LOGO

  APRIL 30, 2022

 

  

 

2022 Semi-Annual Report

(Unaudited)

 

 

iShares U.S. ETF Trust

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

·  iShares Commodity Curve Carry Strategy ETF | CCRV | NYSE Arca

·  iShares Gold Strategy ETF | IAUF | Cboe BZX

·  iShares GSCI Commodity Dynamic Roll Strategy ETF | COMT | NASDAQ


The Markets in Review

Dear Shareholder,

The 12-month reporting period as of April 30, 2022 saw the emergence of significant challenges that disrupted the economic recovery and strong financial markets which characterized 2021. The U.S. economy shrank in the first quarter of 2022, ending the run of robust growth which followed reopening and the development of the COVID-19 vaccines. Rapid changes in consumer spending led to supply constraints and elevated inflation, which reached a 40-year high. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the invasion has presented challenges for both investors and policymakers.

Equity prices were mixed but mostly down, as persistently high inflation drove investors’ expectations for higher interest rates, particularly weighing on relatively high valuation growth stocks and economically sensitive small-capitalization stocks. Overall, small-capitalization U.S. stocks declined, while large-capitalization U.S. stocks were nearly flat. Both emerging market stocks and international equities from developed markets fell significantly, pressured by rising interest rates and a strengthening U.S. dollar.

The 10-year U.S. Treasury yield (which is inversely related to bond prices) rose during the reporting period as increasing inflation drove investors’ expectations for higher interest rates. The corporate bond market also faced inflationary headwinds, and increasing uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).

The U.S. Federal Reserve (the “Fed”), acknowledging that inflation is growing faster than expected, raised interest rates in March 2022, the first increase of this business cycle. Furthermore, the Fed wound down its bond-buying programs and raised the prospect of reversing the flow and reducing its balance sheet. Continued high inflation and the Fed’s new tone led many analysts to anticipate that the Fed will continue to raise interest rates multiple times throughout the year.

Looking ahead, however, the horrific war in Ukraine has significantly clouded the outlook for the global economy, leading to major volatility in energy and metal markets. Sanctions on Russia, Europe’s top energy supplier, and general wartime disruption are likely to drive already-high commodity prices even higher. We believe sharp increases in energy prices will exacerbate inflationary pressure while also constraining economic growth. Combating inflation without stifling a recovery, while buffering against ongoing supply and price shocks amid the ebb and flow of the pandemic, will be an especially challenging environment for setting effective monetary policy. Despite the likelihood of more rate increases on the horizon, we believe the Fed will err on the side of protecting employment, even at the expense of higher inflation.

In this environment, we favor an overweight to equities, as valuations have become more attractive and inflation-adjusted interest rates remain low. Sectors that are better poised to manage the transition to a lower-carbon world, such as technology and healthcare, are particularly attractive in the long term. We favor U.S. equities due to strong earnings momentum, while Japanese equities should benefit from supportive monetary and fiscal policy. We are underweight credit overall, but inflation-protected U.S. Treasuries, Asian fixed income, and emerging market local-currency bonds offer potential opportunities for additional yield. We believe that international diversification and a focus on sustainability and quality can help provide portfolio resilience.

Overall, our view is that investors need to think globally, extend their scope across a broad array of asset classes, 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.

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock, Inc.

LOGO

Rob Kapito

President, BlackRock, Inc.

 

Total Returns as of April 30, 2022  
     
     6-Month   12-Month
   

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

    (9.65 )%      0.21
   

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

    (18.38     (16.87
   

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

    (11.80     (8.15
   

Emerging market equities
(MSCI Emerging Markets Index)

    (14.15     (18.33
   

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

    0.07       0.08  
   

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

    (10.29     (8.86
   

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

    (9.47     (8.51
   

Tax-exempt municipal bonds
(Bloomberg Municipal Bond Index)

    (7.90     (7.88
   

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

    (7.40     (5.22
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  

T 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  

Fund Summary

     4  

About Fund Performance

     8  

Shareholder Expenses

     8  

Consolidated Schedules of Investments

     9  

Consolidated Financial Statements

  

Consolidated Statements of Assets and Liabilities

     21  

Consolidated Statements of Operations

     22  

Consolidated Statements of Changes in Net Assets

     23  

Consolidated Financial Highlights

     25  

Notes to Consolidated Financial Statements

     29  

Statement Regarding Liquidity Risk Management Program

     36  

Supplemental Information

     37  

General Information

     38  

Glossary of Terms Used in this Report

     39  

 

 

 


Fund Summary as of April 30, 2022    iShares® Bloomberg Roll Select Commodity Strategy ETF

 

Investment Objective

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

Performance

 

             Average Annual Total Returns                Cumulative Total Returns    
     6 Months         1 Year     Since   
Inception   
         1 Year     Since   
Inception   

Fund NAV

    24.41     42.37   11.27%       42.37   54.57%

Fund Market

    23.21       41.24     11.12          41.24     53.71   

Index

    25.04       43.62     11.89                43.62     58.08   

The inception date of the Fund was 4/3/18. The first day of secondary market trading was 4/5/18.

Certain sectors and markets performed exceptionally well based on market conditions during the one-year period. Achieving such exceptional returns involves the risk of volatility and investors should not expect that such exceptional returns will be repeated.

Past performance is no guarantee 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” on page 8 for more information.

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 


Beginning

Account Value
(11/01/21)

 


 

      

Ending

    Account Value

(04/30/22)

 

 

 

      


Expenses

Paid During
the Period 

 


(a) 

              


Beginning

Account Value
(11/01/21)

 


 

      


Ending

Account Value
(04/30/22)

 


 

      

Expenses

Paid During

the Period

 

 

 (a) 

      

     Annualized

Expense

Ratio

 

 

 

      $       1,000.00          $       1,244.10          $         1.50               $       1,000.00          $       1,023.50          $        1.35          0.27

 

  (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 “Shareholder Expenses” for more information.

 

Portfolio Information

 

ALLOCATION BY INVESTMENT TYPE

 

   
Investment Type   Percent of
Net Assets
 

Commercial Paper

    70.7

U.S. Treasury Obligations

    14.7  

Money Market Funds

    9.2  

Cash

    6.7  

Futures

    0.5  

Other assets, less liabilities

    (1.8

COMMODITIES EXPOSURE

 

   
Sector Exposure(a)   Percent of
Exposure
 

Energy Futures

    36.2

Agriculture Futures

    28.8  

Precious Metals Futures

    16.5  

Industrial Metals Futures

    14.0  

Livestock Futures

    4.5  

 

  (a) 

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

 

 

 

4  

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


Fund Summary as of April 30, 2022    iShares® Commodity Curve Carry Strategy ETF

 

Investment Objective

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

Performance

 

         

   Average Annual Total Returns   

          Cumulative Total Returns  
     6 Months         1 Year     

Since   

Inception   

             1 Year     

Since

Inception

 

Fund NAV

    29.99   49.98%   43.75%       49.98      82.86

Fund Market

    29.00     49.70      43.49          49.70        82.30  

Index

    30.35     50.78      44.50                50.78        84.50  

The inception date of the Fund was 9/1/20. The first day of secondary market trading was 9/3/20.

Certain sectors and markets performed exceptionally well based on market conditions during the six-months and one-year periods. Achieving such exceptional returns involves the risk of volatility and investors should not expect that such exceptional returns will be repeated.

Past performance is no guarantee 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” on page 8 for more information.

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 

Beginning

Account Value

(11/01/21)

 

 

 

      

Ending

    Account Value

(04/30/22)

 

 

 

      

Expenses

Paid During

the Period

 

 

 (a) 

           

Beginning

Account Value

(11/01/21)

 

 

 

      

Ending

Account Value

(04/30/22)

 

 

 

      

Expenses

Paid During

the Period

 

 

 (a) 

      

     Annualized

Expense

Ratio

 

 

 

      $       1,000.00          $       1,299.90          $        2.22               $       1,000.00          $       1,022.90          $        1.96          0.39

 

  (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 “Shareholder Expenses” for more information.

