LOGO

  APRIL 30, 2023

 

  

2023 Semi-Annual Report

(Unaudited)

 

iShares Trust

 

·  

iShares 0-5 Year TIPS Bond ETF | STIP | NYSE Arca

 

·  

iShares CMBS ETF | CMBS | NYSE Arca

 

·  

iShares GNMA Bond ETF | GNMA | NASDAQ

 

·  

iShares TIPS Bond ETF | TIP | NYSE Arca

 

·  

iShares Treasury Floating Rate Bond ETF | TFLO | NYSE Arca

 

·  

iShares U.S. Treasury Bond ETF | GOVT | Cboe BZX

 


The Markets in Review

Dear Shareholder,

Investors faced an uncertain economic landscape during the 12-month reporting period ended April 30, 2023, amid mixed indicators and rapidly changing market conditions. The U.S. economy returned to modest growth beginning in the third quarter of 2022, although the pace of growth slowed thereafter. Inflation was elevated, reaching a 40-year high as labor costs grew rapidly and unemployment rates reached the lowest levels in decades. However, inflation moderated as the period continued, while continued strength in consumer spending backstopped the economy.

Equity returns varied substantially, as large-capitalization U.S. stocks gained for the period amid a rebound in big tech stocks, whereas small-capitalization U.S. stocks declined. International equities from developed markets advanced strongly, while emerging market stocks declined, pressured by higher interest rates and volatile commodities prices.

The 10-year U.S. Treasury yield rose during the reporting period, driving its price down, as investors reacted to elevated inflation and attempted to anticipate future interest rate changes. The corporate bond market also faced inflationary headwinds, although high-yield corporate bonds posted a positive return as demand from yield-seeking investors remained strong.

The U.S. Federal Reserve (the “Fed”), acknowledging that inflation has been more persistent than expected, raised interest rates eight times. Furthermore, the Fed wound down its bond-buying programs and incrementally reduced its balance sheet by not replacing securities that reach maturity. In addition, the Fed added liquidity to markets amid the failure of prominent regional banks.

Restricted labor supply kept inflation elevated even as other inflation drivers, such as goods prices and energy costs, moderated. While economic growth was modest in the last year, we believe that stickiness in services inflation and continued wage growth will keep inflation above central bank targets for some time. Although the Fed has decelerated the pace of interest rate hikes and indicated a pause could be its next step, we believe that the Fed still seems determined 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, but the dimming economic outlook has not yet been fully reflected in current market prices. We believe 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. Turmoil in the banking sector late in the period highlighted the potential for the rapid increase in interest rates to disrupt markets with little warning.

While we favor an overweight to equities in the long term, we prefer an underweight stance on equities overall in the near term. Expectations for corporate earnings remain elevated, which seems inconsistent with the possibility of a recession. Nevertheless, we are overweight on emerging market stocks as we believe a weakening U.S. dollar could provide a supportive backdrop. We also see selective, long-term opportunities in credit, where we believe that valuations are appealing, and higher yields offer attractive income. However, we are neutral on credit in the near term, as we’re concerned about tightening credit and financial conditions. For fixed income investing with a six- to twelve-month horizon, we see the most significant opportunities in short-term U.S. Treasuries, global inflation-linked bonds, and emerging market bonds denominated in local currency.

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

 

LOGO

Rob Kapito

President, BlackRock, Inc.

LOGO

Rob Kapito

President, BlackRock, Inc.

 

Total Returns as of April 30, 2023  
     
     6-Month       12-Month  
   

U.S. large cap equities (S&P 500® Index)

    8.63%          2.66%     
   

U.S. small cap equities (Russell 2000® Index)

    (3.45)           (3.65)      
   

International equities (MSCI Europe, Australasia, Far East Index)

    24.19            8.42       
   

Emerging market equities (MSCI Emerging Markets Index)

    16.36            (6.51)      
   

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

    2.09            2.83       
   

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

    7.14            (1.68)      
   

U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index)

    6.91            (0.43)      
   

Tax-exempt municipal bonds (Bloomberg Municipal Bond Index)

    7.65            2.87       
   

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

    6.21            1.21       
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

 

 

2  

H I S   P A G E  I S  N O T  P A R T  O F  Y O U R  F U N D  R E P O R T


Table of Contents

 

      Page  

The Markets in Review

     2  

Semi-Annual Report:

  

Fund Summary

     4  

About Fund Performance

     10  

Disclosure of Expenses

     10  

Schedules of Investments

     11  

Financial Statements

  

Statements of Assets and Liabilities

     30  

Statements of Operations

     32  

Statements of Changes in Net Assets

     34  

Financial Highlights

     37  

Notes to Financial Statements

     43  

Statement Regarding Liquidity Risk Management Program

     51  

Supplemental Information

     52  

General Information

     53  

Glossary of Terms Used in this Report

     54  

 

 

 


Fund Summary as of April 30, 2023    iShares® 0-5 Year TIPS Bond ETF

 

Investment Objective

The iShares 0-5Year TIPS Bond ETF (the “Fund”) seeks to track the investment results of an index composed of inflation-protected U.S. Treasury bonds with remaining maturities of less than or equal to five years, as represented by the ICE US Treasury 0-5 Year Inflation Linked Bond Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

 

            Average Annual Total Returns             Cumulative Total Returns  
      6-Month
Total Returns
     1 Year      5 Years      10 Years              1 Year      5 Years      10 Years  

Fund NAV

     2.62      (0.08 )%       3.06      1.59         (0.08 )%       16.25      17.10

Fund Market

     2.64        (0.08      3.06        1.59           (0.08      16.26        17.12  

Index(a)

     2.68        (0.10      3.02        1.61           (0.10      16.03        17.37  

Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) 0-5 Years Index (Series-L)

     2.69        (0.08      3.02        1.62           (0.08      16.05        17.39  

ICE US Treasury 0-5 Year Inflation Linked Bond Index(b)

     2.73        (0.19      3.04        N/A                 (0.19      16.13        N/A  

 

  (a) 

Index performance through January 31, 2023 reflects the performance of the Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) 0-5 Years Index (Series L). Index performance beginning on February 1, 2023 reflects the performance of the ICE US Treasury 0-5 Year Inflation Linked Bond Index, which effective as of February 1, 2023, replaced the Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) 0-5 Years Index (Series-L) as the underlying index of the fund.

 

 

  (b) 

The inception date of the ICE US Treasury 0-5 Year Inflation Linked Bond Index was February 28, 2017. The cumulative total return for this index for the period February 28, 2017 through April 30, 2023 was 16.73%.

 

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

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 

Beginning
Account Value
(11/01/22)
 
 
 
      

Ending
Account Value
(04/30/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a)  
           

Beginning
Account Value
(11/01/22)
 
 
 
      

Ending
Account Value
(04/30/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a)  
      

Annualized
Expense
Ratio
 
 
 
    $ 1,000.00        $ 1,026.20        $ 0.15             $ 1,000.00        $ 1,024.60        $ 0.15          0.03

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (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.

 

Portfolio Information

 

MATURITY ALLOCATION

 

   
Maturity    
Percent of
Total Investments
 
(a) 

0-1 Year

    14.2
1-2 Years     23.7  

2-3 Years

    16.8  
3-4 Years     23.6  

4-5 Years

    21.7  

FIVE LARGEST HOLDINGS

 

   
Security    
Percent of
Total Investments
 
(a) 

U.S. Treasury Inflation-Indexed Bonds, 1.63%, 10/15/27

    10.2

U.S. Treasury Inflation-Indexed Bonds, 0.13%, 04/15/27

    6.6  

U.S. Treasury Inflation-Indexed Bonds, 0.63%, 01/15/24

    6.5  

U.S. Treasury Inflation-Indexed Bonds, 0.13%, 07/15/24

    6.1  

U.S. Treasury Inflation-Indexed Bonds, 0.13%, 10/15/26

    6.1  

 

  (a) 

Excludes money market funds.

 

 

 

4  

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


Fund Summary as of April 30, 2023    iShares® CMBS ETF

 

Investment Objective

The iShares CMBS ETF(the “Fund”) seeks to track the investment results of an index composed of investment-grade commercial mortgage-backed securities, as represented by the Bloomberg U.S. CMBS (ERISA Only) Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

 

            Average Annual Total Returns             Cumulative Total Returns  
      
6-Month
Total Returns
 
 
     1 Year        5 Years        10 Years                 1 Year        5 Years        10 Years  

Fund NAV

     5.24      (1.17 )%       1.41      1.41         (1.17 )%       7.26      15.00

Fund Market

     5.77        (1.29      1.48        1.40           (1.29      7.62        14.87  

Index

     5.43        (0.81      1.71        1.71                 (0.81      8.85        18.53  

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

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 

Beginning
Account Value
(11/01/22)
 
 
 
      

Ending
Account Value
(04/30/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a)  
           

Beginning
Account Value
(11/01/22)
 
 
 
      

Ending
Account Value
(04/30/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a)  
      

Annualized
Expense
Ratio
 
 
 
    $ 1,000.00        $ 1,052.40        $ 1.27             $ 1,000.00        $ 1,023.60        $ 1.25          0.25

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (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.

 

Portfolio Information

 

CREDIT QUALITY ALLOCATION

 

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

Aaa

    59.4
Aa     4.0  

A

    0.8  
Baa     0.2  

Ba

    0.1  

Not Rated

    35.5  

MATURITY ALLOCATION

 

   
Maturity    
Percent of
Total Investments
 
(a) 

0-1 Year

    0.1

1-5 Years

    14.1  

5-10 Years

    30.9  

10-15 Years

    2.0  

15-20 Years

    0.1  

20-25 Years

    5.9  

25-30 Years

    32.3  

30-35 Years

    9.8  

35-40 Years

    3.9  

More than 40 Years

    0.9  

 

  *

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.

 

 

 

U N D   S U M M A R Y

  5


Fund Summary as of April 30, 2023    iShares® GNMA Bond ETF

 

Investment Objective

The iShares GNMA Bond ETF(the “Fund”) seeks to track the investment results of an index composed of mortgage-backed pass-through securities guaranteed by the Government National Mortgage Association (GNMA or Ginnie Mae), as represented by the Bloomberg U.S. GNMA Bond Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

 

            Average Annual Total Returns             Cumulative Total Returns  
      
6-Month
Total Returns
 
 
     1 Year        5 Years        10 Years                 1 Year        5 Years        10 Years  

Fund NAV

     6.10      (0.87 )%       0.33      0.64         (0.87 )%       1.65      6.62

Fund Market

     5.83        (1.03      0.29        0.62           (1.03      1.47        6.39  

Index

     6.24        (0.72      0.46        0.86                 (0.72      2.33        8.91  

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

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 

Beginning
Account Value
(11/01/22)
 
 
 
      

Ending
Account Value
(04/30/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a)  
           

Beginning
Account Value
(11/01/22)
 
 
 
      

Ending
Account Value
(04/30/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a)  
      

Annualized
Expense
Ratio
 
 
 
    $ 1,000.00        $ 1,061.00        $ 0.46             $ 1,000.00        $ 1,024.30        $ 0.45          0.09

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (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.

 

Portfolio Information

 

MATURITY ALLOCATION

 

   
Maturity    
Percent of
Total Investments
 
(a) 

5-10 Years

    1.2
10-15 Years     0.4  

15-20 Years

    2.4  
20-25 Years     18.0  

25-30 Years

    75.3  

30-35 Years

    2.7  

FIVE LARGEST HOLDINGS

 

   
Security    
Percent of
Total Investments
 
(a) 

Government National Mortgage Association, 2.00%, 12/20/51

    8.6
Government National Mortgage Association, 2.50%, 07/20/51     4.2  

Government National Mortgage Association, 2.00%, 02/20/51

    4.1  
Government National Mortgage Association, 3.00%, 07/20/50     3.3  

Government National Mortgage Association, 2.50%, 08/20/51

    3.1  

 

  (a) 

Excludes money market funds.

 

 

 

6  

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


Fund Summary as of April 30, 2023    iShares® TIPS Bond ETF

 

The iShares TIPS Bond ETF (the “Fund”) seeks to track the investment results of an index composed of inflation-protected U.S. Treasury bonds, as represented by the ICE US Treasury Inflation Linked Bond Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

 

            Average Annual Total Returns             Cumulative Total Returns  
      
6-Month
Total Returns
 
 
     1 Year        5 Years        10 Years                 1 Year        5 Years        10 Years  

Fund NAV

     4.13      (4.13 )%       2.78      1.27         (4.13 )%       14.70      13.42

Fund Market

     4.14        (4.08      2.82        1.27           (4.08      14.93        13.47  

Index(a)

     4.24        (4.02      2.97        1.41           (4.02      15.77        15.06  

Bloomberg U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L)

     4.27        (4.00      2.98        1.42           (4.00      15.80        15.09  

ICE US Treasury Inflation Linked Bond Index(b)

     4.37        (4.19      2.99        N/A                 (4.19      15.88        N/A  

 

  (a) 

Index performance through January 31, 2023 reflects the performance of the Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) Index (Series L). Index performance beginning on February 1, 2023 reflects the performance of the ICE US Treasury Inflation Linked Bond Index, which effective as of February 1, 2023, replaced the Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) Index (Series-L) as the underlying index of the fund.

 
  (b) 

The inception date of the ICE US Treasury Inflation Linked Bond Index was June 30, 2016. The cumulative total return for this index for the period June 30, 2016 through April 30, 2023 was 16.61%.

 

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

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 

Beginning
Account Value
(11/01/22)
 
 
 
      

Ending
Account Value
(04/30/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a)  
           

Beginning
Account Value
(11/01/22)
 
 
 
      

Ending
Account Value
(04/30/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a)  
      

Annualized
Expense
Ratio
 
 
 
    $ 1,000.00        $ 1,041.30        $ 0.96             $ 1,000.00        $ 1,023.90        $ 0.95          0.19

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (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.

 

Portfolio Information

 

MATURITY ALLOCATION

 

   
Maturity    
Percent of
Total Investments
 
(a) 

0-1 Year

    0.6

1-5 Years

    52.5  

5-10 Years

    32.4  

15-20 Years

    3.5  

20-25 Years

    7.1  

25-30 Years

    3.9  

FIVE LARGEST HOLDINGS

 

   
Security    
Percent of
Total Investments
 
(a) 

U.S. Treasury Inflation-Indexed Bonds, 0.13%, 04/15/25

    4.3

U.S. Treasury Inflation-Indexed Bonds, 0.63%, 01/15/26

    3.9  

U.S. Treasury Inflation-Indexed Bonds, 0.63%, 07/15/32

    3.9  

U.S. Treasury Inflation-Indexed Bonds, 0.13%, 01/15/32

    3.8  

U.S. Treasury Inflation-Indexed Bonds, 1.63%, 10/15/27

    3.7  

 

  (a) 

Excludes money market funds.

 

 

 

U N D   S U M M A R Y

  7


Fund Summary as of April 30, 2023    iShares® Treasury Floating Rate Bond ETF

 

Investment Objective

The iShares Treasury Floating Rate Bond ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. Treasury floating rate bonds, as represented by the Bloomberg U.S. Treasury Floating Rate Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

 

            Average Annual Total Returns             Cumulative Total Returns  
      
6-Month
Total Returns
 
 
     1 Year        5 Years       
Since
Inception
 
 
              1 Year        5 Years       
Since
Inception
 
 

Fund NAV

     2.24      3.24      1.45      1.01         3.24      7.45      9.70

Fund Market

     2.25        3.15        1.46        1.01           3.15        7.51        9.76  

Index

     2.34        3.41        1.60        1.12                 3.41        8.27        10.85  

The inception date of the Fund was February 3, 2014. The first day of secondary market trading was February 4, 2014.

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

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 

Beginning
Account Value
(11/01/22)
 
 
 
      

Ending
Account Value
(04/30/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
           

Beginning
Account Value
(11/01/22)
 
 
 
      

Ending
Account Value
(04/30/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
  $       1,000.00          $       1,022.40          $      0.75               $       1,000.00          $       1,024.10          $      0.75          0.15

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (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.

 

Portfolio Information

 

MATURITY ALLOCATION

 

Maturity    
Percent of
Total Investments
 
(a) 

0-1 Year

    40.5

1-2 Years

    59.5  

FIVE LARGEST HOLDINGS

 

Security    
Percent of
Total Investments
 
(a) 

U.S. Treasury Floating Rate Note, 5.27%, 10/31/24

    21.5

U.S. Treasury Floating Rate Note, 5.16%, 07/31/23

    18.9  

U.S. Treasury Floating Rate Note, 5.17%, 07/31/24

    16.2  

U.S. Treasury Floating Rate Note, 5.17%, 10/31/23

    12.8  

U.S. Treasury Floating Rate Note, 5.06%, 04/30/24

    11.4  

 

  (a) 

Excludes money market funds.

 

 

 

8  

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


Fund Summary as of April 30, 2023    iShares® U.S. Treasury Bond ETF

 

Investment Objective

The iShares U.S. Treasury Bond ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. Treasury bonds, as represented by the ICE U.S. Treasury Core Bond Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

 

            Average Annual Total Returns             Cumulative Total Returns  
      
6-Month
Total Returns
 
 
     1 Year        5 Years        10 Years                 1 Year        5 Years        10 Years  

Fund NAV

     5.84      (0.94 )%       0.92      0.77         (0.94 )%       4.66      7.98

Fund Market

     5.75        (1.02      0.91        0.76           (1.02      4.64        7.91  

Index

     5.78        (0.94      1.01        0.86                 (0.94      5.17        8.99  

On March 1, 2021 the Fund began to track the 4pm pricing variant of the ICE U.S. Treasury Core Bond Index. Index data on and after March 1, 2021 is for the 4pm pricing variant of the ICE U.S. Treasury Core Bond Index. Historical index data from July 1, 2016 through February 28, 2021 is for the 3pm pricing variant of the ICE U.S. Treasury Core Bond Index. Historical index data prior to July 1, 2016 is for the Barclays U.S. Treasury Bond Index.

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

Expense Example

 

Actual           Hypothetical 5% Return           
 

Beginning
Account Value
(11/01/22)
 
 
 
      

Ending
Account Value
(04/30/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
           

Beginning
Account Value
(11/01/22)
 
 
 
      

Ending
Account Value
(04/30/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
  $       1,000.00          $       1,058.40          $      0.26               $       1,000.00          $       1,024.50          $      0.25          0.05

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (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.

 

Portfolio Information

 

 

MATURITY ALLOCATION

 

 

Maturity    
Percent of
Total Investments
(
 
a) 

1-5 Years

    50.4

5-10 Years

    29.5  

10-15 Years

    1.0  

15-20 Years

    4.2  

More than 20 Years

    14.9  

FIVE LARGEST HOLDINGS

 

 

Security    
Percent of
Total Investments
 
(a) 

U.S. Treasury Note/Bond, 0.25%, 05/15/24

    6.5

U.S. Treasury Note/Bond, 3.13%, 11/15/28

    5.3  

U.S. Treasury Note/Bond, 1.38%, 11/15/31

    5.1  

U.S. Treasury Note/Bond, 2.63%, 02/15/29

    4.2  

U.S. Treasury Note/Bond, 1.88%, 02/15/51

    4.0  

 

  (a)

Excludes money market funds.

 

 

 

U N D   S U M M A R Y

  9


About Fund Performance

 

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

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

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

Disclosure of Expenses

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

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

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

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

 

 

10  

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


Schedule of Investments (unaudited)

April 30, 2023

  

iShares® 0-5 Year TIPS Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

    

Par
(000)

    Value  

U.S. Government Obligations

 

U.S. Government Obligations — 97.7%  

U.S. Treasury Floating Rate Note, 1.25%, 04/15/28

  $ 566,631     $ 566,099,234  

U.S. Treasury Inflation-Indexed Bonds 0.13%, 07/15/24

    772,512       753,206,333  

0.13%, 10/15/24

    617,681       600,550,174  

0.13%, 04/15/25

    776,594       749,496,796  

0.13%, 10/15/25

    612,664       591,914,839  

0.13%, 04/15/26

    581,477       557,030,719  

0.13%, 07/15/26

    715,078       687,438,155  

0.13%, 10/15/26

    786,203       752,927,722  

0.13%, 04/15/27

    852,411       810,148,361  

0.25%, 01/15/25

    700,879       680,299,828  

0.38%, 07/15/23

    545,479       545,180,935  

0.38%, 07/15/25

    569,902       554,675,231  

0.38%, 01/15/27

    598,019       575,430,007  

0.38%, 07/15/27

    494,377       476,678,214  

0.50%, 04/15/24

    419,215       410,306,645  

0.50%, 01/15/28

    306,177       294,978,681  

0.63%, 04/15/23

    0 (a)       14  

0.63%, 01/15/24

    806,963       795,709,161  

0.63%, 01/15/26

    287,799       280,539,622  

1.63%, 10/15/27

    1,230,229       1,250,004,114  

1.75%, 01/15/28

    22,800       23,259,119  

2.00%, 01/15/26

    81,752       82,586,144  
Security  

Par/

Shares

(000)

     Value  

 

U.S. Government Obligations (continued)

 

2.38%, 01/15/25

  $ 112,729      $ 113,399,727  

2.38%, 01/15/27

    79,025        81,673,130  

3.63%, 04/15/28

    55,801        61,994,794  
    

 

 

 
       12,295,527,699  
    

 

 

 

Total Long-Term Investments — 97.7%
(Cost: $12,876,384,172)

 

     12,295,527,699  
    

 

 

 

Short-Term Securities

 

Money Market Funds — 6.5%  

BlackRock Cash Funds: Treasury, SL
Agency Shares, 4.75%(b)(c)

    821,830        821,830,000  
    

 

 

 

Total Short-Term Securities — 6.5%
(Cost: $821,830,000)

 

     821,830,000  
    

 

 

 

Total Investments — 104.2%
(Cost: $13,698,214,172)

 

     13,117,357,699  

Liabilities in Excess of Other Assets — (4.2)%

 

     (530,095,882
    

 

 

 

Net Assets — 100.0%

 

   $ 12,587,261,817  
    

 

 

 

 

(a) 

Rounds to less than 1,000.

