LOGO

  JANUARY 31, 2024

 

  

2024 Semi-Annual Report

(Unaudited)

 

 

BlackRock ETF Trust II

· BlackRock AAA CLO ETF | CLOA | NASDAQ

· BlackRock Flexible Income ETF | BINC | NYSE Arca

· BlackRock Floating Rate Loan ETF | BRLN | Cboe BZX

· BlackRock High Yield Muni Income Bond ETF | HYMU | Cboe BZX

· BlackRock Intermediate Muni Income Bond ETF | INMU | NYSE Arca

· BlackRock Short-Term California Muni Bond ETF | CALY | NASDAQ

· BlackRock Total Return ETF | BRTR | NASDAQ

 

 

 

Not FDIC Insured • May Lose Value • No Bank Guarantee


The Markets in Review

Dear Shareholder,

The combination of continued economic growth and cooling inflation provided a supportive backdrop for investors during the 12-month reporting period ended January 31, 2024. Significantly tighter monetary policy helped to rein in inflation, and the Consumer Price Index decelerated substantially in the first half of the period before stalling between 3% and 4% in the second half. A moderating labor market helped ease inflationary pressure, although wages continued to grow. Wage and job growth powered robust consumer spending, backstopping the economy. On October 7, 2023, Hamas launched a horrific attack on Israel. The ensuing war will have a significant humanitarian impact and could lead to heightened economic and market volatility. We see geopolitics as a structural market risk going forward. See our geopolitical risk dashboard at blackrock.com for more details.

Equity returns were robust during the period, as interest rates stabilized and the economy proved to be more resilient than many investors expected. The U.S. economy continued to show strength, and growth further accelerated in the second half of 2023. Large-capitalization U.S. stocks posted particularly substantial gains, supported by the performance of a few notable technology companies, while small-capitalization U.S. stocks advanced at a significantly slower pace. Meanwhile, international developed market equities also gained, while emerging market stocks declined overall.

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. However, shorter-duration U.S. Treasuries gained, as higher yields boosted returns. The corporate bond market benefited from improving economic sentiment, although high-yield corporate bond prices fared significantly better than investment-grade bonds as demand from yield-seeking investors remained strong.

The U.S. Federal Reserve (the “Fed”), attempting to manage persistent inflation, raised interest rates four times during the 12-month period, but paused its tightening in the second half of the period. The Fed also wound down its bond-buying programs and incrementally reduced its balance sheet by not replacing securities that reach maturity.

Supply constraints appear to have become an embedded feature of the new macroeconomic environment, making it difficult for developed economies to increase production without sparking higher inflation. Geopolitical fragmentation and an aging population risk further exacerbating these constraints, keeping the labor market tight and wage growth high. Although the Fed has stopped tightening for now, we believe that the new economic regime means that the Fed will need to maintain high rates for an extended period despite the market’s hopes for interest rate cuts, as reflected in the recent rally. In this new regime, we anticipate greater volatility and dispersion of returns, creating more opportunities for selective portfolio management.

Looking at developed market stocks, we have an overweight stance on U.S. stocks overall, particularly given the promise of emerging AI technologies. We are also overweight Japanese stocks as shareholder-friendly policies generate increased investor interest, although we maintain an underweight stance on European stocks. In credit, there are selective opportunities in the near term despite tighter credit and financial conditions. For fixed income investing with a six- to twelve-month horizon, we see the most attractive investments in short-term U.S. Treasuries and hard-currency emerging market bonds.

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

 

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

LOGO

Rob Kapito

President, BlackRock Advisors, LLC

 

Total Returns as of January 31, 2024

 

 
    

 

 6-Month 

 

   

 

 12-Month 

 

 
   

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

    6.43%        20.82%   
   

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

    (2.02)          2.40     
   

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

    3.15          10.01     
   

Emerging market equities
(MSCI Emerging Markets Index)

    (6.00)          (2.94)    
   

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

    2.73          5.13     
   

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

    1.74          (0.38)    
   

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

    3.15          2.10     
   

Tax-exempt municipal bonds
(Bloomberg Municipal Bond Index)

    2.70          2.90     
   

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

    6.18          9.28     
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

 

 

2  

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


Table of Contents

 

 

     Page  

The Markets in Review

    2  

Semi-Annual Report:

 

Fund Summary

    4  

About Fund Performance

    16  

Disclosure of Expenses

    16  

Schedules of Investments

    17  

Financial Statements:

 

Statements of Assets and Liabilities

    91  

Statements of Operations

    94  

Statements of Changes in Net Assets

    96  

Financial Highlights

    100  

Notes to Financial Statements

    107  

Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements

    119  

Statement Regarding Liquidity Risk Management Program

    122  

Supplemental Information

    123  

Additional Information

    124  

Glossary of Terms Used in this Report

    126  

 

 

  3


Fund Summary as of January 31, 2024    BlackRock AAA CLO ETF

 

Investment Objective

The BlackRock AAA CLO ETF (the “Fund”) seeks to provide capital preservation and current income by investing principally in a portfolio composed of U.S. dollar-denominated AAA-rated collateralized loan obligations (“CLOs”).

Performance

 

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

Fund NAV

    4.60     8.06     8.98       8.06     9.55

Fund Market

    4.33       7.92       9.11         7.92       9.68  

JP Morgan CLOIE AAA Index(a)

    4.11       8.11       8.73               8.11       9.24  

The inception date of the Fund was January 10, 2023. The first day of secondary market trading was January 12, 2023.

 

  (a) 

The J.P. Morgan Collateralized Loan Obligation Index (CLOIE) is a total return benchmark for broadly-syndicated arbitrage US CLO debt. The J.P. Morgan CLOIE AAA Index is a sub-index of the J.P. Morgan CLOIE Index that incorporates both AAAs and Junior AAAs.

 

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

(08/01/23)

 

 

 

      


Ending

Account Value
(01/31/24)

 


 

      

Expenses
Paid During
the Period
 
 
(a) 
           

Beginning
Account Value
(08/01/23)
 
 
 
      


Ending

Account Value
(01/31/24)

 


 

      

Expenses
Paid During

the Period

 
 

(a) 

      

 Annualized
Expense

Ratio

 
 

 

      $  1,000.00          $  1,046.00          $   1.08               $  1,000.00          $  1,024.10          $  1.07          0.21

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information.

 

Portfolio Management Commentary

For much of the period, the expectation that the U.S. Federal Reserve would keep short-term interest rates “higher-for-longer” benefited floating rate assets such as collateralized loan obligations (“CLOs”). While loan downgrades continued to outpace loan upgrades, underlying default rates for CLOs were relatively subdued and demand remained strong for high quality, investment grade issues. Given their floating rate feature and the rise seen in reference rates entering the period, CLO performance benefited from higher all-in yields. Price appreciation due to spread compression also supported returns for the asset class, especially in November and December when risk assets broadly rallied.

The Fund outperformed its benchmark, the JP Morgan CLOIE AAA Index. The Fund was active in purchasing CLOs with managers that have a demonstrated track record in managing credit through multiple economic cycles. This approach supported the Fund’s performance as issues with top-tier managers are generally more liquid due to their higher quality. In this vein, the Fund purchased AAA-rated CLOs at a discount which experienced significant price strength as investor demand for high quality profiles at the top of the capital stack remained strong. Additionally, the Fund began to buy bonds in the AA and A ratings categories which became undervalued as they initially lagged the rally. This also proved additive to performance as these issues subsequently joined the price rally.

 

 

 

4  

2 0 2 4  B L A C K R O C K  S E M I - A N N U A L  R E P O R T  T O  S H A R E H O L D E R S


Fund Summary as of January 31, 2024 (continued)    BlackRock AAA CLO ETF

 

Portfolio Information

 

MATURITY ALLOCATION

 

   
Maturity    
Percent of
Total Investments
 
(a) 

5-10 Years

    28.4

10-15 Years

    71.6  

TEN LARGEST HOLDINGS

 

   
Security    
Percent of
Total Investments
 
(a) 
AIMCO CLO 11 Ltd., 6.71%, 10/17/34     3.5
Apidos CLO XXXVII, 6.71%, 10/22/34     2.2  
OCP CLO Ltd., 6.67%, 07/20/32     2.2  
522 Funding CLO Ltd., 6.64%, 04/15/35     2.2  
Pikes Peak CLO 6, 6.80%, 05/18/34     2.1  
Palmer Square CLO Ltd., Series 2021 4A, Class A, 6.75%, 10/15/34     1.9  
Regatta VI Funding Ltd., 7.28%, 04/20/34     1.9  
Diameter Capital CLO 1 Ltd., 6.82%, 07/15/36     1.9  
Symphony CLO XXVIII Ltd., 6.72%, 10/23/34     1.9  
Clover CLO LLC, 6.68%, 04/22/34     1.9  

 

  (a) 

Excludes money market funds.

 

 

 

F U N D  S U M M A R Y

  5


Fund Summary as of January 31, 2024    BlackRock Flexible Income ETF

 

Investment Objective

The BlackRock Flexible Income ETF (the “Fund”) seeks to maximize long-term income by primarily investing in debt and income-producing securities with a secondary objective of capital appreciation.

Performance

 

          Cumulative Total Returns  
     6-Month
Total Returns
   

Since

Inception

 

Fund NAV

    5.70     7.97

Fund Market

    5.66       8.42  

Bloomberg US Universal Index(a)

    3.41       3.89  

The inception date of the Fund was May 19, 2023. The first day of secondary market trading was May 23, 2023.

 

  (a) 

An index that measures the performance of U.S. dollar-denominated taxable bonds that are rated either investment-grade or high yield. The index includes U.S. Treasury bonds, investment-grade and high yield U.S. corporate bonds, mortgage-backed securities, and Eurodollar bonds.

 

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

(08/01/23)

 

 

 

      


Ending

Account Value
(01/31/24)

 


 

      

Expenses
Paid During
the Period
 
 
(a) 
           

Beginning
Account Value
(08/01/23)
 
 
 
      


Ending

Account Value
(01/31/24)

 


 

      

Expenses
Paid During

the Period

 
 

(a) 

      

 Annualized
Expense

Ratio

 
 

 

      $  1,000.00          $  1,057.00          $   1.96               $  1,000.00          $  1,023.20          $  1.93          0.38

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information.

 

Portfolio Management Commentary

Credit-based fixed-income assets delivered positive returns in the six-month period, reflecting anticipation of a soft landing for the economy and a moving forward of expectations for when the U.S. Federal Reserve (“Fed”) would begin to cut short term interest rates.

Positive contributors to the Fund’s performance included positioning in securitized assets, non-U.S. corporate bonds, and U.S. high yield corporate bonds. The Fund’s stance with respect to overall portfolio duration and positioning along the yield curve also contributed to performance.

The Fund was opportunistic within the U.S. high yield market while remaining cautious with respect to credits farther down the capital stack. Yields for higher quality bonds within the segment have remained attractive despite tighter spreads while valuations appeared stretched within the lower quality CCC ratings category. The Fund also favored non-U.S. corporate bonds to gain diversification and incremental yield when hedged back to the U.S. dollar. Within securitized assets, the Fund favored collateralized loan obligations while positioning tactically within commercial mortgage-backed securities and asset-backed securities. Within these sectors, the Fund was focused on high-quality segments with favorable risk/reward profiles. The Fund trimmed its allocation to emerging markets based on less compelling valuations, heightened macro uncertainty, and adverse technical factors which impacted the supply and demand backdrop. With the Fed taking a March rate cut off the table at its late January meeting, the Fund had a cautious stance with respect to duration and corresponding interest rate sensitivity entering the second half of its fiscal year, while favoring the belly of the curve which appeared to have the most potential to rally.

 

 

6  

2 0 2 4  B L A C K R O C K  S E M I - A N N U A L  R E P O R T  T O  S H A R E H O L D E R S


Fund Summary as of January 31, 2024 (continued)    BlackRock Flexible Income ETF

 

Portfolio Information

 

PORTFOLIO COMPOSITION

 

   
Investment Type    
Percent of
Total Investments
 
(a) 

Corporate Bonds & Notes

    58.3

Asset-Backed Securities

    13.7  

Collaterized Mortgage Obligations

    9.1  

U.S. Government & Agency Obligations

    8.6  

Foreign Government Obligations

    4.9  

Convertible Bonds

    0.7  

TBA Sales Commitments

    (2.4

Investment Companies

    7.1  

CREDIT QUALITY ALLOCATION

 

   
Credit Rating*    
Percent of
Total Investments
 
(a) 

AAA/Aaa

    21.3

AA/Aa

    3.8  

A

    9.0  

BBB/Baa

    15.6  

BB/Ba

    23.9  

B

    13.7  

CCC

    0.5  

N/R

    12.2  

 

  *

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

 

  (a) 

Excludes money market funds.

 

 

 

F U N D  S U M M A R Y

  7


Fund Summary as of January 31, 2024    BlackRock Floating Rate Loan ETF

 

Investment Objective

The BlackRock Floating Rate Loan ETF (the “Fund”) primarily seeks to provide high current income and secondarily seeks to provide long-term capital appreciation.

Performance

 

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

Fund NAV

    5.35      10.34      11.44        10.34      15.49

Fund Market

    5.21        11.15        12.09          11.15        16.38  

Morningstar LSTA Leveraged Loan Index(a)

    5.78        11.12        12.14                11.12        16.36  

The inception date of the Fund was October 4, 2022. The first day of secondary market trading was October 6, 2022.

 

  (a) 

Morningstar LSTA Leveraged Loan Index (formerly S&P®/LSTA Leveraged Loan Index), an unmanaged market value-weighted index designed to measure the performance of the U.S. leveraged loan market based upon spreads, interest payments and market weightings subject to a single loan facility weight cap of 2%.

 

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

(08/01/23)

 

 

 

      


Ending

Account Value
(01/31/24)

 


 

      

Expenses
Paid During
the Period
 
 
(a) 
           

Beginning
Account Value
(08/01/23)
 
 
 
      


Ending

Account Value
(01/31/24)

 


 

      

Expenses
Paid During

the Period

 
 

(a) 

      

 Annualized
Expense

Ratio

 
 

 

      $  1,000.00          $  1,053.50          $   2.89               $  1,000.00          $  1,022.30          $  2.85          0.56

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information.

 

Portfolio Management Commentary

The U.S. Federal Reserve (“Fed”) held short-term interest rates steady during the period, leaving the target range for the benchmark fed funds rate at 5.25%-5.50%. The loan market posted a strong positive return for the six months, with much of the gain experienced in November and December when a “soft landing” narrative took hold and risk assets broadly rallied on hopes the economy would avoid recession.

The Fund modestly underperformed its benchmark for the six months. Positive contributors to relative performance included strong issuer selection within and a slight overweight to loans in the CCC ratings category. In sector terms, contributions were highlighted by allocations to food & beverage, aerospace & defense, and leisure. Out of benchmark exposure to liquid, indexed high yield corporate bond vehicles also proved additive as credit sentiment strengthened and investors began to anticipate Fed rate cuts in 2024. On the downside, underweight exposure to lower quality loans in the B2 and B3 ratings categories detracted from relative return.

Portfolio Information

 

CREDIT QUALITY ALLOCATION

 

   
Credit Rating*    
Percent of
Total Investments
 
(a) 

BBB/Baa

    6.9

BB/Ba

    20.2  

B

    62.8  

CCC

    5.9  

N/R

    4.2  

MATURITY ALLOCATION

 

   
Maturity    
Percent of
Total Investments
 
(a) 

0-1 Year

    0.8

1-5 Years

    65.7  

5-10 Years

    33.5  

 

  *

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

 

  (a) 

Excludes money market funds.

 

 

 

8  

2 0 2 4  B L A C K R O C K  S E M I - A N N U A L  R E P O R T  T O  S H A R E H O L D E R S


Fund Summary as of January 31, 2024    BlackRock High Yield Muni Income Bond ETF

 

Investment Objective

The BlackRock High Yield Muni Income Bond ETF (the “Fund”) primarily seeks to maximize tax-free current income and secondarily seeks to maximize capital appreciation with a portfolio composed principally of high yield and other income-generating U.S. municipal bonds.

Performance

 

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

Fund NAV

    4.48      4.94      (0.39 )%         4.94      (1.13 )% 

Fund Market

    4.39        4.96        (0.32        4.96        (0.92

Bloomberg Municipal High Yield Bond Index(a)

    3.42        4.08        (0.07        4.08        (0.19

Bloomberg Custom Blend Benchmark(b)

    3.32        4.08        (0.10              4.08        (0.29

The inception date of the Fund was March 16, 2021. The first day of secondary market trading was March 18, 2021.

 

  (a) 

The Bloomberg Municipal High Yield Bond Index is designed to measure the performance of U.S. dollar-denominated high-yield municipal bonds issued by U.S. states, the District of Columbia, U.S. territories and local governments or agencies.

 

 

  (b) 

The Bloomberg Custom Blend Benchmark is comprised of 80% Bloomberg Municipal High Yield Index, 10% Bloomberg BBB Index and 10% Bloomberg Single A Index.

 

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

Expense Example

 

    Actual           Hypothetical 5% Return           
                                                                
     

Beginning

Account Value

(08/01/23)

 

 

 

      


Ending

Account Value
(01/31/24)

 


 

      

Expenses
Paid During
the Period
 
 
(a) 
           

Beginning
Account Value
(08/01/23)
 
 
 
      


Ending

Account Value
(01/31/24)

 


 

      

Expenses
Paid During

the Period

 
 

(a) 

      

 Annualized
Expense

Ratio

 
 

 

      $  1,000.00          $  1,044.80          $   1.80               $  1,000.00          $  1,023.40          $  1.78          0.35

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information.

 

Portfolio Management Commentary

Municipal bonds delivered positive total returns in the semiannual period. The market initially experienced weakness in the span from August through October, as a resurgence in growth expectations and increased U.S. Treasury issuance contributed to a sharp increase in yields. The Fund’s investment adviser sought to take advantage of the weak market conditions to capture higher yields while maintaining a long duration stance in the portfolio. (Duration is a measure of interest rate sensitivity.) In the second half of the period, investors began to anticipate the potential for a dovish shift in interest rate policy. The resulting rally helped the municipal market recover its earlier losses and close with a solid gain.

The Fund produced a robust total return and outperformed its benchmark. An overweight in non investment-grade bonds contributed to performance, as did the portfolio’s long duration and positions in longer-dated securities. At the sector level, the largest contributions came from holdings in corporate-backed bonds (primarily pre-paid gas and airline issues) and the other industries category, which includes development districts. Positions in the state tax-backed sector also contributed, led by Puerto Rico. At a time of positive performance for both the broader market and the Fund, there were no meaningful detractors. In terms of portfolio activity, the investment adviser remained focused on tax-loss selling and maintaining an attractive yield for the Fund.

 

 

F U N D  S U M M A R Y

  9


Fund Summary as of January 31, 2024 (continued)    BlackRock High Yield Muni Income Bond ETF

 

Portfolio Information

 

FIVE LARGEST HOLDINGS

 

   
Security    
Percent of
Total Investments
 
(a) 
Buckeye Tobacco Settlement Financing Authority RB, Series B2, 5.00%, 06/01/55     5.5
New York Transportation Development Corp RB, 5.38%, 06/30/60     5.2  
Black Belt Energy Gas District RB, 4.00%, 06/01/51     4.9  
Hoover Industrial Development Board RB, 5.75%, 10/01/49     4.1  
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue RB, 5.00%, 07/01/58     3.4  

CREDIT QUALITY ALLOCATION

 

     
Credit Rating*            
Percent of
Total Investments
 
(a) 

AAA/Aaa

      0.3

AA/Aa

      8.7  

A

      9.0  

BBB/Baa

      19.5  

BB/Ba

      17.6  

B

      2.4  

N/R

            42.5  

 

  *

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

 

  (a)

Excludes money market funds.

 

 

 

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Fund Summary as of January 31, 2024    BlackRock Intermediate Muni Income Bond ETF

 

Investment Objective

The BlackRock Intermediate Muni Income Bond ETF (the “Fund”) seeks to maximize tax-free current income.

Performance

 

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

Fund NAV

    2.64      3.41      0.48        3.41      1.40

Fund Market

    3.18        3.97        0.55          3.97        1.59  

Bloomberg Municipal 3-10 Year Index(a)

    2.47        2.03        (0.27        2.03        (0.77

Bloomberg Custom Blend Benchmark(b)

    2.57        2.73        0.04                2.73        0.12  

The inception date of the Fund was March 16, 2021. The first day of secondary market trading was March 18, 2021.

 

  (a) 

An index that covers the USD-denominated long-term tax exempt bond market. It includes general obligation and revenue bonds with maturities of more than three years and less than ten years.

 

 

  (b) 

The Bloomberg Custom Blend Benchmark is comprised of 90% Bloomberg 1-15 Year Municipal Bond Index and 10% Bloomberg Municipal High Yield 1-15 Year Index.

 

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

Expense Example

 

    Actual           Hypothetical 5% Return           
                                                                
     

Beginning

Account Value

(08/01/23)

 

 

 

      


Ending

Account Value
(01/31/24)

 


 

      

Expenses
Paid During
the Period
 
 
(a) 
           

Beginning
Account Value
(08/01/23)
 
 
 
      


Ending

Account Value
(01/31/24)

 


 

      

Expenses
Paid During

the Period

 
 

(a) 

      

 Annualized
Expense

Ratio

 
 

 

      $  1,000.00          $  1,026.40          $   1.63               $  1,000.00          $  1,023.50          $  1.63          0.32

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information.

 

Portfolio Management Commentary

The fixed-income markets experienced elevated volatility in the semiannual period. Bonds initially sold off due to better-than-expected economic growth and increased inflation expectations. However, the U.S. Federal Reserve’s (Fed’s) apparent shift to a more dovish policy stance fueled a rally in the latter half of the period that helped the market recover its earlier losses and close in positive territory.

The Fund’s investment adviser responded to these developments by maintain a somewhat defensive posture with respect to duration (interest rate sensitivity) in the first part of the period. The adviser subsequently shifted to a long duration stance based on its anticipation of the Fed’s policy change and its belief that the market sell-off had created compelling valuations. These moves made a positive contribution to performance.

The Fund also benefited from its position in floating-rate notes, which outperformed in the first half of the period. Although the category experienced weaker relative price performance once the broader market began to rally, it continued to provide attractive income. Floating-rate securities also allowed the adviser to balance the Fund’s overweight in 15- to 20-year maturities without needing to allocate capital to the more richly priced short end of the yield curve. The overweight in bonds with maturities of 15 years and above contributed to returns due to their above-average yields and strong price performance in the latter half of the period.

Credit positioning had a slightly negative impact overall. The Fund held a modest overweight in high yield bonds, which aided performance. However, a tilt in favor of A and BBB rated securities within the investment-grade category detracted. Sector positioning was mixed. While underweights in the tax-backed and utility sectors contributed, overweights in healthcare, higher education, and housing detracted.

 

 

F U N D  S U M M A R Y

  11


Fund Summary as of January 31, 2024 (continued)    BlackRock Intermediate Muni Income Bond ETF

 

Portfolio Information

 

FIVE LARGEST HOLDINGS

 

   
Security    
Percent of
Total Investments
 
(a) 
Kentucky Public Energy Authority RB, 5.25%, 04/01/54     5.3
County of Jefferson AL Sewer Revenue RB, 5.25%, 10/01/44     4.7  
Tennergy Corp./TN RB, 5.50%, 10/01/53     3.4  
Kansas City Industrial Development Authority RB, 5.00%, 03/01/34     3.4  
New Hope Cultural Education Facilities Finance Corp. RB, 4.00%, 08/15/34     3.3  

CREDIT QUALITY ALLOCATION

 

   
Credit Rating*    
Percent of
Total Investments
 
(a) 

AAA/Aaa

    4.0

AA/Aa

    21.0  

A

    41.0  

BBB/Baa

    19.2  

BB/Ba

    1.8  

B

    1.1  

N/R

    11.9  

 

  *

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

 

  (a) 

Excludes money market funds.

 

 

 

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Fund Summary as of January 31, 2024    BlackRock Short-Term California Muni Bond ETF

 

Investment Objective

The BlackRock Short-Term California Muni Bond ETF (the “Fund”) seeks to maximize tax-free current income by investing in short-term municipal bonds issued in the State of California.

Performance

 

          Cumulative Total Returns  
     6-Month
Total Returns
    Since
Inception
 

Fund NAV

    1.88     1.99

Fund Market

    2.02       2.12  

Bloomberg CA IG only 0-2 year Index(a)

    1.76       1.90  

The inception date of the Fund was July 11, 2023. The first day of secondary market trading was July 13, 2023.

 

  (a)

An index that measures the performance of municipal securities issued in the State of California with maturities between 0 and 2 years.

 

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

Expense Example

 

    Actual           Hypothetical 5% Return           
                                                                
     

Beginning

Account Value

(08/01/23)

 

 

 

      


Ending

Account Value
(01/31/24)

 


 

      

Expenses
Paid During
the Period
 
 
(a) 
           

Beginning
Account Value
(08/01/23)
 
 
 
      


Ending

Account Value
(01/31/24)

 


 

      

Expenses
Paid During

the Period

 
 

(a) 

      

 Annualized
Expense

Ratio

 
 

 

      $  1,000.00          $  1,018.80          $   1.12               $  1,000.00          $  1,024.00          $  1.12          0.22

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information.

 

Portfolio Management Commentary

The fixed-income markets experienced elevated volatility in the semiannual period. Bonds initially sold off due to better-than-expected economic growth and increased inflation expectations. However, the U.S. Federal Reserve’s (Fed’s) apparent shift to a more dovish policy stance fueled a rally in the latter half of the period that helped the market recover its earlier losses and close in positive territory. Municipal bonds were further supported by favorable supply-and-demand trends. Municipal note supply remained subdued compared to pre-pandemic levels due to healthy issuer balance sheets, elevated rainy-day funds, the continued effects of COVID-era fiscal stimulus, and prior years of low interest rates that allowed issuers to sell longer-dated debt.

The Fund’s steady allocation to Variable Rate Demand Notes (“VRDNs”) and Tender Option Bond Floaters (“TOBs”) contributed to performance. Holdings in these categories offered price stability and attractive yields. Positions in the airports and prepaid gas sectors contributed, as did overweights in the local tax-backed, corporate-backed, and transportation sectors. On the other hand, the lack of a position in pre-refunded/escrow bonds detracted. Underweights in the state tax-backed and utilities sectors also hurt relative performance.

At the close of the period, the Fund maintained a longer duration stance amid market expectations that the Fed will reduce rates later in 2024 if inflation continues to decline. The Fund maintained selective holdings in commercial paper given the category’s attractive yield and ability to provide stable returns in the context of a volatile interest-rate environment.

 

 

F U N D  S U M M A R Y

  13


Fund Summary as of January 31, 2024 (continued)    BlackRock Short-Term California Muni Bond ETF

 

Portfolio Information

 

FIVE LARGEST HOLDINGS

 

   
Security    
Percent of
Total Investments
 
(a) 
California State Public Works Board RB, Series A, 5.00%, 09/01/27  

 

4.0

San Diego Unified School District/CA Revenue Notes, 5.00%, 06/28/24  

 

4.0

 

Santa Clara Valley Transportation Authority, 5.00%, 04/01/24     3.9  
Long Beach Unified School District GO, VRDN, 2.94%, 08/01/53  

 

3.9

 

San Diego Public Facilities Financing Authority RB, VRDN,

4.01%, 10/15/48

 

 

3.9

 

CREDIT QUALITY ALLOCATION

 

     
Credit Rating*             
Percent of
Total Investments
 
(a) 

AAA/Aaa

       8.2

AA/Aa

       35.8  

A

       46.8  

BBB/Baa

       2.0  

N/R

             7.2  

 

  *

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

 

  (a) 

Excludes money market funds.

 

 

 

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Fund Summary as of January 31, 2024    BlackRock Total Return ETF

 

Investment Objective

The BlackRock Total Return ETF (the “Fund”) seeks to realize a total return that exceeds that of the Bloomberg U.S. Aggregate Bond Index.

Performance

 

     Cumulative Total Returns  
     

Since

Inception

 

Fund NAV

     2.48

Fund Market

     2.60  

Bloomberg U.S. Aggregate Bond Index(a)

     2.32  

The inception date of the Fund was December 12, 2023. The first day of secondary market trading was December 14, 2023.

 

  (a)

A broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market.

 

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

(12/12/23)

 

 

(a) 

      


Ending

Account Value
(01/31/24)

 


 

      

Expenses
Paid During
the Period
 
 
(b) 
           

Beginning
Account Value
(08/01/23)
 
 
 
      


Ending

Account Value
(01/31/24)

 


 

      

Expenses
Paid During

the Period

 
 

(b) 

      

 Annualized
Expense

Ratio

 
 

 

      $  1,000.00          $  1,024.80          $   0.51               $  1,000.00          $  1,023.30          $  1.83          0.36

 

  (a) 

Commencement of operations.

 

 

  (b) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 51/366 for actual expenses and 184/366 for hypothetical expenses (to reflect the six month period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information.

 

Portfolio Information

 

CREDIT QUALITY ALLOCATION

 

   
Credit Rating*    
Percent of
Total Investments
 
(a) 

AAA/Aaa

    66.2

AA/Aa

    3.2  

A

    10.4  

BBB/Baa

    12.6  

BB/Ba

    1.3  

B

    1.0  

CCC

    0.2  

CC

    0.7  

C

    0.8  

D

    0.0 (b) 

N/R

    3.6  

MATURITY ALLOCATION

 

   
Maturity    
Percent of
Total Investments
 
(a) 

0-1 Year

    0.3

1-5 Years

    21.4  

5-10 Years

    23.3  

10-15 Years

    10.8  

15-20 Years

    6.1  

More than 20 Years

    38.1  

 

  *

For financial reporting purposes, credit quality ratings shown above reflect the highest rating assigned by either S&P Global Ratings or Moody’s Investors Service, Inc. if ratings differ. These rating agencies are independent, nationally recognized statistical rating organizations and are widely used. Investment grade ratings are credit ratings of BBB/Baa or higher. Below investment grade ratings are credit ratings of BB/Ba or lower. Investments designated N/R are not rated by either rating agency. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 

 

  (a) 

Excludes money market funds.

 

 

  (b) 

Rounds to less than 0.1%.

 

 

 

F U N D  S U M M A R Y

  15


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 blackrock.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. 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, index returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, index 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 Fund 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.

 

 

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Schedule of Investments (unaudited)

January 31, 2024

  

BlackRock AAA CLO ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Asset-Backed Securities

   

522 Funding CLO Ltd., 6.64%, 04/15/35 (Call 07/15/24), (3-mo. CME Term SOFR +
1.330%)(a)(b)

  $  1,750     $  1,748,873  

AGL CLO 5 Ltd. Series 2020 5A, Class A1R, 6.74%, 07/20/34 (Call 04/20/24), (3 mo. LIBOR US + 1.160%)(a)(b)

    1,000       1,001,412  

AGL CLO 7 Ltd., 6.78%, 07/15/34, (3-mo. SOFR + 1.461%)(a)(b)

    1,000       1,000,792  

AIMCO CLO 11 Ltd., 6.71%, 10/17/34 (Call 04/17/24), (3-mo. LIBOR US +
1.130%)(a)(b)

    2,800       2,804,724  

Apidos CLO XXXII, 6.90%, 01/20/33 (Call 04/20/24), (3-mo. CME Term SOFR +
1.582%)(a)(b)

    1,250       1,250,746  

Apidos CLO XXXIII Series 2020 33A, Class AR, 6.73%, 10/24/34 (Call 04/24/24)(a)(b)

    1,000       1,000,077  

Apidos CLO XXXVII, 6.71%, 10/22/34 (Call 04/22/24), (3-mo. CME Term SOFR +
1.392%)(a)(b)

    1,750       1,756,323  

Ballyrock CLO Ltd., 6.65%, 04/20/35, (3-mo. SOFR + 1.330%)(a)(b)

    1,500       1,498,484  

Benefit Street Partners CLO XVII Ltd. Series 2019 17A, Class AR, 6.66%, 07/15/32 (Call 04/15/24), (3 mo. LIBOR US +
1.080%)(a)(b)

    1,100       1,100,332  

Benefit Street Partners CLO XXII Ltd., 6.67%, 04/20/35 (Call 04/20/24), (3-mo. CME Term SOFR + 1.350%)(a)(b)

    1,250       1,248,091  

Canyon Capital CLO Ltd., 6.76%, 07/15/34 (Call 04/15/24), (3-mo. CME Term SOFR +
1.442%)(a)(b)

    1,500       1,497,177  

Canyon CLO Ltd., 6.75%, 10/15/34, (3-mo. SOFR + 1.431%)(a)(b)

    1,500       1,499,143  

Carlyle U.S. CLO Ltd. Series 2021 5A, Class A1, 6.70%, 07/20/34 (Call 04/20/24), (3 mo. LIBOR US + 1.120%)(a)(b)

    1,000       1,002,034  

CarVal CLO VC Ltd., 6.78%, 10/15/34, (3-mo. SOFR + 1.461%)(a)(b)

    1,105       1,108,623  

CIFC Funding 2019-I Ltd., 7.13%, 04/20/32, (3-mo. SOFR + 1.811%)(a)(b)

    1,090       1,088,469  

CIFC Funding Ltd.

   

6.75%, 10/20/34 (Call 04/20/24), (3-mo. CME Term SOFR + 1.432%)(a)(b)

    1,040       1,041,584  

6.65%, 04/20/34, (3-mo. SOFR + 1.331%)(a)(b)

    1,000       999,409  

Clover CLO LLC

   

6.68%, 04/22/34 (Call 04/22/24), (3-mo. CME Term SOFR + 1.362%)(a)(b)

    1,500       1,500,958  

Series 2021 3A, Class A, 6.75%, 01/25/35(a)(b)

    1,000       1,000,753  

Diameter Capital CLO 1 Ltd., 6.82%, 07/15/36 (Call 04/15/24), (3-mo. SOFR + 1502%)(a)(b)

    1,500       1,504,165  

Eaton Vance CLO Ltd., 6.73%, 01/15/35 (Call 04/15/24), (3-mo. CME Term SOFR +
1.412%)(a)(b)

    1,250       1,249,562  

Elmwood CLO IV Ltd. Series 2020 3A, Class A, 6.82%, 04/15/33 (Call 04/15/24)(a)(b)

    1,000       1,001,156  

Elmwood CLO Ltd., 8.07%, 07/17/33, (3-mo. SOFR + 2.750%)(a)(b)

    1,250       1,256,264  

Elmwood CLO X Ltd. Series 2021 3A, Class A, 6.62%, 10/20/34 (Call 04/20/24), (3 mo. LIBOR US + 1.040%)(a)(b)

    1,500       1,500,000  

Flatiron CLO 19 Ltd., 6.73%, 11/16/34 (Call 02/16/24), (3-mo. LIBOR US +
1.080%)(a)(b)

    1,250       1,253,679  

Flatiron CLO 21 Ltd. Series 2021 1A, Class A1, 6.68%, 07/19/34 (Call 04/19/24)(a)(b)

    1,250       1,254,711  
Security  

Par

(000)

    Value  

GoldenTree Loan Management U.S. CLO 1 Ltd., 6.71%, 10/20/34 (Call 04/20/24), (3-mo. CME Term SOFR + 1.392%)(a)(b)

  $  1,250     $  1,253,042  

GoldenTree Loan Management U.S. CLO 8 Ltd., 6.73%, 10/20/34 (Call 04/20/24), (3-mo. CME Term SOFR + 1.412%)(a)(b)

    1,000       1,000,404  

Golub Capital Partners 48 LP, 6.89%, 04/17/33, (3-mo. LIBOR US + 1.310%)(a)(b)

    1,250       1,252,234  

Golub Capital Partners CLO 37B Ltd., 7.38%, 07/20/30, (3-mo. SOFR + 2.061%)(a)

    1,000       1,004,040  

Golub Capital Partners CLO 41B-R Ltd., 6.90%, 01/20/34 (Call 04/20/24)(a)(b)

    1,250       1,254,698  

Invesco CLO Ltd. Series 2021 3A, Class A, 6.71%, 10/22/34 (Call 04/22/24), (3 mo. LIBOR US + 1.130%)(a)(b)

    1,000       998,246  

Madison Park Funding LIX Ltd. Series 2021 59A, Class A, 6.70%, 01/18/34 (Call 04/18/24), (3 mo. LIBOR US + 1.140%)(a)(b)

    1,250       1,251,312  

Madison Park Funding XXII Ltd., 6.84%, 01/15/33 (Call 04/15/24), (3-mo. LIBOR US + 1.260%)(a)(b)

    1,250       1,251,000  

Madison Park Funding XXXIV Ltd., 7.74%, 04/25/32, (3-mo. SOFR + 2.411%)(a)(b)

    1,000       1,000,336  

Neuberger Berman Loan Advisers CLO 33 Ltd. Series 2019 33A, Class AR, 6.66%, 10/16/33 (Call 04/16/24), (3 mo. LIBOR US + 1.080%)(a)(b)

    1,000       1,003,675  

Neuberger Berman Loan Advisers CLO 34 Ltd., 6.56%, 01/20/35 (Call 04/20/24), (3-mo. CME Term SOFR + 1.240%)(a)(b)

    1,000       1,003,107  

Oaktree CLO Ltd., 6.73%, 07/15/34 (Call 04/15/24), (3-mo. CME Term SOFR + 1.412%)(a)(b)

    1,500       1,499,697  

OCP CLO Ltd., 6.67%, 07/20/32 (Call 04/20/24), (3-mo. CME Term SOFR + 1.352%)(a)(b)

    1,750       1,751,422  

Octagon Investment Partners 49 Ltd., 6.80%, 01/15/33 (Call 04/15/24), (3-mo. LIBOR US + 1.220%)(a)(b)

    1,000       1,001,946  

OHA Credit Funding 3 Ltd. Series 2019 3A, Class AR, 6.72%, 07/02/35 (Call 04/20/24)(a)(b)

    1,000       1,001,517  

OHA Credit Funding 6 Ltd., 6.72%, 07/20/34 (Call 04/20/24), (3 mo. LIBOR US + 1.140%)(a)(b)

    1,000       1,003,928  

OHA Credit Partners XVI, 6.71%, 10/18/34 (Call 04/18/24), (3-mo. LIBOR US + 1.150%)(a)(b)

    1,250       1,251,621  

Palmer Square CLO Ltd.

   

Series 2015 1A, Class A4, 6.76%, 05/21/34 (Call 02/21/24)(a)(b)

    1,000       1,002,424  

Series 2021 4A, Class A, 6.75%, 10/15/34, (3 mo. LIBOR US + 1.170%)(a)(b)

    1,525       1,527,148  

Peace Park CLO Ltd. Series 2021 1A, Class A, 6.71%, 10/20/34 (Call 04/20/24), (3 mo. LIBOR US + 1.130%)(a)(b)

    1,149       1,152,860  

Pikes Peak CLO 6, 6.80%, 05/18/34(a)(b)

    1,650       1,648,220  

Rad CLO 7 Ltd., 6.78%, 04/17/33 (Call 04/17/24), (3-mo. CME Term SOFR + 1.462%)(a)(b)

    1,000       1,000,184  

Regatta VI Funding Ltd., 7.28%, 04/20/34, (3-mo. SOFR + 1.961%)(a)(b)

    1,500       1,508,100  

Regatta XVIII Funding Ltd., 6.68%, 01/15/34, (3-mo. LIBOR US + 1.100%)(a)(b)

    1,000       1,002,329  

RR 18 Ltd., 7.18%, 10/15/34, (3-mo. SOFR + 1.861%)(a)

    1,000       1,000,091  

RR 8 Ltd., 7.15%, 04/15/33, (3-mo. SOFR + 1.831%)(a)

    1,000       998,996  

RRX 4 Ltd. Series 2021 4A, Class A1, 6.78%, 07/15/34 (Call 04/15/24)(a)(b)

    1,250       1,251,883  

RRX 7 Ltd., 6.68%, 07/15/35, (3-mo. CME Term SOFR + 1.360%)(a)(b)

    1,000       1,003,528  

 

 

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

  17


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock AAA CLO ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

Sixth Street CLO XIX Ltd., 7.28%, 07/20/34, (3-mo. SOFR + 1.961%)(a)(b)

  $  1,000     $ 1,002,000  

Sixth Street CLO XX Ltd. Series 2021 20A, Class A1, 6.74%, 10/20/34 (Call 04/20/24), (3 mo. LIBOR US + 1.160%)(a)(b)

    1,250       1,250,582  

Symphony CLO XXIV Ltd. Series 2020 24A, Class A, 6.78%, 01/23/32(a)(b)

    1,000       1,001,774  

Symphony CLO XXVIII Ltd., 6.72%, 10/23/34 (Call 04/23/24), (3-mo. CME Term SOFR + 1.402%)(a)(b)

    1,500       1,503,108  

TCW CLO Ltd., 6.74%, 04/20/34 (Call 04/20/24), (3-mo. CME Term SOFR + 1.422%)(a)(b)

    1,000       999,712  

TICP CLO XV Ltd., 7.28%, 04/20/33, (3-mo. SOFR + 1.961%)(a)(b)

    1,000       1,002,200  

Trestles CLO IV Ltd., 6.75%, 07/21/34 (Call 04/21/24), (3-mo. CME Term SOFR +
1.432%)(a)(b)

    1,500       1,500,561  

Wellman Park CLO Ltd., 7.18%, 07/15/34(a)(b)

    1,350       1,349,049  

Whitebox CLO I Ltd., 6.71%, 07/24/32 (Call 04/24/24), (3-mo. CME Term SOFR +
1.392%)(a)(b)

    1,250       1,251,868  

Whitebox CLO III Ltd.

   

6.80%, 10/15/34 (Call 04/15/24), (3-mo. CME Term SOFR + 1.482%)(a)(b)

    1,250       1,249,810  

7.38%, 10/15/34, (3-mo. SOFR + 2.061%)(a)(b)

    875       878,501  
   

 

 

 

Total Long-Term Investments — 96.9%
(Cost: $79,298,581)

       80,034,694  
   

 

 

 
Security  
Shares
    Value  

Short-Term Securities

   
Money Market Funds — 2.8%            

BlackRock Cash Funds: Treasury, SL Agency Shares, 5.32%(c)(d)

    2,330,000     $  2,330,000  
   

 

 

 

Total Short-Term Securities — 2.8%
(Cost: $2,330,000)

      2,330,000  
   

 

 

 

Total Investments — 99.7%
(Cost: $81,628,581)

      82,364,694  

Other Assets Less Liabilities — 0.3%

      237,895  
   

 

 

 

Net Assets — 100.0%

    $ 82,602,589  
   

 

 

 

 

(a) 

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

(b) 

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

(c) 

Affiliate of the Fund.

(d) 

Annualized 7-day yield as of period end.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended January 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

Affiliated Issuer

   
Value at
07/31/23
 
 
   
Purchases
at Cost
 
 
   
Proceeds
from Sale
 
 
   
Net Realized
Gain (Loss)
 
 
   


Change in
Unrealized
Appreciation

(Depreciation)
 
 

 
   
Value at
01/31/24
 
 
   

Shares
Held at
01/31/24
 
 
 
    Income      




Capital
Gain
Distributions
from
Underlying
Funds





 

 

 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 1,780,000           $ 550,000 (a)    $     $     $     $ 2,330,000       2,330,000     $ 38,091     $  
         

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

Fair Value Hierarchy as of Period End

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

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

 

 

 
    Level 1      Level 2      Level 3      Total  

 

 

Assets

          

Investments

          

Long-Term Investments

          

Asset-Backed Securities

  $      $ 80,034,694      $    —      $ 80,034,694  

Short-Term Securities

          

Money Market Funds

    2,330,000                      2,330,000  
 

 

 

    

 

 

    

 

 

    

 

 

 
  $  2,330,000      $ 80,034,694      $      $ 82,364,694  
 

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

18  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Asset-Backed Securities

     

522 Funding CLO Ltd.

     

6.64%, 04/15/35 (Call 07/15/24), (3-mo. CME Term SOFR + 1.330%)(a)(b)

    USD       1,250     $  1,249,195  

7.63%, 10/20/31 (Call 04/20/24), (3-mo. CME Term SOFR + 2.312%)(a)(b)

    USD       250       248,844  

AGL CLO 12 Ltd., 6.74%, 07/20/34 (Call 04/20/24), (3-mo. CME Term SOFR + 1.422%)(a)(b)

    USD       746       746,904  

AGL CLO 19 Ltd., 6.92%, 07/21/35, (3-mo. SOFR + 1.600%)(a)(b)

    USD       1,000       1,002,835  

AGL CLO 6 Ltd.

     

6.78%, 07/20/34 (Call 04/20/24), (3-mo. LIBOR US + 1.200%)(a)(b)

    USD       250       250,434  

7.28%, 07/20/34, (3-mo. SOFR +
1.961%)(a)(b)

    USD       250       250,174  

AIMCO CLO, 7.23%, 01/15/32, (3-mo. SOFR + 1.911%)(a)(b)

    USD       250       250,450  

AIMCO CLO 10 Ltd., 7.18%, 07/22/32 (Call 04/22/24), (3-mo. LIBOR US +
1.600%)(a)(b)

    USD       250       250,524  

AIMCO CLO 12 Ltd., 6.49%, 01/17/32 (Call 04/17/24), (3-mo. CME Term SOFR +
1.170%)(a)(b)

    USD       250       249,781  

AIMCO CLO Series, 7.18%, 10/17/34 (Call 04/17/24), (3-mo. CME Term SOFR +
1.862%)(a)(b)

    USD       530       530,580  

Allegro CLO V Ltd., 6.53%, 10/16/30(a)(b)

    USD       839       839,471  

Allegro CLO XI Ltd., 6.96%, 01/19/33 (Call 04/19/24), (3-mo. CME Term SOFR +
1.652%)(a)(b)

    USD       250       250,199  

ALM Ltd., 7.43%, 10/15/29 (Call 04/15/24), (3-mo. CME Term SOFR + 2.112%)(a)(b)

    USD       612       612,843  

AMMC CLO 23 Ltd., 6.62%, 10/17/31 (Call 04/17/24), (3-mo. CME Term SOFR +
1.302%)(a)(b)

    USD       250       250,038  

Apidos CLO XL Ltd., 7.11%, 07/15/35 (Call 07/15/24), (3-mo. CME Term SOFR +
1.800%)(a)(b)

    USD       250       251,166  

Apidos CLO XV, 6.59%, 04/20/31 (Call 04/20/24), (3-mo. CME Term SOFR +
1.272%)(a)(b)

    USD       1,349       1,349,573  

Apidos CLO XXXII

     

6.90%, 01/20/33 (Call 04/20/24), (3-mo. CME Term SOFR + 1.582%)(a)(b)

    USD       750       750,448  

7.43%, 01/20/33, (3-mo. SOFR +
2.111%)(a)(b)

    USD       250       249,400  

Apidos CLO XXXIII Series 2020 33A, Class AR, 6.73%, 10/24/34
(Call 04/24/24)(a)(b)

    USD       1,000       1,000,077  

Apidos CLO XXXV, 6.63%, 04/20/34 (Call 04/20/24), (3-mo. CME Term SOFR + 1.312%)(a)(b)

    USD       250       249,960  

Apidos CLO XXXVII, 6.71%, 10/22/34 (Call 04/22/24), (3-mo. CME Term SOFR + 1.392%)(a)(b)

    USD       250       250,903  

Arbor Realty Commercial Real Estate Notes Ltd.

     

7.18%, 05/15/37 (Call 05/15/24), (1-mo. CME Term SOFR + 1.850%)(a)(b)

    USD       250       246,294  

6.80%, 01/15/37 (Call 08/15/24), (30-day Avg SOFR + 1.450%)(a)(b)

    USD       225       223,031  
Security          Par
(000)
    Value  

6.42%, 12/15/35 (Call 02/15/24), (1-mo. LIBOR US + 0.970%)(a)(b)

    USD       194     $  192,882  

AREIT LLC , 7.44%, 08/17/41, (1-mo. SOFR + 2.111%)(a)(b)

    USD       256       255,302  

Ares LXVI CLO Ltd., 7.82%, 07/25/36, (3-mo. SOFR + 2.500%)(a)(b)

    USD       300       301,229  

Ares XL CLO Ltd., 7.38%, 01/15/29 (Call 04/15/24), (3-mo. CME Term SOFR + 2.062%)(a)(b)

    USD       250       250,188  

ARES XLVIII CLO Ltd., 7.16%, 07/20/30, (3-mo. SOFR + 1.841%)(a)(b)

    USD       300       300,360  

ARI Fleet Lease Trust

     

5.41%, 02/17/32 (Call 08/15/26)(a)

    USD       183       183,320  

5.33%, 02/17/32(a)

    USD       234       235,373  

5.89%, 07/15/32(a)

    USD       394       404,365  

ASSURANT CLO Ltd. Series 2018-2A, Class A, 6.62%, 04/20/31, (3-mo. SOFR +
1.301%)(a)(b)

    USD       774       774,540  

Atrium XV, 6.75%, 01/23/31, (3-mo. SOFR + 1.431%)(a)(b)

    USD       1,000       1,000,505  

Aurium CLO VIII DAC, 6.92%, 06/23/34, (3-mo. EURIBOR + 3.000%)(b)(c)

    EUR       500       521,079  

Bain Capital Credit CLO Ltd.

     

6.54%, 04/23/31 (Call 04/23/24), (3-mo. CME Term SOFR + 1.222%)(a)(b)

    USD       1,376       1,376,209  

6.65%, 07/19/31 (Call 04/19/24), (3-mo. CME Term SOFR + 1.342%)(a)(b)

    USD       230       230,133  

6.80%, 01/20/32 (Call 04/20/24), (3-mo. CME Term SOFR + 1.482%)(a)(b)

    USD       1,000       1,000,016  

Ballyrock CLO 16 Ltd., 6.71%, 07/20/34(a)(b)

    USD       250       250,028  

Ballyrock CLO 18 Ltd., 6.73%, 01/15/35 (Call 04/15/24), (3-mo. CME Term SOFR + 1.412%)(a)(b)

    USD       250       250,057  

Ballyrock CLO Ltd.

     

6.65%, 04/20/35, (3-mo. SOFR + 1.330%)(a)

    USD       1,000       998,989  

6.58%, 04/20/31 (Call 04/20/24), (3-mo. CME Term SOFR + 1.262%)(a)(b)

    USD       178       178,135  

Barings CLO Ltd.

     

8.12%, 10/20/35, (3-mo. SOFR +
2.800%)(a)(b)

    USD       250       249,796  

7.18%, 04/20/31 (Call 04/20/24), (3-mo. CME Term SOFR + 1.862%)(a)(b)

    USD       250       250,423  

6.57%, 01/20/31 (Call 04/20/24), (3-mo. CME Term SOFR + 1.252%)(a)(b)

    USD       2,236        2,239,431  

Benefit Street Partners CLO V-B Ltd., 6.67%, 04/20/31 (Call 04/20/24), (3-mo. CME Term SOFR + 1.352%)(a)(b)

    USD       1,667       1,667,651  

Benefit Street Partners CLO XV Ltd., 7.26%, 07/18/31, (3-mo. SOFR + 1.961%)(a)(b)

    USD       250       249,388  

Benefit Street Partners CLO XVI Ltd., 7.13%, 01/17/32 (Call 04/17/24), (3-mo. CME Term SOFR + 1.812%)(a)(b)

    USD       250       249,949  

Benefit Street Partners CLO XX Ltd., 6.75%, 07/15/34 (Call 04/15/24), (3-mo. LIBOR US +
1.170%)(a)(b)

    USD       250       249,789  

Benefit Street Partners CLO XXI Ltd. Series 2020 21A, Class A1R, 6.75%,
10/15/34(a)(b)

    USD       250       249,972  

Benefit Street Partners CLO XXIII Ltd., 6.67%, 04/25/34, (3-mo. SOFR + 1.341%)(a)(b)

    USD       250       249,901  

BlueMountain CLO Ltd. 6.76%, 10/22/30 (Call 04/22/24), (3-mo. CME Term SOFR +
1.442%)(a)(b)

    USD       572       573,369  

 

 

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

  19


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

6.58%, 04/20/31 (Call 04/20/24), (3-mo. CME Term SOFR + 1.262%)(a)(b)

    USD       215     $ 215,785  

7.34%, 08/15/31 (Call 02/15/24), (3-mo. CME Term SOFR + 1.962%)(a)(b)

    USD       250       249,375  

BlueMountain CLO XXII Ltd.

     

7.08%, 07/15/31 (Call 04/15/24), (3-mo. CME Term SOFR + 1.762%)(a)(b)

    USD       250       249,446  

6.66%, 07/15/31 (Call 04/15/24), (3-mo. CME Term SOFR + 1.342%)(a)(b)

    USD       235       235,036  

BlueMountain CLO XXIV Ltd., 7.18%, 04/20/34, (3-mo. SOFR + 1.861%)(a)(b)

    USD       250       249,374  

BlueMountain CLO XXV Ltd., 7.28%, 07/15/36, (3-mo. CME Term SOFR + 1.962%)(a)(b)

    USD       500       498,950  

BlueMountain Fuji U.S. CLO I Ltd., 6.56%, 07/20/29 (Call 04/20/24), (3-mo. CME Term SOFR + 1.242%)(a)(b)

    USD       824       824,992  

Cabinteely Park CLO DAC, 7.35%, 08/15/34,

     

(3-mo. EURIBOR + 3.350%)(b)(c)

    EUR       700       729,451  

Canyon Capital CLO Ltd., 7.33%, 04/15/34,

     

(3-mo. SOFR + 2.011%)(a)(b)

    USD       250       250,400  

Capital One Multi-Asset Execution Trust,

     

6.13%, 05/15/28, (3-mo. CME Term SOFR + 0.812%)(b)

    USD       192       190,900  

Carlyle Global Market Strategies CLO Ltd.

     

6.66%, 04/22/32 (Call 04/22/24), (3-mo. CME Term SOFR + 1.342%)(a)(b)

    USD       250       250,121  

6.69%, 05/15/31 (Call 02/15/24), (3-mo. CME Term SOFR + 1.312%)(a)(b)

    USD       1,147        1,148,458  

6.63%, 07/27/31 (Call 04/27/24), (3-mo. CME Term SOFR + 1.312%)(a)(b)

    USD       854       854,528  

Series 2014-1A, Class A1R2, 6.55%, 04/17/31 (Call 04/17/24), (3-mo. SOFR + 1.232%)(a)(b)

    USD       841       841,758  

Carlyle U.S. CLO Ltd.

     

7.38%, 01/20/31, (3-mo. LIBOR US + 1.800%)(a)(b)

    USD       250       250,949  

6.60%, 04/20/31 (Call 04/20/24), (3-mo. CME Term SOFR + 1.282%)(a)(b)

    USD       844       845,016  

6.74%, 07/15/34, (3-mo. LIBOR US + 1.160%)(a)(b)

    USD       250       250,459  

6.48%, 07/20/29 (Call 04/20/24), (3-mo. CME Term SOFR + 1.162%)(a)(b)

    USD       187       186,810  

7.28%, 10/20/32 (Call 04/20/24), (3-mo. CME Term SOFR + 1.962%)(a)(b)

    USD       250       250,475  

6.66%, 04/20/31 (Call 04/20/24), (3-mo. CME Term SOFR + 1.342%)(a)(b)

    USD       2,000       2,003,450  

8.41%, 10/15/35, (3-mo. SOFR +
3.100%)(a)(b)

    USD       400       402,972  

Cedar Funding X CLO Ltd., 7.18%, 10/20/32 (Call 04/20/24), (3-mo. LIBOR US + 1.600%)(a)(b)

    USD       250       250,050  

Cedar Funding XII CLO Ltd., 7.19%, 10/25/34, (3-mo. SOFR + 1.861%)(a)(b)

    USD       500       499,600  

Chase Issuance Trust, 5.08%, 09/15/30

    USD       400       410,919  

Chesapeake Funding II LLC

     

5.65%, 05/15/35 (Call 03/15/26)(a)

    USD       122       122,347  

6.16%, 10/15/35(a)

    USD       469       473,470  

CIFC Funding 2017-II Ltd., 7.08%, 04/20/30, (3-mo. SOFR + 1.761%)(a)(b)

    USD       500       501,750  

CIFC Funding 2020-IV Ltd., 6.90%, 01/15/34, (3-mo. SOFR + 1.581%)(a)(b)

    USD       1,000       1,001,276  
Security          Par
(000)
    Value  

CIFC Funding 2022-VI Ltd., 8.41%, 07/16/35, (3-mo. SOFR + 3.100%)(a)(b)

    USD       400     $ 401,168  

CIFC Funding Ltd.

     

6.63%, 07/15/33 (Call 04/15/24), (3-mo. LIBOR US + 1.050%)(a)(b)

    USD       1,250        1,251,112  

7.18%, 04/20/31 (Call 04/20/24), (3-mo. CME Term SOFR + 1.862%)(a)(b)

    USD       500       500,850  

6.53%, 10/24/30 (Call 04/24/24), (3-mo. CME Term SOFR + 1.212%)(a)(b)

    USD       762       761,627  

6.76%, 11/16/30 (Call 04/17/24), (3-mo. SOFR + 1.442%)(a)(b)

    USD       570       570,420  

6.56%, 10/18/30 (Call 04/18/24), (3-mo. LIBOR US + 1.000%)(a)(b)

    USD       223       223,069  

7.16%, 07/18/31, (3-mo. SOFR +
1.861%)(a)(b)

    USD       390       391,365  

7.14%, 04/25/33 (Call 04/25/24), (3-mo. LIBOR US + 1.550%)(a)(b)

    USD       250       249,374  

6.63%, 04/19/35, (3-mo. SOFR +
1.320%)(a)(b)

    USD       250       250,051  

Citibank Credit Card Issuance Trust, 6.22%, 05/14/29, (1-mo. CME Term SOFR + 0.884%)(b)

    USD       970       977,463  

Clover CLO LLC

     

6.74%, 04/15/34(a)(b)

    USD       250       249,862  

6.75%, 07/20/34 (Call 04/20/24), (3-mo. LIBOR US + 1.170%)(a)(b)

    USD       250       250,189  

College Ave Student Loans LLC

     

3.06%, 07/26/55 (Call 12/25/34)(a)

    USD       100       87,584  

6.25%, 06/25/52 (Call 01/25/34), (1-mo. CME Term SOFR + 0.914%)(a)(b)

    USD       1,024       993,080  

2.72%, 07/26/55 (Call 12/25/34)(a)

    USD       217       191,715  

1.60%, 07/25/51 (Call 02/25/32)(a)

    USD       453       401,461  

College Avenue Student Loans LLC, 6.35%, 07/26/55 (Call 12/25/34), (1-mo. LIBOR US + 0.900%)(a)(b)

    USD       1,103       1,071,027  

Discover Card Execution Note Trust, 6.05%, 12/15/26, (1-mo. CME Term SOFR + 0.714%)(b)

    USD       370       370,661  

Dryden 53 CLO Ltd., 6.70%, 01/15/31 (Call 04/15/24), (3-mo. CME Term SOFR + 1.382%)(a)(b)

    USD       2,001       2,004,255  

Dryden 54 Senior Loan Fund, 7.22%, 10/19/29, (3-mo. SOFR + 1.911%)(a)(b)

    USD       275       275,303  

Dryden 60 CLO Ltd., 6.63%, 07/15/31 (Call 04/15/24), (3-mo. CME Term SOFR + 1.312%)(a)(b)

    USD       1,925       1,926,151  

Dryden 70 CLO Ltd., 6.75%, 01/16/32, (3-mo. SOFR + 1.431%)(a)(b)

    USD       920       922,753  

Dryden 77 CLO Ltd., 6.75%, 05/20/34 (Call 02/20/24), (3-mo. LIBOR US +
1.120%)(a)(b)

    USD       250       250,165  

Dryden Senior Loan Fund, 6.56%, 04/15/28 (Call 04/15/24), (3-mo. CME Term SOFR + 1.242%)(a)(b)

    USD       473       473,815  

EDvestinU Private Education Loan Issue No. 1 LLC, 3.58%, 11/25/38(a)

    USD       88       84,690  

ELFI Graduate Loan Program LLC

     

4.51%, 08/26/47 (Call 03/25/31)(a)

    USD       133       128,978  

6.37%, 02/04/48(a)

    USD       405       416,444  

Elmwood CLO 14 Ltd., 6.64%, 04/20/35, (3-mo. SOFR + 1.320%)(a)(b)

    USD       250       250,214  

 

 

20  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Elmwood CLO II Ltd., 6.73%, 04/20/34 (Call 04/20/24), (3-mo. LIBOR US +
1.150%)(a)(b)

    USD       750     $ 750,501  

Elmwood CLO IX Ltd., 6.71%, 07/20/34, (3-mo. CME Term SOFR +
1.392%)(a)(b)

    USD       250       250,417  

Elmwood CLO Ltd., 7.52%, 04/17/36(a)(b)

    USD       250       251,147  

Elmwood CLO XI Ltd., 7.18%, 10/20/34 (Call 04/20/24), (3-mo. CME Term SOFR + 1.862%)(a)(b)

    USD       330       330,211  

Enterprise Fleet Financing LLC

     

6.40%, 03/20/30(a)

    USD       747       763,517  

4.65%, 05/21/29 (Call 12/20/25)(a)

    USD       954       947,197  

6.41%, 06/20/30(a)

    USD       633       660,490  

5.23%, 03/20/30(a)

    USD       1,793        1,798,253  

5.16%, 09/20/30(a)

    USD       1,654       1,662,658  

Fair Oaks Loan Funding III DAC, 6.94%, 10/15/34(b)(c)

    EUR       1,160       1,209,418  

Fidelity Grand Harbour CLO DAC

     

7.54%, 10/15/34(b)(c)

    EUR       1,000       1,050,331  

1.00%, 04/15/38, (3-mo. EURIBOR + 4.100%)(b)(c)

    EUR       200       216,140  

FirstKey Homes Trust, 5.00%, 05/19/39(a)

    USD       500       478,316  

Flatiron CLO 21 Ltd. Series 2021 1A, Class A1, 6.68%, 07/19/34
(Call 04/19/24)(a)(b)

    USD       250       250,942  

Flatiron RR CLO 22 LLC, 7.18%, 10/15/34, (3-mo. SOFR + 1.861%)(a)(b)

    USD       250       250,623  

Ford Credit Auto Owner Trust

     

5.27%, 05/17/27 (Call 07/15/26)

    USD       146       146,486  

3.74%, 09/15/26 (Call 02/15/26)

    USD       25       24,701  

4.48%, 12/15/26 (Call 05/15/26)

    USD       35       34,772  

5.28%, 02/15/36(a)

    USD       166       170,072  

Ford Credit Floorplan Master Owner Trust A, 2.64%, 09/15/26

    USD       245       239,605  

Foundation Finance Trust

     

2.19%, 01/15/42(a)

    USD       192       178,090  

6.53%, 06/15/49(a)

    USD       637       650,914  

Galaxy XIX CLO Ltd., 6.53%, 07/24/30 (Call 04/24/24), (3-mo. CME Term SOFR + 1.212%)(a)(b)

    USD       205       205,159  

Galaxy XV CLO Ltd., 7.03%, 10/15/30, (3-mo. SOFR + 1.711%)(a)(b)

    USD       500       500,048  

Galaxy XX CLO Ltd., 6.58%, 04/20/31, (3-mo. SOFR + 1.261%)(a)(b)

    USD       211       210,720  

Galaxy XXI CLO Ltd., 6.60%, 04/20/31 (Call 04/20/24), (3-mo. CME Term SOFR + 1.282%)(a)(b)

    USD       1,138       1,138,941  

Galaxy XXV CLO Ltd., 7.24%, 10/25/31 (Call 04/25/24), (3-mo. CME Term SOFR + 1.912%)(a)(b)

    USD       250       249,764  

Galaxy XXVIII CLO Ltd., 6.68%, 07/15/31 (Call 04/15/24), (3-mo. CME Term SOFR + 1.362%)(a)(b)

    USD       887       888,537  

Generate CLO 2 Ltd., 6.73%, 01/22/31 (Call 04/22/24), (3-mo. SOFR +
1.412%)(a)(b)

    USD       215       215,658  

Generate CLO 7 Ltd., 6.95%, 01/22/33 (Call 04/22/24), (3-mo. CME Term SOFR + 1.632%)(a)(b)

    USD       250       250,605  

Generate CLO 8 Ltd., 6.78%, 10/20/34, (3-mo. SOFR + 1.461%)(a)

    USD       1,000       1,001,717  
Security          Par
(000)
    Value  

GMF Floorplan Owner Revolving Trust 6.50%, 06/15/28, (30-day SOFR + 1.150%)(a)(b)

    USD       920     $ 929,615  

5.83%, 06/15/30(a)

    USD       188       190,403  

GoldenTree Loan Management U.S. CLO 12 Ltd., 7.27%, 04/20/34, (3-mo. SOFR + 1.950%)(a)(b)

    USD       250       250,875  

GoldenTree Loan Management U.S. CLO 6 Ltd., 6.64%, 04/20/35, (3-mo. CME Term SOFR + 1.320%)(a)(b)

    USD       250       250,423  

GoldenTree Loan Management U.S. CLO 8 Ltd., 6.73%, 10/20/34 (Call 04/20/24), (3-mo. CME Term SOFR + 1.412%)(a)(b)

    USD       1,000       1,000,404  

Golub Capital Partners 48 LP, 6.89%, 04/17/33, (3-mo. LIBOR US + 1.310%)(a)(b)

    USD       250       250,447  

Golub Capital Partners CLO 55B Ltd., 6.78%, 07/20/34(a)(b)

    USD       250       250,286  

Golub Capital Partners CLO 58B Ltd., 6.77%, 01/25/35, (3-mo. SOFR + 1.441%)(a)(b)

    USD       1,000       1,000,618  

GoodLeap Sustainable Home Solutions Trust, 4.95%, 07/20/49 (Call 06/20/40)(a)

    USD       194       181,991  

Gracie Point International Funding

     

8.08%, 04/01/24 (Call 02/01/24), (30-day Avg SOFR + 2.750%)(a)(b)

    USD       47       47,029  

7.60%, 03/01/27, (90-day SOFR +
2.250%)(a)(b)

    USD       1,511       1,519,809  

7.30%, 09/01/26, (90-day SOFR +
1.950%)(a)(b)

    USD       1,900       1,907,089  

Greenwood Park CLO Ltd., 6.59%, 04/15/31 (Call 04/15/24), (3-mo. CME Term SOFR + 1.272%)(a)(b)

    USD       811       811,425  

Lendmark Funding Trust

     

1.90%, 11/20/31 (Call 05/20/26)(a)

    USD       280       254,052  

3.41%, 11/20/31 (Call 05/20/26)(a)

    USD       710       621,513  

5.62%, 07/20/32 (Call 06/20/25)(a)

    USD       300       297,883  

5.60%, 05/20/33 (Call 04/20/25)(a)

    USD       240       237,954  

8.69%, 05/20/33(a)

    USD       1,070        1,105,418  

5.53%, 06/21/32(a)

    USD       2,000       2,015,808  

6.40%, 06/21/32(a)

    USD       1,957       1,975,746  

7.21%, 06/21/32(a)

    USD       1,144       1,154,861  

Logan CLO II Ltd., 7.28%, 01/20/35 (Call 04/20/24), (3-mo. CME Term SOFR + 1.962%)(a)(b)

    USD       250       251,325  

Madison Park Funding LIX Ltd. Series 2021 59A, Class A, 6.70%, 01/18/34 (Call 04/18/24), (3 mo. LIBOR US +
1.140%)(a)(b)

    USD       2,000       2,002,099  

Madison Park Funding XIII Ltd. Series 2014-13A, Class AR2, 6.52%, 04/19/30 (Call 04/19/24), (3-mo. SOFR + 1.212%)(a)(b)

    USD       146       146,427  

Madison Park Funding XLV Ltd., 7.28%, 07/15/34 (Call 04/15/24)(a)(b)

    USD       250       250,500  

Madison Park Funding XVII Ltd. Series 2015-17A, Class AR2, 6.58%, 07/21/30 (Call 04/21/24), (3-mo. SOFR + 1.262%)(a)(b)

    USD       234       234,670  

Madison Park Funding XXIII Ltd. Series 2017-23A, Class AR, 6.55%, 07/27/31 (Call 04/27/24), (3 mo. LIBOR US +
0.970%)(a)(b)

    USD       963       963,758  

 

 

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

  21


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Madison Park Funding XXVI Ltd. Series 2007-4A, Class AR, 6.78%, 07/29/30, (3-mo. LIBOR US + 1.200%)(a)(b)

    USD       499     $ 499,477  

Madison Park Funding XXXI Ltd., 7.28%, 01/23/31 (Call 04/23/24), (3-mo. CME Term SOFR + 1.962%)(a)(b)

    USD       250       250,675  

Madison Park Funding XXXII Ltd.