 

Portfolio Information

 

ALLOCATION BY INVESTMENT TYPE

 

   
Investment Type  

Percent of

Net Assets

 

Commercial Paper

    58.4

U.S. Treasury Obligations

    11.7  

Money Market Funds

    31.3  

Cash

    0.0 (a) 

Commodity Swaps

    30.7  

Other assets, less liabilities

    (32.1

FIVE LARGEST HOLDINGS

 

   
Security  

Percent of

Net Assets

 

U.S. Treasury Bill, 0.29%, 05/24/22

    7.4

Ecolab Inc., 0.80%, 05/18/22

    3.2  

Export Development Corp., 0.76%, 06/23/22

    3.2  

NASDAQ Inc., 1.06%, 06/17/22

    3.2  

Bayerische Landesbank/New York, 1.08%, 07/07/22

    3.2  

 

  (a) 

Rounds to less than 0.1%.

 

 

 

F U N D   S U M M A R Y

  5


Fund Summary as of April 30, 2022    iShares® Gold Strategy ETF

 

Investment Objective

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

Performance

 

             Average Annual Total Returns             Cumulative Total Returns  
    

 

 

     
                    
              6 Months           1 Year    

Since   

Inception   

           1 Year    

Since

Inception

 

Fund NAV

     6.37     6.74     8.86%         6.74     39.27

Fund Market

     5.83       6.20       8.72            6.20       38.56  

Index

     6.62       7.23       9.10                  7.23       40.45  

The inception date of the Fund was 6/6/18. The first day of secondary market trading was 6/8/18.

Past performance is no guarantee 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” on page 8 for more information.

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 

Beginning

Account Value

(11/01/21)

 

 

 

      


Ending

      Account Value
(04/30/22)

 


 

      

Expenses

Paid During

the Period

 

 

 (a) 

              

Beginning

Account Value

(11/01/21)

 

 

 

      

Ending

Account Value

(04/30/22)

 

 

 

      


Expenses

Paid During
the Period

 


 (a) 

      

      Annualized

Expense

Ratio

 

 

 

      $       1,000.00          $       1,063.70          $        0.77               $       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 “Shareholder Expenses” for more information. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio.

 

Portfolio Information

 

ALLOCATION BY INVESTMENT TYPE

 

 

   
Investment Type  

Percent of

Net Assets

 

Money Market Funds

    76.7

Grantor Trust

    21.9  

Cash

    3.2  

Futures

    (0.6

Other assets, less liabilities

    (1.2

COMMODITY-LINKED FUTURES

 

 

   
Sector Exposure(a)  

Percent of

Net Assets

 

Gold Futures

    75.8

 

  (a) 

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

 

 

 

6  

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


Fund Summary as of April 30, 2022    iShares® GSCI Commodity Dynamic Roll Strategy ETF

 

Investment Objective

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

Performance

 

           Average Annual Total Returns            Cumulative Total Returns  
     6 Months      1 Year      5 Years     

Since

Inception

            1 Year      5 Years     

Since

Inception

 

Fund NAV

    31.95      53.58      12.36      2.67        53.58      79.10      22.00

Fund Market

    31.19        52.95        12.29        2.61                 52.95        78.53        21.43  

Index

    32.32        54.35        12.80        (0.17              54.35        82.59        (1.26

The inception date of the Fund was 10/15/14. The first day of secondary market trading was 10/16/14.

Certain sectors and markets performed exceptionally well based on market conditions during the six-months and one-year periods. Achieving such exceptional returns involves the risk of volatility and investors should not expect that such exceptional returns will be repeated.

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

Past performance is no guarantee 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” on page 8 for more information.

Expense Example

 

Actual           Hypothetical 5% Return        

 

 

     

 

 

   
 

Beginning

Account Value

(11/01/21)

 

 

 

      

Ending

      Account Value

(04/30/22)

 

 

 

      

Expenses

Paid During

the Period

 

 

 (a) 

              

Beginning

Account Value

(11/01/21)

 

 

 

      

Ending

Account Value

(04/30/22)

 

 

 

      

Expenses

Paid During

the Period

 

 

 (a) 

   

      Annualized
Expense

Ratio

 
 

 

      $       1,000.00          $       1,319.50          $        2.76               $       1,000.00          $       1,022.40          $        2.41       0.48

 

  (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 “Shareholder Expenses” for more information.

 

Portfolio Information

 

ALLOCATION BY INVESTMENT TYPE

 

 

   
Investment Type  

Percent of

Net Assets

 

Commercial Paper

    66.2

U.S. Treasury Obligations

    12.3  

Certificates of Deposit

    4.2  

Money Market Funds

    9.1  

Cash

    3.5  

Futures

    5.1  

Other assets, less liabilities

    (0.4

COMMODITY-LINKED FUTURES

 

 

   
Sector Exposure(a)  

Percent of

Net Assets

 

Energy Futures

    62.1

Agriculture Futures

    18.8  

Industrial Metals Futures

    10.3  

Livestock Futures

    5.2  

Precious Metals Futures

    3.6  

 

  (a) 

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

 

 

 

F U N D   S U M M A R Y

  7


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.

Shareholder 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 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 a 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.

 

 

8  

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


Consolidated Schedule of Investments (unaudited)

April 30, 2022

  

iShares® Bloomberg Roll Select Commodity Strategy  ETF

(Percentages shown are based on Net Assets)

 

Security  

 

Par

(000)

    Value  

 

 

Commercial Paper

   

ANZ New Zealand International Ltd.

   

0.46%, 05/09/22(a)

  $     7,000     $     6,999,113  

1.15%, 07/19/22(a)

    6,000       5,984,569  

AT & T Inc., 0.56%, 05/02/22(a)

    1,950       1,949,909  

Banco Santander SA, 0.39%, 05/04/22(a)

    2,000       1,999,891  

Barton Capital Corp., 1.07%, 07/05/22(a)

    6,000       5,988,074  

Bayerische Landesbank/New York, 1.08%, 07/07/22(a)

    12,000       11,975,160  

BNP Paribas SA, 0.88%, 06/16/22(a)

    10,000       9,988,347  

Brighthouse Financial Short Term Funding

   

0.71%, 05/23/22(a)

    3,000       2,998,574  

0.75%, 06/01/22(a)

    4,000       3,997,252  

Britannia Funding Co.

   

0.81%, 06/07/22(a)

    1,750       1,748,358  

1.02%, 06/27/22(a)

    5,000       4,991,699  

Ecolab Inc., 0.80%, 05/18/22(a)

    10,000       9,995,804  

ENGIE SA, 0.90%, 06/08/22(a)

    5,800       5,794,039  

Export Development Corp., 0.76%, 06/23/22(a)

    13,000       12,984,866  

Federation des Caisses, 0.79%, 06/06/22(a)

    12,500       12,489,603  

Fidelity National Information Services, 0.89%, 05/23/22(a)

    11,333       11,326,291  

Ionic Capital II Trust, 0.80%, 05/27/22(a)

    10,000       9,994,190  

Korea Development Bank (The), 0.71%, 05/25/22(a)

    4,000       3,997,952  

Landesbank Baden-Wuerttemberg, 0.95%, 06/21/22(a)

    10,000       9,985,984  

Lime Funding LLC, 0.59%, 05/04/22(a)

    8,377       8,376,547  

Lloyds Bank PLC

   

0.95%, 07/01/22(a)

    5,000       4,991,688  

1.13%, 07/19/22(a)

    10,000       9,974,575  

Mitsubishi HC Capital America Inc., 0.82%, 05/17/22(a)

    6,000       5,997,537  

Mitsubishi UFJ Financial Group

   

0.73%, 05/31/22(a)

    7,000       6,995,439  

1.10%, 07/06/22(a)

    4,000       3,991,689  

Mizuho Bank Ltd.

