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JANUARY 31, 2024 |
2024 Semi-Annual Report (Unaudited)
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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 |
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.
Rob Kapito
President, BlackRock Advisors, LLC
Rob Kapito
President, BlackRock Advisors, LLC
Total Returns as of January 31, 2024
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||||||||
6-Month
|
12-Month
|
|||||||
U.S.
large cap equities |
6.43% | 20.82% | ||||||
U.S.
small cap equities |
(2.02) | 2.40 | ||||||
International
equities |
3.15 | 10.01 | ||||||
Emerging
market equities |
(6.00) | (2.94) | ||||||
3-month
Treasury bills |
2.73 | 5.13 | ||||||
U.S.
Treasury securities |
1.74 | (0.38) | ||||||
U.S.
investment grade bonds |
3.15 | 2.10 | ||||||
Tax-exempt
municipal bonds |
2.70 | 2.90 | ||||||
U.S.
high yield bonds |
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. |
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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 |
Page | ||||
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Semi-Annual Report: |
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4 | ||||
16 | ||||
16 | ||||
17 | ||||
Financial Statements: |
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91 | ||||
94 | ||||
96 | ||||
100 | ||||
107 | ||||
Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements |
119 | |||
122 | ||||
123 | ||||
124 | ||||
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 | |||||||||||||||||||||||||||||||
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Beginning Account Value (08/01/23) |
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Ending Account Value |
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Expenses Paid During the Period |
(a) |
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Beginning Account Value (08/01/23) |
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Ending Account Value |
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Expenses Paid During the Period |
(a) |
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Annualized Expense Ratio |
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$ 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 | |||||||||||||||||||||||||||||||
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Beginning Account Value (08/01/23) |
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Ending Account Value |
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|
Expenses Paid During the Period |
(a) |
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Beginning Account Value (08/01/23) |
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|
Ending Account Value |
|
|
Expenses Paid During the Period |
(a) |
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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) |
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Ending Account Value |
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|
Expenses Paid During the Period |
(a) |
|
Beginning Account Value (08/01/23) |
|
|
Ending Account Value |
|
|
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) |
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Ending Account Value |
|
|
Expenses Paid During the Period |
(a) |
|
Beginning Account Value (08/01/23) |
|
|
Ending Account Value |
|
|
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. |
10 |
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 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 |
|
|
Expenses Paid During the Period |
(a) |
|
Beginning Account Value (08/01/23) |
|
|
Ending Account Value |
|
|
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. |
12 |
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 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 |
|
|
Expenses Paid During the Period |
(a) |
|
Beginning Account Value (08/01/23) |
|
|
Ending Account Value |
|
|
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. |
14 |
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 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 |
|
|
Expenses Paid During the Period |
(b) |
|
Beginning Account Value (08/01/23) |
|
|
Ending Account Value |
|
|
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 |
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.
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.
16 |
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 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 + |
$ | 1,750 | $ | 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 + |
2,800 | 2,804,724 | ||||||
Apidos
CLO XXXII, 6.90%, 01/20/33 (Call 04/20/24), (3-mo. CME Term SOFR
+ |
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 + |
1,750 | 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 + |
1,100 | 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 + |
1,500 | 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
+ |
1,250 | 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
+ |
1,250 | 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
+ |
1,500 | 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
+ |
1,250 | 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% |
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% |
2,330,000 | |||||||
|
|
|||||||
Total
Investments — 99.7% |
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 + |
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
+ |
USD | 250 | 250,524 | |||||||||
AIMCO
CLO 12 Ltd., 6.49%, 01/17/32 (Call 04/17/24), (3-mo. CME Term SOFR
+ |
USD | 250 | 249,781 | |||||||||
AIMCO
CLO Series, 7.18%, 10/17/34 (Call 04/17/24), (3-mo. CME Term SOFR
+ |
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
+ |
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
+ |
USD | 250 | 250,038 | |||||||||
Apidos
CLO XL Ltd., 7.11%, 07/15/35 (Call 07/15/24), (3-mo. CME Term SOFR
+ |
USD | 250 | 251,166 | |||||||||
Apidos
CLO XV, 6.59%, 04/20/31 (Call 04/20/24), (3-mo. CME Term SOFR
+ |
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 + |
USD | 250 | 249,400 | |||||||||
Apidos
CLO XXXIII Series 2020 33A, Class AR, 6.73%, 10/24/34 |
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
+ |
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 + |
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 + |
USD | 250 | 249,789 | |||||||||
Benefit
Street Partners CLO XXI Ltd. Series 2020 21A, Class A1R,
6.75%, |
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 + |
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 + |
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 + |
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 + |
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
+ |
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
+ |
USD | 750 | $ | 750,501 | ||||||||
Elmwood
CLO IX Ltd., 6.71%, 07/20/34, (3-mo. CME Term SOFR + |
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 |
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
+ |
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 + |
USD | 1,511 | 1,519,809 | |||||||||
7.30%,
09/01/26, (90-day SOFR + |
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 + |
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 + |
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 + |
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
+ |
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 + |
USD | 250 | 251,275 | |||||||||
6.70%,
10/19/31, (3-mo. SOFR + |
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 + |
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 |
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 + |
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 + |
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%, |
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 + |
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
+ |
USD | 538 | 532,389 | |||||||||
Series
2005-A, Class A4, 5.96%, 12/15/38 (Call 03/15/24), (3-mo. SOFR
+ |
USD | 1,926 | 1,893,832 | |||||||||
Series
2006-A, Class A5, 5.94%, 06/15/39 (Call 03/15/28), (3-mo. SOFR
+ |
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 + |
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 + |
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 + |
USD | 224 | 224,947 | |||||||||
6.28%,
09/15/37, (1-mo. SOFR + |
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 + |
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
+ |
USD | 250 | 250,828 | |||||||||
TICP
CLO XII Ltd., 6.75%, 07/15/34 (Call 04/15/24), (3-mo. LIBOR US
+ |
USD | 250 | 250,684 | |||||||||
TICP
CLO XIV Ltd., 7.23%, 10/20/32 (Call 04/20/24), (3-mo. LIBOR US
+ |
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 + |
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% |
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 + |
1,800 | 1,795,500 | ||||||
7.09%,
12/09/40, (1-mo. SOFR + |
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 + |
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%, |
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 + |
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 + |
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% |
|
126,420,991 | ||||||||
|
|
|||||||||
Convertible Bonds | ||||||||||
Beverages — 0.0% | ||||||||||
Davide Campari-Milano NV, 2.38%, 01/17/29(c) . |
EUR | 700 | 772,173 | |||||||
|
|
|||||||||
Commercial Services — 0.3% | ||||||||||
Nexi SpA, Series ., 0.00% 02/24/28(c)(f) |
EUR | 2,700 | 2,553,037 | |||||||
Worldline SA/France |
||||||||||
0.00%, 07/30/25(c)(f) |
EUR | 144 | 171,315 | |||||||
0.00%, 07/30/26(c)(f) |
EUR | 1,872 | 1,812,751 | |||||||
|
|
|||||||||
4,537,103 | ||||||||||
Computers — 0.0% | ||||||||||
Atos SE, 0.00% 11/06/24(c)(f) |
EUR | 500 | 237,734 | |||||||
|
|
|||||||||
Semiconductors — 0.1% | ||||||||||
ams-OSRAM AG, Series AMS, 0.00% 03/05/25(c)(f) |
EUR | 800 | 807,376 | |||||||
|
|
|||||||||
Telecommunications — 0.3% | ||||||||||
Cellnex Telecom SA, 2.13%, 08/11/30(c) |
EUR | 3,300 | 3,701,668 | |||||||
|
|
|||||||||
Total
Convertible Bonds — 0.7% |
|
10,056,054 | ||||||||
|
|
|||||||||
Corporate Bonds & Notes | ||||||||||
Advertising — 0.4% | ||||||||||
Clear Channel Outdoor Holdings Inc. |
||||||||||
5.13%, 08/15/27 (Call 08/15/24)(a)(g) |
USD | 230 | 216,612 | |||||||
9.00%, 09/15/28 (Call 09/15/25)(a)(g) |
USD | 1,539 | 1,599,894 | |||||||
Lamar Media Corp. |
||||||||||
3.63%, 01/15/31 (Call 01/15/26) |
USD | 300 | 263,850 | |||||||
3.75%, 02/15/28 (Call 02/15/24) |
USD | 412 | 383,160 |
S C H E D U L E O F I N V E S T M E N T S |
27 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Advertising (continued) | ||||||||||||
4.00%, 02/15/30 (Call 02/15/25) |
USD | 100 | $ | 91,510 | ||||||||
4.88%, 01/15/29 (Call 01/15/25) |
USD | 300 | 290,318 | |||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp. |
||||||||||||
4.25%, 01/15/29 (Call 01/15/25)(a)(g) |
USD | 1,159 | 1,033,028 | |||||||||
4.63%, 03/15/30 (Call 03/15/25)(a) |
USD | 300 | 265,518 | |||||||||
Summer BC Holdco B Sarl, 5.75%, 10/31/26 (Call 01/29/24)(c) |
EUR | 1,262 | 1,330,869 | |||||||||
|
|
|||||||||||
5,474,759 | ||||||||||||
Aerospace & Defense — 1.2% | ||||||||||||
Bombardier Inc. |
||||||||||||
7.13%, 06/15/26 (Call 06/15/24)(a) |
USD | 873 | 880,275 | |||||||||
7.88%, 04/15/27 (Call 04/15/24)(a) |
USD | 91 | 90,884 | |||||||||
8.75%, 11/15/30 (Call 11/15/26)(a) |
USD | 1,400 | 1,469,241 | |||||||||
L3Harris Technologies Inc. |
||||||||||||
4.40%, 06/15/28 (Call 03/15/28) |
USD | 98 | 96,732 | |||||||||
5.40%, 01/15/27 |
USD | 99 | 100,965 | |||||||||
5.40%, 07/31/33 (Call 04/30/33) |
USD | 961 | 989,863 | |||||||||
Lockheed Martin Corp., 3.90%, 06/15/32 (Call 03/15/32) |
USD | 55 | 52,573 | |||||||||
Northrop Grumman Corp., 3.25%, 01/15/28 (Call 10/15/27) |
USD | 86 | 81,983 | |||||||||
Rolls-Royce PLC |
||||||||||||
3.63%, 10/14/25 (Call 07/14/25)(a) |
USD | 900 | 867,438 | |||||||||
5.75%, 10/15/27 (Call 07/15/27)(a) |
USD | 500 | 500,272 | |||||||||
5.75%, 10/15/27 (Call 07/15/27)(c) |
GBP | 246 | 312,616 | |||||||||
RTX Corp. |
||||||||||||
2.15%, 05/18/30 (Call 02/18/30) |
EUR | 1,890 | 1,870,625 | |||||||||
5.15%, 02/27/33 (Call 11/27/32) |
USD | 863 | 874,548 | |||||||||
5.40%, 05/01/35 |
USD | 445 | 460,275 | |||||||||
6.10%, 03/15/34 (Call 12/15/33) |
USD | 1,273 | 1,381,630 | |||||||||
Thales SA, 4.25%, 10/18/31(c) |
EUR | 1,300 | 1,487,603 | |||||||||
TransDigm Inc. |
||||||||||||
4.63%, 01/15/29 (Call 01/15/25) |
USD | 1,399 | 1,308,163 | |||||||||
4.88%, 05/01/29 (Call 05/01/24) |
USD | 172 | 160,752 | |||||||||
6.25%, 03/15/26 (Call 03/15/24)(a) |
USD | 1,917 | 1,903,962 | |||||||||
6.75%, 08/15/28 (Call 02/15/25)(a) |
USD | 717 | 728,732 | |||||||||
6.88%, 12/15/30 (Call 08/18/26)(a) |
USD | 300 | 307,023 | |||||||||
7.13%, 12/01/31 (Call 12/01/26)(a) |
USD | 612 | 637,873 | |||||||||
|
|
|||||||||||
16,564,028 | ||||||||||||
Agriculture — 0.2% | ||||||||||||
Darling Ingredients Inc. |
||||||||||||
5.25%, 04/15/27 (Call 04/15/24)(a) |
USD | 600 | 589,566 | |||||||||
6.00%, 06/15/30 (Call 06/15/25)(a)(g) |
USD | 212 | 210,692 | |||||||||
Tereos Finance Groupe I SA, 7.25%, 04/15/28 (Call 04/15/25)(c) |
EUR | 959 | 1,094,803 | |||||||||
Viterra Finance BV, 0.38%, 09/24/25 (Call 08/24/25)(c) |
EUR | 185 | 188,785 | |||||||||
|
|
|||||||||||
2,083,846 | ||||||||||||
Airlines — 0.7% | ||||||||||||
Air France-KLM, 8.13%, 05/31/28 (Call 02/28/28)(c) |
EUR | 100 | 122,116 | |||||||||
American Airlines Inc. |
||||||||||||
7.25%, 02/15/28 (Call 02/15/25)(a)(g) |
USD | 300 | 304,068 | |||||||||
8.50%, 05/15/29 (Call 11/15/25)(a) |
USD | 200 | 212,003 | |||||||||
American Airlines Inc./AAdvantage Loyalty IP Ltd. |
||||||||||||
5.50%, 04/20/26(a) |
USD | 1,477 | 1,460,334 | |||||||||
5.75%, 04/20/29(a) |
USD | 1,400 | 1,374,842 |
Security | Par (000) |
Value | ||||||||||
Airlines (continued) | ||||||||||||
Delta Air Lines Inc. |
||||||||||||
3.75%, 10/28/29 (Call 07/28/29) |
USD | 100 | $ | 91,895 | ||||||||
4.38%, 04/19/28 (Call 01/19/28) |
USD | 100 | 96,314 | |||||||||
7.38%, 01/15/26 (Call 12/15/25)(g) |
USD | 797 | 825,158 | |||||||||
Deutsche Lufthansa AG, 2.88%, 02/11/25 (Call 01/11/25)(c) |
EUR | 200 | 212,898 | |||||||||
International Consolidated Airlines Group SA, |
||||||||||||
1.50%, 07/04/27 (Call 04/04/27)(c) |
EUR | 100 | 99,560 | |||||||||
United Airlines Inc. |
||||||||||||
4.38%, 04/15/26 (Call 10/15/25)(a) |
USD | 1,297 | 1,251,139 | |||||||||
4.63%, 04/15/29 (Call 10/15/25)(a) |
USD | 600 | 555,020 | |||||||||
VistaJet Malta Finance PLC/Vista Management Holding Inc. |
||||||||||||
6.38%, 02/01/30 (Call 02/01/25)(a)(g) |
USD | 445 | 322,091 | |||||||||
7.88%, 05/01/27 (Call 04/26/24)(a) |
USD | 1,000 | 835,230 | |||||||||
9.50%, 06/01/28 (Call 06/01/25)(a)(g) |
USD | 1,631 | 1,382,060 | |||||||||
|
|
|||||||||||
9,144,728 | ||||||||||||
Apparel — 0.1% | ||||||||||||
Hanesbrands Inc. |
||||||||||||
4.88%, 05/15/26 (Call 02/15/26)(a)(g) |
USD | 100 | 96,442 | |||||||||
9.00%, 02/15/31 (Call 02/15/26)(a)(g) |
USD | 1,300 | 1,310,649 | |||||||||
Kering SA, 5.13%, 11/23/26(c) |
GBP | 400 | 512,270 | |||||||||
|
|
|||||||||||
1,919,361 | ||||||||||||
Auto Manufacturers — 1.0% | ||||||||||||
Allison Transmission Inc. |
||||||||||||
3.75%, 01/30/31 (Call 01/30/26)(a)(g) |
USD | 334 | 292,119 | |||||||||
4.75%, 10/01/27 (Call 10/01/24)(a) |
USD | 300 | 288,542 | |||||||||
5.88%, 06/01/29 (Call 06/01/24)(a) |
USD | 100 | 99,383 | |||||||||
Ford Motor Co. |
||||||||||||
3.25%, 02/12/32 (Call 11/12/31) |
USD | 625 | 517,389 | |||||||||
4.35%, 12/08/26 (Call 09/08/26) |
USD | 100 | 97,698 | |||||||||
6.10%, 08/19/32 (Call 05/19/32) |
USD | 539 | 540,115 | |||||||||
Ford Motor Credit Co. LLC |
||||||||||||
2.75%, 06/14/24 |
GBP | 100 | 125,199 | |||||||||
2.90%, 02/10/29 (Call 12/10/28) |
USD | 200 | 175,508 | |||||||||
3.63%, 06/17/31 (Call 03/17/31) |
USD | 200 | 172,103 | |||||||||
4.00%, 11/13/30 (Call 08/13/30) |
USD | 450 | 401,356 | |||||||||
4.27%, 01/09/27 (Call 11/09/26) |
USD | 200 | 192,507 | |||||||||
4.69%, 06/09/25 (Call 04/09/25) |
USD | 200 | 197,158 | |||||||||
5.13%, 06/16/25 (Call 05/16/25) |
USD | 280 | 277,565 | |||||||||
6.86%, 06/05/26 |
GBP | 100 | 130,033 | |||||||||
General Motors Financial Co. Inc., 4.35%, 01/17/27 (Call 10/17/26) |
USD | 121 | 119,165 | |||||||||
Jaguar Land Rover Automotive PLC |
||||||||||||
4.50%, 10/01/27 (Call 07/01/27)(a) |
USD | 800 | 757,232 | |||||||||
4.50%, 07/15/28 (Call 07/15/24)(c) |
EUR | 200 | 212,479 | |||||||||
5.50%, 07/15/29 (Call 07/15/24)(a) |
USD | 200 | 191,704 | |||||||||
Nissan Motor Acceptance Co. LLC, 1.85%, 09/16/26 (Call 08/16/26)(a) |
USD | 865 | 782,701 | |||||||||
RCI Banque SA, 2.63%, 02/18/30 (Call 02/18/25)(b)(c) |
EUR | 5,300 | 5,584,518 | |||||||||
Volkswagen Financial Services NV, 6.50%, 09/18/27(c) |
GBP | 200 | 262,416 | |||||||||
Volkswagen International Finance NV |
||||||||||||
3.88%, (Call 06/17/29)(b)(c) |
EUR | 1,700 | 1,680,845 | |||||||||
Series PNC5, 7.50%, (Call 09/06/28)(b)(c)(h) |
EUR | 100 | 117,247 | |||||||||
Volkswagen Leasing GmbH, 0.63%, 07/19/29(c) |
EUR | 246 | 227,889 | |||||||||
|
|
|||||||||||
13,442,871 |
28 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Auto Parts & Equipment — 1.4% | ||||||||||||
Adient Global Holdings Ltd. |
||||||||||||
4.88%, 08/15/26 (Call 08/15/24)(a) |
USD | 200 | $ | 195,059 | ||||||||
8.25%, 04/15/31 (Call 04/15/26)(a) |
USD | 623 | 657,947 | |||||||||
American Axle & Manufacturing Inc. |
||||||||||||
5.00%, 10/01/29 (Call 10/01/24)(g) |
USD | 763 | 667,963 | |||||||||
6.88%, 07/01/28 (Call 07/01/24) |
USD | 300 | 291,109 | |||||||||
Aptiv PLC/Aptiv Corp., 3.25%, 03/01/32 (Call 12/01/31) |
USD | 1,593 | 1,404,839 | |||||||||
Clarios Global LP, 6.75%, 05/15/25 (Call 05/15/24)(a) |
USD | 619 | 618,540 | |||||||||
Clarios Global LP/Clarios U.S. Finance Co., 6.75%, 05/15/28 (Call 05/15/25)(a) |
USD | 917 | 929,169 | |||||||||
Dana Financing Luxembourg Sarl |
||||||||||||
3.00%, 07/15/29 (Call 07/15/24)(c) |
EUR | 163 | 155,322 | |||||||||
8.50%, 07/15/31 (Call 07/15/26)(c) |
EUR | 850 | 1,001,967 | |||||||||
Dana Inc. |
||||||||||||
4.25%, 09/01/30 (Call 05/01/26) |
USD | 300 | 262,311 | |||||||||
5.63%, 06/15/28 (Call 06/15/24) |
USD | 286 | 276,803 | |||||||||
Forvia SE |
||||||||||||
2.75%, 02/15/27 (Call 02/15/24)(c) |
EUR | 500 | 511,490 | |||||||||
3.75%, 06/15/28 (Call 01/29/24)(c) |
EUR | 474 | 494,963 | |||||||||
7.25%, 06/15/26 (Call 11/15/24)(c) |
EUR | 100 | 112,592 | |||||||||
Goodyear Tire & Rubber Co. (The) |
||||||||||||
4.88%, 03/15/27 (Call 12/15/26)(g) |
USD | 423 | 408,043 | |||||||||
5.00%, 05/31/26 (Call 05/31/24)(g) |
USD | 100 | 98,057 | |||||||||
5.00%, 07/15/29 (Call 04/15/29)(g) |
USD | 700 | 656,984 | |||||||||
5.25%, 07/15/31 (Call 04/15/31)(g) |
USD | 500 | 455,115 | |||||||||
5.63%, 04/30/33 (Call 01/30/33) |
USD | 198 | 179,155 | |||||||||
IHO Verwaltungs GmbH, 8.75%, 05/15/28 (Call 05/15/25), (9.50% PIK)(c)(i) |
EUR | 1,900 | 2,217,700 | |||||||||
Robert Bosch GmbH, 4.38%, 06/02/43 (Call 03/02/43)(c) |
EUR | 200 | 228,815 | |||||||||
Schaeffler AG |
||||||||||||
3.38%, 10/12/28(c) |
EUR | 300 | 312,863 | |||||||||
4.50%, 08/14/26(c) |
EUR | 100 | 109,010 | |||||||||
4.75%, 08/14/29(c) |
EUR | 200 | 218,867 | |||||||||
ZF Europe Finance BV |
||||||||||||
2.50%, 10/23/27 (Call 07/23/27)(c) |
EUR | 200 | 200,470 | |||||||||
3.00%, 10/23/29 (Call 07/23/29)(c) |
EUR | 200 | 196,061 | |||||||||
4.75%, 01/31/29(c) |
EUR | 3,300 | 3,547,623 | |||||||||
6.13%, 03/13/29 (Call 12/13/28)(c) |
EUR | 1,100 | 1,250,223 | |||||||||
ZF Finance GmbH |
||||||||||||
2.25%, 05/03/28 (Call 02/03/28)(c) |
EUR | 500 | 488,541 | |||||||||
3.75%, 09/21/28 (Call 06/21/28)(c) |
EUR | 100 | 103,103 | |||||||||
5.75%, 08/03/26 (Call 07/03/26)(c) |
EUR | 100 | 110,837 | |||||||||
ZF North America Capital Inc., 6.88%, 04/14/28 (Call 03/14/28)(a) |
USD | 950 | 978,593 | |||||||||
|
|
|||||||||||
19,340,134 | ||||||||||||
Banks — 9.7% | ||||||||||||
AIB
Group PLC, 6.25%, (Call |
EUR | 2,374 | 2,535,837 | |||||||||
Banca Monte dei Paschi di Siena SpA |
||||||||||||
6.75%, 03/02/26 (Call 03/02/25), (3-mo. EURIBOR + 3.206%)(b)(c) |
EUR | 500 | 548,786 | |||||||||
6.75%, 09/05/27, (3-mo. EURIBOR + 3.283%)(c) |
EUR | 451 | 508,719 | |||||||||
Banco Bilbao Vizcaya Argentaria SA |
||||||||||||
6.00%, (Call 03/29/24)(b)(c)(h) |
EUR | 200 | 215,881 | |||||||||
Series ., 6.00%, (Call 01/15/26)(b)(c)(h) |
EUR | 1,000 | 1,069,893 | |||||||||
Banco BPM SpA |
||||||||||||
2.88%, 06/29/31 (Call 06/29/26)(b)(c) |
EUR | 1,000 | 1,021,607 | |||||||||
3.25%, 01/14/31 (Call 01/14/26)(b)(c) |
EUR | 600 | 628,157 |
Security | Par (000) |
Value | ||||||||||
Banks (continued) | ||||||||||||
3.38%, 01/19/32 (Call 01/19/27)(b)(c) |
EUR | 200 | $ | 203,447 | ||||||||
4.25%, 10/01/29 (Call 10/01/24)(b)(c) |
EUR | 100 | 107,416 | |||||||||
4.88%, 01/17/30, (3-mo. EURIBOR + 2.350%)(c) |
EUR | 2,450 | 2,692,054 | |||||||||
6.00%, 06/14/28, (3-mo. EURIBOR + 2.800%)(c) |
EUR | 150 | 170,254 | |||||||||
Banco de Credito Social Cooperativo SA |
||||||||||||
1.75%, 03/09/28 (Call 03/09/27)(b)(c) |
EUR | 100 | 97,716 | |||||||||
7.50%, 09/14/29(c) |
EUR | 800 | 929,547 | |||||||||
Banco de Sabadell SA |
||||||||||||
4.00%, 01/15/30(c) |
EUR | 400 | 437,053 | |||||||||
5.13%, 11/10/28 (Call 11/10/27)(b)(c) |
EUR | 1,600 | 1,823,312 | |||||||||
5.25%, 02/07/29 (Call 02/07/28)(b)(c) |
EUR | 400 | 448,829 | |||||||||
5.50%, 09/08/29(c) |
EUR | 400 | 451,995 | |||||||||
5.75%, (Call 03/15/26)(b)(c)(h) |
EUR | 1,200 | 1,229,643 | |||||||||
6.00%, 08/16/33 (Call 05/16/28)(b)(c) |
EUR | 1,200 | 1,316,166 | |||||||||
Banco Santander SA |
||||||||||||
3.50%, 01/09/30(b)(c) |
EUR | 400 | 432,156 | |||||||||
3.88%, 01/16/28(c) |
EUR | 1,600 | 1,764,872 | |||||||||
4.38%, (Call 01/14/26)(b)(c)(h) |
EUR | 600 | 595,736 | |||||||||
Bank of America Corp. |
||||||||||||
0.58%, 08/08/29 (Call 08/08/28)(b)(c) |
EUR | 700 | 666,849 | |||||||||
0.69%,
03/22/31 (Call 03/22/30), |
EUR | 1,170 | 1,060,456 | |||||||||
1.38%, 05/09/30 (Call 05/09/29)(b)(c) |
EUR | 1,332 | 1,290,269 | |||||||||
1.73%,
07/22/27 (Call 07/22/26), |
USD | 3,030 | 2,792,846 | |||||||||
2.09%,
06/14/29 (Call 06/14/28), |
USD | 1,273 | 1,128,269 | |||||||||
2.30%,
07/21/32 (Call 07/21/31), |
USD | 178 | 146,135 | |||||||||
2.97%,
02/04/33 (Call 02/04/32), |
USD | 40 | 34,124 | |||||||||
3.65%,
03/31/29 (Call 03/31/28), |
EUR | 2,300 | 2,497,104 | |||||||||
3.97%,
02/07/30 (Call 02/07/29), |
USD | 1,164 | 1,110,611 | |||||||||
4.57%,
04/27/33 (Call 04/27/32), |
USD | 327 | 312,894 | |||||||||
5.47%,
01/23/35 (Call 01/23/34), |
USD | 285 | 290,230 | |||||||||
5.87%,
09/15/34 (Call 09/15/33), |
USD | 445 | 465,981 | |||||||||
Bank of Cyprus PCL |
||||||||||||
2.50%, 06/24/27 (Call 06/24/26)(b)(c) |
EUR | 100 | 100,538 | |||||||||
7.38%, 07/25/28, (3-mo. EURIBOR + 4.095%)(c) |
EUR | 350 | 392,472 | |||||||||
Bank of Ireland Group PLC |
||||||||||||
6.00%, (Call 09/01/25)(b)(c)(h) |
EUR | 952 | 1,010,822 | |||||||||
7.50%, (Call 05/19/25)(b)(c)(h) |
EUR | 500 | 544,396 | |||||||||
Bankinter
SA, 6.25%, (Call |
EUR | 800 | 857,644 | |||||||||
Banque Federative du Credit Mutuel SA |
||||||||||||
3.63%, 09/14/32(c) |
EUR | 300 | 327,400 | |||||||||
4.00%, 11/21/29(c) |
EUR | 100 | 111,811 | |||||||||
4.13%, 09/18/30(c) |
EUR | 100 | 113,027 | |||||||||
4.13%, 06/14/33(c) |
EUR | 1,000 | 1,127,394 | |||||||||
4.38%, 01/11/34(c) |
EUR | 200 | 213,979 | |||||||||
5.13%, 01/13/33(c) |
EUR | 800 | 917,406 | |||||||||
Barclays PLC |
||||||||||||
1.38%, 01/24/26 (Call 01/24/25)(b)(c) |
EUR | 206 | 216,918 | |||||||||
2.89%, 01/31/27 (Call 01/31/26)(b)(c) |
EUR | 100 | 106,235 |
S C H E D U L E O F I N V E S T M E N T S |
29 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Banks (continued) | ||||||||||||
4.92%, 08/08/30 (Call 08/08/29)(b)(c) |
EUR | 2,900 | $ | 3,264,764 | ||||||||
6.13%, (Call 12/15/25)(b)(h) |
USD | 200 | 189,558 | |||||||||
7.09%, 11/06/29(c) |
GBP | 494 | 664,623 | |||||||||
7.13%, (Call 06/15/25)(b)(h) |
GBP | 208 | 256,349 | |||||||||
8.00%, (Call 06/15/24)(b)(h) |
USD | 200 | 199,129 | |||||||||
9.25%, (Call 09/15/28)(b)(h) |
GBP | 1,000 | 1,267,300 | |||||||||
9.63%, (Call 12/15/29), (5-year USD ICE Swap + 5.775%)(b)(h) |
USD | 674 | 694,182 | |||||||||
BNP Paribas SA |
||||||||||||
3.63%, 09/01/29(c) |
EUR | 300 | 325,447 | |||||||||
4.04%, 01/10/32, (3-mo. EURIBOR + 1.600%)(b)(c) |
EUR | 2,400 | 2,628,047 | |||||||||
4.13%, 09/26/32, (3-mo. EURIBOR + 0.950%)(c) |
EUR | 1,200 | 1,353,639 | |||||||||
6.88%, (Call 12/06/29)(b)(c)(h) |
EUR | 800 | 886,070 | |||||||||
7.38%, (Call 06/11/30)(b)(c)(h) |
EUR | 600 | 681,652 | |||||||||
BPCE SA, 3.88%, 01/25/36(c) |
EUR | 600 | 656,759 | |||||||||
CaixaBank SA |
||||||||||||
5.25%, (Call 03/23/26)(b)(c)(h) |
EUR | 600 | 613,894 | |||||||||
6.75%, (Call 06/13/24)(b)(c)(h) |
EUR | 200 | 216,680 | |||||||||
7.50%,(b)(c)(h) |
EUR | 400 | 442,931 | |||||||||
Series ., 5.88%, (Call 10/09/27)(b)(c)(h) |
EUR | 400 | 424,715 | |||||||||
Citigroup Inc. |
||||||||||||
1.25%, 07/06/26, (3-mo. EURIBOR + 1.660%)(b)(c) |
EUR | 200 | 208,687 | |||||||||
4.91%, 05/24/33 (Call 05/24/32), (1-day SOFR + 2.086%)(b) |
USD | 250 | 244,927 | |||||||||
6.27%, 11/17/33 (Call 11/17/32), (1-day SOFR + 2.338%)(b) |
USD | 592 | 635,342 | |||||||||
Commerzbank AG |
||||||||||||
4.63%, 01/17/31, (3-mo. EURIBOR + 2.100%)(b)(c) |
EUR | 600 | 662,857 | |||||||||
5.25%, 03/25/29, (3-mo. EURIBOR + 1.950%)(b)(c) |
EUR | 100 | 113,511 | |||||||||
6.13%, 03/31/99 (Call 10/09/25)(b)(c)(h) |
EUR | 2,600 | 2,729,038 | |||||||||
6.50%, (Call 10/09/29)(b)(c)(h) |
EUR | 600 | 616,732 | |||||||||
6.75%, 10/05/33 (Call 07/05/28)(b)(c) |
EUR | 200 | 230,649 | |||||||||
8.63%, 02/28/33 (Call 11/28/27)(b)(c) |
GBP | 700 | 943,230 | |||||||||
Cooperatieve Rabobank UA, 4.38%, |
||||||||||||
(Call 06/29/27)(b)(c)(h) |
EUR | 600 | 607,155 | |||||||||
Credit Agricole SA |
||||||||||||
3.75%, 01/22/34(c) |
EUR | 300 | 327,786 | |||||||||
3.88%, 04/20/31(c) |
EUR | 100 | 111,554 | |||||||||
3.88%, 11/28/34(c) |
EUR | 1,200 | 1,341,021 | |||||||||
4.38%, 11/27/33(c) |
EUR | 200 | 226,579 | |||||||||
6.50%,(b)(c)(h) |
EUR | 400 | 434,982 | |||||||||
Danske Bank A/S, 4.13%, 01/10/31 |
||||||||||||
(Call 01/10/30)(b)(c) |
EUR | 270 | 302,133 | |||||||||
Deutsche Bank AG |
||||||||||||
1.00%, 11/19/25, (3-mo. EURIBOR + 1.600%)(b)(c) |
EUR | 700 | 737,573 | |||||||||
10.00%, (Call 12/01/27)(b)(c)(h) |
EUR | 600 | 699,509 | |||||||||
Freedom Mortgage Corp. |
||||||||||||
6.63%, 01/15/27 (Call 01/15/25)(a) |
USD | 300 | 288,126 | |||||||||
12.25%, 10/01/30 (Call 10/01/26)(a) |
USD | 1,400 | 1,560,730 | |||||||||
Glencore Finance Europe Ltd., 0.63%, 09/11/24(c) |
EUR | 416 | 440,188 | |||||||||
Goldman Sachs Group Inc. (The) |
||||||||||||
0.88%, 05/09/29 (Call 02/09/29)(c) |
EUR | 1,500 | 1,410,220 | |||||||||
1.09%,
12/09/26 (Call 12/09/25), |
USD | 2,674 | 2,482,053 |
Security | Par (000) |
Value | ||||||||||
Banks (continued) | ||||||||||||
1.25%, 02/07/29 (Call 11/07/28)(c) |
EUR | 2,600 | $ | 2,517,425 | ||||||||
1.43%, 03/09/27 (Call 03/09/26), (1-day SOFR + 0.798%)(b) |
USD | 345 | 319,280 | |||||||||
1.50%, 12/07/27(c) |
GBP | 295 | 330,781 | |||||||||
1.54%, 09/10/27 (Call 09/10/26), (1-day SOFR + 0.818%)(b) |
USD | 2,530 | 2,308,028 | |||||||||
1.95%, 10/21/27 (Call 10/21/26), (1-day SOFR + 0.913%)(b) |
USD | 252 | 231,760 | |||||||||
2.64%, 02/24/28 (Call 02/24/27), (1-day SOFR + 1.114%)(b) |
USD | 563 | 524,539 | |||||||||
2.65%, 10/21/32 (Call 10/21/31), (1-day SOFR + 1.264%)(b) |
USD | 330 | 276,059 | |||||||||
3.62%, 03/15/28 (Call 03/15/27), (1-day SOFR + 1.846%)(b) |
USD | 30 | 28,769 | |||||||||
4.00%, 09/21/29 (Call 06/21/29)(c) |
EUR | 570 | 634,374 | |||||||||
7.25%, 04/10/28 |
GBP | 617 | 845,712 | |||||||||
HSBC Holdings PLC |
||||||||||||
2.26%, 11/13/26 (Call 11/13/25)(b)(c) |
GBP | 571 | 686,616 | |||||||||
3.02%, 06/15/27 (Call 06/15/26), (3-mo. EURIBOR + 1.445%)(b)(c) |
EUR | 542 | 578,711 | |||||||||
4.75%, (Call 07/04/29)(b)(c)(h) |
EUR | 831 | 827,330 | |||||||||
4.86%, 05/23/33 (Call 05/23/32)(b)(c) |
EUR | 1,656 | 1,905,440 | |||||||||
6.80%, 09/14/31, (1-day SONIA + 2.124%)(b) |
GBP | 120 | 163,830 | |||||||||
Series
GEN, 0.31%, 11/13/26 (Call |
EUR | 258 | 263,191 | |||||||||
ING Groep NV |
||||||||||||
0.25%, 02/01/30 (Call 02/01/29), (3-mo. EURIBOR + 0.700%)(b)(c) |
EUR | 1,500 | 1,368,789 | |||||||||
3.88%, (Call 05/16/27)(b)(h) |
USD | 233 | 191,039 | |||||||||
5.25%, 11/14/33 (Call 11/14/32)(b)(c) |
EUR | 1,100 | 1,315,051 | |||||||||
5.75%, (Call 11/16/26)(b)(h) |
USD | 900 | 846,292 | |||||||||
Intesa Sanpaolo SpA |
||||||||||||
4.20%, 06/01/32 (Call 06/01/31), (1-year CMT + 2.600%)(a)(b) |
USD | 600 | 496,877 | |||||||||
5.15%, 06/10/30(c) |
GBP | 2,300 | 2,657,700 | |||||||||
5.50%, (Call 03/01/28)(b)(c)(h) |
EUR | 1,950 | 1,970,513 | |||||||||
5.71%, 01/15/26(a) |
USD | 1,025 | 1,021,532 | |||||||||
5.88%, (Call 01/20/25)(b)(c)(h) |
EUR | 900 | 963,299 | |||||||||
JPMorgan Chase & Co. |
||||||||||||
1.47%, 09/22/27 (Call 09/22/26), (1-day SOFR + 0.765%)(b) |
USD | 350 | 319,477 | |||||||||
1.76%, 11/19/31 (Call 11/19/30), (3-mo. SOFR + 1.105%)(b) |
USD | 180 | 146,703 | |||||||||
1.95%, 02/04/32 (Call 02/04/31), (1-day SOFR + 1.065%)(b) |
USD | 30 | 24,488 | |||||||||
1.96%, 03/23/30 (Call 03/23/29), (3-mo. EURIBOR + 1.130%)(b)(c) |
EUR | 480 | 482,217 | |||||||||
2.52%, 04/22/31 (Call 04/22/30), (1-day SOFR + 2.040%)(b) |
USD | 128 | 111,298 | |||||||||
2.96%, 01/25/33 (Call 01/25/32), (1-day SOFR + 1.260%)(b) |
USD | 170 | 146,289 | |||||||||
4.32%, 04/26/28 (Call 04/26/27), (1-day SOFR + 1.560%)(b) |
USD | 100 | 98,387 | |||||||||
4.46%, 11/13/31, (3-mo. EURIBOR + 1.280%)(c) |
EUR | 1,854 | 2,108,524 | |||||||||
5.04%, 01/23/28 (Call 01/23/27), (1-day SOFR + 1.190%) |
USD | 230 | 230,984 | |||||||||
5.34%, 01/23/35 (Call 01/23/34), (1-day SOFR + 1.620%) |
USD | 38 | 38,618 |
30 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Banks (continued) | ||||||||||||
5.35%, 06/01/34 (Call 06/01/33), (1-day SOFR + 1.845%)(b) |
USD | 46 | $ | 46,768 | ||||||||
6.07%, 10/22/27 (Call 10/22/26), (1-day SOFR + 1.330%)(b) |
USD | 301 | 310,054 | |||||||||
6.25%, 10/23/34 (Call 10/23/33), (1-day SOFR + 1.810%)(b) |
USD | 47 | 50,935 | |||||||||
KBC Group NV, 8.00%,(b)(c)(h) |
EUR | 1,000 | 1,149,534 | |||||||||
Lloyds Banking Group PLC, 4.95%, 12/31/49 |
||||||||||||
(Call 06/27/25)(b)(c)(h) |
EUR | 1,069 | 1,119,497 | |||||||||
Morgan Stanley |
||||||||||||
1.59%, 05/04/27 (Call 04/04/27), (1-day SOFR + 0.879%)(b) |
USD | 211 | 195,405 | |||||||||
1.88%, 04/27/27 |
EUR | 466 | 482,127 | |||||||||
1.93%, 04/28/32 (Call 04/28/31), (1-day SOFR + 1.020%)(b) |
USD | 583 | 470,340 | |||||||||
2.51%, 10/20/32 (Call 10/20/31), (1-day SOFR + 1.200%)(b)(g) |
USD | 681 | 567,187 | |||||||||
3.59%, 07/22/28 (Call 07/22/27)(b) |
USD | 1,848 | 1,766,461 | |||||||||
4.66%, 03/02/29 (Call 03/02/28), (3-mo. EURIBOR + 1.304%)(b) |
EUR | 2,300 | 2,585,060 | |||||||||
4.81%, 10/25/28 (Call 10/25/27)(b) |
EUR | 2,197 | 2,481,821 | |||||||||
5.47%, 01/18/35 (Call 01/18/34), (1-day SOFR + 1.730%)(g) |
USD | 153 | 156,137 | |||||||||
Santander U.K. Group Holdings PLC, 6.75%, |
||||||||||||
(Call 06/24/24)(b)(c)(h) |
GBP | 200 | 252,510 | |||||||||
Societe
Generale SA, 9.38%, (Call |
USD | 1,224 | 1,270,181 | |||||||||
Standard Chartered PLC, 0.90%, 07/02/27 (Call 07/02/26)(b)(c) |
EUR | 5,541 | 5,613,289 | |||||||||
Truist Financial Corp. |
||||||||||||
5.12%, 01/26/34 (Call 01/26/33), (1-day SOFR + 1.852%)(b) |
USD | 60 | 58,410 | |||||||||
5.87%, 06/08/34 (Call 06/08/33), (1-day SOFR + 2.361%) |
USD | 115 | 117,793 | |||||||||
U.S. Bancorp |
||||||||||||
5.38%, 01/23/30 (Call 01/23/29), (1-day SOFR + 1.560%) |
USD | 50 | 50,592 | |||||||||
5.68%, 01/23/35 (Call 01/23/34), (1-day SOFR + 1.860%) |
USD | 50 | 51,160 | |||||||||
U.S. Bancorp., 5.84%, 06/12/34 (Call 06/10/33), (1-day SOFR + 2.260%)(b) |
USD | 115 | 118,680 | |||||||||
UBS Group AG |
||||||||||||
4.19%, 04/01/31 (Call 04/01/30), (1-day SOFR + 3.730%)(a)(b) |
USD | 250 | 234,209 | |||||||||
4.88%, (Call 02/12/27)(a)(b)(h) |
USD | 300 | 270,704 | |||||||||
5.13%, (Call 07/29/26)(b)(c)(h) |
USD | 1,200 | 1,133,280 | |||||||||
7.00%, 12/29/49 (Call 02/19/25)(b)(c)(h) |
USD | 200 | 199,250 | |||||||||
7.75%, 03/01/29 (Call 03/01/28)(b)(c) |
EUR | 2,000 | 2,482,870 | |||||||||
UniCredit SpA |
||||||||||||
2.00%, 09/23/29 (Call 09/23/24)(b)(c) |
EUR | 200 | 212,249 | |||||||||
2.73%, 01/15/32 (Call 01/15/27)(b)(c) |
EUR | 500 | 507,088 | |||||||||
5.38%, (Call 06/03/25)(b)(c)(h) |
EUR | 1,300 | 1,369,787 | |||||||||
5.46%, 06/30/35 (Call 06/30/30), (5-year CMT + 4.750%)(a)(b) |
USD | 417 | 391,071 | |||||||||
5.86%, 06/19/32 (Call 06/19/27), (5-year USD ICE Swap + 3.703%)(a)(b) |
USD | 900 | 881,964 | |||||||||
7.30%, 04/02/34 (Call 04/02/29), (5-year USD ICE Swap + 4.914%)(a)(b) |
USD | 875 | 905,023 | |||||||||
Wells Fargo & Co. |
||||||||||||
0.63%, 03/25/30(c) |
EUR | 4,746 | 4,298,515 | |||||||||
1.63%, 06/02/25(c) |
EUR | 279 | 293,221 |
Security | Par (000) |
Value | ||||||||||
Banks (continued) | ||||||||||||
2.39%, 06/02/28 (Call 06/02/27), (1-day SOFR + 2.100%)(b) |
USD | 290 | $ | 267,579 | ||||||||
2.57%, 02/11/31 (Call 02/11/30), (3-mo. SOFR + 1.262%)(b) |
USD | 2,040 | 1,775,009 | |||||||||
3.35%, 03/02/33 (Call 03/02/32), (1-day SOFR + 1.500%)(b) |
USD | 180 | 157,993 | |||||||||
4.90%, 07/25/33 (Call 07/25/32), (1-day SOFR + 2.100%)(b) |
USD | 422 | 412,405 | |||||||||
5.50%, 01/23/35 (Call 01/23/34), (1-day SOFR + 1.780%)(g) |
USD | 140 | 142,783 | |||||||||
6.30%, 10/23/29 (Call 10/23/28), (1-day SOFR + 1.790%)(b) |
USD | 650 | 685,066 | |||||||||
6.49%, 10/23/34 (Call 10/23/33), (1-day SOFR + 2.060%)(b) |
USD | 426 | 464,743 | |||||||||
|
|
|||||||||||
132,163,879 | ||||||||||||
Beverages — 0.7% | ||||||||||||
Carlsberg Breweries A/S, 4.25%, 10/05/33(c) |
EUR | 1,750 | 2,003,526 | |||||||||
Heineken NV, 1.50%, 10/03/29 (Call 07/03/29)(c) |
EUR | 710 | 708,184 | |||||||||
JDE Peet’s NV, 4.50%, 01/23/34(c) |
EUR | 3,890 | 4,388,913 | |||||||||
Keurig Dr Pepper Inc. |
||||||||||||
3.43%, 06/15/27 (Call 03/15/27) |
USD | 150 | 144,547 | |||||||||
3.95%, 04/15/29 (Call 02/15/29) |
USD | 1,298 | 1,256,306 | |||||||||
4.05%, 04/15/32 (Call 01/15/32) |
USD | 411 | 390,130 | |||||||||
4.60%, 05/25/28 (Call 02/25/28) |
USD | 116 | 116,036 | |||||||||
|
|
|||||||||||
9,007,642 | ||||||||||||
Biotechnology — 0.5% | ||||||||||||
Amgen Inc. |
||||||||||||
1.65%, 08/15/28 (Call 06/15/28) |
USD | 135 | 119,269 | |||||||||
2.20%, 02/21/27 (Call 12/21/26) |
USD | 201 | 187,299 | |||||||||
3.35%, 02/22/32 (Call 11/22/31) |
USD | 2,739 | 2,480,688 | |||||||||
4.00%, 09/13/29(c) |
GBP | 100 | 122,969 | |||||||||
5.25%, 03/02/33 (Call 12/02/32) |
USD | 129 | 131,601 | |||||||||
Cidron Aida Finco Sarl, 6.25%, 04/01/28 (Call 04/01/24)(c) |
GBP | 1,720 | 2,087,117 | |||||||||
Gilead Sciences Inc. |
||||||||||||
1.65%, 10/01/30 (Call 07/01/30) |
USD | 254 | 212,168 | |||||||||
5.25%, 10/15/33 (Call 07/15/33) |
USD | 949 | 984,955 | |||||||||
|
|
|||||||||||
6,326,066 | ||||||||||||
Building Materials — 0.6% | ||||||||||||
Builders FirstSource Inc. |
||||||||||||
4.25%, 02/01/32 (Call 08/01/26)(a) |
USD | 549 | 490,940 | |||||||||
5.00%, 03/01/30 (Call 03/01/25)(a) |
USD | 131 | 125,749 | |||||||||
6.38%, 06/15/32 (Call 06/15/27)(a) |
USD | 500 | 509,945 | |||||||||
Carrier Global Corp., 4.50%, 11/29/32(c) |
EUR | 900 | 1,034,169 | |||||||||
CRH Funding BV, 1.63%, 05/05/30 (Call 02/05/30)(c) |
EUR | 100 | 97,864 | |||||||||
CRH SMW Finance DAC, 4.25%, 07/11/35(c) |
EUR | 1,300 | 1,468,735 | |||||||||
Emerald Debt Merger Sub LLC, 6.38%, 12/15/30 (Call 06/15/26)(c) |
EUR | 500 | 567,364 | |||||||||
HT Troplast GmbH, 9.38%, 07/15/28(c) |
EUR | 1,050 | 1,164,901 | |||||||||
Knife
River Corp., 7.75%, 05/01/31 |
USD | 300 | 315,120 | |||||||||
Standard Industries Inc./NJ |
||||||||||||
3.38%, 01/15/31 (Call 07/15/25)(a) |
USD | 197 | 167,516 | |||||||||
4.38%, 07/15/30 (Call 07/15/25)(a) |
USD | 600 | 545,251 | |||||||||
4.75%, 01/15/28 (Call 01/15/25)(a) |
USD | 500 | 478,212 | |||||||||
5.00%, 02/15/27 (Call 02/15/24)(a) |
USD | 600 | 582,783 | |||||||||
|
|
|||||||||||
7,548,549 |
S C H E D U L E O F I N V E S T M E N T S |
31 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Chemicals — 1.2% | ||||||||||||
Avient Corp. |
||||||||||||
5.75%, 05/15/25 (Call 05/15/24)(a) |
USD | 500 | $ | 498,034 | ||||||||
7.13%, 08/01/30 (Call 08/01/25)(a) |
USD | 300 | 307,718 | |||||||||
Chemours Co. (The) |
||||||||||||
4.00%, 05/15/26 (Call 01/29/24) |
EUR | 400 | 421,089 | |||||||||
4.63%, 11/15/29 (Call 11/15/24)(a) |
USD | 400 | 347,436 | |||||||||
5.38%, 05/15/27 (Call 02/15/27) |
USD | 100 | 97,277 | |||||||||
5.75%, 11/15/28 (Call 11/15/24)(a)(g) |
USD | 797 | 751,727 | |||||||||
FIS Fabbrica Italiana Sintetici SpA, 5.63%, 08/01/27 (Call 02/01/24)(c) |
EUR | 1,375 | 1,423,035 | |||||||||
INEOS Finance PLC, 3.38%, 03/31/26(c) |
EUR | 100 | 106,714 | |||||||||
INEOS Quattro Finance 2 PLC, 8.50%, 03/15/29 (Call 11/15/25)(c) |
EUR | 1,187 | 1,358,168 | |||||||||
Kronos International Inc., 3.75%, 09/15/25 (Call 01/29/24)(c) |
EUR | 700 | 762,716 | |||||||||
Linde PLC |
||||||||||||
3.38%, 06/12/29(c) |
EUR | 500 | 550,832 | |||||||||
3.63%, 06/12/34(c) |
EUR | 100 | 111,982 | |||||||||
Methanex Corp. |
||||||||||||
5.13%, 10/15/27 (Call 04/15/27) |
USD | 683 | 658,862 | |||||||||
5.25%, 12/15/29 (Call 09/15/29)(g) |
USD | 327 | 312,355 | |||||||||
Monitchem HoldCo 3 SA, 8.75%, 05/01/28 (Call 05/01/25)(c) |
EUR | 500 | 560,397 | |||||||||
Nobian Finance BV, 3.63%, 07/15/26 (Call 01/29/24)(c) |
EUR | 1,239 | 1,279,536 | |||||||||
Olin Corp. |
||||||||||||
5.00%, 02/01/30 (Call 02/01/24) |
USD | 648 | 611,024 | |||||||||
5.13%, 09/15/27 (Call 03/15/24) |
USD | 500 | 485,001 | |||||||||
Olympus Water U.S. Holding Corp. |
||||||||||||
9.63%, 11/15/28 (Call 06/01/25)(c) |
EUR | 1,959 | 2,283,660 | |||||||||
9.75%, 11/15/28 (Call 06/01/25)(a) |
USD | 1,500 | 1,586,962 | |||||||||
SCIL IV LLC/SCIL USA Holdings LLC |
||||||||||||
4.38%, 11/01/26 (Call 01/29/24)(c) |
EUR | 350 | 369,772 | |||||||||
9.50%, 07/15/28 (Call 07/15/25)(c) |
EUR | 752 | 876,889 | |||||||||
Synthomer PLC, 3.88%, 07/01/25 (Call 01/29/24)(c) |
EUR | 200 | 211,817 | |||||||||
|
|
|||||||||||
15,973,003 | ||||||||||||
Commercial Services — 2.2% | ||||||||||||
ADT Security Corp. (The), 4.13%, 08/01/29 (Call 08/01/28)(a) |
USD | 608 | 561,053 | |||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 07/15/26 (Call 07/15/24)(a) |
