information, including additional detailed information as requested by the Board, was also considered. The Board noted that the Fund generally performed in line with its underlying index over the relevant periods.

Based on this review, the other factors considered at the meeting, and their general knowledge of ETF pricing, the Board concluded that the investment advisory fee rate and expense level and the historical performance of the Fund supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.

Nature, Extent and Quality of Services Provided: Based on management’s representations, including information about ongoing enhancements and initiatives with respect to the iShares business, including with respect to capital markets support and analysis, technology, portfolio management, product design and quality, compliance and risk management, global public policy and other services, the Board expected that there would be no diminution in the scope of services required of or provided by BFA under the Advisory Agreement for the coming year as compared with the scope of services provided by BFA during prior years. In reviewing the scope of these services, the Board considered BFA’s investment philosophy and experience, noting that BFA and its affiliates have committed significant resources over time, including during the past year, to support the iShares funds and their shareholders and have made significant investments into the iShares business. The Board also considered BFA’s compliance program and its compliance record with respect to the Fund, including related programs implemented pursuant to regulatory requirements. In that regard, the Board noted that BFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board, and on other occasions as necessary and appropriate, and has provided information and made relevant officers and other employees of BFA (and its affiliates) available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Fund, as well as the resources available to them in managing the Fund. In addition to the above considerations, the Board reviewed and considered detailed presentations regarding BFA’s investment performance, investment and risk management processes and strategies provided at the May 2, 2023 meeting and throughout the year, and matters related to BFA’s portfolio compliance program and other compliance programs and services.

Based on review of this information, and the performance information discussed above, the Board concluded that the nature, extent and quality of services provided to the Fund under the Advisory Agreement supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.

Costs of Services Provided to the Fund and Profits Realized by BFA and its Affiliates: The Board reviewed information about the estimated profitability to BlackRock in managing the Fund, based on the fees payable to BFA and its affiliates (including fees under the Advisory Agreement), and other sources of revenue and expense to BFA

 

 

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Board Review and Approval of Investment Advisory Contract  (continued)

 

and its affiliates from the Fund’s operations for the last calendar year. The Board reviewed BlackRock’s methodology for calculating estimated profitability of the iShares funds, noting that the 15(c) Committee and the Board had focused on the methodology and profitability presentation. The Board recognized that profitability may be affected by numerous factors, including, among other things, fee waivers by BFA, the types of funds managed, expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at individual fund levels is challenging. The Board discussed with management the sources of direct and ancillary revenue, including the revenues to BTC, a BlackRock affiliate, from securities lending by the Fund. The Board also discussed BFA’s estimated profit margin as reflected in the Fund’s profitability analysis and reviewed information regarding potential economies of scale (as discussed below).

Based on this review, the Board concluded that the information considered with respect to the profits realized by BFA and its affiliates under the Advisory Agreement and from other relationships between the Fund and BFA and/or its affiliates, if any, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.

Economies of Scale: The Board reviewed information and considered the extent to which economies of scale might be realized as the assets of the Fund increase, noting that the issue of potential economies of scale had been focused on by the 15(c) Committee and the Board during their meetings and addressed by management. The 15(c) Committee and the Board received information regarding BlackRock’s historical estimated profitability (as discussed above), including BFA’s and its affiliates’ estimated costs in providing services. The estimated cost information distinguished, among other things, between fixed and variable costs, and showed how the level and nature of fixed and variable costs may impact the existence or size of scale benefits, with the Board recognizing that potential economies of scale are difficult to measure. The 15(c) Committee and the Board reviewed information provided by BFA regarding the sharing of scale benefits with the iShares funds through various means, including, as applicable, through relatively low fee rates established at inception, breakpoints, waivers, or other fee reductions, as well as through additional investment in the iShares business and the provision of improved or additional infrastructure and services to the iShares funds and their shareholders. The Board noted that the Advisory Agreement for the Fund did not provide for breakpoints in the Fund’s investment advisory fee rate as the assets of the Fund increase. However, the Board noted that it would continue to assess the appropriateness of adding breakpoints in the future.

The Board concluded that this review of potential economies of scale and the sharing of related benefits, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.

Fees and Services Provided for Other Comparable Funds/Accounts Managed by BFA and its Affiliates: The Board received and considered information regarding the investment advisory/management fee rates for other funds/accounts in the U.S. for which BFA (or its affiliates) provides investment advisory/management services, including open-end funds registered under the 1940 Act (including sub-advised funds), collective trust funds and institutional separate accounts (collectively, the “Other Accounts”). The Board acknowledged BFA’s representation that the iShares funds are fundamentally different investment vehicles from the Other Accounts.

The Board received detailed information regarding how the Other Accounts generally differ from the Fund, including in terms of the types of services and generally more extensive services provided to the Fund, as well as other significant differences. In that regard, the Board considered that the pricing of services to institutional clients is typically based on a number of factors beyond the nature and extent of the specific services to be provided and often depends on the overall relationship between the client and its affiliates and the adviser and its affiliates. In addition, the Board considered the relative complexity and inherent risks and challenges of managing and providing other services to the Fund, as a publicly traded investment vehicle, as compared to the Other Accounts, particularly those that are institutional clients, in light of differing regulatory requirements and client-imposed mandates. The Board noted that BFA and its affiliates do not manage Other Accounts with substantially the same investment objective and strategy as the Fund and that track the same index as the Fund. The Board also acknowledged management’s assertion that, for certain iShares funds, and for client segmentation purposes, BlackRock has launched an iShares fund that may provide a similar investment exposure at a lower investment advisory fee rate.