(b)

Affiliate of the Fund.

(c)

Annualized 7-day yield as of period end.

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended April 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                   
Affiliated Issuer   Value at
10/31/22
    Purchases
at Cost
    Proceeds
from Sale
    Net Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
04/30/23
    Shares
Held at
04/30/23
(000)
    Income     Capital Gain
Distributions from
Underlying Funds
 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 29,880,000     $ 791,950,000 (a)    $  —     $     $  —     $ 821,830,000       821,830     $ 4,502,014 (b)    $ 74  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (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.

 

Fair Value Hierarchy as of Period End

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

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

 

         
      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

U.S. Government Obligations

   $        $ 12,295,527,699        $        $ 12,295,527,699  

Short-Term Securities

                 

Money Market Funds

     821,830,000                            821,830,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $     821,830,000        $ 12,295,527,699        $             —        $ 13,117,357,699  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

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

  11


Schedule of Investments (unaudited) 

April 30, 2023

  

iShares® CMBS ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Collaterized Mortgage Obligations

 

Mortgage-Backed Securities — 58.6%  

Bank
2.92%, 12/15/52 (Call 12/15/29)

  $  1,000     $ 886,026  

3.30%, 05/15/64 (Call 05/15/31)

    500       330,456  

3.39%, 06/15/60 (Call 07/15/27)

    1,000       936,102  

3.74%, 02/15/52 (Call 02/15/29)

    600       560,308  

3.92%, 04/15/65(a)

    1,500       1,389,008  

4.26%, 05/15/61 (Call 05/15/28)(a)

    1,010       977,144  

5.20%, 02/15/56 (Call 02/15/33)

    1,250       1,274,576  

5.94%, 11/15/55 (Call 11/15/32)(a)

    1,000       1,062,232  

Series 2017, Class A5, 3.44%, 09/15/60
(Call 09/15/27)

    220       206,029  

Series 2017-BNK4, Class AS, 3.78%, 05/15/50
(Call 04/15/27)

    500       463,446  

Series 2017-BNK4, Class ASB, 3.42%, 05/15/50
(Call 04/15/27)

    230       221,763  

Series 2017-BNK4, Class C, 4.37%, 05/15/50
(Call 04/15/27)(a)

    485       400,845  

Series 2017-BNK7, Class B, 3.95%, 09/15/60
(Call 09/15/27)

    550       478,616  

Series 2017-BNK8, Class A3, 3.23%, 11/15/50
(Call 11/15/27)

    683       630,914  

Series 2017-BNK8, Class AS, 3.73%, 11/15/50
(Call 11/15/27)

    1,000       918,828  

Series 2018-BN10, Class C, 4.16%, 02/15/61
(Call 02/15/28)(a)

    800       664,588  

Series 2018-BN14, Class A3, 3.97%, 09/15/60
(Call 09/15/28)

    600       568,379  

Series 2018-BN14, Class AS, 4.48%, 09/15/60
(Call 09/15/28)(a)

    500       467,784  

Series 2018-BN15, Class A3, 4.14%, 11/15/61
(Call 11/15/28)

    499       476,977  

Series 2018-BN15, Class A4, 4.41%, 11/15/61
(Call 11/15/28)(a)

    1,015       987,755  

Series 2019-BN16, Class AS, 4.27%, 02/15/52
(Call 02/15/29)

    262       242,020  

Series 2019-BN19, Class A3, 3.18%, 08/15/61
(Call 07/15/29)

    497       444,200  

Series 2019-BN20, Class A2, 2.76%, 09/15/62
(Call 10/15/29)

    420       369,517  

Series 2019-BN20, Class B, 3.40%, 09/15/62
(Call 10/15/29)(a)

    1,000       806,564  

Series 2019-BN21, Class A4, 2.60%, 10/17/52
(Call 10/15/29)

    1,000       880,006  

Series 2019-BN21, Class A5, 2.85%, 10/17/52
(Call 10/15/29)

    500       439,222  

Series 2019-BN22, Class A3, 2.73%, 11/15/62
(Call 11/15/29)

    1,000       873,155  

Series 2019-BNK16, Class A4, 4.01%, 02/15/52
(Call 02/15/29)

    2,110       2,006,700  

Series 2020-BN25, Class A3, 2.39%, 01/15/63
(Call 02/15/30)

    537       499,637  

Series 2020-BN26, Class B, 2.91%, 03/15/63
(Call 03/15/30)(a)

    250       185,698  

Series 2020-BN28, Class A4, 1.84%, 03/15/63
(Call 10/15/30)

    500       407,113  

Series 2020-BN29, Class C, 3.13%, 11/15/53
(Call 12/15/30)(a)

    520       346,937  

Series 2020-BN30, Class ABS, 1.67%, 12/15/53

    240       207,920  
Security   Par
(000)
    Value  

 

Mortgage-Backed Securities (continued)

 

Series 2021-BN32, Class AS, 2.64%, 04/15/54
(Call 04/15/31)

  $  2,075     $ 1,774,711  

Series 2021-BN34, Class A5, 2.44%, 06/15/63
(Call 07/15/31)

    244       201,037  

Series 2021-BN34, Class AS, 2.57%, 06/15/63
(Call 07/15/31)

    500       398,288  

Series 2021-BN35, Class B, 2.53%, 06/15/64
(Call 08/15/31)

    1,000       674,905  

Series 2022-BNK40, Class AS, 3.51%, 03/15/64
(Call 03/15/32)(a)

    1,000       840,202  

Series2017-BNK4, Class A4, 3.63%, 05/15/50
(Call 04/15/27)

    1,000       943,037  

Serise BN23, Class C, 3.62%, 12/15/52
(Call 12/15/29)(a)

    500       356,721  

Bank of America Merrill Lynch Commercial Mortgage Trust

   

Series 2016-UB10, Class A4, 3.17%, 07/15/49
(Call 02/15/31)

    800       753,340  

Series 2016-UB10, Class B, 3.79%, 07/15/49
(Call 02/15/31)

    250       227,124  

Series 2017-BNK3, Class A4, 3.57%, 02/15/50
(Call 02/15/27)

    1,000       944,530  

Barclays Commercial Mortgage Trust

   

Series 2019-C4, Class A5, 2.92%, 08/15/52
(Call 08/15/29)

    1,000       891,679  

Series 2019-C5, 2.81%, 11/15/52 (Call 11/15/29)

    1,000       879,930  

Series 2019-C5, Class A2, 3.04%, 11/15/52
(Call 11/15/29)

    678       653,476  

Series 2019-C5, Class A4, 3.06%, 11/15/52
(Call 11/15/29)

    1,000       895,790  

BBCMS Mortgage Trust
2.95%, 02/15/55 (Call 02/15/32)(a)

    1,500       1,292,364  

5.45%, 09/15/55 (Call 09/15/32)(a)

    847       626,094  

6.33%, 04/15/56

    250       252,037  

Series 2017-C1, Class A4, 3.67%, 02/15/50
(Call 02/15/27)

    1,000       946,482  

Series 2018-C2, Class C, 5.13%, 12/15/51
(Call 12/15/28)(a)

    250       202,938  

Series 2020-C6, Class A4, 2.64%, 02/15/53
(Call 02/15/30)

    1,500       1,303,281  

Series 2020-C7, Class AS, 2.44%, 04/15/53
(Call 04/15/30)

    300       248,165  

Series 2020-C8, Class A5, 2.04%, 10/15/53
(Call 10/15/30)

    1,000       829,586  

Series 2021-C11, Class A5, 2.32%, 09/15/54

    1,500       1,238,525  

Series 2021-C12, Class A4, 2.42%, 11/15/54

    1,000       840,274  

Series 2021-C12, Class C, 3.21%, 11/15/54(a)

    500       348,054  

Series 2022-C14, Class AS, 3.35%, 02/15/55
(Call 02/15/32)(a)

    250       211,951  

Series 2022-C15, Class A5, 3.66%, 04/15/55
(Call 04/15/32)(a)

    1,640       1,493,083  

Series 2022-C17, Class A4, 4.17%, 09/15/55
(Call 09/15/32)

    1,000       935,550  

BBCMS Mortgage Trust 2022-C18, 5.71%, 12/15/55
(Call 12/15/32)(a)

    1,000       1,060,038  

BBCMS Trust

   

Series 2021-C10, Class A5, 2.49%, 07/15/54
(Call 07/15/31)

    1,750       1,476,499  

Series 2021-C10, Class AS, 2.68%, 07/15/54
(Call 07/15/31)

    1,000       821,972  

Series 2021-C10, Class B, 2.49%, 07/15/54
(Call 07/15/31)

    1,000       753,751  

Series 2021-C10, Class C, 2.84%, 07/15/54
(Call 07/15/31)

    500       315,955  

Benchmark Mortgage Trust
2.58%, 03/15/54 (Call 03/15/31)

    1,000       839,567  

3.20%, 01/15/55(a)

    500       344,908  

3.46%, 03/15/55 (Call 03/15/32)

    1,000       891,714  

4.59%, 05/15/55 (Call 05/15/32)(a)

    750       714,183  

Series 2018-B1, Class A5, 3.67%, 01/15/51
(Call 01/15/28)(a)

    1,000       940,409  

 

 

12  

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


Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® CMBS ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

 

Mortgage-Backed Securities (continued)

 

Series 2018-B1, Class AM, 3.88%, 01/15/51
(Call 01/15/28)(a)

  $ 500     $ 454,987  

Series 2018-B2, Class A4, 3.61%, 02/15/51
(Call 02/15/28)

    1,350       1,264,137  

Series 2018-B2, Class AS, 4.08%, 02/15/51
(Call 02/15/28)(a)

    1,000       921,610  

Series 2018-B2, Class C, 4.44%, 02/15/51
(Call 02/15/28)(a)

    500       403,895  

Series 2018-B3, Class A4, 3.76%, 04/10/51
(Call 04/10/28)

    700       658,627  

Series 2018-B3, Class A5, 4.03%, 04/10/51
(Call 04/10/28)

    1,000       949,374  

Series 2018-B4, Class A5, 4.12%, 07/15/51
(Call 07/15/28)(a)

    1,023       982,661  

Series 2018-B4, Class ASB, 4.06%, 07/15/51
(Call 07/15/28)(a)

    464       450,427  

Series 2018-B4, Class C, 4.70%, 07/15/51
(Call 07/15/28)(a)

    400       326,258  

Series 2018-B5, Class B, 4.57%, 07/15/51
(Call 08/15/28)

    500       435,388  

Series 2018-B7, Class B, 5.01%, 05/15/53
(Call 11/15/28)(a)

    400       353,086  

Series 2018-B8, Class A4, 3.96%, 01/15/52
(Call 12/15/28)

    1,000       952,984  

Series 2018-B8, Class A5, 4.23%, 01/15/52
(Call 12/15/28)

    1,000       957,229  

Series 2018-B8, Class AS, 4.53%, 01/15/52
(Call 12/15/28)(a)

    1,563       1,465,472  

Series 2019-B10, Class A3, 3.46%, 03/15/62
(Call 03/15/29)

    800       735,443  

Series 2019-B10, Class AM, 3.98%, 03/15/62
(Call 03/15/29)

    600       540,179  

Series 2019-B11, Class AS, 3.78%, 05/15/52
(Call 06/15/29)

    500       444,125  

Series 2019-B11, Class B, 3.96%, 05/15/52
(Call 06/15/29)(a)

    500       401,305  

Series 2019-B13, Class C, 3.84%, 08/15/57
(Call 10/15/29)(a)

    500       385,132  

Series 2019-B14, Class A5, 3.05%, 12/15/62
(Call 11/15/29)

    500       442,882  

Series 2019-B9, Class A5, 4.02%, 03/15/52
(Call 02/15/29)

    1,000       940,389  

Series 2019-B9, Class C, 4.97%, 03/15/52
(Call 02/15/29)(a)

    250       203,270  

Series 2020-B16, Class A5, 2.73%, 02/15/53
(Call 02/15/30)

    990       860,051  

Series 2020-B16, Class AM, 2.94%, 02/15/53
(Call 02/15/30)(a)

    1,000       834,479  

Series 2020-B17, Class C, 3.37%, 03/15/53
(Call 03/15/30)(a)

    250       178,971  

Series 2020-B18 AM, Class AM, 2.34%, 07/15/53
(Call 08/15/30)

    430       338,970  

Series 2020-B19, Class B, 2.35%, 09/15/53
(Call 10/15/30)

    450       313,181  

Series 2020-B20, Class B, 2.53%, 10/15/53
(Call 10/15/30)

    500       360,978  

Series 2020-B21, Class A5, 2.25%, 12/17/53
(Call 12/15/30)

    500       397,035  

Series 2020-B22, Class A5, 1.97%, 01/15/54
(Call 01/15/31)

    1,000       806,030  

Series 2020-IG1, Class A3, 2.69%, 09/15/43
(Call 01/15/30).

    1,750       1,512,625  

Series 2021-B23, Class AS, 2.27%, 02/15/54
(Call 02/15/31)

    500       391,980  

Series 2021-B24, Class A4, 2.26%, 03/15/54
(Call 03/15/31)

    1,000       836,475  

Series 2021-B25, Class A5, 2.58%, 04/15/54
(Call 04/15/31)

    1,000       829,248  

Series 2021-B25, Class ASB, 2.27%, 04/15/54
(Call 04/15/31)

    650       566,727  
Security   Par
(000)
    Value  

 

Mortgage-Backed Securities (continued)

 

Series 2021-B26, Class A5, 2.61%, 06/15/54
(Call 06/15/31)

  $  1,500     $ 1,260,859  

Series 2021-B26, Class AM, 2.83%, 06/15/54
(Call 06/15/31)

    500       401,071  

Series 2021-B27, Class A2, 2.02%, 07/15/54
(Call 07/15/31)

    1,000       900,635  

Series 2021-B27, Class A5, 2.39%, 07/15/54
(Call 07/15/31)

    1,000       822,484  

Series 2021-B27, Class AS, 2.51%, 07/15/54
(Call 07/15/31)

    500       394,419  

Series 2021-B29, Class A5, 2.39%, 09/15/54
(Call 10/15/31)

    830       685,549  

Series 2022-B32, Class A5, 3.00%, 01/15/55(a)

    1,000       855,675  

Series 2022-B34, Class A5, 3.79%, 04/15/55
(Call 04/15/32)(a)

    1,500       1,348,427  

Series 2023-B38, Class A2, 5.63%, 04/15/56

    2,000       2,029,079  

Serise 2020-B17, Class A2, 2.21%, 03/15/53
(Call 03/15/30)

    1,000       920,893  

Serise 2020-B17, Class A5, 2.29%, 03/15/53
(Call 03/15/30)

    1,000       836,778  

BMO Mortgage Trust, 5.31%, 09/15/54 (Call 10/15/32)

    1,000       1,024,440  

Cantor Commercial Real Estate Lending, 3.01%,
01/15/53 (Call 12/15/29)

    1,000       880,980  

CCUBS Commercial Mortgage Trust, Series 2017-C1,

   

Class A4, 3.54%, 11/15/50 (Call 12/15/27)(a)

    1,510       1,410,091  

CD Mortgage Trust

   

Series 2017-CD3, Class A4, 3.63%, 02/10/50
(Call 02/10/27)

    230       215,334  

Series 2017-CD3, Class AS, 3.83%, 02/10/50
(Call 02/10/27)

    750       657,231  

Series 2017-CD3, Class C, 4.70%, 02/10/50
(Call 02/10/27)(a)

    300       229,290  

Series 2017-CD4, Class A4, 3.51%, 05/10/50
(Call 05/10/27)(a)

    1,000       940,053  

Series 2017-CD5, Class A4, 3.43%, 08/15/50
(Call 07/15/27)

    750       699,802  

Series 2017-CD6, Class C, 4.37%, 11/13/50
(Call 11/13/27)(a)

    500       412,743  

Series 2018-CD7, Class ASB, 4.21%, 08/15/51
(Call 08/15/28)

    550       534,777  

Series 2019-CD8, Class A4, 2.91%, 08/15/57
(Call 08/15/29)

    1,000       874,954  

CFCRE Commercial Mortgage Trust

   

Series 2016-C3, Class A3, 3.87%, 01/10/48
(Call 01/10/26)

    500       474,713  

Series 2016-C4, Class A4, 3.28%, 05/10/58
(Call 05/10/26)

    1,650       1,538,680  

Series 2017-C8, Class ASB, 3.37%, 06/15/50
(Call 05/15/27)

    795       765,983  

Series 2017-C8, Class B, 4.20%, 06/15/50
(Call 05/15/27)(a)

    750       650,935  

Citigroup Commercial Mortgage Trust

   

Series 2014-GC19, Class A4, 4.02%, 03/11/47
(Call 03/10/24)

    500       494,082  

Series 2014-GC23, Class A4, 3.62%, 07/10/47
(Call 07/10/24)

    750       726,150  

Series 2014-GC23, Class AS, 3.86%, 07/10/47
(Call 07/10/24)

    250       243,559  

Series 2014-GC23, Class C, 4.58%, 07/10/47
(Call 07/10/24)(a)

    250       230,701  

Series 2014-GC25, Class B, 4.35%, 10/10/47
(Call 10/10/24)(a)

    100       91,174  

 

 

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

  13


Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® CMBS ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

 

Mortgage-Backed Securities (continued)

 

Series 2015-GC29, Class C, 4.28%, 04/10/48
(Call 04/10/25)(a)

  $ 250     $ 232,858  

Series 2015-GC31, Class A4, 3.76%, 06/10/48
(Call 06/10/25)

    750       722,356  

Series 2015-GC35, Class AAB, 3.61%, 11/10/48
(Call 11/10/25)

    270       262,692  

Series 2015-P1, Class A5, 3.72%, 09/15/48
(Call 05/15/26)

    356       342,063  

Series 2016-C1, Class A4, 3.21%, 05/10/49
(Call 06/10/26)

    874       822,571  

Series 2016-GC36, Class A4, 3.35%, 02/10/49
(Call 02/10/26)

    1,000       953,685  

Series 2016-P3, Class A4, 3.33%, 04/15/49
(Call 04/15/26)

    75       70,981  

Series 2017-C4, Class A3, 3.21%, 10/12/50
(Call 11/12/27)

    1,000       934,483  

Series 2017-P8, Class A3, 3.20%, 09/15/50
(Call 09/15/27)

    885       819,599  

Series 2017-P8, Class AS, 3.79%, 09/15/50
(Call 09/15/27)(a)

    750       680,759  

Series 2018-B2, Class A4, 4.01%, 03/10/51
(Call 03/10/28)

    600       571,088  

Series 2018-C5, Class A4, 4.23%, 06/10/51
(Call 06/10/28)(a)

    1,000       962,650  

Series 2018-C6, Class A4, 4.41%, 11/10/51
(Call 11/10/28)

    1,199       1,160,386  

Series 2019-C7, Class A4, 3.10%, 12/15/72
(Call 12/15/29)

    1,000       889,745  

Series 2019-GC41, Class AS, 3.02%, 08/10/56
(Call 08/10/29)

    750       642,692  

Series 2019-GC43, Class A2, 2.98%, 11/10/52
(Call 11/10/29)

    863       825,702  

Series 2019-GC43, Class A4, 3.04%, 11/10/52
(Call 11/10/29)

    750       658,874  

Series 2020-GC46, Class A5, 2.72%, 02/15/53
(Call 02/15/30)