USD | 1,200 | 1,182,437 | |||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl |
||||||||||||
4.63%, 06/01/28 (Call 06/01/24)(a) |
USD | 1,548 | 1,394,245 | |||||||||
4.88%, 06/01/28 (Call 06/01/24)(c) |
GBP | 2,372 | 2,642,895 | |||||||||
ASTM
SpA, 1.50%, 01/25/30 |
EUR | 697 | 648,471 | |||||||||
Avis Budget Car Rental LLC/Avis Budget Finance Inc. |
||||||||||||
4.75%, 04/01/28 (Call 04/01/24)(a)(g) |
USD | 100 | 92,129 | |||||||||
5.38%, 03/01/29 (Call 03/01/24)(a)(g) |
USD | 400 | 370,345 | |||||||||
8.00%, 02/15/31 (Call 11/15/26)(a) |
USD | 925 | 923,057 | |||||||||
BCP V Modular Services Finance II PLC |
||||||||||||
4.75%, 11/30/28 (Call 11/30/24)(c) |
EUR | 100 | 100,100 | |||||||||
6.13%, 11/30/28 (Call 11/30/24)(c) |
GBP | 400 | 460,365 | |||||||||
Block Inc. |
||||||||||||
2.75%, 06/01/26 (Call 05/01/26) |
USD | 1,000 | 936,003 | |||||||||
3.50%, 06/01/31 (Call 03/01/31) |
USD | 400 | 344,589 | |||||||||
Boels Topholding BV, 6.25%, 02/15/29 (Call 09/15/25)(c) |
EUR | 900 | 1,013,967 |
Security | Par (000) |
Value | ||||||||||
Commercial Services (continued) | ||||||||||||
Cofiroute SA, 1.00%, 05/19/31(c) |
EUR | 600 | $ | 559,288 | ||||||||
EC Finance PLC, 3.00%, 10/15/26 (Call 01/08/24)(c) |
EUR | 200 | 209,552 | |||||||||
Gartner Inc. |
||||||||||||
3.63%, 06/15/29 (Call 06/15/24)(a) |
USD | 397 | 360,861 | |||||||||
4.50%, 07/01/28 (Call 07/01/24)(a) |
USD | 400 | 381,727 | |||||||||
Global Payments Inc. |
||||||||||||
2.90%, 11/15/31 (Call 08/15/31) |
USD | 220 | 187,510 | |||||||||
3.20%, 08/15/29 (Call 05/15/29) |
USD | 1,212 | 1,096,975 | |||||||||
4.88%, 03/17/31 (Call 01/17/31) |
EUR | 500 | 567,894 | |||||||||
Hertz Corp. (The) |
||||||||||||
4.63%, 12/01/26 (Call 12/01/24)(a) |
USD | 318 | 286,003 | |||||||||
5.00%, 12/01/29 (Call 12/01/24)(a)(g) |
USD | 1,788 | 1,413,024 | |||||||||
Loxam SAS |
||||||||||||
6.38%, 05/15/28(c) |
EUR | 900 | 1,004,836 | |||||||||
6.38%, 05/31/29 (Call 12/15/25)(c) |
EUR | 1,107 | 1,228,756 | |||||||||
Moody’s Corp., 0.95%, 02/25/30 (Call 11/25/29) |
EUR | 597 | 567,047 | |||||||||
Motability Operations Group PLC, 3.88%, 01/24/34(c) |
EUR | 1,940 | 2,135,382 | |||||||||
Mundys
SpA, 1.88%, 02/12/28 (Call |
EUR | 200 | 195,056 | |||||||||
Nexi SpA, 2.13%, 04/30/29 (Call 01/30/29)(c) |
EUR | 400 | 381,574 | |||||||||
Prime Security Services Borrower LLC/Prime Finance Inc. |
||||||||||||
3.38%, 08/31/27 (Call 08/31/26)(a) |
USD | 440 | 405,306 | |||||||||
5.75%, 04/15/26(a) |
USD | 958 | 957,551 | |||||||||
6.25%, 01/15/28 (Call 01/15/25)(a)(g) |
USD | 417 | 413,243 | |||||||||
Q-Park Holding I BV |
||||||||||||
5.13%, 03/01/29(c) |
EUR | 215 | 232,903 | |||||||||
5.98%, 03/01/26 (Call 01/29/24), (3-mo. EURIBOR + 2.000%)(b)(c) |
EUR | 200 | 215,990 | |||||||||
Rekeep
SpA, 7.25%, 02/01/26 (Call |
EUR | 400 | 401,264 | |||||||||
Service Corp. International/U.S. |
||||||||||||
3.38%, 08/15/30 (Call 08/15/25) |
USD | 206 | 179,632 | |||||||||
4.00%, 05/15/31 (Call 05/15/26) |
USD | 500 | 445,055 | |||||||||
4.63%, 12/15/27 (Call 12/15/24) |
USD | 516 | 500,649 | |||||||||
Techem Verwaltungsgesellschaft 675 mbH, 2.00%, 07/15/25 (Call 01/29/24)(c) |
EUR | 770 | 811,392 | |||||||||
United Rentals North America Inc. |
||||||||||||
3.75%, 01/15/32 (Call 07/15/26) |
USD | 501 | 439,984 | |||||||||
3.88%, 02/15/31 (Call 08/15/25) |
USD | 611 | 551,107 | |||||||||
4.88%, 01/15/28 (Call 01/15/25) |
USD | 640 | 624,631 | |||||||||
5.50%, 05/15/27 (Call 05/15/24) |
USD | 700 | 698,204 | |||||||||
Verisure Holding AB |
||||||||||||
7.13%, 02/01/28 (Call 02/01/25)(c) |
EUR | 375 | 424,519 | |||||||||
9.25%, 10/15/27 (Call 10/15/24)(c) |
EUR | 500 | 579,525 | |||||||||
|
|
|||||||||||
29,126,096 | ||||||||||||
Computers — 0.4% | ||||||||||||
Dell International LLC/EMC Corp., 4.00%, 07/15/24 (Call 06/15/24) |
USD | 75 | 74,436 | |||||||||
NCR Voyix Corp., 5.00%, 10/01/28 (Call 01/29/24)(a) |
USD | 1,383 | 1,303,848 | |||||||||
Seagate HDD Cayman |
||||||||||||
4.09%, 06/01/29 (Call 03/01/29) |
USD | 138 | 127,187 | |||||||||
8.25%, 12/15/29 (Call 05/30/26)(a) |
USD | 775 | 834,428 | |||||||||
9.63%, 12/01/32 (Call 12/01/27) |
USD | 506 | 581,308 | |||||||||
Teleperformance SE, 5.75%, 11/22/31(c) |
EUR | 100 | 116,697 |
32 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Computers (continued) | ||||||||||||
Western Digital Corp. |
||||||||||||
2.85%, 02/01/29 (Call 12/01/28) |
USD | 1,775 | $ | 1,517,780 | ||||||||
4.75%, 02/15/26 (Call 11/15/25) |
USD | 229 | 222,756 | |||||||||
|
|
|||||||||||
4,778,440 | ||||||||||||
Cosmetics & Personal Care — 0.2% | ||||||||||||
Coty Inc., 5.00%, 04/15/26 (Call 04/15/24)(a) |
USD | 478 | 469,625 | |||||||||
Coty Inc./HFC Prestige Products Inc./HFC Prestige International U.S. LLC |
||||||||||||
4.75%, 01/15/29 (Call 01/15/25)(a) |
USD | 100 | 95,320 | |||||||||
6.63%, 07/15/30 (Call 07/16/26)(a) |
USD | 400 | 407,428 | |||||||||
Edgewell Personal Care Co. |
||||||||||||
4.13%, 04/01/29 (Call 04/01/24)(a) |
USD | 700 | 630,917 | |||||||||
5.50%, 06/01/28 (Call 06/01/24)(a) |
USD | 236 | 231,002 | |||||||||
Unilever Finance Netherlands BV, 1.63%, 02/12/33(c) |
|
EUR |
|
|
200 |
|
|
192,128 |
| |||
|
|
|||||||||||
2,026,420 | ||||||||||||
Distribution & Wholesale — 0.3% | ||||||||||||
Azelis
Finance NV, 5.75%, 03/15/28 |
|
EUR |
|
|
200 |
|
|
222,624 |
| |||
H&E Equipment Services Inc., 3.88%, 12/15/28 (Call 12/15/24)(a) |
|
USD |
|
|
857 |
|
|
778,149 |
| |||
IMCD NV |
||||||||||||
2.13%, 03/31/27 (Call 12/31/26)(c) |
EUR | 272 | 280,266 | |||||||||
4.88%, 09/18/28(c) |
EUR | 2,376 | 2,696,696 | |||||||||
|
|
|||||||||||
3,977,735 | ||||||||||||
Diversified Financial Services — 0.7% | ||||||||||||
American
Express Co., 6.49%, 10/30/31 |
|
USD |
|
|
55 |
|
|
59,585 |
| |||
Charles Schwab Corp. (The) |
||||||||||||
5.64%, 05/19/29 (Call 05/19/28), (1-day SOFR + 2.210%)(b) |
|
USD |
|
|
25 |
|
|
25,579 |
| |||
5.85%, 05/19/34 (Call 05/19/33), (1-day SOFR + 2.500%)(b) |
|
USD |
|
|
75 |
|
|
77,692 |
| |||
6.14%, 08/24/34 (Call 08/24/33), (1-day SOFR + 2.010%) |
|
USD |
|
|
65 |
|
|
68,696 |
| |||
Encore Capital Group Inc., 4.25%, 06/01/28 (Call 06/01/24)(c) |
|
GBP |
|
|
1,000 |
|
|
1,096,215 |
| |||
Intercontinental Exchange Inc., 1.85%, 09/15/32 (Call 06/15/32) |
|
USD |
|
|
220 |
|
|
173,959 |
| |||
Intrum AB |
||||||||||||
3.00%, 09/15/27 (Call 01/08/24)(c) |
EUR | 334 | 247,336 | |||||||||
3.50%, 07/15/26 (Call 01/08/24)(c) |
EUR | 100 | 81,052 | |||||||||
LPL Holdings Inc., 4.63%, 11/15/27 (Call 11/15/24)(a) |
USD | 818 | 787,665 | |||||||||
Nasdaq Inc. |
||||||||||||
5.35%, 06/28/28 (Call 05/28/28) |
USD | 64 | 65,634 | |||||||||
5.55%, 02/15/34 (Call 11/15/33) |
USD | 853 | 884,506 | |||||||||
Nationstar Mortgage Holdings Inc. |
||||||||||||
5.13%, 12/15/30 (Call 12/15/25)(a) |
USD | 1,127 | 1,012,964 | |||||||||
6.00%, 01/15/27 (Call 01/15/25)(a) |
USD | 621 | 608,904 | |||||||||
PennyMac Financial Services Inc. |
||||||||||||
4.25%, 02/15/29 (Call 02/15/24)(a) |
USD | 105 | 95,184 | |||||||||
5.38%, 10/15/25 (Call 10/15/24)(a) |
USD | 405 | 399,414 | |||||||||
5.75%, 09/15/31 (Call 09/15/26)(a) |
USD | 217 | 200,982 | |||||||||
7.88%, 12/15/29 (Call 12/15/26)(a) |
USD | 700 | 720,966 | |||||||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc. |
||||||||||||
2.88%, 10/15/26 (Call 10/15/24)(a) |
USD | 743 | 681,754 | |||||||||
3.63%, 03/01/29 (Call 03/09/24)(a) |
USD | 600 | 533,314 | |||||||||
3.88%, 03/01/31 (Call 03/01/26)(a) |
USD | 644 | 562,734 |
Security | Par (000) |
Value | ||||||||||
Diversified Financial Services (continued) | ||||||||||||
4.00%, 10/15/33 (Call 10/15/27)(a) |
USD | 200 | $ | 169,762 | ||||||||
United Wholesale Mortgage LLC |
||||||||||||
5.50%, 11/15/25 (Call 11/15/24)(a) |
USD | 300 | 296,290 | |||||||||
5.50%, 04/15/29 (Call 03/30/24)(a) |
USD | 425 | 401,348 | |||||||||
5.75%, 06/15/27 (Call 06/15/24)(a) |
USD | 517 | 507,318 | |||||||||
|
|
|||||||||||
9,758,853 | ||||||||||||
Electric — 4.2% | ||||||||||||
Baltimore Gas & Electric Co., 2.25%, 06/15/31 (Call 03/15/31) |
|
USD |
|
|
380 |
|
|
323,292 |
| |||
Calpine Corp. |
||||||||||||
3.75%, 03/01/31 (Call 03/01/26)(a) |
USD | 300 | 260,612 | |||||||||
4.50%, 02/15/28 (Call 02/15/24)(a) |
USD | 806 | 766,480 | |||||||||
4.63%, 02/01/29 (Call 02/01/24)(a) |
USD | 600 | 554,720 | |||||||||
5.00%, 02/01/31 (Call 02/01/26)(a) |
USD | 197 | 178,721 | |||||||||
5.13%, 03/15/28 (Call 03/15/24)(a) |
USD | 129 | 123,094 | |||||||||
5.25%, 06/01/26 (Call 06/01/24)(a) |
USD | 300 | 295,071 | |||||||||
CenterPoint Energy Houston Electric LLC, 5.20%, 10/01/28 (Call 09/01/28) |
USD | 407 | 417,374 | |||||||||
Coentreprise de Transport d’Electricite SA, 3.75%, 01/17/36(c) |
EUR | 1,500 | 1,634,434 | |||||||||
Consumers Energy Co. |
||||||||||||
4.63%, 05/15/33 (Call 11/15/32) |
USD | 60 | 59,368 | |||||||||
4.65%, 03/01/28 (Call 01/01/28) |
USD | 155 | 155,852 | |||||||||
4.90%, 02/15/29 (Call 12/15/28) |
USD | 91 | 92,485 | |||||||||
Duke Energy Corp. |
||||||||||||
3.10%, 06/15/28 (Call 03/15/28) |
EUR | 3,950 | 4,214,305 | |||||||||
3.85%, 06/15/34 (Call 03/15/34) |
EUR | 1,340 | 1,413,861 | |||||||||
E.ON SE |
||||||||||||
0.35%, 02/28/30 (Call 11/28/29)(c) |
EUR | 400 | 365,456 | |||||||||
1.63%, 03/29/31 (Call 12/29/30)(c) |
EUR | 310 | 301,731 | |||||||||
3.75%, 01/15/36(c) |
EUR | 320 | 349,042 | |||||||||
EDP - Energias de Portugal SA |
||||||||||||
1.70%, 07/20/80 (Call 04/20/25)(b)(c) |
EUR | 100 | 103,206 | |||||||||
1.88%, 08/02/81 (Call 05/02/26)(b)(c) |
EUR | 500 | 504,552 | |||||||||
5.94%, 04/23/83 (Call 01/23/28)(b)(c) |
EUR | 300 | 337,178 | |||||||||
EDP Servicios Financieros Espana SA |
||||||||||||
3.50%, 07/16/30(c) |
EUR | 3,800 | 4,127,810 | |||||||||
4.38%, 04/04/32(c) |
EUR | 200 | 230,169 | |||||||||
Electricite de France SA |
||||||||||||
2.88%, (Call 12/15/26)(b)(c)(h) |
EUR | 200 | 202,069 | |||||||||
3.38%, (Call 06/15/30)(b)(c)(h) |
EUR | 2,400 | 2,301,891 | |||||||||
4.25%, 01/25/32 (Call 10/25/31)(c) |
EUR | 1,000 | 1,121,043 | |||||||||
5.38%,
01/29/49 (Call |
EUR | 100 | 107,746 | |||||||||
5.88%,
07/22/49 (Call |
GBP | 300 | 354,679 | |||||||||
6.00%, (Call 01/29/26)(b)(c)(h) |
GBP | 2,200 | 2,718,967 | |||||||||
Elia Transmission Belgium SA |
||||||||||||
3.25%, 04/04/28(c) |
EUR | 200 | 216,516 | |||||||||
3.75%, 01/16/36(c) |
EUR | 700 | 765,692 | |||||||||
EnBW Energie Baden-Wuerttemberg AG, 5.25%, 01/23/84(b)(c) |
EUR | 700 | 768,322 | |||||||||
EnBW International Finance BV |
||||||||||||
3.85%, 05/23/30(c) |
EUR | 970 | 1,078,235 | |||||||||
4.30%, 05/23/34(c) |
EUR | 500 | 569,421 | |||||||||
Enel Finance International NV |
||||||||||||
0.38%, 05/28/29 (Call 02/27/29)(c) |
EUR | 2,000 | 1,858,147 | |||||||||
3.38%, 07/23/28(c) |
EUR | 600 | 652,322 | |||||||||
Energias De Portugal SA, 1.88%, 03/14/82 (Call 06/14/29)(b)(c) |
|
EUR |
|
|
1,400 |
|
|
1,278,505 |
| |||
Engie SA |
||||||||||||
0.38%, 10/26/29 (Call 07/26/29)(c) |
EUR | 700 | 644,646 | |||||||||
3.50%, 09/27/29(c) |
EUR | 700 | 764,495 |
S C H E D U L E O F I N V E S T M E N T S |
33 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Electric (continued) | ||||||||||||
3.88%, 01/06/31(c) |
EUR | 200 | $ | 221,868 | ||||||||
4.50%, 09/06/42(c) |
EUR | 1,000 | 1,145,836 | |||||||||
Eurogrid GmbH |
||||||||||||
3.72%, 04/27/30(c) |
EUR | 1,800 | 1,980,007 | |||||||||
3.92%, 02/01/34(c) |
EUR | 2,400 | 2,651,753 | |||||||||
Eversource Energy |
||||||||||||
4.60%, 07/01/27 (Call 06/01/27) |
USD | 84 | 83,133 | |||||||||
5.45%, 03/01/28 (Call 02/01/28) |
USD | 80 | 81,448 | |||||||||
FirstEnergy Corp. |
||||||||||||
2.65%, 03/01/30 (Call 12/01/29) |
USD | 265 | 230,253 | |||||||||
Series B, 2.25%, 09/01/30 (Call 06/01/30) |
USD | 100 | 83,511 | |||||||||
Series B, 4.15%, 07/15/27 (Call 04/15/27) |
USD | 872 | 837,352 | |||||||||
Iren SpA, 3.88%, 07/22/32(c) |
EUR | 1,370 | 1,500,532 | |||||||||
National Grid PLC, 0.55%, 09/18/29 (Call 06/18/29)(c) |
EUR | 2,000 | 1,842,905 | |||||||||
Naturgy
Finance BV, 2.37%, (Call |
EUR | 1,400 | 1,402,487 | |||||||||
NRG Energy Inc. |
||||||||||||
3.38%, 02/15/29 (Call 02/15/24)(a) |
USD | 807 | 711,891 | |||||||||
3.63%, 02/15/31 (Call 02/15/26)(a) |
USD | 718 | 615,859 | |||||||||
3.88%, 02/15/32 (Call 02/15/27)(a) |
USD | 200 | 171,512 | |||||||||
5.25%, 06/15/29 (Call 06/15/24)(a) |
USD | 100 | 95,886 | |||||||||
5.75%, 01/15/28 (Call 01/15/25) |
USD | 104 | 102,892 | |||||||||
Ohio Power Co. |
||||||||||||
Series P, 2.60%, 04/01/30 (Call 01/01/30) |
USD | 185 | 162,154 | |||||||||
Series Q, 1.63%, 01/15/31 (Call 10/15/30) |
USD | 898 | 729,171 | |||||||||
Oncor Electric Delivery Co. LLC |
||||||||||||
2.75%, 05/15/30 (Call 02/15/30) |
USD | 377 | 337,529 | |||||||||
5.65%, 11/15/33 (Call 08/15/33) |
USD | 167 | 176,926 | |||||||||
5.75%, 03/15/29 (Call 12/15/28) |
USD | 429 | 451,743 | |||||||||
Origin Energy Finance Ltd., 1.00%, 09/17/29 (Call 06/17/29)(c) |
EUR | 100 | 93,992 | |||||||||
Pacific Gas and Electric Co. |
||||||||||||
2.50%, 02/01/31 (Call 11/01/30) |
USD | 1,222 | 1,014,250 | |||||||||
3.25%, 06/01/31 (Call 03/01/31) |
USD | 320 | 277,914 | |||||||||
PECO Energy Co., 4.90%, 06/15/33 (Call 03/15/33) |
USD | 606 | 611,422 | |||||||||
PG&E Corp. |
||||||||||||
5.00%, 07/01/28 (Call 07/01/24)(g) |
USD | 704 | 680,285 | |||||||||
5.25%, 07/01/30 (Call 06/15/25) |
USD | 400 | 381,956 | |||||||||
RTE Reseau de Transport d’Electricite SADIR, 3.50%, 12/07/31(c) |
EUR | 1,700 | 1,878,365 | |||||||||
Southern California Edison Co., 2.75%, 02/01/32 (Call 11/01/31) |
USD | 266 | 228,542 | |||||||||
Southern Co. (The), 1.88%, 09/15/81 (Call 06/15/27)(b) |
EUR | 439 | 413,108 | |||||||||
Terna - Rete Elettrica Nazionale, 3.50%, 01/17/31(c) |
EUR | 750 | 816,267 | |||||||||
Vistra Operations Co. LLC |
||||||||||||
4.38%, 05/01/29 (Call 05/01/24)(a) |
USD | 117 | 107,430 | |||||||||
5.00%, 07/31/27 (Call 07/31/24)(a) |
USD | 117 | 113,349 | |||||||||
5.50%, 09/01/26 (Call 01/09/24)(a) |
USD | 300 | 297,254 | |||||||||
5.63%, 02/15/27 (Call 02/15/24)(a) |
USD | 266 | 262,026 | |||||||||
7.75%, 10/15/31 (Call 10/15/26)(a) |
USD | 1,846 | 1,917,616 | |||||||||
|
|
|||||||||||
56,921,933 | ||||||||||||
Electrical Components & Equipment — 0.1% | ||||||||||||
Belden Inc. |
||||||||||||
3.38%, 07/15/27 (Call 01/29/24)(c) |
EUR | 100 | 104,349 | |||||||||
3.38%, 07/15/31 (Call 07/15/26)(c) |
EUR | 538 | 524,696 | |||||||||
Energizer Holdings Inc. |
||||||||||||
4.38%, 03/31/29 (Call 09/30/24)(a) |
USD | 1,004 | 908,831 |
Security | Par (000) |
Value | ||||||||||
Electrical Components & Equipment (continued) | ||||||||||||
4.75%, 06/15/28 (Call 07/01/24)(a) |
USD | 100 | $ | 93,050 | ||||||||
RTE Reseau de Transport d’Electricite SADIR, 3.75%, 07/04/35(c) |
EUR | 100 | 111,500 | |||||||||
|
|
|||||||||||
1,742,426 | ||||||||||||
Electronics — 0.3% | ||||||||||||
Honeywell International Inc., 3.75%, 05/17/32 (Call 02/17/32) |
EUR | 2,362 | 2,633,557 | |||||||||
Sensata Technologies BV |
||||||||||||
4.00%, 04/15/29 (Call 03/18/24)(a) |
USD | 416 | 380,874 | |||||||||
5.00%, 10/01/25(a) |
USD | 500 | 497,737 | |||||||||
Sensata Technologies Inc., 4.38%, 02/15/30 (Call 11/15/29)(a) |
USD | 400 | 368,578 | |||||||||
|
|
|||||||||||
3,880,746 | ||||||||||||
Engineering & Construction — 0.9% | ||||||||||||
ABB Finance BV, 3.38%, 01/15/34(c) |
EUR | 916 | 994,237 | |||||||||
Abertis Infraestructuras Finance BV |
||||||||||||
2.63%, (Call 01/26/27)(b)(c)(h) |
EUR | 1,400 | 1,401,549 | |||||||||
3.25%, (Call 11/24/25)(b)(c)(h) |
EUR | 900 | 938,588 | |||||||||
Azzurra Aeroporti SpA |
||||||||||||
2.13%, 05/30/24 (Call 02/29/24)(c) |
EUR | 100 | 107,097 | |||||||||
2.63%, 05/30/27 (Call 02/28/27)(c) |
EUR | 1,284 | 1,301,331 | |||||||||
Cellnex Finance Co. SA |
||||||||||||
1.25%, 01/15/29 (Call 10/15/28)(c) |
EUR | 100 | 97,118 | |||||||||
2.00%, 09/15/32 (Call 06/15/32)(c) |
EUR | 1,400 | 1,312,538 | |||||||||
2.00%, 02/15/33 (Call 11/15/32)(c) |
EUR | 2,300 | 2,136,442 | |||||||||
Cellnex Telecom SA, 1.75%, 10/23/30 (Call 07/23/30)(c) |
EUR | 100 | 95,613 | |||||||||
Gatwick Airport Finance PLC, 4.38%, 04/07/26 (Call 01/08/24)(c) |
GBP | 100 | 121,851 | |||||||||
Heathrow Finance PLC |
||||||||||||
3.88%, 03/01/27(c)(e) |
GBP | 500 | 596,579 | |||||||||
4.13%, 09/01/29(c)(e) |
GBP | 1,180 | 1,363,779 | |||||||||
5.75%, 03/03/25(c) |
GBP | 100 | 126,416 | |||||||||
Infrastrutture Wireless Italiane SpA |
||||||||||||
1.63%, 10/21/28 (Call 07/21/28)(c) |
EUR | 100 | 99,847 | |||||||||
1.75%, 04/19/31 (Call 01/19/31)(c) |
EUR | 1,100 | 1,057,972 | |||||||||
|
|
|||||||||||
11,750,957 | ||||||||||||
Entertainment — 1.7% | ||||||||||||
Allwyn Entertainment Financing U.K. PLC, 7.25%, 04/30/30 (Call 04/30/26)(c) |
EUR | 1,459 | 1,649,666 | |||||||||
Banijay Entertainment SASU, 7.00%, 05/01/29 (Call 11/01/25)(c) |
EUR | 1,124 | 1,277,593 | |||||||||
Caesars Entertainment Inc. |
||||||||||||
4.63%, 10/15/29 (Call 10/15/24)(a)(g) |
USD | 900 | 822,706 | |||||||||
6.25%, 07/01/25 (Call 07/01/24)(a) |
USD | 345 | 346,178 | |||||||||
7.00%, 02/15/30 (Call 02/15/26)(a) |
USD | 817 | 839,589 | |||||||||
8.13%, 07/01/27 (Call 07/01/24)(a)(g) |
USD | 1,036 | 1,063,191 | |||||||||
Cedar Fair LP/Canada’s Wonderland |
||||||||||||
Co./Magnum Management Corp./Millennium |
||||||||||||
Op, 6.50%, 10/01/28 (Call 10/01/24)(g) |
USD | 97 | 96,518 | |||||||||
Churchill Downs Inc. |
||||||||||||
4.75%, 01/15/28 (Call 01/15/25)(a) |
USD | 300 | 285,731 | |||||||||
5.50%, 04/01/27 (Call 04/01/24)(a) |
USD | 200 | 197,581 | |||||||||
5.75%, 04/01/30 (Call 04/01/25)(a) |
USD | 131 | 126,733 | |||||||||
6.75%, 05/01/31(a) |
USD | 917 | 927,431 | |||||||||
Cirsa Finance International Sarl, 10.38%, 11/30/27 (Call 11/09/24)(c) |
EUR | 300 | 348,526 |
34 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||||||
Entertainment (continued) | ||||||||||||
Cirsa Finance International SARL |
||||||||||||
6.50%, 03/15/29(c) |
EUR | 419 | $ | 452,813 | ||||||||
8.41%, 07/31/28, (3-mo. EURIBOR + 4.500%)(b)(c) |
EUR | 216 | 236,349 | |||||||||
CPUK Finance Ltd. |
||||||||||||
4.88%, 02/28/47 (Call 01/29/24)(c) |
GBP | 100 | 123,171 | |||||||||
6.50%, 08/28/26 (Call 01/29/24)(c) |
GBP | 700 | 866,041 | |||||||||
Inter Media & Communication SpA, 6.75%, 02/09/27 (Call 02/09/24)(c) |
EUR | 1,597 | 1,667,630 | |||||||||
International Game Technology PLC |
||||||||||||
4.13%, 04/15/26 (Call 04/15/24)(a) |
USD | 700 | 677,957 | |||||||||
5.25%, 01/15/29 (Call 01/15/25)(a) |
USD | 225 | 219,579 | |||||||||
6.25%, 01/15/27 (Call 07/15/26)(a) |
USD | 700 | 704,138 | |||||||||
Light & Wonder International Inc. |
||||||||||||
7.00%, 05/15/28 (Call 05/15/24)(a) |
USD | 615 | 614,274 | |||||||||
7.25%, 11/15/29 (Call 11/15/24)(a) |
USD | 100 | 102,689 | |||||||||
7.50%, 09/01/31 (Call 09/01/26)(a)(g) |
USD | 401 | 417,261 | |||||||||
Live Nation Entertainment Inc. |
||||||||||||
3.75%, 01/15/28 (Call 01/29/24)(a) |
USD | 331 | 305,761 | |||||||||
4.75%, 10/15/27 (Call 10/15/24)(a)(g) |
USD | 497 | 473,427 | |||||||||
6.50%, 05/15/27 (Call 05/15/24)(a) |
USD | 501 | 506,145 | |||||||||
Lottomatica SpA, 9.75%, 09/30/27 (Call 09/30/24)(c) |
EUR | 100 | 116,310 | |||||||||
Lottomatica SpA/Roma |
||||||||||||
7.93%, 12/15/30 (Call 12/15/24), (3-mo. EURIBOR + 4.000%)(b)(c) |
EUR | 542 | 593,501 | |||||||||
8.10%, 06/01/28 (Call 06/01/24), (3-mo. EURIBOR + 4.125%)(b)(c) |
EUR | 100 | 108,978 | |||||||||
Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, 05/01/29 (Call 05/01/24)(a) |
USD | 521 | 480,649 | |||||||||
Motion Finco Sarl, 7.38%, 06/15/30 (Call 06/15/26)(c) |
EUR | 838 | 934,933 | |||||||||
Pinewood Finance Co. Ltd. |
||||||||||||
3.25%, 09/30/25 (Call 01/29/24)(c) |
GBP | 100 | 123,592 | |||||||||
3.63%, 11/15/27 (Call 01/29/24)(c) |
GBP | 247 | 288,554 | |||||||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp. |
||||||||||||
5.63%, 09/01/29 (Call 09/01/24)(a) |
USD | 300 | 224,976 | |||||||||
5.88%, 09/01/31 (Call 09/01/26)(a) |
USD | 1,989 | 1,444,849 | |||||||||
SeaWorld
Parks & Entertainment Inc., 5.25%, |
USD | 429 | 399,536 | |||||||||
Six Flags Entertainment Corp. |
||||||||||||
5.50%, 04/15/27 (Call 04/15/24)(a) |
USD | 197 | 195,997 | |||||||||
7.25%, 05/15/31 (Call 05/03/26)(a)(g) |
USD | 800 | 816,000 | |||||||||
WMG Acquisition Corp. |
||||||||||||
3.00%, 02/15/31 (Call 02/15/26)(a) |
USD | 373 | 316,118 | |||||||||
3.88%, 07/15/30 (Call 07/15/25)(a) |
USD | 619 | 551,684 | |||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. |
||||||||||||
5.13%, 10/01/29 (Call 07/01/29)(a) |
USD | 100 | 94,471 | |||||||||
7.13%, 02/15/31 (Call 11/15/30)(a)(g) |
USD | 803 | 828,077 | |||||||||
|
|
|||||||||||
22,866,903 | ||||||||||||
Environmental Control — 0.4% | ||||||||||||
Clean Harbors Inc. |
||||||||||||
4.88%, 07/15/27 (Call 07/15/24)(a) |
USD | 600 | 580,583 | |||||||||
6.38%, 02/01/31 (Call 02/01/26)(a) |
USD | 200 | 202,612 | |||||||||
Covanta Holding Corp., 4.88%, 12/01/29 (Call 12/01/24)(a) |
USD | 1,100 | 950,060 | |||||||||
GFL Environmental Inc. |
||||||||||||
3.50%, 09/01/28 (Call 03/01/28)(a) |
USD | 100 | 90,520 |
Security |
Par (000) |
Value | ||||||||||
Environmental Control (continued) | ||||||||||||
3.75%, 08/01/25 (Call 08/01/24)(a)(g) |
USD | 132 | $ | 128,384 | ||||||||
4.00%, 08/01/28 (Call 08/01/24)(a) |
USD | 317 | 290,772 | |||||||||
4.25%, 06/01/25 (Call 06/01/24)(a) |
USD | 400 | 392,980 | |||||||||
4.38%, 08/15/29 (Call 08/15/24)(a) |
USD | 200 | 183,425 | |||||||||
4.75%, 06/15/29 (Call 06/15/24)(a) |
USD | 200 | 187,749 | |||||||||
5.13%, 12/15/26 (Call 12/15/24)(a) |
USD | 200 | 195,266 | |||||||||
6.75%, 01/15/31 (Call 01/15/27)(a) |
USD | 700 | 715,945 | |||||||||
Paprec Holding SA |
||||||||||||
3.50%, 07/01/28 (Call 07/01/24)(c) |
EUR | 300 | 308,000 | |||||||||
7.25%, 11/17/29 (Call 11/17/25)(c) |
EUR | 700 | 808,355 | |||||||||
Republic Services Inc. |
||||||||||||
1.45%, 02/15/31 (Call 11/15/30) |
USD | 221 | 178,067 | |||||||||
1.75%, 02/15/32 (Call 11/15/31) |
USD | 175 | 140,506 | |||||||||
3.95%, 05/15/28 (Call 02/15/28) |
USD | 150 | 146,884 | |||||||||
4.88%, 04/01/29 (Call 03/01/29) |
USD | 56 | 56,704 | |||||||||
|
|
|||||||||||
5,556,812 | ||||||||||||
Food — 1.6% | ||||||||||||
Albertsons Companies Inc./Safeway Inc./New Albertsons LP/Albertsons LLC |
||||||||||||
3.25%, 03/15/26 (Call 09/15/24)(a) |
USD | 97 | 92,139 | |||||||||
3.50%, 03/15/29 (Call 09/15/24)(a) |
USD | 400 | 361,402 | |||||||||
4.63%, 01/15/27 (Call 01/15/25)(a) |
USD | 103 | 99,916 | |||||||||
4.88%, 02/15/30 (Call 02/15/25)(a)(g) |
USD | 100 | 95,574 | |||||||||
5.88%, 02/15/28 (Call 08/15/24)(a) |
USD | 300 | 299,633 | |||||||||
6.50%, 02/15/28 (Call 02/15/25)(a)(g) |
USD | 600 | 606,513 | |||||||||
7.50%, 03/15/26 (Call 03/15/24)(a) |
USD | 800 | 815,142 | |||||||||
Bellis Acquisition Co. PLC |
||||||||||||
3.25%, 02/16/26 (Call 01/29/24)(c) |
GBP | 400 | 479,039 | |||||||||
4.50%, 02/16/26 (Call 02/24/24)(c) |
GBP | 3,600 | 4,355,628 | |||||||||
Burger King France SAS, 8.65%, 11/01/26 (Call 01/08/24)(b)(c) |
EUR | 100 | 108,748 | |||||||||
Food Service Project SA, 5.50%, 01/21/27 (Call 01/29/24)(c) |
EUR | 900 | 975,957 | |||||||||
General Mills Inc. |
||||||||||||
2.25%, 10/14/31 (Call 07/14/31) |
USD | 1,062 | 884,005 | |||||||||
4.95%, 03/29/33 (Call 12/29/32)(g) |
USD | 253 | 253,251 | |||||||||
Lamb Weston Holdings Inc. |
||||||||||||
4.13%, 01/31/30 (Call 01/31/25)(a) |
USD | 410 | 374,135 | |||||||||
4.38%, 01/31/32 (Call 01/31/27)(a) |
USD | 200 | 179,484 | |||||||||
4.88%, 05/15/28 (Call 11/15/27)(a) |
USD | 500 | 486,598 | |||||||||
Lion/Polaris Lux 4 SA, 7.93%, 07/01/26 (Call 01/29/24), (3-mo. EURIBOR + 4.000%)(b)(c) |
EUR | 500 | 540,824 | |||||||||
Market Bidco Finco PLC |
||||||||||||
4.75%, 11/04/27 (Call 11/04/24)(c) |
EUR | 300 | 305,973 | |||||||||
5.50%, 11/04/27 (Call 11/04/24)(c) |
GBP | 800 | 930,198 | |||||||||
Nestle Finance International Ltd. |
||||||||||||
1.25%, 11/02/29 (Call 08/02/29)(c) |
EUR | 460 | 456,472 | |||||||||
3.25%, 01/23/37(c) |
EUR | 1,115 | 1,203,356 | |||||||||
3.38%, 11/15/34(c) |
EUR | 200 | 223,062 | |||||||||
Performance Food Group Inc. |
||||||||||||
4.25%, 08/01/29 (Call 08/01/24)(a) |
USD | 520 | 476,494 | |||||||||
5.50%, 10/15/27 (Call 10/15/24)(a) |
USD | 400 | 390,120 | |||||||||
Picard Groupe SAS, 3.88%, 07/01/26 (Call 02/12/24)(c) |
EUR | 400 | 418,231 | |||||||||
Pilgrim’s Pride Corp. |
||||||||||||
3.50%, 03/01/32 (Call 09/01/26) |
USD | 160 | 135,010 | |||||||||
4.25%, 04/15/31 (Call 04/15/26) |
USD | 1,015 | 914,027 | |||||||||
6.25%, 07/01/33 (Call 04/01/33) |
USD | 308 | 314,416 | |||||||||
6.88%, 05/15/34 (Call 02/15/34) |
USD | 800 | 852,627 |
S C H E D U L E O F I N V E S T M E N T S |
35 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||||||
Food (continued) | ||||||||||||
Post Holdings Inc. |
||||||||||||
4.50%, 09/15/31 (Call 09/15/26)(a) |
USD | 1,105 | $ | 992,562 | ||||||||
4.63%, 04/15/30 (Call 04/15/25)(a) |
USD | 252 | 231,751 | |||||||||
5.50%, 12/15/29 (Call 12/15/24)(a) |
USD | 97 | 93,761 | |||||||||
5.63%, 01/15/28 (Call 12/01/24)(a) |
USD | 500 | 492,051 | |||||||||
5.75%, 03/01/27 (Call 03/01/24)(a) |
USD | 415 | 412,990 | |||||||||
Premier Foods Finance PLC, 3.50%, 10/15/26 (Call 01/29/24)(c) |
GBP | 757 | 909,545 | |||||||||
U.S. Foods Inc. |
||||||||||||
4.63%, 06/01/30 (Call 06/01/25)(a) |
USD | 100 | 93,208 | |||||||||
4.75%, 02/15/29 (Call 02/15/24)(a) |
USD | 100 | 94,877 | |||||||||
7.25%, 01/15/32 (Call 09/15/26)(a) |
USD | 1,000 | 1,047,500 | |||||||||
|
|
|||||||||||
21,996,219 | ||||||||||||
Food Service — 0.1% | ||||||||||||
Aramark Services Inc., 5.00%, 02/01/28 (Call 02/01/24)(a) |
USD | 868 | 838,774 | |||||||||
Elior Group SA, 3.75%, 07/15/26 (Call 01/29/24)(c) |
EUR | 962 | 970,976 | |||||||||
|
|
|||||||||||
1,809,750 | ||||||||||||
Forest Products & Paper — 0.2% | ||||||||||||
Ahlstrom Holding 3 OY |
||||||||||||
3.63%, 02/04/28 (Call 02/04/24)(c) |
EUR | 300 | 299,830 | |||||||||
4.88%, 02/04/28 (Call 02/04/24)(a) |
USD | 1,411 | 1,265,139 | |||||||||
Mercer International Inc., 5.13%, 02/01/29 (Call 02/01/24)(g) |
USD | 1,460 | 1,253,442 | |||||||||
|
|
|||||||||||
2,818,411 | ||||||||||||
Gas — 0.4% | ||||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. |
||||||||||||
5.50%, 05/20/25 (Call 02/20/25) |
USD | 100 | 98,223 | |||||||||
5.75%, 05/20/27 (Call 02/20/27) |
USD | 131 | 125,308 | |||||||||
9.38%, 06/01/28 (Call 06/01/25)(a) |
USD | 1,300 | 1,336,543 | |||||||||
FLUVIUS System Operator CVBA, 3.88%, 03/18/31(c) |
EUR | 400 | 444,963 | |||||||||
National Grid North America Inc., 4.67%, 09/12/33 (Call 06/12/33)(c) |
EUR | 1,750 | 2,002,032 | |||||||||
NiSource Inc., 5.40%, 06/30/33 (Call 03/30/33) |
USD | 336 | 344,451 | |||||||||
UGI International LLC, 2.50%, 12/01/29 (Call 12/01/24)(c) |
EUR | 1,100 | 1,049,197 | |||||||||
|
|
|||||||||||
5,400,717 | ||||||||||||
Hand & Machine Tools — 0.0% | ||||||||||||
IMA Industria Macchine Automatiche SpA, 3.75%, 01/15/28 (Call 01/08/24)(c) |
EUR | 200 | 207,672 | |||||||||
|
|
|||||||||||
Health Care - Products — 0.8% | ||||||||||||
Avantor Funding Inc. |
||||||||||||
3.88%, 11/01/29 (Call 11/01/24)(a)(g) |
USD | 541 | 491,061 | |||||||||
4.63%, 07/15/28 (Call 07/15/24)(a) |
USD | 1,177 | 1,120,552 | |||||||||
Bausch & Lomb Escrow Corp., 8.38%, 10/01/28 (Call 10/01/25)(a)(g) |
USD | 1,328 | 1,377,893 | |||||||||
Becton Dickinson Euro Finance Sarl, 3.55%, 09/13/29 (Call 06/13/29) |
EUR | 400 | 438,377 | |||||||||
DH Europe Finance II Sarl, 0.75%, 09/18/31 |
EUR | 200 | 181,556 | |||||||||
HCA Inc., 3.63%, 03/15/32 (Call 12/15/31) |
USD | 864 | 770,177 | |||||||||
Hologic Inc. |
||||||||||||
3.25%, 02/15/29 (Call 09/28/24)(a) |
USD | 1,100 | 989,106 | |||||||||
4.63%, 02/01/28 (Call 02/01/24)(a) |
USD | 229 | 220,984 | |||||||||
Medline Borrower LP |
||||||||||||
3.88%, 04/01/29 (Call 10/01/24)(a) |
USD | 2,225 | 2,014,523 | |||||||||
5.25%, 10/01/29 (Call 10/01/24)(a) |
USD | 1,300 | 1,212,132 |
Security |
Par (000) |
Value | ||||||||||
Health Care - Products (continued) | ||||||||||||
Sartorius Finance BV |
||||||||||||
4.38%, 09/14/29(c) |
EUR | 900 | $ | 1,009,594 | ||||||||
4.88%, 09/14/35(c) |
EUR | 500 | 579,358 | |||||||||
Thermo Fisher Scientific Finance I BV, 0.80%, 10/18/30 (Call 07/18/30) |
EUR | 640 | 596,062 | |||||||||
Thermo Fisher Scientific Inc., 5.09%, 08/10/33 (Call 05/10/33) |
USD | 55 | 56,851 | |||||||||
|
|
|||||||||||
11,058,226 | ||||||||||||
Health Care - Services — 1.6% | ||||||||||||
Catalent Pharma Solutions Inc. |
||||||||||||
2.38%, 03/01/28 (Call 01/29/24)(c) |
EUR | 1,249 | 1,197,943 | |||||||||
3.13%, 02/15/29 (Call 02/15/24)(a) |
USD | 600 | 527,553 | |||||||||
3.50%, 04/01/30 (Call 04/01/25)(a) |
USD | 200 | 175,762 | |||||||||
5.00%, 07/15/27 (Call 07/15/24)(a)(g) |
USD | 900 | 865,902 | |||||||||
Charles River Laboratories International Inc. |
||||||||||||
3.75%, 03/15/29 (Call 03/15/24)(a) |
USD | 100 | 90,947 | |||||||||
4.00%, 03/15/31 (Call 03/15/26)(a) |
USD | 500 | 444,365 | |||||||||
4.25%, 05/01/28 (Call 05/01/24)(a) |
USD | 800 | 755,752 | |||||||||
CHS/Community Health Systems Inc., 8.00%, 03/15/26 (Call 03/15/24)(a) |
USD | 166 | 163,612 | |||||||||
Elevance Health Inc. |
||||||||||||
2.25%, 05/15/30 (Call 02/15/30) |
USD | 100 | 86,326 | |||||||||
2.55%, 03/15/31 (Call 12/15/30) |
USD | 615 | 531,156 | |||||||||
2.88%, 09/15/29 (Call 06/15/29) |
USD | 25 | 22,886 | |||||||||
3.65%, 12/01/27 (Call 09/01/27) |
USD | 94 | 90,594 | |||||||||
4.10%, 03/01/28 (Call 12/01/27) |
USD | 41 | 40,257 | |||||||||
Encompass Health Corp. |
||||||||||||
4.50%, 02/01/28 (Call 02/01/24) |
USD | 803 | 767,024 | |||||||||
4.63%, 04/01/31 (Call 03/30/26) |
USD | 500 | 459,364 | |||||||||
4.75%, 02/01/30 (Call 02/01/25) |
USD | 283 | 265,416 | |||||||||
Ephios Subco 3 Sarl, 7.88%, 01/31/31 (Call 12/15/26)(c) |
EUR | 1,198 | 1,365,288 | |||||||||
Fortrea Holdings Inc., 7.50%, 07/01/30 (Call 07/01/26)(a)(g) |
USD | 1,000 | 1,016,320 | |||||||||
HCA Inc. |
||||||||||||
2.38%, 07/15/31 (Call 04/15/31) |
USD | 925 | 766,610 | |||||||||
3.50%, 09/01/30 (Call 03/01/30) |
USD | 1,841 | 1,670,452 | |||||||||
5.50%, 06/01/33 (Call 03/01/33) |
USD | 110 | 111,687 | |||||||||
IQVIA Inc. |
||||||||||||
5.00%, 10/15/26 (Call 10/15/24)(a) |
USD | 900 | 880,204 | |||||||||
5.00%, 05/15/27 (Call 05/15/24)(a) |
USD | 200 | 195,467 | |||||||||
6.50%, 05/15/30 (Call 05/15/26)(a) |
USD | 400 | 408,028 | |||||||||
Molina Healthcare Inc. |
||||||||||||
3.88%, 11/15/30 (Call 08/17/30)(a) |
USD | 312 | 273,478 | |||||||||
3.88%, 05/15/32 (Call 02/15/32)(a)(g) |
USD | 100 | 85,595 | |||||||||
4.38%, 06/15/28 (Call 01/29/24)(a) |
USD | 733 | 687,098 | |||||||||
Select Medical Corp., 6.25%, 08/15/26 (Call 08/15/24)(a) |
USD | 1,298 | 1,297,653 | |||||||||
Tenet Healthcare Corp. |
||||||||||||
4.25%, 06/01/29 (Call 06/01/24) |
USD | 200 | 185,667 | |||||||||
4.38%, 01/15/30 (Call 12/01/24) |
USD | 400 | 370,128 | |||||||||
4.63%, 06/15/28 (Call 06/15/24) |
USD | 300 | 284,497 | |||||||||
4.88%, 01/01/26 (Call 03/01/24) |
USD | 1,418 | 1,405,389 | |||||||||
6.13%, 10/01/28 (Call 10/01/24)(g) |
USD | 1,327 | 1,322,117 | |||||||||
6.13%, 06/15/30 (Call 06/15/25) |
USD | 421 | 420,843 | |||||||||
6.75%, 05/15/31 (Call 05/16/26)(a)(g) |
USD | 1,500 | 1,534,256 | |||||||||
UnitedHealth Group Inc. |
||||||||||||
2.00%, 05/15/30 |
USD | 42 | 36,084 | |||||||||
2.95%, 10/15/27 |
USD | 138 | 131,018 | |||||||||
4.20%, 05/15/32 (Call 02/15/32) |
USD | 562 | 544,254 |
36 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Health Care - Services (continued) | ||||||||||||
4.50%, 04/15/33 (Call 01/15/33) |
USD | 354 | $ | 348,618 | ||||||||
|
|
|||||||||||
21,825,610 | ||||||||||||
Holding Companies - Diversified — 0.1% | ||||||||||||
Stena International SA, 7.25%, 01/15/31 (Call 01/15/27)(a) |
USD | 1,850 | 1,851,129 | |||||||||
|
|
|||||||||||
Home Builders — 0.2% | ||||||||||||
Ashton Woods USA LLC/Ashton Woods Finance Co., 6.63%, 01/15/28 (Call 01/15/25)(a) |
USD | 600 | 591,150 | |||||||||
Brookfield Residential Properties Inc./Brookfield Residential U.S. LLC |
||||||||||||
4.88%, 02/15/30 (Call 02/15/25)(a) |
USD | 500 | 443,401 | |||||||||
6.25%, 09/15/27 (Call 09/15/24)(a) |
USD | 556 | 539,725 | |||||||||
Taylor Morrison Communities Inc. |
||||||||||||
5.13%, 08/01/30 (Call 02/01/30)(a) |
USD | 100 | 95,244 | |||||||||
5.75%, 01/15/28 (Call 10/15/27)(a) |
USD | 300 | 297,822 | |||||||||
5.88%, 06/15/27 (Call 03/15/27)(a) |
USD | 600 | 594,792 | |||||||||
|
|
|||||||||||
2,562,134 | ||||||||||||
Home Furnishings — 0.1% | ||||||||||||
Tempur Sealy International Inc. |
||||||||||||
3.88%, 10/15/31 (Call 10/15/26)(a) |
USD | 400 | 337,540 | |||||||||
4.00%, 04/15/29 (Call 04/15/24)(a) |
USD | 707 | 637,867 | |||||||||
|
|
|||||||||||
975,407 | ||||||||||||
Household Products & Wares — 0.0% | ||||||||||||
Spectrum Brands Inc., 3.88%, 03/15/31 (Call 03/15/26)(a) |
USD | 322 | 298,275 | |||||||||
|
|
|||||||||||
Housewares — 0.2% | ||||||||||||
Newell Brands Inc. |
||||||||||||
4.88%, 06/01/25 (Call 05/01/25) |
USD | 317 | 310,986 | |||||||||
5.20%, 04/01/26 (Call 01/01/26) |
USD | 1,000 | 973,469 | |||||||||
6.38%, 09/15/27 (Call 06/15/27) |
USD | 400 | 392,883 | |||||||||
6.63%, 09/15/29 (Call 06/15/29) |
USD | 200 | 193,906 | |||||||||
Robert Bosch GmbH, 2.95%, 07/11/39(c) |
EUR | 100 | 99,188 | |||||||||
Scotts Miracle-Gro Co. (The) |
||||||||||||
4.00%, 04/01/31 (Call 04/01/26) |
USD | 200 | 167,270 | |||||||||
4.38%, 02/01/32 (Call 08/01/26) |
USD | 400 | 333,030 | |||||||||
4.50%, 10/15/29 (Call 10/15/24)(g) |
USD | 500 | 442,450 | |||||||||
|
|
|||||||||||
2,913,182 | ||||||||||||
Insurance — 0.4% | ||||||||||||
Aon Corp., 2.80%, 05/15/30 (Call 02/15/30) |
USD | 177 | 157,155 | |||||||||
Aon Corp./Aon Global Holdings PLC, 2.60%, 12/02/31 (Call 09/02/31)(g) |
USD | 1,316 | 1,116,595 | |||||||||
AXA SA, 6.38%,(b)(c) |
EUR | 1,250 | 1,376,204 | |||||||||
Galaxy Bidco Ltd., 6.50%, 07/31/26 (Call 01/29/24)(c) |
GBP | 500 | 619,322 | |||||||||
Liberty Mutual Group Inc., 3.63%, 05/23/59 (Call 05/23/24)(b)(c) |
EUR | 1,744 | 1,849,403 | |||||||||
Progressive Corp. (The) |
||||||||||||
3.00%, 03/15/32 (Call 12/15/31) |
USD | 583 | 518,466 | |||||||||
4.95%, 06/15/33 (Call 03/15/33) |
USD | 150 | 153,342 | |||||||||
|
|
|||||||||||
5,790,487 | ||||||||||||
Internet — 1.0% | ||||||||||||
Booking Holdings Inc. |
||||||||||||
0.50%, 03/08/28 (Call 12/08/27) |
EUR | 100 | 97,713 | |||||||||
4.13%, 05/12/33 (Call 02/12/33) |
EUR | 300 | 342,239 | |||||||||
4.50%, 11/15/31 (Call 08/15/31) |
EUR | 100 | 116,701 |
Security | Par (000) |
Value | ||||||||||
Internet (continued) | ||||||||||||
Cerved Group SpA, 9.18%, 02/15/29 (Call 01/29/24), (3-mo. EURIBOR + 5.250%)(b)(c) |
EUR | 200 | $ | 210,036 | ||||||||
Engineering - Ingegneria Informatica - SpA, 11.13%, 05/15/28 (Call 05/15/25)(c) |
EUR | 1,425 | 1,655,498 | |||||||||
Gen Digital Inc. |
||||||||||||
6.75%, 09/30/27 (Call 09/30/24)(a) |
USD | 874 | 887,262 | |||||||||
7.13%, 09/30/30 (Call 09/30/25)(a)(g) |
USD | 318 | 329,890 | |||||||||
Go Daddy Operating Co. LLC/GD Finance Co. Inc. |
||||||||||||
3.50%, 03/01/29 (Call 03/01/24)(a) |
USD | 764 | 691,726 | |||||||||
5.25%, 12/01/27 (Call 06/01/24)(a) |
USD | 100 | 98,180 | |||||||||
iliad SA |
||||||||||||
5.38%, 06/14/27 (Call 03/14/27)(c) |
EUR | 200 | 221,497 | |||||||||
5.38%, 02/15/29 (Call 11/15/28)(c) |
EUR | 800 | 885,483 | |||||||||
5.63%, 02/15/30 (Call 11/15/29)(c) |
EUR | 3,400 | 3,807,342 | |||||||||
Match Group Holdings II LLC |
||||||||||||
3.63%, 10/01/31 (Call 10/01/26)(a)(g) |
USD | 100 | 85,500 | |||||||||
4.13%, 08/01/30 (Call 05/01/25)(a) |
USD | 311 | 279,825 | |||||||||
4.63%, 06/01/28 (Call 06/01/24)(a) |
USD | 200 | 188,264 | |||||||||
5.00%, 12/15/27 (Call 12/15/24)(a) |
USD | 300 | 290,245 | |||||||||
Netflix Inc. |
||||||||||||
4.88%, 04/15/28 |
USD | 75 | 75,521 | |||||||||
5.88%, 11/15/28 |
USD | 385 | 404,866 | |||||||||
United Group BV |
||||||||||||
3.13%, 02/15/26 (Call 01/29/24)(c) |
EUR | 622 | 646,913 | |||||||||
4.00%, 11/15/27 (Call 01/29/24)(c) |
EUR | 100 | 101,359 | |||||||||
6.75%, 02/15/31(c) |
EUR | 569 | 611,075 | |||||||||
7.25%, 02/15/26 (Call 01/29/24), (3-mo. EURIBOR + 3.250%)(b)(c) |
EUR | 200 | 216,032 | |||||||||
8.15%, 02/15/31, (3-mo. EURIBOR + 4.250%)(b)(c) |
EUR | 998 | 1,073,146 | |||||||||
|
|
|||||||||||
13,316,313 | ||||||||||||
Iron & Steel — 0.2% | ||||||||||||
Cleveland-Cliffs Inc. |
||||||||||||
5.88%, 06/01/27 (Call 06/01/24) |
USD | 520 | 516,005 | |||||||||
6.75%, 04/15/30 (Call 04/15/26)(a)(g) |
USD | 693 | 699,073 | |||||||||
Mineral Resources Ltd. |
||||||||||||
8.00%, 11/01/27 (Call 11/01/24)(a) |
USD | 400 | 409,065 | |||||||||
8.13%, 05/01/27 (Call 05/01/24)(a) |
USD | 515 | 520,150 | |||||||||
8.50%, 05/01/30 (Call 05/01/25)(a) |
USD | 100 | 102,881 | |||||||||
9.25%, 10/01/28 (Call 10/01/25)(a) |
USD | 800 | 845,000 | |||||||||
|
|
|||||||||||
3,092,174 | ||||||||||||
Leisure Time — 0.5% | ||||||||||||
Carnival Corp. |
||||||||||||
7.63%, 03/01/26 (Call 03/01/24)(c) |
EUR | 885 | 972,201 | |||||||||
9.88%, 08/01/27 (Call 02/01/24)(a) |
USD | 229 | 240,308 | |||||||||
Carnival Holdings Bermuda Ltd., 10.38%, 05/01/28 (Call 05/01/25)(a) |
USD | 1,234 | 1,349,947 | |||||||||
NCL Corp. Ltd. |
||||||||||||
5.88%, 02/15/27 (Call 02/15/24)(a) |
USD | 829 | 816,727 | |||||||||
8.13%, 01/15/29 (Call 01/15/26)(a) |
USD | 1,017 | 1,067,526 | |||||||||
8.38%, 02/01/28 (Call 02/01/25)(a) |
USD | 300 | 314,970 | |||||||||
Pinnacle Bidco PLC, 10.00%, 10/11/28 (Call 10/11/25)(c) |
GBP | 800 | 1,063,772 | |||||||||
TUI Cruises GmbH, 6.50%, 05/15/26 (Call 01/08/24)(c) |
EUR | 937 | 1,002,490 | |||||||||
|
|
|||||||||||
6,827,941 |
S C H E D U L E O F I N V E S T M E N T S |
37 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||||||
Lodging — 1.3% | ||||||||||||
Accor SA |
||||||||||||
2.63%, (Call 01/30/25)(b)(c)(h) |
EUR | 200 | $ | 211,069 | ||||||||
7.25%, (Call 01/11/29)(b)(c)(h) |
EUR | 600 | 706,778 | |||||||||
Boyd Gaming Corp. |
||||||||||||
4.75%, 12/01/27 (Call 12/01/24) |
USD | 617 | 596,022 | |||||||||
4.75%, 06/15/31 (Call 06/15/26)(a) |
USD | 400 | 367,452 | |||||||||
Hilton Domestic Operating Co. Inc. |
||||||||||||
4.00%, 05/01/31 (Call 05/01/26)(a) |
USD | 110 | 98,869 | |||||||||
5.38%, 05/01/25 (Call 05/01/24)(a) |
USD | 1,797 | 1,790,242 | |||||||||
5.75%, 05/01/28 (Call 05/01/24)(a) |
USD | 218 | 218,266 | |||||||||
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc |
||||||||||||
4.88%, 07/01/31 (Call 07/01/26)(a) |
USD | 400 | 354,720 | |||||||||
5.00%, 06/01/29 (Call 06/01/24)(a) |
USD | 900 | 831,624 | |||||||||