     

6.58%, 01/22/31 (Call 04/22/24), (3-mo. LIBOR US + 1.000%)(a)(b)

    USD       250       250,144  

6.98%, 01/22/31 (Call 04/22/24), (3-mo. CME Term SOFR + 1.662%)(a)(b)

    USD       1,500       1,496,550  

Madison Park Funding XXXVI Ltd., 6.66%, 04/15/35(a)(b)

    USD       250       250,013  

Mariner CLO LLC, 7.08%, 07/23/29 (Call 04/23/24), (3-mo. CME Term SOFR + 1.762%)(a)(b)

    USD       250       249,625  

Mariner Finance Issuance Trust

     

2.19%, 08/21/34 (Call 02/20/24)(a)

    USD       114       112,128  

6.45%, 10/20/37 (Call 10/20/24)(a)

    USD       597       601,494  

2.33%, 03/20/36 (Call 03/20/26)(a)

    USD       350       313,818  

7.11%, 10/22/35(a)

    USD       210       216,072  

6.70%, 10/22/35(a)

    USD       400       408,670  

7.90%, 10/22/35(a)

    USD       1,395       1,442,485  

8.85%, 10/22/35(a)

    USD       1,000       1,035,623  

2.10%, 11/20/36 (Call 11/20/26)(a)

    USD       1,590       1,444,217  

3.42%, 11/20/36(a)

    USD       1,177       1,025,033  

Mercedes-Benz Auto Receivables Trust, 5.09%, 01/15/26 (Call 11/15/26)

    USD       64       63,420  

MF1 LLC, 7.05%, 03/19/39, (1-mo. SOFR + 1.737%)(b)

    USD       1,295        1,291,762  

MMAF Equipment Finance LLC, 5.10%, 07/13/49(a)

    USD       1,677       1,682,673  

Mosaic Solar Loan Trust

     

1.64%, 04/22/47 (Call 05/20/37)(a)

    USD       337       276,387  

4.01%, 06/22/43 (Call 06/20/30)(a)

    USD       46       42,388  

6.40%, 05/20/53(a)

    USD       162       167,154  

4.20%, 02/22/44 (Call 11/20/30)(a)

    USD       151       139,774  

Navient Private Education Loan Trust

     

7.05%, 10/15/31 (Call 12/15/26), (1-mo. CME Term SOFR + 1.714%)(a)(b)

    USD       339       340,225  

3.61%, 12/15/59 (Call 03/15/28)(a)

    USD       67       65,010  

6.90%, 07/16/40 (Call 03/15/29), (1-mo. CME Term SOFR + 1.564%)(a)(b)

    USD       380       381,676  

Navient Private Education Refi Loan Trust

     

3.42%, 01/15/43 (Call 01/15/26)(a)

    USD       87       84,493  

5.51%, 10/15/71 (Call 10/15/32)(a)

    USD       291       291,649  

3.33%, 05/15/69 (Call 09/15/27)(a)

    USD       100       83,067  

7.05%, 11/15/68 (Call 06/15/31), (1-mo. CME Term SOFR + 1.714%)(a)(b)

    USD       122       123,436  

6.35%, 01/15/43 (Call 01/15/26), (1-mo. CME Term SOFR + 1.014%)(a)(b)

    USD       87       86,606  

6.50%, 12/15/59 (Call 09/15/31), (1-mo. CME Term SOFR + 1.164%)(a)(b)

    USD       783       780,016  

0.84%, 05/15/69 (Call 06/15/28)(a)

    USD       92       81,523  

Series 2020-IA, Class A1B, 6.45%, 04/15/69 (Call 12/15/31), (1-mo. CME Term SOFR + 1.114%)(a)(b)

    USD       296       294,649  

Series 2021-DA, Class A, 6.51%, 04/15/60 (Call 05/15/32), (PRIME - 1.990%)(a)(b)

    USD       943       906,639  

Navient Student Loan Trust, 7.05%, 03/15/72, (30-day SOFR + 1.700%)(a)

    USD       94       94,027  
Security         

Par

(000)

    Value  

Nelnet Student Loan Trust

     

6.48%, 04/20/62 (Call 09/20/29), (1-mo. CME Term SOFR + 1.144%)(a)(b)

    USD       300     $ 294,726  

2.85%, 04/20/62 (Call 08/20/31)(a)

    USD       300       251,812  

6.14%, 04/20/62 (Call 12/20/31), (1-mo. CME Term SOFR + 0.804%)(a)(b)

    USD       358       353,228  

1.36%, 04/20/62 (Call 09/20/29)(a)

    USD       353       320,823  

7.59%, 11/25/53, (30-day SOFR +
2.250%)(a)(b)

    USD       538       535,990  

2.85%, 04/20/62 (Call 08/20/31)(a)

    USD       1,483        1,244,789  

Series 2021-A, Class A1, 6.25%, 04/20/62 (Call 02/20/29), (1-mo. CME Term SOFR + 0.914%)(a)(b)

    USD       337       334,794  

Series 2021-BA, Class AFL, 6.23%, 04/20/62 (Call 07/20/29), (1-mo. CME Term SOFR + 0.894%)(a)(b)

    USD       160       158,124  

Neuberger Berman CLO XVII Ltd., 6.61%, 04/22/29 (Call 04/22/24), (3-mo. CME Term SOFR + 1.292%)(a)(b)

    USD       776       775,801  

Neuberger Berman CLO XX Ltd., 6.74%, 07/15/34 (Call 04/15/24), (3-mo. CME Term SOFR + 1.422%)(a)(b)

    USD       500       500,807  

Neuberger Berman Loan Advisers CLO 25 Ltd., 6.49%, 10/18/29 (Call 04/18/24), (3-mo. CME Term SOFR + 1.192%)(a)(b)

    USD       2,536       2,536,409  

Neuberger Berman Loan Advisers CLO 26 Ltd., 6.48%, 10/18/30 (Call 04/18/24), (3-mo. CME Term SOFR + 1.182%)(a)(b)

    USD       940       939,277  

Neuberger Berman Loan Advisers CLO 31 Ltd., 6.62%, 04/20/31 (Call 04/20/24), (3-mo. LIBOR US + 1.040%)(a)(b)

    USD       250       250,752  

Neuberger Berman Loan Advisers CLO 39 Ltd., 7.18%, 01/20/32, (3-mo. SOFR +
1.861%)(a)(b)

    USD       250       250,899  

Neuberger Berman Loan Advisers CLO 40 Ltd., 6.64%, 04/16/33 (Call 04/16/24), (3-mo. LIBOR US + 1.060%)(a)(b)

    USD       250       250,405  

Neuberger Berman Loan Advisers CLO 45 Ltd., 6.71%, 10/14/35 (Call 04/14/24), (3-mo. CME Term SOFR + 1.392%)(a)(b)

    USD       255       255,354  

Neuberger Berman Loan Advisers CLO 49 Ltd., 6.74%, 07/25/34 (Call 04/25/24), (3-mo. CME Term SOFR + 1.420%)(a)(b)

    USD       500       501,305  

Neuberger Berman Loan Advisers CLO Ltd.

     

7.32%, 07/25/34, (3-mo. SOFR +
2.000%)(a)(b)

    USD       250       251,275  

6.70%, 10/19/31, (3-mo. SOFR +
1.391%)(a)(b)

    USD       1,215       1,216,349  

Nissan Auto Lease Trust, 5.10%, 03/17/25 (Call 08/15/25)

    USD       94       94,179  

NYACK Park CLO Ltd., 6.70%, 10/20/34(a)(b)

    USD       252       252,404  

OCP CLO Ltd.

     

6.62%, 07/20/32 (Call 04/20/24), (3-mo. CME Term SOFR + 1.302%)(a)(b)

    USD       1,000       1,002,080  

6.57%, 01/15/33 (Call 04/15/24), (3-mo. CME Term SOFR + 1.250%)(a)(b)

    USD       1,000       1,000,056  

6.67%, 04/26/31 (Call 04/26/24), (3-mo. CME Term SOFR + 1.342%)(a)(b)

    USD       1,314       1,316,951  

7.28%, 07/20/34 (Call 04/20/24), (3-mo. CME Term SOFR + 1.962%)(a)(b)

    USD       1,000       1,001,597  

 

 

22  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

Octagon Investment Partners 18-R Ltd., 6.54%, 04/16/31 (Call 04/16/24), (3-mo. CME Term SOFR + 1.222%)(a)(b)

 

 

USD

 

    1,721     $  1,723,678  

Octagon Investment Partners 32 Ltd., 6.53%, 07/15/29 (Call 04/15/24), (3-mo. CME Term SOFR + 1.212%)(a)(b)

    USD       1,484       1,485,064  

Octagon Investment Partners 35 Ltd., 6.64%, 01/20/31 (Call 04/20/24), (3-mo. CME Term SOFR + 1.322%)(a)(b)

    USD       221       221,503  

Octagon Investment Partners 36 Ltd., 6.55%, 04/15/31 (Call 04/15/24), (3-mo. CME Term SOFR + 1.232%)(a)(b)

    USD       602       601,860  

Octagon Investment Partners 48 Ltd., 6.73%, 10/20/34 (Call 04/20/24), (3-mo. CME Term SOFR + 1.412%)(a)(b)

    USD       1,000       1,000,014  

Octagon Investment Partners XVI Ltd., 6.60%, 07/17/30 (Call 04/17/24), (3-mo. CME Term SOFR + 1.282%)(a)(b)

    USD       237       237,546  

Octagon Investment Partners XVII Ltd. Series 2013-1A, Class A1R2, 6.59%, 01/25/31 (Call 04/25/24), (3-mo. SOFR +
1.262%)(a)(b)

    USD       203       202,708  

Octagon Investment Partners XXI Ltd., 6.64%, 02/14/31 (Call 02/14/24), (3-mo. LIBOR US + 1.000%)(a)(b)

    USD       2,335       2,336,905  

OHA Credit Funding 10 Ltd., 6.69%, 01/18/36 (Call 04/18/24), (3-mo. CME Term SOFR + 1.392%)(a)(b)

    USD       250       250,613  

OHA Credit Funding 2 Ltd., 6.73%, 04/21/34, (3-mo. CME Term SOFR + 1.412%)(a)(b)

    USD       500       500,837  

OHA Credit Funding 3 Ltd. Series 2019 3A, Class AR, 6.72%, 07/02/35
(Call 04/20/24)(a)(b)

    USD       500       500,758  

OHA Credit Partners XVI, 6.71%, 10/18/34 (Call 04/18/24), (3-mo. LIBOR US + 1.150%)(a)(b)

    USD       625       625,811  

OHA Loan Funding Ltd.

     

6.72%, 01/19/37, (3-mo. LIBOR US + 1.150%)(a)(b)

    USD       250       250,062  

6.84%, 01/20/33 (Call 04/20/24), (3-mo. CME Term SOFR + 1.522%)(a)(b)

    USD       250       250,272  

7.27%, 01/19/37, (3-mo. SOFR +
1.961%)(a)(b)

    USD       500       502,450  

OneMain Direct Auto Receivables Trust, 6.95%, 03/14/29 (Call 04/14/26), (30-day SOFR + 1.600%)(a)(b)

    USD       678       681,654  

OneMain Financial Issuance Trust

     

3.14%, 10/14/36 (Call 10/14/26)(a)

    USD       350       329,332  

2.47%, 06/16/36 (Call 06/14/26)(a)

    USD       500       423,114  

4.89%, 10/14/34 (Call 10/14/24)(a)

    USD       1,893       1,880,592  

5.94%, 05/15/34 (Call 01/14/25)(a)

    USD       620       624,332  

1.75%, 09/14/35 (Call 09/14/25)(a)

    USD       500       463,218  

5.50%, 06/14/38 (Call 06/14/28)(a)

    USD       400       405,254  

1.95%, 06/16/36(a)

    USD       200       175,047  

2.21%, 09/14/35 (Call 09/14/25)(a)

    USD       392       352,058  

7.52%, 09/15/36(a)

    USD       595       616,919  

3.66%, 10/14/36(a)

    USD       225       202,409  

6.17%, 09/15/36(a)

    USD       323       330,057  

7.49%, 06/14/38(a)

    USD       595       614,235  

2.76%, 09/14/35 (Call 09/14/25)(a)

    USD       575       513,982  

4.04%, 03/14/33 (Call 02/14/24)(a)

    USD       340       333,852  

5.77%, 03/14/33(a)

    USD       701       691,287  
Security          Par
(000)
    Value  

Palmer Square CLO Ltd.

     

6.73%, 07/15/34 (Call 04/15/24), (3-mo. LIBOR US + 1.150%)(a)(b)

 

 

USD

 

 

 

250

 

 

$

250,319

 

7.12%, 07/20/35(a)(b)

    USD       250       250,399  

6.79%, 11/14/34 (Call 02/14/24), (3-mo. LIBOR US + 1.150%)(a)(b)

 

 

USD

 

 

 

250

 

 

 

250,357

 

7.92%, 01/20/36 (Call 01/20/25), (3-mo. CME Term SOFR + 2.600%)(a)(b)

 

 

USD

 

 

 

250

 

 

 

252,125

 

7.23%, 01/15/35 (Call 04/15/24), (3-mo. CME Term SOFR + 1.912%)(a)(b)

 

 

USD

 

 

 

500

 

 

 

501,600

 

7.56%, 10/20/33, (3-mo. SOFR + 2.150%)(a)

    USD       250       250,475  

Palmer Square European CLO DAC, 7.92%, 01/15/38, (3-mo. EURIBOR + 4.000%)(b)(c)

 

 

EUR

 

 

 

372

 

 

 

402,020

 

Palmer Square Loan Funding Ltd.

     

6.38%, 07/20/29 (Call 04/20/24), (3-mo. CME Term SOFR + 1.062%)(a)(b)

 

 

USD

 

 

 

118

 

 

 

118,250

 

6.88%, 05/20/29 (Call 02/20/24), (3-mo. CME Term SOFR + 1.512%)(a)(b)

 

 

USD

 

 

 

250

 

 

 

248,455

 

6.98%, 07/20/29 (Call 04/20/24), (3-mo. CME Term SOFR + 1.662%)(a)(b)

 

 

USD

 

 

 

1,690

 

 

 

1,683,691

 

Peace Park CLO Ltd. Series 2021 1A, Class A, 6.71%, 10/20/34 (Call 04/20/24), (3 mo. LIBOR US + 1.130%)(a)(b)

 

 

USD

 

 

 

287

 

 

 

287,964

 

PFS Financing Corp.

     

4.90%, 08/15/27(a)

    USD       1,172       1,153,465  

1.00%, 01/15/28, (30-day SOFR +
1.300%)(a)(b)

    USD       1,900       1,900,000  

Rad CLO 10 Ltd., 6.98%, 04/23/34, (3-mo. SOFR + 1.661%)(a)(b)

 

 

USD

 

 

 

250

 

 

 

248,450

 

Rad CLO 7 Ltd., 6.78%, 04/17/33 (Call 04/17/24), (3-mo. CME Term SOFR + 1.462%)(a)(b)

    USD       250       250,046  

Regatta XVIII Funding Ltd., 6.68%, 01/15/34, (3-mo. LIBOR US + 1.100%)(a)(b)

 

 

USD

 

 

 

500

 

 

 

501,164

 

Regatta XX Funding Ltd., 6.74%, 10/15/34, (3-mo. CME Term SOFR + 1.422%)(a)(b)

 

 

USD

 

 

 

1,000

 

 

 

1,001,479

 

Regatta XXIV Funding Ltd., 6.73%,
01/20/35(a)(b)

    USD       1,000       1,001,157  

Regional Management Issuance Trust

     

7.10%, 11/17/32 (Call 11/15/24)(a)

    USD       287       289,876  

2.34%, 10/15/30 (Call 02/15/24)(a)

    USD       1,365        1,334,302  

1.68%, 03/17/31 (Call 03/15/24)(a)

    USD       2,871       2,769,216  

1.90%, 08/15/33 (Call 08/15/26)(a)

    USD       350       310,894  

2.42%, 03/17/31 (Call 03/15/24)(a)

    USD       400       366,790  

2.35%, 08/15/33(a)(c)

    USD       210       179,124  

Republic Finance Issuance Trust, 2.30%, 12/22/31 (Call 12/20/24)(a)

 

 

USD

 

 

 

315

 

 

 

299,580

 

Rockford Tower CLO Ltd., 6.77%, 10/20/30 (Call 04/20/24), (3-mo. CME Term SOFR + 1.452%)(a)(b)

    USD       755       755,400  

RR 1 LLC

     

6.73%, 07/15/35 (Call 04/15/24), (3-mo. CME Term SOFR + 1.412%)(a)(b)

 

 

USD

 

 

 

250

 

 

 

250,388

 

7.18%, 07/15/35, (3-mo. SOFR +
1.861%)(a)(b)

    USD       250       250,523  

RR 16 Ltd., 6.69%, 07/15/36 (Call 04/15/24), (3-mo. LIBOR US + 1.110%)(a)(b)

 

 

USD

 

 

 

250

 

 

 

250,614

 

RR 18 Ltd., 7.18%, 10/15/34, (3-mo. SOFR + 1.861%)(a)

 

 

USD

 

 

 

250

 

 

 

250,023

 

RR 8 Ltd., 7.15%, 04/15/33, (3-mo. SOFR + 1.831%)(a)

 

 

USD

 

 

 

500

 

 

 

499,498

 

 

 

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

  23


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  

RR15 Ltd., 7.03%, 04/15/36, (3-mo. SOFR + 1.711%)(a)(b)

    USD       300     $ 297,900  

RRX 4 Ltd. Series 2021 4A, Class A1, 6.78%, 07/15/34 (Call 04/15/24)(a)(b)

    USD       250       250,377  

RRX 5 Ltd., 7.38%, 07/15/34 (Call 04/15/24), (3-mo. CME Term SOFR + 2.062%)(a)(b)

    USD       1,000       1,001,997  

Service Experts Issuer LLC, 2.67%, 02/02/32 (Call 01/20/29)(a)

    USD       54       50,193  

Signal Peak CLO 8 Ltd., 6.85%, 04/20/33 (Call 04/20/24), (3-mo. CME Term SOFR + 1.532%)(a)(b)

    USD       1,000       1,001,991  

Sixth Street CLO XIX Ltd., 7.28%, 07/20/34, (3-mo. SOFR + 1.961%)(a)

    USD       500       501,000  

Sixth Street CLO XX Ltd., 7.23%, 10/20/34 (Call 04/20/24), (3-mo. CME Term SOFR + 1.912%)(a)(b)

    USD       250       251,300  

SLM Private Credit Student Loan Trust

     

5.89%, 12/16/41 (Call 06/15/29), (3-mo. CME Term SOFR + 0.502%)(b)

    USD       525       513,554  

6.08%, 09/15/33 (Call 03/15/24), (3-mo. CME Term SOFR + 0.692%)(b)

    USD       334       328,218  

Series 2004-A, Class A3, 6.05%, 06/15/33 (Call 03/15/24), (3-mo. SOFR +
0.662%)(b)

    USD       538       532,389  

Series 2005-A, Class A4, 5.96%, 12/15/38 (Call 03/15/24), (3-mo. SOFR +
0.572%)(b)

    USD       1,926       1,893,832  

Series 2006-A, Class A5, 5.94%, 06/15/39 (Call 03/15/28), (3-mo. SOFR +
0.552%)(b)

    USD       100       97,205  

SLM Private Education Loan Trust, 10.20%, 10/15/41 (Call 08/15/30), (1-mo. CME Term SOFR + 4.864%)(a)(b)

    USD       228       241,165  

SMB Private Education Loan Trust

     

3.44%, 07/15/36(a)

    USD       186       179,455  

6.25%, 01/15/53, (1-mo. CME Term SOFR + 0.914%)(a)(b)

    USD       556       548,390  

6.80%, 02/16/55, (30-day SOFR +
1.450%)(a)(b)

    USD       1,162        1,162,983  

6.45%, 06/15/37, (1-mo. CME Term SOFR + 1.114%)(a)(b)

    USD       261       258,904  

4.48%, 05/16/50(a)

    USD       655       638,166  

1.59%, 01/15/53(a)

    USD       101       90,459  

7.15%, 10/16/56, (30-day SOFR +
1.800%)(a)(b)

    USD       1,312       1,334,184  

2.84%, 06/15/37(a)

    USD       302       287,114  

1.34%, 03/17/53(a)

    USD       50       44,959  

2.23%, 09/15/37(a)

    USD       167       156,257  

6.20%, 10/15/35, (1-mo. CME Term SOFR + 0.864%)(a)(b)

    USD       54       53,543  

5.67%, 11/15/52(a)

    USD       1,392       1,409,128  

6.90%, 11/15/52, (30-day SOFR +
1.550%)(a)

    USD       224       224,947  

6.28%, 09/15/37, (1-mo. SOFR +
0.944%)(a)(b)

    USD       139       137,805  

6.17%, 01/15/37, (1-mo. CME Term SOFR + 0.834%)(a)(b)

    USD       289       287,087  

3.50%, 09/15/43 (Call 10/15/28)(a)

    USD       77       74,579  

3.50%, 06/17/41(a)

    USD       100       94,513  

6.18%, 01/15/53, (1-mo. CME Term SOFR + 0.844%)(a)(b)

    USD       352       347,322  
Security          Par
(000)
    Value  

6.55%, 09/15/34, (1-mo. CME Term SOFR + 1.214%)(a)(b)

    USD       122     $ 121,696  

3.50%, 02/15/36(a)

    USD       54       52,793  

6.32%, 07/15/36, (1-mo. CME Term SOFR + 0.984%)(a)(b)

    USD       353       351,272  

6.30%, 09/15/54, (1-mo. CME Term SOFR + 0.964%)(a)(b)

    USD       787       778,898  

2.50%, 09/15/54(a)

    USD       380       313,725  

6.85%, 01/15/53, (30-day SOFR +
1.500%)(a)(b)

    USD       260       261,734  

1.07%, 01/15/53(a)

    USD       469       415,276  

6.55%, 07/15/53, (1-mo. CME Term SOFR + 1.214%)(a)(b)

    USD       261       259,972  

Series 2017-A, Class A2B, 6.35%, 09/15/34, (1-mo. CME Term SOFR + 1.014%)(a)(b)

    USD       92       91,449  

SoFi Personal Loan Trust, 6.00%, 11/12/30(d)

    USD       153       153,451  

SoFi Professional Loan Program LLC

     

3.59%, 01/25/48 (Call 04/25/26)(a)

    USD       46       44,464  

3.12%, 05/15/46 (Call 08/15/27)(a)

    USD       365       299,169  

Stratus CLO Ltd.

     

6.98%, 12/29/29 (Call 04/20/24), (3-mo. CME Term SOFR + 1.662%)(a)(b)

    USD       250       249,375  

6.53%, 12/29/29 (Call 04/20/24), (3-mo. CME Term SOFR + 1.212%)(a)(b)

    USD       311       310,668  

6.38%, 12/29/29 (Call 04/20/24), (3-mo. CME Term SOFR + 1.062%)(a)(b)

    USD       2,359        2,360,882  

Symphony CLO 38 Ltd., 8.22%, 04/24/36 (Call 04/24/25), (3-mo. CME Term SOFR + 2.900%)(a)(b)

    USD       250       249,398  

Symphony CLO Ltd., 7.57%, 04/24/36, (3-mo. SOFR + 2.250%)(a)(b)

    USD       250       249,996  

Symphony CLO XIX Ltd., 6.54%, 04/16/31 (Call 04/16/24), (3-mo. CME Term SOFR + 1.222%)(a)(b)

    USD       460       460,441  

TICP CLO VI Ltd., 6.70%, 01/15/34 (Call 04/15/24), (3-mo. LIBOR US +
1.120%)(a)(b)

    USD       250       250,828  

TICP CLO XII Ltd., 6.75%, 07/15/34 (Call 04/15/24), (3-mo. LIBOR US +
1.170%)(a)(b)

    USD       250       250,684  

TICP CLO XIV Ltd., 7.23%, 10/20/32 (Call 04/20/24), (3-mo. LIBOR US +
1.650%)(a)(b)

    USD       250       250,524  

Tikehau CLO VI DAC, 7.54%, 01/15/35, (3-mo. EURIBOR + 3.600%)(b)(c)

    EUR       1,000       1,069,888  

Trestles CLO V Ltd., 6.75%, 10/20/34 (Call 04/20/24), (3-mo. SOFR + 1.432%)(a)(b)

    USD       250       249,735  

Verizon Master Trust, 4.83%, 12/22/31(a)

    USD       345       348,341  

Voya CLO Ltd.

     

7.23%, 10/17/32 (Call 04/17/24), (3-mo. CME Term SOFR + 1.912%)(a)(b)

    USD       250       250,050  

6.60%, 04/17/30 (Call 04/17/24), (3-mo. CME Term SOFR + 1.282%)(a)(b)

    USD       132       131,948  

7.47%, 10/20/36, (3-mo. SOFR +
2.150%)(a)(b)

    USD       400       405,337  

6.58%, 07/15/31 (Call 04/15/24), (3-mo. CME Term SOFR + 1.262%)(a)(b)

    USD       207       207,307  

Voya Euro CLO IV DAC, 7.04%, 10/15/34(b)(c)

    EUR       500       522,905  

Voya Ltd. Series 2012-4, , 6.58%, 10/15/30 (Call 04/15/24), (3-mo. SOFR + 1.262%)(a)(b)

    USD       176       176,420  

 

 

24  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Whitebox CLO II Ltd.

   

6.80%, 10/24/34 (Call 04/24/24), (3-mo. LIBOR US + 1.220%)(a)(b)

 

USD

 250

 

  $ 250,508  

7.33%, 10/24/34 (Call 04/24/24), (3-mo. CME Term SOFR + 2.012%)(a)(b)

  USD  250       251,098  
   

 

 

 

Total Asset-Backed Securities — 14.0%
(Cost: $189,045,616)

       190,105,843  
   

 

 

 

Collaterized Mortgage Obligations

 

Mortgage-Backed Securities — 9.3%            

A&D Mortgage Trust, 6.20%, 02/25/69(a)

  $ 1,000       1,003,356  

Angel Oak Mortgage Trust

   

3.35%, 01/25/67 (Call 03/25/24)(a)(b)

    217       197,945  

5.21%, 08/25/68(a)

    1,450       1,427,699  

Arbor Multifamily Mortgage Securities Trust, 1.75%, 05/15/53 (Call 05/15/30)(a)

    190       121,726  

BAMLL Commercial Mortgage Securities Trust

   

6.78%, 09/15/34, (1-mo. LIBOR US + 1.150%)(a)(b)

    150       149,438  

7.35%, 03/15/37 (Call 03/15/24), (1-mo. CME Term SOFR + 2.014%)(a)(b)

    1,500       1,500,876  

Series 2018-DSNY, Class A, 6.48%, 09/15/34, (1-mo. CME Term SOFR + 0.897%)(a)(b)

    1,500       1,499,310  

Bank of America Merrill Lynch Commercial Mortgage Trust, 3.75%, 02/15/50 (Call 02/15/27)

    420       396,664  

Beast Mortgage Trust

   

6.20%, 04/15/36 (Call 04/15/24), (1-mo. CME Term SOFR + 0.864%)(a)(b)

    1,265       1,250,373  

7.55%, 04/15/36 (Call 04/15/24), (1-mo. CME Term SOFR + 2.214%)(a)(b)

    70       66,696  

Benchmark Mortgage Trust, 1.05%, 07/15/56(b)

    2,999       95,353  

BHMS Mortgage Trust, 6.88%, 07/15/35, (1-mo. CME Term SOFR + 1.547%)(a)(b)

    945       937,985  

BHP Trust, 6.90%, 08/15/36, (1-mo. CME Term SOFR + 1.569%)(a)(b)

    693       687,153  

BINOM Securitization Trust, 2.03%, 06/25/56 (Call 12/25/24)(a)(b)

    1,392       1,211,564  

BPR Trust, 6.50%, 09/15/38, (1-mo. CME Term SOFR + 1.164%)(a)(b)

    525       516,814  

BWAY Mortgage Trust, 2.81%, 03/10/33 (Call 03/10/25)(a)

    558       546,347  

BX Commercial Mortgage Trust

   

6.10%, 05/15/38, (1-mo. LIBOR US + 0.652%)(a)(b)

    684       676,971  

6.12%, 06/15/38, (1-mo. LIBOR US + 0.670%)(a)(b)

    1,810       1,791,720  

6.35%, 02/15/39(a)(b)

    1,458       1,445,822  

6.38%, 10/15/37, (1-mo. CME Term SOFR + 1.044%)(a)(b)

    119       118,820  

6.44%, 02/15/39, (1-mo. SOFR +
1.442%)(a)

    1,800       1,795,500  

7.09%, 12/09/40, (1-mo. SOFR +
1.761%)(a)

    1,250       1,257,813  

7.15%, 10/15/37, (1-mo. CME Term SOFR + 1.814%)(a)(b)

    788       779,625  

7.45%, 06/15/27, (1-mo. CME Term SOFR + 2.115%)(a)(b)

    1,490       1,495,713  

8.14%, 02/15/39, (1-mo. SOFR +
3.139%)(b)

    900       897,750  

8.47%, 06/15/27, (1-mo. CME Term SOFR + 3.141%)(a)(b)

    580       581,269  
Security   Par
(000)
    Value  
Mortgage-Backed Securities (continued)            

9.22%, 06/15/27, (1-mo. SOFR + 3.888%)(a)(b)

  $ 600     $ 601,125  

Series 2019-XL, Class A, 6.37%, 10/15/36, (1 mo. LIBOR US + 0.920%)(a)(b)

    198       197,986  

BX Trust

   

6.15%, 01/15/34, (1-mo. CME Term SOFR + 0.814%)(a)(b)

    1,992       1,974,226  

6.25%, 02/15/36, (1-mo. CME Term SOFR + 0.914%)(a)(b)

    2,600       2,578,063  

6.33%, 01/15/39, (1-mo. CME Term SOFR + 1.000%)(a)(b)

    1,800       1,785,375  

6.65%, 01/15/34, (1-mo. CME Term SOFR + 1.314%)(a)(b)

    115       113,646  

6.80%, 02/15/36, (1-mo. SOFR + 1.464%)(a)(b)

    100       98,505  

6.82%, 04/15/37, (1-mo. CME Term SOFR + 1.491%)(a)(b)

    1,160       1,157,379  

6.85%, 05/15/35, (1-mo. CME Term SOFR + 1.517%)(a)(b)

    1,540       1,526,525  

6.91%, 01/15/39, (1-mo. CME Term SOFR + 1.580%)(a)(b)

    60       58,800  

6.94%, 02/15/41, (1-mo. SOFR + 1.642%)(a)(b)

    1,750       1,749,453  

7.09%, 10/15/36, (1-mo. CME Term SOFR + 1.760%)(a)(b)

    400       392,250  

7.50%, 08/15/39, (1-mo. CME Term SOFR + 2.165%)(a)(b)

    476       477,201  

8.00%, 08/15/41, (1-mo. CME Term SOFR + 2.664%)(a)(b)

    253       253,513  

8.02%, 05/15/38(a)(b)

    2,463       2,484,551  

8.67%, 05/15/38, (1-mo. CME Term SOFR + 3.339%)(a)(b)

    715       723,044  

9.39%, 08/15/43, (1-mo. CME Term SOFR + 4.061%)(a)(b)

    992       994,170  

Series 2019-ATL, Class A, 6.54%, 10/15/36, (1 mo. LIBOR US + 1.087%)(a)(b)

    500       496,814  

CD Mortgage Trust, 4.51%, 08/15/51(b)

    430       404,407  

CENT Trust, 7.95%, 09/15/38, (1-mo. SOFR + 2.620%)(a)

    2,600        2,619,500  

CFCRE Commercial Mortgage Trust, 3.69%,

   

05/10/58 (Call 05/10/26)

    435       411,876  

CFK Trust, 2.39%, 03/15/39(a)

    500       443,622  

Chase Home Lending Mortgage Trust, 6.00%, 01/25/55(a)(b)

      2,000       1,993,125  

Citigroup Commercial Mortgage Trust

   

2.86%, 11/10/42(a)

    100       83,530  

3.58%, 04/10/49

    1,000       951,544  

4.41%, 06/10/51(b)

    425       406,601  

COAST Commercial Mortgage Trust, 7.92%,

   

08/15/36, (1-mo. SOFR + 2.591%)(a)

    245       245,226  

Cold Storage Trust

   

8.95%, 11/15/37, (1-mo. CME Term SOFR + 3.607%)(a)(b)

    133       131,805  

Series 2020-ICE5, Class A, 6.35%, 11/15/37, (1-mo. CME Term SOFR + 1.014%)(a)(b)

    516       514,460  

COLT Mortgage Loan Trust

   

1.21%, 07/27/54(a)

    1,082       945,284  

3.70%, 03/25/65(a)(b)

    1,500       1,406,439  

5.84%, 02/25/69(a)

    2,000       1,999,974  

Commission Mortgage Trust

   

3.53%, 02/10/48 (Call 01/10/27)

    50       48,237  

 

 

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

  25


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Mortgage-Backed Securities (continued)  

3.80%, 09/10/50

  $ 400     $ 367,512  

3.83%, 02/10/48 (Call 01/10/27)(b)

    205       194,806  

Series 2014-UBS2, Class A5, 3.96%, 03/10/47 (Call 03/10/24)

    20       19,831  

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

    325       309,599  

Series 2015-CR24, Class A5, 3.70%, 08/10/48 (Call 06/10/26)

    100       97,293  

Credit Suisse Mortgage Capital Certificates

   

6.61%, 05/15/36, (1-mo. CME Term SOFR + 1.277%)(a)(b)

    200       199,254  

Series 2019-ICE4, Class A, 6.36%, 05/15/36, (1-mo. CME Term SOFR + 1.027%)(a)(b)

    1,995       1,993,790  

Cross Mortgage Trust

   

6.09%, 12/25/68(a)

    1,000       999,998  

7.14%, 11/25/68(a)(e)

    980       997,729  

CSAIL Commercial Mortgage Trust

   

3.59%, 12/15/52

    72       62,106  

3.61%, 06/15/52

    915       813,654  

4.17%, 11/15/48(b)

    720       694,186  

CSMC Trust

   

2.39%, 07/15/31(a)

    1,000       921,983  

2.82%, 08/15/37(a)

    550       509,493  

4.05%, 12/15/49(b)

    900       828,562  

8.48%, 09/09/24, (1-mo. CME Term SOFR + 3.143%)(a)(b)

    615       618,459  

DBGS Mortgage Trust, 6.93%, 05/15/35, (1-mo. CME Term SOFR + 1.596%)(a)(b)

    475       470,405  

DBJPM Mortgage Trust, 3.56%, 06/10/50 (Call 06/10/27)(b)

    250       223,491  

Deephaven Residential Mortgage Trust

   

0.90%, 04/25/66 (Call 02/25/24)(a)(b)

    355       308,480  

1.19%, 08/25/66 (Call 02/25/24)(a)(b)

    966       823,306  

Extended Stay America Trust

   

9.15%, 07/15/38, (1-mo. CME Term SOFR + 3.814%)(a)(b)

    1,324       1,317,103  

Series 2021-ESH, Class A, 6.53%, 07/15/38, (1-mo. CME Term SOFR + 1.194%)(a)(b)

    2,015       2,008,427  

Federal Home Loan Mortgage Corp. Multifamily

   

Structured Pass-Through Certificates,

0.44%, 06/25/33(b)

    4,245       95,475  

GCAT Trust

   

2.89%, 12/27/66 (Call 01/25/34)(a)(b)

    1,129       1,018,821  

2.94%, 04/25/65(a)(e)

    200       189,999  

3.33%, 02/25/67(a)

    1,071       998,060  

3.69%, 11/25/59 (Call 02/25/24)(a)(b)

    813       772,918  

GS Mortgage Securities Corp. II, 7.68%,
09/10/38(a)(b)

    510       501,091  

GS Mortgage Securities Corp. Trust

   

6.33%, 11/15/36, (1-mo. CME Term SOFR + 0.999%)(a)(b)

    2,500        2,477,344  

6.85%, 12/15/36, (1-mo. SOFR + 1.514%)(a)(b)

    1,414       1,391,625  

7.42%, 03/15/28, (1-mo. CME Term SOFR + 2.091%)(a)(b)

    470       470,588  

7.53%, 08/15/39, (1-mo. CME Term SOFR + 2.195%)(a)(b)

    871       873,178  

8.12%, 03/15/28, (1-mo. SOFR + 2.790%)(a)

    480       480,150  

GS Mortgage Securities Corportation Trust,

   

6.60%, 10/15/36, (1-mo. CME Term SOFR + 1.264%)(a)(b)

    100       96,000  
Security   Par
(000)
    Value  
Mortgage-Backed Securities (continued)  

GS Mortgage Securities Trust, Series 2015-GC32, Class C, 4.55%, 07/10/48(b)

  $ 205     $ 191,248  

Hawaii Hotel Trust, 6.53%, 05/15/38, (1-mo. CME Term SOFR + 1.197%)(a)(b)

    130       129,513  

Hilton USA Trust, 3.72%, 11/05/38(a)

    200       191,292  

HONO Mortgage Trust, 6.60%, 10/15/36, (1-mo. CME Term SOFR + 1.264%)(a)(b)

    2,000       1,926,540  

Hudson Yards Mortgage Trust, 3.04%, 12/10/41(a)(b)

    110       96,965  

INTOWN Mortgage Trust, 7.82%, 08/15/39 (Call 08/15/24), (1-mo. CME Term SOFR + 2.489%)(a)(b)

    1,745       1,752,657  

J.P. Morgan Chase Commercial Mortgage Securities Trust, 8.71%, 12/15/36, (1-mo. SOFR +
3.372%)(a)(b)

    333       333,211  

J.P. Morgan Mortgage Trust

   

0.00%, 06/25/51, (30-day SOFR + 5.350%)(a)(b)

    1,231       87,601  

5.25%, 11/25/63(a)(b)

    480       459,226  

5.99%, 06/25/51(a)(b)

    1,226       1,126,891  

JP Morgan Chase Commercial Mortgage Securities Trust

   

2.95%, 09/06/38(a)(b)

    1,180       1,105,136  

6.25%, 04/15/38, (1-mo. CME Term SOFR + 0.914%)(a)(b)

    1,701       1,694,436  

8.21%, 12/15/36, (1-mo. SOFR + 2.872%)(a)(b)

    238       238,155  

JPMBB Commercial Mortgage Securities Trust,

   

3.97%, 03/17/49

    430       408,388  

KKR Industrial Portfolio Trust, 9.20%, 12/15/37, (1-mo. CME Term SOFR + 3.864%)(a)(b)

    352       352,199  

KSL Commercial Mortgage Trust

   

2.36%, 12/15/36(a)(b)(d)

    22,000       498,412  

7.62%, 12/15/36, (1-mo. SOFR + 2.290%)(a)(b)

    175       175,657  

9.62%, 12/15/36, (1-mo. SOFR + 4.287%)(a)

    380       382,375  

Life Mortgage Trust, 6.15%, 03/15/38, (1-mo. CME Term SOFR + 0.814%)(a)(b)

    2,163       2,137,476  

LUX, 8.02%, 08/15/40, (1-mo. SOFR + 2.689%)

    270       272,025  

Med Trust

   

6.40%, 11/15/38(a)(b)

    476       470,960  

6.90%, 11/15/38, (1-mo. CME Term SOFR + 1.564%)(a)(b)

    124       122,848  

8.60%, 11/15/38, (1-mo. CME Term SOFR + 3.264%)(a)(b)

    234       229,180  

MF1 Trust

   

6.40%, 12/15/34, (1-mo. CME Term SOFR + 1.070%)(a)(b)

    130       127,046  

6.70%, 12/15/34, (SOFR + 1.370%)(a)(b)

    100       96,038  

MHC Commercial Mortgage Trust, 6.25%, 04/15/38, (1 mo. LIBOR US + 0.801%)(a)(b)

    2,097        2,084,740  

MHP

   

6.15%, 07/15/38, (1-mo. CME Term SOFR + 0.814%)(a)(b)

    320       316,300  

6.50%, 07/15/38, (1-mo. CME Term SOFR + 1.164%)(a)(b)

    215       211,372  

6.80%, 07/15/38, (1-mo. CME Term SOFR + 1.464%)(a)(b)

    215       211,103  

7.20%, 07/15/38, (1-mo. CME Term SOFR + 1.864%)(a)(b)

    350       343,656  

 

 

26  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Mortgage-Backed Securities (continued)  

MIRA Trust, 6.75%, 06/10/38(a)

  $ 103     $ 107,455  

Morgan Stanley Bank of America Merrill Lynch Trust, 4.67%, 10/15/48 (Call 09/15/25)(b)

    117       109,913  

Morgan Stanley Capital I Trust

   

3.52%, 07/15/52 (Call 07/15/29)

    895       813,177  

3.70%, 06/15/52 (Call 06/15/29)

    895       818,253  

3.89%, 12/15/50(b)

    230       217,090  

4.43%, 07/15/51 (Call 07/15/28)(b)

    650       617,532  

4.62%, 07/15/51 (Call 07/15/28)(b)

    182       165,034  

6.84%, 07/15/35 (Call 07/15/24), (1-mo. CME Term SOFR + 1.501%)(a)(b)

    2,100        2,085,563  

6.88%, 11/15/34, (1-mo. CME Term SOFR + 1.422%)(a)(b)

    799       790,202  

New Residential Mortgage Loan Trust

   

4.00%, 12/25/57 (Call 05/25/34)(a)(b)

    279       265,355  

4.01%, 04/25/62(a)(b)

    1,059       957,942  

4.50%, 02/25/58 (Call 07/25/33)(a)(b)

    114       109,969  

4.75%, 12/25/57 (Call 07/25/35)(a)(b)

    202       196,308  

OBX Trust

   

1.07%, 02/25/66 (Call 03/25/24)(a)(b)

    1,765       1,501,016  

4.50%, 11/25/48(a)(b)

    330       313,345  

ONE Mortgage Trust, 6.15%, 03/15/36, (1-mo. CME Term SOFR + 0.814%)(a)(b)

    1,000       975,000  

One New York Plaza Trust, 6.40%, 01/15/36, (1-mo. CME Term SOFR + 1.064%)(a)(b)

    1,000       983,104  

OPEN Trust, 8.42%, 10/15/28, (1-mo. SOFR + 3.089%)(a)

    301       302,263  

ORL Trust, 7.68%, 10/19/36, (1-mo. SOFR + 2.350%)(a)

    460       461,006  

PRET LLC, 7.14%, 01/25/54(a)

    624       624,592  

PRKCM Trust, 2.07%, 11/25/56 (Call 07/25/42)(a)(b)

    1,174       995,970  

RCO Mortgage LLC, 7.02%, 01/25/29(a)(e)

    882       881,999  

SMRT Commercial Mortgage Trust, 6.33%, 01/15/39, (1-mo. CME Term SOFR + 1.000%)(a)(b)

    150       148,343  

SREIT Trust

   

6.18%, 11/15/38, (1-mo. LIBOR US +
0.731%)(a)(b)

    1,010       999,395  

6.27%, 11/15/36, (1-mo. CME Term SOFR + 0.936%)(a)(b)

    1,800       1,785,375  

6.82%, 11/15/36, (1-mo. CME Term SOFR + 1.485%)(a)(b)

    265       261,356  

Taubman Centers Commercial Mortgage Trust, 7.52%, 05/15/37, (1-mo. CME Term SOFR + 2.186%)(a)(b)

    1,620       1,615,934  

TRK Trust, 4.37%, 06/25/57(a)(e)

    1,736       1,578,383  

TTAN

   

6.30%, 03/15/38, (1-mo. CME Term SOFR + 0.964%)(a)(b)

    718       712,348  

6.80%, 03/15/38, (1-mo. SOFR + 1.464%)(a)

    909       896,857  

TYSN Mortgage Trust, 6.80%, 12/10/33(a)

    560       589,609  

UBS Commercial Mortgage Trust, 3.84%, 10/15/50 (Call 10/15/27)(b)

    565       523,837  

Verus Securitization Trust, 2.23%, 05/25/60 (Call 02/25/24)(a)(b)

    1,083       1,065,107  

Wells Fargo Commercial Mortgage Trust

   

2.58%, 09/15/31(a)(b)

    695       645,234  

3.75%, 03/15/59 (Call 04/15/26)

    850       810,161  

4.14%, 12/15/49(b)

    440       415,560  

4.19%, 08/17/36(a)(b)

    110       103,117  
Security   Par
(000)
    Value  
Mortgage-Backed Securities (continued)        

4.40%, 09/15/58(b)

  $     205     $ 196,862  

4.89%, 01/15/59 (Call 01/15/26)(b)

      205       195,229  

6.46%, 02/15/37, (1-mo. CME Term SOFR + 1.124%)(a)(b)

      500       496,202  

6.79%, 02/15/37, (1-mo. CME Term SOFR + 1.454%)(a)(b)

      315       311,810  

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

      300       289,613  

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

      575       547,688  

Series 2015-C31, Class B, 4.48%, 11/15/48(b)

      450       425,285  

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

      150       144,192  

Series 2018-C46, Class AS, 4.38%, 08/15/51

      660       618,502  

Series 2019-C50, Class AS, 4.02%, 05/15/52

      870       811,924  

Wells Fargo Mortgage-Backed Securities Trust, 3.50%, 07/25/47(a)(b)

      141       126,957  

WinWater Mortgage Loan Trust

     

3.50%, 11/20/44(a)(b)

      329       275,463  

3.50%, 02/20/45(a)(b)

      409       369,450  

3.92%, 06/20/44 (Call 02/20/24)(a)(b)

      449       422,595  

4.00%, 09/20/44(a)(b)

      117       110,595  
     

 

 

 
         126,420,991  
     

 

 

 

Total Collaterized Mortgage Obligations — 9.3%
(Cost: $125,373,912)

 

    126,420,991  
     

 

 

 
Convertible Bonds                
Beverages — 0.0%                

Davide Campari-Milano NV, 2.38%, 01/17/29(c) .

  EUR     700       772,173  
     

 

 

 
Commercial Services — 0.3%                

Nexi SpA, Series ., 0.00% 02/24/28(c)(f)

  EUR     2,700       2,553,037  

Worldline SA/France

     

0.00%, 07/30/25(c)(f)

  EUR     144       171,315  

0.00%, 07/30/26(c)(f)

  EUR     1,872       1,812,751  
     

 

 

 
        4,537,103  
Computers — 0.0%                

Atos SE, 0.00% 11/06/24(c)(f)

  EUR     500       237,734  
     

 

 

 
Semiconductors — 0.1%                

ams-OSRAM AG, Series AMS, 0.00% 03/05/25(c)(f)

  EUR     800       807,376  
     

 

 

 
Telecommunications — 0.3%                

Cellnex Telecom SA, 2.13%, 08/11/30(c)

  EUR     3,300       3,701,668  
     

 

 

 

Total Convertible Bonds — 0.7%
(Cost: $10,200,087)

 

    10,056,054  
     

 

 

 
Corporate Bonds & Notes                
Advertising — 0.4%                

Clear Channel Outdoor Holdings Inc.

     

5.13%, 08/15/27 (Call 08/15/24)(a)(g)

  USD     230       216,612  

9.00%, 09/15/28 (Call 09/15/25)(a)(g)

  USD     1,539       1,599,894  

Lamar Media Corp.

     

3.63%, 01/15/31 (Call 01/15/26)

  USD     300       263,850  

3.75%, 02/15/28 (Call 02/15/24)

  USD     412       383,160  

 

 

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

  27


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Advertising (continued)                  

4.00%, 02/15/30 (Call 02/15/25)

    USD       100     $ 91,510  

4.88%, 01/15/29 (Call 01/15/25)

    USD       300       290,318  

Outfront Media Capital LLC/Outfront Media Capital Corp.

     

4.25%, 01/15/29 (Call 01/15/25)(a)(g)

    USD       1,159       1,033,028  

4.63%, 03/15/30 (Call 03/15/25)(a)

    USD       300       265,518  

Summer BC Holdco B Sarl, 5.75%, 10/31/26 (Call 01/29/24)(c)

    EUR       1,262       1,330,869  
     

 

 

 
        5,474,759  
Aerospace & Defense — 1.2%                  

Bombardier Inc.

     

7.13%, 06/15/26 (Call 06/15/24)(a)

    USD       873       880,275  

7.88%, 04/15/27 (Call 04/15/24)(a)

    USD       91       90,884  

8.75%, 11/15/30 (Call 11/15/26)(a)

    USD       1,400       1,469,241  

L3Harris Technologies Inc.

     

4.40%, 06/15/28 (Call 03/15/28)

    USD       98       96,732  

5.40%, 01/15/27

    USD       99       100,965  

5.40%, 07/31/33 (Call 04/30/33)

    USD       961       989,863  

Lockheed Martin Corp., 3.90%, 06/15/32 (Call 03/15/32)

    USD       55       52,573  

Northrop Grumman Corp., 3.25%, 01/15/28 (Call 10/15/27)

    USD       86       81,983  

Rolls-Royce PLC

     

3.63%, 10/14/25 (Call 07/14/25)(a)

    USD       900       867,438  

5.75%, 10/15/27 (Call 07/15/27)(a)

    USD       500       500,272  

5.75%, 10/15/27 (Call 07/15/27)(c)

    GBP       246       312,616  

RTX Corp.

     

2.15%, 05/18/30 (Call 02/18/30)

    EUR       1,890       1,870,625  

5.15%, 02/27/33 (Call 11/27/32)

    USD       863       874,548  

5.40%, 05/01/35

    USD       445       460,275  

6.10%, 03/15/34 (Call 12/15/33)

    USD       1,273       1,381,630  

Thales SA, 4.25%, 10/18/31(c)

    EUR       1,300       1,487,603  

TransDigm Inc.

     

4.63%, 01/15/29 (Call 01/15/25)

    USD       1,399       1,308,163  

4.88%, 05/01/29 (Call 05/01/24)

    USD       172       160,752  

6.25%, 03/15/26 (Call 03/15/24)(a)

    USD       1,917       1,903,962  

6.75%, 08/15/28 (Call 02/15/25)(a)

    USD       717       728,732  

6.88%, 12/15/30 (Call 08/18/26)(a)

    USD       300       307,023  

7.13%, 12/01/31 (Call 12/01/26)(a)

    USD       612       637,873  
     

 

 

 
         16,564,028  
Agriculture — 0.2%                  

Darling Ingredients Inc.

     

5.25%, 04/15/27 (Call 04/15/24)(a)

    USD       600       589,566  

6.00%, 06/15/30 (Call 06/15/25)(a)(g)

    USD       212       210,692  

Tereos Finance Groupe I SA, 7.25%, 04/15/28 (Call 04/15/25)(c)

    EUR       959       1,094,803  

Viterra Finance BV, 0.38%, 09/24/25 (Call 08/24/25)(c)

    EUR       185       188,785  
     

 

 

 
        2,083,846  
Airlines — 0.7%                  

Air France-KLM, 8.13%, 05/31/28 (Call 02/28/28)(c)

    EUR       100       122,116  

American Airlines Inc.

     

7.25%, 02/15/28 (Call 02/15/25)(a)(g)

    USD       300       304,068  

8.50%, 05/15/29 (Call 11/15/25)(a)

    USD       200       212,003  

American Airlines Inc./AAdvantage Loyalty IP Ltd.

     

5.50%, 04/20/26(a)

    USD       1,477       1,460,334  

5.75%, 04/20/29(a)

    USD       1,400       1,374,842  
Security          Par
(000)
    Value  
Airlines (continued)                  

Delta Air Lines Inc.

     

3.75%, 10/28/29 (Call 07/28/29)

    USD       100     $ 91,895  

4.38%, 04/19/28 (Call 01/19/28)

    USD       100       96,314  

7.38%, 01/15/26 (Call 12/15/25)(g)

    USD       797       825,158  

Deutsche Lufthansa AG, 2.88%, 02/11/25 (Call 01/11/25)(c)

    EUR       200       212,898  

International Consolidated Airlines Group SA,

     

1.50%, 07/04/27 (Call 04/04/27)(c)

    EUR       100       99,560  

United Airlines Inc.

     

4.38%, 04/15/26 (Call 10/15/25)(a)

    USD       1,297       1,251,139  

4.63%, 04/15/29 (Call 10/15/25)(a)

    USD       600       555,020  

VistaJet Malta Finance PLC/Vista Management Holding Inc.

     

6.38%, 02/01/30 (Call 02/01/25)(a)(g)

    USD       445       322,091  

7.88%, 05/01/27 (Call 04/26/24)(a)

    USD       1,000       835,230  

9.50%, 06/01/28 (Call 06/01/25)(a)(g)

    USD       1,631       1,382,060  
     

 

 

 
         9,144,728  
Apparel — 0.1%                  

Hanesbrands Inc.

     

4.88%, 05/15/26 (Call 02/15/26)(a)(g)

    USD       100       96,442  

9.00%, 02/15/31 (Call 02/15/26)(a)(g)

    USD       1,300       1,310,649  

Kering SA, 5.13%, 11/23/26(c)

    GBP       400       512,270  
     

 

 

 
        1,919,361  
Auto Manufacturers — 1.0%                  

Allison Transmission Inc.

     

3.75%, 01/30/31 (Call 01/30/26)(a)(g)

    USD       334       292,119  

4.75%, 10/01/27 (Call 10/01/24)(a)

    USD       300       288,542  

5.88%, 06/01/29 (Call 06/01/24)(a)

    USD       100       99,383  

Ford Motor Co.

     

3.25%, 02/12/32 (Call 11/12/31)

    USD       625       517,389  

4.35%, 12/08/26 (Call 09/08/26)

    USD       100       97,698  

6.10%, 08/19/32 (Call 05/19/32)

    USD       539       540,115  

Ford Motor Credit Co. LLC

     

2.75%, 06/14/24

    GBP       100       125,199  

2.90%, 02/10/29 (Call 12/10/28)

    USD       200       175,508  

3.63%, 06/17/31 (Call 03/17/31)

    USD       200       172,103  

4.00%, 11/13/30 (Call 08/13/30)

    USD       450       401,356  

4.27%, 01/09/27 (Call 11/09/26)

    USD       200       192,507  

4.69%, 06/09/25 (Call 04/09/25)

    USD       200       197,158  

5.13%, 06/16/25 (Call 05/16/25)

    USD       280       277,565  

6.86%, 06/05/26

    GBP       100       130,033  

General Motors Financial Co. Inc., 4.35%, 01/17/27 (Call 10/17/26)

    USD       121       119,165  

Jaguar Land Rover Automotive PLC

     

4.50%, 10/01/27 (Call 07/01/27)(a)

    USD       800       757,232  

4.50%, 07/15/28 (Call 07/15/24)(c)

    EUR       200       212,479  

5.50%, 07/15/29 (Call 07/15/24)(a)

    USD       200       191,704  

Nissan Motor Acceptance Co. LLC, 1.85%, 09/16/26 (Call 08/16/26)(a)

    USD       865       782,701  

RCI Banque SA, 2.63%, 02/18/30 (Call 02/18/25)(b)(c)

    EUR       5,300       5,584,518  

Volkswagen Financial Services NV, 6.50%, 09/18/27(c)

    GBP       200       262,416  

Volkswagen International Finance NV

     

3.88%, (Call 06/17/29)(b)(c)

    EUR       1,700       1,680,845  

Series PNC5, 7.50%, (Call 09/06/28)(b)(c)(h)

    EUR       100       117,247  

Volkswagen Leasing GmbH, 0.63%, 07/19/29(c)

    EUR       246       227,889  
     

 

 

 
         13,442,871  

 

 

28  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Auto Parts & Equipment — 1.4%                  

Adient Global Holdings Ltd.

     

4.88%, 08/15/26 (Call 08/15/24)(a)

    USD       200     $ 195,059  

8.25%, 04/15/31 (Call 04/15/26)(a)

    USD       623       657,947  

American Axle & Manufacturing Inc.

     

5.00%, 10/01/29 (Call 10/01/24)(g)

    USD       763       667,963  

6.88%, 07/01/28 (Call 07/01/24)

    USD       300       291,109  

Aptiv PLC/Aptiv Corp., 3.25%, 03/01/32 (Call 12/01/31)

    USD       1,593       1,404,839  

Clarios Global LP, 6.75%, 05/15/25 (Call 05/15/24)(a)

    USD       619       618,540  

Clarios Global LP/Clarios U.S. Finance Co., 6.75%, 05/15/28 (Call 05/15/25)(a)

    USD       917       929,169  

Dana Financing Luxembourg Sarl

     

3.00%, 07/15/29 (Call 07/15/24)(c)

    EUR       163       155,322  

8.50%, 07/15/31 (Call 07/15/26)(c)

    EUR       850       1,001,967  

Dana Inc.

     

4.25%, 09/01/30 (Call 05/01/26)

    USD       300       262,311  

5.63%, 06/15/28 (Call 06/15/24)

    USD       286       276,803  

Forvia SE

     

2.75%, 02/15/27 (Call 02/15/24)(c)

    EUR       500       511,490  

3.75%, 06/15/28 (Call 01/29/24)(c)

    EUR       474       494,963  

7.25%, 06/15/26 (Call 11/15/24)(c)

    EUR       100       112,592  

Goodyear Tire & Rubber Co. (The)

     

4.88%, 03/15/27 (Call 12/15/26)(g)

    USD       423       408,043  

5.00%, 05/31/26 (Call 05/31/24)(g)

    USD       100       98,057  

5.00%, 07/15/29 (Call 04/15/29)(g)

    USD       700       656,984  

5.25%, 07/15/31 (Call 04/15/31)(g)

    USD       500       455,115  

5.63%, 04/30/33 (Call 01/30/33)

    USD       198       179,155  

IHO Verwaltungs GmbH, 8.75%, 05/15/28 (Call 05/15/25), (9.50% PIK)(c)(i)

    EUR       1,900       2,217,700  

Robert Bosch GmbH, 4.38%, 06/02/43 (Call 03/02/43)(c)

    EUR       200       228,815  

Schaeffler AG

     

3.38%, 10/12/28(c)

    EUR       300       312,863  

4.50%, 08/14/26(c)

    EUR       100       109,010  

4.75%, 08/14/29(c)

    EUR       200       218,867  

ZF Europe Finance BV

     

2.50%, 10/23/27 (Call 07/23/27)(c)

    EUR       200       200,470  

3.00%, 10/23/29 (Call 07/23/29)(c)

    EUR       200       196,061  

4.75%, 01/31/29(c)

    EUR       3,300       3,547,623  

6.13%, 03/13/29 (Call 12/13/28)(c)

    EUR       1,100       1,250,223  

ZF Finance GmbH

     

2.25%, 05/03/28 (Call 02/03/28)(c)

    EUR       500       488,541  

3.75%, 09/21/28 (Call 06/21/28)(c)

    EUR       100       103,103  

5.75%, 08/03/26 (Call 07/03/26)(c)

    EUR       100       110,837  

ZF North America Capital Inc., 6.88%, 04/14/28 (Call 03/14/28)(a)

    USD       950       978,593  
     

 

 

 
         19,340,134  
Banks — 9.7%                  

AIB Group PLC, 6.25%, (Call
06/23/25)(b)(c)(h)

    EUR       2,374       2,535,837  

Banca Monte dei Paschi di Siena SpA

     

6.75%, 03/02/26 (Call 03/02/25), (3-mo. EURIBOR + 3.206%)(b)(c)

    EUR       500       548,786  

6.75%, 09/05/27, (3-mo. EURIBOR + 3.283%)(c)

    EUR       451       508,719  

Banco Bilbao Vizcaya Argentaria SA

     

6.00%, (Call 03/29/24)(b)(c)(h)

    EUR       200       215,881  

Series ., 6.00%, (Call 01/15/26)(b)(c)(h)

    EUR       1,000       1,069,893  

Banco BPM SpA

     

2.88%, 06/29/31 (Call 06/29/26)(b)(c)

    EUR       1,000       1,021,607  

3.25%, 01/14/31 (Call 01/14/26)(b)(c)

    EUR       600       628,157  
Security          Par
(000)
    Value  
Banks (continued)                  

3.38%, 01/19/32 (Call 01/19/27)(b)(c)

    EUR       200     $ 203,447  

4.25%, 10/01/29 (Call 10/01/24)(b)(c)

    EUR       100       107,416  

4.88%, 01/17/30, (3-mo. EURIBOR + 2.350%)(c)

    EUR       2,450        2,692,054  

6.00%, 06/14/28, (3-mo. EURIBOR + 2.800%)(c)

    EUR       150       170,254  

Banco de Credito Social Cooperativo SA

     

1.75%, 03/09/28 (Call 03/09/27)(b)(c)

    EUR       100       97,716  

7.50%, 09/14/29(c)

    EUR       800       929,547  

Banco de Sabadell SA

     

4.00%, 01/15/30(c)

    EUR       400       437,053  

5.13%, 11/10/28 (Call 11/10/27)(b)(c)

    EUR       1,600       1,823,312  

5.25%, 02/07/29 (Call 02/07/28)(b)(c)

    EUR       400       448,829  

5.50%, 09/08/29(c)

    EUR       400       451,995  

5.75%, (Call 03/15/26)(b)(c)(h)

    EUR       1,200       1,229,643  

6.00%, 08/16/33 (Call 05/16/28)(b)(c)

    EUR       1,200       1,316,166  

Banco Santander SA

     

3.50%, 01/09/30(b)(c)

    EUR       400       432,156  

3.88%, 01/16/28(c)

    EUR       1,600       1,764,872  

4.38%, (Call 01/14/26)(b)(c)(h)

    EUR       600       595,736  

Bank of America Corp.

     

0.58%, 08/08/29 (Call 08/08/28)(b)(c)

    EUR       700       666,849  

0.69%, 03/22/31 (Call 03/22/30),
(3-mo. EURIBOR + 0.790%)(b)(c)

    EUR       1,170       1,060,456  

1.38%, 05/09/30 (Call 05/09/29)(b)(c)

    EUR       1,332       1,290,269  

1.73%, 07/22/27 (Call 07/22/26),
(1-day SOFR + 0.960%)(b)

    USD       3,030       2,792,846  

2.09%, 06/14/29 (Call 06/14/28),
(1-day SOFR + 1.060%)(b)

    USD       1,273       1,128,269  

2.30%, 07/21/32 (Call 07/21/31),
(1-day SOFR + 1.220%)(b)

    USD       178       146,135  

2.97%, 02/04/33 (Call 02/04/32),
(1-day SOFR + 1.330%)(b)

    USD       40       34,124  

3.65%, 03/31/29 (Call 03/31/28),
(3-mo. EURIBOR + 3.670%)(b)(c)

    EUR       2,300       2,497,104  

3.97%, 02/07/30 (Call 02/07/29),
(3-mo. SOFR + 1.472%)(b)

    USD       1,164       1,110,611  

4.57%, 04/27/33 (Call 04/27/32),
(1-day SOFR + 1.830%)(b)

    USD       327       312,894  

5.47%, 01/23/35 (Call 01/23/34),
(1-day SOFR + 1.650%)

    USD       285       290,230  

5.87%, 09/15/34 (Call 09/15/33),
(1-day SOFR + 1.840%)

    USD       445       465,981  

Bank of Cyprus PCL

     

2.50%, 06/24/27 (Call 06/24/26)(b)(c)

    EUR       100       100,538  

7.38%, 07/25/28, (3-mo. EURIBOR + 4.095%)(c)

    EUR       350       392,472  

Bank of Ireland Group PLC

     

6.00%, (Call 09/01/25)(b)(c)(h)

    EUR       952       1,010,822  

7.50%, (Call 05/19/25)(b)(c)(h)

    EUR       500       544,396  

Bankinter SA, 6.25%, (Call
01/17/26)(b)(c)(h)

    EUR       800       857,644  

Banque Federative du Credit Mutuel SA

     

3.63%, 09/14/32(c)

    EUR       300       327,400  

4.00%, 11/21/29(c)

    EUR       100       111,811  

4.13%, 09/18/30(c)

    EUR       100       113,027  

4.13%, 06/14/33(c)

    EUR       1,000       1,127,394  

4.38%, 01/11/34(c)

    EUR       200       213,979  

5.13%, 01/13/33(c)

    EUR       800       917,406  

Barclays PLC

     

1.38%, 01/24/26 (Call 01/24/25)(b)(c)

    EUR       206       216,918  

2.89%, 01/31/27 (Call 01/31/26)(b)(c)

    EUR       100       106,235  

 

 

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

  29


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Banks (continued)                  

4.92%, 08/08/30 (Call 08/08/29)(b)(c)

    EUR       2,900     $  3,264,764  

6.13%, (Call 12/15/25)(b)(h)

    USD       200       189,558  

7.09%, 11/06/29(c)

    GBP       494       664,623  

7.13%, (Call 06/15/25)(b)(h)

    GBP       208       256,349  

8.00%, (Call 06/15/24)(b)(h)

    USD       200       199,129  

9.25%, (Call 09/15/28)(b)(h)

    GBP       1,000       1,267,300  

9.63%, (Call 12/15/29), (5-year USD ICE Swap + 5.775%)(b)(h)

    USD       674       694,182  

BNP Paribas SA

     

3.63%, 09/01/29(c)

    EUR       300       325,447  

4.04%, 01/10/32, (3-mo. EURIBOR + 1.600%)(b)(c)

    EUR       2,400       2,628,047  

4.13%, 09/26/32, (3-mo. EURIBOR + 0.950%)(c)

    EUR       1,200       1,353,639  

6.88%, (Call 12/06/29)(b)(c)(h)

    EUR       800       886,070  

7.38%, (Call 06/11/30)(b)(c)(h)

    EUR       600       681,652  

BPCE SA, 3.88%, 01/25/36(c)

    EUR       600       656,759  

CaixaBank SA

     

5.25%, (Call 03/23/26)(b)(c)(h)

    EUR       600       613,894  

6.75%, (Call 06/13/24)(b)(c)(h)

    EUR       200       216,680  

7.50%,(b)(c)(h)

    EUR       400       442,931  

Series ., 5.88%, (Call 10/09/27)(b)(c)(h)

    EUR       400       424,715  

Citigroup Inc.

     

1.25%, 07/06/26, (3-mo. EURIBOR + 1.660%)(b)(c)

    EUR       200       208,687  

4.91%, 05/24/33 (Call 05/24/32), (1-day SOFR + 2.086%)(b)

    USD       250       244,927  

6.27%, 11/17/33 (Call 11/17/32), (1-day SOFR + 2.338%)(b)

    USD       592       635,342  

Commerzbank AG

     

4.63%, 01/17/31, (3-mo. EURIBOR + 2.100%)(b)(c)

    EUR       600       662,857  

5.25%, 03/25/29, (3-mo. EURIBOR + 1.950%)(b)(c)

    EUR       100       113,511  

6.13%, 03/31/99 (Call 10/09/25)(b)(c)(h)

    EUR       2,600       2,729,038  

6.50%, (Call 10/09/29)(b)(c)(h)

    EUR       600       616,732  

6.75%, 10/05/33 (Call 07/05/28)(b)(c)

    EUR       200       230,649  

8.63%, 02/28/33 (Call 11/28/27)(b)(c)

    GBP       700       943,230  

Cooperatieve Rabobank UA, 4.38%,

     

(Call 06/29/27)(b)(c)(h)

    EUR       600       607,155  

Credit Agricole SA

     

3.75%, 01/22/34(c)

    EUR       300       327,786  

3.88%, 04/20/31(c)

    EUR       100       111,554  

3.88%, 11/28/34(c)

    EUR       1,200       1,341,021  

4.38%, 11/27/33(c)

    EUR       200       226,579  

6.50%,(b)(c)(h)

    EUR       400       434,982  

Danske Bank A/S, 4.13%, 01/10/31

     

(Call 01/10/30)(b)(c)

    EUR       270       302,133  

Deutsche Bank AG

     

1.00%, 11/19/25, (3-mo. EURIBOR + 1.600%)(b)(c)

    EUR       700       737,573  

10.00%, (Call 12/01/27)(b)(c)(h)

    EUR       600       699,509  

Freedom Mortgage Corp.