    1,000       865,976  

Series 2020-GC46, Class AS, 2.92%, 02/15/53
(Call 02/15/30)(a)

    500       414,913  

Series 2020-GC46, Class B, 3.15%, 02/15/53
(Call 02/15/30)(a)

    234       173,675  

Commission Mortgage Trust

   

Series 2014-CR14, Class C, 4.73%, 02/10/47
(Call 01/10/24)(a)

    200       175,357  

Series 2014-CR16, Class ASB, 3.65%, 04/10/47
(Call 04/10/24)

    26       26,169  

Series 2014-CR17, Class B, 4.38%, 05/10/47
(Call 05/10/24)

    292       269,137  

Series 2014-CR18, Class AM, 4.10%, 07/15/47
(Call 07/15/24)

    300       288,803  

Series 2014-CR19, Class A5, 3.80%, 08/10/47
(Call 08/10/24)

    438       427,469  

Series 2014-CR19, Class B, 4.70%, 08/10/47
(Call 08/10/24)(a)

    850       789,872  

Series 2014-CR20, Class AM, 3.94%, 11/10/47
(Call 01/10/29)

    250       240,287  

Series 2014-LC17, Class A5, 3.92%, 10/10/47
(Call 12/10/24)

    675       655,888  

Series 2014-UBS2, Class AM, 4.20%, 03/10/47
(Call 03/10/24)

    425       413,977  

Series 2014-UBS3, Class C, 4.89%, 06/10/47
(Call 06/10/24)(a)

    150       140,111  

Series 2014-UBS4, Class A4, 3.42%, 08/10/47
(Call 07/10/29)

    250       243,577  

Series 2014-UBS4, Class A5, 3.69%, 08/10/47
(Call 07/10/29)

    500       484,201  

Series 2014-UBS4, Class AM, 3.97%, 08/10/47
(Call 07/10/29)

    500       476,785  
Security   Par
(000)
    Value  

 

Mortgage-Backed Securities (continued)

 

Series 2014-UBS4, Class B, 4.35%, 08/10/47
(Call 07/10/29)

  $ 250     $ 235,490  

Series 2014-UBS5, Class A4, 3.84%, 09/10/47
(Call 09/10/24)

    730       706,728  

Series 2014-UBS6, Class A5, 3.64%, 12/10/47
(Call 10/10/28)

    500       482,500  

Series 2015-CR22, Class A5, 3.31%, 03/10/48
(Call 03/10/25)

    500       479,454  

Series 2015-CR22, Class AM, 3.60%, 03/10/48
(Call 03/10/25)(a)

    200       189,232  

Series 2015-CR22, Class C, 4.20%, 03/10/48
(Call 03/10/25)(a)

    300       266,714  

Series 2015-CR23, Class A4, 3.50%, 05/10/48
(Call 05/10/25)

    500       480,497  

Series 2015-CR24, Class A4, 3.43%, 08/10/48
(Call 06/10/26)

    925       887,973  

Series 2015-CR24, Class B, 4.49%, 08/10/48
(Call 06/10/26)(a)

    750       690,309  

Series 2015-CR24, Class D, 3.46%, 08/10/48
(Call 06/10/26)(a)

    200       158,562  

Series 2015-CR25, Class A4, 3.76%, 08/10/48
(Call 08/10/25)

    750       721,803  

Series 2015-CR25, Class B, 4.67%, 08/10/48
(Call 08/10/25)(a)

    300       273,090  

Series 2015-DC1, Class A5, 3.35%, 02/10/48
(Call 02/10/25)

    750       720,279  

Series 2015-DC1, Class C, 4.44%, 02/10/48
(Call 02/10/25)(a)

    250       211,764  

Series 2015-LC21, Class A4, 3.71%, 07/10/48
(Call 01/10/26)

    500       481,595  

Series 2015-LC23, Class A4, 3.77%, 10/10/48
(Call 11/10/25)

    1,000       960,983  

Series 2016-CR28, Class C, 4.76%, 02/10/49
(Call 01/10/26)(a)

    604       536,890  

Series 2016-DC2, Class A4, 3.50%, 02/10/49
(Call 02/10/26)

    337       322,649  

Series 2016-DC2, Class AM, 4.24%, 02/10/49
(Call 02/10/26)

    750       707,510  

Series 2016-DC2, Class C, 4.81%, 02/10/49
(Call 02/10/26)(a)

    250       219,540  

Series 2017-COR2, Class C, 4.74%, 09/10/50
(Call 09/10/27)(a)

    750       600,287  

Series 2018-COR3, Class A3, 4.23%, 05/10/51
(Call 05/10/28)

    750       720,524  

Series 2018-COR3, Class B, 4.66%, 05/10/51
(Call 05/10/28)(a)

    500       429,176  

Series 2018-COR3, Class C, 4.71%, 05/10/51
(Call 05/10/28)(a)

    500       413,677  

Series 2019-GC44, Class A5, 2.95%, 08/15/57
(Call 11/15/29)

    1,000       883,971  

CSAIL Commercial Mortgage Trust

   

Series 2015-C1, Class A4, 3.51%, 04/15/50
(Call 03/15/25)

    500       479,270  

Series 2015-C1, Class AS, 3.79%, 04/15/50
(Call 03/15/25)(a)

    435       411,481  

Series 2015-C2, Class A4, 3.50%, 06/15/57
(Call 05/15/25)

    500       479,994  

Series 2015-C3, Class A4, 3.72%, 08/15/48
(Call 08/15/25)

    1,900       1,826,639  

Series 2015-C4, Class A4, 3.81%, 11/15/48
(Call 11/15/25)

    1,464       1,407,907  

Series 2015-C4, Class D, 3.71%, 11/15/48
(Call 11/15/25)(a)

    250       204,625  

Series 2016-C5, Class C, 4.80%, 11/15/48
(Call 11/15/25)(a)

    750       672,632  

 

 

14  

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


Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® CMBS ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

 

Mortgage-Backed Securities (continued)

 

Series 2016-C6, Class C, 5.08%, 01/15/49
(Call 05/15/26)(a)

  $ 350     $ 311,335  

Series 2016-C7, Class A4, 3.21%, 11/15/49
(Call 11/15/26)

    193       183,397  

Series 2016-C7, Class A5, 3.50%, 11/15/49
(Call 11/15/26)

    115       106,898  

Series 2016-C7, Class AS, 3.96%, 11/15/49
(Call 11/15/26)(a)

    1,000       913,513  

Series 2017-CX9, Class A5, 3.45%, 09/15/50
(Call 09/15/27)

    1,000       934,277  

Series 2018-CX11, Class A5, 4.03%, 04/15/51
(Call 04/15/28)(a)

    1,000       952,160  

Series 2019-C15, Class A2, 3.45%, 03/15/52
(Call 02/15/29)

    1,001       973,779  

Series 2019-C15, Class A3, 3.78%, 03/15/52
(Call 02/15/29)

    1,400       1,314,544  

Series 2019-C15, Class B, 4.48%, 03/15/52
(Call 02/15/29)

    1,000       831,536  

Series 2019-C17, Class A5, 3.02%, 09/15/52
(Call 09/15/29)

    2,000       1,775,376  

Series 2019-C18, Class ASB, 2.87%, 12/15/52
(Call 12/15/29)

    500       460,490  

Series 2020-C19, Class A3, 2.56%, 03/15/53
(Call 03/15/30)

    1,500       1,283,038  

DBGS Mortgage Trust, Series 2018-C1, Class A4,
4.47%, 10/15/51 (Call 10/15/28)

    1,400       1,338,082  

DBJPM Mortgage Trust

   

Series 2016-C1, Class A4, 3.28%, 05/10/49
(Call 04/10/26)

    1,000       945,305  

Series 2016-C1, Class ASB, 3.04%, 05/10/49
(Call 04/10/26)

    328       316,087  

Series 2016-C1, Class C, 3.47%, 05/10/49
(Call 04/10/26)(a)

    468       386,600  

Series 2017-C6, Class A3, 3.27%, 06/10/50
(Call 06/10/27)

    560       545,162  

Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates,
4.35%, 01/25/33

    4,000       4,043,755  

Federal National Mortgage Association
1.76%, 11/25/31(a)

    969       857,180  

2.00%, 12/25/31(a)

    1,000       835,896  

2.35%, 02/25/31

    1,000       891,616  

Series 2016-M1, Class A2, 2.94%, 01/25/26(a)

    595       574,570  

Series 2016-M10, Class AV2, 3.00%, 11/25/45

    500       418,274  

Series 2016-M12, Class AV2, 2.31%, 10/25/23

    90       89,571  

Series 2016-M5, Class A2, 2.47%, 04/25/26

    2,000       1,902,640  

Series 2017-M1, Class A2, 2.50%, 10/25/26(a)

    760       718,317  

Series 2017-M14, Class A2, 2.96%, 11/25/27(a)

    1,708       1,623,023  

Series 2017-M15, Class ATS2, 3.20%, 11/25/27(a)

    427       411,282  

Series 2018-M14, Class A2, 3.70%, 08/25/28(a)

    409       398,495  

Series 2019-M12, Class A2, 2.89%, 06/25/29(a)

    1,175       1,095,009  

Series 2019-M25, Class A2, 2.33%, 11/25/29(a)

    1,690       1,518,582  

Series 2020-M1, Class A1, 2.15%, 10/25/29

    1,455       1,372,362  

Series 2020-M1, Class A2, 2.44%, 10/25/29

    2,530       2,281,371  

Series 2020-M14, Class A2, 1.78%, 05/25/30

    1,000       853,174  

Series 2020-M20, Class A2, 1.44%, 10/25/29

    250       211,768  

Series 2020-M5, Class A3, 2.19%, 01/25/30

    1,000       880,626  

Series 2020-M8, Class A2, 1.82%, 02/25/30

    100       86,788  

Series 2021-M19, Class A2, 1.80%, 10/25/31(a)

    2,000       1,652,078  

Series 2021-M4, Class A2, 1.51%, 02/25/31(a)

    2,500       2,045,903  

Series 2022-M3, Class A2, 1.76%, 11/25/31(a)

    2,000       1,639,995  

Series 2022-M4, Class A2, 2.29%, 05/25/30(a)

    1,800       1,594,397  

Series2019-M6, Class A2, 3.45%, 01/01/29

    477       463,431  

Freddie Mac Multifamily Structured Pass Through Certificates
2.05%, 11/25/28 (Call 12/25/28)(a)

    1,000       895,409  

3.53%, 08/25/32 (Call 09/25/32)

    1,000       948,374  
Security   Par
(000)
    Value  

 

Mortgage-Backed Securities (continued)

 

3.80%, 10/25/32 (Call 11/25/32)(a)

  $  1,000     $ 968,218  

GS Mortgage Securities Trust

   

Series 2013-GC16, Class AS, 4.65%, 11/10/46
(Call 11/10/23)

    150       148,126  

Series 2013-GC16, Class C, 5.48%, 11/10/46
(Call 11/10/23)(a)

    100       96,441  

Series 2014-GC18, Class AS, 4.38%, 01/10/47
(Call 01/10/24)

    650       633,505  

Series 2014-GC20, Class B, 4.53%, 04/10/47
(Call 04/10/24)(a)

    250       239,954  

Series 2014-GC22, Class AS, 4.11%, 06/10/47
(Call 06/10/24)

    250       242,409  

Series 2014-GC24, Class AAB, 3.65%, 09/10/47
(Call 09/10/24)

    149       147,041  

Series 2014-GC26, Class A5, 3.63%, 11/10/47
(Call 12/10/24)

    1,485       1,429,015  

Series 2015-GC30, Class AAB, 3.12%, 05/10/50
(Call 05/10/25)

    161       157,272  

Series 2015-GC30, Class AS, 3.78%, 05/10/50
(Call 05/10/25)(a)

    500       473,010  

Series 2015-GC32, Class A3, 3.50%, 07/10/48
(Call 07/10/25)

    543       521,142  

Series 2015-GC32, Class C, 4.56%, 07/10/48
(Call 07/10/25)(a)

    804       716,726  

Series 2015-GC34, Class A4, 3.51%, 10/10/48
(Call 10/10/25)

    1,500       1,425,183  

Series 2015-GS1, Class A3, 3.73%, 11/10/48
(Call 11/10/25)

    1,500       1,437,686  

Series 2016-GS2, Class A4, 3.05%, 05/10/49
(Call 05/10/26)

    1,170       1,098,673  

Series 2016-GS3, Class A3, 2.59%, 10/10/49
(Call 10/10/26)

    1,291       1,192,802  

Series 2016-GS3, Class A4, 2.85%, 10/10/49
(Call 10/10/26)

    780       721,891  

Series 2016-GS4, Class A4, 3.44%, 11/10/49
(Call 11/10/26)(a)

    39       36,730  

Series 2017-GS6, Class B, 3.87%, 05/10/50
(Call 05/10/27)

    1,000       861,572  

Series 2017-GS7, Class A3, 3.17%, 08/10/50
(Call 08/10/27)

    1,000       920,085  

Series 2017-GS7, Class B, 3.88%, 08/10/50
(Call 08/10/27)

    500       440,731  

Series 2018-GS9, Class A4, 3.99%, 03/10/51
(Call 03/10/28)(a)

    1,000       951,306  

Series 2019-GC38, Class A4, 3.97%, 02/10/52
(Call 02/10/29)

    750       708,020  

Series 2019-GC40, Class A4, 3.16%, 07/10/52
(Call 07/10/29)

    1,131       1,017,096  

Series 2019-GSA1, Class C, 3.93%, 11/10/52
(Call 11/10/29)(a)

    500       388,344  

Series 2020-GC45, Class A4, 2.66%, 02/13/53
(Call 01/13/30)

    775       671,413  

JP Morgan Chase Commercial Mortgage Securities Trust

   

Series 2015-JP1, Class A4, 3.65%, 01/15/49
(Call 12/15/25)

    1,000       958,466  

Series 2015-JP1, Class AS, 4.12%, 01/15/49
(Call 12/15/25)(a)

    750       703,082  

Series 2016-JP3, Class AS, 3.14%, 08/15/49
(Call 09/15/26)

    1,000       887,153  

Series 2016-JP3, Class B, 3.40%, 08/15/49
(Call 09/15/26)(a)

    108       91,575  

 

 

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

  15


Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® CMBS ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

 

Mortgage-Backed Securities (continued)

 

JPMBB Commercial Mortgage Securities Trust

   

Series 2013-C14, Class B, 4.70%, 08/15/46
(Call 08/15/23)(a)

  $ 500     $ 480,872  

Series 2013-C15, Class C, 5.34%, 11/15/45
(Call 10/15/23)(a)

    110       106,946  

Series 2013-C17, Class C, 5.05%, 01/15/47
(Call 01/15/24)(a)

    100       96,298  

Series 2014-C18, Class B, 4.89%, 02/15/47
(Call 01/15/29)(a)

    225       204,157  

Series 2014-C19, Class C, 4.80%, 04/15/47
(Call 01/15/25)(a)

    200       187,816  

Series 2014-C21, Class ASB, 3.43%, 08/15/47
(Call 07/15/24)

    82       80,887  

Series 2014-C22, Class A4, 3.80%, 09/15/47
(Call 03/15/26)

    1,006       976,051  

Series 2014-C22, Class C, 4.70%, 09/15/47
(Call 03/15/26)(a)

    200       176,515  

Series 2014-C23, Class A5, 3.93%, 09/15/47
(Call 02/15/26)

    1,144       1,111,882  

Series 2014-C25, Class AS, 4.07%, 11/15/47
(Call 11/15/24)

    232       222,318  

Series 2014-C25, Class B, 4.35%, 11/15/47
(Call 11/15/24)(a)

    185       164,935  

Series 2015-C27, Class AS, 3.63%, 02/15/48
(Call 09/15/26)

    500       468,055  

Series 2015-C28, Class A3, 2.91%, 10/15/48
(Call 04/15/25)

    666       635,907  

Series 2015-C29, Class ASB, 3.30%, 05/15/48
(Call 03/15/26)

    191       186,386  

Series 2015-C29, Class B, 4.12%, 05/15/48
(Call 03/15/26)(a)

    250       229,390  

Series 2015-C30, Class AS, 4.23%, 07/15/48
(Call 07/15/25)(a)

    635       597,895  

Series 2015-C31, Class A3, 3.80%, 08/15/48
(Call 08/15/25)

    946       912,728  

Series 2015-C33, Class A4, 3.77%, 12/15/48
(Call 11/15/25)

    1,000       966,011  

Series 2016-C1, Class A5, 3.58%, 03/17/49
(Call 02/15/26)

    822       783,458  

Series 2016-C1, Class B, 4.89%, 03/17/49
(Call 02/15/26)(a)

    450       411,676  

Series 2016-C1, Class C, 4.89%, 03/17/49
(Call 02/15/26)(a)

    400       352,512  

JPMCC Commercial Mortgage Securities Trust

   

Series 2017-JP5, Class AS, 3.88%, 03/15/50
(Call 04/15/27)(a)

    650       603,104  

Series 2017-JP5, Class ASB, 3.55%, 03/15/50
(Call 04/15/27)

    100       96,547  

Series 2017-JP6, Class A5, 3.49%, 07/15/50
(Call 06/15/27)

    300       279,815  

Series 2017-JP6, Class AS, 3.74%, 07/15/50
(Call 06/15/27)

    400       368,369  

Series 2017-JP7, Class A5, 3.45%, 09/15/50
(Call 08/15/27)

    1,000       933,766  

Series 2019-COR5, Class A2, 3.15%, 06/13/52
(Call 06/13/29)

    313       305,277  

Series 2019-COR5, Class A4, 3.39%, 06/13/52
(Call 06/13/29)

    1,200       1,094,899  

JPMDB Commercial Mortgage Securities Trust

   

Series 2016-C2, Class A4, 3.14%, 06/15/49
(Call 05/15/26)

    1,000       941,028  
Security   Par
(000)
    Value  

 

Mortgage-Backed Securities (continued)

 

Series 2016-C2, Class B, 3.99%, 06/15/49
(Call 05/15/26)(a)

  $ 750     $ 640,440  

Series 2017-C5, Class A5, 3.69%, 03/15/50
(Call 04/15/27)

    1,100       1,038,733  

Series 2017-C7, Class A5, 3.41%, 10/15/50
(Call 11/15/27)

    1,050       977,110  

Series 2018-C8, Class A3, 3.94%, 06/15/51
(Call 06/15/28)

    561       536,046  

Series 2019-COR6, Class A4, 3.06%, 11/13/52
(Call 11/13/29)

    955       836,716  

Series 2020-COR7, Class A5, 2.18%, 05/13/53
(Call 04/13/30)

    539       449,913  

JPMorgan Chase Commercial Mortgage Securities Trust

   

Series 2013-C13, Class A4, 3.99%, 01/15/46
(Call 07/15/23)(a)

    57       56,825  

Series 2014-C20, Class B, 4.40%, 07/15/47
(Call 06/15/24)(a)

    100       91,862  

Series 2015-JP1, Class A5, 3.91%, 01/15/49
(Call 12/15/25)

    1,462       1,405,809  

Series 2016-JP2, Class AS, 3.06%, 08/15/49
(Call 07/15/26)

    700       635,787  

Series 2016-JP4, Class A4, 3.65%, 12/15/49
(Call 04/15/27)(a)

    1,090       1,032,931  

Morgan Stanley Bank of America Merrill Lynch Trust
2.60%, 09/15/49 (Call 10/15/26)

    737       681,195  

Series 2013-C11, Class A3, 3.96%, 08/15/46
(Call 08/15/23)

    196       195,578  

Series 2013-C13, Class C, 5.05%, 11/15/46
(Call 11/15/28)(a)

    230       223,987  

Series 2014-C14, Class B, 5.04%, 02/15/47
(Call 02/15/24)(a)

    200       196,391  

Series 2014-C15, Class ASB, 3.65%, 04/15/47
(Call 04/15/24)

    40       39,209  

Series 2014-C18, Class A3, 3.65%, 10/15/47
(Call 07/15/26)

    329       319,865  

Series 2014-C18, Class A4, 3.92%, 10/15/47
(Call 07/15/26)

    1,150       1,117,555  

Series 2015-C20, Class AS, 3.61%, 02/15/48
(Call 11/15/26)

    500       474,408  

Series 2015-C21, Class A4, 3.34%, 03/15/48
(Call 03/15/31)

    901       863,620  

Series 2015-C22, Class A4, 3.31%, 04/15/48
(Call 04/15/25)

    1,000       956,429  

Series 2015-C22, Class C, 4.34%, 04/15/48
(Call 04/15/25)(a)

    250       218,631  

Series 2015-C23, Class A3, 3.45%, 07/15/50
(Call 06/15/25)