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., 4.88%, 04/01/27 (Call 04/01/24) |
|
USD |
|
|
200 |
|
|
196,269 |
| |||
Las Vegas Sands Corp. |
||||||||||||
2.90%, 06/25/25 (Call 05/25/25) |
USD | 1,018 | 982,971 | |||||||||
3.50%, 08/18/26 (Call 06/18/26) |
USD | 500 | 477,818 | |||||||||
Melco Resorts Finance Ltd. |
||||||||||||
4.88%, 06/06/25 (Call 01/29/24)(a) |
USD | 700 | 682,500 | |||||||||
5.38%, 12/04/29 (Call 12/04/24)(a) |
USD | 800 | 709,000 | |||||||||
5.63%, 07/17/27 (Call 07/17/24)(a) |
USD | 500 | 470,760 | |||||||||
5.75%, 07/21/28 (Call 07/21/24)(a) |
USD | 207 | 192,510 | |||||||||
MGM China Holdings Ltd. |
||||||||||||
4.75%, 02/01/27 (Call 02/01/24)(a) |
USD | 700 | 654,500 | |||||||||
5.25%, 06/18/25 (Call 01/09/24)(a) |
USD | 500 | 486,094 | |||||||||
5.88%, 05/15/26 (Call 05/15/24)(a) |
USD | 200 | 194,368 | |||||||||
MGM Resorts International |
||||||||||||
4.63%, 09/01/26 (Call 06/01/26) |
USD | 200 | 194,327 | |||||||||
4.75%, 10/15/28 (Call 07/15/28)(g) |
USD | 303 | 287,076 | |||||||||
5.50%, 04/15/27 (Call 01/15/27) |
USD | 517 | 508,594 | |||||||||
5.75%, 06/15/25 (Call 03/15/25) |
USD | 627 | 627,217 | |||||||||
Studio City Finance Ltd. |
||||||||||||
5.00%, 01/15/29 (Call 01/15/25)(a) |
USD | 700 | 595,000 | |||||||||
6.00%, 07/15/25 (Call 07/15/24)(a) |
USD | 200 | 195,748 | |||||||||
6.50%, 01/15/28 (Call 07/15/24)(a) |
USD | 900 | 832,500 | |||||||||
Travel + Leisure Co. |
||||||||||||
4.50%, 12/01/29 (Call 09/01/29)(a) |
USD | 500 | 456,197 | |||||||||
6.00%, 04/01/27 (Call 01/01/27) |
USD | 202 | 202,047 | |||||||||
6.63%, 07/31/26 (Call 04/30/26)(a) |
USD | 400 | 403,976 | |||||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. |
||||||||||||
5.25%, 05/15/27 (Call 02/15/27)(a) |
USD | 500 | 488,619 | |||||||||
5.50%, 03/01/25 (Call 12/01/24)(a) |
USD | 755 | 754,047 | |||||||||
Wynn Macau Ltd. |
||||||||||||
5.50%, 01/15/26 (Call 01/29/24)(a) |
USD | 1,100 | 1,062,875 | |||||||||
5.63%, 08/26/28 (Call 08/26/24)(a) |
USD | 1,000 | 925,500 | |||||||||
|
|
|||||||||||
17,755,555 | ||||||||||||
Machinery — 0.2% | ||||||||||||
Chart Industries Inc., 7.50%, 01/01/30(Call 01/01/26)(a) |
|
USD |
|
|
1,042 |
|
|
1,069,633 |
| |||
John Deere Cash Management SARL, 2.20%, 04/02/32(c) |
EUR | 270 | 272,867 | |||||||||
Renk AG/Frankfurt am Main, 5.75%, 07/15/25 (Call 01/08/24)(c) |
|
EUR |
|
|
200 |
|
|
215,622 |
| |||
TK Elevator Holdco GmbH, 6.63%, 07/15/28 (Call 01/29/24)(c) |
|
EUR |
|
|
1,249 |
|
|
1,294,085 |
|
Security |
Par (000) |
Value | ||||||||||
Machinery (continued) | ||||||||||||
TK Elevator Midco GmbH, 4.38%, 07/15/27 (Call 01/08/24)(c) |
|
EUR |
|
|
400 |
|
$ |
420,608 |
| |||
|
|
|||||||||||
3,272,815 | ||||||||||||
Manufacturing — 0.0% | ||||||||||||
INEOS FINANCE PLC, 6.38%, 04/15/29(c) |
EUR | 402 | 434,441 | |||||||||
|
|
|||||||||||
Media — 4.0% | ||||||||||||
Altice Financing SA |
||||||||||||
2.25%, 01/15/25 (Call 01/29/24)(c) |
EUR | 200 | 208,305 | |||||||||
4.25%, 08/15/29 (Call 08/15/24)(c) |
EUR | 300 | 284,005 | |||||||||
5.75%, 08/15/29 (Call 08/15/24)(a) |
USD | 1,975 | 1,721,166 | |||||||||
AMC Networks Inc. |
||||||||||||
4.25%, 02/15/29 (Call 02/15/24) |
USD | 1,862 | 1,432,306 | |||||||||
4.75%, 08/01/25 (Call 01/29/24) |
USD | 200 | 192,705 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
||||||||||||
4.25%, 02/01/31 (Call 07/01/25)(a) |
USD | 1,001 | 846,392 | |||||||||
4.25%, 01/15/34 (Call 01/15/28)(a)(g) |
USD | 2,600 | 2,067,266 | |||||||||
4.50%, 08/15/30 (Call 02/15/25)(a) |
USD | 1,792 | 1,558,431 | |||||||||
4.50%, 05/01/32 (Call 05/01/26) |
USD | 100 | 83,426 | |||||||||
4.50%, 06/01/33 (Call 06/01/27)(a) |
USD | 100 | 82,020 | |||||||||
4.75%, 03/01/30 (Call 09/01/24)(a) |
USD | 903 | 802,412 | |||||||||
4.75%, 02/01/32 (Call 02/01/27)(a) |
USD | 591 | 506,936 | |||||||||
5.00%, 02/01/28 (Call 08/01/24)(a)(g) |
USD | 293 | 275,372 | |||||||||
5.13%, 05/01/27 (Call 05/01/24)(a) |
USD | 1,426 | 1,375,400 | |||||||||
5.38%, 06/01/29 (Call 06/01/24)(a) |
USD | 534 | 496,505 | |||||||||
5.50%, 05/01/26 (Call 05/01/24)(a) |
USD | 224 | 221,943 | |||||||||
6.38%, 09/01/29 (Call 09/01/25)(a) |
USD | 300 | 292,099 | |||||||||
7.38%, 03/01/31 (Call 03/01/26)(a) |
USD | 1,200 | 1,212,750 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
||||||||||||
2.30%, 02/01/32 (Call 11/01/31) |
USD | 100 | 78,224 | |||||||||
4.20%, 03/15/28 (Call 12/15/27) |
USD | 3,029 | 2,911,530 | |||||||||
6.15%, 11/10/26 (Call 10/10/26) |
USD | 1,350 | 1,379,006 | |||||||||
Comcast Corp. |
||||||||||||
0.75%, 02/20/32 (Call 11/20/31) |
EUR | 300 | 271,133 | |||||||||
2.35%, 01/15/27 (Call 10/15/26) |
USD | 88 | 82,815 | |||||||||
3.30%, 02/01/27 (Call 11/01/26) |
USD | 150 | 144,935 | |||||||||
4.15%, 10/15/28 (Call 07/15/28) |
USD | 3,074 | 3,028,019 | |||||||||
5.35%, 11/15/27 (Call 10/15/27) |
USD | 100 | 102,880 | |||||||||
Directv
Financing LLC, 8.88%, 02/01/30 (Call |
|
USD |
|
|
1,900 |
|
|
1,938,106 |
| |||
Directv Financing LLC/Directv Financing Co-Obligor Inc., 5.88%, 08/15/27 (Call 08/15/24)(a) |
|
USD |
|
|
926 |
|
|
880,340 |
| |||
Gray Television Inc. |
||||||||||||
4.75%, 10/15/30 (Call 10/15/25)(a) |
USD | 1,117 | 874,090 | |||||||||
5.38%, 11/15/31 (Call 11/15/26)(a)(g) |
USD | 1,104 | 864,081 | |||||||||
7.00%, 05/15/27 (Call 05/15/24)(a)(g) |
USD | 600 | 586,500 | |||||||||
News Corp. |
||||||||||||
3.88%, 05/15/29 (Call 05/15/24)(a) |
USD | 821 | 754,704 | |||||||||
5.13%, 02/15/32 (Call 02/15/27)(a) |
USD | 204 | 191,701 | |||||||||
Nexstar Media Inc. |
||||||||||||
4.75%, 11/01/28 (Call 11/01/24)(a) |
USD | 721 | 660,406 | |||||||||
5.63%, 07/15/27 (Call 07/15/24)(a) |
USD | 917 | 893,071 | |||||||||
RCS & RDS SA |
||||||||||||
2.50%, 02/05/25 (Call 01/29/24)(c) |
EUR | 700 | 740,710 | |||||||||
3.25%, 02/05/28 (Call 01/29/24)(c) |
EUR | 1,200 | 1,173,212 | |||||||||
Sirius XM Radio Inc. |
||||||||||||
3.13%, 09/01/26 (Call 09/01/24)(a) |
USD | 518 | 483,496 |
38 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Media (continued) | ||||||||||||
3.88%, 09/01/31 (Call 09/01/26)(a) |
USD | 1,258 | $ | 1,048,793 | ||||||||
4.00%, 07/15/28 (Call 07/15/24)(a) |
USD | 2,329 | 2,114,984 | |||||||||
4.13%, 07/01/30 (Call 07/01/25)(a) |
USD | 304 | 266,000 | |||||||||
5.00%, 08/01/27 (Call 08/01/24)(a) |
USD | 100 | 96,123 | |||||||||
5.50%, 07/01/29 (Call 07/01/24)(a) |
USD | 100 | 95,000 | |||||||||
Summer BidCo BV |
||||||||||||
9.00%, 11/15/25 (Call 01/29/24), (9.75% PIK)(c)(i) |
EUR | 127 | 137,280 | |||||||||
10.00%, 02/15/29, (10.75% PIK)(c)(i) |
EUR | 423 | 461,941 | |||||||||
TEGNA Inc. |
||||||||||||
4.63%, 03/15/28 (Call 03/15/24) |
USD | 754 | 703,256 | |||||||||
4.75%, 03/15/26 (Call 03/15/24)(a) |
USD | 300 | 291,855 | |||||||||
5.00%, 09/15/29 (Call 09/15/24) |
USD | 600 | 554,148 | |||||||||
Tele Columbus AG, 3.88%, 05/02/25 (Call 01/08/24)(c) |
EUR | 1,436 | 967,678 | |||||||||
Univision Communications Inc. |
||||||||||||
4.50%, 05/01/29 (Call 05/01/24)(a) |
USD | 200 | 177,724 | |||||||||
6.63%, 06/01/27 (Call 06/01/24)(a) |
USD | 600 | 593,511 | |||||||||
7.38%, 06/30/30 (Call 06/30/25)(a) |
USD | 417 | 408,828 | |||||||||
8.00%, 08/15/28 (Call 08/15/25)(a) |
USD | 1,244 | 1,265,857 | |||||||||
UPCB Finance VII Ltd., 3.63%, 06/15/29 (Call 01/08/24)(c) |
EUR | 100 | 103,271 | |||||||||
Videotron Ltd. |
||||||||||||
3.63%, 06/15/29 (Call 06/15/24)(a) |
USD | 700 | 638,715 | |||||||||
5.13%, 04/15/27 (Call 04/15/24)(a) |
USD | 767 | 755,495 | |||||||||
Virgin Media Finance PLC, 5.00%, 07/15/30 (Call 07/15/25)(a) |
USD | 1,300 | 1,161,043 | |||||||||
Virgin Media Secured Finance PLC |
||||||||||||
4.13%, 08/15/30 (Call 08/15/25)(c) |
GBP | 2,700 | 2,911,431 | |||||||||
5.25%, 05/15/29 (Call 05/15/24)(c) |
GBP | 350 | 415,278 | |||||||||
5.50%, 05/15/29 (Call 05/15/24)(a) |
USD | 900 | 865,627 | |||||||||
Virgin Media Vendor Financing Notes III DAC, 4.88%, 07/15/28 (Call 01/29/24)(c) |
GBP | 1,000 | 1,156,411 | |||||||||
VZ Secured Financing BV |
||||||||||||
3.50%, 01/15/32 |
EUR | 300 | 292,670 | |||||||||
5.00%, 01/15/32 (Call 01/15/27)(a) |
USD | 2,100 | 1,835,801 | |||||||||
VZ Vendor Financing II BV, 2.88%, 01/15/29 (Call 01/08/24)(c) |
EUR | 1,400 | 1,316,293 | |||||||||
Ziggo BV |
||||||||||||
2.88%, 01/15/30 (Call 10/15/24)(c) |
EUR | 1,786 | 1,750,918 | |||||||||
4.88%, 01/15/30 (Call 10/15/24)(a) |
USD | 400 | 357,644 | |||||||||
|
|
|||||||||||
54,441,973 | ||||||||||||
Metal Fabricate & Hardware — 0.0% | ||||||||||||
Vallourec SACA, 8.50%, 06/30/26 (Call 01/08/24)(c) |
EUR | 100 | 108,827 | |||||||||
|
|
|||||||||||
Mining — 0.5% | ||||||||||||
FMG Resources August 2006 Pty. Ltd. |
||||||||||||
4.38%, 04/01/31 (Call 01/01/31)(a) |
USD | 604 | 543,596 | |||||||||
4.50%, 09/15/27 (Call 06/15/27)(a) |
USD | 497 | 477,817 | |||||||||
FMG Resources August Pty. Ltd. |
||||||||||||
5.88%, 04/15/30 (Call 01/15/30)(a) |
USD | 419 | 413,800 | |||||||||
6.13%, 04/15/32 (Call 01/15/32)(a) |
USD | 418 | 413,501 | |||||||||
Glencore Capital Finance DAC, 1.13%, 03/10/28(c) |
EUR | 3,000 | 2,950,999 | |||||||||
Novelis Corp. |
||||||||||||
3.25%, 11/15/26 (Call 11/15/24)(a) |
USD | 617 | 577,712 | |||||||||
3.88%, 08/15/31 (Call 08/15/26)(a) |
USD | 100 | 86,734 | |||||||||
4.75%, 01/30/30 (Call 01/30/25)(a) |
USD | 703 | 652,029 | |||||||||
|
|
|||||||||||
6,116,188 |
Security | Par (000) |
Value | ||||||||||
Office & Business Equipment — 0.1% | ||||||||||||
Xerox Holdings Corp. |
||||||||||||
5.00%, 08/15/25 (Call 07/15/25)(a) |
USD | 172 | $ | 168,009 | ||||||||
5.50%, 08/15/28 (Call 07/15/28)(a) |
USD | 1,400 | 1,275,475 | |||||||||
|
|
|||||||||||
1,443,484 | ||||||||||||
Oil & Gas — 2.3% | ||||||||||||
Apache Corp., 4.25%, 01/15/30 (Call 10/15/29) |
USD | 700 | 652,155 | |||||||||
Ascent Resources Utica Holdings LLC/ARU Finance Corp. |
||||||||||||
5.88%, 06/30/29 (Call 09/01/24)(a) |
USD | 300 | 282,582 | |||||||||
7.00%, 11/01/26 (Call 11/01/24)(a) |
USD | 100 | 99,941 | |||||||||
8.25%, 12/31/28 (Call 02/01/24)(a) |
USD | 400 | 409,152 | |||||||||
BG Energy Capital PLC, 2.25%, 11/21/29 (Call 08/21/29)(c) |
EUR | 1,249 | 1,274,309 | |||||||||
BP Capital Markets America Inc. |
||||||||||||
1.75%, 08/10/30 (Call 05/10/30) |
USD | 1,881 | 1,580,983 | |||||||||
2.72%, 01/12/32 (Call 10/12/31) |
USD | 222 | 192,023 | |||||||||
3.63%, 04/06/30 (Call 01/06/30) |
USD | 35 | 33,324 | |||||||||
4.81%, 02/13/33 (Call 11/13/32) |
USD | 100 | 99,901 | |||||||||
4.89%, 09/11/33 (Call 06/11/33) |
USD | 20 | 20,096 | |||||||||
BP Capital Markets BV, 4.32%, 05/12/35(c) |
EUR | 1,211 | 1,375,447 | |||||||||
BP Capital Markets PLC |
||||||||||||
1.10%, 11/15/34(c) |
EUR | 300 | 253,185 | |||||||||
2.82%, 04/07/32(c) |
EUR | 289 | 300,250 | |||||||||
3.25%, (Call 03/22/26)(b)(c)(h) |
EUR | 450 | 470,486 | |||||||||
Callon Petroleum Co., 8.00%, 08/01/28 (Call 08/01/24)(a) |
USD | 400 | 413,708 | |||||||||
Chesapeake Energy Corp. |
||||||||||||
5.50%, 02/01/26 (Call 02/05/24)(a) |
USD | 241 | 239,736 | |||||||||
5.88%, 02/01/29 (Call 02/05/24)(a) |
USD | 121 | 120,171 | |||||||||
6.75%, 04/15/29 (Call 04/15/24)(a) |
USD | 400 | 404,630 | |||||||||
Civitas Resources Inc., 8.38%, 07/01/28 (Call 07/01/25)(a) |
USD | 1,451 | 1,526,034 | |||||||||
CNX Resources Corp. |
||||||||||||
6.00%, 01/15/29 (Call 01/15/25)(a) |
USD | 400 | 386,498 | |||||||||
7.38%, 01/15/31 (Call 01/15/26)(a) |
USD | 200 | 203,112 | |||||||||
Comstock Resources Inc. |
||||||||||||
5.88%, 01/15/30 (Call 01/15/25)(a) |
USD | 510 | 441,943 | |||||||||
6.75%, 03/01/29 (Call 03/01/24)(a) |
USD | 1,000 | 918,249 | |||||||||
Crescent Energy Finance LLC, 9.25%, 02/15/28 (Call 02/15/25)(a) |
USD | 1,008 | 1,046,448 | |||||||||
CrownRock LP/CrownRock Finance Inc., 5.63%, 10/15/25 (Call 01/29/24)(a) |
USD | 500 | 497,545 | |||||||||
Diamondback Energy Inc., 3.50%, 12/01/29 (Call 09/01/29) |
USD | 358 | 332,589 | |||||||||
Eni SpA |
||||||||||||
1.00%, 10/11/34(c) |
EUR | 103 | 85,311 | |||||||||
3.88%, 01/15/34(c) |
EUR | 1,230 | 1,346,265 | |||||||||
4.25%, 05/19/33(c) |
EUR | 1,649 | 1,862,942 | |||||||||
Equinor
ASA, 1.38%, 05/22/32 (Call |
EUR | 200 | 189,492 | |||||||||
Hess Corp., 4.30%, 04/01/27 (Call 01/01/27) |
USD | 100 | 98,801 | |||||||||
Hilcorp Energy I LP/Hilcorp Finance Co. |
||||||||||||
5.75%, 02/01/29 (Call 02/01/24)(a) |
USD | 500 | 482,668 | |||||||||
6.00%, 02/01/31 (Call 02/01/26)(a) |
USD | 100 | 96,004 | |||||||||
6.25%, 11/01/28 (Call 11/01/24)(a) |
USD | 97 | 96,644 | |||||||||
8.38%, 11/01/33 (Call 11/01/28)(a) |
USD | 650 | 698,581 | |||||||||
Murphy Oil Corp., 5.88%, 12/01/27 (Call 12/01/24) |
USD | 253 | 250,929 | |||||||||
Occidental Petroleum Corp. |
||||||||||||
5.88%, 09/01/25 (Call 06/01/25) |
USD | 897 | 903,072 | |||||||||
6.63%, 09/01/30 (Call 03/01/30) |
USD | 115 | 122,349 |
S C H E D U L E O F I N V E S T M E N T S |
39 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Oil & Gas (continued) | ||||||||||||
Parkland Corp. |
||||||||||||
4.50%, 10/01/29 (Call 10/01/24)(a) |
USD | 97 | $ | 89,202 | ||||||||
4.63%, 05/01/30 (Call 05/01/25)(a) |
USD | 256 | 235,858 | |||||||||
5.88%, 07/15/27 (Call 07/15/24)(a) |
USD | 400 | 396,864 | |||||||||
PBF Holding Co. LLC/PBF Finance Corp. |
||||||||||||
6.00%, 02/15/28 (Call 02/15/24) |
USD | 100 | 97,737 | |||||||||
7.88%, 09/15/30 (Call 09/15/26)(a) |
USD | 600 | 621,492 | |||||||||
Permian Resources Operating LLC |
||||||||||||
5.88%, 07/01/29 (Call 07/01/24)(a) |
USD | 300 | 293,424 | |||||||||
8.00%, 04/15/27 (Call 04/15/24)(a) |
USD | 817 | 845,618 | |||||||||
Range Resources Corp. |
||||||||||||
4.88%, 05/15/25 (Call 02/15/25) |
USD | 228 | 225,150 | |||||||||
8.25%, 01/15/29 (Call 01/15/25) |
USD | 400 | 414,736 | |||||||||
Repsol International Finance BV |
||||||||||||
2.63%, 04/15/30(c) |
EUR | 300 | 316,014 | |||||||||
3.75%, (Call 03/11/26)(b)(c)(h) |
EUR | 100 | 105,525 | |||||||||
4.25%, (Call 09/11/28)(b)(c)(h) |
EUR | 730 | 764,778 | |||||||||
SM Energy Co. |
||||||||||||
6.50%, 07/15/28 (Call 07/15/24) |
USD | 200 | 200,000 | |||||||||
6.63%, 01/15/27 (Call 01/15/25) |
USD | 400 | 398,128 | |||||||||
Southwestern Energy Co. |
||||||||||||
4.75%, 02/01/32 (Call 02/01/27) |
USD | 300 | 277,871 | |||||||||
5.38%, 02/01/29 (Call 02/01/24) |
USD | 600 | 585,840 | |||||||||
5.38%, 03/15/30 (Call 03/15/25) |
USD | 417 | 402,978 | |||||||||
Sunoco LP/Sunoco Finance Corp. |
||||||||||||
4.50%, 05/15/29 (Call 05/15/24) |
USD | 593 | 552,466 | |||||||||
6.00%, 04/15/27 (Call 04/15/24) |
USD | 354 | 354,066 | |||||||||
7.00%, 09/15/28 (Call 09/15/25)(a) |
USD | 300 | 306,640 | |||||||||
Transocean Inc., 8.75%, 02/15/30 (Call 02/15/26)(a)(g) |
USD | 1,477 | 1,530,904 | |||||||||
Var Energi ASA, 7.86%, 11/15/83 (Call 11/15/28)(b)(c) |
EUR | 1,022 | 1,177,647 | |||||||||
Wintershall Dea Finance BV, 0.84%, 09/25/25 (Call 06/25/25)(c) |
EUR | 700 | 719,681 | |||||||||
|
|
|||||||||||
30,720,174 | ||||||||||||
Oil & Gas Services — 0.1% | ||||||||||||
Archrock Partners LP/Archrock Partners Finance Corp. |
||||||||||||
6.25%, 04/01/28 (Call 04/01/24)(a) |
USD | 200 | 197,764 | |||||||||
6.88%, 04/01/27 (Call 04/01/24)(a) |
USD | 500 | 501,250 | |||||||||
Halliburton Co., 2.92%, 03/01/30 (Call 12/01/29) |
USD | 210 | 190,268 | |||||||||
USA Compression Partners LP/USA Compression Finance Corp. |
||||||||||||
6.88%, 04/01/26 (Call 04/01/24) |
USD | 700 | 695,889 | |||||||||
6.88%, 09/01/27 (Call 09/01/24) |
USD | 101 | 100,929 | |||||||||
|
|
|||||||||||
1,686,100 | ||||||||||||
Packaging & Containers — 1.8% | ||||||||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC |
||||||||||||
2.00%, 09/01/28 (Call 05/15/24)(c) |
EUR | 746 | 697,123 | |||||||||
4.00%,
09/01/29 (Call |
USD | 1,394 | 1,129,797 | |||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc. |
||||||||||||
2.13%, 08/15/26 (Call 01/29/24)(c) |
EUR | 1,427 | 1,384,014 | |||||||||
4.13%, 08/15/26 (Call 08/15/24)(a) |
USD | 1,100 | 988,009 | |||||||||
4.75%, 07/15/27 (Call 01/08/24)(c) |
GBP | 300 | 281,455 | |||||||||
5.25%, 04/30/25 (Call 04/30/24)(a) |
USD | 700 | 684,281 |
Security | Par (000) |
Value | ||||||||||
Packaging & Containers (continued) | ||||||||||||
Ball Corp. |
||||||||||||
2.88%, 08/15/30 (Call 05/15/30) |
USD | 400 | $ | 340,915 | ||||||||
3.13%, 09/15/31 (Call 06/15/31)(g) |
USD | 156 | 132,090 | |||||||||
5.25%, 07/01/25 |
USD | 1,345 | 1,341,564 | |||||||||
6.00%, 06/15/29 (Call 05/15/26) |
USD | 275 | 277,410 | |||||||||
6.88%, 03/15/28 (Call 11/15/24) |
USD | 336 | 346,977 | |||||||||
Crown Americas LLC/Crown Americas Capital Corp. V, 4.25%, 09/30/26 (Call 03/31/26) |
USD | 200 | 192,764 | |||||||||
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, 02/01/26 (Call 02/01/24) |
USD | 800 | 783,342 | |||||||||
Crown European Holdings SA |
||||||||||||
4.75%, 03/15/29(c) |
EUR | 450 | 492,759 | |||||||||
5.00%, 05/15/28 (Call 04/15/28)(c) |
EUR | 200 | 222,235 | |||||||||
Fiber Bidco SpA |
||||||||||||
7.97%, 01/15/30, (3-mo. EURIBOR + 4.000%)(b)(c) |
EUR | 1,500 | 1,633,242 | |||||||||
11.00%, 10/25/27 (Call 10/25/24)(c) |
EUR | 400 | 470,105 | |||||||||
Graphic Packaging International LLC |
||||||||||||
3.50%, 03/15/28(a) |
USD | 600 | 553,913 | |||||||||
3.75%, 02/01/30 (Call 08/01/29)(a) |
USD | 142 | 126,872 | |||||||||
Kleopatra Finco Sarl, 4.25%, 03/01/26 (Call 01/29/24)(c) |
EUR | 1,700 | 1,612,134 | |||||||||
LABL Inc., 5.88%, 11/01/28 (Call 11/01/24)(a) |
USD | 1,670 | 1,495,172 | |||||||||
Mauser Packaging Solutions Holding Co., 7.88%, 08/15/26 (Call 08/15/24)(a) |
USD | 1,908 | 1,927,943 | |||||||||
OI European Group BV, 6.25%, 05/15/28 (Call 05/15/25)(c) |
EUR | 900 | 1,012,099 | |||||||||
Owens-Brockway Glass Container Inc., 7.25%, 05/15/31 (Call 05/15/26)(a)(g) |
USD | 1,100 | 1,105,577 | |||||||||
Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group Issuer Inc. |
||||||||||||
4.00%, 10/15/27 (Call 10/15/24)(a) |
USD | 751 | 700,307 | |||||||||
4.38%, 10/15/28 (Call 10/15/24)(a) |
USD | 117 | 109,161 | |||||||||
Sealed Air Corp. |
||||||||||||
4.00%, 12/01/27 (Call 09/01/27)(a) |
USD | 604 | 563,683 | |||||||||
5.50%, 09/15/25 (Call 06/15/25)(a) |
USD | 446 | 446,602 | |||||||||
Sealed Air Corp./Sealed Air Corp. US, 6.13%, 02/01/28 (Call 02/01/24)(a) |
USD | 200 | 200,709 | |||||||||
Trivium Packaging Finance BV |
||||||||||||
5.50%, 08/15/26 (Call 08/15/24)(a) |
USD | 1,000 | 976,251 | |||||||||
7.75%, 08/15/26 (Call 01/08/24)(b)(c) |
EUR | 300 | 324,475 | |||||||||
WRKCo Inc. |
||||||||||||
3.00%, 06/15/33 (Call 03/15/33) |
USD | 394 | 337,896 | |||||||||
3.90%, 06/01/28 (Call 03/01/28) |
USD | 58 | 55,741 | |||||||||
4.00%, 03/15/28 (Call 12/15/27) |
USD | 1,562 | 1,507,201 | |||||||||
4.20%, 06/01/32 (Call 03/01/32) |
USD | 220 | 210,295 | |||||||||
|
|
|||||||||||
24,664,113 | ||||||||||||
Pharmaceuticals — 1.6% | ||||||||||||
AbbVie Inc., 3.20%, 11/21/29 (Call 08/21/29) |
USD | 1,492 | 1,390,688 | |||||||||
Bayer AG |
||||||||||||
5.38%, 03/25/82 (Call 06/25/30)(b)(c) |
EUR | 1,300 | 1,324,940 | |||||||||
6.63%, 09/25/83(c) |
EUR | 200 | 218,812 | |||||||||
7.00%, 09/25/83(c) |
EUR | 400 | 441,846 | |||||||||
Series N5.5, 4.50%, 03/25/82 (Call 06/25/27)(b)(c) |
EUR | 1,600 | 1,633,880 | |||||||||
Bayer Capital Corp. BV, 1.50%, 06/26/26 (Call 03/26/26)(c) |
EUR | 600 | 618,112 | |||||||||
Cheplapharm Arzneimittel GmbH |
||||||||||||
3.50%, 02/11/27 (Call 01/29/24)(c) |
EUR | 100 | 103,277 | |||||||||
7.50%, 05/15/30 (Call 05/15/26)(c) |
EUR | 1,561 | 1,773,886 |
40 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Pharmaceuticals (continued) | ||||||||||||
CVS Health Corp., 2.13%, 09/15/31 (Call 06/15/31) |
USD | 922 | $ | 759,797 | ||||||||
Gruenenthal GmbH, 6.75%, 05/15/30 (Call 05/15/26)(c) |
EUR | 1,235 | 1,419,750 | |||||||||
Gruenenthal GMBH, 4.13%, 05/15/28 (Call 05/15/24)(c) |
EUR | 200 | 212,724 | |||||||||
Jazz Securities DAC, 4.38%, 01/15/29 (Call 07/15/24)(a) |
USD | 1,500 | 1,383,575 | |||||||||
Nidda Healthcare Holding GmbH, 7.50%, 08/21/26 (Call 04/30/24)(c) |
EUR | 100 | 111,852 | |||||||||
Organon & Co./Organon Foreign Debt Co.-Issuer BV |
||||||||||||
4.13%, 04/30/28 (Call 04/30/24)(a) |
USD | 900 | 823,455 | |||||||||
5.13%, 04/30/31 (Call 04/30/26)(a) |
USD | 1,831 | 1,573,061 | |||||||||
2.88%, 04/30/28 (Call 04/30/24)(c) |
EUR | 1,146 | 1,151,417 | |||||||||
Pfizer Investment Enterprises Pte Ltd. |
||||||||||||
4.45%, 05/19/28 (Call 04/19/28) |
USD | 90 | 89,812 | |||||||||
4.75%, 05/19/33 (Call 02/19/33) |
USD | 2,792 | 2,788,539 | |||||||||
Sanofi
SA, 1.50%, 04/01/30 (Call |
EUR | 100 | 100,313 | |||||||||
Teva Pharmaceutical Finance Netherlands II BV |
||||||||||||
1.88%, 03/31/27 (Call 12/31/26)(c) |
EUR | 274 | 270,421 | |||||||||
4.38%, 05/09/30 (Call 02/09/30) |
EUR | 700 | 709,051 | |||||||||
7.38%, 09/15/29 (Call 06/15/29) |
EUR | 1,100 | 1,286,499 | |||||||||
7.88%, 09/15/31 (Call 06/15/31) |
EUR | 1,200 | 1,461,059 | |||||||||
Wyeth LLC, 6.50%, 02/01/34 |
USD | 75 | 84,902 | |||||||||
|
|
|||||||||||
21,731,668 | ||||||||||||
Pipelines — 1.8% | ||||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp. |
||||||||||||
5.38%, 06/15/29 (Call 06/15/24)(a) |
USD | 300 | 288,028 | |||||||||
5.75%, 03/01/27 (Call 03/01/24)(a) |
USD | 97 | 96,279 | |||||||||
6.63%, 02/01/32 (Call 02/01/27)(a) |
USD | 300 | 298,164 | |||||||||
7.88%, 05/15/26 (Call 05/15/24)(a) |
USD | 500 | 511,607 | |||||||||
Buckeye Partners LP |
||||||||||||
3.95%, 12/01/26 (Call 09/01/26) |
USD | 100 | 94,875 | |||||||||
4.13%, 03/01/25 (Call 02/01/25)(a) |
USD | 438 | 427,723 | |||||||||
4.13%, 12/01/27 (Call 09/01/27) |
USD | 121 | 114,078 | |||||||||
4.50%, 03/01/28 (Call 12/01/27)(a) |
USD | 300 | 281,707 | |||||||||
CQP Holdco LP/BIP-V Chinook Holdco LLC |
||||||||||||
5.50%, 06/15/31 (Call 06/15/26)(a) |
USD | 250 | 233,237 | |||||||||
7.50%, 12/15/33 (Call 12/15/28)(a) |
USD | 650 | 666,295 | |||||||||
DT Midstream Inc. |
||||||||||||
4.13%, 06/15/29 (Call 06/15/24)(a) |
USD | 640 | 587,998 | |||||||||
4.38%, 06/15/31 (Call 06/15/26)(a) |
USD | 339 | 303,667 | |||||||||
Energy Transfer LP |
||||||||||||
5.25%, 04/15/29 (Call 01/15/29) |
USD | 250 | 252,619 | |||||||||
5.50%, 06/01/27 (Call 03/01/27) |
USD | 2,142 | 2,172,423 | |||||||||
5.63%, 05/01/27 (Call 05/01/24)(a) |
USD | 377 | 376,284 | |||||||||
5.75%, 04/01/25 (Call 01/29/24) |
USD | 300 | 299,862 | |||||||||
5.75%, 02/15/33 (Call 11/15/32) |
USD | 45 | 46,083 | |||||||||
6.00%, 02/01/29 (Call 02/01/24)(a) |
USD | 402 | 403,958 | |||||||||
6.55%, 12/01/33 (Call 09/01/33) |
USD | 50 | 53,913 | |||||||||
7.38%, 02/01/31 (Call 02/01/26)(a) |
USD | 534 | 561,309 | |||||||||
EnLink Midstream LLC |
||||||||||||
5.38%, 06/01/29 (Call 03/01/29) |
USD | 100 | 97,437 | |||||||||
5.63%, 01/15/28 (Call 07/15/27)(a) |
USD | 500 | 494,208 | |||||||||
6.50%, 09/01/30 (Call 03/01/30)(a) |
USD | 400 | 408,188 | |||||||||
EnLink Midstream Partners LP |
||||||||||||
4.15%, 06/01/25 (Call 03/01/25) |
USD | 577 | 564,935 | |||||||||
4.85%, 07/15/26 (Call 04/15/26) |
USD | 100 | 97,648 |
Security | Par (000) |
Value | ||||||||||
Pipelines (continued) | ||||||||||||
EQM Midstream Partners LP |
||||||||||||
4.50%, 01/15/29 (Call 07/15/28)(a) |
USD | 600 | $ | 564,473 | ||||||||
4.75%, 01/15/31 (Call 07/15/30)(a) |
USD | 97 | 90,425 | |||||||||
6.00%, 07/01/25 (Call 04/01/25)(a) |
USD | 600 | 598,711 | |||||||||
6.50%, 07/01/27 (Call 01/01/27)(a)(g) |
USD | 133 | 134,623 | |||||||||
7.50%, 06/01/27 (Call 06/01/24)(a) |
USD | 600 | 617,338 | |||||||||
7.50%, 06/01/30 (Call 12/01/29)(a) |
USD | 100 | 107,253 | |||||||||
Hess Midstream Operations LP |
||||||||||||
4.25%, 02/15/30 (Call 02/15/25)(a) |
USD | 100 | 91,985 | |||||||||
5.13%, 06/15/28 (Call 06/15/24)(a) |
USD | 200 | 194,015 | |||||||||
5.63%, 02/15/26 (Call 02/15/24)(a) |
USD | 1,000 | 993,700 | |||||||||
Kinetik Holdings LP, 5.88%, 06/15/30 (Call 06/15/25)(a) |
USD | 721 | 708,206 | |||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. |
||||||||||||
7.50%, 02/01/26 (Call 02/01/24)(a) |
USD | 434 | 441,727 | |||||||||
8.38%, 02/15/32 (Call 02/15/27)(a) |
USD | 800 | 805,895 | |||||||||
NuStar Logistics LP |
||||||||||||
5.63%, 04/28/27 (Call 01/28/27) |
USD | 100 | 99,162 | |||||||||
5.75%, 10/01/25 (Call 07/01/25) |
USD | 400 | 399,000 | |||||||||
6.00%, 06/01/26 (Call 03/01/26)(g) |
USD | 400 | 399,080 | |||||||||
Rockies Express Pipeline LLC |
||||||||||||
3.60%, 05/15/25 (Call 04/15/25)(a) |
USD | 709 | 688,011 | |||||||||
4.95%, 07/15/29 (Call 04/15/29)(a) |
USD | 300 | 286,811 | |||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. |
||||||||||||
5.50%, 01/15/28 (Call 01/15/25)(a) |
USD | 100 | 96,267 | |||||||||
6.00%, 03/01/27 (Call 03/01/24)(a) |
USD | 100 | 98,375 | |||||||||
6.00%, 12/31/30 (Call 12/31/25)(a) |
USD | 222 | 206,351 | |||||||||
6.00%, 09/01/31 (Call 09/01/26)(a) |
USD | 200 | 184,219 | |||||||||
7.38%, 02/15/29 (Call 02/16/26)(a) |
USD | 700 | 698,259 | |||||||||
Transcontinental Gas Pipe Line Co. LLC, 4.00%, 03/15/28 (Call 12/15/27) |
USD | 134 | 130,343 | |||||||||
Venture Global Calcasieu Pass LLC |
||||||||||||
3.88%, 11/01/33 (Call 05/01/33)(a) |
USD | 200 | 169,384 | |||||||||
6.25%, 01/15/30 (Call 10/15/29)(a) |
USD | 600 | 600,476 | |||||||||
3.88%, 08/15/29 (Call 02/15/29)(a) |
USD | 193 | 172,496 | |||||||||
4.13%, 08/15/31 (Call 02/15/31)(a) |
USD | 731 | 646,439 | |||||||||
Venture Global LNG Inc., 8.13%, 06/01/28 (Call 06/01/25)(a) |
USD | 3,322 | 3,357,508 | |||||||||
Western Midstream Operating LP, 3.10%, 02/01/25 (Call 01/01/25) |
USD | 838 | 816,580 | |||||||||
Williams Cos. Inc. (The), 2.60%, 03/15/31 (Call 12/15/30) |
USD | 319 | 272,644 | |||||||||
|
|
|||||||||||
24,402,281 | ||||||||||||
Real Estate — 0.5% | ||||||||||||
ADLER Real Estate AG, 3.00%, 04/27/26 (Call 02/27/26)(c) |
EUR | 900 | 787,749 | |||||||||
Agps Bondco PLC, 5.00%, 01/14/29 (Call 10/14/28)(c) |
EUR | 800 | 337,870 | |||||||||
Aroundtown SA |
||||||||||||
0.00%, 07/16/26 (Call 04/16/26)(c) |
EUR | 500 | 461,270 | |||||||||
0.38%, 04/15/27 (Call 01/15/27)(c) |
EUR | 900 | 792,818 | |||||||||
1.00%, 01/07/25(c) |
EUR | 100 | 103,390 | |||||||||
3.38%, (Call 09/23/24)(b)(c)(h) |
EUR | 900 | 491,373 | |||||||||
Balder Finland OYJ, 1.00%, 01/20/29 (Call 10/20/28)(c) |
EUR | 301 | 254,976 | |||||||||
Citycon Treasury BV |
||||||||||||
1.25%, 09/08/26 (Call 06/08/26)(c) |
EUR | 100 | 95,876 | |||||||||
2.38%, 01/15/27 (Call 10/15/26)(c) |
EUR | 100 | 96,452 |
S C H E D U L E O F I N V E S T M E N T S |
41 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||||||
Real Estate (continued) | ||||||||||||
DEMIRE Deutsche Mittelstand Real Estate AG, 1.88%, 10/15/24 (Call 07/15/24)(c) |
EUR | 300 | $ | 218,897 | ||||||||
Fastighets AB Balder |
||||||||||||
1.13%, 01/29/27 (Call 10/29/26)(c) |
EUR | 350 | 330,035 | |||||||||
2.87%, 06/02/81 (Call 03/02/26)(b)(c) |
EUR | 300 | 272,207 | |||||||||
Heimstaden
Bostad AB, 1.13%, 01/21/26 |
EUR | 400 | 384,738 | |||||||||
Heimstaden Bostad Treasury BV |
||||||||||||
0.63%, 07/24/25 (Call 06/24/25)(c) |
EUR | 400 | 393,332 | |||||||||
1.38%, 03/03/27 (Call 12/03/26) |
EUR | 936 | 851,838 | |||||||||
Howard Hughes Corp. (The), 5.38%, 08/01/28 (Call 08/01/24)(a) |
USD | 1,168 | 1,118,959 | |||||||||
SBB Treasury OYJ, 0.75%, 12/14/28 (Call 09/14/28)(c) |
EUR | 100 | 67,949 | |||||||||
|
|
|||||||||||
7,059,729 | ||||||||||||
Real Estate Investment Trusts — 1.6% | ||||||||||||
American Tower Corp. |
||||||||||||
0.88%, 05/21/29 (Call 02/21/29) |
EUR | 390 | 367,370 | |||||||||
0.95%, 10/05/30 (Call 07/05/30) |
EUR | 115 | 104,471 | |||||||||
1.95%, 05/22/26 (Call 02/22/26) |
EUR | 456 | 474,539 | |||||||||
3.65%, 03/15/27 (Call 02/15/27) |
USD | 901 | 869,991 | |||||||||
Crown Castle Inc. |
||||||||||||
3.65%, 09/01/27 (Call 06/01/27) |
USD | 1,687 | 1,606,143 | |||||||||
3.80%, 02/15/28 (Call 11/15/27) |
USD | 289 | 274,808 | |||||||||
Equinix Inc. |
||||||||||||
1.45%, 05/15/26 (Call 04/15/26) |
USD | 77 | 71,422 | |||||||||
1.80%, 07/15/27 (Call 05/15/27) |
USD | 1,656 | 1,502,136 | |||||||||
2.00%, 05/15/28 (Call 03/15/28) |
USD | 379 | 338,075 | |||||||||
3.90%, 04/15/32 (Call 01/15/32) |
USD | 669 | 619,107 | |||||||||
Healthpeak OP LLC |
||||||||||||
1.35%, 02/01/27 (Call 01/01/27) |
USD | 247 | 223,151 | |||||||||
2.88%, 01/15/31 (Call 10/15/30) |
USD | 661 | 573,479 | |||||||||
3.50%, 07/15/29 (Call 04/15/29)(g) |
USD | 260 | 242,347 | |||||||||
Iron Mountain Inc. |
||||||||||||
4.50%, 02/15/31 (Call 02/15/26)(a)(g) |
USD | 1,307 | 1,171,913 | |||||||||
4.88%, 09/15/27 (Call 09/15/24)(a)(g) |
USD | 100 | 96,631 | |||||||||
5.25%, 03/15/28 (Call 12/27/24)(a) |
USD | 182 | 176,505 | |||||||||
5.25%, 07/15/30 (Call 07/15/25)(a)(g) |
USD | 233 | 219,767 | |||||||||
5.63%, 07/15/32 (Call 07/15/26)(a) |
USD | 100 | 93,912 | |||||||||
7.00%, 02/15/29 (Call 08/15/25)(a) |
USD | 897 | 919,820 | |||||||||
Iron Mountain Information Management Services Inc., 5.00%, 07/15/32 (Call 07/15/27)(a) |
USD | 457 | 412,151 | |||||||||
Iron Mountain UK PLC, 3.88%, 11/15/25 (Call 01/08/24)(c) |
GBP | 300 | 368,777 | |||||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 4.88%, 05/15/29 (Call 05/15/24)(a) |
USD | 1,348 | 1,235,105 | |||||||||
RHP Hotel Properties LP/RHP Finance Corp. |
||||||||||||
4.50%, 02/15/29 (Call 02/15/24)(a) |
USD | 900 | 836,649 | |||||||||
7.25%, 07/15/28 (Call 07/15/25)(a) |
USD | 300 | 309,241 | |||||||||
SBA Communications Corp. |
||||||||||||
3.13%, 02/01/29 (Call 02/01/24)(g) |
USD | 1,107 | 986,595 | |||||||||
3.88%, 02/15/27 (Call 02/15/24) |
USD | 963 | 919,011 | |||||||||
Service Properties Trust |
||||||||||||
3.95%, 01/15/28 (Call 07/15/27)(g) |
USD | 700 | 590,478 | |||||||||
4.38%, 02/15/30 (Call 08/15/29) |
USD | 1,100 | 851,956 | |||||||||
4.75%, 10/01/26 (Call 08/01/26) |
USD | 131 | 121,535 | |||||||||
4.95%, 02/15/27 (Call 08/15/26) |
USD | 700 | 640,488 | |||||||||
4.95%, 10/01/29 (Call 07/01/29) |
USD | 100 | 83,108 | |||||||||
5.50%, 12/15/27 (Call 09/15/27) |
USD | 143 | 134,509 |
Security | Par (000) |
Value | ||||||||||
Real Estate Investment Trusts (continued) | ||||||||||||
7.50%, 09/15/25 (Call 06/15/25) |
USD | 117 | $ | 118,764 | ||||||||
Starwood Property Trust Inc. |
||||||||||||
4.38%, 01/15/27 (Call 07/15/26)(a) |
USD | 928 | 859,115 | |||||||||
4.75%, 03/15/25 (Call 09/15/24) |
USD | 300 | 294,000 | |||||||||
VICI Properties LP, 4.75%, 02/15/28 (Call 01/15/28) |
USD | 97 | 94,978 | |||||||||
VICI Properties LP/VICI Note Co. Inc. |
||||||||||||
3.75%, 02/15/27 (Call 02/15/24)(a) |
USD | 388 | 367,064 | |||||||||
3.88%, 02/15/29 (Call 11/15/28)(a) |
USD | 2,063 | 1,896,736 | |||||||||
4.13%, 08/15/30 (Call 02/15/25)(a) |
USD | 222 | 202,033 | |||||||||
5.75%, 02/01/27 (Call 11/01/26)(a) |
USD | 211 | 210,487 | |||||||||
Welltower OP LLC, 3.85%, 06/15/32 (Call 03/15/32) |
USD | 614 | 562,876 | |||||||||
|
|
|||||||||||
22,041,243 | ||||||||||||
Retail — 1.3% | ||||||||||||
1011778 BC ULC/New Red Finance Inc. |
||||||||||||
3.50%, 02/15/29 (Call 02/15/24)(a) |
USD | 400 | 366,011 | |||||||||
3.88%, 01/15/28 (Call 09/15/24)(a) |
USD | 300 | 282,326 | |||||||||
4.00%, 10/15/30 (Call 10/15/25)(a) |
USD | 800 | 715,032 | |||||||||
4.38%, 01/15/28 (Call 11/15/24)(a) |
USD | 297 | 282,485 | |||||||||
5.75%, 04/15/25 (Call 04/15/24)(a) |
USD | 761 | 759,457 | |||||||||
Asbury Automotive Group Inc. |
||||||||||||
4.50%, 03/01/28 (Call 03/01/24) |
USD | 400 | 376,061 | |||||||||
4.63%, 11/15/29 (Call 11/15/24)(a) |
USD | 100 | 92,129 | |||||||||
4.75%, 03/01/30 (Call 03/01/25) |
USD | 456 | 421,944 | |||||||||
5.00%, 02/15/32 (Call 11/15/26)(a) |
USD | 300 | 271,141 | |||||||||
Bath & Body Works Inc. |
||||||||||||
5.25%, 02/01/28 |
USD | 100 | 97,877 | |||||||||
6.63%, 10/01/30 (Call 10/01/25)(a) |
USD | 697 | 706,166 | |||||||||
7.50%, 06/15/29 (Call 06/15/24) |
USD | 341 | 352,509 | |||||||||
Constellation Automotive Financing PLC, 4.88%, 07/15/27 (Call 01/29/24)(c) |
GBP | 500 | 529,658 | |||||||||
Ferrellgas LP/Ferrellgas Finance Corp. |
||||||||||||
5.38%, 04/01/26 (Call 04/01/24)(a) |
USD | 397 | 391,129 | |||||||||
5.88%, 04/01/29 (Call 04/01/24)(a) |
USD | 400 | 391,992 | |||||||||
Goldstory SAS |
||||||||||||
6.75%, 02/01/30(c) |
EUR | 471 | 509,010 | |||||||||
7.90%, 02/01/30, (3-mo. EURIBOR + 4.000%)(b)(c) |
EUR | 356 | 384,729 | |||||||||
Kohl’s
Corp., 4.63%, 05/01/31 (Call |
USD | 1,380 | 1,104,000 | |||||||||
Lithia Motors Inc. |
||||||||||||
3.88%,
06/01/29 (Call |
USD | 723 | 648,892 | |||||||||
4.38%, 01/15/31 (Call 10/15/25)(a) |
USD | 300 | 268,997 | |||||||||
4.63%, 12/15/27 (Call 12/15/24)(a) |
USD | 106 | 101,551 | |||||||||
Lowe’s Companies Inc., 1.70%, 10/15/30 (Call 07/15/30) |
USD | 1,751 | 1,451,967 | |||||||||
Macy’s Retail Holdings LLC |
||||||||||||
5.88%,
04/01/29 (Call |
USD | 262 | 254,140 | |||||||||
5.88%, 03/15/30 (Call 03/15/25)(a) |
USD | 500 | 474,125 | |||||||||
6.13%, 03/15/32 (Call 03/15/27)(a) |
USD | 400 | 377,440 | |||||||||
McDonald’s Corp. |
||||||||||||
3.88%, 02/20/31(c) |
EUR | 300 | 335,832 | |||||||||
4.13%, 11/28/35 (Call 08/28/35)(c) |
EUR | 200 | 225,002 | |||||||||
Murphy Oil USA Inc., 3.75%, 02/15/31 (Call 02/15/26)(a) |
USD | 726 | 626,219 | |||||||||
Nordstrom Inc. |
||||||||||||
4.25%, 08/01/31 (Call 05/01/31)(g) |
USD | 928 | 770,607 | |||||||||
4.38%, 04/01/30 (Call 01/01/30) |
USD | 200 | 173,536 | |||||||||
REWE International Finance BV, 4.88%, 09/13/30(c) |
EUR | 1,000 | 1,140,387 |
42 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Retail (continued) | ||||||||||||
Stonegate Pub Co. Financing 2019 PLC |
||||||||||||
8.00%, 07/13/25 (Call 01/29/24)(c) |
GBP | 300 | $ | 366,883 | ||||||||
9.75%, 07/31/25 (Call 01/29/24)(b)(c) |
EUR | 677 | 706,758 | |||||||||
Walgreens Boots Alliance Inc., 3.45%, 06/01/26 (Call 03/01/26) |
USD | 600 | 573,870 | |||||||||
Yum! Brands Inc. |
||||||||||||
3.63%, 03/15/31 (Call 12/15/30) |
USD | 1,100 | 970,789 | |||||||||
4.63%, 01/31/32 (Call 10/01/26) |
USD | 597 | 553,784 | |||||||||
5.38%, 04/01/32 (Call 04/01/27) |
USD | 200 | 194,509 | |||||||||
|
|
|||||||||||
18,248,944 | ||||||||||||
Savings & Loans — 0.1% | ||||||||||||
Nationwide Building Society, 5.75%, (Call 06/20/27)(b)(c)(h) |
GBP | 800 | 935,817 | |||||||||
|
|
|||||||||||
Semiconductors — 0.5% | ||||||||||||
ams-OSRAM AG, 10.50%, 03/30/29(c) |
EUR | 1,670 | 1,949,151 | |||||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 (Call 10/15/26) |
USD | 145 | 141,242 | |||||||||
Broadcom Inc. |
||||||||||||
3.14%, 11/15/35 (Call 08/15/35)(a) |
USD | 359 | 295,105 | |||||||||
3.42%, 04/15/33 (Call 01/15/33)(a) |
USD | 670 | 588,378 | |||||||||
4.15%, 04/15/32 (Call 01/15/32)(a) |
USD | 507 | 478,172 | |||||||||
4.30%, 11/15/32 (Call 08/15/32)(g) |
USD | 102 | 96,817 | |||||||||
Entegris Inc. |
||||||||||||
3.63%, 05/01/29 (Call 05/01/24)(a) |
USD | 153 | 138,007 | |||||||||
4.75%, 04/15/29 (Call 01/15/29)(a) |
USD | 1,819 | 1,738,808 | |||||||||
NXP BV/NXP Funding LLC, 5.55%, 12/01/28 (Call 09/01/28) |
USD | 150 | 153,391 | |||||||||
NXP BV/NXP Funding LLC/NXP USA Inc. |
||||||||||||
2.65%, 02/15/32 (Call 11/15/31) |
USD | 1,062 | 884,933 | |||||||||
3.15%, 05/01/27 (Call 03/01/27) |
USD | 118 | 111,644 | |||||||||
5.00%, 01/15/33 (Call 10/15/32) |
USD | 354 | 346,973 | |||||||||
|
|
|||||||||||
6,922,621 | ||||||||||||
Software — 0.9% | ||||||||||||
Boxer Parent Co. Inc., 6.50%, 10/02/25 (Call 01/29/24)(c) |
EUR | 500 | 540,350 | |||||||||
Capstone Borrower Inc., 8.00%, 06/15/30 (Call 06/15/26)(a)(g) |
USD | 617 | 640,269 | |||||||||
Cedacri Mergeco SpA, 9.50%, 05/15/28 (Call 05/15/24)(b)(c) |
EUR | 504 | 544,673 | |||||||||
Central Parent Inc./CDK Global Inc., 7.25%, 06/15/29 (Call 06/15/25)(a) |
USD | 1,100 | 1,120,767 | |||||||||
Cloud Software Group Inc., 6.50%, 03/31/29 (Call 09/30/25)(a) |
USD | 3,233 | 3,018,760 | |||||||||
Fair Isaac Corp. |
||||||||||||
4.00%, 06/15/28 (Call 12/15/24)(a) |
USD | 300 | 279,377 | |||||||||
5.25%, 05/15/26 (Call 02/15/26)(a) |
USD | 554 | 547,075 | |||||||||
Fiserv Inc. |
||||||||||||
1.63%, 07/01/30 (Call 04/01/30) |
EUR | 303 | 295,444 | |||||||||
4.50%, 05/24/31 (Call 02/24/31) |
EUR | 500 | 571,567 | |||||||||
Open Text Corp., 3.88%, 02/15/28 (Call 02/15/24)(a) |
USD | 800 | 743,080 | |||||||||
Open Text Holdings Inc. |
||||||||||||
4.13%, 02/15/30 (Call 02/15/25)(a) |
USD | 288 | 260,669 | |||||||||
4.13%, 12/01/31 (Call 12/01/26)(a) |
USD | 600 | 532,843 | |||||||||
Oracle Corp. |
||||||||||||
2.30%, 03/25/28 (Call 01/25/28) |
USD | 2,528 | 2,295,153 | |||||||||
2.80%, 04/01/27 (Call 02/01/27)(g) |
USD | 126 | 118,872 | |||||||||
2.88%, 03/25/31 (Call 12/25/30) |
USD | 690 | 607,152 | |||||||||
3.25%, 11/15/27 (Call 08/15/27) |
USD | 185 | 175,697 | |||||||||
4.90%, 02/06/33 (Call 11/06/32) |
USD | 90 | 89,072 |
Security | Par (000) |
Value | ||||||||||
Software (continued) | ||||||||||||
6.15%, 11/09/29 (Call 09/09/29) |
USD | 116 | $ | 123,793 | ||||||||
|
|
|||||||||||
12,504,613 | ||||||||||||
Telecommunications — 3.9% | ||||||||||||
Altice France SA/France |
||||||||||||
4.00%, 07/15/29 (Call 04/15/24)(c) |
EUR | 900 | 720,233 | |||||||||
4.13%, 01/15/29 (Call 01/29/24)(c) |
EUR | 2,411 | 1,980,831 | |||||||||
4.25%, 10/15/29 (Call 10/15/24)(c) |
EUR | 450 | 366,989 | |||||||||
11.50%, 02/01/27(c) |
EUR | 100 | 106,044 | |||||||||
AT&T Inc. |
||||||||||||
2.35%, 09/05/29 (Call 06/04/29) |
EUR | 100 | 103,162 | |||||||||
2.90%, 12/04/26 (Call 09/04/26) |
GBP | 150 | 180,062 | |||||||||
3.55%, 12/17/32 (Call 09/17/32) |
EUR | 100 | 108,536 | |||||||||
5.50%, 03/15/27(c) |
GBP | 150 | 193,208 | |||||||||
British Telecommunications PLC |
||||||||||||
4.25%, 01/06/33(c) |
EUR | 811 | 919,323 | |||||||||
8.38%, 12/20/83(c) |
GBP | 1,500 | 2,031,641 | |||||||||
Chorus Ltd., 3.63%, 09/07/29 |
EUR | 100 | 109,062 | |||||||||
Eutelsat
SA, 1.50%, 10/13/28 (Call |
EUR | 1,700 | 1,277,883 | |||||||||
Frontier Communications Holdings LLC |
||||||||||||
5.00%, 05/01/28 (Call 05/01/24)(a) |
USD | 948 | 874,886 | |||||||||
5.88%, 10/15/27 (Call 10/15/24)(a) |
USD | 1,100 | 1,058,013 | |||||||||
8.75%, 05/15/30 (Call 05/15/25)(a) |
USD | 1,853 | 1,898,198 | |||||||||
Global Switch Finance BV, 1.38%, 10/07/30 (Call 07/07/30)(c) |
EUR | 900 | 877,332 | |||||||||
Iliad Holding SASU |
||||||||||||
5.13%, 10/15/26 (Call 01/08/24)(c) |
EUR | 200 | 215,775 | |||||||||
5.63%, 10/15/28 (Call 10/15/24)(c) |
EUR | 100 | 108,347 | |||||||||
6.50%, 10/15/26 (Call 10/15/24)(a) |
USD | 1,500 | 1,470,386 | |||||||||
7.00%, 10/15/28 (Call 10/15/24)(a) |
USD | 900 | 892,830 | |||||||||
Intelsat Jackson Holdings SA, 6.50%, 03/15/30 (Call 03/15/25)(a) |
USD | 2,345 | 2,215,077 | |||||||||
Kaixo Bondco Telecom SA, 5.13%, 09/30/29 (Call 09/30/24)(c) |
EUR | 2,250 | 2,343,718 | |||||||||