The Board considered the “all-inclusive” nature of the Fund’s advisory fee structure, and the Fund’s expenses borne by BFA under this arrangement and noted that the investment advisory fee rate under the Advisory Agreement for the Fund was generally higher than the investment advisory/management fee rates for certain of the Other Accounts (particularly institutional clients) and concluded that the differences appeared to be consistent with the factors discussed.

Other Benefits to BFA and/or its Affiliates: The Board reviewed other benefits or ancillary revenue received by BFA and/or its affiliates in connection with the services provided to the Fund by BFA, both direct and indirect, including, but not limited to, payment of revenue to BTC, the Fund’s securities lending agent, for loaning portfolio securities, as applicable (which was included in the profit margins reviewed by the Board pursuant to BFA’s estimated profitability methodology), payment of advisory fees or other fees to BFA (or its affiliates) in connection with any investments by the Fund in other funds for which BFA (or its affiliates) provides investment advisory services or other services, and BlackRock’s profile in the investment community. The Board further considered other direct benefits that might accrue to BFA, including the potential for reduction in the Fund’s expenses that are borne by BFA under the “all-inclusive” management fee arrangement, due in part to the size and scope of BFA’s investment operations servicing the Fund (and other funds in the iShares complex) as well as in response to a changing market environment. The Board also reviewed and considered information provided by BFA concerning authorized participant primary market order processing services that are provided by BlackRock Investments, LLC (“BRIL”), an affiliate of BFA, and paid for by authorized participants under the ETF Servicing Platform. The Board also noted the revenue received by BFA and/or its affiliates pursuant to an agreement that permits a service provider to use certain portions of BlackRock’s technology platform to service accounts managed by BFA and/or its affiliates, including the iShares funds. The Board noted that BFA generally does not use soft dollars or consider the value of research or other services that may be provided to BFA (including its affiliates) in selecting brokers for portfolio transactions for the Fund. The Board concluded that any such ancillary benefits would not be disadvantageous to the Fund and thus would not alter the Board’s conclusion with respect to the appropriateness of approving the continuance of the Advisory Agreement for the coming year.

Conclusion: Based on a review of the factors described above, as well as such other factors as deemed appropriate by the Board, the Board, including all of the Independent Board Members, determined that the Fund’s investment advisory fee rate under the Advisory Agreement does not constitute a fee that is so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded to approve the continuance of the Advisory Agreement for the coming year.

 

 

O A R D  E V I E W   A N D  P P R O V A L   O F  N V E S T M E N T  D V I S O R Y  O N T R A C T

  57


Board Review and Approval of Investment Advisory Contract  (continued)

 

iShares GSCI Commodity Dynamic Roll Strategy ETF (the “Fund”)

Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Trust’s Board of Trustees (the “Board”), including a majority of Board Members who are not “interested persons” of the Trust (as that term is defined in the 1940 Act) (the “Independent Board Members”), is required annually to consider the approval of the Investment Advisory Agreement between the Trust and BFA (the “Advisory Agreement”), and the Sub-Advisory Agreement between BFA and BlackRock International Limited, (together the “Advisory Agreements”), on behalf of the Fund. The Board’s consideration entails a year-long process whereby the Board and its committees (composed solely of Independent Board Members) assess BlackRock’s services to the Fund, including investment management; fund accounting; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements. The Independent Board Members requested, and BFA provided, such information as the Independent Board Members, with advice from independent counsel, deemed reasonably necessary to evaluate the Advisory Agreements. At meetings on May 2, 2023 and May 15, 2023, a committee composed of all of the Independent Board Members (the “15(c) Committee”), with independent counsel, met with management and reviewed and discussed information provided in response to initial requests of the 15(c) Committee and/or its independent counsel, and requested certain additional information, which management agreed to provide. At a meeting held on June 7-8, 2023, the Board, including the Independent Board Members, reviewed the additional information provided by management in response to these requests.

After extensive discussions and deliberations, the Board, including all of the Independent Board Members, approved the continuance of the Advisory Agreements for the Fund, based on a review of qualitative and quantitative information provided by BFA and their cumulative experience as Board Members. The Board noted its satisfaction with the extent and quality of information provided and its frequent interactions with management, as well as the detailed responses and other information provided by BFA. The Independent Board Members were advised by their independent counsel throughout the process, including about the legal standards applicable to their review. In approving the continuance of the Advisory Agreements for the Fund, the Board, including the Independent Board Members, considered various factors, including: (i) the expenses and performance of the Fund; (ii) the nature, extent and quality of the services provided by BFA and BlackRock International Limited; (iii) the costs of services provided to the Fund and profits realized by BFA and its affiliates; (iv) potential economies of scale and the sharing of related benefits; (v) the fees and services provided for other comparable funds/accounts managed by BFA and its affiliates; and (vi) other benefits to BFA and/or its affiliates. The material factors, none of which was controlling, and conclusions that formed the basis for the Board, including the Independent Board Members, to approve the continuance of the Advisory Agreements are discussed below.