    717       687,679  

Series 2015-C23, Class A4, 3.72%, 07/15/50
(Call 06/15/25)

    1,000       962,285  

Series 2015-C24, Class A3, 3.48%, 05/15/48
(Call 08/15/25)

    308       295,476  

Series 2015-C24, Class A4, 3.73%, 05/15/48
(Call 08/15/25)

    950       914,543  

Series 2015-C25, Class ASB, 3.38%, 10/15/48
(Call 09/15/25)

    260       251,917  

Series 2016-C28, Class A4, 3.54%, 01/15/49
(Call 02/15/28)

    1,000       952,453  

Series 2016-C30, Class A5, 2.86%, 09/15/49
(Call 10/15/26)

    500       462,780  

Series 2016-C31, Class A5, 3.10%, 11/15/49
(Call 11/15/26)

    1,250       1,164,081  

Series 2016-C32, Class A4, 3.72%, 12/15/49
(Call 01/15/27)

    1,000       948,532  

 

 

16  

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



Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® CMBS ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

 

Mortgage-Backed Securities (continued)

 

Series 2016-C32, Class ASB, 3.51%, 12/15/49
(Call 01/15/27)

  $ 233     $ 224,477  

Series 2017-C33, Class A5, 3.60%, 05/15/50
(Call 05/15/27)

    1,100       1,035,970  

Series 2017-C34, Class A4, 3.54%, 11/15/52
(Call 10/15/27)

    1,000       934,926  

Series 2017-C34, Class AS, 3.86%, 11/15/52
(Call 10/15/27)

    500       455,147  

Morgan Stanley Capital I Trust

   

Series 2015-MS1, Class A4, 3.78%, 05/15/48
(Call 07/15/25)(a)

    500       482,006  

Series 2015-UBS8, Class AS, 4.11%, 12/15/48
(Call 12/15/25)

    250       229,767  

Series 2016-UB11, Class A4, 2.78%, 08/15/49
(Call 08/15/26)

    1,275       1,177,199  

Series 2016-UB12, Class A3, 3.34%, 12/15/49
(Call 12/15/26)

    983       925,541  

Series 2016-UB12, Class A4, 3.60%, 12/15/49
(Call 12/15/26)

    1,500       1,417,030  

Series 2017-H1, Class A5, 3.53%, 06/15/50
(Call 06/15/27)

    1,000       934,607  

Series 2018-H3, Class A4, 3.91%, 07/15/51
(Call 07/15/28)

    500       474,513  

Series 2019-H7, Class A4, 3.26%, 07/15/52
(Call 07/15/29)

    1,000       902,699  

Series 2020-HR8, Class A4, 2.04%, 07/15/53
(Call 08/15/30)

    1,120       920,661  

Series 2020-L4, Class A3, 2.70%, 02/15/53
(Call 02/15/30)

    1,500       1,296,735  

Series 2021-L5, Class ASB, 2.43%, 05/15/54
(Call 05/15/31)

    145       127,058  

Series 2021-L6, Class A2, 2.13%, 06/15/54
(Call 07/15/31)(a)

    1,500       1,349,668  

Series 2021-L7, Class A5, 2.57%, 10/15/54
(Call 10/15/31)

    2,000       1,665,359  

SG Commercial Mortgage Securities Trust, Series 2016-C5, Class A4, 3.06%, 10/10/48
(Call 07/10/26)

    1,000       923,402  

UBS Commercial Mortgage Trust

   

Series 2017-C2, Class A4, 3.49%, 08/15/50
(Call 08/15/27)

    1,000       935,459  

Series 2017-C6, Class AS, 3.93%, 12/15/50
(Call 12/15/27)(a)

    500       459,633  

Series 2017-C7, Class A4, 3.68%, 12/15/50
(Call 01/15/33)

    1,000       934,856  

Series 2018-C08, Class A4, 3.98%, 02/15/51
(Call 02/15/28)

    1,325       1,259,262  

Series 2018-C15, Class B, 4.92%, 12/15/51
(Call 01/15/29)(a)

    750       686,909  

Series 2019-C16, Class AS, 3.89%, 04/15/52
(Call 04/15/29)

    1,592       1,396,418  

Series 2019-C17, Class A4, 2.92%, 10/15/52
(Call 10/15/29)

    1,000       882,577  

Wells Fargo Commercial Mortgage Trust
2.65%, 08/15/49 (Call 08/15/26)

    1,000       921,416  

2.96%, 10/15/52 (Call 10/15/29)

    900       836,483  

4.00%, 04/15/55 (Call 04/15/32)(a)

    500       463,442  

4.15%, 08/15/51 (Call 08/15/28)

    623       596,399  

Series 2013-LC12, Class AS, 4.43%, 07/15/46
(Call 07/15/23)(a)

    473       457,803  

Series 2015-C26, Class AS, 3.58%, 02/15/48
(Call 02/15/25)

    820       779,511  

Series 2015-C27, Class A5, 3.45%, 02/15/48
(Call 03/15/25)

    1,000       960,178  

Series 2015-C27, Class B, 4.14%, 02/15/48
(Call 03/15/25)(a)

    330       272,313  

Series 2015-C28, Class A4, 3.54%, 05/15/48
(Call 05/15/25)

    500       479,901  
Security   Par
(000)
    Value  

 

Mortgage-Backed Securities (continued)

 

Series 2015-C28, Class AS, 3.87%, 05/15/48
(Call 05/15/25)(a)

  $ 250     $ 238,004  

Series 2015-C30, Class A4, 3.66%, 09/15/58
(Call 08/15/25)

    1,817       1,745,410  

Series 2015-C30, Class ASB, 3.41%, 09/15/58
(Call 08/15/25)

    215       209,832  

Series 2015-C31, Class A4, 3.70%, 11/15/48
(Call 11/15/25)

    500       479,189  

Series 2015-C31, Class B, 4.48%, 11/15/48
(Call 11/15/25)(a)

    1,000       904,193  

Series 2015-C31, Class C, 4.75%, 11/15/48
(Call 11/15/25)(a)

    450       400,105  

Series 2015-LC20, Class B, 3.72%, 04/15/50
(Call 04/15/25)

    750       693,428  

Series 2015-LC22, Class A4, 3.84%, 09/15/58
(Call 09/15/25)

    1,000       962,674  

Series 2015-NXS2, Class A5, 3.77%, 07/15/58
(Call 07/15/25)(a)

    750       722,626  

Series 2016-C32, Class ASB, 3.32%, 01/15/59
(Call 01/15/26)

    587       569,567  

Series 2016-C33, Class A4, 3.43%, 03/15/59
(Call 04/15/26)

    1,000       948,792  

Series 2016-C34, Class A4, 3.10%, 06/15/49
(Call 05/15/26)

    1,000       939,358  

Series 2016-C36, Class AS, 3.42%, 11/15/59
(Call 10/15/26)

    500       447,929  

Series 2016-LC24, Class A4, 2.94%, 10/15/49
(Call 09/15/26)

    1,680       1,561,290  

Series 2016-LC25, Class B, 4.49%, 12/15/59
(Call 11/15/26)(a)

    198       177,391  

Series 2016-NXS4, Class A4, 3.72%, 12/15/48
(Call 11/15/25)

    1,920       1,841,322  

Series 2016-NXS6, Class B, 3.81%, 11/15/49
(Call 10/15/26)

    500       437,392  

Series 2017-C38, Class A4, 3.19%, 07/15/50
(Call 06/15/27)

    483       449,691  

Series 2017-C38, Class A5, 3.45%, 07/15/50
(Call 06/15/27)

    1,000       933,917  

Series 2017-C39, Class A5, 3.42%, 09/15/50
(Call 08/15/27)

    2,500       2,330,740  

Series 2017-C39, Class ASB, 3.21%, 09/15/50
(Call 08/15/27)

    842       807,900  

Series 2017-C39, Class C, 4.12%, 09/15/50
(Call 08/15/27)

    500       423,143  

Series 2017-C42, Class A4, 3.59%, 12/15/50
(Call 12/15/27)

    1,250       1,159,278  

Series 2017-C42, Class B, 4.00%, 12/15/50
(Call 12/15/27)(a)

    500       441,501  

Series 2018-C44, Class A4, 3.95%, 05/15/51
(Call 05/15/28)

    1,250       1,186,688  

Series 2018-C45, Class AS, 4.41%, 06/15/51
(Call 07/15/28)(a)

    350       327,945  

Series 2018-C46, Class AS, 4.38%, 08/15/51
(Call 08/15/28)

    500       466,398  

Series 2018-C47, Class A4, 4.44%, 09/15/61
(Call 10/15/28)

    1,250       1,213,073  

Series 2018-C48, Class A5, 4.30%, 01/15/52
(Call 12/15/28)

    1,010       972,031  

Series 2019-C49, Class A5, 4.02%, 03/15/52
(Call 02/15/29)

    1,625       1,539,660  

 

 

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

  17


Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® CMBS ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

 

Mortgage-Backed Securities (continued)

 

Series 2019-C49, Class C, 4.87%, 03/15/52
(Call 02/15/29)(a)

  $ 665     $ 560,989  

Series 2019-C50, Class A5, 3.73%, 05/15/52
(Call 05/15/29)

    750       697,436  

Series 2019-C50, Class AS, 4.02%, 05/15/52
(Call 05/15/29)

    1,000       899,318  

Series 2019-C51, Class AS, 3.58%, 06/15/52
(Call 06/15/29)

    492       433,470  

Series 2019-C53, Class A4, 3.04%, 10/15/52
(Call 10/15/29)

    1,400       1,242,508  

Series 2020-C55, Class A5, 2.73%, 02/15/53
(Call 02/15/30)

    1,000       866,549  

Series 2020-C56, Class ASB, 2.42%, 06/15/53
(Call 04/15/30)

    500       446,658  

Series 2020-C56, Class B, 3.86%, 06/15/53
(Call 04/15/30)(a)

    345       275,014  

Series 2020-C56, Class C, 3.86%, 06/15/53
(Call 04/15/30)(a)

    800       570,741  

Series 2020-C57, Class A4, 2.12%, 08/15/53
(Call 08/15/30)

    919       763,012  

Series 2020-C58, Class A4, 2.10%, 07/15/53
(Call 12/15/30)

    1,000       815,301  

Series 2021-C59, Class A5, 2.63%, 04/15/54
(Call 04/15/31)

    2,000       1,682,680  

Series 2021-C59, Class ASB, 2.30%, 04/15/54
(Call 04/15/31)

    459       409,222  

WFRBS Commercial Mortgage Trust

   

Series 2012-C10, Class AS, 3.24%, 12/15/45
(Call 05/15/23)

    70       66,339  

Series 2013-C13, Class C, 3.91%, 05/15/45
(Call 05/15/23)(a)

    110       106,828  

Series 2013-C14, Class B, 3.84%, 06/15/46
(Call 06/15/23)(a)

    500       431,155  

Series 2014-C19, Class B, 4.72%, 03/15/47
(Call 03/15/24)(a)

    300       289,438  

Series 2014-C22, Class A4, 3.49%, 09/15/57
(Call 09/15/24)

    909       880,694  

Series 2014-C22, Class A5, 3.75%, 09/15/57
(Call 09/15/24)

    400       386,557  

Series 2014-C22, Class AS, 4.07%, 09/15/57
(Call 09/15/24)(a)

    480       456,208  

Series 2014-C24, Class A5, 3.61%, 11/15/47
(Call 11/15/24)

    100       96,474  

Series 2014-C25, Class A5, 3.63%, 11/15/47
(Call 12/15/24)

    1,050       1,014,227  

Series 2014-LC14, Class A5, 4.05%, 03/15/47
(Call 02/15/24)

    950       938,165  
   

 

 

 
      298,746,085  
   

 

 

 

Total Collaterized Mortgage Obligations — 58.6%
(Cost: $336,720,839)

 

    298,746,085  
   

 

 

 

U.S. Government Agency Obligations

 

Mortgage-Backed Securities — 41.0%

 

Federal National Mortgage Association

   

Series 2013-M6, Class 1A2, 3.45%, 02/25/43(a)

    292       281,306  

Series 2014-M11, Class 1A, 3.19%, 08/25/24(a)

    437       428,406  

Series 2014-M11, Class 2A, 3.40%, 08/25/26(a)

    554       538,660  

Series 2014-M13, Class A2, 3.02%, 08/25/24(a)

    95       92,884  
Security   Par
(000)
    Value  

 

Mortgage-Backed Securities (continued)

 

Series 2014-M3, Class A2, 3.50%, 01/25/24(a)

  $ 195     $ 192,459  

Series 2014-M4, Class A2, 3.35%, 03/25/24(a)

    286       283,863  

Series 2015-M1, Class A2, 2.53%, 09/25/24

    499       486,211  

Series 2015-M11, Class A2, 2.95%, 04/25/25(a)

    714       693,344  

Series 2015-M13, Class A2, 2.79%, 06/25/25(a)

    676       652,766  

Series 2015-M2, Class A, 2.62%, 12/25/24

    320       310,556  

Series 2015-M8, Class A2, 2.90%, 01/25/25(a)

    1,080       1,052,041  

Series 2016-M6, Class A2, 2.49%, 05/25/26

    272       258,209  

Series 2016-M9, Class A2, 2.29%, 06/25/26

    1,960       1,852,615  

Series 2017, Class A2, 3.06%, 09/25/27(a)

    928       888,653  

Series 2017-M11, Class A2, 2.98%, 08/25/29

    999       936,921  

Series 2017-M15, Class AV2, 2.65%, 11/25/24(a)

    594       580,303  

Series 2017-M3, Class A2, 2.55%, 12/25/26(a)

    641       605,766  

Series 2017-M4, Class A2, 2.64%, 12/25/26(a)

    707       669,627  

Series 2017-M7, Class A2, 2.96%, 02/25/27(a)

    889       852,173  

Series 2017-M8, Class A2, 3.06%, 05/25/27(a)

    2,018       1,938,118  

Series 2018-M1, Class A2, 3.09%, 12/25/27(a)

    705       673,777  

Series 2018-M10, Class A2, 3.47%, 07/25/28(a)

    2,382       2,308,118  

Series 2018-M13, Class A2, 3.87%, 09/25/30(a)

    79       77,434  

Series 2018-M7, Class A2, 3.13%, 03/25/28(a)

    735       702,990  

Series 2019-M1, Class A2, 3.67%, 09/25/28(a)

    2,645       2,577,337  

Series 2019-M2, Class A2, 3.75%, 11/25/28(a)

    1,824       1,782,501  

Series 2019-M4, Class A2, 3.61%, 02/25/31

    1,223       1,176,481  

Series 2019-M5, Class A2, 3.27%, 02/25/29

    2,412       2,307,679  

Series 2019-M7, Class A2, 3.14%, 04/25/29

    2,489       2,357,850  

Series 2019-M9, Class A2, 2.94%, 06/25/29

    3,179       2,988,564  

Series 2020-M5, Class A2, 2.21%, 01/25/30

    2,312       2,059,261  

Series 2021-M17, Class A2, 1.71%, 07/25/31(a)

    2,000       1,654,420  

Series 2022-M1, Class A2, 1.72%, 10/25/31(a)

    2,000       1,638,393  

Freddie Mac Multifamily Structured Pass Through Certificates

   

1.31%, 05/25/30 (Call 06/25/30)

    1,000       826,924  

2.03%, 09/25/28 (Call 10/25/28)

    1,150       1,032,177  

2.12%, 03/25/29 (Call 09/25/29)(a)

    1,000       895,682  

2.25%, 01/25/32 (Call 02/25/32)

    165       141,614  

2.45%, 04/25/32 (Call 05/25/32)

    1,000       870,055  

2.92%, 06/25/32 (Call 07/25/32)

    2,650       2,394,354  

3.00%, 06/25/32 (Call 06/25/32)(a)

    2,500       2,273,069  

3.50%, 07/25/32 (Call 08/25/32)(a)

    2,000       1,892,642  

Class A1, 2.55%, 05/25/31 (Call 02/25/32)

    2,245       2,060,596  

Class A2, 2.25%, 02/25/32 (Call 02/25/32)

    2,500       2,145,281  

Series K039, Class A2, 3.30%, 07/25/24
(Call 08/25/24)

    263       257,428  

Series K040, Class A2, 3.24%, 09/25/24
(Call 10/25/24)

    620       605,226  

Series K041, Class A2, 3.17%, 10/25/24
(Call 11/25/24)

    1,250       1,220,792  

Series K043, Class A2, 3.06%, 12/25/24
(Call 01/25/25)

    1,000       974,234  

Series K044, Class A2, 2.81%, 01/25/25
(Call 01/25/25)

    823       798,186  

Series K046, Class A2, 3.21%, 03/25/25
(Call 04/25/25)

    1,785       1,738,640  

Series K047, Class A2, 3.33%, 05/25/25
(Call 05/25/25)(a)

    2,000       1,952,175  

Series K048, Class A1, 2.69%, 12/25/24
(Call 08/25/25)

    131       127,768  

Series K048, Class A2, 3.28%, 06/25/25
(Call 08/25/25)(a)

    1,000       975,367  

Series K049, Class A2, 3.01%, 07/25/25
(Call 08/25/25)

    1,800       1,745,171  

Series K050, Class A2, 3.33%, 08/25/25
(Call 10/25/25)(a)

    2,000       1,950,818  

Series K051, Class A2, 3.31%, 09/25/25
(Call 10/25/25)

    630       613,965  

Series K052, Class A2, 3.15%, 11/25/25
(Call 01/25/26)

    1,800       1,747,171  

Series K054, Class A2, 2.75%, 01/25/26
(Call 02/25/26)

    700       671,925  

Series K055, Class A2, 2.67%, 03/25/26
(Call 04/25/26)

    500       478,394  

Series K056, Class A1, 2.20%, 07/25/25
(Call 06/25/26)

    119       115,196  

Series K057, Class A2, 2.57%, 07/25/26
(Call 08/25/26)

    725       690,261  

Series K058, Class A2, 2.65%, 08/25/26
(Call 09/25/26)

    1,527       1,453,272  

Series K059, Class A2, 3.12%, 09/25/26
(Call 10/25/26)(a)

    1,780       1,718,574  

Series K060, Class A2, 3.30%, 10/25/26
(Call 12/25/26)

    1,046       1,015,075  

 

 

18  

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


Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® CMBS ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

 

Mortgage-Backed Securities (continued)

 

Series K061, Class A2, 3.35%, 11/25/26
(Call 12/25/26)(a)

  $ 1,300     $ 1,263,233  

Series K062, Class A2, 3.41%, 12/25/26
(Call 01/25/27)

    1,000       972,897  

Series K063, Class A2, 3.43%, 01/25/27
(Call 02/25/27)(a)

    1,345       1,309,299  

Series K064, Class A1, 2.89%, 10/25/26
(Call 05/25/27)

    581       562,832  

Series K064, Class A2, 3.22%, 03/25/27
(Call 05/25/27)

    325       313,896  

Series K065, Class A2, 3.24%, 04/25/27
(Call 07/25/27)

    1,285       1,241,185  

Series K067, Class A1, 2.90%, 03/25/27
(Call 09/25/27)

    675       656,310  

Series K067, Class A2, 3.19%, 07/25/27
(Call 09/25/27)

    1,600       1,540,400  

Series K068, Class A2, 3.24%, 08/25/27
(Call 10/25/27)

    1,397       1,346,801  

Series K069, Class A2, 3.19%, 09/25/27
(Call 10/25/27)(a)

    1,000       961,810  

Series K070, Class A2, 3.30%, 11/25/27
(Call 12/25/27)(a)

    1,541       1,487,875  

Series K071, Class A2, 3.29%, 11/25/27
(Call 02/25/28)

    1,500       1,447,054  

Series K073, Class A2, 3.35%, 01/25/28
(Call 10/25/28)

    1,000       966,750  

Series K074, Class A1, 3.60%, 09/25/27
(Call 07/25/28)

    430       421,204  

Series K075, Class A2, 3.65%, 02/25/28
(Call 05/25/28)(a)

    1,000       978,988  

Series K076, Class A1, 3.73%, 12/25/27
(Call 05/25/28)

    945       929,350  

Series K077, Class A2, 3.85%, 05/25/28
(Call 05/25/28)(a)

    1,000       987,690  

Series K078, Class A2, 3.85%, 06/25/28
(Call 10/25/28)

    1,640       1,620,212  

Series K079, Class A2, 3.93%, 06/25/28
(Call 07/25/28)

    2,100       2,081,319  

Series K080, Class A2, 3.93%, 07/25/28
(Call 08/25/28)(a)

    1,700       1,684,836  

Series K081, Class A2, 3.90%, 08/25/28
(Call 12/25/28)(a)

    1,500       1,484,708  

Series K082, Class A2, 3.92%, 09/25/28
(Call 10/25/28)(a)