     

6.63%, 01/15/27 (Call 01/15/25)(a)

    USD       300       288,126  

12.25%, 10/01/30 (Call 10/01/26)(a)

    USD       1,400       1,560,730  

Glencore Finance Europe Ltd., 0.63%, 09/11/24(c)

    EUR       416       440,188  

Goldman Sachs Group Inc. (The)

     

0.88%, 05/09/29 (Call 02/09/29)(c)

    EUR       1,500       1,410,220  

1.09%, 12/09/26 (Call 12/09/25),
(1-day SOFR + 0.789%)(b)

    USD       2,674       2,482,053  
Security          Par
(000)
    Value  
Banks (continued)                  

1.25%, 02/07/29 (Call 11/07/28)(c)

    EUR       2,600     $  2,517,425  

1.43%, 03/09/27 (Call 03/09/26), (1-day SOFR + 0.798%)(b)

    USD       345       319,280  

1.50%, 12/07/27(c)

    GBP       295       330,781  

1.54%, 09/10/27 (Call 09/10/26), (1-day SOFR + 0.818%)(b)

    USD       2,530       2,308,028  

1.95%, 10/21/27 (Call 10/21/26), (1-day SOFR + 0.913%)(b)

    USD       252       231,760  

2.64%, 02/24/28 (Call 02/24/27), (1-day SOFR + 1.114%)(b)

    USD       563       524,539  

2.65%, 10/21/32 (Call 10/21/31), (1-day SOFR + 1.264%)(b)

    USD       330       276,059  

3.62%, 03/15/28 (Call 03/15/27), (1-day SOFR + 1.846%)(b)

    USD       30       28,769  

4.00%, 09/21/29 (Call 06/21/29)(c)

    EUR       570       634,374  

7.25%, 04/10/28

    GBP       617       845,712  

HSBC Holdings PLC

     

2.26%, 11/13/26 (Call 11/13/25)(b)(c)

    GBP       571       686,616  

3.02%, 06/15/27 (Call 06/15/26), (3-mo. EURIBOR + 1.445%)(b)(c)

    EUR       542       578,711  

4.75%, (Call 07/04/29)(b)(c)(h)

    EUR       831       827,330  

4.86%, 05/23/33 (Call 05/23/32)(b)(c)

    EUR       1,656       1,905,440  

6.80%, 09/14/31, (1-day SONIA + 2.124%)(b)

    GBP       120       163,830  

Series GEN, 0.31%, 11/13/26 (Call
11/13/25)(b)(c)

    EUR       258       263,191  

ING Groep NV

     

0.25%, 02/01/30 (Call 02/01/29), (3-mo. EURIBOR + 0.700%)(b)(c)

    EUR       1,500       1,368,789  

3.88%, (Call 05/16/27)(b)(h)

    USD       233       191,039  

5.25%, 11/14/33 (Call 11/14/32)(b)(c)

    EUR       1,100       1,315,051  

5.75%, (Call 11/16/26)(b)(h)

    USD       900       846,292  

Intesa Sanpaolo SpA

     

4.20%, 06/01/32 (Call 06/01/31), (1-year CMT + 2.600%)(a)(b)

    USD       600       496,877  

5.15%, 06/10/30(c)

    GBP       2,300       2,657,700  

5.50%, (Call 03/01/28)(b)(c)(h)

    EUR       1,950       1,970,513  

5.71%, 01/15/26(a)

    USD       1,025       1,021,532  

5.88%, (Call 01/20/25)(b)(c)(h)

    EUR       900       963,299  

JPMorgan Chase & Co.

     

1.47%, 09/22/27 (Call 09/22/26), (1-day SOFR + 0.765%)(b)

    USD       350       319,477  

1.76%, 11/19/31 (Call 11/19/30), (3-mo. SOFR + 1.105%)(b)

    USD       180       146,703  

1.95%, 02/04/32 (Call 02/04/31), (1-day SOFR + 1.065%)(b)

    USD       30       24,488  

1.96%, 03/23/30 (Call 03/23/29), (3-mo. EURIBOR + 1.130%)(b)(c)

    EUR       480       482,217  

2.52%, 04/22/31 (Call 04/22/30), (1-day SOFR + 2.040%)(b)

    USD       128       111,298  

2.96%, 01/25/33 (Call 01/25/32), (1-day SOFR + 1.260%)(b)

    USD       170       146,289  

4.32%, 04/26/28 (Call 04/26/27), (1-day SOFR + 1.560%)(b)

    USD       100       98,387  

4.46%, 11/13/31, (3-mo. EURIBOR + 1.280%)(c)

    EUR       1,854       2,108,524  

5.04%, 01/23/28 (Call 01/23/27), (1-day SOFR + 1.190%)

    USD       230       230,984  

5.34%, 01/23/35 (Call 01/23/34), (1-day SOFR + 1.620%)

    USD       38       38,618  

 

 

30  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Banks (continued)                  

5.35%, 06/01/34 (Call 06/01/33), (1-day SOFR + 1.845%)(b)

    USD       46     $ 46,768  

6.07%, 10/22/27 (Call 10/22/26), (1-day SOFR + 1.330%)(b)

    USD       301       310,054  

6.25%, 10/23/34 (Call 10/23/33), (1-day SOFR + 1.810%)(b)

    USD       47       50,935  

KBC Group NV, 8.00%,(b)(c)(h)

    EUR       1,000        1,149,534  

Lloyds Banking Group PLC, 4.95%, 12/31/49

     

(Call 06/27/25)(b)(c)(h)

    EUR       1,069       1,119,497  

Morgan Stanley

     

1.59%, 05/04/27 (Call 04/04/27), (1-day SOFR + 0.879%)(b)

    USD       211       195,405  

1.88%, 04/27/27

    EUR       466       482,127  

1.93%, 04/28/32 (Call 04/28/31), (1-day SOFR + 1.020%)(b)

    USD       583       470,340  

2.51%, 10/20/32 (Call 10/20/31), (1-day SOFR + 1.200%)(b)(g)

    USD       681       567,187  

3.59%, 07/22/28 (Call 07/22/27)(b)

    USD       1,848       1,766,461  

4.66%, 03/02/29 (Call 03/02/28), (3-mo. EURIBOR + 1.304%)(b)

    EUR       2,300       2,585,060  

4.81%, 10/25/28 (Call 10/25/27)(b)

    EUR       2,197       2,481,821  

5.47%, 01/18/35 (Call 01/18/34), (1-day SOFR + 1.730%)(g)

    USD       153       156,137  

Santander U.K. Group Holdings PLC, 6.75%,

     

(Call 06/24/24)(b)(c)(h)

    GBP       200       252,510  

Societe Generale SA, 9.38%, (Call
11/22/27)(a)(b)(h)

    USD       1,224       1,270,181  

Standard Chartered PLC, 0.90%, 07/02/27 (Call 07/02/26)(b)(c)

    EUR       5,541       5,613,289  

Truist Financial Corp.

     

5.12%, 01/26/34 (Call 01/26/33), (1-day SOFR + 1.852%)(b)

    USD       60       58,410  

5.87%, 06/08/34 (Call 06/08/33), (1-day SOFR + 2.361%)

    USD       115       117,793  

U.S. Bancorp

     

5.38%, 01/23/30 (Call 01/23/29), (1-day SOFR + 1.560%)

    USD       50       50,592  

5.68%, 01/23/35 (Call 01/23/34), (1-day SOFR + 1.860%)

    USD       50       51,160  

U.S. Bancorp., 5.84%, 06/12/34 (Call 06/10/33), (1-day SOFR + 2.260%)(b)

    USD       115       118,680  

UBS Group AG

     

4.19%, 04/01/31 (Call 04/01/30), (1-day SOFR + 3.730%)(a)(b)

    USD       250       234,209  

4.88%, (Call 02/12/27)(a)(b)(h)

    USD       300       270,704  

5.13%, (Call 07/29/26)(b)(c)(h)

    USD       1,200       1,133,280  

7.00%, 12/29/49 (Call 02/19/25)(b)(c)(h)

    USD       200       199,250  

7.75%, 03/01/29 (Call 03/01/28)(b)(c)

    EUR       2,000       2,482,870  

UniCredit SpA

     

2.00%, 09/23/29 (Call 09/23/24)(b)(c)

    EUR       200       212,249  

2.73%, 01/15/32 (Call 01/15/27)(b)(c)

    EUR       500       507,088  

5.38%, (Call 06/03/25)(b)(c)(h)

    EUR       1,300       1,369,787  

5.46%, 06/30/35 (Call 06/30/30), (5-year CMT + 4.750%)(a)(b)

    USD       417       391,071  

5.86%, 06/19/32 (Call 06/19/27), (5-year USD ICE Swap + 3.703%)(a)(b)

    USD       900       881,964  

7.30%, 04/02/34 (Call 04/02/29), (5-year USD ICE Swap + 4.914%)(a)(b)

    USD       875       905,023  

Wells Fargo & Co.

     

0.63%, 03/25/30(c)

    EUR       4,746       4,298,515  

1.63%, 06/02/25(c)

    EUR       279       293,221  
Security          Par
(000)
    Value  
Banks (continued)                  

2.39%, 06/02/28 (Call 06/02/27), (1-day SOFR + 2.100%)(b)

    USD       290     $ 267,579  

2.57%, 02/11/31 (Call 02/11/30), (3-mo. SOFR + 1.262%)(b)

    USD       2,040       1,775,009  

3.35%, 03/02/33 (Call 03/02/32), (1-day SOFR + 1.500%)(b)

    USD       180       157,993  

4.90%, 07/25/33 (Call 07/25/32), (1-day SOFR + 2.100%)(b)

    USD       422       412,405  

5.50%, 01/23/35 (Call 01/23/34), (1-day SOFR + 1.780%)(g)

    USD       140       142,783  

6.30%, 10/23/29 (Call 10/23/28), (1-day SOFR + 1.790%)(b)

    USD       650       685,066  

6.49%, 10/23/34 (Call 10/23/33), (1-day SOFR + 2.060%)(b)

    USD       426       464,743  
     

 

 

 
         132,163,879  
Beverages — 0.7%                  

Carlsberg Breweries A/S, 4.25%, 10/05/33(c)

    EUR       1,750       2,003,526  

Heineken NV, 1.50%, 10/03/29 (Call 07/03/29)(c)

    EUR       710       708,184  

JDE Peet’s NV, 4.50%, 01/23/34(c)

    EUR       3,890       4,388,913  

Keurig Dr Pepper Inc.

     

3.43%, 06/15/27 (Call 03/15/27)

    USD       150       144,547  

3.95%, 04/15/29 (Call 02/15/29)

    USD       1,298       1,256,306  

4.05%, 04/15/32 (Call 01/15/32)

    USD       411       390,130  

4.60%, 05/25/28 (Call 02/25/28)

    USD       116       116,036  
     

 

 

 
        9,007,642  
Biotechnology — 0.5%                  

Amgen Inc.

     

1.65%, 08/15/28 (Call 06/15/28)

    USD       135       119,269  

2.20%, 02/21/27 (Call 12/21/26)

    USD       201       187,299  

3.35%, 02/22/32 (Call 11/22/31)

    USD       2,739       2,480,688  

4.00%, 09/13/29(c)

    GBP       100       122,969  

5.25%, 03/02/33 (Call 12/02/32)

    USD       129       131,601  

Cidron Aida Finco Sarl, 6.25%, 04/01/28 (Call 04/01/24)(c)

    GBP       1,720       2,087,117  

Gilead Sciences Inc.

     

1.65%, 10/01/30 (Call 07/01/30)

    USD       254       212,168  

5.25%, 10/15/33 (Call 07/15/33)

    USD       949       984,955  
     

 

 

 
        6,326,066  
Building Materials — 0.6%                  

Builders FirstSource Inc.

     

4.25%, 02/01/32 (Call 08/01/26)(a)

    USD       549       490,940  

5.00%, 03/01/30 (Call 03/01/25)(a)

    USD       131       125,749  

6.38%, 06/15/32 (Call 06/15/27)(a)

    USD       500       509,945  

Carrier Global Corp., 4.50%, 11/29/32(c)

    EUR       900       1,034,169  

CRH Funding BV, 1.63%, 05/05/30 (Call 02/05/30)(c)

    EUR       100       97,864  

CRH SMW Finance DAC, 4.25%, 07/11/35(c)

    EUR       1,300       1,468,735  

Emerald Debt Merger Sub LLC, 6.38%, 12/15/30 (Call 06/15/26)(c)

    EUR       500       567,364  

HT Troplast GmbH, 9.38%, 07/15/28(c)

    EUR       1,050       1,164,901  

Knife River Corp., 7.75%, 05/01/31
(Call 04/14/26)(a)

    USD       300       315,120  

Standard Industries Inc./NJ

     

3.38%, 01/15/31 (Call 07/15/25)(a)

    USD       197       167,516  

4.38%, 07/15/30 (Call 07/15/25)(a)

    USD       600       545,251  

4.75%, 01/15/28 (Call 01/15/25)(a)

    USD       500       478,212  

5.00%, 02/15/27 (Call 02/15/24)(a)

    USD       600       582,783  
     

 

 

 
        7,548,549  

 

 

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

  31


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Chemicals — 1.2%                  

Avient Corp.

     

5.75%, 05/15/25 (Call 05/15/24)(a)

    USD       500     $ 498,034  

7.13%, 08/01/30 (Call 08/01/25)(a)

    USD       300       307,718  

Chemours Co. (The)

     

4.00%, 05/15/26 (Call 01/29/24)

    EUR       400       421,089  

4.63%, 11/15/29 (Call 11/15/24)(a)

    USD       400       347,436  

5.38%, 05/15/27 (Call 02/15/27)

    USD       100       97,277  

5.75%, 11/15/28 (Call 11/15/24)(a)(g)

    USD       797       751,727  

FIS Fabbrica Italiana Sintetici SpA, 5.63%, 08/01/27 (Call 02/01/24)(c)

    EUR       1,375       1,423,035  

INEOS Finance PLC, 3.38%, 03/31/26(c)

    EUR       100       106,714  

INEOS Quattro Finance 2 PLC, 8.50%, 03/15/29 (Call 11/15/25)(c)

    EUR       1,187       1,358,168  

Kronos International Inc., 3.75%, 09/15/25 (Call 01/29/24)(c)

    EUR       700       762,716  

Linde PLC

     

3.38%, 06/12/29(c)

    EUR       500       550,832  

3.63%, 06/12/34(c)

    EUR       100       111,982  

Methanex Corp.

     

5.13%, 10/15/27 (Call 04/15/27)

    USD       683       658,862  

5.25%, 12/15/29 (Call 09/15/29)(g)

    USD       327       312,355  

Monitchem HoldCo 3 SA, 8.75%, 05/01/28 (Call 05/01/25)(c)

    EUR       500       560,397  

Nobian Finance BV, 3.63%, 07/15/26 (Call 01/29/24)(c)

    EUR       1,239       1,279,536  

Olin Corp.

     

5.00%, 02/01/30 (Call 02/01/24)

    USD       648       611,024  

5.13%, 09/15/27 (Call 03/15/24)

    USD       500       485,001  

Olympus Water U.S. Holding Corp.

     

9.63%, 11/15/28 (Call 06/01/25)(c)

    EUR       1,959       2,283,660  

9.75%, 11/15/28 (Call 06/01/25)(a)

    USD       1,500       1,586,962  

SCIL IV LLC/SCIL USA Holdings LLC

     

4.38%, 11/01/26 (Call 01/29/24)(c)

    EUR       350       369,772  

9.50%, 07/15/28 (Call 07/15/25)(c)

    EUR       752       876,889  

Synthomer PLC, 3.88%, 07/01/25 (Call 01/29/24)(c)

    EUR       200       211,817  
     

 

 

 
         15,973,003  
Commercial Services — 2.2%                  

ADT Security Corp. (The), 4.13%, 08/01/29 (Call 08/01/28)(a)

    USD       608       561,053  

Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 07/15/26 (Call 07/15/24)(a)

    USD       1,200       1,182,437  

Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl

     

4.63%, 06/01/28 (Call 06/01/24)(a)

    USD       1,548       1,394,245  

4.88%, 06/01/28 (Call 06/01/24)(c)

    GBP       2,372       2,642,895  

ASTM SpA, 1.50%, 01/25/30
(Call 10/25/29)(c)

    EUR       697       648,471  

Avis Budget Car Rental LLC/Avis Budget Finance Inc.

     

4.75%, 04/01/28 (Call 04/01/24)(a)(g)

    USD       100       92,129  

5.38%, 03/01/29 (Call 03/01/24)(a)(g)

    USD       400       370,345  

8.00%, 02/15/31 (Call 11/15/26)(a)

    USD       925       923,057  

BCP V Modular Services Finance II PLC

     

4.75%, 11/30/28 (Call 11/30/24)(c)

    EUR       100       100,100  

6.13%, 11/30/28 (Call 11/30/24)(c)

    GBP       400       460,365  

Block Inc.

     

2.75%, 06/01/26 (Call 05/01/26)

    USD       1,000       936,003  

3.50%, 06/01/31 (Call 03/01/31)

    USD       400       344,589  

Boels Topholding BV, 6.25%, 02/15/29 (Call 09/15/25)(c)

    EUR       900       1,013,967  
Security          Par
(000)
    Value  
Commercial Services (continued)                  

Cofiroute SA, 1.00%, 05/19/31(c)

    EUR       600     $ 559,288  

EC Finance PLC, 3.00%, 10/15/26 (Call 01/08/24)(c)

    EUR       200       209,552  

Gartner Inc.

     

3.63%, 06/15/29 (Call 06/15/24)(a)

    USD       397       360,861  

4.50%, 07/01/28 (Call 07/01/24)(a)

    USD       400       381,727  

Global Payments Inc.

     

2.90%, 11/15/31 (Call 08/15/31)

    USD       220       187,510  

3.20%, 08/15/29 (Call 05/15/29)

    USD       1,212       1,096,975  

4.88%, 03/17/31 (Call 01/17/31)

    EUR       500       567,894  

Hertz Corp. (The)

     

4.63%, 12/01/26 (Call 12/01/24)(a)

    USD       318       286,003  

5.00%, 12/01/29 (Call 12/01/24)(a)(g)

    USD       1,788       1,413,024  

Loxam SAS

     

6.38%, 05/15/28(c)

    EUR       900       1,004,836  

6.38%, 05/31/29 (Call 12/15/25)(c)

    EUR       1,107       1,228,756  

Moody’s Corp., 0.95%, 02/25/30 (Call 11/25/29)

    EUR       597       567,047  

Motability Operations Group PLC, 3.88%, 01/24/34(c)

    EUR       1,940       2,135,382  

Mundys SpA, 1.88%, 02/12/28 (Call
11/12/27)(c)

    EUR       200       195,056  

Nexi SpA, 2.13%, 04/30/29 (Call 01/30/29)(c)

    EUR       400       381,574  

Prime Security Services Borrower LLC/Prime Finance Inc.

     

3.38%, 08/31/27 (Call 08/31/26)(a)

    USD       440       405,306  

5.75%, 04/15/26(a)

    USD       958       957,551  

6.25%, 01/15/28 (Call 01/15/25)(a)(g)

    USD       417       413,243  

Q-Park Holding I BV

     

5.13%, 03/01/29(c)

    EUR       215       232,903  

5.98%, 03/01/26 (Call 01/29/24), (3-mo. EURIBOR + 2.000%)(b)(c)

    EUR       200       215,990  

Rekeep SpA, 7.25%, 02/01/26 (Call
01/08/24)(c)

    EUR       400       401,264  

Service Corp. International/U.S.

     

3.38%, 08/15/30 (Call 08/15/25)

    USD       206       179,632  

4.00%, 05/15/31 (Call 05/15/26)

    USD       500       445,055  

4.63%, 12/15/27 (Call 12/15/24)

    USD       516       500,649  

Techem Verwaltungsgesellschaft 675 mbH, 2.00%, 07/15/25 (Call 01/29/24)(c)

    EUR       770       811,392  

United Rentals North America Inc.

     

3.75%, 01/15/32 (Call 07/15/26)

    USD       501       439,984  

3.88%, 02/15/31 (Call 08/15/25)

    USD       611       551,107  

4.88%, 01/15/28 (Call 01/15/25)

    USD       640       624,631  

5.50%, 05/15/27 (Call 05/15/24)

    USD       700       698,204  

Verisure Holding AB

     

7.13%, 02/01/28 (Call 02/01/25)(c)

    EUR       375       424,519  

9.25%, 10/15/27 (Call 10/15/24)(c)

    EUR       500       579,525  
     

 

 

 
         29,126,096  
Computers — 0.4%                  

Dell International LLC/EMC Corp., 4.00%, 07/15/24 (Call 06/15/24)

    USD       75       74,436  

NCR Voyix Corp., 5.00%, 10/01/28 (Call 01/29/24)(a)

    USD       1,383       1,303,848  

Seagate HDD Cayman

     

4.09%, 06/01/29 (Call 03/01/29)

    USD       138       127,187  

8.25%, 12/15/29 (Call 05/30/26)(a)

    USD       775       834,428  

9.63%, 12/01/32 (Call 12/01/27)

    USD       506       581,308  

Teleperformance SE, 5.75%, 11/22/31(c)

    EUR       100       116,697  

 

 

32  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Computers (continued)                  

Western Digital Corp.

     

2.85%, 02/01/29 (Call 12/01/28)

    USD       1,775     $ 1,517,780  

4.75%, 02/15/26 (Call 11/15/25)

    USD       229       222,756  
     

 

 

 
         4,778,440  
Cosmetics & Personal Care — 0.2%                  

Coty Inc., 5.00%, 04/15/26 (Call 04/15/24)(a)

    USD       478       469,625  

Coty Inc./HFC Prestige Products Inc./HFC Prestige International U.S. LLC

     

4.75%, 01/15/29 (Call 01/15/25)(a)

    USD       100       95,320  

6.63%, 07/15/30 (Call 07/16/26)(a)

    USD       400       407,428  

Edgewell Personal Care Co.

     

4.13%, 04/01/29 (Call 04/01/24)(a)

    USD       700       630,917  

5.50%, 06/01/28 (Call 06/01/24)(a)

    USD       236       231,002  

Unilever Finance Netherlands BV, 1.63%, 02/12/33(c)

 

 

EUR

 

 

 

200

 

 

 

192,128

 

     

 

 

 
        2,026,420  
Distribution & Wholesale — 0.3%                  

Azelis Finance NV, 5.75%, 03/15/28
(Call 03/15/25)(c)

 

 

EUR

 

 

 

200

 

 

 

222,624

 

H&E Equipment Services Inc., 3.88%, 12/15/28 (Call 12/15/24)(a)

 

 

USD

 

 

 

857

 

 

 

778,149

 

IMCD NV

     

2.13%, 03/31/27 (Call 12/31/26)(c)

    EUR       272       280,266  

4.88%, 09/18/28(c)

    EUR       2,376       2,696,696  
     

 

 

 
        3,977,735  
Diversified Financial Services — 0.7%                  

American Express Co., 6.49%, 10/30/31
(Call 10/30/30), (1-day SOFR + 1.940%)(b)

 

 

USD

 

 

 

55

 

 

 

59,585

 

Charles Schwab Corp. (The)

     

5.64%, 05/19/29 (Call 05/19/28), (1-day SOFR + 2.210%)(b)

 

 

USD

 

 

 

25

 

 

 

25,579

 

5.85%, 05/19/34 (Call 05/19/33), (1-day SOFR + 2.500%)(b)

 

 

USD

 

 

 

75

 

 

 

77,692

 

6.14%, 08/24/34 (Call 08/24/33), (1-day SOFR + 2.010%)

 

 

USD

 

 

 

65

 

 

 

68,696

 

Encore Capital Group Inc., 4.25%, 06/01/28 (Call 06/01/24)(c)

 

 

GBP

 

 

 

1,000

 

 

 

1,096,215

 

Intercontinental Exchange Inc., 1.85%, 09/15/32 (Call 06/15/32)

 

 

USD

 

 

 

220

 

 

 

173,959

 

Intrum AB

     

3.00%, 09/15/27 (Call 01/08/24)(c)

    EUR       334       247,336  

3.50%, 07/15/26 (Call 01/08/24)(c)

    EUR       100       81,052  

LPL Holdings Inc., 4.63%, 11/15/27 (Call 11/15/24)(a)

    USD       818       787,665  

Nasdaq Inc.

     

5.35%, 06/28/28 (Call 05/28/28)

    USD       64       65,634  

5.55%, 02/15/34 (Call 11/15/33)

    USD       853       884,506  

Nationstar Mortgage Holdings Inc.

     

5.13%, 12/15/30 (Call 12/15/25)(a)

    USD       1,127       1,012,964  

6.00%, 01/15/27 (Call 01/15/25)(a)

    USD       621       608,904  

PennyMac Financial Services Inc.

     

4.25%, 02/15/29 (Call 02/15/24)(a)

    USD       105       95,184  

5.38%, 10/15/25 (Call 10/15/24)(a)

    USD       405       399,414  

5.75%, 09/15/31 (Call 09/15/26)(a)

    USD       217       200,982  

7.88%, 12/15/29 (Call 12/15/26)(a)

    USD       700       720,966  

Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc.

     

2.88%, 10/15/26 (Call 10/15/24)(a)

    USD       743       681,754  

3.63%, 03/01/29 (Call 03/09/24)(a)

    USD       600       533,314  

3.88%, 03/01/31 (Call 03/01/26)(a)

    USD       644       562,734  
Security          Par
(000)
    Value  
Diversified Financial Services (continued)        

4.00%, 10/15/33 (Call 10/15/27)(a)

    USD       200     $ 169,762  

United Wholesale Mortgage LLC

     

5.50%, 11/15/25 (Call 11/15/24)(a)

    USD       300       296,290  

5.50%, 04/15/29 (Call 03/30/24)(a)

    USD       425       401,348  

5.75%, 06/15/27 (Call 06/15/24)(a)

    USD       517       507,318  
     

 

 

 
         9,758,853  
Electric — 4.2%                  

Baltimore Gas & Electric Co., 2.25%, 06/15/31 (Call 03/15/31)

 

 

USD

 

 

 

380

 

 

 

323,292

 

Calpine Corp.

     

3.75%, 03/01/31 (Call 03/01/26)(a)

    USD       300       260,612  

4.50%, 02/15/28 (Call 02/15/24)(a)

    USD       806       766,480  

4.63%, 02/01/29 (Call 02/01/24)(a)

    USD       600       554,720  

5.00%, 02/01/31 (Call 02/01/26)(a)

    USD       197       178,721  

5.13%, 03/15/28 (Call 03/15/24)(a)

    USD       129       123,094  

5.25%, 06/01/26 (Call 06/01/24)(a)

    USD       300       295,071  

CenterPoint Energy Houston Electric LLC, 5.20%, 10/01/28 (Call 09/01/28)

    USD       407       417,374  

Coentreprise de Transport d’Electricite SA, 3.75%, 01/17/36(c)

    EUR       1,500       1,634,434  

Consumers Energy Co.

     

4.63%, 05/15/33 (Call 11/15/32)

    USD       60       59,368  

4.65%, 03/01/28 (Call 01/01/28)

    USD       155       155,852  

4.90%, 02/15/29 (Call 12/15/28)

    USD       91       92,485  

Duke Energy Corp.

     

3.10%, 06/15/28 (Call 03/15/28)

    EUR       3,950       4,214,305  

3.85%, 06/15/34 (Call 03/15/34)

    EUR       1,340       1,413,861  

E.ON SE

     

0.35%, 02/28/30 (Call 11/28/29)(c)

    EUR       400       365,456  

1.63%, 03/29/31 (Call 12/29/30)(c)

    EUR       310       301,731  

3.75%, 01/15/36(c)

    EUR       320       349,042  

EDP - Energias de Portugal SA

     

1.70%, 07/20/80 (Call 04/20/25)(b)(c)

    EUR       100       103,206  

1.88%, 08/02/81 (Call 05/02/26)(b)(c)

    EUR       500       504,552  

5.94%, 04/23/83 (Call 01/23/28)(b)(c)

    EUR       300       337,178  

EDP Servicios Financieros Espana SA

     

3.50%, 07/16/30(c)

    EUR       3,800       4,127,810  

4.38%, 04/04/32(c)

    EUR       200       230,169  

Electricite de France SA

     

2.88%, (Call 12/15/26)(b)(c)(h)

    EUR       200       202,069  

3.38%, (Call 06/15/30)(b)(c)(h)

    EUR       2,400       2,301,891  

4.25%, 01/25/32 (Call 10/25/31)(c)

    EUR       1,000       1,121,043  

5.38%, 01/29/49 (Call
01/29/25)(b)(c)(h)

    EUR       100       107,746  

5.88%, 07/22/49 (Call
01/22/29)(b)(c)(h)

    GBP       300       354,679  

6.00%, (Call 01/29/26)(b)(c)(h)

    GBP       2,200       2,718,967  

Elia Transmission Belgium SA

     

3.25%, 04/04/28(c)

    EUR       200       216,516  

3.75%, 01/16/36(c)

    EUR       700       765,692  

EnBW Energie Baden-Wuerttemberg AG, 5.25%, 01/23/84(b)(c)

    EUR       700       768,322  

EnBW International Finance BV

     

3.85%, 05/23/30(c)

    EUR       970       1,078,235  

4.30%, 05/23/34(c)

    EUR       500       569,421  

Enel Finance International NV

     

0.38%, 05/28/29 (Call 02/27/29)(c)

    EUR       2,000       1,858,147  

3.38%, 07/23/28(c)

    EUR       600       652,322  

Energias De Portugal SA, 1.88%, 03/14/82 (Call 06/14/29)(b)(c)

 

 

EUR

 

 

 

1,400

 

 

 

1,278,505

 

Engie SA

     

0.38%, 10/26/29 (Call 07/26/29)(c)

    EUR       700       644,646  

3.50%, 09/27/29(c)

    EUR       700       764,495  

 

 

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

  33


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Electric (continued)                  

3.88%, 01/06/31(c)

    EUR       200     $ 221,868  

4.50%, 09/06/42(c)

    EUR       1,000       1,145,836  

Eurogrid GmbH

     

3.72%, 04/27/30(c)

    EUR       1,800       1,980,007  

3.92%, 02/01/34(c)

    EUR       2,400       2,651,753  

Eversource Energy

     

4.60%, 07/01/27 (Call 06/01/27)

    USD       84       83,133  

5.45%, 03/01/28 (Call 02/01/28)

    USD       80       81,448  

FirstEnergy Corp.

     

2.65%, 03/01/30 (Call 12/01/29)

    USD       265       230,253  

Series B, 2.25%, 09/01/30 (Call 06/01/30)

    USD       100       83,511  

Series B, 4.15%, 07/15/27 (Call 04/15/27)

    USD       872       837,352  

Iren SpA, 3.88%, 07/22/32(c)

    EUR       1,370       1,500,532  

National Grid PLC, 0.55%, 09/18/29 (Call 06/18/29)(c)

    EUR       2,000       1,842,905  

Naturgy Finance BV, 2.37%, (Call
11/23/26)(b)(c)(h)

    EUR       1,400        1,402,487  

NRG Energy Inc.

     

3.38%, 02/15/29 (Call 02/15/24)(a)

    USD       807       711,891  

3.63%, 02/15/31 (Call 02/15/26)(a)

    USD       718       615,859  

3.88%, 02/15/32 (Call 02/15/27)(a)

    USD       200       171,512  

5.25%, 06/15/29 (Call 06/15/24)(a)

    USD       100       95,886  

5.75%, 01/15/28 (Call 01/15/25)

    USD       104       102,892  

Ohio Power Co.

     

Series P, 2.60%, 04/01/30 (Call 01/01/30)

    USD       185       162,154  

Series Q, 1.63%, 01/15/31 (Call 10/15/30)

    USD       898       729,171  

Oncor Electric Delivery Co. LLC

     

2.75%, 05/15/30 (Call 02/15/30)

    USD       377       337,529  

5.65%, 11/15/33 (Call 08/15/33)

    USD       167       176,926  

5.75%, 03/15/29 (Call 12/15/28)

    USD       429       451,743  

Origin Energy Finance Ltd., 1.00%, 09/17/29 (Call 06/17/29)(c)

    EUR       100       93,992  

Pacific Gas and Electric Co.

     

2.50%, 02/01/31 (Call 11/01/30)

    USD       1,222       1,014,250  

3.25%, 06/01/31 (Call 03/01/31)

    USD       320       277,914  

PECO Energy Co., 4.90%, 06/15/33 (Call 03/15/33)

    USD       606       611,422  

PG&E Corp.

     

5.00%, 07/01/28 (Call 07/01/24)(g)

    USD       704       680,285  

5.25%, 07/01/30 (Call 06/15/25)

    USD       400       381,956  

RTE Reseau de Transport d’Electricite SADIR, 3.50%, 12/07/31(c)

    EUR       1,700       1,878,365  

Southern California Edison Co., 2.75%, 02/01/32 (Call 11/01/31)

    USD       266       228,542  

Southern Co. (The), 1.88%, 09/15/81 (Call 06/15/27)(b)

    EUR       439       413,108  

Terna - Rete Elettrica Nazionale, 3.50%, 01/17/31(c)

    EUR       750       816,267  

Vistra Operations Co. LLC

     

4.38%, 05/01/29 (Call 05/01/24)(a)

    USD       117       107,430  

5.00%, 07/31/27 (Call 07/31/24)(a)

    USD       117       113,349  

5.50%, 09/01/26 (Call 01/09/24)(a)

    USD       300       297,254  

5.63%, 02/15/27 (Call 02/15/24)(a)

    USD       266       262,026  

7.75%, 10/15/31 (Call 10/15/26)(a)

    USD       1,846       1,917,616  
     

 

 

 
        56,921,933  
Electrical Components & Equipment — 0.1%              

Belden Inc.

     

3.38%, 07/15/27 (Call 01/29/24)(c)

    EUR       100       104,349  

3.38%, 07/15/31 (Call 07/15/26)(c)

    EUR       538       524,696  

Energizer Holdings Inc.

     

4.38%, 03/31/29 (Call 09/30/24)(a)

    USD       1,004       908,831  
Security          Par
(000)
    Value  
Electrical Components & Equipment (continued)        

4.75%, 06/15/28 (Call 07/01/24)(a)

    USD       100     $ 93,050  

RTE Reseau de Transport d’Electricite SADIR, 3.75%, 07/04/35(c)

    EUR       100       111,500  
     

 

 

 
        1,742,426  
Electronics — 0.3%                  

Honeywell International Inc., 3.75%, 05/17/32 (Call 02/17/32)

    EUR       2,362       2,633,557  

Sensata Technologies BV

     

4.00%, 04/15/29 (Call 03/18/24)(a)

    USD       416       380,874  

5.00%, 10/01/25(a)

    USD       500       497,737  

Sensata Technologies Inc., 4.38%, 02/15/30 (Call 11/15/29)(a)

    USD       400       368,578  
     

 

 

 
        3,880,746  
Engineering & Construction — 0.9%                  

ABB Finance BV, 3.38%, 01/15/34(c)

    EUR       916       994,237  

Abertis Infraestructuras Finance BV

     

2.63%, (Call 01/26/27)(b)(c)(h)

    EUR       1,400       1,401,549  

3.25%, (Call 11/24/25)(b)(c)(h)

    EUR       900       938,588  

Azzurra Aeroporti SpA

     

2.13%, 05/30/24 (Call 02/29/24)(c)

    EUR       100       107,097  

2.63%, 05/30/27 (Call 02/28/27)(c)

    EUR       1,284       1,301,331  

Cellnex Finance Co. SA

     

1.25%, 01/15/29 (Call 10/15/28)(c)

    EUR       100       97,118  

2.00%, 09/15/32 (Call 06/15/32)(c)

    EUR       1,400       1,312,538  

2.00%, 02/15/33 (Call 11/15/32)(c)

    EUR       2,300       2,136,442  

Cellnex Telecom SA, 1.75%, 10/23/30 (Call 07/23/30)(c)

    EUR       100       95,613  

Gatwick Airport Finance PLC, 4.38%, 04/07/26 (Call 01/08/24)(c)

    GBP       100       121,851  

Heathrow Finance PLC

     

3.88%, 03/01/27(c)(e)

    GBP       500       596,579  

4.13%, 09/01/29(c)(e)

    GBP       1,180       1,363,779  

5.75%, 03/03/25(c)

    GBP       100       126,416  

Infrastrutture Wireless Italiane SpA

     

1.63%, 10/21/28 (Call 07/21/28)(c)

    EUR       100       99,847  

1.75%, 04/19/31 (Call 01/19/31)(c)

    EUR       1,100       1,057,972  
     

 

 

 
         11,750,957  
Entertainment — 1.7%                  

Allwyn Entertainment Financing U.K. PLC, 7.25%, 04/30/30 (Call 04/30/26)(c)

    EUR       1,459       1,649,666  

Banijay Entertainment SASU, 7.00%, 05/01/29 (Call 11/01/25)(c)

    EUR       1,124       1,277,593  

Caesars Entertainment Inc.

     

4.63%, 10/15/29 (Call 10/15/24)(a)(g)

    USD       900       822,706  

6.25%, 07/01/25 (Call 07/01/24)(a)

    USD       345       346,178  

7.00%, 02/15/30 (Call 02/15/26)(a)

    USD       817       839,589  

8.13%, 07/01/27 (Call 07/01/24)(a)(g)

    USD       1,036       1,063,191  

Cedar Fair LP/Canada’s Wonderland

     

Co./Magnum Management Corp./Millennium

     

Op, 6.50%, 10/01/28 (Call 10/01/24)(g)

    USD       97       96,518  

Churchill Downs Inc.

     

4.75%, 01/15/28 (Call 01/15/25)(a)

    USD       300       285,731  

5.50%, 04/01/27 (Call 04/01/24)(a)

    USD       200       197,581  

5.75%, 04/01/30 (Call 04/01/25)(a)

    USD       131       126,733  

6.75%, 05/01/31(a)

    USD       917       927,431  

Cirsa Finance International Sarl, 10.38%, 11/30/27 (Call 11/09/24)(c)

    EUR       300       348,526  

 

 

34  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Entertainment (continued)                  

Cirsa Finance International SARL

     

6.50%, 03/15/29(c)

    EUR       419     $ 452,813  

8.41%, 07/31/28, (3-mo. EURIBOR + 4.500%)(b)(c)

    EUR       216       236,349  

CPUK Finance Ltd.

     

4.88%, 02/28/47 (Call 01/29/24)(c)

    GBP       100       123,171  

6.50%, 08/28/26 (Call 01/29/24)(c)

    GBP       700       866,041  

Inter Media & Communication SpA, 6.75%, 02/09/27 (Call 02/09/24)(c)

    EUR       1,597        1,667,630  

International Game Technology PLC

     

4.13%, 04/15/26 (Call 04/15/24)(a)

    USD       700       677,957  

5.25%, 01/15/29 (Call 01/15/25)(a)

    USD       225       219,579  

6.25%, 01/15/27 (Call 07/15/26)(a)

    USD       700       704,138  

Light & Wonder International Inc.

     

7.00%, 05/15/28 (Call 05/15/24)(a)

    USD       615       614,274  

7.25%, 11/15/29 (Call 11/15/24)(a)

    USD       100       102,689  

7.50%, 09/01/31 (Call 09/01/26)(a)(g)

    USD       401       417,261  

Live Nation Entertainment Inc.

     

3.75%, 01/15/28 (Call 01/29/24)(a)

    USD       331       305,761  

4.75%, 10/15/27 (Call 10/15/24)(a)(g)

    USD       497       473,427  

6.50%, 05/15/27 (Call 05/15/24)(a)

    USD       501       506,145  

Lottomatica SpA, 9.75%, 09/30/27 (Call 09/30/24)(c)

    EUR       100       116,310  

Lottomatica SpA/Roma

     

7.93%, 12/15/30 (Call 12/15/24), (3-mo. EURIBOR + 4.000%)(b)(c)

    EUR       542       593,501  

8.10%, 06/01/28 (Call 06/01/24), (3-mo. EURIBOR + 4.125%)(b)(c)

    EUR       100       108,978  

Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29 (Call 05/01/24)(a)

    USD       521       480,649  

Motion Finco Sarl, 7.38%, 06/15/30 (Call 06/15/26)(c)

    EUR       838       934,933  

Pinewood Finance Co. Ltd.

     

3.25%, 09/30/25 (Call 01/29/24)(c)

    GBP       100       123,592  

3.63%, 11/15/27 (Call 01/29/24)(c)

    GBP       247       288,554  

Premier Entertainment Sub LLC/Premier Entertainment Finance Corp.

     

5.63%, 09/01/29 (Call 09/01/24)(a)

    USD       300       224,976  

5.88%, 09/01/31 (Call 09/01/26)(a)

    USD       1,989       1,444,849  

SeaWorld Parks & Entertainment Inc., 5.25%,
08/15/29 (Call 08/15/24)(a)

    USD       429       399,536  

Six Flags Entertainment Corp.

     

5.50%, 04/15/27 (Call 04/15/24)(a)

    USD       197       195,997  

7.25%, 05/15/31 (Call 05/03/26)(a)(g)

    USD       800       816,000  

WMG Acquisition Corp.

     

3.00%, 02/15/31 (Call 02/15/26)(a)

    USD       373       316,118  

3.88%, 07/15/30 (Call 07/15/25)(a)

    USD       619       551,684  

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp.

     

5.13%, 10/01/29 (Call 07/01/29)(a)

    USD       100       94,471  

7.13%, 02/15/31 (Call 11/15/30)(a)(g)

    USD       803       828,077  
     

 

 

 
        22,866,903  
Environmental Control — 0.4%                  

Clean Harbors Inc.

     

4.88%, 07/15/27 (Call 07/15/24)(a)

    USD       600       580,583  

6.38%, 02/01/31 (Call 02/01/26)(a)

    USD       200       202,612  

Covanta Holding Corp., 4.88%, 12/01/29 (Call 12/01/24)(a)

    USD       1,100       950,060  

GFL Environmental Inc.

     

3.50%, 09/01/28 (Call 03/01/28)(a)

    USD       100       90,520  
Security         

Par

(000)

    Value  
Environmental Control (continued)                  

3.75%, 08/01/25 (Call 08/01/24)(a)(g)

    USD       132     $ 128,384  

4.00%, 08/01/28 (Call 08/01/24)(a)

    USD       317       290,772  

4.25%, 06/01/25 (Call 06/01/24)(a)

    USD       400       392,980  

4.38%, 08/15/29 (Call 08/15/24)(a)

    USD       200       183,425  

4.75%, 06/15/29 (Call 06/15/24)(a)

    USD       200       187,749  

5.13%, 12/15/26 (Call 12/15/24)(a)

    USD       200       195,266  

6.75%, 01/15/31 (Call 01/15/27)(a)

    USD       700       715,945  

Paprec Holding SA

     

3.50%, 07/01/28 (Call 07/01/24)(c)

    EUR       300       308,000  

7.25%, 11/17/29 (Call 11/17/25)(c)

    EUR       700       808,355  

Republic Services Inc.

     

1.45%, 02/15/31 (Call 11/15/30)

    USD       221       178,067  

1.75%, 02/15/32 (Call 11/15/31)

    USD       175       140,506  

3.95%, 05/15/28 (Call 02/15/28)

    USD       150       146,884  

4.88%, 04/01/29 (Call 03/01/29)

    USD       56       56,704  
     

 

 

 
         5,556,812  
Food — 1.6%                  

Albertsons Companies Inc./Safeway Inc./New Albertsons LP/Albertsons LLC

     

3.25%, 03/15/26 (Call 09/15/24)(a)

    USD       97       92,139  

3.50%, 03/15/29 (Call 09/15/24)(a)

    USD       400       361,402  

4.63%, 01/15/27 (Call 01/15/25)(a)

    USD       103       99,916  

4.88%, 02/15/30 (Call 02/15/25)(a)(g)

    USD       100       95,574  

5.88%, 02/15/28 (Call 08/15/24)(a)

    USD       300       299,633  

6.50%, 02/15/28 (Call 02/15/25)(a)(g)

    USD       600       606,513  

7.50%, 03/15/26 (Call 03/15/24)(a)

    USD       800       815,142  

Bellis Acquisition Co. PLC

     

3.25%, 02/16/26 (Call 01/29/24)(c)

    GBP       400       479,039  

4.50%, 02/16/26 (Call 02/24/24)(c)

    GBP       3,600       4,355,628  

Burger King France SAS, 8.65%, 11/01/26 (Call 01/08/24)(b)(c)

    EUR       100       108,748  

Food Service Project SA, 5.50%, 01/21/27 (Call 01/29/24)(c)

    EUR       900       975,957  

General Mills Inc.

     

2.25%, 10/14/31 (Call 07/14/31)

    USD       1,062       884,005  

4.95%, 03/29/33 (Call 12/29/32)(g)

    USD       253       253,251  

Lamb Weston Holdings Inc.

     

4.13%, 01/31/30 (Call 01/31/25)(a)

    USD       410       374,135  

4.38%, 01/31/32 (Call 01/31/27)(a)

    USD       200       179,484  

4.88%, 05/15/28 (Call 11/15/27)(a)

    USD       500       486,598  

Lion/Polaris Lux 4 SA, 7.93%, 07/01/26 (Call 01/29/24), (3-mo. EURIBOR + 4.000%)(b)(c)

    EUR       500       540,824  

Market Bidco Finco PLC

     

4.75%, 11/04/27 (Call 11/04/24)(c)

    EUR       300       305,973  

5.50%, 11/04/27 (Call 11/04/24)(c)

    GBP       800       930,198  

Nestle Finance International Ltd.

     

1.25%, 11/02/29 (Call 08/02/29)(c)

    EUR       460       456,472  

3.25%, 01/23/37(c)

    EUR       1,115       1,203,356  

3.38%, 11/15/34(c)

    EUR       200       223,062  

Performance Food Group Inc.

     

4.25%, 08/01/29 (Call 08/01/24)(a)

    USD       520       476,494  

5.50%, 10/15/27 (Call 10/15/24)(a)

    USD       400       390,120  

Picard Groupe SAS, 3.88%, 07/01/26 (Call 02/12/24)(c)

    EUR       400       418,231  

Pilgrim’s Pride Corp.

     

3.50%, 03/01/32 (Call 09/01/26)

    USD       160       135,010  

4.25%, 04/15/31 (Call 04/15/26)

    USD       1,015       914,027  

6.25%, 07/01/33 (Call 04/01/33)

    USD       308       314,416  

6.88%, 05/15/34 (Call 02/15/34)

    USD       800       852,627  

 

 

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

  35


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Food (continued)                  

Post Holdings Inc.

     

4.50%, 09/15/31 (Call 09/15/26)(a)

    USD       1,105     $ 992,562  

4.63%, 04/15/30 (Call 04/15/25)(a)

    USD       252       231,751  

5.50%, 12/15/29 (Call 12/15/24)(a)

    USD       97       93,761  

5.63%, 01/15/28 (Call 12/01/24)(a)

    USD       500       492,051  

5.75%, 03/01/27 (Call 03/01/24)(a)

    USD       415       412,990  

Premier Foods Finance PLC, 3.50%, 10/15/26 (Call 01/29/24)(c)

    GBP       757       909,545  

U.S. Foods Inc.

     

4.63%, 06/01/30 (Call 06/01/25)(a)

    USD       100       93,208  

4.75%, 02/15/29 (Call 02/15/24)(a)

    USD       100       94,877  

7.25%, 01/15/32 (Call 09/15/26)(a)

    USD       1,000       1,047,500  
     

 

 

 
         21,996,219  
Food Service — 0.1%                  

Aramark Services Inc., 5.00%, 02/01/28 (Call 02/01/24)(a)

    USD       868       838,774  

Elior Group SA, 3.75%, 07/15/26 (Call 01/29/24)(c)

    EUR       962       970,976  
     

 

 

 
        1,809,750  
Forest Products & Paper — 0.2%                  

Ahlstrom Holding 3 OY

     

3.63%, 02/04/28 (Call 02/04/24)(c)

    EUR       300       299,830  

4.88%, 02/04/28 (Call 02/04/24)(a)

    USD       1,411       1,265,139  

Mercer International Inc., 5.13%, 02/01/29 (Call 02/01/24)(g)

    USD       1,460       1,253,442  
     

 

 

 
        2,818,411  
Gas — 0.4%                  

AmeriGas Partners LP/AmeriGas Finance Corp.

     

5.50%, 05/20/25 (Call 02/20/25)

    USD       100       98,223  

5.75%, 05/20/27 (Call 02/20/27)

    USD       131       125,308  

9.38%, 06/01/28 (Call 06/01/25)(a)

    USD       1,300       1,336,543  

FLUVIUS System Operator CVBA, 3.88%, 03/18/31(c)

    EUR       400       444,963  

National Grid North America Inc., 4.67%, 09/12/33 (Call 06/12/33)(c)

    EUR       1,750       2,002,032  

NiSource Inc., 5.40%, 06/30/33 (Call 03/30/33)

    USD       336       344,451  

UGI International LLC, 2.50%, 12/01/29 (Call 12/01/24)(c)

    EUR       1,100       1,049,197  
     

 

 

 
        5,400,717  
Hand & Machine Tools — 0.0%                  

IMA Industria Macchine Automatiche SpA, 3.75%, 01/15/28 (Call 01/08/24)(c)

    EUR       200       207,672  
     

 

 

 
Health Care - Products — 0.8%                  

Avantor Funding Inc.

     

3.88%, 11/01/29 (Call 11/01/24)(a)(g)

    USD       541       491,061  

4.63%, 07/15/28 (Call 07/15/24)(a)

    USD       1,177       1,120,552  

Bausch & Lomb Escrow Corp., 8.38%, 10/01/28 (Call 10/01/25)(a)(g)

    USD       1,328       1,377,893  

Becton Dickinson Euro Finance Sarl, 3.55%, 09/13/29 (Call 06/13/29)

    EUR       400       438,377  

DH Europe Finance II Sarl, 0.75%, 09/18/31

    EUR       200       181,556  

HCA Inc., 3.63%, 03/15/32 (Call 12/15/31)

    USD       864       770,177  

Hologic Inc.

     

3.25%, 02/15/29 (Call 09/28/24)(a)

    USD       1,100       989,106  

4.63%, 02/01/28 (Call 02/01/24)(a)

    USD       229       220,984  

Medline Borrower LP

     

3.88%, 04/01/29 (Call 10/01/24)(a)

    USD       2,225       2,014,523  

5.25%, 10/01/29 (Call 10/01/24)(a)

    USD       1,300       1,212,132  
Security         

Par

(000)

    Value  
Health Care - Products (continued)                  

Sartorius Finance BV

     

4.38%, 09/14/29(c)

    EUR       900     $ 1,009,594  

4.88%, 09/14/35(c)

    EUR       500       579,358  

Thermo Fisher Scientific Finance I BV, 0.80%, 10/18/30 (Call 07/18/30)

    EUR       640       596,062  

Thermo Fisher Scientific Inc., 5.09%, 08/10/33 (Call 05/10/33)

    USD       55       56,851  
     

 

 

 
         11,058,226  
Health Care - Services — 1.6%                  

Catalent Pharma Solutions Inc.

     

2.38%, 03/01/28 (Call 01/29/24)(c)

    EUR       1,249       1,197,943  

3.13%, 02/15/29 (Call 02/15/24)(a)

    USD       600       527,553  

3.50%, 04/01/30 (Call 04/01/25)(a)

    USD       200       175,762  

5.00%, 07/15/27 (Call 07/15/24)(a)(g)

    USD       900       865,902  

Charles River Laboratories International Inc.

     

3.75%, 03/15/29 (Call 03/15/24)(a)

    USD       100       90,947  

4.00%, 03/15/31 (Call 03/15/26)(a)

    USD       500       444,365  

4.25%, 05/01/28 (Call 05/01/24)(a)

    USD       800       755,752  

CHS/Community Health Systems Inc., 8.00%, 03/15/26 (Call 03/15/24)(a)

    USD       166       163,612  

Elevance Health Inc.

     

2.25%, 05/15/30 (Call 02/15/30)

    USD       100       86,326  

2.55%, 03/15/31 (Call 12/15/30)

    USD       615       531,156  

2.88%, 09/15/29 (Call 06/15/29)

    USD       25       22,886  

3.65%, 12/01/27 (Call 09/01/27)

    USD       94       90,594  

4.10%, 03/01/28 (Call 12/01/27)

    USD       41       40,257  

Encompass Health Corp.

     

4.50%, 02/01/28 (Call 02/01/24)

    USD       803       767,024  

4.63%, 04/01/31 (Call 03/30/26)

    USD       500       459,364  

4.75%, 02/01/30 (Call 02/01/25)

    USD       283       265,416  

Ephios Subco 3 Sarl, 7.88%, 01/31/31 (Call 12/15/26)(c)

    EUR       1,198       1,365,288  

Fortrea Holdings Inc., 7.50%, 07/01/30 (Call 07/01/26)(a)(g)

    USD       1,000       1,016,320  

HCA Inc.

     

2.38%, 07/15/31 (Call 04/15/31)

    USD       925       766,610  

3.50%, 09/01/30 (Call 03/01/30)

    USD       1,841       1,670,452  

5.50%, 06/01/33 (Call 03/01/33)

    USD       110       111,687  

IQVIA Inc.

     

5.00%, 10/15/26 (Call 10/15/24)(a)

    USD       900       880,204  

5.00%, 05/15/27 (Call 05/15/24)(a)

    USD       200       195,467  

6.50%, 05/15/30 (Call 05/15/26)(a)

    USD       400       408,028  

Molina Healthcare Inc.

     

3.88%, 11/15/30 (Call 08/17/30)(a)

    USD       312       273,478  

3.88%, 05/15/32 (Call 02/15/32)(a)(g)

    USD       100       85,595  

4.38%, 06/15/28 (Call 01/29/24)(a)

    USD       733       687,098  

Select Medical Corp., 6.25%, 08/15/26 (Call 08/15/24)(a)

    USD       1,298       1,297,653  

Tenet Healthcare Corp.

     

4.25%, 06/01/29 (Call 06/01/24)

    USD       200       185,667  

4.38%, 01/15/30 (Call 12/01/24)

    USD       400       370,128  

4.63%, 06/15/28 (Call 06/15/24)

    USD       300       284,497  

4.88%, 01/01/26 (Call 03/01/24)

    USD       1,418       1,405,389  

6.13%, 10/01/28 (Call 10/01/24)(g)

    USD       1,327       1,322,117  

6.13%, 06/15/30 (Call 06/15/25)

    USD       421       420,843  

6.75%, 05/15/31 (Call 05/16/26)(a)(g)

    USD       1,500       1,534,256  

UnitedHealth Group Inc.

     

2.00%, 05/15/30

    USD       42       36,084  

2.95%, 10/15/27

    USD       138       131,018  

4.20%, 05/15/32 (Call 02/15/32)

    USD       562       544,254  

 

 

36  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Health Care - Services (continued)                  

4.50%, 04/15/33 (Call 01/15/33)

    USD       354     $ 348,618  
     

 

 

 
         21,825,610  
Holding Companies - Diversified — 0.1%                  

Stena International SA, 7.25%, 01/15/31 (Call 01/15/27)(a)

    USD       1,850       1,851,129  
     

 

 

 
Home Builders — 0.2%                  

Ashton Woods USA LLC/Ashton Woods Finance Co., 6.63%, 01/15/28 (Call 01/15/25)(a)

    USD       600       591,150  

Brookfield Residential Properties Inc./Brookfield Residential U.S. LLC

     

4.88%, 02/15/30 (Call 02/15/25)(a)

    USD       500       443,401  

6.25%, 09/15/27 (Call 09/15/24)(a)

    USD       556       539,725  

Taylor Morrison Communities Inc.

     

5.13%, 08/01/30 (Call 02/01/30)(a)

    USD       100       95,244  

5.75%, 01/15/28 (Call 10/15/27)(a)

    USD       300       297,822  

5.88%, 06/15/27 (Call 03/15/27)(a)

    USD       600       594,792  
     

 

 

 
        2,562,134  
Home Furnishings — 0.1%                  

Tempur Sealy International Inc.

     

3.88%, 10/15/31 (Call 10/15/26)(a)

    USD       400       337,540  

4.00%, 04/15/29 (Call 04/15/24)(a)

    USD       707       637,867  
     

 

 

 
        975,407  
Household Products & Wares — 0.0%                  

Spectrum Brands Inc., 3.88%, 03/15/31 (Call 03/15/26)(a)

    USD       322       298,275  
     

 

 

 
Housewares — 0.2%                  

Newell Brands Inc.

     

4.88%, 06/01/25 (Call 05/01/25)

    USD       317       310,986  

5.20%, 04/01/26 (Call 01/01/26)

    USD       1,000       973,469  

6.38%, 09/15/27 (Call 06/15/27)

    USD       400       392,883  

6.63%, 09/15/29 (Call 06/15/29)

    USD       200       193,906  

Robert Bosch GmbH, 2.95%, 07/11/39(c)

    EUR       100       99,188  

Scotts Miracle-Gro Co. (The)

     

4.00%, 04/01/31 (Call 04/01/26)

    USD       200       167,270  

4.38%, 02/01/32 (Call 08/01/26)

    USD       400       333,030  

4.50%, 10/15/29 (Call 10/15/24)(g)

    USD       500       442,450  
     

 

 

 
        2,913,182  
Insurance — 0.4%                  

Aon Corp., 2.80%, 05/15/30 (Call 02/15/30)

    USD       177       157,155  

Aon Corp./Aon Global Holdings PLC, 2.60%, 12/02/31 (Call 09/02/31)(g)

    USD       1,316       1,116,595  

AXA SA, 6.38%,(b)(c)

    EUR       1,250       1,376,204  

Galaxy Bidco Ltd., 6.50%, 07/31/26 (Call 01/29/24)(c)

    GBP       500       619,322  

Liberty Mutual Group Inc., 3.63%, 05/23/59 (Call 05/23/24)(b)(c)

    EUR       1,744       1,849,403  

Progressive Corp. (The)

     

3.00%, 03/15/32 (Call 12/15/31)

    USD       583       518,466  

4.95%, 06/15/33 (Call 03/15/33)

    USD       150       153,342  
     

 

 

 
        5,790,487  
Internet — 1.0%                  

Booking Holdings Inc.

     

0.50%, 03/08/28 (Call 12/08/27)

    EUR       100       97,713  

4.13%, 05/12/33 (Call 02/12/33)

    EUR       300       342,239  

4.50%, 11/15/31 (Call 08/15/31)

    EUR       100       116,701  
Security          Par
(000)
    Value  
Internet (continued)                  

Cerved Group SpA, 9.18%, 02/15/29 (Call 01/29/24), (3-mo. EURIBOR + 5.250%)(b)(c)

    EUR       200     $ 210,036  

Engineering - Ingegneria Informatica - SpA, 11.13%, 05/15/28 (Call 05/15/25)(c)

    EUR       1,425       1,655,498  

Gen Digital Inc.

     

6.75%, 09/30/27 (Call 09/30/24)(a)

    USD       874       887,262  

7.13%, 09/30/30 (Call 09/30/25)(a)(g)

    USD       318       329,890  

Go Daddy Operating Co. LLC/GD Finance Co. Inc.

     

3.50%, 03/01/29 (Call 03/01/24)(a)

    USD       764       691,726  

5.25%, 12/01/27 (Call 06/01/24)(a)

    USD       100       98,180  

iliad SA

     

5.38%, 06/14/27 (Call 03/14/27)(c)

    EUR       200       221,497  

5.38%, 02/15/29 (Call 11/15/28)(c)

    EUR       800       885,483  

5.63%, 02/15/30 (Call 11/15/29)(c)

    EUR       3,400       3,807,342  

Match Group Holdings II LLC

     

3.63%, 10/01/31 (Call 10/01/26)(a)(g)

    USD       100       85,500  

4.13%, 08/01/30 (Call 05/01/25)(a)

    USD       311       279,825  

4.63%, 06/01/28 (Call 06/01/24)(a)

    USD       200       188,264  

5.00%, 12/15/27 (Call 12/15/24)(a)

    USD       300       290,245  

Netflix Inc.

     

4.88%, 04/15/28

    USD       75       75,521  

5.88%, 11/15/28

    USD       385       404,866  

United Group BV

     

3.13%, 02/15/26 (Call 01/29/24)(c)

    EUR       622       646,913  

4.00%, 11/15/27 (Call 01/29/24)(c)

    EUR       100       101,359  

6.75%, 02/15/31(c)

    EUR       569       611,075  

7.25%, 02/15/26 (Call 01/29/24), (3-mo. EURIBOR + 3.250%)(b)(c)

    EUR       200       216,032  

8.15%, 02/15/31, (3-mo. EURIBOR + 4.250%)(b)(c)

    EUR       998       1,073,146  
     

 

 

 
         13,316,313  
Iron & Steel — 0.2%                  

Cleveland-Cliffs Inc.

     

5.88%, 06/01/27 (Call 06/01/24)

    USD       520       516,005  

6.75%, 04/15/30 (Call 04/15/26)(a)(g)

    USD       693       699,073  

Mineral Resources Ltd.

     

8.00%, 11/01/27 (Call 11/01/24)(a)

    USD       400       409,065  

8.13%, 05/01/27 (Call 05/01/24)(a)

    USD       515       520,150  

8.50%, 05/01/30 (Call 05/01/25)(a)

    USD       100       102,881  

9.25%, 10/01/28 (Call 10/01/25)(a)

    USD       800       845,000  
     

 

 

 
        3,092,174  
Leisure Time — 0.5%                  

Carnival Corp.

     

7.63%, 03/01/26 (Call 03/01/24)(c)

    EUR       885       972,201  

9.88%, 08/01/27 (Call 02/01/24)(a)

    USD       229       240,308  

Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28 (Call 05/01/25)(a)

    USD       1,234       1,349,947  

NCL Corp. Ltd.

     

5.88%, 02/15/27 (Call 02/15/24)(a)

    USD       829       816,727  

8.13%, 01/15/29 (Call 01/15/26)(a)

    USD       1,017       1,067,526  

8.38%, 02/01/28 (Call 02/01/25)(a)

    USD       300       314,970  

Pinnacle Bidco PLC, 10.00%, 10/11/28 (Call 10/11/25)(c)

    GBP       800       1,063,772  

TUI Cruises GmbH, 6.50%, 05/15/26 (Call 01/08/24)(c)

    EUR       937       1,002,490  
     

 

 

 
        6,827,941  

 

 

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

  37


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Lodging — 1.3%                  

Accor SA

     

2.63%, (Call 01/30/25)(b)(c)(h)

    EUR       200     $ 211,069  

7.25%, (Call 01/11/29)(b)(c)(h)

    EUR       600       706,778  

Boyd Gaming Corp.

     

4.75%, 12/01/27 (Call 12/01/24)

    USD       617       596,022  

4.75%, 06/15/31 (Call 06/15/26)(a)

    USD       400       367,452  

Hilton Domestic Operating Co. Inc.

     

4.00%, 05/01/31 (Call 05/01/26)(a)

    USD       110       98,869  

5.38%, 05/01/25 (Call 05/01/24)(a)

    USD       1,797       1,790,242  

5.75%, 05/01/28 (Call 05/01/24)(a)

    USD       218       218,266  

Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc

     

4.88%, 07/01/31 (Call 07/01/26)(a)

    USD       400       354,720  

5.00%, 06/01/29 (Call 06/01/24)(a)

    USD       900       831,624  

Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27 (Call 04/01/24)

 

 

USD

 

 

 

200

 

 

 

196,269

 

Las Vegas Sands Corp.

     

2.90%, 06/25/25 (Call 05/25/25)

    USD       1,018       982,971  

3.50%, 08/18/26 (Call 06/18/26)

    USD       500       477,818  

Melco Resorts Finance Ltd.

     

4.88%, 06/06/25 (Call 01/29/24)(a)

    USD       700       682,500  

5.38%, 12/04/29 (Call 12/04/24)(a)

    USD       800       709,000  

5.63%, 07/17/27 (Call 07/17/24)(a)

    USD       500       470,760  

5.75%, 07/21/28 (Call 07/21/24)(a)

    USD       207       192,510  

MGM China Holdings Ltd.

     

4.75%, 02/01/27 (Call 02/01/24)(a)

    USD       700       654,500  

5.25%, 06/18/25 (Call 01/09/24)(a)

    USD       500       486,094  

5.88%, 05/15/26 (Call 05/15/24)(a)

    USD       200       194,368  

MGM Resorts International

     

4.63%, 09/01/26 (Call 06/01/26)

    USD       200       194,327  

4.75%, 10/15/28 (Call 07/15/28)(g)

    USD       303       287,076  

5.50%, 04/15/27 (Call 01/15/27)

    USD       517       508,594  

5.75%, 06/15/25 (Call 03/15/25)

    USD       627       627,217  

Studio City Finance Ltd.

     

5.00%, 01/15/29 (Call 01/15/25)(a)

    USD       700       595,000  

6.00%, 07/15/25 (Call 07/15/24)(a)

    USD       200       195,748  

6.50%, 01/15/28 (Call 07/15/24)(a)

    USD       900       832,500  

Travel + Leisure Co.

     

4.50%, 12/01/29 (Call 09/01/29)(a)

    USD       500       456,197  

6.00%, 04/01/27 (Call 01/01/27)

    USD       202       202,047  

6.63%, 07/31/26 (Call 04/30/26)(a)

    USD       400       403,976  

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.

     

5.25%, 05/15/27 (Call 02/15/27)(a)

    USD       500       488,619  

5.50%, 03/01/25 (Call 12/01/24)(a)

    USD       755       754,047  

Wynn Macau Ltd.

     

5.50%, 01/15/26 (Call 01/29/24)(a)

    USD       1,100       1,062,875  

5.63%, 08/26/28 (Call 08/26/24)(a)

    USD       1,000       925,500  
     

 

 

 
         17,755,555  
Machinery — 0.2%                  

Chart Industries Inc., 7.50%, 01/01/30(Call 01/01/26)(a)

 

 

USD

 

 

 

1,042

 

 

 

1,069,633

 

John Deere Cash Management SARL, 2.20%, 04/02/32(c)

    EUR       270       272,867  

Renk AG/Frankfurt am Main, 5.75%, 07/15/25 (Call 01/08/24)(c)

 

 

EUR

 

 

 

200

 

 

 

215,622

 

TK Elevator Holdco GmbH, 6.63%, 07/15/28 (Call 01/29/24)(c)

 

 

EUR

 

 

 

1,249

 

 

 

1,294,085

 

Security         

Par

(000)

    Value  
Machinery (continued)                  

TK Elevator Midco GmbH, 4.38%, 07/15/27 (Call 01/08/24)(c)

 

 

EUR

 

 

 

400

 

 

$

420,608

 

     

 

 

 
         3,272,815  
Manufacturing — 0.0%                  

INEOS FINANCE PLC, 6.38%, 04/15/29(c)

    EUR       402       434,441  
     

 

 

 
Media — 4.0%                  

Altice Financing SA

     

2.25%, 01/15/25 (Call 01/29/24)(c)

    EUR       200       208,305  

4.25%, 08/15/29 (Call 08/15/24)(c)

    EUR       300       284,005  

5.75%, 08/15/29 (Call 08/15/24)(a)

    USD       1,975       1,721,166  

AMC Networks Inc.

     

4.25%, 02/15/29 (Call 02/15/24)

    USD       1,862       1,432,306  

4.75%, 08/01/25 (Call 01/29/24)

    USD       200       192,705  

CCO Holdings LLC/CCO Holdings Capital Corp.