Expenses and Performance of the Fund: The Board reviewed statistical information prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, regarding the expense ratio components, including gross and net total expenses, fees and expenses of other fund(s) in which the Fund invests (if applicable), and waivers/reimbursements (if applicable) of the Fund in comparison with the same information for other ETFs, objectively selected by Broadridge as comprising the Fund’s applicable expense peer group pursuant to Broadridge’s proprietary ETF methodology (the “Peer Group”). The Board was provided with a detailed description of the proprietary ETF methodology used by Broadridge to determine the Fund’s Peer Group. The Board noted that, due to the limitations in providing comparable funds in the Peer Group, the statistical information provided in Broadridge’s report may or may not provide meaningful direct comparisons to the Fund in all instances. The Board also noted that the investment advisory fee rate and overall expenses (net of any waivers and reimbursements) for the Fund were lower than the median of the investment advisory fee rates and overall expenses (net of any waivers and reimbursements) of the funds in its Peer Group, excluding iShares funds. The Board further noted that BFA pays BlackRock International Limited for sub-advisory services, and that there are no additional fees imposed on the Fund in respect of the services provided under the Sub-Advisory Agreement(s).

In addition, to the extent that any of the comparison funds included in the Peer Group, excluding iShares funds, track the same index as the Fund, Broadridge also provided, and the Board reviewed, a comparison of the Fund’s performance for the one-year, three-year, five-year, ten-year, and since inception periods, as applicable, and for the quarter ended December 31, 2022, to that of such relevant comparison fund(s) for the same periods. The Board noted that the Fund seeks to track its specified underlying index and that, during the year, the Board received periodic reports on the Fund’s short- and longer-term performance in comparison with its underlying index. Such periodic comparative performance information, including additional detailed information as requested by the Board, was also considered. The Board noted that the Fund generally performed in line with its underlying index over the relevant periods.

Based on this review, the other factors considered at the meeting, and their general knowledge of ETF pricing, the Board concluded that the investment advisory fee rate and expense level and the historical performance of the Fund supported the Board’s approval of the continuance of the Advisory Agreements for the coming year.

Nature, Extent and Quality of Services Provided: Based on management’s representations, including information about ongoing enhancements and initiatives with respect to the iShares business, including with respect to capital markets support and analysis, technology, portfolio management, product design and quality, compliance and risk management, global public policy and other services, the Board expected that there would be no diminution in the scope of services required of or provided by BFA and BlackRock International Limited under the Advisory Agreements for the coming year as compared with the scope of services provided by BFA during prior years. In reviewing the scope of these services, the Board considered BFA’s investment philosophy and experience, noting that BFA and its affiliates have committed significant resources over time, including during the past year, to support the iShares funds and their shareholders and have made significant investments into the iShares business. The Board also considered BFA’s compliance program and its compliance record with respect to the Fund, including related programs implemented pursuant to regulatory requirements. In that regard, the Board noted that BFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board, and on other occasions as necessary and appropriate, and has provided information and made relevant officers and other employees of BFA (and its affiliates) available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Fund, including those of the Sub-Advisor(s), as well as the resources available to them in managing the Fund. In addition to the above considerations, the Board reviewed and considered detailed presentations regarding investment performance, investment and risk management processes and strategies for BFA and BlackRock International Limited, which were provided at the May 2, 2023 meeting and throughout the year and matters related to BFA’s portfolio compliance program and other compliance programs and services.

 

 

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Board Review and Approval of Investment Advisory Contract  (continued)

 

Based on review of this information, and the performance information discussed above, the Board concluded that the nature, extent and quality of services provided to the Fund under the Advisory Agreements supported the Board’s approval of the continuance of the Advisory Agreements for the coming year.

Costs of Services Provided to the Fund and Profits Realized by BFA and its Affiliates: The Board reviewed information about the estimated profitability to BlackRock in managing the Fund, based on the fees payable to BFA and its affiliates (including fees under the Advisory Agreement), and other sources of revenue and expense to BFA and its affiliates from the Fund’s operations for the last calendar year. The Board reviewed BlackRock’s methodology for calculating estimated profitability of the iShares funds, noting that the 15(c) Committee and the Board had focused on the methodology and profitability presentation. The Board recognized that profitability may be affected by numerous factors, including, among other things, fee waivers by BFA, the types of funds managed, expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at individual fund levels is challenging. The Board discussed with management the sources of direct and ancillary revenue, including the revenues to BTC, a BlackRock affiliate, from securities lending by the Fund. The Board also discussed BFA’s estimated profit margin as reflected in the Fund’s profitability analysis and reviewed information regarding potential economies of scale (as discussed below).

Based on this review, the Board concluded that the information considered with respect to the profits realized by BFA and its affiliates under the Advisory Agreements and from other relationships between the Fund and BFA and/or its affiliates, if any, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreements for the coming year.

Economies of Scale: The Board reviewed information and considered the extent to which economies of scale might be realized as the assets of the Fund increase, noting that the issue of potential economies of scale had been focused on by the 15(c) Committee and the Board during their meetings and addressed by management. The 15(c) Committee and the Board received information regarding BlackRock’s historical estimated profitability (as discussed above), including BFA’s and its affiliates’ estimated costs in providing services. The estimated cost information distinguished, among other things, between fixed and variable costs, and showed how the level and nature of fixed and variable costs may impact the existence or size of scale benefits, with the Board recognizing that potential economies of scale are difficult to measure. The 15(c) Committee and the Board reviewed information provided by BFA regarding the sharing of scale benefits with the iShares funds through various means, including, as applicable, through relatively low fee rates established at inception, breakpoints, waivers or other fee reductions, as well as through additional investment in the iShares business and the provision of improved or additional infrastructure and services to the iShares funds and their shareholders. The Board noted that the Advisory Agreement for the Fund did not provide for breakpoints in the Fund’s investment advisory fee rate as the assets of the Fund increase. However, the Board noted that it would continue to assess the appropriateness of adding breakpoints in the future.