    2,310       2,287,597  

Series K083, Class A2, 4.05%, 09/25/28
(Call 10/25/28)(a)

    1,100       1,096,104  

Series K084, Class A2, 3.78%, 10/25/28
(Call 11/25/28)(a)

    1,000       979,277  

Series K085, Class A2, 4.06%, 10/25/28
(Call 11/25/28)(a)

    2,000       1,985,289  

Series K086, Class A2, 3.86%, 11/25/28
(Call 11/25/28)(a)

    1,725       1,702,212  

Series K087, Class A2, 3.77%, 12/25/28
(Call 01/25/29)

    1,571       1,543,357  

Series K088, Class A1, 3.48%, 09/25/28
(Call 04/25/29)

    306       299,535  

Series K088, Class A2, 3.69%, 01/25/29
(Call 04/25/29)

    2,010       1,965,363  

Series K089, Class A1, 3.34%, 10/25/28
(Call 04/25/29)

    2,213       2,152,836  

Series K089, Class A2, 3.56%, 01/25/29
(Call 04/25/29)

    1,400       1,359,899  

Series K090, Class A2, 3.42%, 02/25/29
(Call 10/25/29)

    1,000       963,984  

Series K091, Class A2, 3.51%, 03/25/29
(Call 10/25/29)

    2,017       1,952,604  

Series K092, Class A2, 3.30%, 04/25/29
(Call 07/25/29)

    1,010       965,905  

Series K094, Class A2, 2.90%, 06/25/29
(Call 11/25/29)

    420       392,181  

Series K095, Class A2, 2.79%, 06/25/29
(Call 01/25/30)

    675       626,058  

Series K096, Class A2, 2.52%, 07/25/29
(Call 07/25/29)

    1,215       1,108,100  

Series K097, Class A1, 2.16%, 05/25/29
(Call 12/25/29)

    949       883,297  

Series K098, Class A2, 2.43%, 08/25/29
(Call 08/25/29)

    500       452,776  

Series K100, Class A2, 2.67%, 09/25/29
(Call 10/25/29)

    1,000       917,203  

Series K101, Class A2, 2.52%, 10/25/29
(Call 01/25/30)

    250       227,032  

Series K102, Class A1, 2.18%, 05/25/29
(Call 04/25/30)

    925       860,798  

Series K103, Class A2, 2.65%, 11/25/29
(Call 06/25/30)

    1,220       1,115,271  

Series K104, Class A2, 2.25%, 01/25/30
(Call 07/25/30)

    2,005       1,784,763  

Series K105, Class A2, 1.87%, 01/25/30
(Call 06/25/30)

    1,485       1,287,371  

Series K106, Class A1, 1.78%, 10/25/29
(Call 02/25/30)

    1,446       1,305,375  

Series K106, Class A2, 2.07%, 01/25/30
(Call 02/25/30)

    2,250       1,975,060  

Series K107, Class A2, 1.64%, 01/25/30
(Call 02/25/30)

    1,250       1,068,270  

Series K108, Class A2, 1.52%, 03/25/30
(Call 03/25/30)

    2,153       1,819,287  

Series K109, Class A2, 1.56%, 04/25/30
(Call 04/25/30)

    3,000       2,534,281  

Series K110, Class A1, 1.02%, 09/25/29
(Call 05/25/30)

    971       842,321  

Series K110, Class A2, 1.48%, 04/25/30
(Call 05/25/30)

    1,640       1,379,213  

Series K111, Class A2, 1.35%, 05/25/30
(Call 07/25/30)

    1,500       1,245,389  

Series K114, Class A2, 1.37%, 06/25/30
(Call 06/25/30)

    760       628,974  

Series K115, Class A2, 1.38%, 06/25/30
(Call 07/25/30)

    2,500       2,071,587  

Series K116, Class A2, 1.38%, 07/25/30
(Call 09/25/30)

    2,000       1,653,350  

Series K117, Class A2, 1.41%, 08/25/30
(Call 10/25/30)

    1,500       1,240,020  

Series K118, Class A1, 0.79%, 03/25/30
(Call 09/25/30)

    1,881       1,624,695  

Series K118, Class A2, 1.49%, 09/25/30
(Call 09/25/30)

    2,500       2,076,659  

Series K119, Class A2, 1.57%, 09/25/30
(Call 10/25/30)

    1,000       834,632  
Security   Par
(000)
    Value  

 

Mortgage-Backed Securities (continued)

 

Series K120, Class A2, 1.50%, 10/25/30
(Call 10/25/30)

  $ 3,200     $ 2,651,724  

Series K121, Class A2, 1.55%, 10/25/30
(Call 03/25/31)

    1,500       1,246,280  

Series K123, Class A2, 1.62%, 12/25/30
(Call 01/25/31)

    600       500,439  

Series K124, Class A2, 1.66%, 12/25/30
(Call 01/25/31)

    2,300       1,921,119  

Series K125, Class A2, 1.85%, 01/25/31
(Call 01/25/31)

    2,000       1,692,847  

Series K126, Class A2, 2.07%, 01/25/31
(Call 05/25/31)

    2,616       2,253,574  

Series K127, Class A2, 2.11%, 01/25/31
(Call 02/25/31)

    2,740       2,364,158  

Series K128, Class A2, 2.02%, 03/25/31
(Call 03/25/31)

    1,000       856,823  

Series K130, Class A2, 1.72%, 06/25/31
(Call 07/25/31)

    2,500       2,080,277  

Series K131, Class A2, 1.85%, 07/25/31
(Call 09/25/31)

    1,000       839,794  

Series K132, Class A2, 2.02%, 08/25/31
(Call 12/25/31)

    1,000       847,753  

Series K133, Class A2, 2.10%, 09/25/31
(Call 10/25/31)

    1,000       851,749  

Series K135, Class A1, 1.61%, 10/25/30
(Call 11/25/31)

    1,203       1,057,840  

Series K135, CLASS A2, 2.15%, 10/25/31
(Call 11/25/31)(a)

    2,800       2,395,045  

Series K136, Class A2, 2.13%, 11/25/31
(Call 12/25/31)

    2,000       1,704,138  

Series K139, Class A2, 2.59%, 01/25/32
(Call 02/25/32)(a)

    2,000       1,766,201  

Series K142, Class A2, 2.40%, 03/25/32
(Call 03/25/32)

    1,000       867,649  

Series K150, 3.71%, 09/25/32
(Call 10/25/32)(a)

    2,000       1,923,520  

Series K1510, Class A2, 3.72%, 01/25/31
(Call 01/25/34)

    250       242,197  

Series K1510, Class A3, 3.79%, 01/25/34
(Call 01/25/34)

    500       479,771  

Series K-1511, Class A2, 3.47%, 03/25/31
(Call 04/25/34)

    1,000       950,500  

Series K-1512, Class A2, 2.99%, 05/25/31
(Call 10/25/34)

    730       672,203  

Series K-1512, Class A3, 3.06%, 04/25/34
(Call 10/25/34)

    450       400,418  

Series K-1513, Class A3, 2.80%, 08/25/34
(Call 12/25/34)

    1,015       877,945  

Series K-1514, Class A2, 2.86%, 10/25/34
(Call 10/25/34)

    1,000       862,758  

Series K-1516, Class A2, 1.72%, 05/25/35
(Call 10/25/35)

    1,825       1,386,436  

Series K-1517, Class A2, 1.72%, 07/25/35
(Call 08/25/35)

    500       382,229  

Series K-1518, Class A2, 1.86%, 10/25/35
(Call 10/25/35)

    1,500       1,150,475  

Series K152, Class A1, 2.83%, 05/25/30
(Call 04/25/31)

    1,100       1,041,586  

Series K152, Class A2, 3.08%, 01/25/31
(Call 04/25/31)

    250       232,417  

Series K-1520, Class A2, 2.44%, 02/25/36
(Call 04/25/36)

    1,000       813,276  

Series K-1521, Class A2, 2.18%, 08/25/36
(Call 09/25/36)

    1,000       782,276  

Series K153, Class A3, 3.12%, 10/25/31
(Call 02/25/32)(a)

    500       462,400  

Series K154, Class A3, 3.46%, 11/25/32
(Call 12/25/32)

    1,345       1,266,927  

Series K155, Class A1, 3.75%, 11/25/29
(Call 05/25/33)

    453       445,583  

Series K156, Class A3, 3.70%, 06/25/33
(Call 07/25/33)(a)

    500       479,298  

Series K157, Class A2, 3.99%, 05/25/33
(Call 09/25/33)(a)

    1,826       1,809,508  

Series K159, Class A1, 3.95%, 12/25/29
(Call 11/25/33)

    1,468       1,452,431  

Series K159, Class A2, 3.95%, 11/25/30
(Call 11/25/33)(a)

    833       821,478  

Series K159, Class A3, 3.95%, 11/25/33
(Call 11/25/33)(a)

    1,000       974,621  

Series K727, Class A2, 2.95%, 07/25/24
(Call 10/25/24)

    858       840,767  

Series K728, Class A2, 3.06%, 08/25/24
(Call 11/25/24)(a)

    970       949,499  

Series K729, Class A1, 2.95%, 02/25/24
(Call 11/25/24)

    67       67,470  

Series K729, Class A2, 3.14%, 10/25/24
(Call 11/25/24)

    1,250       1,221,277  

Series K730, Class A2, 3.59%, 01/25/25
(Call 02/25/25)(a)

    1,920       1,881,930  

Series K731, Class A2, 3.60%, 02/25/25
(Call 05/25/25)(a)

    937       918,566  

Series K734, Class A2, 3.21%, 02/25/26
(Call 07/25/26)

    1,000       969,790  

Series K735, Class A2, 2.86%, 05/25/26
(Call 06/25/26)

    495       475,323  

Series K737, Class AM, 2.10%, 10/25/26
(Call 12/25/26)

    300       278,575  

Series K739, Class A2, 1.34%, 09/25/27
(Call 09/25/27)

    2,150       1,919,496  

Series K740, Class A2, 1.47%, 09/25/27
(Call 10/25/27)

    2,400       2,143,309  

Series K741, Class A2, 1.60%, 12/25/27
(Call 12/25/27)

    1,120       1,001,563  

Series K742, Class A2, 1.76%, 03/25/28
(Call 04/25/28)

    1,000       896,982  

Series K742, Class AM, 1.37%, 04/25/28
(Call 04/25/28)

    1,400       1,219,779  

Series K745, Class A2, 1.66%, 08/25/28
(Call 09/25/28)

    1,000       881,670  

 

 

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

  19


Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® CMBS ETF

(Percentages shown are based on Net Assets)

 

Security   Par/
Shares
(000)
    Value  

Mortgage-Backed Securities (continued)

   

Series KS03, Class A4, 3.16%, 05/25/25
(Call 08/25/25)(a)

  $   1,000     $ 974,699  
   

 

 

 
      209,196,650  
   

 

 

 

Total U.S. Government Agency Obligations — 41.0%
(Cost: $230,119,908)

 

    209,196,650  
   

 

 

 

Total Long-Term Investments — 99.6%
(Cost: $566,840,747)

      507,942,735  
   

 

 

 

Short-Term Securities

 

Money Market Funds — 0.5%  

BlackRock Cash Funds: Treasury, SL Agency Shares, 4.75%(b)(c)

    2,380       2,380,000  
   

 

 

 

Total Short-Term Securities — 0.5%
(Cost: $2,380,000)

      2,380,000  
   

 

 

 

Total Investments — 100.1%
(Cost: $569,220,747)

      510,322,735  

Liabilities in Excess of Other Assets — (0.1)%

 

    (473,079
   

 

 

 

Net Assets — 100.0%

    $   509,849,656  
   

 

 

 

 

 

 

(a) 

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

(b) 

Affiliate of the Fund.

(c) 

Annualized 7-day yield as of period end.

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended April 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                   
Affiliated Issuer    Value at
10/31/22
     Purchases
at Cost
     Proceeds
from Sale
     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
04/30/23
     Shares
Held at
04/30/23
(000)
     Income      Capital Gain
Distributions from
Underlying Funds
 

BlackRock Cash Funds: Treasury, SL Agency Shares

   $ 1,600,000      $ 780,000 (a)     $      $      $      $ 2,380,000        2,380      $ 53,810      $ 1  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

(a) 

Represents net amount purchased (sold).

 

Fair Value Hierarchy as of Period End

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

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

 

         
      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Collaterized Mortgage Obligations

   $        $ 298,746,085        $        $ 298,746,085  

U.S. Government Agency Obligations

              209,196,650                   209,196,650  

Short-Term Securities

                 

Money Market Funds

     2,380,000                            2,380,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $     2,380,000        $ 507,942,735        $             —        $ 510,322,735  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

20  

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


Schedule of Investments (unaudited)

April 30, 2023

  

iShares® GNMA Bond ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

U.S. Government Agency Obligations

   

Mortgage-Backed Securities — 100.5%

   

Government National Mortgage Association

   

1.50%, 10/20/51

  $ 444     $ 357,519  

2.00%, 07/20/50

    40       34,363  

2.00%, 08/20/50

    812       697,901  

2.00%, 09/20/50

    7,477       6,427,231  

2.00%, 01/20/51

    2,233       1,916,899  

2.00%, 02/20/51

    13,950       11,988,293  

2.00%, 03/20/51

    6,803       5,836,807  

2.00%, 10/20/51

    2,065       1,767,857  

2.00%, 12/20/51

    29,475       25,223,581  

2.00%, 01/20/52

    6,827       5,847,683  

2.00%, 04/20/52

    1,390       1,188,585  

2.00%, 05/20/52

    988       844,832  

2.50%, 01/15/28

    3       3,371  

2.50%, 02/20/28

    5       4,720  

2.50%, 01/20/31

    87       82,665  

2.50%, 07/20/35

    1,321       1,226,400  

2.50%, 04/20/43

    13       12,064  

2.50%, 12/20/46

    1,233       1,108,500  

2.50%, 01/20/47

    119       106,871  

2.50%, 06/20/50

    3,300       2,921,216  

2.50%, 08/20/50

    10,780       9,542,547  

2.50%, 09/20/50

    3,969       3,513,040  

2.50%, 01/20/51

    3,425       3,043,060  

2.50%, 02/20/51

    3,910       3,469,779  

2.50%, 05/20/51

    9,982       8,849,502  

2.50%, 07/20/51

    14,077       12,470,963  

2.50%, 08/20/51

    10,433       9,239,469  

2.50%, 09/20/51

    6,203       5,491,520  

2.50%, 12/20/51

    6,477       5,729,526  

2.50%, 02/20/52

    1,872       1,655,104  

2.50%, 05/18/53(a)

    500       441,748  

3.00%, 07/15/27

    3       2,725  

3.00%, 09/15/27

    6       5,356  

3.00%, 01/20/31

    109       104,464  

3.00%, 07/20/31

    173       166,028  

3.00%, 02/20/32

    137       131,115  

3.00%, 09/15/42

    5       4,525  

3.00%, 10/15/42

    34       31,624  

3.00%, 01/20/43

    324       302,423  

3.00%, 07/15/43

    57       53,219  

3.00%, 09/20/43

    671       625,808  

3.00%, 01/15/44

    1,816       1,686,253  

3.00%, 08/20/44

    374       348,797  

3.00%, 05/20/45

    265       246,425  

3.00%, 07/20/45

    73       68,137  

3.00%, 10/20/45

    118       109,656  

3.00%, 12/20/45

    1,469       1,365,185  

3.00%, 01/20/46

    474       440,811  

3.00%, 02/20/46

    493       458,334  

3.00%, 03/20/46

    1,826       1,695,063  

3.00%, 04/20/46

    1,211       1,123,893  

3.00%, 05/20/46

    1,538       1,430,253  

3.00%, 06/20/46

    543       504,742  

3.00%, 08/20/46

    3,547       3,291,908  

3.00%, 09/20/46

    2,335       2,166,975  

3.00%, 12/15/46

    135       124,904  

3.00%, 12/20/46

    408       378,779  
Security   Par
(000)
    Value  

Mortgage-Backed Securities (continued)

   

3.00%, 02/15/47

  $ 162     $ 148,833  

3.00%, 02/20/47

    461       427,567  

3.00%, 06/20/47

    54       50,188  

3.00%, 07/20/47

    928       859,726  

3.00%, 10/20/47

    305       282,285  

3.00%, 02/20/48

    43       39,538  

3.00%, 04/20/49

    1,884       1,746,056  

3.00%, 07/20/49

    387       357,420  

3.00%, 09/20/49

    30       27,752  

3.00%, 10/15/49

    797       732,286  

3.00%, 11/20/49

    1,161       1,071,023  

3.00%, 04/20/50

    8,182       7,534,197  

3.00%, 07/20/50

    10,609       9,773,163  

3.00%, 08/20/50

    2,891       2,660,225  

3.00%, 09/20/50

    647       595,223  

3.00%, 09/20/51

    2,225       2,040,351  

3.00%, 10/20/51

    1,234       1,131,108  

3.00%, 11/20/51

    2,088       1,912,970  

3.00%, 07/20/52

    473       431,606  

3.00%, 10/20/52

    3,628       3,315,139  

3.50%, 02/15/26

    1       1,361  

3.50%, 11/15/26

    1       1,122  

3.50%, 02/20/27

    4       3,518  

3.50%, 01/20/31

    36       35,228  

3.50%, 07/20/32

    96       92,994  

3.50%, 09/15/41

    4       3,867  

3.50%, 06/20/42

    2,682       2,510,034  

3.50%, 09/15/42

    9       8,556  

3.50%, 09/20/42

    113       108,924  

3.50%, 10/15/42

    4       4,060  

3.50%, 10/20/42

    266       256,185  

3.50%, 11/15/42

    22       21,261  

3.50%, 11/20/42

    877       842,870  

3.50%, 12/20/42

    93       89,703  

3.50%, 02/20/43

    736       706,582  

3.50%, 03/15/43

    33       30,997  

3.50%, 05/15/43

    30       28,586  

3.50%, 06/15/43

    121       116,414  

3.50%, 04/20/45

    258       246,204  

3.50%, 06/20/45

    96       91,735  

3.50%, 09/20/45

    2,838       2,713,636  

3.50%, 11/20/45

    10       9,853  

3.50%, 12/20/45

    71       67,870  

3.50%, 03/20/46

    362       345,674  

3.50%, 04/20/46

    57       54,023  

3.50%, 06/20/46

    549       523,068  

3.50%, 07/20/46

    3,242       3,089,169  

3.50%, 11/20/46

    10       9,278  

3.50%, 12/20/46

    136       129,928  

3.50%, 01/20/47

    49       46,456  

3.50%, 02/20/47

    120       114,714  

3.50%, 03/20/47

    244       232,710  

3.50%, 04/20/47

    1,051       999,543  

3.50%, 08/20/47

    492       467,486  

3.50%, 09/20/47

    924       879,590  

3.50%, 10/20/47

    5,336       5,081,944  

3.50%, 12/15/47

    468       443,913  

3.50%, 12/20/47

    559       532,903  

3.50%, 01/20/48

    16       15,592  

3.50%, 02/20/48

    1,277       1,215,530  

 

 

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

  21


Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® GNMA Bond ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Mortgage-Backed Securities (continued)

   

3.50%, 04/20/48

  $ 102     $ 97,717  

3.50%, 05/20/48

    318       302,870  

3.50%, 09/20/48

    34       32,537  

3.50%, 11/20/48

    658       626,465  

3.50%, 03/20/49

    7,708       7,333,553  

3.50%, 09/20/49

    205       194,776  

3.50%, 10/20/49

    249       236,901  

3.50%, 04/20/50

    5,985       5,679,715  

3.50%, 05/20/50

    373       354,278  

3.50%, 06/20/50

    582       549,273  

3.50%, 02/20/52

    3,272       3,083,349  

3.50%, 08/20/52

    377       353,526  

4.00%, 03/20/26

    1       1,082  

4.00%, 07/20/26

    1       881  

4.00%, 02/15/41

    6       5,506  

4.00%, 03/15/41

    5       4,513  

4.00%, 04/15/41

    22       21,717  

4.00%, 05/15/41

    6       5,784  

4.00%, 12/15/41

    7       6,569  

4.00%, 01/15/42

    5       4,661  

4.00%, 02/15/42

    16       15,895  

4.00%, 03/15/42

    37       35,765  

4.00%, 05/15/42

    8       8,167  

4.00%, 08/15/42

    8       7,798  

4.00%, 09/20/42

    197       189,781  

4.00%, 04/15/44

    28       27,615  

4.00%, 05/15/44

    39       37,826  

4.00%, 08/20/44

    24       23,235  

4.00%, 10/20/44

    256       251,242  

4.00%, 03/20/45

    1,036       1,017,140  

4.00%, 08/15/45

    2,956       2,871,284  

4.00%, 08/20/45

    404       396,082  

4.00%, 09/20/45

    6,263       6,134,125  

4.00%, 10/20/45

    5       4,928  

4.00%, 01/20/46

    8       8,299  

4.00%, 03/20/46

    98       96,342  

4.00%, 07/20/46

    10       9,271  

4.00%, 09/20/46

    286       278,968  

4.00%, 11/20/46

    110       106,892  

4.00%, 12/15/46

    19       18,114  

4.00%, 05/20/47

    28       27,455  

4.00%, 06/20/47

    1,619       1,579,563  

4.00%, 07/20/47

    329       320,558  

4.00%, 08/20/47

    6       6,066  

4.00%, 11/20/47

    97       94,754  

4.00%, 03/20/48

    62       60,461  

4.00%, 04/20/48

    439       427,078  

4.00%, 05/20/48

    3,303       3,213,588  

4.00%, 06/20/48

    1,184       1,151,579  

4.00%, 07/20/48

    351       341,682  

4.00%, 11/20/48

    3,927       3,821,086  

4.00%, 09/15/49

    187       181,690  

4.00%, 01/20/50

    470       457,305  

4.00%, 02/20/50

    10       9,951  

4.00%, 09/20/52

    1,180       1,133,732  

4.00%, 12/20/52

    569       546,991  

4.00%, 05/18/53(a)

