LOGO

  APRIL 30, 2023

 

 

   

  

2023 Semi-Annual Report

(Unaudited)

 

 

iShares Trust

· iShares 20+ Year Treasury Bond BuyWrite Strategy ETF | TLTW | Cboe BZX

· iShares High Yield Corporate Bond BuyWrite Strategy ETF | HYGW | Cboe BZX

· iShares Investment Grade Corporate Bond BuyWrite Strategy ETF | LQDW | 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

     7  

Disclosure of Expenses

     7  

Schedules of Investments

     8  

Financial Statements

  

Statements of Assets and Liabilities

     14  

Statements of Operations

     15  

Statements of Changes in Net Assets

     16  

Financial Highlights

     18  

Notes to Financial Statements

     21  

Statement Regarding Liquidity Risk Management Program

     27  

Supplemental Information

     28  

General Information

     29  

Glossary of Terms Used in this Report

     30  

Additional Financial Information

     31  

 

 

 

      


Fund Summary as of April 30, 2023     iShares® 20+ Year Treasury Bond BuyWrite Strategy ETF

 

Investment Objective

The iShares 20+YearTreasury Bond BuyWrite Strategy ETF (the “Fund”) seeks to track the investment results of an index that reflects a strategy of holding the iShares 20+ Year Treasury Bond ETF while writing (selling) one-month call options to generate income as represented by the Cboe TLT 2% OTM BuyWrite 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.

Performance

 

                 Cumulative Total Returns  
           

6-Month

Total Returns

    

Since

Inception

 

Fund NAV

                           11.34      (3.45 )% 

Fund Market

      11.75        (3.45

Index

            11.88        (2.90

The inception date of the Fund was August 18, 2022. The first day of secondary market trading was August 22, 2022.

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          $        1,113.40          $        1.05               $      1,000.00          $      1,023.80          $        1.00          0.20

 

  (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. 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

 

PORTFOLIO COMPOSITION

 

   
Investment Type   Percent of
Net Assets
 

Investment Companies

    101.4

Short-term Investments

    0.4  

Options Written

    (1.8

Other assets less liabilities

    (— )(a) 

 

  (a) 

Rounds to less than 0.01%.

 

MATURITY ALLOCATION (of the UNDERLYING FUND)

 

   

Maturity

   

Percent of

Total Investments

 

(a) 

20-25 Years

    33.8

25-30 Years

    66.2  

 

  (a) 

Excludes money market funds.

 

 

 

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Fund Summary as of April 30, 2023     iShares® High Yield Corporate Bond BuyWrite Strategy ETF

 

Investment Objective

The iShares High Yield Corporate Bond BuyWrite Strategy ETF (the “Fund”) seeks to track the investment results of an index that reflects a strategy of holding the iShares iBoxx $ High Yield Corporate Bond ETF while writing (selling) one-month call options to generate income as represented by the Cboe HYG BuyWrite 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.

Performance

 

                 Cumulative Total Returns  
           

6-Month

Total Returns

    

Since

Inception

 

Fund NAV

                       6.33      3.12

Fund Market

      6.34        3.13  

Index

            6.76        3.60  

The inception date of the Fund was August 18, 2022. The first day of secondary market trading was August 22, 2022.

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          $        1,063.30          $        1.02               $      1,000.00          $      1,023.80          $      1.00          0.20

 

  (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. 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

 

PORTFOLIO COMPOSITION

 

   
Investment Type   Percent of
Net Assets
 

Investment Companies

    100.6

Short-term Investments

    0.3  

Options Written

    (0.9

MATURITY ALLOCATION (of the UNDERLYING FUND)

 

   

Maturity

   

Percent of

Total Investments

 

(a) 

0-1 Year

    0.4

1-5 Years

    50.1  

5-10 Years

    47.5  

10-15 Years

    0.8  

More than 20 Years

    1.2  

 

  (a)

Excludes money market funds.

 

 

 

F U N D   S U M M A R Y

  5


Fund Summary as of April 30, 2023     iShares® Investment Grade Corporate Bond BuyWrite Strategy ETF

 

Investment Objective

The iShares Investment Grade Corporate Bond BuyWrite Strategy ETF (the “Fund”) seeks to track the investment results of an index that reflects a strategy of holding the iShares iBoxx $ Investment Grade Corporate Bond ETF while writing (selling) one-month call options to generate income as represented by the Cboe LQD BuyWrite 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.

Performance

 

                 Cumulative Total Returns  
    

            

   

6-Month

Total Returns

    

Since

Inception

 

Fund NAV

      6.28      (2.38 )% 

Fund Market

      6.44        (2.33

Index

            6.58        (1.99

The inception date of the Fund was August 18, 2022. The first day of secondary market trading was August 22, 2022.

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          $        1,062.80          $        1.02               $      1,000.00          $      1,023.80          $        1.00          0.20

 

  (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. 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

 

PORTFOLIO COMPOSITION

 

   
Investment Type  

Percent of

Net Assets

 

Investment Companies

    101.2

Short-term Investments

    0.2  

Options Written

    (1.4

Other assets less liabilities

    (— )(a) 

 

  (a)

Rounds to less than 0.01%.

 

CREDIT QUALITY ALLOCATION (of the UNDERLYING FUND)

 

   

Credit Rating(a)

   

Percent of

Total Investment

 

(b) 

Aaa

    2.9

Aa

    4.5  

A

    50.4  

Baa

    39.8  

Ba

    1.9  

Not Rated

    0.5  

 

  (a) 

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.

 
  (b) 

Excludes money market funds.

 

 

 

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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.

 

 

A B O U T   F U N D   P E R F O R M A N C E / D I S C L O S U R E   O F   E X P E N S E S

  7


Schedule of Investments (unaudited)

April 30, 2023

  

iShares® 20+ Year Treasury Bond BuyWrite Strategy ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

 

 

Investment Companies

 

Exchange-Traded Funds — 101.4%  

iShares 20+ Year Treasury Bond ETF(a)(b)

    1,337,612     $ 142,402,173  
   

 

 

 

Total Investment Companies
(Cost: $141,003,713)

 

    142,402,173  
   

 

 

 

Short-Term Securities

   
Money Market Funds — 0.4%            

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

    590,000       590,000  
   

 

 

 

Total Short-Term Securities — 0.4%
(Cost: $590,000)

 

    590,000  
   

 

 

 

Total Investments Before Options Written — 101.8%
(Cost: $ 141,593,713)

 

    142,992,173  
   

 

 

 
Options Written — (1.8)%            

(Premiums Received: $ (1,902,051))

      (2,542,669
   

 

 

 

Total Investments, Net of Options Written — 100.0%
(Cost: $139,691,662)

 

    140,449,504  

Liabilities in Excess of Other Assets — 0.0%

 

    (745
   

 

 

 

Net Assets — 100.0%

 

  $   140,448,759  
   

 

 

 

    

 

(a) 

Affiliate of the Fund.