The Board concluded that this review of potential economies of scale and the sharing of related benefits, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreements for the coming year.

Fees and Services Provided for Other Comparable Funds/Accounts Managed by BFA and its Affiliates: The Board received and considered information regarding the investment advisory/management fee rates for other funds/accounts in the U.S. for which BFA (or its affiliates) provides investment advisory/management services, including open-end funds registered under the 1940 Act (including sub-advised funds), collective trust funds and institutional separate accounts (collectively, the “Other Accounts”). The Board acknowledged BFA’s representation that the iShares funds are fundamentally different investment vehicles from the Other Accounts.

The Board received detailed information regarding how the Other Accounts generally differ from the Fund, including in terms of the types of services and generally more extensive services provided to the Fund, as well as other significant differences. In that regard, the Board considered that the pricing of services to institutional clients is typically based on a number of factors beyond the nature and extent of the specific services to be provided and often depends on the overall relationship between the client and its affiliates and the adviser and its affiliates. In addition, the Board considered the relative complexity and inherent risks and challenges of managing and providing other services to the Fund, as a publicly traded investment vehicle, as compared to the Other Accounts, particularly those that are institutional clients, in light of differing regulatory requirements and client-imposed mandates. The Board noted that BFA and its affiliates do not manage Other Accounts with substantially the same investment objective and strategy as the Fund and that track the same index as the Fund. The Board also acknowledged management’s assertion that, for certain iShares funds, and for client segmentation purposes, BlackRock has launched an iShares fund that may provide a similar investment exposure at a lower investment advisory fee rate.

The Board considered the “all-inclusive” nature of the Fund’s advisory fee structure, and the Fund’s expenses borne by BFA under this arrangement and noted that the investment advisory fee rate under the Advisory Agreement for the Fund was generally higher than the investment advisory/management fee rates for certain of the Other Accounts (particularly institutional clients) and concluded that the differences appeared to be consistent with the factors discussed.

Other Benefits to BFA and/or its Affiliates: The Board reviewed other benefits or ancillary revenue received by BFA and/or its affiliates in connection with the services provided to the Fund by BFA, both direct and indirect, including, but not limited to, payment of revenue to BTC, the Fund’s securities lending agent, for loaning portfolio securities, as applicable (which was included in the profit margins reviewed by the Board pursuant to BFA’s estimated profitability methodology), payment of advisory fees or other fees to BFA (or its affiliates) in connection with any investments by the Fund in other funds for which BFA (or its affiliates) provides investment advisory services or other services, and BlackRock’s profile in the investment community. The Board further considered other direct benefits that might accrue to BFA, including the potential for reduction in the Fund’s expenses that are borne by BFA under the “all-inclusive” management fee arrangement, due in part to the size and scope of BFA’s investment operations servicing the Fund (and other funds in the iShares complex) as well as in response to a changing market environment. The Board also reviewed and considered information provided by BFA concerning authorized participant primary market order processing services that are provided by BlackRock Investments, LLC (“BRIL”), an affiliate of BFA, and paid for by authorized participants under the ETF Servicing Platform. The Board also noted the revenue received by BFA and/or its affiliates pursuant to an agreement that permits a service provider to use certain portions of BlackRock’s technology platform to service accounts managed by BFA and/or its affiliates, including the iShares funds. The Board noted that BFA generally does not use soft dollars or consider the value of research or other services that may be provided to BFA (including its affiliates) in selecting brokers for portfolio transactions for the Fund. The Board concluded that any such ancillary benefits would not be disadvantageous to the Fund and thus would not alter the Board’s conclusion with respect to the appropriateness of approving the continuance of the Advisory Agreements for the coming year.

 

 

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Board Review and Approval of Investment Advisory Contract  (continued)

 

Conclusion: Based on a review of the factors described above, as well as such other factors as deemed appropriate by the Board, the Board, including all of the Independent Board Members, determined that the Fund’s investment advisory fee rate under the Advisory Agreement does not constitute a fee that is so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded to approve the continuance of the Advisory Agreements for the coming year.