     

4.25%, 02/01/31 (Call 07/01/25)(a)

    USD       1,001       846,392  

4.25%, 01/15/34 (Call 01/15/28)(a)(g)

    USD       2,600       2,067,266  

4.50%, 08/15/30 (Call 02/15/25)(a)

    USD       1,792       1,558,431  

4.50%, 05/01/32 (Call 05/01/26)

    USD       100       83,426  

4.50%, 06/01/33 (Call 06/01/27)(a)

    USD       100       82,020  

4.75%, 03/01/30 (Call 09/01/24)(a)

    USD       903       802,412  

4.75%, 02/01/32 (Call 02/01/27)(a)

    USD       591       506,936  

5.00%, 02/01/28 (Call 08/01/24)(a)(g)

    USD       293       275,372  

5.13%, 05/01/27 (Call 05/01/24)(a)

    USD       1,426       1,375,400  

5.38%, 06/01/29 (Call 06/01/24)(a)

    USD       534       496,505  

5.50%, 05/01/26 (Call 05/01/24)(a)

    USD       224       221,943  

6.38%, 09/01/29 (Call 09/01/25)(a)

    USD       300       292,099  

7.38%, 03/01/31 (Call 03/01/26)(a)

    USD       1,200       1,212,750  

Charter Communications Operating LLC/Charter Communications Operating Capital

     

2.30%, 02/01/32 (Call 11/01/31)

    USD       100       78,224  

4.20%, 03/15/28 (Call 12/15/27)

    USD       3,029       2,911,530  

6.15%, 11/10/26 (Call 10/10/26)

    USD       1,350       1,379,006  

Comcast Corp.

     

0.75%, 02/20/32 (Call 11/20/31)

    EUR       300       271,133  

2.35%, 01/15/27 (Call 10/15/26)

    USD       88       82,815  

3.30%, 02/01/27 (Call 11/01/26)

    USD       150       144,935  

4.15%, 10/15/28 (Call 07/15/28)

    USD       3,074       3,028,019  

5.35%, 11/15/27 (Call 10/15/27)

    USD       100       102,880  

Directv Financing LLC, 8.88%, 02/01/30 (Call
02/01/26)(a)

 

 

USD

 

 

 

1,900

 

 

 

1,938,106

 

Directv Financing LLC/Directv Financing Co-Obligor Inc., 5.88%, 08/15/27 (Call 08/15/24)(a)

 

 

USD

 

 

 

926

 

 

 

880,340

 

Gray Television Inc.

     

4.75%, 10/15/30 (Call 10/15/25)(a)

    USD       1,117       874,090  

5.38%, 11/15/31 (Call 11/15/26)(a)(g)

    USD       1,104       864,081  

7.00%, 05/15/27 (Call 05/15/24)(a)(g)

    USD       600       586,500  

News Corp.

     

3.88%, 05/15/29 (Call 05/15/24)(a)

    USD       821       754,704  

5.13%, 02/15/32 (Call 02/15/27)(a)

    USD       204       191,701  

Nexstar Media Inc.

     

4.75%, 11/01/28 (Call 11/01/24)(a)

    USD       721       660,406  

5.63%, 07/15/27 (Call 07/15/24)(a)

    USD       917       893,071  

RCS & RDS SA

     

2.50%, 02/05/25 (Call 01/29/24)(c)

    EUR       700       740,710  

3.25%, 02/05/28 (Call 01/29/24)(c)

    EUR       1,200       1,173,212  

Sirius XM Radio Inc.

     

3.13%, 09/01/26 (Call 09/01/24)(a)

    USD       518       483,496  

 

 

38  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Media (continued)                  

3.88%, 09/01/31 (Call 09/01/26)(a)

    USD       1,258     $ 1,048,793  

4.00%, 07/15/28 (Call 07/15/24)(a)

    USD       2,329       2,114,984  

4.13%, 07/01/30 (Call 07/01/25)(a)

    USD       304       266,000  

5.00%, 08/01/27 (Call 08/01/24)(a)

    USD       100       96,123  

5.50%, 07/01/29 (Call 07/01/24)(a)

    USD       100       95,000  

Summer BidCo BV

     

9.00%, 11/15/25 (Call 01/29/24), (9.75% PIK)(c)(i)

    EUR       127       137,280  

10.00%, 02/15/29, (10.75% PIK)(c)(i)

    EUR       423       461,941  

TEGNA Inc.

     

4.63%, 03/15/28 (Call 03/15/24)

    USD       754       703,256  

4.75%, 03/15/26 (Call 03/15/24)(a)

    USD       300       291,855  

5.00%, 09/15/29 (Call 09/15/24)

    USD       600       554,148  

Tele Columbus AG, 3.88%, 05/02/25 (Call 01/08/24)(c)

    EUR       1,436       967,678  

Univision Communications Inc.

     

4.50%, 05/01/29 (Call 05/01/24)(a)

    USD       200       177,724  

6.63%, 06/01/27 (Call 06/01/24)(a)

    USD       600       593,511  

7.38%, 06/30/30 (Call 06/30/25)(a)

    USD       417       408,828  

8.00%, 08/15/28 (Call 08/15/25)(a)

    USD       1,244       1,265,857  

UPCB Finance VII Ltd., 3.63%, 06/15/29 (Call 01/08/24)(c)

    EUR       100       103,271  

Videotron Ltd.

     

3.63%, 06/15/29 (Call 06/15/24)(a)

    USD       700       638,715  

5.13%, 04/15/27 (Call 04/15/24)(a)

    USD       767       755,495  

Virgin Media Finance PLC, 5.00%, 07/15/30 (Call 07/15/25)(a)

    USD       1,300       1,161,043  

Virgin Media Secured Finance PLC

     

4.13%, 08/15/30 (Call 08/15/25)(c)

    GBP       2,700       2,911,431  

5.25%, 05/15/29 (Call 05/15/24)(c)

    GBP       350       415,278  

5.50%, 05/15/29 (Call 05/15/24)(a)

    USD       900       865,627  

Virgin Media Vendor Financing Notes III DAC, 4.88%, 07/15/28 (Call 01/29/24)(c)

    GBP       1,000       1,156,411  

VZ Secured Financing BV

     

3.50%, 01/15/32

    EUR       300       292,670  

5.00%, 01/15/32 (Call 01/15/27)(a)

    USD       2,100       1,835,801  

VZ Vendor Financing II BV, 2.88%, 01/15/29 (Call 01/08/24)(c)

    EUR       1,400       1,316,293  

Ziggo BV

     

2.88%, 01/15/30 (Call 10/15/24)(c)

    EUR       1,786       1,750,918  

4.88%, 01/15/30 (Call 10/15/24)(a)

    USD       400       357,644  
     

 

 

 
         54,441,973  
Metal Fabricate & Hardware — 0.0%                  

Vallourec SACA, 8.50%, 06/30/26 (Call 01/08/24)(c)

    EUR       100       108,827  
     

 

 

 
Mining — 0.5%                  

FMG Resources August 2006 Pty. Ltd.

     

4.38%, 04/01/31 (Call 01/01/31)(a)

    USD       604       543,596  

4.50%, 09/15/27 (Call 06/15/27)(a)

    USD       497       477,817  

FMG Resources August Pty. Ltd.

     

5.88%, 04/15/30 (Call 01/15/30)(a)

    USD       419       413,800  

6.13%, 04/15/32 (Call 01/15/32)(a)

    USD       418       413,501  

Glencore Capital Finance DAC, 1.13%, 03/10/28(c)

    EUR       3,000       2,950,999  

Novelis Corp.

     

3.25%, 11/15/26 (Call 11/15/24)(a)

    USD       617       577,712  

3.88%, 08/15/31 (Call 08/15/26)(a)

    USD       100       86,734  

4.75%, 01/30/30 (Call 01/30/25)(a)

    USD       703       652,029  
     

 

 

 
        6,116,188  
Security          Par
(000)
    Value  
Office & Business Equipment — 0.1%                  

Xerox Holdings Corp.

     

5.00%, 08/15/25 (Call 07/15/25)(a)

    USD       172     $ 168,009  

5.50%, 08/15/28 (Call 07/15/28)(a)

    USD       1,400       1,275,475  
     

 

 

 
         1,443,484  
Oil & Gas — 2.3%                  

Apache Corp., 4.25%, 01/15/30 (Call 10/15/29)

    USD       700       652,155  

Ascent Resources Utica Holdings LLC/ARU Finance Corp.

     

5.88%, 06/30/29 (Call 09/01/24)(a)

    USD       300       282,582  

7.00%, 11/01/26 (Call 11/01/24)(a)

    USD       100       99,941  

8.25%, 12/31/28 (Call 02/01/24)(a)

    USD       400       409,152  

BG Energy Capital PLC, 2.25%, 11/21/29 (Call 08/21/29)(c)

    EUR       1,249       1,274,309  

BP Capital Markets America Inc.

     

1.75%, 08/10/30 (Call 05/10/30)

    USD       1,881       1,580,983  

2.72%, 01/12/32 (Call 10/12/31)

    USD       222       192,023  

3.63%, 04/06/30 (Call 01/06/30)

    USD       35       33,324  

4.81%, 02/13/33 (Call 11/13/32)

    USD       100       99,901  

4.89%, 09/11/33 (Call 06/11/33)

    USD       20       20,096  

BP Capital Markets BV, 4.32%, 05/12/35(c)

    EUR       1,211       1,375,447  

BP Capital Markets PLC

     

1.10%, 11/15/34(c)

    EUR       300       253,185  

2.82%, 04/07/32(c)

    EUR       289       300,250  

3.25%, (Call 03/22/26)(b)(c)(h)

    EUR       450       470,486  

Callon Petroleum Co., 8.00%, 08/01/28 (Call 08/01/24)(a)

    USD       400       413,708  

Chesapeake Energy Corp.

     

5.50%, 02/01/26 (Call 02/05/24)(a)

    USD       241       239,736  

5.88%, 02/01/29 (Call 02/05/24)(a)

    USD       121       120,171  

6.75%, 04/15/29 (Call 04/15/24)(a)

    USD       400       404,630  

Civitas Resources Inc., 8.38%, 07/01/28 (Call 07/01/25)(a)

    USD       1,451       1,526,034  

CNX Resources Corp.

     

6.00%, 01/15/29 (Call 01/15/25)(a)

    USD       400       386,498  

7.38%, 01/15/31 (Call 01/15/26)(a)

    USD       200       203,112  

Comstock Resources Inc.

     

5.88%, 01/15/30 (Call 01/15/25)(a)

    USD       510       441,943  

6.75%, 03/01/29 (Call 03/01/24)(a)

    USD       1,000       918,249  

Crescent Energy Finance LLC, 9.25%, 02/15/28 (Call 02/15/25)(a)

    USD       1,008       1,046,448  

CrownRock LP/CrownRock Finance Inc., 5.63%, 10/15/25 (Call 01/29/24)(a)

    USD       500       497,545  

Diamondback Energy Inc., 3.50%, 12/01/29 (Call 09/01/29)

    USD       358       332,589  

Eni SpA

     

1.00%, 10/11/34(c)

    EUR       103       85,311  

3.88%, 01/15/34(c)

    EUR       1,230       1,346,265  

4.25%, 05/19/33(c)

    EUR       1,649       1,862,942  

Equinor ASA, 1.38%, 05/22/32 (Call
02/22/32)(c)

    EUR       200       189,492  

Hess Corp., 4.30%, 04/01/27 (Call 01/01/27)

    USD       100       98,801  

Hilcorp Energy I LP/Hilcorp Finance Co.

     

5.75%, 02/01/29 (Call 02/01/24)(a)

    USD       500       482,668  

6.00%, 02/01/31 (Call 02/01/26)(a)

    USD       100       96,004  

6.25%, 11/01/28 (Call 11/01/24)(a)

    USD       97       96,644  

8.38%, 11/01/33 (Call 11/01/28)(a)

    USD       650       698,581  

Murphy Oil Corp., 5.88%, 12/01/27 (Call 12/01/24)

    USD       253       250,929  

Occidental Petroleum Corp.

     

5.88%, 09/01/25 (Call 06/01/25)

    USD       897       903,072  

6.63%, 09/01/30 (Call 03/01/30)

    USD       115       122,349  

 

 

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

  39


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Oil & Gas (continued)                  

Parkland Corp.

     

4.50%, 10/01/29 (Call 10/01/24)(a)

    USD       97     $ 89,202  

4.63%, 05/01/30 (Call 05/01/25)(a)

    USD       256       235,858  

5.88%, 07/15/27 (Call 07/15/24)(a)

    USD       400       396,864  

PBF Holding Co. LLC/PBF Finance Corp.

     

6.00%, 02/15/28 (Call 02/15/24)

    USD       100       97,737  

7.88%, 09/15/30 (Call 09/15/26)(a)

    USD       600       621,492  

Permian Resources Operating LLC

     

5.88%, 07/01/29 (Call 07/01/24)(a)

    USD       300       293,424  

8.00%, 04/15/27 (Call 04/15/24)(a)

    USD       817       845,618  

Range Resources Corp.

     

4.88%, 05/15/25 (Call 02/15/25)

    USD       228       225,150  

8.25%, 01/15/29 (Call 01/15/25)

    USD       400       414,736  

Repsol International Finance BV

     

2.63%, 04/15/30(c)

    EUR       300       316,014  

3.75%, (Call 03/11/26)(b)(c)(h)

    EUR       100       105,525  

4.25%, (Call 09/11/28)(b)(c)(h)

    EUR       730       764,778  

SM Energy Co.

     

6.50%, 07/15/28 (Call 07/15/24)

    USD       200       200,000  

6.63%, 01/15/27 (Call 01/15/25)

    USD       400       398,128  

Southwestern Energy Co.

     

4.75%, 02/01/32 (Call 02/01/27)

    USD       300       277,871  

5.38%, 02/01/29 (Call 02/01/24)

    USD       600       585,840  

5.38%, 03/15/30 (Call 03/15/25)

    USD       417       402,978  

Sunoco LP/Sunoco Finance Corp.

     

4.50%, 05/15/29 (Call 05/15/24)

    USD       593       552,466  

6.00%, 04/15/27 (Call 04/15/24)

    USD       354       354,066  

7.00%, 09/15/28 (Call 09/15/25)(a)

    USD       300       306,640  

Transocean Inc., 8.75%, 02/15/30 (Call 02/15/26)(a)(g)

    USD       1,477       1,530,904  

Var Energi ASA, 7.86%, 11/15/83 (Call 11/15/28)(b)(c)

    EUR       1,022       1,177,647  

Wintershall Dea Finance BV, 0.84%, 09/25/25 (Call 06/25/25)(c)

    EUR       700       719,681  
     

 

 

 
         30,720,174  
Oil & Gas Services — 0.1%                  

Archrock Partners LP/Archrock Partners Finance Corp.

     

6.25%, 04/01/28 (Call 04/01/24)(a)

    USD       200       197,764  

6.88%, 04/01/27 (Call 04/01/24)(a)

    USD       500       501,250  

Halliburton Co., 2.92%, 03/01/30 (Call 12/01/29)

    USD       210       190,268  

USA Compression Partners LP/USA Compression Finance Corp.

     

6.88%, 04/01/26 (Call 04/01/24)

    USD       700       695,889  

6.88%, 09/01/27 (Call 09/01/24)

    USD       101       100,929  
     

 

 

 
        1,686,100  
Packaging & Containers — 1.8%                  

Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC

     

2.00%, 09/01/28 (Call 05/15/24)(c)

    EUR       746       697,123  

4.00%, 09/01/29 (Call
05/15/24)(a)(g)

    USD       1,394       1,129,797  

Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc.

     

2.13%, 08/15/26 (Call 01/29/24)(c)

    EUR       1,427       1,384,014  

4.13%, 08/15/26 (Call 08/15/24)(a)

    USD       1,100       988,009  

4.75%, 07/15/27 (Call 01/08/24)(c)

    GBP       300       281,455  

5.25%, 04/30/25 (Call 04/30/24)(a)

    USD       700       684,281  
Security          Par
(000)
    Value  
Packaging & Containers (continued)        

Ball Corp.

     

2.88%, 08/15/30 (Call 05/15/30)

    USD       400     $ 340,915  

3.13%, 09/15/31 (Call 06/15/31)(g)

    USD       156       132,090  

5.25%, 07/01/25

    USD       1,345       1,341,564  

6.00%, 06/15/29 (Call 05/15/26)

    USD       275       277,410  

6.88%, 03/15/28 (Call 11/15/24)

    USD       336       346,977  

Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 (Call 03/31/26)

    USD       200       192,764  

Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 (Call 02/01/24)

    USD       800       783,342  

Crown European Holdings SA

     

4.75%, 03/15/29(c)

    EUR       450       492,759  

5.00%, 05/15/28 (Call 04/15/28)(c)

    EUR       200       222,235  

Fiber Bidco SpA

     

7.97%, 01/15/30, (3-mo. EURIBOR + 4.000%)(b)(c)

    EUR       1,500       1,633,242  

11.00%, 10/25/27 (Call 10/25/24)(c)

    EUR       400       470,105  

Graphic Packaging International LLC

     

3.50%, 03/15/28(a)

    USD       600       553,913  

3.75%, 02/01/30 (Call 08/01/29)(a)

    USD       142       126,872  

Kleopatra Finco Sarl, 4.25%, 03/01/26 (Call 01/29/24)(c)

    EUR       1,700       1,612,134  

LABL Inc., 5.88%, 11/01/28 (Call 11/01/24)(a)

    USD       1,670       1,495,172  

Mauser Packaging Solutions Holding Co., 7.88%, 08/15/26 (Call 08/15/24)(a)

    USD       1,908       1,927,943  

OI European Group BV, 6.25%, 05/15/28 (Call 05/15/25)(c)

    EUR       900       1,012,099  

Owens-Brockway Glass Container Inc., 7.25%, 05/15/31 (Call 05/15/26)(a)(g)

    USD       1,100       1,105,577  

Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group Issuer Inc.

     

4.00%, 10/15/27 (Call 10/15/24)(a)

    USD       751       700,307  

4.38%, 10/15/28 (Call 10/15/24)(a)

    USD       117       109,161  

Sealed Air Corp.

     

4.00%, 12/01/27 (Call 09/01/27)(a)

    USD       604       563,683  

5.50%, 09/15/25 (Call 06/15/25)(a)

    USD       446       446,602  

Sealed Air Corp./Sealed Air Corp. US, 6.13%, 02/01/28 (Call 02/01/24)(a)

    USD       200       200,709  

Trivium Packaging Finance BV

     

5.50%, 08/15/26 (Call 08/15/24)(a)

    USD       1,000       976,251  

7.75%, 08/15/26 (Call 01/08/24)(b)(c)

    EUR       300       324,475  

WRKCo Inc.

     

3.00%, 06/15/33 (Call 03/15/33)

    USD       394       337,896  

3.90%, 06/01/28 (Call 03/01/28)

    USD       58       55,741  

4.00%, 03/15/28 (Call 12/15/27)

    USD       1,562       1,507,201  

4.20%, 06/01/32 (Call 03/01/32)

    USD       220       210,295  
     

 

 

 
         24,664,113  
Pharmaceuticals — 1.6%                  

AbbVie Inc., 3.20%, 11/21/29 (Call 08/21/29)

    USD       1,492       1,390,688  

Bayer AG

     

5.38%, 03/25/82 (Call 06/25/30)(b)(c)

    EUR       1,300       1,324,940  

6.63%, 09/25/83(c)

    EUR       200       218,812  

7.00%, 09/25/83(c)

    EUR       400       441,846  

Series N5.5, 4.50%, 03/25/82 (Call 06/25/27)(b)(c)

    EUR       1,600       1,633,880  

Bayer Capital Corp. BV, 1.50%, 06/26/26 (Call 03/26/26)(c)

    EUR       600       618,112  

Cheplapharm Arzneimittel GmbH

     

3.50%, 02/11/27 (Call 01/29/24)(c)

    EUR       100       103,277  

7.50%, 05/15/30 (Call 05/15/26)(c)

    EUR       1,561       1,773,886  

 

 

40  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Pharmaceuticals (continued)                  

CVS Health Corp., 2.13%, 09/15/31 (Call 06/15/31)

    USD       922     $ 759,797  

Gruenenthal GmbH, 6.75%, 05/15/30 (Call 05/15/26)(c)

    EUR       1,235       1,419,750  

Gruenenthal GMBH, 4.13%, 05/15/28 (Call 05/15/24)(c)

    EUR       200       212,724  

Jazz Securities DAC, 4.38%, 01/15/29 (Call 07/15/24)(a)

    USD       1,500       1,383,575  

Nidda Healthcare Holding GmbH, 7.50%, 08/21/26 (Call 04/30/24)(c)

    EUR       100       111,852  

Organon & Co./Organon Foreign Debt Co.-Issuer BV

     

4.13%, 04/30/28 (Call 04/30/24)(a)

    USD       900       823,455  

5.13%, 04/30/31 (Call 04/30/26)(a)

    USD       1,831       1,573,061  

2.88%, 04/30/28 (Call 04/30/24)(c)

    EUR       1,146       1,151,417  

Pfizer Investment Enterprises Pte Ltd.

     

4.45%, 05/19/28 (Call 04/19/28)

    USD       90       89,812  

4.75%, 05/19/33 (Call 02/19/33)

    USD       2,792       2,788,539  

Sanofi SA, 1.50%, 04/01/30 (Call
01/01/30)(c)

    EUR       100       100,313  

Teva Pharmaceutical Finance Netherlands II BV

     

1.88%, 03/31/27 (Call 12/31/26)(c)

    EUR       274       270,421  

4.38%, 05/09/30 (Call 02/09/30)

    EUR       700       709,051  

7.38%, 09/15/29 (Call 06/15/29)

    EUR       1,100       1,286,499  

7.88%, 09/15/31 (Call 06/15/31)

    EUR       1,200       1,461,059  

Wyeth LLC, 6.50%, 02/01/34

    USD       75       84,902  
     

 

 

 
         21,731,668  
Pipelines — 1.8%                  

Antero Midstream Partners LP/Antero Midstream Finance Corp.

     

5.38%, 06/15/29 (Call 06/15/24)(a)

    USD       300       288,028  

5.75%, 03/01/27 (Call 03/01/24)(a)

    USD       97       96,279  

6.63%, 02/01/32 (Call 02/01/27)(a)

    USD       300       298,164  

7.88%, 05/15/26 (Call 05/15/24)(a)

    USD       500       511,607  

Buckeye Partners LP

     

3.95%, 12/01/26 (Call 09/01/26)

    USD       100       94,875  

4.13%, 03/01/25 (Call 02/01/25)(a)

    USD       438       427,723  

4.13%, 12/01/27 (Call 09/01/27)

    USD       121       114,078  

4.50%, 03/01/28 (Call 12/01/27)(a)

    USD       300       281,707  

CQP Holdco LP/BIP-V Chinook Holdco LLC

     

5.50%, 06/15/31 (Call 06/15/26)(a)

    USD       250       233,237  

7.50%, 12/15/33 (Call 12/15/28)(a)

    USD       650       666,295  

DT Midstream Inc.

     

4.13%, 06/15/29 (Call 06/15/24)(a)

    USD       640       587,998  

4.38%, 06/15/31 (Call 06/15/26)(a)

    USD       339       303,667  

Energy Transfer LP

     

5.25%, 04/15/29 (Call 01/15/29)

    USD       250       252,619  

5.50%, 06/01/27 (Call 03/01/27)

    USD       2,142       2,172,423  

5.63%, 05/01/27 (Call 05/01/24)(a)

    USD       377       376,284  

5.75%, 04/01/25 (Call 01/29/24)

    USD       300       299,862  

5.75%, 02/15/33 (Call 11/15/32)

    USD       45       46,083  

6.00%, 02/01/29 (Call 02/01/24)(a)

    USD       402       403,958  

6.55%, 12/01/33 (Call 09/01/33)

    USD       50       53,913  

7.38%, 02/01/31 (Call 02/01/26)(a)

    USD       534       561,309  

EnLink Midstream LLC

     

5.38%, 06/01/29 (Call 03/01/29)

    USD       100       97,437  

5.63%, 01/15/28 (Call 07/15/27)(a)

    USD       500       494,208  

6.50%, 09/01/30 (Call 03/01/30)(a)

    USD       400       408,188  

EnLink Midstream Partners LP

     

4.15%, 06/01/25 (Call 03/01/25)

    USD       577       564,935  

4.85%, 07/15/26 (Call 04/15/26)

    USD       100       97,648  
Security          Par
(000)
    Value  
Pipelines (continued)                  

EQM Midstream Partners LP

     

4.50%, 01/15/29 (Call 07/15/28)(a)

    USD       600     $ 564,473  

4.75%, 01/15/31 (Call 07/15/30)(a)

    USD       97       90,425  

6.00%, 07/01/25 (Call 04/01/25)(a)

    USD       600       598,711  

6.50%, 07/01/27 (Call 01/01/27)(a)(g)

    USD       133       134,623  

7.50%, 06/01/27 (Call 06/01/24)(a)

    USD       600       617,338  

7.50%, 06/01/30 (Call 12/01/29)(a)

    USD       100       107,253  

Hess Midstream Operations LP

     

4.25%, 02/15/30 (Call 02/15/25)(a)

    USD       100       91,985  

5.13%, 06/15/28 (Call 06/15/24)(a)

    USD       200       194,015  

5.63%, 02/15/26 (Call 02/15/24)(a)

    USD       1,000       993,700  

Kinetik Holdings LP, 5.88%, 06/15/30 (Call 06/15/25)(a)

    USD       721       708,206  

NGL Energy Operating LLC/NGL Energy Finance Corp.

     

7.50%, 02/01/26 (Call 02/01/24)(a)

    USD       434       441,727  

8.38%, 02/15/32 (Call 02/15/27)(a)

    USD       800       805,895  

NuStar Logistics LP

     

5.63%, 04/28/27 (Call 01/28/27)

    USD       100       99,162  

5.75%, 10/01/25 (Call 07/01/25)

    USD       400       399,000  

6.00%, 06/01/26 (Call 03/01/26)(g)

    USD       400       399,080  

Rockies Express Pipeline LLC

     

3.60%, 05/15/25 (Call 04/15/25)(a)

    USD       709       688,011  

4.95%, 07/15/29 (Call 04/15/29)(a)

    USD       300       286,811  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp.

     

5.50%, 01/15/28 (Call 01/15/25)(a)

    USD       100       96,267  

6.00%, 03/01/27 (Call 03/01/24)(a)

    USD       100       98,375  

6.00%, 12/31/30 (Call 12/31/25)(a)

    USD       222       206,351  

6.00%, 09/01/31 (Call 09/01/26)(a)

    USD       200       184,219  

7.38%, 02/15/29 (Call 02/16/26)(a)

    USD       700       698,259  

Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28 (Call 12/15/27)

    USD       134       130,343  

Venture Global Calcasieu Pass LLC

     

3.88%, 11/01/33 (Call 05/01/33)(a)

    USD       200       169,384  

6.25%, 01/15/30 (Call 10/15/29)(a)

    USD       600       600,476  

3.88%, 08/15/29 (Call 02/15/29)(a)

    USD       193       172,496  

4.13%, 08/15/31 (Call 02/15/31)(a)

    USD       731       646,439  

Venture Global LNG Inc., 8.13%, 06/01/28 (Call 06/01/25)(a)

    USD       3,322       3,357,508  

Western Midstream Operating LP, 3.10%, 02/01/25 (Call 01/01/25)

    USD       838       816,580  

Williams Cos. Inc. (The), 2.60%, 03/15/31 (Call 12/15/30)

    USD       319       272,644  
     

 

 

 
         24,402,281  
Real Estate — 0.5%                  

ADLER Real Estate AG, 3.00%, 04/27/26 (Call 02/27/26)(c)

    EUR       900       787,749  

Agps Bondco PLC, 5.00%, 01/14/29 (Call 10/14/28)(c)

    EUR       800       337,870  

Aroundtown SA

     

0.00%, 07/16/26 (Call 04/16/26)(c)

    EUR       500       461,270  

0.38%, 04/15/27 (Call 01/15/27)(c)

    EUR       900       792,818  

1.00%, 01/07/25(c)

    EUR       100       103,390  

3.38%, (Call 09/23/24)(b)(c)(h)

    EUR       900       491,373  

Balder Finland OYJ, 1.00%, 01/20/29 (Call 10/20/28)(c)

    EUR       301       254,976  

Citycon Treasury BV

     

1.25%, 09/08/26 (Call 06/08/26)(c)

    EUR       100       95,876  

2.38%, 01/15/27 (Call 10/15/26)(c)

    EUR       100       96,452  

 

 

 

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

  41


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
Real Estate (continued)                  

DEMIRE Deutsche Mittelstand Real Estate AG, 1.88%, 10/15/24 (Call 07/15/24)(c)

    EUR       300     $ 218,897  

Fastighets AB Balder

     

1.13%, 01/29/27 (Call 10/29/26)(c)

    EUR       350       330,035  

2.87%, 06/02/81 (Call 03/02/26)(b)(c)

    EUR       300       272,207  

Heimstaden Bostad AB, 1.13%, 01/21/26
(Call 10/21/25)(c)

    EUR       400       384,738  

Heimstaden Bostad Treasury BV

     

0.63%, 07/24/25 (Call 06/24/25)(c)

    EUR       400       393,332  

1.38%, 03/03/27 (Call 12/03/26)

    EUR       936       851,838  

Howard Hughes Corp. (The), 5.38%, 08/01/28 (Call 08/01/24)(a)

    USD       1,168       1,118,959  

SBB Treasury OYJ, 0.75%, 12/14/28 (Call 09/14/28)(c)

    EUR       100       67,949  
     

 

 

 
         7,059,729  
Real Estate Investment Trusts — 1.6%                  

American Tower Corp.

     

0.88%, 05/21/29 (Call 02/21/29)

    EUR       390       367,370  

0.95%, 10/05/30 (Call 07/05/30)

    EUR       115       104,471  

1.95%, 05/22/26 (Call 02/22/26)

    EUR       456       474,539  

3.65%, 03/15/27 (Call 02/15/27)

    USD       901       869,991  

Crown Castle Inc.

     

3.65%, 09/01/27 (Call 06/01/27)

    USD       1,687       1,606,143  

3.80%, 02/15/28 (Call 11/15/27)

    USD       289       274,808  

Equinix Inc.

     

1.45%, 05/15/26 (Call 04/15/26)

    USD       77       71,422  

1.80%, 07/15/27 (Call 05/15/27)

    USD       1,656       1,502,136  

2.00%, 05/15/28 (Call 03/15/28)

    USD       379       338,075  

3.90%, 04/15/32 (Call 01/15/32)

    USD       669       619,107  

Healthpeak OP LLC

     

1.35%, 02/01/27 (Call 01/01/27)

    USD       247       223,151  

2.88%, 01/15/31 (Call 10/15/30)

    USD       661       573,479  

3.50%, 07/15/29 (Call 04/15/29)(g)

    USD       260       242,347  

Iron Mountain Inc.

     

4.50%, 02/15/31 (Call 02/15/26)(a)(g)

    USD       1,307       1,171,913  

4.88%, 09/15/27 (Call 09/15/24)(a)(g)

    USD       100       96,631  

5.25%, 03/15/28 (Call 12/27/24)(a)

    USD       182       176,505  

5.25%, 07/15/30 (Call 07/15/25)(a)(g)

    USD       233       219,767  

5.63%, 07/15/32 (Call 07/15/26)(a)

    USD       100       93,912  

7.00%, 02/15/29 (Call 08/15/25)(a)

    USD       897       919,820  

Iron Mountain Information Management Services Inc., 5.00%, 07/15/32 (Call 07/15/27)(a)

    USD       457       412,151  

Iron Mountain UK PLC, 3.88%, 11/15/25 (Call 01/08/24)(c)

    GBP       300       368,777  

Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 4.88%, 05/15/29 (Call 05/15/24)(a)

    USD       1,348       1,235,105  

RHP Hotel Properties LP/RHP Finance Corp.

     

4.50%, 02/15/29 (Call 02/15/24)(a)

    USD       900       836,649  

7.25%, 07/15/28 (Call 07/15/25)(a)

    USD       300       309,241  

SBA Communications Corp.

     

3.13%, 02/01/29 (Call 02/01/24)(g)

    USD       1,107       986,595  

3.88%, 02/15/27 (Call 02/15/24)

    USD       963       919,011  

Service Properties Trust

     

3.95%, 01/15/28 (Call 07/15/27)(g)

    USD       700       590,478  

4.38%, 02/15/30 (Call 08/15/29)

    USD       1,100       851,956  

4.75%, 10/01/26 (Call 08/01/26)

    USD       131       121,535  

4.95%, 02/15/27 (Call 08/15/26)

    USD       700       640,488  

4.95%, 10/01/29 (Call 07/01/29)

    USD       100       83,108  

5.50%, 12/15/27 (Call 09/15/27)

    USD       143       134,509  

Security          Par
(000)
    Value  
Real Estate Investment Trusts (continued)        

7.50%, 09/15/25 (Call 06/15/25)

    USD       117     $ 118,764  

Starwood Property Trust Inc.

     

4.38%, 01/15/27 (Call 07/15/26)(a)

    USD       928       859,115  

4.75%, 03/15/25 (Call 09/15/24)

    USD       300       294,000  

VICI Properties LP, 4.75%, 02/15/28 (Call 01/15/28)

    USD       97       94,978  

VICI Properties LP/VICI Note Co. Inc.

     

3.75%, 02/15/27 (Call 02/15/24)(a)

    USD       388       367,064  

3.88%, 02/15/29 (Call 11/15/28)(a)

    USD       2,063       1,896,736  

4.13%, 08/15/30 (Call 02/15/25)(a)

    USD       222       202,033  

5.75%, 02/01/27 (Call 11/01/26)(a)

    USD       211       210,487  

Welltower OP LLC, 3.85%, 06/15/32 (Call 03/15/32)

    USD       614       562,876  
     

 

 

 
         22,041,243  
Retail — 1.3%                  

1011778 BC ULC/New Red Finance Inc.

     

3.50%, 02/15/29 (Call 02/15/24)(a)

    USD       400       366,011  

3.88%, 01/15/28 (Call 09/15/24)(a)

    USD       300       282,326  

4.00%, 10/15/30 (Call 10/15/25)(a)

    USD       800       715,032  

4.38%, 01/15/28 (Call 11/15/24)(a)

    USD       297       282,485  

5.75%, 04/15/25 (Call 04/15/24)(a)

    USD       761       759,457  

Asbury Automotive Group Inc.

     

4.50%, 03/01/28 (Call 03/01/24)

    USD       400       376,061  

4.63%, 11/15/29 (Call 11/15/24)(a)

    USD       100       92,129  

4.75%, 03/01/30 (Call 03/01/25)

    USD       456       421,944  

5.00%, 02/15/32 (Call 11/15/26)(a)

    USD       300       271,141  

Bath & Body Works Inc.

     

5.25%, 02/01/28

    USD       100       97,877  

6.63%, 10/01/30 (Call 10/01/25)(a)

    USD       697       706,166  

7.50%, 06/15/29 (Call 06/15/24)

    USD       341       352,509  

Constellation Automotive Financing PLC, 4.88%, 07/15/27 (Call 01/29/24)(c)

    GBP       500       529,658  

Ferrellgas LP/Ferrellgas Finance Corp.

     

5.38%, 04/01/26 (Call 04/01/24)(a)

    USD       397       391,129  

5.88%, 04/01/29 (Call 04/01/24)(a)

    USD       400       391,992  

Goldstory SAS

     

6.75%, 02/01/30(c)

    EUR       471       509,010  

7.90%, 02/01/30, (3-mo. EURIBOR + 4.000%)(b)(c)

    EUR       356       384,729  

Kohl’s Corp., 4.63%, 05/01/31 (Call
02/01/31)

    USD       1,380       1,104,000  

Lithia Motors Inc.

     

3.88%, 06/01/29 (Call
06/01/24)(a)(g)

    USD       723       648,892  

4.38%, 01/15/31 (Call 10/15/25)(a)

    USD       300       268,997  

4.63%, 12/15/27 (Call 12/15/24)(a)

    USD       106       101,551  

Lowe’s Companies Inc., 1.70%, 10/15/30 (Call 07/15/30)

    USD       1,751       1,451,967  

Macy’s Retail Holdings LLC

     

5.88%, 04/01/29 (Call
04/01/24)(a)(g)

    USD       262       254,140  

5.88%, 03/15/30 (Call 03/15/25)(a)

    USD       500       474,125  

6.13%, 03/15/32 (Call 03/15/27)(a)

    USD       400       377,440  

McDonald’s Corp.

     

3.88%, 02/20/31(c)

    EUR       300       335,832  

4.13%, 11/28/35 (Call 08/28/35)(c)

    EUR       200       225,002  

Murphy Oil USA Inc., 3.75%, 02/15/31 (Call 02/15/26)(a)

    USD       726       626,219  

Nordstrom Inc.

     

4.25%, 08/01/31 (Call 05/01/31)(g)

    USD       928       770,607  

4.38%, 04/01/30 (Call 01/01/30)

    USD       200       173,536  

REWE International Finance BV, 4.88%, 09/13/30(c)

    EUR       1,000       1,140,387  

 

 

 

42  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Retail (continued)                  

Stonegate Pub Co. Financing 2019 PLC

     

8.00%, 07/13/25 (Call 01/29/24)(c)

    GBP       300     $ 366,883  

9.75%, 07/31/25 (Call 01/29/24)(b)(c)

    EUR       677       706,758  

Walgreens Boots Alliance Inc., 3.45%, 06/01/26 (Call 03/01/26)

    USD       600       573,870  

Yum! Brands Inc.

     

3.63%, 03/15/31 (Call 12/15/30)

    USD       1,100       970,789  

4.63%, 01/31/32 (Call 10/01/26)

    USD       597       553,784  

5.38%, 04/01/32 (Call 04/01/27)

    USD       200       194,509  
     

 

 

 
         18,248,944  
Savings & Loans — 0.1%                  

Nationwide Building Society, 5.75%, (Call 06/20/27)(b)(c)(h)

    GBP       800       935,817  
     

 

 

 
Semiconductors — 0.5%                  

ams-OSRAM AG, 10.50%, 03/30/29(c)

    EUR       1,670       1,949,151  

Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 (Call 10/15/26)

    USD       145       141,242  

Broadcom Inc.

     

3.14%, 11/15/35 (Call 08/15/35)(a)

    USD       359       295,105  

3.42%, 04/15/33 (Call 01/15/33)(a)

    USD       670       588,378  

4.15%, 04/15/32 (Call 01/15/32)(a)

    USD       507       478,172  

4.30%, 11/15/32 (Call 08/15/32)(g)

    USD       102       96,817  

Entegris Inc.

     

3.63%, 05/01/29 (Call 05/01/24)(a)

    USD       153       138,007  

4.75%, 04/15/29 (Call 01/15/29)(a)

    USD       1,819       1,738,808  

NXP BV/NXP Funding LLC, 5.55%, 12/01/28 (Call 09/01/28)

    USD       150       153,391  

NXP BV/NXP Funding LLC/NXP USA Inc.

     

2.65%, 02/15/32 (Call 11/15/31)

    USD       1,062       884,933  

3.15%, 05/01/27 (Call 03/01/27)

    USD       118       111,644  

5.00%, 01/15/33 (Call 10/15/32)

    USD       354       346,973  
     

 

 

 
        6,922,621  
Software — 0.9%                  

Boxer Parent Co. Inc., 6.50%, 10/02/25 (Call 01/29/24)(c)

    EUR       500       540,350  

Capstone Borrower Inc., 8.00%, 06/15/30 (Call 06/15/26)(a)(g)

    USD       617       640,269  

Cedacri Mergeco SpA, 9.50%, 05/15/28 (Call 05/15/24)(b)(c)

    EUR       504       544,673  

Central Parent Inc./CDK Global Inc., 7.25%, 06/15/29 (Call 06/15/25)(a)

    USD       1,100       1,120,767  

Cloud Software Group Inc., 6.50%, 03/31/29 (Call 09/30/25)(a)

    USD       3,233       3,018,760  

Fair Isaac Corp.

     

4.00%, 06/15/28 (Call 12/15/24)(a)

    USD       300       279,377  

5.25%, 05/15/26 (Call 02/15/26)(a)

    USD       554       547,075  

Fiserv Inc.

     

1.63%, 07/01/30 (Call 04/01/30)

    EUR       303       295,444  

4.50%, 05/24/31 (Call 02/24/31)

    EUR       500       571,567  

Open Text Corp., 3.88%, 02/15/28 (Call 02/15/24)(a)

    USD       800       743,080  

Open Text Holdings Inc.

     

4.13%, 02/15/30 (Call 02/15/25)(a)

    USD       288       260,669  

4.13%, 12/01/31 (Call 12/01/26)(a)

    USD       600       532,843  

Oracle Corp.

     

2.30%, 03/25/28 (Call 01/25/28)

    USD       2,528       2,295,153  

2.80%, 04/01/27 (Call 02/01/27)(g)

    USD       126       118,872  

2.88%, 03/25/31 (Call 12/25/30)

    USD       690       607,152  

3.25%, 11/15/27 (Call 08/15/27)

    USD       185       175,697  

4.90%, 02/06/33 (Call 11/06/32)

    USD       90       89,072  

Security          Par
(000)
    Value  
Software (continued)                  

6.15%, 11/09/29 (Call 09/09/29)

    USD       116     $ 123,793  
     

 

 

 
         12,504,613  
Telecommunications — 3.9%                  

Altice France SA/France

     

4.00%, 07/15/29 (Call 04/15/24)(c)

    EUR       900       720,233  

4.13%, 01/15/29 (Call 01/29/24)(c)

    EUR       2,411       1,980,831  

4.25%, 10/15/29 (Call 10/15/24)(c)

    EUR       450       366,989  

11.50%, 02/01/27(c)

    EUR       100       106,044  

AT&T Inc.

     

2.35%, 09/05/29 (Call 06/04/29)

    EUR       100       103,162  

2.90%, 12/04/26 (Call 09/04/26)

    GBP       150       180,062  

3.55%, 12/17/32 (Call 09/17/32)

    EUR       100       108,536  

5.50%, 03/15/27(c)

    GBP       150       193,208  

British Telecommunications PLC

     

4.25%, 01/06/33(c)

    EUR       811       919,323  

8.38%, 12/20/83(c)

    GBP       1,500       2,031,641  

Chorus Ltd., 3.63%, 09/07/29

    EUR       100       109,062  

Eutelsat SA, 1.50%, 10/13/28 (Call
07/13/28)(c)

    EUR       1,700       1,277,883  

Frontier Communications Holdings LLC

     

5.00%, 05/01/28 (Call 05/01/24)(a)

    USD       948       874,886  

5.88%, 10/15/27 (Call 10/15/24)(a)

    USD       1,100       1,058,013  

8.75%, 05/15/30 (Call 05/15/25)(a)

    USD       1,853       1,898,198  

Global Switch Finance BV, 1.38%, 10/07/30 (Call 07/07/30)(c)

    EUR       900       877,332  

Iliad Holding SASU

     

5.13%, 10/15/26 (Call 01/08/24)(c)

    EUR       200       215,775  

5.63%, 10/15/28 (Call 10/15/24)(c)

    EUR       100       108,347  

6.50%, 10/15/26 (Call 10/15/24)(a)

    USD       1,500       1,470,386  

7.00%, 10/15/28 (Call 10/15/24)(a)

    USD       900       892,830  

Intelsat Jackson Holdings SA, 6.50%, 03/15/30 (Call 03/15/25)(a)

    USD       2,345       2,215,077  

Kaixo Bondco Telecom SA, 5.13%, 09/30/29 (Call 09/30/24)(c)

    EUR       2,250       2,343,718  

Lorca Telecom Bondco SA, 4.00%, 09/18/27 (Call 01/16/24)(c)

    EUR       200       209,971  

Matterhorn Telecom SA, 4.00%, 11/15/27 (Call 01/29/24)(c)

    EUR       100       106,449  

Motorola Solutions Inc.

     

4.60%, 02/23/28 (Call 11/23/27)

    USD       180       179,156  

4.60%, 05/23/29 (Call 02/23/29)

    USD       99       98,202  

5.60%, 06/01/32 (Call 03/01/32)

    USD       1,583       1,627,351  

Rogers Communications Inc., 3.80%, 03/15/32 (Call 12/15/31)

    USD       499       453,885  

SES SA, 2.88%, (Call 05/27/26)(b)(c)(h)

    EUR       173       174,341  

SoftBank Group Corp.

     

2.88%, 01/06/27 (Call 10/06/26)(c)

    EUR       200       203,172  

3.13%, 09/19/25 (Call 06/21/25)(c)

    EUR       100       105,131  

3.38%, 07/06/29 (Call 04/06/29)(c)

    EUR       1,065       1,051,930  

3.88%, 07/06/32 (Call 04/06/32)(c)

    EUR       2,550       2,415,033  

4.00%, 09/19/29 (Call 06/21/29)(c)

    EUR       2,100       2,121,955  

5.00%, 04/15/28 (Call 01/16/28)(c)

    EUR       100       108,156  

Sprint Capital Corp., 6.88%, 11/15/28

    USD       1,350       1,458,575  

Telecom Italia Capital SA

     

6.00%, 09/30/34

    USD       2,100       1,968,476  

6.38%, 11/15/33

    USD       1,400       1,356,941  

7.20%, 07/18/36

    USD       1,500       1,506,045  

7.72%, 06/04/38

    USD       1,200       1,238,498  

Telecom Italia SpA

     

6.88%, 02/15/28 (Call 11/15/27)(c)

    EUR       200       229,811  

7.88%, 07/31/28 (Call 05/01/28)(c)

    EUR       213       253,381  

 

 

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

  43


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Telecommunications (continued)                  

Telecom Italia SpA/Milano

     

1.63%, 01/18/29 (Call 10/18/28)(c)

    EUR       100     $ 92,385  

2.75%, 04/15/25 (Call 01/15/25)(c)

    EUR       100       105,681  

5.25%, 03/17/55

    EUR       300       300,773  

Telefonica Emisiones SA

     

3.70%, 01/24/32(c)

    EUR       500       550,142  

4.06%, 01/24/36(c)

    EUR       400       443,805  

Telefonica Europe BV

     

3.88%, (Call 06/22/26)(b)(c)(h)

    EUR       500       527,738  

4.38%, (Call 12/14/24)(b)(c)(h)

    EUR       400       429,730  

6.14%, (Call 02/03/30)(b)(c)(h)

    EUR       1,800       2,003,805  

7.13%, (Call 08/23/28)(b)(c)(h)

    EUR       1,100       1,288,342  

Series ., 6.75%, (Call 06/07/31)(b)(c)(h)

    EUR       1,400       1,630,442  

T-Mobile USA Inc.

     

2.25%, 11/15/31 (Call 08/15/31)

    USD       176       145,804  

2.70%, 03/15/32 (Call 12/15/31)

    USD       155       131,742  

3.50%, 04/15/31 (Call 04/15/26)

    USD       80       72,870  

3.75%, 04/15/27 (Call 02/15/27)

    USD       261       253,039  

5.05%, 07/15/33 (Call 04/15/33)

    USD       632       632,728  

5.38%, 04/15/27 (Call 04/15/24)

    USD       168       168,844  

5.75%, 01/15/34 (Call 10/15/33)

    USD       75       79,017  

Vmed O2 UK Financing I PLC

     

3.25%, 01/31/31 (Call 01/31/26)(c)

    EUR       100       97,920  

4.00%, 01/31/29 (Call 01/31/24)(c)

    GBP       200       224,956  

4.25%, 01/31/31 (Call 01/31/26)(a)

    USD       300       262,394  

4.50%, 07/15/31 (Call 07/15/26)(c)

    GBP       850       925,190  

4.75%, 07/15/31 (Call 07/15/26)(a)

    USD       1,100       985,831  

Vodafone Group PLC

     

2.63%, 08/27/80 (Call 05/27/26)(b)(c)

    EUR       300       308,810  

3.00%, 08/27/80 (Call 05/27/30)(b)(c)

    EUR       3,390       3,278,898  

4.88%, 10/03/78 (Call 07/03/25)(b)(c)

    GBP       530       654,347  

6.50%, 08/30/84 (Call 05/30/29)(b)(c)

    EUR       200       230,863  

8.00%, 08/30/86 (Call 05/30/31)(b)(c)

    GBP       350       477,351  
     

 

 

 
         53,221,442  
Toys, Games & Hobbies — 0.1%                  

Mattel Inc., 3.38%, 04/01/26 (Call
04/01/24)(a)

    USD       1,056       1,007,553  
     

 

 

 
Transportation — 0.3%                  

AP Moller - Maersk A/S, 1.75%, 03/16/26 (Call 12/16/25)(c)

    EUR       825       862,578  

Danaos Corp., 8.50%, 03/01/28 (Call 03/01/24)(a)

    USD       319       325,418  

Deutsche Bahn Finance GmbH, 3.63%, 12/18/37(c)

    EUR       174       194,699  

East Japan Railway Co.

     

1.10%, 09/15/39(c)

    EUR       200       155,967  

4.39%, 09/05/43(c)

    EUR       100       117,257  

Mobico Group PLC

     

4.25%, (Call 11/26/25)(b)(c)(h)

    GBP       500       576,769  

4.88%, 09/26/31(c)

    EUR       400       438,465  

Norfolk Southern Corp.

     

3.00%, 03/15/32 (Call 12/15/31)

    USD       118       103,778  

4.45%, 03/01/33 (Call 12/01/32)

    USD       618       604,871  

Poste Italiane SpA, 2.63%, (Call
03/24/29)(b)(c)(h)

    EUR       615       557,791  

Ryder System Inc.

     

4.30%, 06/15/27 (Call 05/15/27)

    USD       70       69,003  

5.25%, 06/01/28 (Call 05/01/28)

    USD       207       210,562  
     

 

 

 
        4,217,158  

Security         

Par

(000)

    Value  
Trucking & Leasing — 0.0%                  

Penske Truck Leasing Co. LP/PTL Finance Corp., 4.40%, 07/01/27 (Call 06/01/27)(a)

    USD       217     $ 212,284  
     

 

 

 
Water — 0.1%                  

Thames Water Utilities Finance PLC

     

4.00%, 06/19/25(c)

    GBP       300       365,755  

4.00%, 04/18/27(c)

    EUR       300       313,273  
     

 

 

 
        679,028  
     

 

 

 

Total Corporate Bonds & Notes — 59.5% (Cost: $802,759,754)

 

       807,947,885  
     

 

 

 

Foreign Government Obligations

 

 
Brazil — 1.9%                  

Brazil Letras do Tesouro Nacional, 0.00% 04/01/24(f)

    BRL       3       1,857,166  

Brazil Notas do Tesouro Nacional, Series F, 10.00%, 01/01/25

    BRL       41       11,672,207  

Brazil Notas do Tesouro Nacional Serie F, Series F, 10.00%, 01/01/27

    BRL       47       11,573,606  
     

 

 

 
        25,102,979  
China — 0.1%                  

China Government Bond, 2.29%, 12/25/24

    CNY       7,800       1,088,430  
     

 

 

 
Colombia — 0.5%                  

Colombia TES, 13.25%, 02/09/33

    COP       966,200       301,474  

Colombian TES

     

Series B, 5.75%, 11/03/27

    COP       22,830,400       5,295,028  

Series B, 6.00%, 04/28/28

    COP       3,312,400       765,848  

Series B, 7.00%, 03/26/31

    COP       2,771,400       631,425  
     

 

 

 
        6,993,775  
Czech Republic — 0.1%                  

Czech Republic Government Bond

     

2.75%, 07/23/29

    CZK       18,860       784,048  

5.00%, 09/30/30

    CZK       14,520       680,082  
     

 

 

 
        1,464,130  
Hungary — 0.0%                  

Hungary Government Bond, 6.75%, 10/22/28

    HUF       145,590       425,731  
     

 

 

 
Indonesia — 0.2%                  

Indonesia Treasury Bond

     

5.50%, 04/15/26

    IDR       2,449,000       152,635  

7.00%, 05/15/27

    IDR       11,469,000       740,979  

7.13%, 06/15/38

    IDR       15,113,000       987,932  

8.25%, 05/15/36

    IDR       10,467,000       747,179  

8.38%, 09/15/26

    IDR       3,934,000       261,519  
     

 

 

 
        2,890,244  
Mexico — 1.9%                  

Mexican Bonos

     

7.50%, 05/26/33

    MXN       2,160       12,545,993  

8.50%, 03/01/29

    MXN       31       174,736  

Series M, 5.75%, 03/05/26

    MXN       1,200       6,436,104  

Series M 20, 10.00%, 12/05/24

    MXN       1,077       6,208,558  

Series M 30, 8.50%, 11/18/38

    MXN       26       142,485  

Mexico Cetes, 0.00% 10/03/24(f)

    MXN       1,273       686,720  
     

 

 

 
        26,194,596  
Poland — 0.1%                  

Republic of Poland Government Bond, 2.75%, 10/25/29

    PLN       6,029       1,347,169  
     

 

 

 

 

 

44  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

(Percentages shown are based on Net Assets)

 

Security         

Par

(000)

    Value  
South Africa — 0.2%                  

Republic of South Africa Government Bond

     

7.00%, 02/28/31

    ZAR       10,579     $ 474,291  

8.00%, 01/31/30

    ZAR       9,962       490,506  

8.75%, 01/31/44

    ZAR       3,101       122,314  

9.00%, 01/31/40

    ZAR       8,859       368,052  

10.50%, 12/21/26

    ZAR       21,769       1,216,056  
     

 

 

 
        2,671,219  
     

 

 

 

Total Foreign Government Obligations — 5.0%
(Cost: $68,120,407)

 

    68,178,273  
     

 

 

 
U.S. Government Agency Obligations        
Mortgage-Backed Securities — 8.7%        

Uniform Mortgage-Backed Securities

     

3.50%, 02/13/54

    $       84,833       77,204,634  

3.50%, 03/13/54

      33,900       30,867,408  

4.50%, 02/13/54

      8,937       8,640,260  

4.50%, 03/13/54

      2,200       2,127,726  
     

 

 

 
        118,840,028  
     

 

 

 

Total U.S. Government Agency Obligations — 8.7% (Cost: $118,228,341)

        118,840,028  
     

 

 

 
            Shares         
Investment Companies                  
Exchange Traded Funds — 7.3%              

iShares iBoxx $ High Yield Corporate Bond ETF(g)(j)

      760,755       58,943,297  

iShares iBoxx $ Investment Grade Corporate Bond ETF(g)(j)

      364,024       40,104,524  
     

 

 

 
        99,047,821  
     

 

 

 

Total Investment Companies — 7.3%
(Cost $97,856,745)

 

      99,047,821  
     

 

 

 

Total Long-Term Investments — 104.5%
(Cost: $1,411,584,862)

 

     1,420,596,895  
     

 

 

 
Short-Term Securities                  
Money Market Funds — 10.8%                  

BlackRock Cash Funds: Institutional, SL Agency Shares, 5.51%(j)(k)(l)

      145,981,235       146,068,824  

BlackRock Cash Funds: Treasury, SL Agency Shares, 5.32%(j)(k)

      100,000       100,000  
     

 

 

 

Total Short-Term Securities — 10.8%
(Cost: $146,168,065)

 

    146,168,824  
     

 

 

 

Total Investments Before TBA Sales Commitments — 115.3%
(Cost: $1,557,752,927)

 

    1,566,765,719  
     

 

 

 
Security  

Par

(000)

    Value  

TBA Sales Commitments(m)

   
Mortgage-Backed Securities — (2.4)%            

Uniform Mortgage-Backed Securities

   

3.50%, 02/13/54

    (33,900   $ (30,851,517

4.50%, 02/13/54

    (2,200     (2,126,952
   

 

 

 

Total TBA Sales Commitments — (2.4)% (Proceeds: $(32,955,715))

      (32,978,469
   

 

 

 

Total Investments, Net of TBA Sales Commitments — 112.9% (Cost: $1,524,797,212)

      1,533,787,250  
   

 

 

 

Liabilities in Excess of Other Assets — (12.9)%

 

    (174,848,246
   

 

 

 

Net Assets — 100.0%

    $  1,358,939,004  
   

 

 

 

 

(a) 

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

(b) 

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

(c) 

This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

(d) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(e) 

Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.

(f) 

Zero-coupon bond.

(g) 

All or a portion of this security is on loan.

(h) 

Perpetual security with no stated maturity date.

(i) 

Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

(j) 

Affiliate of the Fund.

(k) 

Annualized 7-day yield as of period end.

(l) 

All or a portion of this security was purchased with the cash collateral from loaned securities.

(m) 

Represents or includes a TBA transaction.

 

 

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

  45


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended January 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer   Value at
07/31/23
    Purchases
at Cost
     Proceeds
from Sale
    Net Realized
Gain (Loss)
   

Change in
Unrealized
Appreciation

(Depreciation)

    Value at
01/31/24
   

Shares

Held at
01/31/24

    Income    

Capital

Gain
Distributions
from
Underlying
Funds

 

BlackRock Cash Funds: Institutional, SL Agency Shares

  $ 4,834,571     $ 141,229,576 (a)     $     $ 4,165     $ 512     $ 146,068,824       145,981,235     $ 478,659 (b)    $ 10  

BlackRock Cash Funds: Treasury, SL Agency Shares

    100,000       0 (a)                         100,000       100,000       2,687        

iShares iBoxx $

High Yield Corporate Bond ETF

    5,279,262       74,553,677        (21,098,127     (101,555     310,040       58,943,297       760,755       173,510        

iShares iBoxx $ Investment Grade Corporate Bond ETF

    2,618,059       43,246,077        (6,557,236     (20,879     818,503       40,104,524       364,024       136,335        
        

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
         $ (118,269   $ 1,129,055     $ 245,216,645       $ 791,191     $ 10  
        

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

  (b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
     Expiration
Date
     Notional
Amount
(000)
     Value/
Unrealized
Appreciation
(Depreciation)
 

Long Contracts

           

2-Year U.S. Treasury Note

     30        03/28/24      $ 6,170      $ 4,829  

5-Year U.S. Treasury Note

     1,601        03/28/24        173,621        915,581  
           

 

 

 
              920,410  
           

 

 

 

Short Contracts

           

30-Year Euro Buxl Bond

     (8      03/07/24        1,189        641  

Euro BOBL

     (607      03/07/24        77,754        (410,294

Euro Bund

     (438      03/07/24        64,304        (635,019

Euro-Schatz

     (100      03/07/24        11,476        (19,606

10-Year U.S. Treasury Note

     (51      03/19/24        5,731        (52,994

10-Year U.S. Ultra Bond

     (236      03/19/24        27,623        (655,157

U.S. Long Bond

     (3      03/19/24        368        (8,380

U.S. Ultra Bond

     (36      03/19/24        4,655        (22,927

Long Gilt

     (10      03/26/24        1,267        (7,690
           

 

 

 
              (1,811,426
           

 

 

 
            $ (891,016
           

 

 

 

Forward Foreign Currency Exchange Contracts

 

Currency Purchased       

Currency Sold

     Counterparty   Settlement Date        Unrealized
Appreciation
(Depreciation)
 

COP

     4,569,740,000          USD          1,159,832      State Street Bank & Trust Company     02/01/24        $ 13,709  

COP

     1,329,403,000          USD          339,623      Barclays Bank PLC     02/05/24          1,577  

JPY

     8,999,398          USD          61,000      Citibank N.A.     02/22/24          337  

COP

     504,475,000          USD          128,241      Citibank N.A.     02/26/24          740  

COP

     1,426,985,998          USD          359,944      Citibank N.A.     03/14/24          3,788  

COP

     113,046,260          USD          28,278      Goldman Sachs & Co.     03/14/24          537  

 

 

46  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

 

Forward Foreign Currency Exchange Contracts (continued)

 

Currency Purchased       

Currency Sold

    Counterparty   Settlement Date        Unrealized
Appreciation
(Depreciation)
 

HUF

     87,828,174          USD        245,346     Deutsche Bank Securities Inc.     03/14/24        $ 932  

IDR

     14,663,798,902          USD        927,038     Bank of America N.A.     03/14/24          2,024  

INR

     23,020,937          USD        276,445     Bank of America N.A.     03/14/24          211  

INR

     16,250,923          USD        194,356     Deutsche Bank Securities Inc.     03/14/24          940  

KRW

     535,290,517          USD        401,354     Bank of America N.A.     03/14/24          663  

MYR

     2,519,731          USD        533,276     Barclays Bank PLC     03/14/24          2,133  

NOK

     647,754          USD        59,077     Goldman Sachs & Co.     03/14/24          2,573  

PLN

     5,667,235          USD        1,405,603     Deutsche Bank Securities Inc.     03/14/24          9,048  

RON

     496,000          USD        107,251     Deutsche Bank Securities Inc.     03/14/24          424  

THB

     44,738,600          USD        1,257,780     Barclays Bank PLC     03/14/24          7,280  

USD

     177,461          AUD        261,000     Goldman Sachs & Co.     03/14/24          6,003  

USD

     1,358,186          BRL        6,698,275     Citibank N.A.     03/14/24          11,152  

USD

     58,137          CLP        51,326,000     Citibank N.A.     03/14/24          3,111  

USD

     398,088          CZK        9,033,989     Barclays Bank PLC     03/14/24          5,290  

USD

     817,109          CZK        18,621,546     Goldman Sachs & Co.     03/14/24          7,445  

USD

     103,884          EUR        95,000     Barclays Bank PLC     03/14/24          1,040  

USD

     110,785          EUR        100,000     BNP Paribas SA     03/14/24          2,528  

USD

     138,021          GBP        108,559     Barclays Bank PLC     03/14/24          400  

USD

     450,751          IDR        7,068,227,778     Barclays Bank PLC     03/14/24          2,926  

USD

     1,008,939          MXN        17,449,212     Bank of America N.A.     03/14/24          2,016  

USD

     110,633          MXN        1,890,000     Goldman Sachs & Co.     03/14/24          1,569  

USD

     60,057          NOK        626,927     Barclays Bank PLC     03/14/24          389  

ZAR

     11,252,356          USD        594,115     Bank of America N.A.     03/14/24          4,838  

BRL

     3,021,576          USD        605,000     Goldman Sachs & Co.     03/20/24          2,218  

MXN

     7,496,552          USD        429,000     Deutsche Bank Securities Inc.     03/20/24          3,164  

USD

     598,514          BRL        2,958,000     Barclays Bank PLC     03/20/24          4,072  

USD

     10,681,380          BRL        52,707,269     Citibank N.A.     03/20/24          89,289  

USD

     1,014,964          BRL        5,031,655     Goldman Sachs & Co.     03/20/24          3,799  

USD

     4,710,704          EUR        4,335,000     Barclays Bank PLC     03/20/24          16,561  

USD

     105,590,586          EUR        96,265,000     BNP Paribas SA     03/20/24          1,350,297  

USD

     3,726,888          EUR        3,394,000     Citibank N.A.     03/20/24          51,705  

USD

     219,082,598          EUR        201,204,984     Deutsche Bank Securities Inc.     03/20/24          1,208,339  

USD

     10,230,129          EUR        9,420,000     Goldman Sachs & Co.     03/20/24          29,709  

USD

     4,188,418          GBP        3,291,000     Barclays Bank PLC     03/20/24          16,193  

USD

     23,281,354          GBP        18,315,000     Deutsche Bank Securities Inc.     03/20/24          62,183  

USD

     12,329,477          MXN        213,243,000     Deutsche Bank Securities Inc.     03/20/24          36,352  

USD

     2,117,839          MXN        36,231,093     Goldman Sachs & Co.     03/20/24          29,173  

USD

     1,351,548          BRL        6,677,094     Citibank N.A.     04/02/24          11,748  

USD

     1,105,822          CNY        7,835,991     Citibank N.A.     04/29/24          752  

COP

     563,553,000          USD        128,401     BNP Paribas SA     05/17/24          13,483  

COP

     372,232,840          USD        87,394     Barclays Bank PLC     08/15/24          4,901  

COP

     957,170,160          USD        221,357     BNP Paribas SA     08/15/24          15,972  

COP

     2,088,000,000          USD        501,940     BNP Paribas SA     10/23/24          10,804  
                   

 

 

 
                      3,056,337  
                   

 

 

 

EUR

     2,187,000          USD        2,366,755     Barclays Bank PLC     02/01/24          (3,264

USD

     339,738          COP        1,329,403,000     Barclays Bank PLC     02/05/24          (1,462

USD

     138,970          COP        563,553,000     Citibank N.A.     02/20/24          (5,271

USD

     61,000          TWD        1,926,014     Citibank N.A.     02/22/24          (707

USD

     338,261          COP        1,329,403,000     Barclays Bank PLC     02/26/24          (1,634

AUD

     247,576          USD        162,920     Citibank N.A.     03/14/24          (281

BRL

     4,648,485          USD        941,867     Citibank N.A.     03/14/24          (7,049

CLP

     377,954,630          USD        414,375     Citibank N.A.     03/14/24          (9,176

 

 

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

  47


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

 

Forward Foreign Currency Exchange Contracts (continued)

 

Currency Purchased       

Currency Sold

     Counterparty   Settlement Date        Unrealized
Appreciation
(Depreciation)
 

CLP

     121,730,085          USD          137,595      Goldman Sachs & Co.     03/14/24        $ (7,090

CZK

     7,594,102          USD          332,819      Deutsche Bank Securities Inc.     03/14/24          (2,627

EUR

     55,000          USD          60,057      Barclays Bank PLC     03/14/24          (516

EUR

     112,000          USD          122,444      BNP Paribas SA     03/14/24          (1,197

HUF

     37,014,974          USD          103,884      Barclays Bank PLC     03/14/24          (91

HUF

     39,412,000          USD          110,630      Citibank N.A.     03/14/24          (116

HUF

     236,026,830          USD          662,180      Deutsche Bank Securities Inc.     03/14/24          (341

IDR

     918,859,000          USD          59,492      Citibank N.A.     03/14/24          (1,276

KRW

     436,412,062          USD          334,048      Citibank N.A.     03/14/24          (6,291

MXN

     14,728,336          USD          849,976      Bank of America N.A.     03/14/24          (63

MXN

     1,951,000          USD          113,814      Goldman Sachs & Co.     03/14/24          (1,230

MYR

     1,698,378          USD          365,125      Barclays Bank PLC     03/14/24          (4,242

NOK

     1,125,560          USD          110,785      BNP Paribas SA     03/14/24          (3,659

NOK

     1,446,977          USD          138,845      Deutsche Bank Securities Inc.     03/14/24          (1,128

RON

     632,194          USD          137,784      Goldman Sachs & Co.     03/14/24          (544

USD

     299,567          BRL          1,496,583      Bank of America N.A.     03/14/24          (1,399

USD

     58,171          BRL          291,000      Barclays Bank PLC     03/14/24          (349

USD

     101,764          CLP          95,162,000      Goldman Sachs & Co.     03/14/24          (258

USD

     110,079          COP          433,051,000      BNP Paribas SA     03/14/24          (304

USD

     613,433          COP          2,487,066,739      Citibank N.A.     03/14/24          (20,509

USD

     1,136,391          COP          4,476,184,495      Goldman Sachs & Co.     03/14/24          (4,569

USD

     59,077          EUR          55,000      Goldman Sachs & Co.     03/14/24          (464

USD

     122,444          GBP          97,234      BNP Paribas SA     03/14/24          (820

USD

     235,732          HUF          84,209,067      Goldman Sachs & Co.     03/14/24          (397

USD

     1,761,330          IDR          27,901,230,671      Goldman Sachs & Co.     03/14/24          (6,422

USD

     230,739          MXN          4,078,660      Barclays Bank PLC     03/14/24          (4,624

USD

     724,902          PLN          2,916,853      Barclays Bank PLC     03/14/24          (3,200

USD

     296,328          PLN          1,191,302      Deutsche Bank Securities Inc.     03/14/24          (1,044

USD

     22,397          PLN          90,355      Goldman Sachs & Co.     03/14/24          (157

USD

     117,346          ZAR          2,221,000      Citibank N.A.     03/14/24          (876

USD

     2,048,625          ZAR          38,834,645      Deutsche Bank Securities Inc.     03/14/24          (18,508

BRL

     9,250,961          USD          1,879,000      Citibank N.A.     03/20/24          (19,920

BRL

     9,828,754          USD          1,977,000      Goldman Sachs & Co.     03/20/24          (1,806

IDR

     19,474,268,400          USD          1,241,000      Barclays Bank PLC     03/20/24          (7,321

MXN

     16,682,631          USD          967,000      Bank of America N.A.     03/20/24          (5,273

MXN

     33,846,444          USD          1,954,000      Barclays Bank PLC     03/20/24          (2,806

MXN

     10,766,721          USD          621,000      BNP Paribas SA     03/20/24          (315

USD

     1,460,882          BRL          7,280,672      Citibank N.A.     03/20/24          (2,247

USD

     5,196,086          BRL          25,910,271      Goldman Sachs & Co.     03/20/24          (10,861

USD

     520,893          COP          2,088,000,000      BNP Paribas SA     03/20/24          (10,755

USD

     1,498,370          COP          5,954,158,482      Citibank N.A.     03/20/24          (17,683

USD

     3,117,447          COP          12,439,434,000      Goldman Sachs & Co.     03/20/24          (49,892

USD

     6,881,306          EUR          6,373,000      Deutsche Bank Securities Inc.     03/20/24          (19,679

USD

     518,764          GBP          412,000      Barclays Bank PLC     03/20/24          (3,556

USD

     14,891,129          GBP          11,749,000      BNP Paribas SA     03/20/24          (3,877

USD

     845,784          GBP          668,000      Deutsche Bank Securities Inc.     03/20/24          (1,086

USD

     7,539,280          MXN          131,372,090      Deutsche Bank Securities Inc.     03/20/24          (34,116

USD

     896,130          MXN          15,692,000      Goldman Sachs & Co.     03/20/24          (8,489

ZAR

     2,013,383          USD          109,000      Deutsche Bank Securities Inc.     03/20/24          (1,884

USD

     468,268          BRL          2,436,333      Citibank N.A.     04/02/24          (20,597
                      

 

 

 
                         (345,318
                      

 

 

 
                       $ 2,711,019  
                      

 

 

 

 

 

48  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

 

Centrally Cleared Interest Rate Swaps

 

 

 

Paid by the Fund

     Received by the Fund   

Effective

Date

 

Termination

Date

    

Notional
Amount
(000)

    

Value

   

 

Upfront
Premium
Paid
(Received)

    Unrealized
Appreciation
(Depreciation)
 

 

Rate

  Frequency       Rate     Frequency 

 

 

1-Day SOFR, 5.32%

    Annual        5.37%     Annual    N/A     07/12/24        USD       4,500      $ 514     $ 7      $ 507  

1-Day SOFR, 5.32%

    Annual        5.37%     Annual    N/A     07/12/24        USD       4,500        649       7       642  

10.95%

    Monthly       
28-Day MXIBTIIE,
 11.50%
 
 
  Monthly    N/A     12/03/24        USD       21,120        (324     1       (325

10.76%

    Monthly       
28-Day MXIBTIIE,
 11.50%
 
 
  Monthly    N/A     01/23/25        USD       14,997        262       1       261  

4.68%

    Annual       
3-mo. PRIBOR,
 6.55%
 
 
  Quarterly    3/20/2024(a)     03/20/25        USD       13,502        (941     2       (943

4.84%

    Annual       
6-mo. PRIBOR,
 6.15%
 
 
  Semi-Annual    3/20/2024(a)     03/20/25        USD       14,824        (856     2       (858

4.75%

    Annual       
1-Day SOFR,
 5.32%
 
 
  Annual    N/A     07/24/25        USD       6,850        (9,878     23       (9,901

28-Day MXIBTIIE, 11.50%

    Monthly        10.84%     Monthly    N/A     09/25/25        USD       6,733        4,805       2       4,803  

28-Day MXIBTIIE, 11.50%

    Monthly        9.98%     Monthly    N/A     11/26/25        USD       7,020        658       2       656  

4.04%

    Annual       
6-mo. PRIBOR,
 6.15%
 
 
  Semi-Annual    3/20/2024(a)     03/20/26        USD       7,778        (1,049     1       (1,050

4.10%

    Annual       
6-mo. PRIBOR,
 6.15%
 
 
  Semi-Annual    3/20/2024(a)     03/20/26        USD       7,446        (1,357     2       (1,359

3-mo. KRW CDC, 3.68%

    Quarterly        3.38%     Quarterly    N/A     09/20/26        USD       26,867        49             49  

3-mo. KRW CDC, 3.68%

    Quarterly        3.51%     Quarterly    N/A     09/20/26        USD       441,195        1,981       3       1,978  

1-Day SOFR, 5.32%

    At Termination        4.17%     At Termination    10/23/2025(a)     10/23/26        USD       1,786        15,806       3       15,803  

1-Day SOFR, 5.32%

    At Termination        4.21%     At Termination    10/27/2025(a)     10/27/26        USD       3,655        33,761       7       33,754  

3-mo. KRW CDC, 3.68%

    Quarterly        3.54%     Quarterly    N/A     12/20/26        USD       251,959        1,490       2       1,488  

3-mo. KRW CDC, 3.68%

    Quarterly        3.22%     Quarterly    3/20/2024(a)     03/20/27        USD       394,532        144       2       142  

1-Day SOFR, 5.32%

    Annual        4.20%     Annual    10/23/2025(a)     10/23/27        USD       930        16,434       4       16,430  

1-Day SOFR, 5.32%

    Annual        3.92%     Annual    11/3/2025(a)     11/03/27        USD       478        6,052       2       6,050  

1-Day SOFR, 5.32%

    Annual        3.95%     Annual    11/3/2025(a)     11/03/27        USD       478        6,310       2       6,308  

1-Day SOFR, 5.32%

    Annual        3.99%     Annual    11/3/2025(a)     11/03/27        USD       957        13,221       4       13,217  

1-Day SOFR, 5.32%

    Annual        3.84%     Annual    11/17/2025(a)     11/17/27        USD       2,226        24,646       10       24,636  

1-Day SOFR, 5.32%

    Annual        3.74%     Annual    11/28/2025(a)     11/28/27        USD       1,250        11,516       5       11,511  

1-Day SOFR, 5.32%

    Annual        4.55%     Annual    N/A     10/11/28        USD       6,900        249,884       1,015       248,869  

28-Day MXIBTIIE, 11.50%

    Monthly        8.67%     Monthly    N/A     01/18/29        USD       6,694        (701     3       (704

28-Day MXIBTIIE, 11.50%

    Monthly        8.72%     Monthly    N/A     01/22/29        USD       1,887        62       1       61  

3.68%

    Annual       
1-Day SOFR,
 5.32%
 
 
  Annual    N/A     08/02/33        USD       3,700        3,654       58       3,596  
                   

 

 

   

 

 

   

 

 

 
               $ 376,792     $ 1,171      $ 375,621  
                   

 

 

   

 

 

   

 

 

 

 

(a) 

Forward Swap.