   

0.86%, 06/14/22(a)

    8,000       7,991,260  

0.87%, 06/15/22(a)

    4,000       3,995,478  

Mont Blanc Capital Corp., 0.83%, 06/10/22(a)

    7,000       6,992,993  

NASDAQ Inc., 1.06%, 06/17/22(a)

    8,350       8,338,021  

Nieuw Amsterdam Recv

   

0.64%, 05/11/22(a)

    5,000       4,999,078  

0.81%, 06/06/22(a)

    5,000       4,995,334  

Nutrien Ltd.

   

0.85%, 05/19/22(a)

    7,000       6,996,683  

1.20%, 06/28/22(a)

    2,300       2,295,400  
Security  

Par/

Shares

(000)

    Value  

 

 

Regatta Funding Co., 1.43%, 07/25/22(a)

  $     12,000     $ 11,963,112  

Sherwin Williams Co., 0.47%, 05/03/22(a)

    6,000       5,999,684  

ST Engineering

   

0.43%, 05/09/22(a)

    11,000       10,998,689  

0.91%, 07/13/22(a)

    3,000       2,994,300  

Starbird Funding Corp., 0.62%, 05/16/22(a)

    2,000       1,999,412  

Verizon Communications Inc., 0.89%, 05/23/22(a)

    9,000       8,994,672  

Victory Receivables

   

0.46%, 05/04/22(a)

    1,000       999,946  

1.03%, 06/28/22(a)

    2,000       1,996,400  

VW CR Inc., 0.89%, 05/23/22(a)

    4,500       4,497,336  
   

 

 

 

Total Commercial Paper — 70.7%
(Cost: $272,579,676)

      272,564,948  
   

 

 

 

U.S. Treasury Obligations

   

U.S. Treasury Bill

   

0.09%, 05/03/22(a)

    550       549,999  

0.11%, 05/10/22(a)

    8,600       8,599,785  

0.19%, 05/17/22(a)

    1,100       1,099,914  

0.29%, 05/24/22(a)

    24,700       24,695,660  

0.45%, 06/16/22(a)

    21,850       21,837,863  
   

 

 

 

Total U.S. Treasury Obligations — 14.7%
(Cost: $56,779,855)

      56,783,221  
   

 

 

 

Money Market Funds

   

BlackRock Cash Funds: Treasury, SL Agency Shares, 0.34%(b)(c)

    35,520       35,520,000  
   

 

 

 

Total Money Market Funds — 9.2%
(Cost: $35,520,000)

      35,520,000  
   

 

 

 

Total Investments in Securities — 94.6%
(Cost: $364,879,531)

      364,868,169  

Other Assets, Less Liabilities — 5.4%

      20,652,583  
   

 

 

 

Net Assets — 100.0%

    $  385,520,752  
   

 

 

 

 

(a) 

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

(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, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                   
Affiliated Issuer   

Value at

10/31/21

    

Purchases

at Cost

    

Proceeds

from Sales

    

Net Realized

Gain (Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Value at

04/30/22

    

Shares

Held at

04/30/22

(000)

     Income     

Capital Gain

Distributions from

Underlying Funds

 

BlackRock Cash Funds: Treasury, SL Agency Shares

   $ 19,480,000      $ 16,040,000 (a)     $      $      $      $ 35,520,000        35,520      $ 12,765      $  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

(a) 

Represents net amount purchased (sold).

 

 

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

  9


Consolidated Schedule of Investments (unaudited) (continued)

April 30, 2022

   iShares® Bloomberg Roll Select Commodity Strategy ETF

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

 

 
Description   

Number of

Contracts

    

Expiration

Date

    

Notional

Amount

(000)

    

Value/

Unrealized

Appreciation

(Depreciation)

 

 

 

Long Contracts

           

Bloomberg Roll Select Index

     11,283        06/15/22      $ 381,523      $ 1,825,199  
           

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

 

 
     Commodity
Contracts
 

 

 

Assets — Derivative Financial Instruments

  

Futures contracts

  

Unrealized appreciation on futures contracts(a)

   $ 1,825,199  
  

 

 

 

 

  (a) 

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

 

For the period ended April 30, 2022, the effect of derivative financial instruments in the Consolidated Statements of Operations was as follows:

 

 

 
     Commodity
Contracts
 

 

 

Net Realized Gain (Loss) from:

  

Futures contracts

   $ 70,472,970  
  

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

  

Futures contracts

   $ (8,825,877
  

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

 

 

Futures contracts:

  

Average notional value of contracts — long

   $ 278,737,369       

 

 

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

Fair Value Hierarchy as of Period End

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

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

 

                                                                                       

 

 
     Level 1        Level 2        Level 3        Total  

 

 

Investments

                 

Assets

                 

Commercial Paper

   $        $ 272,564,948        $        $ 272,564,948  

U.S. Treasury Obligations

              56,783,221                   56,783,221  

Money Market Funds

     35,520,000                            35,520,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $  35,520,000        $ 329,348,169        $        $ 364,868,169  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative financial instruments(a)

                 

Assets

                 

Futures Contracts

   $ 1,825,199        $        $        $ 1,825,199  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

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

 

See notes to Consolidated Financial Statements

 

 

10  

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


Consolidated Schedule of Investments (unaudited) 

April 30, 2022

  

iShares® Commodity Curve Carry Strategy ETF

(Percentages shown are based on Net Assets)

 

Security  

 

Par
(000)

    Value  

Commercial Paper

   

ANZ New Zealand International Ltd., 1.15%, 07/19/22(a)

  $   1,000     $ 997,428  

AT & T Inc., 0.56%, 05/02/22(a)

    250       249,988  

Bayerische Landesbank/New York, 1.08%, 07/07/22(a)

    1,300       1,297,309  

BNP Paribas SA, 0.88%, 06/16/22(a)

    300       299,650  

Britannia Funding Co., 0.81%, 06/07/22(a)

    500       499,531  

Caisse d’Amortissement de la Dette Sociale, 0.87%, 06/15/22(a)

    1,000       998,863  

Ecolab Inc., 0.80%, 05/18/22(a)

    1,300         1,299,454  

ENGIE SA, 0.90%, 06/08/22(a)

    500       499,486  

Export Development Corp., 0.76%, 06/23/22(a)

    1,300       1,298,487  

Federation des Caisses, 0.79%, 06/06/22(a)

    700       699,418  

Ionic Capital II Trust, 0.80%, 05/27/22(a)

    1,000       999,419  

Korea Development Bank (The), 0.71%, 05/25/22(a)

    1,000       999,488  

Landesbank Baden-Wuerttemberg, 0.95%, 06/21/22(a)

    1,000       998,598  

Lime Funding LLC, 0.59%, 05/04/22(a)

    1,000       999,946  

Lloyds Bank PLC, 1.13%, 07/19/22(a)

    1,000       997,457  

Matchpoint Finance PLC, 0.59%, 05/18/22(a)

    800       799,728  

Mitsubishi HC Capital America Inc., 0.82%, 05/17/22(a)

    750       749,692  

Mitsubishi UFJ Financial Group, 1.10%, 07/06/22(a)

    1,200       1,197,507  

NASDAQ Inc., 1.06%, 06/17/22(a)

    1,300       1,298,135  

Nieuw Amsterdam Recv

   

0.64%, 05/11/22(a)

    500       499,908  

0.81%, 06/06/22(a)

    500       499,533  

Nutrien Ltd.