Lorca Telecom Bondco SA, 4.00%, 09/18/27 (Call 01/16/24)(c) |
EUR | 200 | 209,971 | |||||||||
Matterhorn Telecom SA, 4.00%, 11/15/27 (Call 01/29/24)(c) |
EUR | 100 | 106,449 | |||||||||
Motorola Solutions Inc. |
||||||||||||
4.60%, 02/23/28 (Call 11/23/27) |
USD | 180 | 179,156 | |||||||||
4.60%, 05/23/29 (Call 02/23/29) |
USD | 99 | 98,202 | |||||||||
5.60%, 06/01/32 (Call 03/01/32) |
USD | 1,583 | 1,627,351 | |||||||||
Rogers Communications Inc., 3.80%, 03/15/32 (Call 12/15/31) |
USD | 499 | 453,885 | |||||||||
SES SA, 2.88%, (Call 05/27/26)(b)(c)(h) |
EUR | 173 | 174,341 | |||||||||
SoftBank Group Corp. |
||||||||||||
2.88%, 01/06/27 (Call 10/06/26)(c) |
EUR | 200 | 203,172 | |||||||||
3.13%, 09/19/25 (Call 06/21/25)(c) |
EUR | 100 | 105,131 | |||||||||
3.38%, 07/06/29 (Call 04/06/29)(c) |
EUR | 1,065 | 1,051,930 | |||||||||
3.88%, 07/06/32 (Call 04/06/32)(c) |
EUR | 2,550 | 2,415,033 | |||||||||
4.00%, 09/19/29 (Call 06/21/29)(c) |
EUR | 2,100 | 2,121,955 | |||||||||
5.00%, 04/15/28 (Call 01/16/28)(c) |
EUR | 100 | 108,156 | |||||||||
Sprint Capital Corp., 6.88%, 11/15/28 |
USD | 1,350 | 1,458,575 | |||||||||
Telecom Italia Capital SA |
||||||||||||
6.00%, 09/30/34 |
USD | 2,100 | 1,968,476 | |||||||||
6.38%, 11/15/33 |
USD | 1,400 | 1,356,941 | |||||||||
7.20%, 07/18/36 |
USD | 1,500 | 1,506,045 | |||||||||
7.72%, 06/04/38 |
USD | 1,200 | 1,238,498 | |||||||||
Telecom Italia SpA |
||||||||||||
6.88%, 02/15/28 (Call 11/15/27)(c) |
EUR | 200 | 229,811 | |||||||||
7.88%, 07/31/28 (Call 05/01/28)(c) |
EUR | 213 | 253,381 |
S C H E D U L E O F I N V E S T M E N T S |
43 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Telecommunications (continued) | ||||||||||||
Telecom Italia SpA/Milano |
||||||||||||
1.63%, 01/18/29 (Call 10/18/28)(c) |
EUR | 100 | $ | 92,385 | ||||||||
2.75%, 04/15/25 (Call 01/15/25)(c) |
EUR | 100 | 105,681 | |||||||||
5.25%, 03/17/55 |
EUR | 300 | 300,773 | |||||||||
Telefonica Emisiones SA |
||||||||||||
3.70%, 01/24/32(c) |
EUR | 500 | 550,142 | |||||||||
4.06%, 01/24/36(c) |
EUR | 400 | 443,805 | |||||||||
Telefonica Europe BV |
||||||||||||
3.88%, (Call 06/22/26)(b)(c)(h) |
EUR | 500 | 527,738 | |||||||||
4.38%, (Call 12/14/24)(b)(c)(h) |
EUR | 400 | 429,730 | |||||||||
6.14%, (Call 02/03/30)(b)(c)(h) |
EUR | 1,800 | 2,003,805 | |||||||||
7.13%, (Call 08/23/28)(b)(c)(h) |
EUR | 1,100 | 1,288,342 | |||||||||
Series ., 6.75%, (Call 06/07/31)(b)(c)(h) |
EUR | 1,400 | 1,630,442 | |||||||||
T-Mobile USA Inc. |
||||||||||||
2.25%, 11/15/31 (Call 08/15/31) |
USD | 176 | 145,804 | |||||||||
2.70%, 03/15/32 (Call 12/15/31) |
USD | 155 | 131,742 | |||||||||
3.50%, 04/15/31 (Call 04/15/26) |
USD | 80 | 72,870 | |||||||||
3.75%, 04/15/27 (Call 02/15/27) |
USD | 261 | 253,039 | |||||||||
5.05%, 07/15/33 (Call 04/15/33) |
USD | 632 | 632,728 | |||||||||
5.38%, 04/15/27 (Call 04/15/24) |
USD | 168 | 168,844 | |||||||||
5.75%, 01/15/34 (Call 10/15/33) |
USD | 75 | 79,017 | |||||||||
Vmed O2 UK Financing I PLC |
||||||||||||
3.25%, 01/31/31 (Call 01/31/26)(c) |
EUR | 100 | 97,920 | |||||||||
4.00%, 01/31/29 (Call 01/31/24)(c) |
GBP | 200 | 224,956 | |||||||||
4.25%, 01/31/31 (Call 01/31/26)(a) |
USD | 300 | 262,394 | |||||||||
4.50%, 07/15/31 (Call 07/15/26)(c) |
GBP | 850 | 925,190 | |||||||||
4.75%, 07/15/31 (Call 07/15/26)(a) |
USD | 1,100 | 985,831 | |||||||||
Vodafone Group PLC |
||||||||||||
2.63%, 08/27/80 (Call 05/27/26)(b)(c) |
EUR | 300 | 308,810 | |||||||||
3.00%, 08/27/80 (Call 05/27/30)(b)(c) |
EUR | 3,390 | 3,278,898 | |||||||||
4.88%, 10/03/78 (Call 07/03/25)(b)(c) |
GBP | 530 | 654,347 | |||||||||
6.50%, 08/30/84 (Call 05/30/29)(b)(c) |
EUR | 200 | 230,863 | |||||||||
8.00%, 08/30/86 (Call 05/30/31)(b)(c) |
GBP | 350 | 477,351 | |||||||||
|
|
|||||||||||
53,221,442 | ||||||||||||
Toys, Games & Hobbies — 0.1% | ||||||||||||
Mattel
Inc., 3.38%, 04/01/26 (Call |
USD | 1,056 | 1,007,553 | |||||||||
|
|
|||||||||||
Transportation — 0.3% | ||||||||||||
AP Moller - Maersk A/S, 1.75%, 03/16/26 (Call 12/16/25)(c) |
EUR | 825 | 862,578 | |||||||||
Danaos Corp., 8.50%, 03/01/28 (Call 03/01/24)(a) |
USD | 319 | 325,418 | |||||||||
Deutsche Bahn Finance GmbH, 3.63%, 12/18/37(c) |
EUR | 174 | 194,699 | |||||||||
East Japan Railway Co. |
||||||||||||
1.10%, 09/15/39(c) |
EUR | 200 | 155,967 | |||||||||
4.39%, 09/05/43(c) |
EUR | 100 | 117,257 | |||||||||
Mobico Group PLC |
||||||||||||
4.25%, (Call 11/26/25)(b)(c)(h) |
GBP | 500 | 576,769 | |||||||||
4.88%, 09/26/31(c) |
EUR | 400 | 438,465 | |||||||||
Norfolk Southern Corp. |
||||||||||||
3.00%, 03/15/32 (Call 12/15/31) |
USD | 118 | 103,778 | |||||||||
4.45%, 03/01/33 (Call 12/01/32) |
USD | 618 | 604,871 | |||||||||
Poste
Italiane SpA, 2.63%, (Call |
EUR | 615 | 557,791 | |||||||||
Ryder System Inc. |
||||||||||||
4.30%, 06/15/27 (Call 05/15/27) |
USD | 70 | 69,003 | |||||||||
5.25%, 06/01/28 (Call 05/01/28) |
USD | 207 | 210,562 | |||||||||
|
|
|||||||||||
4,217,158 |
Security |
Par (000) |
Value | ||||||||||
Trucking & Leasing — 0.0% | ||||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., 4.40%, 07/01/27 (Call 06/01/27)(a) |
USD | 217 | $ | 212,284 | ||||||||
|
|
|||||||||||
Water — 0.1% | ||||||||||||
Thames Water Utilities Finance PLC |
||||||||||||
4.00%, 06/19/25(c) |
GBP | 300 | 365,755 | |||||||||
4.00%, 04/18/27(c) |
EUR | 300 | 313,273 | |||||||||
|
|
|||||||||||
679,028 | ||||||||||||
|
|
|||||||||||
Total Corporate Bonds & Notes — 59.5% (Cost: $802,759,754) |
|
807,947,885 | ||||||||||
|
|
|||||||||||
Foreign Government Obligations |
|
|||||||||||
Brazil — 1.9% | ||||||||||||
Brazil Letras do Tesouro Nacional, 0.00% 04/01/24(f) |
BRL | 3 | 1,857,166 | |||||||||
Brazil Notas do Tesouro Nacional, Series F, 10.00%, 01/01/25 |
BRL | 41 | 11,672,207 | |||||||||
Brazil Notas do Tesouro Nacional Serie F, Series F, 10.00%, 01/01/27 |
BRL | 47 | 11,573,606 | |||||||||
|
|
|||||||||||
25,102,979 | ||||||||||||
China — 0.1% | ||||||||||||
China Government Bond, 2.29%, 12/25/24 |
CNY | 7,800 | 1,088,430 | |||||||||
|
|
|||||||||||
Colombia — 0.5% | ||||||||||||
Colombia TES, 13.25%, 02/09/33 |
COP | 966,200 | 301,474 | |||||||||
Colombian TES |
||||||||||||
Series B, 5.75%, 11/03/27 |
COP | 22,830,400 | 5,295,028 | |||||||||
Series B, 6.00%, 04/28/28 |
COP | 3,312,400 | 765,848 | |||||||||
Series B, 7.00%, 03/26/31 |
COP | 2,771,400 | 631,425 | |||||||||
|
|
|||||||||||
6,993,775 | ||||||||||||
Czech Republic — 0.1% | ||||||||||||
Czech Republic Government Bond |
||||||||||||
2.75%, 07/23/29 |
CZK | 18,860 | 784,048 | |||||||||
5.00%, 09/30/30 |
CZK | 14,520 | 680,082 | |||||||||
|
|
|||||||||||
1,464,130 | ||||||||||||
Hungary — 0.0% | ||||||||||||
Hungary Government Bond, 6.75%, 10/22/28 |
HUF | 145,590 | 425,731 | |||||||||
|
|
|||||||||||
Indonesia — 0.2% | ||||||||||||
Indonesia Treasury Bond |
||||||||||||
5.50%, 04/15/26 |
IDR | 2,449,000 | 152,635 | |||||||||
7.00%, 05/15/27 |
IDR | 11,469,000 | 740,979 | |||||||||
7.13%, 06/15/38 |
IDR | 15,113,000 | 987,932 | |||||||||
8.25%, 05/15/36 |
IDR | 10,467,000 | 747,179 | |||||||||
8.38%, 09/15/26 |
IDR | 3,934,000 | 261,519 | |||||||||
|
|
|||||||||||
2,890,244 | ||||||||||||
Mexico — 1.9% | ||||||||||||
Mexican Bonos |
||||||||||||
7.50%, 05/26/33 |
MXN | 2,160 | 12,545,993 | |||||||||
8.50%, 03/01/29 |
MXN | 31 | 174,736 | |||||||||
Series M, 5.75%, 03/05/26 |
MXN | 1,200 | 6,436,104 | |||||||||
Series M 20, 10.00%, 12/05/24 |
MXN | 1,077 | 6,208,558 | |||||||||
Series M 30, 8.50%, 11/18/38 |
MXN | 26 | 142,485 | |||||||||
Mexico Cetes, 0.00% 10/03/24(f) |
MXN | 1,273 | 686,720 | |||||||||
|
|
|||||||||||
26,194,596 | ||||||||||||
Poland — 0.1% | ||||||||||||
Republic of Poland Government Bond, 2.75%, 10/25/29 |
PLN | 6,029 | 1,347,169 | |||||||||
|
|
44 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||||||
South Africa — 0.2% | ||||||||||||
Republic of South Africa Government Bond |
||||||||||||
7.00%, 02/28/31 |
ZAR | 10,579 | $ | 474,291 | ||||||||
8.00%, 01/31/30 |
ZAR | 9,962 | 490,506 | |||||||||
8.75%, 01/31/44 |
ZAR | 3,101 | 122,314 | |||||||||
9.00%, 01/31/40 |
ZAR | 8,859 | 368,052 | |||||||||
10.50%, 12/21/26 |
ZAR | 21,769 | 1,216,056 | |||||||||
|
|
|||||||||||
2,671,219 | ||||||||||||
|
|
|||||||||||
Total
Foreign Government Obligations — 5.0% |
|
68,178,273 | ||||||||||
|
|
|||||||||||
U.S. Government Agency Obligations | ||||||||||||
Mortgage-Backed Securities — 8.7% | ||||||||||||
Uniform Mortgage-Backed Securities |
||||||||||||
3.50%, 02/13/54 |
$ | 84,833 | 77,204,634 | |||||||||
3.50%, 03/13/54 |
33,900 | 30,867,408 | ||||||||||
4.50%, 02/13/54 |
8,937 | 8,640,260 | ||||||||||
4.50%, 03/13/54 |
2,200 | 2,127,726 | ||||||||||
|
|
|||||||||||
118,840,028 | ||||||||||||
|
|
|||||||||||
Total U.S. Government Agency Obligations — 8.7% (Cost: $118,228,341) |
118,840,028 | |||||||||||
|
|
|||||||||||
Shares | ||||||||||||
Investment Companies | ||||||||||||
Exchange Traded Funds — 7.3% | ||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF(g)(j) |
760,755 | 58,943,297 | ||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF(g)(j) |
364,024 | 40,104,524 | ||||||||||
|
|
|||||||||||
99,047,821 | ||||||||||||
|
|
|||||||||||
Total
Investment Companies — 7.3% |
|
99,047,821 | ||||||||||
|
|
|||||||||||
Total
Long-Term Investments — 104.5% |
|
1,420,596,895 | ||||||||||
|
|
|||||||||||
Short-Term Securities | ||||||||||||
Money Market Funds — 10.8% | ||||||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares, 5.51%(j)(k)(l) |
145,981,235 | 146,068,824 | ||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares, 5.32%(j)(k) |
100,000 | 100,000 | ||||||||||
|
|
|||||||||||
Total
Short-Term Securities — 10.8% |
|
146,168,824 | ||||||||||
|
|
|||||||||||
Total
Investments Before TBA Sales
Commitments — 115.3% |
|
1,566,765,719 | ||||||||||
|
|
Security |
Par (000) |
Value | ||||||
TBA Sales Commitments(m) |
||||||||
Mortgage-Backed Securities — (2.4)% | ||||||||
Uniform Mortgage-Backed Securities |
||||||||
3.50%, 02/13/54 |
(33,900 | ) | $ | (30,851,517 | ) | |||
4.50%, 02/13/54 |
(2,200 | ) | (2,126,952 | ) | ||||
|
|
|||||||
Total TBA Sales Commitments — (2.4)% (Proceeds: $(32,955,715)) |
(32,978,469 | ) | ||||||
|
|
|||||||
Total Investments, Net of TBA Sales Commitments — 112.9% (Cost: $1,524,797,212) |
1,533,787,250 | |||||||
|
|
|||||||
Liabilities in Excess of Other Assets — (12.9)% |
|
(174,848,246 | ) | |||||
|
|
|||||||
Net Assets — 100.0% |
$ | 1,358,939,004 | ||||||
|
|
(a) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(b) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(c) |
This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(d) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) |
Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(f) |
Zero-coupon bond. |
(g) |
All or a portion of this security is on loan. |
(h) |
Perpetual security with no stated maturity date. |
(i) |
Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(j) |
Affiliate of the Fund. |
(k) |
Annualized 7-day yield as of period end. |
(l) |
All or a portion of this security was purchased with the cash collateral from loaned securities. |
(m) |
Represents or includes a TBA transaction. |
S C H E D U L E O F I N V E S T M E N T S |
45 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended January 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 07/31/23 |
Purchases at Cost |
Proceeds from Sale |
Net Realized Gain (Loss) |
Change in (Depreciation) |
Value at 01/31/24 |
Shares Held at |
Income |
Capital Gain |
|||||||||||||||||||||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares |
$ | 4,834,571 | $ | 141,229,576 | (a) | $ | — | $ | 4,165 | $ | 512 | $ | 146,068,824 | 145,981,235 | $ | 478,659 | (b) | $ | 10 | |||||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares |
100,000 | 0 | (a) | — | — | — | 100,000 | 100,000 | 2,687 | — | ||||||||||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF |
5,279,262 | 74,553,677 | (21,098,127 | ) | (101,555 | ) | 310,040 | 58,943,297 | 760,755 | 173,510 | — | |||||||||||||||||||||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF |
2,618,059 | 43,246,077 | (6,557,236 | ) | (20,879 | ) | 818,503 | 40,104,524 | 364,024 | 136,335 | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (118,269 | ) | $ | 1,129,055 | $ | 245,216,645 | $ | 791,191 | $ | 10 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
(b) |
All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts |
Expiration Date |
Notional Amount (000) |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||||
Long Contracts |
||||||||||||||||
2-Year U.S. Treasury Note |
30 | 03/28/24 | $ | 6,170 | $ | 4,829 | ||||||||||
5-Year U.S. Treasury Note |
1,601 | 03/28/24 | 173,621 | 915,581 | ||||||||||||
|
|
|||||||||||||||
920,410 | ||||||||||||||||
|
|
|||||||||||||||
Short Contracts |
||||||||||||||||
30-Year Euro Buxl Bond |
(8 | ) | 03/07/24 | 1,189 | 641 | |||||||||||
Euro BOBL |
(607 | ) | 03/07/24 | 77,754 | (410,294 | ) | ||||||||||
Euro Bund |
(438 | ) | 03/07/24 | 64,304 | (635,019 | ) | ||||||||||
Euro-Schatz |
(100 | ) | 03/07/24 | 11,476 | (19,606 | ) | ||||||||||
10-Year U.S. Treasury Note |
(51 | ) | 03/19/24 | 5,731 | (52,994 | ) | ||||||||||
10-Year U.S. Ultra Bond |
(236 | ) | 03/19/24 | 27,623 | (655,157 | ) | ||||||||||
U.S. Long Bond |
(3 | ) | 03/19/24 | 368 | (8,380 | ) | ||||||||||
U.S. Ultra Bond |
(36 | ) | 03/19/24 | 4,655 | (22,927 | ) | ||||||||||
Long Gilt |
(10 | ) | 03/26/24 | 1,267 | (7,690 | ) | ||||||||||
|
|
|||||||||||||||
(1,811,426 | ) | |||||||||||||||
|
|
|||||||||||||||
$ | (891,016 | ) | ||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased |
Currency Sold |
Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
COP |
4,569,740,000 | USD | 1,159,832 | State Street Bank & Trust Company | 02/01/24 | $ | 13,709 | |||||||||||||||
COP |
1,329,403,000 | USD | 339,623 | Barclays Bank PLC | 02/05/24 | 1,577 | ||||||||||||||||
JPY |
8,999,398 | USD | 61,000 | Citibank N.A. | 02/22/24 | 337 | ||||||||||||||||
COP |
504,475,000 | USD | 128,241 | Citibank N.A. | 02/26/24 | 740 | ||||||||||||||||
COP |
1,426,985,998 | USD | 359,944 | Citibank N.A. | 03/14/24 | 3,788 | ||||||||||||||||
COP |
113,046,260 | USD | 28,278 | Goldman Sachs & Co. | 03/14/24 | 537 |
46 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF |
Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased |
Currency Sold |
Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
HUF |
87,828,174 | USD | 245,346 | Deutsche Bank Securities Inc. | 03/14/24 | $ | 932 | |||||||||||||||
IDR |
14,663,798,902 | USD | 927,038 | Bank of America N.A. | 03/14/24 | 2,024 | ||||||||||||||||
INR |
23,020,937 | USD | 276,445 | Bank of America N.A. | 03/14/24 | 211 | ||||||||||||||||
INR |
16,250,923 | USD | 194,356 | Deutsche Bank Securities Inc. | 03/14/24 | 940 | ||||||||||||||||
KRW |
535,290,517 | USD | 401,354 | Bank of America N.A. | 03/14/24 | 663 | ||||||||||||||||
MYR |
2,519,731 | USD | 533,276 | Barclays Bank PLC | 03/14/24 | 2,133 | ||||||||||||||||
NOK |
647,754 | USD | 59,077 | Goldman Sachs & Co. | 03/14/24 | 2,573 | ||||||||||||||||
PLN |
5,667,235 | USD | 1,405,603 | Deutsche Bank Securities Inc. | 03/14/24 | 9,048 | ||||||||||||||||
RON |
496,000 | USD | 107,251 | Deutsche Bank Securities Inc. | 03/14/24 | 424 | ||||||||||||||||
THB |
44,738,600 | USD | 1,257,780 | Barclays Bank PLC | 03/14/24 | 7,280 | ||||||||||||||||
USD |
177,461 | AUD | 261,000 | Goldman Sachs & Co. | 03/14/24 | 6,003 | ||||||||||||||||
USD |
1,358,186 | BRL | 6,698,275 | Citibank N.A. | 03/14/24 | 11,152 | ||||||||||||||||
USD |
58,137 | CLP | 51,326,000 | Citibank N.A. | 03/14/24 | 3,111 | ||||||||||||||||
USD |
398,088 | CZK | 9,033,989 | Barclays Bank PLC | 03/14/24 | 5,290 | ||||||||||||||||
USD |
817,109 | CZK | 18,621,546 | Goldman Sachs & Co. | 03/14/24 | 7,445 | ||||||||||||||||
USD |
103,884 | EUR | 95,000 | Barclays Bank PLC | 03/14/24 | 1,040 | ||||||||||||||||
USD |
110,785 | EUR | 100,000 | BNP Paribas SA | 03/14/24 | 2,528 | ||||||||||||||||
USD |
138,021 | GBP | 108,559 | Barclays Bank PLC | 03/14/24 | 400 | ||||||||||||||||
USD |
450,751 | IDR | 7,068,227,778 | Barclays Bank PLC | 03/14/24 | 2,926 | ||||||||||||||||
USD |
1,008,939 | MXN | 17,449,212 | Bank of America N.A. | 03/14/24 | 2,016 | ||||||||||||||||
USD |
110,633 | MXN | 1,890,000 | Goldman Sachs & Co. | 03/14/24 | 1,569 | ||||||||||||||||
USD |
60,057 | NOK | 626,927 | Barclays Bank PLC | 03/14/24 | 389 | ||||||||||||||||
ZAR |
11,252,356 | USD | 594,115 | Bank of America N.A. | 03/14/24 | 4,838 | ||||||||||||||||
BRL |
3,021,576 | USD | 605,000 | Goldman Sachs & Co. | 03/20/24 | 2,218 | ||||||||||||||||
MXN |
7,496,552 | USD | 429,000 | Deutsche Bank Securities Inc. | 03/20/24 | 3,164 | ||||||||||||||||
USD |
598,514 | BRL | 2,958,000 | Barclays Bank PLC | 03/20/24 | 4,072 | ||||||||||||||||
USD |
10,681,380 | BRL | 52,707,269 | Citibank N.A. | 03/20/24 | 89,289 | ||||||||||||||||
USD |
1,014,964 | BRL | 5,031,655 | Goldman Sachs & Co. | 03/20/24 | 3,799 | ||||||||||||||||
USD |
4,710,704 | EUR | 4,335,000 | Barclays Bank PLC | 03/20/24 | 16,561 | ||||||||||||||||
USD |
105,590,586 | EUR | 96,265,000 | BNP Paribas SA | 03/20/24 | 1,350,297 | ||||||||||||||||
USD |
3,726,888 | EUR | 3,394,000 | Citibank N.A. | 03/20/24 | 51,705 | ||||||||||||||||
USD |
219,082,598 | EUR | 201,204,984 | Deutsche Bank Securities Inc. | 03/20/24 | 1,208,339 | ||||||||||||||||
USD |
10,230,129 | EUR | 9,420,000 | Goldman Sachs & Co. | 03/20/24 | 29,709 | ||||||||||||||||
USD |
4,188,418 | GBP | 3,291,000 | Barclays Bank PLC | 03/20/24 | 16,193 | ||||||||||||||||
USD |
23,281,354 | GBP | 18,315,000 | Deutsche Bank Securities Inc. | 03/20/24 | 62,183 | ||||||||||||||||
USD |
12,329,477 | MXN | 213,243,000 | Deutsche Bank Securities Inc. | 03/20/24 | 36,352 | ||||||||||||||||
USD |
2,117,839 | MXN | 36,231,093 | Goldman Sachs & Co. | 03/20/24 | 29,173 | ||||||||||||||||
USD |
1,351,548 | BRL | 6,677,094 | Citibank N.A. | 04/02/24 | 11,748 | ||||||||||||||||
USD |
1,105,822 | CNY | 7,835,991 | Citibank N.A. | 04/29/24 | 752 | ||||||||||||||||
COP |
563,553,000 | USD | 128,401 | BNP Paribas SA | 05/17/24 | 13,483 | ||||||||||||||||
COP |
372,232,840 | USD | 87,394 | Barclays Bank PLC | 08/15/24 | 4,901 | ||||||||||||||||
COP |
957,170,160 | USD | 221,357 | BNP Paribas SA | 08/15/24 | 15,972 | ||||||||||||||||
COP |
2,088,000,000 | USD | 501,940 | BNP Paribas SA | 10/23/24 | 10,804 | ||||||||||||||||
|
|
|||||||||||||||||||||
3,056,337 | ||||||||||||||||||||||
|
|
|||||||||||||||||||||
EUR |
2,187,000 | USD | 2,366,755 | Barclays Bank PLC | 02/01/24 | (3,264 | ) | |||||||||||||||
USD |
339,738 | COP | 1,329,403,000 | Barclays Bank PLC | 02/05/24 | (1,462 | ) | |||||||||||||||
USD |
138,970 | COP | 563,553,000 | Citibank N.A. | 02/20/24 | (5,271 | ) | |||||||||||||||
USD |
61,000 | TWD | 1,926,014 | Citibank N.A. | 02/22/24 | (707 | ) | |||||||||||||||
USD |
338,261 | COP | 1,329,403,000 | Barclays Bank PLC | 02/26/24 | (1,634 | ) | |||||||||||||||
AUD |
247,576 | USD | 162,920 | Citibank N.A. | 03/14/24 | (281 | ) | |||||||||||||||
BRL |
4,648,485 | USD | 941,867 | Citibank N.A. | 03/14/24 | (7,049 | ) | |||||||||||||||
CLP |
377,954,630 | USD | 414,375 | Citibank N.A. | 03/14/24 | (9,176 | ) |
S C H E D U L E O F I N V E S T M E N T S |
47 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF |
Forward Foreign Currency Exchange Contracts (continued)
Currency Purchased |
Currency Sold |
Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
CLP |
121,730,085 | USD | 137,595 | Goldman Sachs & Co. | 03/14/24 | $ | (7,090 | ) | ||||||||||||||
CZK |
7,594,102 | USD | 332,819 | Deutsche Bank Securities Inc. | 03/14/24 | (2,627 | ) | |||||||||||||||
EUR |
55,000 | USD | 60,057 | Barclays Bank PLC | 03/14/24 | (516 | ) | |||||||||||||||
EUR |
112,000 | USD | 122,444 | BNP Paribas SA | 03/14/24 | (1,197 | ) | |||||||||||||||
HUF |
37,014,974 | USD | 103,884 | Barclays Bank PLC | 03/14/24 | (91 | ) | |||||||||||||||
HUF |
39,412,000 | USD | 110,630 | Citibank N.A. | 03/14/24 | (116 | ) | |||||||||||||||
HUF |
236,026,830 | USD | 662,180 | Deutsche Bank Securities Inc. | 03/14/24 | (341 | ) | |||||||||||||||
IDR |
918,859,000 | USD | 59,492 | Citibank N.A. | 03/14/24 | (1,276 | ) | |||||||||||||||
KRW |
436,412,062 | USD | 334,048 | Citibank N.A. | 03/14/24 | (6,291 | ) | |||||||||||||||
MXN |
14,728,336 | USD | 849,976 | Bank of America N.A. | 03/14/24 | (63 | ) | |||||||||||||||
MXN |
1,951,000 | USD | 113,814 | Goldman Sachs & Co. | 03/14/24 | (1,230 | ) | |||||||||||||||
MYR |
1,698,378 | USD | 365,125 | Barclays Bank PLC | 03/14/24 | (4,242 | ) | |||||||||||||||
NOK |
1,125,560 | USD | 110,785 | BNP Paribas SA | 03/14/24 | (3,659 | ) | |||||||||||||||
NOK |
1,446,977 | USD | 138,845 | Deutsche Bank Securities Inc. | 03/14/24 | (1,128 | ) | |||||||||||||||
RON |
632,194 | USD | 137,784 | Goldman Sachs & Co. | 03/14/24 | (544 | ) | |||||||||||||||
USD |
299,567 | BRL | 1,496,583 | Bank of America N.A. | 03/14/24 | (1,399 | ) | |||||||||||||||
USD |
58,171 | BRL | 291,000 | Barclays Bank PLC | 03/14/24 | (349 | ) | |||||||||||||||
USD |
101,764 | CLP | 95,162,000 | Goldman Sachs & Co. | 03/14/24 | (258 | ) | |||||||||||||||
USD |
110,079 | COP | 433,051,000 | BNP Paribas SA | 03/14/24 | (304 | ) | |||||||||||||||
USD |
613,433 | COP | 2,487,066,739 | Citibank N.A. | 03/14/24 | (20,509 | ) | |||||||||||||||
USD |
1,136,391 | COP | 4,476,184,495 | Goldman Sachs & Co. | 03/14/24 | (4,569 | ) | |||||||||||||||
USD |
59,077 | EUR | 55,000 | Goldman Sachs & Co. | 03/14/24 | (464 | ) | |||||||||||||||
USD |
122,444 | GBP | 97,234 | BNP Paribas SA | 03/14/24 | (820 | ) | |||||||||||||||
USD |
235,732 | HUF | 84,209,067 | Goldman Sachs & Co. | 03/14/24 | (397 | ) | |||||||||||||||
USD |
1,761,330 | IDR | 27,901,230,671 | Goldman Sachs & Co. | 03/14/24 | (6,422 | ) | |||||||||||||||
USD |
230,739 | MXN | 4,078,660 | Barclays Bank PLC | 03/14/24 | (4,624 | ) | |||||||||||||||
USD |
724,902 | PLN | 2,916,853 | Barclays Bank PLC | 03/14/24 | (3,200 | ) | |||||||||||||||
USD |
296,328 | PLN | 1,191,302 | Deutsche Bank Securities Inc. | 03/14/24 | (1,044 | ) | |||||||||||||||
USD |
22,397 | PLN | 90,355 | Goldman Sachs & Co. | 03/14/24 | (157 | ) | |||||||||||||||
USD |
117,346 | ZAR | 2,221,000 | Citibank N.A. | 03/14/24 | (876 | ) | |||||||||||||||
USD |
2,048,625 | ZAR | 38,834,645 | Deutsche Bank Securities Inc. | 03/14/24 | (18,508 | ) | |||||||||||||||
BRL |
9,250,961 | USD | 1,879,000 | Citibank N.A. | 03/20/24 | (19,920 | ) | |||||||||||||||
BRL |
9,828,754 | USD | 1,977,000 | Goldman Sachs & Co. | 03/20/24 | (1,806 | ) | |||||||||||||||
IDR |
19,474,268,400 | USD | 1,241,000 | Barclays Bank PLC | 03/20/24 | (7,321 | ) | |||||||||||||||
MXN |
16,682,631 | USD | 967,000 | Bank of America N.A. | 03/20/24 | (5,273 | ) | |||||||||||||||
MXN |
33,846,444 | USD | 1,954,000 | Barclays Bank PLC | 03/20/24 | (2,806 | ) | |||||||||||||||
MXN |
10,766,721 | USD | 621,000 | BNP Paribas SA | 03/20/24 | (315 | ) | |||||||||||||||
USD |
1,460,882 | BRL | 7,280,672 | Citibank N.A. | 03/20/24 | (2,247 | ) | |||||||||||||||
USD |
5,196,086 | BRL | 25,910,271 | Goldman Sachs & Co. | 03/20/24 | (10,861 | ) | |||||||||||||||
USD |
520,893 | COP | 2,088,000,000 | BNP Paribas SA | 03/20/24 | (10,755 | ) | |||||||||||||||
USD |
1,498,370 | COP | 5,954,158,482 | Citibank N.A. | 03/20/24 | (17,683 | ) | |||||||||||||||
USD |
3,117,447 | COP | 12,439,434,000 | Goldman Sachs & Co. | 03/20/24 | (49,892 | ) | |||||||||||||||
USD |
6,881,306 | EUR | 6,373,000 | Deutsche Bank Securities Inc. | 03/20/24 | (19,679 | ) | |||||||||||||||
USD |
518,764 | GBP | 412,000 | Barclays Bank PLC | 03/20/24 | (3,556 | ) | |||||||||||||||
USD |
14,891,129 | GBP | 11,749,000 | BNP Paribas SA | 03/20/24 | (3,877 | ) | |||||||||||||||
USD |
845,784 | GBP | 668,000 | Deutsche Bank Securities Inc. | 03/20/24 | (1,086 | ) | |||||||||||||||
USD |
7,539,280 | MXN | 131,372,090 | Deutsche Bank Securities Inc. | 03/20/24 | (34,116 | ) | |||||||||||||||
USD |
896,130 | MXN | 15,692,000 | Goldman Sachs & Co. | 03/20/24 | (8,489 | ) | |||||||||||||||
ZAR |
2,013,383 | USD | 109,000 | Deutsche Bank Securities Inc. | 03/20/24 | (1,884 | ) | |||||||||||||||
USD |
468,268 | BRL | 2,436,333 | Citibank N.A. | 04/02/24 | (20,597 | ) | |||||||||||||||
|
|
|||||||||||||||||||||
(345,318 | ) | |||||||||||||||||||||
|
|
|||||||||||||||||||||
$ | 2,711,019 | |||||||||||||||||||||
|
|
48 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF |
Centrally Cleared Interest Rate Swaps
|
||||||||||||||||||||||||||||||||||||
Paid by the Fund |
Received by the Fund |
Effective Date |
Termination Date |
Notional |
Value |
Upfront |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||||||
Rate |
Frequency | Rate | Frequency | |||||||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||
1-Day SOFR, 5.32% |
Annual | 5.37% | Annual | N/A | 07/12/24 | USD | 4,500 | $ | 514 | $ | 7 | $ | 507 | |||||||||||||||||||||||
1-Day SOFR, 5.32% |
Annual | 5.37% | Annual | N/A | 07/12/24 | USD | 4,500 | 649 | 7 | 642 | ||||||||||||||||||||||||||
10.95% |
Monthly | |
28-Day MXIBTIIE, 11.50% |
|
Monthly | N/A | 12/03/24 | USD | 21,120 | (324 | ) | 1 | (325 | ) | ||||||||||||||||||||||
10.76% |
Monthly | |
28-Day MXIBTIIE, 11.50% |
|
Monthly | N/A | 01/23/25 | USD | 14,997 | 262 | 1 | 261 | ||||||||||||||||||||||||
4.68% |
Annual | |
3-mo. PRIBOR, 6.55% |
|
Quarterly | 3/20/2024(a) | 03/20/25 | USD | 13,502 | (941 | ) | 2 | (943 | ) | ||||||||||||||||||||||
4.84% |
Annual | |
6-mo. PRIBOR, 6.15% |
|
Semi-Annual | 3/20/2024(a) | 03/20/25 | USD | 14,824 | (856 | ) | 2 | (858 | ) | ||||||||||||||||||||||
4.75% |
Annual | |
1-Day SOFR, 5.32% |
|
Annual | N/A | 07/24/25 | USD | 6,850 | (9,878 | ) | 23 | (9,901 | ) | ||||||||||||||||||||||
28-Day MXIBTIIE, 11.50% |
Monthly | 10.84% | Monthly | N/A | 09/25/25 | USD | 6,733 | 4,805 | 2 | 4,803 | ||||||||||||||||||||||||||
28-Day MXIBTIIE, 11.50% |
Monthly | 9.98% | Monthly | N/A | 11/26/25 | USD | 7,020 | 658 | 2 | 656 | ||||||||||||||||||||||||||
4.04% |
Annual | |
6-mo. PRIBOR, 6.15% |
|
Semi-Annual | 3/20/2024(a) | 03/20/26 | USD | 7,778 | (1,049 | ) | 1 | (1,050 | ) | ||||||||||||||||||||||
4.10% |
Annual | |
6-mo. PRIBOR, 6.15% |
|
Semi-Annual | 3/20/2024(a) | 03/20/26 | USD | 7,446 | (1,357 | ) | 2 | (1,359 | ) | ||||||||||||||||||||||
3-mo. KRW CDC, 3.68% |
Quarterly | 3.38% | Quarterly | N/A | 09/20/26 | USD | 26,867 | 49 | — | 49 | ||||||||||||||||||||||||||
3-mo. KRW CDC, 3.68% |
Quarterly | 3.51% | Quarterly | N/A | 09/20/26 | USD | 441,195 | 1,981 | 3 | 1,978 | ||||||||||||||||||||||||||
1-Day SOFR, 5.32% |
At Termination | 4.17% | At Termination | 10/23/2025(a) | 10/23/26 | USD | 1,786 | 15,806 | 3 | 15,803 | ||||||||||||||||||||||||||
1-Day SOFR, 5.32% |
At Termination | 4.21% | At Termination | 10/27/2025(a) | 10/27/26 | USD | 3,655 | 33,761 | 7 | 33,754 | ||||||||||||||||||||||||||
3-mo. KRW CDC, 3.68% |
Quarterly | 3.54% | Quarterly | N/A | 12/20/26 | USD | 251,959 | 1,490 | 2 | 1,488 | ||||||||||||||||||||||||||
3-mo. KRW CDC, 3.68% |
Quarterly | 3.22% | Quarterly | 3/20/2024(a) | 03/20/27 | USD | 394,532 | 144 | 2 | 142 | ||||||||||||||||||||||||||
1-Day SOFR, 5.32% |
Annual | 4.20% | Annual | 10/23/2025(a) | 10/23/27 | USD | 930 | 16,434 | 4 | 16,430 | ||||||||||||||||||||||||||
1-Day SOFR, 5.32% |
Annual | 3.92% | Annual | 11/3/2025(a) | 11/03/27 | USD | 478 | 6,052 | 2 | 6,050 | ||||||||||||||||||||||||||
1-Day SOFR, 5.32% |
Annual | 3.95% | Annual | 11/3/2025(a) | 11/03/27 | USD | 478 | 6,310 | 2 | 6,308 | ||||||||||||||||||||||||||
1-Day SOFR, 5.32% |
Annual | 3.99% | Annual | 11/3/2025(a) | 11/03/27 | USD | 957 | 13,221 | 4 | 13,217 | ||||||||||||||||||||||||||
1-Day SOFR, 5.32% |
Annual | 3.84% | Annual | 11/17/2025(a) | 11/17/27 | USD | 2,226 | 24,646 | 10 | 24,636 | ||||||||||||||||||||||||||
1-Day SOFR, 5.32% |
Annual | 3.74% | Annual | 11/28/2025(a) | 11/28/27 | USD | 1,250 | 11,516 | 5 | 11,511 | ||||||||||||||||||||||||||
1-Day SOFR, 5.32% |
Annual | 4.55% | Annual | N/A | 10/11/28 | USD | 6,900 | 249,884 | 1,015 | 248,869 | ||||||||||||||||||||||||||
28-Day MXIBTIIE, 11.50% |
Monthly | 8.67% | Monthly | N/A | 01/18/29 | USD | 6,694 | (701 | ) | 3 | (704 | ) | ||||||||||||||||||||||||
28-Day MXIBTIIE, 11.50% |
Monthly | 8.72% | Monthly | N/A | 01/22/29 | USD | 1,887 | 62 | 1 | 61 | ||||||||||||||||||||||||||
3.68% |
Annual | |
1-Day SOFR, 5.32% |
|
Annual | N/A | 08/02/33 | USD | 3,700 | 3,654 | 58 | 3,596 | ||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ | 376,792 | $ | 1,171 | $ | 375,621 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) |
Forward Swap. |
S C H E D U L E O F I N V E S T M E N T S |
49 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF |
OTC Interest Rate Swaps
|
||||||||||||||||||||||||||||||||||||||||
Paid by the Fund |
Received by the Fund |
Counterparty |
Effective Date |
Termination Date |
Notional Amount (000) |
Upfront Premium (Received) |
Unrealized (Depreciation) |
|||||||||||||||||||||||||||||||||
Rate | Frequency | Rate | Frequency | Value | ||||||||||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||||||
10.30% |
At Termination |
1-Day COOIS, 12.02% |
At Termination | Citibank N.A. | N/A | 01/29/25 | USD | $ | 1,266,482 | $ | (500 | ) | $ | — | $ | (500 | ) | |||||||||||||||||||||||
10.29% |
At Termination |
1-Day COOIS, 12.02% |
At Termination |
Citibank N.A. |
N/A | 01/29/25 | USD | 3,530,322 | (1,312 | ) | — | (1,312 | ) | |||||||||||||||||||||||||||
10.18% |
At Termination |
1-Day COOIS, 12.02% |
At Termination |
Citibank N.A. |
N/A | 06/20/25 | USD | 1,124,791 | (1,775 | ) | — | (1,775 | ) | |||||||||||||||||||||||||||
1-Day BZDIOVER, 0.44% |
At Termination |
10.92% |
At Termination |
BNP Paribas SA |
N/A | 01/02/26 | USD | 293 | 678 | — | 678 | |||||||||||||||||||||||||||||
1-Day BZDIOVER, 0.44% |
At Termination |
10.81% |
At Termination |
Citibank N.A. |
N/A | 01/02/26 | USD | 188 | 350 | — | 350 | |||||||||||||||||||||||||||||
1-Day BZDIOVER, 0.44% |
At Termination |
10.84% |
At Termination |
Citibank N.A. |
N/A | 01/02/26 | USD | 209 | 418 | — | 418 | |||||||||||||||||||||||||||||
1-Day BZDIOVER, 0.44% |
At Termination |
10.56% |
At Termination |
Citibank N.A. |
N/A | 01/02/26 | USD | 254 | 152 | — | 152 | |||||||||||||||||||||||||||||
1-Day BZDIOVER, 0.44% |
At Termination |
10.13% |
At Termination |
Barclays Bank PLC |
N/A | 01/02/26 | USD | 453 | (419 | ) | — | (419 | ) | |||||||||||||||||||||||||||
1-Day BZDIOVER, 0.44% |
At Termination |
10.10% |
At Termination |
Citibank N.A. |
N/A | 01/02/26 | USD | 941 | (873 | ) | — | (873 | ) | |||||||||||||||||||||||||||
1-Day BZDIOVER, 0.44% |
At Termination |
10.14% |
At Termination |
Goldman Sachs International |
N/A | 01/02/26 | USD | 294 | 19 | — | 19 | |||||||||||||||||||||||||||||
1-Day BZDIOVER, 0.44% |
At Termination |
10.10% |
At Termination |
Citibank N.A. |
N/A | 01/02/26 | USD | 891 | 903 | — | 903 | |||||||||||||||||||||||||||||
1-Day BZDIOVER, 0.44% |
At Termination |
9.59% |
At Termination |
BNP Paribas SA |
N/A | 01/02/26 | USD | 2,978 | (621 | ) | — | (621 | ) | |||||||||||||||||||||||||||
1-Day BZDIOVER, 0.44% |
At Termination |
9.79% |
At Termination |
BNP Paribas SA |
N/A | 01/04/27 | USD | 1,292 | 261 | — | 261 | |||||||||||||||||||||||||||||
1-Day BZDIOVER, 0.44% |
At Termination |
9.71% |
At Termination |
BNP Paribas SA |
N/A | 01/04/27 | USD | 1,961 | (331 | ) | — | (331 | ) | |||||||||||||||||||||||||||
4.44% |
Quarterly |
1-Day CLP Interbank Rate, 23,432.52% |
Quarterly |
Goldman Sachs International |
1/26/2026 | (a) | 01/26/28 | USD | 268,982 | (1,060 | ) | — | (1,060 | ) | ||||||||||||||||||||||||||
4.40% |
Semi-Annual |
1-Day CLP Interbank Rate, 23,432.52% |
Semi-Annual |
Goldman Sachs International |
1/26/2026 | (a) | 01/26/28 | USD | 378,311 | (1,236 | ) | — | (1,236 | ) | ||||||||||||||||||||||||||
4.38% |
Semi-Annual |
1-Day CLP Interbank Rate, 23,432.52% |
Semi-Annual |
Goldman Sachs International |
1/30/2026 | (a) | 01/30/28 | USD | 855,818 | (2,353 | ) | — | (2,353 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||
$ | (7,699 | ) | $ | — | $ | (7,699 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
(a) |
Forward Swap. |
50 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF |
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps and OTC Swaps
Description | Swap Premiums Paid |
Swap Premiums Received |
Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||
Centrally Cleared Swaps(a) |
$ | 1,171 | $ | — | $ | 390,761 | $ | (15,140 | ) | |||||||
OTC Swaps |
— | — | 2,781 | (10,480 | ) |
(a) |
Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
|
||||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate |
Other Contracts |
Total | ||||||||||||||||||||||
|
||||||||||||||||||||||||||||
Assets — Derivative Financial Instruments |
||||||||||||||||||||||||||||
Futures contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(a) |
$ | — | $ | — | $ | — | $ | — | $ | 921,051 | $ | — | $ | 921,051 | ||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts |
$ | — | $ | — | $ | — | $ | 3,056,337 | $ | — | $ | — | $ | 3,056,337 | ||||||||||||||
Swaps — OTC |
||||||||||||||||||||||||||||
Unrealized appreciation on OTC swaps; Swap premiums paid |
$ | — | $ | — | $ | — | $ | — | $ | 2,781 | $ | — | $ | 2,781 | ||||||||||||||
Swaps — centrally cleared |
||||||||||||||||||||||||||||
Unrealized appreciation on centrally cleared swaps(a) |
$ | — | $ | — | $ | — | $ | — | $ | 390,761 | $ | — | $ | 390,761 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | — | $ | — | $ | 3,056,337 | $ | 1,314,593 | $ | — | $ | 4,370,930 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Liabilities — Derivative Financial Instruments |
||||||||||||||||||||||||||||
Futures contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(a) |
$ | — | $ | — | $ | — | $ | — | $ | 1,812,067 | $ | — | $ | 1,812,067 | ||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts |
$ | — | $ | — | $ | — | $ | 345,318 | $ | — | $ | — | $ | 345,318 | ||||||||||||||
Swaps — OTC |
||||||||||||||||||||||||||||
Unrealized depreciation on OTC swaps; Swap premiums received |
$ | — | $ | — | $ | — | $ | — | $ | 10,480 | $ | — | $ | 10,480 | ||||||||||||||
Swaps — centrally cleared |
||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps(a) |
$ | — | $ | — | $ | — | $ | — | $ | 15,140 | $ | — | $ | 15,140 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | — | $ | — | $ | 345,318 | $ | 1,837,687 | $ | — | $ | 2,183,005 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Net cumulative unrealized appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
S C H E D U L E O F I N V E S T M E N T S |
51 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF |
For the period ended January 31, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:
|
||||||||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Net Realized Gain (Loss) from |
||||||||||||||||||||||||||||||||
Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | 640,283 | $ | — | $ | 640,283 | ||||||||||||||||||
Forward foreign currency exchange contracts |
— | — | — | (886,932 | ) | — | — | (886,932 | ) | |||||||||||||||||||||||
Options purchased(a) |
— | — | — | (478 | ) | — | — | (478 | ) | |||||||||||||||||||||||
|
Swaps |
— | — | — | — | (287,352 | ) | — | (287,352 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
$ | — | $ | — | $ | — | $ | (887,410 | ) | $ | 352,931 | $ | — | $ | (534,479 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on |
||||||||||||||||||||||||||||||||
Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | (927,049 | ) | $ | — | $ | (927,049 | ) | ||||||||||||||||
Forward foreign currency exchange contracts |
— | — | — | 2,869,313 | — | — | 2,869,313 | |||||||||||||||||||||||||
Swaps |
— | — | — | — | 366,776 | — | 366,776 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
$ | — | $ | — | $ | — | $ | 2,869,313 | $ | (560,273 | ) | $ | — | $ | 2,309,040 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Options purchased are included in net realized gain (loss) from investments — unaffiliated. |
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts: |
||||||||
Average notional value of contracts — long |
$ | 112,620,905 | ||||||
Average notional value of contracts — short |
$ | 105,566,239 | ||||||
Forward foreign currency exchange contracts: |
||||||||
Average amounts purchased — in USD |
$ | 16,935,981 | ||||||
|
Average amounts sold — in USD |
$ | 254,745,149 | |||||
Options: |
||||||||
Average market value of option contracts purchased |
$ | 0 | (a) | |||||
Interest rate swaps: |
||||||||
Average notional value — pays fixed rate |
$ | 15,135,123 | ||||||
Average notional value — receives fixed rate |
$ | 28,776,729 |
(a) |
Derivative financial instrument not held at any quarter-end. The risk exposure table serves as an indicator of activity during the period. |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Derivative Financial Instruments - Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
|
||||||||||||
Assets | Liabilities | |||||||||||
|
||||||||||||
Derivative Financial Instruments: |
||||||||||||
Futures contracts |
$ | 921,051 | $ | 1,812,067 | ||||||||
|
Forward foreign currency exchange contracts |
3,056,337 | 345,318 | |||||||||
Swaps - centrally cleared |
390,761 | 15,140 | ||||||||||
Swaps - OTC(a) |
2,781 | 10,480 | ||||||||||
|
|
|
|
|||||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities |
4,370,930 | 2,183,005 | ||||||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
(1,311,812 | ) | (1,827,207 | ) | ||||||||
|
|
|
|
|||||||||
Total derivative assets and liabilities subject to an MNA |
$ | 3,059,118 | $ | 355,798 | ||||||||
|
|
|
|
(a) |
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
52 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF |
The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
|
||||||||||||||||||||
Derivative Assets Subject to an MNA by |
Derivatives Available |
Non-Cash Collateral |
Cash Collateral |
Net Amount of Derivative |
||||||||||||||||
Counterparty | Counterparty | for Offset | (a) | Received | Received | Assets | (b)(c) | |||||||||||||
|
||||||||||||||||||||
Bank of America N.A |
$ | 9,752 | $ | (6,735 | ) | $ | — | $ | — | $ | 3,017 | |||||||||
Barclays Bank PLC |
62,762 | (33,484 | ) | — | — | 29,278 | ||||||||||||||
BNP Paribas SA |
1,394,023 | (21,879 | ) | — | — | 1,372,144 | ||||||||||||||
Citibank N.A |
174,445 | (116,459 | ) | — | — | 57,986 | ||||||||||||||
Deutsche Bank Securities Inc. |
1,321,382 | (80,413 | ) | — | — | 1,240,969 | ||||||||||||||
Goldman Sachs & Co. |