 

 

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

  49


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

 

OTC Interest Rate Swaps

 

 

 

Paid by the Fund

   

Received by the Fund

   

Counterparty

  

Effective

Date

   

Termination

Date

   

Notional

Amount

(000)

         

 

Upfront

Premium
Paid

(Received)

   

Unrealized
Appreciation

(Depreciation)

 
Rate   Frequency      Rate   Frequency     Value  

 

 

10.30%

    At Termination    

1-Day COOIS, 12.02%

    At Termination     Citibank N.A.      N/A       01/29/25       USD     $ 1,266,482     $ (500   $      $ (500

10.29%

    At Termination    

1-Day COOIS, 12.02%

    At Termination    

Citibank N.A.

     N/A       01/29/25       USD       3,530,322       (1,312           (1,312

10.18%

    At Termination    

1-Day COOIS, 12.02%

    At Termination    

Citibank N.A.

     N/A       06/20/25       USD       1,124,791       (1,775           (1,775

1-Day BZDIOVER, 0.44%

    At Termination    

10.92%

    At Termination    

BNP Paribas SA

     N/A       01/02/26       USD       293       678             678  

1-Day BZDIOVER, 0.44%

    At Termination    

10.81%

    At Termination    

Citibank N.A.

     N/A       01/02/26       USD       188       350             350  

1-Day BZDIOVER, 0.44%

    At Termination    

10.84%

    At Termination    

Citibank N.A.

     N/A       01/02/26       USD       209       418             418  

1-Day BZDIOVER, 0.44%

    At Termination    

10.56%

    At Termination    

Citibank N.A.

     N/A       01/02/26       USD       254       152             152  

1-Day BZDIOVER, 0.44%

    At Termination    

10.13%

    At Termination    

Barclays Bank PLC

     N/A       01/02/26       USD       453       (419           (419

1-Day BZDIOVER, 0.44%

    At Termination    

10.10%

    At Termination    

Citibank N.A.

     N/A       01/02/26       USD       941       (873           (873

1-Day BZDIOVER, 0.44%

    At Termination    

10.14%

    At Termination    

Goldman Sachs International

     N/A       01/02/26       USD       294       19             19  

1-Day BZDIOVER, 0.44%

    At Termination    

10.10%

    At Termination    

Citibank N.A.

     N/A       01/02/26       USD       891       903             903  

1-Day BZDIOVER, 0.44%

    At Termination    

9.59%

    At Termination    

BNP Paribas SA

     N/A       01/02/26       USD       2,978       (621           (621

1-Day BZDIOVER, 0.44%

    At Termination    

9.79%

    At Termination    

BNP Paribas SA

     N/A       01/04/27       USD       1,292       261             261  

1-Day BZDIOVER, 0.44%

    At Termination    

9.71%

    At Termination    

BNP Paribas SA

     N/A       01/04/27       USD       1,961       (331           (331

4.44%

    Quarterly    

1-Day CLP Interbank Rate, 23,432.52%

    Quarterly    

Goldman Sachs International

     1/26/2026 (a)      01/26/28       USD       268,982       (1,060           (1,060

4.40%

    Semi-Annual    

1-Day CLP Interbank Rate, 23,432.52%

    Semi-Annual    

Goldman Sachs International

     1/26/2026 (a)      01/26/28       USD       378,311       (1,236           (1,236

4.38%

    Semi-Annual    

1-Day CLP Interbank Rate, 23,432.52%

    Semi-Annual    

Goldman Sachs International

     1/30/2026 (a)      01/30/28       USD       855,818       (2,353           (2,353
                  

 

 

   

 

 

   

 

 

 
                   $ (7,699   $     $ (7,699
                  

 

 

   

 

 

   

 

 

 

 

(a) 

Forward Swap.

 

 

50  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

 

Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps

 

Description   Swap
Premiums
Paid
     Swap
Premiums
Received
     Unrealized
Appreciation
     Unrealized 
Depreciation
 

Centrally Cleared Swaps(a)

  $ 1,171      $      $ 390,761      $ (15,140 )  

OTC Swaps

                  2,781        (10,480

 

  (a) 

Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts.

 

Derivative Financial Instruments Categorized by Risk Exposure

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

 

 

 
    Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
    

Interest

Rate
Contracts

     Other
Contracts
     Total  

 

 

Assets — Derivative Financial Instruments

                   

Futures contracts

                   

Unrealized appreciation on futures contracts(a)

  $      $      $      $      $ 921,051      $      $ 921,051  

Forward foreign currency exchange contracts

                   

Unrealized appreciation on forward foreign currency exchange contracts

  $      $      $      $ 3,056,337      $      $      $ 3,056,337  

Swaps — OTC

                   

Unrealized appreciation on OTC swaps; Swap premiums paid

  $      $      $      $      $ 2,781      $      $ 2,781  

Swaps — centrally cleared

                   

Unrealized appreciation on centrally cleared swaps(a)

  $      $      $      $      $ 390,761      $      $ 390,761  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $      $      $      $ 3,056,337      $ 1,314,593      $      $ 4,370,930  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                   

Futures contracts

                   

Unrealized depreciation on futures contracts(a)

  $      $      $      $      $ 1,812,067      $      $ 1,812,067  

Forward foreign currency exchange contracts

                   

Unrealized depreciation on forward foreign currency exchange contracts

  $      $      $      $ 345,318      $      $      $ 345,318  

Swaps — OTC

                   

Unrealized depreciation on OTC swaps; Swap premiums received

  $      $      $      $      $ 10,480      $      $ 10,480  

Swaps — centrally cleared

                   

Unrealized depreciation on centrally cleared swaps(a)

  $      $      $      $      $ 15,140      $      $ 15,140  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $      $      $      $ 345,318      $ 1,837,687      $      $ 2,183,005  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

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

 

 

 

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

  51


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

 

For the period ended January 31, 2024, 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

                   
 

Futures contracts

  $      $      $      $     $ 640,283     $      $ 640,283    
 

Forward foreign currency exchange contracts

                         (886,932                  (886,932  
 

Options purchased(a)

                         (478                  (478  

 

Swaps

                               (287,352            (287,352  
   

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

   
    $      $      $      $ (887,410   $ 352,931     $      $ (534,479  
   

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

   
 

Net Change in Unrealized Appreciation (Depreciation) on

                   
 

Futures contracts

  $      $      $      $     $ (927,049   $      $ (927,049  
 

Forward foreign currency exchange contracts

                         2,869,313                    2,869,313    
 

Swaps

                               366,776              366,776    
   

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

   
    $      $      $      $ 2,869,313     $ (560,273   $      $ 2,309,040    
   

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

   

 

  (a) 

Options purchased are included in net realized gain (loss) from investments — unaffiliated.

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   
 

Futures contracts:

   
 

Average notional value of contracts — long

  $ 112,620,905    
 

Average notional value of contracts — short

  $ 105,566,239    
 

Forward foreign currency exchange contracts:

   
 

Average amounts purchased — in USD

  $ 16,935,981       

 

Average amounts sold — in USD

  $ 254,745,149    
 

Options:

   
 

Average market value of option contracts purchased

  $ 0 (a)   
 

Interest rate swaps:

   
 

Average notional value — pays fixed rate

  $ 15,135,123    
 

Average notional value — receives fixed rate

  $ 28,776,729    

 

  (a) 

Derivative financial instrument not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period.

 

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

Derivative Financial Instruments - Offsetting as of Period End

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

 

 

 

   
        Assets     Liabilities      
 

 

   
 

Derivative Financial Instruments:

     
 

Futures contracts

  $ 921,051     $ 1,812,067    

 

Forward foreign currency exchange contracts

    3,056,337       345,318    
 

Swaps - centrally cleared

    390,761       15,140    
 

Swaps - OTC(a)

    2,781       10,480    
   

 

 

   

 

 

   
 

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

    4,370,930       2,183,005    
 

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

    (1,311,812     (1,827,207  
   

 

 

   

 

 

   
 

Total derivative assets and liabilities subject to an MNA

  $ 3,059,118     $ 355,798    
   

 

 

   

 

 

   

 

  (a) 

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

 

 

 

52  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Flexible Income ETF

 

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:

 

 

 
    

Derivative

Assets

Subject to

an MNA by

     Derivatives
Available
   

Non-Cash

Collateral

    

Cash

Collateral

     Net Amount
of Derivative
 
Counterparty      Counterparty        for Offset (a)      Received        Received        Assets (b)(c) 

 

 

Bank of America N.A

   $ 9,752      $ (6,735   $      $      $ 3,017  

Barclays Bank PLC

     62,762        (33,484                   29,278  

BNP Paribas SA

     1,394,023        (21,879                   1,372,144  

Citibank N.A

     174,445        (116,459                   57,986  

Deutsche Bank Securities Inc.

     1,321,382        (80,413                   1,240,969  

Goldman Sachs & Co.

     83,026        (83,026                    

Goldman Sachs International

     19        (19                    

State Street Bank & Trust Company

     13,709                            13,709  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 
   $ 3,059,118      $ (342,015   $      $      $ 2,717,103  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 
             

 

 
    


Derivative
Liabilities
Subject to an
MNA by
 
 
 
 
    
Derivatives
Available
 
 
   
Non-Cash
Collateral
 
 
    
Cash
Collateral
 
 
    

Net
Amount of
Derivative
 
 
 
Counterparty      Counterparty        for Offset (a)      Pledged        Pledged        Liabilities (c)(d) 

 

 

Bank of America N.A

   $ 6,735      $ (6,735   $      $      $  

Barclays Bank PLC

     33,484        (33,484                    

BNP Paribas SA

     21,879        (21,879                    

Citibank N.A

     116,459        (116,459                    

Deutsche Bank Securities Inc.

     80,413        (80,413                    

Goldman Sachs & Co.

     92,179        (83,026                   9,153  

Goldman Sachs International

     4,649        (19                   4,630  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 
   $ 355,798      $ (342,015   $      $      $ 13,783  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

 

  (a) 

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

 
  (b) 

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

 
  (c) 

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

 
  (d) 

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

 

Fair Value Hierarchy as of Period End

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

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

 

         
     Level 1      Level 2     Level 3      Total  

Assets

         

Investments

         

Long-Term Investments

         

Asset-Backed Securities

  $      $ 189,952,392     $  153,451      $ 190,105,843  

Collaterized Mortgage Obligations

           125,922,579       498,412        126,420,991  

Convertible Bonds

    9,884,739        171,315              10,056,054  

Corporate Bonds & Notes

           807,947,885              807,947,885  

Foreign Government Obligations

           68,178,273              68,178,273  

U.S. Government Agency Obligations

           118,840,028              118,840,028  

Investment Companies

    99,047,821                     99,047,821  

Short-Term Securities

         

Money Market Funds

    146,168,824                     146,168,824  

Liabilities

         

Investments

         

TBA Sales Commitments

           (32,978,469            (32,978,469
 

 

 

    

 

 

   

 

 

    

 

 

 
  $ 255,101,384      $ 1,278,034,003     $ 651,863      $ 1,533,787,250  
 

 

 

    

 

 

   

 

 

    

 

 

 

 

 

 

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

  53


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Flexible Income ETF

 

Fair Value Hierarchy as of Period End (continued)

 

         
     Level 1     Level 2     Level 3      Total  

Derivative Financial Instruments(a)

        

Assets

        

Foreign Currency Exchange Contracts

  $     $  3,056,337     $      $ 3,056,337  

Interest Rate Contracts

    921,051       393,542              1,314,593  

Liabilities

        

Foreign Currency Exchange Contracts

          (345,318            (345,318

Interest Rate Contracts

    (1,812,067     (25,620            (1,837,687
 

 

 

   

 

 

   

 

 

    

 

 

 
  $ (891,016   $ 3,078,941     $    —        2,187,925  
 

 

 

   

 

 

   

 

 

    

 

 

 

 

  (a) 

Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

See notes to financial statements.

 

 

54  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Floating Rate Loan ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Corporate Bonds & Notes

   
Auto Parts & Equipment — 0.3%            

Clarios Global LP/Clarios U.S. Finance Co., 8.50%, 05/15/27 (Call 05/15/24)(a)

  $  80     $  79,781  
   

 

 

 
Chemicals — 0.3%            

WR Grace Holdings LLC, 5.63%, 08/15/29 (Call 08/15/24)(a)

    100       88,173  
   

 

 

 
Commercial Services — 1.1%            

Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 07/15/26 (Call 07/15/24)(a)

    130       128,097  

Prime Security Services Borrower LLC/Prime Finance Inc., 6.25%, 01/15/28 (Call 01/15/25)(a)

    60       59,459  

Sotheby’s, 7.38%, 10/15/27 (Call 10/15/24)(a)

    75       72,077  

Verscend Escrow Corp., 9.75%, 08/15/26 (Call 01/29/24)(a)

    40       40,160  
   

 

 

 
      299,793  
Engineering & Construction — 0.1%            

Brand Industrial Services Inc., 10.38%, 08/01/30 (Call 08/01/26)

    33       34,856  
   

 

 

 
Entertainment — 0.3%            

Caesars Entertainment Inc., 4.63%, 10/15/29 (Call 10/15/24)(a)

    45       41,135  

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29 (Call 07/01/29)(a)

    40       37,788  
   

 

 

 
      78,923  
Environmental Control — 0.5%            

GFL Environmental Inc., 4.00%, 08/01/28 (Call 08/01/24)(a)

    25       22,931  

Madison IAQ LLC, 5.88%, 06/30/29 (Call 06/30/24)(a)

    115       102,188  
   

 

 

 
      125,119  
Health Care - Products — 0.4%            

Medline Borrower LP, 5.25%, 10/01/29 (Call 10/01/24)(a)

    110       102,565  
   

 

 

 
Housewares — 0.2%            

SWF Escrow Issuer Corp., 6.50%, 10/01/29 (Call 10/01/24)(a)

    60       41,577  
   

 

 

 
Insurance — 1.0%            

Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27 (Call 10/15/24)(a)

    105       102,514  

AmWINS Group Inc., 4.88%, 06/30/29 (Call 06/30/24)(a)

    100       93,335  

HUB International Ltd., 7.38%, 01/31/32
(Call 01/31/27)(a)

    65       66,566  
   

 

 

 
      262,415  
Internet — 0.2%            

Uber Technologies Inc., 4.50%, 08/15/29
(Call 08/15/24)(a)

    45       42,594  
   

 

 

 
Machinery — 0.1%            

Vertiv Group Corp., 4.13%, 11/15/28 (Call 11/15/24)(a)

    25       23,199  
   

 

 

 
Machinery - Diversified — 0.1%            

Husky Injection Molding Systems Ltd./Titan Co.-Borrower LLC, 9.00%, 02/15/29(a)

    18       18,000  
   

 

 

 
Real Estate — 0.0%            

Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 01/15/29 (Call 01/15/25)(a)

    4       2,971  
   

 

 

 
Security   Par
(000)
    Value  
Real Estate Investment Trusts — 0.1%            

VICI Properties LP/VICI Note Co. Inc., 4.50%, 09/01/26 (Call 06/01/26)(a)

  $  30     $ 29,174  
   

 

 

 
Retail — 1.0%            

Fertitta Entertainment LLC/Fertitta Entertainment Finance Co. Inc., 6.75%, 01/15/30 (Call 01/15/25)(a)

    115       103,391  

IRB Holding Corp., 7.00%, 06/15/25 (Call 06/15/24)(a)

    60       59,629  

White Cap Buyer LLC, 6.88%, 10/15/28 (Call 10/15/24)(a)

    105       102,776  
   

 

 

 
      265,796  
Semiconductors — 0.2%            

Entegris Inc., 4.75%, 04/15/29 (Call 01/15/29)(a)

    55       52,575  
   

 

 

 
Software — 0.5%            

AthenaHealth Group Inc., 6.50%, 02/15/30 (Call 02/15/25)(a)

    40       35,731  

Central Parent LLC/CDK Global II LLC/CDK Financing Co. Inc., 8.00%, 06/15/29 (Call 06/15/25)(a)

    69       70,816  

Cloud Software Group Inc., 9.00%, 09/30/29 (Call 09/30/25)(a)

    29       27,447  
   

 

 

 
      133,994  
Telecommunications — 0.1%            

Level 3 Financing Inc., 11.00%, 11/15/29

    13       12,912  
   

 

 

 

Total Corporate Bonds & Notes — 6.5%
(Cost: $1,620,440)

       1,694,417  
   

 

 

 

Floating Rate Loan Interests(b)

   
Advertising — 0.3%            

ABG Intermediate Holdings 2 LLC, 2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.60%), 8.96%, 12/21/28

    41       40,785  

Clear Channel Outdoor Holdings Inc., Term Loan B, (3-mo. CME Term SOFR + 3.76%), 9.07%, 08/21/26

    34       33,469  
   

 

 

 
      74,254  
Aerospace & Defense — 1.8%            

Barnes Group Inc., Term Loan B, (1-mo. CME Term SOFR + 3.10%), 8.43%, 09/03/30

    30       29,913  

Bleriot U.S. Bidco Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.26%), 9.61%, 10/31/28

    17       16,938  

Cobham Ultra SeniorCo S.a.r.l, USD Term Loan B,
(6-mo. CME Term SOFR at 0.50% Floor + 3.50%), 9.36%, 08/03/29

    30       29,257  

Dynasty Acquisition Co. Inc.

   

2023 Term Loan B1, (1-mo. CME Term SOFR + 4.00%), 9.33%, 08/24/28

    148       147,985  

2023 Term Loan B2, (1-mo. CME Term SOFR + 4.00%), 9.33%, 08/24/28

    63       63,422  

TransDigm Inc.

   

2023 Term Loan I, (3-mo. CME Term SOFR + 3.25%), 8.60%, 08/24/28

    131       131,267  

2023 Term Loan J, (3-mo. CME Term SOFR at 1.00% Floor + 3.25%), 8.60%, 02/14/31

    61       61,050  
   

 

 

 
      479,832  
Airlines — 2.0%            

Air Canada, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.61%), 9.14%, 08/11/28

    79       78,985  

American Airlines Inc.

   

2017 1st Lien Term Loan, (3-mo. CME Term SOFR + 1.85%), 7.32%, 01/29/27

    39       38,988  

 

 

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

  55


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Floating Rate Loan ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Airlines (continued)            

2023 Term Loan B, (3-mo. CME Term SOFR + 3.18%), 8.60%, 02/15/28

    79     $ 78,863  

2023 1st Lien Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.87%, 06/04/29

     105       104,804  

2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.01%), 10.33%, 04/20/28

    59       59,913  

Kestrel Bidco Inc., Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.10%), 8.44%, 12/11/26

    23       22,941  

Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 5.40%), 10.77%, 06/21/27

    73       74,964  

United Airlines Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.86%), 9.20%, 04/21/28

    71       70,735  
   

 

 

 
       530,193  
Apparel — 0.2%            

Crocs Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.15%), 8.50%, 02/20/29

    21       20,752  

Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.36%), 8.70%, 11/24/28

    20       20,035  

Hanesbrands Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.08%, 03/08/30

    13       12,797  
   

 

 

 
      53,584  
Auto Parts & Equipment — 1.1%            

Adient U.S. LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.59%, 01/29/31

    13       12,981  

Clarios Global LP, 2024 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.33%, 05/06/30

    88       87,790  

Tenneco Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 5.10%), 10.47%, 11/17/28

    44       39,765  

Wand NewCo 3 Inc., 2024 Term Loan B, 01/30/31(c)

    148       148,000  
   

 

 

 
      288,536  
Banks — 1.2%            

AqGen Ascensus Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.76%), 12.09%, 08/02/29

    33       31,382  

AqGen Island Holdings Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.61%), 8.95%, 08/02/28

    142       141,283  

Camelot U.S. Acquisition LLC, 2024 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.31%, 01/25/31(d)

    141       141,237  
   

 

 

 
      313,902  
Beverages — 1.1%            

Naked Juice LLC

   

Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.70%, 01/24/29

     186       175,691  

2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.10%), 11.45%, 01/24/30

    79       63,446  

Triton Water Holdings Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.51%), 8.86%, 03/31/28

    44       43,416  
   

 

 

 
      282,553  
Building Materials — 2.3%            

ACProducts Holdings Inc., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.51%), 9.86%, 05/17/28

    39       34,059  

Chamberlain Group Inc.

   

2024 Incremental Term Loan B, 11/03/28(c)(d)

    21       20,869  
Security   Par
(000)
    Value  
Building Materials (continued)            

Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.68%, 11/03/28

     104     $  102,612  

CP Atlas Buyer Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.18%, 11/23/27

    49       47,844  

CPG International Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.60%), 7.93%, 04/28/29

    30       29,551  

Emrld Borrower LP, Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.31%, 05/31/30

    40       39,915  

Foundation Building Materials Holding Co. LLC, 2024 Term Loan B2, 01/29/31(c)

    56       55,676  

Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1-mo. CME Term SOFR + 1.85%), 7.18%, 03/01/27

    17       17,461  

IPS Corp., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.18%, 10/02/28

    10       10,286  

Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.60%), 9.95%, 04/29/29

    54       53,850  

Quikrete Holdings Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.86%), 8.20%, 03/19/29

    20       19,888  

Smyrna Ready Mix Concrete LLC, 2023 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.84%, 04/02/29(d)

    18       17,713  

Standard Industries Inc./NJ, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.70%, 09/22/28

    39       39,161  

Summit Materials LLC, 2023 Incremental Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.83%, 01/12/29

    24       24,060  

Wilsonart LLC, 2021 Term Loan E, (3-mo. CME Term SOFR at 1.00% Floor + 3.35%), 8.70%, 12/31/26

    79       78,834  
   

 

 

 
      591,779  
Chemicals — 3.1%            

Arc Falcon I Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.60%), 8.93%, 09/30/28

    40       39,154  

Aruba Investments Inc., 2020 USD Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.10%), 9.43%, 11/24/27

    25       24,333  

Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.85%), 10.32%, 08/27/26

    20       18,785  

Axalta Coating Systems U.S. Holdings Inc., 2023 USD Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.85%, 12/20/29

    51       51,269  

Chemours Co. (The), 2023 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.83%, 08/18/28

    40       39,730  

Derby Buyer LLC, USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.60%, 11/01/30

    127       127,317  

Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.39%), 9.71%, 10/04/29

    25       24,349  

Element Solutions Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.33%, 12/18/30

    40       39,472  

H.B. Fuller Co., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.58%, 02/15/30

    11       10,907  

Ineos U.S. Finance LLC, 2023 USD Term Loan B, (1-mo. CME Term SOFR + 3.60%), 8.93%, 02/18/30

    20       19,632  

Lonza Group AG, USD Term Loan B, (3-mo. CME Term SOFR + 4.03%), 9.37%, 07/03/28

    30       27,536  

 

 

56  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Floating Rate Loan ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Chemicals (continued)            

LSF11 A5 Holdco LLC

   

Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.61%), 8.95%, 10/15/28

    51     $ 51,097  

2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.35%), 9.68%, 10/15/28

    10       9,931  

Momentive Performance Materials Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.83%, 03/29/28

    77       75,980  

Nouryon Finance BV, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 4.10%), 9.47%, 04/03/28

    44       43,755  

Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (3-mo. CME Term SOFR + 3.70%), 8.93%, 10/14/24

    54       52,577  

PQ Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.60%), 7.91%, 06/09/28

    39       39,338  

SCIH Salt Holdings Inc., 2021 Incremental Term Loan B, 03/16/27(c)

    20       19,935  

Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.36%), 8.72%, 08/02/28

    39       39,348  

WR Grace Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.01%), 9.36%, 09/22/28

    54       54,394  
   

 

 

 
       808,839  
Commercial Mbs — 0.4%            

GTCR W Merger Sub LLC, USD Term Loan B, 01/31/31(c)

    96       95,900  
   

 

 

 
Commercial Services — 7.0%            

Albion Financing 3 SARL, USD Term Loan, (3-mo. CME Term SOFR + 5.51%), 10.83%, 08/17/26

    64       64,433  

AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.20%, 02/04/28

    81       80,893  

Allied Universal Holdco LLC

   

2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.18%, 05/12/28

     209       205,911  

2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.08%, 05/12/28

    12       11,933  

Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.86%), 7.20%, 08/06/27

    30       29,429  

AVSC Holding Corp., 2020 Term Loan B1, (1-mo. CME Term SOFR at 1.00% Floor + 3.25%, 0.25% PIK), 8.93%, 03/03/25(e)

    45       43,805  

Belron Finance U.S. LLC

   

2023 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.11%), 7.45%, 04/13/28

    96       96,334  

2023 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.35%), 7.66%, 04/18/29(d)

    15       14,944  

Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.36%), 7.70%, 11/24/28

    59       59,078  

CHG Healthcare Services Inc., 2021 Term Loan,
(1-mo. CME Term SOFR at 0.50% Floor + 3.36%), 8.70%, 09/29/28

    49       49,163  

CoreLogic Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.61%), 8.95%, 06/02/28

    160       154,457  

Creative Artists Agency LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.83%, 11/27/28

    143       142,465  
Security  

Par

(000)

    Value  
Commercial Services (continued)            

Element Materials Technology Group U.S. Holdings Inc.

   

2022 USD Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.35%), 9.70%, 07/06/29

    19     $ 18,613  

2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.35%), 9.70%, 07/06/29

    41       40,327  

Galaxy U.S. Opco Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.06%, 04/29/29(d)

    49       42,498  

Garda World Security Corp., 2022 Term Loan B, 02/01/29(c)

    17       16,987  

KUEHG Corp., 2023 Term Loan, (3-mo. CME Term

   

SOFR at 0.50% Floor + 5.00%), 10.35%, 06/12/30

    45       44,871  

Learning Care Group Inc., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.10%, 08/11/28

    8       7,976  

Mavis Tire Express Services Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.08%, 05/04/28

    59       59,180  

Midas Intermediate Holdco II LLC, 2022 PIK Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.85%, 1.50% PIK), 13.69%, 06/30/27(e)

    71       70,186  

PECF USS Intermediate Holding III Corp., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.51%), 9.82%, 12/15/28

    36       26,596  

Prime Security Services Borrower LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.83%, 10/14/30

    30       30,004  

Sotheby’s, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.76%), 10.08%, 01/15/27

     134       132,748  

Spring Education Group Inc., Term Loan, (3-mo. CME Term SOFR + 4.50%), 9.85%, 10/04/30

    54       53,721  

Trans Union LLC

   

2019 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 7.19%, 11/16/26

    39       39,332  

2021 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 2.51%), 7.70%, 12/01/28

    67       66,905  

TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.10%), 9.43%, 11/02/27

    106       102,425  

Verscend Holding Corp., 2021 Term Loan B, (1-mo. CME Term SOFR + 4.11%), 9.45%, 08/27/25

    84       83,894  

Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.11%), 10.45%, 07/30/28

    36       36,280  
   

 

 

 
       1,825,388  
Computers — 2.7%            

Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.34%, 02/15/29

    50       49,562  

ASGN Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.58%, 08/30/30

    14       14,003  

Atlas CC Acquisition Corp.

   

Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.51%), 9.90%, 05/25/28

    153       143,081  

Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.51%), 9.90%, 05/25/28

    27       25,313  

Magenta Buyer LLC

   

2021 USD 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.26%), 10.57%, 07/27/28

    69       44,883  

2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 8.51%), 13.82%, 07/27/29

    40       13,960  

McAfee LLC, 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.20%, 03/01/29

    129       127,487  

 

 

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

  57


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Floating Rate Loan ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Computers (continued)            

Peraton Corp.

   

Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.85%), 9.18%, 02/01/28

    119     $ 118,457  

2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.85%), 13.22%, 02/01/29

    30       29,755  

Tempo Acquisition LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.08%, 08/31/28

    148       148,017  
   

 

 

 
       714,518  
Cosmetics & Personal Care — 1.2%            

Sunshine Luxembourg VII SARL, 2021 USD Term Loan B3, (3-mo. CME Term SOFR at 0.75% Floor + 3.60%), 8.95%, 10/01/26

    312       312,378  
   

 

 

 
Distribution & Wholesale — 1.0%            

American Builders & Contractors Supply Co. Inc., 2019 Term Loan, (1-mo. CME Term SOFR + 2.00%), 7.33%, 01/15/27

    59       59,079  

Core & Main LP, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.60%), 7.97%, 07/27/28

    113       113,221  

Dealer Tire Financial LLC, 2024 Term Loan B3, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.08%, 12/14/27

    54       54,382  

PAI Holdco Inc., 2020 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.01%), 9.32%, 10/28/27

    45       43,069  
   

 

 

 
      269,751  
Diversified Financial Services — 2.7%            

Advisor Group Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 4.50%), 9.83%, 08/17/28

    62       61,451  

Aretec Group Inc., 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.60%), 9.93%, 08/09/30(c)

    34       33,919  

Castlelake Aviation Ltd., Term Loan B, (3-mo. CME Term SOFR + 3.01%), 8.13%, 10/22/26

    69       68,613  

Deerfield Dakota Holding LLC

   

2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 9.10%, 04/09/27

    257       252,615  

2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.01%), 12.36%, 04/07/28

    50       49,063  

Digicel International Finance Ltd., 2024 Term Loan,
(3-mo. CME Term SOFR + 5.15%), 10.47%, 05/25/27

    31       30,844  

Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.85%), 7.18%, 04/28/28

    59       59,056  

Focus Financial Partners LLC

   

2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 06/30/28

    30       29,506  

2024 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.08%, 06/30/28

    45       44,705  

Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3-mo. CME Term SOFR + 2.26%), 7.61%, 11/05/28

    30       30,000  

Trans Union LLC, 0.00%, 12/01/28

    35       35,000  
   

 

 

 
      694,772  
Electric — 0.6%            

Calpine Construction Finance Co. LP, 2023 Refinancing Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.59%, 07/31/30

    40       39,650  

Calpine Corp., Term Loan B9, 01/31/31(c)

    42       41,601  
Security  

Par

(000)

    Value  
Electric (continued)            

ExGen Renewables IV LLC, 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 2.76%), 8.15%, 12/15/27

    38     $ 37,575  

Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.11%), 8.45%, 01/21/28

    30       30,003  
   

 

 

 
      148,829  
Electrical Components & Equipment — 0.2%            

Brookfield WEC Holdings Inc., 2024 Term Loan, 01/17/31(c)

    44       43,739  

Energizer Holdings Inc., 2020 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.36%), 7.70%, 12/22/27

    14       14,279  
   

 

 

 
      58,018  
Electronics — 0.2%            

II-VI Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.20%, 07/02/29

    40       39,902  

MX Holdings U.S. Inc., 2023 USD Term Loan B1D, (1-mo. CME Term SOFR at 0.75% Floor + 2.86%), 8.20%, 07/31/28(c)

    7       6,957  
   

 

 

 
      46,859  
Engineering & Construction — 1.2%            

Apple Bidco LLC

   

2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.20%, 09/22/28

    44       44,183  

2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.83%, 09/22/28

    25       24,767  

Brand Industrial Services Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.50%), 10.88%, 08/01/30

     209       207,937  

Legence Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.60%), 8.93%, 12/16/27

    8       7,911  

USIC Holdings Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.76%), 9.11%, 05/12/28

    39       39,128  
   

 

 

 
      323,926  
Entertainment — 5.7%            

Bally’s Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.83%, 10/02/28

    42       38,835  

Caesars Entertainment Inc.

   

2024 Term Loan B1, 01/24/31(c)

    126       125,685  

Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.66%, 02/06/30

    41       40,620  

CDS U.S. Intermediate Holdings Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.60%, 03/08/30

    33       32,589  

Charter Next Generation Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.84%, 12/01/27

    170       168,681  

Churchill Downs Inc., 2021 Incremental Term Loan B1,
(1-mo. CME Term SOFR + 2.10%), 7.43%, 03/17/28

    49       49,246  

ECL Entertainment LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.08%, 08/31/30

    16       15,968  

Flutter Financing BV, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.35%), 7.70%, 11/25/30

    156       155,426  

Formula One Holdings Ltd., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.60%, 01/15/30

    64       63,904  

 

 

58  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Floating Rate Loan ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Entertainment (continued)            

Herschend Entertainment Co. LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.11%), 8.33%, 08/27/28

    49     $ 49,400  

Light and Wonder International Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.08%, 04/14/29

    39       39,482  

Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.35%), 7.68%, 03/24/25

    39       39,172  

Live Nation Entertainment Inc., Term Loan B4,
(1-mo. CME Term SOFR + 1.85%), 7.19%, 10/19/26

     129       128,481  

Motion Finco SARL

   

USD Term Loan B1, (3-mo. CME Term SOFR + 3.25%), 8.86%, 11/12/26

    32       31,758  

Delayed Draw Term Loan B2, (3-mo. CME Term SOFR + 3.25%), 8.86%, 11/12/26

    5       4,527  

NASCAR Holdings LLC, Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.95%, 10/19/26

    9       9,326  

Penn Entertainment Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.85%), 8.18%, 05/03/29(b)

    69       68,895  

SeaWorld Parks & Entertainment Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 08/25/28

    24       23,729  

SMG U.S. Midco 2 Inc., 2020 Term Loan, (3-mo. CME Term SOFR + 2.76%), 8.07%, 01/23/25

    30       29,596  

Stars Group Holdings BV, 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.52%), 8.86%, 07/22/28

    21       20,643  

UFC Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.01%), 8.34%, 04/29/26

    63       62,881  

William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 2.86%), 8.20%, 05/18/25

    179       179,248  

WMG Acquisition Corp., 2024 Term Loan I, (3-mo. CME Term SOFR + 2.00%), 7.34%, 01/24/31

    111       110,959  
   

 

 

 
       1,489,051  
Environmental Control — 1.5%            

Covanta Holding Corp.

   

2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 11/30/28

    44       43,893  

2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 11/30/28

    3       3,346  

Filtration Group Corp.

   

2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.61%), 8.95%, 10/21/28

    74       73,954  

2023 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.36%), 9.70%, 10/21/28

    59       59,252  

GFL Environmental Inc., 2023 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.82%, 05/31/27

    23       22,566  

JFL-Tiger Acquisition Co. Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.32%, 10/17/30

    18       17,962  

Madison IAQ LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.36%), 8.70%, 06/21/28

    119       117,974  

Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.35%), 8.69%, 03/09/28

    36       23,814  
Security   Par
(000)
    Value  
Environmental Control (continued)            

The Action Environmental Group Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.88%, 10/24/30(d)

    21     $ 20,999  
   

 

 

 
       383,760  
Food — 2.7%            

8th Avenue Food & Provisions Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.86%), 9.20%, 10/01/25

    61       59,150  

B&G Foods Inc., 2019 Term Loan B4, (1-mo. CME Term SOFR + 2.50%), 7.83%, 10/10/26

    9       8,832  

Chobani LLC

   

2020 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.61%), 8.95%, 10/25/27

    123       123,528  

2023 Incremental Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.08%, 10/25/27

    25       25,000  

Froneri International Ltd., 2020 USD Term Loan, (1-mo. CME Term SOFR + 2.35%), 7.68%, 01/29/27

     194       193,127  

H Food Holdings LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.95%), 9.27%, 05/23/25

    15       11,448  

Nomad Foods U.S. LLC, Term Loan B4, (6-mo. CME Term SOFR at 0.50% Floor + 3.07%), 8.47%, 11/13/29

    30       29,846  

Sovos Brands Intermediate Inc., 2021 Term Loan,
(3-mo. CME Term SOFR at 0.75% Floor + 3.76%), 9.07%, 06/08/28

    75       75,527  

U.S. Foods Inc.

   

2019 Term Loan B, (1-mo. CME Term SOFR + 2.11%), 7.45%, 09/13/26

    46       46,019  

2021 Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.95%, 11/22/28

    22       21,888  

UTZ Quality Foods LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.11%), 8.45%, 01/20/28

    104       103,614  
   

 

 

 
      697,979  
Food Service — 0.3%            

Aramark Services Inc.

   

2021 Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.95%, 04/06/28

    20       19,955  

2023 Term Loan B6, (1-mo. CME Term SOFR + 2.61%), 7.95%, 06/22/30

    49       49,128  
   

 

 

 
      69,083  
Forest Products & Paper — 0.1%            

Asplundh Tree Expert LLC, 2021 Term Loan B, (1-mo.

   

CME Term SOFR + 1.85%), 7.18%, 09/07/27

    39       39,454  
   

 

 

 
Health Care - Products — 2.7%            

Avantor Funding Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 2.35%), 7.68%, 11/08/27

    28       28,110  

Bausch & Lomb Corp.

   

Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.68%, 05/10/27

    130       126,519  

2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.33%, 09/29/28(d)

    30       29,327  

Femur Buyer Inc., 1st Lien Term Loan, (3-mo. CME Term SOFR + 4.76%), 10.11%, 03/05/26

    30       25,889  

Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.31%, 10/19/27

    74       73,222  

 

 

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

  59


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Floating Rate Loan ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Health Care - Products (continued)            

Medical Solutions Holdings Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.68%, 11/01/28

    30     $ 26,618  

Medline Borrower LP, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.11%), 8.45%, 10/23/28

    313       311,991  

Sotera Health Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.20%, 12/11/26

    94       94,174  
   

 

 

 
      715,850  
Health Care - Services — 2.2%            

Catalent Pharma Solutions Inc., 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.50% Floor + 2.11%), 7.45%, 02/22/28

    64       63,262  

Da Vinci Purchaser Corp., 2019 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.11%), 9.45%, 01/08/27

    29       29,378  

Electron BidCo Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.11%), 8.45%, 11/01/28

    64       64,030  

eResearchTechnology Inc., 2020 1st Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.61%), 9.95%, 02/04/27

    24       24,304  

Fortrea Holdings Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.08%, 07/01/30

    14       13,923  

ICON Luxembourg S.A.R.L., LUX Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.51%), 7.86%, 07/03/28

    59       59,163  

IQVIA Inc., 2023 USD Term Loan B4, (3-mo. CME Term SOFR + 2.00%), 7.35%, 01/02/31

    43       43,043  

MED ParentCo LP, 1st Lien Term Loan, (1-mo. CME Term SOFR + 4.36%), 9.70%, 08/31/26

    11       10,381  

Phoenix Newco Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.36%), 8.70%, 11/15/28

    124       123,269  

Precision Medicine Group LLC, 2021 Term Loan,
(3-mo. CME Term SOFR at 0.75% Floor + 3.10%), 8.45%, 11/18/27

    44       43,558  

Star Parent Inc., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.35%, 09/27/30

    55       53,664  

Surgery Center Holdings Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.83%, 12/19/30

    43       43,069  
   

 

 

 
       571,044  
Holding Companies - Diversified — 0.0%            

GIP Pilot Acquisition Partners LP, Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.33%, 10/04/30

    10       9,996  
   

 

 

 
Home Furnishings — 0.6%            

AI Aqua Merger Sub Inc., 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/31/28

    40       40,428  

Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.36%), 8.70%, 10/30/27

     141       127,338  
   

 

 

 
      167,766  
Housewares — 1.0%            

Hunter Douglas Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.88%, 02/26/29

    129       126,510  

Restoration Hardware Inc.

   

Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.61%), 7.95%, 10/20/28

    20       18,908  
Security   Par
(000)
    Value  
Housewares (continued)            

2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.68%, 10/20/28

    20     $ 19,034  

Springs Windows Fashions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.11%), 9.45%, 10/06/28

    118       104,567  
   

 

 

 
      269,019  
Insurance — 5.8%            

Alliant Holdings Intermediate LLC, 2023 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.83%, 11/06/30

    177       177,122  

AmWINS Group Inc.

   

2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.36%), 7.70%, 02/19/28

    104       103,572  

2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.86%), 8.20%, 02/19/28

    16       15,772  

Amynta Agency Borrower Inc., 2023 1st Lien Term Loan B, (1-mo. CME Term SOFR + 4.25%), 9.58%, 02/28/28

    48       47,787  

AssuredPartners Inc.

   

2020 Term Loan B, (1-mo. CME Term SOFR + 3.61%), 8.95%, 02/12/27

    99       98,369  

2023 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.08%, 02/12/27(c)

    3       2,984  

Asurion LLC

   

2020 Term Loan B8, (1-mo. CME Term SOFR + 3.36%), 8.70%, 12/23/26

    89       88,372  

2023 Term Loan B11, (1-mo. CME Term SOFR + 4.35%), 9.68%, 08/19/28

    11       10,792  

2021 2nd Lien Term Loan B3, (1-mo. CME Term SOFR + 5.36%), 10.70%, 01/31/28

    65       62,168  

2021 2nd Lien Term Loan B4, (1-mo. CME Term SOFR + 5.36%), 10.70%, 01/20/29

    30       28,397  

Baldwin Risk Partners LLC, 2021 Term Loan B,
(1-mo. CME Term SOFR at 0.50% Floor + 3.61%), 8.95%, 10/14/27

    49       49,182  

HUB International Ltd.

   

2024 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.57%, 06/20/30

    214       214,279  

2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.51%), 9.59%, 06/20/30

    55       54,979  

Jones Deslauriers Insurance Management Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.62%, 03/15/30

    40       39,975  

Ryan Specialty Group LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.08%, 09/01/27

    84       84,151  

Sedgwick Claims Management Services Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.08%, 02/24/28

    179       178,748  

USI Inc.

   

2023 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.35%, 11/22/29

     179       178,197  

2023 Acquisition Term Loan, (3-mo. CME Term SOFR + 3.25%), 8.60%, 09/27/30(c)

    91       90,749  
   

 

 

 
       1,525,595  
Internet — 3.6%            

Adevinta ASA, USD Term Loan B, (3-mo. CME Term SOFR + 3.01%), 8.36%, 06/26/28

    17       16,723  

 

 

60  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Floating Rate Loan ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Internet (continued)            

Barracuda Networks Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.81%, 08/15/29

    20     $ 19,104  

CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.83%, 11/08/27

    70       70,164  

Gen Digital Inc., 2022 Term Loan B, (1-mo. CME Term

   

SOFR at 0.50% Floor + 2.10%), 7.43%, 09/12/29

    56       55,791  

Go Daddy Operating Co. LLC

   

2024 Term Loan B6, (1-mo. CME Term SOFR + 2.00%), 7.33%, 11/09/29

    44       43,528  

2021 Term Loan B4, (1-mo. CME Term SOFR + 2.11%), 7.45%, 08/10/27

    39       39,454  

I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.15%), 9.50%, 02/16/28

    20       19,555  

ION Trading Finance Ltd., 2021 USD Term Loan,
(3-mo. CME Term SOFR + 4.85%), 10.20%, 04/03/28

    20       19,381  

MH Sub I LLC

   

2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.58%, 05/03/28

     117       114,833  

2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.58%, 02/23/29

    100       95,583  

Proofpoint Inc.

   

1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.36%), 8.70%, 08/31/28

    183       181,737  

2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.36%), 11.70%, 08/31/29

    30       29,970  

PUG LLC, USD Term Loan, (1-mo. CME Term SOFR + 3.61%), 8.95%, 02/12/27

    169       166,525  

Uber Technologies Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.13%, 03/03/30

    59       58,494  

Voyage Australia Pty. Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.76%), 9.08%, 07/20/28

    9       8,729  
   

 

 

 
      939,571  
Leisure Time — 2.1%            

Alterra Mountain Co., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.85%), 9.18%, 05/31/30

    5       4,975  

Carnival Corp., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.34%, 08/08/27

    65       64,776  

City Football Group Ltd., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.11%), 8.45%, 07/21/28

    63       62,663  

Equinox Holdings Inc., 2017 1st Lien Term Loan,
(3-mo. LIBOR US at 1.00% Floor + 3.00%), 8.61%, 03/08/24 .

    108        106,810  

Hayward Industries Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.20%, 05/30/28

    39       39,388  

Peloton Interactive Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 7.10%), 12.48%, 05/25/27

    20       19,906  

Topgolf Callaway Brands Corp., Term Loan B,
(1-mo. CME Term SOFR + 3.60%), 8.93%, 03/15/30

    36       35,626  

Whatabrands LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.11%), 8.45%, 08/03/28

    210       209,086  
   

 

 

 
      543,230  
Lodging — 2.3%            

Aimbridge Acquisition Co. Inc., 2019 Term Loan B,
(1-mo. CME Term SOFR + 3.86%), 9.20%, 02/02/26

    68       65,103  
Security  

Par

(000)

    Value  
Lodging (continued)            

Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.33%, 01/27/29

     188     $ 187,626  

Four Seasons Hotels Ltd.

   

2024 Term Loan B, 11/30/29(c)

    23       22,986  

2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.60%), 7.93%, 11/30/29

    106       105,863  

Hilton Domestic Operating Co. Inc., 2023 Term Loan B4, (1-mo. CME Term SOFR + 2.10%), 7.44%, 11/08/30

    129       128,952  

Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.58%, 01/05/29

    16       15,824  

Station Casinos LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 0.25% Floor + 2.35%), 7.68%, 02/08/27

    39       39,363  

Wyndham Hotels & Resorts Inc., 2023 Term Loan B,
(1-mo. CME Term SOFR + 2.35%), 7.68%, 05/24/30

    30       29,837  
   

 

 

 
       595,554  
Machinery — 2.6%            

Arcline FM Holdings LLC, 2021 1st Lien Term Loan,
(3-mo. CME Term SOFR at 0.75% Floor + 5.01%), 10.36%, 06/23/28

    39       39,319  

Gardner Denver Inc., 2020 USD Term Loan B2, (1-mo. CME Term SOFR + 1.85%), 7.18%, 03/01/27

    31       31,239  

Generac Power Systems Inc., 2019 Term Loan B,
(1-mo. CME Term SOFR + 1.85%), 7.20%, 12/13/26(c)

    10       9,984  

Roper Industrial Products Investment Co. LLC, 2023 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.35%, 11/22/29

    193       193,431  

SPX Flow Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.60%), 9.93%, 04/05/29

    70       69,638  

Titan Acquisition Ltd., 2018 Term Loan B, (1-mo. CME Term SOFR + 3.11%), 8.45%, 03/28/25

    94       93,670  

TK Elevator U.S. Newco Inc., Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.93%), 9.08%, 07/30/27

    169       168,760  

Vertiv Group Corp., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.97%, 03/02/27

    84       83,758  
   

 

 

 
      689,799  
Manufacturing — 0.3%            

Gates Global LLC, 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.60%), 7.93%, 03/31/27

    69       68,983  

Mavis Tire Express Services Corp., 2024 Term Loan B, 05/04/28(c)

    8       7,992  
   

 

 

 
      76,975  
Media — 1.3%            

Altice Financing SA, USD 2017 1st Lien Term Loan,
(3-mo. LIBOR US + 2.75%), 8.33%, 01/31/26(d)

    39       38,878  

Charter Communications Operating LLC, 2023 Term Loan B4, (3-mo. CME Term SOFR + 2.00%), 7.33%, 12/07/30

    42       41,106  

CSC Holdings LLC, 2019 Term Loan B5, (1-mo. LIBOR US + 2.50%), 7.95%, 04/15/27

    59       56,434  

DirecTV Financing LLC, Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.26%), 10.65%, 08/02/27

    21       21,325  

Radiate Holdco LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.36%), 8.70%, 09/25/26

    97       78,785  

 

 

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

  61


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Floating Rate Loan ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Media (continued)            

Sinclair Television Group Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.85%), 9.18%, 04/21/29

    17     $ 15,676  

UPC Financing Partnership, 2021 USD Term Loan AX, (1-mo. CME Term SOFR + 3.11%), 8.45%, 01/31/29

    25       24,663  

Virgin Media Bristol LLC, 2020 USD Term Loan Q, (1-mo. CME Term SOFR + 3.36%), 8.70%, 01/31/29

    24       23,786  

Ziggo Financing Partnership, USD Term Loan I, (1-mo. CME Term SOFR + 2.61%), 7.95%, 04/30/28

    30       29,288  
   

 

 

 
       329,941  
Metal Fabricate & Hardware — 0.1%            

AZZ Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.08%, 05/13/29

    19       18,611  
   

 

 

 
Packaging & Containers — 0.6%            

LABL Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.10%), 10.43%, 10/29/28

    44       42,151  

Mauser Packaging Solutions Holding Co., Term Loan B, (1-mo. CME Term SOFR + 4.00%), 9.35%, 08/14/26

    42       41,750  

Pregis TopCo Corp., 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.08%, 07/31/26(f)

    20       19,735  

Trident TPI Holdings Inc., 2021 Term Loan B3, (3-mo. CME Term SOFR at 0.50% Floor + 4.26%), 9.61%, 09/15/28

    44       43,423  
   

 

 

 
      147,059  
Pharmaceuticals — 1.8%            

Amneal Pharmaceuticals LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 5.50%), 10.83%, 05/04/28

    30       29,425  

Bausch Health Companies Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 5.35%), 10.69%, 02/01/27

    38       29,507  

Elanco Animal Health Inc., Term Loan B, (1-mo. CME Term SOFR + 1.85%), 7.20%, 08/01/27

    73       71,700  

Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.10%), 9.45%, 10/01/27

     109       105,945  

Jazz Financing Lux S.a.r.l., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.11%), 8.45%, 05/05/28

    79       78,816  

Option Care Health Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.20%, 10/27/28

    35       34,573  

Organon & Co., USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.11%), 8.45%, 06/02/28

    84       83,577  

Perrigo Investments LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.35%), 7.68%, 04/20/29

    30       29,600  

PRA Health Sciences Inc., US Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.51%), 7.86%, 07/03/28

    15       14,740  
   

 

 

 
      477,883  
Pipelines — 1.2%            

Freeport LNG Investments LLLP, Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.08%, 12/21/28

    183       180,911  

New Fortress Energy Inc., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.32%, 10/27/28

    60       59,970  

Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 10/05/28

    70       69,402  
   

 

 

 
      310,283  
Security   Par
(000)
    Value  
Real Estate — 0.4%            

Cushman & Wakefield U.S. Borrower LLC

   

2020 Term Loan B, (1-mo. CME Term SOFR + 2.86%), 8.20%, 08/21/25

    3     $ 3,394  

2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.68%, 01/31/30

    38       37,170  

2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.33%, 01/31/30(d)

    30       29,775  

Motion Finco Sarl, 2024 USD Term Loan B, 11/12/29(c)

    42       41,711  
   

 

 

 
       112,050  
Real Estate Investment Trusts — 0.1%            

RHP Hotel Properties LP, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.08%, 05/18/30

    20       19,820  
   

 

 

 
Retail — 2.5%            

1011778 B.C. Un Ltd. Liability Co., 2023 Term Loan B5, (1-mo. CME Term SOFR + 2.25%), 7.58%, 09/20/30

    74       73,958  

Beacon Roofing Supply Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.95%, 05/19/28

    39       39,513  

IRB Holding Corp., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.85%), 8.18%, 12/15/27

    95       94,504  

LBM Acquisition LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.85%), 9.18%, 12/17/27

    30       29,339  

Leslie’s Poolmart Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.20%, 03/09/28

    30       29,245  

PetSmart Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.85%), 9.18%, 02/11/28

     104       103,032  

Pilot Travel Centers LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.10%), 7.43%, 08/04/28

    59       59,143  

Sally Holdings LLC, 2023 CovLite Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.58%, 02/28/30

    20       19,900  

SRS Distribution Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.61%), 8.95%, 06/02/28

    128       127,682  

White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.08%, 10/19/27

    79       78,677  
   

 

 

 
      654,993  
Semiconductors — 0.4%            

MKS Instruments Inc., 2023 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.85%, 08/17/29

    102       101,423  
   

 

 

 
Software — 10.1%            

Applied Systems Inc.

   

2022 Extended 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.85%, 09/18/26

    71       71,603  

2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.10%, 09/17/27

    40       40,080  

Ascend Learning LLC

   

2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.60%), 8.93%, 12/11/28

    19       18,962  

2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.85%), 11.18%, 12/10/29

    12       11,072  

Athenahealth Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.58%, 02/15/29

    172       169,813  

CCC Intelligent Solutions Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.36%), 7.70%, 09/21/28

    69       69,162  

Central Parent Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.35%, 07/06/29

    259       259,403  

 

 

62  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Floating Rate Loan ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Software (continued)            

Cloud Software Group Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.60%), 9.95%, 03/30/29

    301     $ 295,492  

Cloudera Inc.

   

2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.18%, 10/08/28(d)

    25       24,156  

2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.10%), 11.43%, 10/08/29

    30       28,963  

Dun & Bradstreet Corp. (The), 2024 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.09%, 01/18/29

     315       315,034  

Emerald TopCo Inc., Term Loan, (1-mo. CME Term SOFR + 3.61%), 8.95%, 07/24/26

    84       83,098  

Grab Holdings Inc, Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 4.61%), 9.95%, 01/29/26

    31       30,927  

Greeneden U.S. Holdings II LLC, 2020 USD Term Loan B4, (1-mo. CME Term SOFR at 0.75% Floor + 4.11%), 9.45%, 12/01/27

    97       96,979  

Helios Software Holdings Inc., 2024 Term Loan,
(3-mo. CME Term SOFR + 3.75%), 9.07%, 07/18/30

    37       36,700  

Informatica LLC, 2021 USD Term Loan B, (1-mo. CME Term SOFR + 2.86%), 8.20%, 10/27/28

    129       128,422  

Playtika Holding Corp., 2021 Term Loan, (1-mo. CME Term SOFR + 2.86%), 8.20%, 03/13/28

    68       67,443  

Polaris Newco LLC, USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.26%), 9.57%, 06/02/28

    199       194,156  

RealPage Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.11%), 8.45%, 04/24/28

    233       227,718  

Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.25%), 8.56%, 08/01/27

    43       42,571  

Sophia LP, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.60%), 8.93%, 10/07/27

    84       83,705  

SS&C Technologies Inc.

   

2018 Term Loan B3, (1-mo. CME Term SOFR + 1.86%), 7.20%, 04/16/25

    24       24,221  

2018 Term Loan B4, (1-mo. CME Term SOFR + 1.86%), 7.20%, 04/16/25

    23       22,538  

UKG Inc.

   

2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.68%, 05/04/26

    20       19,715  

Term Loan B, (3-mo. CME Term SOFR + 3.85%), 9.16%, 05/04/26

    39       39,485  

2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.35%), 10.68%, 05/03/27

    50       49,961  

Ultimate Software Group Inc. (The), 2024 Term Loan B, 01/30/31(c)(d)

    49       49,060  

Venga Finance Sarl, 2023 Incremental Term Loan, 06/28/29(c)

    21       20,928  

Veritas U.S. Inc., 2021 USD Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 5.11%), 10.45%, 09/01/25

    59       50,909  

VS Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.35%), 8.68%, 02/28/27

    72       71,882  
   

 

 

 
       2,644,158  
Telecommunications — 3.6%            

A-L Parent LLC, 2023 Take Back Term Loan, (1-mo. CME Term SOFR at 2.00% Floor + 5.50%), 10.83%, 06/30/28

    22       21,916  

Altice France SA, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.81%, 08/15/28

    60       54,062  
Security  

Par

(000)

    Value  
Telecommunications (continued)            

Ciena Corp., 2020 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.34%, 10/24/30(c)

    55     $ 54,948  

Cogeco Financing 2 LP, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.61%), 7.88%, 09/29/28

    39       38,318  

Connect Finco Sarl, 2021 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.83%, 12/11/26

     233       232,469  

Digicel International Finance Ltd., 2017 Term Loan B1, 03/29/24(c)

    1       1,209  

GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.86%), 9.20%, 04/30/28

    17       16,900  

Insulet Corp., Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.33%, 05/04/28

    20       19,757  

Iridium Satellite LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.83%, 09/20/30

    92       91,847  

Level 3 Financing Inc., 2023 TSA Term Loan B, (1-mo. CME Term SOFR + 1.86%), 7.20%, 03/01/27(d)

    50       48,000  

Lumen Technologies Inc.

   

2024 Term Loan A, 06/01/28(c)

    3       3,385  

2023 TSA Term Loan B, (3-mo. CME Term SOFR + 2.36%), 7.71%, 03/15/27(d)

    69       47,374  

NEP/NCP Holdco Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.36%, 1.50% PIK), 10.20%, 08/19/26(e)

    50       47,725  

SBA Senior Finance II LLC, 2024 Term Loan B, 01/25/31(c)

    52       51,961  

Viasat Inc.

   

Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 03/02/29

    39       38,716  

2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.61%), 9.96%, 05/30/30(c)

    29       28,390  

Zayo Group Holdings Inc., USD Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.45%, 03/09/27

    160       135,187  
   

 

 

 
      932,164  
Transportation — 0.5%            

Genesee & Wyoming Inc. (New), Term Loan, (3-mo. CME Term SOFR + 2.10%), 7.45%, 12/30/26

    20       19,717  

Medallion Midland Acquisition LLC, 2023 Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.86%, 10/18/28

    62       62,614  

OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.35%), 11.69%, 12/15/26

    39       38,468  

Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.60%, 03/17/30

    11       10,871  
   

 

 

 
      131,670  
Water — 0.1%            

Olympus Water U.S. Holding Corp., 2024 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.57%, 11/09/28

    33       32,918  
   

 

 

 

Total Floating Rate Loan Interests — 86.5%
(Cost: $22,371,527)

       22,610,510  
   

 

 

 

 

 

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

  63


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Floating Rate Loan ETF

(Percentages shown are based on Net Assets)

 

Security  
Shares
    Value  
Common Stocks            
Diversified Telecommunication Services — 0.1%        

Learfield Communications LLC, NVS, (Acquired 09/06/23, Cost $ 3,910)(g)

    312     $ 13,260  
   

 

 

 

Total Common Stocks — 0.1%
(Cost $3,910)

      13,260  
   

 

 

 
Investment Companies            
Exchange Traded Funds — 3.5%            

iShares 0-5 Year High Yield Corporate Bond ETF(h)

    6,750       286,335  

iShares iBoxx $ High Yield Corporate Bond ETF(h)

    8,175       633,399  
   

 

 

 
      919,734  
   

 

 

 

Total Investment Companies — 3.5%
(Cost $910,175)

      919,734  
   

 

 

 

Total Long-Term Investments — 96.6%
(Cost: $24,906,052)

      25,237,921  
   

 

 

 
Short-Term Securities            
Money Market Funds — 12.3%            

BlackRock Cash Funds: Treasury, SL Agency Shares, 5.32%(h)(i)

    3,210,000       3,210,000  
   

 

 

 

Total Short-Term Securities — 12.3%
(Cost: $3,210,000)

      3,210,000  
   

 

 

 

Total Investments — 108.9%
(Cost: $28,116,052)

      28,447,921  

Liabilities in Excess of Other Assets — (8.9)%

 

    (2,316,800
   

 

 

 

Net Assets — 100.0%

    $  26,131,121  
   

 

 

 

 

(a) 

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

(b) 

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

(c) 

Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate.

(d) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(e) 

Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates.

(f) 

This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

(g) 

Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $13,260, representing less than 0.05% of its net assets as of period end, and an original cost of $3,910.

(h) 

Affiliate of the Fund.

(i)

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 January 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer    Value at
07/31/23
     Purchases
at Cost
     Proceeds
from Sale
     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
01/31/24
     Shares
Held at
01/31/24
     Income      Capital
Gain
Distributions
from
Underlying
Funds
 

BlackRock Cash Funds: Treasury, SL Agency Shares

   $ 950,000      $ 2,260,000 (a)     $      $      $      $ 3,210,000        3,210,000      $ 20,133      $  

iShares 0-5 Year High Yield Corporate Bond ETF

     31,260        254,879                      196        286,335        6,750        1,025         

iShares iBoxx $ High Yield Corporate Bond ETF

     209,512        504,702        (83,399      1,332        1,252        633,399        8,175        5,320         
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 
            $ 1,332      $ 1,448      $ 4,129,734         $ 26,478      $  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 

 

64  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Floating Rate Loan ETF

 

Fair Value Hierarchy as of Period End

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

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

 

 

 
    Level 1      Level 2      Level 3      Total  

 

 

Assets

          

Investments

          

Long-Term Investments

          

Corporate Bonds & Notes

  $      $ 1,694,417      $      $ 1,694,417  

Floating Rate Loan Interests

           21,970,217        524,830        22,495,047  

Investment Companies

    919,734                      919,734  

Common Stocks

           13,260               13,260  

Short-Term Securities

          

Money Market Funds

    3,210,000                      3,210,000  

Unfunded Floating Rate Loan Interests(a)

                  23        23  
 

 

 

    

 

 

    

 

 

    

 

 

 
  $  4,129,734      $ 23,793,357      $  524,853      $ 28,447,933  
 

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a)

Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment.

A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

 

 
    Floating Rate
Loan Interests
    Unfunded
Floating Rate
Loan Interests
     Total  

 

 

Assets:

      

Open balance, as of July 31, 2023

  $  232,860     $      $ 232,860  

Transfers into Level 3

    142,367              142,367  

Transfers out of Level 3

    (232,859            (232,859

Accrued discounts/premiums

    1,937              1,937  

Net realized gain (loss)

    (2,836            (2,836

Net change in unrealized appreciation (depreciation)(a)(b)

    (6,221     23        (6,198

Purchases

    420,787              420,787  

Sales

    (31,205            (31,205
 

 

 

   

 

 

    

 

 

 

Closing balance, as of January 31, 2024

  $  524,830     $ 23      $ 524,853  
 

 

 

   

 

 

    

 

 

 

Net change in unrealized appreciation (depreciation) on investments still held at January 31, 2024(b)

  $ (6,221   $ 23      $ (6,198
 

 

 

   

 

 

    

 

 

 

 

  (a) 

Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations.

  (b) 

Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at January 31, 2024 is generally due to investments no longer held or categorized as Level 3 at period end.