   

0.85%, 05/19/22(a)

    1,100       1,099,479  

1.20%, 06/28/22(a)

    300       299,400  

Regatta Funding Co., 1.43%, 07/25/22(a)

    1,300       1,296,004  

Sherwin Williams Co., 0.47%, 05/03/22(a)

    500       499,974  

ST Engineering, 0.43%, 05/09/22(a)

    1,100       1,099,869  
Security   Par/
Shares
(000)
    Value  

 

 

Starbird Funding Corp., 0.62%, 05/16/22(a)

  $ 300     $ 299,912  

Verizon Communications Inc., 0.89%, 05/23/22(a)

      1,000       999,408  
   

 

 

 

Total Commercial Paper — 58.4%
(Cost: $23,774,893)

        23,773,071  
   

 

 

 

U.S. Treasury Obligations

   

U.S. Treasury Bill

   

0.11%, 05/10/22(a)

    1,150       1,149,971  

0.29%, 05/24/22(a)

    3,000       2,999,473  

0.45%, 06/16/22(a)

    600       599,667  
   

 

 

 

Total U.S. Treasury Obligations — 11.7%
(Cost: $4,748,849)

      4,749,111  
   

 

 

 

Money Market Funds

   

BlackRock Cash Funds: Treasury, SL Agency Shares, 0.34%(b)(c)

    12,750       12,750,000  
   

 

 

 

Total Money Market Funds — 31.3%
(Cost: $12,750,000)

 

    12,750,000  
   

 

 

 

Total Investments in Securities — 101.4%
(Cost: $41,273,742)

 

    41,272,182  

Other Assets, Less Liabilities — (1.4)%

      (560,402
   

 

 

 

Net Assets — 100.0%

    $   40,711,780  
   

 

 

 

 

(a) 

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

(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, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer  

Value at

10/31/21

    

Purchases

at Cost

   

Proceeds

from Sales

    

Net Realized

Gain (Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Value at

04/30/22

    

Shares

Held at

04/30/22

(000)

     Income     

Capital Gain

Distributions from

Underlying Funds

 

 

 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 7,190,000      $ 5,560,000 (a)    $      $      $      $ 12,750,000        12,750      $ 5,627      $  
         

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

(a) 

Represents net amount purchased (sold).

 

 

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

  11


Consolidated Schedule of Investments (unaudited) (continued)

April 30, 2022

   iShares® Commodity Curve Carry Strategy ETF

 

OTC Total Return Swaps

 

 

 

   
   

Paid by the Fund

  

Received by the Fund

    

 

      

 

      

 

   

 

      

 

     Upfront       

 

     

 

       Rate(a)    Frequency    Reference(b)    Frequency    Counterparty     

Effective

Date

    

Termination

Date

  Notional
Amount (000)
     Value     

Premiums

Paid

(Received)

    

Unrealized

Appreciation

(Depreciation)

   

        

 

 

   
  0.07%    At Termination    ICE BofA Commodity Enhanced Carry Total Return Index    At Termination      Citibank N.A.        N/A      09/01/22     10,289        $ 4,538,021        $(26,062      $ 4,564,083    
  0.07%    At Termination    ICE BofA Commodity Enhanced Carry Total Return Index    At Termination     
Merrill Lynch
International
 
 
     N/A      09/01/22     17,931        7,899,848        (53,673      7,953,521    
                        

 

 

    

 

 

    

 

 

   
                           $12,437,869        $(79,735      $12,517,604    
                        

 

 

    

 

 

    

 

 

   

 

  (a) 

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

 
  (b) 

Please refer to the Reference Entity below for more details.

 

Reference Entity

The ICE BofA Commodity Enhanced Carry Total Return Index consists of futures contracts under each counterparty. The following table represents the individual long positions and related weighting of the future contracts underlying the ICE BofA Commodity Enhanced Carry Total Return Index as of April 30, 2022.

 

 

 
Futures contracts    Maturity date      Weight %  

 

 

Brent Crude Oil

     10/31/2022        28.2

Corn

     12/14/2022        14.7  

Gas Oil

     12/12/2022        11.3  

RBOB Gasoline

     11/30/2022        10.3  

Soybeans

     11/14/2022        9.6  

Wheat

     12/14/2022        7.4  

WTI Crude Oil

     11/21/2022        7.3  

Coffee

     12/19/2022        3.2  

Zinc

     10/20/2022        3.2  

Lean Hogs

     10/14/2022        2.6  

Aluminum

     12/20/2022        2.3  

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

 

 

 
    

Premiums

Paid

    

Premiums

Received

    

Unrealized

Appreciation

    

Unrealized    

Depreciation    

 

 

 

Total Return Swaps

     $—        $(79,735      $12,517,604        $—      

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

 

 
     Commodity
Contracts
 

 

 

Assets — Derivative Financial Instruments

  

Swaps — OTC

  

Unrealized appreciation on OTC swaps; Swap premiums paid

   $ 12,517,604  
  

 

 

 

Liabilities — Derivative Financial Instruments

  

Swaps — OTC

  

Unrealized depreciation on OTC swaps; Swap premiums received

   $ 79,735  
  

 

 

 

For the period ended April 30, 2022, the effect of derivative financial instruments in the Consolidated Statements of Operations was as follows:

 

 

 
     Commodity
Contracts
 

 

 

Net Realized Gain (Loss) from:

  

Swaps

   $ 616,436  
  

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

  

Swaps

   $ 8,668,167  
  

 

 

 

 

 

12  

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


Consolidated Schedule of Investments (unaudited) (continued)

April 30, 2022

   iShares® Commodity Curve Carry Strategy ETF

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

 

 

Total return swaps:

 

Average notional value

  $ 30,749,078      

 

 

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

Derivative Financial Instruments - Offsetting as of Period End

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

 

 

 
     Assets      Liabilities  

 

 

Derivative Financial Instruments:

     

Swaps - OTC(a)

   $ 12,517,604      $     79,735  
  

 

 

    

 

 

 

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

     12,517,604        79,735  

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

             
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

     12,517,604        79,735  
  

 

 

    

 

 

 

 

  (a) 

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

 

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

 

 

 
Counterparty    

Derivative

Assets

Subject to

an MNA by

Counterparty

 

 

 

 

 

    

Derivatives

Available

for Offset

 

 

(a) 

   


Non-Cash

Collateral
Received

 


 

    

Cash

Collateral

Received

 

 

(b) 

   

Net Amount

of Derivative

Assets

 

 

(c)   

 

 

Citibank N.A.

  $ 4,564,083      $ (26,062   $      $ (4,538,021   $  

Merrill Lynch International

    7,953,521        (53,673            (7,870,000     29,848  
 

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 
  $ 12,517,604      $ (79,735   $      $ (12,408,021   $ 29,848  
 

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

 

 

 
 

Derivative

Liabilities

Subject to

an MNA by

 

 

 

 

 

Derivatives

Available

 

 

 

Non-Cash

Collateral

 

 

 

Cash

Collateral

 

 

 

Net Amount

of Derivative

 

 

Counterparty

  Counterparty

 

      for Offset (a)    Pledged

 

  Pledged

 

           Liabilities (d)   

 

 

Citibank N.A.

 

    

  $ 26,062                $ (26,062        $          $         $  

Merrill Lynch International

      53,673         (53,673                          
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 
    $ 79,735       $ (79,735      $        $       $  
   

 

 

     

 

 

      

 

 

      

 

 

     

 

 

 

 

  (a) 

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

 
  (b) 

Excess of collateral received from the individual counterparty is not shown for financial reporting purposes.

