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OCTOBER 31, 2022 |
2022 Annual Report |
iShares U.S. ETF Trust
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BlackRock Short Maturity Bond ETF | NEAR | Cboe BZX |
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BlackRock Short Maturity Municipal Bond ETF | MEAR | Cboe BZX |
· |
BlackRock Ultra Short-Term Bond ETF | ICSH | Cboe BZX |
Dear Shareholder,
Significant economic headwinds emerged during the 12-month reporting period ended October 31, 2022, disrupting the economic recovery and strong financial markets of 2021. The U.S. economy shrank in the first half of 2022 before returning to moderate growth in the third quarter, marking a shift to a more challenging post-reopening economic environment. Changes in consumer spending patterns and a tight labor market led to elevated inflation, which reached a 40-year high. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.
Equity prices fell as interest rates rose, particularly weighing on relatively high-valuation growth stocks as inflation decreased the value of future cash flows and investors shifted focus to balance sheet resilience. Both large- and small-capitalization U.S. stocks fell, although declines for small-capitalization U.S. stocks were slightly steeper. Emerging market stocks and international equities from developed markets also declined significantly, pressured by rising interest rates and a strengthening U.S. dollar.
The 10-year U.S. Treasury yield rose notably during the reporting period, driving its price down, as investors reacted to higher inflation and attempted to anticipate its impact on future interest rate changes. The corporate bond market also faced inflationary headwinds, and increasing uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).
The U.S. Federal Reserve (the “Fed”), acknowledging that inflation has been more persistent than expected, raised interest rates five times while indicating that additional rate hikes were likely. Furthermore, the Fed wound down its bond-buying programs and is accelerating the reduction of its balance sheet. As investors attempted to assess the Fed’s future trajectory, the Fed’s statements late in the reporting period led markets to believe that additional tightening is likely in the near term.
The pandemic’s restructuring of the economy brought an ongoing mismatch between supply and demand, contributing to the current inflationary regime. While growth has slowed in 2022, we believe that taming inflation requires a more dramatic economic decline to bring demand back to a lower level that is more in line with the economy’s capacity. The Fed has been raising interest rates at the fastest pace in decades, and seems set to overtighten in its effort to get inflation back to target. With this in mind, we believe the possibility of a U.S. recession in the near-term is high, and the outlook for Europe and the U.K. is also troubling. Investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt to rapidly changing conditions.
In this environment, while we favor an overweight to equities in the long-term, the market’s concerns over excessive rate hikes from central banks moderate our outlook. Rising input costs and a deteriorating economic backdrop in China and Europe are likely to challenge corporate earnings, so we are underweight equities overall in the near term. However, we see better opportunities in credit, where higher spreads provide income opportunities and partially compensate for inflation risk. We believe that investment-grade corporates, local-currency emerging market debt, and inflation-protected bonds (particularly in Europe) offer strong opportunities for a six- to twelve-month horizon.
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.
Rob Kapito
President, BlackRock, Inc.
Rob Kapito
President, BlackRock, Inc.
Total Returns as of October 31, 2022 | ||||||||
6-Month | 12-Month | |||||||
U.S. large cap equities (S&P 500® Index) |
(5.50 | )% | (14.61 | )% | ||||
U.S. small cap equities (Russell 2000® Index) |
(0.20 | ) | (18.54 | ) | ||||
International equities (MSCI Europe, Australasia, Far East Index) |
(12.70 | ) | (23.00 | ) | ||||
Emerging market equities (MSCI Emerging Markets Index) |
(19.66 | ) | (31.03 | ) | ||||
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index) |
0.72 | 0.79 | ||||||
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index) |
(8.24 | ) | (17.68 | ) | ||||
U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index) |
(6.86 | ) | (15.68 | ) | ||||
Tax-exempt municipal bonds (Bloomberg Municipal Bond Index) |
(4.43 | ) | (11.98 | ) | ||||
U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) |
(4.71 | ) | (11.76 | ) | ||||
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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iShares U.S. ETF Trust
U.S. Bond Market Overview
The U.S. bond market experienced a considerable decline for the 12 months ended October 31, 2022 (the “reporting period”). The Bloomberg U.S. Aggregate Bond Index, a broad measure of U.S. fixed-income performance, returned -15.68%.
The U.S. Federal Reserve’s (Fed’s) shift toward tighter monetary policy was the primary factor driving the market downturn. Annualized consumer price inflation, which had been under 3.0% for over a decade, began to rise throughout 2021 and ultimately climbed above 6.0% in the year’s fourth calendar quarter. The inflation picture soon grew even more challenging following Russia’s invasion of Ukraine in early 2022, which—together with the resulting sanctions—further snarled global supply chains and contributed to a spike in energy prices. Inflation exceeded 8.0% in March 2022 and remained above that level through the end of the reporting period, with a peak of 9.1% in June.
The Fed moved aggressively in an effort to calm price pressures, ending its stimulative quantitative easing program and boosting interest rates from a range of 0.0%-0.25% to 3.0-3.25% in five separate increases from March to September 2022. This marked the largest move in such a short interval since 1980. In addition, the Fed appeared set to continue raising rates until inflation showed signs of returning closer to its longer-term target of 2%. Some evidence began to emerge later in the period that the Fed’s rate hikes had begun to reduce activity in certain segments of the economy, but there was still no sign that consumer price inflation had started to decline in a meaningful fashion. As a result, market prices at the end of October indicated that the central bank would not stop tightening until rates reached the 4.5-5.0% range.
These circumstances weighed heavily on bond market performance. The yield on the two-year U.S. Treasury note rose from 0.50% at the beginning of the period to 4.48% by the end of October 2022, while the 10-year yield climbed from 1.55% to 4.05%. The yield curve inverted significantly as result, meaning that short-term yields were higher those on longer-term debt. In late September, the yield curve moved to its largest inversion since 1982.
The surge in U.S. Treasury yields, together with investors’ increased aversion to risk, fueled weakness across all sectors of the bond market. Mortgage-backed securities, which were hurt by concerns about the housing market and the loss of demand stemming from Fed’s decision to end its quantitative easing policy, posted negative returns. Still, the category held up better than the broader index.
Investment-grade corporate bonds were among the worst-performing segments of the market. In addition to being adversely affected by rising Treasury yields, the asset class was pressured by a pronounced increase in yield spreads. The latter trend reflected concerns that weaker economic growth could lead to a slowdown in corporate earnings. Notably, the yield on corporate bonds—as gauged by the ICE BofA US Corporate Index—closed the period at the highest level since 2009.
High yield bonds also experienced sizable losses. As was the case with investment-grade corporates, a rise in both prevailing yields and yield spreads weighed heavily on performance. However, the category outperformed the investment-grade market due to its lower interest-rate sensitivity and higher weighting in the energy sector. Higher-rated issuers in the category—which are seen as having the least vulnerability to slowing growth—generally outperformed their lower-quality counterparts.
4 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Summary as of October 31, 2022 | BlackRock Short Maturity Bond ETF |
Investment Objective
The BlackRock Short Maturity Bond ETF (the “Fund”) seeks to maximize current income by investing, under normal circumstances, at least 80% of its net assets in a portfolio of U.S. dollar-denominated investment-grade fixed income securities and maintain a weighted average maturity that is less than three years. The Fund is an actively managed exchange-traded fund that does not seek to replicate the performance of a specified index.
Performance
Average Annual Total Returns | Cumulative Total Returns | |||||||||||||||||||||||||||
1 Year | 5 Years | Since Inception |
1 Year | 5 Years | Since Inception |
|||||||||||||||||||||||
Fund NAV |
(0.75 | )% | 1.28 | % | 1.20 | % | (0.75 | )% | 6.56 | % | 11.51 | % | ||||||||||||||||
Fund Market |
(0.77 | ) | 1.27 | 1.20 | (0.77 | ) | 6.49 | 11.47 | ||||||||||||||||||||
Bloomberg Short-Term Government/Corporate Index |
(0.11 | ) | 1.23 | 0.91 | (0.11 | ) | 6.29 | 8.55 |
GROWTH OF $10,000 INVESTMENT
(SINCE INCEPTION AT NET ASSETVALUE)
The inception date of the Fund was September 25, 2013. The first day of secondary market trading was September 26, 2013.
The Bloomberg Short-Term Government/Corporate Index is an unmanaged index that measures the performance of government and corporate securities with less than 1 year remaining to maturity.
Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
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Beginning Account Value (05/01/22) |
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Ending Account Value (10/31/22) |
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Expenses Paid During the Period |
(a) |
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Beginning Account Value (05/01/22) |
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Ending Account Value (10/31/22) |
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Expenses Paid During the Period |
(a) |
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Annualized Expense Ratio |
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$ 1,000.00 | $ 1,001.10 | $ 1.26 | $ 1,000.00 | $ 1,023.90 | $ 1.28 | 0.25 | % |
(a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. |
F U N D S U M M A R Y |
5 |
Fund Summary as of October 31, 2022 (continued) | BlackRock Short Maturity Bond ETF |
Portfolio Management Commentary
The annual period was characterized by high volatility and poor performance for risk assets. In the United States, inflation reached 40-year highs following the lifting of COVID-related restrictions. This prompted a dramatic response from the U.S. Federal Reserve, including 300 basis points (three percentage points) of interest-rate hikes. Short-term bonds, while having less sensitivity than the overall market, were nonetheless adversely affected by these events. However, the -0.11% return for the Bloomberg Short-Term Government/Corporate Index (the Fund’s benchmark) was well ahead of the -15.68% return versus the broader fixed-income market, as represented by the Bloomberg U.S. Aggregate Bond Index.
The Fund underperformed its benchmark. In absolute terms, the bulk of the Fund’s negative absolute return occurred in the first half of the period. In the latter half, income helped offset the effect of declining prices.
The Fund’s largest allocations were to U.S. investment-grade corporate issues and non-U.S. investment-grade corporates, respectively. Both categories experienced negative total returns as yield spreads widened to reflect mounting recession concerns, detracting from Fund performance. Toward the end of the period, the Fund increased its allocations to U.S. investment-grade corporate bonds and asset-backed securities to capitalize on higher yields.
On the positive side, the Fund benefited from its defensive positioning. About 11% of the portfolio was held in cash-like securities during the period, helping relative performance. Holdings in collateralized loan obligations (CLOs), which are better insulated against rising interest rates due to their floating-rate feature, were also beneficial.
Portfolio Information
PORTFOLIO COMPOSITION
Investment Type | |
Percent
of Total Investments |
(a) | |
Corporate Bonds & Notes |
66.8 | % | ||
Asset-Backed Securities |
21.9 | |||
Collaterized Mortgage Obligations |
6.8 | |||
Repurchase Agreements |
2.5 | |||
Commercial Paper |
2.0 |
CREDIT QUALITY ALLOCATION
Moody’s Credit Rating* | |
Percent
of Total Investments |
(a) | |
Aaa |
17.1 | % | ||
Aa |
3.6 | |||
A |
30.5 | |||
Baa |
34.4 | |||
Ba |
0.7 | |||
P-1 |
0.2 | |||
P-2 |
1.1 | |||
P-3 |
0.5 | |||
Not Rated |
11.9 |
* |
Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(a) |
Excludes money market funds. |
6 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Summary as of October 31, 2022 | BlackRock Short Maturity Municipal Bond ETF |
Investment Objective
The BlackRock Short Maturity Municipal Bond ETF (the “Fund”) seeks to maximize tax-free current income by investing, under normal circumstances, at least 80% of its net assets in municipal securities such that the interest on each bond is exempt from U.S. federal income taxes and the federal alternative minimum tax. Under normal circumstances, the effective duration of the Fund’s portfolio is expected to be 1.2 years or less, as calculated by the management team, and is not expected to exceed 1.5 years. The Fund is an actively managed exchange-traded fund that does not seek to replicate the performance of a specified index.
Performance
Average Annual Total Returns | Cumulative Total Returns | |||||||||||||||||||||||||||
1 Year | 5 Years | Since Inception |
1 Year | 5 Years | Since Inception |
|||||||||||||||||||||||
Fund NAV |
(0.51 | )% | 0.81 | % | 0.81 | % | (0.51 | )% | 4.13 | % | 6.34 | % | ||||||||||||||||
Fund Market |
(0.42 | ) | 0.82 | 0.82 | (0.42 | ) | 4.17 | 6.42 | ||||||||||||||||||||
Bloomberg Municipal Bond: 1 Year (1-2) Index |
(2.20 | ) | 0.72 | 0.73 | (2.20 | ) | 3.64 | 5.72 |
GROWTH OF $10,000 INVESTMENT
(SINCE INCEPTION AT NET ASSET VALUE)
The inception date of the Fund was March 3, 2015. The first day of secondary market trading was March 5, 2015.
The Bloomberg Municipal Bond: 1 Year (1-2) Index is an unmanaged index comprised of national municipal bond issues having a maturity of at least one year and less than two years.
Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
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Beginning | Ending | Expenses | Beginning | Ending | Expenses | Annualized | ||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Account Value | Paid During | Expense | ||||||||||||||||||||||||
(05/01/22) | (10/31/22) | the Period | (a) | (05/01/22) | (10/31/22) | the Period | (a) | Ratio | ||||||||||||||||||||||
$ | 1,000.00 | $ | 1,003.70 | $ | 1.26 | $ | 1,000.00 | $ | 1,023.90 | $ | 1.28 | 0.25 | % |
(a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. |
F U N D S U M M A R Y | 7 |
Fund Summary as of October 31, 2022 (continued) | BlackRock Short Maturity Municipal Bond ETF |
Portfolio Management Commentary
The annual period was characterized by high volatility and poor performance for risk assets. In the United States, inflation reached 40-year highs following the lifting of COVID-related restrictions. This prompted a dramatic response from the U.S. Federal Reserve, including 300 basis points (three percentage points) of interest-rate hikes. Short-term bonds, while having less rate sensitivity than the overall fixed-income market, were nonetheless adversely affected by these events. Bonds with lower credit quality lagged, as yield spreads widened to reflect mounting concerns that the economy would fall into a recession.
The -2.17% return for the Bloomberg the Bloomberg Municipal Bond: 1 Year (1-2) Index (the Fund’s benchmark) was well ahead of the -15.68% return versus the broader fixed-income market, as represented by the Bloomberg U.S. Aggregate Bond Index.
The Fund outperformed its benchmark. The Fund invests predominately in short-term, fixed-rate, investment-grade municipal bonds and variable-rate demand notes (“VRDNs”), which are longer-maturity securities with floating-rate coupons. VRDNs produced positive total returns in the 12-month period, so the Fund’s holdings in this area contributed to relative performance. The Fund increased its allocation to VRDNs from about 43% to 60% over the reporting period to better position the portfolio for rising rates.
From a sector perspective, tobacco, utility and education bonds delivered positive returns, while transportation issues lagged. Positions in higher-quality securities generally outperformed, with AA rated issues contributing positively. On the other hand, BBB rated bonds detracted due to widening yield spreads.
Portfolio Information
CREDIT QUALITY ALLOCATION
S&P Credit Rating* | |
Percent of Total Investments |
(a) | |
AAA |
2.9 | % | ||
AA+ |
12.5 | |||
AA |
8.6 | |||
AA- |
5.3 | |||
A+ |
5.7 | |||
A |
5.4 | |||
A- |
13.3 | |||
BBB+ |
5.4 | |||
BBB |
0.7 | |||
Not Rated |
40.2 |
TEN LARGEST STATES
State | |
Percent of Total Investments |
(a) | |
Texas |
11.1 | % | ||
Pennsylvania |
9.5 | |||
New Jersey |
7.6 | |||
New York |
7.4 | |||
Kentucky |
6.6 | |||
Florida |
6.2 | |||
Louisiana |
5.5 | |||
Wisconsin |
5.1 | |||
Georgia |
4.9 | |||
Iowa |
4.0 |
* |
Credit quality ratings shown reflect the ratings assigned by S&P Global Ratings, a widely used independent, nationally recognized statistical rating organization. S&P credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of BBB or higher. Below investment grade ratings are credit ratings of BB or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(a) |
Excludes money market funds. |
8 | 2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Summary as of October 31, 2022 | BlackRock Ultra Short-Term Bond ETF |
Investment Objective
The BlackRock Ultra Short-Term Bond ETF (the “Fund”) seeks to provide current income consistent with preservation of capital by investing, under normal circumstances, at least 80% of its net assets in a portfolio of U.S. dollar-denominated investment-grade fixed- and floating-rate debt securities and maintain a dollar-weighted average maturity that is less than 180 days. The Fund is an actively managed exchange-traded fund that does not seek to replicate the performance of a specified index.
Performance
Average Annual Total Returns | Cumulative Total Returns | |||||||||||||||||||||||||||
1 Year | 5 Years | Since Inception |
1 Year | 5 Years | Since Inception |
|||||||||||||||||||||||
Fund NAV |
0.03 | % | 1.49 | % | 1.19 | % | 0.03 | % | 7.67 | % | 11.10 | % | ||||||||||||||||
Fund Market |
(0.03 | ) | 1.48 | 1.19 | (0.03 | ) | 7.63 | 11.06 | ||||||||||||||||||||
ICE BofA US 6-Month Treasury Bill Index |
0.53 | 1.26 | 0.91 | 0.53 | 6.47 | 8.40 |
GROWTH OF $10,000 INVESTMENT
(SINCE INCEPTION AT NET ASSETVALUE)
The inception date of the Fund was December 11, 2013. The first day of secondary market trading was December 13, 2013.
On 3/1/2021 the Fund began referencing the 4pm pricing variant of the ICE BofA US 6-Month Treasury Bill Index. Historical index data prior to 3/1/2021 is for the 3pm pricing variant of the ICE BofA US 6-Month Treasury Bill Index. Index data on and after 3/1/2021 is for the 4pm pricing variant of the ICE BofA US 6-Month Treasury Bill Index.
Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
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Beginning | Ending | Expenses | Beginning | Ending | Expenses | Annualized | ||||||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Account Value | Paid During | Expense | ||||||||||||||||||||||||
(05/01/22) | (10/31/22) | the Period | (a) | (05/01/22) | (10/31/22) | the Period | (a) | Ratio | ||||||||||||||||||||||
$ | 1,000.00 | $ | 1,005.30 | $ | 0.40 | $ | 1,000.00 | $ | 1,024.80 | $ | 0.41 | 0.08 | % |
(a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. |
F U N D S U M M A R Y |
9 |
Fund Summary as of October 31, 2022 (continued) | BlackRock Ultra Short-Term Bond ETF |
Portfolio Management Commentary
The annual period was characterized by high volatility and poor performance for risk assets. In the United States, inflation reached 40-year highs following the lifting of COVID-related restrictions. This prompted a dramatic response from the U.S. Federal Reserve, including 300 basis points (three percentage points) of interest-rate hikes. Short-term bonds, while having less sensitivity than the overall market, were nonetheless adversely affected by these events. Bonds with lower credit quality lagged, as yield spreads widened to reflect mounting concerns that the economy would fall into a recession.
The Fund’s benchmark, the ICE BofA US 6-Month Treasury Bill Index, returned 0.53% and strongly outperformed the -15.68% return of the overall fixed-income market, as represented by the Bloomberg U.S. Aggregate Bond Index.
The Fund posted a narrow gain, with income slightly outweighing the impact of falling prices. Relative to the broader market, the Fund benefitted from its defensive positioning. It had a shorter average duration (interest-rate sensitivity) and held a large position in cash and cash equivalents. Commercial paper, which represented about 39% of the Fund’s market value on average, was the primary source of positive total returns. Certificates of deposit, repurchase agreements, and a small allocation to municipal securities were also additive to Fund performance. Positions in these areas helped offset losses from holdings in investment-grade corporate bonds.
Over the course of the year, the Fund reduced its allocations to investment-grade corporate bonds and increased its weighting in commercial paper. Within corporates, the Fund added to floating-rate notes since they are better insulated against interest-rate increases than fixed-rate securities.
Portfolio Information
PORTFOLIO COMPOSITION
Investment Type | |
Percent
of Total Investments |
(a) | |
Commercial Paper |
39.5 | % | ||
Corporate Bonds & Notes |
36.8 | |||
Certificates of Deposit |
15.7 | |||
Repurchase Agreements |
3.4 | |||
Municipal Debt Obligations |
2.4 | |||
Asset-Backed Securities |
2.1 | |||
U.S. Government & Agency Obligations |
0.1 |
CREDIT QUALITY ALLOCATION
Moody’s Credit Rating* | |
Percent
of Total Investments |
(a) | |
Aaa |
2.1 | % | ||
Aa |
8.0 | |||
A |
23.3 | |||
Baa |
10.2 | |||
P-1 |
35.3 | |||
P-2 |
17.4 | |||
Not Rated |
3.7 |
* |
Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(a) |
Excludes money market funds. |
10 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
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.
Shareholders of each Fund may incur the following charges: (1) transactional expenses, including brokerage commissions on purchases and sales of fund shares and (2) ongoing expenses, including management fees and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other funds.
The expense examples provide information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number under the heading entitled “Expenses Paid During the Period.”
The expense examples also provide information about hypothetical account values and hypothetical expenses based on a fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as brokerage commissions and other fees paid on purchases and sales of fund shares. Therefore, the hypothetical examples are useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
A B O U T F U N D P E R F O R M A N C E / D I S C L O S U R E O F E X P E N S E S |
11 |
October 31, 2022 |
BlackRock Short Maturity Bond ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Asset-Backed Securities |
| |||||||||||
ACAS CLO Ltd., 5.08%, 10/18/28 (Call 01/18/23), (3 mo. LIBOR US + 0.890%)(a)(b) |
USD | 1,617 | $ | 1,576,627 | ||||||||
AGL Core CLO 4 Ltd., 5.31%, 04/20/33 (Call 01/20/23), (3 mo. LIBOR US + 1.070%)(a)(b) |
USD | 1,400 | 1,356,171 | |||||||||
AIG CLO Ltd., 5.36%, 04/20/32 (Call 01/20/23), (3 mo. LIBOR US + 1.120%)(a)(b) |
USD | 1,000 | 973,018 | |||||||||
Ally Auto Receivables Trust, 2.67%, 04/15/25 (Call 11/15/23) |
USD | 20,041 | 19,805,873 | |||||||||
American Express Credit Account Master Trust, Series 2018-9, Class A, 3.79%, 04/15/26, (1 mo. LIBOR US + 0.380%)(b) |
USD | 17,650 | 17,653,025 | |||||||||
AmeriCredit Automobile Receivables Trust 2022-2, 4.20%, 12/18/25 (Call 03/18/24) |
USD | 8,903 | 8,830,302 | |||||||||
Anchorage Capital CLO 4-R Ltd., Series 2014-4RA, Class A, 5.42%, 01/28/31 (Call 01/28/23), (3 mo. LIBOR US + 1.050%)(a)(b) |