iShares Transition-Enabling Metals ETF

Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Trust’s Board of Trustees (the “Board”), including a majority of Board Members who are not “interested persons” of the Trust (as that term is defined in the 1940 Act) (the “Independent Board Members”), is required to consider and approve the proposed Investment Advisory Agreement between the Trust and BFA (the “Advisory Agreement”) and the Sub-Advisory Agreement between BFA and BIL (the “Sub-Advisory Agreement”), (together “the Advisory Agreements”) on behalf of the Fund. The Independent Board Members requested, and BFA provided, such information as the Independent Board Members, with advice from independent counsel, deemed reasonably necessary to evaluate the terms of the proposed Advisory Agreements. At a meeting held on March 29-30, 2023, the Board, including the Independent Board Members, approved the selection of BFA as investment adviser and approved the proposed Advisory Agreements for the Fund, based on a review of qualitative and quantitative information provided by BFA. The Board also considered information previously provided by BFA, BlackRock Institutional Trust Company, N.A. (“BTC”), and BlackRock, Inc. (“BlackRock”), as applicable, at prior Board meetings. The Independent Board Members were advised by their independent counsel throughout the process, including about the legal standards applicable to their review. In approving the Advisory Agreements for the Fund, the Board, including the Independent Board Members, considered various factors, including: (i) the expenses of the Fund; (ii) the nature, extent and quality of the services to be provided by BFA; (iii) the costs of services to be provided to the Fund and the availability of information related to profits to be realized by BFA and its affiliates; (iv) potential economies of scale; (v) the fees and services provided for other comparable funds/accounts managed by BFA and its affiliates; and (vi) other benefits to BFA and/or its affiliates. The material factors, no one of which was controlling, and conclusions that formed the basis for the Board, including the Independent Board Members, to approve the Advisory Agreements are discussed below.

Expenses of the Fund: The Board reviewed statistical information prepared by Broadridge Financial Solutions Inc. (“Broadridge”), an independent provider of investment company data, regarding the expense ratio components of the Fund in comparison with the same information for other ETFs, objectively selected by Broadridge as comprising the Fund’s applicable expense peer group pursuant to Broadridge’s proprietary ETF methodology (the “Peer Group”). The Board was provided with a detailed description of the proprietary ETF methodology used by Broadridge to determine the Fund’s Peer Group. The Board noted that due to the limitations in providing comparable funds in the Peer Group, the statistical information provided in Broadridge’s report may or may not provide meaningful direct comparisons to the Fund in all instances.

The Board also noted that the investment advisory fee rate and overall expenses (net of any waivers and reimbursements) for the Fund were lower than the median of the investment advisory fee rates and overall expenses (net of any waivers and reimbursements) of the funds in its Peer Group, excluding iShares funds. The Board further noted that BFA pays BIL for its sub-advisory services, and that there are no additional fees imposed on the Fund in respect of the services provided under the Sub-Advisory Agreement.

Based on this review, the other factors considered at the meeting, and their general knowledge of ETF pricing, the Board concluded that the investment advisory fee rate and expense level of the Fund supported the Board’s approval of the Advisory Agreements.

Nature, Extent and Quality of Services to be Provided by BFA: The Board reviewed the scope of services to be provided by BFA under the Advisory Agreements. In reviewing the scope of these services, the Board considered BFA’s investment philosophy and experience, noting that BFA and its affiliates have committed significant resources over time and have made significant investments into the iShares business to support the iShares funds and their shareholders. The Board considered representations by BFA, BTC, and BlackRock that the scope and quality of services to be provided to the Fund would be similar to the scope and quality of services provided to other iShares funds. The Board also considered BFA’s compliance program and its compliance record with respect to other iShares funds. In that regard, the Board noted that BFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board, and on other occasions as necessary and appropriate, and has provided information and made relevant officers and other employees of BFA (and its affiliates) available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons who will be responsible for the day-to-day management of the Fund, as well as the resources that will be available to them in managing the Fund. The Board also considered detailed presentations regarding BFA’s investment performance, investment and risk management processes and strategies, which were provided throughout the year with respect to other iShares funds, and other matters related to BFA’s portfolio compliance program.

Based on review of this information, the Board concluded that the nature, extent and quality of services to be provided to the Fund under the Advisory Agreements supported the Board’s approval of the Advisory Agreements.

Costs of Services to be Provided to the Fund and Profits to be Realized by BFA and Affiliates: The Board did not consider the profitability of the Fund to BFA based on the fees payable under the Advisory Agreements or revenue to be received by BFA or its affiliates in connection with services to be provided to the Fund since the proposed relationship had not yet commenced. The Board noted that it expects to receive profitability information from BFA periodically following the Fund’s launch and will thus be in a position to evaluate whether any new or additional breakpoints or other adjustments in Fund fees would be appropriate.

Economies of Scale: The Board considered information that it had previously received regarding potential economies of scale, efficiencies and scale benefits shared with the iShares funds through relatively low fee rates established at inception, breakpoints and waivers or other fee reductions, as well as through additional investment in the iShares business and the provision of improved or additional infrastructure and services to the iShares funds and their shareholders. The Board noted that the Advisory

 

 

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Board Review and Approval of Investment Advisory Contract  (continued)

 

Agreements for the Fund did not provide for any breakpoints in the Fund’s investment advisory fee rate as the assets of the Fund increase. However, the Board noted that it would continue to assess the appropriateness of adding breakpoints in the future.

This consideration of potential economies of scale and the sharing of related benefits, as well as the other factors considered at the meeting, supported the Board’s approval of the Advisory Agreements.