 
  (c) 

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

 
  (d) 

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

 

Fair Value Hierarchy as of Period End

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

 

 

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

  13


Consolidated Schedule of Investments (unaudited) (continued)

April 30, 2022

   iShares® Commodity Curve Carry Strategy ETF

 

Fair Value Hierarchy as of Period End (continued)

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

 

                                                                               

 

 
    Level 1      Level 2      Level 3      Total  

 

 

Investments

          

Assets

          

Commercial Paper

  $      $ 23,773,071      $      $ 23,773,071  

U.S. Treasury Obligations

           4,749,111               4,749,111  

Money Market Funds

    12,750,000                      12,750,000  
 

 

 

    

 

 

    

 

 

    

 

 

 
  $ 12,750,000      $ 28,522,182      $      $ 41,272,182  
 

 

 

    

 

 

    

 

 

    

 

 

 

Derivative financial instruments(a)

          

Assets

          

Swaps

  $      $ 12,517,604      $      $ 12,517,604  
 

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

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

 

See notes to Consolidated Financial Statements

 

 

14  

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


Consolidated Schedule of Investments (unaudited)

April 30, 2022

  

iShares® Gold Strategy ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

 

 

Grantor Trust

   
Grantor Trust — 21.9%            

iShares Gold Trust(a)(b)

    211,472     $ 7,621,451  
   

 

 

 

Total Grantor Trust
(Cost: $6,834,680)

      7,621,451  
   

 

 

 

Short-Term Investments

   
Money Market Funds — 76.7%            

BlackRock Cash Funds: Treasury, SL Agency Shares, 0.34%(a)(c)

    26,707,000       26,707,000  
   

 

 

 

Total Short-Term Investments — 76.7%
(Costs: $26,707,000)

      26,707,000  
   

 

 

 

Total Investments in Securities — 98.6%
(Cost: $33,541,680)

      34,328,451  

Other Assets, Less Liabilities — 1.4%

      478,505  
   

 

 

 

Net Assets — 100.0%

    $   34,806,956  
   

 

 

 

 

(a) 

Affiliate of the Fund.

(b) 

Non-income producing security.

(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, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer   

Value at

10/31/21

    

Purchases

at Cost

    

Proceeds

from Sales

    

Net Realized

Gain (Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Value at

04/30/22

    

Shares

Held at

04/30/22

     Income     

Capital

Gain

Distributions

from

Underlying

Funds

 

 

 

BlackRock Cash Funds: Treasury, SL Agency Shares

   $ 23,797,000      $ 2,910,000 (a)     $      $      $      $ 26,707,000        26,707,000      $ 11,097      $  

iShares Gold Trust

     5,542,262        3,331,543        (1,665,762      (26,548      439,956        7,621,451        211,472                
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 
            $ (26,548    $ 439,956      $ 34,328,451         $ 11,097      $  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

 

 
Description   

Number of

Contracts

    

Expiration

Date

    

Notional

Amount

(000)

    

Value/

Unrealized

Appreciation

(Depreciation)

 

 

 

Long Contracts

           

Gold 100 OZ

     138        06/28/22      $ 26,381      $ (201,231
           

 

 

 

 

 

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

  15


Consolidated Schedule of Investments (unaudited) (continued)

April 30, 2022

   iShares® Gold Strategy ETF

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

 

 
   

Commodity

Contracts

 

 

 

Liabilities — Derivative Financial Instruments

 

Futures contracts

 

Unrealized depreciation on futures contracts(a)

  $ 201,231  
 

 

 

 

 

  (a) 

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

 

For the period ended April 30, 2022, the effect of derivative financial instruments in the Consolidated Statements of Operations was as follows:

 

 

 
   

Commodity

Contracts

 

 

 

Net Realized Gain (Loss) from:

 

Futures contracts

  $ 1,262,105  
 

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

 

Futures contracts

  $ 193,861  
 

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   

Futures contracts:

 

Average notional value of contracts — long

  $ 23,950,423      

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

Fair Value Hierarchy as of Period End

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

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

 

                                                                               

 

 
    Level 1       Level 2        Level 3        Total  

 

 

Investments

         

Assets

         

Grantor Trust

  $ 7,621,451     $      $      $ 7,621,451  

Money Market Funds

    26,707,000                     26,707,000  
 

 

 

   

 

 

    

 

 

    

 

 

 
  $ 34,328,451     $      $      $ 34,328,451  
 

 

 

   

 

 

    

 

 

    

 

 

 

Derivative financial instruments(a)

         

Liabilities

         

Futures Contracts

  $ (201,231   $      $      $ (201,231
 

 

 

   

 

 

    

 

 

    

 

 

 

 

  (a) 

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

 

See notes to Consolidated Financial Statements

 

 

16  

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


Consolidated Schedule of Investments (unaudited)

April 30, 2022

  

iShares® GSCI Commodity Dynamic Roll Strategy ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Certificates of Deposit

   

Bank of Montreal, 1.23%, 08/09/22

  $ 700     $ 697,965  

Bank of Nova Scotia, 0.45%, 05/18/22, (SOFR + 0.180%)(a)

    5,000       5,000,150  

Bayerische Landesbank/New York, 0.50%, 05/09/22

    32,750       32,748,714  

Canadian Imperial Bank of Commerce, 1.96%, 11/03/22

    11,000       10,908,430  

Cooperatieve Centrale, 1.05%, 07/18/22

    10,000       9,984,013  

Credit Suisse AG/New York NY

   

0.41%, 05/09/22, (SOFR + 0.300%)(a)

    5,000       5,000,301  

2.45%, 02/02/23

    5,000       4,948,383  

Landesbank Baden-Wuerttemberg, 0.81%, 06/03/22, (SOFR + 0.28000%)

    10,000       9,995,016  

Landesbank Hessen-Thueringen, 0.47%, 05/09/22

    18,000       17,999,283  

MUFG Bank Ltd./New York NY, 0.77%, 03/13/23, (SOFR + 0.300%)(a)

    22,000       21,972,508  

Natix NY, 0.56%, 06/17/22, (SOFR + 0.180%)(a)

    10,000       9,999,302  

Sumitomo Mitsui Banking Corp./New York, 0.64%, 07/29/22, (SOFR + 0.180%)(a)

    5,000       4,998,345  

Svenska Handelsbanken/New York NY, 0.72%, 10/27/22, (SOFR + 0.190%)(a)

    12,350       12,337,544  

Swedbank AB, 0.39%, 05/09/22

    25,000       24,999,616  

Toronto Dominion Bank, 0.67%, 05/23/22, (SOFR + 0.180%)(a)(b)

    5,000       5,000,000  
   

 

 

 

Total Certificates of Deposit — 4.2%
(Cost: $176,798,183)

          176,589,570  
   

 

 

 

Commercial Paper

   

Amcor Flexibles North America, 0.80%, 05/17/22

    50,000       49,980,100  

ANZ New Zealand International Ltd.

   

0.46%, 05/09/22

    25,000       24,996,833  

1.15%, 07/19/22

    100,000       99,742,825  

ASB Finance Ltd., 1.22%, 08/01/22

    8,000       7,974,495  

AT&T Inc., 0.78%, 05/17/22

    35,000       34,986,420  

Banco Santander SA, 0.39%, 05/04/22

    35,750       35,748,049  

Bank of Montreal, 0.98%, 07/08/22

    1,500       1,497,142  

Bank of Nova Scotia, 1.39%, 09/06/22

    13,000       12,934,888  

Barton Capital Corp., 1.07%, 07/05/22

    44,000       43,912,543  

Base Aktiengesellsch, 2.14%, 10/03/22

    17,450       17,288,589  

Bayerische Landesbank/New York

   

0.95%, 06/21/22

    100,000       99,860,875  

1.08%, 07/07/22

    18,350       18,312,016  

Bennington Sark Cap Co., 0.47%, 05/06/22

    60,000       59,994,983  

BNP Paribas SA, 0.88%, 06/16/22

    26,350       26,319,294  

Brighthouse Financial Short Term Funding

   

0.71%, 05/23/22

    59,175       59,146,872  

0.75%, 06/01/22

    36,000       35,975,268  

Britannia Funding Co.