USD | 4,500 | 4,419,555 | |||||||||
Anchorage Capital CLO 7 Ltd., Series 2015-7A, Class AR2, 5.46%, 01/28/31 (Call 01/28/23), (3 mo. LIBOR US + 1.090%)(a)(b) |
USD | 13,840 | 13,579,249 | |||||||||
Apidos CLO XII, 5.16%, 04/15/31 (Call 01/15/23), (3 mo. LIBOR US + 1.080%)(a)(b) |
USD | 500 | 487,605 | |||||||||
Arbor Realty Commercial Real Estate Notes Ltd., 4.48%, 08/15/34 (Call 03/15/24), (1 mo. LIBOR US + 1.070%)(a)(b) |
USD | 14,450 | 13,804,425 | |||||||||
ASSURANT CLO Ltd., Series 2018-2A, Class A, 5.28%, 04/20/31 (Call 01/20/23), (3 mo. LIBOR US + 1.040%)(a)(b) |
USD | 250 | 242,779 | |||||||||
Atlas Senior Loan Fund III Ltd., Series 2013-1A, Class AR, 3.77%, 11/17/27 (Call 11/17/22), (3 mo. LIBOR US + 0.830%)(a)(b) |
USD | 5,544 | 5,463,930 | |||||||||
Atrium XIII, Series 13A, Class A1, 5.50%, 11/21/30 (Call 01/23/23), (3 mo. LIBOR US + 1.180%)(a)(b) |
USD | 2,500 | 2,459,023 | |||||||||
Autoflorence
2 SRL |
EUR | 10,320 | 10,087,571 | |||||||||
1.69%, 12/24/44 (Call 10/24/26)(b)(c) |
EUR | 898 | 857,541 | |||||||||
Autonoria
Spain FTA |
EUR | 8,500 | 8,379,962 | |||||||||
2.98%, 01/26/40 (Call 03/25/28)(b)(c) |
EUR | 500 | 488,492 | |||||||||
Bain Capital Credit CLO Ltd., Series 2017-1A, Class A1R, 5.21%, 07/20/30 (Call 01/20/23), (3 mo. LIBOR US + 0.970%)(a)(b) |
USD | 3,149 | 3,085,944 | |||||||||
Barings CLO Ltd. |
||||||||||||
5.31%, 04/20/31 (Call 01/20/23), (3 mo. LIBOR US + 1.070%)(a)(b) |
USD | 550 | 535,425 | |||||||||
5.41%, 01/15/33 (Call 01/15/23), (3 mo. LIBOR US + 1.330%)(a)(b) |
USD | 3,850 | 3,735,114 | |||||||||
BDS 2021-FL9 Ltd., 4.51%, 11/16/38 (Call 10/16/23), (1 mo. LIBOR US + 1.070%)(a)(b) |
USD | 8,750 | 8,316,272 | |||||||||
Benefit Street Partners CLO III Ltd., Series 2013-IIIA, Class A1R2, 5.24%, 07/20/29 (Call 01/20/23), (3 mo. LIBOR US + 1.000%)(a)(b) |
USD | 258 | 254,191 | |||||||||
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A1AR, 5.34%, 01/20/31 (Call 01/20/23), (3 mo. LIBOR US + 1.100%)(a)(b) |
USD | 750 | 732,375 | |||||||||
Benefit Street Partners Clo XII Ltd., 5.03%, 10/15/30 (Call 01/15/23), (3 mo. LIBOR US + 0.950%)(a)(b) |
USD | 1,678 | 1,643,272 | |||||||||
BHG Securitization Trust, 3.75%, 06/18/35 (Call 04/17/24)(a) |
USD | 1,264 | 1,244,048 |
Security | Par (000) |
Value | ||||||||||
BMW Vehicle Owner Trust, 3.52%, 12/26/24 (Call 11/27/23), (30 day SOFR + 0.520%)(b) |
USD | 13,636 | $ | 13,631,282 | ||||||||
Capital One Prime Auto Receivables Trust, 2.71%, 06/16/25 (Call 02/15/24) |
USD | 15,385 | 15,141,652 | |||||||||
Carlyle C17 CLO Ltd., Series C17A, Class A1AR, 5.44%, 04/30/31 (Call 01/30/23), (3 mo. LIBOR US + 1.030%)(a)(b) |
USD | 1,000 | 975,000 | |||||||||
Carlyle Global Market Strategies CLO Ltd., Series 2014-1A, Class A1R2, 5.05%, 04/17/31 (Call 01/17/23), (3 mo. LIBOR US + 0.970%)(a)(b) |
USD | 5,234 | 5,090,149 | |||||||||
Carmax Auto Owner Trust, 3.81%, 09/15/25 (Call 05/15/24) |
USD | 8,777 | 8,660,188 | |||||||||
Cbam Ltd., Series 2018-7A, Class A, 5.34%, 07/20/31 (Call 01/20/23), (3 mo. LIBOR US + 1.100%)(a)(b) |
USD | 750 | 723,750 | |||||||||
Cedar Funding IX CLO Ltd., 5.22%, 04/20/31 (Call 01/20/23), (3 mo. LIBOR US + 0.980%)(a)(b) |
USD | 2,130 | 2,073,198 | |||||||||
Chesapeake Funding II LLC, Series 2020-1A, Class A2, 4.06%, 08/15/32 (Call 05/15/23), (1 mo. LIBOR US + 0.650%)(a)(b) |
USD | 5,271 | 5,258,761 | |||||||||
CIFC Funding Ltd. |
||||||||||||
Series 2014-2RA, Class A1, 5.37%, 04/24/30 (Call 01/24/23), (3 mo. LIBOR US + 1.050%)(a)(b) |
USD | 248 | 243,005 | |||||||||
Series 2018-1A, Class A, 5.19%, 04/18/31 (Call 01/18/23), (3 mo. LIBOR US + 1.000%)(a)(b) |
USD | 13,000 | 12,642,500 | |||||||||
Series 2018-2A, Class A1, 5.28%, 04/20/31 (Call 01/20/23), (3 mo. LIBOR US + 1.040%)(a)(b) |
USD | 1,250 | 1,216,960 | |||||||||
Citibank Credit Card Issuance Trust, Series 2019-A5, Class A5, 4.19%, 04/22/26, (1 mo. LIBOR US + 0.620%)(b) |
USD | 40,505 | 40,456,378 | |||||||||
College Ave Student Loans LLC, Series 2021-A, Class A1, 4.69%, 07/25/51 (Call 02/25/32), (1 mo. LIBOR US + 1.100%)(a)(b) |
USD | 216 | 206,452 | |||||||||
Credit Acceptance Auto Loan Trust, Series 2021-3A, Class A, 1.00%, 05/15/30 (Call 07/15/24)(a) |
USD | 4,130 | 3,878,505 | |||||||||
Diameter Capital Clo 1 Ltd., 5.32%, 07/15/36 (Call 10/15/23), (3 mo. LIBOR US + 1.240%)(a)(b) |
USD | 2,170 | 2,078,550 | |||||||||
Donlen Fleet Lease Funding 2 LLC, Series 2021-2, Class A2, 0.56%, 12/11/34(a) |
USD | 8,581 | 8,256,661 | |||||||||
Dowson PLC |
||||||||||||
3.11%, 01/20/29 (Call 09/20/24)(b)(c) |
GBP | 3,079 | 3,510,882 | |||||||||
3.94%, 01/20/29 (Call 04/22/25)(b)(c) |
GBP | 646 | 716,789 | |||||||||
4.89%, 08/20/29 (Call 02/20/24)(b)(c) |
GBP | 1,158 | 1,298,138 | |||||||||
Series 2021-2, Class A, 2.87%, 10/20/28 (Call 11/20/23), (Sterning Ovenight Index Average + 0.680%)(b)(c) |
GBP | 4,398 | 5,027,201 | |||||||||
Series 2021-2, Class B, 3.39%, 10/20/28 (Call 05/20/24), (Sterning Ovenight Index Average + 1.200%)(b)(c) |
GBP | 1,600 | 1,793,191 | |||||||||
Dryden 36 Senior Loan Fund, 5.10%, 04/15/29 (Call 01/15/23), (3 mo. LIBOR US + 1.020%)(a)(b) |
USD | 1,680 | 1,650,797 | |||||||||
Dryden 49 Senior Loan Fund, Series 2017-49A, Class AR, 5.14%, 07/18/30 (Call 01/18/23), (3 mo. LIBOR US + 0.950%)(a)(b) |
USD | 10,688 | 10,489,671 | |||||||||
Dryden 77 CLO Ltd., Series 2020-77A, Class XR, 3.98%, 05/20/34 (Call 05/20/23), (3 mo. LIBOR US + 1.000%)(a)(b) |
USD | 234 | 233,015 | |||||||||
Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR, 4.98%, 04/15/29 (Call 01/15/23), (3 mo. LIBOR US + 0.900%)(a)(b) |
USD | 14,728 | 14,456,080 | |||||||||
Dryden XXVIII Senior Loan Fund, 4.11%, 08/15/30 (Call 11/15/22), (3 mo. LIBOR US + 1.200%)(a)(b) |
USD | 3,333 | 3,277,069 |
12 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Short Maturity Bond ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Dutch
Property Finance, Series 2021-2,
Class A, 2.28%, 04/28/59 |
EUR | 5,724 | $ | 5,524,773 | ||||||||
Dutch Property Finance BV, 0.96%, 10/28/59 (Call 01/28/27)(b)(c) |
EUR | 7,979 | 7,681,099 | |||||||||
Elevation CLO Ltd., Series 2014-2A, Class A1R, 5.36%, 10/15/29 (Call 01/15/23), (3 mo. LIBOR US + 1.230%)(a)(b) |
USD | 420 | 413,297 | |||||||||
Elmwood CLO X Ltd., Series 2021-3A, Class A, 5.28%, 10/20/34 (Call 01/20/23), (3 mo. LIBOR US + 1.040%)(a)(b) |
USD | 13,000 | 12,497,213 | |||||||||
Elvet
Mortgages PLC, Series 2021-1,
Class A, 2.56%, 10/22/63 |
GBP | 9,348 | 10,567,590 | |||||||||
Enterprise Fleet Funding LLC, Series 2021-1, Class A2, 0.44%, 12/21/26 (Call 04/20/24)(a) |
USD | 7,327 | 7,066,531 | |||||||||
Ford Credit Auto Owner Trust, 3.44%, 02/15/25 (Call 01/15/24) |
USD | 27,812 | 27,537,284 | |||||||||
FS Rialto Issuer LLC, 4.79%, 01/19/39 (Call 04/17/24), (SOFR + 1.900%)(a)(b) |
USD | 5,000 | 4,806,531 | |||||||||
Galaxy XV CLO Ltd., Series 2013-15A, Class ARR, 5.05%, 10/15/30 (Call 01/15/23), (3 mo. LIBOR US + 0.970%)(a)(b) |
USD | 670 | 652,366 | |||||||||
Galaxy XXVII CLO Ltd., 3.94%, 05/16/31 (Call 11/16/22)(a)(b) |
USD | 2,730 | 2,659,852 | |||||||||
Generate CLO 2 Ltd., 5.47%, 01/22/31 (Call 01/22/23)(a)(b) |
USD | 1,605 | 1,572,969 | |||||||||
Gilbert Park CLO Ltd., 5.27%, 10/15/30 (Call 01/15/23), (3 mo. LIBOR US + 1.190%)(a)(b) |
USD | 250 | 244,494 | |||||||||
GM Financial Automobile Leasing Trust, 2.93%, 10/21/24 (Call 01/20/24) |
USD | 18,952 | 18,667,605 | |||||||||
GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class AR2, 5.52%, 10/29/29 (Call 01/29/23), (3 mo. LIBOR US + 1.110%)(a)(b) |
USD | 15,721 | 15,411,730 | |||||||||
HGI CRE CLO Ltd., 4.41%, 09/17/36 (Call 09/19/23), (1 mo. LIBOR US + 1.000%)(a)(b) |
USD | 5,380 | 5,135,561 | |||||||||
Highbridge Loan Management, Series 3A-2014, Class A1R, 5.37%, 07/18/29 (Call 01/18/23), (3 mo. LIBOR US + 1.180%)(a)(b) |
USD | 1,087 | 1,068,193 | |||||||||
Honda Auto Receivables Owner Trust, 3.81%, 03/18/25 (Call 03/18/24) |
USD | 12,396 | 12,257,683 | |||||||||
Hyundai Auto Lease Securitization Trust, 3.41%, 10/15/24 (Call 11/15/23), (30 day SOFR + 0.620%)(a)(b) |
USD | 23,490 | 23,485,435 | |||||||||
Hyundai Auto Receivables Trust, 3.64%, 05/15/25 (Call 04/15/24) |
USD | 10,808 | 10,687,180 | |||||||||
John Deere Owner Trust, 3.73%, 06/16/25 (Call 04/15/24) |
USD | 8,735 | 8,620,355 | |||||||||
KKR CLO 21 Ltd., 5.08%, 04/15/31 (Call 01/15/23), (3 mo. LIBOR US + 1.000%)(a)(b) |
USD | 5,590 | 5,434,511 | |||||||||
KREF Ltd., 4.92%, 02/17/39 (Call 01/17/24)(a)(b) |
USD | 9,360 | 9,009,000 | |||||||||
LCM 29 Ltd., Series 29A, Class AR, 5.15%, 04/15/31 (Call 01/15/23), (3 mo. LIBOR US + 1.070%)(a)(b) |
USD | 2,600 | 2,528,503 | |||||||||
LoanCore Issuer Ltd., 4.71%, 11/15/38 (Call 11/15/23), (1 mo. LIBOR US + 1.300%)(a)(b) |
USD | 2,640 | 2,521,379 | |||||||||
Madison Park Funding XIII Ltd., Series 2014-13A, Class AR2, 5.18%, 04/19/30 (Call 01/19/23), (3 mo. LIBOR US + 0.950%)(a)(b) |
USD | 3,775 | 3,708,277 | |||||||||
Madison Park Funding XVII Ltd., Series 2015-17A, Class AR2, 5.28%, 07/21/30 (Call 01/21/23), (3 mo. LIBOR US + 1.000%)(a)(b) |
USD | 1,784 | 1,748,624 |
Security | Par (000) |
Value | ||||||||||
Madison Park Funding XXIII Ltd., Series 2017-23A, Class AR, 5.33%, 07/27/31 (Call 01/27/23), (3 mo. LIBOR US + 0.970%)(a)(b) |
USD | 13,200 | $ | 12,936,000 | ||||||||
Madison
Park Funding XXVI Ltd., Series 2007-4A,
Class AR, |
USD | 4,875 | 4,788,264 | |||||||||
Madison Park Funding XXXVII Ltd., 5.15%, 07/15/33 (Call 01/15/23), (3 mo. LIBOR US + 1.070%)(a)(b) |
USD | 1,750 | 1,694,704 | |||||||||
Mariner CLO LLC, Series 2016-3A, Class AR2, 5.31%, 07/23/29 (Call 01/23/23), (3 mo. LIBOR US + 0.990%)(a)(b) |
USD | 951 | 933,134 | |||||||||
MF1 Multifamily Housing Mortgage Loan Trust, 4.54%, 07/16/36 (Call 07/16/23), (1 mo. LIBOR US + 1.100%)(a)(b) |
USD | 4,520 | 4,333,109 | |||||||||
Multifamily Housing Mortgage Loan Trust, 4.24%, 02/19/37 (Call 02/17/24)(a)(b) |
USD | 1,860 | 1,788,422 | |||||||||
Navient Private Education Loan Trust |
||||||||||||
Series 2017-A, Class A2B, 4.31%, 12/16/58 (Call 09/16/24), (1 mo. LIBOR US + 0.900%)(a)(b) |
USD | 336 | 334,258 | |||||||||
Series 2020-IA, Class A1B, 4.41%, 04/15/69 (Call 05/15/31), (1 mo. LIBOR US + 1.000%)(a)(b) |
USD | 6,104 | 5,899,653 | |||||||||
Navient Private Education Refi Loan Trust |
||||||||||||
Series 2021-BA, Class A, 0.94%, 07/15/69 (Call 09/15/28)(a) |
USD | 5,997 | 5,028,998 | |||||||||
Series 2021-DA, Class A, 4.26%, 04/15/60 (Call 05/15/32), (PRIME - 1.990%)(a)(b) |
USD | 7,421 | 6,520,625 | |||||||||
Nelnet Student Loan Trust |
||||||||||||
4.18%, 04/20/62 (Call 03/20/29), (1 mo. LIBOR US + 0.690%)(a)(b) |
USD | 2,929 | 2,823,972 | |||||||||
4.23%, 04/20/62 (Call 08/20/29), (1 mo. LIBOR US + 0.740%)(a)(b) |
USD | 5,622 | 5,378,625 | |||||||||
Series 2021-A, Class A1, 4.29%, 04/20/62 (Call 02/20/29), (1 mo. LIBOR US + 0.800%)(a)(b) |
USD | 7,080 | 6,893,096 | |||||||||
Series 2021-BA, Class AFL, 4.27%, 04/20/62 (Call 07/20/29), (1 mo. LIBOR US + 0.780%)(a)(b) |
USD | 12,259 | 11,817,611 | |||||||||
Neuberger Berman CLO Ltd., Series 2013-14A, Class AR2, 5.40%, 01/28/30 (Call 01/28/23), (3 mo. LIBOR US + 0.990%)(a)(b) |
USD | 488 | 478,798 | |||||||||
Neuberger Berman Loan Advisers CLO 33 Ltd., 5.16%, 10/16/33 (Call 01/16/23), (3 mo. LIBOR US + 1.080%)(a)(b) |
USD | 2,050 | 1,986,636 | |||||||||
Niagara Park Clo Ltd., 5.08%, 07/17/32 (Call 01/17/23), (3 mo. LIBOR US + 1.000%)(a)(b) |
USD | 2,500 | 2,408,750 | |||||||||
Nissan Auto Lease Trust, 3.45%, 08/15/24 (Call 11/15/23) |
USD | 14,548 | 14,379,879 | |||||||||
NLY Commercial Mortgage Trust, Series 2019-FL2, Class A, 4.71%, 02/15/36 (Call 11/15/22), (1 mo. LIBOR US + 1.300%)(a)(b) |
USD | 1,226 | 1,213,921 | |||||||||
OCP CLO Ltd., Series 2017-13A, 5.04%, 07/15/30 (Call 01/15/23), (3 mo. LIBOR US + 0.960%)(a)(b) |
USD | 3,820 | 3,728,003 | |||||||||
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A1R2, 5.36%, 01/25/31 (Call 01/25/23), (3 mo. LIBOR US + 1.000%)(a)(b) |
USD | 3,000 | 2,936,579 | |||||||||
OneMain Direct Auto Receivables Trust, 4.37%, 03/14/29 (Call 09/15/25)(a)(b) |
USD | 8,825 | 8,793,219 | |||||||||
OneMain Financial Issuance Trust |
||||||||||||
3.53%, 06/16/36 (Call 06/14/26), (SOFR + 0.760%)(a)(b |
USD | 5,108 | 4,687,385 | |||||||||
3.84%, 05/14/32 (Call 11/14/22)(a) |
USD | 2,893 | 2,857,277 |
S C H E D U L E O F I N V E S T M E N T S |
13 |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Short Maturity Bond ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Palmer Square CLO Ltd. |
||||||||||||
5.23%, 10/17/31
(Call 01/19/23), |
|
USD |
|
|
1,800 |
|
$ |
1,743,566 |
| |||
Series 2015-2, 5.34%, 07/20/30 (Call 01/20/23), (3 mo. LIBOR US + 1.100%)(a)(b) |
USD | 3,603 | 3,524,968 | |||||||||
Series 2021-3A, Class A1, 5.23%, 01/15/35 (Call 01/15/24)(a)(b) |
USD | 500 | 477,395 | |||||||||
Palmer
Square Loan Funding Ltd., 4.08%, 01/15/31 |
USD | 5,080 | 5,075,539 | |||||||||
PCL Funding V PLC, 2.94%, 10/15/25 (Call 10/15/23)(b)(c) |
GBP | 3,000 | 3,400,414 | |||||||||
PCL Funding VI PLC, 3.59%, 07/15/26 (Call 07/15/24)(b)(c) |
GBP | 6,611 | 7,549,270 | |||||||||
PFS Financing Corp., 3.39%, 02/15/26, (SOFR + 0.600%)(a)(b) |
USD | 22,642 | 22,467,638 | |||||||||
Pikes Peak CLO 1, Series 2018-1A, Class A, 5.50%, 07/24/31 (Call 01/24/23), (3 mo. LIBOR US + 1.180%)(a)(b) |
USD | 1,500 | 1,459,420 | |||||||||
Prodigy Finance CM2021-1 DAC, Series 2021-1A, Class A, 4.84%, 07/25/51 (Call 02/25/27), (1 mo. LIBOR US + 1.250%)(a)(b) |
USD | 1,424 | 1,371,513 | |||||||||
Red & Black Auto Germany 8 UG, Class B, 1.60%, 09/15/30 (Call 11/15/25)(b)(c) |
EUR | 400 | 385,306 | |||||||||
Red & Black Auto Italy S.r.l., Class A, 1.81%, 12/28/31 (Call 09/28/25)(b)(c) |
EUR | 12,452 | 12,186,057 | |||||||||
Romark WM-R Ltd., Series 2018-1A, Class A1, 5.27%, 04/20/31 (Call 01/20/23), (3 mo. LIBOR US + 1.030%)(a)(b) |
USD | 3,879 | 3,799,051 | |||||||||
RR 3 Ltd., Series 2018-3A, Class A1R2, 5.17%, 01/15/30 (Call 01/15/23), (3 mo. LIBOR US + 1.090%)(a)(b) |
USD | 2,000 | 1,958,902 | |||||||||
Santander
Drive Auto Receivables Trust |
USD | 15,464 | 15,357,487 | |||||||||
4.05%, 07/15/25 (Call 11/15/23) |
USD | 7,792 | 7,736,275 | |||||||||
Satus PLC |
||||||||||||
2.89%, 08/17/28 (Call 01/17/24), (Sterning Ovenight Index Average + 0.700%)(b)(c) |
GBP | 524 | 597,791 | |||||||||
3.39%, 08/17/28 (Call 07/17/24), (Sterning Ovenight Index Average + 1.200%)(b)(c) |
GBP | 400 | 453,215 | |||||||||
3.79%, 08/17/28 (Call 01/17/25), (Sterning Ovenight Index Average + 1.600%)(b)(c) |
GBP | 300 | 334,838 | |||||||||
Shackleton Clo Ltd., Series 2017-11A, 4.00%, 08/15/30 (Call 11/15/22), (3 mo. LIBOR US + 1.090%)(a)(b) |
USD | 2,750 | 2,697,770 | |||||||||
Shackleton CLO Ltd., Series 2015-7R, 5.23%, 07/15/31 (Call 01/15/23), (3 mo. LIBOR US + 1.150%)(a)(b) |
USD | 2,750 | 2,678,804 | |||||||||
Signal Peak CLO 2 LLC, Series 2015-1A, Class AR2, 5.22%, 04/20/29 (Call 01/20/23), (3 mo. LIBOR US + 0.980%)(a)(b) |
USD | 1,351 | 1,324,678 | |||||||||
Silver Creek CLO Ltd., 5.48%, 07/20/30 (Call 01/20/23), (3 mo. LIBOR US + 1.240%)(a)(b) |
USD | 6,006 | 5,913,289 | |||||||||
Silverstone
Master Issuer PLC, 2.48%, 01/21/70 |
GBP | 3,485 | 3,906,323 | |||||||||
SLM Private Credit Student Loan Trust |
||||||||||||
Series 2004-A, Class A3, 3.69%, 06/15/33 (Call 12/15/22), (3 mo. LIBOR US + 0.400%)(b) |
USD | 3,121 | 3,035,675 | |||||||||
Series 2004-B, Class A3, 3.62%, 03/15/24 (Call 12/15/23), (3 mo. LIBOR US + 0.330%)(b) |
USD | 2,121 | 2,113,180 | |||||||||
Series 2005-A, Class A4, 3.60%, 12/15/38 (Call 12/15/26), (3 mo. LIBOR US + 0.310%)(b) |
USD | 6,900 | 6,534,510 |
Security | Par (000) |
Value | ||||||||||
Series 2005-B, Class A4, 3.62%, 06/15/39 (Call 09/15/26), (3 mo. LIBOR US + 0.330%)(b) |
USD | 4,875 | $ | 4,649,147 | ||||||||
Series 2006-A, Class A5, 3.58%, 06/15/39 (Call 09/15/28), (3 mo. LIBOR US + 0.290%)(b) |
USD | 10,897 | 10,207,584 | |||||||||
Series 2006-B, Class A5, 3.56%, 12/15/39 (Call 09/15/27), (3 mo. LIBOR US + 0.270%)(b) |
USD | 7,801 | 7,336,079 | |||||||||
SMB Private Education Loan Trust |
||||||||||||
4.24%, 02/16/55, (30 day SOFR + 1.450%)(a)(b) |
USD | 11,449 | 11,079,701 | |||||||||
4.64%, 05/16/50, (SOFR + 1.850%)(a)(b) |
USD | 5,288 | 5,258,243 | |||||||||
4.75%, 10/15/58 |
USD | 21,335 | 21,012,963 | |||||||||
Series 2017-A, Class A2B, 4.31%, 09/15/34, (1 mo. LIBOR US + 0.900%)(a)(b) |
USD | 9,903 | 9,765,437 | |||||||||
Series 2021-C, Class A1, 3.81%, 01/15/53, (1 mo. LIBOR US + 0.400%)(a)(b) |
USD | 371 | 371,127 | |||||||||
SoFi Professional Loan Program LLC, Series 16-C, Class A1, 4.69%, 10/27/36 (Call 11/25/22), (1 mo. LIBOR US + 1.100%)(a)(b) |
USD | 363 | 363,290 | |||||||||
Sound Point Clo XV Ltd., Series 2017-1A, Class ARR, 5.22%, 01/23/29 (Call 01/23/23), (3 mo. LIBOR US + 0.900%)(a)(b) |
USD | 2,124 | 2,090,942 | |||||||||
Sound Point CLO XXVIII Ltd., Series 2020 3A, Class A1, 5.64%, 01/25/32 (Call 01/25/23), (3 mo. LIBOR US + 1.280%)(a)(b) |
USD | 1,250 | 1,210,180 | |||||||||
Southwick Park CLO LLC, 5.30%, 07/20/32 (Call 01/20/23), (3 mo. LIBOR US + 1.060%)(a)(b) |
USD | 8,760 | 8,447,705 | |||||||||
Symphony CLO XVI Ltd., Series 2015-16A, Class AR, 5.23%, 10/15/31 (Call 01/15/23), (3 mo. LIBOR US + 1.150%)(a)(b) |
USD | 500 | 487,826 | |||||||||
TAGUS
- Sociedade de Titularizacao de Creditos SA/Ulisses Finance No. 2,
1.64%, 09/23/38 |
EUR | 11,819 | 11,635,220 | |||||||||
TCI-Symphony CLO Ltd. |
||||||||||||
4.96%, 10/13/32
(Call 01/13/23), |
USD | 5,235 | 5,069,056 | |||||||||
5.01%, 07/15/30
(Call 01/15/23), (3 mo. LIBOR US + |
USD | 7,958 | 7,789,664 | |||||||||
TICP CLO IX Ltd., Series 2017-9A, Class A, 5.38%, 01/20/31 (Call 01/20/23), (3 mo. LIBOR US + 1.140%)(a)(b) |
USD | 500 | 488,772 | |||||||||
Together Asset-Backed Securitisation PLC, 2.89%, 07/12/63 (Call 10/12/25)(b)(c) |
GBP | 2,350 | 2,622,027 | |||||||||
Verizon Owner Trust, Series 2020-A, Class A1B, 3.76%, 07/22/24 (Call 04/20/23), (1 mo. LIBOR US + 0.270%)(b) |
USD | 2,536 | 2,534,043 | |||||||||
Volkswagen Auto Lease Trust, 3.20%, 10/21/24 (Call 01/20/24) |
USD | 20,878 | 20,536,561 | |||||||||
Voya CLO, Series 2017-2A, Class A1R, 5.06%, 06/07/30 (Call 01/15/23), (3 mo. LIBOR US + 0.980%)(a)(b) |
USD | 5,122 | 5,017,154 | |||||||||
Voya CLO Ltd., 5.14%, 04/15/31 (Call 01/15/23), (3 mo. LIBOR US + 1.060%)(a)(b) |
USD | 1,250 | 1,220,952 | |||||||||
Voya Ltd., Series 2012-4, 5.08%, 10/15/30 (Call 01/15/23), (3 mo. LIBOR US + 1.000%)(a)(b) |
USD | 13,000 | 12,726,176 | |||||||||
Wellfleet CLO Ltd., Series 2016-1A, Class AR, 5.15%, 04/20/28 (Call 01/20/23), (3 mo. LIBOR US + 0.910%)(a)(b) |
USD | 828 | 811,969 | |||||||||
Westlake Automobile Receivables Trust 3.36%, 08/15/25 (Call 12/15/23)(a) |
USD | 7,738 | 7,634,673 |
14 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Short Maturity Bond ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Series 2021-1A, Class A2A, 0.39%, 10/15/24 (Call 02/15/23)(a) |
USD | 2,447 | $ | 2,434,300 | ||||||||
|
|
|||||||||||
Total
Asset-Backed Securities — 21.0% |
|
890,030,231 | ||||||||||
|
|
|||||||||||
Collaterized Mortgage Obligations |
| |||||||||||
Mortgage-Backed Securities — 6.5% |
| |||||||||||
280 Park Avenue Mortgage Trust, Series 2017-280P, Class A, 4.18%, 09/15/34 (Call 11/15/22), (1 mo. LIBOR US + 0.880%)(a)(b) |
USD | 12,100 | 11,766,704 | |||||||||
AREIT
Trust |
USD | 1,878 | 1,791,624 | |||||||||
Series
2019-CRE3, Class A, 4.76%, 09/14/36 (Call 08/14/23), |
USD | 4,059 | 4,042,876 | |||||||||
BAMLL
Commercial Mortgage Securities Trust, |
USD | 19,220 | 18,714,624 | |||||||||
BBCMS-TALL
Mortgage Trust, |
USD | 8,630 | 8,111,995 | |||||||||
BX
Commercial Mortgage Trust (1 mo. LIBOR US + 0.690%)(a)(b) |
USD | 9,063 | 8,572,413 | |||||||||
4.39%, 02/15/39(a)(b) |
USD | 10,020 | 9,557,185 | |||||||||
Series
2019-XL, Class A, (1 mo. LIBOR US + 0.920%)(a)(b) |
USD | 5,398 | 5,289,335 | |||||||||
BX
Trust (1 mo. LIBOR US + 0.890%)(a)(b) |
USD | 8,520 | 7,986,659 | |||||||||
Series
2019-CALM, Class A, (1 mo. LIBOR US + 0.876%)(a)(b) |
USD | 1,290 | 1,255,804 | |||||||||
Series
2021, Class A, 4.69%, 06/15/36, (1 mo. LIBOR US + 1.280%)(a)(b) |
USD | 2,070 | 1,959,238 | |||||||||
CEDR
Commercial Mortgage Trust, |
USD | 5,410 | 5,053,379 | |||||||||
Chase
Home Lending Mortgage Trust, Series 2019-ATR2, Class A11, |
USD | 1,133 | 1,086,310 | |||||||||
Cold
Storage Trust, Series 2020-ICE5, Class A, 4.31%, 11/15/37, |
USD | 1,843 | 1,786,745 | |||||||||
Commission
Mortgage Trust |
USD | 17,220 | 17,182,559 | |||||||||
3.73%, 03/10/31 (Call 03/10/23)(a) |
USD | 10,000 | 9,980,750 | |||||||||
Series
2013- GAM, Class A2, |
USD | 6,185 | 6,105,973 | |||||||||
Credit
Suisse Mortgage Capital Certificates, Series 2019-ICE4,
Class A, |
USD | 6,333 | 6,214,042 | |||||||||
DBGS
Mortgage Trust, Series 2018-5BP,
Class A, 4.21%, 06/15/33 (Call 11/15/22), (1 mo.
LIBOR |
USD | 4,200 | 4,000,221 | |||||||||
Extended
Stay America Trust, Series 2021-ESH, Class A, 4.49%,
07/15/38, |
USD | 6,082 | 5,838,021 | |||||||||
Friary
No. 7 PLC, 2.36%, 10/21/70 |
GBP | 1,544 | 1,762,950 | |||||||||
GCT
Commercial Mortgage Trust, Series 2021-GCT, Class A, 4.21%,
02/15/38, |
USD | 8,600 | 8,081,223 | |||||||||
GS Mortgage Securities Corportation Trust, 4.36%, 10/15/36, (1 mo. LIBOR US + 0.950%)(a)(b) |
USD | 10,360 | 9,623,515 | |||||||||
Hops
Hill No. 1 PLC, 3.14%, 05/27/54 |
GBP | 2,968 | 3,348,433 |
Security | Par (000) |
Value | ||||||||||
Mortgage-Backed Securities (continued) |
| |||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, 4.19%, 03/15/39(a)(b) |
USD | 5,540 | $ | 5,380,560 | ||||||||
JP
Morgan Chase Commercial Mortgage Securities Trust, Series 2019-BKWD,
Class A, 4.66%, 09/15/29, |
USD | 1,645 | 1,597,592 | |||||||||
KNDL
Mortgage Trust, Series 2019-KNSQ, Class A, 4.21%, 05/15/36, |
USD | 8,533 | 8,362,341 | |||||||||
Med Trust, 4.36%, 11/15/38(a)(b) |
USD | 4,260 | 4,057,320 | |||||||||
MF1 Multifamily Housing Mortgage Loan Trust |
USD | 1,230 | 1,174,650 | |||||||||
4.75%, 12/15/34, (SOFR + 1.370%)(a)(b)(d) |
USD | 480 | 456,000 | |||||||||
MHC Commercial Mortgage Trust, 4.21%, 04/15/38, (1 mo. LIBOR US + 0.801%)(a)(b) |
USD | 5,925 | 5,676,382 | |||||||||
Morgan Stanley Capital I Trust |
||||||||||||
Series
2018-BOP, Class A, |
USD | 4,330 | 4,242,065 | |||||||||
Series
2018-SUN, Class A, |
USD | 19,045 | 18,449,758 | |||||||||
MSCG
Trust, 4.31%, 10/15/37, |
USD | 5,300 | 5,140,776 | |||||||||
MTN
Commercial Mortgage Trust, |
USD | 8,930 | 8,662,118 | |||||||||
Ready
Capital Mortgage Financing LLC, 4.67%, 01/25/37 (Call 02/25/24), |
USD | 8,560 | 8,215,570 | |||||||||
RIAL
Issuer Ltd., |
USD | 6,955 | 6,728,962 | |||||||||
Taubman Centers Commercial Mortgage Trust, 5.56%, 05/15/37(a)(b) |
USD | 2,900 | 2,823,755 | |||||||||
Taurus UK DAC, 2.87%, 08/17/31 (Call 08/17/26), (SOFR + 0.950%)(b)(c) |
GBP | 6,837 | 7,454,332 | |||||||||
TPGI Trust, Series 2021 DGWD, Class A, 4.11%, 06/15/26, (1 mo. LIBOR US + 0.700%)(a)(b) |
USD | 6,320 | 5,998,308 | |||||||||
Vita Scientia DAC, 1.82%, 02/27/33(b)(c) |
EUR | 5,708 | 5,329,732 | |||||||||
Wells Fargo Commercial Mortgage Trust, Series 2017-SMP, Class A, 4.29%, 12/15/34, (1 mo. LIBOR US + 0.750%)(a)(b) |
USD | 17,280 | 17,069,327 | |||||||||
|
|
|||||||||||
Total
Collaterized Mortgage Obligations — 6.5% |
|
275,932,126 | ||||||||||
|
|
|||||||||||
Commercial Paper |
| |||||||||||
Enel
Finance America LLC |
$ | 20,000 | 19,951,467 | |||||||||
6.44%, 08/09/23(e) |
10,000 | 9,519,660 | ||||||||||
6.58%, 09/06/23(e) |
15,000 | 14,195,550 | ||||||||||
General Motors Financial Co. Inc., 4.09%, 11/14/22(e) |
20,000 | 19,968,274 | ||||||||||
HSBC USA Inc., 5.57%, 08/23/23(e) |
10,000 | 9,562,167 | ||||||||||
National Australia Bank Ltd., 4.84%, 03/15/23(e) |
10,000 | 9,821,875 | ||||||||||
|
|
|||||||||||
Total
Commercial Paper — 2.0% |
|
83,018,993 | ||||||||||
|
|
|||||||||||
Corporate Bonds & Notes |
| |||||||||||
Aerospace & Defense — 0.3% |
| |||||||||||
L3Harris Technologies Inc., 3.85%, 06/15/23 |
||||||||||||
(Call 05/15/23) |
15,000 | 14,865,970 | ||||||||||
|
|
|||||||||||
Auto Manufacturers — 7.6% | ||||||||||||
American Honda Finance Corp., 0.88%, 07/07/23(f) |
10,000 | 9,716,100 | ||||||||||
BMW U.S. Capital LLC 0.80%, 04/01/24(a) |
11,565 | 10,880,857 |
S C H E D U L E O F I N V E S T M E N T S |
15 |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Short Maturity Bond ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Auto Manufacturers (continued) |
| |||||||
3.00%, 08/12/24, (SOFR + 0.380%)(a)(b) |
$ | 21,435 | $ | 21,204,122 | ||||
3.87%, 04/01/25, (SOFR + 0.840%)(a)(b) |
11,100 | 11,042,815 | ||||||
Daimler
Finance North America LLC |
11,005 | 10,364,949 | ||||||
1.75%, 03/10/23(a)(f) |
17,650 | 17,465,044 | ||||||
Daimler Trucks Finance North America LLC, 1.13%, 12/14/23(a)(f) |
15,000 | 14,293,961 | ||||||
General
Motors Financial Co. Inc. |
20,000 | 18,754,349 | ||||||
3.65%, 10/15/24, (SOFR + 0.620%)(b) |
15,000 | 14,555,789 | ||||||
Hyundai
Capital America |
17,710 | 17,355,087 | ||||||
1.00%, 09/17/24(a)(f) |
18,105 | 16,388,797 | ||||||
