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