Fees and Services Provided for Other Comparable Funds/Accounts Managed by BFA and its Affiliates: The Board received and considered information regarding the investment advisory/management fee rates for other funds/accounts in the U.S. for which BFA (or its affiliates) provides investment advisory/management services, including open-end funds registered under the 1940 Act (including sub-advised funds), collective trust funds, and institutional separate accounts (collectively, the “Other Accounts”). The Board acknowledged BFA’s representation that the iShares funds are fundamentally different investment vehicles from the Other Accounts. The Board noted that BFA and its affiliates do not manage Other Accounts with substantially the same investment objective and strategy as the Fund and that track the same index as the Fund. The Board further noted that BFA previously provided the Board with detailed information regarding how the Other Accounts (particularly institutional clients) generally differ from the iShares funds, including in terms of the different and generally more extensive services provided to the iShares funds, as well as other significant differences. In that regard, the Board considered that the pricing of services to institutional clients is typically based on a number of factors beyond the nature and extent of the specific services to be provided and often depends on the overall relationship between the client and its affiliates and the adviser and its affiliates. In addition, the Board considered the relative complexity and inherent risks and challenges of managing and providing other services to the Fund, as a publicly traded investment vehicle, as compared to the Other Accounts, particularly those that are institutional clients, in light of differing regulatory requirements and client-imposed mandates. The Board considered the “all-inclusive” nature of the Fund’s advisory fee structure, and the Fund’s expenses borne by BFA under this arrangement.

Other Benefits to BFA and/or its Affiliates: Except as noted below, the Board did not consider the “fallout” benefits or ancillary revenue to be received by BFA and/or its affiliates in connection with the services to be provided to the Fund by BFA since the proposed relationship had not yet commenced. However, the Board noted that BFA generally does not use soft dollars or consider the value of research or other services that may be provided to BFA (including its affiliates) in selecting brokers for portfolio transactions for the Fund. The Board considered the potential payment of advisory fees and/or administration fees to BFA (or its affiliates) in connection with any investments by the Fund in other funds for which BFA (or its affiliates) provides investment advisory services and/or administration services. The Board also noted the potential revenue to be received by BFA and/or its affiliates pursuant to an agreement that would permit a service provider to use certain portions of BlackRock’s technology platform to service accounts managed by BFA and/or its affiliates, including the iShares funds. The Board also considered the potential for revenue to BTC, the Fund’s securities lending agent, and its affiliates in the event of any loaning of portfolio securities of the Fund. The Board also reviewed and considered information provided by BFA concerning authorized participant primary market order processing services that will be provided by BlackRock Investments, LLC (“BRIL”), an affiliate of BFA, and paid for by authorized participants under the ETF Servicing Platform. The Board concluded that any such ancillary benefits would not be disadvantageous to the Fund and thus would not alter the Board’s conclusion with respect to the appropriateness of approving the Advisory Agreements.

Conclusion: Based on a review of the factors described above, as well as such other factors as deemed appropriate by the Board, the Board, including all of the Independent Board Members, determined that the Fund’s investment advisory fee rate under the Advisory Agreements does not constitute a fee that is so disproportionately large as to bear no reasonable relationship to the services to be rendered and that could not have been the product of arm’s-length bargaining, and concluded to approve the Advisory Agreements.

 

 

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Supplemental Information  (unaudited)

 

Tailored Shareholder Reports for Open-End Mutual Funds and ETFs

Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.

Premium/Discount Information

Information on the Fund’s net asset value, market price, premiums and discounts, and bid-ask spreads can be found at iShares.com.

 

 

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Trustee and Officer Information (unaudited)

 

The Board of Trustees has responsibility for the overall management and operations of the Funds, including general supervision of the duties performed by BFA and other service providers. Each Trustee serves until he or she resigns, is removed, dies, retires or becomes incapacitated. The President, Chief Compliance Officer, Treasurer and Secretary shall each hold office until their successors are chosen and qualify, and all other officers shall hold office until he or she resigns or is removed. Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust are referred to as independent trustees (“Independent Trustees”).

The registered investment companies advised by BFAor its affiliates (the “BlackRock-advised Funds”) are organized into one complex of open-end equity, multi-asset, index and money market funds and ETFs (the “BlackRock Multi-Asset Complex”), one complex of closed-end funds and open-end non-index fixed-income funds (including ETFs) (the “BlackRock Fixed-Income Complex”) and one complex of ETFs (“Exchange-Traded Fund Complex”) (each, a “BlackRock Fund Complex”). Each Fund is included in the Exchange-Traded Fund Complex. Each Trustee also serves as a Director of iShares, Inc. and a Trustee of iShares Trust, and, as a result, oversees all of the funds within the Exchange-Traded Fund Complex, which consists of 404 funds as of October 31, 2023. With the exception of Robert S. Kapito, Salim Ramji and Aaron Wasserman, the address of each Trustee and officer is c/o BlackRock, Inc., 400 Howard Street, San Francisco, CA 94105. The address of Mr. Kapito, Mr. Ramji and Mr. Wasserman is c/o BlackRock, Inc., 50 Hudson Yards, New York, NY 10001. The Board has designated John E. Kerrigan as its Independent Board Chair. Additional information about the Funds’ Trustees and officers may be found in the Funds’ combined Statement of Additional Information, which is available without charge, upon request, by calling toll-free 1-800-iShares (1-800-474-2737).

 

          Interested Trustees     
       

Name

(Year of

Birth)

   Position(s)   

Principal Occupation(s)

During Past 5 Years

   Other Directorships Held by Trustee

Robert S. Kapito(a)

(1957)

   Trustee (since 2009).    President, BlackRock, Inc. (since 2006); Vice Chairman of BlackRock, Inc. and Head of BlackRock’s Portfolio Management Group (since its formation in 1998) and BlackRock, Inc.’s predecessor entities (since 1988); Trustee, University of Pennsylvania (since 2009); President of Board of Directors, Hope & Heroes Children’s Cancer Fund (since 2002).    Director of BlackRock, Inc. (since 2006); Director of iShares, Inc. (since 2009); Trustee of iShares Trust (since 2009).