Nissan
Motor Acceptance Co. LLC, |
10,520 | 9,392,907 | ||||||
Nissan
Motor Acceptance Corp. |
12,515 | 11,518,423 | ||||||
3.81%,
03/08/24, |
4,375 | 4,302,926 | ||||||
3.88%, 09/21/23(a)(f) |
4,000 | 3,916,772 | ||||||
Stellantis NV, 5.25%, 04/15/23 |
9,400 | 9,364,938 | ||||||
Toyota
Motor Credit Corp. |
15,000 | 15,006,414 | ||||||
4.40%, 09/20/24 |
7,125 | 7,060,199 | ||||||
Volkswagen
Group of America Finance LLC |
44,345 | 44,219,953 | ||||||
0.88%, 11/22/23(a) |
22,000 | 20,942,450 | ||||||
3.72%, 06/07/24(a)(b) |
19,465 | 19,401,953 | ||||||
4.25%, 11/13/23(a) |
13,000 | 12,843,008 | ||||||
|
|
|||||||
319,991,813 | ||||||||
Banks — 21.7% | ||||||||
Banco
Santander SA |
21,200 | 20,356,150 | ||||||
3.85%, 04/12/23(f) |
9,291 | 9,206,600 | ||||||
5.04%, 04/12/23, (3 mo. LIBOR US + 1.120%)(b) |
10,000 | 9,986,142 | ||||||
Bank
of America Corp. |
||||||||
(3 mo. LIBOR US + 0.790%)(b) |
72,625 | 72,363,492 | ||||||
3.55%, 03/05/24 (Call 03/05/23), |
||||||||
(3 mo. LIBOR US + 0.780%)(b) |
30,000 | 29,751,493 | ||||||
3.86%, 07/23/24 (Call 07/23/23), |
||||||||
(3 mo. LIBOR US + 0.940%)(b)(f) |
10,000 | 9,852,480 | ||||||
Bank of Montreal, 3.82%, 06/07/25(b) |
20,000 | 19,826,378 | ||||||
Banque
Federative du Credit Mutuel SA, |
20,000 | 19,976,402 | ||||||
Barclays PLC, 4.30%, 05/16/24 (Call 05/16/23), |
||||||||
(3 mo. LIBOR US + 1.380%)(b) |
41,000 | 40,496,393 | ||||||
BPCE
SA |
3,110 | 3,033,815 | ||||||
4.48%, 09/12/23, (3 mo. LIBOR US + 1.240%)(a)(b) |
15,000 | 14,995,080 | ||||||
Canadian
Imperial Bank of Commerce, |
26,320 | 25,533,290 | ||||||
Citigroup
Inc. (SOFR + 1.667%)(b) |
15,000 | 14,672,867 | ||||||
3.78%,
05/24/25 (Call 05/24/24), |
23,300 | 23,272,148 | ||||||
Credit Suisse AG/New York NY, 0.52%, 08/09/23 |
25,000 | 23,687,500 | ||||||
Credit Suisse Group AG, 3.80%, 06/09/23(f) |
8,500 | 8,287,500 |
Security |
Par (000) |
Value | ||||||
Banks (continued) | ||||||||
Deutsche
Bank AG/New York NY (SOFR + 2.159%)(b) |
$ | 17,000 | $ | 16,106,245 | ||||
Series E, 3.10%, 11/08/23, (SOFR + 0.500%)(b) |
13,790 | 13,617,211 | ||||||
DNB Bank ASA, 3.86%, 03/28/25 (Call 03/28/24), |
||||||||
(3 mo. LIBOR US + 0.390%)(a)(b)(f) |
15,000 | 14,871,827 | ||||||
Federation des Caisses Desjardins du Quebec, 2.71%, 05/21/24, (SOFR + 0.430%)(a)(b) |
20,000 | 19,703,893 | ||||||
Goldman
Sachs Group Inc. (The) |
25,000 | 24,605,128 | ||||||
1.22%, 12/06/23 (Call 12/06/22) |
28,860 | 27,612,267 | ||||||
4.64%, 11/29/23, (3 mo. LIBOR US + 1.600%)(b) |
12,060 | 12,096,141 | ||||||
0.63%,
11/17/23 (Call 11/17/22), |
3,000 | 2,992,296 | ||||||
HSBC
Holdings PLC (SOFR + 0.534%)(b) |
13,500 | 12,800,970 | ||||||
3.60%, 05/25/23(f) |
10,000 | 9,895,924 | ||||||
4.47%,
03/11/25 (Call 03/11/24), |
13,000 | 12,808,173 | ||||||
3.23%,
11/22/24 (Call 11/22/23), |
6,570 | 6,342,003 | ||||||
Huntington National Bank (The), 3.82%, 05/16/25 |
||||||||
(Call 05/16/24), (SOFR + 1.190%)(b)(f) |
22,900 | 22,722,067 | ||||||
JPMorgan
Chase & Co. (SOFR + 0.580%)(b) |
12,000 | 11,767,309 | ||||||
1.51%,
06/01/24 (Call 06/01/23), |
33,590 | 32,795,549 | ||||||
3.56%,
04/23/24 (Call 04/23/23), |
48,480 | 48,011,198 | ||||||
KeyBank NA/Cleveland OH, 0.43%, 06/14/24 |
||||||||
(Call 06/14/23), (SOFR + 0.320%)(b) |
4,625 | 4,478,403 | ||||||
KeyCorp, 3.88%, 05/23/25 (Call 05/23/24)(b)(f) |
7,195 | 6,977,401 | ||||||
Mitsubishi UFJ Financial Group Inc., 4.68%, 07/18/25 |
||||||||
(Call 07/18/24)(b) |
19,100 | 19,138,263 | ||||||
Mizuho
Financial Group Inc. |
20,000 | 19,905,962 | ||||||
3.63%, 05/25/24 (Call 05/25/23), |
||||||||
(3 mo. LIBOR US + 0.630%)(b) |
10,000 | 9,916,899 | ||||||
3.95%, 03/05/23, (3 mo. LIBOR US + 0.790%)(b) |
3,000 | 3,000,423 | ||||||
Morgan
Stanley |
||||||||
(SOFR + 0.455%)(b) |
66,100 | 65,110,281 | ||||||
0.56%, 11/10/23 (Call 11/10/22), |
||||||||
(SOFR + 0.466%)(b)(f) |
5,500 | 5,492,901 | ||||||
3.74%, 04/24/24 (Call 04/24/23), |
||||||||
(3 mo. LIBOR US + 0.847%)(b)(f) |
20,000 | 19,803,309 | ||||||
3.75%, 02/25/23(f) |
25,000 | 24,902,428 | ||||||
National Bank of Canada, 3.09%, 08/06/24, |
||||||||
(SOFR + 0.490%)(b)(f) |
8,695 | 8,518,490 | ||||||
Natwest Group PLC, 5.19%, 06/25/24 (Call 06/25/23), (3 mo. LIBOR US + 1.550%)(b) |
3,000 | 2,987,950 | ||||||
Nordea Bank Abp, 3.71%, 06/06/25(a)(b)(f) |
19,885 | 19,727,217 | ||||||
Skandinaviska
Enskilda Banken AB, |
15,000 | 14,990,046 | ||||||
Sumitomo
Mitsui Financial Group Inc., |
4,000 | 3,997,169 | ||||||
Toronto-Dominion Bank (The), 4.29%, 09/13/24 |
20,330 | 19,919,372 |
16 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Short Maturity Bond ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Banks (continued) | ||||||||
U.S. Bank NA/Cincinnati OH, 3.40%, 07/24/23 (Call 06/23/23) |
$ | 20,000 | $ | 19,757,573 | ||||
UBS
AG/London, 3.05%, 08/09/24, |
15,725 | 15,592,263 | ||||||
|
|
|||||||
918,262,281 | ||||||||
Beverages — 0.5% | ||||||||
Keurig
Dr Pepper Inc., 0.75%, 03/15/24 |
21,520 | 20,273,537 | ||||||
|
|
|||||||
Biotechnology — 0.6% | ||||||||
Gilead
Sciences Inc. |
23,988 | 23,087,283 | ||||||
2.50%, 09/01/23 (Call 07/01/23)(f) |
4,000 | 3,912,395 | ||||||
|
|
|||||||
26,999,678 | ||||||||
Building Materials — 0.2% | ||||||||
Martin Marietta Materials Inc., 0.65%, 07/15/23 (Call 12/01/22)(f) |
8,800 | 8,511,776 | ||||||
|
|
|||||||
Chemicals — 1.1% | ||||||||
DuPont
de Nemours Inc., 4.21%, 11/15/23 |
38,000 | 37,582,883 | ||||||
International
Flavors & Fragrances Inc., |
9,000 | 8,910,422 | ||||||
|
|
|||||||
46,493,305 | ||||||||
Computers — 0.2% | ||||||||
Dell
International LLC/EMC Corp., |
8,783 | 8,768,714 | ||||||
|
|
|||||||
Diversified Financial Services — 6.2% | ||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 1.15%, 10/29/23 |
35,000 | 33,154,353 | ||||||
Air
Lease Corp. |
3,325 | 3,027,679 | ||||||
2.25%, 01/15/23(f) |
10,637 | 10,564,402 | ||||||
3.64%, 12/15/22, (3 mo. LIBOR US + 0.350%)(b) |
28,600 | 28,579,454 | ||||||
3.88%, 07/03/23 (Call 06/03/23)(f) |
6,138 | 6,068,064 | ||||||
American
Express Co. |
6,765 | 6,716,410 | ||||||
3.38%, 05/03/24(f) |
15,000 | 14,548,517 | ||||||
3.40%, 02/22/24 (Call 01/22/24)(f) |
34,465 | 33,620,777 | ||||||
3.68%, 03/04/25 (Call 02/01/25), |
||||||||
(SOFR + 0.930%)(b) |
8,930 | 8,903,529 | ||||||
3.69%, 02/27/23 (Call 01/27/23), |
||||||||
(3 mo. LIBOR US + 0.650%)(b)(f) |
4,000 | 3,997,286 | ||||||
Aviation
Capital Group LLC, 3.88%, 05/01/23 |
19,660 | 19,352,059 | ||||||
Capital
One Financial Corp. |
12,550 | 12,383,151 | ||||||
3.20%, 01/30/23 (Call 12/30/22)(f) |
10,000 | 9,954,165 | ||||||
3.50%, 12/06/24 (Call 12/06/23), |
||||||||
(SOFR + 0.690%)(b) |
9,000 | 8,768,160 | ||||||
3.99%, 05/09/25 (Call 05/09/24), |
||||||||
(SOFR + 1.350%)(b) |
22,285 | 21,965,234 | ||||||
Charles Schwab Corp. (The), 3.40%, 03/18/24 (Call 02/18/24), (SOFR + 0.500%)(b) |
33,050 | 32,838,958 | ||||||
Synchrony
Financial, 4.38%, 03/19/24 |
6,250 | 6,110,090 | ||||||
|
|
|||||||
260,552,288 | ||||||||
Electric — 3.2% | ||||||||
Dominion Energy Inc., Series D, 3.82%, 09/15/23 (Call 11/21/22), (3 mo. LIBOR US + 0.530%)(b)(f) |
10,105 | 10,073,469 |
Security |
Par (000) |
Value | ||||||
Electric (continued) | ||||||||
Duke
Energy Corp., 3.07%, 06/10/23, |
$ | 13,415 | $ | 13,329,190 | ||||
NextEra
Energy Capital Holdings Inc. |
23,495 | 23,166,909 | ||||||
2.69%, 11/03/23 (Call 12/01/22), |
||||||||
(SOFR + 0.400%)(b) |
24,300 | 24,010,769 | ||||||
3.25%, 02/22/23 (Call 12/01/22), |
||||||||
(3 mo. LIBOR US + 0.270%)(b) |
26,954 | 26,905,652 | ||||||
3.28%, 03/01/23, (SOFR + 0.540%)(b) |
5,580 | 5,572,565 | ||||||
4.20%, 06/20/24(f) |
6,105 | 6,008,105 | ||||||
Southern California Edison Co., 0.70%, 04/03/23(f) |
25,212 | 24,726,088 | ||||||
|
|
|||||||
133,792,747 | ||||||||
Food — 0.1% | ||||||||
General
Mills Inc., 5.09%, 10/17/23, |
2,696 | 2,709,246 | ||||||
|
|
|||||||
Gas — 0.3% | ||||||||
Atmos
Energy Corp., 0.63%, 03/09/23 |
7,875 | 7,761,330 | ||||||
ONE
Gas Inc., 0.85%, 03/11/23 |
5,046 | 4,971,396 | ||||||
|
|
|||||||
12,732,726 | ||||||||
Health Care - Products — 1.1% | ||||||||
Baxter International Inc., 3.14%, 11/29/24(b) |
5,705 | 5,558,887 | ||||||
Thermo
Fisher Scientific Inc. |
30,000 | 28,787,479 | ||||||
3.56%, 10/18/24 (Call 12/01/22), (SOFR + 0.530%)(b) |
11,980 | 11,850,376 | ||||||
|
|
|||||||
46,196,742 | ||||||||
Health Care - Services — 1.4% | ||||||||
Elevance Health Inc., 2.95%, 12/01/22 |
||||||||
(Call 11/16/22)(f) |
4,555 | 4,549,304 | ||||||
Humana Inc., 0.65%, 08/03/23 (Call 11/08/22) |
55,230 | 53,351,717 | ||||||
|
|
|||||||
57,901,021 | ||||||||
Home Builders — 0.3% | ||||||||
Lennar
Corp., 4.50%, 04/30/24 |
11,500 | 11,290,789 | ||||||
|
|
|||||||
Household Products & Wares — 0.2% | ||||||||
Avery Dennison Corp., 0.85%, 08/15/24 |
||||||||
(Call 12/01/22)(f) |
10,440 | 9,652,769 | ||||||
|
|
|||||||
Insurance — 0.7% | ||||||||
MassMutual Global Funding II, 3.84%, 03/21/25, (SOFR + 0.270%)(a)(b) |
3,996 | 3,962,956 | ||||||
Metropolitan Life Global Funding I, 3.88%, 03/21/25, (SOFR + 0.910%)(a)(b) |
8,745 | 8,677,048 | ||||||
New
York Life Global Funding |
5,000 | 4,876,150 | ||||||
3.15%, 06/06/24(a)(f) |
12,605 | 12,228,111 | ||||||
|
|
|||||||
29,744,265 | ||||||||
Machinery — 0.9% | ||||||||
Caterpillar
Financial Services Corp. |
25,000 | 24,986,735 | ||||||
3.42%, 05/15/23, (3 mo. LIBOR US + 0.510%)(b) |
9,020 | 9,028,195 | ||||||
Rockwell Automation Inc., 0.35%, 08/15/23 |
||||||||
(Call 11/14/22)(f) |
3,870 | 3,730,789 | ||||||
|
|
|||||||
37,745,719 | ||||||||
Manufacturing — 0.7% | ||||||||
Carlisle Companies Inc., 0.55%, 09/01/23 |
||||||||
(Call 12/01/22)(f) |
8,390 | 8,074,230 |
S C H E D U L E O F I N V E S T M E N T S |
17 |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Short Maturity Bond ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Manufacturing (continued) | ||||||||
Parker-Hannifin Corp., 3.65%, 06/15/24(f) |
$ | 22,400 | $ | 21,785,568 | ||||
|
|
|||||||
29,859,798 | ||||||||
Media — 0.8% | ||||||||
Charter
Communications Operating LLC/Charter Communications Operating
Capital |
10,000 | 9,848,798 | ||||||
6.09%,
02/01/24 (Call 01/01/24), |
17,640 | 17,755,717 | ||||||
Sky Ltd., 3.75%, 09/16/24(a)(f) |
7,910 | 7,687,591 | ||||||
|
|
|||||||
35,292,106 | ||||||||
Oil & Gas — 0.4% | ||||||||
Phillips
66, 0.90%, 02/15/24 |
18,530 | 17,532,122 | ||||||
|
|
|||||||
Pharmaceuticals — 5.1% | ||||||||
AbbVie Inc. 2.30%, 11/21/22 |
33,924 | 33,878,335 | ||||||
2.90%, 11/06/22(f) |
48,550 | 48,532,523 | ||||||
Bayer
U.S. Finance II LLC |
25,000 | 24,514,842 | ||||||
4.30%,
12/15/23 (Call 11/15/23), |
32,500 | 32,335,422 | ||||||
Cigna
Corp. |
8,490 | 7,989,111 | ||||||
3.00%, 07/15/23 (Call 05/16/23)(f) |
10,000 | 9,859,570 | ||||||
3.05%, 11/30/22 (Call 11/16/22) |
19,937 | 19,913,287 | ||||||
Shire Acquisitions Investments Ireland DAC, 2.88%, 09/23/23 (Call 07/23/23) |
33,015 | 32,272,913 | ||||||
Takeda Pharmaceutical Co. Ltd., 4.40%, 11/26/23 (Call 10/26/23) |
6,662 | 6,593,524 | ||||||
|
|
|||||||
215,889,527 | ||||||||
Pipelines — 2.1% | ||||||||
Enbridge
Inc. |
2,805 | 2,681,285 | ||||||
2.15%, 02/16/24 |
6,820 | 6,557,567 | ||||||
3.05%, 02/17/23, (SOFR + 0.400%)(b) |
3,130 | 3,124,230 | ||||||
4.00%, 10/01/23 (Call 07/01/23)(f) |
6,000 | 5,917,573 | ||||||
Energy
Transfer LP |
10,000 | 9,968,204 | ||||||
3.60%, 02/01/23 (Call 12/01/22)(f) |
6,400 | 6,375,726 | ||||||
4.25%, 03/15/23 (Call 12/15/22) |
6,550 | 6,516,167 | ||||||
Kinder
Morgan Energy Partners LP |
20,091 | 19,810,205 | ||||||
4.30%, 05/01/24 (Call 02/01/24)(f) |
4,820 | 4,731,675 | ||||||
MPLX LP, 4.50%, 07/15/23 (Call 04/15/23)(f) |
25,000 | 24,782,655 | ||||||
|
|
|||||||
90,465,287 | ||||||||
Real Estate Investment Trusts — 0.3% | ||||||||
American Tower Corp., 3.38%, 05/15/24 |
||||||||
(Call 04/15/24)(f) |
15,000 | 14,535,458 | ||||||
|
|
|||||||
Retail — 1.7% | ||||||||
7-Eleven Inc. |
40,909 | 40,408,010 | ||||||
0.80%, 02/10/24(a) |
29,600 | 27,913,954 | ||||||
Starbucks Corp., 3.05%, 02/14/24 (Call 02/14/23), (SOFR + 0.420%)(b)(f) |
4,130 | 4,112,778 | ||||||
|
|
|||||||
72,434,742 | ||||||||
Semiconductors — 0.5% | ||||||||
Analog Devices Inc., 3.28%, 10/01/24, |
||||||||
(SOFR + 0.250%)(b)(f) |
5,025 | 4,945,220 |
Security |
Par Shares (000) |
Value | ||||||
Semiconductors (continued) | ||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.63%, 01/15/24 (Call 11/15/23) |
$ | 17,000 | $ | 16,649,316 | ||||
|
|
|||||||
21,594,536 | ||||||||
Software — 3.0% | ||||||||
Fidelity National Information Services Inc., 0.38%, 03/01/23(f) |
31,909 | 31,411,201 | ||||||
Fiserv Inc., 3.80%, 10/01/23 (Call 09/01/23)(f) |
15,539 | 15,307,500 | ||||||
Oracle
Corp. |
23,000 | 22,433,782 | ||||||
2.63%, 02/15/23 (Call 01/15/23)(f) |
20,753 | 20,613,037 | ||||||
VMware Inc., 0.60%, 08/15/23 |
37,339 | 35,948,804 | ||||||
|
|
|||||||
125,714,324 | ||||||||
Telecommunications — 1.6% | ||||||||
AT&T
Inc. |
||||||||
(SOFR + 0.640%)(b) |
22,000 | 21,867,086 | ||||||
4.42%, 06/12/24, (3 mo. LIBOR US + 1.180%)(b) |
14,350 | 14,396,760 | ||||||
Rogers Communications Inc., 2.95%, 03/15/25 |
||||||||
(Call 03/15/23)(a)(f) |
8,950 | 8,438,321 | ||||||
Verizon
Communications Inc. |
11,715 | 11,617,811 | ||||||
4.01%, 05/15/25 (Call 03/15/25), |
||||||||
(3 mo. LIBOR US + 1.100%)(b) |
10,000 | 9,993,399 | ||||||
|
|
|||||||
66,313,377 | ||||||||
Transportation — 0.5% | ||||||||
Ryder
System Inc. |
17,550 | 17,135,953 | ||||||
3.88%, 12/01/23 (Call 11/01/23) |
5,000 | 4,929,433 | ||||||
|
|
|||||||
22,065,386 | ||||||||
Trucking & Leasing — 0.7% | ||||||||
Penske
Truck Leasing Co. LP/PTL Finance Corp. |
10,000 | 9,897,345 | ||||||
3.90%, 02/01/24 (Call 01/01/24)(a) |
6,000 | 5,846,818 | ||||||
4.13%, 08/01/23 (Call 07/01/23)(a)(f) |
15,000 | 14,805,483 | ||||||
|
|
|||||||
30,549,646 | ||||||||
|
|
|||||||
Total
Corporate Bonds & Notes — 64.0% |
|
2,708,731,695 | ||||||
|
|
|||||||
Repurchase Agreements(b)(g) |
||||||||
Goldman
Sachs & Co., 3.05%, |
100,000 | 100,000,000 | ||||||
|
|
|||||||
Total
Repurchase Agreements — 2.4% |
|
100,000,000 | ||||||
|
|
|||||||
Money Market Funds |
||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares, 3.29%(h)(i)(j) |
77,908 | 77,892,775 |
18 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Short Maturity Bond ETF (Percentages shown are based on Net Assets) |
Security | Shares (000) |
Value | ||||||
BlackRock Cash Funds: Treasury, SL Agency Shares, 2.97%(h)(i) |
190,200 | $ | 190,200,000 | |||||
|
|
|||||||
Total
Money Market Funds — 6.4% |
268,092,775 | |||||||
|
|
|||||||
Total
Investments — 102.3% |
4,325,805,820 | |||||||
Liabilities in Excess of Other Assets — (2.3)% |
|
(95,640,199 | ) | |||||
|
|
|||||||
Net Assets — 100.0% |
$ | 4,230,165,621 | ||||||
|
|
(a) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(b) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(c) |
This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(d) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) |
Rates are discount rates or a range of discount rates as of period end. |
(f) |
All or a portion of this security is on loan. |
(g) |
Maturity date represents next reset date. |
(h) |
Affiliate of the Fund. |
(i) |
Annualized 7-day yield as of period end. |
(j) |
All or a portion of this security was purchased with the cash collateral from loaned securities. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended October 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | |
Value at 10/31/21 |
|
|
Purchases at Cost |
|
|
Proceeds from Sale |
|
|
Net Realized Gain (Loss) |
|
|
Change
in Unrealized Appreciation (Depreciation) |
|
|
Value at 10/31/22 |
|
|
Shares Held at 10/31/22 (000) |
|
Income | |
Capital Gain Distributions from Underlying Funds |
||||||||||||
BlackRock
Cash Funds: Institutional, |
$ | 49,889,059 | $ | 28,059,224 | (a) | $ | — | $ | (43,078 | ) | $ | (12,430 | ) | $ | 77,892,775 | 77,908 | $ | 157,553 | (b) | $ | — | |||||||||||||||
BlackRock
Cash Funds: Treasury, |
208,310,000 | — | (18,110,000 | )(a) | — | — | 190,200,000 | 190,200 | 2,215,596 | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (43,078 | ) | $ | (12,430 | ) | $ | 268,092,775 | $ | 2,373,149 | $ | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
(b) |
All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Derivative Financial Instruments Outstanding as of Period End
Forward Foreign Currency Exchange Contracts
Currency Purchased |
Currency Sold |
Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||
USD | 56,929,972 | EUR | 56,714,000 | HSBC Bank PLC | 12/21/22 | $ | 653,287 | |||||||||||||
USD | 49,073,169 | GBP | 42,688,000 | HSBC Bank PLC | 12/21/22 | 34,922 | ||||||||||||||
|
|
|||||||||||||||||||
688,209 | ||||||||||||||||||||
|
|
|||||||||||||||||||
USD | 8,836,063 | EUR | 8,994,000 | State Street Bank and Trust Co. | 12/21/22 | (88,586 | ) | |||||||||||||
USD | 4,998,995 | GBP | 4,479,000 | Deutsche Bank Securities Inc. | 12/21/22 | (146,299 | ) | |||||||||||||
USD | 2,416,122 | GBP | 2,234,000 | State Street Bank and Trust Co. | 12/21/22 | (150,207 | ) | |||||||||||||
|
|
|||||||||||||||||||
(385,092 | ) | |||||||||||||||||||
|
|
|||||||||||||||||||
$ | 303,117 | |||||||||||||||||||
|
|
S C H E D U L E O F I N V E S T M E N T S |
19 |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Short Maturity Bond ETF |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
|
||||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
|
||||||||||||||||||||||||||||
Assets — Derivative Financial Instruments |
||||||||||||||||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts |
$ | — | $ | — | $ | — | $ | 688,209 | $ | — | $ | — | $ | 688,209 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Liabilities — Derivative Financial Instruments |
||||||||||||||||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts |
$ | — | $ | — | $ | — | $ | 385,092 | $ | — | $ | — | $ | 385,092 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For the period ended October 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:
|
||||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
|
||||||||||||||||||||||||||||
Net Realized Gain (Loss) from |
||||||||||||||||||||||||||||
Forward foreign currency exchange contracts |
$ | — | $ | — | $ | — | $ | 18,266,401 | $ | — | $ | — | $ | 18,266,401 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on |
||||||||||||||||||||||||||||
Forward foreign currency exchange contracts |
$ | — | $ | — | $ | — | $ | (168,618 | ) | $ | — | $ | — | $ | (168,618 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
|
||||
Forward foreign currency exchange contracts | ||||
Average amounts purchased — in USD |
$ | 760,188 | ||
Average amounts sold — in USD |
$ | 117,089,408 | ||
|
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to 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: |
||||||||
Forward foreign currency exchange contracts |
$ | 688,209 | $ | 385,092 | ||||
|
|
|
|
|||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities |
688,209 | 385,092 | ||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
— | — | ||||||
|
|
|
|
|||||
Total derivative assets and liabilities subject to an MNA |
688,209 | 385,092 | ||||||
|
|
|
|
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 |
|
|
Net Amount of Derivative Assets |
(b)(c) | |||||
HSBC Bank PLC |
$ | 688,209 | $ | — | $ | — | $ | — | $ | 688,209 | ||||||||||
|
|
|
|
|
|
|
|
|
|
20 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Short Maturity Bond ETF |
Derivative Financial Instruments - Offsetting as of Period End (continued)
|
||||||||||||||||||||
Counterparty |
|
Derivative Liabilities Subject to an MNA by Counterparty |
|
|
Derivatives Available |
|
|
Non-Cash Collateral Pledged |
|
|
Cash Collateral Pledged |
|
|
Net Amount of Derivative Liabilities |
(c)(d) | |||||
|
||||||||||||||||||||
Deutsche Bank Securities Inc |
$ | 146,299 | $ | — | $ | — | $ | — | $ | 146,299 | ||||||||||
State Street Bank and Trust Co |
238,793 | — | — | — | 238,793 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 385,092 | $ | — | $ | — | $ | — | $ | 385,092 | |||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
(b) |
Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) |
Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(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 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 | |||||||||||||
Investments |
||||||||||||||||
Assets |
||||||||||||||||
Asset-Backed Securities |
$ | — | $ | 890,030,231 | $ | — | $ | 890,030,231 | ||||||||
Collaterized Mortgage Obligations |
— | 274,301,476 | 1,630,650 | 275,932,126 | ||||||||||||
Commercial Paper |
— | 83,018,993 | — | 83,018,993 | ||||||||||||
Corporate Bonds & Notes |
— | 2,708,731,695 | — | 2,708,731,695 | ||||||||||||
Repurchase Agreements |
— | 100,000,000 | — | 100,000,000 | ||||||||||||
Money Market Funds |
268,092,775 | — | — | 268,092,775 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 268,092,775 | $ | 4,056,082,395 | $ | 1,630,650 | $ | 4,325,805,820 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Derivative financial instruments(a) |
||||||||||||||||
Assets |
||||||||||||||||
Forward Foreign Currency Exchange Contracts |
$ | — | $ | 688,209 | $ | — | $ | 688,209 | ||||||||
Liabilities |
||||||||||||||||
Forward Foreign Currency Exchange Contracts |
— | (385,092 | ) | — | (385,092 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | — | $ | 303,117 | $ | — | $ | 303,117 | |||||||||
|
|
|
|
|
|
|
|
(a) |
Derivative financial instruments are forward foreign currency exchange contracts. Forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
S C H E D U L E O F I N V E S T M E N T S |
21 |
Schedule of Investments October 31, 2022 |
BlackRock Short Maturity Municipal Bond ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Municipal Debt Obligations | ||||||||
Alabama — 1.8% | ||||||||
Black Belt Energy Gas District RB 4.00%, 12/01/22 |
$ | 240 | $ | 239,969 | ||||
4.00%, 12/01/22 |
750 | 749,650 | ||||||
4.00%, 06/01/23 |
240 | 239,773 | ||||||
4.00%, 06/01/23 |
1,500 | 1,497,663 | ||||||
4.00%, 12/01/24 |
1,250 | 1,228,015 | ||||||
5.00%, 12/01/23 |
1,000 | 1,004,817 | ||||||
5.25%, 12/01/24 |
2,745 | 2,765,316 | ||||||
Southeast Energy Authority A Cooperative District RB |
||||||||
Series A, 4.00%, 10/01/23 |
450 | 448,305 | ||||||
Series B, 4.00%, 06/01/24 |
1,200 | 1,190,672 | ||||||
|
|
|||||||
9,364,180 | ||||||||
California — 0.4% | ||||||||
California Community Choice Financing Authority RB |
||||||||
4.00%, 02/01/24 |
500 | 498,715 | ||||||
4.00%, 08/01/24 |
350 | 348,401 | ||||||
State of California GO, 5.00%, 12/01/24 |
1,190 | 1,232,430 | ||||||
|
|
|||||||
2,079,546 | ||||||||
Colorado — 0.6% | ||||||||
Adams & Arapahoe Joint School District 28J Aurora, 5.00%, 12/01/22 (SAW) |
1,000 | 1,001,457 | ||||||
City & County of Denver Co. Airport System Revenue RB, Series A, 5.00%, 11/15/23 |
250 | 254,392 | ||||||
City of Colorado Springs Co. Utilities System Revenue RB, 2.19%, 11/01/40 (Put 11/07/22)(a) |
2,000 | 2,000,000 | ||||||
|
|
|||||||
3,255,849 | ||||||||
Connecticut — 3.7% | ||||||||
Connecticut Housing Finance Authority RB, 2.19%, 05/15/50 (Put 11/07/22)(a) |
5,000 | 5,000,000 | ||||||
State of Connecticut GO |
||||||||
3.23%, 03/01/25 (a)(b) |
4,600 | 4,667,947 | ||||||
Series A, 3.00%, 01/15/23 |
2,000 | 1,999,652 | ||||||
Series
C, VRDN, 2.30%, 05/15/34 |
7,820 | 7,820,000 | ||||||
|
|
|||||||
19,487,599 | ||||||||
District of Columbia — 1.8% | ||||||||
District of Columbia, 2.20%, 05/01/72 |
4,000 | 3,999,333 | ||||||
District
of Columbia RB, 2.31%, 04/01/38 |
2,890 | 2,890,000 | ||||||
Tender Option Bond Trust Receipts/Certificates RB, 2.29%, 10/01/53 (Put 11/07/22)(a)(c) |
2,355 | 2,355,000 | ||||||
|
|
|||||||
9,244,333 | ||||||||
Florida — 6.5% | ||||||||
City of Gainesville Utilities System Revenue, 1.64%, 10/01/42 (Put 11/01/22)(a) |
7,800 | 7,800,000 | ||||||
County
of Escambia FL RB, 1.63%, 04/01/39 |
2,300 | 2,300,000 | ||||||
County
of Martin FL RB, 2.28%, 07/01/52 |
2,500 | 2,500,000 | ||||||
County of Miami-Dade FL Aviation Revenue RB, Series A, 5.00%, 10/01/23 |
2,500 | 2,535,107 | ||||||
County of Palm Beach FL RB, 2.28%, 07/01/32 (Put 11/07/22)(a) |
2,800 | 2,800,000 | ||||||
County
of St Lucie FL RB, 1.79%, 09/01/28 |
11,790 | 11,790,000 | ||||||
Miami-Dade County Industrial Development Authority RB, 0.40%, 08/01/23 |
1,000 | 971,286 | ||||||
Pinellas County Housing Finance Authority RB, 2.24%, 10/01/48 (Put 11/07/22)(a) |
3,070 | 3,070,000 | ||||||
|
|
|||||||
33,766,393 |
Security | Par (000) |
Value | ||||||
Georgia — 5.2% | ||||||||
Burke County Development Authority RB, 2.25%, 10/01/32 (Put 05/25/23)(a) |
$ | 2,000 | $ | 1,983,832 | ||||
City of Atlanta GA TA RB, 5.00%, 12/01/22 |
3,975 | 3,979,543 | ||||||
Main Street Natural Gas Inc. RB |
||||||||
5.00%, 06/01/27 |
1,750 | 1,744,969 | ||||||
VRDN, 2.81%, 08/01/48 (Put 09/01/23)(a)(b) |
5,000 | 4,941,005 | ||||||
Series
A, VRDN, 4.00%, 04/01/48 |
5,685 | 5,654,028 | ||||||
Series
D, VRDN, 2.93%, 08/01/48 |