(b) 

All or a portion of this security was pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(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

    Income    

Capital

Gain

Distributions

from

Underlying

Funds

 

 

 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 310,000     $ 280,000 (a)    $     $     $     $ 590,000       590,000     $ 5,953     $  

iShares 20+ Year Treasury Bond ETF

    21,732,970       130,834,264       (13,607,646     (285,092     3,727,677       142,402,173       1,337,612       729,968        
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ (285,092   $ 3,727,677     $ 142,992,173       $ 735,921     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

 

 
Description   Number of
Contracts
    Expiration
Date
   

Exercise

Price

       Notional
Amount (000)
       Value  

 

 

Call

                      

iShares 20+ Year Treasury Bond ETF

    13,376       05/19/23       USD       106.00          USD          142,401        $ (2,542,669
                      

 

 

 

Balances Reported in the Statements of Assets and Liabilities for Options Written

 

       
Description    Unrealized
Appreciation
       Unrealized
Depreciation
       Value  

Options Written

   $        $ (640,618      $ (2,542,669

 

 

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Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® 20+ Year Treasury Bond BuyWrite Strategy ETF

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

 

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

 

 

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written at value

   $      $      $ 2,542,669      $      $      $      $ 2,542,669  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended April 30, 2023, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

 

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

 

 

Net Realized Gain (Loss) from

                    

Options written

   $      $      $ 1,573,256      $      $      $      $ 1,573,256  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                    

Options written

   $      $      $ (699,125    $      $      $      $ (699,125
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   

Options

  

Average value of option contracts written

   $ 1,380,855  

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

                 

Investment Companies

   $ 142,402,173        $        $        $ 142,402,173  

Short-Term Securities

                 

Money Market Funds

     590,000                            590,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 142,992,173        $        $        $ 142,992,173  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Liabilities

                 

Equity Contracts

   $        $ (2,542,669      $        $ (2,542,669
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are options written. Options written are shown at value.

 

See notes to financial statements.

 

 

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

  9


Schedule of Investments (unaudited) 

April 30, 2023

  

iShares® High Yield Corporate Bond BuyWrite Strategy ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

 

 

Investment Companies

 

Exchange-Traded Funds — 100.6%  

iShares iBoxx $ High Yield Corporate Bond ETF(a)(b)

    325,555     $   24,533,825  
   

 

 

 

Total Investment Companies
(Cost: $24,306,434)

 

    24,533,825  
   

 

 

 

Short-Term Securities

   
Money Market Funds — 0.3%            

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

    80,000       80,000  
   

 

 

 

Total Short-Term Securities — 0.3%
(Cost: $80,000)

 

    80,000  
   

 

 

 

Total Investments Before Options Written — 100.9%
(Cost: $ 24,386,434)

 

    24,613,825  
   

 

 

 
Options Written — (0.9)%            

(Premiums Received: $ (169,602))

      (222,187
   

 

 

 

Total Investments, Net of Options Written — 100.0%
(Cost: $24,216,832)

 

    24,391,638  

Other Assets Less Liabilities — 0.0%

      5,150  
   

 

 

 

Net Assets — 100.0%

    $ 24,396,788  
   

 

 

 
    

 

(a) 

Affiliate of the Fund.

(b) 

All or a portion of this security was pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(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

    Income    

Capital

Gain

Distributions

from

Underlying

Funds

 

 

 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 100,000     $     $ (20,000 )(a)    $     $     $ 80,000       80,000     $ 914     $  

iShares iBoxx $ High Yield Corporate Bond ETF

    9,440,381       18,701,361       (3,991,081     (4,095     387,259       24,533,825       325,555       471,437        
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ (4,095   $ 387,259     $ 24,613,825       $ 472,351     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

 

 
Description    Number of
Contracts
     Expiration
Date
     Exercise
Price
     Notional
Amount (000)
     Value  

 

 

Call

              

iShares iBoxx $ High Yield Corporate Bond ETF

     3,255        05/19/23        USD 75.00        USD 24,530      $ (222,187
              

 

 

 

Balances Reported in the Statements of Assets and Liabilities for Options Written

 

       
Description    Unrealized
Appreciation
     Unrealized
Depreciation
     Value  

Options Written

   $      $ (52,585    $ (222,187

 

 

10  

2 0 2 3   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


Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® High Yield Corporate Bond BuyWrite Strategy ETF

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

 

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

 

 

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written at value

   $      $      $ 222,187      $      $      $      $ 222,187  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended April 30, 2023, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

 

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

 

 

Net Realized Gain (Loss) from

                    

Options written

   $      $      $ 125,085      $      $      $      $ 125,085  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                    

Options written

   $      $      $ 29,365      $      $      $      $ 29,365  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   

Options

  

Average value of option contracts written

   $ 382,603  

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

                 

Investment Companies

   $ 24,533,825        $        $        $ 24,533,825  

Short-Term Securities

                 

Money Market Funds

     80,000                            80,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 24,613,825        $        $        $ 24,613,825  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative Financial Instruments(a)

                 

Liabilities

                 

Equity Contracts

   $        $ (222,187      $        $ (222,187
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are options written. Options written are shown at value.

 

See notes to financial statements.

 

 

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

  11


Schedule of Investments (unaudited)

April 30, 2023

  

iShares® Investment Grade Corporate Bond BuyWrite Strategy ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

 

 

Investment Companies

   
Exchange-Traded Funds — 101.2%            

iShares iBoxx $ Investment Grade Corporate Bond ETF(a)(b)

    727,724     $ 79,998,699  
   

 

 

 

Total Investment Companies
(Cost: $78,590,523)

 

    79,998,699  
   

 

 

 

Short-Term Securities

   
Money Market Funds — 0.2%            

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

    140,000       140,000  
   

 

 

 

Total Short-Term Securities — 0.2%
(Cost: $140,000)

 

    140,000  
   

 

 

 

Total Investments Before Options Written — 101.4%
(Cost: $ 78,730,523)

 

    80,138,699  
   

 

 

 
Options Written — (1.4)%            

(Premiums Received: $ (761,784))

      (1,080,156
   

 

 

 

Total Investments, Net of Options Written — 100.0%
(Cost: $77,968,739)

 

    79,058,543  

Liabilities in Excess of Other Assets — 0.0%

      (8,215
   

 

 

 

Net Assets — 100.0%

    $   79,050,328  
   

 

 

 

    

 

(a) 

Affiliate of the Fund.