The Fund’s financial instruments that are categorized as Level 3 were valued utilizing third-party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial investments.

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

  65


Schedule of Investments (unaudited)

January 31, 2024

  

BlackRock High Yield Muni Income Bond ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Debt Obligations

   
Alabama — 13.3%            

Black Belt Energy Gas District RB

   

4.00%, 06/01/51 (Put 09/01/31)(a)

  $  3,885     $ 3,890,012  

5.50%, 10/01/54 (Put 06/01/32)

    2,000       2,216,163  

Hoover Industrial Development Board RB, AMT, 5.75%, 10/01/49 (Call 10/01/29)

    3,250       3,320,460  

Midcity Improvement District Alabama Special Assesment, 3.88%, 11/01/27

    120       115,487  

Southeast Alabama Gas Supply District (The) RB, 5.00%, 08/01/54 (Put 04/01/32)

    1,000       1,064,199  

Southeast Energy Authority A Cooperative District RB, 5.50%, 01/01/53 (Put 09/01/29)(a)

    100       107,565  

Tuscaloosa County Industrial Development Authority RB, 5.25%, 05/01/44
(Put 05/01/29)(b)

    175       169,015  
   

 

 

 
       10,882,901  
Arizona — 1.8%            

Arizona Industrial Development Authority, 5.25%, 07/01/37 (Call 07/01/24)(b)

    155       154,280  

Industrial Development Authority of the City of Phoenix Arizona (The) RB, 5.00%, 07/01/46 (Call 07/01/26)(b)

    1,000       960,543  

Maricopa County Industrial Development Authority RB, AMT,4.00%, 10/15/47 (Call 01/01/26)(b)

    200       176,966  

Sierra Vista Industrial Development Authority RB, 5.75%, 06/15/53 (Call 06/15/30)(b)

    160       160,258  
   

 

 

 
      1,452,047  
Arkansas — 4.0%            

Arkansas Development Finance Authority RB

   

AMT,4.50%, 09/01/49 (Call 09/01/26)(b)

    1,250       1,212,962  

AMT,4.75%, 09/01/49 (Call 09/01/27)(b)

    400       394,156  

AMT,5.45%, 09/01/52 (Call 09/01/25)

    150       152,042  

AMT,6.88%, 07/01/48 (Call 07/01/28)(b)

    1,000       1,048,357  

County of Baxter AR RB, 5.00%, 09/01/24

    485       486,956  
   

 

 

 
      3,294,473  
California — 8.4%            

California County Tobacco Securitization Agency RB, 0.00%, 06/01/55 (Call 01/16/24)(c)

    2,955       231,599  

California Enterprise Development Authority RB, 5.00%, 07/01/50 (Call 07/01/27)(b)

    600       545,568  

California Municipal Finance Authority RB, AMT,4.00%, 07/15/29

    1,000       994,805  

California Pollution Control Financing Authority RB, 5.00%, 07/01/39 (Call 01/01/29)(b)

    500       527,262  

California School Finance Authority RB, Series A, 5.00%, 06/01/61 (Call 06/01/29)(b)

    500       440,681  

California Statewide Communities Development Authority RB

   

5.00%, 12/01/41 (Call 06/01/26)(b)

    500       500,009  

5.00%, 12/01/46 (Call 06/01/26)(b)

    1,000       991,619  

California Statewide Financing Authority RB, 0.00%, 06/01/55 (Call 06/01/24)(b)(c)

    4,250       227,134  

CMFA Special Finance Agency I RB, Series A, 4.00%, 04/01/56 (Call 04/01/31)(b)

    250       173,114  

CSCDA Community Improvement Authority RB

   

3.25%, 04/01/57 (Call 04/01/32)(b)

    100       67,556  

4.00%, 10/01/46 (Call 10/01/31)(b)

    250       183,692  

4.00%, 07/01/56 (Call 07/01/31)(b)

    250       184,017  

4.00%, 07/01/58 (Call 07/01/32)(b)

    100       68,185  

Golden State Tobacco Securitization Corp. RB

   

0.00%, 06/01/66 (Call 12/01/31)(c)

    2,500       287,730  

5.00%, 06/01/51 (Call 12/01/31)

    1,000       1,041,989  
Security   Par
(000)
     Value  
California (continued)             

Regents of the University of California Medical Center Pooled Revenue, 4.00%, 05/15/53 (Call 05/15/32)

  $ 410      $ 406,756  
    

 

 

 
       6,871,716  
Colorado — 2.6%             

City & County of Denver Co. Dedicated Excise Tax Revenue RB, 4.00%, 08/01/51 (Call 08/01/31)

    500        473,410  

Clear Creek Transit Metropolitan District No. 2 GOL, Series A, 5.00%, 12/01/50 (Call 12/01/26)

    500        428,397  

Colorado Health Facilities Authority, 5.00%, 05/15/49 (Call 05/15/28)

    100        57,901  

Colorado Health Facilities Authority RB, 5.25%, 11/01/39 (Call 11/01/32)

    65        70,438  

Loretto Heights Community Authority RB, 4.88%, 12/01/51 (Call 06/01/26)

    500        398,614  

North Range Metropolitan District No.3 GOL, 5.25%, 12/01/50 (Call 12/01/25)

    500        487,575  

Pueblo Urban Renewal Authority TA

    

4.75%, 12/01/45 (Call 12/01/30)(b)

    100        67,120  

Series B, 0.00%, 12/01/25(b)(c)

    150        127,500  
    

 

 

 
        2,110,955  
Delaware — 0.0%             

Affordable Housing Opportunities Trust RB, 6.88%, 05/01/39(b)(d)

    40        37,555  
    

 

 

 
District of Columbia — 1.0%             

District of Columbia RB, AMT,5.50%, 02/28/37

    90        103,826  

District of Columbia Tobacco Settlement Financing Corp. RB, Series C, 0.00%, 06/15/55 (Call 06/15/24)(c)

    6,800        720,795  
    

 

 

 
       824,621  
Florida — 8.2%             

Babcock Ranch Community Independent Special District Special Assessment

    

4.25%, 05/01/32

    100        96,586  

5.00%, 05/01/42 (Call 05/01/32)

    1,000        960,264  

Boggy Creek Improvement District, 5.13%, 05/01/43 (Call 05/01/24)

    500        488,806  

Brevard County Health Facilities Authority RB, 4.00%, 11/15/32 (Call 11/15/28)(b)

    150        139,540  

Capital Trust Agency Inc. RB

    

0.00%, 07/01/61(b)(c)

     2,570        168,976  

3.25%, 06/01/31(b)

    230        208,517  

4.88%, 06/15/56 (Call 06/15/26)(b)

    100        79,649  

Charlotte County Industrial Development Authority/FL RB, 5.00%, 10/01/49 (Call 10/01/27)(b)

    250        237,158  

Darby Community Development District Special Assessment, 5.88%, 05/01/35

    230        229,874  

Escambia County Health Facilities Authority RB, 5.00%, 08/15/40 (Call 02/15/30)

    1,000        1,023,928  

Florida Development Finance Corp. RB

    

5.00%, 06/15/56 (Call 06/15/29)(b)

    100        77,867  

AMT,5.00%, 05/01/29 (Call 05/01/24)(b)

    500        481,983  

Series A, 5.13%, 06/15/55 (Call 06/15/28)(b)

    500        421,381  

Lakes of Sarasota Community Development District Special Assesment

    

Series A-1, 4.10%, 05/01/51 (Call 05/01/31)

    265        210,477  

Series B-1, 4.30%, 05/01/51 (Call 05/01/31)

    220        176,867  

Poitras East Community Development District Special Assessment, 5.25%, 05/01/52 (Call 05/01/33)

    100        95,076  

Sawyers Landing Community Development District Special Assesment, 3.25%, 05/01/26

    205        199,375  

 

 

66  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock High Yield Muni Income Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  
Florida (continued)            

Sawyers Landing Community Development District Special Assessment, 4.25%, 05/01/53 (Call 05/01/31)

  $  1,000     $ 773,295  

Viera Stewardship District, 5.50%, 05/01/54 (Call 05/01/33)

    300       294,536  

Village Community Development District No. 14

   

5.38%, 05/01/42 (Call 05/01/30)

    100       100,558  

5.50%, 05/01/53 (Call 05/01/30)

    100       100,906  

Village Community Development District No. 15 Special Assessment, 5.25%, 05/01/54 (Call 05/01/31)(b)

    100       99,106  
   

 

 

 
       6,664,725  
Georgia — 1.7%            

Atlanta Urban Redevelopment Agency RB, 3.88%, 07/01/51 (Call 07/01/27)(b)

    100       80,045  

Development Authority of Cobb County (The) RB, 5.70%, 06/15/38 (Call 06/15/31)

    275       268,999  

Main Street Natural Gas Inc. RB, 5.00%, 12/01/52 (Put 03/01/29)

    1,000       1,049,800  
   

 

 

 
      1,398,844  
Illinois — 2.8%            

Chicago Board of Education GO

   

5.00%, 12/01/46 (Call 12/01/27)

    500       502,591  

5.00%, 12/01/47 (Call 12/01/31)

    500       511,198  

Metropolitan Pier & Exposition Authority RB, 4.00%, 06/15/50 (Call 12/15/29)

    175       161,414  

State of Illinois GO, 5.00%, 12/01/46 (Call 12/01/33)

    1,000       1,074,698  
   

 

 

 
      2,249,901  
Indiana — 0.8%            

Indiana Finance Authority RB, Class A, 4.13%, 12/01/26

    640       633,631  
   

 

 

 
Kansas — 0.4%            

City of Lenexa KS RB, 5.00%, 05/15/24

    195       195,088  

City of Manhattan KS RB, 4.00%, 06/01/25

    105       103,916  
   

 

 

 
      299,004  
Kentucky — 2.6%            

City of Henderson KY RB, AMT,4.70%, 01/01/52 (Call 01/01/32)(b)

    650       613,333  

Kentucky Economic Development Finance Authority RB, 5.25%, 06/01/41 (Call 06/01/27)

    1,000       1,017,778  

Kentucky Public Energy Authority RB, 4.00%, 02/01/50 (Put 11/01/27)

    500       500,498  
   

 

 

 
      2,131,609  
Louisiana — 0.1%            

Louisiana Public Facilities Authority RB, 6.50%, 06/01/62 (Call 06/01/31)(b)

    100       98,698  
   

 

 

 
Maine — 0.1%            

Finance Authority of Maine RB, AMT,8.00%, 12/01/51 (Call 12/01/36)(b)

    100       66,222  
   

 

 

 
Maryland — 0.5%            

City of Baltimore MD RB, 4.50%, 06/01/33 (Call 06/01/31)

    100       98,110  

Maryland Economic Development Corp. RB, AMT,5.25%, 06/30/55 (Call 06/30/32)

    315       321,202  
   

 

 

 
      419,312  
Michigan — 1.5%            

City of Detroit MI GOL, Series B-1, 4.00%, 04/01/44 (Call 12/10/24)(a)

    350       264,250  
Security  

Par

(000)

    Value  
Michigan (continued)            

Michigan Strategic Fund RB, AMT,4.00%, 10/01/61 (Put 10/01/26)(a)

  $  1,000     $ 987,071  
   

 

 

 
      1,251,321  
Minnesota — 0.6%            

City of Forest Lake MN RB, 5.00%, 07/01/56 (Call 07/01/31)

    260       220,484  

City of Minneapolis MN RB, 5.75%, 07/01/55 (Call 07/01/28)

    250       231,226  
   

 

 

 
      451,710  
Missouri — 0.3%            

Plaza at Noah’s Ark Community Improvement District RB, 3.13%, 05/01/35 (Call 05/01/29)

    250       205,504  
   

 

 

 
Nebraska — 0.6%            

Central Plains Energy Project RB, 5.00%, 05/01/53 (Put 07/01/29)

    475       496,969  
   

 

 

 
Nevada — 0.6%            

Tahoe-Douglas Visitors Authority, 5.00%, 07/01/51 (Call 07/01/30)

    500       503,361  
   

 

 

 
New Hampshire — 0.5%            

New Hampshire Business Finance Authority RB, 3.63%, 07/01/43 (Put 07/01/25)(b)

    500       389,913  
   

 

 

 
New Jersey — 1.1%            

New Jersey Higher Education Student Assistance Authority RB, Series C, AMT,3.25%, 12/01/51 (Call 12/01/29)

    300       223,401  

New Jersey Transportation Trust Fund Authority RB, Series AA, 4.00%, 06/15/50 (Call 12/15/30)

    735       703,534  
   

 

 

 
      926,935  
New York — 12.9%            

Build NYC Resource Corp., 5.50%, 06/15/63 (Call 06/15/33)(b)

    250       235,845  

New York Liberty Development Corp. RB

   

5.00%, 11/15/44 (Call 11/15/24)(b)

    500       499,375  

5.38%, 11/15/40 (Call 11/15/24)(b)

    550       550,687  

New York State Environmental Facilities Corp. RB, AMT,5.13%, 09/01/50 (Put 09/03/30)(b)

    250       253,697  

New York State Thruway Authority RB, 5.00%, 03/15/42 (Call 09/15/32)

    500       561,962  

New York Transportation Development Corp RB, AMT,5.38%, 06/30/60 (Call 06/30/31)

    4,000       4,180,673  

New York Transportation Development Corp., AMT,5.00%, 01/01/30 (Call 01/01/28)

    250       257,809  

New York Transportation Development Corp. RB 5.00%, 12/01/38 (Call 12/01/30)

    500       537,051  

AMT,3.00%, 08/01/31

    1,000       915,283  

AMT,4.00%, 04/30/53 (Call 10/31/31)

    500       416,305  

AMT,5.00%, 01/01/25

    750       755,943  

AMT,5.00%, 10/01/40 (Call 10/01/30)

    1,310       1,345,930  
   

 

 

 
       10,510,560  
Ohio — 8.2%            

Buckeye Tobacco Settlement Financing Authority RB, Series B2, 5.00%, 06/01/55 (Call 06/01/30)

    4,700       4,427,212  

Celina City School District, 0.00%, 12/01/24 (BAM)(c)

    600       584,605  

Hickory Chase Community Authority, 5.00%, 12/01/40 (Call 12/01/29)(b)

    340       313,016  

Ohio Air Quality Development Authority RB, AMT,4.50%, 01/15/48 (Call 01/15/28)(b)

    1,000       941,672  

 

 

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

  67


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock High Yield Muni Income Bond ETF

(Percentages shown are based on Net Assets)

 

Security   Par (000)     Value  
Ohio (continued)            

Port of Greater Cincinnati Development Authority RB

   

3.75%, 12/01/31 (Call 12/01/28)(b)

  $ 240     $ 222,394  

4.25%, 12/01/50 (Call 12/01/28)(b)

    260       219,943  
   

 

 

 
       6,708,842  
Oklahoma — 1.2%            

Oklahoma Development Finance Authority RB, Series A-2, 7.25%, 09/01/51 (Call 03/01/31)(b)

    250       263,832  

Tulsa Airports Improvement Trust RB, AMT,5.00%, 06/01/35 (Put 06/01/25)(a)

    600       608,264  

Tulsa Authority for Economic Opportunity TA, 4.38%, 12/01/41 (Call 12/01/31)(b)

    100       93,263  
   

 

 

 
      965,359  
Oregon — 0.4%            

Clackamas County Hospital Facility Authority RB, 5.00%, 05/15/48 (Call 05/15/25)

    425       359,876  
   

 

 

 
Pennsylvania — 2.3%            

Allentown Neighborhood Improvement Zone Development Authority RB, 5.00%, 05/01/42 (Call 05/01/33)

    470       474,122  

Berks County Municipal Authority (The) RB, 5.00%, 10/01/39 (Call 10/01/29)

    390       366,783  

Pennsylvania Economic Development Financing Authority RB

   

AMT,5.25%, 06/30/53 (Call 12/31/32)

    100       107,410  

AMT,5.75%, 06/30/48 (Call 12/31/32)

    860       948,190  
   

 

 

 
      1,896,505  
Puerto Rico — 9.2%            

Children’s Trust Fund RB, Series A, 0.00%, 05/15/57 (Call 05/15/24)(c)

    1,485       122,503  

Commonwealth of Puerto Rico, 0.00%, 11/01/51

    823       152,282  

Commonwealth of Puerto Rico GO

   

0.00%, 07/01/33 (Call 07/01/31)(c)

    515       326,977  

4.00%, 07/01/35 (Call 07/01/31)

    812       774,660  

4.00%, 07/01/41 (Call 07/01/31)

    145       131,471  

5.07%, 11/01/51

    696       393,346  

Commonwealth of Puerto Rico Notes, 0.00%, 11/01/51

     1,666       703,848  

Puerto Rico Commonwealth Aqueduct & Sewer Authority RB, 4.00%, 07/01/42
(Call 07/01/31)(b)

    1,000       910,557  

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue RB

   

0.00%, 07/01/46 (Call 07/01/28)(c)

    4,025       1,237,328  

5.00%, 07/01/58 (Call 07/01/28)

    2,750       2,749,965  
   

 

 

 
      7,502,937  
South Carolina — 0.4%            

City of Hardeeville SC Special Assesment, 4.00%, 05/01/52 (Call 05/01/29)(b)

    150       116,697  

Patriots Energy Group Financing Agency RB, 5.25%, 10/01/54 (Put 08/01/31)

    160       171,377  

South Carolina Jobs-Economic Development Authority RB, 7.50%, 08/15/62
(Call 08/15/27)(b)

    25       22,797  
   

 

 

 
      310,871  
Tennessee — 2.4%            

Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd RB, 5.00%, 10/01/37 (Call 10/01/29)

    345       352,525  

Metropolitan Government Nashville & Davidson County Industrial Development Board Special Assesment, 0.00%, 06/01/43(b)(c)

    100       36,486  
Security   Par (000)     Value  
Tennessee (continued)            

Metropolitan Nashville Airport Authority (The) RB, AMT,5.50%, 07/01/52 (Call 07/01/32)

  $ 500     $ 535,544  

Tennergy Corp./TN RB, 5.50%, 10/01/53 (Put 09/01/30)

    500       536,054  

Tennessee Energy Acquisition Corp., 5.00%, 02/01/25

    500       502,109  
   

 

 

 
       1,962,718  
Texas — 4.6%            

Angelina & Neches River Authority RB, Series A, AMT,7.50%, 12/01/45 (Call 06/01/28)(b)

    100       66,080  

Arlington Higher Education Finance Corp., 5.75%, 08/15/62 (Call 08/15/27)

    250       213,649  

Arlington Higher Education Finance Corp. RB

   

5.00%, 06/15/51 (Call 06/15/26)

    250       205,188  

7.88%, 11/01/62 (Call 11/01/27)(b)

    25       25,371  

City of Celina TX Special Assessment, 5.50%, 09/01/53 (Call 09/01/33)(b)

    1,000       985,277  

City of Mesquite TX Special Assessment, 5.75%, 09/01/53 (Call 09/01/33)(b)

    250       250,333  

New Hope Cultural Education Facilities Finance Corp. RB, 5.00%, 08/15/51 (Call 08/15/27)(b)

     1,000       917,451  

New Hope Higher Education Finance Corp. RB, Series A, 5.00%, 06/15/30 (Call 06/15/26)(b)

    250       238,273  

Port Beaumont Navigation District RB

   

AMT,2.75%, 01/01/36 (Call 07/01/24)(b)

    100       73,827  

AMT,3.00%, 01/01/50 (Call 07/01/24)(b)

    200       119,162  

AMT,3.63%, 01/01/35 (Call 01/01/25)(b)

    100       82,329  

AMT,4.00%, 01/01/50 (Call 01/01/25)(b)

    810       587,126  
   

 

 

 
      3,764,066  
Utah — 0.4%            

Utah Charter School Finance Authority RB, Series A, 5.00%, 02/15/36 (Call 02/15/26)(b)

    315       311,188  
   

 

 

 
Vermont — 0.1%            

East Central Vermont Telecommunications District RB, 4.50%, 12/01/44 (Call 12/01/30)(b)

    100       78,699  
   

 

 

 
Virginia — 1.1%            

James City County Economic Development Authority RB, 5.25%, 12/01/27 (Call 12/01/24)

    100       99,398  

Tobacco Settlement Financing Corp./VA RB, Series B1, 5.00%, 06/01/47 (Call 01/16/24)

    725       683,300  

Virginia Beach Development Authority RB, 5.38%, 09/01/29 (Call 09/01/26)

    100       99,658  
   

 

 

 
      882,356  
Washington — 0.4%            

Washington State Housing Finance Commission RB, 4.00%, 07/01/25(b)

    355       347,444  
   

 

 

 
Wisconsin — 1.1%            

Public Finance Authority

   

7.75%, 07/01/43 (Call 07/01/35)(b)

    310       316,377  

AMT,4.25%, 07/01/54 (Call 07/01/31)

    250       170,812  

Public Finance Authority RB

   

5.00%, 06/15/56 (Call 06/15/29)(b)

    25       20,411  

5.25%, 12/01/51 (Call 12/01/31)(b)

    65       49,781  

Series A, 5.00%, 06/15/55 (Call 06/15/28)(b)

    500       379,344  
   

 

 

 
      936,725  
   

 

 

 

Total Long-Term Investments — 98.2%
(Cost: $80,387,507)

      80,200,073  
   

 

 

 

 

 

68  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock High Yield Muni Income Bond ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Short-Term Securities

   
Money Market Funds — 1.4%            

BlackRock Liquidity Funds: MuniCash,
4.09%(e)(f)

    1,153,412     $ 1,153,527  
   

 

 

 

Total Short-Term Securities — 1.4%
(Cost: $1,153,438)

      1,153,527  
   

 

 

 

Total Investments — 99.6%
(Cost: $81,540,945)

      81,353,600  

Other Assets Less Liabilities — 0.4%

      336,719  
   

 

 

 

Net Assets — 100.0%

    $  81,690,319  
   

 

 

 

 

(a) 

Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

(b) 

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

(c) 

Zero-coupon bond.

(d) 

Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

(e) 

Affiliate of the Fund.

(f) 

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 January 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer   Value at
07/31/23
    Purchases
at Cost
    Proceeds
from Sale
    Net Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
01/31/24
    Shares
Held at
01/31/24
    Income     Capital
Gain
Distributions
from
Underlying
Funds
 

BlackRock Liquidity Funds: MuniCash

  $ 6,235,461     $     $  (5,082,431) (a)    $ 754     $ (257   $ 1,153,527       1,153,412     $ 66,979     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

Fair Value Hierarchy as of Period End

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

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

 

      Level 1        Level 2        Level 3        Total  

Assets

                 

Investments

                 

Long-Term Investments

                 

Municipal Debt Obligations

   $        $ 80,162,518        $ 37,555        $ 80,200,073  

Short-Term Securities

                 

Money Market Funds

     1,153,527                            1,153,527  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $  1,153,527        $ 80,162,518        $  37,555        $ 81,353,600  
  

 

 

      

 

 

      

 

 

      

 

 

 

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

  69


Schedule of Investments (unaudited)

January 31, 2024

  

BlackRock Intermediate Muni Income Bond ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Municipal Debt Obligations

   
Alabama — 9.2%            

Black Belt Energy Gas District RB, 5.50%, 11/01/53 (Put 09/01/28)(a)

  $ 500     $ 531,983  

County of Jefferson AL Sewer Revenue RB

   

5.25%, 10/01/41 (Call 10/01/33)

    100       111,318  

5.25%, 10/01/44 (Call 10/01/33)

     1,000        1,104,104  

Southeast Energy Authority A Cooperative District RB, 5.50%, 01/01/53 (Put 09/01/29)(a)

    315       338,830  

Tuscaloosa County Industrial Development Authority RB, 5.25%, 05/01/44 (Put 05/01/29)(b)

    110       106,238  
   

 

 

 
      2,192,473  
Arizona — 0.4%            

Arizona Health Facilities Authority RB, VRDN,4.80%, 01/01/46 (Put 11/04/26), (SIFMA Municipal Swap Index)(a)

    100       99,274  
   

 

 

 
California — 6.8%            

Bay Area Toll Authority RB, Series E, 4.96%, 04/01/56 (Put 04/01/27), (SIFMA Municipal Swap Index)(a)(c)

    250       247,300  

California Community Choice Financing Authority RB, 5.51%, 12/01/53 (Put 05/01/29)(a)(c)

    750       759,722  

California Infrastructure & Economic Development Bank RB, Class D, 4.90%, 08/01/47 (Put 08/01/24), (SIFMA Municipal Swap Index)(a)(c)

    100       97,063  

San Diego Unified School District/CA GO, 0.00%, 07/01/31(d)

    610       504,790  
   

 

 

 
      1,608,875  
Colorado — 3.2%            

City & County of Denver Co. Airport System Revenue RB, AMT,5.75%, 11/15/34 (Call 11/15/32)

    200       236,483  

Colorado Health Facilities Authority RB

   

4.00%, 08/01/39 (Call 08/01/29)

    185       181,673  

Series B-2, 2.63%, 05/15/29 (Call 01/29/24)

    150       126,137  

Pueblo Urban Renewal Authority TA, Series B, 0.00%, 12/01/25(b)(d)

    250       212,500  
   

 

 

 
      756,793  
Connecticut — 1.6%            

Connecticut Housing Finance Authority RB, 1.85%, 05/15/38 (Call 05/15/30)

    210       152,616  

State of Connecticut Special Tax Revenue RB, 5.00%, 07/01/38 (Call 01/01/33)

    205       234,454  
   

 

 

 
      387,070  
Delaware — 2.0%            

Delaware State Economic Development Authority RB, Class B, 1.25%, 10/01/40 (Put 10/01/25)

    500       467,706  
   

 

 

 
District of Columbia — 1.2%            

Metropolitan Washington Airports Authority Aviation Revenue, AMT,5.00%, 10/01/37 (Call 10/01/32)

    250       275,185  
   

 

 

 
Florida — 2.0%            

Lakes of Sarasota Community Development District RB, 2.75%, 05/01/26

    125       122,404  

Sawyers Landing Community Development District Special Assesment, 3.25%, 05/01/26

    195       189,649  

Tohoqua Community Development District RB, 2.38%, 05/01/26

    170       165,657  
   

 

 

 
      477,710  
Security   Par
(000)
    Value  
Georgia — 0.4%            

Development Authority of Cobb County (The) RB, 5.70%, 06/15/38 (Call 06/15/31)

  $ 100     $ 97,818  
   

 

 

 
Illinois — 16.1%            

Chicago Midway International Airport RB, AMT,5.00%, 01/01/34 (Call 07/01/24)

    350       350,348  

Chicago O’Hare International Airport RB AMT,5.00%, 01/01/27 (Call 01/01/26)

    250       257,336  

Series B, 5.00%, 01/01/37 (Call 01/01/27)

    200       211,516  

City of Chicago IL GO

   

5.00%, 01/01/26

    425       435,769  

5.00%, 01/01/27

    100       104,197  

5.00%, 01/01/27 (Call 01/01/26)

    130       131,568  

5.00%, 01/01/34 (Call 01/01/32)

    500       552,265  

Illinois Finance Authority RB, Class B, 5.25%, 05/01/42 (Put 05/01/25), (SIFMA Municipal Swap Index)(a)(c)

    500       489,564  

Northern Illinois Municipal Power Agency RB, 4.00%, 12/01/36 (Call 12/01/26)

    100       101,731  

State of Illinois, 5.00%, 10/01/24

    245       247,513  

State of Illinois GO

   

5.00%, 10/01/30

    225       250,639  

5.25%, 05/01/40 (Call 05/01/32)

    250       276,464  

Series D, 5.00%, 11/01/26

    400       420,885  
   

 

 

 
      3,829,795  
Iowa — 1.0%            

Iowa Finance Authority RB, AMT,1.50%, 01/01/42 (Put 04/01/24)(a)

    250       248,308  
   

 

 

 
Kentucky — 6.4%            

City of Henderson KY RB, AMT,3.70%, 01/01/32(b)

    150       144,009  

Kentucky Public Energy Authority RB, 5.25%, 04/01/54 (Put 02/01/32)

     1,150        1,247,980  

Louisville/Jefferson County Metropolitan Government RB, 1.75%, 02/01/35 (Put
07/01/26)(a)

    125       119,714  
   

 

 

 
      1,511,703  
Louisiana — 1.0%            

Louisiana Local Government Environmental Facilities & Community Development Authority RB, Class A, 2.00%, 06/01/30 (Call 04/01/26)

    250       229,392  
   

 

 

 
Missouri — 5.2%            

Kansas City Industrial Development Authority RB AMT,5.00%, 03/01/32 (Call 03/01/30)

    400       429,591  

AMT,5.00%, 03/01/34 (Call 03/01/29)

    750       796,226  
   

 

 

 
      1,225,817  
New Hampshire — 1.0%            

New Hampshire Business Finance Authority RB, Class A, AMT,4.93%, 10/01/33 (Put 07/01/24), (SIFMA Municipal Swap Index)(a)(c)

    250       246,919  
   

 

 

 
New Jersey — 3.5%            

New Jersey Economic Development Authority RB, 5.00%, 06/15/28

    225       245,936  

New Jersey Educational Facilities Authority RB, 5.00%, 09/01/38 (Call 03/01/33)

    100       113,556  

New Jersey Transportation Trust Fund Authority RB 5.00%, 06/15/37 (Call 06/15/33)

    250       288,802  

Series C, 0.00%, 12/15/25 (AMBAC)(d)

    190       177,940  
   

 

 

 
      826,234  

 

 

 

70  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Intermediate Muni Income Bond ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
New York — 9.3%            

New York City Housing Development Corp. RB

   

1.95%, 11/01/32 (Call 02/01/29) (FHA 542(C))

  $  430     $ 368,795  

2.25%, 11/01/30 (Call 09/01/27)

    150       136,318  

New York City Municipal Water Finance Authority RB, 5.25%, 06/15/48 (Call 12/15/33)

    250       285,119  

New York City Transitional Finance Authority Future Tax Secured Revenue, 5.00%, 05/01/41 (Call 05/01/33)

    500       570,134  

New York Liberty Development Corp. RB, Class A, 2.50%, 11/15/36 (Call 11/15/31)

    250       214,125  

New York State Environmental Facilities Corp. RB, AMT,5.13%, 09/01/50 (Put 09/03/30)(b)

    250       253,698  

New York Transportation Development Corp., AMT,5.00%, 01/01/30 (Call 01/01/28)

    250       257,809  

Triborough Bridge & Tunnel Authority RB, 5.00%, 11/15/38 (Call 11/15/33)

    100       116,179  
   

 

 

 
       2,202,177  
Ohio — 4.5%            

Allen County Port Authority RB, Class A, 4.00%, 12/01/31 (Call 06/01/31)

    250       244,775  

American Municipal Power Inc. RB, Class A-2, 1.00%, 02/15/48 (Put 08/15/24)(a)

    500       492,024  

Ohio Air Quality Development Authority RB, 4.00%, 09/01/30 (Put 06/01/27)

    100       100,936  

Port of Greater Cincinnati Development Authority RB, 3.75%, 12/01/31 (Call 12/01/28)(b)

    250       231,661  
   

 

 

 
      1,069,396  
Pennsylvania — 4.3%            

Berks County Municipal Authority (The) RB, 5.00%, 10/01/39 (Call 10/01/29)

    200       188,094  

Bethlehem Area School District Authority, Series B, 3.91%, 07/01/31 (Put 11/01/24)(a)(c)

    460       454,052  

Pennsylvania Housing Finance Agency RB, 2.00%, 10/01/32 (Call 10/01/29)

    445       390,248  
   

 

 

 
      1,032,394  
Puerto Rico — 2.1%            

Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue RB, 4.33%, 07/01/40 (Call 07/01/28)

    500       496,375  
   

 

 

 
South Carolina — 1.8%            

City of Hardeeville SC, 3.00%, 05/01/27(b)

    225       214,779  

South Carolina Jobs-Economic Development Authority RB, 5.00%, 11/15/28 (Call 11/15/27)

    210       205,875  
   

 

 

 
      420,654  
Tennessee — 3.4%            

Tennergy Corp./TN RB, 5.50%, 10/01/53 (Put 09/01/30)

    750       804,080  
   

 

 

 
Texas — 8.1%            

City of Beaumont TX GOL, 4.00%, 03/01/33 (Call 03/01/30)

    215       228,918  

City of Houston TX Airport System Revenue RB, AMT,5.00%, 07/15/30 (Call 07/15/25)

    225       225,253  

Houston Higher Education Finance Corp. RB

   

1.75%, 10/01/24 (Call 04/30/24)

    115       112,292  

2.00%, 10/01/25 (Call 04/30/24)

    75       71,201  
Security   Par
(000)
    Value  
Texas (continued)            

New Hope Cultural Education Facilities Finance Corp. RB

   

4.00%, 08/15/34 (Call 08/15/27)

  $ 750     $ 771,336  

Class A, 4.00%, 06/15/25

    280       283,382  

New Hope Higher Education Finance Corp. RB, Series A, 5.00%, 06/15/30 (Call 06/15/26)(b)

    250       238,273  
   

 

 

 
      1,930,655  
Virginia — 1.0%            

Virginia Housing Development Authority RB, AMT,2.05%, 12/01/33 (Call 12/01/30)

    270       236,088  
   

 

 

 
Washington — 2.7%            

County of King WA Sewer Revenue RB, Class A, 4.78%, 01/01/40 (Put 01/01/26), (SIFMA Municipal Swap Index)(a)(c)

    550       537,105  

Washington Health Care Facilities Authority RB, 5.00%, 08/01/30 (Call 08/01/29)

    100       108,777  
   

 

 

 
      645,882  
Wisconsin — 0.6%            

City of Milwaukee WI Sewerage System Revenue RB, 4.00%, 06/01/31 (Call 01/29/24)

    145       145,078  
   

 

 

 

Total Long-Term Investments — 98.8%
(Cost: $23,403,417)

      23,463,851  
   

 

 

 
     Shares         
Short-Term Securities            
Money Market Funds — 0.5%            

BlackRock Liquidity Funds: MuniCash,
4.09%(e)(f)

     118,404       118,416  
   

 

 

 

Total Short-Term Securities — 0.5%
(Cost: $118,412)

      118,416  
   

 

 

 

Total Investments — 99.3% (Cost: $23,521,829)

      23,582,267  

Other Assets Less Liabilities — 0.7%

      165,208  
   

 

 

 

Net Assets — 100.0%

    $  23,747,475  
   

 

 

 

 

 

(a) 

Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

(b) 

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

(c) 

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

(d) 

Zero-coupon bond.

(e)

Affiliate of the Fund.

(f) 

Annualized 7-day yield as of period end.

 

 

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

  71


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Intermediate Muni Income Bond ETF

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended January 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer    Value at
07/31/23
     Purchases
at Cost
     Proceeds
from Sale
     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
01/31/24
     Shares
Held at
01/31/24
     Income      Capital Gain
Distributions
from
Underlying
Funds
 

BlackRock Liquidity Funds: MuniCash

   $ 733,322      $      $ (614,902) (a)     $ 5      $ (9    $ 118,416        118,404      $ 5,179      $  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

  (a) 

Represents net amount purchased (sold).

Fair Value Hierarchy as of Period End

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

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

 

      Level 1      Level 2      Level 3      Total  

Assets

           

Investments

           

Long-Term Investments

           

Municipal Debt Obligations

   $      $ 23,463,851      $    —      $ 23,463,851  

Short-Term Securities

           

Money Market Funds

     118,416                      118,416  
  

 

 

    

 

 

    

 

 

    

 

 

 
   $  118,416      $ 23,463,851      $      $ 23,582,267  
  

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

72  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Short-Term California Muni Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

   

Value

 

Municipal Debt Obligations

   
California — 100.9%            

Burbank-Glendale-Pasadena Airport Authority Brick Campaign, AMT,5.00%, 07/01/24

  $  145     $  145,955  

California Community Choice Financing Authority, 4.00%, 10/01/52 (Call 09/01/27)

    500       500,507  

California Community Choice Financing Authority RB 4.00%, 05/01/53 (Put 05/01/28)

    400       401,076  

5.00%, 09/01/27

    410       425,509  

5.00%, 10/01/28

    300       313,510  

California County Tobacco Securitization Agency RB, 5.00%, 06/01/25

    400       408,321  

California Health Facilities Financing Authority, 4.00%, 03/01/28 (Call 03/01/24)

    260       260,016  

California Infrastructure & Economic Development Bank RB, 5.00%, 04/01/24

    500       501,739  

California Municipal Finance Authority, AMT,4.00%, 07/01/51 (Put 07/15/24)

    400       399,714  

California Municipal Finance Authority RB, AMT,4.25%, 12/01/44 (Put 12/02/24)

    250       250,546  

California Pollution Control Financing Authority RB, 4.38%, 08/01/24(a)

    500       500,000  

California State Public Works Board, 5.00%, 09/01/27 (Call 09/01/24)

    500       505,945  

California State Public Works Board RB, Series A, 5.00%, 09/01/27 (Call 09/01/24)

    800       809,501  

California Statewide Communities Development Authority, 5.00%, 11/01/28 (PR 11/01/24)

    250       253,978  

Chino Valley Unified School District GO, VRDN,4.56%, 02/01/29 (Put 02/07/24)(a)(b)

    500       500,000  

City & County of San Francisco, 3.65%, 02/12/24

    600       600,066  

City of Los Angeles CA Solid Waste Resources Revenue RB, 5.00%, 02/01/24

    335       335,000  

City of Los Angeles Department of Airports

   

AMT,5.00%, 05/15/25

    100       102,139  

AMT,5.00%, 05/15/26

    210       217,958  

City of Los Angeles Department of Airports RB, AMT,5.00%, 05/15/27 (Call 05/15/25)

    400       409,246  

City of Los Angeles Wastewater System Revenue, 3.37%, 03/14/24

    400       400,151  

City of Modesto CA Water Revenue COP, VRDN, 4.20%, 10/01/36 (Put 02/07/24) (AGM)(b)

    790       790,000  

Compton Community Redevelopment Agency Successor Agency TA, 5.00%, 08/01/26 (AGM)

    415       435,876  

Desert Community College District GO, 5.00%, 08/01/24

    500       504,797  

El Rancho Unified School District GO

   

5.00%, 08/01/28 (BAM)

    125       137,751  

5.50%, 08/01/27 (BAM)

    110       120,261  

Kern Community College District, 0.00%, 11/01/25 (AGM)(c)

    205       194,379  

Long Beach Unified School District, 0.00%, 08/01/27 (Call 02/01/25)(c)

    500       439,377  

Long Beach Unified School District GO, VRDN, 2.94%, 08/01/53 (Put 02/07/24)(a)(b)

    800       800,000  

Los Angeles County Metropolitan Transportation Authority, 3.25%, 02/07/24

    400       400,005  

Security

  Par
(000)
   

Value

 
California (continued)            

Norman Y Mineta San Jose International Airport SJC RB, AMT,5.00%, 03/01/26

  $ 500     $ 514,741  

Pajaro Valley Unified School District, 0.00%, 08/01/25 (AGM)(c)

    460       439,431  

Palm Springs Unified School District, 5.00%, 08/01/24

    750       758,027  

Port of Oakland RB, AMT,5.00%, 05/01/27

    400       420,983  

Rancho Cucamonga Redevelopment Agency Successor Agency TA, 5.00%, 09/01/26 (Call 09/01/24) (AGM)

    500       505,487  

Sacramento Municipal Utility District, 3.30%, 02/15/24

    500       499,978  

San Diego Public Facilities Financing Authority RB, VRDN, 4.01%, 10/15/48 (Put 02/07/24)(a)(b)

    800       800,000  

San Diego Unified School District/CA Revenue Notes, 5.00%, 06/28/24

    800       806,188  

San Francisco City & County Airport Commission San Francisco International Airport RB, AMT,5.00%, 05/01/28

    500       532,100  

San Mateo Union High School District GO, Series C, 0.00%, 09/01/27 (NPFGC)(c)

    400       365,981  

Santa Clara County Financing Authority RB, 5.00%, 05/15/25

    400       411,005  

Santa Clara Valley Transportation Authority, 5.00%, 04/01/24

    800       802,624  

Santa Paula Utility Authority RB, 4.00%, 02/01/24

    400       400,000  

Southern California Public Power Authority, 5.25%, 11/01/25

    425       434,241  

State of California GO, 3.23%, 02/01/24

    400       400,000  

Stockton Public Financing Authority, 5.00%, 10/01/25 (BAM)

    140       144,672  
   

 

 

 
      20,298,781  
   

 

 

 

Total Long-Term Investments — 100.9% (Cost: $20,235,685)

       20,298,781  
   

 

 

 
     Shares         
Short-Term Securities            
Money Market Funds — 0.4%            

BlackRock Liquidity Funds: MuniCash, 4.09%(d)(e)

    77,396       77,404  
   

 

 

 

Total Short-Term Securities — 0.4%
(Cost: $77,404)

      77,404  
   

 

 

 

Total Investments — 101.3%
(Cost: $20,313,089)

      20,376,185  

Liabilities in Excess of Other Assets — (1.3)%

 

    (258,778
   

 

 

 

Net Assets — 100.0%

    $ 20,117,407  
   

 

 

 

 

(a) 

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

(b) 

Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand.

(c) 

Zero-coupon bond.

(d) 

Affiliate of the Fund.

(e) 

Annualized 7-day yield as of period end.

 

 

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

  73


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Short-Term California Muni Bond ETF

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended January 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer    Value at
07/31/23
     Purchases
at Cost
     Proceeds
from Sale
     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
01/31/24
     Shares
Held at
01/31/24
     Income      Capital
Gain
Distributions
from
Underlying
Funds
 

BlackRock Liquidity Funds California Money Fund
Portfolio(a)

   $ 803,901      $      $  (803,901) (b)     $      $      $             $ 2,422      $  —  

BlackRock Liquidity Funds: MuniCash

            77,404 (b)                            77,404        77,396        95         
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 
            $      $      $ 77,404         $ 2,517      $  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

  (a) 

As of period end, the entity is no longer held.

  (b) 

Represents net amount purchased (sold).

Fair Value Hierarchy as of Period End

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

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

 

      Level 1      Level 2      Level 3      Total  

Assets

           

Investments

           

Long-Term Investments

           

Municipal Debt Obligations

   $      $ 20,298,781      $      $ 20,298,781  

Short-Term Securities

           

Money Market Funds

     77,404                      77,404  
  

 

 

    

 

 

    

 

 

    

 

 

 
   $  77,404      $ 20,298,781      $    —      $ 20,376,185  
  

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

74  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Total Return ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Asset-Backed Securities

   

Bain Capital Credit CLO Ltd., 6.74%, 07/24/34 (Call 04/24/24), (3-mo. CME Term SOFR + 1.422%)(a)(b)

  $  250     $  250,197  

Bear Stearns Structured Products Trust, 7.45%, 03/25/37 (Call 12/25/27), (1-mo. CME Term SOFR + 2.114%)(a)(b)

    187       183,685  

Benefit Street Partners CLO IV Ltd., 7.13%, 01/20/32, (3-mo. SOFR + 1.811%)(a)

    250       249,400  

Buckhorn Park CLO Ltd., 7.21%, 07/18/34, (3-mo. SOFR + 1.911%)(a)(b)

    250       250,674  

Carlyle Global Market Strategies CLO Ltd., 6.75%, 07/20/34, (3-mo. SOFR + 1.431%)(a)(b)

    250       250,213  

CIFC Funding Ltd.

   

8.41%, 07/18/31 (Call 04/18/24), (3-mo. CME Term SOFR + 3.112%)(a)(b)

    250       247,498  

Series 2014-2RA, Class A1, 6.63%, 04/24/30 (Call 04/24/24), (3-mo. SOFR + 1.312%)(a)(b)

    169       169,491  

Citigroup Mortgage Loan Trust Inc., 9.20%, 07/25/37, (1-mo. SOFR + 2.614%)(b)

    134       115,953  

College Ave Student Loans LLC

   

5.33%, 05/25/55 (Call 04/25/37)(a)

    91       90,124  

2.32%, 07/26/55 (Call 12/25/34)(a)

    215       186,704  

CWABS Asset-Backed Certificates Trust

   

6.30%, 12/25/35(b)

    82       76,943  

5.87%, 04/25/46, (1-mo. SOFR + 0.534%)(b)

    295       205,714  

Elmwood CLO IV Ltd. Series 2020 3A, Class A, 6.82%, 04/15/33 (Call 04/15/24)(a)(b)

    250       250,289  

FirstKey Homes Trust

   

3.50%, 07/17/38(a)

    184       168,270  

5.00%, 05/19/39(a)

    170       162,627  

Galaxy XXIII CLO Ltd., 6.45%, 04/24/29 (Call 04/24/24), (3-mo. CME Term SOFR + 1.132%)(a)(b)

    112       112,236  

Generate CLO 8 Ltd., 6.78%, 10/20/34, (3-mo. SOFR + 1.461%)(a)(b)

    250       250,429  

Goldentree Loan Opportunities X Ltd., 6.70%, 07/20/31 (Call 04/20/24), (3-mo. CME Term SOFR + 1.382%)(a)(b)

    217       217,025  

JP Morgan Mortgage Acquisition Trust, 4.56%, 11/25/36 (Call 02/25/24)(c)

    200       197,480  

Lendmark Funding Trust

   

2.00%, 04/20/32 (Call 10/20/26)(a)

    130       117,582  

8.69%, 05/20/33(a)

    100       103,310  

Madison Park Funding XXXIV Ltd., 6.71%, 04/25/32 (Call 04/25/24), (3-mo. CME Term SOFR + 1.382%)(a)(b)

    250       250,199  

Navient Private Education Loan Trust, 3.16%, 11/15/68 (Call 01/15/31)(a)

    100       86,384  

Navient Private Education Refi Loan Trust, 3.13%, 02/15/68 (Call 04/15/26)(a)

    97       93,416  

Neuberger Berman CLO XVII Ltd., 6.61%, 04/22/29 (Call 04/22/24), (3-mo. CME Term SOFR + 1.292%)(a)(b)

    194       193,950  

Octagon Investment Partners 20-R Ltd., 6.78%, 05/12/31 (Call 02/12/24), (3-mo. CME Term SOFR + 1.412%)(a)(b)

    250       250,497  

Octagon Investment Partners 48 Ltd., 7.63%, 10/20/34 (Call 04/20/24), (3-mo. CME Term SOFR + 2.312%)(a)(b)

    275       273,509  
Security   Par
(000)
    Value  

OHA Credit Funding 6 Ltd., 6.72%, 07/20/34 (Call 04/20/24), (3 mo. LIBOR US + 1.140%)(a)(b)

  $  250     $ 250,982  

Palmer Square CLO Ltd., 6.79%, 11/14/34 (Call 02/14/24), (3-mo. LIBOR US + 1.150%)(a)(b)

    250       250,357  

Palmer Square Loan Funding Ltd., 7.13%, 04/15/31, (3-mo. SOFR + 1.820%)(a)(b)

    195       195,374  

Progress Residential Trust, 4.75%, 10/17/28(a)

    180       166,169  

RR 16 Ltd., 7.23%, 07/15/36, (3-mo. SOFR + 1.911%)(a)(b)

    250       252,274  

RR 18 Ltd., 7.18%, 10/15/34, (3-mo. SOFR + 1.861%)(a)(b)

    250       250,023  

SMB Private Education Loan Trust, 2.31%, 01/15/53(a)

    156       145,390  

Sofi Professional Loan Program LLC, 3.09%, 08/17/48 (Call 07/15/26)(a)

    134       128,321  

SoFi Professional Loan Program LLC, 2.37%, 11/16/48 (Call 12/15/26)(a)

    113       106,440  

Soundview Home Loan Trust

   

6.47%, 11/25/35, (1-mo. SOFR + 1.134%)(b)

    46       32,327  

5.80%, 01/25/37, (1-mo. SOFR + 0.464%)(b)

    148       134,396  

Voya CLO Ltd., 6.71%, 10/15/30 (Call 04/15/24),
(3-mo. CME Term SOFR + 1.392%)(a)(b)

    173       173,188  
   

 

 

 

Total Asset-Backed Securities — 8.7%
(Cost: $7,043,537)

       7,089,040  
   

 

 

 

Collaterized Mortgage Obligations

 

 
Mortgage-Backed Securities — 9.1%            

Alternative Loan Trust

   

5.91%, 11/25/36 (Call 02/25/24), (1-mo. CME Term SOFR + 0.574%)(b)

    101       81,765  

5.91%, 05/20/46 (Call 02/20/24), (1-mo. CME Term SOFR + 0.574%)(b)

    226       189,295  

5.95%, 07/25/46 (Call 02/25/24), (1-mo. CME Term SOFR + 0.614%)(b)

    213       178,281  

Angel Oak Mortgage Trust, 5.21%, 08/25/68(a)

    205       201,847  

Arbor Multifamily Mortgage Securities Trust, 3.40%, 02/15/55(a)(b)

    170       153,470  

Banc of America Alternative Loan Trust, 5.50%, 10/25/33 (Call 02/25/24)

    117       113,783  

Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2017-BNK33.88%, 02/15/50(b)

    90       83,232  

Bear Stearns Asset-Backed Securities Trust, 6.01%, 04/25/36, (1-mo. SOFR + 0.674%)(b)

    116       104,960  

Bear Stearns Mortgage Funding Trust, 5.79%, 03/25/37 (Call 02/25/24), (1-mo. CME Term SOFR + 0.454%)(b)

    82       75,227  

BHMS Mortgage Trust, 6.88%, 07/15/35, (1-mo. CME Term SOFR + 1.547%)(a)(b)

    100       99,258  

BHP Trust, 6.90%, 08/15/36, (1-mo. CME Term SOFR + 1.569%)(a)(b)

    117       115,914  

BX Commercial Mortgage Trust

   

2.84%, 03/09/44 (Call 03/09/30)(a)

    100       87,442  

6.38%, 10/15/37, (1-mo. CME Term SOFR + 1.044%)(a)(b)

    131       130,702  

7.09%, 12/09/40, (1-mo. SOFR + 1.761%)(a)(b)

    150       150,937  

7.45%, 06/15/27, (1-mo. CME Term SOFR + 2.115%)(a)(b)

    145       145,556  

8.47%, 06/15/27, (1-mo. CME Term SOFR + 3.141%)(a)(b)

    100       100,219  

9.19%, 02/15/39, (1-mo. SOFR + 4.188%)(a)(b)

    100       99,750  

 

 

 

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

  75


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Total Return ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Mortgage-Backed Securities (continued)            

BX Trust

   

6.18%, 01/15/39, (1-mo. CME Term SOFR + 0.850%)(a)(b)

  $  150     $  147,984  

6.33%, 01/15/39, (1-mo. CME Term SOFR + 1.000%)(a)(b)

    150       148,781  

6.35%, 10/15/36, (1 mo. LIBOR US + 0.890%)(a)(b)

    150       147,937  

7.50%, 08/15/39, (1-mo. CME Term SOFR + 2.165%)(a)(b)

    149       149,125  

8.55%, 08/15/42, (1-mo. CME Term SOFR + 3.213%)(a)(b)

    99       99,417  

CFK Trust, 2.79%, 03/15/39(a)

    100       85,001  

Chase Mortgage Finance Trust, 5.08%, 02/25/37 (Call 01/25/29)(b)

    117       111,670  

Cold Storage Trust

   

6.75%, 11/15/37, (1-mo. CME Term SOFR + 1.414%)(a)(b)

    98       97,900  

8.95%, 11/15/37, (1-mo. CME Term SOFR + 3.607%)(a)(b)

    98       97,633  

Series 2020-ICE5, Class A, 6.35%, 11/15/37,
(1-mo. CME Term SOFR + 1.014%)(a)(b)

    147       146,989  

Countrywide Alternative Loan Trust, 6.00%, 05/25/36

    37       15,521  

CSMC Trust, 8.85%, 12/25/67(a)(b)

    112       112,887  

Extended Stay America Trust, 7.70%, 07/15/38,
(1-mo. CME Term SOFR + 2.364%)(a)(b)

    92       90,576  

FREMF Mortgage Trust, 4.38%, 08/25/50 (Call 08/25/28)(a)(b)

    95       91,278  

GCAT Trust

   

2.89%, 12/27/66 (Call 01/25/34)(a)(b)

    210       189,210  

3.97%, 02/25/67(a)(b)

    180       132,748  

4.25%, 05/25/67(a)(b)

    98       91,444  

Government National Mortgage Association, 2.25%, 04/16/65

    10       8,097  

Homeward Opportunities Fund I Trust, 5.45%, 05/25/65(a)(b)

    210       202,883  

HONO Mortgage Trust, 6.60%, 10/15/36, (1-mo. CME Term SOFR + 1.264%)(a)(b)

    100       96,327  

J.P. Morgan Chase Commercial Mortgage Securities Trust, 7.51%, 09/15/39, (1-mo. CME Term SOFR + 2.179%)(a)(b)

    110       110,274  

JP Morgan Alternative Loan Trust, 4.80%, 03/25/36(b)

    255       195,457  

JP Morgan Chase Commercial Mortgage Securities Trust, 2.95%, 09/06/38(a)(b)

    130       121,752  

KSL Commercial Mortgage Trust, 9.62%, 12/15/36, (1-mo. SOFR + 4.287%)(a)(b)

    100       100,625  

MASTR Reperforming Loan Trust, 7.00%, 08/25/34 (Call 04/25/29)(a)

    259       184,375  

Morgan Stanley Capital I Trust

   

6.84%, 07/15/35 (Call 07/15/24), (1-mo. CME Term SOFR + 1.501%)(a)(b)

    100       99,313  

6.88%, 11/15/34, (1-mo. CME Term SOFR + 1.422%)(a)(b)

    100       98,899  

MSWF Commercial Mortgage Trust, 6.01%, 12/15/56

    180       196,054  

MTN Commercial Mortgage Trust, 6.74%, 03/15/39, (1-mo. CME Term SOFR + 1.396%)(a)(b)

    100       97,875  

One New York Plaza Trust, 6.40%, 01/15/36, (1-mo. CME Term SOFR + 1.064%)(a)(b)

    40       39,324  
Security          Par
(000)
    Value  
Mortgage-Backed Securities (continued)              

OPEN Trust, 8.42%, 10/15/28, (1-mo. SOFR + 3.089%)(a)

  $         97     $ 97,504  

ORL Trust, 7.68%, 10/19/36, (1-mo. SOFR + 2.350%)(a)(b)

      174       174,381  

PRET LLC, 7.14%, 01/25/54(a)(c)

      160       160,152  

PRKCM Trust, 4.10%, 04/25/57 (Call 05/25/26)(a)(b)

      138       132,897  

SLG Office Trust, 2.59%, 07/15/41(a)

      100       83,956  

Taubman Centers Commercial Mortgage Trust, 7.52%, 05/15/37, (1-mo. CME Term SOFR + 2.186%)(a)(b)

      110       109,724  

TTAN, 6.80%, 03/15/38, (1-mo. SOFR + 1.464%)(a)(b)

      152       150,171  

Velocity Commercial Capital Loan Trust

     

2.61%, 02/25/50(a)(b)

      172       154,274  

6.55%, 01/25/54(a)(b)

       110       111,866  

Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust

     

5.78%, 12/25/46 (Call 02/25/24), (12-mo. MTA + 0.720%)(b)

      132       99,818  

5.79%, 12/25/36 (Call 02/25/24), (1-mo. CME Term SOFR + 0.454%)(b)

      252       196,803  

Wells Fargo Commercial Mortgage Trust

     

2.58%, 09/15/31(a)(b)

      130       120,691  

3.75%, 03/15/59 (Call 04/15/26)

      150       142,970  

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

      80       75,606  
     

 

 

 
         7,429,807  
     

 

 

 

Total Collaterized Mortgage Obligations — 9.1%
(Cost: $7,363,959)

        7,429,807  
     

 

 

 

Corporate Bonds & Notes

     
Advertising — 0.0%                  

Clear Channel Outdoor Holdings Inc., 5.13%, 08/15/27 (Call 08/15/24)(a)

    USD       27       25,428  

Omnicom Group Inc., 2.60%, 08/01/31 (Call 05/01/31)

    USD       11       9,390  
     

 

 

 
        34,818  
Aerospace & Defense — 1.2%                  

Boeing Co. (The)

     

3.83%, 03/01/59 (Call 09/01/58)

    USD       11       7,849  

3.95%, 08/01/59 (Call 02/01/59)

    USD       39       28,805  

5.93%, 05/01/60 (Call 11/01/59)

    USD       38       37,941  

L3Harris Technologies Inc.

     

1.80%, 01/15/31 (Call 10/15/30)

    USD       52       42,704  

2.90%, 12/15/29 (Call 09/15/29)

    USD       54       48,835  

4.40%, 06/15/28 (Call 03/15/28)

    USD       56       55,276  

5.40%, 07/31/33 (Call 04/30/33)

    USD       99       101,973  

Lockheed Martin Corp.

     

1.85%, 06/15/30 (Call 03/15/30)

    USD       39       33,434  

3.60%, 03/01/35 (Call 09/01/34)

    USD       10       9,079  

3.90%, 06/15/32 (Call 03/15/32)

    USD       10       9,559  

4.50%, 05/15/36 (Call 11/15/35)

    USD       9       8,793  

4.75%, 02/15/34 (Call 11/15/33)

    USD       9       9,060  

5.10%, 11/15/27 (Call 10/15/27)

    USD       25       25,659  

Northrop Grumman Corp.

     

4.70%, 03/15/33 (Call 12/15/32)

    USD       41       40,801  

4.95%, 03/15/53 (Call 09/15/52)

    USD       39       37,901  

RTX Corp.

     

2.82%, 09/01/51 (Call 03/01/51)

    USD       28       18,226  

 

 

76  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Total Return ETF

(Percentages shown are based on Net Assets)

 

 

Security

        

Par

(000)

   

Value

 
Aerospace & Defense (continued)                  

3.13%, 07/01/50 (Call 01/01/50)

    USD       11     $ 7,721  

3.75%, 11/01/46 (Call 05/01/46)

    USD       10       7,993  

4.13%, 11/16/28 (Call 08/16/28)

    USD       130       126,716  

5.15%, 02/27/33 (Call 11/27/32)

    USD       100       101,338  

6.10%, 03/15/34 (Call 12/15/33)

    USD       14       15,195  

6.70%, 08/01/28

    USD       118       126,512  

TransDigm Inc.

     

4.63%, 01/15/29 (Call 01/15/25)

    USD       47       43,948  

6.25%, 03/15/26 (Call 03/15/24)(a)

    USD       40       39,728  
     

 

 

 
         985,046  
Agriculture — 0.5%                  

Altria Group Inc.

     

2.45%, 02/04/32 (Call 11/04/31)

    USD       34       27,799  

4.25%, 08/09/42

    USD       31       25,411  

4.50%, 05/02/43

    USD       30       25,567  

5.80%, 02/14/39 (Call 08/14/38)

    USD       10       10,223  

6.20%, 11/01/28 (Call 10/01/28)

    USD       35       36,920  

6.88%, 11/01/33 (Call 08/01/33)

    USD       91       100,223  

BAT Capital Corp.

     

3.98%, 09/25/50 (Call 03/25/50)

    USD       31       21,606  

4.54%, 08/15/47 (Call 02/15/47)

    USD       19       14,552  

4.76%, 09/06/49 (Call 03/06/49)

    USD       29       22,826  

5.28%, 04/02/50 (Call 02/02/49)

    USD       27       22,821  

5.65%, 03/16/52 (Call 09/16/51)

    USD       40       35,541  

7.08%, 08/02/53 (Call 02/02/53)

    USD       29       30,774  

Philip Morris International Inc., 5.13%, 11/17/27 (Call 10/17/27)

    USD       33       33,540  
     

 

 

 
        407,803  
Airlines — 0.1%                  

American Airlines Inc./AAdvantage Loyalty IP Ltd., 5.75%, 04/20/29(a)

    USD       47       46,156  

United Airlines Inc., 4.63%, 04/15/29 (Call 10/15/25)(a)

    USD       35       32,376  
     

 

 

 
        78,532  
Banks — 7.0%                  

Bank of America Corp.

     

2.57%, 10/20/32 (Call 10/20/31), (1-day SOFR + 1.210%)(b)

    USD       32       26,677  

4.57%, 04/27/33 (Call 04/27/32), (1-day SOFR + 1.830%)(b)

    USD       8       7,655  

5.29%, 04/25/34 (Call 04/25/33), (1-day SOFR + 1.910%)(b)

    USD       32       32,197  

5.47%, 01/23/35 (Call 01/23/34), (1-day SOFR + 1.650%)(b)

    USD       260       264,771  

5.82%, 09/15/29 (Call 09/15/28), (1-day SOFR + 1.570%)(b)

    USD       275       284,326  

5.87%, 09/15/34 (Call 09/15/33), (1-day SOFR + 1.840%)

    USD       133       139,271  

Banque Federative du Credit Mutuel SA

     

3.75%, 02/03/34(d)

    EUR       100       108,517  

4.75%, 11/10/31(d)

    EUR       200       229,127  

Citigroup Inc.

     

3.07%, 02/24/28 (Call 02/24/27), (1-day SOFR + 1.280%)(b)

    USD       140       132,364  

6.27%, 11/17/33 (Call 11/17/32), (1-day SOFR + 2.338%)(b)

    USD       218       233,960  

Credit Suisse AG/New York NY

     

3.70%, 02/21/25

    USD       500       491,752  

5.00%, 07/09/27

    USD       250       250,135  

 

Security

        

Par

(000)

   

Value

 
Banks (continued)                  

Fifth Third Bancorp, 5.63%, 01/29/32 (Call 01/29/31), (1-day SOFR + 1.840%)(b)

    USD       25     $ 25,235  

Goldman Sachs Group Inc. (The)

     

0.88%, 05/09/29 (Call 02/09/29)(d)

    EUR       100       94,015  

1.99%, 01/27/32 (Call 01/27/31), (1-day SOFR + 1.090%)(b)

    USD       60       48,832  

2.38%, 07/21/32 (Call 07/21/31), (1-day SOFR + 1.248%)(b)

    USD       65       53,596  

2.60%, 02/07/30 (Call 11/07/29)

    USD       53       46,617  

2.62%, 04/22/32 (Call 04/22/31), (1-day SOFR + 1.281%)(b)

    USD       63       53,158  

2.65%, 10/21/32 (Call 10/21/31), (1-day SOFR + 1.264%)(b)

    USD       56       46,846  

3.80%, 03/15/30 (Call 12/15/29)

    USD       10       9,411  

6.48%, 10/24/29 (Call 10/24/28), (1-day SOFR + 1.770%)(b)

    USD       291        308,973  

JPMorgan Chase & Co.

     

1.76%, 11/19/31 (Call 11/19/30), (3-mo. SOFR + 1.105%)(b)

    USD       11       8,965  

2.58%, 04/22/32 (Call 04/22/31), (3-mo. SOFR + 1.250%)(b)

    USD       43       36,431  

2.74%, 10/15/30 (Call 10/15/29), (3-mo. SOFR + 1.510%)(b)

    USD       18       16,024  

4.46%, 11/13/31, (3-mo. EURIBOR +
1.280%)(b)(d)

    EUR       100       113,728  

4.49%, 03/24/31 (Call 03/24/30), (3-mo. SOFR + 3.790%)(b)

    USD       9       8,787  

4.57%, 06/14/30 (Call 06/14/29), (1-day SOFR + 1.750%)(b)

    USD       24       23,621  

5.04%, 01/23/28 (Call 01/23/27), (1-day SOFR + 1.190%)(b)

    USD       75       75,321  

5.34%, 01/23/35 (Call 01/23/34), (1-day SOFR + 1.620%)

    USD       175       177,845  

5.35%, 06/01/34 (Call 06/01/33), (1-day SOFR + 1.845%)(b)

    USD       11       11,184  

6.25%, 10/23/34 (Call 10/23/33), (1-day SOFR + 1.810%)(b)

    USD       11       11,921  

Morgan Stanley

     

1.79%, 02/13/32 (Call 02/13/31), (1-day SOFR + 1.034%)(b)

    USD       31       24,887  

1.93%, 04/28/32 (Call 04/28/31), (1-day SOFR + 1.020%)(b)

    USD       122       98,424  

2.24%, 07/21/32 (Call 07/21/31), (1-day SOFR + 1.178%)(b)

    USD       117       95,928  

2.51%, 10/20/32 (Call 10/20/31), (1-day SOFR + 1.200%)(b)

    USD       29       24,153  

2.70%, 01/22/31 (Call 01/22/30),

     

(1-day SOFR + 1.143%)(b)

    USD       71       62,384  

3.62%, 04/01/31 (Call 04/01/30), (1-day SOFR + 3.120%)(b)

    USD       32       29,525  

5.16%, 04/20/29 (Call 04/20/28), (1-day SOFR + 1.590%)(b)

    USD       12       12,079  

5.17%, 01/16/30 (Call 01/16/29), (1-day SOFR + 1.450%)(b)

    USD       46       46,396  

5.47%, 01/18/35 (Call 01/18/34), (1-day SOFR + 1.730%)(b)

    USD       30       30,615  

6.41%, 11/01/29 (Call 11/01/28), (1-day SOFR + 1.830%)(b)

    USD       372       394,237  

6.63%, 11/01/34 (Call 11/01/33), (1-day SOFR + 2.050%)(b)

    USD       207       229,137  

 

 

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

  77


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Total Return ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Banks (continued)                  

Santander Holdings USA Inc., 6.17%, 01/09/30 (Call 01/09/29), (1-day SOFR + 2.500%)(b)

    USD       71     $ 71,407  

Truist Financial Corp.

     

5.44%, 01/24/30 (Call 01/24/29), (1-day SOFR + 1.620%)(b)

    USD       25       25,213  

5.71%, 01/24/35 (Call 01/24/34), (1-day SOFR + 1.922%)(b)

    USD       20       20,337  

U.S. Bancorp

     

5.38%, 01/23/30 (Call 01/23/29), (1-day SOFR + 1.560%)(b)

    USD       20       20,237  

5.68%, 01/23/35 (Call 01/23/34), (1-day SOFR + 1.860%)(b)

    USD       10       10,232  

UBS Group AG

     

3.75%, 03/26/25

    USD       250       245,679  

6.30%, 09/22/34 (Call 09/22/33), (1-year CMT + 2.000%)(a)

    USD       200       211,846  

Wells Fargo & Co.

     

0.63%, 03/25/30(d)

    EUR       101       91,477  

5.20%, 01/23/30 (Call 01/23/29), (1-day SOFR + 1.500%)

    USD       26       26,202  

5.50%, 01/23/35 (Call 01/23/34), (1-day SOFR + 1.780%)(b)

    USD       65       66,292  

5.56%, 07/25/34 (Call 07/25/33), (1-day SOFR + 1.990%)(b)

    USD       8       8,167  

5.57%, 07/25/29 (Call 07/25/28), (1-day SOFR + 1.740%)(b)

    USD       70       71,541  

6.30%, 10/23/29 (Call 10/23/28), (1-day SOFR + 1.790%)(b)

    USD       139       146,499  

6.49%, 10/23/34 (Call 10/23/33), (1-day SOFR + 2.060%)(b)

    USD       264       288,010  
     

 

 

 
         5,722,166  
Beverages — 0.1%                  

JDE Peet’s NV, 4.50%, 01/23/34(d)

    EUR       100       112,826  
     

 

 

 
Biotechnology — 0.6%                  

Amgen Inc.

     

4.05%, 08/18/29 (Call 06/18/29)

    USD       42       40,890  

4.40%, 02/22/62 (Call 08/22/61)

    USD       114       94,923  

5.25%, 03/02/30 (Call 01/02/30)

    USD       145       148,454  

5.75%, 03/02/63 (Call 09/02/62)

    USD       61       62,858  

Gilead Sciences Inc.