5,000 | 4,958,120 | ||||||
Monroe County Development Authority RB, 1.80%, 06/01/49 (Put 11/01/22)(a) |
3,700 | 3,700,000 | ||||||
|
|
|||||||
26,961,497 | ||||||||
Illinois — 1.9% | ||||||||
Chicago Midway International Airport, 5.00%, 01/01/23 |
970 | 971,870 | ||||||
County of Cook IL GO, 4.00%, 11/15/22 |
1,395 | 1,395,314 | ||||||
Illinois Development Finance Authority RB |
||||||||
VRDN, 2.27%, 07/01/33 (Put 11/07/22)(a) |
2,600 | 2,600,000 | ||||||
VRDN, 2.28%, 02/01/33 (Put 11/07/22)(a) |
2,000 | 2,000,000 | ||||||
Illinois Finance Authority RB, 2.25%, 01/01/37 (Put 11/07/22)(a) |
3,100 | 3,100,000 | ||||||
|
|
|||||||
10,067,184 | ||||||||
Indiana — 3.8% | ||||||||
Indiana Finance Authority RB, 4.50%, 12/15/46 (Put 05/15/23) |
12,000 | 12,043,032 | ||||||
Indianapolis Local Public Improvement Bond Bank RB, Series A, 5.00%, 06/01/23 |
1,800 | 1,816,659 | ||||||
Tender Option Bond Trust Receipts/Certificates RB, 2.39%, 04/01/30 (Put 11/07/22)(a)(c) |
6,000 | 6,000,000 | ||||||
|
|
|||||||
19,859,691 | ||||||||
Iowa — 4.1% | ||||||||
Iowa Finance Authority RB |
||||||||
VRDN, 2.23%, 01/01/47 (Put 11/07/22)(a) |
8,400 | 8,400,000 | ||||||
VRDN, 2.34%, 12/01/41 (Put 11/07/22)(a)(c) |
3,200 | 3,200,000 | ||||||
VRDN, 2.28%, 05/01/23 (Put 11/07/22)(a) |
10,000 | 10,000,000 | ||||||
|
|
|||||||
21,600,000 | ||||||||
Kansas — 1.3% | ||||||||
City of Burlington KS RB |
||||||||
Series
A, VRDN, 2.41%, 09/01/35 |
4,000 | 4,000,000 | ||||||
Series
B, VRDN, 2.41%, 09/01/35 |
3,000 | 3,000,000 | ||||||
|
|
|||||||
7,000,000 | ||||||||
Kentucky — 6.9% | ||||||||
County of Meade KY RB |
||||||||
VRDN, 2.33%, 08/01/61 (Put 11/01/22)(a) |
6,600 | 6,600,000 | ||||||
VRDN, 2.35%, 08/01/61 (Put 11/01/22)(a) |
18,900 | 18,900,000 | ||||||
Kentucky Public Energy Authority RB |
||||||||
4.00%, 02/01/23 |
1,000 | 999,444 | ||||||
4.00%, 12/01/49 (Put 06/01/25) |
4,000 | 3,926,856 | ||||||
Series
A, VRDN, 4.00%, 04/01/48 |
3,930 | 3,900,301 | ||||||
Kentucky State Property & Building Commission RB, |
||||||||
Series A, 5.00%, 11/01/22 |
1,000 | 1,000,000 | ||||||
Tender Option Bond Trust Receipts/Certificates RB, 2.27%, 12/01/41 (Put 11/07/22) (AGM)(a)(c) |
500 | 500,000 | ||||||
|
|
|||||||
35,826,601 | ||||||||
Louisiana — 5.8% | ||||||||
Lake Charles Harbor & Terminal District RB, 1.00%, 12/01/51 (Put 12/01/24)(a) |
4,325 | 4,069,535 | ||||||
Louisiana Offshore Terminal Authority RB, 1.65%, 09/01/27 (Put 12/01/23)(a) |
400 | 390,246 |
22 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Short Maturity Municipal Bond ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Louisiana (continued) | ||||||||
Louisiana Stadium & Exposition District RB, 4.00%, 07/03/23 (Call 04/01/23) |
$ | 2,325 | $ | 2,330,596 | ||||
Parish of St James LA RB, Series B1, 2.61%, 11/01/40 (Put 11/07/22)(a) |
23,400 | 23,400,000 | ||||||
|
|
|||||||
30,190,377 | ||||||||
Massachusetts — 0.9% | ||||||||
Massachusetts Educational Financing Authority RB, 5.00%, 01/01/24 |
2,500 | 2,533,332 | ||||||
Massachusetts Housing Finance Agency RB |
||||||||
Series A, 0.30%, 12/01/23 (Call 11/21/22) |
1,000 | 962,812 | ||||||
Series A, 0.40%, 06/01/24 (Call 06/01/23) |
1,000 | 952,749 | ||||||
|
|
|||||||
4,448,893 | ||||||||
Michigan — 2.7% | ||||||||
Michigan
Finance Authority RB |
665 | 646,068 | ||||||
5.00%, 11/01/22 |
240 | 240,000 | ||||||
5.00%, 12/01/22 |
1,390 | 1,391,857 | ||||||
Michigan State Housing Development Authority RB, 2.22%, 04/01/62 (Put 11/07/22)(a) |
12,000 | 12,000,000 | ||||||
|
|
|||||||
14,277,925 | ||||||||
Minnesota — 3.8% | ||||||||
City of Minneapolis MN RB, 2.24%, 12/01/40 (Put 11/07/22)(a) |
9,450 | 9,450,000 | ||||||
City
of Rochester MN RB, 2.23%, 05/01/61 |
4,800 | 4,800,000 | ||||||
Minneapolis-St. Paul Metropolitan Airports Commission RB, 5.00%, 01/01/23 |
410 | 410,791 | ||||||
University of Minnesota RB, 2.24%, 12/06/22 |
5,175 | 5,175,237 | ||||||
|
|
|||||||
19,836,028 | ||||||||
Mississippi — 2.6% | ||||||||
Mississippi Business Finance Corp. RB |
||||||||
VRDN, 1.66%, 11/01/35 (Put 11/01/22)(a) |
4,970 | 4,970,000 | ||||||
VRDN, 1.66%, 11/01/35 (Put 11/01/22)(a) |
3,800 | 3,800,000 | ||||||
Series
A, VRDN, 2.20%, 12/01/30 |
5,000 | 5,000,000 | ||||||
|
|
|||||||
13,770,000 | ||||||||
Missouri — 0.4% | ||||||||
County of Greene MO COP, Series A, 3.00%, 03/01/23 |
350 | 349,864 | ||||||
RBC Municipal Products Inc. Trust RB, 2.29%, 09/01/39 (Put 11/07/22)(a)(c) |
2,000 | 2,000,000 | ||||||
|
|
|||||||
2,349,864 | ||||||||
Nebraska — 0.6% | ||||||||
Central Plains Energy Project RB, 5.00%, 03/01/50 (Put 01/01/24)(a) |
1,000 | 1,000,450 | ||||||
County of Douglas NE RB, 2.77%, 07/01/35 (Put 09/01/26)(a)(b) |
1,980 | 1,936,945 | ||||||
|
|
|||||||
2,937,395 | ||||||||
Nevada — 0.5% | ||||||||
County of Clark Department of Aviation RB, 2.27%, 07/01/40 (Put 11/07/22)(a) |
2,600 | 2,600,000 | ||||||
|
|
|||||||
New Jersey — 8.0% | ||||||||
Borough of Berlin NJ GO, 4.50%, 09/26/23 |
2,212 | 2,223,120 | ||||||
Borough of Park Ridge NJ GO, 4.50%, 04/28/23 |
1,000 | 1,003,137 | ||||||
Borough of Wood-Ridge NJ GO, 4.50%, 03/01/23 |
1,640 | 1,643,655 | ||||||
New
Jersey Economic Development Authority RB |
7,600 | 7,799,743 | ||||||
Series B, 5.00%, 11/01/23 (SAP) |
1,450 | 1,466,062 | ||||||
Series B, 5.00%, 11/01/24 |
1,010 | 1,030,670 | ||||||
Series N-1, 5.50%, 09/01/24 (AMBAC) |
1,460 | 1,500,452 |
Security | Par (000) |
Value | ||||||
New Jersey (continued) | ||||||||
Series NN, 5.00%, 03/01/23 |
$ | 1,000 | $ | 1,004,164 | ||||
Series UU, 5.00%, 06/15/23 |
1,575 | 1,586,704 | ||||||
New Jersey Health Care Facilities Financing Authority RB, 5.00%, 10/01/23 |
1,500 | 1,515,463 | ||||||
New Jersey Higher Education Student Assistance Authority RB, 5.00%, 12/01/24 |
500 | 509,253 | ||||||
New Jersey Housing & Mortgage Finance Agency RB, 4.00%, 04/01/23 |
1,290 | 1,289,781 | ||||||
New Jersey Transportation Trust Fund Authority RB |
||||||||
Series A, 5.00%, 06/15/24 |
1,575 | 1,606,635 | ||||||
Series A, 5.00%, 12/15/24 |
1,000 | 1,021,502 | ||||||
Series A, 5.50%, 12/15/22 |
1,430 | 1,432,979 | ||||||
Series A, 5.50%, 12/15/22 (AGM-CR) |
1,735 | 1,739,764 | ||||||
Series A, 5.50%, 12/15/23 |
155 | 157,743 | ||||||
Series B, 5.25%, 12/15/22 (AMBAC) |
910 | 911,629 | ||||||
Series D, 5.00%, 12/15/23 |
470 | 475,769 | ||||||
Series D, 5.25%, 12/15/23 |
1,275 | 1,294,106 | ||||||
State of New Jersey GO, Series A, 4.00%, 06/01/23 |
1,290 | 1,294,960 | ||||||
Township of Cranford NJ GO, 4.75%, 07/20/23 |
1,940 | 1,949,570 | ||||||
Township of Deptford NJ RB, 4.00%, 07/11/23 |
1,800 | 1,797,233 | ||||||
Township of Plainsboro NJ GO, 4.50%, 07/26/23 |
1,500 | 1,506,303 | ||||||
Township of Plainsboro NJ RB, 4.00%, 07/26/23 |
1,340 | 1,337,816 | ||||||
Township of River Vale NJ RB, 4.00%, 07/14/23 |
1,258 | 1,256,707 | ||||||
Township of Voorhees NJ GO, 4.00%, 09/27/23 |
1,145 | 1,147,390 | ||||||
|
|
|||||||
41,502,310 | ||||||||
New York — 7.8% | ||||||||
Albany Industrial Development Agency RB, 2.34%, 07/01/32 (Put 11/07/22)(a) |
800 | 800,000 | ||||||
Amherst Development Corp. RB, 2.31%, 02/01/35 (Put 11/07/22)(a) |
1,720 | 1,720,000 | ||||||
City of New York GO |
||||||||
VRDN, 1.60%, 09/01/49 (Put 11/01/22)(a) |
4,700 | 4,700,000 | ||||||
Series
F-5, VRDN, 1.60%,
06/01/44 |
7,300 | 7,300,000 | ||||||
Genesee
County Funding Corp. (The) RB |
150 | 150,140 | ||||||
5.00%, 12/01/23 |
150 | 151,679 | ||||||
Metropolitan Transportation Authority, 1.62%, 11/01/32 (Put 11/01/22)(a) |
4,500 | 4,500,000 | ||||||
Nassau Health Care Corp. RB, Series C, 5.00%, 08/01/23 (GTD) |
1,425 | 1,440,813 | ||||||
New York City Housing Development Corp. RB 0.45%, 11/01/25 (FHA) |
1,560 | 1,398,244 | ||||||
VRDN,
2.20%, 05/01/61 (Put 11/07/22) |
4,165 | 4,165,000 | ||||||
New
York Transportation Development Corp. RB |
495 | 495,558 | ||||||
Series A, 5.00%, 12/01/23 |
1,250 | 1,259,106 | ||||||
Town of Oyster Bay NY GOL, 4.00%, 03/01/23 |
425 | 426,193 | ||||||
Triborough Bridge & Tunnel Authority RB, 1.00%, 04/01/26 |
11,000 | 10,537,637 | ||||||
Village of Hamburg NY, 3.50%, 07/20/23 |
1,506 | 1,498,797 | ||||||
|
|
|||||||
40,543,167 | ||||||||
North Carolina — 0.6% | ||||||||
North Carolina Capital Facilities Finance Agency RB, Series A, 2.75%, 07/01/34 (Put 12/01/22)(a) |
3,000 | 3,000,000 | ||||||
|
|
|||||||
North Dakota — 1.2% | ||||||||
North Dakota Housing Finance Agency RB, 2.22%, 07/01/36 (Put 11/07/22)(a) |
6,520 | 6,520,000 | ||||||
|
|
S C H E D U L E O F I N V E S T M E N T S |
23 |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Short Maturity Municipal Bond ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Ohio — 0.4% | ||||||||
Akron
Bath Copley Joint Township Hospital District
RB |
$ | 225 | $ | 225,127 | ||||
5.00%, 11/15/23 |
325 | 329,832 | ||||||
City of Cleveland OH GOL, Series A, 2.00%, 12/01/22 |
300 | 299,733 | ||||||
County of Miami OH GOL, 3.25%, 07/27/23 |
1,050 | 1,041,185 | ||||||
|
|
|||||||
1,895,877 | ||||||||
Pennsylvania — 9.9% | ||||||||
Allegheny County Hospital Development Authority RB, 2.61%, 11/15/23(a)(b) |
1,500 | 1,499,070 | ||||||
Butler County Industrial Development Authority/PA RB, 2.31%, 05/01/34 (Put 11/07/22)(a) |
2,100 | 2,100,000 | ||||||
Ephrata Area School District GO, 3.00%, 03/01/24 |
1,000 | 993,284 | ||||||
Pennsylvania Economic Development Financing Authority, 3.25%, 12/01/38 (Put 11/07/22)(a) |
23,000 | 23,000,000 | ||||||
Pennsylvania Economic Development Financing Authority RB |
||||||||
VRDN, 2.64%, 06/01/41 (Put 06/03/24)(a)(b) |
3,000 | 2,878,851 | ||||||
VRDN, 3.25%, 12/01/37 (Put 11/07/22)(a) |
9,070 | 9,070,000 | ||||||
Pennsylvania Housing Finance Agency RB, 5.00%, 10/01/25 |
500 | 517,466 | ||||||
Pennsylvania Turnpike Commission RB, 2.84%, 12/01/23 (Call 06/01/23)(a)(b) |
10,000 | 9,967,080 | ||||||
Tender Option Bond Trust Receipts/Certificates RB, 2.27%, 10/01/41 (Put 11/07/22)(a)(c) |
1,620 | 1,620,000 | ||||||
|
|
|||||||
51,645,751 | ||||||||
Puerto Rico — 0.6% | ||||||||
Puerto Rico Housing Finance Authority RB, 5.00%, 12/01/22 |
3,000 | 3,003,342 | ||||||
|
|
|||||||
South Carolina — 0.4% | ||||||||
South Carolina Public Service Authority RB, 2.26%, 01/01/36 (Put 11/07/22)(a) |
900 | 900,000 | ||||||
Tender Option Bond Trust Receipts/Certificates RB, 2.36%, 12/01/55 (Put 11/07/22) (BAM-TCRS)(a)(c) |
1,000 | 1,000,000 | ||||||
|
|
|||||||
1,900,000 | ||||||||
South Dakota — 0.3% | ||||||||
South Dakota Housing Development Authority RB, 2.26%, 11/01/62 (Put 11/07/22)(a) |
1,770 | 1,770,000 | ||||||
|
|
|||||||
Tennessee — 2.5% | ||||||||
Johnson City Health & Educational Facilities Board RB, 2.28%, 07/01/45 (Put 11/07/22)(a) |
2,030 | 2,030,000 | ||||||
Metropolitan Government of Nashville & Davidson County Water & Sewer Revenue, 2.27%, 11/08/22 |
10,000 | 9,999,413 | ||||||
Tennergy Corp./TN RB |
||||||||
Series A, 4.00%, 03/01/23 |
375 | 374,384 | ||||||
Series A, 4.00%, 09/01/23 |
320 | 318,482 | ||||||
Tennessee Energy Acquisition Corp. RB, Series A, 5.00%, 11/01/23 |
250 | 250,029 | ||||||
|
|
|||||||
12,972,308 | ||||||||
Texas — 11.6% | ||||||||
Bexar County Housing Finance Corp. RB, 2.24%, 12/15/25 (Put 11/07/22)(a) |
2,305 | 2,305,000 | ||||||
Board of Regents of the University of Texas System RB, 2.10%, 01/05/23 |
2,000 | 1,996,028 | ||||||
Harris County Cultural Education Facilities Finance Corp. RB, 1.80%, 11/01/22 |
15,000 | 15,000,000 | ||||||
Harris County Health Facilities Development Corp. RB, 1.64%, 12/01/41 (Put 11/01/22)(a) |
2,100 | 2,100,000 | ||||||
Pasadena Independent School District GO, 2.20%, 02/01/35 (Put 11/07/22)(a) |
2,400 | 2,400,000 |
Security | Par/ Shares (000) |
Value | ||||||
Texas (continued) | ||||||||
Port of Arthur Navigation District Industrial Development Corp. RB |
||||||||
VRDN, 2.29%, 12/01/40 (Put 11/07/22)(a) |
$ | 7,000 | $ | 7,000,000 | ||||
VRDN, 2.29%, 06/01/41 (Put 11/07/22)(a) |
3,000 | 3,000,000 | ||||||
Red River Education Finance Corp. RB, 2.25%, 03/01/30 (Put 11/07/22)(a) |
3,300 | 3,300,000 | ||||||
State of Texas GO |
||||||||
VRDN, 2.30%, 06/01/50 (Put 11/07/22)(a) |
3,560 | 3,560,000 | ||||||
VRDN, 2.35%, 12/01/43 (Put 11/07/22)(a) |
9,700 | 9,700,000 | ||||||
Series A, VRDN, 2.35%, 06/01/44 (Put 11/07/22)(a) |
400 | 400,000 | ||||||
Series A, VRDN, 2.35%, 06/01/45 (Put 11/07/22)(a) |
2,670 | 2,670,000 | ||||||
State of Texas GOL, 2.26%, 06/01/53 (Put 11/07/22)(a) |
2,500 | 2,500,000 | ||||||
Tender Option Bond Trust Receipts/Certificates RB, 2.34%, 06/15/27 (Put 11/07/22)(a)(c) |
1,155 | 1,155,000 | ||||||
Texas
Municipal Gas Acquisition & Supply Corp. III
RB |
2,000 | 2,001,472 | ||||||
5.00%, 12/15/23 |
1,150 | 1,156,685 | ||||||
|
|
|||||||
60,244,185 | ||||||||
Virginia — 0.4% | ||||||||
Fairfax County Industrial Development Authority RB, 5.00%, 05/15/23 |
300 | 302,924 | ||||||
Loudoun County Economic Development Authority RB, 2.19%, 02/15/38 (Put 11/07/22)(a) |
2,025 | 2,025,000 | ||||||
|
|
|||||||
2,327,924 | ||||||||
Washington — 0.2% | ||||||||
Washington Health Care Facilities Authority RB, 5.00%, 08/01/49 (Put 08/01/25)(a) |
800 | 818,554 | ||||||
|
|
|||||||
Wisconsin — 5.4% | ||||||||
State of Wisconsin GO, 2.66%, 05/01/25 (Call 11/01/24)(a)(b) |
19,990 | 19,816,987 | ||||||
Wisconsin
Health & Educational Facilities Authority RB, |
2,000 | 1,963,166 | ||||||
Wisconsin Housing & Economic Development Authority RB |
||||||||
VRDN, 2.24%, 03/01/41 (Put 11/07/22)(a) |
1,000 | 1,000,000 | ||||||
VRDN, 2.24%, 04/01/46 (Put 11/07/22)(a) |
765 | 765,000 | ||||||
Series C, VRDN, 2.20%, 05/01/46 (Put 11/07/22)(a) |
4,355 | 4,355,000 | ||||||
|
|
|||||||
27,900,153 | ||||||||
|
|
|||||||
Total
Municipal Debt Obligations — 104.6% |
544,966,926 | |||||||
|
|
|||||||
Money Market Funds |
||||||||
BlackRock
Liquidity Funds: MuniCash, |
29 | 28,912 | ||||||
|
|
|||||||
Total
Money Market Funds — 0.0% |
28,912 | |||||||
|
|
|||||||
Total
Investments — 104.6% |
544,995,838 | |||||||
Liabilities in Excess of Other Assets — (4.6)% |
(24,036,223 | ) | ||||||
|
|
|||||||
Net Assets — 100.0% |
$ | 520,959,615 | ||||||
|
|
(a) |
Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
(b) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
24 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Short Maturity Municipal Bond ETF |
(c) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(d) |
Affiliate of the Fund. |
(e) |
Annualized 7-day yield as of period end. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended October 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
||||||||||||||||||||||||||||||||||||
Affiliated Issuer | Value
at 10/31/21 |
Purchases at Cost |
Proceeds from Sale |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value at 10/31/22 |
Shares Held at 10/31/22 (000) |
Income | Capital
Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||
BlackRock Liquidity Funds: MuniCash |
$ | — | $ | 29,740 | (a) | $ | — | $ | 828 | ) | $ | — | $ | 28,912 | 29 | $ | 3,902 | $ | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
||||||||||||||||
Investments |
||||||||||||||||
Assets |
||||||||||||||||
Municipal Debt Obligations |
$ | — | $ | 544,966,926 | $ | — | $ | 544,966,926 | ||||||||
Money Market Funds |
28,912 | — | — | 28,912 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 28,912 | $ | 544,966,926 | $ | — | $ | 544,995,838 | |||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
S C H E D U L E O F I N V E S T M E N T S |
25 |
Schedule of Investments October 31, 2022 |
BlackRock Ultra Short-Term Bond ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Asset-Backed Securities |
| |||||||
American Express Credit Account Master Trust, 5.18%, 10/15/27 |
$ | 14,709 | $ | 14,708,270 | ||||
BMW Vehicle Owner Trust, 2.52%, 12/26/24 (Call 11/25/23) |
13,523 | 13,353,620 | ||||||
CarMax Auto Owner Trust |
||||||||
2.81%, 05/15/25 (Call 09/15/23) |
3,470 | 3,427,373 | ||||||
5.61%, 12/15/25 |
12,861 | 12,859,925 | ||||||
Chase Issuance Trust, 3.97%, 09/15/27 |
14,100 | 13,701,346 | ||||||
Ford Credit Auto Lease Trust |
||||||||
0.24%, 04/15/24 (Call 02/15/23) |
3,231 | 3,207,073 | ||||||
2.78%, 10/15/24 (Call 09/15/23) |
4,065 | 4,009,888 | ||||||
Ford Credit Auto Owner Trust |
||||||||
0.73%, 09/15/24 (Call 07/15/23) |
6,860 | 6,769,009 | ||||||
3.44%, 02/15/25 (Call 01/15/24) |
9,988 | 9,889,343 | ||||||
Honda Auto Receivables Owner Trust, 1.44%, 10/15/24 (Call 11/15/23) |
13,886 | 13,654,487 | ||||||
Hyundai Auto Lease Securitization Trust |
||||||||
0.24%, 01/16/24 (Call 04/15/23)(a) |
8,123 | 8,042,676 | ||||||
0.81%, 04/15/24 (Call 08/15/23)(a) |
7,368 | 7,224,975 | ||||||
2.75%, 10/15/24 (Call 12/15/23)(a) |
18,449 | 18,135,688 | ||||||
4.34%, 01/15/25 (Call 04/15/24)(a) |
2,378 | 2,352,825 | ||||||
Nissan Auto Receivables Owner Trust, 4.50%, 08/15/25 (Call 06/15/24) |
9,440 | 9,353,333 | ||||||
Toyota Auto Receivables Owner Trust, 2.35%, 01/15/25 (Call 09/15/23) |
9,153 | 9,018,834 | ||||||
|
|
|||||||
Total
Asset-Backed Securities — 2.1% |
149,708,665 | |||||||
|
|
|||||||
Certificates of Deposit |
||||||||
Banco Santander SA, 3.82%, 05/03/23, (SOFR + 0.800%)(b) |
10,000 | 9,999,809 | ||||||
Banco Santander SA/New York, 3.67%, 01/18/23, (SOFR + 0.620%)(b) |
8,000 | 8,000,910 | ||||||
Bank of Montreal |
||||||||
0.50%, 11/28/22 |
7,000 | 6,982,316 | ||||||
5.40%, 10/13/23 |
25,000 | 24,982,160 | ||||||
Bank of Montreal/Chicago IL, 3.75%, 07/13/23, (SOFR + 0.700%)(b) |
7,000 | 6,997,951 | ||||||
Bank of Nova Scotia (The), 4.05%, 07/14/23 |
20,000 | 19,816,692 | ||||||
Barclays Bank PLC/NY 1.65%, 03/03/23 |
15,000 | 14,831,890 | ||||||
2.98%, 06/01/23 |
8,750 | 8,636,518 | ||||||
3.28%, 02/03/23, (SOFR + 0.300%)(b) |
30,000 | 29,978,106 | ||||||
3.70%, 06/08/23, (SOFR + 0.650%)(b) |
15,000 | 14,983,689 | ||||||
4.00%, 07/13/23 |
15,000 | 14,871,236 | ||||||
Bayerische Landesbank/New York |
||||||||
0.90%, 06/27/23 |
15,000 | 14,584,074 | ||||||
4.52%,
01/27/23, |
22,500 | 22,499,796 | ||||||
Canadian Imperial Bank of Commerce 0.35%, 11/02/22 |
6,000 | 5,999,069 | ||||||
3.26%, 03/03/23, (SOFR + 0.280%)(b) |
30,000 | 29,980,341 | ||||||
3.34%, 01/06/23, (SOFR + 0.300%)(b) |
10,000 | 9,997,930 | ||||||
4.65%, 09/14/23 |
17,000 | 16,882,033 | ||||||
CDP Financial Inc., 5.24%, 06/27/23 |
7,900 | 7,634,565 | ||||||
Citibank NA 3.61%, 09/21/23(b) |
10,000 | 9,979,607 | ||||||
3.77%, 05/01/23 |
15,000 | 14,896,236 | ||||||
3.85%, 07/28/23 |
10,000 | 9,888,641 |
Security |
Par (000) |
Value | ||||||
Kookmin Bank/New York |
||||||||
3.28%,
12/02/22, (3 mo. LIBOR US + |
$ | 10,000 | $ | 9,999,740 | ||||
3.29%, 01/30/23, (SOFR + 0.300%)(b) |
25,000 | 24,982,896 | ||||||
3.30%, 02/09/23, (SOFR + 0.320%)(b) |
10,000 | 9,992,289 | ||||||
3.36%, 02/21/23, (SOFR + 0.320%)(b) |
20,000 | 19,980,880 | ||||||
Landesbank Baden-Wuerttemberg, 3.53%, 02/03/23, (SOFR + 0.490%)(b) |
17,500 | 17,496,643 | ||||||
Lloyds Bank Corporate Markets PLC |
||||||||
5.14%, 05/15/23 |
8,000 | 7,782,396 | ||||||
5.24%, 10/12/23 |
15,000 | 14,975,584 | ||||||
Lloyds Bank Corporate Markets PLC/New York NY |
||||||||
0.40%, 12/01/22 |
16,000 | 15,953,127 | ||||||
2.81%, 05/11/23 |
15,000 | 14,819,173 | ||||||
3.33%, 02/03/23, (SOFR + 0.280%)(b) |
25,000 | 24,990,907 | ||||||
Mizuho Bank Ltd. |
||||||||
3.83%, 04/26/23, (SOFR + 0.800%)(b) |
25,000 | 25,000,091 | ||||||
3.85%, 04/27/23, (SOFR + 0.800%)(b) |
12,500 | 12,499,618 | ||||||
Mizuho Bank Ltd./New York NY, 3.61%, 02/01/23, |
||||||||
(SOFR + 0.570%)(b) |
30,000 | 30,003,611 | ||||||
MUFG Bank Ltd./New York NY |
||||||||
3.27%, 01/27/23, (SOFR + 0.280%)(b) |
25,000 | 24,984,835 | ||||||
3.32%, 01/24/23, (SOFR + 0.280%)(b) |
15,000 | 14,991,209 | ||||||
Natixis SA/New York NY |
||||||||
2.13%, 11/18/22 |
10,600 | 10,592,249 | ||||||
3.26%, 02/07/23, (SOFR + 0.280%)(b) |
10,000 | 9,995,503 | ||||||
Nordea Bank Abp, 2.21%, 12/05/22 |
40,000 | 39,940,222 | ||||||
Royal Bank of Canada |
||||||||
0.37%, 11/10/22 |
10,000 | 9,991,282 | ||||||
0.40%, 11/15/22 |
15,000 | 14,980,274 | ||||||
3.29%, 01/11/23, (SOFR + 0.250%)(b) |
18,000 | 17,992,083 | ||||||
4.05%, 08/22/23 |
25,000 | 24,726,662 | ||||||
Standard Chartered Bank PLC, 2.15%, 11/22/22 |
25,000 | 24,976,722 | ||||||
Standard Chartered Bank/New York |
||||||||
3.34%, 05/01/23, (SOFR + 0.350%)(b) |
25,000 | 24,959,703 | ||||||
3.35%, 03/13/23, (SOFR + 0.300%)(b) |
30,000 | 29,973,116 | ||||||
3.41%, 07/28/23, (SOFR + 0.420%)(b) |
15,000 | 14,967,428 | ||||||
Sumitomo Mitsui Banking Corp. |
||||||||
2.70%, 04/25/23 |
50,000 | 49,412,276 | ||||||
3.05%, 11/25/22 |
14,500 | 14,493,662 | ||||||
3.74%, 09/28/23(b) |
15,000 | 14,970,016 | ||||||
Sumitomo Mitsui Banking Corp./New York |
||||||||
3.32%, 01/23/23, (SOFR + 0.280%)(b) |
20,000 | 19,989,681 | ||||||
3.49%, 01/25/23, (SOFR + 0.450%)(b) |
20,000 | 19,997,216 | ||||||
Sumitomo Mitsui Trust Bank Ltd./New York, 3.59%, 01/06/23, (SOFR + 0.550%)(b) |
35,000 | 35,009,092 | ||||||
Swedbank AB, 3.68%, 04/25/23, (SOFR + 0.650%)(b) |
35,000 | 34,995,035 | ||||||
Toronto-Dominion Bank |
||||||||
0.73%, 12/30/22 |
8,000 | 7,957,699 | ||||||
2.69%, 04/28/23 |
10,000 | 9,875,131 | ||||||
3.70%, 05/01/23 |
10,000 | 9,923,467 | ||||||
4.35%, 09/13/23 |
17,000 | 16,835,421 | ||||||
4.99%, 05/01/23 |
15,000 | 15,000,000 | ||||||
5.20%, 10/11/23 |
25,000 | 24,926,970 | ||||||
Westpac Banking Corp. 2.25%, 01/23/23 |
30,000 | 29,866,832 | ||||||
4.22%, 09/06/23 |
17,000 | 16,831,270 | ||||||
|
|
|||||||
Total
Certificates of Deposit — 15.8% |
1,114,055,580 | |||||||
|
|
26 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Ultra Short-Term Bond ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Commercial Paper |
||||||||
Alinghi Funding Co. LLC |
||||||||
4.36%, 01/12/23(a) |
$ | 6,500 | $ | 6,443,060 | ||||
5.18%, 04/18/23(a) |
33,500 | 32,705,031 | ||||||
Amcor Finance USA Inc., 3.87%, 11/16/22 |
13,500 | 13,476,792 | ||||||
Amcor Flexibles North America Inc. |
||||||||
3.62%, 11/04/22 |
10,000 | 9,995,979 | ||||||
3.62%, 12/01/22 |
35,000 | 34,878,691 | ||||||
3.91%, 11/18/22 |
22,000 | 21,957,100 | ||||||
3.95%, 11/22/22 |
12,865 | 12,834,024 | ||||||
4.05%, 12/02/22 |
15,000 | 14,946,253 | ||||||
Ameren Corp., 3.77%, 11/07/22 |
9,939 | 9,931,714 | ||||||
Ameren Illinois Co., 3.94%, 11/22/22 |
23,000 | 22,944,719 | ||||||
American Electric Power Co. Inc. |
||||||||
3.50%, 11/03/22 |
22,840 | 22,833,336 | ||||||
3.57%, 11/04/22 |
13,539 | 13,533,631 | ||||||
3.86%, 11/15/22 |
25,000 | 24,959,823 | ||||||
3.94%, 11/22/22 |
35,000 | 34,915,877 | ||||||
Amphenol Corp., 3.79%, 11/14/22 |
40,000 | 39,941,107 | ||||||
ASB Bank Ltd. |
||||||||
5.35%, 08/11/23 |
20,000 | 19,189,969 | ||||||
5.39%, 09/12/23 |
15,000 | 14,322,707 | ||||||
AT&T Inc. |
||||||||
3.94%, 11/23/22 |
40,500 | 40,398,311 | ||||||
4.12%, 12/16/22 |
25,000 | 24,869,155 | ||||||
Avery Dennison Corp., 3.85%, 11/22/22 |
9,470 | 9,447,760 | ||||||
Banco Santander SA, 3.81%, 12/06/22 |
25,000 | 24,905,000 | ||||||
Bank of Montreal, 2.80%, 05/12/23 |
12,000 | 11,859,649 | ||||||
Bell Canada, 3.65%, 11/14/22 |
25,000 | 24,964,553 | ||||||
Bell Telephone Co. of Canada or Bell Canada, 3.70%, 11/18/22 |
20,000 | 19,963,100 | ||||||
BPCE SA |
||||||||
3.12%, 11/01/22 |
30,000 | 29,997,397 | ||||||
4.76%, 02/22/23 |
10,000 | 9,851,610 | ||||||
4.80%, 03/01/23 |
13,500 | 13,285,558 | ||||||
Brookfield BRP Holdings Canada Inc. |
||||||||
3.50%, 11/03/22 |
50,000 | 49,985,412 | ||||||
3.81%, 11/10/22 |
23,841 | 23,815,815 | ||||||
Brookfield Infrastructure Holdings Canada Inc., 3.79%, 11/08/22 |
25,000 | 24,978,967 | ||||||
CDP Financial Inc. |
||||||||
3.77%, 08/10/23 |
25,000 | 23,978,055 | ||||||
5.49%, 09/07/23 |
10,000 | 9,547,063 | ||||||
Ciesco LLC, 3.96%, 12/20/22 |
23,500 | 23,371,305 | ||||||
Citigroup Global Markets Inc. |
||||||||
4.14%, 01/03/23 |
20,000 | 19,853,760 | ||||||
4.20%, 01/09/23 |
20,000 | 19,838,106 | ||||||
5.13%, 04/11/23 |
30,000 | 29,323,650 | ||||||
Collateralized Commercial Paper V Co. LLC |
||||||||
3.59%, 02/21/23, (SOFR + 0.540%)(b) |
28,200 | 28,195,544 | ||||||
4.40%, 01/13/23 |
20,000 | 19,820,632 | ||||||
Commonwealth Bank of Australia, 3.65%, 07/13/23, (SOFR + 0.600%)(a)(b) |
35,000 | 34,975,597 | ||||||
Credit Industriel et Commercial/New York |
||||||||
4.60%, 03/08/23 |
25,000 | 24,597,867 | ||||||
5.07%, 05/04/23 |
15,500 | 15,106,436 | ||||||
Crown Point Capital Co. LLC, 3.73%, 11/21/22 |
10,000 | 9,978,277 | ||||||
DBS Bank Ltd., 3.09%, 11/01/22 |
25,000 | 24,997,851 | ||||||
DNB Bank ASA |
||||||||
3.36%, 11/07/22 |
5,000 | 4,996,735 | ||||||
4.60%, 03/02/23 |
10,000 | 9,846,517 |
Security |
Par (000) |
Value | ||||||
4.94%, 04/28/23 |
$ | 10,000 | $ | 9,760,140 | ||||
Duke Energy Corp. |
||||||||
3.35%, 11/01/22 |
55,000 | 54,994,887 | ||||||
3.85%, 11/14/22 |
25,000 | 24,962,628 | ||||||
E.ON SE, 4.01%, 11/28/22 |
30,000 | 29,906,713 | ||||||
Enbridge U.S. Inc., 4.29%, 12/16/22 |
35,000 | 34,809,125 | ||||||
Enel Finance America LLC |
||||||||
3.80%, 11/03/22 |
15,000 | 14,995,574 | ||||||
4.06%, 11/17/22 |
35,000 | 34,933,013 | ||||||
4.17%, 11/21/22 |
20,000 | 19,951,467 | ||||||