(b) 

All or a portion of this security was pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

(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

    Income    

Capital

Gain

Distributions

from

Underlying

Funds

 

 

 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 300,000     $     $ (160,000 )(a)    $     $     $ 140,000       140,000     $ 5,586     $  

iShares iBoxx $ Investment Grade Corporate Bond ETF

    12,597,197       74,492,063       (9,352,064     159,431       2,102,072       79,998,699       727,724       635,021        
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ 159,431     $ 2,102,072     $ 80,138,699       $ 640,607     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Exchange-Traded Options Written

 

           
Description    Number of
Contracts
     Expiration
Date
    

Exercise

Price

     Notional
Amount (000)
     Value  

Call

              

iShares iBoxx $ Investment Grade Corporate Bond ETF

     7,277        05/19/23        USD 109.00        USD 79,996      $ (1,080,156
              

 

 

 

Balances Reported in the Statements of Assets and Liabilities for Options Written

 

       
Description   Unrealized
Appreciation
     Unrealized
Depreciation
    Value  

Options Written

  $      $ (318,372   $ (1,080,156

 

 

12  

2 0 2 3   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


Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® Investment Grade Corporate Bond BuyWrite Strategy ETF

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

 

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

 

 

Liabilities — Derivative Financial Instruments

                    

Options written

                    

Options written at value

   $      $      $ 1,080,156      $      $      $      $ 1,080,156  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended April 30, 2023, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

 

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

 

 

Net Realized Gain (Loss) from

                    

Options written

   $      $      $ (196,601    $      $      $      $ (196,601
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                    

Options written

   $      $      $ (265,427    $      $      $      $ (265,427
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   

Options

  

Average value of option contracts written

   $ 1,241,090  

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

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:

Fair Value Hierarchy as of Period End

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

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

 

                                                                               

 

 
     Level 1        Level 2        Level 3        Total  

 

 

Investments

                 

Assets

                 

Investment Companies

   $ 79,998,699        $        $        $ 79,998,699  

Money Market Funds

     140,000                            140,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 80,138,699        $        $        $ 80,138,699  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative financial instruments(a)

                 

Liabilities

                 

Options Written

              (1,080,156                 (1,080,156
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are options written. Options written are shown at value.

 

See notes to financial statements.

 

 

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

  13


 

Statements of Assets and Liabilities (unaudited)

April 30, 2023

 

   

iShares

20+ Year

Treasury

Bond

BuyWrite

Strategy ETF

   

iShares

High Yield

Corporate

Bond

BuyWrite
Strategy ETF

   

iShares

Investment

Grade

Corporate

Bond

BuyWrite
Strategy ETF

 

 

 

ASSETS

     

Investments, at value — affiliated(a)

  $ 142,992,173     $ 24,613,825     $ 80,138,699  

Cash

    8,274       8,297       2,390  

Receivables:

     

Options written

    30,606              

Dividends — affiliated

    2,662       571       1,511  
 

 

 

   

 

 

   

 

 

 

Total assets

    143,033,715       24,622,693       80,142,600  
 

 

 

   

 

 

   

 

 

 

LIABILITIES

     

Options written, at value(b)

    2,542,669       222,187       1,080,156  

Payables:

     

Capital shares redeemed

    23,434              

Investment advisory fees

    18,853       3,718       12,116  
 

 

 

   

 

 

   

 

 

 

Total liabilities

    2,584,956       225,905       1,092,272  
 

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 140,448,759     $ 24,396,788     $ 79,050,328  
 

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF

     

Paid-in capital

  $ 142,055,782     $ 25,240,924     $ 80,505,116  

Accumulated loss

    (1,607,023     (844,136     (1,454,788
 

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 140,448,759     $ 24,396,788     $ 79,050,328  
 

 

 

   

 

 

   

 

 

 

NET ASSET VALUE

     

Shares outstanding

    4,100,000       675,000       2,300,000  
 

 

 

   

 

 

   

 

 

 

Net asset value

  $ 34.26     $ 36.14     $ 34.37  
 

 

 

   

 

 

   

 

 

 

Shares authorized

    Unlimited       Unlimited       Unlimited  
 

 

 

   

 

 

   

 

 

 

Par value

    None       None       None  
 

 

 

   

 

 

   

 

 

 

(a) Investments, at cost — affiliated

  $ 141,593,713     $ 24,386,434     $ 78,730,523  

(b) Premiums received

    1,902,051       169,602       761,784  

See notes to financial statements.

 

 

14  

2 0 2 3   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


Statements of Operations (unaudited)

Six Months Ended April 30, 2023

 

   

iShares

20+ Year

Treasury

Bond

BuyWrite
Strategy ETF

   

iShares

High Yield

Corporate

Bond

BuyWrite

Strategy

ETF

   

iShares

Investment

Grade

Corporate

Bond

BuyWrite

Strategy ETF

 

 

 

INVESTMENT INCOME

             

Dividends — affiliated

    $ 735,921        $ 472,351        $ 640,607  
   

 

 

      

 

 

      

 

 

 

Total investment income

      735,921          472,351          640,607  
   

 

 

      

 

 

      

 

 

 

EXPENSES

             

Investment advisory

               96,679               58,919               65,178  
   

 

 

      

 

 

      

 

 

 

Total expenses

      96,679          58,919          65,178  

Less:

             

Investment advisory fees waived

      (41,434        (42,085        (27,933
   

 

 

      

 

 

      

 

 

 

Total expenses after fees waived

      55,245          16,834          37,245  
   

 

 

      

 

 

      

 

 

 

Net investment income

      680,676          455,517          603,362  
   

 

 

      

 

 

      

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

             

Net realized gain (loss) from:

             

Investments — affiliated

      (2,791        2,793          2,460  

In-kind redemptions — affiliated(a)

      (282,301        (6,888        156,971  

Options written

      1,573,256          125,085          (196,601
   

 

 

      

 

 

      

 

 

 
      1,288,164          120,990          (37,170
   

 

 

      

 

 

      

 

 

 

Net change in unrealized appreciation (depreciation) on:

             

Investments — affiliated

      3,727,677          387,259          2,102,072  

Options written

      (699,125        29,365          (265,427
   

 

 

      

 

 

      

 

 

 
      3,028,552          416,624          1,836,645  
   

 

 

      

 

 

      

 

 

 

Net realized and unrealized gain

      4,316,716          537,614          1,799,475  
   

 

 

      

 

 

      

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ 4,997,392        $ 993,131        $ 2,402,837  
   

 

 

      

 

 

      

 

 

 

 

(a) 

See Note 2 of the Notes to Financial Statements.

See notes to financial statements.