   

0.81%, 06/07/22

    54,600       54,548,776  

1.02%, 06/27/22

    60,100       60,000,223  

Caisse d’Amortissement de la Dette Sociale, 0.87%, 06/15/22

    38,525       38,481,192  

Collateralized Commercial Paper V Co. LLC, 0.71%, 05/24/22

    20,000       19,990,097  

Commonwealth Bank of Australia, 0.78%, 04/03/23, (SOFR + 0.430%)(a)(b)

    24,200       24,196,594  

Ecolab Inc., 0.80%, 05/18/22

    11,650       11,645,112  

ENGIE SA, 0.90%, 06/08/22

    6,000       5,993,833  

Evergy Missouri, 0.89%, 05/23/22

    30,000       29,982,240  

Export Development Corp., 0.76%, 06/23/22

    37,000       36,956,926  
Security  

Par

(000)

    Value  

Federation des Caisses, 0.79%, 06/06/22

  $   143,000     $     142,881,055  

Fidelity National Information Services, 0.89%, 05/23/22

    56,667       56,633,453  

FMS Wertmanagement, 0.63%, 05/17/22

    50,000       49,984,150  

Ionic Capital II Trust, 0.80%, 05/27/22

    60,550       60,514,820  

Kookmin Bank, 2.63%, 04/25/23

    13,300       12,957,641  

Korea Development Bank (The), 0.71%, 05/25/22

    50,000       49,974,397  

La Fayette Asset Security, 0.77%, 06/08/22

    41,000       40,961,597  

Landesbank Baden- Wuerttemberg, 0.95%, 06/21/22

    75,000       74,894,883  

Legacy Capital Co., 1.09%, 06/21/22

    61,700       61,614,705  

Lime Funding LLC, 0.59%, 05/04/22

    62,550       62,546,620  

Lloyds Bank PLC

   

0.95%, 07/01/22

    52,700       52,612,386  

1.13%, 07/19/22

    125,000       124,682,187  

Macquarie Bank Ltd.

   

0.54%, 05/09/22

    35,400       35,394,651  

1.50%, 08/15/22

    15,000       14,932,680  

1.99%, 10/28/22

    22,300       22,084,892  

Matchpoint Finance PLC

   

0.59%, 05/18/22

    25,000       24,991,489  

0.72%, 05/31/22

    36,850       36,824,287  

Mitsubishi HC Capital America Inc.

   

0.82%, 05/17/22

    52,250       52,228,551  

1.05%, 06/06/22

    20,000       19,977,770  

Mitsubishi UFJ Financial Group

   

0.41%, 05/04/22

    25,000       24,998,590  

0.73%, 05/31/22

    75,000       74,951,133  

Mizuho Bank Ltd.

   

0.86%, 06/14/22

    64,200       64,129,861  

0.87%, 06/15/22

    72,100       72,018,483  

Mont Blanc Capital Corp., 0.83%, 06/10/22

    14,748       14,733,237  

National Australia Bank Ltd., 0.62%, 08/10/22, (SOFR + 0.150%)(a)(b)

    10,000       9,995,908  

Natix NY, 1.25%, 08/01/22

    7,000       6,977,244  

Nieuw Amsterdam Recv

   

0.64%, 05/11/22

    15,000       14,997,235  

0.81%, 06/06/22

    16,000       15,985,070  

Nutrien Ltd.

   

0.85%, 05/19/22

    11,900       11,894,361  

1.20%, 06/28/22

    20,400       20,359,200  

Regatta Funding Co., 1.43%, 07/25/22

    50,000       49,846,300  

Santander UK PLC, 1.03%, 07/11/22

    15,000       14,968,853  

Sherwin Williams Co.

   

0.47%, 05/03/22

    25,500       25,498,657  

0.61%, 05/09/22

    8,500       8,498,562  

0.79%, 05/18/22

    25,000       24,989,616  

Spire Inc., 0.70%, 05/12/22

    40,000       39,989,961  

ST Engineering

   

0.43%, 05/09/22

    100,000       99,988,083  

0.91%, 07/13/22

    32,000       31,939,200  

Starbird Funding Corp., 0.62%, 05/16/22

    12,475       12,471,330  

Toronto Dominion Bank, 1.24%, 07/29/22

    10,000       9,968,681  

Toronto-Dominion Bank, 0.80%, 03/31/23(a)

    24,300       24,307,425  

United Overseas Bank Ltd., 1.19%, 07/26/22

    3,950       3,938,500  

Verizon Communications Inc.

   

0.89%, 05/23/22

    14,013       14,004,704  

1.29%, 07/11/22

    50,000       49,869,512  

Versailles CDS LLC

   

1.38%, 08/03/22

    19,000       18,933,424  

1.38%, 08/04/22

    38,250       38,114,164  

Victory Receivables, 1.03%, 06/28/22

    25,000       24,955,000  

VW CR Inc., 0.89%, 05/23/22

    40,500       40,476,024  

 

 

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

  17


Consolidated Schedule of Investments (unaudited) (continued)

April 30, 2022

  

iShares® GSCI Commodity Dynamic Roll Strategy  ETF

(Percentages shown are based on Net Assets)

 

Security  

Par/

Shares

(000)

    Value  

Westpac Banking Corp., 1.37%, 08/30/22

  $ 7,000     $ 6,967,354  

Westpac Securities NZ Ltd., 1.00%, 07/01/22

    13,000       12,977,387  
   

 

 

 

Total Commercial Paper — 66.2%
(Cost: $2,791,262,997)

      2,790,901,458  
   

 

 

 

U.S. Treasury Obligations

   

U.S. Treasury Bill

   

0.29%, 05/24/22(c)

      374,000       373,934,292  

0.45%, 06/16/22(c)

    66,500       66,463,061  

0.57%, 06/21/22(c)

    80,000       79,937,593  
   

 

 

 

Total U.S. Treasury Obligations — 12.3%
(Cost: $520,325,287)

      520,334,946  
   

 

 

 

Money Market Funds

   

BlackRock Cash Funds: Treasury, SL Agency Shares, 0.34%(d)(e)

    386,590       386,590,095  
   

 

 

 

Total Money Market Funds — 9.1%
(Cost: $386,590,095)

      386,590,095  
   

 

 

 

Total Investments in Securities — 91.8%
(Cost: $3,874,976,562)

      3,874,416,069  

Other Assets, Less Liabilities — 8.2%

      344,618,685  
   

 

 

 

Net Assets — 100.0%

    $   4,219,034,754  
   

 

 

 

 

(a) 

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

(b) 

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

(c) 

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

(d) 

Affiliate of the Fund.

(e) 

Annualized 7-day yield as of period end.

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended April 30, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

   
    Affiliated Issuer  

Value at

10/31/21

    

Purchases

at Cost

   

Proceeds

from Sales

    

Net Realized

Gain (Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Value at

04/30/22

    

Shares

Held at

04/30/22

(000)

     Income     

Capital Gain

Distributions from

Underlying Funds

          
 

 

   

    

 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 233,060,095      $ 153,530,000 (a)    $      $      $      $ 386,590,095        386,590      $ 122,227      $    
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

   

 

(a) 

Represents net amount purchased (sold).