4.27%, 12/05/22 |
10,000 | 9,958,651 | ||||||
5.12%, 01/19/23 |
20,000 | 19,774,978 | ||||||
Evergy Kansas Central Inc., 3.77%, 11/07/22 |
10,636 | 10,628,203 | ||||||
Evergy Missouri West Inc., 3.77%, 11/07/22 |
32,264 | 32,240,349 | ||||||
Fidelity National Information Services Inc., 3.89%, 11/18/22 |
4,000 | 3,992,240 | ||||||
Fiserv Inc., 3.87%, 11/14/22 |
48,840 | 48,766,686 | ||||||
Goldman Sachs International, 3.51%, 11/10/22 |
10,000 | 9,990,269 | ||||||
GTA Funding LLC, 4.44%, 01/17/23 |
20,000 | 19,809,247 | ||||||
HSBC USA Inc. |
||||||||
5.55%, 08/14/23 |
15,000 | 14,364,295 | ||||||
5.59%, 09/07/23 |
20,000 | 19,078,576 | ||||||
Kookmin Bank, 5.08%, 04/25/23 |
25,000 | 24,393,900 | ||||||
Korea Development Bank (The), 5.15%, 05/26/23 |
12,500 | 12,140,625 | ||||||
Korea Development Bank/New York NY, 4.36%, 02/06/23 |
7,500 | 7,411,984 | ||||||
La Fayette Asset Securitization LLC |
||||||||
4.71%, 02/01/23 |
13,666 | 13,501,661 | ||||||
4.72%, 02/03/23 |
16,304 | 16,103,291 | ||||||
Legacy Capital Co. LLC, 3.75%, 11/23/22 |
16,700 | 16,660,118 | ||||||
Liberty Street Funding LLC |
||||||||
3.50%, 11/07/22 |
25,000 | 24,982,986 | ||||||
4.58%, 01/19/23 |
35,000 | 34,647,433 | ||||||
4.60%, 01/20/23 |
20,000 | 19,794,980 | ||||||
4.99%, 02/28/23 |
10,000 | 9,836,333 | ||||||
Lloyds Bank PLC, 4.68%, 02/07/23 |
21,250 | 20,979,727 | ||||||
LMA-Americas LLC |
||||||||
3.55%, 11/08/22 |
28,287 | 28,264,716 | ||||||
4.46%, 01/13/23 |
20,000 | 19,818,494 | ||||||
5.23%, 05/02/23 |
18,700 | 18,215,868 | ||||||
Macquarie Bank Ltd. |
||||||||
3.13%, 11/01/22, (SOFR + 0.350%) |
10,000 | 9,999,129 | ||||||
3.36%, 02/28/23, (SOFR + 0.300%)(a)(b) |
25,000 | 24,977,041 | ||||||
3.39%, 01/10/23, (SOFR + 0.350%)(a)(b) |
15,000 | 14,999,141 | ||||||
3.78%, 04/25/23, (SOFR + 0.750%)(a)(b) |
25,000 | 25,000,018 | ||||||
5.50%, 08/17/23 |
10,000 | 9,575,553 | ||||||
Matchpoint Finance PLC, 3.85%, 12/08/22 |
25,000 | 24,898,693 | ||||||
Mitsubishi HC Capital America Inc. |
||||||||
3.54%, 11/03/22 |
23,042 | 23,035,201 | ||||||
4.38%, 01/03/23 |
25,000 | 24,806,800 | ||||||
National Australia Bank Ltd. |
||||||||
3.45%, 04/05/23, (SOFR + 0.400%)(a)(b) |
25,000 | 24,975,700 | ||||||
3.55%, 03/14/23, (SOFR + 0.500%)(a)(b) |
10,000 | 9,998,888 | ||||||
4.45%, 02/01/23 |
15,000 | 14,829,655 | ||||||
4.66%, 02/24/23 |
17,000 | 16,748,296 | ||||||
Natixis SA/New York NY |
||||||||
3.07%, 11/01/22 |
37,500 | 37,496,802 | ||||||
3.46%, 11/10/22 |
10,000 | 9,990,389 | ||||||
Nutrien Ltd. 3.58%, 11/03/22 |
23,364 | 23,357,028 | ||||||
3.89%, 11/14/22 |
5,783 | 5,774,274 | ||||||
3.90%, 11/15/22 |
25,000 | 24,959,479 | ||||||
3.91%, 11/16/22 |
16,844 | 16,814,804 |
S C H E D U L E O F I N V E S T M E N T S |
27 |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Ultra Short-Term Bond ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
3.96%, 11/21/22 |
$ | 23,320 | $ | 23,266,267 | ||||
Pricoa Short Term Funding LLC, 5.46%, 09/13/23 |
15,000 | 14,311,846 | ||||||
Raytheon Technologies Corp. |
||||||||
3.78%, 11/08/22 |
20,000 | 19,983,196 | ||||||
4.83%, 02/06/23 |
34,500 | 34,052,111 | ||||||
Regatta Funding Co. LLC, 4.52%, 01/18/23 |
10,000 | 9,901,864 | ||||||
Ridgefield Funding Co. LLC, 4.35%, 01/12/23 |
35,000 | 34,693,968 | ||||||
Salisbury Receivables Co. LLC, 4.33%, 02/02/23 |
30,000 | 29,664,655 | ||||||
Skandinaviska Enskilda Banken AB |
||||||||
0.16%, 06/01/23 |
35,000 | 35,000,000 | ||||||
3.42%, 04/05/23, (SOFR + 0.380%)(a)(b) |
25,000 | 24,975,300 | ||||||
3.46%, 11/10/22 |
25,000 | 24,975,972 | ||||||
Skandinaviska Enskilda Banken AB/New York NY, 3.55%, 04/12/23, (SOFR + 0.510%)(b) |
20,000 | 19,986,944 | ||||||
Sony Capital Corp. |
||||||||
3.47%, 11/01/22 |
40,000 | 39,996,149 | ||||||
3.54%, 11/02/22 |
20,000 | 19,996,066 | ||||||
Spire Inc. |
||||||||
3.89%, 11/17/22 |
19,875 | 19,838,594 | ||||||
3.90%, 11/18/22 |
5,000 | 4,990,275 | ||||||
3.93%, 11/21/22 |
21,150 | 21,101,612 | ||||||
Stanley Black & Decker Inc. |
||||||||
3.72%, 11/21/22 |
30,000 | 29,935,075 | ||||||
3.73%, 11/22/22 |
11,000 | 10,974,993 | ||||||
Sumitomo Mitsui Trust Bank Ltd., 3.50%, 11/14/22 |
16,700 | 16,677,282 | ||||||
Suncorp-Metway Ltd., 3.77%, 11/07/22 |
10,500 | 10,492,303 | ||||||
Svenska Handelsbanken AB |
||||||||
3.80%, 07/28/23, (SOFR + 0.750%)(a)(b) |
25,000 | 24,996,279 | ||||||
4.37%, 02/27/23 |
30,000 | 29,572,988 | ||||||
4.48%, 03/06/23 |
25,000 | 24,613,950 | ||||||
TELUS Corp. |
||||||||
4.41%, 01/10/23 |
4,365 | 4,327,354 | ||||||
4.49%, 01/18/23 |
42,700 | 42,283,304 | ||||||
4.64%, 02/02/23 |
23,850 | 23,564,594 | ||||||
Toronto-Dominion Bank |
||||||||
3.79%, 12/09/22 |
15,000 | 14,938,640 | ||||||
4.47%, 02/17/23 |
20,000 | 19,732,647 | ||||||
TransCanada PipeLines Ltd. |
||||||||
3.37%, 11/01/22 |
9,091 | 9,090,150 | ||||||
3.77%, 11/07/22 |
25,000 | 24,981,673 | ||||||
4.14%, 12/12/22 |
27,500 | 27,367,817 | ||||||
UBS AG/London, 3.64%, 09/26/23(a)(b) |
10,000 | 9,984,864 | ||||||
Versailles Commercial Paper LLC, 4.41%, 01/11/23 |
15,000 | 14,868,840 | ||||||
Victory Receivables Corp. |
||||||||
4.37%, 01/09/23 |
20,000 | 19,831,339 | ||||||
4.80%, 02/01/23 |
15,000 | 14,816,325 | ||||||
4.83%, 02/08/23 |
15,000 | 14,801,542 | ||||||
Virginia Electric & Power Co., 3.58%, 11/08/22 |
18,232 | 18,217,491 | ||||||
Volvo Treasury North America LP, 3.89%, 11/17/22 |
33,655 | 33,593,352 | ||||||
Vulcan Materials Co., 3.93%, 11/08/22 |
7,876 | 7,869,120 | ||||||
Westpac Banking Corp., 4.53%, 03/03/23 |
5,000 | 4,923,860 | ||||||
|
|
|||||||
Total
Commercial Paper — 39.8% |
2,807,656,144 | |||||||
|
|
|||||||
Corporate Bonds & Notes |
||||||||
Aerospace & Defense — 0.2% |
||||||||
Lockheed Martin Corp., 4.95%, 10/15/25(c) |
6,195 | 6,200,162 |
Security |
Par (000) |
Value | ||||||
Aerospace & Defense (continued) |
||||||||
Raytheon
Technologies Corp., 3.65%, 08/16/23 |
$ | 4,000 | $ | 3,958,041 | ||||
|
|
|||||||
10,158,203 | ||||||||
Agriculture — 0.4% | ||||||||
Cargill Inc. |
||||||||
0.40%, 02/02/24 (Call 01/02/24)(a) |
10,165 | 9,589,634 | ||||||
3.50%, 04/22/25 (Call 04/22/23)(a)(c) |
6,825 | 6,579,149 | ||||||
4.88%, 10/10/25 |
14,235 | 14,114,856 | ||||||
|
|
|||||||
30,283,639 | ||||||||
Auto Manufacturers — 4.6% | ||||||||
American Honda Finance Corp. |
||||||||
0.65%, 09/08/23(c) |
20,000 | 19,249,296 | ||||||
0.75%, 08/09/24(c) |
3,235 | 3,000,506 | ||||||
0.88%, 07/07/23(c) |
7,025 | 6,825,560 | ||||||
3.13%, 02/22/23,
(3 mo. LIBOR US |
8,820 | 8,805,317 | ||||||
3.59%, 09/08/23, (3 mo. LIBOR US + 0.420%)(b) |
5,790 | 5,778,112 | ||||||
BMW U.S. Capital LLC |
||||||||
0.75%, 08/12/24(a) |
2,925 | 2,701,275 | ||||||
0.80%, 04/01/24(a) |
3,350 | 3,151,826 | ||||||
3.00%, 08/12/24, (SOFR + 0.380%)(a)(b) |
19,960 | 19,745,009 | ||||||
3.56%, 04/01/24, (SOFR + 0.530%)(a)(b) |
15,615 | 15,545,505 | ||||||
Daimler Finance North America LLC |
||||||||
0.75%, 03/01/24(a) |
26,690 | 25,137,710 | ||||||
1.75%, 03/10/23(a) |
13,184 | 13,045,844 | ||||||
Daimler Trucks Finance North America LLC, 1.13%, 12/14/23(a) |
4,000 | 3,811,723 | ||||||
Hyundai Capital America |
||||||||
0.80%, 04/03/23(a) |
21,620 | 21,186,729 | ||||||
0.80%, 01/08/24(a) |
3,000 | 2,831,482 | ||||||
2.38%, 02/10/23(a) |
7,560 | 7,498,555 | ||||||
2.85%, 11/01/22(a)(c) |
8,440 | 8,440,000 | ||||||
Hyundai Capital Services Inc., 0.75%, 09/15/23(a) |
20,000 | 19,151,164 | ||||||
PACCAR Financial Corp. |
||||||||
0.80%, 06/08/23(c) |
2,760 | 2,696,214 | ||||||
3.15%, 06/13/24 |
8,865 | 8,604,552 | ||||||
Toyota Motor Credit Corp. |
||||||||
0.50%, 06/18/24 |
4,000 | 3,720,730 | ||||||
2.50%, 03/22/24 |
15,000 | 14,494,946 | ||||||
2.90%, 03/30/23(c) |
10,000 | 9,924,873 | ||||||
3.12%, 09/13/24, (SOFR + 0.290%)(b) |
12,000 | 11,855,570 | ||||||
3.24%, 02/13/23, (SOFR + 0.200%)(b)(c) |
22,277 | 22,257,853 | ||||||
3.60%, 03/22/24, (SOFR + 0.320%)(b) |
10,000 | 9,968,849 | ||||||
3.65%, 08/18/25 |
13,145 | 12,653,065 | ||||||
4.40%, 09/20/24 |
15,000 | 14,863,577 | ||||||
Volkswagen Group of America Finance LLC |
||||||||
0.75%, 11/23/22(a) |
15,025 | 14,982,631 | ||||||
3.72%, 06/07/24(a)(b) |
12,380 | 12,339,901 | ||||||
|
|
|||||||
324,268,374 | ||||||||
Auto Parts & Equipment — 0.0% | ||||||||
Aptiv
PLC/Aptiv Corp., 2.40%, 02/18/25 |
3,275 | 3,051,425 | ||||||
|
|
|||||||
Banks — 12.4% | ||||||||
Banco Santander SA |
||||||||
0.70%, 06/30/24 (Call 06/30/23)(b) |
8,200 | 7,873,605 | ||||||
3.89%, 05/24/24 |
15,800 | 15,319,073 | ||||||
Bank of America Corp. |
||||||||
0.52%, 06/14/24 (Call 06/14/23), (SOFR + 0.410%)(b) |
18,580 | 17,935,784 | ||||||
3.00%, 12/20/23 (Call 12/20/22), (3 mo. LIBOR US + 0.790%)(b) |
10,000 | 9,963,992 |
28 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Ultra Short-Term Bond ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Banks (continued) | ||||||||
3.30%, 01/11/23 |
$ | 10,000 | $ | 9,979,615 | ||||
Series 2025, 3.28%, 02/04/25 (Call 02/04/24), (SOFR + 0.660%)(b) |
15,000 | 14,749,238 | ||||||
Bank of New York Mellon Corp. (The), 3.43%, 06/13/25 (Call 06/13/24)(b)(c) |
16,100 | 15,617,834 | ||||||
BPCE SA, 2.75%, 01/11/23(a)(c) |
4,000 | 3,976,994 | ||||||
Canadian Imperial Bank of Commerce, 3.50%, 09/13/23(c) |
4,500 | 4,439,534 | ||||||
Citigroup Inc., 4.14%, 05/24/25 (Call 05/24/24), (SOFR + 1.372%)(b)(c) |
4,770 | 4,637,267 | ||||||
Cooperatieve Rabobank UA/NY, 3.88%, 08/22/24 |
16,800 | 16,421,428 | ||||||
Credit Agricole Corporate & Investment Bank SA, 0.40%, 01/15/23 |
12,000 | 11,911,918 | ||||||
Credit Suisse AG/New York NY |
||||||||
0.50%, 02/02/24 |
5,335 | 4,880,701 | ||||||
1.00%, 05/05/23 |
5,000 | 4,848,232 | ||||||
2.97%, 02/02/24, (SOFR + 0.390%)(b) |
15,000 | 14,400,000 | ||||||
3.47%, 07/10/23, (SOFR + 0.420%)(b) |
14,000 | 13,962,865 | ||||||
3.59%, 01/19/24, (SOFR + 0.540%)(b) |
10,000 | 9,955,035 | ||||||
Deutsche Bank AG/New York NY |
||||||||
4.16%, 05/13/25(c) |
6,905 | 6,569,431 | ||||||
Series E, 0.96%, 11/08/23 |
20,815 | 19,796,672 | ||||||
Series E, 3.10%, 11/08/23, (SOFR + 0.500%)(b) |
16,220 | 16,016,763 | ||||||
DNB Bank ASA |
||||||||
2.15%, 12/02/22(a) |
14,382 | 14,355,685 | ||||||
3.72%, 12/02/22,
(3 mo. LIBOR US |
5,000 | 4,998,536 | ||||||
Fifth Third Bank NA, 1.80%, 01/30/23 (Call 12/30/22) |
4,560 | 4,527,936 | ||||||
Goldman Sachs Group Inc. (The) |
||||||||
0.52%, 03/08/23(c) |
20,000 | 19,684,102 | ||||||
1.22%, 12/06/23 (Call 12/06/22) |
12,000 | 11,481,192 | ||||||
0.63%, 11/17/23 (Call 11/17/22), (SOFR + 0.538%)(b) |
10,000 | 9,974,320 | ||||||
3.19%, 11/17/23 (Call 11/17/22), (SOFR + 0.540%)(b) |
7,000 | 6,965,840 | ||||||
HSBC Holdings PLC, 1.16%, 11/22/24 (Call 11/22/23), (SOFR + 0.580%)(b) |
6,995 | 6,564,506 | ||||||
JPMorgan Chase & Co. |
||||||||
0.70%, 03/16/24 (Call 03/16/23), (SOFR + 0.580%)(b) |
4,000 | 3,922,436 | ||||||
3.47%, 03/16/24 (Call 03/16/23), (SOFR + 0.580%)(b) |
20,000 | 19,838,485 | ||||||
3.85%, 06/14/25 (Call 06/14/24)(b) |
16,100 | 15,599,993 | ||||||
KeyBank NA/Cleveland OH |
||||||||
0.43%, 06/14/24 (Call 06/14/23), (SOFR + 0.320%)(b) |
10,000 | 9,683,034 | ||||||
3.18%, 06/14/24 (Call 06/14/23), (SOFR + 0.320%)(b) |
15,565 | 15,386,021 | ||||||
4.15%, 08/08/25(c) |
5,370 | 5,185,808 | ||||||
Kookmin
Bank, 2.60%, 11/03/22, (SOFR + |
11,000 | 10,999,992 | ||||||
Korea Development Bank (The), 3.31%, 02/18/23, (3 mo. LIBOR US + 0.350%)(b) |
16,455 | 16,432,374 | ||||||
Macquarie Bank Ltd., 3.34%, 04/06/23, (SOFR + 0.300%)(a)(b) |
15,000 | 14,966,933 | ||||||
Mitsubishi UFJ Financial Group Inc. |
||||||||
4.79%, 07/18/25 (Call 07/18/24)(b) |
9,010 | 8,838,122 | ||||||
5.06%, 09/12/25 (Call 09/12/24)(b) |
15,675 | 15,447,220 | ||||||
Morgan Stanley |
||||||||
0.53%, 01/25/24 (Call 01/25/23), (SOFR + 0.455%)(b) |
10,000 | 9,850,269 | ||||||
0.56%, 11/10/23 (Call 11/10/22), (SOFR + 0.466%)(b) |
15,000 | 14,980,640 | ||||||
0.73%, 04/05/24 (Call 04/05/23), (SOFR + 0.616%)(b) |
30,000 | 29,268,014 | ||||||
3.62%, 04/17/25 (Call 04/17/24), (SOFR + 1.160%)(b)(c) |
6,865 | 6,631,523 | ||||||
3.66%, 01/24/25
(Call 01/24/24), |
15,000 | 14,722,634 | ||||||
3.75%, 02/25/23(c) |
15,384 | 15,323,958 | ||||||
4.20%, 04/17/25 (Call 04/17/24), (SOFR + 0.950%)(b) |
10,000 | 9,934,000 | ||||||
MUFG Bank Ltd., 3.59%, 05/31/23(b) |
25,000 | 24,957,251 |
Security |
Par (000) |
Value | ||||||
Banks (continued) | ||||||||
National Australia Bank Ltd., 3.66%, 12/13/22, (3 mo. LIBOR US + 0.410%)(a)(b) |
$ | 3,500 | $ | 3,496,448 | ||||
National Australia Bank Ltd./New York, 1.88%, 12/13/22(c) |
4,460 | 4,448,166 | ||||||
Nordea Bank Abp |
||||||||
1.00%, 06/09/23(a) |
3,135 | 3,052,916 | ||||||
3.60%, 06/06/25(a) |
10,665 | 10,182,514 | ||||||
4.75%, 09/22/25(a)(c) |
16,900 | 16,554,980 | ||||||
Nordea Bank Abp/New York NY, 0.30%, 01/27/23 |
8,000 | 7,922,257 | ||||||
PNC Financial Services Group Inc., 5.67%, 10/28/25(c) |
15,526 | 15,541,719 | ||||||
Santander UK PLC, 2.10%, 01/13/23 |
2,105 | 2,090,829 | ||||||
Skandinaviska Enskilda Banken AB |
||||||||
2.20%, 12/12/22(a) |
2,845 | 2,837,405 | ||||||
3.88%, 12/12/22,
(3 mo. LIBOR US + |
3,000 | 2,998,009 | ||||||
Societe Generale SA, 4.35%, 06/13/25(a)(c) |
15,000 | 14,472,284 | ||||||
Sumitomo Mitsui Financial Group Inc. |
||||||||
0.51%, 01/12/24 |
3,580 | 3,373,308 | ||||||
3.10%, 01/17/23(c) |
2,659 | 2,650,094 | ||||||
Sumitomo Mitsui Trust Bank Ltd. |
||||||||
0.80%, 09/12/23, (SOFR + 0.44%)(a) |
12,744 | 12,246,453 | ||||||
0.80%, 09/16/24(a)(c) |
12,000 | 10,990,685 | ||||||
2.55%, 03/10/25(a)(c) |
10,000 | 9,318,188 | ||||||
3.29%, 09/16/24, (SOFR + 0.440%)(a)(b) |
15,000 | 14,868,115 | ||||||
Svenska Handelsbanken AB |
||||||||
0.63%, 06/30/23(a) |
6,310 | 6,117,645 | ||||||
3.65%, 06/10/25(a) |
15,900 | 15,167,620 | ||||||
Swedbank AB |
||||||||
0.60%, 09/25/23(a)(c) |
14,500 | 13,874,180 | ||||||
1.30%, 06/02/23(a) |
6,680 | 6,519,279 | ||||||
Truist Bank |
||||||||
1.25%, 03/09/23 (Call 02/06/23) |
15,000 | 14,809,660 | ||||||
3.24%, 01/17/24 (Call 01/17/23), (SOFR + 0.200%)(b) |
45,000 | 44,518,270 | ||||||
UBS AG/London |
||||||||
0.38%, 06/01/23(a) |
4,440 | 4,315,460 | ||||||
0.45%, 02/09/24(a) |
7,000 | 6,573,252 | ||||||
0.70%, 08/09/24(a) |
4,330 | 3,978,120 | ||||||
1.38%, 01/13/25 (Call 12/13/24), (SOFR + 0.300%)(a) |
6,970 | 6,377,011 | ||||||
2.96%, 02/09/24, (SOFR + 0.360%)(a)(b) |
5,000 | 4,961,940 | ||||||
3.05%, 08/09/24, (SOFR + 0.450%)(a)(b) |
8,470 | 8,398,504 | ||||||
3.06%, 06/01/23, (SOFR + 0.320%)(a)(b) |
8,470 | 8,451,281 | ||||||
UBS
Group AG, 4.49%, 08/05/25 |
8,810 | 8,510,680 | ||||||
Westpac Banking Corp. |
||||||||
1.02%, 11/18/24 |
3,550 | 3,272,471 | ||||||
2.00%, 01/13/23(c) |
2,375 | 2,363,746 | ||||||
2.95%, 11/18/24, (SOFR + 0.300%)(b) |
12,445 | 12,253,266 | ||||||
|
|
|||||||
871,283,560 | ||||||||
Beverages — 0.8% | ||||||||
Coca-Cola Europacific Partners PLC, 0.50%, 05/05/23(a) |
52,207 | 50,933,348 | ||||||
PepsiCo Inc., 0.75%, 05/01/23 |
1,615 | 1,584,085 | ||||||
|
|
|||||||
52,517,433 | ||||||||
Biotechnology — 0.2% | ||||||||
Gilead Sciences Inc., 0.75%, 09/29/23 (Call 11/14/22) |
15,971 | 15,371,310 | ||||||
|
|
|||||||
Chemicals — 0.2% |
||||||||
Ecolab Inc., 0.90%, 12/15/23 (Call 12/15/22)(c) |
8,800 | 8,413,574 | ||||||
Sherwin-Williams Co. (The), 4.05%, 08/08/24 |
7,310 | 7,171,795 | ||||||
|
|
|||||||
15,585,369 | ||||||||
Cosmetics & Personal Care — 0.2% | ||||||||
GSK Consumer Healthcare Capital U.S. LLC, 3.02%, 03/24/24 |
9,235 | 8,909,979 |
S C H E D U L E O F I N V E S T M E N T S |
29 |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Ultra Short-Term Bond ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Cosmetics & Personal Care (continued) |
||||||||
Unilever Capital Corp., 0.63%, 08/12/24 (Call 12/01/22)(c) |
$ | 5,975 | $ | 5,558,414 | ||||
|
|
|||||||
14,468,393 | ||||||||
Diversified Financial Services — 0.8% | ||||||||
American
Express Co. |
10,000 | 9,581,158 | ||||||
2.51%, 11/03/23, (SOFR + 0.230%)(b) |
10,000 | 9,928,175 | ||||||
3.38%, 05/03/24 |
7,600 | 7,371,249 | ||||||
3.68%, 03/04/25 (Call 02/01/25), (SOFR + 0.930%)(b) |
8,235 | 8,210,589 | ||||||
Capital
One Financial Corp., 4.17%, 05/09/25 |
15,800 | 15,184,039 | ||||||
LSEGA Financing PLC, 0.65%, 04/06/24 (Call 03/06/24)(a) |
3,895 | 3,636,066 | ||||||
|
|
|||||||
53,911,276 | ||||||||
Electric — 3.9% | ||||||||
Dominion
Energy Inc., Series D, 3.82%, 09/15/23 |
30,560 | 30,464,644 | ||||||
Duke Energy Corp., 3.07%, 06/10/23, (SOFR + 0.250%)(b) |
14,765 | 14,670,554 | ||||||
Eversource Energy, 2.88%, 08/15/23, (SOFR + 0.250%)(b) |
23,850 | 23,719,643 | ||||||
Florida Power & Light Co. |
||||||||
2.87%, 05/10/23 (Call 11/14/22), (SOFR + 0.250%)(b) |
11,020 | 10,982,171 | ||||||
3.42%, 01/12/24 (Call 11/14/22), (SOFR + 0.250%)(b) |
8,240 | 8,152,007 | ||||||
National
Rural Utilities Cooperative Finance Corp. |
16,150 | 16,106,129 | ||||||
Series
D, 3.36%, 10/18/24, (SOFR + |
5,000 | 4,931,771 | ||||||
NextEra
Energy Capital Holdings Inc. |
6,888 | 6,791,814 | ||||||
2.69%, 11/03/23 (Call 12/01/22), (SOFR + 0.400%)(b) |
30,000 | 29,642,925 | ||||||
2.94%, 03/21/24 (Call 12/01/22)(c) |
15,000 | 14,522,552 | ||||||
3.25%, 02/22/23
(Call 12/01/22), |
45,000 | 44,919,283 | ||||||
3.28%, 03/01/23, (SOFR + 0.540%)(b) |
9,305 | 9,292,602 | ||||||
4.26%, 09/01/24 |
10,000 | 9,805,314 | ||||||
PPL
Electric Utilities Corp. |
8,065 | 7,953,685 | ||||||
3.89%, 09/28/23
(Call 11/14/22), |
8,710 | 8,683,081 | ||||||
WEC
Energy Group Inc. |
21,955 | 21,064,829 | ||||||
5.00%, 09/27/25 (Call 08/27/25) |
7,465 | 7,435,667 | ||||||
Xcel Energy Inc., 0.50%, 10/15/23 (Call 09/15/23) |
7,560 | 7,214,975 | ||||||
|
|
|||||||
276,353,646 | ||||||||
Food — 1.1% | ||||||||
Hormel Foods Corp., 0.65%, 06/03/24 (Call 12/01/22)(c) |
12,125 | 11,324,746 | ||||||
Nestle
Holdings Inc. |
35,000 | 32,360,182 | ||||||
4.00%, 09/12/25(a)(c) |
17,000 | 16,674,970 | ||||||
Walmart Inc., 3.90%, 09/09/25(c) |
20,000 | 19,581,146 | ||||||
|
|
|||||||
79,941,044 | ||||||||
Gas — 0.7% | ||||||||
Atmos
Energy Corp. |
8,175 | 8,056,999 | ||||||
3.57%, 03/09/23
(Call 12/01/22), |
23,770 | 23,713,826 | ||||||
CenterPoint
Energy Resources Corp., 0.70%, 03/02/23 |
15,935 | 15,713,844 | ||||||
|
|
|||||||
47,484,669 | ||||||||
Health Care - Products — 0.8% | ||||||||
Thermo
Fisher Scientific Inc. |
30,000 | 28,787,479 | ||||||
3.38%, 04/18/23 (Call 12/01/22), (SOFR + 0.350%)(b) |
20,000 | 19,968,418 |
Security |
Par (000) |
Value | ||||||
Health Care - Products (continued) |
||||||||
3.56%, 10/18/24 (Call 12/01/22), (SOFR + 0.530%)(b) |
$ | 9,215 | $ | 9,115,293 | ||||
|
|
|||||||
57,871,190 | ||||||||
Health Care - Services — 0.9% | ||||||||
Roche
Holdings Inc. |
15,000 | 14,416,650 | ||||||
2.99%, 03/05/24, (SOFR + 0.240%)(a)(b) |
5,370 | 5,333,207 | ||||||
3.15%, 09/11/23, (SOFR + 0.240%)(a)(b) |
15,000 | 14,971,677 | ||||||
UnitedHealth
Group Inc. |
15,135 | 14,161,540 | ||||||
5.00%, 10/15/24 |
17,600 | 17,607,744 | ||||||
|
|
|||||||
66,490,818 | ||||||||
Insurance — 3.4% | ||||||||
Athene Global Funding, 2.51%, 03/08/24(a) |
10,000 | 9,529,939 | ||||||
Brighthouse
Financial Global Funding |
17,000 | 16,185,475 | ||||||
2.99%, 02/24/23, (SOFR + 0.310%)(a)(b) |
23,890 | 23,858,057 | ||||||
Jackson
National Life Global Funding, 3.64%, 01/06/23, |
26,000 | 25,987,069 | ||||||
MassMutual
Global Funding II |
8,328 | 8,124,702 | ||||||
4.15%, 08/26/25(a) |
7,302 | 7,079,857 | ||||||
MET
Tower Global Funding, 3.58%, 01/17/23, |
22,000 | 21,994,391 | ||||||
Metropolitan
Life Global Funding I |
3,590 | 3,321,573 | ||||||
3.36%, 01/07/24, (SOFR + 0.320%)(a)(b) |
27,000 | 26,770,999 | ||||||
3.61%, 01/13/23, (SOFR + 0.570%)(a)(b) |
16,460 | 16,464,214 | ||||||
New
York Life Global Funding |
8,400 | 8,148,840 | ||||||
3.18%, 06/06/24(a)(b) |
9,130 | 9,065,698 | ||||||
3.60%, 08/05/25(a)(c) |
16,500 | 15,786,208 | ||||||
Northwestern Mutual Global Funding, 4.00%, 07/01/25(a)(c) . |
16,300 | 15,773,938 | ||||||
Principal
Life Global Funding II |
660 | 606,590 | ||||||
3.07%, 08/23/24, (SOFR + 0.380%)(a)(b) |
635 | 626,312 | ||||||
Protective
Life Global Funding |
15,000 | 14,941,066 | ||||||
0.63%, 10/13/23(a)(c) |
4,820 | 4,619,099 | ||||||
3.58%, 03/31/23(a)(b) |
9,525 | 9,517,465 | ||||||
|
|
|||||||
238,401,492 | ||||||||
Internet — 0.5% | ||||||||
Amazon.com
Inc. |
9,205 | 8,991,084 | ||||||
2.73%, 04/13/24(c) |
20,000 | 19,473,228 | ||||||
3.00%, 04/13/25(c) |
10,000 | 9,622,976 | ||||||
|
|
|||||||
38,087,288 | ||||||||
Machinery — 1.3% | ||||||||
Caterpillar
Financial Services Corp. |
20,000 | 19,093,498 | ||||||
2.89%, 05/17/24, (SOFR + 0.245%)(b) |
10,000 | 9,932,710 | ||||||
3.10%, 09/13/24, (SOFR + 0.270%)(b) |
15,620 | 15,443,214 | ||||||
John
Deere Capital Corp. |
3,605 | 3,441,344 | ||||||
3.16%, 07/10/23, (SOFR + 0.120%)(b) |
7,330 | 7,296,404 | ||||||
3.24%, 10/11/24, (SOFR + 0.200%)(b) |
14,290 | 14,106,802 | ||||||
3.40%, 06/06/25(c) |
10,390 | 10,021,311 | ||||||
Rockwell Automation Inc., 0.35%, 08/15/23 (Call 11/14/22) |
9,050 | 8,724,455 | ||||||
|
|
|||||||
88,059,738 |
30 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Ultra Short-Term Bond ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Manufacturing — 0.3% |
||||||||
Siemens Financieringsmaatschappij NV, 3.25%, 03/11/24, (SOFR + 0.430%)(a)(b)(c) |
$ | 18,980 | $ | 18,921,490 | ||||
|
|
|||||||
Media — 0.0% | ||||||||
Comcast Corp., 5.25%, 11/07/25 |
2,950 | 2,949,203 | ||||||
|
|
|||||||
Oil & Gas — 0.8% | ||||||||
Chevron Corp., 1.14%, 05/11/23(c) |
4,510 | 4,425,890 | ||||||
Chevron
USA Inc., 3.12%, 08/11/23, |
37,065 | 36,973,779 | ||||||
ConocoPhillips
Co., 2.13%, 03/08/24 |
16,000 | 15,406,091 | ||||||
|
|
|||||||
56,805,760 | ||||||||
Pharmaceuticals — 0.4% | ||||||||
AstraZeneca PLC, 0.30%, 05/26/23 |
24,000 | 23,393,932 | ||||||
GSK
Consumer Healthcare Capital U.S. LLC, |
2,150 | 2,143,209 | ||||||
|
|
|||||||
25,537,141 | ||||||||
Pipelines — 0.8% | ||||||||
Enbridge
Inc. |
5,380 | 5,142,715 | ||||||
2.15%, 02/16/24 |
5,530 | 5,317,206 | ||||||
3.05%, 02/17/23, (SOFR + 0.400%)(b) |
11,350 | 11,329,076 | ||||||
3.26%, 02/16/24, (SOFR + 0.630%)(b) |
10,125 | 10,013,060 | ||||||
TransCanada
PipeLines Ltd., 1.00%, 10/12/24 |
27,205 | 24,974,741 | ||||||
|
|
|||||||
56,776,798 | ||||||||
Retail — 0.4% | ||||||||
Home Depot Inc. (The), 4.00%, 09/15/25 (Call 08/15/25) |
5,170 | 5,061,018 | ||||||
Lowe’s Companies Inc., 4.40%, 09/08/25 |
11,510 | 11,282,509 | ||||||
McDonald’s Corp., 3.35%, 04/01/23 (Call 03/01/23)(c) |
1,263 | 1,256,104 | ||||||
Starbucks Corp., 3.05%, 02/14/24 (Call 02/14/23), (SOFR + 0.420%)(b) |
11,515 | 11,466,983 | ||||||
|
|
|||||||
29,066,614 | ||||||||
Savings & Loans — 0.4% | ||||||||
Nationwide
Building Society |
16,520 | 15,497,785 | ||||||
2.00%, 01/27/23(a) |
15,890 | 15,766,524 | ||||||
|
|
|||||||
31,264,309 | ||||||||
Semiconductors — 0.7% | ||||||||
Analog
Devices Inc., 3.28%, 10/01/24, |
15,330 | 15,086,611 | ||||||
NVIDIA
Corp. |
28,000 | 27,231,500 | ||||||
0.58%, 06/14/24 (Call 06/14/23) |
5,305 | 4,949,202 | ||||||
|
|
|||||||
47,267,313 | ||||||||
Software — 0.2% | ||||||||
Adobe Inc., 1.70%, 02/01/23 |
4,010 | 3,980,127 | ||||||
salesforce.com Inc., 0.63%, 07/15/24 (Call 12/01/22)(c) |
9,415 | 8,769,183 | ||||||
|
|
|||||||
12,749,310 | ||||||||
Telecommunications — 0.7% | ||||||||
Bell Telephone Co. of Canada or Bell Canada (The), Series US-3, 0.75%, 03/17/24 |
21,081 | 19,829,491 | ||||||
NTT
Finance Corp. |
6,005 | 5,647,819 | ||||||
4.14%, 07/26/24(a) |
2,830 | 2,776,969 |
Security | Par (000) |
Value | ||||||
Telecommunications (continued) | ||||||||
Verizon
Communications Inc. |
$ | 3,580 | $ | 3,380,363 | ||||
3.48%, 03/22/24, (SOFR + 0.500%)(b) |
16,955 | 16,814,339 | ||||||
|
|
|||||||
48,448,981 | ||||||||
|
|
|||||||
Total Corporate Bonds & Notes — 37.1% (Cost: $2,674,281,467) |
|
2,613,375,786 | ||||||
|
|
|||||||
Municipal Debt Obligations |
||||||||
Alabama — 0.0% | ||||||||
Alabama Federal Aid Highway Finance Authority RB, 0.45%, 09/01/23 |
3,545 | 3,413,948 | ||||||
|
|
|||||||
Arizona — 0.0% | ||||||||
County of Pima AZ COP, 0.48%, 12/01/22 |
1,020 | 1,016,675 | ||||||
|
|
|||||||
California — 0.0% | ||||||||
Port of Oakland RB, 0.82%, 05/01/23 |
400 | 391,369 | ||||||
|
|
|||||||
New York — 2.4% | ||||||||
Deutsche Bank Spears/Lifers Trust RB, 3.27%, 04/01/31 (Put 11/07/22)(a)(d) |
51,500 | 51,500,000 | ||||||
Long
Island Power Authority RB |
6,800 | 6,703,080 | ||||||
0.76%, 03/01/23 (Call 12/01/22) |
1,290 | 1,273,227 | ||||||
Mizuho Floater/Residual Trust RB |
||||||||
VRDN,
3.34%, 02/01/23 |
13,000 | 13,000,000 | ||||||
VRDN,
3.34%, 07/01/25 |
27,180 | 27,180,000 | ||||||
VRDN,
3.49%, 09/01/27 |
11,000 | 11,000,000 | ||||||
VRDN,
3.34%, 02/15/41 |
4,918 | 4,918,091 | ||||||
VRDN,
3.49%, 09/01/26 |
6,000 | 6,000,000 | ||||||
VRDN,
3.49%, 03/01/31 |
18,000 | 18,000,000 | ||||||
VRDN,
3.49%, 03/01/31 |
8,640 | 8,640,000 | ||||||
New York State Dormitory Authority RB, 2.01%, 03/15/23 |
1,765 | 1,747,444 | ||||||
Port Authority of New York & New Jersey RB, Series AAA, 1.09%, 07/01/23 |
12,570 | 12,251,124 | ||||||
Taxable Municipal Funding Trust RB |