 

 

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

  15


Statements of Changes in Net Assets

 

   

iShares

20+ Year Treasury Bond BuyWrite

Strategy ETF

   

iShares

High Yield Corporate Bond BuyWrite

Strategy ETF

 
 

 

 

   

 

 

 
   

Six Months

Ended

 

 

    Period From      

Six Months

Ended

 

 

    Period From  
    04/30/23       08/18/22 (a)      04/30/23          08/18/22 (a) 
    (unaudited)       to 10/31/22       (unaudited)       to 10/31/22  

 

 

INCREASE (DECREASE) IN NET ASSETS

             

OPERATIONS

             

Net investment income

  $ 680,676     $ 50,157        $ 455,517        $ 52,843  

Net realized gain

    1,288,164       330,681          120,990          84,435  

Net change in unrealized appreciation (depreciation)

    3,028,552       (2,270,710        416,624          (241,818
 

 

 

   

 

 

      

 

 

      

 

 

 

Net increase (decrease) in net assets resulting from operations

    4,997,392       (1,889,872        993,131          (104,540
 

 

 

   

 

 

      

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(b)

             

From net investment income

    (4,333,289 )(c)      (381,254        (1,595,449 )(c)         (205,232

Return of capital

          (28,722                 (10,822
 

 

 

   

 

 

      

 

 

      

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (4,333,289     (409,976        (1,595,449        (216,054
 

 

 

   

 

 

      

 

 

      

 

 

 

CAPITAL SHARE TRANSACTIONS

             

Net increase in net assets derived from capital share transactions

    117,918,821       24,165,683          15,629,437          9,690,263  
 

 

 

   

 

 

      

 

 

      

 

 

 

NET ASSETS

             

Total increase in net assets

    118,582,924       21,865,835          15,027,119          9,369,669  

Beginning of period

    21,865,835                9,369,669           
 

 

 

   

 

 

      

 

 

      

 

 

 

End of period

  $ 140,448,759     $ 21,865,835        $ 24,396,788        $ 9,369,669  
 

 

 

   

 

 

      

 

 

      

 

 

 

 

(a) 

Commencement of operations.

(b) 

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

(c) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

See notes to financial statements.

 

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Statements of Changes in Net Assets (continued)

 

   

iShares

Investment Grade Corporate Bond

BuyWrite Strategy ETF

 
 

 

 

 
   

Six Months

Ended

04/30/23

(unaudited)

 

 

 

 

   

Period From

08/18/22

to 10/31/22

 

(a) 

 

 

 

INCREASE (DECREASE) IN NET ASSETS

   

OPERATIONS

   

Net investment income

  $ 603,362     $ 51,955  

Net realized loss

    (37,170     (197,148

Net change in unrealized appreciation (depreciation)

    1,836,645       (746,841
 

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    2,402,837       (892,034
 

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(b)

   

From net investment income

    (3,094,504 )(c)      (218,030

Return of capital

          (33,141
 

 

 

   

 

 

 

Decrease in net assets resulting from distributions to shareholders

    (3,094,504     (251,171
 

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

   

Net increase in net assets derived from capital share transactions

    67,183,404       13,701,796  
 

 

 

   

 

 

 

NET ASSETS

   

Total increase in net assets

    66,491,737       12,558,591  

Beginning of period

    12,558,591        
 

 

 

   

 

 

 

End of period

  $ 79,050,328     $ 12,558,591  
 

 

 

   

 

 

 

 

(a) 

Commencement of operations.

(b) 

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

(c) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

See notes to financial statements.

 

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

  17


Financial Highlights

(For a share outstanding throughout each period)

 

    iShares 20+ Year Treasury Bond BuyWrite Strategy ETF  
 

 

 

 
    Six Months Ended       Period From  
    04/30/23         08/18/22 (a) 
    (unaudited)       to 10/31/22  

 

 

Net asset value, beginning of period

    $ 33.64       $ 40.06  
   

 

 

     

 

 

 

Net investment income(b)

      0.42                              0.13  

Net realized and unrealized gain(c)

      3.25         (5.35
   

 

 

     

 

 

 

Net increase from investment operations

      3.67         (5.22
   

 

 

     

 

 

 

Distributions(d)

       

From net investment income

      (3.05 )(e)        (1.12

Return of capital

              (0.08
   

 

 

     

 

 

 

Total distributions

                             (3.05       (1.20
   

 

 

     

 

 

 

Net asset value, end of period

    $ 34.26       $ 33.64  
   

 

 

     

 

 

 

Total Return(f)

       

Based on net asset value

      11.34 %(g)        (13.29 )%(g) 
   

 

 

     

 

 

 

Ratios to Average Net Assets(h)

       

Total expenses

      0.35 %(i)        0.35 %(i) 
   

 

 

     

 

 

 

Total expenses after fees waived

      0.20 %(i)        0.20 %(i) 
   

 

 

     

 

 

 

Net investment income

      2.46 %(i)        1.81 %(i) 
   

 

 

     

 

 

 

Supplemental Data

       

Net assets, end of period (000)

    $ 140,449       $ 21,866  
   

 

 

     

 

 

 

Portfolio turnover rate(j)

      2       0
   

 

 

     

 

 

 

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

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

(d) 

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

(e) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

(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 financial statements.

 

 

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Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares High Yield Corporate Bond BuyWrite Strategy ETF  
 

 

 

 
    Six Months Ended     Period From  
    04/30/23         08/18/22 (a) 
    (unaudited)     to 10/31/22  

 

 

Net asset value, beginning of period

    $ 37.48       $ 40.06  
   

 

 

     

 

 

 

Net investment income(b)

                         0.98                          0.33  

Net realized and unrealized gain (loss)(c)

      1.28         (1.54
   

 

 

     

 

 

 

Net increase (decrease) from investment operations

      2.26         (1.21
   

 

 

     

 

 

 

Distributions(d)

       

From net investment income

      (3.60 )(e)        (1.30

Return of capital

              (0.07
   

 

 

     

 

 

 

Total distributions

      (3.60       (1.37
   

 

 

     

 

 

 

Net asset value, end of period

    $ 36.14       $ 37.48  
   

 

 

     

 

 

 

Total Return(f)

       

Based on net asset value

      6.33 %(g)        (3.02 )%(g) 
   

 

 

     

 

 

 

Ratios to Average Net Assets(h)

       

Total expenses

      0.70 %(i)        0.70 %(i) 
   

 

 

     

 

 

 

Total expenses after fees waived

      0.20 %(i)        0.20 %(i) 
   

 

 

     

 

 

 

Net investment income

      5.41 %(i)        4.25 %(i) 
   

 

 

     

 

 

 

Supplemental Data

       

Net assets, end of period (000)

    $ 24,397       $ 9,370  
   

 

 

     

 

 

 

Portfolio turnover rate(j)

      1       0
   

 

 

     

 

 

 

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

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

(d) 

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

(e) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

(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 financial statements.