Salim Ramji(b)

(1970)

   Trustee (since 2019).    Senior Managing Director, BlackRock, Inc. (since 2014); Global Head of BlackRock’s ETF and Index Investments Business (since 2019); Head of BlackRock’s U.S. Wealth Advisory Business (2015-2019); Global Head of Corporate Strategy, BlackRock, Inc. (2014-2015); Senior Partner, McKinsey & Company (2010-2014).    Director of iShares, Inc. (since 2019); Trustee of iShares Trust (since 2019).

(a) Robert S. Kapito is deemed to be an “interested person” (as defined in the 1940 Act) of the Trust due to his affiliations with BlackRock, Inc. and its affiliates.

(b) Salim Ramji is deemed to be an “interested person” (as defined in the 1940 Act) of the Trust due to his affiliations with BlackRock, Inc. and its affiliates.

          Independent Trustees     
       

Name

(Year of

Birth)

   Position(s)   

Principal Occupation(s)

During Past 5 Years

   Other Directorships Held by Trustee

John E. Kerrigan

(1955)

   Trustee (since 2011); Independent Board Chair (since 2022).    Chief Investment Officer, Santa Clara University (since 2002).    Director of iShares, Inc. (since 2005); Trustee of iShares Trust (since 2005); Independent Board Chair of iShares, Inc. and iShares Trust (since 2022).

Jane D. Carlin

(1956)

   Trustee (since 2015); Risk Committee Chair (since 2016).    Consultant (since 2012); Member of the Audit Committee (2012-2018), Chair of the Nominating and Governance Committee (2017-2018) and Director of PHH Corporation (mortgage solutions) (2012-2018); Managing Director and Global Head of Financial Holding Company Governance & Assurance and the Global Head of Operational Risk Management of Morgan Stanley (2006-2012).    Director of iShares, Inc. (since 2015); Trustee of iShares Trust (since 2015); Member of the Audit Committee (since 2016), Chair of the Audit Committee (since 2020) and Director of The Hanover Insurance Group, Inc. (since (2016).

Richard L. Fagnani

(1954)

   Trustee (since 2017); Audit Committee Chair (since 2019).    Partner, KPMG LLP (2002-2016); Director of One Generation Away (since 2021).    Director of iShares, Inc. (since 2017); Trustee of iShares Trust (since 2017).

 

 

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Trustee and Officer Information (unaudited) (continued)

 

Independent Trustees (continued)
       

Name

(Year of

Birth)

   Position(s)   

Principal Occupation(s)

During Past 5 Years

   Other Directorships Held by Trustee

Cecilia H. Herbert

(1949)

   Trustee (since 2011); Nominating and Governance and Equity Plus Committee Chairs (since 2022).    Chair of the Finance Committee (since 2019) and Trustee and Member of the Finance, Audit and Quality Committees of Stanford Health Care (since 2016); Trustee of WNET, New York’s public media company (since 2011) and Member of the Audit Committee (since 2018), Investment Committee (since 2011) and Personnel Committee (since 2022); Member of the Wyoming State Investment Funds Committee (since 2022); Director of the Jackson Hole Center for the Arts (since 2021); Trustee of Forward Funds (14 portfolios) (2009-2018); Trustee of Salient MF Trust (4 portfolios) (2015-2018).    Director of iShares, Inc. (since 2005); Trustee of iShares Trust (since 2005).

Drew E. Lawton

(1959)

   Trustee (since 2017); 15(c) Committee Chair (since 2017).    Senior Managing Director of New York Life Insurance Company (2010-2015).    Director of iShares, Inc. (since 2017); Trustee of iShares Trust (since 2017); Director of Jackson Financial Inc. (since 2021).

John E. Martinez

(1961)

   Trustee (since 2011); Securities Lending Committee Chair (since 2019).    Director of Real Estate Equity Exchange, Inc. (since 2005); Director of Cloudera Foundation (2017-2020); and Director of Reading Partners (2012-2016).    Director of iShares, Inc. (since 2003); Trustee of iShares Trust (since 2003).

Madhav V. Rajan

(1964)

   Trustee (since 2011); Fixed-Income Plus Committee Chair (since 2019).    Dean, and George Pratt Shultz Professor of Accounting, University of Chicago Booth School of Business (since 2017); Advisory Board Member (since 2016) and Director (since 2020) of C.M. Capital Corporation; Chair of the Board for the Center for Research in Security Prices, LLC (since 2020); Robert K. Jaedicke Professor of Accounting, Stanford University Graduate School of Business (2001-2017); Professor of Law (by courtesy), Stanford Law School (2005-2017); Senior Associate Dean for Academic Affairs and Head of MBA Program, Stanford University Graduate School of Business (2010-2016).    Director of iShares, Inc. (since 2011); Trustee of iShares Trust (since 2011).

 

Officers
     

Name

(Year of

Birth)

   Position(s)   

Principal Occupation(s)

During Past 5 Years

Dominik Rohé

(1973)

   President (since 2023).    Managing Director, BlackRock, Inc. (since 2005); Head of Americas ETF and Index Investments (since 2023); Head of Latin America (2019-2023).