||||||||
VRDN,
3.81%, 01/16/25 |
1,085 | 1,085,000 | ||||||
VRDN,
3.81%, 09/01/30 |
4,350 | 4,350,000 | ||||||
|
|
|||||||
167,647,966 | ||||||||
|
|
|||||||
Total
Municipal Debt Obligations — 2.4% |
|
172,469,958 | ||||||
|
|
|||||||
Repurchase Agreements(b)(e) |
||||||||
Bank of America Securities Inc., 3.57%, 11/01/22 (Purchased on 10/31/22 to be repurchased at $7,000,694, collateralized by non-agency mortgage-backed security, 0.00% to 3.64%, due 10/25/59 to 07/25/60, par and fair value of $32,537,811 and $8,289,226, respectively) |
7,000 | 7,000,000 | ||||||
Bank of America Securities Inc., 3.39%, 11/01/22 (Purchased on 10/31/22 to be repurchased at $35,003,296, collateralized by non-agency mortgage-backed security, 3.96% to 8.00%, due 08/27/29 to 09/26/50, par and fair value of $52,685,123 and $41,165,226, respectively) |
35,000 | 35,000,000 |
S C H E D U L E O F I N V E S T M E N T S |
31 |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Ultra Short-Term Bond ETF (Percentages shown are based on Net Assets) |
Security |
(000) |
Value | ||||||
BNP Paribas, 3.42%, 11/01/22 (Purchased on 10/31/22 to be repurchased at $20,001,900, collateralized by non-agency mortgage-backed security, 2.05% to 11.50%, due 09/15/23 to 01/01/99, par and fair value of $24,383,960 and $21,576,005, respectively) |
$ | 20,000 | $ | 20,000,000 | ||||
Citigroup Global Markets Inc., 3.36%, 11/01/22 (Purchased on 10/31/22 to be repurchased at $9,000,840, collateralized by non-agency mortgage-backed security, 1.75% to 5.81%, due 10/21/30 to 07/25/68, par and fair value of $11,283,863 and $10,306,011, respectively) |
9,000 | 9,000,000 | ||||||
Citigroup Global Markets Inc., 3.38%, 11/01/22 (Purchased on 10/31/22 to be repurchased at $12,001,127, collateralized by non-agency mortgage-backed security, 1.75% to 5.81%, due 10/21/30 to 07/25/68, par and fair value of $16,627,953 and $12,655,003, respectively) |
12,000 | 12,000,000 | ||||||
Credit Suisse Securities (USA) LLC, 3.66%, 11/01/22 (Purchased on 10/31/22 to be repurchased at $35,003,558, collateralized by non-agency mortgage-backed security, 0.00% to 9.50%, due 11/25/35 to 03/25/67, par and fair value of $735,783,974 and $40,140,106, respectively) |
35,000 | 35,000,000 | ||||||
Goldman Sachs & Co. LLC, 3.57%, 11/01/22 (Purchased on 10/31/22 to be repurchased at $60,005,950, collateralized by non-agency mortgage-backed security, 0.0% to 10.29%, due 10/09/26 to 11/25/51, par and fair value of $104,066,912 and 68,896,183, respectively) |
60,000 | 60,000,000 | ||||||
Mizuho Securities USA Inc., 3.52%, 11/01/22 (Purchased on 10/31/22 to be repurchased at $6,000,587, collateralized by non-agency mortgage-backed security, 4.00%, due 10/31/29, par and fair value of $6,158,900 and $6,119,421, respectively) |
6,000 | 6,000,000 | ||||||
Mizuho Securities USA Inc., 3.62%, 11/01/22 (Purchased on 10/31/22 to be repurchased at $30,003,017, collateralized by non-agency mortgage-backed security, 1.99% to 7.95%, due 04/1/24 to 10/25/59, par and fair value of $53,899,995 and $34,414,869, respectively) |
30,000 | 30,000,000 | ||||||
Wells Fargo Securities, 3.55%, 11/01/22 (Purchased on 10/31/22 to be repurchased at $25,002,465, collateralized by non-agency mortgage-backed security, 0.00% to 7.16%, due 01/15/25 to 10/25/59, par and fair value of $43,695,081 and $28,710,683, respectively) |
25,000 | 25,000,000 | ||||||
|
|
|||||||
Total
Repurchase Agreements — 3.4% |
239,000,000 | |||||||
|
|
Security | Par/ Shares (000) |
Value | ||||||
U.S. Government Obligations |
||||||||
U.S. Government Obligations — 0.1% | ||||||||
U.S. Treasury Note/Bond, 0.25%, 09/30/23 |
$ | 10,000 | $ | 9,609,375 | ||||
|
|
|||||||
Total
U.S. Government Obligations — 0.1% |
|
9,609,375 | ||||||
|
|
|||||||
Money Market Funds | ||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares, 3.29%(f)(g)(h) |
56,999 | 56,987,823 | ||||||
|
|
|||||||
Total
Money Market Funds — 0.8% |
|
56,987,823 | ||||||
|
|
|||||||
Total
Investments — 101.5% |
|
7,162,863,331 | ||||||
Liabilities in Excess of Other Assets — (1.5)% |
|
(109,322,152 | ) | |||||
|
|
|||||||
Net Assets — 100.0% |
$ | 7,053,541,179 | ||||||
|
|
(a) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(b) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(c) |
All or a portion of this security is on loan. |
(d) |
Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
(e) |
Maturity date represents next reset date. |
(f) |
Affiliate of the Fund. |
(g) |
Annualized 7-day yield as of period end. |
(h) |
All or a portion of this security was purchased with the cash collateral from loaned securities. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended October 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
||||||||||||||||||||||||||||||||||||
Affiliated Issuer | Value
at 10/31/21 |
Purchases at Cost |
Proceeds from Sale |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value
at 10/31/22 |
Shares Held at 10/31/22 (000) |
Income | Capital
Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares |
$ | 17,719,634 | $ | 39,302,794 | (a) | $ | — | $ | (32,824 | ) | $ | (1,781 | ) | $ | 56,987,823 | 56,999 | $ | 108,258 | (b) | $ | — | |||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares(c) |
— | 0 | (a) | — | — | — | — | — | 18,753 | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (32,824 | ) | $ | (1,781 | ) | $ | 56,987,823 | $ | 127,011 | $ | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
32 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (continued) October 31, 2022 |
BlackRock Ultra Short-Term Bond ETF |
Affiliates (continued)
(a) |
Represents net amount purchased (sold). |
(b) |
All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
(c) |
As of period end, the entity is no longer held. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
||||||||||||||||
Investments |
||||||||||||||||
Assets |
||||||||||||||||
Asset-Backed Securities |
$ | — | $ | 149,708,665 | $ | — | $ | 149,708,665 | ||||||||
Certificates of Deposit |
— | 1,114,055,580 | — | 1,114,055,580 | ||||||||||||
Commercial Paper |
— | 2,807,656,144 | — | 2,807,656,144 | ||||||||||||
Corporate Bonds & Notes |
— | 2,613,375,786 | — | 2,613,375,786 | ||||||||||||
Municipal Debt Obligations |
— | 172,469,958 | — | 172,469,958 | ||||||||||||
Repurchase Agreements |
— | 239,000,000 | — | 239,000,000 | ||||||||||||
U.S. Government Obligations |
— | 9,609,375 | — | 9,609,375 | ||||||||||||
Money Market Funds |
56,987,823 | — | — | 56,987,823 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 56,987,823 | $ | 7,105,875,508 | $ | — | $ | 7,162,863,331 | |||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
S C H E D U L E O F I N V E S T M E N T S |
33 |
Statements of Assets and Liabilities
October 31, 2022
BlackRock Bond ETF |
BlackRock Short Maturity Bond ETF |
BlackRock Ultra Short-Term Bond ETF |
||||||||||
ASSETS |
||||||||||||
Investments, at value — unaffiliated(a)(b) |
$ | 3,957,713,045 | $ | 544,966,926 | $ | 6,866,875,508 | ||||||
Investments, at value — affiliated(c) |
268,092,775 | 28,912 | 56,987,823 | |||||||||
Repurchase agreements, at value — unaffiliated(d) |
100,000,000 | — | 239,000,000 | |||||||||
Cash |
13,021,129 | 15,037,302 | 677,029 | |||||||||
Foreign currency, at value(e) |
4,216,591 | — | — | |||||||||
Receivables: |
||||||||||||
Investments sold |
289,551 | — | — | |||||||||
Securities lending income — affiliated |
32,373 | — | 15,289 | |||||||||
Dividends — unaffiliated |
— | 394 | — | |||||||||
Dividends — affiliated |
617,117 | 254 | 5,987,359 | |||||||||
Interest — unaffiliated |
18,762,395 | 2,184,344 | 12,362,310 | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts |
688,209 | — | — | |||||||||
|
|
|
|
|
|
|||||||
Total assets |
4,363,433,185 | 562,218,132 | 7,181,905,318 | |||||||||
|
|
|
|
|
|
|||||||
LIABILITIES |
||||||||||||
Collateral on securities loaned, at value |
77,913,142 | — | 57,022,457 | |||||||||
Payables: |
||||||||||||
Investments purchased |
— | 41,149,848 | 70,865,872 | |||||||||
Capital shares redeemed |
54,063,878 | — | — | |||||||||
Investment advisory fees |
905,452 | 108,669 | 475,810 | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts |
385,092 | — | — | |||||||||
|
|
|
|
|
|
|||||||
Total liabilities |
133,267,564 | 41,258,517 | 128,364,139 | |||||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 4,230,165,621 | $ | 520,959,615 | $ | 7,053,541,179 | ||||||
|
|
|
|
|
|
|||||||
NET ASSETS CONSIST OF |
||||||||||||
Paid-in capital |
$ | 4,341,331,077 | $ | 524,069,902 | $ | 7,109,872,054 | ||||||
Accumulated loss |
(111,165,456 | ) | (3,110,287 | ) | (56,330,875 | ) | ||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 4,230,165,621 | $ | 520,959,615 | $ | 7,053,541,179 | ||||||
|
|
|
|
|
|
|||||||
NET ASSET VALUE |
||||||||||||
Shares outstanding |
86,050,000 | 10,500,000 | 141,100,000 | |||||||||
|
|
|
|
|
|
|||||||
Net asset value |
$ | 49.16 | $ | 49.62 | $ | 49.99 | ||||||
|
|
|
|
|
|
|||||||
Shares authorized |
Unlimited | Unlimited | Unlimited | |||||||||
|
|
|
|
|
|
|||||||
Par value |
None | None | None | |||||||||
|
|
|
|
|
|
|||||||
(a) Investments, at cost — unaffiliated |
$ | 4,056,497,033 | $ | 548,774,446 | $ | 6,938,890,633 | ||||||
(b) Securities loaned, at value |
$ | 75,001,180 | $ | — | $ | 55,410,058 | ||||||
(c) Investments, at cost — affiliated |
$ | 268,096,491 | $ | 28,912 | $ | 56,989,604 | ||||||
(d) Repurchase agreements, at cost — unaffiliated |
$ | 100,000,000 | $ | — | $ | 239,000,000 | ||||||
(e) Foreign currency, at cost |
$ | 4,201,675 | $ | — | $ | — |
See notes to financial statements.
34 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Year Ended October 31, 2022
BlackRock Maturity Bond ETF |
BlackRock Short Maturity Municipal Bond ETF |
BlackRock Short-Term |
||||||||||
INVESTMENT INCOME |
||||||||||||
Dividends — affiliated |
$ | 2,217,681 | $ | 3,902 | $ | 21,639 | ||||||
Interest — unaffiliated |
61,794,349 | 3,545,804 | 83,104,140 | |||||||||
Securities lending income — affiliated — net |
155,468 | — | 105,372 | |||||||||
Other income — unaffiliated |
210,325 | — | — | |||||||||
Foreign taxes withheld |
(1,327 | ) | — | — | ||||||||
|
|
|
|
|
|
|||||||
Total investment income |
64,376,496 | 3,549,706 | 83,231,151 | |||||||||
|
|
|
|
|
|
|||||||
EXPENSES |
||||||||||||
Investment advisory |
11,379,383 | 884,889 | 5,125,738 | |||||||||
Professional |
217 | 217 | 217 | |||||||||
|
|
|
|
|
|
|||||||
Total expenses |
11,379,600 | 885,106 | 5,125,955 | |||||||||
Less: |
||||||||||||
Investment advisory fees waived |
(158,671 | ) | — | — | ||||||||
|
|
|
|
|
|
|||||||
Total expenses after fees waived |
11,220,929 | 885,106 | 5,125,955 | |||||||||
|
|
|
|
|
|
|||||||
Net investment income |
53,155,567 | 2,664,600 | 78,105,196 | |||||||||
|
|
|
|
|
|
|||||||
REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||
Net realized gain (loss) from: |
||||||||||||
Investments — unaffiliated |
(4,074,552 | ) | (66 | ) | 22,739 | |||||||
Investments — affiliated |
(43,078 | ) | (828 | ) | (32,824 | ) | ||||||
Forward foreign currency exchange contracts |
18,266,401 | — | — | |||||||||
Foreign currency transactions |
507,944 | — | — | |||||||||
In-kind redemptions — unaffiliated(a) |
(658,147 | ) | — | — | ||||||||
|
|
|
|
|
|
|||||||
13,998,568 | (894 | ) | (10,085 | ) | ||||||||
|
|
|
|
|
|
|||||||
Net change in unrealized appreciation (depreciation) on: |
||||||||||||
Investments — unaffiliated |
(102,444,008 | ) | (4,216,983 | ) | (73,933,604 | ) | ||||||
Investments — affiliated |
(12,430 | ) | — | (1,781 | ) | |||||||
Forward foreign currency exchange contracts |
(168,618 | ) | — | — | ||||||||
Foreign currency translations |
11,875 | — | — | |||||||||
|
|
|
|
|
|
|||||||
(102,613,181 | ) | (4,216,983 | ) | (73,935,385 | ) | |||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized loss |
(88,614,613 | ) | (4,217,877 | ) | (73,945,470 | ) | ||||||
|
|
|
|
|
|
|||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$ | (35,459,046 | ) | $ | (1,553,277 | ) | $ | 4,159,726 | ||||
|
|
|
|
|
|
(a) |
See Note 2 of the Notes to Financial Statements. |
See notes to financial statements.
F I N A N C I A L S T A T E M E N T S |
35 |
Statements of Changes in Net Assets
BlackRock Short Maturity Bond ETF |
BlackRock Short Maturity Municipal Bond ETF |
|||||||||||||||||||
|
|
|
|
|||||||||||||||||
Year Ended 10/31/22 |
Year Ended 10/31/21 |
Year Ended 10/31/22 |
Year Ended 10/31/21 |
|||||||||||||||||
|
||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||||||
OPERATIONS |
||||||||||||||||||||
Net investment income |
$ | 53,155,567 | $ | 35,445,063 | $ | 2,664,600 | $ | 964,192 | ||||||||||||
Net realized gain (loss) |
13,998,568 | 5,840,631 | (894 | ) | (4,755 | ) | ||||||||||||||
Net change in unrealized appreciation (depreciation) |
(102,613,181 | ) | (9,550,521 | ) | (4,216,983 | ) | (395,104 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Net increase (decrease) in net assets resulting from operations |
(35,459,046 | ) | 31,735,173 | (1,553,277 | ) | 564,333 | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) |
||||||||||||||||||||
Decrease in net assets resulting from distributions to shareholders |
(49,011,290 | ) | (39,578,305 | ) | (1,873,888 | ) | (1,005,763 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||
Net increase (decrease) in net assets derived from capital share transactions |
(539,564,075 | ) | 464,293,661 | 231,217,779 | 2,519,567 | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
NET ASSETS |
||||||||||||||||||||
Total increase (decrease) in net assets |
(624,034,411 | ) | 456,450,529 | 227,790,614 | 2,078,137 | |||||||||||||||
Beginning of year |
4,854,200,032 | 4,397,749,503 | 293,169,001 | 291,090,864 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
End of year |
$ | 4,230,165,621 | $ | 4,854,200,032 | $ | 520,959,615 | $ | 293,169,001 | ||||||||||||
|
|
|
|
|
|
|
|
(a) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
36 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Changes in Net Assets (continued)
BlackRock Ultra Short-Term Bond ETF |
||||||||
|
|
|||||||
Year Ended 10/31/22 |
Year Ended 10/31/21 |
|||||||
|
||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||
OPERATIONS |
||||||||
Net investment income |
$ | 78,105,196 | $ | 23,822,908 | ||||
Net realized gain (loss) |
(10,085 | ) | 115,920 | |||||
Net change in unrealized appreciation (depreciation) |
(73,935,385 | ) | (9,452,665 | ) | ||||
|
|
|
|
|||||
Net increase in net assets resulting from operations |
4,159,726 | 14,486,163 | ||||||
|
|
|
|
|||||
DISTRIBUTIONS TO SHAREHOLDERS(a) |
||||||||
Decrease in net assets resulting from distributions to shareholders |
(62,518,287 | ) | (24,852,336 | ) | ||||
|
|
|
|
|||||
CAPITAL SHARE TRANSACTIONS |
||||||||
Net increase in net assets derived from capital share transactions |
1,305,237,758 | 894,302,572 | ||||||
|
|
|
|
|||||
NET ASSETS |
||||||||
Total increase in net assets |
1,246,879,197 | 883,936,399 | ||||||
Beginning of year |
5,806,661,982 | 4,922,725,583 | ||||||
|
|
|
|
|||||
End of year |
$ | 7,053,541,179 | $ | 5,806,661,982 | ||||
|
|
|
|
(a) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
F I N A N C I A L S T A T E M E N T S |
37 |
(For a share outstanding throughout each period)
BlackRock Short Maturity Bond ETF | ||||||||||||||||||||||||
|
|
|||||||||||||||||||||||
Year Ended 10/31/22 |
Year Ended 10/31/21 |
Year Ended 10/31/20 |
Year Ended 10/31/19 |
Year Ended 10/31/18 |
||||||||||||||||||||
|
||||||||||||||||||||||||
Net asset value, beginning of year |
$ | 50.07 | $ | 50.15 | $ | 50.36 | $ | 50.12 | $ | 50.25 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net investment income(a) |
0.58 | 0.38 | 0.91 | 1.37 | 1.11 | |||||||||||||||||||
Net realized and unrealized gain (loss)(b) |
(0.95 | ) | (0.03 | ) | (0.16 | ) | 0.21 | (0.23 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net increase (decrease) from investment operations |
(0.37 | ) | 0.35 | 0.75 | 1.58 | 0.88 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Distributions from net investment income(c) |
(0.54 | ) | (0.43 | ) | (0.96 | ) | (1.34 | ) | (1.01 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net asset value, end of year |
$ | 49.16 | $ | 50.07 | $ | 50.15 | $ | 50.36 | $ | 50.12 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total Return(d) |
||||||||||||||||||||||||
Based on net asset value |
(0.75 | )% | 0.70 | % | 1.51 | % | 3.19 | % | 1.78 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Ratios to Average Net Assets(e) |
||||||||||||||||||||||||
Total expenses |
0.25 | % | 0.25 | % | 0.25 | % | 0.25 | % | 0.25 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total expenses after fees waived |
0.25 | % | 0.25 | % | 0.25 | % | 0.25 | % | 0.25 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net investment income |
1.17 | % | 0.76 | % | 1.81 | % | 2.73 | % | 2.21 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Supplemental Data |
||||||||||||||||||||||||
Net assets, end of year (000) |
$ | 4,230,166 | $ | 4,854,200 | $ | 4,397,750 | $ | 6,260,259 | $ | 4,981,818 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Portfolio turnover rate(f) |
44 | % | 55 | % | 67 | %(g) | 58 | %(g) | 48 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Based on average shares outstanding. |
(b) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(c) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) |
Where applicable, assumes the reinvestment of distributions. |
(e) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(f) |
Portfolio turnover rate excludes in-kind transactions. |
(g) |
Includes mortgage dollar roll transactions (“MDRs”). |
See notes to financial statements.
38 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock Short Maturity Municipal Bond ETF | ||||||||||||||||||||||||
|
|
|||||||||||||||||||||||
Year Ended 10/31/22 |
Year Ended 10/31/21 |
Year Ended 10/31/20 |
Year Ended 10/31/19 |
Year Ended 10/31/18 |
||||||||||||||||||||
|
||||||||||||||||||||||||
Net asset value, beginning of year |
$ | 50.11 | $ | 50.19 | $ | 50.13 | $ | 49.85 | $ | 50.01 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net investment income(a) |
0.37 | 0.17 | 0.51 | 0.81 | 0.68 | |||||||||||||||||||
Net realized and unrealized gain (loss)(b) |
(0.62 | ) | (0.07 | ) | 0.13 | 0.26 | (0.21 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net increase (decrease) from investment operations |
(0.25 | ) | 0.10 | 0.64 | 1.07 | 0.47 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Distributions from net investment income(c) |
(0.24 | ) | (0.18 | ) | (0.58 | ) | (0.79 | ) | (0.63 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net asset value, end of year |
$ | 49.62 | $ | 50.11 | $ | 50.19 | $ | 50.13 | $ | 49.85 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total Return(d) |
||||||||||||||||||||||||
Based on net asset value |
(0.51 | )% | 0.19 | % | 1.29 | % | 2.16 | % | 0.95 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Ratios to Average Net Assets(e) |
||||||||||||||||||||||||
Total expenses |
0.25 | % | 0.25 | % | 0.25 | % | 0.25 | % | 0.25 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net investment income |
0.75 | % | 0.34 | % | 1.02 | % | 1.63 | % | 1.35 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Supplemental Data |
||||||||||||||||||||||||
Net assets, end of year (000) |
$ | 520,960 | $ | 293,169 | $ | 291,091 | $ | 210,532 | $ | 127,111 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Portfolio turnover rate(f) |
98 | % | 52 | % | 108 | % | 170 | % | 221 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Based on average shares outstanding. |
(b) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(c) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) |
Where applicable, assumes the reinvestment of distributions. |
(e) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(f) |
Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
F I N A N C I A L H I G H L I G H T S |
39 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock Ultra Short-Term Bond ETF | ||||||||||||||||||||||||
|
|
|||||||||||||||||||||||
Year Ended 10/31/22 |
Year Ended 10/31/21 |
Year Ended 10/31/20 |
Year Ended 10/31/19 |
Year Ended 10/31/18 |
||||||||||||||||||||
|
||||||||||||||||||||||||
Net asset value, beginning of year |
$ | 50.45 | $ | 50.54 | $ | 50.41 | $ | 50.15 | $ | 50.12 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net investment income(a) |
0.61 | 0.22 | 0.69 | 1.38 | 1.16 | |||||||||||||||||||
Net realized and unrealized gain (loss)(b) |
(0.60 | ) | (0.07 | ) | 0.25 | 0.23 | (0.16 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net increase from investment operations |
0.01 | 0.15 | 0.94 | 1.61 | 1.00 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Distributions from net investment income(c) |
(0.47 | ) | (0.24 | ) | (0.81 | ) | (1.35 | ) | (0.97 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net asset value, end of year |
$ | 49.99 | $ | 50.45 | $ | 50.54 | $ | 50.41 | $ | 50.15 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Total Return(d) |
||||||||||||||||||||||||
Based on net asset value |
0.03 | % | 0.29 | % | 1.89 | % | 3.25 | % | 2.02 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Ratios to Average Net Assets(e) |
||||||||||||||||||||||||
Total expenses |
0.08 | % | 0.08 | % | 0.08 | % | 0.08 | % | 0.08 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Net investment income |
1.22 | % | 0.44 | % | 1.36 | % | 2.74 | % | 2.33 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Supplemental Data |
||||||||||||||||||||||||
Net assets, end of year (000) |
$ | 7,053,541 | $ | 5,806,662 | $ | 4,922,726 | $ | 2,195,391 | $ | 601,794 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Portfolio turnover rate(f) |
27 | % | 47 | % | 54 | % | 16 | % | 32 | % | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Based on average shares outstanding. |
(b) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(c) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) |
Where applicable, assumes the reinvestment of distributions. |
(e) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(f) |
Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
40 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
1. |
ORGANIZATION |
iShares U.S. ETF Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust and is authorized to have multiple series or portfolios.
These financial statements relate only to the following funds (each, a “Fund” and collectively, the “Funds”):
|
||||
BlackRock ETF | Diversification Classification |
|||
|
||||
Short Maturity Bond |
Diversified | |||
Short Maturity Municipal Bond |
Diversified | |||
Ultra Short-Term Bond |
Diversified | |||
|
2. |
SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed (the “trade dates”). Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend date. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.
Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using prevailing market rates as quoted by one or more data service providers. Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
Each Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Foreign Taxes: The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Fund invests. These foreign taxes, if any, are paid by each Fund and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Other foreign taxes”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of October 31, 2022, if any, are disclosed in the Statements of Assets and Liabilities.
The Funds file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Funds may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statements of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
Collateralization: If required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.
In-kind Redemptions: For financial reporting purposes, in-kind redemptions are treated as sales of securities resulting in realized capital gains or losses to the Funds. Because such gains or losses are not taxable to the Funds and are not distributed to existing Fund shareholders, the gains or losses are reclassified from accumulated net realized gain (loss) to paid-in capital at the end of the Funds’ tax year. These reclassifications have no effect on net assets or net asset value (“NAV”) per share.
Distributions: Dividends and distributions paid by each Fund are recorded on the ex-dividend dates. Distributions are determined on a tax basis and may differ from net investment income and net realized capital gains for financial reporting purposes. Dividends and distributions are paid in U.S. dollars and cannot be automatically reinvested in additional shares of the Funds. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, each Fund enters into contracts that contain a variety of representations that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown because it involves future potential claims against the Funds, which cannot be predicted with any certainty.