83,026 | (83,026 | ) | — | — | — | ||||||||||||||
Goldman Sachs International |
19 | (19 | ) | — | — | — | ||||||||||||||
State Street Bank & Trust Company |
13,709 | — | — | — | 13,709 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 3,059,118 | $ | (342,015 | ) | $ | — | $ | — | $ | 2,717,103 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
|
||||||||||||||||||||
|
Derivative Liabilities Subject to an MNA by |
|
|
Derivatives Available |
|
|
Non-Cash Collateral |
|
|
Cash Collateral |
|
|
Net Amount of Derivative |
| ||||||
Counterparty | Counterparty | for Offset | (a) | Pledged | Pledged | Liabilities | (c)(d) | |||||||||||||
|
||||||||||||||||||||
Bank of America N.A |
$ | 6,735 | $ | (6,735 | ) | $ | — | $ | — | $ | — | |||||||||
Barclays Bank PLC |
33,484 | (33,484 | ) | — | — | — | ||||||||||||||
BNP Paribas SA |
21,879 | (21,879 | ) | — | — | — | ||||||||||||||
Citibank N.A |
116,459 | (116,459 | ) | — | — | — | ||||||||||||||
Deutsche Bank Securities Inc. |
80,413 | (80,413 | ) | — | — | — | ||||||||||||||
Goldman Sachs & Co. |
92,179 | (83,026 | ) | — | — | 9,153 | ||||||||||||||
Goldman Sachs International |
4,649 | (19 | ) | — | — | 4,630 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
$ | 355,798 | $ | (342,015 | ) | $ | — | $ | — | $ | 13,783 | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
(b) |
Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) |
Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
(d) |
Net amount represents the net amount payable due to the counterparty in the event of default. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Asset-Backed Securities |
$ | — | $ | 189,952,392 | $ | 153,451 | $ | 190,105,843 | ||||||||
Collaterized Mortgage Obligations |
— | 125,922,579 | 498,412 | 126,420,991 | ||||||||||||
Convertible Bonds |
9,884,739 | 171,315 | — | 10,056,054 | ||||||||||||
Corporate Bonds & Notes |
— | 807,947,885 | — | 807,947,885 | ||||||||||||
Foreign Government Obligations |
— | 68,178,273 | — | 68,178,273 | ||||||||||||
U.S. Government Agency Obligations |
— | 118,840,028 | — | 118,840,028 | ||||||||||||
Investment Companies |
99,047,821 | — | — | 99,047,821 | ||||||||||||
Short-Term Securities |
||||||||||||||||
Money Market Funds |
146,168,824 | — | — | 146,168,824 | ||||||||||||
Liabilities |
||||||||||||||||
Investments |
||||||||||||||||
TBA Sales Commitments |
— | (32,978,469 | ) | — | (32,978,469 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 255,101,384 | $ | 1,278,034,003 | $ | 651,863 | $ | 1,533,787,250 | |||||||||
|
|
|
|
|
|
|
|
S C H E D U L E O F I N V E S T M E N T S |
53 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Flexible Income ETF |
Fair Value Hierarchy as of Period End (continued)
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Derivative Financial Instruments(a) |
||||||||||||||||
Assets |
||||||||||||||||
Foreign Currency Exchange Contracts |
$ | — | $ | 3,056,337 | $ | — | $ | 3,056,337 | ||||||||
Interest Rate Contracts |
921,051 | 393,542 | — | 1,314,593 | ||||||||||||
Liabilities |
||||||||||||||||
Foreign Currency Exchange Contracts |
— | (345,318 | ) | — | (345,318 | ) | ||||||||||
Interest Rate Contracts |
(1,812,067 | ) | (25,620 | ) | — | (1,837,687 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | (891,016 | ) | $ | 3,078,941 | $ | — | 2,187,925 | |||||||||
|
|
|
|
|
|
|
|
(a) |
Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
54 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) January 31, 2024 |
BlackRock Floating Rate Loan ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Corporate Bonds & Notes |
||||||||
Auto Parts & Equipment — 0.3% | ||||||||
Clarios Global LP/Clarios U.S. Finance Co., 8.50%, 05/15/27 (Call 05/15/24)(a) |
$ | 80 | $ | 79,781 | ||||
|
|
|||||||
Chemicals — 0.3% | ||||||||
WR Grace Holdings LLC, 5.63%, 08/15/29 (Call 08/15/24)(a) |
100 | 88,173 | ||||||
|
|
|||||||
Commercial Services — 1.1% | ||||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.63%, 07/15/26 (Call 07/15/24)(a) |
130 | 128,097 | ||||||
Prime Security Services Borrower LLC/Prime Finance Inc., 6.25%, 01/15/28 (Call 01/15/25)(a) |
60 | 59,459 | ||||||
Sotheby’s, 7.38%, 10/15/27 (Call 10/15/24)(a) |
75 | 72,077 | ||||||
Verscend Escrow Corp., 9.75%, 08/15/26 (Call 01/29/24)(a) |
40 | 40,160 | ||||||
|
|
|||||||
299,793 | ||||||||
Engineering & Construction — 0.1% | ||||||||
Brand Industrial Services Inc., 10.38%, 08/01/30 (Call 08/01/26) |
33 | 34,856 | ||||||
|
|
|||||||
Entertainment — 0.3% | ||||||||
Caesars Entertainment Inc., 4.63%, 10/15/29 (Call 10/15/24)(a) |
45 | 41,135 | ||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29 (Call 07/01/29)(a) |
40 | 37,788 | ||||||
|
|
|||||||
78,923 | ||||||||
Environmental Control — 0.5% | ||||||||
GFL Environmental Inc., 4.00%, 08/01/28 (Call 08/01/24)(a) |
25 | 22,931 | ||||||
Madison IAQ LLC, 5.88%, 06/30/29 (Call 06/30/24)(a) |
115 | 102,188 | ||||||
|
|
|||||||
125,119 | ||||||||
Health Care - Products — 0.4% | ||||||||
Medline Borrower LP, 5.25%, 10/01/29 (Call 10/01/24)(a) |
110 | 102,565 | ||||||
|
|
|||||||
Housewares — 0.2% | ||||||||
SWF Escrow Issuer Corp., 6.50%, 10/01/29 (Call 10/01/24)(a) |
60 | 41,577 | ||||||
|
|
|||||||
Insurance — 1.0% | ||||||||
Alliant Holdings Intermediate LLC/Alliant Holdings Co-Issuer, 6.75%, 10/15/27 (Call 10/15/24)(a) |
105 | 102,514 | ||||||
AmWINS Group Inc., 4.88%, 06/30/29 (Call 06/30/24)(a) |
100 | 93,335 | ||||||
HUB
International Ltd., 7.38%, 01/31/32 |
65 | 66,566 | ||||||
|
|
|||||||
262,415 | ||||||||
Internet — 0.2% | ||||||||
Uber
Technologies Inc., 4.50%, 08/15/29 |
45 | 42,594 | ||||||
|
|
|||||||
Machinery — 0.1% | ||||||||
Vertiv Group Corp., 4.13%, 11/15/28 (Call 11/15/24)(a) |
25 | 23,199 | ||||||
|
|
|||||||
Machinery - Diversified — 0.1% | ||||||||
Husky Injection Molding Systems Ltd./Titan Co.-Borrower LLC, 9.00%, 02/15/29(a) |
18 | 18,000 | ||||||
|
|
|||||||
Real Estate — 0.0% | ||||||||
Realogy Group LLC/Realogy Co-Issuer Corp., 5.75%, 01/15/29 (Call 01/15/25)(a) |
4 | 2,971 | ||||||
|
|
Security | Par (000) |
Value | ||||||
Real Estate Investment Trusts — 0.1% | ||||||||
VICI Properties LP/VICI Note Co. Inc., 4.50%, 09/01/26 (Call 06/01/26)(a) |
$ | 30 | $ | 29,174 | ||||
|
|
|||||||
Retail — 1.0% | ||||||||
Fertitta Entertainment LLC/Fertitta Entertainment Finance Co. Inc., 6.75%, 01/15/30 (Call 01/15/25)(a) |
115 | 103,391 | ||||||
IRB Holding Corp., 7.00%, 06/15/25 (Call 06/15/24)(a) |
60 | 59,629 | ||||||
White Cap Buyer LLC, 6.88%, 10/15/28 (Call 10/15/24)(a) |
105 | 102,776 | ||||||
|
|
|||||||
265,796 | ||||||||
Semiconductors — 0.2% | ||||||||
Entegris Inc., 4.75%, 04/15/29 (Call 01/15/29)(a) |
55 | 52,575 | ||||||
|
|
|||||||
Software — 0.5% | ||||||||
AthenaHealth Group Inc., 6.50%, 02/15/30 (Call 02/15/25)(a) |
40 | 35,731 | ||||||
Central Parent LLC/CDK Global II LLC/CDK Financing Co. Inc., 8.00%, 06/15/29 (Call 06/15/25)(a) |
69 | 70,816 | ||||||
Cloud Software Group Inc., 9.00%, 09/30/29 (Call 09/30/25)(a) |
29 | 27,447 | ||||||
|
|
|||||||
133,994 | ||||||||
Telecommunications — 0.1% | ||||||||
Level 3 Financing Inc., 11.00%, 11/15/29 |
13 | 12,912 | ||||||
|
|
|||||||
Total
Corporate Bonds & Notes —
6.5% |
1,694,417 | |||||||
|
|
|||||||
Floating Rate Loan Interests(b) |
||||||||
Advertising — 0.3% | ||||||||
ABG Intermediate Holdings 2 LLC, 2021 Term Loan B1, (1-mo. CME Term SOFR at 0.50% Floor + 3.60%), 8.96%, 12/21/28 |
41 | 40,785 | ||||||
Clear Channel Outdoor Holdings Inc., Term Loan B, (3-mo. CME Term SOFR + 3.76%), 9.07%, 08/21/26 |
34 | 33,469 | ||||||
|
|
|||||||
74,254 | ||||||||
Aerospace & Defense — 1.8% | ||||||||
Barnes Group Inc., Term Loan B, (1-mo. CME Term SOFR + 3.10%), 8.43%, 09/03/30 |
30 | 29,913 | ||||||
Bleriot U.S. Bidco Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.26%), 9.61%, 10/31/28 |
17 | 16,938 | ||||||
Cobham
Ultra SeniorCo S.a.r.l, USD Term Loan B, |
30 | 29,257 | ||||||
Dynasty Acquisition Co. Inc. |
||||||||
2023 Term Loan B1, (1-mo. CME Term SOFR + 4.00%), 9.33%, 08/24/28 |
148 | 147,985 | ||||||
2023 Term Loan B2, (1-mo. CME Term SOFR + 4.00%), 9.33%, 08/24/28 |
63 | 63,422 | ||||||
TransDigm Inc. |
||||||||
2023 Term Loan I, (3-mo. CME Term SOFR + 3.25%), 8.60%, 08/24/28 |
131 | 131,267 | ||||||
2023 Term Loan J, (3-mo. CME Term SOFR at 1.00% Floor + 3.25%), 8.60%, 02/14/31 |
61 | 61,050 | ||||||
|
|
|||||||
479,832 | ||||||||
Airlines — 2.0% | ||||||||
Air Canada, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.61%), 9.14%, 08/11/28 |
79 | 78,985 | ||||||
American Airlines Inc. |
||||||||
2017 1st Lien Term Loan, (3-mo. CME Term SOFR + 1.85%), 7.32%, 01/29/27 |
39 | 38,988 |
S C H E D U L E O F I N V E S T M E N T S |
55 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Floating Rate Loan ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Airlines (continued) | ||||||||
2023 Term Loan B, (3-mo. CME Term SOFR + 3.18%), 8.60%, 02/15/28 |
79 | $ | 78,863 | |||||
2023 1st Lien Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.87%, 06/04/29 |
105 | 104,804 | ||||||
2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.01%), 10.33%, 04/20/28 |
59 | 59,913 | ||||||
Kestrel Bidco Inc., Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.10%), 8.44%, 12/11/26 |
23 | 22,941 | ||||||
Mileage Plus Holdings LLC, 2020 Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 5.40%), 10.77%, 06/21/27 |
73 | 74,964 | ||||||
United Airlines Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.86%), 9.20%, 04/21/28 |
71 | 70,735 | ||||||
|
|
|||||||
530,193 | ||||||||
Apparel — 0.2% | ||||||||
Crocs Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.15%), 8.50%, 02/20/29 |
21 | 20,752 | ||||||
Fanatics Commerce Intermediate Holdco LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.36%), 8.70%, 11/24/28 |
20 | 20,035 | ||||||
Hanesbrands Inc., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.08%, 03/08/30 |
13 | 12,797 | ||||||
|
|
|||||||
53,584 | ||||||||
Auto Parts & Equipment — 1.1% | ||||||||
Adient U.S. LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.25%), 8.59%, 01/29/31 |
13 | 12,981 | ||||||
Clarios Global LP, 2024 Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.33%, 05/06/30 |
88 | 87,790 | ||||||
Tenneco Inc., 2022 Term Loan B, (3-mo. CME Term SOFR + 5.10%), 10.47%, 11/17/28 |
44 | 39,765 | ||||||
Wand NewCo 3 Inc., 2024 Term Loan B, 01/30/31(c) |
148 | 148,000 | ||||||
|
|
|||||||
288,536 | ||||||||
Banks — 1.2% | ||||||||
AqGen Ascensus Inc., 2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.76%), 12.09%, 08/02/29 |
33 | 31,382 | ||||||
AqGen Island Holdings Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.61%), 8.95%, 08/02/28 |
142 | 141,283 | ||||||
Camelot U.S. Acquisition LLC, 2024 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.31%, 01/25/31(d) |
141 | 141,237 | ||||||
|
|
|||||||
313,902 | ||||||||
Beverages — 1.1% | ||||||||
Naked Juice LLC |
||||||||
Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.70%, 01/24/29 |
186 | 175,691 | ||||||
2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 6.10%), 11.45%, 01/24/30 |
79 | 63,446 | ||||||
Triton Water Holdings Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.51%), 8.86%, 03/31/28 |
44 | 43,416 | ||||||
|
|
|||||||
282,553 | ||||||||
Building Materials — 2.3% | ||||||||
ACProducts Holdings Inc., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.51%), 9.86%, 05/17/28 |
39 | 34,059 | ||||||
Chamberlain Group Inc. |
||||||||
2024 Incremental Term Loan B, 11/03/28(c)(d) |
21 | 20,869 |
Security | Par (000) |
Value | ||||||
Building Materials (continued) | ||||||||
Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.68%, 11/03/28 |
104 | $ | 102,612 | |||||
CP Atlas Buyer Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.18%, 11/23/27 |
49 | 47,844 | ||||||
CPG International Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.60%), 7.93%, 04/28/29 |
30 | 29,551 | ||||||
Emrld Borrower LP, Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.31%, 05/31/30 |
40 | 39,915 | ||||||
Foundation Building Materials Holding Co. LLC, 2024 Term Loan B2, 01/29/31(c) |
56 | 55,676 | ||||||
Ingersoll-Rand Services Co., 2020 USD Spinco Term Loan, (1-mo. CME Term SOFR + 1.85%), 7.18%, 03/01/27 |
17 | 17,461 | ||||||
IPS Corp., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.18%, 10/02/28 |
10 | 10,286 | ||||||
Oscar AcquisitionCo. LLC, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.60%), 9.95%, 04/29/29 |
54 | 53,850 | ||||||
Quikrete Holdings Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.86%), 8.20%, 03/19/29 |
20 | 19,888 | ||||||
Smyrna Ready Mix Concrete LLC, 2023 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.84%, 04/02/29(d) |
18 | 17,713 | ||||||
Standard Industries Inc./NJ, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.70%, 09/22/28 |
39 | 39,161 | ||||||
Summit Materials LLC, 2023 Incremental Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.83%, 01/12/29 |
24 | 24,060 | ||||||
Wilsonart LLC, 2021 Term Loan E, (3-mo. CME Term SOFR at 1.00% Floor + 3.35%), 8.70%, 12/31/26 |
79 | 78,834 | ||||||
|
|
|||||||
591,779 | ||||||||
Chemicals — 3.1% | ||||||||
Arc Falcon I Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.60%), 8.93%, 09/30/28 |
40 | 39,154 | ||||||
Aruba Investments Inc., 2020 USD Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.10%), 9.43%, 11/24/27 |
25 | 24,333 | ||||||
Ascend Performance Materials Operations LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.85%), 10.32%, 08/27/26 |
20 | 18,785 | ||||||
Axalta Coating Systems U.S. Holdings Inc., 2023 USD Term Loan B4, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.85%, 12/20/29 |
51 | 51,269 | ||||||
Chemours Co. (The), 2023 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.83%, 08/18/28 |
40 | 39,730 | ||||||
Derby Buyer LLC, USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.60%, 11/01/30 |
127 | 127,317 | ||||||
Discovery Purchaser Corp., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.39%), 9.71%, 10/04/29 |
25 | 24,349 | ||||||
Element Solutions Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.33%, 12/18/30 |
40 | 39,472 | ||||||
H.B. Fuller Co., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.58%, 02/15/30 |
11 | 10,907 | ||||||
Ineos U.S. Finance LLC, 2023 USD Term Loan B, (1-mo. CME Term SOFR + 3.60%), 8.93%, 02/18/30 |
20 | 19,632 | ||||||
Lonza Group AG, USD Term Loan B, (3-mo. CME Term SOFR + 4.03%), 9.37%, 07/03/28 |
30 | 27,536 |
56 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Floating Rate Loan ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Chemicals (continued) | ||||||||
LSF11 A5 Holdco LLC |
||||||||
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.61%), 8.95%, 10/15/28 |
51 | $ | 51,097 | |||||
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.35%), 9.68%, 10/15/28 |
10 | 9,931 | ||||||
Momentive Performance Materials Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 4.50%), 9.83%, 03/29/28 |
77 | 75,980 | ||||||
Nouryon Finance BV, 2023 USD Term Loan B, (3-mo. CME Term SOFR + 4.10%), 9.47%, 04/03/28 |
44 | 43,755 | ||||||
Oxea Holding Drei GmbH, 2017 USD Term Loan B2, (3-mo. CME Term SOFR + 3.70%), 8.93%, 10/14/24 |
54 | 52,577 | ||||||
PQ Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.60%), 7.91%, 06/09/28 |
39 | 39,338 | ||||||
SCIH Salt Holdings Inc., 2021 Incremental Term Loan B, 03/16/27(c) |
20 | 19,935 | ||||||
Sparta U.S. HoldCo LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.36%), 8.72%, 08/02/28 |
39 | 39,348 | ||||||
WR Grace Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.01%), 9.36%, 09/22/28 |
54 | 54,394 | ||||||
|
|
|||||||
808,839 | ||||||||
Commercial Mbs — 0.4% | ||||||||
GTCR W Merger Sub LLC, USD Term Loan B, 01/31/31(c) |
96 | 95,900 | ||||||
|
|
|||||||
Commercial Services — 7.0% | ||||||||
Albion Financing 3 SARL, USD Term Loan, (3-mo. CME Term SOFR + 5.51%), 10.83%, 08/17/26 |
64 | 64,433 | ||||||
AlixPartners LLP, 2021 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.20%, 02/04/28 |
81 | 80,893 | ||||||
Allied Universal Holdco LLC |
||||||||
2021 USD Incremental Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.18%, 05/12/28 |
209 | 205,911 | ||||||
2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.08%, 05/12/28 |
12 | 11,933 | ||||||
Avis Budget Car Rental LLC, 2020 Term Loan B, (1-mo. CME Term SOFR + 1.86%), 7.20%, 08/06/27 |
30 | 29,429 | ||||||
AVSC Holding Corp., 2020 Term Loan B1, (1-mo. CME Term SOFR at 1.00% Floor + 3.25%, 0.25% PIK), 8.93%, 03/03/25(e) |
45 | 43,805 | ||||||
Belron Finance U.S. LLC |
||||||||
2023 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.11%), 7.45%, 04/13/28 |
96 | 96,334 | ||||||
2023 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.35%), 7.66%, 04/18/29(d) |
15 | 14,944 | ||||||
Bright Horizons Family Solutions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.36%), 7.70%, 11/24/28 |
59 | 59,078 | ||||||
CHG
Healthcare Services Inc., 2021 Term Loan, |
49 | 49,163 | ||||||
CoreLogic Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.61%), 8.95%, 06/02/28 |
160 | 154,457 | ||||||
Creative Artists Agency LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 3.50%), 8.83%, 11/27/28 |
143 | 142,465 |
Security |
Par (000) |
Value | ||||||
Commercial Services (continued) | ||||||||
Element Materials Technology Group U.S. Holdings Inc. |
||||||||
2022 USD Delayed Draw Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.35%), 9.70%, 07/06/29 |
19 | $ | 18,613 | |||||
2022 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.35%), 9.70%, 07/06/29 |
41 | 40,327 | ||||||
Galaxy U.S. Opco Inc., Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.06%, 04/29/29(d) |
49 | 42,498 | ||||||
Garda World Security Corp., 2022 Term Loan B, 02/01/29(c) |
17 | 16,987 | ||||||
KUEHG Corp., 2023 Term Loan, (3-mo. CME Term |
||||||||
SOFR at 0.50% Floor + 5.00%), 10.35%, 06/12/30 |
45 | 44,871 | ||||||
Learning Care Group Inc., 2023 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.75%), 10.10%, 08/11/28 |
8 | 7,976 | ||||||
Mavis Tire Express Services Corp., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.75%), 9.08%, 05/04/28 |
59 | 59,180 | ||||||
Midas Intermediate Holdco II LLC, 2022 PIK Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.85%, 1.50% PIK), 13.69%, 06/30/27(e) |
71 | 70,186 | ||||||
PECF USS Intermediate Holding III Corp., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.51%), 9.82%, 12/15/28 |
36 | 26,596 | ||||||
Prime Security Services Borrower LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.50%), 7.83%, 10/14/30 |
30 | 30,004 | ||||||
Sotheby’s, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.76%), 10.08%, 01/15/27 |
134 | 132,748 | ||||||
Spring Education Group Inc., Term Loan, (3-mo. CME Term SOFR + 4.50%), 9.85%, 10/04/30 |
54 | 53,721 | ||||||
Trans Union LLC |
||||||||
2019 Term Loan B5, (1-mo. CME Term SOFR + 1.75%), 7.19%, 11/16/26 |
39 | 39,332 | ||||||
2021 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 2.51%), 7.70%, 12/01/28 |
67 | 66,905 | ||||||
TruGreen LP, 2020 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 4.10%), 9.43%, 11/02/27 |
106 | 102,425 | ||||||
Verscend Holding Corp., 2021 Term Loan B, (1-mo. CME Term SOFR + 4.11%), 9.45%, 08/27/25 |
84 | 83,894 | ||||||
Viad Corp., Initial Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.11%), 10.45%, 07/30/28 |
36 | 36,280 | ||||||
|
|
|||||||
1,825,388 | ||||||||
Computers — 2.7% | ||||||||
Amentum Government Services Holdings LLC, 2022 Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.34%, 02/15/29 |
50 | 49,562 | ||||||
ASGN Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.58%, 08/30/30 |
14 | 14,003 | ||||||
Atlas CC Acquisition Corp. |
||||||||
Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.51%), 9.90%, 05/25/28 |
153 | 143,081 | ||||||
Term Loan C, (3-mo. CME Term SOFR at 0.75% Floor + 4.51%), 9.90%, 05/25/28 |
27 | 25,313 | ||||||
Magenta Buyer LLC |
||||||||
2021 USD 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.26%), 10.57%, 07/27/28 |
69 | 44,883 | ||||||
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 8.51%), 13.82%, 07/27/29 |
40 | 13,960 | ||||||
McAfee LLC, 2022 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.20%, 03/01/29 |
129 | 127,487 |
S C H E D U L E O F I N V E S T M E N T S |
57 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Floating Rate Loan ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Computers (continued) | ||||||||
Peraton Corp. |
||||||||
Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.85%), 9.18%, 02/01/28 |
119 | $ | 118,457 | |||||
2nd Lien Term Loan B1, (3-mo. CME Term SOFR at 0.75% Floor + 7.85%), 13.22%, 02/01/29 |
30 | 29,755 | ||||||
Tempo Acquisition LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.08%, 08/31/28 |
148 | 148,017 | ||||||
|
|
|||||||
714,518 | ||||||||
Cosmetics & Personal Care — 1.2% | ||||||||
Sunshine Luxembourg VII SARL, 2021 USD Term Loan B3, (3-mo. CME Term SOFR at 0.75% Floor + 3.60%), 8.95%, 10/01/26 |
312 | 312,378 | ||||||
|
|
|||||||
Distribution & Wholesale — 1.0% | ||||||||
American Builders & Contractors Supply Co. Inc., 2019 Term Loan, (1-mo. CME Term SOFR + 2.00%), 7.33%, 01/15/27 |
59 | 59,079 | ||||||
Core & Main LP, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.60%), 7.97%, 07/27/28 |
113 | 113,221 | ||||||
Dealer Tire Financial LLC, 2024 Term Loan B3, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.08%, 12/14/27 |
54 | 54,382 | ||||||
PAI Holdco Inc., 2020 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.01%), 9.32%, 10/28/27 |
45 | 43,069 | ||||||
|
|
|||||||
269,751 | ||||||||
Diversified Financial Services — 2.7% | ||||||||
Advisor Group Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 4.50%), 9.83%, 08/17/28 |
62 | 61,451 | ||||||
Aretec Group Inc., 2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.60%), 9.93%, 08/09/30(c) |
34 | 33,919 | ||||||
Castlelake Aviation Ltd., Term Loan B, (3-mo. CME Term SOFR + 3.01%), 8.13%, 10/22/26 |
69 | 68,613 | ||||||
Deerfield Dakota Holding LLC |
||||||||
2020 USD Term Loan B, (3-mo. CME Term SOFR at 1.00% Floor + 3.75%), 9.10%, 04/09/27 |
257 | 252,615 | ||||||
2021 USD 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 7.01%), 12.36%, 04/07/28 |
50 | 49,063 | ||||||
Digicel
International Finance Ltd., 2024 Term Loan, |
31 | 30,844 | ||||||
Fleetcor Technologies Operating Co. LLC, 2021 Term Loan B4, (1-mo. CME Term SOFR + 1.85%), 7.18%, 04/28/28 |
59 | 59,056 | ||||||
Focus Financial Partners LLC |
||||||||
2021 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.84%, 06/30/28 |
30 | 29,506 | ||||||
2024 Term Loan B7, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.08%, 06/30/28 |
45 | 44,705 | ||||||
Setanta Aircraft Leasing Designated Activity Co., Term Loan B, (3-mo. CME Term SOFR + 2.26%), 7.61%, 11/05/28 |
30 | 30,000 | ||||||
Trans Union LLC, 0.00%, 12/01/28 |
35 | 35,000 | ||||||
|
|
|||||||
694,772 | ||||||||
Electric — 0.6% | ||||||||
Calpine Construction Finance Co. LP, 2023 Refinancing Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.59%, 07/31/30 |
40 | 39,650 | ||||||
Calpine Corp., Term Loan B9, 01/31/31(c) |
42 | 41,601 |
Security |
Par (000) |
Value | ||||||
Electric (continued) | ||||||||
ExGen Renewables IV LLC, 2020 Term Loan, (3-mo. CME Term SOFR at 1.00% Floor + 2.76%), 8.15%, 12/15/27 |
38 | $ | 37,575 | |||||
Pike Corp., 2021 Incremental Term Loan B, (1-mo. CME Term SOFR + 3.11%), 8.45%, 01/21/28 |
30 | 30,003 | ||||||
|
|
|||||||
148,829 | ||||||||
Electrical Components & Equipment — 0.2% | ||||||||
Brookfield WEC Holdings Inc., 2024 Term Loan, 01/17/31(c) |
44 | 43,739 | ||||||
Energizer Holdings Inc., 2020 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.36%), 7.70%, 12/22/27 |
14 | 14,279 | ||||||
|
|
|||||||
58,018 | ||||||||
Electronics — 0.2% | ||||||||
II-VI Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.20%, 07/02/29 |
40 | 39,902 | ||||||
MX Holdings U.S. Inc., 2023 USD Term Loan B1D, (1-mo. CME Term SOFR at 0.75% Floor + 2.86%), 8.20%, 07/31/28(c) |
7 | 6,957 | ||||||
|
|
|||||||
46,859 | ||||||||
Engineering & Construction — 1.2% | ||||||||
Apple Bidco LLC |
||||||||
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.20%, 09/22/28 |
44 | 44,183 | ||||||
2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.83%, 09/22/28 |
25 | 24,767 | ||||||
Brand Industrial Services Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.50%), 10.88%, 08/01/30 |
209 | 207,937 | ||||||
Legence Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.60%), 8.93%, 12/16/27 |
8 | 7,911 | ||||||
USIC Holdings Inc., 2021 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.76%), 9.11%, 05/12/28 |
39 | 39,128 | ||||||
|
|
|||||||
323,926 | ||||||||
Entertainment — 5.7% | ||||||||
Bally’s Corp., 2021 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.83%, 10/02/28 |
42 | 38,835 | ||||||
Caesars Entertainment Inc. |
||||||||
2024 Term Loan B1, 01/24/31(c) |
126 | 125,685 | ||||||
Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.66%, 02/06/30 |
41 | 40,620 | ||||||
CDS U.S. Intermediate Holdings Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.60%, 03/08/30 |
33 | 32,589 | ||||||
Charter Next Generation Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.84%, 12/01/27 |
170 | 168,681 | ||||||
Churchill
Downs Inc., 2021 Incremental Term Loan B1, |
49 | 49,246 | ||||||
ECL Entertainment LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.75%), 10.08%, 08/31/30 |
16 | 15,968 | ||||||
Flutter Financing BV, Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.35%), 7.70%, 11/25/30 |
156 | 155,426 | ||||||
Formula One Holdings Ltd., 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 2.25%), 7.60%, 01/15/30 |
64 | 63,904 |
58 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Floating Rate Loan ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Entertainment (continued) | ||||||||
Herschend Entertainment Co. LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.11%), 8.33%, 08/27/28 |
49 | $ | 49,400 | |||||
Light and Wonder International Inc., 2024 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.75%), 8.08%, 04/14/29 |
39 | 39,482 | ||||||
Lions Gate Capital Holdings LLC, 2018 Term Loan B, (1-mo. CME Term SOFR + 2.35%), 7.68%, 03/24/25 |
39 | 39,172 | ||||||
Live
Nation Entertainment Inc., Term Loan B4, |
129 | 128,481 | ||||||
Motion Finco SARL |
||||||||
USD Term Loan B1, (3-mo. CME Term SOFR + 3.25%), 8.86%, 11/12/26 |
32 | 31,758 | ||||||
Delayed Draw Term Loan B2, (3-mo. CME Term SOFR + 3.25%), 8.86%, 11/12/26 |
5 | 4,527 | ||||||
NASCAR Holdings LLC, Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.95%, 10/19/26 |
9 | 9,326 | ||||||
Penn Entertainment Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.85%), 8.18%, 05/03/29(b) |
69 | 68,895 | ||||||
SeaWorld Parks & Entertainment Inc., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 08/25/28 |
24 | 23,729 | ||||||
SMG U.S. Midco 2 Inc., 2020 Term Loan, (3-mo. CME Term SOFR + 2.76%), 8.07%, 01/23/25 |
30 | 29,596 | ||||||
Stars Group Holdings BV, 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.52%), 8.86%, 07/22/28 |
21 | 20,643 | ||||||
UFC Holdings LLC, 2021 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.01%), 8.34%, 04/29/26 |
63 | 62,881 | ||||||
William Morris Endeavor Entertainment LLC, 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 2.86%), 8.20%, 05/18/25 |
179 | 179,248 | ||||||
WMG Acquisition Corp., 2024 Term Loan I, (3-mo. CME Term SOFR + 2.00%), 7.34%, 01/24/31 |
111 | 110,959 | ||||||
|
|
|||||||
1,489,051 | ||||||||
Environmental Control — 1.5% | ||||||||
Covanta Holding Corp. |
||||||||
2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 11/30/28 |
44 | 43,893 | ||||||
2021 Term Loan C, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.83%, 11/30/28 |
3 | 3,346 | ||||||
Filtration Group Corp. |
||||||||
2021 Incremental Term Loan, (1-mo. CME Term SOFR + 3.61%), 8.95%, 10/21/28 |
74 | 73,954 | ||||||
2023 USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.36%), 9.70%, 10/21/28 |
59 | 59,252 | ||||||
GFL Environmental Inc., 2023 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.82%, 05/31/27 |
23 | 22,566 | ||||||
JFL-Tiger Acquisition Co. Inc., Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 5.00%), 10.32%, 10/17/30 |
18 | 17,962 | ||||||
Madison IAQ LLC, Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.36%), 8.70%, 06/21/28 |
119 | 117,974 | ||||||
Packers Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 3.35%), 8.69%, 03/09/28 |
36 | 23,814 |
Security | Par (000) |
Value | ||||||
Environmental Control (continued) | ||||||||
The Action Environmental Group Inc., 2023 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.88%, 10/24/30(d) |
21 | $ | 20,999 | |||||
|
|
|||||||
383,760 | ||||||||
Food — 2.7% | ||||||||
8th Avenue Food & Provisions Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.86%), 9.20%, 10/01/25 |
61 | 59,150 | ||||||
B&G Foods Inc., 2019 Term Loan B4, (1-mo. CME Term SOFR + 2.50%), 7.83%, 10/10/26 |
9 | 8,832 | ||||||
Chobani LLC |
||||||||
2020 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.61%), 8.95%, 10/25/27 |
123 | 123,528 | ||||||
2023 Incremental Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.08%, 10/25/27 |
25 | 25,000 | ||||||
Froneri International Ltd., 2020 USD Term Loan, (1-mo. CME Term SOFR + 2.35%), 7.68%, 01/29/27 |
194 | 193,127 | ||||||
H Food Holdings LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.95%), 9.27%, 05/23/25 |
15 | 11,448 | ||||||
Nomad Foods U.S. LLC, Term Loan B4, (6-mo. CME Term SOFR at 0.50% Floor + 3.07%), 8.47%, 11/13/29 |
30 | 29,846 | ||||||
Sovos
Brands Intermediate Inc., 2021 Term Loan, |
75 | 75,527 | ||||||
U.S. Foods Inc. |
||||||||
2019 Term Loan B, (1-mo. CME Term SOFR + 2.11%), 7.45%, 09/13/26 |
46 | 46,019 | ||||||
2021 Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.95%, 11/22/28 |
22 | 21,888 | ||||||
UTZ Quality Foods LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 3.11%), 8.45%, 01/20/28 |
104 | 103,614 | ||||||
|
|
|||||||
697,979 | ||||||||
Food Service — 0.3% | ||||||||
Aramark Services Inc. |
||||||||
2021 Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.95%, 04/06/28 |
20 | 19,955 | ||||||
2023 Term Loan B6, (1-mo. CME Term SOFR + 2.61%), 7.95%, 06/22/30 |
49 | 49,128 | ||||||
|
|
|||||||
69,083 | ||||||||
Forest Products & Paper — 0.1% | ||||||||
Asplundh Tree Expert LLC, 2021 Term Loan B, (1-mo. |
||||||||
CME Term SOFR + 1.85%), 7.18%, 09/07/27 |
39 | 39,454 | ||||||
|
|
|||||||
Health Care - Products — 2.7% | ||||||||
Avantor Funding Inc., 2021 Term Loan B5, (1-mo. CME Term SOFR at 0.50% Floor + 2.35%), 7.68%, 11/08/27 |
28 | 28,110 | ||||||
Bausch & Lomb Corp. |
||||||||
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.68%, 05/10/27 |
130 | 126,519 | ||||||
2023 Incremental Term Loan, (1-mo. CME Term SOFR + 4.00%), 9.33%, 09/29/28(d) |
30 | 29,327 | ||||||
Femur Buyer Inc., 1st Lien Term Loan, (3-mo. CME Term SOFR + 4.76%), 10.11%, 03/05/26 |
30 | 25,889 | ||||||
Maravai Intermediate Holdings LLC, 2022 Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.00%), 8.31%, 10/19/27 |
74 | 73,222 |
S C H E D U L E O F I N V E S T M E N T S |
59 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Floating Rate Loan ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Health Care - Products (continued) | ||||||||
Medical Solutions Holdings Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.68%, 11/01/28 |
30 | $ | 26,618 | |||||
Medline Borrower LP, USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.11%), 8.45%, 10/23/28 |
313 | 311,991 | ||||||
Sotera Health Holdings LLC, 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.20%, 12/11/26 |
94 | 94,174 | ||||||
|
|
|||||||
715,850 | ||||||||
Health Care - Services — 2.2% | ||||||||
Catalent Pharma Solutions Inc., 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.50% Floor + 2.11%), 7.45%, 02/22/28 |
64 | 63,262 | ||||||
Da Vinci Purchaser Corp., 2019 Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.11%), 9.45%, 01/08/27 |
29 | 29,378 | ||||||
Electron BidCo Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.11%), 8.45%, 11/01/28 |
64 | 64,030 | ||||||
eResearchTechnology Inc., 2020 1st Lien Term Loan, (1-mo. CME Term SOFR at 1.00% Floor + 4.61%), 9.95%, 02/04/27 |
24 | 24,304 | ||||||
Fortrea Holdings Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.08%, 07/01/30 |
14 | 13,923 | ||||||
ICON Luxembourg S.A.R.L., LUX Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.51%), 7.86%, 07/03/28 |
59 | 59,163 | ||||||
IQVIA Inc., 2023 USD Term Loan B4, (3-mo. CME Term SOFR + 2.00%), 7.35%, 01/02/31 |
43 | 43,043 | ||||||
MED ParentCo LP, 1st Lien Term Loan, (1-mo. CME Term SOFR + 4.36%), 9.70%, 08/31/26 |
11 | 10,381 | ||||||
Phoenix Newco Inc., 2021 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.36%), 8.70%, 11/15/28 |
124 | 123,269 | ||||||
Precision
Medicine Group LLC, 2021 Term Loan, |
44 | 43,558 | ||||||
Star Parent Inc., Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.35%, 09/27/30 |
55 | 53,664 | ||||||
Surgery Center Holdings Inc., 2023 Term Loan, (1-mo. CME Term SOFR + 3.50%), 8.83%, 12/19/30 |
43 | 43,069 | ||||||
|
|
|||||||
571,044 | ||||||||
Holding Companies - Diversified — 0.0% | ||||||||
GIP Pilot Acquisition Partners LP, Term Loan, (3-mo. CME Term SOFR + 3.00%), 8.33%, 10/04/30 |
10 | 9,996 | ||||||
|
|
|||||||
Home Furnishings — 0.6% | ||||||||
AI Aqua Merger Sub Inc., 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.59%, 07/31/28 |
40 | 40,428 | ||||||
Weber-Stephen Products LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.36%), 8.70%, 10/30/27 |
141 | 127,338 | ||||||
|
|
|||||||
167,766 | ||||||||
Housewares — 1.0% | ||||||||
Hunter Douglas Inc., USD Term Loan B1, (3-mo. CME Term SOFR + 3.50%), 8.88%, 02/26/29 |
129 | 126,510 | ||||||
Restoration Hardware Inc. |
||||||||
Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.61%), 7.95%, 10/20/28 |
20 | 18,908 |
Security | Par (000) |
Value | ||||||
Housewares (continued) | ||||||||
2022 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.68%, 10/20/28 |
20 | $ | 19,034 | |||||
Springs Windows Fashions LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.11%), 9.45%, 10/06/28 |
118 | 104,567 | ||||||
|
|
|||||||
269,019 | ||||||||
Insurance — 5.8% | ||||||||
Alliant Holdings Intermediate LLC, 2023 Term Loan B6, (1-mo. CME Term SOFR at 0.50% Floor + 3.50%), 8.83%, 11/06/30 |
177 | 177,122 | ||||||
AmWINS Group Inc. |
||||||||
2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.36%), 7.70%, 02/19/28 |
104 | 103,572 | ||||||
2023 Incremental Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.86%), 8.20%, 02/19/28 |
16 | 15,772 | ||||||
Amynta Agency Borrower Inc., 2023 1st Lien Term Loan B, (1-mo. CME Term SOFR + 4.25%), 9.58%, 02/28/28 |
48 | 47,787 | ||||||
AssuredPartners Inc. |
||||||||
2020 Term Loan B, (1-mo. CME Term SOFR + 3.61%), 8.95%, 02/12/27 |
99 | 98,369 | ||||||
2023 Term Loan B4, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.08%, 02/12/27(c) |
3 | 2,984 | ||||||
Asurion LLC |
||||||||
2020 Term Loan B8, (1-mo. CME Term SOFR + 3.36%), 8.70%, 12/23/26 |
89 | 88,372 | ||||||
2023 Term Loan B11, (1-mo. CME Term SOFR + 4.35%), 9.68%, 08/19/28 |
11 | 10,792 | ||||||
2021 2nd Lien Term Loan B3, (1-mo. CME Term SOFR + 5.36%), 10.70%, 01/31/28 |
65 | 62,168 | ||||||
2021 2nd Lien Term Loan B4, (1-mo. CME Term SOFR + 5.36%), 10.70%, 01/20/29 |
30 | 28,397 | ||||||
Baldwin
Risk Partners LLC, 2021 Term Loan B, |
49 | 49,182 | ||||||
HUB International Ltd. |
||||||||
2024 Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 3.25%), 8.57%, 06/20/30 |
214 | 214,279 | ||||||
2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 4.51%), 9.59%, 06/20/30 |
55 | 54,979 | ||||||
Jones Deslauriers Insurance Management Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.62%, 03/15/30 |
40 | 39,975 | ||||||
Ryan Specialty Group LLC, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 2.75%), 8.08%, 09/01/27 |
84 | 84,151 | ||||||
Sedgwick Claims Management Services Inc., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.08%, 02/24/28 |
179 | 178,748 | ||||||
USI Inc. |
||||||||
2023 Term Loan B, (3-mo. CME Term SOFR + 3.00%), 8.35%, 11/22/29 |
179 | 178,197 | ||||||
2023 Acquisition Term Loan, (3-mo. CME Term SOFR + 3.25%), 8.60%, 09/27/30(c) |
91 | 90,749 | ||||||
|
|
|||||||
1,525,595 | ||||||||
Internet — 3.6% | ||||||||
Adevinta ASA, USD Term Loan B, (3-mo. CME Term SOFR + 3.01%), 8.36%, 06/26/28 |
17 | 16,723 |
60 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Floating Rate Loan ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Internet (continued) | ||||||||
Barracuda Networks Inc., 2022 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.81%, 08/15/29 |
20 | $ | 19,104 | |||||
CNT Holdings I Corp., 2020 Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 3.50%), 8.83%, 11/08/27 |
70 | 70,164 | ||||||
Gen Digital Inc., 2022 Term Loan B, (1-mo. CME Term |
||||||||
SOFR at 0.50% Floor + 2.10%), 7.43%, 09/12/29 |
56 | 55,791 | ||||||
Go Daddy Operating Co. LLC |
||||||||
2024 Term Loan B6, (1-mo. CME Term SOFR + 2.00%), 7.33%, 11/09/29 |
44 | 43,528 | ||||||
2021 Term Loan B4, (1-mo. CME Term SOFR + 2.11%), 7.45%, 08/10/27 |
39 | 39,454 | ||||||
I-Logic Technologies Bidco Ltd., 2021 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.15%), 9.50%, 02/16/28 |
20 | 19,555 | ||||||
ION
Trading Finance Ltd., 2021 USD Term Loan, |
20 | 19,381 | ||||||
MH Sub I LLC |
||||||||
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.58%, 05/03/28 |
117 | 114,833 | ||||||
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR + 6.25%), 11.58%, 02/23/29 |
100 | 95,583 | ||||||
Proofpoint Inc. |
||||||||
1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.36%), 8.70%, 08/31/28 |
183 | 181,737 | ||||||
2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.36%), 11.70%, 08/31/29 |
30 | 29,970 | ||||||
PUG LLC, USD Term Loan, (1-mo. CME Term SOFR + 3.61%), 8.95%, 02/12/27 |
169 | 166,525 | ||||||
Uber Technologies Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 2.75%), 8.13%, 03/03/30 |
59 | 58,494 | ||||||
Voyage Australia Pty. Ltd., USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 3.76%), 9.08%, 07/20/28 |
9 | 8,729 | ||||||
|
|
|||||||
939,571 | ||||||||
Leisure Time — 2.1% | ||||||||
Alterra Mountain Co., 2023 Term Loan B, (1-mo. CME Term SOFR + 3.85%), 9.18%, 05/31/30 |
5 | 4,975 | ||||||
Carnival Corp., 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.00%), 8.34%, 08/08/27 |
65 | 64,776 | ||||||