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

 

 
Description  

Number of

Contracts

    

Expiration

Date

    

Notional

Amount

(000)

    

Value/

Unrealized

Appreciation

(Depreciation)

 

 

 

Long Contracts

          

Brent Crude Oil

    7,719        05/31/22      $ 827,014      $ 34,502,163  

NY Harbor ULSD (Heat Oil)

    1,300        05/31/22        219,339        35,721,904  

Gas Oil

    2,634        06/10/22        307,256        51,918,348  

LME Lead

    340        06/13/22        19,206        (1,204,951

Gold 100 OZ

    788        06/28/22        150,642        (6,690,244

Live Cattle

    2,126        06/30/22        112,805        (3,652,780

Sugar

    2,671        06/30/22        57,288        (2,809,399

Silver

    135        07/27/22        15,582        (1,526,329

WTI Crude

    9,543        08/22/22        941,799        25,799,500  

 

 

18  

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


Consolidated Schedule of Investments (unaudited) (continued)

April 30, 2022

   iShares® GSCI Commodity Dynamic Roll Strategy ETF

 

Futures Contracts (continued)

 

 

 
Description  

Number of

Contracts

    

Expiration

Date

    

Notional

Amount

(000)

    

Value/

Unrealized

Appreciation

(Depreciation)

 

 

 

Cattle Feeder

    454        08/25/22      $ 38,198      $ (3,535,586

Corn

    6,648        09/14/22        255,283        54,201,146  

KCBT Wheat

    1,216        09/14/22        67,427        (1,684,289

Wheat

    2,997        09/14/22        158,579        (3,141,318

LME Nickel

    259        09/19/22        49,410        (2,033,784

Gasoline RBOB

    1,572        09/30/22        193,114        9,683,156  

Lean Hogs

    1,827        10/14/22        68,293        (631,766

LME Copper

    728        10/17/22        177,955        (9,575,028

Soybean

    1,895        11/14/22        143,522        14,215,164  

Cotton

    831        12/07/22        50,720        6,859,050  

Cocoa

    389        12/14/22        10,048        (338,135

LME Zinc

    414        12/19/22        41,581        5,428,578  

Coffee

    424        03/21/23        35,028        (1,069,303

Natural Gas

    2,894        03/29/23        131,330        31,861,320  

LME PRI Aluminum

    2,026        12/18/23        149,190        (16,147,204
          

 

 

 
           $ 216,150,213  
          

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

 

 
   

Commodity

Contracts

 

 

 

Assets — Derivative Financial Instruments

 

Futures contracts

 

Unrealized appreciation on futures contracts(a)

  $ 270,190,329  
 

 

 

 

Liabilities — Derivative Financial Instruments

 

Futures contracts

 

Unrealized depreciation on futures contracts(a)

  $ 54,040,116  
 

 

 

 

 

  (a) 

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

 

For the period ended April 30, 2022, the effect of derivative financial instruments in the Consolidated Statements of Operations was as follows:

 

 

 
   

Commodity

Contracts

 

 

 

Net Realized Gain (Loss) from:

 

Futures contracts

  $ 729,376,924  
 

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

 

Futures contracts

  $ 132,650,737  
 

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   

Futures contracts:

 

Average notional value of contracts — long

  $ 3,261,027,299      

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

Fair Value Hierarchy as of Period End

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

 

 

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

  19


Consolidated Schedule of Investments (unaudited) (continued)

April 30, 2022

   iShares® GSCI Commodity Dynamic Roll Strategy ETF

 

Fair Value Hierarchy as of Period End (continued)

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

 

                                                                                                   

 

 
    Level 1     Level 2      Level 3        Total  

 

 

Investments

         

Assets

         

Certificates of Deposit

  $     $ 176,589,570      $      $ 176,589,570  

Commercial Paper

          2,790,901,458               2,790,901,458  

U.S. Treasury Obligations

          520,334,946               520,334,946  

Money Market Funds

    386,590,095                     386,590,095  
 

 

 

   

 

 

    

 

 

    

 

 

 
  $ 386,590,095     $ 3,487,825,974      $      $ 3,874,416,069  
 

 

 

   

 

 

    

 

 

    

 

 

 

Derivative financial instruments(a)

         

Assets

         

Futures Contracts

  $ 270,190,329     $      $      $ 270,190,329  

Liabilities

         

Futures Contracts

    (54,040,116                   (54,040,116
 

 

 

   

 

 

    

 

 

    

 

 

 
  $ 216,150,213     $      $      $ 216,150,213  
 

 

 

   

 

 

    

 

 

    

 

 

 

 

  (a) 

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

 

See notes to Consolidated Financial Statements

 

 

20  

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


Consolidated Statements of Assets and Liabilities (unaudited)

April 30, 2022

 

    

iShares

Bloomberg

Roll Select

Commodity

Strategy ETF

   

iShares

Commodity

Curve Carry

Strategy ETF

   

iShares

Gold

Strategy ETF

   

iShares

GSCI Commodity

Dynamic Roll

Strategy ETF

 

ASSETS

       

Investments in securities, at value:

       

Unaffiliated(a)

  $ 329,348,169        $ 28,522,182        $        $ 3,487,825,974  

Affiliated(b)

    35,520,000       12,750,000       34,328,451       386,590,095  

Cash

    12,556       10,533             7,423,562  

Cash pledged:

       

Futures contracts

    25,812,000             1,098,000       142,021,415  

Receivables:

       

Variation margin on futures contracts

    699,401             281,510       216,283,439  

Capital shares sold

                      8,346,370  

Dividends

    6,873       3,362       7,270       232,474  

Unrealized appreciation on:

       

OTC swaps

          12,517,604              
 

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    391,398,999       53,803,681       35,715,231       4,248,723,329  
 

 

 

   

 

 

   

 

 

   

 

 

 

LIABILITIES

       

Bank overdraft

                904,017        

Cash received:

       

Collateral — OTC derivatives

          12,500,000              

Payables:

       

Investments purchased

    5,794,039       499,486             28,078,725  

Investment advisory fees

    84,208       12,680       4,258       1,609,850  

Swap premiums received

          79,735              
 

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    5,878,247       13,091,901       908,275       29,688,575  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 385,520,752     $ 40,711,780     $ 34,806,956     $ 4,219,034,754  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF:

       

Paid-in capital

  $ 313,217,305     $ 27,606,668     $ 33,041,349     $ 3,324,375,711  

Accumulated earnings

    72,303,447       13,105,112       1,765,607       894,659,043  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 385,520,752     $ 40,711,780     $ 34,806,956     $ 4,219,034,754  
 

 

 

   

 

 

   

 

 

   

 

 

 

Shares outstanding

    6,050,000       1,400,000       600,000       101,100,000  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value

  $ 63.72     $ 29.08     $ 58.01     $ 41.73  
 

 

 

   

 

 

   

 

 

   

 

 

 

Shares authorized

    Unlimited       Unlimited       Unlimited       Unlimited  
 

 

 

   

 

 

   

 

 

   

 

 

 

Par value

    None       None       None       None  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a)   Investments, at cost — Unaffiliated

  $ 329,359,531     $ 28,523,742     $     $ 3,488,386,467  

(b)   Investments, at cost — Affiliated

  $ 35,520,000     $ 12,750,000     $ 33,541,680     $ 386,590,095  

See notes to Consolidated Financial Statements

 

 

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

  21


Consolidated Statements of Operations (unaudited)

Six Months Ended April 30, 2022

 

   

iShares

Bloomberg

Roll Select

Commodity

Strategy ETF

   

iShares

Commodity

Curve Carry

Strategy ETF

   

iShares

Gold

Strategy ETF

   

iShares

GSCI

Commodity

Dynamic Roll

Strategy ETF

 

 

 

INVESTMENT INCOME

       

Dividends — Affiliated

  $ 12,765     $ 5,627     $ 11,097     $ 122,227  

Interest — Unaffiliated

    376,285       37,137             4,178,800  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    389,050       42,764       11,097       4,301,027  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

       

Investment advisory fees

    379,801       72,791       39,483       7,392,924  

Professional fees

                      217  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    379,801       72,791       39,483       7,393,141  

Less:

       