N O T E S T O F I N A N C I A L S T A T E M E N T S |
41 |
Notes to Financial Statements (continued)
3. |
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund’s listing exchange is open and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of the Trust (the “Board”) of each Fund has approved the designation of BlackRock Fund Advisors (“BFA”), the Funds’ investment adviser, as the valuation designee for each Fund. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under BFA’s policies. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with BFA’s policies and procedures as reflecting fair value. BFA has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:
• |
Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Pricing services generally value fixed income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless BFA determines such method does not represent fair value. |
• |
Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV. |
• |
Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the NYSE based on that day’s prevailing forward exchange rate for the underlying currencies. |
• |
Repurchase agreements are valued at amortized cost, which approximates market value. |
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee, in accordance with BFA’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• |
Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access; |
• |
Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs); and |
• |
Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
42 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (continued)
4. |
SECURITIES AND OTHER INVESTMENTS |
Repurchase Agreements: Repurchase agreements are commitments to purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. On a daily basis, the counterparty is required to maintain collateral subject to the agreement and in value no less than the agreed upon repurchase amount. Repurchase agreements may be traded bilaterally, in a tri-party arrangement or may be centrally cleared through a sponsoring agent. Subject to the custodial undertaking associated with a tri-party repurchase arrangement and for centrally cleared agreements, a third party custodian maintains accounts to hold collateral for a fund and its counterparties. Typically, a fund and counterparty are not permitted to sell, re-pledge or use the collateral absent a default by the counterparty or the fund. In the event the counterparty defaults and the fair value of the collateral declines, a fund could experience losses, delays and costs in liquidating the collateral.
Repurchase agreements are entered into by a fund under Master Repurchase Agreements (each, an “MRA”). The MRA permits the fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables with collateral held by and/or posted to the counterparty. As a result, one single net payment is created. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterparty’s bankruptcy or insolvency. Based on the terms of the MRA, the fund receives securities as collateral with a market value in excess of the repurchase price at maturity. Upon a bankruptcy or insolvency of the MRA counterparty, the fund would recognize a liability with respect to such excess collateral. The liability reflects the fund’s obligation under bankruptcy law to return the excess to the counterparty.
The following table summarizes the open repurchase agreements as of October 31, 2022 which are subject to offset under an MRA:
BlackRock ETF and Counterparty | |
Market Value of Repurchase Agreements |
|
|
Cash Collateral |
|
|
Non-Cash Collateral Received at Fair Value |
(a) |
Net Amount | ||||||
Short Maturity Bond |
||||||||||||||||
Goldman Sachs & Co. |
$ | 100,000,000 | $ | — | $ | 100,000,000 | $ | — | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Ultra Short-Term Bond |
||||||||||||||||
Bank of America Securities Inc. |
$ | 42,000,000 | $ | — | $ | 42,000,000 | $ | — | ||||||||
BNP Paribas |
20,000,000 | — | 20,000,000 | — | ||||||||||||
Citigroup Global Markets Inc. |
21,000,000 | — | 21,000,000 | — | ||||||||||||
Credit Suisse Securities (USA) LLC |
35,000,000 | — | 35,000,000 | — | ||||||||||||
Goldman Sachs & Co. LLC |
60,000,000 | — | 60,000,000 | — | ||||||||||||
Mizuho Securities USA Inc. |
36,000,000 | — | 36,000,000 | — | ||||||||||||
Wells Fargo Securities |
25,000,000 | — | 25,000,000 | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 239,000,000 | $ | — | $ | 239,000,000 | $ | — | |||||||||
|
|
|
|
|
|
|
|
(a) |
Collateral received in excess of the market value of repurchase agreements is not presented in this table. The total cash collateral received by each Fund is disclosed in the Fund’s statement of assets and liabilities. |
Securities Lending: Each Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, an irrevocable letter of credit issued by an approved bank, or securities issued or guaranteed by the U.S. government. The initial collateral received by each Fund is required to have a value of at least 102% of the current market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund or excess collateral is returned by the Fund, on the next business day. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested in money market funds managed by BFA, or its affiliates is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Fund, except in the event of borrower default. The securities on loan, if any, are also disclosed in each Fund’s Schedule of Investments. The market value of any securities on loan and the value of any related cash collateral are disclosed in the Statements of Assets and Liabilities.
Securities lending transactions are entered into by the Funds under Master Securities Lending Agreements (each, an “MSLA”) which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Funds, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Funds can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
N O T E S T O F I N A N C I A L S T A T E M E N T S |
43 |
Notes to Financial Statements (continued)
As of period end, the following table is a summary of the securities on loan by counterparty which are subject to offset under an MSLA:
BlackRock ETF and Counterparty | |
Securities Loaned at Value |
|
|
Cash Collateral Received |
(a) |
|
Non-Cash Collateral Received, at Fair Value |
(a) |
Net Amount | ||||||
Short Maturity Bond |
||||||||||||||||
Barclays Bank PLC |
$ | 4,271,324 | $ | (4,271,324 | ) | $ | — | $ | — | |||||||
Barclays Capital, Inc. |
297,977 | (297,977 | ) | — | — | |||||||||||
BMO Capital Markets Corp. |
153,618 | (153,618 | ) | — | — | |||||||||||
BNP Paribas SA |
1,006,672 | (1,006,672 | ) | — | — | |||||||||||
BofA Securities, Inc. |
5,914,556 | (5,914,556 | ) | — | — | |||||||||||
Citigroup Global Markets, Inc. |
4,976 | (4,976 | ) | — | — | |||||||||||
Goldman Sachs & Co. LLC |
16,176,524 | (16,176,524 | ) | — | — | |||||||||||
J.P. Morgan Securities LLC |
25,527,615 | (25,527,615 | ) | — | — | |||||||||||
Mitsubishi UFJ Securities Holdings Co., Ltd. |
6,335,756 | (6,335,756 | ) | — | — | |||||||||||
Morgan Stanley |
14,136,992 | (14,136,992 | ) | — | — | |||||||||||
Pershing LLC |
38,951 | (38,951 | ) | — | — | |||||||||||
Wells Fargo Securities LLC |
1,136,219 | (1,136,219 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 75,001,180 | $ | (75,001,180 | ) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Ultra Short-Term Bond |
||||||||||||||||
Barclays Capital, Inc. |
$ | 2,718,766 | $ | (2,718,766 | ) | $ | — | $ | — | |||||||
BMO Capital Markets Corp. |
625,802 | (625,802 | ) | — | — | |||||||||||
BNP Paribas SA |
157,779 | (157,779 | ) | — | — | |||||||||||
BofA Securities, Inc. |
13,145,713 | (13,145,713 | ) | — | — | |||||||||||
Credit Suisse Securities (USA) LLC |
1,552,814 | (1,552,814 | ) | — | — | |||||||||||
HSBC Securities (USA), Inc. |
6,204,138 | (6,204,138 | ) | — | — | |||||||||||
J.P. Morgan Securities LLC |
26,406,788 | (26,406,788 | ) | — | — | |||||||||||
Nomura Securities International, Inc. |
1,370,607 | (1,370,607 | ) | — | — | |||||||||||
Wells Fargo Securities LLC |
3,227,651 | (3,227,651 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 55,410,058 | $ | (55,410,058 | ) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
(a) |
Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed in the Funds’ Statements of Assets and Liabilities. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, each Fund benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value of the securities loaned in the event of borrower default. Each Fund could incur a loss if the value of an investment purchased with cash collateral falls below the market value of the loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by each Fund.
5. |
DERIVATIVE FINANCIAL INSTRUMENTS |
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded over-the-counter (“OTC”) and not on an organized exchange.
The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation or depreciation in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a contract changes unfavorably due to movements in the value of the referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. A fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund.
Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help mitigate its counterparty risk, a fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of
44 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (continued)
the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement, and comparing that amount to the value of any collateral currently pledged by a fund and the counterparty.
Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from the counterparty are not fully collateralized, each Fund bears the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, each Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
6. |
INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory Fees: Pursuant to an Investment Advisory Agreement with the Trust, BFA manages the investment of each Fund’s assets. BFA is a California corporation indirectly owned by BlackRock. Under the Investment Advisory Agreement, BFA is responsible for substantially all expenses of the Funds, except (i) interest and taxes; (ii) brokerage commissions and other expenses connected with the execution of portfolio transactions; (iii) distribution fees; (iv) the advisory fee payable to BFA; and (v) litigation expenses and any extraordinary expenses (in each case as determined by a majority of the independent trustees).
For its investment advisory services to each of the following Funds, BFA is entitled to an annual investment advisory fee, accrued daily and paid monthly by the Funds, based on the average daily net assets of each Fund as follows:
BlackRock ETF | Investment Advisory Fees | |||
Short Maturity Bond |
0.25 | % | ||
Short Maturity Municipal Bond |
0.25 | |||
Ultra Short-Term Bond |
0.08 |
Expense Waivers: A fund may incur its pro rata share of fees and expenses attributable to its investments in other investment companies (“acquired fund fees and expenses”). The total of the investment advisory fee and acquired fund fees and expenses, if any, is a fund’s total annual operating expenses. Total expenses as shown in the Statements of Operations does not include acquired fund fees and expenses.
For the BlackRock Short Maturity Bond ETF, BFA has contractually agreed to waive a portion of its investment advisory fees for the Fund through February 28, 2025 in an amount equal to the acquired fund fees and expenses, if any, attributable to the Fund’s investments in other registered investment companies advised by BFA or its affiliates.
This amount is included in investment advisory fees waived in the Statements of Operations. For the year ended October 31, 2022, the amounts waived in investment advisory fees pursuant to this arrangement were as follows:
BlackRock ETF | Amounts Waived | |
Short Maturity Bond |
$ 158,671 |
Distributor: BlackRock Investments, LLC, an affiliate of BFA, is the distributor for each Fund. Pursuant to the distribution agreement, BFA is responsible for any fees or expenses for distribution services provided to the Funds.
Securities Lending: The U.S. Securities and Exchange Commission (the “SEC”) has issued an exemptive order which permits BlackRock Institutional Trust Company, N.A. (“BTC”), an affiliate of BFA, to serve as securities lending agent for the Funds, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. Each Fund is responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by BFA, or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees each Fund bears to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution
N O T E S T O F I N A N C I A L S T A T E M E N T S |
45 |
Notes to Financial Statements (continued)
fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund’s weekly liquid assets fall below certain thresholds.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. Each Fund retains a portion of securities lending income and remits the remaining portion to BTC as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, each Fund retains 82% of securities lending income (which excludes collateral investment fees), and the amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
In addition, commencing the business day following the date that the aggregate securities lending income plus the collateral investment fees generated across all 1940 Act iShares exchange-traded funds (the “iShares ETF Complex”) in that calendar year exceeds a specified threshold, each Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year 85% of securities lending income (which excludes collateral investment fees) and the amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
The share of securities lending income earned by each Fund is shown as securities lending income – affiliated – net in its Statements of Operations. For the year ended October 31, 2022, the Funds paid BTC the following amounts for securities lending agent services:
BlackRock ETF | Amounts | |||
Short Maturity Bond |
$ | 55,682 | ||
Ultra Short-Term Bond |
37,569 |
Officers and Trustees: Certain officers and/or trustees of the Trust are officers and/or trustees of BlackRock or its affiliates.
Other Transactions: Cross trading is the buying or selling of portfolio securities between funds to which BFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter for compliance with the requirements and restrictions set forth by Rule 17a-7.
For the year ended October 31, 2022, transactions executed by the Funds pursuant to Rule 17a-7 under the 1940 Act were as follows:
BlackRock ETF | Purchases | Sales | Net Realized Gain (Loss) |
|||||||||
Short Maturity Municipal Bond |
$ | 24,826,755 | $ | 18,406,316 | $ | — |
Each Fund may invest its positive cash balances in certain money market funds managed by BFA or an affiliate. The income earned on these temporary cash investments is shown as dividends – affiliated in the Statements of Operations.
7. |
PURCHASES AND SALES |
For the year ended October 31, 2022, purchases and sales of investments, excluding short-term securities and in-kind transactions, were as follows:
Other Securities | ||||||||
BlackRock ETF | Purchases | Sales | ||||||
Short Maturity Bond |
$ | 1,746,164,355 | $ | 2,011,521,849 | ||||
Short Maturity Municipal Bond |
543,494,993 | 327,942,050 | ||||||
Ultra Short-Term Bond |
1,100,706,982 | 711,842,432 |
For the year ended October 31, 2022, in-kind transactions were as follows:
BlackRock ETF | In-kind Purchases |
In-kind Sales |
||||||
Short Maturity Bond |
$ | — | $ | 59,866,441 |
8. |
INCOME TAX INFORMATION |
Each Fund is treated as an entity separate from the Trust’s other funds for federal income tax purposes. It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Management has analyzed tax laws and regulations and their application to the Funds as of October 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.
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Notes to Financial Statements (continued)
U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or NAV per share. As of October 31, 2022, permanent differences attributable to realized gains (losses) from in-kind redemptions were reclassified to the following accounts:
BlackRock ETF | Paid-in Capital | Accumulated Earnings (Loss) |
||||||
Short Maturity Bond |
$ | (658,147 | ) | $ | 658,147 |
The tax character of distributions paid was as follows:
BlackRock ETF | Year
Ended 10/31/22 |
Year
Ended 10/31/21 |
||||||
Short Maturity Bond |
||||||||
Ordinary income |
$ | 49,011,290 | $ | 39,578,305 | ||||
|
|
|
|
|||||
Short Maturity Municipal Bond |
||||||||
Tax-exempt income(a) |
$ | 1,873,888 | $ | 1,005,763 | ||||
|
|
|
|
|||||
Ultra Short-Term Bond |
||||||||
Ordinary income |
$ | 62,518,287 | $ | 24,852,336 | ||||
|
|
|
|
(a) |
The Funds designate these amounts paid during the fiscal year ended October 31, 2022, as exempt-interest dividends. |
As of October 31, 2022, the tax components of accumulated net earnings (losses) were as follows:
BlackRock ETF | |
Undistributed Ordinary Income |
|
|
Non-expiring Capital Loss Carryforwards |
(a) |
|
Net Unrealized Gains (Losses) |
(b) |
Total | ||||||
Short Maturity Bond |
$ | 11,678,920 | $ | (37,653,426 | ) | $ | (85,190,950 | ) | $ | (111,165,456 | ) | |||||
Short Maturity Municipal Bond |
846,909 | (120,691 | ) | (3,836,505 | ) | (3,110,287 | ) | |||||||||
Ultra Short-Term Bond |
18,032,965 | (2,189,489 | ) | (72,174,351 | ) | (56,330,875 | ) |
(a) |
Amounts available to offset future realized capital gains. |
(b) |
The difference between book-basis and tax-basis unrealized gains (losses) was attributable primarily to the tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains (losses) on certain foreign currency contracts and amortization methods for premiums and discounts on fixed income securities. |
As of October 31, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
BlackRock ETF | Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
Short Maturity Bond |
$ | 4,427,456,118 | $ | 4,046,916 | $ | (89,252,990 | ) | $ | (85,206,074 | ) | ||||||
Short Maturity Municipal Bond |
548,832,343 | 90,951 | (3,927,456 | ) | (3,836,505 | ) | ||||||||||
Ultra Short-Term Bond |
7,235,037,682 | 379,648 | (72,553,999 | ) | (72,174,351 | ) |
9. |
PRINCIPAL RISKS |
In the normal course of business, each Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including, among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate or price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund’s prospectus provides details of the risks to which the Fund is subject.
The Funds may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.
Market Risk: Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.
N O T E S T O F I N A N C I A L S T A T E M E N T S |
47 |
Notes to Financial Statements (continued)
Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly available information on the financial condition of municipal security issuers than for issuers of other securities.
An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. Although vaccines have been developed and approved for use by various governments, the duration of this pandemic and its effects cannot be determined with certainty.
Valuation Risk: The price each Fund could receive upon the sale of any particular portfolio investment may differ from each Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs.
Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that BFA believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.
Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.
The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low interest rates. The Federal Reserve has recently begun to raise the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Funds’ performance.
Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.
LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.
10. |
CAPITAL SHARE TRANSACTIONS |
Capital shares are issued and redeemed by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”) at NAV. Except when aggregated in Creation Units, shares of each Fund are not redeemable.
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Notes to Financial Statements (continued)
Transactions in capital shares were as follows:
|
||||||||||||||||
Year Ended 10/31/22 |
Year Ended 10/31/21 |
|||||||||||||||
BlackRock ETF | Shares | Amount | Shares | Amount | ||||||||||||
|
||||||||||||||||
Short Maturity Bond |
||||||||||||||||
Shares sold |
17,200,000 | $ | 852,350,848 | 18,900,000 | $ | 948,305,065 | ||||||||||
Shares redeemed |
(28,100,000 | ) | (1,391,914,923 | ) | (9,650,000 | ) | (484,011,404 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(10,900,000 | ) | $ | (539,564,075 | ) | 9,250,000 | $ | 464,293,661 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Short Maturity Municipal Bond |
||||||||||||||||
Shares sold |
4,900,000 | $ | 243,687,671 | 1,250,000 | $ | 62,769,891 | ||||||||||
Shares redeemed |
(250,000 | ) | (12,469,892 | ) | (1,200,000 | ) | (60,250,324 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
4,650,000 | $ | 231,217,779 | 50,000 | $ | 2,519,567 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Ultra Short-Term Bond |
||||||||||||||||
Shares sold |
42,250,000 | $ | 2,119,194,220 | 30,000,000 | $ | 1,515,394,891 | ||||||||||
Shares redeemed |
(16,250,000 | ) | (813,956,462 | ) | (12,300,000 | ) | (621,092,319 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
26,000,000 | $ | 1,305,237,758 | 17,700,000 | $ | 894,302,572 | |||||||||||
|
|
|
|
|
|
|
|
The consideration for the purchase of Creation Units of a fund in the Trust generally consists of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Certain funds in the Trust may be offered in Creation Units solely or partially for cash in U.S. dollars. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to State Street Bank and Trust Company, the Trust’s administrator, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. Investors transacting in Creation Units for cash may also pay an additional variable charge to compensate the relevant fund for certain transaction costs (i.e., stamp taxes, taxes on currency or other financial transactions, and brokerage costs) and market impact expenses relating to investing in portfolio securities. Such variable charges, if any, are included in shares sold in the table above.
From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable in the Statements of Assets and Liabilities.
11. |
SUBSEQUENT EVENTS |
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
N O T E S T O F I N A N C I A L S T A T E M E N T S |
49 |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of
iShares U.S. ETF Trust and Shareholders of each of the three funds listed in the table below
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds listed in the table below (three of the funds constituting iShares U.S. ETF Trust, hereafter collectively referred to as the “Funds”) as of October 31, 2022, the related statements of operations for the year ended October 31, 2022, the statements of changes in net assets for each of the two years in the period ended October 31, 2022, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2022 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2022, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended October 31, 2022 and each of the financial highlights for each of the five years in the period ended October 31, 2022 in conformity with accounting principles generally accepted in the United States of America.
BlackRock Short Maturity Bond ETF |
BlackRock Short Maturity Municipal Bond ETF |
BlackRock Ultra Short-Term Bond ETF |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
December 22, 2022
We have served as the auditor of one or more BlackRock investment companies since 2000.
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Important Tax Information (unaudited)
The Funds hereby designate the following amounts, or maximum amounts allowable by law, of distributions from direct federal obligation interest for the fiscal year ended October 31, 2022:
iShares ETF |
Federal Obligation Interest |
|||
Short Maturity Bond |
$ | 48,290 | ||
Ultra Short-Term Bond |
28,739 |
The law varies in each state as to whether and what percent of ordinary income dividends attributable to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.
The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended October 31, 2022:
iShares ETF | Interest Dividends | |||
Short Maturity Bond |
$ | 52,524,087 | ||
Ultra Short-Term Bond |
72,136,164 |
The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended October 31, 2022:
iShares ETF |
Interest-Related Dividends |
|||
Short Maturity Bond |
$ | 42,331,444 | ||
Ultra Short-Term Bond |
66,656,361 |
I M P O R T A N T T A X I N F O R M A T I O N |
51 |
Board Review and Approval of Investment Advisory Contract
BlackRock Short Maturity Bond ETF (the “Fund”)
Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Trust’s Board of Trustees (the “Board”), including a majority of Board Members who are not “interested persons” of the Trust (as that term is defined in the 1940 Act) (the “Independent Board Members”), is required annually to consider and approve the Investment Advisory Agreement between the Trust and BFA (the “Advisory Agreement”) on behalf of the Fund. The Board’s consideration entails a year-long process whereby the Board and its committees (composed solely of Independent Board Members) assess BlackRock’s services to the Fund, including investment management; fund accounting; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements. The Independent Board Members requested, and BFA provided, such information as the Independent Board Members, with advice from independent counsel, deemed reasonably necessary to evaluate the Advisory Agreement. At meetings on May 3, 2022 and May 18, 2022, a committee composed of all of the Independent Board Members (the “15(c) Committee”), with independent counsel, met with management and reviewed and discussed information provided in response to initial requests of the 15(c) Committee and/or its independent counsel, and requested certain additional information, which management agreed to provide. At a meeting held on June 13-15, 2022, the Board, including the Independent Board Members, reviewed the additional information provided by management in response to these requests.
After extensive discussions and deliberations, the Board, including all of the Independent Board Members, approved the continuance of the Advisory Agreement for the Fund, based on a review of qualitative and quantitative information provided by BFA and their cumulative experience as Board Members. The Board noted its satisfaction with the extent and quality of information provided and its frequent interactions with management, as well as the detailed responses and other information provided by BFA. The Independent Board Members were advised by their independent counsel throughout the process, including about the legal standards applicable to their review. In approving the continuance of the Advisory Agreement for the Fund, the Board, including the Independent Board Members, considered various factors, including: (i) the expenses and performance of the Fund; (ii) the nature, extent and quality of the services provided by BFA; (iii) the costs of services provided to the Fund and profits realized by BFA and its affiliates; (iv) potential economies of scale and the sharing of related benefits; (v) the fees and services provided for other comparable funds/accounts managed by BFA and its affiliates; and (vi) other benefits to BFA and/or its affiliates. The material factors, none of which was controlling, and conclusions that formed the basis for the Board, including the Independent Board Members, to approve the continuance of the Advisory Agreement are discussed below.
Expenses and Performance of the Fund: The Board reviewed statistical information prepared by Broadridge Financial Solutions Inc. (“Broadridge”), an independent provider of investment company data, regarding the expense ratio components, including gross and net total expenses, fees and expenses of another fund in which the Fund invests (if applicable), and waivers/reimbursements (if applicable) of the Fund in comparison with the same information for other ETFs, objectively selected by Broadridge as comprising the Fund’s applicable expense peer group pursuant to Broadridge’s proprietary ETF methodology (the “Peer Group”). The Board was provided with a detailed description of the proprietary ETF methodology used by Broadridge to determine the Fund’s Peer Group. The Board noted that, due to the limitations in providing comparable funds in the Peer Group, the statistical information provided in Broadridge’s report may or may not provide meaningful direct comparisons to the Fund in all instances. The Board also noted that the investment advisory fee rate and overall expenses (net of waivers and reimbursements) for the Fund were within range of the median of the investment advisory fee rates and overall expenses (net of waivers and reimbursements) of the funds in its Peer Group, excluding iShares funds.
The Board noted that the Fund is an actively managed ETF that does not seek to track the performance of a specified index and that the management team for the Fund manages the Fund’s portfolio in accordance with its investment objective. The Board further noted that, during the year, the Board received periodic reports on the Fund’s short- and longer-term performance in comparison with its reference benchmark. Such periodic comparative performance information, including additional detailed information as requested by the Board, was also considered. The Board noted that the Fund generally performed in line with expectations relative to the Fund’s peer group (where applicable) and reference benchmark.
Based on this review, the other factors considered at the meeting, and their general knowledge of ETF pricing, the Board concluded that the investment advisory fee rate and expense level and the historical performance of the Fund supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Nature, Extent and Quality of Services Provided: Based on management’s representations, including information about recent enhancements and initiatives with respect to the iShares business, including with respect to capital markets support and analysis, technology, portfolio management, product design and quality, compliance and risk management, global public policy and other services, the Board expected that there would be no diminution in the scope of services required of or provided by BFA under the Advisory Agreement for the coming year as compared with the scope of services provided by BFA during prior years. In reviewing the scope of these services, the Board considered BFA’s investment philosophy and experience, noting that BFA and its affiliates have committed significant resources over time, including during the past year, to support the iShares funds and their shareholders and have made significant investments into the iShares business. The Board also considered BFA’s compliance program and its compliance record with respect to the Fund. In that regard, the Board noted that BFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board, and on other occasions as necessary and appropriate, and has provided information and made relevant officers and other employees of BFA (and its affiliates) available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Fund, as well as the resources available to them in managing the Fund. In addition to the above considerations, the Board reviewed and considered detailed presentations regarding BFA’s investment performance, investment and risk management processes and strategies, provided at the May 3, 2022 meeting and throughout the year, and matters related to BFA’s portfolio compliance program.
Based on review of this information, and the performance information discussed above, the Board concluded that the nature, extent and quality of services provided to the Fund under the Advisory Agreement supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Costs of Services Provided to the Fund and Profits Realized by BFA and its Affiliates: The Board reviewed information about the estimated profitability to BlackRock in managing the Fund, based on the fees payable to BFA and its affiliates (including fees under the Advisory Agreement), and other sources of revenue and expense to BFA and its affiliates from the Fund’s operations for the last calendar year. The Board reviewed BlackRock’s methodology for calculating estimated profitability of the iShares
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Board Review and Approval of Investment Advisory Contract (continued)
funds, noting that the 15(c) Committee and the Board had focused on the methodology and profitability presentation. The Board recognized that profitability may be affected by numerous factors, including, among other things, fee waivers by BFA, the types of funds managed, expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at individual fund levels is challenging. The Board discussed with management the sources of direct and ancillary revenue, including the revenues to BTC, a BlackRock affiliate, from securities lending by the Fund. The Board also discussed BFA’s estimated profit margin as reflected in the Fund’s profitability analysis and reviewed information regarding potential economies of scale (as discussed below).
Based on this review, the Board concluded that the information considered with respect to the profits realized by BFA and its affiliates under the Advisory Agreement and from other relationships between the Fund and BFA and/or its affiliates, if any, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Economies of Scale: The Board reviewed information and considered the extent to which economies of scale might be realized as the assets of the Fund increase, noting that the issue of potential economies of scale had been focused on by the 15(c) Committee and the Board during their meetings and addressed by management. The 15(c) Committee and the Board received information regarding BlackRock’s historical estimated profitability, including BFA’s and its affiliates’ estimated costs in providing services. The estimated cost information distinguished, among other things, between fixed and variable costs, and showed how the level and nature of fixed and variable costs may impact the existence or size of scale benefits, with the Board recognizing that potential economies of scale are difficult to measure. The 15(c) Committee and the Board reviewed information provided by BFA regarding the sharing of scale benefits with the iShares funds through various means, including, as applicable, through relatively low fee rates established at inception, breakpoints, waivers, or other fee reductions, as well as through additional investment in the iShares business and the provision of improved or additional infrastructure and services to the iShares funds and their shareholders. The Board noted that the Advisory Agreement for the Fund did not provide for breakpoints in the Fund’s investment advisory fee rate as the assets of the Fund increase. However, the Board noted that it would continue to assess the appropriateness of adding breakpoints in the future.
The Board concluded that this review of potential economies of scale and the sharing of related benefits, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Fees and Services Provided for Other Comparable Funds/Accounts Managed by BFA and its Affiliates: The Board received and considered information regarding the investment advisory/management fee rates for other funds/accounts in the U.S. for which BFA (or its affiliates) provides investment advisory/management services, including open-end funds registered under the 1940 Act (including sub-advised funds), collective trust funds, and institutional separate accounts (collectively, the “Other Accounts”). The Board acknowledged BFA’s representation that the iShares funds are fundamentally different investment vehicles from the Other Accounts.
The Board received detailed information regarding how the Other Accounts generally differ from the Fund, including in terms of the types of services and generally more extensive services provided to the Fund, as well as other significant differences. In that regard, the Board considered that the pricing of services to institutional clients is typically based on a number of factors beyond the nature and extent of the specific services to be provided and often depends on the overall relationship between the client and its affiliates and the adviser and its affiliates. In addition, the Board considered the relative complexity and inherent risks and challenges of managing and providing other services to the Fund, as a publicly traded investment vehicle, as compared to the Other Accounts, particularly those that are institutional clients, in light of differing regulatory requirements and client-imposed mandates. The Board noted that BFA and its affiliates manage Other Accounts with a similar investment strategy or investment mandate as the Fund. The Board also acknowledged management’s assertion that, for certain iShares funds, and for client segmentation purposes, BlackRock has launched an iShares fund that may provide a similar investment exposure at a lower investment advisory fee rate.
The Board considered the “all-inclusive” nature of the Fund’s advisory fee structure, and the Fund’s expenses borne by BFA under this arrangement and noted that the investment advisory fee rate under the Advisory Agreement for the Fund was generally higher than the investment advisory/management fee rates for certain of the Other Accounts (particularly institutional clients) and concluded that the differences appeared to be consistent with the factors discussed.
Other Benefits to BFA and/or its Affiliates: The Board reviewed other benefits or ancillary revenue received by BFA and/or its affiliates in connection with the services provided to the Fund by BFA, both direct and indirect, including, but not limited to, payment of revenue to BTC, the Fund’s securities lending agent, for loaning portfolio securities (which was included in the profit margins reviewed by the Board pursuant to BFA’s estimated profitability methodology), payment of advisory fees or other fees to BFA (or its affiliates) in connection with any investments by the Fund in other funds for which BFA (or its affiliates) provides investment advisory services or other services, and BlackRock’s profile in the investment community. The Board also noted the revenue received by BFA and/or its affiliates pursuant to an agreement that permits a service provider to use certain portions of BlackRock’s technology platform to service accounts managed by BFA and/or its affiliates, including the iShares funds. The Board noted that BFA generally does not use soft dollars or consider the value of research or other services that may be provided to BFA (including its affiliates) in selecting brokers for portfolio transactions for the Fund. The Board concluded that any such ancillary benefits would not be disadvantageous to the Fund and thus would not alter the Board’s conclusion with respect to the appropriateness of approving the continuance of the Advisory Agreement for the coming year.
Conclusion: Based on a review of the factors described above, as well as such other factors as deemed appropriate by the Board, the Board, including all of the Independent Board Members, determined that the Fund’s investment advisory fee rate under the Advisory Agreement does not constitute a fee that is so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded to approve the continuance of the Advisory Agreement for the coming year.
BlackRock Short Maturity Municipal Bond ETF (the “Fund”)
Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Trust’s Board of Trustees (the “Board”), including a majority of Board Members who are not “interested persons” of the Trust (as that term is defined in the 1940 Act) (the “Independent Board Members”), is required annually to consider and approve the Investment Advisory Agreement between the Trust and BFA (the “Advisory Agreement”) on behalf of the Fund. The Board’s consideration entails a year-long process
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Board Review and Approval of Investment Advisory Contract (continued)
whereby the Board and its committees (composed solely of Independent Board Members) assess BlackRock’s services to the Fund, including investment management; fund accounting; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements. The Independent Board Members requested, and BFA provided, such information as the Independent Board Members, with advice from independent counsel, deemed reasonably necessary to evaluate the Advisory Agreement. At meetings on May 3, 2022 and May 18, 2022, a committee composed of all of the Independent Board Members (the “15(c) Committee”), with independent counsel, met with management and reviewed and discussed information provided in response to initial requests of the 15(c) Committee and/or its independent counsel, and requested certain additional information, which management agreed to provide. At a meeting held on June 13-15, 2022, the Board, including the Independent Board Members, reviewed the additional information provided by management in response to these requests.
After extensive discussions and deliberations, the Board, including all of the Independent Board Members, approved the continuance of the Advisory Agreement for the Fund, based on a review of qualitative and quantitative information provided by BFA and their cumulative experience as Board Members. The Board noted its satisfaction with the extent and quality of information provided and its frequent interactions with management, as well as the detailed responses and other information provided by BFA. The Independent Board Members were advised by their independent counsel throughout the process, including about the legal standards applicable to their review. In approving the continuance of the Advisory Agreement for the Fund, the Board, including the Independent Board Members, considered various factors, including: (i) the expenses and performance of the Fund; (ii) the nature, extent and quality of the services provided by BFA; (iii) the costs of services provided to the Fund and profits realized by BFA and its affiliates; (iv) potential economies of scale and the sharing of related benefits; (v) the fees and services provided for other comparable funds/accounts managed by BFA and its affiliates; and (vi) other benefits to BFA and/or its affiliates. The material factors, none of which was controlling, and conclusions that formed the basis for the Board, including the Independent Board Members, to approve the continuance of the Advisory Agreement are discussed below.
Expenses and Performance of the Fund: The Board reviewed statistical information prepared by Broadridge Financial Solutions Inc. (“Broadridge”), an independent provider of investment company data, regarding the expense ratio components, including gross and net total expenses, fees and expenses of another fund in which the Fund invests (if applicable), and waivers/reimbursements (if applicable) of the Fund in comparison with the same information for other ETFs, objectively selected by Broadridge as comprising the Fund’s applicable expense peer group pursuant to Broadridge’s proprietary ETF methodology (the “Peer Group”). The Board was provided with a detailed description of the proprietary ETF methodology used by Broadridge to determine the Fund’s Peer Group. The Board noted that, due to the limitations in providing comparable funds in the Peer Group, the statistical information provided in Broadridge’s report may or may not provide meaningful direct comparisons to the Fund in all instances. The Board also noted that the investment advisory fee rate and overall expenses (net of waivers and reimbursements) for the Fund were lower than the median of the investment advisory fee rates and overall expenses (net of waivers and reimbursements) of the funds in its Peer Group, excluding iShares funds.