    1,625       1,560,666  

4.50%, 07/20/24

    0       348  

4.50%, 08/15/39

    81       80,801  

4.50%, 07/15/40

    17       16,921  
Security   Par
(000)
    Value  

Mortgage-Backed Securities (continued)

   

4.50%, 08/15/40

  $ 31     $ 30,879  

4.50%, 07/20/41

    1,431       1,443,517  

4.50%, 11/20/45

    185       185,038  

4.50%, 08/20/46

    313       314,515  

4.50%, 09/20/46

    51       51,537  

4.50%, 10/20/46

    52       52,278  

4.50%, 11/20/46

    53       52,729  

4.50%, 04/20/47

    5       5,188  

4.50%, 06/20/47

    6       6,152  

4.50%, 07/20/47

    2,170       2,158,126  

4.50%, 02/20/48

    311       308,771  

4.50%, 06/20/48

    20       19,718  

4.50%, 07/20/48

    125       124,652  

4.50%, 08/20/48

    109       108,572  

4.50%, 09/20/48

    1,237       1,228,920  

4.50%, 10/20/48

    876       870,785  

4.50%, 12/20/48

    920       913,958  

4.50%, 01/20/49

    614       610,505  

4.50%, 03/20/49

    15       15,084  

4.50%, 06/20/49

    600       596,045  

4.50%, 08/20/49

    184       182,513  

4.50%, 10/20/49

    133       132,506  

4.50%, 01/20/50

    722       717,464  

4.50%, 08/20/52

    2,309       2,264,031  

4.50%, 10/20/52

    1,281       1,256,216  

4.50%, 11/20/52

    2,470       2,422,159  

4.50%, 05/18/53(a)

    4,363       4,280,512  

5.00%, 07/15/39

    18       18,936  

5.00%, 07/20/42

    102       104,541  

5.00%, 07/20/46

    41       41,797  

5.00%, 04/20/48

    43       43,055  

5.00%, 05/20/48

    226       228,235  

5.00%, 11/20/48

    52       52,526  

5.00%, 12/20/48

    50       50,560  

5.00%, 01/20/49

    144       145,639  

5.00%, 04/20/49

    9       9,233  

5.00%, 09/20/50

    213       215,926  

5.00%, 07/20/52

    4,148       4,127,210  

5.00%, 08/20/52

    977       971,767  

5.00%, 09/20/52

    2,091       2,080,677  

5.00%, 12/20/52

    3,498       3,481,347  

5.00%, 01/20/53

    970       965,386  

5.00%, 05/18/53(a)

    1,778       1,776,334  

5.50%, 10/15/38

    13       14,088  

5.50%, 07/20/40

    175       182,099  

5.50%, 12/20/52

    3,495       3,517,162  

5.50%, 01/20/53

    2,550       2,566,500  

5.50%, 03/20/53

    801       805,912  

5.50%, 04/20/53

    2,553       2,569,463  

5.50%, 05/18/53(a)

    2,732       2,750,356  

6.00%, 09/20/38

    16       17,090  

6.00%, 05/18/53(a)

    200       203,937  
   

 

 

 
      297,979,618  
   

 

 

 

Total Long-Term Investments — 100.5%
(Cost: $321,860,379)

      297,979,618  
   

 

 

 

 

 

22  

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


Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® GNMA Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

Shares/

Par

(000)

    Value  

Short-Term Securities

   
Money Market Funds — 3.1%            

BlackRock Cash Funds: Treasury,
SL Agency Shares, 4.75%(b)(c)

    9,050     $ 9,050,000  
   

 

 

 

Total Short-Term Securities — 3.1%
(Cost: $9,050,000)

 

    9,050,000  
   

 

 

 

Total Investments Before TBA Sales Commitments — 103.6%
(Cost: $330,910,379)

 

    307,029,618  
   

 

 

 

TBA Sales Commitments(a)

   
Mortgage-Backed Securities — (1.0)%            

Government National Mortgage Association 2.50%, 05/18/53

    (500     (441,748
Security   Par
(000)
    Value  
Mortgage-Backed Securities (continued)            

4.00%, 05/18/53

    (925   $ (888,379

4.50%, 05/18/53

    (550     (539,602

5.00%, 05/18/53

    (1,160     (1,157,009
   

 

 

 

Total TBA Sales Commitments — (1.0)%
(Proceeds: $(3,024,496))

      (3,026,738
   

 

 

 

Total Investments, Net of TBA Sales Commitments — 102.6%
(Cost: $327,885,883)

 

    304,002,880  

Liabilities in Excess of Other Assets — (2.6)%

      (7,607,084
   

 

 

 

Net Assets — 100.0%

    $ 296,395,796  
   

 

 

 

 

(a) 

Represents or includes a TBA transaction.

(b) 

Affiliate of the Fund.

(c) 

Annualized 7-day yield as of period end.

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended April 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer    Value at
10/31/22
     Purchases
at Cost
     Proceeds
from Sale
     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
04/30/23
     Shares
Held at
04/30/23
(000)
     Income      Capital Gain
Distributions from
Underlying Funds
 

 

 

BlackRock Cash Funds: Treasury, SL Agency Shares

   $ 38,794,000      $      $ (29,744,000 )(a)     $      $      $ 9,050,000        9,050      $ 698,509      $ 37  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

(a) 

Represents net amount purchased (sold).

 

Fair Value Hierarchy as of Period End

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

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

 

 

 
     Level 1        Level 2        Level 3        Total  

 

 

Assets

                 

Investments

                 

Long-Term Investments

                 

U.S. Government Agency Obligations

   $        $ 297,979,618        $        $ 297,979,618  

Short-Term Securities

                 

Money Market Funds

     9,050,000                            9,050,000  

Liabilities

                 

Investments

                 

TBA Sales Commitments

              (3,026,738                 (3,026,738
  

 

 

      

 

 

      

 

 

      

 

 

 
   $     9,050,000        $ 294,952,880        $             —        $ 304,002,880  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

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

  23


Schedule of Investments (unaudited) 

April 30, 2023

  

iShares® TIPS Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

    

Par

(000)

    Value  

U.S. Government Obligations

   

U.S. Government Obligations — 98.9%

   

U.S. Treasury Floating Rate Note, 1.25%, 04/15/28

  $ 393,716     $ 393,346,651  

U.S. Treasury Inflation-Indexed Bonds

   

0.13%, 07/15/24

    702,785       685,222,524  

0.13%, 10/15/24

    836,556       813,354,281  

0.13%, 04/15/25

    999,408       964,535,640  

0.13%, 10/15/25

    371,971       359,373,274  

0.13%, 04/15/26

    601,068       575,798,955  

0.13%, 07/15/26

    720,213       692,375,418  

0.13%, 10/15/26

    779,090       746,116,099  

0.13%, 04/15/27

    870,040       826,902,935  

0.13%, 01/15/30

    780,954       724,782,661  

0.13%, 07/15/30

    819,937       759,199,825  

0.13%, 01/15/31

    849,104       780,467,758  

0.13%, 07/15/31

    682,211       624,551,943  

0.13%, 01/15/32

    934,721       849,671,384  

0.13%, 02/15/51

    456,566       311,873,637  

0.13%, 02/15/52

    312,101       212,749,884  

0.25%, 01/15/25

    662,938       643,472,831  

0.25%, 07/15/29

    387,676       365,960,497  

0.25%, 02/15/50

    132,610       94,912,989  

0.38%, 07/15/25

    331,823       322,957,293  

0.38%, 01/15/27

    670,483       645,156,860  

0.38%, 07/15/27

    719,213       693,465,038  

0.50%, 04/15/24

    129,871       127,111,173  

0.50%, 01/15/28

    636,026       612,762,945  

0.63%, 01/15/24

    0 (a)       7  

0.63%, 01/15/26

    913,102       890,069,519  

0.63%, 07/15/32

    935,521       888,105,239  

0.63%, 02/15/43

    126,834       106,231,913  

0.75%, 07/15/28

    441,128       431,302,156  

0.75%, 02/15/42

    391,164       338,276,527  

0.75%, 02/15/45

    611,381       516,413,559  

0.88%, 01/15/29

    557,276       545,216,163  

0.88%, 02/15/47

    218,176       187,160,924  

1.00%, 02/15/46

    337,315       299,113,132  

1.00%, 02/15/48

    173,242       152,346,369  
Security   Par/
Shares
(000)
    Value  

U.S. Government Obligations (continued)

   

1.00%, 02/15/49

  $ 119,911     $ 105,282,675  

1.13%, 01/15/33

    610,072       604,137,622  

1.38%, 02/15/44

    474,709       456,740,682  

1.50%, 02/15/53

    163,574       163,529,123  

1.63%, 10/15/27

    824,160       837,407,357  

1.75%, 01/15/28

    445,273       454,238,849  

2.00%, 01/15/26

    251,360       253,925,551  

2.13%, 02/15/40

    179,610       197,091,618  

2.13%, 02/15/41

    129,030       141,637,639  

2.38%, 01/15/25

    116,630       117,323,582  

2.38%, 01/15/27

    76,084       78,633,539  

2.50%, 01/15/29

    323,554       344,673,747  

3.38%, 04/15/32

    31,855       37,459,159  

3.63%, 04/15/28

    206,953       229,926,555  

3.88%, 04/15/29

    298,787       342,372,296  
   

 

 

 
      22,544,737,997  
   

 

 

 

Total Long-Term Investments — 98.9%
(Cost: $25,483,702,238)

      22,544,737,997  
   

 

 

 

Short-Term Securities

   
Money Market Funds — 0.4%            

BlackRock Cash Funds: Treasury, SL Agency Shares, 4.75%(b)(c)

    101,920       101,920,000  
   

 

 

 

Total Short-Term Securities — 0.4%
(Cost: $101,920,000)

      101,920,000  
   

 

 

 

Total Investments — 99.3%
(Cost: $25,585,622,238)

      22,646,657,997  

Other Assets Less Liabilities — 0.7%

      153,851,964  
   

 

 

 

Net Assets — 100.0%

    $ 22,800,509,961  
   

 

 

 

 

(a) 

Rounds to less than 1,000.

(b) 

Affiliate of the Fund.

(c) 

Annualized 7-day yield as of period end.

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended April 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer    Value at
10/31/22
     Purchases
at Cost
     Proceeds
from Sale
     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
04/30/23
     Shares
Held at
04/30/23
(000)
     Income      Capital Gain
Distributions from
Underlying Funds
 

BlackRock Cash Funds: Treasury, SL Agency Shares

   $ 36,490,000      $ 65,430,000 (a)     $      $      $      $ 101,920,000        101,920      $ 2,814,455 (b)     $ 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.

 

 

24  

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


Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® TIPS Bond ETF

 

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

U.S. Government Obligations

   $        $ 22,544,737,997        $        $ 22,544,737,997  

Short-Term Securities

                 

Money Market Funds

     101,920,000                            101,920,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $     101,920,000        $ 22,544,737,997        $             —        $ 22,646,657,997  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

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

  25


Schedule of Investments (unaudited) 

April 30, 2023

  

iShares® Treasury Floating Rate Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

U.S. Government Obligations

 

U.S. Government Obligations — 90.7%

 

U.S. Treasury Floating Rate Note

   

5.06%, 04/30/24, (3-mo. Treasury money market yield - 0.075%)(a)

  $ 620,234     $ 619,581,262  

5.12%, 01/31/24, (3-mo. Treasury money market yield - 0.015%)(a)

    477,375       477,333,593  

5.16%, 07/31/23, (3-mo. Treasury money market yield + 0.029%)(a)

    1,031,164       1,030,607,939  

5.17%, 10/31/23, (3-mo. Treasury money market yield + 0.035%)(a)

    699,502       699,420,123  

5.17%, 07/31/24, (3-mo. Treasury money market yield + 0.037%)(a)

    879,719       879,512,228  

5.27%, 10/31/24, (3-mo. Treasury money market yield + 0.140%)(a)

    1,168,369       1,169,312,526  

5.30%, 04/30/25(a)

    298,741       298,954,140  

5.33%, 01/31/25, (3-mo. Treasury money market yield + 0.200%)(a)

    269,235       269,666,393  
   

 

 

 
      5,444,388,204  
   

 

 

 

Total Long-Term Investments — 90.7%
(Cost: $5,443,194,781)

      5,444,388,204  
   

 

 

 
Security   Shares
(000)
    Value  

Short-Term Securities

 

Money Market Funds — 0.2%  

BlackRock Cash Funds: Treasury, SL Agency Shares, 4.75%(b)(c)

    14,570     $ 14,570,000  
   

 

 

 

Total Short-Term Securities — 0.2%
(Cost: $14,570,000)

 

    14,570,000  
   

 

 

 

Total Investments — 90.9%
(Cost: $5,457,764,781)

      5,458,958,204  

Other Assets Less Liabilities — 9.1%

      543,684,528  
   

 

 

 

Net Assets — 100.0%

    $ 6,002,642,732  
   

 

 

 

 

(a)

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

(b)

Affiliate of the Fund.

(c)

Annualized 7-day yield as of period end.

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended April 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                   
Affiliated Issuer    Value at
10/31/22
     Purchases
at Cost
     Proceeds
from Sale
     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
04/30/23
     Shares
Held at
04/30/23
(000)
     Income      Capital Gain
Distributions from
Underlying Funds
 

BlackRock Cash Funds: Treasury, SL Agency Shares

   $      $ 14,570,000 (a)     $      $      $      $ 14,570,000        14,570      $ 641,163 (b)     $ 10  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

(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.

Fair Value Hierarchy as of Period End

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

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

 

         
      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

U.S. Government Obligations

   $        $ 5,444,388,204        $        $ 5,444,388,204  

Short-Term Securities

                 

Money Market Funds

     14,570,000                            14,570,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $     14,570,000        $ 5,444,388,204        $             —        $ 5,458,958,204  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

26  

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


Schedule of Investments (unaudited) 

April 30, 2023

  

iShares® U.S. Treasury Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

U.S. Government Obligations

 

U.S. Government Obligations — 99.0%

 

U.S. Treasury Note/Bond

   

0.25%, 05/15/24

  $ 1,779,320     $ 1,697,930,006  

0.25%, 05/31/25

    117,130       108,377,278  

0.25%, 07/31/25

    16,468       15,170,686  

0.25%, 08/31/25

    372,888       342,663,679  

0.25%, 10/31/25

    363,021       332,079,130  

0.38%, 04/15/24

    5,907       5,662,875  

0.38%, 07/15/24

    5       4,754  

0.38%, 08/15/24

    516,595       489,776,456  

0.38%, 11/30/25

    606,208       555,153,737  

0.38%, 07/31/27

    50,896       44,532,012  

0.50%, 03/31/25

    585       546,861  

0.50%, 02/28/26

    426,387       389,244,693  

0.50%, 05/31/27

    136,603       120,701,557  

0.50%, 08/31/27

    30,448       26,725,256  

0.63%, 07/31/26

    250,210       226,928,740  

0.63%, 12/31/27

    261,310       228,819,425  

0.63%, 05/15/30

    13,224       10,908,250  

0.63%, 08/15/30

    7,506       6,160,198  

0.75%, 03/31/26

    150,682       138,497,947  

0.75%, 04/30/26

    79,747       73,055,728  

0.75%, 05/31/26

    79,893       73,024,075  

0.75%, 08/31/26

    505,211       459,130,230  

0.75%, 01/31/28

    12,636       11,108,821  

0.88%, 06/30/26

    149,055       136,664,803  

1.00%, 12/15/24

    44,912       42,613,769  

1.00%, 07/31/28

    168,330       148,064,647  

1.13%, 01/15/25

    5,000       4,745,508  

1.13%, 02/28/25

    73,950       70,044,516  

1.13%, 10/31/26

    92,657       84,983,842  

1.13%, 08/31/28

    16,139       14,260,950  

1.13%, 05/15/40

    20,465       13,713,149  

1.13%, 08/15/40

    20,465       13,601,231  

1.25%, 03/31/28

    236,630       212,467,857  

1.25%, 06/30/28

    90,278       80,622,486  

1.25%, 09/30/28

    257,780       228,900,584  

1.25%, 08/15/31

    1,986       1,679,580  

1.38%, 10/31/28

    170,937       152,648,076  

1.38%, 12/31/28

    40,672       36,247,331  

1.38%, 11/15/31

    1,547,849       1,316,034,180  

1.38%, 11/15/40

    35,450       24,536,662  

1.38%, 08/15/50

    64,528       38,820,145  

1.50%, 02/15/25

    463,180       441,776,017  

1.50%, 11/30/28

    459,193       412,251,279  

1.50%, 02/15/30

    25       21,619  

1.63%, 02/15/26

    203,844       192,258,335  

1.63%, 05/15/26

    672,640       632,439,253  

1.63%, 08/15/29

    50,896       45,651,326  

1.63%, 11/15/50

    86,346       55,494,169  

1.88%, 02/15/32

    235,764       208,365,644  

1.88%, 02/15/41

    72,824       54,706,185  

1.88%, 02/15/51

    1,512,510       1,035,064,953  

1.88%, 11/15/51

    111,888       76,232,441  

2.00%, 05/31/24

    4,746       4,608,626  

2.00%, 02/15/25

    596,789       574,409,412  

2.00%, 08/15/25

    296,453       283,981,035  

2.00%, 11/15/26

    4,117       3,892,012  

2.00%, 02/15/50

    3,471       2,462,770  
Security  

Par

(000)

    Value  

U.S. Government Obligations (continued)

 

2.00%, 08/15/51

  $ 139,089     $ 97,900,184  

2.13%, 07/31/24

    25,348       24,594,491  

2.13%, 05/15/25

    363,259       349,580,413  

2.25%, 11/15/25

    27,407       26,348,287  

2.25%, 02/15/27

    604,388       575,467,187  

2.25%, 08/15/27

    116,670       110,617,459  

2.25%, 11/15/27

    351,030       331,984,070  

2.25%, 05/15/41

    82,076       65,445,992  

2.25%, 08/15/49

    1,715       1,291,500  

2.25%, 02/15/52

    104,918       78,290,959  

2.38%, 08/15/24

    942,320       916,848,107  

2.38%, 04/30/26

    15,402       14,815,593  

2.38%, 05/15/27

    83,661       79,856,848  

2.38%, 03/31/29

    27,933       26,219,922  

2.38%, 05/15/29

    284,718       267,123,785  

2.50%, 02/28/26

    25,456       24,585,922  

2.50%, 02/15/46

    4,999       3,983,702  

2.50%, 05/15/46

    583,627       464,690,202  

2.63%, 02/15/29

    1,143,559       1,089,731,514  

2.63%, 07/31/29

    231,645       220,126,091  

2.75%, 05/15/25

    405,591       395,292,793  

2.75%, 06/30/25

    181,382       176,727,001  

2.75%, 08/31/25

    25,456       24,799,713  

2.75%, 04/30/27

    18,212       17,633,109  

2.75%, 07/31/27

    2,133       2,063,594  

2.75%, 02/15/28

    675,775       652,650,824  

2.75%, 08/15/32

    137,217       129,863,026  

2.75%, 11/15/42

    661,831       564,288,829  

2.75%, 08/15/47

    15,679       13,053,992  

2.75%, 11/15/47

    56,762       47,287,624  

2.88%, 04/30/25

    2,896       2,828,994  

2.88%, 07/31/25

    25,456       24,871,308  

2.88%, 11/30/25

    44,801       43,729,976  

2.88%, 05/15/28

    415,534       402,905,470  

2.88%, 08/15/28

    6,062       5,872,078  

2.88%, 05/15/32

    142,334       136,229,206  

2.88%, 05/15/43

    49,807       43,225,169  

2.88%, 08/15/45

    116,711       99,769,840  

2.88%, 11/15/46

    318,400       271,970,813  

2.88%, 05/15/49

    13,964       11,964,857  

2.88%, 05/15/52

    6,078       5,200,964  

3.00%, 07/31/24

    18,010       17,665,981  

3.00%, 07/15/25

    23,493       23,005,704  

3.00%, 10/31/25

    37,541       36,762,317  

3.00%, 11/15/44

    12,066       10,580,374  

3.00%, 02/15/47

    3,063       2,671,510  

3.00%, 02/15/48

    168,401       146,995,653  

3.00%, 08/15/48

    45,455       39,739,389  

3.00%, 08/15/52

    134,940       118,536,356  

3.13%, 08/15/25

    97,000       95,264,610  

3.13%, 11/15/28

    1,401,678       1,372,877,890  

3.13%, 08/31/29

    182,040       178,029,431  

3.13%, 02/15/43

    115,596       104,460,584  

3.25%, 08/31/24

    27,896       27,443,780  

3.25%, 06/30/29

    2,640       2,599,884  

3.38%, 05/15/44

    70,807       66,163,524  

3.50%, 01/31/30

    142,464       142,536,345  

3.50%, 02/15/33

    141,368       142,207,373  

3.63%, 03/31/30

    152,300       153,704,016  

3.63%, 08/15/43

    35       34,136  

 