 

 

F I N A N C I A L   H I G H L I G H T S

  19


Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares Investment Grade Corporate Bond BuyWrite Strategy ETF  
 

 

 

 
    Six Months Ended     Period From  
    04/30/23         08/18/22 (a) 
    (unaudited)     to 10/31/22  

 

 

Net asset value, beginning of period

                                   $ 35.88                              $ 40.10  
   

 

 

     

 

 

 

Net investment income(b)

      0.55         0.17  

Net realized and unrealized gain (loss)(c)

      1.58         (3.40
   

 

 

     

 

 

 

Net increase (decrease) from investment operations

      2.13         (3.23
   

 

 

     

 

 

 

Distributions(d)

       

From net investment income

      (3.64 )(e)        (0.86

Return of capital

              (0.13
   

 

 

     

 

 

 

Total distributions

      (3.64       (0.99
   

 

 

     

 

 

 

Net asset value, end of period

    $ 34.37       $ 35.88  
   

 

 

     

 

 

 

Total Return(f)

       

Based on net asset value

      6.28 %(g)        (8.14 )%(g) 
   

 

 

     

 

 

 

Ratios to Average Net Assets(h)

       

Total expenses

      0.35 %(i)        0.35 %(i) 
   

 

 

     

 

 

 

Total expenses after fees waived

      0.20 %(i)        0.20 %(i) 
   

 

 

     

 

 

 

Net investment income

      3.24 %(i)        2.32 %(i) 
   

 

 

     

 

 

 

Supplemental Data

       

Net assets, end of period (000)

    $ 79,050       $ 12,559  
   

 

 

     

 

 

 

Portfolio turnover rate(j)

      0 %(k)        0 %(k) 
   

 

 

     

 

 

 

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

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

(d) 

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

(e) 

A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end.

(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.

(k) 

Rounds to less than 1%.

See notes to financial statements.

 

 

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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  

 

20+ Year Treasury Bond BuyWrite Strategy

    Diversified    

High Yield Corporate Bond BuyWrite Strategy

    Diversified    

Investment Grade Corporate Bond BuyWrite Strategy

    Diversified    

Currently each Fund seeks to achieve its investment objective by investing a substantial portion of its assets in an iShares fund (an “underlying fund”). The financial statements, including the accounting policies, and schedules of investments for the underlying funds are available on iShares.com and should be read in conjunction with the Funds’ financial statements.

 

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. Realized gains and losses on investment transactions are determined using the specific identification method. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis. Dividend income and capital gain distributions from the underlying funds, if any, are recorded on the ex-dividend date. Interest income is recognized daily on an accrual basis.

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, net realized capital gains and/or return of capital for financial reporting purposes. Dividends and distributions are paid in U.S. dollars and cannot be automatically reinvested in additional shares of the Funds.

The portion of distributions that exceeds each Fund’s current and accumulated earning and profits will constitute a non-taxable return of capital. Distributions in excess of each Fund’s minimum distribution requirements, but not in excess of the Fund’s earnings and profits, will be taxable to the Fund’s shareholders and will not constitute non-taxable returns of capital. Return of capital distributions will reduce a shareholder’s cost basis and will result in higher capital gains or lower capital losses when each Fund’s shares on which distributions were received are sold. Once a shareholder’s cost basis is reduced to zero, further distributions will be treated as capital gains.

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:

 

 

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

  21


Notes to Financial Statements (unaudited) (continued)

 

   

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

 

   

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

 

   

Exchange-traded equity options are valued by an independent pricing service using a mathematical model, which incorporates a number of market data factors, such as trades and prices of the underlying instruments.

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

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

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

 

   

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

 

   

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

 

   

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

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

 

4.

DERIVATIVE FINANCIAL INSTRUMENTS

Options: The Funds will write European-style call options on its respective underlying fund to generate gains from options premiums.

A European-style call option gives the purchaser (holder) of the option the right (but not the obligation) to buy, and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price on the expiration date. Funds do do not expect to physically settle outstanding option positions as they will generate purchase offsetting call options as necessary to close out the open call positions.

Premiums received on options written, as well as the daily fluctuation in market value, are included in options written at value in the Statements of Assets and Liabilities. When a written option expires without being exercised, a realized gain or loss is recorded in the Statements of Operations to the extent of the premiums received. When a written option is closed or sold, a gain or loss is recorded in the Statements of Operations to the extent the cost of the closing transaction exceeds or does not exceed the premiums received. Written call options will typically be “covered,” meaning that they hold the underlying instrument subject to be called by the option counterparty. The Funds will seek to write call options up to (but not exceeding) the full amounts of shares of the underlying funds held in the Funds (i.e., the short positions in the call options are offset or “covered,” by the long positions the Funds hold in shares of the underlying funds).

In purchasing and writing options, the Funds bear the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market.

 

 

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Notes to Financial Statements (unaudited) (continued)

 

5.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

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

For its investment advisory services to each of the following Funds, BFAis 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    

20+ Year Treasury Bond BuyWrite Strategy

    0.35

High Yield Corporate Bond BuyWrite Strategy

    0.70  

Investment Grade Corporate Bond BuyWrite Strategy

    0.35  

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

For the iShares 20+ Year Treasury Bond BuyWrite Strategy ETF, BFA has contractually agreed to waive a portion of its investment advisory fee for the Fund through February 29, 2028 so that the Fund’s total annual operating expenses after fee waiver is equal to the acquired fund fees and expenses attributable to the Fund’s investment in the iShares 20+ Year Treasury Bond ETF (“TLT”), after taking into account any fee waivers by TLT, plus 0.20%.

For the iShares High Yield Corporate Bond BuyWrite Strategy ETF, BFA has contractually agreed to waive a portion of its investment advisory fee for the Fund through February 29, 2028 so that the Fund’s total annual operating expenses after fee waiver is equal to the acquired fund fees and expenses attributable to the Fund’s investment in the iShares iBoxx $ High Yield Corporate Bond ETF (“HYG”), after taking into account any fee waivers by HYG, plus 0.20%.

For the iShares Investment Grade Corporate Bond BuyWrite Strategy ETF, BFA has contractually agreed to waive a portion of its investment advisory fee for the Fund through February 29, 2028 so that the Fund’s total annual operating expenses after fee waiver is equal to the acquired fund fees and expenses attributable to the Fund’s investment in the iShares iBoxx $ Investment Grade Corporate Bond ETF (“LQD”), after taking into account any fee waivers by LQD, plus 0.20%.