The Board noted that the Fund is an actively managed ETF that does not seek to track the performance of a specified index and that the management team for the Fund manages the Fund’s portfolio in accordance with its investment objective. The Board further noted that, during the year, the Board received periodic reports on the Fund’s short- and longer-term performance in comparison with its reference benchmark. Such periodic comparative performance information, including additional detailed information as requested by the Board, was also considered. The Board noted that the Fund generally performed in line with expectations relative to the Fund’s peer group (where applicable) and reference benchmark.
Based on this review, the other factors considered at the meeting, and their general knowledge of ETF pricing, the Board concluded that the investment advisory fee rate and expense level and the historical performance of the Fund supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Nature, Extent and Quality of Services Provided: Based on management’s representations, including information about recent enhancements and initiatives with respect to the iShares business, including with respect to capital markets support and analysis, technology, portfolio management, product design and quality, compliance and risk management, global public policy and other services, the Board expected that there would be no diminution in the scope of services required of or provided by BFA under the Advisory Agreement for the coming year as compared with the scope of services provided by BFA during prior years. In reviewing the scope of these services, the Board considered BFA’s investment philosophy and experience, noting that BFA and its affiliates have committed significant resources over time, including during the past year, to support the iShares funds and their shareholders and have made significant investments into the iShares business. The Board also considered BFA’s compliance program and its compliance record with respect to the Fund. In that regard, the Board noted that BFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board, and on other occasions as necessary and appropriate, and has provided information and made relevant officers and other employees of BFA (and its affiliates) available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Fund, as well as the resources available to them in managing the Fund. In addition to the above considerations, the Board reviewed and considered detailed presentations regarding BFA’s investment performance, investment and risk management processes and strategies, provided at the May 3, 2022 meeting and throughout the year, and matters related to BFA’s portfolio compliance program.
Based on review of this information, and the performance information discussed above, the Board concluded that the nature, extent and quality of services provided to the Fund under the Advisory Agreement supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Costs of Services Provided to the Fund and Profits Realized by BFA and its Affiliates: The Board reviewed information about the estimated profitability to BlackRock in managing the Fund, based on the fees payable to BFA and its affiliates (including fees under the Advisory Agreement), and other sources of revenue and expense to BFA and its affiliates from the Fund’s operations for the last calendar year. The Board reviewed BlackRock’s methodology for calculating estimated profitability of the iShares funds, noting that the 15(c) Committee and the Board had focused on the methodology and profitability presentation. The Board recognized that profitability may be affected by numerous factors, including, among other things, fee waivers by BFA, the types of funds managed, expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at individual fund levels is challenging. The Board discussed with management the sources of direct and ancillary revenue,
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Board Review and Approval of Investment Advisory Contract (continued)
including the revenues to BTC, a BlackRock affiliate, from securities lending by the Fund. The Board also discussed BFA’s estimated profit margin as reflected in the Fund’s profitability analysis and reviewed information regarding potential economies of scale (as discussed below).
Based on this review, the Board concluded that the information considered with respect to the profits realized by BFA and its affiliates under the Advisory Agreement and from other relationships between the Fund and BFA and/or its affiliates, if any, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Economies of Scale: The Board reviewed information and considered the extent to which economies of scale might be realized as the assets of the Fund increase, noting that the issue of potential economies of scale had been focused on by the 15(c) Committee and the Board during their meetings and addressed by management. The 15(c) Committee and the Board received information regarding BlackRock’s historical estimated profitability, including BFA’s and its affiliates’ estimated costs in providing services. The estimated cost information distinguished, among other things, between fixed and variable costs, and showed how the level and nature of fixed and variable costs may impact the existence or size of scale benefits, with the Board recognizing that potential economies of scale are difficult to measure. The 15(c) Committee and the Board reviewed information provided by BFA regarding the sharing of scale benefits with the iShares funds through various means, including, as applicable, through relatively low fee rates established at inception, breakpoints, waivers, or other fee reductions, as well as through additional investment in the iShares business and the provision of improved or additional infrastructure and services to the iShares funds and their shareholders. The Board noted that the Advisory Agreement for the Fund did not provide for breakpoints in the Fund’s investment advisory fee rate as the assets of the Fund increase. However, the Board noted that it would continue to assess the appropriateness of adding breakpoints in the future.
The Board concluded that this review of potential economies of scale and the sharing of related benefits, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Fees and Services Provided for Other Comparable Funds/Accounts Managed by BFA and its Affiliates: The Board received and considered information regarding the investment advisory/management fee rates for other funds/accounts in the U.S. for which BFA (or its affiliates) provides investment advisory/management services, including open-end funds registered under the 1940 Act (including sub-advised funds), collective trust funds, and institutional separate accounts (collectively, the “Other Accounts”). The Board acknowledged BFA’s representation that the iShares funds are fundamentally different investment vehicles from the Other Accounts.
The Board received detailed information regarding how the Other Accounts generally differ from the Fund, including in terms of the types of services and generally more extensive services provided to the Fund, as well as other significant differences. In that regard, the Board considered that the pricing of services to institutional clients is typically based on a number of factors beyond the nature and extent of the specific services to be provided and often depends on the overall relationship between the client and its affiliates and the adviser and its affiliates. In addition, the Board considered the relative complexity and inherent risks and challenges of managing and providing other services to the Fund, as a publicly traded investment vehicle, as compared to the Other Accounts, particularly those that are institutional clients, in light of differing regulatory requirements and client-imposed mandates. The Board noted that BFA and its affiliates manage Other Accounts with a similar investment strategy or investment mandate as the Fund. The Board also acknowledged management’s assertion that, for certain iShares funds, and for client segmentation purposes, BlackRock has launched an iShares fund that may provide a similar investment exposure at a lower investment advisory fee rate.
The Board considered the “all-inclusive” nature of the Fund’s advisory fee structure, and the Fund’s expenses borne by BFA under this arrangement and noted that the investment advisory fee rate under the Advisory Agreement for the Fund was generally higher than the investment advisory/management fee rates for certain of the Other Accounts (particularly institutional clients) and concluded that the differences appeared to be consistent with the factors discussed.
Other Benefits to BFA and/or its Affiliates: The Board reviewed other benefits or ancillary revenue received by BFA and/or its affiliates in connection with the services provided to the Fund by BFA, both direct and indirect, including, but not limited to, payment of revenue to BTC, the Fund’s securities lending agent, for loaning portfolio securities (which was included in the profit margins reviewed by the Board pursuant to BFA’s estimated profitability methodology), payment of advisory fees or other fees to BFA (or its affiliates) in connection with any investments by the Fund in other funds for which BFA (or its affiliates) provides investment advisory services or other services, and BlackRock’s profile in the investment community. The Board also noted the revenue received by BFA and/or its affiliates pursuant to an agreement that permits a service provider to use certain portions of BlackRock’s technology platform to service accounts managed by BFA and/or its affiliates, including the iShares funds. The Board noted that BFA generally does not use soft dollars or consider the value of research or other services that may be provided to BFA (including its affiliates) in selecting brokers for portfolio transactions for the Fund. The Board concluded that any such ancillary benefits would not be disadvantageous to the Fund and thus would not alter the Board’s conclusion with respect to the appropriateness of approving the continuance of the Advisory Agreement for the coming year.
Conclusion: Based on a review of the factors described above, as well as such other factors as deemed appropriate by the Board, the Board, including all of the Independent Board Members, determined that the Fund’s investment advisory fee rate under the Advisory Agreement does not constitute a fee that is so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded to approve the continuance of the Advisory Agreement for the coming year.
BlackRock Ultra Short-Term Bond ETF (the “Fund”)
Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Trust’s Board of Trustees (the “Board”), including a majority of Board Members who are not “interested persons” of the Trust (as that term is defined in the 1940 Act) (the “Independent Board Members”), is required annually to consider and approve the Investment Advisory Agreement between the Trust and BFA (the “Advisory Agreement”), and the Sub-Advisory Agreement between BFA and BlackRock International Limited, (together the Advisory Agreements”) on behalf of the Fund. The Board’s consideration entails a year-long process whereby the Board and its committees (composed solely of Independent Board Members) assess BlackRock’s services to the Fund, including investment management; fund accounting; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; legal and compliance services; and ability to meet applicable legal and
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Board Review and Approval of Investment Advisory Contract (continued)
regulatory requirements. The Independent Board Members requested, and BFA provided, such information as the Independent Board Members, with advice from independent counsel, deemed reasonably necessary to evaluate the Advisory Agreements. At meetings on May 3, 2022 and May 18, 2022, a committee composed of all of the Independent Board Members (the “15(c) Committee”), with independent counsel, met with management and reviewed and discussed information provided in response to initial requests of the 15(c) Committee and/or its independent counsel, and requested certain additional information, which management agreed to provide. At a meeting held on June 13-15, 2022, the Board, including the Independent Board Members, reviewed the additional information provided by management in response to these requests.
After extensive discussions and deliberations, the Board, including all of the Independent Board Members, approved the continuance of the Advisory Agreements for the Fund, based on a review of qualitative and quantitative information provided by BFA and their cumulative experience as Board Members. The Board noted its satisfaction with the extent and quality of information provided and its frequent interactions with management, as well as the detailed responses and other information provided by BFA. The Independent Board Members were advised by their independent counsel throughout the process, including about the legal standards applicable to their review. In approving the continuance of the Advisory Agreements for the Fund, the Board, including the Independent Board Members, considered various factors, including: (i) the expenses and performance of the Fund; (ii) the nature, extent and quality of the services provided by BFA and BlackRock International Limited; (iii) the costs of services provided to the Fund and profits realized by BFA and its affiliates; (iv) potential economies of scale and the sharing of related benefits; (v) the fees and services provided for other comparable funds/accounts managed by BFAand its affiliates; and (vi) other benefits to BFAand/or its affiliates. The material factors, none of which was controlling, and conclusions that formed the basis for the Board, including the Independent Board Members, to approve the continuance of the Advisory Agreements are discussed below.
Expenses and Performance of the Fund: The Board reviewed statistical information prepared by Broadridge Financial Solutions Inc. (“Broadridge”), an independent provider of investment company data, regarding the expense ratio components, including gross and net total expenses, fees and expenses of another fund in which the Fund invests (if applicable), and waivers/reimbursements (if applicable) of the Fund in comparison with the same information for other ETFs, objectively selected by Broadridge as comprising the Fund’s applicable expense peer group pursuant to Broadridge’s proprietary ETF methodology (the “Peer Group”). The Board was provided with a detailed description of the proprietary ETF methodology used by Broadridge to determine the Fund’s Peer Group. The Board noted that, due to the limitations in providing comparable funds in the Peer Group, the statistical information provided in Broadridge’s report may or may not provide meaningful direct comparisons to the Fund in all instances. The Board also noted that the investment advisory fee rate and overall expenses (net of waivers and reimbursements) for the Fund were lower than the median of the investment advisory fee rate and overall expenses (net of waivers and reimbursements) of the funds in its Peer Group, excluding iShares funds. The Board further noted that BFA pays BlackRock International Limited for sub-advisory services, and that there are no additional fees imposed on the Fund in respect of the services provided under the Sub-Advisory Agreement(s).
The Board noted that the Fund is an actively managed ETF that does not seek to track the performance of a specified index and that the management team for the Fund manages the Fund’s portfolio in accordance with its investment objective. The Board further noted that, during the year, the Board received periodic reports on the Fund’s short- and longer-term performance in comparison with its reference benchmark. Such periodic comparative performance information, including additional detailed information as requested by the Board, was also considered. The Board noted that the Fund generally performed in line with expectations relative to the Fund’s peer group (where applicable) and reference benchmark.
Based on this review, the other factors considered at the meeting, and their general knowledge of ETF pricing, the Board concluded that the investment advisory fee rate and expense level and the historical performance of the Fund supported the Board’s approval of the continuance of the Advisory Agreements for the coming year.
Nature, Extent and Quality of Services Provided: Based on management’s representations, including information about recent enhancements and initiatives with respect to the iShares business, including with respect to capital markets support and analysis, technology, portfolio management, product design and quality, compliance and risk management, global public policy and other services, the Board expected that there would be no diminution in the scope of services required of or provided by BFA and BlackRock International Limited under the Advisory Agreements for the coming year as compared with the scope of services provided by BFA during prior years. In reviewing the scope of these services, the Board considered BFA’s investment philosophy and experience, noting that BFA and its affiliates have committed significant resources over time, including during the past year, to support the iShares funds and their shareholders and have made significant investments into the iShares business. The Board also considered BFA’s compliance program and its compliance record with respect to the Fund. In that regard, the Board noted that BFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board, and on other occasions as necessary and appropriate, and has provided information and made relevant officers and other employees of BFA (and its affiliates) available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Fund, including those of the Sub-Advisor(s), as well as the resources available to them in managing the Fund. In addition to the above considerations, the Board reviewed and considered detailed presentations regarding investment performance, investment and risk management processes and strategies for BFA and BlackRock International Limited, which were provided at the May 3, 2022 meeting and throughout the year and matters related to BFA’s portfolio compliance program.
Based on review of this information, and the performance information discussed above, the Board concluded that the nature, extent and quality of services provided to the Fund under the Advisory Agreements supported the Board’s approval of the continuance of the Advisory Agreements for the coming year.
Costs of Services Provided to the Fund and Profits Realized by BFA and its Affiliates: The Board reviewed information about the estimated profitability to BlackRock in managing the Fund, based on the fees payable to BFA and its affiliates (including fees under the Advisory Agreement), and other sources of revenue and expense to BFA and its affiliates from the Fund’s operations for the last calendar year. The Board reviewed BlackRock’s methodology for calculating estimated profitability of the iShares funds, noting that the 15(c) Committee and the Board had focused on the methodology and profitability presentation. The Board recognized that profitability may be affected by numerous factors, including, among other things, fee waivers by BFA, the types of funds managed, expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at individual fund levels is challenging. The Board discussed with management the sources of direct and ancillary revenue,
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Board Review and Approval of Investment Advisory Contract (continued)
including the revenues to BTC, a BlackRock affiliate, from securities lending by the Fund. The Board also discussed BFA’s estimated profit margin as reflected in the Fund’s profitability analysis and reviewed information regarding potential economies of scale (as discussed below).
Based on this review, the Board concluded that the information considered with respect to the profits realized by BFA and its affiliates under the Advisory Agreements and from other relationships between the Fund and BFA and/or its affiliates, if any, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreements for the coming year.
Economies of Scale: The Board reviewed information and considered the extent to which economies of scale might be realized as the assets of the Fund increase, noting that the issue of potential economies of scale had been focused on by the 15(c) Committee and the Board during their meetings and addressed by management. The 15(c) Committee and the Board received information regarding BlackRock’s historical estimated profitability, including BFA’s and its affiliates’ estimated costs in providing services. The estimated cost information distinguished, among other things, between fixed and variable costs, and showed how the level and nature of fixed and variable costs may impact the existence or size of scale benefits, with the Board recognizing that potential economies of scale are difficult to measure. The 15(c) Committee and the Board reviewed information provided by BFA regarding the sharing of scale benefits with the iShares funds through various means, including, as applicable, through relatively low fee rates established at inception, breakpoints, waivers, or other fee reductions, as well as through additional investment in the iShares business and the provision of improved or additional infrastructure and services to the iShares funds and their shareholders. The Board noted that the Advisory Agreement for the Fund did not provide for breakpoints in the Fund’s investment advisory fee rate as the assets of the Fund increase. However, the Board noted that it would continue to assess the appropriateness of adding breakpoints in the future.
The Board concluded that this review of potential economies of scale and the sharing of related benefits, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreements for the coming year.
Fees and Services Provided for Other Comparable Funds/Accounts Managed by BFA and its Affiliates: The Board received and considered information regarding the investment advisory/management fee rates for other funds/accounts in the U.S. for which BFA (or its affiliates) provides investment advisory/management services, including open-end funds registered under the 1940 Act (including sub-advised funds), collective trust funds, and institutional separate accounts (collectively, the “Other Accounts”). The Board acknowledged BFA’s representation that the iShares funds are fundamentally different investment vehicles from the Other Accounts.
The Board received detailed information regarding how the Other Accounts generally differ from the Fund, including in terms of the types of services and generally more extensive services provided to the Fund, as well as other significant differences. In that regard, the Board considered that the pricing of services to institutional clients is typically based on a number of factors beyond the nature and extent of the specific services to be provided and often depends on the overall relationship between the client and its affiliates and the adviser and its affiliates. In addition, the Board considered the relative complexity and inherent risks and challenges of managing and providing other services to the Fund, as a publicly traded investment vehicle, as compared to the Other Accounts, particularly those that are institutional clients, in light of differing regulatory requirements and client-imposed mandates. The Board noted that BFA and its affiliates manage Other Accounts with a similar investment strategy or investment mandate as the Fund. The Board also acknowledged management’s assertion that, for certain iShares funds, and for client segmentation purposes, BlackRock has launched an iShares fund that may provide a similar investment exposure at a lower investment advisory fee rate.
The Board considered the “all-inclusive” nature of the Fund’s advisory fee structure, and the Fund’s expenses borne by BFA under this arrangement and noted that the investment advisory fee rate under the Advisory Agreement for the Fund was generally higher than the investment advisory/management fee rates for certain of the Other Accounts (particularly institutional clients) and concluded that the differences appeared to be consistent with the factors discussed.
Other Benefits to BFA and/or its Affiliates: The Board reviewed other benefits or ancillary revenue received by BFA and/or its affiliates in connection with the services provided to the Fund by BFA, both direct and indirect, including, but not limited to, payment of revenue to BTC, the Fund’s securities lending agent, for loaning portfolio securities (which was included in the profit margins reviewed by the Board pursuant to BFA’s estimated profitability methodology), payment of advisory fees or other fees to BFA (or its affiliates) in connection with any investments by the Fund in other funds for which BFA (or its affiliates) provides investment advisory services or other services, and BlackRock’s profile in the investment community. The Board also noted the revenue received by BFA and/or its affiliates pursuant to an agreement that permits a service provider to use certain portions of BlackRock’s technology platform to service accounts managed by BFA and/or its affiliates, including the iShares funds. The Board noted that BFA generally does not use soft dollars or consider the value of research or other services that may be provided to BFA (including its affiliates) in selecting brokers for portfolio transactions for the Fund. The Board concluded that any such ancillary benefits would not be disadvantageous to the Fund and thus would not alter the Board’s conclusion with respect to the appropriateness of approving the continuance of the Advisory Agreements for the coming year.
Conclusion: Based on a review of the factors described above, as well as such other factors as deemed appropriate by the Board, the Board, including all of the Independent Board Members, determined that the Fund’s investment advisory fee rate under the Advisory Agreement does not constitute a fee that is so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded to approve the continuance of the Advisory Agreements for the coming year.
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Supplemental Information (unaudited)
Section 19(a) Notices
The amounts and sources of distributions reported are estimates and are being provided pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Fund’s investment experience during the year and may be subject to changes based on tax regulations. Shareholders will receive a Form 1099-DIV each calendar year that will inform them how to report these distributions for federal income tax purposes.
October 31, 2022
Total Cumulative
Distributions for the Fiscal Year |
% Breakdown of the Total
Cumulative Distributions for the Fiscal Year |
|||||||||||||||||||||||||||||||
BlackRock ETF | Net Investment Income |
Net Realized Capital Gains |
Return of Capital |
Total Per Share |
Net Investment Income |
Net Realized Capital Gains |
Return of Capital |
Total Per Share |
||||||||||||||||||||||||
Short Maturity Bond |
$ | 0.537617 | $ | — | $ — | $ | 0.537617 | 100 | % | — | % | — | % | 100 | % | |||||||||||||||||
Ultra Short-Term Bond(a) |
0.474723 | — | 0.000244 | 0.474967 | 100 | — | 0 | (b) | 100 |
(a) |
The Fund estimates that it has distributed more than its net investment income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in the Fund is returned to the shareholder. A return of capital does not necessarily reflect the Fund’s investment performance and should not be confused with “yield” or “income”. When distributions exceed total return performance, the difference will incrementally reduce the Fund’s net asset value per share. |
(b) |
Rounds to less than 1%. |
Premium/Discount Information
Information on the Fund’s net asset value, market price, premiums and discounts, and bid-ask spreads can be found at iShares.com.
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Trustee and Officer Information (unaudited)
The Board of Trustees has responsibility for the overall management and operations of the Funds, including general supervision of the duties performed by BFA and other service providers. Each Trustee serves until he or she resigns, is removed, dies, retires or becomes incapacitated. The President, Chief Compliance Officer, Treasurer and Secretary shall each hold office until their successors are chosen and qualify, and all other officers shall hold office until he or she resigns or is removed. Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust are referred to as independent trustees (“Independent Trustees”).
The registered investment companies advised by BFAor its affiliates (the “BlackRock-advised Funds”) are organized into one complex of open-end equity, multi-asset, index and money market funds and ETFs (the “BlackRock Multi-Asset Complex”), one complex of closed-end funds and open-end non-index fixed-income funds (including ETFs) (the “BlackRock Fixed-Income Complex”) and one complex of ETFs (“Exchange-Traded Fund Complex”) (each, a “BlackRock Fund Complex”). Each Fund is included in the Exchange-Traded Fund Complex. Each Trustee also serves as a Director of iShares, Inc. and a Trustee of iShares Trust, and, as a result, oversees all of the funds within the Exchange-Traded Fund Complex, which consists of 379 funds as of October 31, 2022. With the exception of Robert S. Kapito, Salim Ramji and Charles Park, the address of each Trustee and officer is c/o BlackRock, Inc., 400 Howard Street, San Francisco, CA 94105. The address of Mr. Kapito, Mr. Ramji and Mr. Park is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY 10055. The Board has designated Cecilia H. Herbert as its Independent Board Chair. Additional information about the Funds’ Trustees and officers may be found in the Funds’ combined Statement of Additional Information, which is available without charge, upon request, by calling toll-free 1-800-iShares (1-800-474-2737).
Interested Trustees | ||||||
Name (Age) | Position(s) | Principal Occupation(s) During Past 5 Years |
Other Directorships Held by Trustee | |||
Robert S. Kapito(a) (65) | Trustee (since 2009). | President, BlackRock, Inc. (since 2006); Vice Chairman of BlackRock, Inc. and Head of BlackRock’s Portfolio Management Group (since its formation in 1998) and BlackRock, Inc.’s predecessor entities (since 1988); Trustee, University of Pennsylvania (since 2009); President of Board of Directors, Hope & Heroes Children’s Cancer Fund (since 2002). | Director of BlackRock, Inc. (since 2006); Director of iShares, Inc. (since 2009); Trustee of iShares Trust (since 2009). | |||
Salim Ramji(b) (52) | Trustee (since 2019). | Senior Managing Director, BlackRock, Inc. (since 2014); Global Head of BlackRock’s ETF and Index Investments Business (since 2019); Head of BlackRock’s U.S. Wealth Advisory Business (2015-2019); Global Head of Corporate Strategy, BlackRock, Inc. (2014-2015); Senior Partner, McKinsey & Company (2010-2014). | Director of iShares, Inc. (since 2019); Trustee of iShares Trust (since 2019). | |||
(a) Robert S. Kapito is deemed to be an “interested person” (as defined in the 1940 Act) of the Trust due to his affiliations with BlackRock, Inc. and its affiliates. | ||||||
(b) Salim Ramji is deemed to be an “interested person” (as defined in the 1940 Act) of the Trust due to his affiliations with BlackRock, Inc. and its affiliates. |
Independent Trustees | ||||||
Name (Age) | Position(s) | Principal Occupation(s) During Past 5 Years |
Other Directorships Held by Trustee | |||
John E. Kerrigan (67) | Trustee (since 2011); Independent Board Chair (since 2022). | Chief Investment Officer, Santa Clara University (since 2002). | Director of iShares, Inc. (since 2005); Trustee of iShares Trust (since 2005); Independent Board Chair of iShares, Inc. and iShares Trust (since 2022). | |||
Jane D. Carlin (66) | Trustee (since 2015); Risk Committee Chair (since 2016). | Consultant (since 2012); Member of the Audit Committee (2012-2018), Chair of the Nominating and Governance Committee (2017-2018) and Director of PHH Corporation (mortgage solutions) (2012-2018); Managing Director and Global Head of Financial Holding Company Governance & Assurance and the Global Head of Operational Risk Management of Morgan Stanley (2006-2012). | Director of iShares, Inc. (since 2015); Trustee of iShares Trust (since 2015); Member of the Audit Committee (since 2016), Chair of the Audit Committee (since 2020) and Director of The Hanover Insurance Group, Inc. (since (2016). | |||
Richard L. Fagnani (67) | Trustee (since 2017); Audit Committee Chair (since 2019). | Partner, KPMG LLP (2002-2016). | Director of iShares, Inc. (since 2017); Trustee of iShares Trust (since 2017). |
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Trustee and Officer Information (unaudited) (continued)
Independent Trustees (continued) | ||||||
Name (Age) | Position(s) | Principal Occupation(s) During Past 5 Years |
Other Directorships Held by Trustee | |||
Cecilia H. Herbert (73) | Trustee (since 2011); Nominating and Governance and Equity Plus Committee Chairs (since 2022). | Chair of the Finance Committee (since 2019) and Trustee and Member of the Finance, Audit and Quality Committees of Stanford Health Care (since 2016); Trustee of WNET, New York’s public media company (since 2011) and Member of the Audit Committee (since 2018) and Investment Committee (since 2011); Chair (1994-2005) and Member (since 1992) of the Investment Committee, Archdiocese of San Francisco; Trustee of Forward Funds (14 portfolios) (2009-2018); Trustee of Salient MF Trust (4 portfolios) (2015-2018); Director (1998-2013) and President (2007-2011) of the Board of Directors, Catholic Charities CYO; Trustee (2002-2011) and Chair of the Finance and Investment Committee (2006-2010) of the Thacher School; Director of the Senior Center of Jackson Hole (since 2020). | Director of iShares, Inc. (since 2005); Trustee of iShares Trust (since 2005); Trustee of Thrivent Church Loan and Income Fund (since 2019). | |||
Drew E. Lawton (63) | Trustee (since 2017); 15(c) Committee Chair (since 2017). | Senior Managing Director of New York Life Insurance Company (2010-2015). | Director of iShares, Inc. (since 2017); Trustee of iShares Trust (since 2017). | |||
John E. Martinez (61) | Trustee (since 2011); Securities Lending Committee Chair (since 2019). | Director of Real Estate Equity Exchange, Inc. (since 2005); Director of Cloudera Foundation (2017-2020); and Director of Reading Partners (2012-2016). | Director of iShares, Inc. (since 2003); Trustee of iShares Trust (since 2003). | |||
Madhav V. Rajan (58) | Trustee (since 2011); Fixed-Income Plus Committee Chair (since 2019). | Dean, and George Pratt Shultz Professor of Accounting, University of Chicago Booth School of Business (since 2017); Advisory Board Member (since 2016) and Director (since 2020) of C.M. Capital Corporation; Chair of the Board for the Center for Research in Security Prices, LLC (since 2020); Robert K. Jaedicke Professor of Accounting, Stanford University Graduate School of Business (2001-2017); Professor of Law (by courtesy), Stanford Law School (2005-2017); Senior Associate Dean for Academic Affairs and Head of MBA Program, Stanford University Graduate School of Business (2010-2016). | Director of iShares, Inc. (since 2011); Trustee of iShares Trust (since 2011). |
Officers | ||||
Name (Age) | Position(s) | Principal Occupation(s) During Past 5 Years | ||
Armando Senra (51) | President (since 2019). | Managing Director, BlackRock, Inc. (since 2007); Head of U.S., Canada and Latam iShares, BlackRock, Inc. (since 2019); Head of Latin America Region, BlackRock, Inc. (2006-2019); Managing Director, Bank of America Merrill Lynch (1994-2006). | ||
Trent Walker (48) | Treasurer and Chief Financial Officer (since 2020). | Managing Director, BlackRock, Inc. (since September 2019); Chief Financial Officer of iShares Delaware Trust Sponsor LLC, BlackRock Funds, BlackRock Funds II, BlackRock Funds IV, BlackRock Funds V and BlackRock Funds VI (since 2021); Executive Vice President of PIMCO (2016-2019); Senior Vice President of PIMCO (2008-2015); Treasurer (2013-2019) and Assistant Treasurer (2007-2017) of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds. | ||
Charles Park (55) | Chief Compliance Officer (since 2011). | Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex (since 2014); Chief Compliance Officer of BFA (since 2006). | ||
Marisa Rolland (42) | Secretary (since 2022). | Director, BlackRock, Inc. (since 2018); Vice President, BlackRock, Inc. (2010-2017). | ||
Rachel Aguirre (40) | Executive Vice President (since 2022). | Managing Director, BlackRock, Inc. (since 2018); Director, BlackRock, Inc. (2009-2018); Head of U.S. iShares Product (since 2022); Head of EII U.S. Product Engineering (since 2021); Co-Head of EII’s Americas Portfolio Engineering (2020-2021); Head of Developed Markets Portfolio Engineering (2016-2019). | ||
Jennifer Hsui (46) | Executive Vice President (since 2022). | Managing Director, BlackRock, Inc. (since 2009); Co-Head of Index Equity (since 2022). | ||
James Mauro (52) | Executive Vice President (since 2022). | Managing Director, BlackRock, Inc. (since 2010); Head of Fixed Income Index Investments in the Americas and Head of San Francisco Core Portfolio Management (since 2020). |
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Trustee and Officer Information (unaudited) (continued)
Effective March 18, 2022, Rachel Aguirre, Jennifer Hsui, and James Mauro have replaced Scott Radell, Alan Mason, and Marybeth Leithead as Executive Vice Presidents.
Effective June 15, 2022, Marisa Rolland replaced Deepa Damre Smith as Secretary.
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Electronic Delivery
Shareholders can sign up for e-mail notifications announcing that the shareholder report or prospectus has been posted on the iShares website at iShares.com. Once you have enrolled, you will no longer receive prospectuses and shareholder reports in the mail.
To enroll in electronic delivery:
• |
Go to icsdelivery.com. |
• |
If your brokerage firm is not listed, electronic delivery may not be available. Please contact your broker-dealer or financial advisor. |
Householding
Householding is an option available to certain fund investors. Householding is a method of delivery, based on the preference of the individual investor, in which a single copy of certain shareholder documents and Rule 30e-3 notices can be delivered to investors who share the same address, even if their accounts are registered under different names. Please contact your broker-dealer if you are interested in enrolling in householding and receiving a single copy of prospectuses and other shareholder documents, or if you are currently enrolled in householding and wish to change your householding status.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at iShares.com/fundreports.
Availability of Proxy Voting Policies and Proxy Voting Records
A description of the policies and procedures that the iShares Funds use to determine how to vote proxies relating to portfolio securities and information about how the iShares Funds voted proxies relating to portfolio securities during the most recent twelve-month period ending June 30 is available without charge, upon request (1) by calling toll-free 1-800-474-2737; (2) on the iShares website at iShares.com; and (3) on the SEC website at sec.gov.
A description of the Trust’s policies and procedures with respect to the disclosure of the Fund’s portfolio securities is available in the Fund Prospectus. The Fund discloses its portfolio holdings daily and provides information regarding its top holdings in Fund fact sheets at iShares.com.
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Glossary of Terms Used in this Report
Portfolio Abbreviation
AGM | Assured Guaranty Municipal Corp. | |
AGM-CR | AGM Insured Custodial Receipt | |
AMBAC | Ambac Assurance Corp. | |
CLO | Collateralized Loan Obligation | |
COP | Certificates of Participation | |
CR | Custodian Receipt | |
FHA | Federal Housing Administration | |
GO | General Obligation | |
GOL | General Obligation Limited |
Currency Abbreviations
EUR | Euro | |
GBP | British Pound | |
USD | United States Dollar |
Portfolio Abbreviation (continued)
GTD | Guaranteed | |
LIBOR | London Interbank Offered Rate | |
MO | Moral Obligation | |
RB | Revenue Bond | |
SAP | Subject to Appropriations | |
SAW | State Aid Withholding | |
SOFR | Secured Overnight Financing Rate | |
TA | Tax Allocation |
G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T |
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Want to know more?
iShares.com | 1-800-474-2737
This report is intended for the Funds’ shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current prospectus.
Investing involves risk, including possible loss of principal.
The iShares Funds are distributed by BlackRock Investments, LLC (together with its affiliates, “BlackRock”).
©2022 BlackRock, Inc. All rights reserved. iSHARES and BLACKROCK are registered trademarks of BlackRock, Inc. or its subsidiaries. All other marks are the property of their respective owners.
iS-AR-1008-1022
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