 

 

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

  27


Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® U.S. Treasury Bond ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

U.S. Government Obligations (continued)

 

3.63%, 02/15/53

  $ 29,000     $ 28,755,313  

3.75%, 11/15/43

    895,620       889,077,376  

3.88%, 01/15/26

    179,952       180,240,204  

3.88%, 09/30/29

    61,210       62,470,065  

3.88%, 11/30/29

    82,762       84,556,255  

3.88%, 12/31/29

    128,364       131,242,162  

4.00%, 02/29/28

    248,128       253,594,570  

4.00%, 02/28/30

    205,132       211,446,219  

4.00%, 11/15/52

    183,779       195,121,610  

4.13%, 11/15/32

    164,724       173,861,034  

4.25%, 12/31/24

    100,807       100,759,747  

4.25%, 05/15/39

    13,279       14,393,710  

4.38%, 02/15/38

    144,092       158,613,772  

4.38%, 11/15/39

    216,799       237,928,434  

4.50%, 11/15/25

    164,126       166,607,124  

4.50%, 05/15/38

    3,048       3,396,972  

5.00%, 05/15/37

    42,303       49,553,999  

5.50%, 08/15/28

    2,500       2,731,543  

6.13%, 11/15/27

    338,855       375,308,384  

U.S. Treasury STRIPS
0.00%, 02/15/29(a)

    46,269       37,762,268  

0.00%, 08/15/35(a)

    16,781       10,711,981  

0.00%, 08/15/36(a)

    70,522       43,303,482  

0.00%, 05/15/43(a)

    33,665       15,275,317  
   

 

 

 
      25,950,188,592  
   

 

 

 

Total Long-Term Investments — 99.0%
(Cost: $27,710,115,316)

      25,950,188,592  
   

 

 

 
Security   Shares
(000)
    Value  

Short-Term Securities

 

Money Market Funds — 0.2%  

BlackRock Cash Funds: Treasury, SL Agency Shares, 4.75%(b)(c)(d)

    46,830     $ 46,830,000  
   

 

 

 

Total Short-Term Securities — 0.2%
(Cost: $46,830,000)

 

    46,830,000  
   

 

 

 

Total Investments — 99.2%
(Cost: $27,756,945,316)

      25,997,018,592  

Other Assets Less Liabilities — 0.8%

      219,189,354  
   

 

 

 

Net Assets — 100.0%

    $ 26,216,207,946  
   

 

 

 

 

(a) 

Zero-coupon bond.

(b) 

Affiliate of the Fund.

(c) 

Annualized 7-day yield as of period end.

(d) 

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 six months ended April 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                   
Affiliated Issuer    Value at
10/31/22
     Purchases
at Cost
     Proceeds
from Sale
     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
04/30/23
     Shares
Held at
04/30/23
(000)
     Income      Capital Gain
Distributions from
Underlying Funds
 

BlackRock Cash Funds: Treasury, SL Agency Shares

   $ 39,685,406      $ 7,144,594 (a)     $      $      $      $ 46,830,000        46,830      $ 1,111,207 (b)     $ 47  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

(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.

Fair Value Hierarchy as of Period End

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

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

 

         
      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

U.S. Government Obligations

   $        $ 25,950,188,592        $        $ 25,950,188,592  

 

 

28  

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


Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® U.S. Treasury Bond ETF

 

Fair Value Hierarchy as of Period End (continued)

 

         
      Level 1        Level 2        Level 3        Total  

Short-Term Securities

                 

Money Market Funds

   $ 46,830,000        $        $        $ 46,830,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $     46,830,000        $ 25,950,188,592        $             —        $ 25,997,018,592  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

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

  29


 

Statements of Assets and Liabilities (unaudited)

April 30, 2023

 

    

iShares
0-5 Year TIPS Bond

ETF

   

iShares

CMBS ETF

   

iShares
GNMA Bond

ETF

   

iShares

TIPS Bond ETF

 

ASSETS

       

Investments, at value — unaffiliated(a)

  $ 12,295,527,699     $ 507,942,735     $ 297,979,618     $ 22,544,737,997  

Investments, at value — affiliated(b)

    821,830,000       2,380,000       9,050,000       101,920,000  

Cash

                7,206       6,580  

Receivables:

       

Investments sold

          26,735,134       (439,054     397,155,526  

Securities lending income — affiliated

                      13  

TBA sales commitments

                3,024,496        

Capital shares sold

    7,144,948                   760,964  

Dividends — affiliated

    1,754,279       15,825       45,046       430,048  

Interest — unaffiliated

    9,459,273       1,514,551       809,820       29,727,299  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    13,135,716,199       538,588,245       310,477,132       23,074,738,427  
 

 

 

   

 

 

   

 

 

   

 

 

 

LIABILITIES

       

Bank overdraft

    1,234,055       6,018              

TBA sales commitments, at value

                3,026,738        

Payables:

       

Investments purchased

    546,905,566       5,329,027       11,029,442       270,698,098  

Capital shares redeemed

          23,290,579             891  

Investment advisory fees

    314,761       112,965       25,156       3,529,477  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    548,454,382       28,738,589       14,081,336       274,228,466  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 12,587,261,817     $ 509,849,656     $ 296,395,796     $ 22,800,509,961  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF

       

Paid-in capital

  $ 13,260,438,894     $ 603,300,405     $ 344,198,850     $ 26,790,643,599  

Accumulated loss

    (673,177,077     (93,450,749     (47,803,054     (3,990,133,638
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 12,587,261,817     $ 509,849,656     $ 296,395,796     $ 22,800,509,961  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSET VALUE

       

Shares outstanding

    127,000,000       10,900,000       6,650,000       207,200,000  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value

  $ 99.11     $ 46.78     $ 44.57     $ 110.04  
 

 

 

   

 

 

   

 

 

   

 

 

 

Shares authorized

    Unlimited       Unlimited       Unlimited       Unlimited  
 

 

 

   

 

 

   

 

 

   

 

 

 

Par value

    None       None       None       None  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a) Investments, at cost — unaffiliated

  $ 12,876,384,172     $ 566,840,747     $ 321,860,379     $ 25,483,702,238  

(b) Investments, at cost — affiliated

  $ 821,830,000     $ 2,380,000     $ 9,050,000     $ 101,920,000  

See notes to financial statements.

 

 

30  

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


 

Statements of Assets and Liabilities (unaudited) (continued)

April 30, 2023

 

     

iShares

Treasury

Floating Rate
Bond ETF

    

iShares

U.S. Treasury
Bond ETF

 

ASSETS

     

Investments, at value — unaffiliated(a)

   $ 5,444,388,204      $ 25,950,188,592  

Investments, at value — affiliated(b)

     14,570,000        46,830,000  

Cash

     9,346        13,030  

Receivables:

     

Investments sold

     773,030,000        268,683,707  

Securities lending income — affiliated

     879        2,940  

Capital shares sold

            2,466,399  

Dividends — affiliated

     70,542        196,007  

Interest — unaffiliated

     72,283,343        197,818,995  
  

 

 

    

 

 

 

Total assets

     6,304,352,314        26,466,199,670  
  

 

 

    

 

 

 

LIABILITIES

     

Payables:

     

Investments purchased

     300,043,582        248,740,538  

Capital shares redeemed

     938,285        187,673  

Investment advisory fees

     727,715        1,063,513  
  

 

 

    

 

 

 

Total liabilities

     301,709,582        249,991,724  
  

 

 

    

 

 

 

NET ASSETS

   $ 6,002,642,732      $ 26,216,207,946  
  

 

 

    

 

 

 

NET ASSETS CONSIST OF

     

Paid-in capital

   $ 5,977,523,045      $ 28,552,471,857  

Accumulated earnings (loss)

     25,119,687        (2,336,263,911
  

 

 

    

 

 

 

NET ASSETS

   $ 6,002,642,732      $ 26,216,207,946  
  

 

 

    

 

 

 

NET ASSET VALUE

     

Shares outstanding

     118,600,000        1,118,600,000  
  

 

 

    

 

 

 

Net asset value

   $ 50.61      $ 23.44  
  

 

 

    

 

 

 

Shares authorized

     Unlimited        Unlimited  
  

 

 

    

 

 

 

Par value

     None        None  
  

 

 

    

 

 

 

(a) Investments, at cost — unaffiliated

   $ 5,443,194,781      $ 27,710,115,316  

(b) Investments, at cost — affiliated

   $ 14,570,000      $ 46,830,000  

See notes to financial statements.

 

 

I N A N C I A L  T A T E M E N T S

  31


 

Statements of Operations (unaudited) 

Six Months Ended April 30, 2023

 

   

iShares

0-5 Year

TIPS Bond
ETF

   

iShares

CMBS ETF

   

iShares

GNMA Bond
ETF

   

iShares

TIPS Bond ETF

 

 

 

INVESTMENT INCOME

       

Dividends — affiliated

  $ 4,433,432     $ 53,810     $ 698,509     $ 2,318,976  

Interest — unaffiliated(a)(b)

    140,985,799       8,510,049       5,538,961       260,679,143  

Securities lending income — affiliated — net

    68,582                   495,479  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    145,487,813       8,563,859       6,237,470       263,493,598  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

       

Investment advisory

    1,920,839       701,400       193,129       21,570,516  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    1,920,839       701,400       193,129       21,570,516  

Less:

       

Investment advisory fees waived

                (15,839      
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived

    1,920,839       701,400       177,290       21,570,516  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    143,566,974       7,862,459       6,060,180       241,923,082  
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

       

Net realized gain (loss) from:

       

Investments — unaffiliated

    (69,002,725     (17,226,722     (12,270,672     (293,676,999

Capital gain distributions from underlying funds — affiliated

    74       1       37       149  

In-kind redemptions — unaffiliated(c)

    (5,460,850                 (467,104,607
 

 

 

   

 

 

   

 

 

   

 

 

 
    (74,463,501     (17,226,721     (12,270,635     (760,781,457
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments — unaffiliated

    265,260,858       38,175,597       27,865,793       1,476,894,826  
 

 

 

   

 

 

   

 

 

   

 

 

 
    265,260,858       38,175,597       27,865,793       1,476,894,826  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain

    190,797,357       20,948,876       15,595,158       716,113,369  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ 334,364,331     $ 28,811,335     $ 21,655,338     $ 958,036,451  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a)

Includes net inflationary and deflationary adjustments. See Note 4 of the Notes to Financial Statements.

 

(b)

Includes net deflationary adjustments for U.S. Treasury Inflation Index Bonds which exceeded the aggregate of interest accrued to income for the period.

 

(c)

See Note 2 of the Notes to Financial Statements.

See notes to financial statements.

 

 

32  

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


 

Statements of Operations (unaudited) (continued)

Six Months Ended April 30, 2023

 

     iShares
Treasury
Floating Rate
Bond ETF
    iShares
U.S. Treasury
Bond ETF
 

 

 

INVESTMENT INCOME

    

Dividends — affiliated

   $ 598,630     $ 1,027,005  

Interest — unaffiliated

     108,351,123       270,337,901  

Securities lending income — affiliated — net

     42,533       84,202  
  

 

 

   

 

 

 

Total investment income

     108,992,286       271,449,108  
  

 

 

   

 

 

 

EXPENSES

    

Investment advisory

     3,492,728       5,633,178  
  

 

 

   

 

 

 

Total expenses

     3,492,728       5,633,178  
  

 

 

   

 

 

 

Net investment income

     105,499,558       265,815,930  
  

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

    

Net realized gain (loss) from:

    

Investments — unaffiliated

     (175,597     (65,616,379

Capital gain distributions from underlying funds — affiliated

     10       47  

In-kind redemptions — unaffiliated(a)

     122,899       (16,137,396
  

 

 

   

 

 

 
     (52,688     (81,753,728
  

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

    

Investments — unaffiliated

     1,852,252       1,095,261,475  
  

 

 

   

 

 

 
     1,852,252       1,095,261,475  
  

 

 

   

 

 

 

Net realized and unrealized gain

     1,799,564       1,013,507,747  
  

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 107,299,122     $ 1,279,323,677  
  

 

 

   

 

 

 

 

(a) 

See Note 2 of the Notes to Financial Statements.

See notes to financial statements.

 

 

I N A N C I A L  T A T E M E N T S

  33


 

Statements of Changes in Net Assets

 

    iShares
0-5 Year TIPS Bond ETF
    iShares
CMBS ETF
 
    Six Months Ended
04/30/23
(unaudited)
    Year Ended
10/31/22
    Six Months Ended
04/30/23
(unaudited)
    Year Ended
10/31/22
 

 

 

INCREASE (DECREASE) IN NET ASSETS

       

OPERATIONS

       

Net investment income

  $ 143,566,974     $ 674,213,983     $ 7,862,459     $ 17,551,222  

Net realized loss

    (74,463,501     (79,101,976     (17,226,721     (18,661,019

Net change in unrealized appreciation (depreciation)

    265,260,858       (946,415,284     38,175,597       (105,496,354
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    334,364,331       (351,303,277     28,811,335       (106,606,151
 

 

 

   

 

 

   

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

       

Decrease in net assets resulting from distributions to shareholders

    (82,385,637     (708,599,128     (7,910,327     (19,482,690
 

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

       

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

    211,465,200       5,688,028,105       (96,880,620     (108,467,807
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

       

Total increase (decrease) in net assets

    463,443,894       4,628,125,700       (75,979,612     (234,556,648

Beginning of period

    12,123,817,923       7,495,692,223       585,829,268       820,385,916  
 

 

 

   

 

 

   

 

 

   

 

 

 

End of period

  $ 12,587,261,817     $ 12,123,817,923     $ 509,849,656     $ 585,829,268  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

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

See notes to financial statements.

 

 

34  

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


 

Statements of Changes in Net Assets (continued)

 

    iShares
GNMA Bond ETF
    iShares
TIPS Bond ETF
 
    Six Months Ended
04/30/23
(unaudited)
    Year Ended
10/31/22
    Six Months Ended
04/30/23
(unaudited)
    Year Ended
10/31/22
 

 

 

INCREASE (DECREASE) IN NET ASSETS

       

OPERATIONS

       

Net investment income

  $ 6,060,180     $ 5,348,068     $ 241,923,082     $ 2,078,474,333  

Net realized loss

    (12,270,635     (8,776,553     (760,781,457     (442,787,338

Net change in unrealized appreciation (depreciation)

    27,865,793       (49,977,400     1,476,894,826       (5,520,153,272
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    21,655,338       (53,405,885     958,036,451       (3,884,466,277
 

 

 

   

 

 

   

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

       

Decrease in net assets resulting from distributions to shareholders

    (5,686,199     (4,647,702     (132,507,170     (2,167,278,308
 

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

       

Net decrease in net assets derived from capital share transactions

    (49,850,982     (95,516,056     (3,006,885,445     (4,835,024,590
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

       

Total decrease in net assets

    (33,881,843     (153,569,643     (2,181,356,164     (10,886,769,175

Beginning of period

    330,277,639       483,847,282       24,981,866,125       35,868,635,300  
 

 

 

   

 

 

   

 

 

   

 

 

 

End of period

  $ 296,395,796     $ 330,277,639     $ 22,800,509,961     $ 24,981,866,125  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

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

See notes to financial statements.

 

 

I N A N C I A L  T A T E M E N T S

  35


 

Statements of Changes in Net Assets (continued)

 

    iShares
Treasury Floating Rate Bond ETF
    iShares
U.S. Treasury Bond ETF
 
    Six Months Ended
04/30/23
(unaudited)
    Year Ended
10/31/22
    Six Months Ended
04/30/23
(unaudited)
    Year Ended
10/31/22
 

 

 

INCREASE (DECREASE) IN NET ASSETS

       

OPERATIONS

       

Net investment income

  $ 105,499,558     $ 26,891,007     $ 265,815,930     $ 288,943,745  

Net realized gain (loss)

    (52,688     226,214       (81,753,728     (497,696,978

Net change in unrealized appreciation (depreciation)

    1,852,252       (670,939     1,095,261,475       (2,755,101,547
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    107,299,122       26,446,282       1,279,323,677       (2,963,854,780
 

 

 

   

 

 

   

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

       

Decrease in net assets resulting from distributions to shareholders

    (91,867,730     (16,475,106     (255,787,223     (256,285,822
 

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

       

Net increase in net assets derived from capital share transactions

    2,204,388,823       3,511,487,208       3,950,757,281       8,796,873,416  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

       

Total increase in net assets

    2,219,820,215       3,521,458,384       4,974,293,735       5,576,732,814  

Beginning of period

    3,782,822,517       261,364,133       21,241,914,211       15,665,181,397  
 

 

 

   

 

 

   

 

 

   

 

 

 

End of period

  $ 6,002,642,732     $ 3,782,822,517     $ 26,216,207,946     $ 21,241,914,211  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

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

See notes to financial statements.

 

 

36  

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


Financial Highlights

(For a share outstanding throughout each period)

 

    iShares 0-5 Year TIPS Bond ETF  
   

Six Months Ended
04/30/23

(unaudited)

    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 period

                $ 97.18     $ 105.95      $ 103.32      $ 100.17      $ 98.21      $ 100.52  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

       1.09       6.31        4.52        1.62        2.05        2.61  

Net realized and unrealized gain (loss)(b)

       1.45       (8.83      2.17        2.85        2.02        (2.22
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

       2.54       (2.52      6.69        4.47        4.07        0.39  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions from net investment income(c)

       (0.61     (6.25      (4.06      (1.32      (2.11      (2.70
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

     $ 99.11     $ 97.18      $ 105.95      $ 103.32      $ 100.17      $ 98.21  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return(d)

                  

Based on net asset value

       2.62 %(e)       (2.51 )%       6.55      4.49      4.17      0.39
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets(f)

                  

Total expenses

       0.03 %(g)       0.03      0.05      0.06      0.06      0.06
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income

       2.24 %(g)       6.15      4.28      1.59      2.07      2.62
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                  

Net assets, end of period (000)

     $ 12,587,262     $ 12,123,818      $ 7,495,692      $ 2,841,229      $ 2,343,861      $ 2,199,887  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate(h)

       18     27      36      72      58      40
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(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)

Not annualized.

(f)

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

(g)

Annualized.

(h)

Portfolio turnover rate excludes in-kind transactions.

See notes to financial statements.

 

 

I N A N C I A L  I G H L I G H T S

  37


Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares CMBS ETF  
   

Six Months Ended
04/30/23

(unaudited)

    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 period

                $ 45.06     $ 53.62      $ 54.88      $ 53.42      $ 49.36      $ 51.60  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

       0.64       1.19        1.23        1.39        1.45        1.37  

Net realized and unrealized gain (loss)(b)

       1.72       (8.45      (1.06      1.47        4.04        (2.26
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

       2.36       (7.26      0.17        2.86        5.49        (0.89
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions(c)

                  

From net investment income

       (0.64     (1.18      (1.22      (1.40      (1.43      (1.35

From net realized gain

             (0.12      (0.21                     
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions

       (0.64     (1.30      (1.43      (1.40      (1.43      (1.35
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

     $ 46.78     $ 45.06      $ 53.62      $ 54.88      $ 53.42      $ 49.36  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return(d)

                  

Based on net asset value

       5.24 %(e)       (13.75 )%       0.29      5.42      11.27      (1.74 )% 
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets(f)

                  

Total expenses

       0.25 %(g)       0.25      0.25      0.25      0.25      0.25
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income

       2.80 %(g)       2.39      2.26      2.58      2.81      2.72
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                  

Net assets, end of period (000)

     $ 509,850     $ 585,829      $ 820,386      $ 491,195      $ 422,024      $ 310,990  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate(h)

       11     21      13      26      21      13
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(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)

Not annualized.