City Football Group Ltd., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.11%), 8.45%, 07/21/28 |
63 | 62,663 | ||||||
Equinox
Holdings Inc., 2017 1st Lien Term Loan, |
108 | 106,810 | ||||||
Hayward Industries Inc., 2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.20%, 05/30/28 |
39 | 39,388 | ||||||
Peloton Interactive Inc., Term Loan, (6-mo. CME Term SOFR at 0.50% Floor + 7.10%), 12.48%, 05/25/27 |
20 | 19,906 | ||||||
Topgolf
Callaway Brands Corp., Term Loan B, |
36 | 35,626 | ||||||
Whatabrands LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.11%), 8.45%, 08/03/28 |
210 | 209,086 | ||||||
|
|
|||||||
543,230 | ||||||||
Lodging — 2.3% | ||||||||
Aimbridge
Acquisition Co. Inc., 2019 Term Loan B, |
68 | 65,103 |
Security |
Par (000) |
Value | ||||||
Lodging (continued) | ||||||||
Fertitta Entertainment LLC, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.33%, 01/27/29 |
188 | $ | 187,626 | |||||
Four Seasons Hotels Ltd. |
||||||||
2024 Term Loan B, 11/30/29(c) |
23 | 22,986 | ||||||
2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.60%), 7.93%, 11/30/29 |
106 | 105,863 | ||||||
Hilton Domestic Operating Co. Inc., 2023 Term Loan B4, (1-mo. CME Term SOFR + 2.10%), 7.44%, 11/08/30 |
129 | 128,952 | ||||||
Playa Resorts Holding BV, 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.58%, 01/05/29 |
16 | 15,824 | ||||||
Station Casinos LLC, 2020 Term Loan B, (1-mo. CME Term SOFR at 0.25% Floor + 2.35%), 7.68%, 02/08/27 |
39 | 39,363 | ||||||
Wyndham
Hotels & Resorts Inc., 2023 Term Loan B, |
30 | 29,837 | ||||||
|
|
|||||||
595,554 | ||||||||
Machinery — 2.6% | ||||||||
Arcline
FM Holdings LLC, 2021 1st Lien Term Loan, |
39 | 39,319 | ||||||
Gardner Denver Inc., 2020 USD Term Loan B2, (1-mo. CME Term SOFR + 1.85%), 7.18%, 03/01/27 |
31 | 31,239 | ||||||
Generac
Power Systems Inc., 2019 Term Loan B, |
10 | 9,984 | ||||||
Roper Industrial Products Investment Co. LLC, 2023 USD Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.35%, 11/22/29 |
193 | 193,431 | ||||||
SPX Flow Inc., 2022 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.60%), 9.93%, 04/05/29 |
70 | 69,638 | ||||||
Titan Acquisition Ltd., 2018 Term Loan B, (1-mo. CME Term SOFR + 3.11%), 8.45%, 03/28/25 |
94 | 93,670 | ||||||
TK Elevator U.S. Newco Inc., Term Loan B, (6-mo. CME Term SOFR at 0.50% Floor + 3.93%), 9.08%, 07/30/27 |
169 | 168,760 | ||||||
Vertiv Group Corp., 2023 Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.97%, 03/02/27 |
84 | 83,758 | ||||||
|
|
|||||||
689,799 | ||||||||
Manufacturing — 0.3% | ||||||||
Gates Global LLC, 2021 Term Loan B3, (1-mo. CME Term SOFR at 0.75% Floor + 2.60%), 7.93%, 03/31/27 |
69 | 68,983 | ||||||
Mavis Tire Express Services Corp., 2024 Term Loan B, 05/04/28(c) |
8 | 7,992 | ||||||
|
|
|||||||
76,975 | ||||||||
Media — 1.3% | ||||||||
Altice
Financing SA, USD 2017 1st Lien Term Loan, |
39 | 38,878 | ||||||
Charter Communications Operating LLC, 2023 Term Loan B4, (3-mo. CME Term SOFR + 2.00%), 7.33%, 12/07/30 |
42 | 41,106 | ||||||
CSC Holdings LLC, 2019 Term Loan B5, (1-mo. LIBOR US + 2.50%), 7.95%, 04/15/27 |
59 | 56,434 | ||||||
DirecTV Financing LLC, Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.26%), 10.65%, 08/02/27 |
21 | 21,325 | ||||||
Radiate Holdco LLC, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.36%), 8.70%, 09/25/26 |
97 | 78,785 |
S C H E D U L E O F I N V E S T M E N T S |
61 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Floating Rate Loan ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Media (continued) | ||||||||
Sinclair Television Group Inc., 2022 Term Loan B4, (1-mo. CME Term SOFR + 3.85%), 9.18%, 04/21/29 |
17 | $ | 15,676 | |||||
UPC Financing Partnership, 2021 USD Term Loan AX, (1-mo. CME Term SOFR + 3.11%), 8.45%, 01/31/29 |
25 | 24,663 | ||||||
Virgin Media Bristol LLC, 2020 USD Term Loan Q, (1-mo. CME Term SOFR + 3.36%), 8.70%, 01/31/29 |
24 | 23,786 | ||||||
Ziggo Financing Partnership, USD Term Loan I, (1-mo. CME Term SOFR + 2.61%), 7.95%, 04/30/28 |
30 | 29,288 | ||||||
|
|
|||||||
329,941 | ||||||||
Metal Fabricate & Hardware — 0.1% | ||||||||
AZZ Inc., Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.75%), 9.08%, 05/13/29 |
19 | 18,611 | ||||||
|
|
|||||||
Packaging & Containers — 0.6% | ||||||||
LABL Inc., 2021 USD 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.10%), 10.43%, 10/29/28 |
44 | 42,151 | ||||||
Mauser Packaging Solutions Holding Co., Term Loan B, (1-mo. CME Term SOFR + 4.00%), 9.35%, 08/14/26 |
42 | 41,750 | ||||||
Pregis TopCo Corp., 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.75%), 9.08%, 07/31/26(f) |
20 | 19,735 | ||||||
Trident TPI Holdings Inc., 2021 Term Loan B3, (3-mo. CME Term SOFR at 0.50% Floor + 4.26%), 9.61%, 09/15/28 |
44 | 43,423 | ||||||
|
|
|||||||
147,059 | ||||||||
Pharmaceuticals — 1.8% | ||||||||
Amneal Pharmaceuticals LLC, 2023 Term Loan B, (1-mo. CME Term SOFR + 5.50%), 10.83%, 05/04/28 |
30 | 29,425 | ||||||
Bausch Health Companies Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 5.35%), 10.69%, 02/01/27 |
38 | 29,507 | ||||||
Elanco Animal Health Inc., Term Loan B, (1-mo. CME Term SOFR + 1.85%), 7.20%, 08/01/27 |
73 | 71,700 | ||||||
Gainwell Acquisition Corp., Term Loan B, (3-mo. CME Term SOFR at 0.75% Floor + 4.10%), 9.45%, 10/01/27 |
109 | 105,945 | ||||||
Jazz Financing Lux S.a.r.l., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.11%), 8.45%, 05/05/28 |
79 | 78,816 | ||||||
Option Care Health Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.20%, 10/27/28 |
35 | 34,573 | ||||||
Organon & Co., USD Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.11%), 8.45%, 06/02/28 |
84 | 83,577 | ||||||
Perrigo Investments LLC, Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.35%), 7.68%, 04/20/29 |
30 | 29,600 | ||||||
PRA Health Sciences Inc., US Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 2.51%), 7.86%, 07/03/28 |
15 | 14,740 | ||||||
|
|
|||||||
477,883 | ||||||||
Pipelines — 1.2% | ||||||||
Freeport LNG Investments LLLP, Term Loan B, (3-mo. CME Term SOFR + 3.50%), 9.08%, 12/21/28 |
183 | 180,911 | ||||||
New Fortress Energy Inc., Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 5.00%), 10.32%, 10/27/28 |
60 | 59,970 | ||||||
Oryx Midstream Services Permian Basin LLC, 2023 Incremental Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.71%, 10/05/28 |
70 | 69,402 | ||||||
|
|
|||||||
310,283 |
Security | Par (000) |
Value | ||||||
Real Estate — 0.4% | ||||||||
Cushman & Wakefield U.S. Borrower LLC |
||||||||
2020 Term Loan B, (1-mo. CME Term SOFR + 2.86%), 8.20%, 08/21/25 |
3 | $ | 3,394 | |||||
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.35%), 8.68%, 01/31/30 |
38 | 37,170 | ||||||
2023 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 4.00%), 9.33%, 01/31/30(d) |
30 | 29,775 | ||||||
Motion Finco Sarl, 2024 USD Term Loan B, 11/12/29(c) |
42 | 41,711 | ||||||
|
|
|||||||
112,050 | ||||||||
Real Estate Investment Trusts — 0.1% | ||||||||
RHP Hotel Properties LP, 2023 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.08%, 05/18/30 |
20 | 19,820 | ||||||
|
|
|||||||
Retail — 2.5% | ||||||||
1011778 B.C. Un Ltd. Liability Co., 2023 Term Loan B5, (1-mo. CME Term SOFR + 2.25%), 7.58%, 09/20/30 |
74 | 73,958 | ||||||
Beacon Roofing Supply Inc., 2021 Term Loan B, (1-mo. CME Term SOFR + 2.61%), 7.95%, 05/19/28 |
39 | 39,513 | ||||||
IRB Holding Corp., 2024 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.85%), 8.18%, 12/15/27 |
95 | 94,504 | ||||||
LBM Acquisition LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.85%), 9.18%, 12/17/27 |
30 | 29,339 | ||||||
Leslie’s Poolmart Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.86%), 8.20%, 03/09/28 |
30 | 29,245 | ||||||
PetSmart Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.85%), 9.18%, 02/11/28 |
104 | 103,032 | ||||||
Pilot Travel Centers LLC, 2021 Term Loan B, (1-mo. CME Term SOFR + 2.10%), 7.43%, 08/04/28 |
59 | 59,143 | ||||||
Sally Holdings LLC, 2023 CovLite Term Loan B, (1-mo. CME Term SOFR + 2.25%), 7.58%, 02/28/30 |
20 | 19,900 | ||||||
SRS Distribution Inc., 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.61%), 8.95%, 06/02/28 |
128 | 127,682 | ||||||
White Cap Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.75%), 9.08%, 10/19/27 |
79 | 78,677 | ||||||
|
|
|||||||
654,993 | ||||||||
Semiconductors — 0.4% | ||||||||
MKS Instruments Inc., 2023 USD Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 2.50%), 7.85%, 08/17/29 |
102 | 101,423 | ||||||
|
|
|||||||
Software — 10.1% | ||||||||
Applied Systems Inc. |
||||||||
2022 Extended 1st Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.85%, 09/18/26 |
71 | 71,603 | ||||||
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.75% Floor + 6.75%), 12.10%, 09/17/27 |
40 | 40,080 | ||||||
Ascend Learning LLC |
||||||||
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.60%), 8.93%, 12/11/28 |
19 | 18,962 | ||||||
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 5.85%), 11.18%, 12/10/29 |
12 | 11,072 | ||||||
Athenahealth Inc., 2022 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.58%, 02/15/29 |
172 | 169,813 | ||||||
CCC Intelligent Solutions Inc., Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 2.36%), 7.70%, 09/21/28 |
69 | 69,162 | ||||||
Central Parent Inc., 2023 Term Loan B, (3-mo. CME Term SOFR + 4.00%), 9.35%, 07/06/29 |
259 | 259,403 |
62 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Floating Rate Loan ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Software (continued) | ||||||||
Cloud Software Group Inc., 2022 USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.60%), 9.95%, 03/30/29 |
301 | $ | 295,492 | |||||
Cloudera Inc. |
||||||||
2021 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.85%), 9.18%, 10/08/28(d) |
25 | 24,156 | ||||||
2021 2nd Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 6.10%), 11.43%, 10/08/29 |
30 | 28,963 | ||||||
Dun & Bradstreet Corp. (The), 2024 Term Loan B, (1-mo. CME Term SOFR + 2.75%), 8.09%, 01/18/29 |
315 | 315,034 | ||||||
Emerald TopCo Inc., Term Loan, (1-mo. CME Term SOFR + 3.61%), 8.95%, 07/24/26 |
84 | 83,098 | ||||||
Grab Holdings Inc, Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 4.61%), 9.95%, 01/29/26 |
31 | 30,927 | ||||||
Greeneden U.S. Holdings II LLC, 2020 USD Term Loan B4, (1-mo. CME Term SOFR at 0.75% Floor + 4.11%), 9.45%, 12/01/27 |
97 | 96,979 | ||||||
Helios
Software Holdings Inc., 2024 Term Loan, |
37 | 36,700 | ||||||
Informatica LLC, 2021 USD Term Loan B, (1-mo. CME Term SOFR + 2.86%), 8.20%, 10/27/28 |
129 | 128,422 | ||||||
Playtika Holding Corp., 2021 Term Loan, (1-mo. CME Term SOFR + 2.86%), 8.20%, 03/13/28 |
68 | 67,443 | ||||||
Polaris Newco LLC, USD Term Loan B, (3-mo. CME Term SOFR at 0.50% Floor + 4.26%), 9.57%, 06/02/28 |
199 | 194,156 | ||||||
RealPage Inc., 1st Lien Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 3.11%), 8.45%, 04/24/28 |
233 | 227,718 | ||||||
Severin Acquisition LLC, 2018 Term Loan B, (3-mo. CME Term SOFR + 3.25%), 8.56%, 08/01/27 |
43 | 42,571 | ||||||
Sophia LP, 2021 Term Loan B, (1-mo. CME Term SOFR at 0.50% Floor + 3.60%), 8.93%, 10/07/27 |
84 | 83,705 | ||||||
SS&C Technologies Inc. |
||||||||
2018 Term Loan B3, (1-mo. CME Term SOFR + 1.86%), 7.20%, 04/16/25 |
24 | 24,221 | ||||||
2018 Term Loan B4, (1-mo. CME Term SOFR + 1.86%), 7.20%, 04/16/25 |
23 | 22,538 | ||||||
UKG Inc. |
||||||||
2021 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 3.25%), 8.68%, 05/04/26 |
20 | 19,715 | ||||||
Term Loan B, (3-mo. CME Term SOFR + 3.85%), 9.16%, 05/04/26 |
39 | 39,485 | ||||||
2021 2nd Lien Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 5.35%), 10.68%, 05/03/27 |
50 | 49,961 | ||||||
Ultimate Software Group Inc. (The), 2024 Term Loan B, 01/30/31(c)(d) |
49 | 49,060 | ||||||
Venga Finance Sarl, 2023 Incremental Term Loan, 06/28/29(c) |
21 | 20,928 | ||||||
Veritas U.S. Inc., 2021 USD Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 5.11%), 10.45%, 09/01/25 |
59 | 50,909 | ||||||
VS Buyer LLC, Term Loan B, (1-mo. CME Term SOFR + 3.35%), 8.68%, 02/28/27 |
72 | 71,882 | ||||||
|
|
|||||||
2,644,158 | ||||||||
Telecommunications — 3.6% | ||||||||
A-L Parent LLC, 2023 Take Back Term Loan, (1-mo. CME Term SOFR at 2.00% Floor + 5.50%), 10.83%, 06/30/28 |
22 | 21,916 | ||||||
Altice France SA, 2023 USD Term Loan B14, (3-mo. CME Term SOFR + 5.50%), 10.81%, 08/15/28 |
60 | 54,062 |
Security |
Par (000) |
Value | ||||||
Telecommunications (continued) | ||||||||
Ciena Corp., 2020 Term Loan B, (1-mo. CME Term SOFR + 2.00%), 7.34%, 10/24/30(c) |
55 | $ | 54,948 | |||||
Cogeco Financing 2 LP, 2023 Term Loan B, (3-mo. CME Term SOFR + 2.61%), 7.88%, 09/29/28 |
39 | 38,318 | ||||||
Connect Finco Sarl, 2021 Term Loan B, (1-mo. CME Term SOFR at 1.00% Floor + 3.50%), 8.83%, 12/11/26 |
233 | 232,469 | ||||||
Digicel International Finance Ltd., 2017 Term Loan B1, 03/29/24(c) |
1 | 1,209 | ||||||
GOGO Intermediate Holdings LLC, Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 3.86%), 9.20%, 04/30/28 |
17 | 16,900 | ||||||
Insulet Corp., Term Loan B, (1-mo. CME Term SOFR + 3.00%), 8.33%, 05/04/28 |
20 | 19,757 | ||||||
Iridium Satellite LLC, 2023 Term Loan B, (1-mo. CME Term SOFR at 0.75% Floor + 2.50%), 7.83%, 09/20/30 |
92 | 91,847 | ||||||
Level 3 Financing Inc., 2023 TSA Term Loan B, (1-mo. CME Term SOFR + 1.86%), 7.20%, 03/01/27(d) |
50 | 48,000 | ||||||
Lumen Technologies Inc. |
||||||||
2024 Term Loan A, 06/01/28(c) |
3 | 3,385 | ||||||
2023 TSA Term Loan B, (3-mo. CME Term SOFR + 2.36%), 7.71%, 03/15/27(d) |
69 | 47,374 | ||||||
NEP/NCP Holdco Inc., 2018 1st Lien Term Loan, (1-mo. CME Term SOFR + 3.36%, 1.50% PIK), 10.20%, 08/19/26(e) |
50 | 47,725 | ||||||
SBA Senior Finance II LLC, 2024 Term Loan B, 01/25/31(c) |
52 | 51,961 | ||||||
Viasat Inc. |
||||||||
Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.50%), 9.83%, 03/02/29 |
39 | 38,716 | ||||||
2023 Term Loan, (1-mo. CME Term SOFR at 0.50% Floor + 4.61%), 9.96%, 05/30/30(c) |
29 | 28,390 | ||||||
Zayo Group Holdings Inc., USD Term Loan, (1-mo. CME Term SOFR + 3.00%), 8.45%, 03/09/27 |
160 | 135,187 | ||||||
|
|
|||||||
932,164 | ||||||||
Transportation — 0.5% | ||||||||
Genesee & Wyoming Inc. (New), Term Loan, (3-mo. CME Term SOFR + 2.10%), 7.45%, 12/30/26 |
20 | 19,717 | ||||||
Medallion Midland Acquisition LLC, 2023 Term Loan, (3-mo. CME Term SOFR + 3.50%), 8.86%, 10/18/28 |
62 | 62,614 | ||||||
OLA Netherlands BV, Term Loan, (1-mo. CME Term SOFR at 0.75% Floor + 6.35%), 11.69%, 12/15/26 |
39 | 38,468 | ||||||
Rand Parent LLC, 2023 Term Loan B, (3-mo. CME Term SOFR + 4.25%), 9.60%, 03/17/30 |
11 | 10,871 | ||||||
|
|
|||||||
131,670 | ||||||||
Water — 0.1% | ||||||||
Olympus Water U.S. Holding Corp., 2024 Term Loan, (3-mo. CME Term SOFR at 0.50% Floor + 4.25%), 9.57%, 11/09/28 |
33 | 32,918 | ||||||
|
|
|||||||
Total
Floating Rate Loan Interests — 86.5% |
22,610,510 | |||||||
|
|
S C H E D U L E O F I N V E S T M E N T S |
63 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Floating Rate Loan ETF (Percentages shown are based on Net Assets) |
Security | Shares |
Value | ||||||
Common Stocks | ||||||||
Diversified Telecommunication Services — 0.1% | ||||||||
Learfield Communications LLC, NVS, (Acquired 09/06/23, Cost $ 3,910)(g) |
312 | $ | 13,260 | |||||
|
|
|||||||
Total
Common Stocks — 0.1% |
13,260 | |||||||
|
|
|||||||
Investment Companies | ||||||||
Exchange Traded Funds — 3.5% | ||||||||
iShares 0-5 Year High Yield Corporate Bond ETF(h) |
6,750 | 286,335 | ||||||
iShares iBoxx $ High Yield Corporate Bond ETF(h) |
8,175 | 633,399 | ||||||
|
|
|||||||
919,734 | ||||||||
|
|
|||||||
Total
Investment Companies — 3.5% |
919,734 | |||||||
|
|
|||||||
Total
Long-Term Investments — 96.6% |
25,237,921 | |||||||
|
|
|||||||
Short-Term Securities | ||||||||
Money Market Funds — 12.3% | ||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares, 5.32%(h)(i) |
3,210,000 | 3,210,000 | ||||||
|
|
|||||||
Total
Short-Term Securities — 12.3% |
3,210,000 | |||||||
|
|
|||||||
Total
Investments — 108.9% |
28,447,921 | |||||||
Liabilities in Excess of Other Assets — (8.9)% |
|
(2,316,800 | ) | |||||
|
|
|||||||
Net Assets — 100.0% |
$ | 26,131,121 | ||||||
|
|
(a) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(b) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(c) |
Represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(d) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) |
Payment-in-kind security which may pay interest/dividends in additional par/shares and/or in cash. Rates shown are the current rate and possible payment rates. |
(f) |
This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(g) |
Restricted security as to resale, excluding 144A securities. The Fund held restricted securities with a current value of $13,260, representing less than 0.05% of its net assets as of period end, and an original cost of $3,910. |
(h) |
Affiliate of the Fund. |
(i) |
Annualized 7-day yield as of period end. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended January 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 07/31/23 |
Purchases at Cost |
Proceeds from Sale |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value at 01/31/24 |
Shares Held at 01/31/24 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares |
$ | 950,000 | $ | 2,260,000 | (a) | $ | — | $ | — | $ | — | $ | 3,210,000 | 3,210,000 | $ | 20,133 | $ | — | ||||||||||||||||||
iShares 0-5 Year High Yield Corporate Bond ETF |
31,260 | 254,879 | — | — | 196 | 286,335 | 6,750 | 1,025 | — | |||||||||||||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF |
209,512 | 504,702 | (83,399 | ) | 1,332 | 1,252 | 633,399 | 8,175 | 5,320 | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | 1,332 | $ | 1,448 | $ | 4,129,734 | $ | 26,478 | $ | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
64 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Floating Rate Loan ETF |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
||||||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Corporate Bonds & Notes |
$ | — | $ | 1,694,417 | $ | — | $ | 1,694,417 | ||||||||
Floating Rate Loan Interests |
— | 21,970,217 | 524,830 | 22,495,047 | ||||||||||||
Investment Companies |
919,734 | — | — | 919,734 | ||||||||||||
Common Stocks |
— | 13,260 | — | 13,260 | ||||||||||||
Short-Term Securities |
||||||||||||||||
Money Market Funds |
3,210,000 | — | — | 3,210,000 | ||||||||||||
Unfunded Floating Rate Loan Interests(a) |
— | — | 23 | 23 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 4,129,734 | $ | 23,793,357 | $ | 524,853 | $ | 28,447,933 | |||||||||
|
|
|
|
|
|
|
|
(a) |
Unfunded floating rate loan interests are valued at the unrealized appreciation (depreciation) on the commitment. |
A reconciliation of Level 3 financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:
|
||||||||||||
Floating Rate Loan Interests |
Unfunded Floating Rate Loan Interests |
Total | ||||||||||
|
||||||||||||
Assets: |
||||||||||||
Open balance, as of July 31, 2023 |
$ | 232,860 | $ | — | $ | 232,860 | ||||||
Transfers into Level 3 |
142,367 | — | 142,367 | |||||||||
Transfers out of Level 3 |
(232,859 | ) | — | (232,859 | ) | |||||||
Accrued discounts/premiums |
1,937 | — | 1,937 | |||||||||
Net realized gain (loss) |
(2,836 | ) | — | (2,836 | ) | |||||||
Net change in unrealized appreciation (depreciation)(a)(b) |
(6,221 | ) | 23 | (6,198 | ) | |||||||
Purchases |
420,787 | — | 420,787 | |||||||||
Sales |
(31,205 | ) | — | (31,205 | ) | |||||||
|
|
|
|
|
|
|||||||
Closing balance, as of January 31, 2024 |
$ | 524,830 | $ | 23 | $ | 524,853 | ||||||
|
|
|
|
|
|
|||||||
Net change in unrealized appreciation (depreciation) on investments still held at January 31, 2024(b) |
$ | (6,221 | ) | $ | 23 | $ | (6,198 | ) | ||||
|
|
|
|
|
|
(a) |
Included in the related net change in unrealized appreciation (depreciation) in the Statements of Operations. |
(b) |
Any difference between net change in unrealized appreciation (depreciation) and net change in unrealized appreciation (depreciation) on investments still held at January 31, 2024 is generally due to investments no longer held or categorized as Level 3 at period end. |
The Fund’s financial instruments that are categorized as Level 3 were valued utilizing third-party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 financial investments.
See notes to financial statements.
S C H E D U L E O F I N V E S T M E N T S |
65 |
Schedule of Investments (unaudited) January 31, 2024 |
BlackRock High Yield Muni Income Bond ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Municipal Debt Obligations |
||||||||
Alabama — 13.3% | ||||||||
Black Belt Energy Gas District RB |
||||||||
4.00%, 06/01/51 (Put 09/01/31)(a) |
$ | 3,885 | $ | 3,890,012 | ||||
5.50%, 10/01/54 (Put 06/01/32) |
2,000 | 2,216,163 | ||||||
Hoover Industrial Development Board RB, AMT, 5.75%, 10/01/49 (Call 10/01/29) |
3,250 | 3,320,460 | ||||||
Midcity Improvement District Alabama Special Assesment, 3.88%, 11/01/27 |
120 | 115,487 | ||||||
Southeast Alabama Gas Supply District (The) RB, 5.00%, 08/01/54 (Put 04/01/32) |
1,000 | 1,064,199 | ||||||
Southeast Energy Authority A Cooperative District RB, 5.50%, 01/01/53 (Put 09/01/29)(a) |
100 | 107,565 | ||||||
Tuscaloosa
County Industrial Development Authority RB, 5.25%, 05/01/44 |
175 | 169,015 | ||||||
|
|
|||||||
10,882,901 | ||||||||
Arizona — 1.8% | ||||||||
Arizona Industrial Development Authority, 5.25%, 07/01/37 (Call 07/01/24)(b) |
155 | 154,280 | ||||||
Industrial Development Authority of the City of Phoenix Arizona (The) RB, 5.00%, 07/01/46 (Call 07/01/26)(b) |
1,000 | 960,543 | ||||||
Maricopa County Industrial Development Authority RB, AMT,4.00%, 10/15/47 (Call 01/01/26)(b) |
200 | 176,966 | ||||||
Sierra Vista Industrial Development Authority RB, 5.75%, 06/15/53 (Call 06/15/30)(b) |
160 | 160,258 | ||||||
|
|
|||||||
1,452,047 | ||||||||
Arkansas — 4.0% | ||||||||
Arkansas Development Finance Authority RB |
||||||||
AMT,4.50%, 09/01/49 (Call 09/01/26)(b) |
1,250 | 1,212,962 | ||||||
AMT,4.75%, 09/01/49 (Call 09/01/27)(b) |
400 | 394,156 | ||||||
AMT,5.45%, 09/01/52 (Call 09/01/25) |
150 | 152,042 | ||||||
AMT,6.88%, 07/01/48 (Call 07/01/28)(b) |
1,000 | 1,048,357 | ||||||
County of Baxter AR RB, 5.00%, 09/01/24 |
485 | 486,956 | ||||||
|
|
|||||||
3,294,473 | ||||||||
California — 8.4% | ||||||||
California County Tobacco Securitization Agency RB, 0.00%, 06/01/55 (Call 01/16/24)(c) |
2,955 | 231,599 | ||||||
California Enterprise Development Authority RB, 5.00%, 07/01/50 (Call 07/01/27)(b) |
600 | 545,568 | ||||||
California Municipal Finance Authority RB, AMT,4.00%, 07/15/29 |
1,000 | 994,805 | ||||||
California Pollution Control Financing Authority RB, 5.00%, 07/01/39 (Call 01/01/29)(b) |
500 | 527,262 | ||||||
California School Finance Authority RB, Series A, 5.00%, 06/01/61 (Call 06/01/29)(b) |
500 | 440,681 | ||||||
California Statewide Communities Development Authority RB |
||||||||
5.00%, 12/01/41 (Call 06/01/26)(b) |
500 | 500,009 | ||||||
5.00%, 12/01/46 (Call 06/01/26)(b) |
1,000 | 991,619 | ||||||
California Statewide Financing Authority RB, 0.00%, 06/01/55 (Call 06/01/24)(b)(c) |
4,250 | 227,134 | ||||||
CMFA Special Finance Agency I RB, Series A, 4.00%, 04/01/56 (Call 04/01/31)(b) |
250 | 173,114 | ||||||
CSCDA Community Improvement Authority RB |
||||||||
3.25%, 04/01/57 (Call 04/01/32)(b) |
100 | 67,556 | ||||||
4.00%, 10/01/46 (Call 10/01/31)(b) |
250 | 183,692 | ||||||
4.00%, 07/01/56 (Call 07/01/31)(b) |
250 | 184,017 | ||||||
4.00%, 07/01/58 (Call 07/01/32)(b) |
100 | 68,185 | ||||||
Golden State Tobacco Securitization Corp. RB |
||||||||
0.00%, 06/01/66 (Call 12/01/31)(c) |
2,500 | 287,730 | ||||||
5.00%, 06/01/51 (Call 12/01/31) |
1,000 | 1,041,989 |
Security | Par (000) |
Value | ||||||
California (continued) | ||||||||
Regents of the University of California Medical Center Pooled Revenue, 4.00%, 05/15/53 (Call 05/15/32) |
$ | 410 | $ | 406,756 | ||||
|
|
|||||||
6,871,716 | ||||||||
Colorado — 2.6% | ||||||||
City & County of Denver Co. Dedicated Excise Tax Revenue RB, 4.00%, 08/01/51 (Call 08/01/31) |
500 | 473,410 | ||||||
Clear Creek Transit Metropolitan District No. 2 GOL, Series A, 5.00%, 12/01/50 (Call 12/01/26) |
500 | 428,397 | ||||||
Colorado Health Facilities Authority, 5.00%, 05/15/49 (Call 05/15/28) |
100 | 57,901 | ||||||
Colorado Health Facilities Authority RB, 5.25%, 11/01/39 (Call 11/01/32) |
65 | 70,438 | ||||||
Loretto Heights Community Authority RB, 4.88%, 12/01/51 (Call 06/01/26) |
500 | 398,614 | ||||||
North Range Metropolitan District No.3 GOL, 5.25%, 12/01/50 (Call 12/01/25) |
500 | 487,575 | ||||||
Pueblo Urban Renewal Authority TA |
||||||||
4.75%, 12/01/45 (Call 12/01/30)(b) |
100 | 67,120 | ||||||
Series B, 0.00%, 12/01/25(b)(c) |
150 | 127,500 | ||||||
|
|
|||||||
2,110,955 | ||||||||
Delaware — 0.0% | ||||||||
Affordable Housing Opportunities Trust RB, 6.88%, 05/01/39(b)(d) |
40 | 37,555 | ||||||
|
|
|||||||
District of Columbia — 1.0% | ||||||||
District of Columbia RB, AMT,5.50%, 02/28/37 |
90 | 103,826 | ||||||
District of Columbia Tobacco Settlement Financing Corp. RB, Series C, 0.00%, 06/15/55 (Call 06/15/24)(c) |
6,800 | 720,795 | ||||||
|
|
|||||||
824,621 | ||||||||
Florida — 8.2% | ||||||||
Babcock Ranch Community Independent Special District Special Assessment |
||||||||
4.25%, 05/01/32 |
100 | 96,586 | ||||||
5.00%, 05/01/42 (Call 05/01/32) |
1,000 | 960,264 | ||||||
Boggy Creek Improvement District, 5.13%, 05/01/43 (Call 05/01/24) |
500 | 488,806 | ||||||
Brevard County Health Facilities Authority RB, 4.00%, 11/15/32 (Call 11/15/28)(b) |
150 | 139,540 | ||||||
Capital Trust Agency Inc. RB |
||||||||
0.00%, 07/01/61(b)(c) |
2,570 | 168,976 | ||||||
3.25%, 06/01/31(b) |
230 | 208,517 | ||||||
4.88%, 06/15/56 (Call 06/15/26)(b) |
100 | 79,649 | ||||||
Charlotte County Industrial Development Authority/FL RB, 5.00%, 10/01/49 (Call 10/01/27)(b) |
250 | 237,158 | ||||||
Darby Community Development District Special Assessment, 5.88%, 05/01/35 |
230 | 229,874 | ||||||
Escambia County Health Facilities Authority RB, 5.00%, 08/15/40 (Call 02/15/30) |
1,000 | 1,023,928 | ||||||
Florida Development Finance Corp. RB |
||||||||
5.00%, 06/15/56 (Call 06/15/29)(b) |
100 | 77,867 | ||||||
AMT,5.00%, 05/01/29 (Call 05/01/24)(b) |
500 | 481,983 | ||||||
Series A, 5.13%, 06/15/55 (Call 06/15/28)(b) |
500 | 421,381 | ||||||
Lakes of Sarasota Community Development District Special Assesment |
||||||||
Series A-1, 4.10%, 05/01/51 (Call 05/01/31) |
265 | 210,477 | ||||||
Series B-1, 4.30%, 05/01/51 (Call 05/01/31) |
220 | 176,867 | ||||||
Poitras East Community Development District Special Assessment, 5.25%, 05/01/52 (Call 05/01/33) |
100 | 95,076 | ||||||
Sawyers Landing Community Development District Special Assesment, 3.25%, 05/01/26 |
205 | 199,375 |
66 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock High Yield Muni Income Bond ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Florida (continued) | ||||||||
Sawyers Landing Community Development District Special Assessment, 4.25%, 05/01/53 (Call 05/01/31) |
$ | 1,000 | $ | 773,295 | ||||
Viera Stewardship District, 5.50%, 05/01/54 (Call 05/01/33) |
300 | 294,536 | ||||||
Village Community Development District No. 14 |
||||||||
5.38%, 05/01/42 (Call 05/01/30) |
100 | 100,558 | ||||||
5.50%, 05/01/53 (Call 05/01/30) |
100 | 100,906 | ||||||
Village Community Development District No. 15 Special Assessment, 5.25%, 05/01/54 (Call 05/01/31)(b) |
100 | 99,106 | ||||||
|
|
|||||||
6,664,725 | ||||||||
Georgia — 1.7% | ||||||||
Atlanta Urban Redevelopment Agency RB, 3.88%, 07/01/51 (Call 07/01/27)(b) |
100 | 80,045 | ||||||
Development Authority of Cobb County (The) RB, 5.70%, 06/15/38 (Call 06/15/31) |
275 | 268,999 | ||||||
Main Street Natural Gas Inc. RB, 5.00%, 12/01/52 (Put 03/01/29) |
1,000 | 1,049,800 | ||||||
|
|
|||||||
1,398,844 | ||||||||
Illinois — 2.8% | ||||||||
Chicago Board of Education GO |
||||||||
5.00%, 12/01/46 (Call 12/01/27) |
500 | 502,591 | ||||||
5.00%, 12/01/47 (Call 12/01/31) |
500 | 511,198 | ||||||
Metropolitan Pier & Exposition Authority RB, 4.00%, 06/15/50 (Call 12/15/29) |
175 | 161,414 | ||||||
State of Illinois GO, 5.00%, 12/01/46 (Call 12/01/33) |
1,000 | 1,074,698 | ||||||
|
|
|||||||
2,249,901 | ||||||||
Indiana — 0.8% | ||||||||
Indiana Finance Authority RB, Class A, 4.13%, 12/01/26 |
640 | 633,631 | ||||||
|
|
|||||||
Kansas — 0.4% | ||||||||
City of Lenexa KS RB, 5.00%, 05/15/24 |
195 | 195,088 | ||||||
City of Manhattan KS RB, 4.00%, 06/01/25 |
105 | 103,916 | ||||||
|
|
|||||||
299,004 | ||||||||
Kentucky — 2.6% | ||||||||
City of Henderson KY RB, AMT,4.70%, 01/01/52 (Call 01/01/32)(b) |
650 | 613,333 | ||||||
Kentucky Economic Development Finance Authority RB, 5.25%, 06/01/41 (Call 06/01/27) |
1,000 | 1,017,778 | ||||||
Kentucky Public Energy Authority RB, 4.00%, 02/01/50 (Put 11/01/27) |
500 | 500,498 | ||||||
|
|
|||||||
2,131,609 | ||||||||
Louisiana — 0.1% | ||||||||
Louisiana Public Facilities Authority RB, 6.50%, 06/01/62 (Call 06/01/31)(b) |
100 | 98,698 | ||||||
|
|
|||||||
Maine — 0.1% | ||||||||
Finance Authority of Maine RB, AMT,8.00%, 12/01/51 (Call 12/01/36)(b) |
100 | 66,222 | ||||||
|
|
|||||||
Maryland — 0.5% | ||||||||
City of Baltimore MD RB, 4.50%, 06/01/33 (Call 06/01/31) |
100 | 98,110 | ||||||
Maryland Economic Development Corp. RB, AMT,5.25%, 06/30/55 (Call 06/30/32) |
315 | 321,202 | ||||||
|
|
|||||||
419,312 | ||||||||
Michigan — 1.5% | ||||||||
City of Detroit MI GOL, Series B-1, 4.00%, 04/01/44 (Call 12/10/24)(a) |
350 | 264,250 |
Security |
Par (000) |
Value | ||||||
Michigan (continued) | ||||||||
Michigan Strategic Fund RB, AMT,4.00%, 10/01/61 (Put 10/01/26)(a) |
$ | 1,000 | $ | 987,071 | ||||
|
|
|||||||
1,251,321 | ||||||||
Minnesota — 0.6% | ||||||||
City of Forest Lake MN RB, 5.00%, 07/01/56 (Call 07/01/31) |
260 | 220,484 | ||||||
City of Minneapolis MN RB, 5.75%, 07/01/55 (Call 07/01/28) |
250 | 231,226 | ||||||
|
|
|||||||
451,710 | ||||||||
Missouri — 0.3% | ||||||||
Plaza at Noah’s Ark Community Improvement District RB, 3.13%, 05/01/35 (Call 05/01/29) |
250 | 205,504 | ||||||
|
|
|||||||
Nebraska — 0.6% | ||||||||
Central Plains Energy Project RB, 5.00%, 05/01/53 (Put 07/01/29) |
475 | 496,969 | ||||||
|
|
|||||||
Nevada — 0.6% | ||||||||
Tahoe-Douglas Visitors Authority, 5.00%, 07/01/51 (Call 07/01/30) |
500 | 503,361 | ||||||
|
|
|||||||
New Hampshire — 0.5% | ||||||||
New Hampshire Business Finance Authority RB, 3.63%, 07/01/43 (Put 07/01/25)(b) |
500 | 389,913 | ||||||
|
|
|||||||
New Jersey — 1.1% | ||||||||
New Jersey Higher Education Student Assistance Authority RB, Series C, AMT,3.25%, 12/01/51 (Call 12/01/29) |
300 | 223,401 | ||||||
New Jersey Transportation Trust Fund Authority RB, Series AA, 4.00%, 06/15/50 (Call 12/15/30) |
735 | 703,534 | ||||||
|
|
|||||||
926,935 | ||||||||
New York — 12.9% | ||||||||
Build NYC Resource Corp., 5.50%, 06/15/63 (Call 06/15/33)(b) |
250 | 235,845 | ||||||
New York Liberty Development Corp. RB |
||||||||
5.00%, 11/15/44 (Call 11/15/24)(b) |
500 | 499,375 | ||||||
5.38%, 11/15/40 (Call 11/15/24)(b) |
550 | 550,687 | ||||||
New York State Environmental Facilities Corp. RB, AMT,5.13%, 09/01/50 (Put 09/03/30)(b) |
250 | 253,697 | ||||||
New York State Thruway Authority RB, 5.00%, 03/15/42 (Call 09/15/32) |
500 | 561,962 | ||||||
New York Transportation Development Corp RB, AMT,5.38%, 06/30/60 (Call 06/30/31) |
4,000 | 4,180,673 | ||||||
New York Transportation Development Corp., AMT,5.00%, 01/01/30 (Call 01/01/28) |
250 | 257,809 | ||||||
New York Transportation Development Corp. RB 5.00%, 12/01/38 (Call 12/01/30) |
500 | 537,051 | ||||||
AMT,3.00%, 08/01/31 |
1,000 | 915,283 | ||||||
AMT,4.00%, 04/30/53 (Call 10/31/31) |
500 | 416,305 | ||||||
AMT,5.00%, 01/01/25 |
750 | 755,943 | ||||||
AMT,5.00%, 10/01/40 (Call 10/01/30) |
1,310 | 1,345,930 | ||||||
|
|
|||||||
10,510,560 | ||||||||
Ohio — 8.2% | ||||||||
Buckeye Tobacco Settlement Financing Authority RB, Series B2, 5.00%, 06/01/55 (Call 06/01/30) |
4,700 | 4,427,212 | ||||||
Celina City School District, 0.00%, 12/01/24 (BAM)(c) |
600 | 584,605 | ||||||
Hickory Chase Community Authority, 5.00%, 12/01/40 (Call 12/01/29)(b) |
340 | 313,016 | ||||||
Ohio Air Quality Development Authority RB, AMT,4.50%, 01/15/48 (Call 01/15/28)(b) |
1,000 | 941,672 |
S C H E D U L E O F I N V E S T M E N T S |
67 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock High Yield Muni Income Bond ETF (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Ohio (continued) | ||||||||
Port of Greater Cincinnati Development Authority RB |
||||||||
3.75%, 12/01/31 (Call 12/01/28)(b) |
$ | 240 | $ | 222,394 | ||||
4.25%, 12/01/50 (Call 12/01/28)(b) |
260 | 219,943 | ||||||
|
|
|||||||
6,708,842 | ||||||||
Oklahoma — 1.2% | ||||||||
Oklahoma Development Finance Authority RB, Series A-2, 7.25%, 09/01/51 (Call 03/01/31)(b) |
250 | 263,832 | ||||||
Tulsa Airports Improvement Trust RB, AMT,5.00%, 06/01/35 (Put 06/01/25)(a) |
600 | 608,264 | ||||||
Tulsa Authority for Economic Opportunity TA, 4.38%, 12/01/41 (Call 12/01/31)(b) |
100 | 93,263 | ||||||
|
|
|||||||
965,359 | ||||||||
Oregon — 0.4% | ||||||||
Clackamas County Hospital Facility Authority RB, 5.00%, 05/15/48 (Call 05/15/25) |
425 | 359,876 | ||||||
|
|
|||||||
Pennsylvania — 2.3% | ||||||||
Allentown Neighborhood Improvement Zone Development Authority RB, 5.00%, 05/01/42 (Call 05/01/33) |
470 | 474,122 | ||||||
Berks County Municipal Authority (The) RB, 5.00%, 10/01/39 (Call 10/01/29) |
390 | 366,783 | ||||||
Pennsylvania Economic Development Financing Authority RB |
||||||||
AMT,5.25%, 06/30/53 (Call 12/31/32) |
100 | 107,410 | ||||||
AMT,5.75%, 06/30/48 (Call 12/31/32) |
860 | 948,190 | ||||||
|
|
|||||||
1,896,505 | ||||||||
Puerto Rico — 9.2% | ||||||||
Children’s Trust Fund RB, Series A, 0.00%, 05/15/57 (Call 05/15/24)(c) |
1,485 | 122,503 | ||||||
Commonwealth of Puerto Rico, 0.00%, 11/01/51 |
823 | 152,282 | ||||||
Commonwealth of Puerto Rico GO |
||||||||
0.00%, 07/01/33 (Call 07/01/31)(c) |
515 | 326,977 | ||||||
4.00%, 07/01/35 (Call 07/01/31) |
812 | 774,660 | ||||||
4.00%, 07/01/41 (Call 07/01/31) |
145 | 131,471 | ||||||
5.07%, 11/01/51 |
696 | 393,346 | ||||||
Commonwealth of Puerto Rico Notes, 0.00%, 11/01/51 |
1,666 | 703,848 | ||||||
Puerto
Rico Commonwealth Aqueduct & Sewer Authority RB, 4.00%,
07/01/42 |
1,000 | 910,557 | ||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue RB |
||||||||
0.00%, 07/01/46 (Call 07/01/28)(c) |
4,025 | 1,237,328 | ||||||
5.00%, 07/01/58 (Call 07/01/28) |
2,750 | 2,749,965 | ||||||
|
|
|||||||
7,502,937 | ||||||||
South Carolina — 0.4% | ||||||||
City of Hardeeville SC Special Assesment, 4.00%, 05/01/52 (Call 05/01/29)(b) |
150 | 116,697 | ||||||
Patriots Energy Group Financing Agency RB, 5.25%, 10/01/54 (Put 08/01/31) |
160 | 171,377 | ||||||
South
Carolina Jobs-Economic Development Authority RB, 7.50%, 08/15/62 |
25 | 22,797 | ||||||
|
|
|||||||
310,871 | ||||||||
Tennessee — 2.4% | ||||||||
Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd RB, 5.00%, 10/01/37 (Call 10/01/29) |
345 | 352,525 | ||||||
Metropolitan Government Nashville & Davidson County Industrial Development Board Special Assesment, 0.00%, 06/01/43(b)(c) |
100 | 36,486 |
Security | Par (000) | Value | ||||||
Tennessee (continued) | ||||||||
Metropolitan Nashville Airport Authority (The) RB, AMT,5.50%, 07/01/52 (Call 07/01/32) |
$ | 500 | $ | 535,544 | ||||
Tennergy Corp./TN RB, 5.50%, 10/01/53 (Put 09/01/30) |
500 | 536,054 | ||||||
Tennessee Energy Acquisition Corp., 5.00%, 02/01/25 |
500 | 502,109 | ||||||
|
|
|||||||
1,962,718 | ||||||||
Texas — 4.6% | ||||||||
Angelina & Neches River Authority RB, Series A, AMT,7.50%, 12/01/45 (Call 06/01/28)(b) |
100 | 66,080 | ||||||
Arlington Higher Education Finance Corp., 5.75%, 08/15/62 (Call 08/15/27) |
250 | 213,649 | ||||||
Arlington Higher Education Finance Corp. RB |
||||||||
5.00%, 06/15/51 (Call 06/15/26) |
250 | 205,188 | ||||||
7.88%, 11/01/62 (Call 11/01/27)(b) |
25 | 25,371 | ||||||
City of Celina TX Special Assessment, 5.50%, 09/01/53 (Call 09/01/33)(b) |
1,000 | 985,277 | ||||||
City of Mesquite TX Special Assessment, 5.75%, 09/01/53 (Call 09/01/33)(b) |
250 | 250,333 | ||||||
New Hope Cultural Education Facilities Finance Corp. RB, 5.00%, 08/15/51 (Call 08/15/27)(b) |
1,000 | 917,451 | ||||||
New Hope Higher Education Finance Corp. RB, Series A, 5.00%, 06/15/30 (Call 06/15/26)(b) |
250 | 238,273 | ||||||
Port Beaumont Navigation District RB |
||||||||
AMT,2.75%, 01/01/36 (Call 07/01/24)(b) |
100 | 73,827 | ||||||
AMT,3.00%, 01/01/50 (Call 07/01/24)(b) |
200 | 119,162 | ||||||
AMT,3.63%, 01/01/35 (Call 01/01/25)(b) |
100 | 82,329 | ||||||
AMT,4.00%, 01/01/50 (Call 01/01/25)(b) |
810 | 587,126 | ||||||
|
|
|||||||
3,764,066 | ||||||||
Utah — 0.4% | ||||||||
Utah Charter School Finance Authority RB, Series A, 5.00%, 02/15/36 (Call 02/15/26)(b) |
315 | 311,188 | ||||||
|
|
|||||||
Vermont — 0.1% | ||||||||
East Central Vermont Telecommunications District RB, 4.50%, 12/01/44 (Call 12/01/30)(b) |
100 | 78,699 | ||||||
|
|
|||||||
Virginia — 1.1% | ||||||||
James City County Economic Development Authority RB, 5.25%, 12/01/27 (Call 12/01/24) |
100 | 99,398 | ||||||
Tobacco Settlement Financing Corp./VA RB, Series B1, 5.00%, 06/01/47 (Call 01/16/24) |
725 | 683,300 | ||||||
Virginia Beach Development Authority RB, 5.38%, 09/01/29 (Call 09/01/26) |
100 | 99,658 | ||||||
|
|
|||||||
882,356 | ||||||||
Washington — 0.4% | ||||||||
Washington State Housing Finance Commission RB, 4.00%, 07/01/25(b) |
355 | 347,444 | ||||||
|
|
|||||||
Wisconsin — 1.1% | ||||||||
Public Finance Authority |
||||||||
7.75%, 07/01/43 (Call 07/01/35)(b) |
310 | 316,377 | ||||||
AMT,4.25%, 07/01/54 (Call 07/01/31) |
250 | 170,812 | ||||||
Public Finance Authority RB |
||||||||
5.00%, 06/15/56 (Call 06/15/29)(b) |
25 | 20,411 | ||||||
5.25%, 12/01/51 (Call 12/01/31)(b) |
65 | 49,781 | ||||||
Series A, 5.00%, 06/15/55 (Call 06/15/28)(b) |
500 | 379,344 | ||||||
|
|
|||||||
936,725 | ||||||||
|
|
|||||||
Total
Long-Term Investments — 98.2% |
80,200,073 | |||||||
|
|
68 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock High Yield Muni Income Bond ETF (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Short-Term Securities |
||||||||
Money Market Funds — 1.4% | ||||||||
BlackRock
Liquidity Funds: MuniCash, |
1,153,412 | $ | 1,153,527 | |||||
|
|
|||||||
Total
Short-Term Securities — 1.4% |
1,153,527 | |||||||
|
|
|||||||
Total
Investments — 99.6% |
81,353,600 | |||||||
Other Assets Less Liabilities — 0.4% |
336,719 | |||||||
|
|