These amounts are included in investment advisory fees waived in the Statements of Operations. For the six months ended April 30, 2023, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:

 

   
iShares ETF   Amounts Waived    

20+ Year Treasury Bond BuyWrite Strategy

  $ 41,434    

High Yield Corporate Bond BuyWrite Strategy

    42,085    

Investment Grade Corporate Bond BuyWrite Strategy

    27,933    

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

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

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, excluding short-term securities and in-kind transactions, were as follows:

 

     
iShares ETF   Purchases        Sales    

20+ Year Treasury Bond BuyWrite Strategy

  $   1,469,958        $   2,716,726    

High Yield Corporate Bond BuyWrite Strategy

    184,543          1,233,233    

Investment Grade Corporate Bond BuyWrite Strategy

    98,043          2,087,523    

 

 

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

  23


Notes to Financial Statements (unaudited) (continued)

 

For the six months ended April 30, 2023, in-kind transactions were as follows:

 

     
iShares ETF  

In-kind

Purchases

    

In-kind  

Sales  

 

20+ Year Treasury Bond BuyWrite Strategy

  $   129,364,306      $   10,890,919    

High Yield Corporate Bond BuyWrite Strategy

    18,516,818        2,757,848    

Investment Grade Corporate Bond BuyWrite Strategy

    74,394,020        7,264,541    

 

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 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)  

 

20+ Year Treasury Bond BuyWrite Strategy

  $   141,593,713      $ 1,398,460      $ (640,618   $ 757,842    

High Yield Corporate Bond BuyWrite Strategy

    24,386,434        227,391        (52,585     174,806    

Investment Grade Corporate Bond BuyWrite Strategy

    78,730,523        1,408,176        (318,372     1,089,804    

 

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.

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

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

Covered Call Option Risk: By writing covered call options in return for the receipt of premiums, the Funds will give up the opportunity to benefit from potential increases in the value of the underlying funds above the exercise prices of the written options but will continue to bear the risk of declines in the value of the underlying funds. The premiums received from the options may not be sufficient to offset any losses sustained from the volatility of the underlying funds. In addition, the Funds’ ability to sell shares of the underlying funds will be limited while the options are in effect unless the Funds extinguish the option positions through the purchase of offsetting identical options prior to the expiration of the written options.

The covered call strategy may be subject to imperfect matching or price correlation between the written options and the underlying funds, which could reduce the Funds’ returns. Exchanges may suspend the trading of options. As a result, the Funds may be unable to write or purchase options at times that may be advantageous to the Funds. If the Funds are unable to extinguish the option positions before exercise, the Funds may be required to deliver the corresponding shares of the underlying funds, resulting

 

 

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Notes to Financial Statements (unaudited) (continued)

 

in increased transaction costs, tracking error, underinvestment, and potentially the realization of capital gains. Further, the Funds use options which are struck once per month, and the timing of changes in the price of the underlying funds may affect the Funds’ performance.

The Funds will be affected by movements in interest rates and the resulting share price of the underlying funds. In a falling interest rate environment, the underlying funds are generally expected to appreciate in price and the Funds may underperform the underlying funds as price appreciation for the Funds is limited to the exercise prices of the options written by the Funds.

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

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

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

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

LIBOR Transition Risk: The Funds may be exposed to financial instruments that are tied to the London Interbank Offered Rate (“LIBOR”) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, announced that a majority of USD LIBOR settings will no longer be published after June 30, 2023. All other LIBOR settings and certain other interbank offered rates ceased to be published after December 31, 2021. The Secured Overnight Financing Rate (“SOFR”) has been used increasingly on a voluntary basis in new instruments and transactions. The Federal Reserve Board adopted regulations that provide a fallback mechanism by identifying benchmark rates based on SOFR that will replace LIBOR in certain financial contracts after June 30, 2023. The ultimate effect of the LIBOR transition process on the Funds is uncertain.

 

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

   

Period Ended

10/31/22

 
 

 

 

   

 

 

 
iShares ETF   Shares     Amount     Shares     Amount  

 

 

20+ Year Treasury Bond BuyWrite Strategy

       

Shares sold

    3,775,000     $   128,774,377       650,000     $ 24,165,683  

Shares redeemed

    (325,000     (10,855,556            
 

 

 

   

 

 

   

 

 

   

 

 

 
    3,450,000     $ 117,918,821       650,000     $   24,165,683  
 

 

 

   

 

 

   

 

 

   

 

 

 

High Yield Corporate Bond BuyWrite Strategy

       

Shares sold

    500,000     $ 18,368,795       275,000     $ 10,621,163  

Shares redeemed

    (75,000     (2,739,358     (25,000     (930,900
 

 

 

   

 

 

   

 

 

   

 

 

 
    425,000     $ 15,629,437       250,000     $ 9,690,263  
 

 

 

   

 

 

   

 

 

   

 

 

 

Investment Grade Corporate Bond BuyWrite Strategy

       

Shares sold

    2,150,000     $ 74,232,725       525,000     $ 19,983,269  

Shares redeemed

    (200,000     (7,049,321     (175,000     (6,281,473
 

 

 

   

 

 

   

 

 

   

 

 

 
    1,950,000     $ 67,183,404       350,000     $ 13,701,796  
 

 

 

   

 

 

   

 

 

   

 

 

 

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.

 

 

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

  25


Notes to Financial Statements (unaudited) (continued)

 

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.

 

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.

 

 

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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 20+ Year Treasury Bond BuyWrite Strategy ETF, iShares High Yield Corporate Bond BuyWrite Strategy ETF and iShares Investment Grade Corporate Bond BuyWrite Strategy 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.

 

 

S T A T E M E N T   R E G A R D I N G   L I Q U I D I T Y   R I S K   M A N A G E M E N T   P R O G R A M

    27  


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

 

20+ Year Treasury Bond BuyWrite Strategy(a)

  $ 1.710563     $     $   1.334804     $   3.045367       56         44     100

High Yield Corporate Bond BuyWrite Strategy(a)

    1.706386             1.893941       3.600327       47             53       100  

Investment Grade Corporate Bond BuyWrite Strategy(a)

    2.460497             1.181208       3.641705       68             32       100  

 

  (a) 

The Fund estimates that it has distributed more than its net investment income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in the Fund is returned to the shareholder. A return of capital does not necessarily reflect the Fund’s investment performance and should not be confused with “yield” or “income”. When distributions exceed total return performance, the difference will incrementally reduce the Fund’s net asset value per share.

 

 

 

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General Information

 

Electronic Delivery

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

To enroll in electronic delivery:

 

   

Go to icsdelivery.com.