(f)

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

(g)

Annualized.

(h)

Portfolio turnover rate excludes in-kind transactions.

See notes to financial statements.

 

 

38  

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


Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares GNMA Bond ETF  
   

Six Months Ended
04/30/23

(unaudited)

    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 period

                $ 42.62     $ 49.88      $ 50.93      $ 50.35      $ 47.67      $ 49.74  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

       0.69       0.66        0.04        0.77        1.34        1.12  

Net realized and unrealized gain (loss)(b)

       1.91       (7.31      (0.61      0.82        2.69        (2.05
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

       2.60       (6.65      (0.57      1.59        4.03        (0.93
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions(c)

                  

From net investment income

       (0.65     (0.61      (0.06      (0.82      (1.35      (1.14

Return of capital

                    (0.42      (0.19             (0.00 )(d)  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions

       (0.65     (0.61      (0.48      (1.01      (1.35      (1.14
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

     $ 44.57     $ 42.62      $ 49.88      $ 50.93      $ 50.35      $ 47.67  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return(e)

                  

Based on net asset value

       6.10 %(f)       (13.42 )%       (1.14 )%       3.18      8.55      (1.90 )% 
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets(g)

                  

Total expenses

       0.10 %(h)       0.10      0.15      0.15      0.15      0.15
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived

       0.09 %(h)       0.09      0.13      0.12      0.13      0.12
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income

       3.14 %(h)       1.41      0.08      1.51      2.71      2.31
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                  

Net assets, end of period (000)

     $ 296,396     $ 330,278      $ 483,847      $ 481,283      $ 178,753      $ 102,483  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate(i)(j)

       198     313      498      699      529      834
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(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)

Rounds to less than $0.01.

(e)

Where applicable, assumes the reinvestment of distributions.

(f)

Not annualized.

(g)

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

(h)

Annualized.

(i)

Portfolio turnover rate excludes in-kind transactions.

(j)

Includes mortgage dollar roll transactions (“MDRs”).

See notes to financial statements.

 

 

I N A N C I A L  I G H L I G H T S

  39


Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares TIPS Bond ETF  
   

Six Months Ended
04/30/23

(unaudited)

    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 period

                $ 106.26     $ 128.61      $ 125.29      $ 116.11      $ 108.83      $ 113.73  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

       1.13       7.63        4.90        1.56        2.11        3.14  

Net realized and unrealized gain (loss)(b)

       3.26       (21.96      3.33        8.87        7.41        (4.63
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

       4.39       (14.33      8.23        10.43        9.52        (1.49
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions from net investment income(c)

       (0.61     (8.02      (4.91      (1.25      (2.24      (3.41
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

     $ 110.04     $ 106.26      $ 128.61      $ 125.29      $ 116.11      $ 108.83  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return(d)

                  

Based on net asset value

       4.13 %(e)       (11.62 )%       6.67      9.02      8.80      (1.36 )% 
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets(f)

                  

Total expenses

       0.19 %(g)       0.19      0.19      0.19      0.19      0.19
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income

       2.10 %(g)       6.36      3.84      1.29      1.87      2.80
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                  

Net assets, end of period (000)

     $ 22,800,510     $ 24,981,866      $ 35,868,635      $ 23,956,337      $ 20,436,063      $ 22,223,190  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate(h)

       10     20      34      53      17      21
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(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)

Not annualized.

(f)

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

(g)

Annualized.

(h)

Portfolio turnover rate excludes in-kind transactions.

See notes to financial statements.

 

 

40  

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


Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares Treasury Floating Rate Bond ETF  
   

Six Months Ended

04/30/23

(unaudited)

    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 period

                $ 50.50     $ 50.26      $ 50.29      $ 50.28      $ 50.31      $ 50.24  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income (loss)(a)

       1.13       1.05        (0.01      0.31        1.08        0.92  

Net realized and unrealized gain (loss)(b)

       0.00       (0.44      (0.01      0.08        (0.04      (0.07
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

       1.13       0.61        (0.02      0.39        1.04        0.85  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions(c)

                  

Distributions from net investment income

       (1.02     (0.37      (0.01      (0.38      (1.07      (0.78

From net realized gain

             (0.00 )(d)        (0.00 )(d)                       
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions

       (1.02     (0.37      (0.01      (0.38      (1.07      (0.78
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

     $ 50.61     $ 50.50      $ 50.26      $ 50.29      $ 50.28      $ 50.31  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return(e)

                  

Based on net asset value

       2.24 %(f)       1.22      (0.04 )%       0.78      2.09      1.70
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets(g)

                  

Total expenses

       0.15 %(h)       0.15      0.15      0.15      0.15      0.15
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income (loss)

       4.53 %(h)       2.08      (0.02 )%       0.62      2.15      1.83
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                  

Net assets, end of period (000)

     $ 6,002,643     $ 3,782,823      $ 261,364      $ 407,351      $ 507,830      $ 306,913  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate(i)

       8     6      74      44      20      17
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(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)

Rounds to less than $0.01.

(e)

Where applicable, assumes the reinvestment of distributions.

(f)

Not annualized.

(g)

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

(h)

Annualized.

(i)

Portfolio turnover rate excludes in-kind transactions.

See notes to financial statements.

 

 

I N A N C I A L  I G H L I G H T S

  41


Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares U.S. Treasury Bond ETF  
   

Six Months Ended

04/30/23

(unaudited)

    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 period

                $ 22.40     $ 26.46      $ 27.66      $ 26.28      $ 24.17      $ 25.16  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income(a)

       0.27       0.38        0.25        0.39        0.53        0.48  

Net realized and unrealized gain (loss)(b)

       1.03       (4.11      (0.96      1.40        2.10        (1.00
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net increase (decrease) from investment operations

       1.30       (3.73      (0.71      1.79        2.63        (0.52
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Distributions(c)

                  

From net investment income

       (0.26     (0.33      (0.25      (0.41      (0.52      (0.47

From net realized gain

                    (0.24                     
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total distributions

       (0.26     (0.33      (0.49      (0.41      (0.52      (0.47
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value, end of period

     $ 23.44     $ 22.40      $ 26.46      $ 27.66      $ 26.28      $ 24.17  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Total Return(d)

                  

Based on net asset value

       5.84 %(e)       (14.21 )%       (2.58 )%       6.84      10.99      (2.10 )% 
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Ratios to Average Net Assets(f)

                  

Total expenses

       0.05 %(g)       0.05      0.09      0.15      0.15      0.15
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income

       2.36 %(g)       1.57      0.95      1.43      2.09      1.95
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Supplemental Data

                  

Net assets, end of period (000)

     $ 26,216,208     $ 21,241,914      $ 15,665,181      $ 15,037,638      $ 15,219,211      $ 6,747,196  
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Portfolio turnover rate(h)

       9     50      128      91      22      27
    

 

 

   

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

(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)

Not annualized.

(f)

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

(g)

Annualized.

(h)

Portfolio turnover rate excludes in-kind transactions.

See notes to financial statements.

 

 

42  

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


Notes to Financial Statements (unaudited)

 

1.

ORGANIZATION

iShares 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”):

 

iShares ETF   Diversification
Classification
 

0-5 Year TIPS Bond

    Diversified  

CMBS

    Diversified  

GNMA Bond

    Diversified  

TIPS Bond

    Diversified  

Treasury Floating Rate Bond

    Diversified  

U.S. Treasury 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.

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.

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

 

3.

INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the 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

 

 

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 (unaudited) (continued)

 

  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.

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

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

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

 

   

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

 

   

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

 

   

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

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

 

4.

SECURITIES AND OTHER INVESTMENTS

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

 

 

44  

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


Notes to Financial Statements (unaudited) (continued)

 

Inflation-Indexed Bonds: Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond is included as interest income in the Statements of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds.

Stripped Bonds: A stripped bond is a bond that has had its coupon payments and principal repayment stripped into two separate components then selling the separate parts as a zero-coupon bond and an interest paying coupon bond. Once stripped, each component trades as a separate security. Stripped bonds have a greater sensitivity to changes in interest rates than similar maturity debt obligations which provide for regular interest payments.

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.

Mortgage Dollar Roll Transactions: Certain Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.

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.

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.

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 the iShares 0-5 Year TIPS Bond ETF, BFA is entitled to an annual investment advisory fee of 0.03%, accrued daily and paid monthly by the Fund, based on the average daily net assets of the Fund.

 

 

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 (unaudited) (continued)

 

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

 

iShares ETF   Investment Advisory Fees  

CMBS

    0.25

GNMA Bond

    0.10  

Treasury Floating Rate Bond

    0.15  

U.S. Treasury Bond

    0.05  

For its investment advisory services to the iShares TIPS Bond ETF, BFA is entitled to an annual investment advisory fee, accrued daily and paid monthly by the Fund, based on the Fund’s allocable portion of the aggregate of the average daily net assets of the Fund and certain other iShares funds, as follows:

 

Aggregate Average Daily Net Assets   Investment
Advisory Fees
 

First $121 billion

    0.2000

Over $121 billion, up to and including $181 billion

    0.1900  

Over $181 billion, up to and including $231 billion

    0.1805  

Over $231 billion, up to and including $281 billion

    0.1715  

Over $281 billion

    0.1630  

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 Statement of Operations does not include acquired fund fees and expenses.

For the iShares GNMA Bond ETF, BFA has contractually agreed to waive a portion of its investment advisory fees for the Fund through February 29, 2024 in an amount equal to the acquired fund fees and expenses, if any, attributable to the Fund’s investments in other registered investment companies.

This amount is included in investment advisory fees waived in the Statement of Operation. For the six months ended April 30, 2023, the amounts waived in investment advisory fees pursuant to this arrangement were as follows:

 

iShares ETF   Amounts Waived  

GNMA Bond

  $ 15,839  

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 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.

 

 

46  

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


Notes to Financial Statements (unaudited) (continued)

 

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 six months ended April 30, 2023, the Funds paid BTC the following amounts for securities lending agent services:

 

iShares ETF   Amounts  

0-5 Year TIPS Bond

  $ 15,604  

TIPS Bond

    116,245  

Treasury Floating Rate Bond

    10,311  

U.S. Treasury Bond

    24,425  

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

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.

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

 

6.

PURCHASES AND SALES

For the six months ended April 30, 2023, purchases and sales of investments, including mortgage dollar rolls and excluding short-term securities and in-kind transactions, were as follows:

 

     U.S. Government Securities      Other Securities  
iShares ETF   Purchases      Sales      Purchases      Sales  

0-5 Year TIPS Bond

  $ 2,239,526,553      $ 2,182,515,446      $      $  

CMBS

    32,417,451        69,356,385        26,487,105        84,051,618  

GNMA Bond

    747,779,314        796,311,887                

TIPS Bond

    2,277,474,352        2,482,390,145                

Treasury Floating Rate Bond

    519,973,216        246,965,323                

U.S. Treasury Bond

    2,042,850,789        2,035,172,483                

For the six months ended April 30, 2023, in-kind transactions were as follows:

 

iShares ETF  

In-kind

Purchases

    

In-kind

Sales

 

0-5 Year TIPS Bond

  $ 7,757,544,717      $ 7,863,207,222  

CMBS

    8,769         

TIPS Bond

    4,777,521,896        7,740,820,987  

Treasury Floating Rate Bond

    2,606,294,852        426,882,352  

U.S. Treasury Bond

    7,324,507,246        3,684,688,522  

 

7.

INCOME TAX INFORMATION

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

Management has analyzed tax laws and regulations and their application to the Funds as of April 30, 2023, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

As of October 31, 2022, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:

 

iShares ETF   Non-Expiring
Capital Loss
Carryforwards
 

0-5 Year TIPS Bond

  $ 79,005,302  

CMBS

    18,311,730  

GNMA Bond

    12,309,603  

TIPS Bond

    396,779,209  

U.S. Treasury Bond

    538,370,420  

 

 

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 (unaudited) (continued)

 

As of April 30, 2023, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

 

iShares ETF   Tax Cost      Gross Unrealized
Appreciation
     Gross Unrealized
Depreciation
    Net Unrealized
Appreciation
(Depreciation)
 

0-5 Year TIPS Bond

  $ 13,698,247,310      $ 9,777,586      $ (590,667,197   $ (580,889,611

CMBS

    569,579,757        378,822        (59,635,844     (59,257,022

GNMA Bond

    331,079,311        828,748        (24,880,683     (24,051,935

TIPS Bond

    25,588,646,881        11,329,167        (2,953,318,051     (2,941,988,884

Treasury Floating Rate Bond

    5,457,764,781        2,089,514        (896,091     1,193,423  

U.S. Treasury Bond

    27,768,749,242        37,965,638        (1,809,696,288     (1,771,730,650

 

8.

PRINCIPAL RISKS

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

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

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

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

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.

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.

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

Certain Funds 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

 

 

48  

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


Notes to Financial Statements (unaudited) (continued)

 

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.

Certain Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedule of Investments.

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

 

9.

CAPITAL SHARE TRANSACTIONS

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

Transactions in capital shares were as follows:

 

 

 
    Six Months Ended
04/30/23
    Year Ended
10/31/22
 
iShares ETF   Shares     Amount     Shares     Amount  

 

 

0-5 Year TIPS Bond

       

Shares sold

    33,200,000     $ 3,239,993,675       73,950,000     $ 7,703,184,734  

Shares redeemed

    (30,950,000     (3,028,528,475     (19,950,000     (2,015,156,629
 

 

 

   

 

 

   

 

 

   

 

 

 
    2,250,000     $ 211,465,200       54,000,000     $ 5,688,028,105  
 

 

 

   

 

 

   

 

 

   

 

 

 

CMBS

       

Shares sold

    700,000     $ 32,717,875       1,600,000     $ 82,403,093  

Shares redeemed

    (2,800,000     (129,598,495     (3,900,000     (190,870,900
 

 

 

   

 

 

   

 

 

   

 

 

 
    (2,100,000   $ (96,880,620     (2,300,000   $ (108,467,807
 

 

 

   

 

 

   

 

 

   

 

 

 

GNMA Bond

       

Shares sold

    3,950,000     $ 173,477,166       1,150,000     $ 53,550,684  

Shares redeemed

    (5,050,000     (223,328,148     (3,100,000     (149,066,740
 

 

 

   

 

 

   

 

 

   

 

 

 
    (1,100,000   $ (49,850,982     (1,950,000   $ (95,516,056
 

 

 

   

 

 

   

 

 

   

 

 

 

TIPS Bond

       

Shares sold

    44,400,000     $ 4,809,124,884       92,200,000     $ 11,219,666,328  

Shares redeemed

    (72,300,000     (7,816,010,329     (136,000,000     (16,054,690,918
 

 

 

   

 

 

   

 

 

   

 

 

 
    (27,900,000   $ (3,006,885,445     (43,800,000   $ (4,835,024,590
 

 

 

   

 

 

   

 

 

   

 

 

 

Treasury Floating Rate Bond

       

Shares sold

    52,300,000     $ 2,638,353,834       75,600,000     $ 3,808,560,987  

Shares redeemed

    (8,600,000     (433,965,011     (5,900,000     (297,073,779
 

 

 

   

 

 

   

 

 

   

 

 

 
    43,700,000     $ 2,204,388,823       69,700,000     $ 3,511,487,208  
 

 

 

   

 

 

   

 

 

   

 

 

 

U.S. Treasury Bond

       

Shares sold

    324,600,000     $ 7,522,573,068       611,000,000     $ 14,659,250,742  

Shares redeemed

    (154,500,000     (3,571,815,787     (254,600,000     (5,862,377,326
 

 

 

   

 

 

   

 

 

   

 

 

 
    170,100,000     $ 3,950,757,281       356,400,000     $ 8,796,873,416  
 

 

 

   

 

 

   

 

 

   

 

 

 

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.

 

 

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


Notes to Financial Statements (unaudited) (continued)

 

10.

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.

 

 

50  

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


Statement Regarding Liquidity Risk Management Program (unaudited)

 

In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), iShares Trust (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) for iShares 0-5 Year TIPS Bond ETF, iShares CMBS ETF, iShares GNMA Bond ETF, iShares TIPS Bond ETF, iShares Treasury Floating Rate Bond ETF and iShares U.S. Treasury Bond ETF (the “Funds” or “ETFs”), each a series of the Trust, which is reasonably designed to assess and manage each Fund’s liquidity risk.

The Board of Trustees (the “Board”) of the Trust, on behalf of the Funds, met on December 9, 2022 (the “Meeting”) to review the Program. The Board previously appointed BlackRock Fund Advisors (“BlackRock”), the investment adviser to the Funds, as the program administrator for each Fund’s Program. BlackRock also previously delegated oversight of the Program to the 40Act Liquidity Risk Management Committee (the “Committee”). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of each Fund’s Highly Liquid Investment Minimum (“HLIM”) where applicable, and any material changes to the Program (the “Report”). The Report covered the period from October 1, 2021 through September 30, 2022 (the “Program Reporting Period”).

The Report described the Program’s liquidity classification methodology for categorizing each Fund’s investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish each Fund’s HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including extended market holidays, the imposition of capital controls in certain non-U.S. countries, Russian sanctions and the closure of the Russian securities market.

The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund’s liquidity risk, as follows:

 

  a)  

The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed whether each Fund’s strategy is appropriate for an open-end fund structure, with a focus on funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Derivative exposure was also considered in the calculation of a fund’s liquidity bucketing. Finally, a factor for consideration under the Liquidity Rule is a Fund’s use of borrowings for investment purposes. However, the Funds do not borrow for investment purposes.

 

  b)  

Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish each ETF’s reasonably anticipated trading size (“RATS”). The Committee may also take into consideration a fund’s shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a fund’s distribution channels, and the degree of certainty associated with a fund’s short-term and long-term cash flow projections.

 

  c)  

Holdings of cash and cash equivalents, as well as borrowing arrangements. The Committee considered that ETFs generally do not hold more than de minimis amounts of cash. The Committee also considered that ETFs generally do not engage in borrowing.

 

  d)  

The relationship between an ETF’s portfolio liquidity and the way in which, and the prices and spreads at which, ETF shares trade, including the efficiency of the arbitrage function and the level of active participation by market participants, including authorized participants. The Committee monitored the prevailing bid/ask spread and the ETF price premium (or discount) to NAV for all ETFs. However, there were no ETFs with persistent deviations of fund premium/discount or bid/ask spreads from long-term averages over the Program Reporting Period.

 

  e)  

The effect of the composition of baskets on the overall liquidity of an ETF’s portfolio. In reviewing the linkage between the composition of custom baskets accepted by an ETF and any significant change in the liquidity profile of such ETF, the Committee reviewed changes in the proportion of each ETF’s portfolio comprised of less liquid and illiquid holdings to determine if applicable thresholds were met requiring enhanced review.

There were no material changes to the Program during the Program Reporting Period other than the enhancement of certain model components in the Program’s classification methodology. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

 

 

T A T E M E N T  E G A R D I N G   I Q U I D I T Y  I S K  A N A G E M E N T  R O G R A M

  51


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.

April 30, 2023

 

     Total Cumulative Distributions
for the Fiscal Year-to-Date
    % Breakdown of the Total Cumulative
Distributions for the Fiscal Year-to-Date
 
iShares 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
 

CMBS

  $ 0.643033     $     $     $ 0.643033       100             100

GNMA Bond

    0.645083                   0.645083       100                   100  

Treasury Floating Rate Bond

    1.023049                   1.023049       100                   100  

 

 

52  

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


General Information

 

Electronic Delivery

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

To enroll in electronic delivery:

 

   

Go to icsdelivery.com.

   

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

Householding

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

Availability of Quarterly Schedule of Investments

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

Availability of Proxy Voting Policies and Proxy Voting Records

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

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

 

 

E N E R A L   I N F O R M A T I O  N

  53


Glossary of Terms Used in this Report

 

Portfolio Abbreviation
STRIPS    Separate Trading of Registered Interest & Principal of Securities
TBA    To-Be-Announced

 

 

54  

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


 

Want to know more?

iShares.com    |     1-800-474-2737

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

Investing involves risk, including possible loss of principal.

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

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

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

iS-SAR-1005-0423

 

 

 

LOGO

   LOGO