|||||||
Net Assets — 100.0% |
$ | 81,690,319 | ||||||
|
|
(a) |
Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
(b) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) |
Zero-coupon bond. |
(d) |
Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
(e) |
Affiliate of the Fund. |
(f) |
Annualized 7-day yield as of period end. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended January 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 07/31/23 |
Purchases at Cost |
Proceeds from Sale |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value at 01/31/24 |
Shares Held at 01/31/24 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Liquidity Funds: MuniCash |
$ | 6,235,461 | $ | — | $ | (5,082,431) | (a) | $ | 754 | $ | (257 | ) | $ | 1,153,527 | 1,153,412 | $ | 66,979 | $ | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Municipal Debt Obligations |
$ | — | $ | 80,162,518 | $ | 37,555 | $ | 80,200,073 | ||||||||
Short-Term Securities |
||||||||||||||||
Money Market Funds |
1,153,527 | — | — | 1,153,527 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 1,153,527 | $ | 80,162,518 | $ | 37,555 | $ | 81,353,600 | |||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
S C H E D U L E O F I N V E S T M E N T S |
69 |
Schedule of Investments (unaudited) January 31, 2024 |
BlackRock Intermediate Muni Income Bond ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Municipal Debt Obligations |
||||||||
Alabama — 9.2% | ||||||||
Black Belt Energy Gas District RB, 5.50%, 11/01/53 (Put 09/01/28)(a) |
$ | 500 | $ | 531,983 | ||||
County of Jefferson AL Sewer Revenue RB |
||||||||
5.25%, 10/01/41 (Call 10/01/33) |
100 | 111,318 | ||||||
5.25%, 10/01/44 (Call 10/01/33) |
1,000 | 1,104,104 | ||||||
Southeast Energy Authority A Cooperative District RB, 5.50%, 01/01/53 (Put 09/01/29)(a) |
315 | 338,830 | ||||||
Tuscaloosa County Industrial Development Authority RB, 5.25%, 05/01/44 (Put 05/01/29)(b) |
110 | 106,238 | ||||||
|
|
|||||||
2,192,473 | ||||||||
Arizona — 0.4% | ||||||||
Arizona Health Facilities Authority RB, VRDN,4.80%, 01/01/46 (Put 11/04/26), (SIFMA Municipal Swap Index)(a) |
100 | 99,274 | ||||||
|
|
|||||||
California — 6.8% | ||||||||
Bay Area Toll Authority RB, Series E, 4.96%, 04/01/56 (Put 04/01/27), (SIFMA Municipal Swap Index)(a)(c) |
250 | 247,300 | ||||||
California Community Choice Financing Authority RB, 5.51%, 12/01/53 (Put 05/01/29)(a)(c) |
750 | 759,722 | ||||||
California Infrastructure & Economic Development Bank RB, Class D, 4.90%, 08/01/47 (Put 08/01/24), (SIFMA Municipal Swap Index)(a)(c) |
100 | 97,063 | ||||||
San Diego Unified School District/CA GO, 0.00%, 07/01/31(d) |
610 | 504,790 | ||||||
|
|
|||||||
1,608,875 | ||||||||
Colorado — 3.2% | ||||||||
City & County of Denver Co. Airport System Revenue RB, AMT,5.75%, 11/15/34 (Call 11/15/32) |
200 | 236,483 | ||||||
Colorado Health Facilities Authority RB |
||||||||
4.00%, 08/01/39 (Call 08/01/29) |
185 | 181,673 | ||||||
Series B-2, 2.63%, 05/15/29 (Call 01/29/24) |
150 | 126,137 | ||||||
Pueblo Urban Renewal Authority TA, Series B, 0.00%, 12/01/25(b)(d) |
250 | 212,500 | ||||||
|
|
|||||||
756,793 | ||||||||
Connecticut — 1.6% | ||||||||
Connecticut Housing Finance Authority RB, 1.85%, 05/15/38 (Call 05/15/30) |
210 | 152,616 | ||||||
State of Connecticut Special Tax Revenue RB, 5.00%, 07/01/38 (Call 01/01/33) |
205 | 234,454 | ||||||
|
|
|||||||
387,070 | ||||||||
Delaware — 2.0% | ||||||||
Delaware State Economic Development Authority RB, Class B, 1.25%, 10/01/40 (Put 10/01/25) |
500 | 467,706 | ||||||
|
|
|||||||
District of Columbia — 1.2% | ||||||||
Metropolitan Washington Airports Authority Aviation Revenue, AMT,5.00%, 10/01/37 (Call 10/01/32) |
250 | 275,185 | ||||||
|
|
|||||||
Florida — 2.0% | ||||||||
Lakes of Sarasota Community Development District RB, 2.75%, 05/01/26 |
125 | 122,404 | ||||||
Sawyers Landing Community Development District Special Assesment, 3.25%, 05/01/26 |
195 | 189,649 | ||||||
Tohoqua Community Development District RB, 2.38%, 05/01/26 |
170 | 165,657 | ||||||
|
|
|||||||
477,710 |
Security | Par (000) |
Value | ||||||
Georgia — 0.4% | ||||||||
Development Authority of Cobb County (The) RB, 5.70%, 06/15/38 (Call 06/15/31) |
$ | 100 | $ | 97,818 | ||||
|
|
|||||||
Illinois — 16.1% | ||||||||
Chicago Midway International Airport RB, AMT,5.00%, 01/01/34 (Call 07/01/24) |
350 | 350,348 | ||||||
Chicago O’Hare International Airport RB AMT,5.00%, 01/01/27 (Call 01/01/26) |
250 | 257,336 | ||||||
Series B, 5.00%, 01/01/37 (Call 01/01/27) |
200 | 211,516 | ||||||
City of Chicago IL GO |
||||||||
5.00%, 01/01/26 |
425 | 435,769 | ||||||
5.00%, 01/01/27 |
100 | 104,197 | ||||||
5.00%, 01/01/27 (Call 01/01/26) |
130 | 131,568 | ||||||
5.00%, 01/01/34 (Call 01/01/32) |
500 | 552,265 | ||||||
Illinois Finance Authority RB, Class B, 5.25%, 05/01/42 (Put 05/01/25), (SIFMA Municipal Swap Index)(a)(c) |
500 | 489,564 | ||||||
Northern Illinois Municipal Power Agency RB, 4.00%, 12/01/36 (Call 12/01/26) |
100 | 101,731 | ||||||
State of Illinois, 5.00%, 10/01/24 |
245 | 247,513 | ||||||
State of Illinois GO |
||||||||
5.00%, 10/01/30 |
225 | 250,639 | ||||||
5.25%, 05/01/40 (Call 05/01/32) |
250 | 276,464 | ||||||
Series D, 5.00%, 11/01/26 |
400 | 420,885 | ||||||
|
|
|||||||
3,829,795 | ||||||||
Iowa — 1.0% | ||||||||
Iowa Finance Authority RB, AMT,1.50%, 01/01/42 (Put 04/01/24)(a) |
250 | 248,308 | ||||||
|
|
|||||||
Kentucky — 6.4% | ||||||||
City of Henderson KY RB, AMT,3.70%, 01/01/32(b) |
150 | 144,009 | ||||||
Kentucky Public Energy Authority RB, 5.25%, 04/01/54 (Put 02/01/32) |
1,150 | 1,247,980 | ||||||
Louisville/Jefferson
County Metropolitan Government RB, 1.75%, 02/01/35 (Put |
125 | 119,714 | ||||||
|
|
|||||||
1,511,703 | ||||||||
Louisiana — 1.0% | ||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority RB, Class A, 2.00%, 06/01/30 (Call 04/01/26) |
250 | 229,392 | ||||||
|
|
|||||||
Missouri — 5.2% | ||||||||
Kansas City Industrial Development Authority RB AMT,5.00%, 03/01/32 (Call 03/01/30) |
400 | 429,591 | ||||||
AMT,5.00%, 03/01/34 (Call 03/01/29) |
750 | 796,226 | ||||||
|
|
|||||||
1,225,817 | ||||||||
New Hampshire — 1.0% | ||||||||
New Hampshire Business Finance Authority RB, Class A, AMT,4.93%, 10/01/33 (Put 07/01/24), (SIFMA Municipal Swap Index)(a)(c) |
250 | 246,919 | ||||||
|
|
|||||||
New Jersey — 3.5% | ||||||||
New Jersey Economic Development Authority RB, 5.00%, 06/15/28 |
225 | 245,936 | ||||||
New Jersey Educational Facilities Authority RB, 5.00%, 09/01/38 (Call 03/01/33) |
100 | 113,556 | ||||||
New Jersey Transportation Trust Fund Authority RB 5.00%, 06/15/37 (Call 06/15/33) |
250 | 288,802 | ||||||
Series C, 0.00%, 12/15/25 (AMBAC)(d) |
190 | 177,940 | ||||||
|
|
|||||||
826,234 |
70 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Intermediate Muni Income Bond ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
New York — 9.3% | ||||||||
New York City Housing Development Corp. RB |
||||||||
1.95%, 11/01/32 (Call 02/01/29) (FHA 542(C)) |
$ | 430 | $ | 368,795 | ||||
2.25%, 11/01/30 (Call 09/01/27) |
150 | 136,318 | ||||||
New York City Municipal Water Finance Authority RB, 5.25%, 06/15/48 (Call 12/15/33) |
250 | 285,119 | ||||||
New York City Transitional Finance Authority Future Tax Secured Revenue, 5.00%, 05/01/41 (Call 05/01/33) |
500 | 570,134 | ||||||
New York Liberty Development Corp. RB, Class A, 2.50%, 11/15/36 (Call 11/15/31) |
250 | 214,125 | ||||||
New York State Environmental Facilities Corp. RB, AMT,5.13%, 09/01/50 (Put 09/03/30)(b) |
250 | 253,698 | ||||||
New York Transportation Development Corp., AMT,5.00%, 01/01/30 (Call 01/01/28) |
250 | 257,809 | ||||||
Triborough Bridge & Tunnel Authority RB, 5.00%, 11/15/38 (Call 11/15/33) |
100 | 116,179 | ||||||
|
|
|||||||
2,202,177 | ||||||||
Ohio — 4.5% | ||||||||
Allen County Port Authority RB, Class A, 4.00%, 12/01/31 (Call 06/01/31) |
250 | 244,775 | ||||||
American Municipal Power Inc. RB, Class A-2, 1.00%, 02/15/48 (Put 08/15/24)(a) |
500 | 492,024 | ||||||
Ohio Air Quality Development Authority RB, 4.00%, 09/01/30 (Put 06/01/27) |
100 | 100,936 | ||||||
Port of Greater Cincinnati Development Authority RB, 3.75%, 12/01/31 (Call 12/01/28)(b) |
250 | 231,661 | ||||||
|
|
|||||||
1,069,396 | ||||||||
Pennsylvania — 4.3% | ||||||||
Berks County Municipal Authority (The) RB, 5.00%, 10/01/39 (Call 10/01/29) |
200 | 188,094 | ||||||
Bethlehem Area School District Authority, Series B, 3.91%, 07/01/31 (Put 11/01/24)(a)(c) |
460 | 454,052 | ||||||
Pennsylvania Housing Finance Agency RB, 2.00%, 10/01/32 (Call 10/01/29) |
445 | 390,248 | ||||||
|
|
|||||||
1,032,394 | ||||||||
Puerto Rico — 2.1% | ||||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue RB, 4.33%, 07/01/40 (Call 07/01/28) |
500 | 496,375 | ||||||
|
|
|||||||
South Carolina — 1.8% | ||||||||
City of Hardeeville SC, 3.00%, 05/01/27(b) |
225 | 214,779 | ||||||
South Carolina Jobs-Economic Development Authority RB, 5.00%, 11/15/28 (Call 11/15/27) |
210 | 205,875 | ||||||
|
|
|||||||
420,654 | ||||||||
Tennessee — 3.4% | ||||||||
Tennergy Corp./TN RB, 5.50%, 10/01/53 (Put 09/01/30) |
750 | 804,080 | ||||||
|
|
|||||||
Texas — 8.1% | ||||||||
City of Beaumont TX GOL, 4.00%, 03/01/33 (Call 03/01/30) |
215 | 228,918 | ||||||
City of Houston TX Airport System Revenue RB, AMT,5.00%, 07/15/30 (Call 07/15/25) |
225 | 225,253 | ||||||
Houston Higher Education Finance Corp. RB |
||||||||
1.75%, 10/01/24 (Call 04/30/24) |
115 | 112,292 | ||||||
2.00%, 10/01/25 (Call 04/30/24) |
75 | 71,201 |
Security | Par (000) |
Value | ||||||
Texas (continued) | ||||||||
New Hope Cultural Education Facilities Finance Corp. RB |
||||||||
4.00%, 08/15/34 (Call 08/15/27) |
$ | 750 | $ | 771,336 | ||||
Class A, 4.00%, 06/15/25 |
280 | 283,382 | ||||||
New Hope Higher Education Finance Corp. RB, Series A, 5.00%, 06/15/30 (Call 06/15/26)(b) |
250 | 238,273 | ||||||
|
|
|||||||
1,930,655 | ||||||||
Virginia — 1.0% | ||||||||
Virginia Housing Development Authority RB, AMT,2.05%, 12/01/33 (Call 12/01/30) |
270 | 236,088 | ||||||
|
|
|||||||
Washington — 2.7% | ||||||||
County of King WA Sewer Revenue RB, Class A, 4.78%, 01/01/40 (Put 01/01/26), (SIFMA Municipal Swap Index)(a)(c) |
550 | 537,105 | ||||||
Washington Health Care Facilities Authority RB, 5.00%, 08/01/30 (Call 08/01/29) |
100 | 108,777 | ||||||
|
|
|||||||
645,882 | ||||||||
Wisconsin — 0.6% | ||||||||
City of Milwaukee WI Sewerage System Revenue RB, 4.00%, 06/01/31 (Call 01/29/24) |
145 | 145,078 | ||||||
|
|
|||||||
Total Long-Term Investments — 98.8% |
23,463,851 | |||||||
|
|
|||||||
Shares | ||||||||
Short-Term Securities | ||||||||
Money Market Funds — 0.5% | ||||||||
BlackRock
Liquidity Funds: MuniCash, |
118,404 | 118,416 | ||||||
|
|
|||||||
Total
Short-Term Securities — 0.5% |
118,416 | |||||||
|
|
|||||||
Total Investments — 99.3% (Cost: $23,521,829) |
23,582,267 | |||||||
Other Assets Less Liabilities — 0.7% |
165,208 | |||||||
|
|
|||||||
Net Assets — 100.0% |
$ | 23,747,475 | ||||||
|
|
(a) |
Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
(b) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(c) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(d) |
Zero-coupon bond. |
(e) |
Affiliate of the Fund. |
(f) |
Annualized 7-day yield as of period end. |
S C H E D U L E O F I N V E S T M E N T S |
71 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Intermediate Muni Income Bond ETF |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended January 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 07/31/23 |
Purchases at Cost |
Proceeds from Sale |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value at 01/31/24 |
Shares Held at 01/31/24 |
Income | Capital
Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Liquidity Funds: MuniCash |
$ | 733,322 | $ | — | $ | (614,902) | (a) | $ | 5 | $ | (9 | ) | $ | 118,416 | 118,404 | $ | 5,179 | $ | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Municipal Debt Obligations |
$ | — | $ | 23,463,851 | $ | — | $ | 23,463,851 | ||||||||
Short-Term Securities |
||||||||||||||||
Money Market Funds |
118,416 | — | — | 118,416 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 118,416 | $ | 23,463,851 | $ | — | $ | 23,582,267 | |||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
72 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) January 31, 2024 |
BlackRock Short-Term California Muni Bond ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||
Municipal Debt Obligations |
||||||||
California — 100.9% | ||||||||
Burbank-Glendale-Pasadena Airport Authority Brick Campaign, AMT,5.00%, 07/01/24 |
$ | 145 | $ | 145,955 | ||||
California Community Choice Financing Authority, 4.00%, 10/01/52 (Call 09/01/27) |
500 | 500,507 | ||||||
California Community Choice Financing Authority RB 4.00%, 05/01/53 (Put 05/01/28) |
400 | 401,076 | ||||||
5.00%, 09/01/27 |
410 | 425,509 | ||||||
5.00%, 10/01/28 |
300 | 313,510 | ||||||
California County Tobacco Securitization Agency RB, 5.00%, 06/01/25 |
400 | 408,321 | ||||||
California Health Facilities Financing Authority, 4.00%, 03/01/28 (Call 03/01/24) |
260 | 260,016 | ||||||
California Infrastructure & Economic Development Bank RB, 5.00%, 04/01/24 |
500 | 501,739 | ||||||
California Municipal Finance Authority, AMT,4.00%, 07/01/51 (Put 07/15/24) |
400 | 399,714 | ||||||
California Municipal Finance Authority RB, AMT,4.25%, 12/01/44 (Put 12/02/24) |
250 | 250,546 | ||||||
California Pollution Control Financing Authority RB, 4.38%, 08/01/24(a) |
500 | 500,000 | ||||||
California State Public Works Board, 5.00%, 09/01/27 (Call 09/01/24) |
500 | 505,945 | ||||||
California State Public Works Board RB, Series A, 5.00%, 09/01/27 (Call 09/01/24) |
800 | 809,501 | ||||||
California Statewide Communities Development Authority, 5.00%, 11/01/28 (PR 11/01/24) |
250 | 253,978 | ||||||
Chino Valley Unified School District GO, VRDN,4.56%, 02/01/29 (Put 02/07/24)(a)(b) |
500 | 500,000 | ||||||
City & County of San Francisco, 3.65%, 02/12/24 |
600 | 600,066 | ||||||
City of Los Angeles CA Solid Waste Resources Revenue RB, 5.00%, 02/01/24 |
335 | 335,000 | ||||||
City of Los Angeles Department of Airports |
||||||||
AMT,5.00%, 05/15/25 |
100 | 102,139 | ||||||
AMT,5.00%, 05/15/26 |
210 | 217,958 | ||||||
City of Los Angeles Department of Airports RB, AMT,5.00%, 05/15/27 (Call 05/15/25) |
400 | 409,246 | ||||||
City of Los Angeles Wastewater System Revenue, 3.37%, 03/14/24 |
400 | 400,151 | ||||||
City of Modesto CA Water Revenue COP, VRDN, 4.20%, 10/01/36 (Put 02/07/24) (AGM)(b) |
790 | 790,000 | ||||||
Compton Community Redevelopment Agency Successor Agency TA, 5.00%, 08/01/26 (AGM) |
415 | 435,876 | ||||||
Desert Community College District GO, 5.00%, 08/01/24 |
500 | 504,797 | ||||||
El Rancho Unified School District GO |
||||||||
5.00%, 08/01/28 (BAM) |
125 | 137,751 | ||||||
5.50%, 08/01/27 (BAM) |
110 | 120,261 | ||||||
Kern Community College District, 0.00%, 11/01/25 (AGM)(c) |
205 | 194,379 | ||||||
Long Beach Unified School District, 0.00%, 08/01/27 (Call 02/01/25)(c) |
500 | 439,377 | ||||||
Long Beach Unified School District GO, VRDN, 2.94%, 08/01/53 (Put 02/07/24)(a)(b) |
800 | 800,000 | ||||||
Los Angeles County Metropolitan Transportation Authority, 3.25%, 02/07/24 |
400 | 400,005 |
Security |
Par (000) |
Value |
||||||
California (continued) | ||||||||
Norman Y Mineta San Jose International Airport SJC RB, AMT,5.00%, 03/01/26 |
$ | 500 | $ | 514,741 | ||||
Pajaro Valley Unified School District, 0.00%, 08/01/25 (AGM)(c) |
460 | 439,431 | ||||||
Palm Springs Unified School District, 5.00%, 08/01/24 |
750 | 758,027 | ||||||
Port of Oakland RB, AMT,5.00%, 05/01/27 |
400 | 420,983 | ||||||
Rancho Cucamonga Redevelopment Agency Successor Agency TA, 5.00%, 09/01/26 (Call 09/01/24) (AGM) |
500 | 505,487 | ||||||
Sacramento Municipal Utility District, 3.30%, 02/15/24 |
500 | 499,978 | ||||||
San Diego Public Facilities Financing Authority RB, VRDN, 4.01%, 10/15/48 (Put 02/07/24)(a)(b) |
800 | 800,000 | ||||||
San Diego Unified School District/CA Revenue Notes, 5.00%, 06/28/24 |
800 | 806,188 | ||||||
San Francisco City & County Airport Commission San Francisco International Airport RB, AMT,5.00%, 05/01/28 |
500 | 532,100 | ||||||
San Mateo Union High School District GO, Series C, 0.00%, 09/01/27 (NPFGC)(c) |
400 | 365,981 | ||||||
Santa Clara County Financing Authority RB, 5.00%, 05/15/25 |
400 | 411,005 | ||||||
Santa Clara Valley Transportation Authority, 5.00%, 04/01/24 |
800 | 802,624 | ||||||
Santa Paula Utility Authority RB, 4.00%, 02/01/24 |
400 | 400,000 | ||||||
Southern California Public Power Authority, 5.25%, 11/01/25 |
425 | 434,241 | ||||||
State of California GO, 3.23%, 02/01/24 |
400 | 400,000 | ||||||
Stockton Public Financing Authority, 5.00%, 10/01/25 (BAM) |
140 | 144,672 | ||||||
|
|
|||||||
20,298,781 | ||||||||
|
|
|||||||
Total Long-Term Investments — 100.9% (Cost: $20,235,685) |
20,298,781 | |||||||
|
|
|||||||
Shares | ||||||||
Short-Term Securities | ||||||||
Money Market Funds — 0.4% | ||||||||
BlackRock Liquidity Funds: MuniCash, 4.09%(d)(e) |
77,396 | 77,404 | ||||||
|
|
|||||||
Total
Short-Term Securities — 0.4% |
77,404 | |||||||
|
|
|||||||
Total
Investments — 101.3% |
20,376,185 | |||||||
Liabilities in Excess of Other Assets — (1.3)% |
|
(258,778 | ) | |||||
|
|
|||||||
Net Assets — 100.0% |
$ | 20,117,407 | ||||||
|
|
(a) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(b) |
Variable rate security. Rate as of period end and maturity is the date the principal owed can be recovered through demand. |
(c) |
Zero-coupon bond. |
(d) |
Affiliate of the Fund. |
(e) |
Annualized 7-day yield as of period end. |
S C H E D U L E O F I N V E S T M E N T S |
73 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Short-Term California Muni Bond ETF |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended January 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 07/31/23 |
Purchases at Cost |
Proceeds from Sale |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value at 01/31/24 |
Shares Held at 01/31/24 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock
Liquidity Funds California Money Fund |
$ | 803,901 | $ | — | $ | (803,901) | (b) | $ | — | $ | — | $ | — | — | $ | 2,422 | $ | — | ||||||||||||||||||
BlackRock Liquidity Funds: MuniCash |
— | 77,404 | (b) | — | — | — | 77,404 | 77,396 | 95 | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | — | $ | — | $ | 77,404 | $ | 2,517 | $ | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
As of period end, the entity is no longer held. |
(b) |
Represents net amount purchased (sold). |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Municipal Debt Obligations |
$ | — | $ | 20,298,781 | $ | — | $ | 20,298,781 | ||||||||
Short-Term Securities |
||||||||||||||||
Money Market Funds |
77,404 | — | — | 77,404 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 77,404 | $ | 20,298,781 | $ | — | $ | 20,376,185 | |||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
74 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) January 31, 2024 |
BlackRock Total Return ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Asset-Backed Securities |
||||||||
Bain Capital Credit CLO Ltd., 6.74%, 07/24/34 (Call 04/24/24), (3-mo. CME Term SOFR + 1.422%)(a)(b) |
$ | 250 | $ | 250,197 | ||||
Bear Stearns Structured Products Trust, 7.45%, 03/25/37 (Call 12/25/27), (1-mo. CME Term SOFR + 2.114%)(a)(b) |
187 | 183,685 | ||||||
Benefit Street Partners CLO IV Ltd., 7.13%, 01/20/32, (3-mo. SOFR + 1.811%)(a) |
250 | 249,400 | ||||||
Buckhorn Park CLO Ltd., 7.21%, 07/18/34, (3-mo. SOFR + 1.911%)(a)(b) |
250 | 250,674 | ||||||
Carlyle Global Market Strategies CLO Ltd., 6.75%, 07/20/34, (3-mo. SOFR + 1.431%)(a)(b) |
250 | 250,213 | ||||||
CIFC Funding Ltd. |
||||||||
8.41%, 07/18/31 (Call 04/18/24), (3-mo. CME Term SOFR + 3.112%)(a)(b) |
250 | 247,498 | ||||||
Series 2014-2RA, Class A1, 6.63%, 04/24/30 (Call 04/24/24), (3-mo. SOFR + 1.312%)(a)(b) |
169 | 169,491 | ||||||
Citigroup Mortgage Loan Trust Inc., 9.20%, 07/25/37, (1-mo. SOFR + 2.614%)(b) |
134 | 115,953 | ||||||
College Ave Student Loans LLC |
||||||||
5.33%, 05/25/55 (Call 04/25/37)(a) |
91 | 90,124 | ||||||
2.32%, 07/26/55 (Call 12/25/34)(a) |
215 | 186,704 | ||||||
CWABS Asset-Backed Certificates Trust |
||||||||
6.30%, 12/25/35(b) |
82 | 76,943 | ||||||
5.87%, 04/25/46, (1-mo. SOFR + 0.534%)(b) |
295 | 205,714 | ||||||
Elmwood CLO IV Ltd. Series 2020 3A, Class A, 6.82%, 04/15/33 (Call 04/15/24)(a)(b) |
250 | 250,289 | ||||||
FirstKey Homes Trust |
||||||||
3.50%, 07/17/38(a) |
184 | 168,270 | ||||||
5.00%, 05/19/39(a) |
170 | 162,627 | ||||||
Galaxy XXIII CLO Ltd., 6.45%, 04/24/29 (Call 04/24/24), (3-mo. CME Term SOFR + 1.132%)(a)(b) |
112 | 112,236 | ||||||
Generate CLO 8 Ltd., 6.78%, 10/20/34, (3-mo. SOFR + 1.461%)(a)(b) |
250 | 250,429 | ||||||
Goldentree Loan Opportunities X Ltd., 6.70%, 07/20/31 (Call 04/20/24), (3-mo. CME Term SOFR + 1.382%)(a)(b) |
217 | 217,025 | ||||||
JP Morgan Mortgage Acquisition Trust, 4.56%, 11/25/36 (Call 02/25/24)(c) |
200 | 197,480 | ||||||
Lendmark Funding Trust |
||||||||
2.00%, 04/20/32 (Call 10/20/26)(a) |
130 | 117,582 | ||||||
8.69%, 05/20/33(a) |
100 | 103,310 | ||||||
Madison Park Funding XXXIV Ltd., 6.71%, 04/25/32 (Call 04/25/24), (3-mo. CME Term SOFR + 1.382%)(a)(b) |
250 | 250,199 | ||||||
Navient Private Education Loan Trust, 3.16%, 11/15/68 (Call 01/15/31)(a) |
100 | 86,384 | ||||||
Navient Private Education Refi Loan Trust, 3.13%, 02/15/68 (Call 04/15/26)(a) |
97 | 93,416 | ||||||
Neuberger Berman CLO XVII Ltd., 6.61%, 04/22/29 (Call 04/22/24), (3-mo. CME Term SOFR + 1.292%)(a)(b) |
194 | 193,950 | ||||||
Octagon Investment Partners 20-R Ltd., 6.78%, 05/12/31 (Call 02/12/24), (3-mo. CME Term SOFR + 1.412%)(a)(b) |
250 | 250,497 | ||||||
Octagon Investment Partners 48 Ltd., 7.63%, 10/20/34 (Call 04/20/24), (3-mo. CME Term SOFR + 2.312%)(a)(b) |
275 | 273,509 |
Security | Par (000) |
Value | ||||||
OHA Credit Funding 6 Ltd., 6.72%, 07/20/34 (Call 04/20/24), (3 mo. LIBOR US + 1.140%)(a)(b) |
$ | 250 | $ | 250,982 | ||||
Palmer Square CLO Ltd., 6.79%, 11/14/34 (Call 02/14/24), (3-mo. LIBOR US + 1.150%)(a)(b) |
250 | 250,357 | ||||||
Palmer Square Loan Funding Ltd., 7.13%, 04/15/31, (3-mo. SOFR + 1.820%)(a)(b) |
195 | 195,374 | ||||||
Progress Residential Trust, 4.75%, 10/17/28(a) |
180 | 166,169 | ||||||
RR 16 Ltd., 7.23%, 07/15/36, (3-mo. SOFR + 1.911%)(a)(b) |
250 | 252,274 | ||||||
RR 18 Ltd., 7.18%, 10/15/34, (3-mo. SOFR + 1.861%)(a)(b) |
250 | 250,023 | ||||||
SMB Private Education Loan Trust, 2.31%, 01/15/53(a) |
156 | 145,390 | ||||||
Sofi Professional Loan Program LLC, 3.09%, 08/17/48 (Call 07/15/26)(a) |
134 | 128,321 | ||||||
SoFi Professional Loan Program LLC, 2.37%, 11/16/48 (Call 12/15/26)(a) |
113 | 106,440 | ||||||
Soundview Home Loan Trust |
||||||||
6.47%, 11/25/35, (1-mo. SOFR + 1.134%)(b) |
46 | 32,327 | ||||||
5.80%, 01/25/37, (1-mo. SOFR + 0.464%)(b) |
148 | 134,396 | ||||||
Voya
CLO Ltd., 6.71%, 10/15/30 (Call 04/15/24), |
173 | 173,188 | ||||||
|
|
|||||||
Total
Asset-Backed Securities — 8.7% |
7,089,040 | |||||||
|
|
|||||||
Collaterized Mortgage Obligations |
|
|||||||
Mortgage-Backed Securities — 9.1% | ||||||||
Alternative Loan Trust |
||||||||
5.91%, 11/25/36 (Call 02/25/24), (1-mo. CME Term SOFR + 0.574%)(b) |
101 | 81,765 | ||||||
5.91%, 05/20/46 (Call 02/20/24), (1-mo. CME Term SOFR + 0.574%)(b) |
226 | 189,295 | ||||||
5.95%, 07/25/46 (Call 02/25/24), (1-mo. CME Term SOFR + 0.614%)(b) |
213 | 178,281 | ||||||
Angel Oak Mortgage Trust, 5.21%, 08/25/68(a) |
205 | 201,847 | ||||||
Arbor Multifamily Mortgage Securities Trust, 3.40%, 02/15/55(a)(b) |
170 | 153,470 | ||||||
Banc of America Alternative Loan Trust, 5.50%, 10/25/33 (Call 02/25/24) |
117 | 113,783 | ||||||
Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2017-BNK33.88%, 02/15/50(b) |
90 | 83,232 | ||||||
Bear Stearns Asset-Backed Securities Trust, 6.01%, 04/25/36, (1-mo. SOFR + 0.674%)(b) |
116 | 104,960 | ||||||
Bear Stearns Mortgage Funding Trust, 5.79%, 03/25/37 (Call 02/25/24), (1-mo. CME Term SOFR + 0.454%)(b) |
82 | 75,227 | ||||||
BHMS Mortgage Trust, 6.88%, 07/15/35, (1-mo. CME Term SOFR + 1.547%)(a)(b) |
100 | 99,258 | ||||||
BHP Trust, 6.90%, 08/15/36, (1-mo. CME Term SOFR + 1.569%)(a)(b) |
117 | 115,914 | ||||||
BX Commercial Mortgage Trust |
||||||||
2.84%, 03/09/44 (Call 03/09/30)(a) |
100 | 87,442 | ||||||
6.38%, 10/15/37, (1-mo. CME Term SOFR + 1.044%)(a)(b) |
131 | 130,702 | ||||||
7.09%, 12/09/40, (1-mo. SOFR + 1.761%)(a)(b) |
150 | 150,937 | ||||||
7.45%, 06/15/27, (1-mo. CME Term SOFR + 2.115%)(a)(b) |
145 | 145,556 | ||||||
8.47%, 06/15/27, (1-mo. CME Term SOFR + 3.141%)(a)(b) |
100 | 100,219 | ||||||
9.19%, 02/15/39, (1-mo. SOFR + 4.188%)(a)(b) |
100 | 99,750 |
S C H E D U L E O F I N V E S T M E N T S |
75 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Total Return ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
BX Trust |
||||||||
6.18%, 01/15/39, (1-mo. CME Term SOFR + 0.850%)(a)(b) |
$ | 150 | $ | 147,984 | ||||
6.33%, 01/15/39, (1-mo. CME Term SOFR + 1.000%)(a)(b) |
150 | 148,781 | ||||||
6.35%, 10/15/36, (1 mo. LIBOR US + 0.890%)(a)(b) |
150 | 147,937 | ||||||
7.50%, 08/15/39, (1-mo. CME Term SOFR + 2.165%)(a)(b) |
149 | 149,125 | ||||||
8.55%, 08/15/42, (1-mo. CME Term SOFR + 3.213%)(a)(b) |
99 | 99,417 | ||||||
CFK Trust, 2.79%, 03/15/39(a) |
100 | 85,001 | ||||||
Chase Mortgage Finance Trust, 5.08%, 02/25/37 (Call 01/25/29)(b) |
117 | 111,670 | ||||||
Cold Storage Trust |
||||||||
6.75%, 11/15/37, (1-mo. CME Term SOFR + 1.414%)(a)(b) |
98 | 97,900 | ||||||
8.95%, 11/15/37, (1-mo. CME Term SOFR + 3.607%)(a)(b) |
98 | 97,633 | ||||||
Series
2020-ICE5, Class A, 6.35%, 11/15/37, |
147 | 146,989 | ||||||
Countrywide Alternative Loan Trust, 6.00%, 05/25/36 |
37 | 15,521 | ||||||
CSMC Trust, 8.85%, 12/25/67(a)(b) |
112 | 112,887 | ||||||
Extended
Stay America Trust, 7.70%, 07/15/38, |
92 | 90,576 | ||||||
FREMF Mortgage Trust, 4.38%, 08/25/50 (Call 08/25/28)(a)(b) |
95 | 91,278 | ||||||
GCAT Trust |
||||||||
2.89%, 12/27/66 (Call 01/25/34)(a)(b) |
210 | 189,210 | ||||||
3.97%, 02/25/67(a)(b) |
180 | 132,748 | ||||||
4.25%, 05/25/67(a)(b) |
98 | 91,444 | ||||||
Government National Mortgage Association, 2.25%, 04/16/65 |
10 | 8,097 | ||||||
Homeward Opportunities Fund I Trust, 5.45%, 05/25/65(a)(b) |
210 | 202,883 | ||||||
HONO Mortgage Trust, 6.60%, 10/15/36, (1-mo. CME Term SOFR + 1.264%)(a)(b) |
100 | 96,327 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust, 7.51%, 09/15/39, (1-mo. CME Term SOFR + 2.179%)(a)(b) |
110 | 110,274 | ||||||
JP Morgan Alternative Loan Trust, 4.80%, 03/25/36(b) |
255 | 195,457 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust, 2.95%, 09/06/38(a)(b) |
130 | 121,752 | ||||||
KSL Commercial Mortgage Trust, 9.62%, 12/15/36, (1-mo. SOFR + 4.287%)(a)(b) |
100 | 100,625 | ||||||
MASTR Reperforming Loan Trust, 7.00%, 08/25/34 (Call 04/25/29)(a) |
259 | 184,375 | ||||||
Morgan Stanley Capital I Trust |
||||||||
6.84%, 07/15/35 (Call 07/15/24), (1-mo. CME Term SOFR + 1.501%)(a)(b) |
100 | 99,313 | ||||||
6.88%, 11/15/34, (1-mo. CME Term SOFR + 1.422%)(a)(b) |
100 | 98,899 | ||||||
MSWF Commercial Mortgage Trust, 6.01%, 12/15/56 |
180 | 196,054 | ||||||
MTN Commercial Mortgage Trust, 6.74%, 03/15/39, (1-mo. CME Term SOFR + 1.396%)(a)(b) |
100 | 97,875 | ||||||
One New York Plaza Trust, 6.40%, 01/15/36, (1-mo. CME Term SOFR + 1.064%)(a)(b) |
40 | 39,324 |
Security | Par (000) |
Value | ||||||||||
Mortgage-Backed Securities (continued) | ||||||||||||
OPEN Trust, 8.42%, 10/15/28, (1-mo. SOFR + 3.089%)(a) |
$ | 97 | $ | 97,504 | ||||||||
ORL Trust, 7.68%, 10/19/36, (1-mo. SOFR + 2.350%)(a)(b) |
174 | 174,381 | ||||||||||
PRET LLC, 7.14%, 01/25/54(a)(c) |
160 | 160,152 | ||||||||||
PRKCM Trust, 4.10%, 04/25/57 (Call 05/25/26)(a)(b) |
138 | 132,897 | ||||||||||
SLG Office Trust, 2.59%, 07/15/41(a) |
100 | 83,956 | ||||||||||
Taubman Centers Commercial Mortgage Trust, 7.52%, 05/15/37, (1-mo. CME Term SOFR + 2.186%)(a)(b) |
110 | 109,724 | ||||||||||
TTAN, 6.80%, 03/15/38, (1-mo. SOFR + 1.464%)(a)(b) |
152 | 150,171 | ||||||||||
Velocity Commercial Capital Loan Trust |
||||||||||||
2.61%, 02/25/50(a)(b) |
172 | 154,274 | ||||||||||
6.55%, 01/25/54(a)(b) |
110 | 111,866 | ||||||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series Trust |
||||||||||||
5.78%, 12/25/46 (Call 02/25/24), (12-mo. MTA + 0.720%)(b) |
132 | 99,818 | ||||||||||
5.79%, 12/25/36 (Call 02/25/24), (1-mo. CME Term SOFR + 0.454%)(b) |
252 | 196,803 | ||||||||||
Wells Fargo Commercial Mortgage Trust |
||||||||||||
2.58%, 09/15/31(a)(b) |
130 | 120,691 | ||||||||||
3.75%, 03/15/59 (Call 04/15/26) |
150 | 142,970 | ||||||||||
Series 2015-C31, Class B, 4.48%, 11/15/48 (Call 11/15/25)(b) |
80 | 75,606 | ||||||||||
|
|
|||||||||||
7,429,807 | ||||||||||||
|
|
|||||||||||
Total
Collaterized Mortgage
Obligations — 9.1% |
7,429,807 | |||||||||||
|
|
|||||||||||
Corporate Bonds & Notes |
||||||||||||
Advertising — 0.0% | ||||||||||||
Clear Channel Outdoor Holdings Inc., 5.13%, 08/15/27 (Call 08/15/24)(a) |
USD | 27 | 25,428 | |||||||||
Omnicom Group Inc., 2.60%, 08/01/31 (Call 05/01/31) |
USD | 11 | 9,390 | |||||||||
|
|
|||||||||||
34,818 | ||||||||||||
Aerospace & Defense — 1.2% | ||||||||||||
Boeing Co. (The) |
||||||||||||
3.83%, 03/01/59 (Call 09/01/58) |
USD | 11 | 7,849 | |||||||||
3.95%, 08/01/59 (Call 02/01/59) |
USD | 39 | 28,805 | |||||||||
5.93%, 05/01/60 (Call 11/01/59) |
USD | 38 | 37,941 | |||||||||
L3Harris Technologies Inc. |
||||||||||||
1.80%, 01/15/31 (Call 10/15/30) |
USD | 52 | 42,704 | |||||||||
2.90%, 12/15/29 (Call 09/15/29) |
USD | 54 | 48,835 | |||||||||
4.40%, 06/15/28 (Call 03/15/28) |
USD | 56 | 55,276 | |||||||||
5.40%, 07/31/33 (Call 04/30/33) |
USD | 99 | 101,973 | |||||||||
Lockheed Martin Corp. |
||||||||||||
1.85%, 06/15/30 (Call 03/15/30) |
USD | 39 | 33,434 | |||||||||
3.60%, 03/01/35 (Call 09/01/34) |
USD | 10 | 9,079 | |||||||||
3.90%, 06/15/32 (Call 03/15/32) |
USD | 10 | 9,559 | |||||||||
4.50%, 05/15/36 (Call 11/15/35) |
USD | 9 | 8,793 | |||||||||
4.75%, 02/15/34 (Call 11/15/33) |
USD | 9 | 9,060 | |||||||||
5.10%, 11/15/27 (Call 10/15/27) |
USD | 25 | 25,659 | |||||||||
Northrop Grumman Corp. |
||||||||||||
4.70%, 03/15/33 (Call 12/15/32) |
USD | 41 | 40,801 | |||||||||
4.95%, 03/15/53 (Call 09/15/52) |
USD | 39 | 37,901 | |||||||||
RTX Corp. |
||||||||||||
2.82%, 09/01/51 (Call 03/01/51) |
USD | 28 | 18,226 |
76 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Total Return ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||||||
Aerospace & Defense (continued) | ||||||||||||
3.13%, 07/01/50 (Call 01/01/50) |
USD | 11 | $ | 7,721 | ||||||||
3.75%, 11/01/46 (Call 05/01/46) |
USD | 10 | 7,993 | |||||||||
4.13%, 11/16/28 (Call 08/16/28) |
USD | 130 | 126,716 | |||||||||
5.15%, 02/27/33 (Call 11/27/32) |
USD | 100 | 101,338 | |||||||||
6.10%, 03/15/34 (Call 12/15/33) |
USD | 14 | 15,195 | |||||||||
6.70%, 08/01/28 |
USD | 118 | 126,512 | |||||||||
TransDigm Inc. |
||||||||||||
4.63%, 01/15/29 (Call 01/15/25) |
USD | 47 | 43,948 | |||||||||
6.25%, 03/15/26 (Call 03/15/24)(a) |
USD | 40 | 39,728 | |||||||||
|
|
|||||||||||
985,046 | ||||||||||||
Agriculture — 0.5% | ||||||||||||
Altria Group Inc. |
||||||||||||
2.45%, 02/04/32 (Call 11/04/31) |
USD | 34 | 27,799 | |||||||||
4.25%, 08/09/42 |
USD | 31 | 25,411 | |||||||||
4.50%, 05/02/43 |
USD | 30 | 25,567 | |||||||||
5.80%, 02/14/39 (Call 08/14/38) |
USD | 10 | 10,223 | |||||||||
6.20%, 11/01/28 (Call 10/01/28) |
USD | 35 | 36,920 | |||||||||
6.88%, 11/01/33 (Call 08/01/33) |
USD | 91 | 100,223 | |||||||||
BAT Capital Corp. |
||||||||||||
3.98%, 09/25/50 (Call 03/25/50) |
USD | 31 | 21,606 | |||||||||
4.54%, 08/15/47 (Call 02/15/47) |
USD | 19 | 14,552 | |||||||||
4.76%, 09/06/49 (Call 03/06/49) |
USD | 29 | 22,826 | |||||||||
5.28%, 04/02/50 (Call 02/02/49) |
USD | 27 | 22,821 | |||||||||
5.65%, 03/16/52 (Call 09/16/51) |
USD | 40 | 35,541 | |||||||||
7.08%, 08/02/53 (Call 02/02/53) |
USD | 29 | 30,774 | |||||||||
Philip Morris International Inc., 5.13%, 11/17/27 (Call 10/17/27) |
USD | 33 | 33,540 | |||||||||
|
|
|||||||||||
407,803 | ||||||||||||
Airlines — 0.1% | ||||||||||||
American Airlines Inc./AAdvantage Loyalty IP Ltd., 5.75%, 04/20/29(a) |
USD | 47 | 46,156 | |||||||||
United Airlines Inc., 4.63%, 04/15/29 (Call 10/15/25)(a) |
USD | 35 | 32,376 | |||||||||
|
|
|||||||||||
78,532 | ||||||||||||
Banks — 7.0% | ||||||||||||
Bank of America Corp. |
||||||||||||
2.57%, 10/20/32 (Call 10/20/31), (1-day SOFR + 1.210%)(b) |
USD | 32 | 26,677 | |||||||||
4.57%, 04/27/33 (Call 04/27/32), (1-day SOFR + 1.830%)(b) |
USD | 8 | 7,655 | |||||||||
5.29%, 04/25/34 (Call 04/25/33), (1-day SOFR + 1.910%)(b) |
USD | 32 | 32,197 | |||||||||
5.47%, 01/23/35 (Call 01/23/34), (1-day SOFR + 1.650%)(b) |
USD | 260 | 264,771 | |||||||||
5.82%, 09/15/29 (Call 09/15/28), (1-day SOFR + 1.570%)(b) |
USD | 275 | 284,326 | |||||||||
5.87%, 09/15/34 (Call 09/15/33), (1-day SOFR + 1.840%) |
USD | 133 | 139,271 | |||||||||
Banque Federative du Credit Mutuel SA |
||||||||||||
3.75%, 02/03/34(d) |
EUR | 100 | 108,517 | |||||||||
4.75%, 11/10/31(d) |
EUR | 200 | 229,127 | |||||||||
Citigroup Inc. |
||||||||||||
3.07%, 02/24/28 (Call 02/24/27), (1-day SOFR + 1.280%)(b) |
USD | 140 | 132,364 | |||||||||
6.27%, 11/17/33 (Call 11/17/32), (1-day SOFR + 2.338%)(b) |
USD | 218 | 233,960 | |||||||||
Credit Suisse AG/New York NY |
||||||||||||
3.70%, 02/21/25 |
USD | 500 | 491,752 | |||||||||
5.00%, 07/09/27 |
USD | 250 | 250,135 |
Security |
Par (000) |
Value |
||||||||||
Banks (continued) | ||||||||||||
Fifth Third Bancorp, 5.63%, 01/29/32 (Call 01/29/31), (1-day SOFR + 1.840%)(b) |
USD | 25 | $ | 25,235 | ||||||||
Goldman Sachs Group Inc. (The) |
||||||||||||
0.88%, 05/09/29 (Call 02/09/29)(d) |
EUR | 100 | 94,015 | |||||||||
1.99%, 01/27/32 (Call 01/27/31), (1-day SOFR + 1.090%)(b) |
USD | 60 | 48,832 | |||||||||
2.38%, 07/21/32 (Call 07/21/31), (1-day SOFR + 1.248%)(b) |
USD | 65 | 53,596 | |||||||||
2.60%, 02/07/30 (Call 11/07/29) |
USD | 53 | 46,617 | |||||||||
2.62%, 04/22/32 (Call 04/22/31), (1-day SOFR + 1.281%)(b) |
USD | 63 | 53,158 | |||||||||
2.65%, 10/21/32 (Call 10/21/31), (1-day SOFR + 1.264%)(b) |
USD | 56 | 46,846 | |||||||||
3.80%, 03/15/30 (Call 12/15/29) |
USD | 10 | 9,411 | |||||||||
6.48%, 10/24/29 (Call 10/24/28), (1-day SOFR + 1.770%)(b) |
USD | 291 | 308,973 | |||||||||
JPMorgan Chase & Co. |
||||||||||||
1.76%, 11/19/31 (Call 11/19/30), (3-mo. SOFR + 1.105%)(b) |
USD | 11 | 8,965 | |||||||||
2.58%, 04/22/32 (Call 04/22/31), (3-mo. SOFR + 1.250%)(b) |
USD | 43 | 36,431 | |||||||||
2.74%, 10/15/30 (Call 10/15/29), (3-mo. SOFR + 1.510%)(b) |
USD | 18 | 16,024 | |||||||||
4.46%,
11/13/31, (3-mo. EURIBOR + |
EUR | 100 | 113,728 | |||||||||
4.49%, 03/24/31 (Call 03/24/30), (3-mo. SOFR + 3.790%)(b) |
USD | 9 | 8,787 | |||||||||
4.57%, 06/14/30 (Call 06/14/29), (1-day SOFR + 1.750%)(b) |
USD | 24 | 23,621 | |||||||||
5.04%, 01/23/28 (Call 01/23/27), (1-day SOFR + 1.190%)(b) |
USD | 75 | 75,321 | |||||||||
5.34%, 01/23/35 (Call 01/23/34), (1-day SOFR + 1.620%) |
USD | 175 | 177,845 | |||||||||
5.35%, 06/01/34 (Call 06/01/33), (1-day SOFR + 1.845%)(b) |
USD | 11 | 11,184 | |||||||||
6.25%, 10/23/34 (Call 10/23/33), (1-day SOFR + 1.810%)(b) |
USD | 11 | 11,921 | |||||||||
Morgan Stanley |
||||||||||||
1.79%, 02/13/32 (Call 02/13/31), (1-day SOFR + 1.034%)(b) |
USD | 31 | 24,887 | |||||||||
1.93%, 04/28/32 (Call 04/28/31), (1-day SOFR + 1.020%)(b) |
USD | 122 | 98,424 | |||||||||
2.24%, 07/21/32 (Call 07/21/31), (1-day SOFR + 1.178%)(b) |
USD | 117 | 95,928 | |||||||||
2.51%, 10/20/32 (Call 10/20/31), (1-day SOFR + 1.200%)(b) |
USD | 29 | 24,153 | |||||||||
2.70%, 01/22/31 (Call 01/22/30), |
||||||||||||
(1-day SOFR + 1.143%)(b) |
USD | 71 | 62,384 | |||||||||
3.62%, 04/01/31 (Call 04/01/30), (1-day SOFR + 3.120%)(b) |
USD | 32 | 29,525 | |||||||||
5.16%, 04/20/29 (Call 04/20/28), (1-day SOFR + 1.590%)(b) |
USD | 12 | 12,079 | |||||||||
5.17%, 01/16/30 (Call 01/16/29), (1-day SOFR + 1.450%)(b) |
USD | 46 | 46,396 | |||||||||
5.47%, 01/18/35 (Call 01/18/34), (1-day SOFR + 1.730%)(b) |
USD | 30 | 30,615 | |||||||||
6.41%, 11/01/29 (Call 11/01/28), (1-day SOFR + 1.830%)(b) |
USD | 372 | 394,237 | |||||||||
6.63%, 11/01/34 (Call 11/01/33), (1-day SOFR + 2.050%)(b) |
USD | 207 | 229,137 |
S C H E D U L E O F I N V E S T M E N T S |
77 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Total Return ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Banks (continued) | ||||||||||||
Santander Holdings USA Inc., 6.17%, 01/09/30 (Call 01/09/29), (1-day SOFR + 2.500%)(b) |
USD | 71 | $ | 71,407 | ||||||||
Truist Financial Corp. |
||||||||||||
5.44%, 01/24/30 (Call 01/24/29), (1-day SOFR + 1.620%)(b) |
USD | 25 | 25,213 | |||||||||
5.71%, 01/24/35 (Call 01/24/34), (1-day SOFR + 1.922%)(b) |
USD | 20 | 20,337 | |||||||||
U.S. Bancorp |
||||||||||||
5.38%, 01/23/30 (Call 01/23/29), (1-day SOFR + 1.560%)(b) |
USD | 20 | 20,237 | |||||||||
5.68%, 01/23/35 (Call 01/23/34), (1-day SOFR + 1.860%)(b) |
USD | 10 | 10,232 | |||||||||
UBS Group AG |
||||||||||||
3.75%, 03/26/25 |
USD | 250 | 245,679 | |||||||||
6.30%, 09/22/34 (Call 09/22/33), (1-year CMT + 2.000%)(a) |
USD | 200 | 211,846 | |||||||||
Wells Fargo & Co. |
||||||||||||
0.63%, 03/25/30(d) |
EUR | 101 | 91,477 | |||||||||
5.20%, 01/23/30 (Call 01/23/29), (1-day SOFR + 1.500%) |
USD | 26 | 26,202 | |||||||||
5.50%, 01/23/35 (Call 01/23/34), (1-day SOFR + 1.780%)(b) |
USD | 65 | 66,292 | |||||||||
5.56%, 07/25/34 (Call 07/25/33), (1-day SOFR + 1.990%)(b) |
USD | 8 | 8,167 | |||||||||
5.57%, 07/25/29 (Call 07/25/28), (1-day SOFR + 1.740%)(b) |
USD | 70 | 71,541 | |||||||||
6.30%, 10/23/29 (Call 10/23/28), (1-day SOFR + 1.790%)(b) |
USD | 139 | 146,499 | |||||||||
6.49%, 10/23/34 (Call 10/23/33), (1-day SOFR + 2.060%)(b) |
USD | 264 | 288,010 | |||||||||
|
|
|||||||||||
5,722,166 | ||||||||||||
Beverages — 0.1% | ||||||||||||
JDE Peet’s NV, 4.50%, 01/23/34(d) |
EUR | 100 | 112,826 | |||||||||
|
|
|||||||||||
Biotechnology — 0.6% | ||||||||||||
Amgen Inc. |
||||||||||||
4.05%, 08/18/29 (Call 06/18/29) |
USD | 42 | 40,890 | |||||||||
4.40%, 02/22/62 (Call 08/22/61) |
USD | 114 | 94,923 | |||||||||
5.25%, 03/02/30 (Call 01/02/30) |
USD | 145 | 148,454 | |||||||||
5.75%, 03/02/63 (Call 09/02/62) |
USD | 61 | 62,858 | |||||||||
Gilead Sciences Inc. |
||||||||||||
1.65%, 10/01/30 (Call 07/01/30) |
USD | 45 | 37,589 | |||||||||
2.60%, 10/01/40 (Call 04/01/40) |
USD | 39 | 28,382 | |||||||||
4.00%, 09/01/36 (Call 03/01/36) |