   

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

Householding

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

Availability of Quarterly Schedule of Investments

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

Availability of Proxy Voting Policies and Proxy Voting Records

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

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

 

 

G E N E R A L   I N F O R M A T I O N

  29


Glossary of Terms Used in this Report

 

Portfolio Abbreviation
ETF    Exchange-Traded Fund
Currency Abbreviations
USD    United States Dollar

 

 

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Additional Financial Information

Schedules of Investments (Unaudited)

April 30, 2023

Statements of Assets and Liabilities (Unaudited)

April 30, 2023

iShares Trust

iShares 20+ Year Treasury Bond ETF | TLT | NASDAQ

iShares iBoxx $ High Yield Corporate Bond ETF | HYG | NYSE Arca

iShares iBoxx $ Investment Grade Corporate Bond ETF | LQD | NYSE Arca


Schedule of Investments (unaudited)

April 30, 2023

  

iShares® 20+ Year Treasury Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

    

Par

(000)

    Value  

 

 

U.S. Government Obligations

 

U.S. Government Obligations — 98.0%  

U.S. Treasury Note/Bond

   

1.25%, 05/15/50

  $ 480,317     $ 279,991,040  

1.38%, 08/15/50

        1,135,776       683,284,613  

1.63%, 11/15/50

    3,839,325       2,467,515,914  

1.88%, 02/15/51

    5,740,507       3,928,435,254  

1.88%, 11/15/51

    2,958,433       2,015,663,867  

2.00%, 02/15/50

    2,312,955       1,641,294,280  

2.00%, 08/15/51

    3,931,875       2,767,517,948  

2.25%, 08/15/49

    1,611,792       1,213,565,825  

2.25%, 02/15/52

    535,719       399,759,379  

2.38%, 11/15/49

    428       331,048  

2.50%, 02/15/45

    120,075       96,252,307  

2.50%, 02/15/46

    1,903,991           1,517,168,857  

2.50%, 05/15/46

    1,836,855       1,462,523,728  

2.75%, 11/15/42

    19,170       16,344,757  

2.75%, 08/15/47

    1,956       1,628,689  

2.75%, 11/15/47

    740,741       617,101,079  

2.88%, 05/15/43

    1,795,646       1,558,354,616  

2.88%, 08/15/45

    913,637       781,016,708  

2.88%, 11/15/46

    681,806       582,385,179  

2.88%, 05/15/49

    123       105,048  

2.88%, 05/15/52

    242,921       207,868,258  

3.00%, 11/15/44

    124,076       108,799,581  

3.00%, 02/15/47

    613,545       535,126,367  

3.00%, 02/15/48

    1,974,023       1,723,105,898  

3.00%, 08/15/48

    2,388,283       2,087,975,065  

3.00%, 02/15/49

    2,694,731       2,361,784,434  

3.00%, 08/15/52

    414,335       363,967,402  
Security  

Par/

Shares
(000)

    Value  

 

 
U.S. Government Obligations (continued)  

3.13%, 02/15/43

  $ 314,255     $ 283,983,587  

3.13%, 08/15/44

    1,812,495       1,624,590,146  

3.13%, 05/15/48

    1,206,135       1,077,606,150  

3.63%, 08/15/43

    784,441       765,074,723  

3.63%, 02/15/53

    750,855       744,519,661  

3.75%, 11/15/43

    262,451       260,533,480  

4.00%, 11/15/42

    52,037       53,598,110  

4.00%, 11/15/52

     1,185,652       1,258,828,959  
   

 

 

 
      35,487,601,957  
   

 

 

 

Total Long-Term Investments — 98.0%
(Cost: $41,341,681,719)

 

    35,487,601,957  
   

 

 

 

Short-Term Securities

   
Money Market Funds — 0.9%            

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

    310,890       310,890,000  
   

 

 

 

Total Short-Term Securities — 0.9%
(Cost: $310,890,000)

 

    310,890,000  
   

 

 

 

Total Investments — 98.9%
(Cost: $41,652,571,719)

      35,798,491,957  

Other Assets Less Liabilities — 1.1%

      405,338,839  
   

 

 

 

Net Assets — 100.0%

    $   36,203,830,796  
   

 

 

 

 

(a) 

Affiliate of the Fund.

(b) 

Annualized 7-day yield as of period end.

    

Fair Value Hierarchy as of Period End

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. There may not be a secondary market, and/or there are 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. For information about the Fund’s policy regarding valuation of financial instruments, refer to its most recent financial statements.

 

 

 

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Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® 20+ Year Treasury Bond 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  

 

 

Assets

                 

Investments

                 

Long-Term Investments

                 

U.S. Government Obligations

   $        $ 35,487,601,957        $        $ 35,487,601,957  

Short-Term Securities

                 

Money Market Funds

     310,890,000                            310,890,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 310,890,000        $ 35,487,601,957        $        $ 35,798,491,957  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

 

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

 


Schedule of Investments (unaudited)

April 30, 2023

  

iShares® iBoxx $ High Yield Corporate Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Corporate Bonds & Notes

   
Advertising — 0.9%            

Clear Channel Outdoor Holdings Inc.

   

5.13%, 08/15/27 (Call 08/15/23)(a)(b)

  $     20,439     $ 18,446,410  

7.50%, 06/01/29 (Call 06/01/24)(a)(b)

    17,175       12,709,500  

7.75%, 04/15/28 (Call 04/15/24)(a)(b)

    15,975       12,084,608  

Lamar Media Corp.

   

3.63%, 01/15/31 (Call 01/15/26)(b)

    9,023       7,754,321  

3.75%, 02/15/28 (Call 02/15/24)(b)

    10,113       9,355,171  

4.00%, 02/15/30 (Call 02/15/25)(b)

    9,623       8,631,663  

4.88%, 01/15/29 (Call 01/15/24)(b)

    6,603       6,274,282  

Outfront Media Capital LLC/Outfront Media

   

Capital Corp.

   

4.25%, 01/15/29 (Call 01/15/24)(a)(b)

    8,578       7,337,258  

4.63%, 03/15/30 (Call 03/15/25)(a)(b)

    7,935       6,747,868  

5.00%, 08/15/27 (Call 08/15/23)(a)(b)

    10,884       10,075,387  

6.25%, 06/15/25 (Call 06/15/23)(a)(b)

    6,297       6,315,576  

Stagwell Global LLC, 5.63%, 08/15/29 (Call 08/15/24)(a)(b)

    18,455       15,946,043  

Terrier Media Buyer Inc., 8.88%, 12/15/27 (Call 12/15/23)(a)(b)

    17,353       13,453,781  
   

 

 

 
          135,131,868  
Aerospace & Defense — 2.7%            

Bombardier Inc.

   

6.00%, 02/15/28 (Call 02/15/24)(a)(b)

    12,398       11,745,832  

7.13%, 06/15/26 (Call 06/15/23)(a)

    19,693       19,597,400  

7.50%, 03/15/25 (Call 05/29/23)(a)(b)

    1,763       1,763,000  

7.50%, 02/01/29 (Call 02/01/26)(a)(b)

    12,530       12,310,725  

7.88%, 04/15/27 (Call 04/15/24)(a)(b)

    31,666       31,593,168  

Howmet Aerospace Inc.