     

1.65%, 10/01/30 (Call 07/01/30)

    USD       45       37,589  

2.60%, 10/01/40 (Call 04/01/40)

    USD       39       28,382  

4.00%, 09/01/36 (Call 03/01/36)

    USD       27       24,752  

4.50%, 02/01/45 (Call 08/01/44)

    USD       9       8,257  

4.80%, 04/01/44 (Call 10/01/43)

    USD       22       21,025  

5.65%, 12/01/41 (Call 06/01/41)

    USD       21       22,191  
     

 

 

 
        489,321  
Building Materials — 0.0%                  

Owens Corning, 3.95%, 08/15/29 (Call 05/15/29)

    USD       12       11,457  
     

 

 

 
Chemicals — 0.1%                  

Chemours Co. (The), 5.75%, 11/15/28 (Call 11/15/24)(a)

    USD       23       21,694  

Eastman Chemical Co., 5.75%, 03/08/33 (Call 12/08/32)

    USD       10       10,299  

Olin Corp., 5.00%, 02/01/30 (Call 02/01/24)

    USD       27       25,459  
     

 

 

 
        57,452  

Security          Par
(000)
    Value  
Commercial Services — 0.1%                  

Global Payments Inc.

     

2.90%, 05/15/30 (Call 02/15/30)

    USD       22     $ 19,375  

5.30%, 08/15/29 (Call 06/15/29)

    USD       8       8,045  

Moody’s Corp.

     

2.00%, 08/19/31 (Call 05/19/31)

    USD       13       10,720  

3.25%, 01/15/28 (Call 10/15/27)

    USD       11       10,511  
     

 

 

 
        48,651  
Computers — 0.2%                  

Dell International LLC/EMC Corp., 4.90%, 10/01/26 (Call 08/01/26)

    USD       104       104,024  

Hewlett Packard Enterprise Co., 5.25%, 07/01/28 (Call 06/01/28)

    USD       28       28,455  
     

 

 

 
         132,479  
Diversified Financial Services — 0.2%                  

Nasdaq Inc.

     

5.55%, 02/15/34 (Call 11/15/33)

    USD       27       27,997  

6.10%, 06/28/63 (Call 12/28/62)

    USD       50       53,918  

Nationstar Mortgage Holdings Inc., 5.13%, 12/15/30 (Call 12/15/25)(a)

    USD       27       24,268  

Navient Corp., 5.50%, 03/15/29 (Call 06/15/28)

    USD       22       19,862  

PennyMac Financial Services Inc., 5.38%, 10/15/25 (Call 10/15/24)(a)

    USD       15       14,793  

Rocket Mortgage LLC/Rocket Mortgage

     

Co-Issuer Inc., 2.88%, 10/15/26 (Call
10/15/24)(a)

    USD       28       25,692  
     

 

 

 
        166,530  
Electric — 2.8%                  

AEP Texas Inc.

     

3.45%, 05/15/51 (Call 11/15/50)

    USD       16       11,285  

3.80%, 10/01/47 (Call 04/01/47)

    USD       16       11,878  

4.70%, 05/15/32 (Call 02/15/32)

    USD       16       15,608  

5.25%, 05/15/52 (Call 11/15/51)

    USD       20       19,281  

5.40%, 06/01/33 (Call 03/01/33)

    USD       27       27,587  

Series G, 4.15%, 05/01/49 (Call 11/01/48)

    USD       14       11,130  

Series H, 3.45%, 01/15/50 (Call 07/15/49)

    USD       26       18,547  

AEP Transmission Co. LLC

     

3.15%, 09/15/49 (Call 03/15/49)

    USD       11       7,676  

3.75%, 12/01/47 (Call 06/01/47)

    USD       10       7,967  

3.80%, 06/15/49 (Call 12/15/48)

    USD       10       7,793  

4.50%, 06/15/52 (Call 12/15/51)

    USD       8       7,069  

Series M, 3.65%, 04/01/50 (Call 10/01/49)

    USD       10       7,761  

Series N, 2.75%, 08/15/51 (Call 02/15/51)

    USD       12       7,741  

Alabama Power Co.

     

3.75%, 03/01/45 (Call 09/01/44)

    USD       27       21,898  

3.85%, 12/01/42

    USD       10       8,305  

4.10%, 01/15/42

    USD       10       8,308  

4.15%, 08/15/44 (Call 02/15/44)

    USD       10       8,562  

4.30%, 01/02/46 (Call 07/02/45)

    USD       10       8,674  

5.50%, 03/15/41

    USD       9       9,031  

Series 11-C, 5.20%, 06/01/41

    USD       9       8,806  

Ameren Illinois Co., 2.90%, 06/15/51 (Call 12/15/50)

    USD       11       7,380  

Baltimore Gas & Electric Co.

     

2.90%, 06/15/50 (Call 12/15/49)

    USD       16       10,668  

3.20%, 09/15/49 (Call 03/15/49)

    USD       16       11,379  

3.50%, 08/15/46 (Call 02/15/46)

    USD       29       21,909  

3.75%, 08/15/47 (Call 02/15/47)

    USD       28       22,226  

4.25%, 09/15/48 (Call 03/15/48)

    USD       13       11,042  

4.55%, 06/01/52 (Call 12/01/51)

    USD       12       10,773  

5.40%, 06/01/53 (Call 12/01/52)

    USD       10       10,162  

CenterPoint Energy Houston Electric LLC

     

3.95%, 03/01/48 (Call 09/01/47)

    USD       9       7,523  

 

 

78  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Total Return ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Electric (continued)                  

Series AD, 2.90%, 07/01/50 (Call 01/01/50)

    USD       11     $ 7,552  

Series AE, 2.35%, 04/01/31 (Call 01/01/31)

    USD       9       7,677  

Coentreprise de Transport d’Electricite SA, 3.75%, 01/17/36(d)

    EUR       100        108,962  

Commonwealth Edison Co.

     

3.65%, 06/15/46 (Call 12/15/45)

    USD       10       7,822  

4.00%, 03/01/49 (Call 09/01/48)

    USD       9       7,436  

5.30%, 02/01/53 (Call 08/01/52)

    USD       7       7,055  

Series 123, 3.75%, 08/15/47 (Call 02/15/47)

    USD       10       7,927  

Series 127, 3.20%, 11/15/49 (Call 05/15/49)

    USD       11       7,837  

Series 130, 3.13%, 03/15/51 (Call 09/15/50)

    USD       11       7,634  

Series 133, 3.85%, 03/15/52 (Call 09/15/51)

    USD       10       7,936  

Consolidated Edison Co. of New York Inc., 5.70%, 06/15/40

    USD       17       17,456  

Consumers Energy Co.

     

2.65%, 08/15/52 (Call 02/15/52)

    USD       12       7,745  

3.10%, 08/15/50 (Call 02/15/50)

    USD       11       7,934  

3.25%, 08/15/46 (Call 02/15/46)

    USD       10       7,609  

3.75%, 02/15/50 (Call 08/15/49)

    USD       9       7,300  

3.95%, 07/15/47 (Call 01/15/47)

    USD       9       7,556  

4.05%, 05/15/48 (Call 11/15/47)

    USD       9       7,735  

Dominion Energy South Carolina Inc., 6.25%, 10/15/53 (Call 04/15/53)

    USD       8       9,104  

DTE Electric Co.

     

3.70%, 06/01/46 (Call 12/01/45)

    USD       14       11,161  

Series B, 3.25%, 04/01/51 (Call 10/01/50)

    USD       15       10,765  

Duke Energy Carolinas LLC

     

3.20%, 08/15/49 (Call 02/15/49)

    USD       30       21,438  

3.45%, 04/15/51 (Call 10/15/50)

    USD       16       11,864  

3.70%, 12/01/47 (Call 06/01/47)

    USD       16       12,422  

3.88%, 03/15/46 (Call 09/15/45)

    USD       25       20,068  

3.95%, 03/15/48 (Call 09/15/47)

    USD       25       20,292  

5.35%, 01/15/53 (Call 07/15/52)

    USD       8       8,045  

5.40%, 01/15/54 (Call 07/15/53)

    USD       36       36,426  

Duke Energy Florida LLC

     

1.75%, 06/15/30 (Call 03/15/30)

    USD       24       20,044  

2.50%, 12/01/29 (Call 09/01/29)

    USD       34       30,246  

3.00%, 12/15/51 (Call 06/15/51)

    USD       19       12,672  

4.20%, 07/15/48 (Call 01/15/48)

    USD       16       13,484  

5.95%, 11/15/52 (Call 05/15/52)

    USD       12       13,010  

6.20%, 11/15/53 (Call 05/15/53)

    USD       25       27,976  

Duke Energy Ohio Inc., 5.65%, 04/01/53 (Call 10/01/52)

    USD       7       7,240  

Duke Energy Progress LLC

     

2.50%, 08/15/50 (Call 02/15/50)

    USD       19       11,735  

2.90%, 08/15/51 (Call 02/15/51)

    USD       17       11,177  

3.45%, 03/15/29 (Call 12/15/28)

    USD       25       23,781  

3.60%, 09/15/47 (Call 03/15/47)

    USD       16       12,232  

3.70%, 09/01/28 (Call 06/01/28)

    USD       10       9,664  

3.70%, 10/15/46 (Call 04/15/46)

    USD       16       12,490  

4.00%, 04/01/52 (Call 10/01/51)

    USD       15       12,063  

5.35%, 03/15/53 (Call 09/15/52)

    USD       20       20,000  

Edison International

     

4.13%, 03/15/28 (Call 12/15/27)

    USD       20       19,400  

5.25%, 11/15/28 (Call 10/15/28)

    USD       28       28,267  

5.75%, 06/15/27 (Call 04/15/27)

    USD       48       49,049  

6.95%, 11/15/29 (Call 09/15/29)

    USD       47       51,048  

EnBW International Finance BV, 3.85%, 05/23/30(d)

    EUR       5       5,558  

Entergy Arkansas LLC

     

5.15%, 01/15/33 (Call 10/15/32)

    USD       7       7,143  

5.30%, 09/15/33 (Call 06/15/33)

    USD       7       7,185  
Security          Par
(000)
    Value  
Electric (continued)                  

Eversource Energy, Series O, 4.25%, 04/01/29 (Call 01/01/29)

    USD       51     $  49,116  

FirstEnergy Transmission LLC, 4.55%, 04/01/49 (Call 10/01/48)(a)

    USD       39       33,367  

Florida Power & Light Co.

     

2.88%, 12/04/51 (Call 06/04/51)

    USD       11       7,451  

3.15%, 10/01/49 (Call 04/01/49)

    USD       11       7,938  

3.70%, 12/01/47 (Call 06/01/47)

    USD       10       7,951  

3.95%, 03/01/48 (Call 09/01/47)

    USD       9       7,528  

3.99%, 03/01/49 (Call 09/01/48)

    USD       9       7,535  

Georgia Power Co.

     

4.70%, 05/15/32 (Call 02/15/32)

    USD       17       16,787  

4.95%, 05/17/33 (Call 11/17/32)

    USD       16       16,005  

MidAmerican Energy Co.

     

5.30%, 02/01/55 (Call 08/01/54)

    USD       10       10,143  

5.85%, 09/15/54 (Call 03/15/54)

    USD       18       19,673  

Northern States Power Co./MN

     

2.60%, 06/01/51 (Call 12/01/50)

    USD       16       10,242  

2.90%, 03/01/50 (Call 09/01/49)

    USD       17       11,652  

3.20%, 04/01/52 (Call 10/01/51)

    USD       36       25,912  

3.60%, 05/15/46 (Call 11/15/45)

    USD       16       12,523  

4.50%, 06/01/52 (Call 12/01/51)

    USD       29       26,183  

5.10%, 05/15/53 (Call 11/15/52)

    USD       12       11,895  

NRG Energy Inc., 3.63%, 02/15/31 (Call
02/15/26)(a)

    USD       24       20,586  

Ohio Power Co.

     

4.00%, 06/01/49 (Call 12/01/48)

    USD       21       16,758  

4.15%, 04/01/48 (Call 10/01/47)

    USD       20       16,350  

5.00%, 06/01/33 (Call 03/01/33)

    USD       18       18,040  

Series P, 2.60%, 04/01/30 (Call 01/01/30)

    USD       54       47,332  

Series Q, 1.63%, 01/15/31 (Call 10/15/30)

    USD       52       42,224  

Series R, 2.90%, 10/01/51 (Call 04/01/51)

    USD       57       37,535  

Pacific Gas and Electric Co.

     

3.50%, 08/01/50 (Call 02/01/50)

    USD       76       53,064  

4.00%, 12/01/46 (Call 06/01/46)

    USD       26       19,546  

4.25%, 03/15/46 (Call 09/15/45)

    USD       25       19,602  

4.95%, 07/01/50 (Call 01/01/50)

    USD       22       19,172  

5.25%, 03/01/52 (Call 09/01/51)

    USD       21       18,800  

6.70%, 04/01/53 (Call 10/01/52)

    USD       17       18,711  

PECO Energy Co.

     

2.85%, 09/15/51 (Call 03/15/51)

    USD       14       9,284  

3.05%, 03/15/51 (Call 09/15/50)

    USD       28       19,392  

3.70%, 09/15/47 (Call 03/15/47)

    USD       36       28,638  

4.38%, 08/15/52 (Call 02/15/52)

    USD       36       31,699  

4.60%, 05/15/52 (Call 11/15/51)

    USD       10       9,202  

Public Service Co. of New Hampshire

     

3.60%, 07/01/49 (Call 01/01/49)

    USD       22       17,113  

5.15%, 01/15/53 (Call 07/15/52)

    USD       17       16,934  

Public Service Electric & Gas Co., 2.05%, 08/01/50 (Call 02/01/50)

    USD       33       19,613  

San Diego Gas & Electric Co.

     

3.70%, 03/15/52 (Call 09/15/51)

    USD       10       7,698  

5.35%, 04/01/53 (Call 10/01/52)

    USD       8       8,003  

Series RRR, 3.75%, 06/01/47 (Call 12/01/46)

    USD       28       22,182  

Series TTT, 4.10%, 06/15/49 (Call 12/15/48)

    USD       9       7,467  

Series UUU, 3.32%, 04/15/50 (Call 10/15/49)

    USD       11       7,907  

Southern California Edison Co.

     

2.25%, 06/01/30 (Call 03/01/30)

    USD       45       38,727  

2.75%, 02/01/32 (Call 11/01/31)

    USD       15       12,888  

2.85%, 08/01/29 (Call 05/01/29)

    USD       47       42,860  

5.20%, 06/01/34 (Call 03/01/34)

    USD       30       30,227  

5.63%, 02/01/36

    USD       11       11,301  

 

 

 

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

  79


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Total Return ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Electric (continued)                  

5.65%, 10/01/28 (Call 09/01/28)

    USD       47     $ 48,894  

5.95%, 11/01/32 (Call 08/01/32)

    USD       12       12,791  

6.00%, 01/15/34

    USD       11       11,796  

Series 04-G, 5.75%, 04/01/35

    USD       11       11,412  

Series 05-B, 5.55%, 01/15/36

    USD       11       11,089  

Series G, 2.50%, 06/01/31 (Call 03/01/31)

    USD       41       34,946  

Union Electric Co., 5.45%, 03/15/53 (Call 09/15/52)

    USD       13       13,162  

Virginia Electric & Power Co.

     

4.00%, 01/15/43 (Call 07/15/42)

    USD       23       19,563  

4.45%, 02/15/44 (Call 08/15/43)

    USD       9       7,972  

Series B, 4.20%, 05/15/45 (Call 11/15/44)

    USD       9       7,594  

Series D, 4.65%, 08/15/43 (Call 02/15/43)

    USD       8       7,274  

Vistra Operations Co. LLC, 5.00%, 07/31/27 (Call 07/31/24)(a)

    USD       16       15,501  
     

 

 

 
         2,328,941  
Entertainment — 0.1%                  

Caesars Entertainment Inc.

     

4.63%, 10/15/29 (Call 10/15/24)(a)

    USD       11       10,055  

6.25%, 07/01/25 (Call 07/01/24)(a)

    USD       40       40,137  

8.13%, 07/01/27 (Call 07/01/24)(a)

    USD       39       40,024  

Premier Entertainment Sub LLC/Premier Entertainment Finance Corp., 5.63%, 09/01/29 (Call 09/01/24)(a)

    USD       23       17,248  

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29 (Call 07/01/29)(a)

    USD       16       15,115  
     

 

 

 
        122,579  
Environmental Control — 0.1%                  

Covanta Holding Corp., 4.88%, 12/01/29 (Call 12/01/24)(a)

    USD       23       19,865  

Republic Services Inc.

     

1.75%, 02/15/32 (Call 11/15/31)

    USD       9       7,226  

5.00%, 04/01/34 (Call 01/01/34)

    USD       8       8,081  

Waste Management Inc.

     

3.90%, 03/01/35 (Call 09/01/34)

    USD       9       8,100  

4.88%, 02/15/34 (Call 11/15/33)

    USD       7       7,047  
     

 

 

 
        50,319  
Gas — 0.3%                  

Atmos Energy Corp., 6.20%, 11/15/53 (Call 05/15/53)

    USD       16       18,310  

CenterPoint Energy Resources Corp., 5.25%, 03/01/28 (Call 02/01/28)

    USD       30       30,717  

NiSource Inc.

     

3.49%, 05/15/27 (Call 02/15/27)

    USD       79       76,108  

5.25%, 03/30/28 (Call 02/29/28)

    USD       76       77,522  

5.40%, 06/30/33 (Call 03/30/33)

    USD       54       55,358  

ONE Gas Inc., 5.10%, 04/01/29 (Call 03/01/29)

    USD       11       11,228  

Piedmont Natural Gas Co. Inc., 2.50%, 03/15/31 (Call 12/15/30)

    USD       20       16,996  
     

 

 

 
        286,239  
Health Care - Products — 0.3%                  

Agilent Technologies Inc., 2.30%, 03/12/31 (Call 12/12/30)

    USD       11       9,418  

Bausch & Lomb Escrow Corp., 8.38%, 10/01/28 (Call 10/01/25)(a)

    USD       38       39,428  

HCA Inc., 3.13%, 03/15/27 (Call 02/15/27)

    USD       29       27,571  

Medline Borrower LP, 3.88%, 04/01/29 (Call 10/01/24)(a)

    USD       62       56,135  
Security          Par
(000)
    Value  
Health Care - Products (continued)                  

Thermo Fisher Scientific Inc.

     

5.09%, 08/10/33 (Call 05/10/33)

    USD       66     $ 68,221  

5.20%, 01/31/34 (Call 10/31/33)

    USD       21       21,844  
     

 

 

 
        222,617  
Health Care - Services — 0.6%                  

CHS/Community Health Systems Inc., 5.63%, 03/15/27 (Call 12/15/24)(a)

    USD       35       32,333  

Elevance Health Inc.

     

3.13%, 05/15/50 (Call 11/15/49)

    USD       31       21,891  

3.60%, 03/15/51 (Call 09/15/50)

    USD       10       7,730  

4.85%, 08/15/54 (Call 02/15/54)

    USD       9       7,880  

HCA Inc.

     

3.50%, 09/01/30 (Call 03/01/30)

    USD       171        155,159  

5.25%, 04/15/25

    USD       23       22,975  

5.25%, 06/15/26 (Call 12/15/25)

    USD       42       42,120  

5.38%, 09/01/26 (Call 03/01/26)

    USD       23       23,123  

5.88%, 02/15/26 (Call 08/15/25)

    USD       17       17,161  

Molina Healthcare Inc., 4.38%, 06/15/28 (Call 01/29/24)(a)

    USD       16       14,998  

Tenet Healthcare Corp., 4.63%, 06/15/28 (Call 06/15/24)

    USD       16       15,173  

UnitedHealth Group Inc.

     

2.90%, 05/15/50 (Call 11/15/49)

    USD       11       7,645  

3.13%, 05/15/60 (Call 11/15/59)

    USD       33       22,838  

3.25%, 05/15/51 (Call 11/15/50)

    USD       10       7,337  

3.70%, 08/15/49 (Call 02/15/49)

    USD       10       8,008  

3.75%, 10/15/47 (Call 04/15/47)

    USD       9       7,334  

3.88%, 08/15/59 (Call 02/15/59)

    USD       9       7,215  

4.20%, 01/15/47 (Call 07/15/46)

    USD       9       7,942  

4.25%, 04/15/47 (Call 10/15/46)

    USD       9       7,971  

4.25%, 06/15/48 (Call 12/15/47)

    USD       9       7,943  

4.45%, 12/15/48 (Call 06/15/48)

    USD       8       7,261  

4.75%, 05/15/52 (Call 11/15/51)

    USD       8       7,577  

5.20%, 04/15/63 (Call 10/15/62)

    USD       8       8,018  

6.05%, 02/15/63 (Call 08/15/62)

    USD       7       7,990  
     

 

 

 
        475,622  
Home Builders — 0.0%                  

Taylor Morrison Communities Inc., 5.75%, 01/15/28 (Call 10/15/27)(a)

    USD       15       14,891  
     

 

 

 
Insurance — 0.1%                  

Aon Corp./Aon Global Holdings PLC

     

2.60%, 12/02/31 (Call 09/02/31)

    USD       11       9,333  

5.00%, 09/12/32 (Call 06/12/32)

    USD       8       8,006  

5.35%, 02/28/33 (Call 11/28/32)

    USD       8       8,177  

Hartford Financial Services Group Inc. (The), 2.90%, 09/15/51 (Call 03/15/51)

    USD       12       7,973  

Marsh & McLennan Companies Inc., 5.70%, 09/15/53 (Call 03/15/53)

    USD       20       21,525  
     

 

 

 
        55,014  
Internet — 0.0%                  

Meta Platforms Inc.

     

4.65%, 08/15/62 (Call 02/15/62)

    USD       19       17,419  

5.75%, 05/15/63 (Call 11/15/62)

    USD       17       18,437  
     

 

 

 
        35,856  
Iron & Steel — 0.1%                  

Cleveland-Cliffs Inc., 6.75%, 04/15/30 (Call 04/15/26)(a)

    USD       23       23,201  

 

 

 

80  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Total Return ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Iron & Steel (continued)                  

Mineral Resources Ltd., 9.25%, 10/01/28 (Call 10/01/25)(a)

    USD       23     $  24,294  
     

 

 

 
        47,495  
Lodging — 0.1%                  

Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, 4.88%, 07/01/31 (Call 07/01/26)(a)

    USD       18       15,963  

MGM Resorts International

     

4.75%, 10/15/28 (Call 07/15/28)

    USD       16       15,159  

5.75%, 06/15/25 (Call 03/15/25)

    USD       27       27,009  
     

 

 

 
        58,131  
Machinery — 0.0%                  

Otis Worldwide Corp., 5.25%, 08/16/28 (Call 07/16/28)

    USD       25       25,566  
     

 

 

 
Manufacturing — 0.1%                  

Textron Inc.

     

2.45%, 03/15/31 (Call 12/15/30)

    USD       21       17,877  

3.00%, 06/01/30 (Call 03/01/30)

    USD       33       29,597  

3.90%, 09/17/29 (Call 06/17/29)

    USD       34       32,424  
     

 

 

 
        79,898  
Media — 0.8%                  

AMC Networks Inc., 4.25%, 02/15/29 (Call 02/15/24)

    USD       54       41,538  

CCO Holdings LLC/CCO Holdings Capital Corp.

     

4.25%, 02/01/31 (Call 07/01/25)(a)

    USD       35       29,594  

5.00%, 02/01/28 (Call 08/01/24)(a)

    USD       34       31,954  

Charter Communications Operating LLC/Charter

     

Communications Operating Capital

     

3.70%, 04/01/51 (Call 10/01/50)

    USD       68       43,388  

3.90%, 06/01/52 (Call 12/01/51)

    USD       80       52,568  

4.80%, 03/01/50 (Call 09/01/49)

    USD       43       32,827  

5.38%, 05/01/47 (Call 11/01/46)

    USD       26       21,765  

5.75%, 04/01/48 (Call 10/01/47)

    USD       25       21,796  

Comcast Corp.

     

1.50%, 02/15/31 (Call 11/15/30)

    USD       9       7,327  

1.95%, 01/15/31 (Call 10/15/30)

    USD       9       7,547  

2.45%, 08/15/52 (Call 02/15/52)

    USD       12       7,265  

2.65%, 02/01/30 (Call 11/01/29)

    USD       8       7,195  

2.80%, 01/15/51 (Call 07/15/50)

    USD       11       7,202  

2.89%, 11/01/51 (Call 05/01/51)

    USD       12       7,944  

2.94%, 11/01/56 (Call 05/01/56)

    USD       12       7,755  

2.99%, 11/01/63 (Call 05/01/63)

    USD       15       9,475  

3.40%, 04/01/30 (Call 01/01/30)

    USD       17       15,844  

3.45%, 02/01/50 (Call 08/01/49)

    USD       10       7,530  

3.75%, 04/01/40 (Call 10/01/39)

    USD       21       17,986  

3.97%, 11/01/47 (Call 05/01/47)

    USD       9       7,448  

4.00%, 03/01/48 (Call 09/01/47)

    USD       9       7,466  

4.00%, 11/01/49 (Call 05/01/49)

    USD       9       7,437  

4.05%, 11/01/52 (Call 05/01/52)

    USD       9       7,470  

4.20%, 08/15/34 (Call 02/15/34)

    USD       8       7,616  

4.25%, 10/15/30 (Call 07/15/30)

    USD       16       15,659  

4.25%, 01/15/33

    USD       9       8,655  

4.40%, 08/15/35 (Call 02/25/35)

    USD       8       7,679  

4.65%, 02/15/33 (Call 11/15/32)

    USD       8       7,984  

4.80%, 05/15/33 (Call 02/15/33)

    USD       8       8,023  

5.35%, 05/15/53 (Call 11/15/52)

    USD       8       8,154  

5.50%, 05/15/64 (Call 11/15/63)

    USD       8       8,250  

Directv Financing LLC/Directv Financing Co-Obligor Inc., 5.88%, 08/15/27 (Call 08/15/24)(a)

    USD       97       92,217  
Security          Par
(000)
    Value  
Media (continued)                  

FactSet Research Systems Inc., 3.45%, 03/01/32 (Call 12/01/31)

    USD       70     $ 62,437  

Paramount Global

     

4.60%, 01/15/45 (Call 07/15/44)

    USD       5       3,814  

4.90%, 08/15/44 (Call 02/15/44)

    USD       5       3,956  

5.85%, 09/01/43 (Call 03/01/43)

    USD       20       17,774  

Univision Communications Inc., 7.38%, 06/30/30 (Call 06/30/25)(a)

    USD       25       24,510  
     

 

 

 
         685,049  
Mining — 0.1%                  

FMG Resources August 2006 Pty. Ltd., 4.50%, 09/15/27 (Call 06/15/27)(a)

    USD       16       15,383  

Glencore Funding LLC, 6.38%, 10/06/30 (Call 08/06/30)(a)

    USD       71       76,071  

Newmont Corp.

     

2.25%, 10/01/30 (Call 07/01/30)

    USD       15       12,850  

2.80%, 10/01/29 (Call 07/01/29)

    USD       15       13,593  
     

 

 

 
        117,897  
Oil & Gas — 1.4%                  

Apache Corp.

     

4.75%, 04/15/43 (Call 10/15/42)

    USD       31       24,392  

5.10%, 09/01/40 (Call 03/01/40)

    USD       15       12,866  

5.25%, 02/01/42 (Call 08/01/41)

    USD       15       12,548  

BP Capital Markets PLC, 2.82%, 04/07/32(d)

    EUR       100       103,893  

Civitas Resources Inc., 8.38%, 07/01/28 (Call 07/01/25)(a)

    USD       33       34,706  

Comstock Resources Inc., 6.75%, 03/01/29 (Call 03/01/24)(a)

    USD       23       21,120  

Devon Energy Corp.

     

5.25%, 10/15/27 (Call 10/15/24)

    USD       19       19,132  

5.85%, 12/15/25 (Call 09/15/25)

    USD       32       32,363  

5.88%, 06/15/28 (Call 06/15/24)

    USD       33       33,302  

Diamondback Energy Inc.

     

3.13%, 03/24/31 (Call 12/24/30)

    USD       243       215,679  

3.25%, 12/01/26 (Call 10/01/26)

    USD       61       59,041  

3.50%, 12/01/29 (Call 09/01/29)

    USD       150       139,353  

EQT Corp.

     

3.63%, 05/15/31 (Call 11/15/30)(a)

    USD       52       46,331  

3.90%, 10/01/27 (Call 07/01/27)

    USD       175       167,284  

5.00%, 01/15/29 (Call 07/15/28)

    USD       54       53,315  

7.00%, 02/01/30 (Call 11/01/29)

    USD       39       41,817  

Hilcorp Energy I LP/Hilcorp Finance Co., 6.00%, 02/01/31 (Call 02/01/26)(a)

    USD       16       15,361  

Ovintiv Inc., 5.65%, 05/15/25

    USD       79       79,381  

SM Energy Co., 6.63%, 01/15/27 (Call 01/15/25)

    USD       15       14,930  

Southwestern Energy Co., 5.38%, 03/15/30 (Call 03/15/25)

    USD       16       15,462  
     

 

 

 
        1,142,276  
Packaging & Containers — 0.1%                  

Amcor Finance USA Inc., 5.63%, 05/26/33 (Call 02/26/33)

    USD       7       7,254  

Berry Global Inc., 1.65%, 01/15/27 (Call 12/15/26)

    USD       11       9,934  

Mauser Packaging Solutions Holding Co., 7.88%, 08/15/26 (Call 08/15/24)(a)

    USD       60       60,627  

Owens-Brockway Glass Container Inc., 7.25%, 05/15/31 (Call 05/15/26)(a)

    USD       35       35,177  
     

 

 

 
        112,992  
Pharmaceuticals — 0.5%                  

AbbVie Inc.

     

4.30%, 05/14/36 (Call 11/14/35)

    USD       9       8,586  

 

 

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

  81


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Total Return ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Pharmaceuticals (continued)                  

4.50%, 05/14/35 (Call 11/14/34)

    USD       55     $ 53,677  

4.55%, 03/15/35 (Call 09/15/34)

    USD       64       62,686  

CVS Health Corp.

     

2.70%, 08/21/40 (Call 02/21/40)

    USD       13       9,156  

4.13%, 04/01/40 (Call 10/01/39)

    USD       11       9,342  

4.25%, 04/01/50 (Call 10/01/49)

    USD       9       7,402  

4.78%, 03/25/38 (Call 09/25/37)

    USD       10       9,381  

5.05%, 03/25/48 (Call 09/25/47)

    USD       8       7,335  

5.13%, 07/20/45 (Call 01/20/45)

    USD       10       9,377  

5.63%, 02/21/53 (Call 08/21/52)

    USD       8       7,966  

5.88%, 06/01/53 (Call 12/01/52)

    USD       7       7,220  

6.13%, 09/15/39

    USD       9       9,503  

Pfizer Inc.

     

4.00%, 03/15/49 (Call 09/15/48)

    USD       29       24,809  

4.13%, 12/15/46

    USD       31       27,340  

4.20%, 09/15/48 (Call 03/15/48)

    USD       31       27,377  

Pfizer Investment Enterprises Pte Ltd.

     

4.75%, 05/19/33 (Call 02/19/33)

    USD       82       81,898  

5.30%, 05/19/53 (Call 11/19/52)

    USD       28       28,469  
     

 

 

 
         391,524  
Pipelines — 3.7%                  

Cameron LNG LLC

     

3.30%, 01/15/35 (Call 09/15/34)(a)

    USD       69       58,617  

3.40%, 01/15/38 (Call 07/15/37)(a)

    USD       69       57,040  

Cheniere Corpus Christi Holdings LLC

     

2.74%, 12/31/39 (Call 07/04/39)

    USD       32       25,546  

3.70%, 11/15/29 (Call 05/18/29)

    USD       126       118,645  

5.13%, 06/30/27 (Call 01/01/27)

    USD       83       83,406  

5.88%, 03/31/25 (Call 10/02/24)

    USD       222       222,612  

Cheniere Energy Partners LP

     

3.25%, 01/31/32 (Call 01/31/27)

    USD       172       146,011  

4.00%, 03/01/31 (Call 03/01/26)

    USD       70       63,507  

4.50%, 10/01/29 (Call 10/01/24)

    USD       96       91,582  

DT Midstream Inc., 4.13%, 06/15/29 (Call 06/15/24)(a)

    USD       17       15,619  

Energy Transfer LP

     

5.15%, 03/15/45 (Call 09/15/44)

    USD       20       18,356  

5.30%, 04/15/47 (Call 10/15/46)

    USD       7       6,438  

5.40%, 10/01/47 (Call 04/01/47)

    USD       9       8,368  

5.55%, 02/15/28 (Call 01/15/28)

    USD       83       84,461  

6.00%, 06/15/48 (Call 12/15/47)

    USD       34       34,220  

6.10%, 12/01/28 (Call 11/01/28)

    USD       24       25,081  

6.13%, 12/15/45 (Call 06/15/45)

    USD       35       35,714  

6.25%, 04/15/49 (Call 10/15/48)

    USD       11       11,414  

7.38%, 02/01/31 (Call 02/01/26)(a)

    USD       80       84,091  

Kinder Morgan Energy Partners LP, 5.80%, 03/15/35

    USD       7       7,145  

Kinder Morgan Inc.

     

4.30%, 03/01/28 (Call 12/01/27)

    USD       77       75,463  

5.00%, 02/01/29 (Call 01/01/29)

    USD       70       70,181  

5.30%, 12/01/34 (Call 06/01/34)

    USD       8       7,935  

Magellan Midstream Partners LP

     

3.95%, 03/01/50 (Call 09/01/49)

    USD       17       12,857  

4.25%, 09/15/46 (Call 03/15/46)

    USD       10       8,081  

4.85%, 02/01/49 (Call 08/01/48)

    USD       9       7,913  

NGPL PipeCo LLC

     

3.25%, 07/15/31 (Call 04/15/31)(a)

    USD       151       130,939  

4.88%, 08/15/27 (Call 02/15/27)(a)

    USD       71       69,755  

Northwest Pipeline LLC, 4.00%, 04/01/27 (Call 01/01/27)

    USD       160       156,647  

ONEOK Inc.

     

4.45%, 09/01/49 (Call 03/01/49)

    USD       9       7,394  
Security          Par
(000)
    Value  
Pipelines (continued)                  

4.50%, 03/15/50 (Call 09/15/49)

    USD       9     $ 7,425  

4.95%, 07/13/47 (Call 01/06/47)

    USD       8       7,164  

Sabine Pass Liquefaction LLC

     

5.00%, 03/15/27 (Call 09/15/26)

    USD       146       146,379  

5.63%, 03/01/25 (Call 12/01/24)

    USD       250       250,451  

5.88%, 06/30/26 (Call 12/31/25)

    USD       123       125,129  

5.90%, 09/15/37 (Call 03/15/37)

    USD       71       74,439  

Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.00%, 03/01/27 (Call 03/01/24)(a)

    USD       16       15,740  

Targa Resources Corp.

     

4.20%, 02/01/33 (Call 12/01/32)

    USD       31       28,378  

6.15%, 03/01/29 (Call 02/01/29)

    USD       67       70,021  

Targa Resources Partners LP/Targa Resources Partners Finance Corp.

     

4.00%, 01/15/32 (Call 07/15/26)

    USD       38       34,250  

4.88%, 02/01/31 (Call 02/01/26)

    USD       66       63,294  

5.50%, 03/01/30 (Call 03/01/25)

    USD       81       80,614  

Texas Eastern Transmission LP

     

3.50%, 01/15/28 (Call 10/15/27)(a)

    USD       164       155,485  

7.00%, 07/15/32

    USD       48       53,555  

Transcontinental Gas Pipe Line Co. LLC

     

3.95%, 05/15/50 (Call 11/15/49)

    USD       29       23,384  

4.00%, 03/15/28 (Call 12/15/27)

    USD       47       45,717  

4.60%, 03/15/48 (Call 09/15/47)

    USD       55       49,474  

7.85%, 02/01/26 (Call 11/01/25)

    USD       10       10,488  

Venture Global Calcasieu Pass LLC

     

3.88%, 08/15/29 (Call 02/15/29)(a)

    USD       17       15,194  

4.13%, 08/15/31 (Call 02/15/31)(a)

    USD       27       23,877  
     

 

 

 
         3,025,496  
Real Estate Investment Trusts — 1.5%              

American Tower Corp.

     

1.88%, 10/15/30 (Call 07/15/30)

    USD       29       23,773  

2.10%, 06/15/30 (Call 03/15/30)

    USD       29       24,357  

2.30%, 09/15/31 (Call 06/15/31)

    USD       17       14,063  

2.70%, 04/15/31 (Call 01/15/31)

    USD       27       23,142  

2.90%, 01/15/30 (Call 10/15/29)

    USD       29       25,811  

3.80%, 08/15/29 (Call 05/15/29)

    USD       29       27,362  

Crown Castle Inc.

     

2.25%, 01/15/31 (Call 10/15/30)

    USD       30       24,790  

2.50%, 07/15/31 (Call 04/15/31)

    USD       29       24,167  

3.10%, 11/15/29 (Call 08/15/29)

    USD       31       27,789  

3.30%, 07/01/30 (Call 04/01/30)

    USD       92       82,203  

Equinix Inc.

     

2.15%, 07/15/30 (Call 04/15/30)

    USD       10       8,447  

2.50%, 05/15/31 (Call 02/15/31)

    USD       10       8,494  

3.20%, 11/18/29 (Call 08/18/29)

    USD       9       8,229  

Extra Space Storage LP, 5.90%, 01/15/31 (Call 11/15/30)

    USD       9       9,357  

GLP Capital LP/GLP Financing II Inc.

     

3.25%, 01/15/32 (Call 10/15/31)

    USD       30       25,230  

4.00%, 01/15/30 (Call 10/17/29)

    USD       52       47,382  

4.00%, 01/15/31 (Call 10/15/30)

    USD       47       41,816  

5.75%, 06/01/28 (Call 03/03/28)

    USD       85       85,578  

6.75%, 12/01/33 (Call 09/01/33)

    USD       40       42,572  

Iron Mountain Inc., 4.50%, 02/15/31 (Call 02/15/26)(a)

    USD       17       15,243  

NNN REIT Inc.

     

3.00%, 04/15/52 (Call 10/15/51)

    USD       12       7,871  

3.10%, 04/15/50 (Call 10/15/49)

    USD       12       7,923  

3.50%, 04/15/51 (Call 01/15/50)

    USD       22       16,157  

4.80%, 10/15/48 (Call 04/25/48)

    USD       9       7,968  

 

 

82  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Total Return ETF

(Percentages shown are based on Net Assets)

 

Security

          Par
(000)
     Value  
Real Estate Investment Trusts (continued)                

Realty Income Corp.

       

3.10%, 12/15/29 (Call 09/15/29)

    USD        8      $ 7,326  

3.25%, 06/15/29 (Call 03/15/29)

    USD        8        7,434  

3.25%, 01/15/31 (Call 10/15/30)

    USD        8        7,210  

4.85%, 03/15/30 (Call 01/15/30)

    USD        8        7,998  

Service Properties Trust

       

4.75%, 10/01/26 (Call 08/01/26)

    USD        16        14,844  

5.50%, 12/15/27 (Call 09/15/27)

    USD        17        15,991  

VICI Properties LP, 4.75%, 02/15/28 (Call 01/15/28)

    USD        75        73,437  

VICI Properties LP/VICI Note Co. Inc.

       

3.88%, 02/15/29 (Call 11/15/28)(a)

    USD        28        25,743  

4.13%, 08/15/30 (Call 02/15/25)(a)

    USD        136        123,768  

4.50%, 01/15/28 (Call 10/15/27)(a)

    USD        32        30,589  

4.63%, 12/01/29 (Call 12/01/24)(a)

    USD        57        53,940  

5.75%, 02/01/27 (Call 11/01/26)(a)

    USD        209        208,492  
       

 

 

 
           1,206,496  
Retail — 0.1%                    

Lowe’s Companies Inc.

       

1.70%, 10/15/30 (Call 07/15/30)

    USD        13        10,780  

2.63%, 04/01/31 (Call 01/01/31)

    USD        26        22,615  

2.80%, 09/15/41 (Call 03/15/41)

    USD        29        21,246  

4.25%, 09/15/44 (Call 03/15/44)

    USD        10        8,238  

4.38%, 09/15/45 (Call 03/15/45)

    USD        9        7,844  

4.50%, 04/15/30 (Call 01/15/30)

    USD        12        11,919  

4.65%, 04/15/42 (Call 10/15/41)

    USD        9        8,373  

5.80%, 10/15/36

    USD        8        8,395  
       

 

 

 
          99,410  
Semiconductors — 0.3%                    

Broadcom Inc.

       

2.60%, 02/15/33 (Call 11/15/32)(a)

    USD        57        46,822  

3.14%, 11/15/35 (Call 08/15/35)(a)

    USD        19        15,618  

3.19%, 11/15/36 (Call 08/15/36)(a)

    USD        32        25,995  

3.42%, 04/15/33 (Call 01/15/33)(a)

    USD        19        16,685  

3.47%, 04/15/34 (Call 01/15/34)(a)

    USD        29        25,189  

Intel Corp., 3.05%, 08/12/51 (Call 02/12/51)

    USD        12        8,301  

KLA Corp.

       

3.30%, 03/01/50 (Call 08/28/49)

    USD        21        15,684  

5.00%, 03/15/49 (Call 09/15/48)

    USD        8        7,862  

5.25%, 07/15/62 (Call 01/15/62)

    USD        14        14,224  

NXP BV/NXP Funding LLC/NXP USA Inc., 2.50%, 05/11/31 (Call 02/11/31)

    USD        33        27,657  

Texas Instruments Inc., 2.70%, 09/15/51 (Call 03/15/51)

    USD        12        7,960  
       

 

 

 
          211,997  
Shipbuilding — 0.2%                    

Huntington Ingalls Industries Inc.

       

2.04%, 08/16/28 (Call 06/16/28)

    USD        26        22,931  

3.48%, 12/01/27 (Call 09/01/27)

    USD        87        82,413  

4.20%, 05/01/30 (Call 02/01/30)

    USD        46        43,957  
       

 

 

 
          149,301  
Software — 0.5%                    

Autodesk Inc., 2.40%, 12/15/31 (Call 09/15/31)

    USD        9        7,619  

Cloud Software Group Inc., 6.50%, 03/31/29 (Call 09/30/25)(a)

    USD        98        91,506  

MSCI Inc.

       

3.63%, 09/01/30 (Call 03/01/25)(a)

    USD        41        36,816  

3.63%, 11/01/31 (Call 11/01/26)(a)

    USD        38        33,366  

Oracle Corp.

       

3.60%, 04/01/40 (Call 10/01/39)

    USD        20        15,994  

3.60%, 04/01/50 (Call 10/01/49)

    USD        25        18,397  
Security           Par
(000)
     Value  
Software (continued)                    

3.65%, 03/25/41 (Call 09/25/40)

    USD        52      $ 41,380  

3.80%, 11/15/37 (Call 05/15/37)

    USD        20        17,072  

3.85%, 07/15/36 (Call 01/15/36)

    USD        9        7,848  

3.95%, 03/25/51 (Call 09/25/50)

    USD        10        7,769  

4.00%, 07/15/46 (Call 01/15/46)

    USD        13        10,489  

4.13%, 05/15/45 (Call 11/15/44)

    USD        32        26,287  

4.38%, 05/15/55 (Call 11/15/54)

    USD        22        18,122  

4.50%, 07/08/44 (Call 01/08/44)

    USD        18        15,681  

5.38%, 07/15/40

    USD        17        16,792  

5.55%, 02/06/53 (Call 08/06/52)

    USD        10        9,938  
       

 

 

 
           375,076  
Telecommunications — 1.6%                    

AT&T Inc.

       

3.50%, 09/15/53 (Call 03/15/53)

    USD        34        24,282  

3.50%, 02/01/61 (Call 08/01/60)

    USD        24        16,596  

3.55%, 09/15/55 (Call 03/15/55)

    USD        30        21,374  

3.65%, 06/01/51 (Call 12/01/50)

    USD        36        26,847  

3.65%, 09/15/59 (Call 03/15/59)

    USD        68        47,994  

3.80%, 12/01/57 (Call 06/01/57)

    USD        30        22,088  

3.85%, 06/01/60 (Call 12/01/59)

    USD        21        15,473  

4.75%, 05/15/46 (Call 11/15/45)

    USD        21        19,009  

5.40%, 02/15/34 (Call 11/15/33)

    USD        90        92,322  

5.45%, 03/01/47 (Call 09/01/46)

    USD        36        35,889  

Frontier Communications Holdings LLC

       

5.00%, 05/01/28 (Call 05/01/24)(a)

    USD        29        26,763  

5.88%, 10/15/27 (Call 10/15/24)(a)

    USD        35        33,664  

Motorola Solutions Inc., 5.60%, 06/01/32 (Call 03/01/32)

    USD        45        46,261  

Sprint LLC, 7.63%, 03/01/26 (Call 11/01/25)

    USD        253        264,029  

T-Mobile USA Inc.

       

2.25%, 11/15/31 (Call 08/15/31)

    USD        13        10,770  

2.55%, 02/15/31 (Call 11/15/30)

    USD        12        10,289  

2.88%, 02/15/31 (Call 02/15/26)

    USD        17        14,873  

3.50%, 04/15/31 (Call 04/15/26)

    USD        12        10,930  

3.88%, 04/15/30 (Call 01/15/30)

    USD        88        83,222  

5.05%, 07/15/33 (Call 04/15/33)

    USD        63        63,073  

5.15%, 04/15/34 (Call 01/15/34)

    USD        22        22,165  

Verizon Communications Inc.

       

2.36%, 03/15/32 (Call 12/15/31)

    USD        223        185,197  

2.55%, 03/21/31 (Call 12/21/30)

    USD        155        133,239  

3.00%, 11/20/60 (Call 05/20/60)

    USD        15        9,501  

4.40%, 11/01/34 (Call 05/01/34)

    USD        21        20,040  

5.85%, 09/15/35

    USD        33        35,274  
       

 

 

 
           1,291,164  
Transportation — 0.4%                    

Burlington Northern Santa Fe LLC

       

2.88%, 06/15/52 (Call 12/15/51)

    USD        11        7,523  

3.05%, 02/15/51 (Call 08/15/50)

    USD        11        7,833  

3.30%, 09/15/51 (Call 03/15/51)

    USD        10        7,490  

4.05%, 06/15/48 (Call 12/15/47)

    USD        9        7,744  

4.13%, 06/15/47 (Call 12/15/46)

    USD        9        7,796  

4.15%, 04/01/45 (Call 10/01/44)

    USD        22        19,344  

5.20%, 04/15/54 (Call 10/15/53)

    USD        15        15,288  

CSX Corp.

       

4.25%, 11/01/66 (Call 05/01/66)

    USD        12        10,024  

4.50%, 11/15/52 (Call 05/15/52)

    USD        27        24,593  

4.65%, 03/01/68 (Call 09/01/67)

    USD        20        18,032  

Norfolk Southern Corp.

       

2.90%, 08/25/51 (Call 02/25/51)

    USD        11        7,348  

3.05%, 05/15/50 (Call 11/15/49)

    USD        11        7,635  

 

 

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

  83


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Total Return ETF

(Percentages shown are based on Net Assets)

 

Security          Par
(000)
    Value  
Transportation (continued)                  

3.16%, 05/15/55 (Call 11/15/54)

    USD       11     $ 7,566  

3.40%, 11/01/49 (Call 05/01/49)

    USD       10       7,399  

3.70%, 03/15/53 (Call 09/15/52)

    USD       10       7,785  

4.05%, 08/15/52 (Call 02/15/52)

    USD       9       7,511  

4.10%, 05/15/49 (Call 11/15/48)

    USD       9       7,491  

4.65%, 01/15/46 (Call 07/15/45)

    USD       34       31,346  

5.35%, 08/01/54 (Call 02/01/54)

    USD       7       7,138  

Ryder System Inc.

     

5.25%, 06/01/28 (Call 05/01/28)

    USD       13       13,224  

5.65%, 03/01/28 (Call 02/01/28)

    USD       8       8,238  

Union Pacific Corp.

     

2.97%, 09/16/62 (Call 03/16/62)

    USD       12       7,831  

3.55%, 05/20/61 (Call 11/20/60)

    USD       10       7,451  

3.75%, 02/05/70 (Call 08/05/69)

    USD       10       7,635  

3.80%, 04/06/71 (Call 10/06/70)

    USD       10       7,714  

3.84%, 03/20/60 (Call 09/20/59)

    USD       25       19,949  

3.95%, 08/15/59 (Call 02/15/59)

    USD       23       18,716  

4.10%, 09/15/67 (Call 03/15/67)

    USD       9       7,375  

4.38%, 11/15/65 (Call 05/15/65)

    USD       10       8,254  

5.15%, 01/20/63 (Call 07/20/62)

    USD       8       7,999  
     

 

 

 
        331,272  
     

 

 

 

Total Corporate Bonds & Notes — 25.9% (Cost: $20,902,628)

         21,190,199  
     

 

 

 

Foreign Government Obligations

     
Brazil — 0.3%                  

Brazilian Government International Bond, 6.13%, 03/15/34

    USD       210       207,942  
     

 

 

 
Free of Tax — 0.2%                  

European Union, 2.50%, 10/04/52(d)

    EUR       170       158,482  
     

 

 

 
Indonesia — 0.2%                  

Indonesia Government International Bond, 2.85%, 02/14/30

    USD       200       179,022  
     

 

 

 
Mexico — 0.5%                  

Mexican Bonos

     

8.50%, 03/01/29

    MXN       15       84,727  

Series M 20, 8.50%, 05/31/29

    MXN       30       169,999  

Mexico Government International Bond, 2.66%, 05/24/31 (Call 02/24/31)

    USD       220       184,800  
     

 

 

 
        439,526  
Panama — 0.2%                  

Panama Government International Bond, 3.88%, 03/17/28 (Call 12/17/27)

    USD       200       182,600  
     

 

 

 
Peru — 0.0%                  

Peruvian Government International Bond, 3.55%, 03/10/51 (Call 09/10/50)

    USD       50       36,450  
     

 

 

 
Philippines — 0.2%                  

Philippine Government International Bond, 3.00%, 02/01/28

    USD       200       187,772  
     

 

 

 
Uruguay — 0.1%                  

Uruguay Government International Bond, 5.10%, 06/18/50

    USD       50       48,645  
     

 

 

 

Total Foreign Government Obligations — 1.7%
(Cost: $1,440,049)

        1,440,439  
     

 

 

 
Security   Par
(000)
    Value  

Municipal Debt Obligations

   
California — 0.3%            

Bay Area Toll Authority RB BAB, Series S-1, 7.04%, 04/01/50

  $ 30     $ 37,113  

Los Angeles Unified School District/CA GO BAB, Series RY, 6.76%, 07/01/34

    40       45,203  

State of California GO, 4.60%, 04/01/38 (Call 04/01/28)

    130       125,881  

University of California RB, Series AD, 4.86%, 05/15/12

    20       18,754  
   

 

 

 
       226,951  
Illinois — 0.1%            

State of Illinois GO, 5.10%, 06/01/33

    70       69,431  
   

 

 

 
Louisiana — 0.1%            

Louisiana Local Government Environmental Facilities & Community Development Authority RB, 4.15%, 02/01/33

    70       68,379  
   

 

 

 
New Jersey — 0.0%            

New Jersey State Turnpike Authority RB BAB, Series F, 7.41%, 01/01/40

    20       24,831  
   

 

 

 
New York — 0.1%            

Metropolitan Transportation Authority RB BAB, Series A, 5.87%, 11/15/39

    20       21,039  

New York City Municipal Water Finance Authority RB 5.88%, 06/15/44

    20       22,236  

6.01%, 06/15/42

    10       11,185  

Port Authority of New York & New Jersey RB, Series 168, 4.93%, 10/01/51

    30       29,742  
   

 

 

 
      84,202  
Texas — 0.0%            

City of San Antonio Texas Electric & Gas Systems Revenue RB BAB, 5.81%, 02/01/41

    20       21,321  

State of Texas GO BAB, 5.52%, 04/01/39

    30       32,248  
   

 

 

 
      53,569  
   

 

 

 

Total Municipal Debt Obligations — 0.6% (Cost: $520,293)

      527,363  
   

 

 

 

U.S. Government & Agency Obligations

 

 
Mortgage-Backed Securities — 35.0%            

Federal Home Loan Mortgage Corp., 4.50%, 07/01/47

    164       161,994  

Government National Mortgage Association

   

2.00%, 08/20/51

     299       249,389  

2.00%, 02/20/54(e)

    789       656,994  

2.50%, 11/20/51

    211       182,526  

2.50%, 04/20/52

    258       223,232  

2.50%, 02/20/54(e)

    638       551,557  

3.00%, 06/20/50

    69       62,372  

3.00%, 11/20/51

    161       144,045  

3.00%, 02/20/54(e)

    580       518,058  

3.50%, 03/20/44

    135       126,921  

3.50%, 03/20/47

    42       38,848  

3.50%, 02/20/54(e)

    429       395,717  

4.00%, 07/20/43

    31       29,729  

4.00%, 02/20/48

    85       81,448  

4.00%, 02/20/54(e)

    303       287,843  

4.50%, 01/20/41

    30       29,502  

 

 

84  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Total Return ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

   

Value

 
Mortgage-Backed Securities (continued)            

4.50%, 09/20/48

  $ 68     $ 66,800  

4.50%, 02/20/54(e)

    255        248,261  

5.00%, 02/20/54(e)

    331       328,799  

5.50%, 02/20/54(e)

    268       269,714  

6.00%, 02/20/54(e)

    209       212,188  

6.50%, 02/20/54(e)

    172       175,800  

Uniform Mortgage-Backed Securities

   

1.50%, 02/15/39(e)

    603       527,197  

1.50%, 01/01/51

    70       53,994  

1.50%, 02/01/51

    60       46,165  

1.50%, 03/01/51

    40       30,492  

1.50%, 06/01/51

    30       23,096  

1.50%, 02/13/54(e)

    436       334,612  

2.00%, 12/01/35

    203       183,084  

2.00%, 05/01/36

    153       138,728  

2.00%, 03/01/37

    154       139,026  

2.00%, 02/15/39(e)

    275       246,789  

2.00%, 01/01/42

    170       145,202  

2.00%, 02/01/42

    170       144,424  

2.00%, 09/01/50

    779       635,133  

2.00%, 11/01/50

    524       427,596  

2.00%, 01/01/51

    875       709,657  

2.00%, 10/01/51

    716       579,124  

2.00%, 05/01/52

    598       482,995  

2.00%, 02/13/54(e)

     1,031       831,201  

2.50%, 02/01/35

    107       101,567  

2.50%, 05/01/35

    80       74,472  

2.50%, 02/01/36

    41       37,676  

2.50%, 07/01/36

    40       37,237  

2.50%, 02/15/39(e)

    142       130,762  

2.50%, 11/01/51

    907       772,962  

2.50%, 01/01/52

    518       441,673  

2.50%, 03/01/52

    649       551,726  

2.50%, 05/01/52

    520       443,288  

2.50%, 02/13/54(e)

    803       675,192  

3.00%, 02/01/29

    35       33,823  

3.00%, 11/01/34

    35       33,521  

3.00%, 06/01/37

    35       33,631  

3.00%, 07/01/37

    36       33,920  

3.00%, 02/15/39(e)

    95       89,448  

3.00%, 09/01/46

    311       279,672  

3.00%, 11/01/50

    233       208,245  

3.00%, 12/01/50

    389       346,910  

3.00%, 12/01/51

    313       278,546  

3.00%, 01/01/52

    312       275,657  

3.00%, 02/13/54(e)

    381       333,435  

3.50%, 01/01/34

    27       26,018  

3.50%, 04/01/37

    14       13,854  

3.50%, 06/01/37

    7       6,537  

3.50%, 02/15/39(e)

    34       32,687  

3.50%, 02/01/45

    131       121,420  

3.50%, 02/01/47

    47       43,712  

3.50%, 05/01/47

    11       10,147  

3.50%, 10/01/47

    72       67,062  

3.50%, 03/01/50

    565       519,377  

3.50%, 02/01/51

    40       37,502  

3.50%, 08/01/52

    48       44,203  

3.50%, 02/13/54(e)

    440       400,433  

3.50%, 03/13/54(e)

    200       182,109  

4.00%, 02/15/39(e)

    38       37,155  

4.00%, 10/01/47

    193       183,945  

Security

 

Par

(000)

   

Value

 
Mortgage-Backed Securities (continued)        

4.00%, 12/01/48

  $ 108     $ 103,267  

4.00%, 03/01/50

    569       544,411  

4.00%, 11/01/50

    92       88,437  

4.00%, 04/01/53

    15       14,461  

4.00%, 02/13/54(e)

    184       172,750  

4.00%, 03/13/54(e)

    178       168,051  

4.50%, 02/15/39(e)

    66       65,517  

4.50%, 07/01/48

    135       132,595  

4.50%, 12/01/48

    166       163,316  

4.50%, 09/01/49

    67       66,175  

4.50%, 10/01/50

    134       131,491  

4.50%, 02/13/54(e)

     2,041       1,973,232  

4.50%, 03/13/54(e)

    400       386,859  

5.00%, 07/01/47

    49       49,160  

5.00%, 06/01/50

    73       73,372  

5.00%, 07/01/53

    172       169,855  

5.00%, 08/01/53

    97       96,234  

5.00%, 11/01/53

    98       96,582  

5.00%, 02/13/54(e)

    2,412       2,380,405  

5.50%, 07/01/53

    420       422,113  

5.50%, 08/01/53

    10       9,935  

5.50%, 02/13/54(e)

    2,711       2,718,717  

6.00%, 05/01/53

    102       102,999  

6.00%, 08/01/53

    99       100,476  

6.00%, 11/01/53

    264       267,958  

6.00%, 02/13/54(e)

    39       39,534  

6.50%, 10/01/53

    168       171,992  

6.50%, 02/13/54(e)

    262       268,200  
   

 

 

 
       28,637,870  
U.S. Government Obligations — 33.4%        

U.S. Treasury Inflation-Indexed Bonds, 1.38%, 07/15/33

    162       157,610  

U.S. Treasury Note/Bond

   

0.25%, 06/30/25

    583       549,774  

0.25%, 07/31/25

    611       574,388  

0.38%, 04/30/25

    1,432       1,359,913  

0.38%, 09/30/27

    426       374,362  

0.50%, 02/28/26

    652       604,424  

0.50%, 04/30/27

    573       512,634  

0.50%, 05/31/27

    773       690,562  

0.50%, 08/31/27

    1,167       1,034,071  

0.63%, 07/31/26

    388       356,445  

0.75%, 05/31/26

    287       265,710  

0.88%, 06/30/26

    631       585,055  

1.13%, 05/15/40

    43       27,547  

1.13%, 08/15/40

    43       27,273  

1.25%, 08/15/31

    1,260       1,042,847  

1.38%, 11/15/40

    43       28,352  

1.50%, 02/15/25

    634       613,271  

1.50%, 02/15/30

    222       193,496  

1.63%, 11/30/26

    777       727,800  

1.63%, 05/15/31

    678       581,067  

1.63%, 11/15/50

    204       117,640  

1.75%, 12/31/24

    315       305,986  

1.88%, 02/15/51

    146       89,792  

1.88%, 11/15/51

    204       124,839  

2.25%, 08/15/27

    190       179,692  

2.25%, 08/15/49

    256       173,668  

2.38%, 05/15/27

    190       180,993  

2.38%, 03/31/29

    323       300,028  

2.38%, 02/15/42

    146       110,708  

 

 

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

  85


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Total Return ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

U.S. Government Obligations (continued)

 

 

2.38%, 05/15/51

  $ 322     $ 222,652  

2.50%, 02/15/45

    472       351,676  

2.63%, 04/15/25

    634       619,487  

2.63%, 07/31/29

    954       894,114  

2.75%, 08/15/32

     1,193       1,089,871  

2.75%, 11/15/47

    474       361,195  

2.88%, 06/15/25

    634       620,651  

2.88%, 05/15/32

    42       38,843  

2.88%, 05/15/43

    146       118,492  

3.00%, 05/15/47

    212       169,283  

3.00%, 02/15/48

    472       376,008  

3.00%, 02/15/49

    692       549,841  

3.00%, 08/15/52

    480       380,961  

3.13%, 11/15/28

    64       62,083  

3.13%, 08/15/44

    206       171,588  

3.63%, 08/15/43

    204       185,346  

3.63%, 02/15/53

    350       313,965  

3.63%, 05/15/53

    338       303,365  

3.75%, 05/31/30

    344       340,694  

3.75%, 12/31/30

    188       186,091  

3.75%, 11/15/43

    204       188,331  

3.88%, 03/31/25

    829       822,102  

3.88%, 11/30/27

    858       855,956  

3.88%, 09/30/29

    329       328,306  

3.88%, 11/30/29

    706       704,566  

3.88%, 12/31/29

    361       360,196  

3.88%, 08/15/40

    52       49,856  

3.88%, 02/15/43

    260       244,567  

4.00%, 12/15/25

    1,425       1,418,352  

4.00%, 01/31/29

    39       39,235  

4.00%, 01/31/31

    8       8,041  

4.00%, 11/15/42

    186       178,073  

4.00%, 11/15/52

    204       196,288  

4.13%, 08/15/53

    57       56,047  

4.25%, 01/31/26

    166       166,078  

4.25%, 11/15/40

    184       185,128  

4.38%, 05/15/40

    206       210,258  

4.38%, 05/15/41

    122       124,340  

4.50%, 07/15/26

    206       207,923  

4.50%, 11/15/33

    513       535,684  

4.50%, 08/15/39

    411       429,086  

4.63%, 02/15/40

    52       54,736  

4.75%, 02/15/41

    398       423,364  

4.75%, 11/15/43

    50       52,930  

4.75%, 11/15/53

    67       73,156  

4.88%, 10/31/30

    129       135,753  
   

 

 

 
       27,294,505  
   

 

 

 

Total U.S. Government & Agency Obligations — 68.4%
(Cost: $55,710,386)

      55,932,375  
   

 

 

 

Total Long-Term Investments — 114.4%
(Cost: $92,980,852)

      93,609,223  
   

 

 

 
Security  
Shares
    Value  
Short-Term Securities            
Money Market Funds — 0.1%            

BlackRock Cash Funds: Treasury, SL Agency Shares, 5.32%(f)(g)

    100,000     $ 100,000  
   

 

 

 

Total Short-Term Securities — 0.1% (Cost: $100,000)

      100,000  
   

 

 

 

Total Investments Before TBA Sales Commitments — 114.5%
(Cost: $93,080,852)

      93,709,223  
   

 

 

 
    

Par

(000)

        

TBA Sales Commitments(e)

   
Mortgage-Backed Securities — (2.9)%            

Uniform Mortgage-Backed Securities

   

1.50%, 02/15/39

    (4     (3,497

3.00%, 02/15/39

    (3     (2,825

3.50%, 02/13/54

    (200     (182,015

4.00%, 02/13/54

    (179     (167,132

4.50%, 02/13/54

    (884     (854,648

5.00%, 02/13/54

    (547     (539,835

5.50%, 02/13/54

    (619     (620,762
   

 

 

 

Total TBA Sales Commitments — (2.9)%
(Proceeds: $(2,358,626))

      (2,370,714
   

 

 

 

Total Investments, Net of TBA Sales Commitments — 111.6%

(Cost: $90,722,226)

      91,338,509  

Liabilities in Excess of Other Assets — (11.6)%

 

    (9,525,649
   

 

 

 

Net Assets — 100.0%

    $  81,812,860  
   

 

 

 

 

(a) 

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

(b) 

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

(c) 

Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.

(d) 

This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933.

(e) 

Represents or includes a TBA transaction.

(f) 

Affiliate of the Fund.

(g) 

Annualized 7-day yield as of period end.

 

 

86  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Total Return ETF

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the period ended January 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer     
Value at
12/12/23
 
(a) 
    
Purchases
at Cost
 
 
    
Proceeds
from Sale
 
 
    
Net Realized
Gain (Loss)
 
 
    


Change in
Unrealized
Appreciation
(Depreciation)
 
 
 
 
    
Value at
01/31/24
 
 
    

Shares
Held at
01/31/24
 
 
 
     Income       




Capital
Gain
Distributions
from
Underlying
Funds



 

 

BlackRock Cash Funds: Institutional, SL Agency Shares(b)

   $      $      $  (4,767) (c)     $ 4,767      $      $             $ 81,561 (d)     $ 10  

BlackRock Cash Funds: Treasury, SL Agency Shares

            100,000 (c)                            100,000        100,000        727         
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 
            $ 4,767      $      $ 100,000         $ 82,288      $ 10  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

  (a) 

Commencement of operations.

 
  (b) 

As of period end, the entity is no longer held. (c) Represents net amount purchased (sold).

