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