   

3.00%, 01/15/29 (Call 11/15/28)(b)

    11,385       10,243,768  

5.13%, 10/01/24 (Call 07/01/24)

    10,826       10,833,903  

6.88%, 05/01/25 (Call 04/01/25)(b)

    8,222       8,463,916  

Rolls-Royce PLC

   

3.63%, 10/14/25 (Call 07/14/25)(a)

    16,845       15,941,372  

5.75%, 10/15/27 (Call 07/15/27)(a)(b)

    16,896       16,778,362  

Spirit AeroSystems Inc.

   

4.60%, 06/15/28 (Call 03/15/28)(b)

    11,419       9,648,104  

7.50%, 04/15/25 (Call 04/15/24)(a)(b)

    20,631       20,501,747  

9.38%, 11/30/29 (Call 11/30/25)(a)

    15,554       16,720,550  

TransDigm Inc.

   

4.63%, 01/15/29 (Call 01/15/24)(b)

    19,816       17,933,480  

4.88%, 05/01/29 (Call 05/01/24)(b)

    12,563       11,400,922  

5.50%, 11/15/27 (Call 11/15/23)(b)

    43,483       41,743,680  

6.25%, 03/15/26 (Call 03/15/24)(a)

    65,161       65,480,289  

6.38%, 06/15/26 (Call 06/15/23)

    15,946       15,916,021  

6.75%, 08/15/28 (Call 02/15/25)(a)(b)

    34,495       35,012,425  

7.50%, 03/15/27 (Call 03/15/24)(b)

    9,007       9,052,035  

TransDigm UK Holdings PLC, 6.88%, 05/15/26 (Call 05/15/23)

    8,741       8,798,909  

Triumph Group Inc.

   

7.75%, 08/15/25 (Call 08/15/23)(b)

    8,427       7,830,091  

9.00%, 03/15/28 (Call 03/15/25)(a)(b)

    19,816       20,025,851  
   

 

 

 
      419,335,550  
Agriculture — 0.3%            

Darling Ingredients Inc.

   

5.25%, 04/15/27 (Call 04/15/24)(a)

    8,445       8,277,223  

6.00%, 06/15/30 (Call 06/15/25)(a)(b)

    16,860       16,691,400  
Security  

Par

(000)

    Value  
Agriculture (continued)            

Vector Group Ltd.

   

5.75%, 02/01/29 (Call 02/01/24)(a)

  $ 14,269     $ 12,770,755  

10.50%, 11/01/26 (Call 11/01/23)(a)(b)

    9,401       9,464,249  
   

 

 

 
      47,203,627  
Airlines — 2.2%            

Air Canada, 3.88%, 08/15/26 (Call 02/15/26)(a)

        20,039       18,561,124  

American Airlines Group Inc., 3.75%, 03/01/25(a)(b)

    8,030       7,549,204  

American Airlines Inc.

   

7.25%, 02/15/28 (Call 02/15/25)(a)(b)

    12,452       12,109,570  

11.75%, 07/15/25(a)

    41,784       45,949,865  

American Airlines Inc./AAdvantage Loyalty IP Ltd.

   

5.50%, 04/20/26(a)

    57,298       56,294,955  

5.75%, 04/20/29(a)

    48,866       46,483,372  

Delta Air Lines Inc.

   

2.90%, 10/28/24 (Call 09/28/24)(b)

    15,008       14,513,486  

3.75%, 10/28/29 (Call 07/28/29)(b)

    10,003       8,988,967  

4.38%, 04/19/28 (Call 01/19/28)(b)

    8,733       8,230,852  

7.38%, 01/15/26 (Call 12/15/25)(b)

    13,852       14,600,493  

Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., 5.75%, 01/20/26 (Call 01/20/24)(a)(b)

    19,345       18,024,863  

Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., 8.00%, 09/20/25 (Call 09/20/23)(a)

    18,286       18,468,959  

United Airlines Inc.

   

4.38%, 04/15/26 (Call 10/15/25)(a)(b)

    33,839       32,313,562  

4.63%, 04/15/29 (Call 10/15/25)(a)

    33,126       29,979,030  
   

 

 

 
          332,068,302  
Apparel — 0.2%            

Hanesbrands Inc.

   

4.88%, 05/15/26 (Call 02/15/26)(a)(b)

    15,088       14,239,300  

9.00%, 02/15/31 (Call 02/15/26)(a)(b)

    9,657       9,872,521  
   

 

 

 
      24,111,821  
Auto Manufacturers — 4.3%            

Allison Transmission Inc.

   

3.75%, 01/30/31 (Call 01/30/26)(a)(b)

    15,996       13,710,572  

4.75%, 10/01/27 (Call 10/01/23)(a)(b)

    7,256       6,942,636  

5.88%, 06/01/29 (Call 06/01/24)(a)(b)

    8,162       8,002,229  

Aston Martin Capital Holdings Ltd., 10.50%, 11/30/25 (Call 11/01/24)(a)

    19,854       19,506,555  

Ford Motor Co.

   

3.25%, 02/12/32 (Call 11/12/31)

    34,966       27,142,357  

4.35%, 12/08/26 (Call 09/08/26)(b)

    19,283       18,626,776  

6.10%, 08/19/32 (Call 05/19/32)(b)

    25,349       24,209,965  

9.63%, 04/22/30 (Call 01/22/30)(b)

    6,213       7,209,915  

Ford Motor Credit Co. LLC

   

2.30%, 02/10/25 (Call 01/10/25)

    15,803       14,738,668  

2.70%, 08/10/26 (Call 07/10/26)

    20,522       18,213,275  

2.90%, 02/16/28 (Call 12/16/27)(b)

    10,348       8,938,085  

2.90%, 02/10/29 (Call 12/10/28)

    10,716       8,877,242  

3.38%, 11/13/25 (Call 10/13/25)

    29,979       27,845,994  

3.63%, 06/17/31 (Call 03/17/31)

    14,592       12,025,425  

3.66%, 09/08/24

    8,200       7,912,720  

3.81%, 01/09/24 (Call 11/09/23)(b)

    635       624,531  

3.82%, 11/02/27 (Call 08/02/27)

    10,440       9,377,861  

4.00%, 11/13/30 (Call 08/13/30)(b)

    22,307       19,128,253  

4.06%, 11/01/24 (Call 10/01/24)

    18,253       17,758,161  

4.13%, 08/04/25

    20,370       19,348,190  

4.13%, 08/17/27 (Call 06/17/27)

    16,761       15,381,737  

4.27%, 01/09/27 (Call 11/09/26)

    12,880       11,943,874  

 

 

 

2 0 2 3   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


Schedule of Investments (unaudited) (continued)

April 30, 2023

  

iShares® iBoxx $ High Yield Corporate Bond ETF

(Percentages shown are based on Net Assets)