Trent Walker

(1974)

   Treasurer and Chief Financial Officer (since 2020).    Managing Director, BlackRock, Inc. (since September 2019); Chief Financial Officer of iShares Delaware Trust Sponsor LLC, BlackRock Funds, BlackRock Funds II, BlackRock Funds IV, BlackRock Funds V and BlackRock Funds VI (since 2021); Executive Vice President of PIMCO (2016-2019); Senior Vice President of PIMCO (2008-2015); Treasurer (2013-2019) and Assistant Treasurer (2007-2017) of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds.

Aaron Wasserman

(1974)

   Chief Compliance Officer (since 2023).    Managing Director of BlackRock, Inc. (since 2018); Chief Compliance Officer of the BlackRock Multi-Asset Complex, the BlackRock Fixed-Income Complex and the Exchange-Traded Fund Complex (since 2023); Deputy Chief Compliance Officer for the BlackRock Multi-Asset Complex, the BlackRock Fixed-Income Complex and the Exchange-Traded Fund Complex (2014-2023).

Marisa Rolland

(1980)

   Secretary (since 2022).    Managing Director, BlackRock, Inc. (since 2023); Director, BlackRock, Inc. (2018-2022); Vice President, BlackRock, Inc. (2010-2017).

Rachel Aguirre

(1982)

   Executive Vice President (since 2022).    Managing Director, BlackRock, Inc. (since 2018); Director, BlackRock, Inc. (2009-2018); Head of U.S. iShares Product (since 2022); Head of EII U.S. Product Engineering (since 2021); Co-Head of EII’s Americas Portfolio Engineering (2020-2021); Head of Developed Markets Portfolio Engineering (2016-2019).

Jennifer Hsui

(1976)

   Executive Vice President (since 2022).    Managing Director, BlackRock, Inc. (since 2009); Co-Head of Index Equity (since 2022).

 

 

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Trustee and Officer Information (unaudited) (continued)

 

Officers (continued)
     

Name

(Year of

Birth)

   Position(s)   

Principal Occupation(s)

During Past 5 Years

James Mauro

(1970)

   Executive Vice President (since 2022).    Managing Director, BlackRock, Inc. (since 2010); Head of Fixed Income Index Investments in the Americas and Head of San Francisco Core Portfolio Management (since 2020).

 

Effective March 30, 2023, Dominik Rohé replaced Armando Senra as President.

Effective July 1, 2023, Aaron Wasserman replaced Charles Park as Chief Compliance Officer.

 

 

R U S T E E   A N D  F F I C E R  N F O R M A T I O N

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General Information

 

Electronic Delivery

Shareholders can sign up for e-mail notifications announcing that the shareholder report or prospectus has been posted on the iShares website at iShares.com. Once you have enrolled, you will no longer receive prospectuses and shareholder reports in the mail.

To enroll in electronic delivery:

 

   

Go to icsdelivery.com.

   

If your brokerage firm is not listed, electronic delivery may not be available. Please contact your broker-dealer or financial advisor.

Householding

Householding is an option available to certain fund investors. Householding is a method of delivery, based on the preference of the individual investor, in which a single copy of certain shareholder documents and Rule 30e-3 notices can be delivered to investors who share the same address, even if their accounts are registered under different names. Please contact your broker-dealer if you are interested in enrolling in householding and receiving a single copy of prospectuses and other shareholder documents, or if you are currently enrolled in householding and wish to change your householding status.

Availability of Quarterly Schedule of Investments

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at iShares.com/fundreports.

Availability of Proxy Voting Policies and Proxy Voting Records

A description of the policies and procedures that the iShares Funds use to determine how to vote proxies relating to portfolio securities and information about how the iShares Funds voted proxies relating to portfolio securities during the most recent twelve-month period ending June 30 is available without charge, upon request (1) by calling toll-free 1-800-474-2737; (2) on the iShares website at iShares.com; and (3) on the SEC website at sec.gov.

A description of the Trust’s policies and procedures with respect to the disclosure of the Fund’s portfolio securities is available in the Fund Prospectus. The Fund discloses its portfolio holdings daily and provides information regarding its top holdings in Fund fact sheets at iShares.com.

 

 

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Glossary of Terms Used in this Report

 

Currency Abbreviation
USD    United States Dollar
Portfolio Abbreviation
SOFR    Secured Overnight Financing Rate

 

 

L O S S A R Y    O F    E R M S     S E D    I N    T H I S    E P O R T

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Want to know more?

iShares.com     |    1-800-474-2737

This report is intended for the Funds’ shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current prospectus.

Investing involves risk, including possible loss of principal.

The iShares Funds are distributed by BlackRock Investments, LLC (together with its affiliates, “BlackRock”).

The iShares Funds are not sponsored, endorsed, issued, sold or promoted by Bloomberg Index Services Limited, S&P Dow Jones Indices LLC, or ICE Data Indices, LLC, nor do these companies make any representation regarding the advisability of investing in the iShares Funds. BlackRock is not affiliated with the companies listed above.

©2023 BlackRock, Inc. All rights reserved. iSHARES and BLACKROCK are registered trademarks of BlackRock, Inc. or its subsidiaries. All other marks are the property of their respective owners.

iS-AR-1011-1023

 

 

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