 
  (d) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

 

Description    Number of
Contracts
     Expiration
Date
     Notional
Amount
(000)
     Value/
Unrealized
Appreciation
(Depreciation)
 

Long Contracts

           

10-Year Australian Treasury Bond

     1        03/15/24      $ 76      $ 1,441  

U.S. Long Bond

     13        03/19/24        1,594        (9,350

U.S. Ultra Bond

     2        03/19/24        259        (864

5-Year U.S. Treasury Note

     29        03/28/24        3,145        9,278  
           

 

 

 
              505  
           

 

 

 

Short Contracts

           

30-Year Euro Buxl Bond

     (1      03/07/24        149        1,750  

Euro BOBL

     (2      03/07/24        256        (715

Euro Bund

     (5      03/07/24        734        (3,614

10-Year Canadian Bond

     (3      03/19/24        272        241  

10-Year U.S. Treasury Note

     (16      03/19/24        1,798        (6,275

10-Year U.S. Ultra Bond

     (8      03/19/24        936        (10,528

2-Year U.S. Treasury Note

     (24      03/28/24        4,936        (6,709
           

 

 

 
              (25,850
           

 

 

 
            $ (25,345
           

 

 

 

Forward Foreign Currency Exchange Contracts

 

         
Currency Purchased       

Currency Sold

     Counterparty   Settlement Date        Unrealized
Appreciation
(Depreciation)
 

USD

     91,553          EUR          84,000      Barclays Bank PLC     03/20/24        $ 594  

USD

     1,519,791          EUR          1,383,000      Morgan Stanley & Co. International PLC     03/20/24          22,213  
                      

 

 

 
                         22,807  
                      

 

 

 
                       $ 22,807  
                      

 

 

 

 

 

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

  87


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Total Return ETF

 

Centrally Cleared Interest Rate Swaps

 

 

 

Paid by the Fund

  

Received by the Fund

  

Effective

Date

 

Termination

Date

        

Notional
Amount

(000)

  

Value

   

 

Upfront

Premium

Paid

(Received)

   

Unrealized

Appreciation

(Depreciation)

 

 

Rate

  Frequency     Rate   Frequency 

 

 

2.66%

  Annual   

6-mo. EURIBOR, 3.84%

  Semi-Annual    N/A   12/15/33      EUR     120    $ (863   $ 2     $ (865

Derivative Financial Instruments Categorized by Risk Exposure

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

 

 

 
   

Commodity

Contracts

    

Credit

Contracts

    

Equity

Contracts

    

Foreign

Currency

Exchange

Contracts

    

Interest

Rate

Contracts

    

Other

Contracts

     Total  

 

 

Assets — Derivative Financial Instruments

                   

Futures contracts

                   

Unrealized appreciation on futures contracts(a)

  $      $      $      $      $ 12,710      $      $ 12,710  

Forward foreign currency exchange contracts

                   

Unrealized appreciation on forward foreign currency exchange contracts

  $      $      $      $ 22,807      $      $      $ 22,807  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $      $      $      $ 22,807      $ 12,710      $      $ 35,517  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                   

Futures contracts

                   

Unrealized depreciation on futures contracts(a)

  $      $      $      $      $ 38,055      $      $ 38,055  

Swaps — centrally cleared

                   

Unrealized depreciation on centrally cleared swaps(a)

  $      $      $      $      $ 865      $      $ 865  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
  $      $      $      $      $ 38,920      $      $ 38,920  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

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

 

For the period ended January 31, 2024, 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

                   
 

Futures contracts

  $      $      $ 204,676      $     $     $      $ 204,676    

 

Forward foreign currency exchange contracts

                         (1,646                  (1,646  
 

Swaps

                               13,083              13,083    
   

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

   
    $      $      $ 204,676      $ (1,646   $ 13,083     $      $ 216,113    
   

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

   
 

Net Change in Unrealized Appreciation (Depreciation) on

                   
 

Futures contracts

  $      $      $      $     $ (25,345   $      $ (25,345  
 

Forward foreign currency exchange contracts

                         22,807                    22,807    
 

Swaps

                               (865            (865  
   

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

   
    $      $      $      $ 22,807     $ (26,210   $      $ (3,403  
   

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

   

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   
 

Futures contracts:

   

 

Average notional value of contracts — long

  $ 5,073,850       
 

Average notional value of contracts — short

  $ 9,080,661    
 

Forward foreign currency exchange contracts:

   
 

Average amounts sold — in USD

  $ 1,611,344    
 

Interest rate swaps:

   
 

Average notional value — pays fixed rate

  $ 129,684    

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

 

 

88  

2 0 2 4  B L A C K R O C K  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)

January 31, 2024

  

BlackRock Total Return ETF

 

Derivative Financial Instruments - Offsetting as of Period End

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

 

 

 

   
        Assets     Liabilities      
 

 

   

 

Derivative Financial Instruments:

     
 

Futures contracts

  $ 12,710     $ 38,055    
 

Forward foreign currency exchange contracts

    22,807          
 

Swaps - centrally cleared

          865    
   

 

 

   

 

 

   
 

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

    35,517       38,920    
 

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

    (12,710     (38,920  
   

 

 

   

 

 

   
 

Total derivative assets and liabilities subject to an MNA

  $ 22,807     $    
   

 

 

   

 

 

   

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

 

 

 

   
      

Derivative

Assets

Subject to

an MNA by

 

 

 

 

 

Derivatives

Available

 

 

 

Non-Cash

Collateral

 

 

    
Cash
Collateral
 
 
 

Net Amount

of Derivative

 

 

 
  Counterparty   Counterparty

 

       for Offset (a)         Received        Received          Assets (a)(b)   
 

 

   
 

Barclays Bank PLC

       $ 594        $        $      $        $ 594    
 

Morgan Stanley & Co. International PLC

      22,213                                   22,213    
     

 

 

      

 

 

      

 

 

    

 

 

      

 

 

   
      $ 22,807        $        $      $        $ 22,807    
     

 

 

      

 

 

      

 

 

    

 

 

      

 

 

   

 

  (a) 

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

 
  (b) 

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

 

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

     
 

Asset-Backed Securities

  $     $ 7,089,040     $      $ 7,089,040  
 

Collaterized Mortgage Obligations

          7,429,807             7,429,807  
 

Corporate Bonds & Notes

          21,190,199             21,190,199  
 

Foreign Government Obligations

          1,440,439             1,440,439  
 

Municipal Debt Obligations

          527,363             527,363  
 

U.S. Government & Agency Obligations

          55,932,375             55,932,375  
 

Short-Term Securities

     
 

Money Market Funds

    100,000                   100,000  
 

Liabilities

     
 

Investments

     
 

TBA Sales Commitments

           (2,370,714           (2,370,714
   

 

 

   

 

 

   

 

 

   

 

 

 
    $  100,000     $ 91,238,509     $    —     $ 91,338,509  
   

 

 

   

 

 

   

 

 

   

 

 

 
 

Derivative Financial Instruments(a)

     
 

Assets

     
 

Foreign Currency Exchange Contracts

  $     $ 22,807     $     $ 22,807  
 

Interest Rate Contracts

    12,710                   12,710  

 

 

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

  89


Schedule of Investments (unaudited) (continued)

January 31, 2024

  

BlackRock Total Return ETF

 

Fair Value Hierarchy as of Period End (continued)

 

 

 

 
        Level 1     Level 2      Level 3     Total  
 

 

 
 

Liabilities

      
 

Interest Rate Contracts

  $ (38,055   $      $    —      $ (38,055
   

 

 

   

 

 

    

 

 

   

 

 

 
    $     (25,345   $    22,807      $          (3,403
   

 

 

   

 

 

    

 

 

   

 

 

 

 

  (a)

Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

See notes to financial statements.

 

 

90  

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Statements of Assets and Liabilities (unaudited)

January 31, 2024

 

   

BlackRock

AAA CLO

ETF

   

BlackRock

Flexible Income

ETF

   

BlackRock

Floating Rate

Loan ETF

   

BlackRock

High Yield

Muni Income
Bond ETF

 

 

 

ASSETS

       

Investments, at value — unaffiliated(a)(b)

  $ 80,034,694     $ 1,321,549,074     $ 24,318,187     $ 80,200,073  

Investments, at value — affiliated(c)

    2,330,000       245,216,645       4,129,734       1,153,527  

Cash

    10,078       101,512       136,775        

Cash pledged:

       

Futures contracts

          5,664,000              

Centrally cleared swaps

          318,000              

Foreign currency, at value(d)

          593,345              

Receivables:

       

Investments sold

          14,265       311,341        

Securities lending income - affiliated

          13,243              

TBA sales commitment

          32,955,715              

Loans

                49,696        

Capital shares sold

          41,825,263       2,613,228        

Dividends - unaffiliated

          20              

Dividends - affiliated

    7,146       107,301       3,531       11,105  

Interest - unaffiliated

    235,059       13,720,761       91,091       834,653  

From custodian

          5,007,330              

Variation margin on centrally cleared swaps

          27,570              

Unrealized appreciation on:

       

Forward foreign currency exchange contracts

          3,056,337              

OTC swaps

          2,781              

Unfunded floating rate loan interests

                23        
 

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    82,616,977         1,670,173,162         31,653,606         82,199,358  
 

 

 

   

 

 

   

 

 

   

 

 

 

LIABILITIES

       

Bank overdraft

                      18  

Collateral on securities loaned, at value

          54,165,043              

TBA sales commitments, at value(e)

          32,978,469              

Payables:

       

Investments purchased

          223,339,528       5,510,989       483,076  

Deferred foreign capital gain tax

          6,188              

Investment advisory fees

    10,878       202,461       9,305       22,602  

Proxy fees

    3,510       4,171       2,180       3,343  

Variation margin on futures contracts

          182,500              

Unrealized depreciation on:

       

Forward foreign currency exchange contracts

          345,318              

OTC swaps

          10,480              

Unfunded floating rate loan interests

                11        
 

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    14,388       311,234,158       5,522,485       509,039  
 

 

 

   

 

 

   

 

 

   

 

 

 

Commitments and contingent liabilities

       

NET ASSETS

  $ 82,602,589     $ 1,358,939,004     $ 26,131,121     $ 81,690,319  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF:

       

Paid-in capital

  $ 81,365,146     $ 1,345,518,264     $ 25,538,650     $ 84,086,588  

Accumulated earnings (loss)

    1,237,443       13,420,740       592,471       (2,396,269
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 82,602,589     $ 1,358,939,004     $ 26,131,121     $ 81,690,319  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a) Investments, at cost — unaffiliated

  $ 79,298,581     $ 1,313,728,117     $ 23,995,877     $ 80,387,507  

(b) Securities loaned, at value

  $     $ 52,853,075     $     $  

(c)  Investments, at cost — affiliated

  $ 2,330,000     $ 244,024,810     $ 4,120,175     $ 1,153,438  

(d) Foreign currency, at cost

  $     $ 595,629     $     $  

(e) Proceeds from TBA sales commitments

  $     $ 32,955,715     $     $  

 

 

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

  91


 

Statements of Assets and Liabilities (unaudited) (continued)

January 31, 2024

 

   

BlackRock

AAA CLO

ETF

    

BlackRock

Flexible

Income ETF

    

BlackRock

Floating

Rate Loan

ETF

    

BlackRock

High Yield

Muni Income
Bond ETF

 

 

 

Net asset value

          

Shares outstanding

  $ 1,600,000      $ 26,000,000      $ 500,000      $ 3,700,000  
 

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value

  $ 51.63      $ 52.27      $ 52.26      $ 22.08  
 

 

 

    

 

 

    

 

 

    

 

 

 

Shares authorized

    Unlimited        Unlimited        Unlimited        Unlimited  
 

 

 

    

 

 

    

 

 

    

 

 

 

Par value

    None        None        None        None  
 

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

92  

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Statements of Assets and Liabilities (unaudited) (continued)

January 31, 2024

 

     BlackRock
Intermediate
Muni Income
Bond ETF
    BlackRock
Short-Term
California
Muni Bond
ETF
     BlackRock
Total Return
ETF
 

ASSETS

      

Investments, at value — unaffiliated(a)

  $ 23,463,851     $ 20,298,781      $ 93,609,223  

Investments, at value — affiliated(b)

    118,416       77,404        100,000  

Cash

    32       75         

Cash pledged:

      

Futures contracts

                 112,000  

Centrally cleared swaps

                 6,000  

Foreign currency, at value(c)

                 511,782  

Receivables:

      

Investments sold

                 954,948  

TBA sales commitments(d)

                 2,358,626  

Dividends — affiliated

    1,142       17,838        38,118  

Interest — unaffiliated

    171,702       232,832        627,281  

From custodian

                 31,231,374  

Unrealized appreciation on forward foreign currency exchange contracts

                 22,807  
 

 

 

   

 

 

    

 

 

 

Total assets

    23,755,143       20,626,930        129,572,159  
 

 

 

   

 

 

    

 

 

 

LIABILITIES

      

Bank overdraft

                 29,273,586  

TBA sales commitments, at value

                 2,370,714  

Payables:

      

Investments purchased

          504,470        16,084,742  

Investment advisory fees

    5,312       3,023        25,459  

Proxy fees

    2,356       2,030         

Variation margin on futures contracts

                 3,607  

Variation margin on centrally cleared swaps

                 1,191  
 

 

 

   

 

 

    

 

 

 

Total liabilities

    7,668       509,523        47,759,299  
 

 

 

   

 

 

    

 

 

 

Commitments and contingent liabilities

      

NET ASSETS

  $ 23,747,475     $ 20,117,407      $ 81,812,860  
 

 

 

   

 

 

    

 

 

 

NET ASSETS CONSIST OF

      

Paid-in capital

  $ 24,529,346     $ 19,999,644      $ 80,270,116  

Accumulated earnings (loss)

    (781,871     117,763        1,542,744  
 

 

 

   

 

 

    

 

 

 

NET ASSETS

  $ 23,747,475     $ 20,117,407      $ 81,812,860  
 

 

 

   

 

 

    

 

 

 

NET ASSET VALUE

      

Shares outstanding

    1,000,000       400,000        1,600,000  
 

 

 

   

 

 

    

 

 

 

Net asset value

  $ 23.75     $ 50.29      $ 51.13  
 

 

 

   

 

 

    

 

 

 

Shares authorized

    Unlimited       Unlimited        Unlimited  
 

 

 

   

 

 

    

 

 

 

Par value

    None       None        None  
 

 

 

   

 

 

    

 

 

 

(a) Investments, at cost — unaffiliated

  $ 23,403,417     $ 20,235,685      $ 92,980,852  

(b) Investments, at cost — affiliated

  $ 118,412     $ 77,404      $ 100,000  

(c)  Foreign currency, at cost

  $     $      $ 515,045  

(d) Proceeds from TBA sales commitments

  $     $      $ 2,358,626  

See notes to financial statements.

 

 

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

  93


 

Statements of Operations (unaudited)

Six Months Ended January 31, 2024

 

    

BlackRock

AAA CLO

ETF

   

BlackRock

Flexible

Income ETF

   

BlackRock

Floating Rate

Loan ETF

   

BlackRock

High Yield

Muni Income

Bond ETF

 

INVESTMENT INCOME

       

Dividends — affiliated

  $ 38,091     $ 773,228     $ 26,478     $ 66,979  

Interest — unaffiliated

    1,862,893       8,150,931       1,003,027       1,425,873  

Securities lending income — affiliated — net

          17,963              

Other income — unaffiliated

          113              

Foreign taxes withheld

          (7,758            
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    1,900,984       8,934,477       1,029,505       1,492,852  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

       

Investment advisory

    54,568       723,567       62,611       134,936  

Proxy fees

    3,579       4,365       2,215       3,975  

Commitment costs

    101                   91  

Interest expense

          14              
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    58,248       727,946       64,826       139,002  

Less:

       

Investment advisory fees waived

    (643     (176,282     (6,044     (34,173
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived

    57,605       551,664       58,782       104,829  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    1,843,379       8,382,813       970,723       1,388,023  
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

       

Net realized gain (loss) from:

       

Investments — unaffiliated

    78,533       372,907       52,978       (753,334

Investments — affiliated

          (118,269     1,332       754  

Capital gain distributions from underlying funds — affiliated

          10              

Forward foreign currency exchange contracts

          (886,932            

Foreign currency transactions

          550,466              

Futures contracts

          640,283              

Swaps

          (287,352            
 

 

 

   

 

 

   

 

 

   

 

 

 
    78,533       271,113       54,310       (752,580
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments — unaffiliated

    506,446       6,967,179       38,208       1,721,725  

Investments — affiliated

          1,129,055       1,448       (257

Forward foreign currency exchange contracts

          2,869,313              

Foreign currency translations

          5,994              

Futures contracts

          (927,049            

Swaps

          366,776              

Unfunded floating rate loan interests

                (319      
 

 

 

   

 

 

   

 

 

   

 

 

 
    506,446       10,411,268       39,337       1,721,468  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain

    584,979       10,682,381       93,647       968,888  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ 2,428,358     $ 19,065,194     $ 1,064,370     $ 2,356,911  
 

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

94  

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Statements of Operations (unaudited) (continued)

Six Months Ended January 31, 2024

 

   



BlackRock
Intermediate
Muni
Income

Bond ETF

 
 

 

 

   



BlackRock
Short-Term
California
Muni Bond
ETF
 
 
 
 
 
   

BlackRock
Total Return
ETF
 
 
(a) 

 

 

INVESTMENT INCOME

     

Dividends — affiliated

  $ 5,179     $ 2,517     $ 82,288  

Interest — unaffiliated

    476,239       312,626       439,083  
 

 

 

   

 

 

   

 

 

 

Total investment income

    481,418       315,143       521,371  
 

 

 

   

 

 

   

 

 

 

EXPENSES

     

Investment advisory

    48,772       23,482       43,349  

Proxy fees

    2,407       2,048        

Commitment costs

    35              

Interest expense

          122        
 

 

 

   

 

 

   

 

 

 

Total expenses

    51,214       25,652       43,349  

Less:

     

Investment advisory fees waived

    (12,513     (4,847     (3,399
 

 

 

   

 

 

   

 

 

 

Total expenses after fees waived

    38,701       20,805       39,950  
 

 

 

   

 

 

   

 

 

 

Net investment income

    442,717       294,338       481,421  
 

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

     

Net realized gain (loss) from:

     

Investments — unaffiliated

    (150,127     (172     402,953  

Investments — affiliated

    5             4,767  

Capital gain distributions from underlying funds — affiliated

                10  

Forward foreign currency exchange contracts

                (1,646

Foreign currency transactions

                818  

Futures contracts

                204,676  

Swaps

                13,083  
 

 

 

   

 

 

   

 

 

 
    (150,122     (172     624,661  
 

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

     

Investments — unaffiliated

    257,120       67,033       616,283  

Investments — affiliated

    (9            

Forward foreign currency exchange contracts

                22,807  

Foreign currency translations

                (3,428

Futures contracts

                (25,345

Swaps

                (865
 

 

 

   

 

 

   

 

 

 
    257,111       67,033       609,452  
 

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain

    106,989       66,861       1,234,113  
 

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ 549,706     $ 361,199     $ 1,715,534  
 

 

 

   

 

 

   

 

 

 

 

(a) 

For the period from December 12, 2023 (commencement of operations) to January 31, 2024.

See notes to financial statements.

 

 

 

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

  95


 

Statements of Changes in Net Assets

 

    BlackRock
AAA CLO ETF
          BlackRock
Flexible Income ETF
 
   

Six Months Ended

01/31/24

(unaudited

 

 

   

Period From

01/10/23

to 07/31/23

 

(a) 

 

     

Six Months Ended

01/31/24

(unaudited

 

 

   

Period From
05/19/23

to 07/31/23

 
(a)  

 

 

 

INCREASE (DECREASE) IN NET ASSETS

         

OPERATIONS

         

Net investment income

  $ 1,843,379     $ 1,057,700       $ 8,382,813     $ 935,494  

Net realized gain (loss)

    78,533       40,249         271,113       (94,132

Net change in unrealized appreciation (depreciation)

    506,446       229,667         10,411,268       756,968  
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase in net assets resulting from operations

    2,428,358       1,327,616         19,065,194       1,598,330  
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(b)

         

Decrease in net assets resulting from distributions to shareholders

    (1,663,640 )(c)      (854,891       (6,799,784 )(c)      (443,000
 

 

 

   

 

 

     

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

         

Net increase in net assets derived from capital share transactions

    41,070,038       40,295,108         1,217,099,448       128,418,816  
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS

         

Total increase in net assets

    41,834,756       40,767,833         1,229,364,858       129,574,146  

Beginning of period

    40,767,833               129,574,146        
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 82,602,589     $ 40,767,833       $ 1,358,939,004     $ 129,574,146  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(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.

 

 

 

96  

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Statements of Changes in Net Assets (continued)

 

    BlackRock
Floating Rate Loan ETF
          BlackRock
High Yield Muni Income Bond ETF
 
     

Six Months

Ended

01/31/24

(unaudited

 

 

 

   

Period From

10/04/22

to 07/31/23

 

(a) 

 

           

Six Months

Ended

01/31/24

(unaudited

 

 

 

   

Year Ended

07/31/23

 

 

INCREASE (DECREASE) IN NET ASSETS

         

OPERATIONS

         

Net investment income

  $ 970,723     $ 1,388,888       $ 1,388,023     $ 1,627,776  

Net realized gain (loss)

    54,310       53,438         (752,580     (1,335,515

Net change in unrealized appreciation (depreciation)

    39,337       292,544         1,721,468       1,686  
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase in net assets resulting from operations

    1,064,370       1,734,870         2,356,911       293,947  
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(b)

         

Decrease in net assets resulting from distributions to shareholders

    (975,733 )(c)      (1,231,036       (1,267,763 )(c)      (1,488,950
 

 

 

   

 

 

     

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

         

Net increase in net assets derived from capital share transactions

    5,239,445       20,299,205         20,014,722       34,490,784  
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS

         

Total increase in net assets

    5,328,082       20,803,039         21,103,870       33,295,781  

Beginning of period

    20,803,039               60,586,449       27,290,668  
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 26,131,121     $ 20,803,039       $ 81,690,319     $ 60,586,449  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(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

  97


 

Statements of Changes in Net Assets (continued)

 

    BlackRock
Intermediate Muni Income Bond ETF
          BlackRock
Short-Term California Muni Bond
ETF
 
   

Six Months

Ended

01/31/24

(unaudited)

 

 

 

 

   

Year Ended

07/31/23

 

 

     

Six Months

Ended

01/31/24

(unaudited)

 

 

 

 

   

Period From

07/11/23

to 07/31/23

 

(a) 

 

 

 

INCREASE (DECREASE) IN NET ASSETS

         

OPERATIONS

         

Net investment income

  $ 442,717     $ 968,631       $ 294,338     $ 15,387  

Net realized loss

    (150,122     (709,030       (172     (355

Net change in unrealized appreciation (depreciation)

    257,111       683,044         67,033       (3,937
 

 

 

   

 

 

     

 

 

   

 

 

 

Net increase in net assets resulting from operations

    549,706       942,645         361,199       11,095  
 

 

 

   

 

 

     

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(b)

         

Decrease in net assets resulting from distributions to shareholders

    (448,836 )(c)      (946,808       (254,531 )(c)       
 

 

 

   

 

 

     

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

         

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

    (2,268,728     (7,708,732       2,490,894       17,508,750  
 

 

 

   

 

 

     

 

 

   

 

 

 

NET ASSETS

         

Total increase (decrease) in net assets

    (2,167,858     (7,712,895       2,597,562       17,519,845  

Beginning of period

    25,915,333       33,628,228         17,519,845        
 

 

 

   

 

 

     

 

 

   

 

 

 

End of period

  $ 23,747,475     $ 25,915,333       $ 20,117,407     $ 17,519,845  
 

 

 

   

 

 

     

 

 

   

 

 

 

 

(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)

 

    BlackRock
Total Return
ETF
 
     

Period From
12/12/23

to 01/31/24

(unaudited)

 
(a)  

 

 

INCREASE (DECREASE) IN NET ASSETS

 

OPERATIONS

 

Net investment income

  $ 481,421  

Net realized gain

    624,661  

Net change in unrealized appreciation (depreciation)

    609,452  
 

 

 

 

Net increase in net assets resulting from operations

    1,715,534  
 

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(b)

 

Decrease in net assets resulting from distributions to shareholders

    (172,790
 

 

 

 

CAPITAL SHARE TRANSACTIONS

 

Net increase in net assets derived from capital share transactions

    80,270,116  
 

 

 

 

NET ASSETS

 

Total increase in net assets

    81,812,860  

Beginning of period

     
 

 

 

 

End of period

  $ 81,812,860  
 

 

 

 

 

(a)

Commencement of operations.

(b) 

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

See notes to financial statements.

 

 

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

  99


Financial Highlights

(For a share outstanding throughout each period)

 

    BlackRock AAA CLO ETF  
 

 

 
    Six Months Ended     Period From  
      01/31/24         01/10/23 (a) 
    (unaudited)     to 07/31/23  

 

 

Net asset value, beginning of period

    $  50.96       $  50.01  
   

 

 

     

 

 

 

Net investment income(b)

          1.74            1.73  

Net realized and unrealized gain(c)

      0.56         0.60  
   

 

 

     

 

 

 

Net increase from investment operations

      2.30         2.33  
   

 

 

     

 

 

 

Distributions from net investment income(d)

      (1.63 )(e)        (1.38
   

 

 

     

 

 

 

Net asset value, end of period

    $  51.63       $  50.96  
   

 

 

     

 

 

 

Total Return(f)

       

Based on net asset value

      4.60 %(g)        4.73 %(g) 
   

 

 

     

 

 

 

Ratios to Average Net Assets(h)

       

Total expenses

      0.21 %(i)        0.20 %(i) 
   

 

 

     

 

 

 

Total expenses after fees waived

      0.20 %(i)        0.20 %(i) 
   

 

 

     

 

 

 

Net investment income

      6.76 %(i)        6.20 %(i) 
   

 

 

     

 

 

 

Supplemental Data

       

Net assets, end of period (000)

    $ 82,603       $ 40,768  
   

 

 

     

 

 

 

Portfolio turnover rate(j)

      16       19
   

 

 

     

 

 

 

 

(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.

See notes to financial statements.

 

 

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Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BlackRock Flexible Income ETF  
 

 

 
    Six Months Ended         Period From  
      01/31/24         05/19/23 (a) 
    (unaudited)     to 07/31/23  

 

 

Net asset value, beginning of period

        $ 50.81          $ 50.00  
   

 

 

     

 

 

 

Net investment income(b)

      1.49         0.54  

Net realized and unrealized gain(c)

      1.35         0.52  
   

 

 

     

 

 

 

Net increase from investment operations

      2.84         1.06  
   

 

 

     

 

 

 

Distributions from net investment income(d)

      (1.38 )(e)         (0.25
   

 

 

     

 

 

 

Net asset value, end of period

    $ 52.27       $ 50.81  
   

 

 

     

 

 

 

Total Return(f)

       

Based on net asset value

      5.70 %(g)         2.14 %(g)  
   

 

 

     

 

 

 

Ratios to Average Net Assets(h)

       

Total expenses

      0.50 %(i)         0.50 %(i)  
   

 

 

     

 

 

 

Total expenses after fees waived

      0.38 %(i)         0.37 %(i)  
   

 

 

     

 

 

 

Net investment income

      5.79 %(i)         5.39 %(i)  
   

 

 

     

 

 

 

Supplemental Data

       

Net assets, end of period (000)

    $ 1,358,939       $ 129,574  
   

 

 

     

 

 

 

Portfolio turnover rate(j)(k)

      65       54
   

 

 

     

 

 

 

 

(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) 

Includes mortgage dollar roll transactions (“MDRs”). Excluding MDRs, the portfolio turnover rate would have been 33%.

(k) 

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

  101


Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BlackRock Floating Rate Loan ETF  
 

 

 
    Six Months Ended     Period From  
      01/31/24         10/04/22 (a) 
    (unaudited)     to 07/31/23  

 

 

Net asset value, beginning of period

        $ 52.01          $ 50.37  
   

 

 

     

 

 

 

Net investment income(b)

      2.42         3.47  

Net realized and unrealized gain(c)

      0.27         1.25  
   

 

 

     

 

 

 

Net increase from investment operations

      2.69         4.72  
   

 

 

     

 

 

 

Distributions from net investment income(d)

      (2.44 )(e)        (3.08
   

 

 

     

 

 

 

Net asset value, end of period

    $ 52.26       $ 52.01  
   

 

 

     

 

 

 

Total Return(f)

       

Based on net asset value

      5.35 %(g)        9.62 %(g) 
   

 

 

     

 

 

 

Ratios to Average Net Assets(h)

       

Total expenses

      0.61 %(i)         0.60 %(i)  
   

 

 

     

 

 

 

Total expenses after fees waived

      0.55 %(i)         0.53 %(i)  
   

 

 

     

 

 

 

Net investment income

      9.31 %(i)         8.25 %(i)  
   

 

 

     

 

 

 

Supplemental Data

       

Net assets, end of period (000)

    $ 26,131       $ 20,803  
   

 

 

     

 

 

 

Portfolio turnover rate(j)

      10       22
   

 

 

     

 

 

 

 

(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.

See notes to financial statements.

 

 

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Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BlackRock High Yield Muni Income Bond ETF  
   

Six Months Ended

01/31/24

(unaudited)

 

 

 

   

Year Ended

07/31/23

 

 

   

Year Ended

07/31/22

 

 

      

Period From

03/16/21

to 07/31/21

 

(a) 

 

 

 

Net asset value, beginning of period

    $ 21.64        $ 22.74        $ 26.80        $ 25.00  
   

 

 

      

 

 

      

 

 

      

 

 

 

Net investment income(b)

      0.50          0.94          0.79          0.23  

Net realized and unrealized gain (loss)(c)

      0.44          (1.13        (3.81        1.70  
   

 

 

      

 

 

      

 

 

      

 

 

 

Net increase (decrease) from investment operations

      0.94          (0.19        (3.02        1.93  
   

 

 

      

 

 

      

 

 

      

 

 

 

Distributions(d)

                  

From net investment income

      (0.50 )(e)         (0.91        (0.81        (0.13

From net realized gain

                        (0.23         
   

 

 

      

 

 

      

 

 

      

 

 

 

Total distributions

      (0.50        (0.91        (1.04        (0.13
   

 

 

      

 

 

      

 

 

      

 

 

 

Net asset value, end of period

            $ 22.08            $ 21.64            $ 22.74            $ 26.80  
   

 

 

      

 

 

      

 

 

      

 

 

 

Total Return(f)

                  

Based on net asset value

      4.48 %(g)         (0.71 )%         (11.55 )%         7.75 %(g) 
   

 

 

      

 

 

      

 

 

      

 

 

 

Ratios to Average Net Assets(h)

                  

Total expenses

      0.46 %(i)         0.45        0.45        0.45 %(i) 
   

 

 

      

 

 

      

 

 

      

 

 

 

Total expenses after fees waived

      0.34 %(i)         0.33        0.34        0.32 %(i) 
   

 

 

      

 

 

      

 

 

      

 

 

 

Net investment income

      4.64 %(i)         4.39        3.23        2.31 %(i) 
   

 

 

      

 

 

      

 

 

      

 

 

 

Supplemental Data

                  

Net assets, end of period (000)

    $ 81,690        $ 60,586        $ 27,291        $ 26,803  
   

 

 

      

 

 

      

 

 

      

 

 

 

Portfolio turnover rate(j)

      26        30        38        20
   

 

 

      

 

 

      

 

 

      

 

 

 

 

(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.

See notes to financial statements.

 

 

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

  103


Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BlackRock Intermediate Muni Income Bond ETF  
   

Six Months Ended

01/31/24

(unaudited)

 

 

 

   

Year Ended

07/31/23

 

 

   

Year Ended

07/31/22

 

 

      

Period From

03/16/21

to 07/31/21

 

(a) 

 

 

 

Net asset value, beginning of period

    $ 23.56        $ 24.02        $ 25.74        $ 25.00  
   

 

 

      

 

 

      

 

 

      

 

 

 

Net investment income(b)

      0.42          0.67          0.34          0.09  

Net realized and unrealized gain (loss)(c)

      0.19          (0.45        (1.67        0.71  
   

 

 

      

 

 

      

 

 

      

 

 

 

Net increase (decrease) from investment operations

      0.61          0.22          (1.33        0.80  
   

 

 

      

 

 

      

 

 

      

 

 

 

Distributions(d)

                  

From net investment income

      (0.42 )(e)         (0.68        (0.32        (0.06

From net realized gain

                        (0.07         
   

 

 

      

 

 

      

 

 

      

 

 

 

Total distributions

      (0.42        (0.68        (0.39        (0.06
   

 

 

      

 

 

      

 

 

      

 

 

 

Net asset value, end of period

            $ 23.75            $ 23.56            $ 24.02            $ 25.74  
   

 

 

      

 

 

      

 

 

      

 

 

 

Total Return(f)

                  

Based on net asset value

      2.64 %(g)         0.97        (5.21 )%         3.22 %(g) 
   

 

 

      

 

 

      

 

 

      

 

 

 

Ratios to Average Net Assets(h)

                  

Total expenses

      0.41 %(i)         0.40        0.40        0.40 %(i) 
   

 

 

      

 

 

      

 

 

      

 

 

 

Total expenses after fees waived

      0.31 %(i)         0.29        0.30        0.29 %(i) 
   

 

 

      

 

 

      

 

 

      

 

 

 

Net investment income

      3.64 %(i)         2.88        1.36        0.99 %(i) 
   

 

 

      

 

 

      

 

 

      

 

 

 

Supplemental Data

                  

Net assets, end of period (000)

    $ 23,747        $ 25,915        $ 33,628        $ 25,735  
   

 

 

      

 

 

      

 

 

      

 

 

 

Portfolio turnover rate(j)

      28        72        30        25
   

 

 

      

 

 

      

 

 

      

 

 

 

 

(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.

See notes to financial statements.

 

 

104  

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Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    BlackRock Short-Term California Muni Bond ETF  
   

Six Months Ended
01/31/24

(unaudited)

 
 

 

     

Period From

07/11/23

to 07/31/23

 

(a) 

 

         

Net asset value, beginning of period

    $ 50.06       $ 50.00  
   

 

 

     

 

 

 

Net investment income(b)

      0.79         0.04  

Net realized and unrealized gain(c)

      0.13         0.02  
   

 

 

     

 

 

 

Net increase from investment operations

      0.92         0.06  
   

 

 

     

 

 

 

Distributions from net investment income(d)

      (0.69 )(e)         
   

 

 

     

 

 

 

Net asset value, end of period

             $ 50.29                $ 50.06  
   

 

 

     

 

 

 

Total Return(f)

       

Based on net asset value

      1.88 %(g)        0.11 %(g) 
   

 

 

     

 

 

 

Ratios to Average Net Assets(h)

       

Total expenses

      0.26 %(i)        0.25
   

 

 

     

 

 

 

Total expenses after fees waived

      0.21 %(i)        0.19 %(i) 
   

 

 

     

 

 

 

Net investment income

      3.14 %(i)        1.60 %(i) 
   

 

 

     

 

 

 

Supplemental Data

       

Net assets, end of period (000)

    $ 20,117       $ 17,520  
   

 

 

     

 

 

 

Portfolio turnover rate(j)

      76       68
   

 

 

     

 

 

 

 

(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

  105


Financial Highlights (continued)

(For a share outstanding throughout each period)

 

          BlackRock
Total
Return
ETF
 
     

Period

From

12/12/23

to

 

 

(a) 

 

    01/31/24(unaudited)  
     

Net asset value, beginning of period

    $ 50.00  
   

 

 

 

Net investment income(b)

               0.31  

Net realized and unrealized gain(c)

      0.93  
   

 

 

 

Net increase from investment operations

      1.24  
   

 

 

 

Distributions from net investment income(d)

      (0.11
   

 

 

 

Net asset value, end of period

    $ 51.13  
   

 

 

 

Total Return(e)

   

Based on net asset value

      2.48 %(f) 
   

 

 

 

Ratios to Average Net Assets(g)

   

Total expenses

      0.39 %(h) 
   

 

 

 

Total expenses after fees waived

      0.36 %(h) 
   

 

 

 

Net investment income

      4.35 %(h) 
   

 

 

 

Supplemental Data

   

Net assets, end of period (000)

    $ 81,813  
   

 

 

 

Portfolio turnover rate(i)(j)

      75
   

 

 

 

 

(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) 

Where applicable, assumes the reinvestment of distributions.

(f) 

Not annualized.

(g) 

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

(h) 

Annualized.

(i) 

Portfolio turnover rate excludes in-kind transactions.

(j) 

Includes mortgage dollar roll transactions (“MDRs”). Excluding MDRs, the portfolio turnover rate would have been 60%.

See notes to financial statements.

 

 

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Notes to Financial Statements(unaudited)

 

1.

ORGANIZATION

BlackRock ETF Trust II (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust and is authorized to have multiple series or portfolios.

These financial statements relate only to the following funds (each, a “Fund” and collectively, the “Funds”):

 

   
BlackRock ETF   Diversification 
Classification 

AAA CLO

  Non-diversified 

Flexible Income

  Non-diversified 

Floating Rate Loan

  Non-diversified 

High Yield Muni Income Bond

  Non-diversified 

Intermediate Muni Income Bond

  Non-diversified 

Short-Term California Muni Bond

  Non-diversified 

Total Return(a)

  Diversified 

 

  (a)

The Fund commenced operations on December 12, 2023.

The Funds, together with certain other registered investment companies advised by BlackRock Fund Advisors (“BFA” or the “Manager”) or its affiliates, are included in a complex of funds referred to as the BlackRock Fixed-Income Complex.

 

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. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend date. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. Upon notification from issuers or as estimated by management, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.

Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using prevailing market rates as quoted by one or more data service providers. Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.

Each Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.

Bank Overdraft: Certain Funds had outstanding cash disbursements exceeding deposited cash amounts at the custodian during the reporting period. The Funds are obligated to repay the custodian for any overdraft, including any related costs or expenses, where applicable. For financial reporting purposes, overdraft fees, if any, are included in interest expense in the Statements of Operations.

Collateralization: If required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.

In-kind Redemptions: For financial reporting purposes, in-kind redemptions are treated as sales of securities resulting in realized capital gains or losses to the Funds. Because such gains or losses are not taxable to the Funds and are not distributed to existing Fund shareholders, the gains or losses are reclassified from accumulated net realized gain (loss) to paid-in capital at the end of the Funds’ tax year. These reclassifications have no effect on net assets or net asset value (“NAV”) per share.

Distributions: Dividends and distributions paid by each Fund are recorded on the ex-dividend dates. Distributions are determined on a tax basis and may differ from net investment income and net realized capital gains for financial reporting purposes. Dividends and distributions are paid in U.S. dollars and cannot be automatically reinvested in additional shares of the Funds.

 

 

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

  107


Notes to Financial Statements(unaudited) (continued)

 

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:

 

   

Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last traded price.

 

   

Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Pricing services generally value fixed income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless BFA determines such method does not represent fair value.

 

   

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.

 

   

Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded.

 

   

Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the New York Stock Exchange (“NYSE”) based on that day’s prevailing forward exchange rate for the underlying currencies.

 

   

Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference 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 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

 

 

108  

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Notes to Financial Statements(unaudited) (continued)

 

   

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

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

 

4.

SECURITIES AND OTHER INVESTMENTS

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.

To mitigate counterparty risk, a fund enters into a two-way collateral agreement for TBA transactions with certain counterparties. Under such agreement, the “in-the-money” party of a TBA transaction may at any time require the other party to pledge collateral assets (in the form of cash or securities) to offset any loss the in-the-money party would incur upon cancellation of the TBA transaction. A party is in-the-money if they are the buyer and the market value of the TBA transaction increases or if they are the seller and the market value of the TBA transaction decreases. Cash collateral received from the counterparty may be reinvested in money market funds, including those managed by the Funds’ investment adviser, or its affiliates. Such collateral, if any, is noted in the Schedule of Investments and the obligation to return the collateral is presented as a liability in the Statements of Assets and Liabilities. Securities pledged as collateral by a fund, if any, are noted in the Schedule of Investments.

 

 

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

  109


Notes to Financial Statements(unaudited) (continued)

 

Mortgage Dollar Roll Transactions: Certain Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.

Securities Lending: Each Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, an irrevocable letter of credit issued by an approved bank, or securities issued or guaranteed by the U.S. government. The initial collateral received by each Fund is required to have a value of at least 102% of the current market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund or excess collateral is returned by the Fund, on the next business day. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested in money market funds managed by BFA, or its affiliates is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Fund, except in the event of borrower default. The securities on loan, if any, are also disclosed in each Fund’s Schedule of Investments. The market value of any securities on loan and the value of any related cash collateral are disclosed in the Statements of Assets and Liabilities.

Securities lending transactions are entered into by the Funds under Master Securities Lending Agreements (each, an “MSLA”) which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Funds, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Funds can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the securities on loan by counterparty which are subject to offset under an MSLA:

 

         
BlackRock ETF and Counterparty    
Securities Loaned
at Value
 
 
    
Cash Collateral
Received
 
(a)  
   
Non-Cash Collateral
Received, at Fair Value
 
(a) 
    Net Amount  

Flexible Income

        

BMO Capital Markets Corp

  $   459,003      $ (459,003   $     —     $   —  

BNP Paribas SA

    344,918        (344,918            

BofA Securities, Inc.

    2,739,789        (2,739,789            

Citadel Clearing LLC

    74,130        (74,130            

Citigroup Global Markets, Inc.

    38,515,153        (38,515,153            

Jefferies LLC

    204,590        (204,590            

RBC Capital Markets LLC

    9,031,073        (9,031,073            

Wells Fargo Bank N.A.

    974,867        (974,867            

Wells Fargo Securities LLC

    509,552        (509,552            
 

 

 

    

 

 

   

 

 

   

 

 

 
  $  52,853,075      $  (52,853,075   $     —     $   —  
 

 

 

    

 

 

   

 

 

   

 

 

 

 

  (a) 

Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed in the Fund’s Statements of Assets and Liabilities.

 

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, each Fund benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value of the securities loaned in the event of borrower default. Each Fund could incur a loss if the value of an investment purchased with cash collateral falls below the market value of the loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by each Fund.

Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in

 

 

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Notes to Financial Statements(unaudited) (continued)

 

floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the Secured Overnight Financing Rate (“SOFR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.

When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.

Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.

In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Funds had the following unfunded floating rate loan interests:

 

           
Fund Name   Borrower      Par        Commitment
Amount
       Value        Unrealized
Appreciation
(Depreciation)
 

Floating Rate Loan

  AI Aqua Merger Sub Inc.      $   8,522        $ 8,522        $    —             $(11
  The Action Environmental Group Inc.         3,000          2,977                                23  
                        

 

 

 
                           $ 12  
                        

 

 

 

 

5.

DERIVATIVE FINANCIAL INSTRUMENTS

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).

A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded over-the-counter (“OTC”) and not on an organized exchange.

The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation or depreciation in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a contract changes unfavorably due to movements in the value of the

 

 

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Notes to Financial Statements(unaudited) (continued)

 

referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. A fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund.

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).

For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.

In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (“CCP”) and the CCP becomes the Fund’s counterparty on the swap. Each Fund is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, each Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited is shown as cash pledged for centrally cleared swaps on the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, each Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statements of Operations, including those at termination.

Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).

Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risks in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement, and comparing that amount to the value of any collateral currently pledged by a fund and the counterparty.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from the counterparty are not fully collateralized, each Fund bears the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, each Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

 

 

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Notes to Financial Statements(unaudited) (continued)

 

6.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

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

For its investment advisory services to each of the following Funds, BFA will be paid a management fee from the Funds based on a percentage of each Fund’s average daily net assets as follows:

 

   
BlackRock ETF   Investment Advisory Fees  

AAA CLO

    0.20

Flexible Income

    0.50  

Floating Rate Loan

    0.60  

High Yield Muni Income Bond

    0.45  

Intermediate Muni Income Bond

    0.40  

Short-Term California Muni Bond

    0.25  

Total Return

    0.40  

Expense Waivers: For the BlackRock Flexible Income ETF, BlackRock High Yield Muni Income Bond ETF and BlackRock Intermediate Muni Income Bond ETF, BFA has contractually agreed to waive 0.10% of the management fee through June 30, 2025. For the BlackRock Floating Rate Loan ETF and BlackRock Short-Term California Muni Bond ETF, BFA has contractually agreed to waive 0.05% of the management fee through June 30, 2026. For the BlackRock Total Return ETF, BFA has contractually agreed to waive 0.02% of the management fee through June 30, 2026. Each agreement may be terminated upon 90 days’ notice by a majority of the non-interested trustees of the Trust or by a vote of a majority of the outstanding voting securities of the Fund.

These amounts are included in investment advisory fees waived in the Statements of Operations. For the six months ended January 31, 2024, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:

 

   
BlackRock ETF   Amounts Waived   

Flexible Income

  $  144,713   

Floating Rate Loan

    5,218   

High Yield Muni Income Bond

    29,986   

Intermediate Muni Income Bond

    12,193   

Short-Term California Muni Bond

    4,696   

Total Return

    2,167   

In addition, BFA has contractually agreed to waive a portion of its management fees to each Fund in an amount equal to the aggregate Acquired Fund Fees and Expenses, if any, attributable to investments by each Fund in other equity and fixed-income mutual funds and ETFs advised by BFA or its affiliates through June 30, 2025. BFA has also contractually agreed to waive a portion of its management fees to each Fund by an amount equal to the aggregate Acquired Fund Fees and Expenses, if any, attributable to investments by each Fund in money market funds advised by BFA or its affiliates through June 30, 2025. The agreement may be terminated upon 90 days’ notice by a majority of the non-interested trustees of the Trust or by a vote of a majority of the outstanding voting securities of the Fund.

These amounts are included in investment advisory fees waived in the Statements of Operations. For the six months ended January 31, 2024, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:

 

   
BlackRock ETF   Amounts Waived   

AAA CLO

  $ 643   

Flexible Income

    31,569   

Floating Rate Loan

    826   

High Yield Muni Income Bond

    4,187   

Intermediate Muni Income Bond

    320   

Short-Term California Muni Bond

    151   

Total Return

    1,232   

Sub-Adviser: BFA has entered into separate sub-advisory agreements with BlackRock International Limited and BlackRock (Singapore) Limited (together the “Sub-Advisers”), both affiliates of BFA, under which BFA pays each of the Sub-Advisers for services it provides to BlackRock Flexible Income ETF and BlackRock Total Return ETF.

Distributor: BlackRock Investments, LLC (“BRIL”), 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.

 

 

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Notes to Financial Statements(unaudited) (continued)

 

ETFServicing Fees: Each Fund has entered into an ETF Services Agreement with BRIL to perform certain order processing, Authorized Participant communications, and related services in connection with the issuance and redemption of Creation Units (“ETF Services”). BRIL is entitled to a transaction fee from Authorized Participants on each creation or redemption order for the ETF Services provided. The Funds do not pay BRIL for ETF Services.

Prior to January 8, 2024 (date of conversion for BlackRock Floating Rate Loan ETF, BlackRock High Yield Muni Income Bond ETF and BlackRock Intermediate Muni Income Bond ETF), ETF Services were performed by State Street Bank and Trust Company.

Prior to January 22, 2024 (date of conversion for BlackRock AAA CLO ETF, BlackRock Flexible Income ETF, BlackRock Short-Term California Muni Bond ETF and BlackRock Total Return ETF), ETF Services were performed by State Street Bank and Trust Company.

Securities Lending: The U.S. Securities and Exchange Commission (the “SEC”) has issued an exemptive order which permits BlackRock Institutional Trust Company, N.A. (“BTC”), an affiliate of BFA, to serve as securities lending agent for the Funds, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. The Funds are responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by BFA or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Funds bear to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund’s weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. Each Fund retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, each Fund retains 82% of securities lending income (which excludes collateral investment fees), and the amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

In addition, commencing the business day following the date that the aggregate securities lending income plus the collateral investment fees generated across the BlackRock Fixed-Income Complex in that calendar year exceeds a specified threshold, each Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year 85% of securities lending income (which excludes collateral investment fees) and the amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by the Fund is shown as securities lending income – affiliated – net in its Statements of Operations. For the six months ended January 31, 2024, the Fund paid BTC $5,257 for securities lending agent services.

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.

 

7.

PURCHASES AND SALES

For the six months ended January 31, 2024, purchases and sales of investments, including mortgage dollar rolls and excluding short-term securities and in-kind transactions, were as follows:

 

     
    U.S. Government Securities      Other Securities  
BlackRock ETF   Purchases      Sales      Purchases      Sales  

AAA CLO

  $      $      $ 49,061,923      $ 8,489,162  

Flexible Income

    252,209,394        175,924,415        1,242,100,137        84,237,869  

Floating Rate Loan

                  6,900,851        2,057,646  

High Yield Muni Income Bond

                  38,776,599        14,830,923  

Intermediate Muni Income Bond

                  6,819,051        9,261,551  

Short-Term California Muni Bond

                  9,717,448        9,755,000  

Total Return

    114,980,681        61,934,063        45,651,876        8,462,151  

For the six months ended January 31, 2024, purchases and sales related to mortgage dollar rolls were as follows:

 

     
BlackRock ETF   Purchases      Sales  

Flexible Income

  $  125,597,057      $  125,515,758  

Total Return

    14,827,780        14,815,978  

There were no in-kind transactions for the six months ended January 31, 2024.

 

 

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Notes to Financial Statements(unaudited) (continued)

 

8.

INCOME TAX INFORMATION

Each Fund is treated as an entity separate from the Trust’s other funds for federal income tax purposes. It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Management has analyzed tax laws and regulations and their application to the Funds as of January 31, 2024, 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 July 31, 2023, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:

 

BlackRock ETF   Non-Expiring
Capital Loss
Carryforwards
 

High Yield Muni Income Bond

  $ (1,787,276

Intermediate Muni Income Bond

    (757,111

Short-Term California Muni Bond

    (43

As of January 31, 2024, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

 

BlackRock ETF   Tax Cost      Gross Unrealized
Appreciation
     Gross Unrealized
Depreciation
    Net Unrealized
Appreciation
(Depreciation)
 

AAA CLO

  $ 81,628,581      $ 742,308      $ (6,195   $ 736,113  

Flexible Income

    1,557,763,908        15,610,354        (4,443,372     11,166,982  

Floating Rate Loan

    28,116,753        450,875        (119,707     331,168  

High Yield Muni Income Bond

    81,546,171        1,855,727        (2,048,298     (192,571

Intermediate Muni Income Bond

    23,522,272        458,994        (398,999     59,995  

Short-Term California Muni Bond

    20,313,401        68,119        (5,335     62,784  

Total Return

    93,081,245        730,555        (118,068     612,487  

 

9.

LINE OF CREDIT

The Trust, on behalf of AAA CLO, Floating Rate Loan, High Yield Muni Income Bond and Intermediate Muni Income Bond, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Partcipating Funds, including AAA CLO, High Yield Muni Income Bond and Intermediate Muni Income Bond, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. With respect to Floating Rate Loan, of the aggregate $2.50 billion commitment amount, $750 million is specifically designated to the Fund and another participating Fund. The remaining $1.75 billion commitment is available to all Participating Funds, but Floating Rate Loan can borrow up to an additional $350 million in the aggregate of the remaining aggregate commitment, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate (“OBFR”) (but in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily SOFR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum . The agreement expires in April 2024 unless extended or renewed. Floating Rate Loan paid an upfront commitment fee of 0.04% on new commitments of $250 million, in addition to administration, legal and arrangement fees, which are included in miscellaneous expenses in the Statements of Operations. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended January 31, 2024, the Funds did not borrow under the credit agreement.

 

10.

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.

Market Risk: Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.

 

 

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Notes to Financial Statements(unaudited) (continued)

 

Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly available information on the financial condition of municipal security issuers than for issuers of other securities.

Valuation Risk: The price each Fund could receive upon the sale of any particular portfolio investment may differ from each Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore each Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by each Fund, and each Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. Each Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.

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.

With exchange-traded futures, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

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

The Funds invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the the Funds invest.

Certain Funds invest a significant portion of their assets in issuers located in a single state or limited number of states, When a fund concentrates its investments in this manner, it assumes the risk that economic, regulatory, political or social conditions affecting that state or group of states could have a significant impact on the fund and could affect the income from, or the value or liquidity of, the fund’s portfolio. Investment percentages in specific states or U.S. territories are presented in the Schedule of Investments.

Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.

The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will

 

 

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Notes to Financial Statements(unaudited) (continued)

 

decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the period of historically low interest rates that ended in March 2022. The Federal Reserve has recently raised the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Funds’ performance.

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

LIBOR Transition Risk: The Funds may be exposed to financial instruments that recently transitioned from, or continue to be 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, has ceased publishing all LIBOR settings, but some USD LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. SOFR has been used increasingly on a voluntary basis in new instruments and transactions. Under U.S. regulations that implement a statutory fallback mechanism to replace LIBOR, benchmark rates based on SOFR have replaced LIBOR in certain financial contracts. The ultimate effect of the LIBOR transition process on the Funds is uncertain.

 

11.

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
01/31/24
    Period Ended
07/31/23
 
BlackRock ETF   Shares     Amount     Shares     Amount  

AAA CLO(a)

       

Shares sold

    800,000     $ 41,070,038       800,000     $ 40,295,108  
 

 

 

   

 

 

   

 

 

   

 

 

 

Flexible Income(b)

       

Shares sold

    23,450,000     $ 1,217,099,448       2,550,000     $ 128,418,816  
 

 

 

   

 

 

   

 

 

   

 

 

 

Floating Rate Loan(c)

       

Shares sold

    100,000     $ 5,239,445       400,000     $ 20,299,205  
 

 

 

   

 

 

   

 

 

   

 

 

 
       
     
    Six Months Ended
01/31/24
    Year Ended
07/31/23
 
BlackRock ETF   Shares     Amount     Shares     Amount  

High Yield Muni Income Bond

       

Shares sold

    1,800,000     $ 38,598,316       1,600,000     $ 34,490,784  

Shares redeemed

    (900,000     (18,583,594            
 

 

 

   

 

 

   

 

 

   

 

 

 
    900,000     $ 20,014,722       1,600,000     $ 34,490,784  
 

 

 

   

 

 

   

 

 

   

 

 

 

Intermediate Muni Income Bond

       

Shares sold

    100,000     $ 2,383,217       800,000     $ 18,308,144  

Shares redeemed

    (200,000     (4,651,945     (1,100,000     (26,016,876
 

 

 

   

 

 

   

 

 

   

 

 

 
    (100,000   $ (2,268,728)       (300,000   $ (7,708,732
 

 

 

   

 

 

   

 

 

   

 

 

 
       
     
    Six Months Ended
01/31/24
     Period Ended
07/31/23
 
BlackRock ETF   Shares      Amount      Shares      Amount  

Short-Term California Muni Bond(d)

          

Shares sold

    50,000      $ 2,490,894        350,000      $ 17,508,750  
 

 

 

    

 

 

    

 

 

    

 

 

 
          
       
                  Period Ended
01/31/24
 
BlackRock ETF                   Shares      Amount  

Total Return(e)

          

Shares sold

          1,600,000      $ 80,270,116  
       

 

 

    

 

 

 

 

  (a) 

The Fund commenced operations on January 10, 2023.

  (b) 

The Fund commenced operations on May 19, 2023.

 

 

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Notes to Financial Statements(unaudited) (continued)

 

  (c) 

The Fund commenced operations on October 4, 2022.

 
  (d) 

The Fund commenced operations on July 11, 2023.

 
  (e) 

The Fund commenced operations on December 12, 2023.

 

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. Authorized Participants 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 or BRIL, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. Authorized Participants transacting in Creation Units for cash may also pay an additional variable charge to compensate the relevant fund for certain transaction costs (i.e., stamp taxes, taxes on currency or other financial transactions, and brokerage costs) and market impact expenses relating to investing in portfolio securities. Such variable charges, if any, are included in shares sold in the table above.

From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable in the Statements of Assets and Liabilities.

As of January 31, 2024, shares owned by BlackRock Financial Management, Inc., an affiliate of the Funds, were as follows:

 

BlackRock ETF   Shares   

BlackRock Flexible Income ETF

    1,000,000   

BlackRock Floating Rate Loan ETF

    42,000   

BlackRock Short-Term California Muni Bond ETF

    80,000   

BlackRock Total Return ETF

    1,000,000   

 

12.

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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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements

 

The Board of Trustees (the “Board,” the members of which are referred to as “Board Members”) of BlackRock ETF Trust II (the “Trust”) met on November 14, 2023 (the “Meeting”) to consider the approval of the proposed investment advisory agreement (the “Advisory Agreement”) between the Trust, on behalf of BlackRock Total Return ETF (the “Fund”) and BlackRock Fund Advisors (the “Manager”), the Fund’s investment advisor. The Board also considered the initial approval of the proposed sub-advisory agreements (the “Sub-Advisory Agreements”) between the Manager and (1) BlackRock International Limited (“BIL”), with respect to the Fund, and (2) BlackRock (Singapore) Limited (“BRS” and together with BIL, the “Sub-Advisors”), with respect to the Fund. The Manager and the Sub-Advisors are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreements are referred to herein as the “Agreements.”

The Approval Process

Pursuant to the Investment Company Act of 1940 (the “1940 Act”), the Board is required to consider the initial approval of the Agreements. The Board Members who are not “interested persons” of the Fund, as defined in the 1940 Act, are considered independent Board Members (the “Independent Board Members”). In connection with this process, the Board assessed, among other things, the nature, extent and quality of the services to be provided to the Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services.

At the Meeting, the Board reviewed materials relating to its consideration of the Agreements. The Board considered all factors it believed relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services to be provided by BlackRock; (b) the investment performance of BlackRock portfolio management; (c) the advisory fee and the estimated cost of the services to be provided and estimated profits to be realized by BlackRock and its affiliates from their relationship with the Fund; (d) the sharing of potential economies of scale; (e) potential fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Fund; and (f) other factors deemed relevant by the Board Members.

In considering approval of the Agreements, the Board met with the relevant investment advisory personnel from BlackRock and considered all information it deemed reasonably necessary to evaluate the terms of the Agreements. The Board received materials in advance of the Meeting relating to its consideration of the Agreements, including, among other things, (a) fees and estimated expense ratios of the Fund in comparison to the fees and expense ratios of a peer group of funds as determined by Broadridge Financial Solutions, Inc. (“Broadridge”) and other metrics, as applicable; (b) information on the composition of the peer group of funds and a description of Broadridge’s methodology; (c) information regarding BlackRock’s economic outlook for the Fund and its general investment outlook for the markets; (d) information regarding fees paid to service providers that are affiliates of BlackRock; and (e) information outlining the legal duties of the Board under the 1940 Act with respect to the consideration and approval of the Agreements. The Board also noted information received at prior Board meetings concerning compliance records and regulatory matters relating to BlackRock.

The Board also considered other matters it deemed important to the approval process, such as other payments to be made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.

A. Nature, Extent and Quality of the Services to be Provided by BlackRock

The Board, including the Independent Board Members, reviewed the nature, extent and quality of services to be provided by BlackRock, including the investment advisory services to be provided to the Fund. The Board received information concerning the investment philosophy and investment process to be used by BlackRock in managing the Fund, as well as a description of the capabilities, personnel and services of BlackRock. In connection with this review, the Board considered BlackRock’s in-house research capabilities as well as other resources available to its personnel. The Board considered the scope of the services to be provided by BlackRock to the Fund under the Agreements relative to services typically provided by third parties to other funds. The Board concluded that the scope of BlackRock’s services to be provided to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to meet its investment objective, compliance with investment restrictions, tax and reporting requirements and related shareholder services.

The Board, including the Independent Board Members, also considered the quality of the administrative and other non-investment advisory services to be provided by BlackRock and its affiliates to the Fund. The Board received information regarding the procedures of BlackRock designed to fulfill its fiduciary duty to the Fund with respect to possible conflicts of interest, including BlackRock’s code of ethics (regulating the personal trading of BlackRock’s officers and employees), the procedures by which BlackRock allocates trades among its various investment advisory clients, the integrity of the systems in place to ensure compliance with the foregoing and the record of BlackRock in these matters. The Board also noted information received at prior meetings of the boards of directors/trustees of other funds in the BlackRock Fixed-Income Complex concerning the standards of BlackRock and its affiliates with respect to the execution of portfolio transactions.

The Board considered, among other factors, with respect to BlackRock: the experience of investment personnel generally and the Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group (“RQA”). The Board considered BlackRock’s compensation structure with respect to the Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.

In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services to be provided to the Fund. BlackRock and its affiliates will provide the Fund with certain administrative, shareholder and other services (in addition to any such services provided to the Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund, as applicable. In particular, BlackRock and its affiliates will provide

 

 

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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

 

the Fund with certain administrative services, including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus, the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators and stock exchanges; (iv) overseeing and coordinating the activities of third-party service providers, including, among others, the Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues; and (viii) performing or managing administrative functions necessary for the operation of the Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing the Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans.

The Board noted that the engagement of the Sub-Advisors with respect to the Fund facilitates the provision of investment advice and trading by investment personnel out of non-U.S. jurisdictions. The Board considered that this arrangement provides additional flexibility to the portfolio management team, which may benefit the Fund and its shareholders.

B. The Investment Performance of the Fund and BlackRock

In their capacity as members of the boards of directors/trustees of other funds in the BlackRock Fixed-Income Complex, the Board, including the Independent Board Members, previously received and considered information about BlackRock’s investment performance for other funds. The Board, however, did not consider the performance history of the Fund because the Fund had not yet commenced operations as of the date of the Meeting.

C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services to be Provided and Estimated Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Fund

The Board, including the Independent Board Members, reviewed the Fund’s proposed contractual advisory fee rate, noting that the Agreements provide for a unitary fee structure that includes advisory and administration services. Under the unitary fee structure, the Fund will pay a single fee to BlackRock and BlackRock will pay all operating expenses of the Fund, except the advisory fees, interest expenses, taxes, expenses incurred with respect to the acquisition and disposition of portfolio securities and the execution of portfolio transactions, including brokerage commissions, distribution fees or expenses, litigation expenses and extraordinary expenses. The Board, including the Independent Board Members, reviewed the Fund’s contractual management fee rate compared with those of its Broadridge peer group. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. In addition, the Board, including the Independent Board Members, considered the Fund’s estimated total net expense ratio, as well as its estimated actual management fee rate, compared to its Broadridge peer group. The estimated total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The estimated total expense ratio gives effect to any expense reimbursements or fee waivers. Additionally, the Board noted information received at prior meetings of the boards of directors/trustees of other funds in the BlackRock Fixed-Income Complex concerning the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts, and sub-advised mutual funds (including mutual funds sponsored by third parties).

The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time and resources, assumption of risk, and liability profile in servicing the Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.

The Board noted that the Fund’s contractual management fee rate ranked in the third quartile and the Fund’s estimated actual management fee rate and estimated total expenses would rank in the third quartile and second quartile, respectively, relative to the Fund’s expense peers. The Board also noted that the Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of the Fund increases above certain contractually specified levels. The Board additionally noted that the breakpoints can, conversely, adjust the advisory fee rate upward as the size of the Fund decreases below certain contractually specified levels. The Board also noted that BlackRock has contractually agreed to waive a portion of the advisory fee payable by the Fund.

The Board previously received and reviewed statements relating to BlackRock’s financial condition in connection with their duties as trustees or directors of other funds in the BlackRock Fixed-Income Complex. As the Fund had not commenced operations as of the date of the Meeting, BlackRock was not able to provide the Board with specific information concerning the expected profits to be realized by BlackRock and its affiliates from their relationships with the Fund. BlackRock, however, will provide the Board with such information at future meetings.

D. Economies of Scale

The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Fund increase. The Board considered multiple factors, including the advisory fee rate and breakpoint structure, fee waivers, and expense caps, as applicable.

E. Other Factors Deemed Relevant by the Board Members

The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with the Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers

 

 

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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)

 

to the Fund, including for administrative, distribution, securities lending, ETF servicing and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.

The Board noted the competitive nature of the ETF marketplace, and that shareholders are able to redeem or sell their Fund shares if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.

In connection with its consideration of the Agreements, the Board noted that it considered information regarding BlackRock’s brokerage and soft dollar practices and received and reviewed reports from BlackRock and its affiliates at prior meetings of the boards of directors/trustees of other funds in the BlackRock Fixed-Income Complex which included information on brokerage commissions and trade execution practices.

Conclusion

The Board, including the Independent Board Members, unanimously approved the Advisory Agreement between the Manager and the Trust, on behalf of the Fund, for a two-year term beginning on the effective date of the Advisory Agreement, and the Sub-Advisory Agreements between BlackRock and the Sub-Advisors, with respect to the Fund, for a two-year term beginning on the effective date of the Sub-Advisory Agreements. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel throughout the deliberative process.

 

 

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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”), BlackRock ETF Trust II (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) for BlackRock AAA CLO ETF, BlackRock Flexible Income ETF, BlackRock Floating Rate Loan ETF, BlackRock High Yield Muni Income Bond ETF, BlackRock Intermediate Muni Income Bond ETF and BlackRock Short-Term California Muni Bond ETF (the “Funds”), 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 November 14-15, 2023 (the “Meeting”) to review the Program. The Board previously appointed BlackRock Fund Advisors (“BlackRock”), the investment adviser to each Fund, 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, 2022 through September 30, 2023 (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 the imposition of capital controls in certain countries.

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. Where a fund participated in borrowings for investment purposes (such as tender option bonds or reverse repurchase agreements), such borrowings were factored into the Program’s calculation of a fund’s liquidity bucketing. A fund’s derivative exposure was also considered in such calculation.

 

  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 Fund’s reasonably anticipated trading size utilized for liquidity classifications. 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 exchange-traded funds (“ETFs”) that redeem in-kind generally do not hold more than de minimis amounts of cash, and that ETFs generally do not borrow. The Committee considered the terms of the credit facility committed to certain Funds, the financial health of the institution providing the facility and the fact that the credit facility is shared among multiple funds (including that a portion of the aggregate commitment amount is specifically designated for BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds V, and BlackRock Floating Rate Loan ETF, a series of BlackRock ETF Trust II).

 

  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 Funds and reviewed any persistent deviations from long-term averages.

 

  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 a Fund and any significant change in the liquidity profile of such Fund, the Committee reviewed changes in the proportion of each Fund’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.

 

 

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Supplemental Information (unaudited)

 

Proxy Results

A Special Meeting of Shareholders was held on November 9, 2023 for shareholders of record on September 11, 2023, to elect a Board of Trustees of the Funds.

Shareholders elected the Trustees(a) as follows:

 

     
     Votes For      Votes Withheld  

Lorenzo A. Flores

    5,620,997        215,120  

Stayce D. Harris

    5,611,319        224,798  

J. Phillip Holloman

    5,594,849        241,268  

Arthur P. Steinmetz

    5,594,755        241,362  

 

  (a) 

Denotes Trust-wide proposal and voting results.

 

Board Members whose term of office continued after the Special Meeting of Shareholders because they were not up for election are R. Glenn Hubbard, W. Carl Kester, Cynthia L. Egan, Frank J. Fabozzi, Catherine A. Lynch, Robert Fairbairn and John M. Perlowski. Frank J. Fabozzi’s term as a Board Member of the Funds ended on December 31, 2023.

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.

January 31, 2024

 

     
   

Total Cumulative Distributions

for the Fiscal Year-to-Date

   

% Breakdown of the Total Cumulative

Distributions for the Fiscal Year-to-Date

 
 

 

 

   

 

 

 
BlackRock ETF   Net
Investment
Income
    Net Realized
Capital Gains
    Return of
Capital
    Total Per
Share
    Net
Investment
Income
    Net Realized
Capital Gains
    Return of
Capital
    Total Per
Share
 

AAA CLO(a)

  $  1.622229     $     $  0.009207     $  1.631436       99         1     100

Flexible Income(a)

    1.235242             0.147141       1.382383       89             11       100  

Floating Rate Loan(a)

    2.412755             0.026577       2.439332       99             1       100  

High Yield Muni Income Bond(a)

    0.499334             0.000173       0.499507       100             0 (b)      100  

Intermediate Muni Income Bond(a)

    0.420559             0.000104       0.420663       100             0 (b)      100  

Short-Term California Muni Bond(a)

    0.690808             0.000405       0.691213       100             0 (b)      100  

 

  (a) 

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

 
  (b) 

Rounds to less than 1%.

 

Tailored Shareholder Reports for Open-End Mutual Funds and ETFs

Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.

 

 

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Additional Information

 

General Information

Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.

Householding

The Funds will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at 1-800-474-2737.

Availability of Quarterly Schedule of Investments

The Funds file their complete schedules 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, Procedures and Voting Records

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling 1-800-474-2737; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at sec.gov.

A description of the Company’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 blackrock.com.

BlackRock Privacy Principles

BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.

If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.

BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.

BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.

We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.

 

 

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Additional Information (continued)

 

Fund and Service Providers

 

Investment Adviser

BlackRock Fund Advisors

San Francisco, CA 94105

 

Sub-Adviser

BlackRock International Limited

Edinburgh, EH3 8BL

United Kingdom

BlackRock (Singapore) Limited

079912 Singapore

Administrator, Custodian and Transfer Agent

State Street Bank and Trust Company

Boston, MA, 02114

Distributor

BlackRock Investments, LLC(a)

New York, NY 10001

BlackRock Investments, LLC(b)

Princeton, NJ 08540

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania 19103

Legal Counsel

Willkie Farr & Gallagher LLP

New York, NY 10019

Address of the Trust

100 Bellevue Parkway

Wilmington, DE 19809

(a) For BINC, CALY and BRTR.

(b) For CLOA, BRLN, HYMU and INMU.

 

 

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  125


Glossary of Terms Used in this Report

 

Portfolio Abbreviation

AGM    Assured Guaranty Municipal Corp.
AMBAC    Ambac Assurance Corp.
BAB    Build America Bond
BAM    Build America Mutual Assurance Co.
CLO    Collateralized Loan Obligation
CMT    Constant Maturity Treasury
COP    Certificates of Participation
EURIBOR    Euro Interbank Offered Rate
FHA    Federal Housing Administration
GO    General Obligation
GOL    General Obligation Limited
LIBOR    London Interbank Offered Rate

Portfolio Abbreviation (continued)

NPFGC    National Public Finance Guarantee Corp.
NVS    Non-Voting Shares
PIK    Payment-in-kind
PILOT    Payment in Lieu of Taxes
PR    Prerefunded
RB    Revenue Bond
REIT    Real Estate Investment Trust
SIFMA    Securities Industry and Financial Markets Associations
SOFR    Secured Overnight Financing Rate
SONIA    Sterling Overnight Interbank Average Rate
TA    Tax Allocation
TBA    To-Be-Announced
Currency Abbreviation
AUD    Australian Dollar
BRL    Brazilian Real
CLP    Chilean Peso
CNY    Chinese Yuan
COP    Colombian Peso
CZK    Czech Koruna
EUR    Euro
GBP    British Pound
HUF    Hungarian Forint
IDR    Indonesian Rupiah
INR    Indian Rupee
JPY    Japanese Yen
KRW    South Korean Won
MXN    Mexican Peso
MYR    Malaysian Ringgit
NOK    Norwegian Krone
PLN    Polish Zloty
RON    Romanian Leu
THB    Thai Baht
TWD    New Taiwan Dollar
USD    United States Dollar
ZAR    South African Rand

 

 

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Want to know more?

blackrock.com | 1-800-474-2737

This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless preceded or accompanied by the Funds’ current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.

INCETF-1/24-SAR

 

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