Investment advisory fees waived

    (7,388     (2,604     (15,589     (9,516
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived

    372,413       70,187       23,894       7,383,625  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

    16,637       (27,423     (12,797     (3,082,598
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

       

Net realized gain (loss) from:

       

Investments — Unaffiliated

    299       56             9,776  

Investments — Affiliated

                (26,548      

Futures contracts

    70,472,970             1,262,105       729,376,924  

Swaps

          616,436              
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain

    70,473,269       616,492       1,235,557       729,386,700  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments — Unaffiliated

    (12,458     (1,801           (608,381

Investments — Affiliated

                439,956        

Futures contracts

    (8,825,877           193,861       132,650,737  

Swaps

          8,668,167              
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation)

    (8,838,335     8,666,366       633,817       132,042,356  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain

    61,634,934       9,282,858       1,869,374       861,429,056  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ 61,651,571     $ 9,255,435     $ 1,856,577     $ 858,346,458  
 

 

 

   

 

 

   

 

 

   

 

 

 

See notes to Consolidated Financial Statements

 

 

22  

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


Consolidated Statements of Changes in Net Assets

 

 

   

iShares

Bloomberg Roll Select Commodity

Strategy ETF

   

iShares

Commodity Curve Carry Strategy ETF

 
 

 

 

   

 

 
   

Six Months

Ended

04/30/22

(unaudited)

   

Year Ended

10/31/21

   

Six Months

Ended

04/30/22

(unaudited)

   

Year Ended

10/31/21

 

 

 

INCREASE (DECREASE) IN NET ASSETS

               

OPERATIONS

               

Net investment income (loss)

           $ 16,637               $ (161,116         $ (27,423             $ (96,638

Net realized gain

      70,473,269         19,938,578         616,492         8,349,961  

Net change in unrealized appreciation (depreciation)

      (8,838,335       10,876,593         8,666,366         4,877,734  
   

 

 

     

 

 

     

 

 

     

 

 

 

Net increase in net assets resulting from operations

      61,651,571         30,654,055         9,255,435         13,131,057  
   

 

 

     

 

 

     

 

 

     

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

               

Decrease in net assets resulting from distributions to shareholders

      (30,653,592       (69,482       (8,253,258        
   

 

 

     

 

 

     

 

 

     

 

 

 

CAPITAL SHARE TRANSACTIONS

               

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

      145,679,035         136,346,700                 (2,599,830
   

 

 

     

 

 

     

 

 

     

 

 

 

NET ASSETS

               

Total increase in net assets

      176,677,014         166,931,273         1,002,177         10,531,227  

Beginning of period

      208,843,738         41,912,465         39,709,603         29,178,376  
   

 

 

     

 

 

     

 

 

     

 

 

 

End of period

    $ 385,520,752       $ 208,843,738       $ 40,711,780       $ 39,709,603  
   

 

 

     

 

 

     

 

 

     

 

 

 

 

(a) 

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

See notes to Consolidated Financial Statements

 

 

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

  23


Consolidated Statements of Changes in Net Assets (continued)

 

   

iShares

Gold Strategy ETF

   

iShares

  GSCI Commodity Dynamic Roll Strategy ETF  

 
 

 

 

   

 

 
   

Six Months Ended

04/30/22

(unaudited)

   

Year Ended

10/31/21

   

Six Months Ended

04/30/22

(unaudited)

   

Year Ended

10/31/21

 

 

 

INCREASE (DECREASE) IN NET ASSETS

                                  

OPERATIONS

             

Net investment loss

    $ (12,797   $ (30,684     $ (3,082,598     $ (5,032,541

Net realized gain (loss)

      1,235,557       (1,792,497       729,386,700         351,111,376  

Net change in unrealized appreciation (depreciation)

      633,817       99,087         132,042,356         88,305,347  
   

 

 

   

 

 

     

 

 

     

 

 

 

Net increase (decrease) in net assets resulting from operations

      1,856,577       (1,724,094       858,346,458         434,384,182  
   

 

 

   

 

 

     

 

 

     

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

             

Decrease in net assets resulting from distributions to shareholders

            (1,564,719       (426,344,721       (799,124
   

 

 

   

 

 

     

 

 

     

 

 

 

CAPITAL SHARE TRANSACTIONS

             

Net increase in net assets derived from capital share transactions

      2,954,731       11,320,515         962,247,615         2,194,642,007  
   

 

 

   

 

 

     

 

 

     

 

 

 

NET ASSETS

             

Total increase in net assets

      4,811,308       8,031,702         1,394,249,352         2,628,227,065  

Beginning of period

      29,995,648       21,963,946         2,824,785,402         196,558,337  
   

 

 

   

 

 

     

 

 

     

 

 

 

End of period

    $ 34,806,956         $ 29,995,648       $ 4,219,034,754       $ 2,824,785,402  
   

 

 

   

 

 

     

 

 

     

 

 

 

 

(a) 

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

See notes to Consolidated Financial Statements

 

 

24  

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


Consolidated Financial Highlights

(For a share outstanding throughout each period)

 

    iShares Bloomberg Roll Select Commodity Strategy ETF  
 

 

 

 
    Six Months Ended                   Period From  
    04/30/22       Year Ended       Year Ended       Year Ended         04/03/18 (a) 
    (unaudited)       10/31/21       10/31/20       10/31/19       to 10/31/18  

 

 

Net asset value, beginning of period

                  $ 59.67              $ 41.91               $ 45.01               $ 47.77               $ 50.00  
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net investment income (loss)(b)

      0.00 (c)        (0.09       0.23         1.05         0.58  

Net realized and unrealized gain (loss)(d)

      12.01         17.92         (2.33       (3.05       (2.81
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net increase (decrease) from investment operations

      12.01         17.83         (2.10       (2.00       (2.23
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Distributions(e)

                   

From net investment income

      (7.96       (0.07       (1.00       (0.76        
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total distributions

      (7.96       (0.07       (1.00       (0.76        
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net asset value, end of period

    $ 63.72       $ 59.67       $ 41.91       $ 45.01       $ 47.77  
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total Return(f)

                   

Based on net asset value

      24.41 %(g)        42.59       (4.81 )%        (4.19 )%        (4.46 )%(g) 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Ratios to Average Net Assets(h)

                   

Total expenses

      0.28 %(i)        0.28       0.28       0.28       0.28 %(i) 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Total expenses after fees waived

      0.27 %(i)        0.27       0.27       0.19       0.10 %(i) 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Net investment income (loss)

      0.01 %(i)        (0.16 )%        0.55       2.30       2.01 %(i) 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Supplemental Data

                   

Net assets, end of period (000)

    $ 385,521       $ 208,844       $ 41,912       $ 27,004       $ 40,607  
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Portfolio turnover rate(j)

      0 %(g)        0       0       0       0 %(g) 
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

Rounds to less than $0.01.

(d) 

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.

(e) 

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

(f) 

Where applicable, assumes the reinvestment of distributions.

(g) 

Not annualized.

(h) 

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

(i) 

Annualized.

(j) 

Portfolio turnover rate excludes in-kind transactions.

See notes to Consolidated Financial Statements

 

 

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

  25


Consolidated Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares Commodity Curve Carry Strategy ETF  
 

 

 

 
    Six Months Ended           Period From  
    04/30/22       Year Ended         09/01/20 (a) 
    (unaudited)       10/31/21       to 10/31/20  

 

 

Net asset value, beginning of period

                  $ 28.36              $ 19.45             $ 20.16  
   

 

 

     

 

 

     

 

 

 

Net investment loss(b)

      (0.02       (0.07       (0.01

Net realized and unrealized gain (loss)(c)

      6.64         8.98         (0.70
   

 

 

     

 

 

     

 

 

 

Net increase (decrease) from investment operations

      6.62         8.91         (0.71