USD | 27 | 24,752 | |||||||||
4.50%, 02/01/45 (Call 08/01/44) |
USD | 9 | 8,257 | |||||||||
4.80%, 04/01/44 (Call 10/01/43) |
USD | 22 | 21,025 | |||||||||
5.65%, 12/01/41 (Call 06/01/41) |
USD | 21 | 22,191 | |||||||||
|
|
|||||||||||
489,321 | ||||||||||||
Building Materials — 0.0% | ||||||||||||
Owens Corning, 3.95%, 08/15/29 (Call 05/15/29) |
USD | 12 | 11,457 | |||||||||
|
|
|||||||||||
Chemicals — 0.1% | ||||||||||||
Chemours Co. (The), 5.75%, 11/15/28 (Call 11/15/24)(a) |
USD | 23 | 21,694 | |||||||||
Eastman Chemical Co., 5.75%, 03/08/33 (Call 12/08/32) |
USD | 10 | 10,299 | |||||||||
Olin Corp., 5.00%, 02/01/30 (Call 02/01/24) |
USD | 27 | 25,459 | |||||||||
|
|
|||||||||||
57,452 |
Security | Par (000) |
Value | ||||||||||
Commercial Services — 0.1% | ||||||||||||
Global Payments Inc. |
||||||||||||
2.90%, 05/15/30 (Call 02/15/30) |
USD | 22 | $ | 19,375 | ||||||||
5.30%, 08/15/29 (Call 06/15/29) |
USD | 8 | 8,045 | |||||||||
Moody’s Corp. |
||||||||||||
2.00%, 08/19/31 (Call 05/19/31) |
USD | 13 | 10,720 | |||||||||
3.25%, 01/15/28 (Call 10/15/27) |
USD | 11 | 10,511 | |||||||||
|
|
|||||||||||
48,651 | ||||||||||||
Computers — 0.2% | ||||||||||||
Dell International LLC/EMC Corp., 4.90%, 10/01/26 (Call 08/01/26) |
USD | 104 | 104,024 | |||||||||
Hewlett Packard Enterprise Co., 5.25%, 07/01/28 (Call 06/01/28) |
USD | 28 | 28,455 | |||||||||
|
|
|||||||||||
132,479 | ||||||||||||
Diversified Financial Services — 0.2% | ||||||||||||
Nasdaq Inc. |
||||||||||||
5.55%, 02/15/34 (Call 11/15/33) |
USD | 27 | 27,997 | |||||||||
6.10%, 06/28/63 (Call 12/28/62) |
USD | 50 | 53,918 | |||||||||
Nationstar Mortgage Holdings Inc., 5.13%, 12/15/30 (Call 12/15/25)(a) |
USD | 27 | 24,268 | |||||||||
Navient Corp., 5.50%, 03/15/29 (Call 06/15/28) |
USD | 22 | 19,862 | |||||||||
PennyMac Financial Services Inc., 5.38%, 10/15/25 (Call 10/15/24)(a) |
USD | 15 | 14,793 | |||||||||
Rocket Mortgage LLC/Rocket Mortgage |
||||||||||||
Co-Issuer
Inc., 2.88%, 10/15/26 (Call |
USD | 28 | 25,692 | |||||||||
|
|
|||||||||||
166,530 | ||||||||||||
Electric — 2.8% | ||||||||||||
AEP Texas Inc. |
||||||||||||
3.45%, 05/15/51 (Call 11/15/50) |
USD | 16 | 11,285 | |||||||||
3.80%, 10/01/47 (Call 04/01/47) |
USD | 16 | 11,878 | |||||||||
4.70%, 05/15/32 (Call 02/15/32) |
USD | 16 | 15,608 | |||||||||
5.25%, 05/15/52 (Call 11/15/51) |
USD | 20 | 19,281 | |||||||||
5.40%, 06/01/33 (Call 03/01/33) |
USD | 27 | 27,587 | |||||||||
Series G, 4.15%, 05/01/49 (Call 11/01/48) |
USD | 14 | 11,130 | |||||||||
Series H, 3.45%, 01/15/50 (Call 07/15/49) |
USD | 26 | 18,547 | |||||||||
AEP Transmission Co. LLC |
||||||||||||
3.15%, 09/15/49 (Call 03/15/49) |
USD | 11 | 7,676 | |||||||||
3.75%, 12/01/47 (Call 06/01/47) |
USD | 10 | 7,967 | |||||||||
3.80%, 06/15/49 (Call 12/15/48) |
USD | 10 | 7,793 | |||||||||
4.50%, 06/15/52 (Call 12/15/51) |
USD | 8 | 7,069 | |||||||||
Series M, 3.65%, 04/01/50 (Call 10/01/49) |
USD | 10 | 7,761 | |||||||||
Series N, 2.75%, 08/15/51 (Call 02/15/51) |
USD | 12 | 7,741 | |||||||||
Alabama Power Co. |
||||||||||||
3.75%, 03/01/45 (Call 09/01/44) |
USD | 27 | 21,898 | |||||||||
3.85%, 12/01/42 |
USD | 10 | 8,305 | |||||||||
4.10%, 01/15/42 |
USD | 10 | 8,308 | |||||||||
4.15%, 08/15/44 (Call 02/15/44) |
USD | 10 | 8,562 | |||||||||
4.30%, 01/02/46 (Call 07/02/45) |
USD | 10 | 8,674 | |||||||||
5.50%, 03/15/41 |
USD | 9 | 9,031 | |||||||||
Series 11-C, 5.20%, 06/01/41 |
USD | 9 | 8,806 | |||||||||
Ameren Illinois Co., 2.90%, 06/15/51 (Call 12/15/50) |
USD | 11 | 7,380 | |||||||||
Baltimore Gas & Electric Co. |
||||||||||||
2.90%, 06/15/50 (Call 12/15/49) |
USD | 16 | 10,668 | |||||||||
3.20%, 09/15/49 (Call 03/15/49) |
USD | 16 | 11,379 | |||||||||
3.50%, 08/15/46 (Call 02/15/46) |
USD | 29 | 21,909 | |||||||||
3.75%, 08/15/47 (Call 02/15/47) |
USD | 28 | 22,226 | |||||||||
4.25%, 09/15/48 (Call 03/15/48) |
USD | 13 | 11,042 | |||||||||
4.55%, 06/01/52 (Call 12/01/51) |
USD | 12 | 10,773 | |||||||||
5.40%, 06/01/53 (Call 12/01/52) |
USD | 10 | 10,162 | |||||||||
CenterPoint Energy Houston Electric LLC |
||||||||||||
3.95%, 03/01/48 (Call 09/01/47) |
USD | 9 | 7,523 |
78 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Total Return ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Electric (continued) | ||||||||||||
Series AD, 2.90%, 07/01/50 (Call 01/01/50) |
USD | 11 | $ | 7,552 | ||||||||
Series AE, 2.35%, 04/01/31 (Call 01/01/31) |
USD | 9 | 7,677 | |||||||||
Coentreprise de Transport d’Electricite SA, 3.75%, 01/17/36(d) |
EUR | 100 | 108,962 | |||||||||
Commonwealth Edison Co. |
||||||||||||
3.65%, 06/15/46 (Call 12/15/45) |
USD | 10 | 7,822 | |||||||||
4.00%, 03/01/49 (Call 09/01/48) |
USD | 9 | 7,436 | |||||||||
5.30%, 02/01/53 (Call 08/01/52) |
USD | 7 | 7,055 | |||||||||
Series 123, 3.75%, 08/15/47 (Call 02/15/47) |
USD | 10 | 7,927 | |||||||||
Series 127, 3.20%, 11/15/49 (Call 05/15/49) |
USD | 11 | 7,837 | |||||||||
Series 130, 3.13%, 03/15/51 (Call 09/15/50) |
USD | 11 | 7,634 | |||||||||
Series 133, 3.85%, 03/15/52 (Call 09/15/51) |
USD | 10 | 7,936 | |||||||||
Consolidated Edison Co. of New York Inc., 5.70%, 06/15/40 |
USD | 17 | 17,456 | |||||||||
Consumers Energy Co. |
||||||||||||
2.65%, 08/15/52 (Call 02/15/52) |
USD | 12 | 7,745 | |||||||||
3.10%, 08/15/50 (Call 02/15/50) |
USD | 11 | 7,934 | |||||||||
3.25%, 08/15/46 (Call 02/15/46) |
USD | 10 | 7,609 | |||||||||
3.75%, 02/15/50 (Call 08/15/49) |
USD | 9 | 7,300 | |||||||||
3.95%, 07/15/47 (Call 01/15/47) |
USD | 9 | 7,556 | |||||||||
4.05%, 05/15/48 (Call 11/15/47) |
USD | 9 | 7,735 | |||||||||
Dominion Energy South Carolina Inc., 6.25%, 10/15/53 (Call 04/15/53) |
USD | 8 | 9,104 | |||||||||
DTE Electric Co. |
||||||||||||
3.70%, 06/01/46 (Call 12/01/45) |
USD | 14 | 11,161 | |||||||||
Series B, 3.25%, 04/01/51 (Call 10/01/50) |
USD | 15 | 10,765 | |||||||||
Duke Energy Carolinas LLC |
||||||||||||
3.20%, 08/15/49 (Call 02/15/49) |
USD | 30 | 21,438 | |||||||||
3.45%, 04/15/51 (Call 10/15/50) |
USD | 16 | 11,864 | |||||||||
3.70%, 12/01/47 (Call 06/01/47) |
USD | 16 | 12,422 | |||||||||
3.88%, 03/15/46 (Call 09/15/45) |
USD | 25 | 20,068 | |||||||||
3.95%, 03/15/48 (Call 09/15/47) |
USD | 25 | 20,292 | |||||||||
5.35%, 01/15/53 (Call 07/15/52) |
USD | 8 | 8,045 | |||||||||
5.40%, 01/15/54 (Call 07/15/53) |
USD | 36 | 36,426 | |||||||||
Duke Energy Florida LLC |
||||||||||||
1.75%, 06/15/30 (Call 03/15/30) |
USD | 24 | 20,044 | |||||||||
2.50%, 12/01/29 (Call 09/01/29) |
USD | 34 | 30,246 | |||||||||
3.00%, 12/15/51 (Call 06/15/51) |
USD | 19 | 12,672 | |||||||||
4.20%, 07/15/48 (Call 01/15/48) |
USD | 16 | 13,484 | |||||||||
5.95%, 11/15/52 (Call 05/15/52) |
USD | 12 | 13,010 | |||||||||
6.20%, 11/15/53 (Call 05/15/53) |
USD | 25 | 27,976 | |||||||||
Duke Energy Ohio Inc., 5.65%, 04/01/53 (Call 10/01/52) |
USD | 7 | 7,240 | |||||||||
Duke Energy Progress LLC |
||||||||||||
2.50%, 08/15/50 (Call 02/15/50) |
USD | 19 | 11,735 | |||||||||
2.90%, 08/15/51 (Call 02/15/51) |
USD | 17 | 11,177 | |||||||||
3.45%, 03/15/29 (Call 12/15/28) |
USD | 25 | 23,781 | |||||||||
3.60%, 09/15/47 (Call 03/15/47) |
USD | 16 | 12,232 | |||||||||
3.70%, 09/01/28 (Call 06/01/28) |
USD | 10 | 9,664 | |||||||||
3.70%, 10/15/46 (Call 04/15/46) |
USD | 16 | 12,490 | |||||||||
4.00%, 04/01/52 (Call 10/01/51) |
USD | 15 | 12,063 | |||||||||
5.35%, 03/15/53 (Call 09/15/52) |
USD | 20 | 20,000 | |||||||||
Edison International |
||||||||||||
4.13%, 03/15/28 (Call 12/15/27) |
USD | 20 | 19,400 | |||||||||
5.25%, 11/15/28 (Call 10/15/28) |
USD | 28 | 28,267 | |||||||||
5.75%, 06/15/27 (Call 04/15/27) |
USD | 48 | 49,049 | |||||||||
6.95%, 11/15/29 (Call 09/15/29) |
USD | 47 | 51,048 | |||||||||
EnBW International Finance BV, 3.85%, 05/23/30(d) |
EUR | 5 | 5,558 | |||||||||
Entergy Arkansas LLC |
||||||||||||
5.15%, 01/15/33 (Call 10/15/32) |
USD | 7 | 7,143 | |||||||||
5.30%, 09/15/33 (Call 06/15/33) |
USD | 7 | 7,185 |
Security | Par (000) |
Value | ||||||||||
Electric (continued) | ||||||||||||
Eversource Energy, Series O, 4.25%, 04/01/29 (Call 01/01/29) |
USD | 51 | $ | 49,116 | ||||||||
FirstEnergy Transmission LLC, 4.55%, 04/01/49 (Call 10/01/48)(a) |
USD | 39 | 33,367 | |||||||||
Florida Power & Light Co. |
||||||||||||
2.88%, 12/04/51 (Call 06/04/51) |
USD | 11 | 7,451 | |||||||||
3.15%, 10/01/49 (Call 04/01/49) |
USD | 11 | 7,938 | |||||||||
3.70%, 12/01/47 (Call 06/01/47) |
USD | 10 | 7,951 | |||||||||
3.95%, 03/01/48 (Call 09/01/47) |
USD | 9 | 7,528 | |||||||||
3.99%, 03/01/49 (Call 09/01/48) |
USD | 9 | 7,535 | |||||||||
Georgia Power Co. |
||||||||||||
4.70%, 05/15/32 (Call 02/15/32) |
USD | 17 | 16,787 | |||||||||
4.95%, 05/17/33 (Call 11/17/32) |
USD | 16 | 16,005 | |||||||||
MidAmerican Energy Co. |
||||||||||||
5.30%, 02/01/55 (Call 08/01/54) |
USD | 10 | 10,143 | |||||||||
5.85%, 09/15/54 (Call 03/15/54) |
USD | 18 | 19,673 | |||||||||
Northern States Power Co./MN |
||||||||||||
2.60%, 06/01/51 (Call 12/01/50) |
USD | 16 | 10,242 | |||||||||
2.90%, 03/01/50 (Call 09/01/49) |
USD | 17 | 11,652 | |||||||||
3.20%, 04/01/52 (Call 10/01/51) |
USD | 36 | 25,912 | |||||||||
3.60%, 05/15/46 (Call 11/15/45) |
USD | 16 | 12,523 | |||||||||
4.50%, 06/01/52 (Call 12/01/51) |
USD | 29 | 26,183 | |||||||||
5.10%, 05/15/53 (Call 11/15/52) |
USD | 12 | 11,895 | |||||||||
NRG
Energy Inc., 3.63%, 02/15/31 (Call |
USD | 24 | 20,586 | |||||||||
Ohio Power Co. |
||||||||||||
4.00%, 06/01/49 (Call 12/01/48) |
USD | 21 | 16,758 | |||||||||
4.15%, 04/01/48 (Call 10/01/47) |
USD | 20 | 16,350 | |||||||||
5.00%, 06/01/33 (Call 03/01/33) |
USD | 18 | 18,040 | |||||||||
Series P, 2.60%, 04/01/30 (Call 01/01/30) |
USD | 54 | 47,332 | |||||||||
Series Q, 1.63%, 01/15/31 (Call 10/15/30) |
USD | 52 | 42,224 | |||||||||
Series R, 2.90%, 10/01/51 (Call 04/01/51) |
USD | 57 | 37,535 | |||||||||
Pacific Gas and Electric Co. |
||||||||||||
3.50%, 08/01/50 (Call 02/01/50) |
USD | 76 | 53,064 | |||||||||
4.00%, 12/01/46 (Call 06/01/46) |
USD | 26 | 19,546 | |||||||||
4.25%, 03/15/46 (Call 09/15/45) |
USD | 25 | 19,602 | |||||||||
4.95%, 07/01/50 (Call 01/01/50) |
USD | 22 | 19,172 | |||||||||
5.25%, 03/01/52 (Call 09/01/51) |
USD | 21 | 18,800 | |||||||||
6.70%, 04/01/53 (Call 10/01/52) |
USD | 17 | 18,711 | |||||||||
PECO Energy Co. |
||||||||||||
2.85%, 09/15/51 (Call 03/15/51) |
USD | 14 | 9,284 | |||||||||
3.05%, 03/15/51 (Call 09/15/50) |
USD | 28 | 19,392 | |||||||||
3.70%, 09/15/47 (Call 03/15/47) |
USD | 36 | 28,638 | |||||||||
4.38%, 08/15/52 (Call 02/15/52) |
USD | 36 | 31,699 | |||||||||
4.60%, 05/15/52 (Call 11/15/51) |
USD | 10 | 9,202 | |||||||||
Public Service Co. of New Hampshire |
||||||||||||
3.60%, 07/01/49 (Call 01/01/49) |
USD | 22 | 17,113 | |||||||||
5.15%, 01/15/53 (Call 07/15/52) |
USD | 17 | 16,934 | |||||||||
Public Service Electric & Gas Co., 2.05%, 08/01/50 (Call 02/01/50) |
USD | 33 | 19,613 | |||||||||
San Diego Gas & Electric Co. |
||||||||||||
3.70%, 03/15/52 (Call 09/15/51) |
USD | 10 | 7,698 | |||||||||
5.35%, 04/01/53 (Call 10/01/52) |
USD | 8 | 8,003 | |||||||||
Series RRR, 3.75%, 06/01/47 (Call 12/01/46) |
USD | 28 | 22,182 | |||||||||
Series TTT, 4.10%, 06/15/49 (Call 12/15/48) |
USD | 9 | 7,467 | |||||||||
Series UUU, 3.32%, 04/15/50 (Call 10/15/49) |
USD | 11 | 7,907 | |||||||||
Southern California Edison Co. |
||||||||||||
2.25%, 06/01/30 (Call 03/01/30) |
USD | 45 | 38,727 | |||||||||
2.75%, 02/01/32 (Call 11/01/31) |
USD | 15 | 12,888 | |||||||||
2.85%, 08/01/29 (Call 05/01/29) |
USD | 47 | 42,860 | |||||||||
5.20%, 06/01/34 (Call 03/01/34) |
USD | 30 | 30,227 | |||||||||
5.63%, 02/01/36 |
USD | 11 | 11,301 |
S C H E D U L E O F I N V E S T M E N T S |
79 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Total Return ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Electric (continued) | ||||||||||||
5.65%, 10/01/28 (Call 09/01/28) |
USD | 47 | $ | 48,894 | ||||||||
5.95%, 11/01/32 (Call 08/01/32) |
USD | 12 | 12,791 | |||||||||
6.00%, 01/15/34 |
USD | 11 | 11,796 | |||||||||
Series 04-G, 5.75%, 04/01/35 |
USD | 11 | 11,412 | |||||||||
Series 05-B, 5.55%, 01/15/36 |
USD | 11 | 11,089 | |||||||||
Series G, 2.50%, 06/01/31 (Call 03/01/31) |
USD | 41 | 34,946 | |||||||||
Union Electric Co., 5.45%, 03/15/53 (Call 09/15/52) |
USD | 13 | 13,162 | |||||||||
Virginia Electric & Power Co. |
||||||||||||
4.00%, 01/15/43 (Call 07/15/42) |
USD | 23 | 19,563 | |||||||||
4.45%, 02/15/44 (Call 08/15/43) |
USD | 9 | 7,972 | |||||||||
Series B, 4.20%, 05/15/45 (Call 11/15/44) |
USD | 9 | 7,594 | |||||||||
Series D, 4.65%, 08/15/43 (Call 02/15/43) |
USD | 8 | 7,274 | |||||||||
Vistra Operations Co. LLC, 5.00%, 07/31/27 (Call 07/31/24)(a) |
USD | 16 | 15,501 | |||||||||
|
|
|||||||||||
2,328,941 | ||||||||||||
Entertainment — 0.1% | ||||||||||||
Caesars Entertainment Inc. |
||||||||||||
4.63%, 10/15/29 (Call 10/15/24)(a) |
USD | 11 | 10,055 | |||||||||
6.25%, 07/01/25 (Call 07/01/24)(a) |
USD | 40 | 40,137 | |||||||||
8.13%, 07/01/27 (Call 07/01/24)(a) |
USD | 39 | 40,024 | |||||||||
Premier Entertainment Sub LLC/Premier Entertainment Finance Corp., 5.63%, 09/01/29 (Call 09/01/24)(a) |
USD | 23 | 17,248 | |||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 5.13%, 10/01/29 (Call 07/01/29)(a) |
USD | 16 | 15,115 | |||||||||
|
|
|||||||||||
122,579 | ||||||||||||
Environmental Control — 0.1% | ||||||||||||
Covanta Holding Corp., 4.88%, 12/01/29 (Call 12/01/24)(a) |
USD | 23 | 19,865 | |||||||||
Republic Services Inc. |
||||||||||||
1.75%, 02/15/32 (Call 11/15/31) |
USD | 9 | 7,226 | |||||||||
5.00%, 04/01/34 (Call 01/01/34) |
USD | 8 | 8,081 | |||||||||
Waste Management Inc. |
||||||||||||
3.90%, 03/01/35 (Call 09/01/34) |
USD | 9 | 8,100 | |||||||||
4.88%, 02/15/34 (Call 11/15/33) |
USD | 7 | 7,047 | |||||||||
|
|
|||||||||||
50,319 | ||||||||||||
Gas — 0.3% | ||||||||||||
Atmos Energy Corp., 6.20%, 11/15/53 (Call 05/15/53) |
USD | 16 | 18,310 | |||||||||
CenterPoint Energy Resources Corp., 5.25%, 03/01/28 (Call 02/01/28) |
USD | 30 | 30,717 | |||||||||
NiSource Inc. |
||||||||||||
3.49%, 05/15/27 (Call 02/15/27) |
USD | 79 | 76,108 | |||||||||
5.25%, 03/30/28 (Call 02/29/28) |
USD | 76 | 77,522 | |||||||||
5.40%, 06/30/33 (Call 03/30/33) |
USD | 54 | 55,358 | |||||||||
ONE Gas Inc., 5.10%, 04/01/29 (Call 03/01/29) |
USD | 11 | 11,228 | |||||||||
Piedmont Natural Gas Co. Inc., 2.50%, 03/15/31 (Call 12/15/30) |
USD | 20 | 16,996 | |||||||||
|
|
|||||||||||
286,239 | ||||||||||||
Health Care - Products — 0.3% | ||||||||||||
Agilent Technologies Inc., 2.30%, 03/12/31 (Call 12/12/30) |
USD | 11 | 9,418 | |||||||||
Bausch & Lomb Escrow Corp., 8.38%, 10/01/28 (Call 10/01/25)(a) |
USD | 38 | 39,428 | |||||||||
HCA Inc., 3.13%, 03/15/27 (Call 02/15/27) |
USD | 29 | 27,571 | |||||||||
Medline Borrower LP, 3.88%, 04/01/29 (Call 10/01/24)(a) |
USD | 62 | 56,135 |
Security | Par (000) |
Value | ||||||||||
Health Care - Products (continued) | ||||||||||||
Thermo Fisher Scientific Inc. |
||||||||||||
5.09%, 08/10/33 (Call 05/10/33) |
USD | 66 | $ | 68,221 | ||||||||
5.20%, 01/31/34 (Call 10/31/33) |
USD | 21 | 21,844 | |||||||||
|
|
|||||||||||
222,617 | ||||||||||||
Health Care - Services — 0.6% | ||||||||||||
CHS/Community Health Systems Inc., 5.63%, 03/15/27 (Call 12/15/24)(a) |
USD | 35 | 32,333 | |||||||||
Elevance Health Inc. |
||||||||||||
3.13%, 05/15/50 (Call 11/15/49) |
USD | 31 | 21,891 | |||||||||
3.60%, 03/15/51 (Call 09/15/50) |
USD | 10 | 7,730 | |||||||||
4.85%, 08/15/54 (Call 02/15/54) |
USD | 9 | 7,880 | |||||||||
HCA Inc. |
||||||||||||
3.50%, 09/01/30 (Call 03/01/30) |
USD | 171 | 155,159 | |||||||||
5.25%, 04/15/25 |
USD | 23 | 22,975 | |||||||||
5.25%, 06/15/26 (Call 12/15/25) |
USD | 42 | 42,120 | |||||||||
5.38%, 09/01/26 (Call 03/01/26) |
USD | 23 | 23,123 | |||||||||
5.88%, 02/15/26 (Call 08/15/25) |
USD | 17 | 17,161 | |||||||||
Molina Healthcare Inc., 4.38%, 06/15/28 (Call 01/29/24)(a) |
USD | 16 | 14,998 | |||||||||
Tenet Healthcare Corp., 4.63%, 06/15/28 (Call 06/15/24) |
USD | 16 | 15,173 | |||||||||
UnitedHealth Group Inc. |
||||||||||||
2.90%, 05/15/50 (Call 11/15/49) |
USD | 11 | 7,645 | |||||||||
3.13%, 05/15/60 (Call 11/15/59) |
USD | 33 | 22,838 | |||||||||
3.25%, 05/15/51 (Call 11/15/50) |
USD | 10 | 7,337 | |||||||||
3.70%, 08/15/49 (Call 02/15/49) |
USD | 10 | 8,008 | |||||||||
3.75%, 10/15/47 (Call 04/15/47) |
USD | 9 | 7,334 | |||||||||
3.88%, 08/15/59 (Call 02/15/59) |
USD | 9 | 7,215 | |||||||||
4.20%, 01/15/47 (Call 07/15/46) |
USD | 9 | 7,942 | |||||||||
4.25%, 04/15/47 (Call 10/15/46) |
USD | 9 | 7,971 | |||||||||
4.25%, 06/15/48 (Call 12/15/47) |
USD | 9 | 7,943 | |||||||||
4.45%, 12/15/48 (Call 06/15/48) |
USD | 8 | 7,261 | |||||||||
4.75%, 05/15/52 (Call 11/15/51) |
USD | 8 | 7,577 | |||||||||
5.20%, 04/15/63 (Call 10/15/62) |
USD | 8 | 8,018 | |||||||||
6.05%, 02/15/63 (Call 08/15/62) |
USD | 7 | 7,990 | |||||||||
|
|
|||||||||||
475,622 | ||||||||||||
Home Builders — 0.0% | ||||||||||||
Taylor Morrison Communities Inc., 5.75%, 01/15/28 (Call 10/15/27)(a) |
USD | 15 | 14,891 | |||||||||
|
|
|||||||||||
Insurance — 0.1% | ||||||||||||
Aon Corp./Aon Global Holdings PLC |
||||||||||||
2.60%, 12/02/31 (Call 09/02/31) |
USD | 11 | 9,333 | |||||||||
5.00%, 09/12/32 (Call 06/12/32) |
USD | 8 | 8,006 | |||||||||
5.35%, 02/28/33 (Call 11/28/32) |
USD | 8 | 8,177 | |||||||||
Hartford Financial Services Group Inc. (The), 2.90%, 09/15/51 (Call 03/15/51) |
USD | 12 | 7,973 | |||||||||
Marsh & McLennan Companies Inc., 5.70%, 09/15/53 (Call 03/15/53) |
USD | 20 | 21,525 | |||||||||
|
|
|||||||||||
55,014 | ||||||||||||
Internet — 0.0% | ||||||||||||
Meta Platforms Inc. |
||||||||||||
4.65%, 08/15/62 (Call 02/15/62) |
USD | 19 | 17,419 | |||||||||
5.75%, 05/15/63 (Call 11/15/62) |
USD | 17 | 18,437 | |||||||||
|
|
|||||||||||
35,856 | ||||||||||||
Iron & Steel — 0.1% | ||||||||||||
Cleveland-Cliffs Inc., 6.75%, 04/15/30 (Call 04/15/26)(a) |
USD | 23 | 23,201 |
80 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Total Return ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Iron & Steel (continued) | ||||||||||||
Mineral Resources Ltd., 9.25%, 10/01/28 (Call 10/01/25)(a) |
USD | 23 | $ | 24,294 | ||||||||
|
|
|||||||||||
47,495 | ||||||||||||
Lodging — 0.1% | ||||||||||||
Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, 4.88%, 07/01/31 (Call 07/01/26)(a) |
USD | 18 | 15,963 | |||||||||
MGM Resorts International |
||||||||||||
4.75%, 10/15/28 (Call 07/15/28) |
USD | 16 | 15,159 | |||||||||
5.75%, 06/15/25 (Call 03/15/25) |
USD | 27 | 27,009 | |||||||||
|
|
|||||||||||
58,131 | ||||||||||||
Machinery — 0.0% | ||||||||||||
Otis Worldwide Corp., 5.25%, 08/16/28 (Call 07/16/28) |
USD | 25 | 25,566 | |||||||||
|
|
|||||||||||
Manufacturing — 0.1% | ||||||||||||
Textron Inc. |
||||||||||||
2.45%, 03/15/31 (Call 12/15/30) |
USD | 21 | 17,877 | |||||||||
3.00%, 06/01/30 (Call 03/01/30) |
USD | 33 | 29,597 | |||||||||
3.90%, 09/17/29 (Call 06/17/29) |
USD | 34 | 32,424 | |||||||||
|
|
|||||||||||
79,898 | ||||||||||||
Media — 0.8% | ||||||||||||
AMC Networks Inc., 4.25%, 02/15/29 (Call 02/15/24) |
USD | 54 | 41,538 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
||||||||||||
4.25%, 02/01/31 (Call 07/01/25)(a) |
USD | 35 | 29,594 | |||||||||
5.00%, 02/01/28 (Call 08/01/24)(a) |
USD | 34 | 31,954 | |||||||||
Charter Communications Operating LLC/Charter |
||||||||||||
Communications Operating Capital |
||||||||||||
3.70%, 04/01/51 (Call 10/01/50) |
USD | 68 | 43,388 | |||||||||
3.90%, 06/01/52 (Call 12/01/51) |
USD | 80 | 52,568 | |||||||||
4.80%, 03/01/50 (Call 09/01/49) |
USD | 43 | 32,827 | |||||||||
5.38%, 05/01/47 (Call 11/01/46) |
USD | 26 | 21,765 | |||||||||
5.75%, 04/01/48 (Call 10/01/47) |
USD | 25 | 21,796 | |||||||||
Comcast Corp. |
||||||||||||
1.50%, 02/15/31 (Call 11/15/30) |
USD | 9 | 7,327 | |||||||||
1.95%, 01/15/31 (Call 10/15/30) |
USD | 9 | 7,547 | |||||||||
2.45%, 08/15/52 (Call 02/15/52) |
USD | 12 | 7,265 | |||||||||
2.65%, 02/01/30 (Call 11/01/29) |
USD | 8 | 7,195 | |||||||||
2.80%, 01/15/51 (Call 07/15/50) |
USD | 11 | 7,202 | |||||||||
2.89%, 11/01/51 (Call 05/01/51) |
USD | 12 | 7,944 | |||||||||
2.94%, 11/01/56 (Call 05/01/56) |
USD | 12 | 7,755 | |||||||||
2.99%, 11/01/63 (Call 05/01/63) |
USD | 15 | 9,475 | |||||||||
3.40%, 04/01/30 (Call 01/01/30) |
USD | 17 | 15,844 | |||||||||
3.45%, 02/01/50 (Call 08/01/49) |
USD | 10 | 7,530 | |||||||||
3.75%, 04/01/40 (Call 10/01/39) |
USD | 21 | 17,986 | |||||||||
3.97%, 11/01/47 (Call 05/01/47) |
USD | 9 | 7,448 | |||||||||
4.00%, 03/01/48 (Call 09/01/47) |
USD | 9 | 7,466 | |||||||||
4.00%, 11/01/49 (Call 05/01/49) |
USD | 9 | 7,437 | |||||||||
4.05%, 11/01/52 (Call 05/01/52) |
USD | 9 | 7,470 | |||||||||
4.20%, 08/15/34 (Call 02/15/34) |
USD | 8 | 7,616 | |||||||||
4.25%, 10/15/30 (Call 07/15/30) |
USD | 16 | 15,659 | |||||||||
4.25%, 01/15/33 |
USD | 9 | 8,655 | |||||||||
4.40%, 08/15/35 (Call 02/25/35) |
USD | 8 | 7,679 | |||||||||
4.65%, 02/15/33 (Call 11/15/32) |
USD | 8 | 7,984 | |||||||||
4.80%, 05/15/33 (Call 02/15/33) |
USD | 8 | 8,023 | |||||||||
5.35%, 05/15/53 (Call 11/15/52) |
USD | 8 | 8,154 | |||||||||
5.50%, 05/15/64 (Call 11/15/63) |
USD | 8 | 8,250 | |||||||||
Directv Financing LLC/Directv Financing Co-Obligor Inc., 5.88%, 08/15/27 (Call 08/15/24)(a) |
USD | 97 | 92,217 |
Security | Par (000) |
Value | ||||||||||
Media (continued) | ||||||||||||
FactSet Research Systems Inc., 3.45%, 03/01/32 (Call 12/01/31) |
USD | 70 | $ | 62,437 | ||||||||
Paramount Global |
||||||||||||
4.60%, 01/15/45 (Call 07/15/44) |
USD | 5 | 3,814 | |||||||||
4.90%, 08/15/44 (Call 02/15/44) |
USD | 5 | 3,956 | |||||||||
5.85%, 09/01/43 (Call 03/01/43) |
USD | 20 | 17,774 | |||||||||
Univision Communications Inc., 7.38%, 06/30/30 (Call 06/30/25)(a) |
USD | 25 | 24,510 | |||||||||
|
|
|||||||||||
685,049 | ||||||||||||
Mining — 0.1% | ||||||||||||
FMG Resources August 2006 Pty. Ltd., 4.50%, 09/15/27 (Call 06/15/27)(a) |
USD | 16 | 15,383 | |||||||||
Glencore Funding LLC, 6.38%, 10/06/30 (Call 08/06/30)(a) |
USD | 71 | 76,071 | |||||||||
Newmont Corp. |
||||||||||||
2.25%, 10/01/30 (Call 07/01/30) |
USD | 15 | 12,850 | |||||||||
2.80%, 10/01/29 (Call 07/01/29) |
USD | 15 | 13,593 | |||||||||
|
|
|||||||||||
117,897 | ||||||||||||
Oil & Gas — 1.4% | ||||||||||||
Apache Corp. |
||||||||||||
4.75%, 04/15/43 (Call 10/15/42) |
USD | 31 | 24,392 | |||||||||
5.10%, 09/01/40 (Call 03/01/40) |
USD | 15 | 12,866 | |||||||||
5.25%, 02/01/42 (Call 08/01/41) |
USD | 15 | 12,548 | |||||||||
BP Capital Markets PLC, 2.82%, 04/07/32(d) |
EUR | 100 | 103,893 | |||||||||
Civitas Resources Inc., 8.38%, 07/01/28 (Call 07/01/25)(a) |
USD | 33 | 34,706 | |||||||||
Comstock Resources Inc., 6.75%, 03/01/29 (Call 03/01/24)(a) |
USD | 23 | 21,120 | |||||||||
Devon Energy Corp. |
||||||||||||
5.25%, 10/15/27 (Call 10/15/24) |
USD | 19 | 19,132 | |||||||||
5.85%, 12/15/25 (Call 09/15/25) |
USD | 32 | 32,363 | |||||||||
5.88%, 06/15/28 (Call 06/15/24) |
USD | 33 | 33,302 | |||||||||
Diamondback Energy Inc. |
||||||||||||
3.13%, 03/24/31 (Call 12/24/30) |
USD | 243 | 215,679 | |||||||||
3.25%, 12/01/26 (Call 10/01/26) |
USD | 61 | 59,041 | |||||||||
3.50%, 12/01/29 (Call 09/01/29) |
USD | 150 | 139,353 | |||||||||
EQT Corp. |
||||||||||||
3.63%, 05/15/31 (Call 11/15/30)(a) |
USD | 52 | 46,331 | |||||||||
3.90%, 10/01/27 (Call 07/01/27) |
USD | 175 | 167,284 | |||||||||
5.00%, 01/15/29 (Call 07/15/28) |
USD | 54 | 53,315 | |||||||||
7.00%, 02/01/30 (Call 11/01/29) |
USD | 39 | 41,817 | |||||||||
Hilcorp Energy I LP/Hilcorp Finance Co., 6.00%, 02/01/31 (Call 02/01/26)(a) |
USD | 16 | 15,361 | |||||||||
Ovintiv Inc., 5.65%, 05/15/25 |
USD | 79 | 79,381 | |||||||||
SM Energy Co., 6.63%, 01/15/27 (Call 01/15/25) |
USD | 15 | 14,930 | |||||||||
Southwestern Energy Co., 5.38%, 03/15/30 (Call 03/15/25) |
USD | 16 | 15,462 | |||||||||
|
|
|||||||||||
1,142,276 | ||||||||||||
Packaging & Containers — 0.1% | ||||||||||||
Amcor Finance USA Inc., 5.63%, 05/26/33 (Call 02/26/33) |
USD | 7 | 7,254 | |||||||||
Berry Global Inc., 1.65%, 01/15/27 (Call 12/15/26) |
USD | 11 | 9,934 | |||||||||
Mauser Packaging Solutions Holding Co., 7.88%, 08/15/26 (Call 08/15/24)(a) |
USD | 60 | 60,627 | |||||||||
Owens-Brockway Glass Container Inc., 7.25%, 05/15/31 (Call 05/15/26)(a) |
USD | 35 | 35,177 | |||||||||
|
|
|||||||||||
112,992 | ||||||||||||
Pharmaceuticals — 0.5% | ||||||||||||
AbbVie Inc. |
||||||||||||
4.30%, 05/14/36 (Call 11/14/35) |
USD | 9 | 8,586 |
S C H E D U L E O F I N V E S T M E N T S |
81 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Total Return ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Pharmaceuticals (continued) | ||||||||||||
4.50%, 05/14/35 (Call 11/14/34) |
USD | 55 | $ | 53,677 | ||||||||
4.55%, 03/15/35 (Call 09/15/34) |
USD | 64 | 62,686 | |||||||||
CVS Health Corp. |
||||||||||||
2.70%, 08/21/40 (Call 02/21/40) |
USD | 13 | 9,156 | |||||||||
4.13%, 04/01/40 (Call 10/01/39) |
USD | 11 | 9,342 | |||||||||
4.25%, 04/01/50 (Call 10/01/49) |
USD | 9 | 7,402 | |||||||||
4.78%, 03/25/38 (Call 09/25/37) |
USD | 10 | 9,381 | |||||||||
5.05%, 03/25/48 (Call 09/25/47) |
USD | 8 | 7,335 | |||||||||
5.13%, 07/20/45 (Call 01/20/45) |
USD | 10 | 9,377 | |||||||||
5.63%, 02/21/53 (Call 08/21/52) |
USD | 8 | 7,966 | |||||||||
5.88%, 06/01/53 (Call 12/01/52) |
USD | 7 | 7,220 | |||||||||
6.13%, 09/15/39 |
USD | 9 | 9,503 | |||||||||
Pfizer Inc. |
||||||||||||
4.00%, 03/15/49 (Call 09/15/48) |
USD | 29 | 24,809 | |||||||||
4.13%, 12/15/46 |
USD | 31 | 27,340 | |||||||||
4.20%, 09/15/48 (Call 03/15/48) |
USD | 31 | 27,377 | |||||||||
Pfizer Investment Enterprises Pte Ltd. |
||||||||||||
4.75%, 05/19/33 (Call 02/19/33) |
USD | 82 | 81,898 | |||||||||
5.30%, 05/19/53 (Call 11/19/52) |
USD | 28 | 28,469 | |||||||||
|
|
|||||||||||
391,524 | ||||||||||||
Pipelines — 3.7% | ||||||||||||
Cameron LNG LLC |
||||||||||||
3.30%, 01/15/35 (Call 09/15/34)(a) |
USD | 69 | 58,617 | |||||||||
3.40%, 01/15/38 (Call 07/15/37)(a) |
USD | 69 | 57,040 | |||||||||
Cheniere Corpus Christi Holdings LLC |
||||||||||||
2.74%, 12/31/39 (Call 07/04/39) |
USD | 32 | 25,546 | |||||||||
3.70%, 11/15/29 (Call 05/18/29) |
USD | 126 | 118,645 | |||||||||
5.13%, 06/30/27 (Call 01/01/27) |
USD | 83 | 83,406 | |||||||||
5.88%, 03/31/25 (Call 10/02/24) |
USD | 222 | 222,612 | |||||||||
Cheniere Energy Partners LP |
||||||||||||
3.25%, 01/31/32 (Call 01/31/27) |
USD | 172 | 146,011 | |||||||||
4.00%, 03/01/31 (Call 03/01/26) |
USD | 70 | 63,507 | |||||||||
4.50%, 10/01/29 (Call 10/01/24) |
USD | 96 | 91,582 | |||||||||
DT Midstream Inc., 4.13%, 06/15/29 (Call 06/15/24)(a) |
USD | 17 | 15,619 | |||||||||
Energy Transfer LP |
||||||||||||
5.15%, 03/15/45 (Call 09/15/44) |
USD | 20 | 18,356 | |||||||||
5.30%, 04/15/47 (Call 10/15/46) |
USD | 7 | 6,438 | |||||||||
5.40%, 10/01/47 (Call 04/01/47) |
USD | 9 | 8,368 | |||||||||
5.55%, 02/15/28 (Call 01/15/28) |
USD | 83 | 84,461 | |||||||||
6.00%, 06/15/48 (Call 12/15/47) |
USD | 34 | 34,220 | |||||||||
6.10%, 12/01/28 (Call 11/01/28) |
USD | 24 | 25,081 | |||||||||
6.13%, 12/15/45 (Call 06/15/45) |
USD | 35 | 35,714 | |||||||||
6.25%, 04/15/49 (Call 10/15/48) |
USD | 11 | 11,414 | |||||||||
7.38%, 02/01/31 (Call 02/01/26)(a) |
USD | 80 | 84,091 | |||||||||
Kinder Morgan Energy Partners LP, 5.80%, 03/15/35 |
USD | 7 | 7,145 | |||||||||
Kinder Morgan Inc. |
||||||||||||
4.30%, 03/01/28 (Call 12/01/27) |
USD | 77 | 75,463 | |||||||||
5.00%, 02/01/29 (Call 01/01/29) |
USD | 70 | 70,181 | |||||||||
5.30%, 12/01/34 (Call 06/01/34) |
USD | 8 | 7,935 | |||||||||
Magellan Midstream Partners LP |
||||||||||||
3.95%, 03/01/50 (Call 09/01/49) |
USD | 17 | 12,857 | |||||||||
4.25%, 09/15/46 (Call 03/15/46) |
USD | 10 | 8,081 | |||||||||
4.85%, 02/01/49 (Call 08/01/48) |
USD | 9 | 7,913 | |||||||||
NGPL PipeCo LLC |
||||||||||||
3.25%, 07/15/31 (Call 04/15/31)(a) |
USD | 151 | 130,939 | |||||||||
4.88%, 08/15/27 (Call 02/15/27)(a) |
USD | 71 | 69,755 | |||||||||
Northwest Pipeline LLC, 4.00%, 04/01/27 (Call 01/01/27) |
USD | 160 | 156,647 | |||||||||
ONEOK Inc. |
||||||||||||
4.45%, 09/01/49 (Call 03/01/49) |
USD | 9 | 7,394 |
Security | Par (000) |
Value | ||||||||||
Pipelines (continued) | ||||||||||||
4.50%, 03/15/50 (Call 09/15/49) |
USD | 9 | $ | 7,425 | ||||||||
4.95%, 07/13/47 (Call 01/06/47) |
USD | 8 | 7,164 | |||||||||
Sabine Pass Liquefaction LLC |
||||||||||||
5.00%, 03/15/27 (Call 09/15/26) |
USD | 146 | 146,379 | |||||||||
5.63%, 03/01/25 (Call 12/01/24) |
USD | 250 | 250,451 | |||||||||
5.88%, 06/30/26 (Call 12/31/25) |
USD | 123 | 125,129 | |||||||||
5.90%, 09/15/37 (Call 03/15/37) |
USD | 71 | 74,439 | |||||||||
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.00%, 03/01/27 (Call 03/01/24)(a) |
USD | 16 | 15,740 | |||||||||
Targa Resources Corp. |
||||||||||||
4.20%, 02/01/33 (Call 12/01/32) |
USD | 31 | 28,378 | |||||||||
6.15%, 03/01/29 (Call 02/01/29) |
USD | 67 | 70,021 | |||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. |
||||||||||||
4.00%, 01/15/32 (Call 07/15/26) |
USD | 38 | 34,250 | |||||||||
4.88%, 02/01/31 (Call 02/01/26) |
USD | 66 | 63,294 | |||||||||
5.50%, 03/01/30 (Call 03/01/25) |
USD | 81 | 80,614 | |||||||||
Texas Eastern Transmission LP |
||||||||||||
3.50%, 01/15/28 (Call 10/15/27)(a) |
USD | 164 | 155,485 | |||||||||
7.00%, 07/15/32 |
USD | 48 | 53,555 | |||||||||
Transcontinental Gas Pipe Line Co. LLC |
||||||||||||
3.95%, 05/15/50 (Call 11/15/49) |
USD | 29 | 23,384 | |||||||||
4.00%, 03/15/28 (Call 12/15/27) |
USD | 47 | 45,717 | |||||||||
4.60%, 03/15/48 (Call 09/15/47) |
USD | 55 | 49,474 | |||||||||
7.85%, 02/01/26 (Call 11/01/25) |
USD | 10 | 10,488 | |||||||||
Venture Global Calcasieu Pass LLC |
||||||||||||
3.88%, 08/15/29 (Call 02/15/29)(a) |
USD | 17 | 15,194 | |||||||||
4.13%, 08/15/31 (Call 02/15/31)(a) |
USD | 27 | 23,877 | |||||||||
|
|
|||||||||||
3,025,496 | ||||||||||||
Real Estate Investment Trusts — 1.5% | ||||||||||||
American Tower Corp. |
||||||||||||
1.88%, 10/15/30 (Call 07/15/30) |
USD | 29 | 23,773 | |||||||||
2.10%, 06/15/30 (Call 03/15/30) |
USD | 29 | 24,357 | |||||||||
2.30%, 09/15/31 (Call 06/15/31) |
USD | 17 | 14,063 | |||||||||
2.70%, 04/15/31 (Call 01/15/31) |
USD | 27 | 23,142 | |||||||||
2.90%, 01/15/30 (Call 10/15/29) |
USD | 29 | 25,811 | |||||||||
3.80%, 08/15/29 (Call 05/15/29) |
USD | 29 | 27,362 | |||||||||
Crown Castle Inc. |
||||||||||||
2.25%, 01/15/31 (Call 10/15/30) |
USD | 30 | 24,790 | |||||||||
2.50%, 07/15/31 (Call 04/15/31) |
USD | 29 | 24,167 | |||||||||
3.10%, 11/15/29 (Call 08/15/29) |
USD | 31 | 27,789 | |||||||||
3.30%, 07/01/30 (Call 04/01/30) |
USD | 92 | 82,203 | |||||||||
Equinix Inc. |
||||||||||||
2.15%, 07/15/30 (Call 04/15/30) |
USD | 10 | 8,447 | |||||||||
2.50%, 05/15/31 (Call 02/15/31) |
USD | 10 | 8,494 | |||||||||
3.20%, 11/18/29 (Call 08/18/29) |
USD | 9 | 8,229 | |||||||||
Extra Space Storage LP, 5.90%, 01/15/31 (Call 11/15/30) |
USD | 9 | 9,357 | |||||||||
GLP Capital LP/GLP Financing II Inc. |
||||||||||||
3.25%, 01/15/32 (Call 10/15/31) |
USD | 30 | 25,230 | |||||||||
4.00%, 01/15/30 (Call 10/17/29) |
USD | 52 | 47,382 | |||||||||
4.00%, 01/15/31 (Call 10/15/30) |
USD | 47 | 41,816 | |||||||||
5.75%, 06/01/28 (Call 03/03/28) |
USD | 85 | 85,578 | |||||||||
6.75%, 12/01/33 (Call 09/01/33) |
USD | 40 | 42,572 | |||||||||
Iron Mountain Inc., 4.50%, 02/15/31 (Call 02/15/26)(a) |
USD | 17 | 15,243 | |||||||||
NNN REIT Inc. |
||||||||||||
3.00%, 04/15/52 (Call 10/15/51) |
USD | 12 | 7,871 | |||||||||
3.10%, 04/15/50 (Call 10/15/49) |
USD | 12 | 7,923 | |||||||||
3.50%, 04/15/51 (Call 01/15/50) |
USD | 22 | 16,157 | |||||||||
4.80%, 10/15/48 (Call 04/25/48) |
USD | 9 | 7,968 |
82 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Total Return ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||||||
Real Estate Investment Trusts (continued) | ||||||||||||
Realty Income Corp. |
||||||||||||
3.10%, 12/15/29 (Call 09/15/29) |
USD | 8 | $ | 7,326 | ||||||||
3.25%, 06/15/29 (Call 03/15/29) |
USD | 8 | 7,434 | |||||||||
3.25%, 01/15/31 (Call 10/15/30) |
USD | 8 | 7,210 | |||||||||
4.85%, 03/15/30 (Call 01/15/30) |
USD | 8 | 7,998 | |||||||||
Service Properties Trust |
||||||||||||
4.75%, 10/01/26 (Call 08/01/26) |
USD | 16 | 14,844 | |||||||||
5.50%, 12/15/27 (Call 09/15/27) |
USD | 17 | 15,991 | |||||||||
VICI Properties LP, 4.75%, 02/15/28 (Call 01/15/28) |
USD | 75 | 73,437 | |||||||||
VICI Properties LP/VICI Note Co. Inc. |
||||||||||||
3.88%, 02/15/29 (Call 11/15/28)(a) |
USD | 28 | 25,743 | |||||||||
4.13%, 08/15/30 (Call 02/15/25)(a) |
USD | 136 | 123,768 | |||||||||
4.50%, 01/15/28 (Call 10/15/27)(a) |
USD | 32 | 30,589 | |||||||||
4.63%, 12/01/29 (Call 12/01/24)(a) |
USD | 57 | 53,940 | |||||||||
5.75%, 02/01/27 (Call 11/01/26)(a) |
USD | 209 | 208,492 | |||||||||
|
|
|||||||||||
1,206,496 | ||||||||||||
Retail — 0.1% | ||||||||||||
Lowe’s Companies Inc. |
||||||||||||
1.70%, 10/15/30 (Call 07/15/30) |
USD | 13 | 10,780 | |||||||||
2.63%, 04/01/31 (Call 01/01/31) |
USD | 26 | 22,615 | |||||||||
2.80%, 09/15/41 (Call 03/15/41) |
USD | 29 | 21,246 | |||||||||
4.25%, 09/15/44 (Call 03/15/44) |
USD | 10 | 8,238 | |||||||||
4.38%, 09/15/45 (Call 03/15/45) |
USD | 9 | 7,844 | |||||||||
4.50%, 04/15/30 (Call 01/15/30) |
USD | 12 | 11,919 | |||||||||
4.65%, 04/15/42 (Call 10/15/41) |
USD | 9 | 8,373 | |||||||||
5.80%, 10/15/36 |
USD | 8 | 8,395 | |||||||||
|
|
|||||||||||
99,410 | ||||||||||||
Semiconductors — 0.3% | ||||||||||||
Broadcom Inc. |
||||||||||||
2.60%, 02/15/33 (Call 11/15/32)(a) |
USD | 57 | 46,822 | |||||||||
3.14%, 11/15/35 (Call 08/15/35)(a) |
USD | 19 | 15,618 | |||||||||
3.19%, 11/15/36 (Call 08/15/36)(a) |
USD | 32 | 25,995 | |||||||||
3.42%, 04/15/33 (Call 01/15/33)(a) |
USD | 19 | 16,685 | |||||||||
3.47%, 04/15/34 (Call 01/15/34)(a) |
USD | 29 | 25,189 | |||||||||
Intel Corp., 3.05%, 08/12/51 (Call 02/12/51) |
USD | 12 | 8,301 | |||||||||
KLA Corp. |
||||||||||||
3.30%, 03/01/50 (Call 08/28/49) |
USD | 21 | 15,684 | |||||||||
5.00%, 03/15/49 (Call 09/15/48) |
USD | 8 | 7,862 | |||||||||
5.25%, 07/15/62 (Call 01/15/62) |
USD | 14 | 14,224 | |||||||||
NXP BV/NXP Funding LLC/NXP USA Inc., 2.50%, 05/11/31 (Call 02/11/31) |
USD | 33 | 27,657 | |||||||||
Texas Instruments Inc., 2.70%, 09/15/51 (Call 03/15/51) |
USD | 12 | 7,960 | |||||||||
|
|
|||||||||||
211,997 | ||||||||||||
Shipbuilding — 0.2% | ||||||||||||
Huntington Ingalls Industries Inc. |
||||||||||||
2.04%, 08/16/28 (Call 06/16/28) |
USD | 26 | 22,931 | |||||||||
3.48%, 12/01/27 (Call 09/01/27) |
USD | 87 | 82,413 | |||||||||
4.20%, 05/01/30 (Call 02/01/30) |
USD | 46 | 43,957 | |||||||||
|
|
|||||||||||
149,301 | ||||||||||||
Software — 0.5% | ||||||||||||
Autodesk Inc., 2.40%, 12/15/31 (Call 09/15/31) |
USD | 9 | 7,619 | |||||||||
Cloud Software Group Inc., 6.50%, 03/31/29 (Call 09/30/25)(a) |
USD | 98 | 91,506 | |||||||||
MSCI Inc. |
||||||||||||
3.63%, 09/01/30 (Call 03/01/25)(a) |
USD | 41 | 36,816 | |||||||||
3.63%, 11/01/31 (Call 11/01/26)(a) |
USD | 38 | 33,366 | |||||||||
Oracle Corp. |
||||||||||||
3.60%, 04/01/40 (Call 10/01/39) |
USD | 20 | 15,994 | |||||||||
3.60%, 04/01/50 (Call 10/01/49) |
USD | 25 | 18,397 |
Security | Par (000) |
Value | ||||||||||
Software (continued) | ||||||||||||
3.65%, 03/25/41 (Call 09/25/40) |
USD | 52 | $ | 41,380 | ||||||||
3.80%, 11/15/37 (Call 05/15/37) |
USD | 20 | 17,072 | |||||||||
3.85%, 07/15/36 (Call 01/15/36) |
USD | 9 | 7,848 | |||||||||
3.95%, 03/25/51 (Call 09/25/50) |
USD | 10 | 7,769 | |||||||||
4.00%, 07/15/46 (Call 01/15/46) |
USD | 13 | 10,489 | |||||||||
4.13%, 05/15/45 (Call 11/15/44) |
USD | 32 | 26,287 | |||||||||
4.38%, 05/15/55 (Call 11/15/54) |
USD | 22 | 18,122 | |||||||||
4.50%, 07/08/44 (Call 01/08/44) |
USD | 18 | 15,681 | |||||||||
5.38%, 07/15/40 |
USD | 17 | 16,792 | |||||||||
5.55%, 02/06/53 (Call 08/06/52) |
USD | 10 | 9,938 | |||||||||
|
|
|||||||||||
375,076 | ||||||||||||
Telecommunications — 1.6% | ||||||||||||
AT&T Inc. |
||||||||||||
3.50%, 09/15/53 (Call 03/15/53) |
USD | 34 | 24,282 | |||||||||
3.50%, 02/01/61 (Call 08/01/60) |
USD | 24 | 16,596 | |||||||||
3.55%, 09/15/55 (Call 03/15/55) |
USD | 30 | 21,374 | |||||||||
3.65%, 06/01/51 (Call 12/01/50) |
USD | 36 | 26,847 | |||||||||
3.65%, 09/15/59 (Call 03/15/59) |
USD | 68 | 47,994 | |||||||||
3.80%, 12/01/57 (Call 06/01/57) |
USD | 30 | 22,088 | |||||||||
3.85%, 06/01/60 (Call 12/01/59) |
USD | 21 | 15,473 | |||||||||
4.75%, 05/15/46 (Call 11/15/45) |
USD | 21 | 19,009 | |||||||||
5.40%, 02/15/34 (Call 11/15/33) |
USD | 90 | 92,322 | |||||||||
5.45%, 03/01/47 (Call 09/01/46) |
USD | 36 | 35,889 | |||||||||
Frontier Communications Holdings LLC |
||||||||||||
5.00%, 05/01/28 (Call 05/01/24)(a) |
USD | 29 | 26,763 | |||||||||
5.88%, 10/15/27 (Call 10/15/24)(a) |
USD | 35 | 33,664 | |||||||||
Motorola Solutions Inc., 5.60%, 06/01/32 (Call 03/01/32) |
USD | 45 | 46,261 | |||||||||
Sprint LLC, 7.63%, 03/01/26 (Call 11/01/25) |
USD | 253 | 264,029 | |||||||||
T-Mobile USA Inc. |
||||||||||||
2.25%, 11/15/31 (Call 08/15/31) |
USD | 13 | 10,770 | |||||||||
2.55%, 02/15/31 (Call 11/15/30) |
USD | 12 | 10,289 | |||||||||
2.88%, 02/15/31 (Call 02/15/26) |
USD | 17 | 14,873 | |||||||||
3.50%, 04/15/31 (Call 04/15/26) |
USD | 12 | 10,930 | |||||||||
3.88%, 04/15/30 (Call 01/15/30) |
USD | 88 | 83,222 | |||||||||
5.05%, 07/15/33 (Call 04/15/33) |
USD | 63 | 63,073 | |||||||||
5.15%, 04/15/34 (Call 01/15/34) |
USD | 22 | 22,165 | |||||||||
Verizon Communications Inc. |
||||||||||||
2.36%, 03/15/32 (Call 12/15/31) |
USD | 223 | 185,197 | |||||||||
2.55%, 03/21/31 (Call 12/21/30) |
USD | 155 | 133,239 | |||||||||
3.00%, 11/20/60 (Call 05/20/60) |
USD | 15 | 9,501 | |||||||||
4.40%, 11/01/34 (Call 05/01/34) |
USD | 21 | 20,040 | |||||||||
5.85%, 09/15/35 |
USD | 33 | 35,274 | |||||||||
|
|
|||||||||||
1,291,164 | ||||||||||||
Transportation — 0.4% | ||||||||||||
Burlington Northern Santa Fe LLC |
||||||||||||
2.88%, 06/15/52 (Call 12/15/51) |
USD | 11 | 7,523 | |||||||||
3.05%, 02/15/51 (Call 08/15/50) |
USD | 11 | 7,833 | |||||||||
3.30%, 09/15/51 (Call 03/15/51) |
USD | 10 | 7,490 | |||||||||
4.05%, 06/15/48 (Call 12/15/47) |
USD | 9 | 7,744 | |||||||||
4.13%, 06/15/47 (Call 12/15/46) |
USD | 9 | 7,796 | |||||||||
4.15%, 04/01/45 (Call 10/01/44) |
USD | 22 | 19,344 | |||||||||
5.20%, 04/15/54 (Call 10/15/53) |
USD | 15 | 15,288 | |||||||||
CSX Corp. |
||||||||||||
4.25%, 11/01/66 (Call 05/01/66) |
USD | 12 | 10,024 | |||||||||
4.50%, 11/15/52 (Call 05/15/52) |
USD | 27 | 24,593 | |||||||||
4.65%, 03/01/68 (Call 09/01/67) |
USD | 20 | 18,032 | |||||||||
Norfolk Southern Corp. |
||||||||||||
2.90%, 08/25/51 (Call 02/25/51) |
USD | 11 | 7,348 | |||||||||
3.05%, 05/15/50 (Call 11/15/49) |
USD | 11 | 7,635 |
S C H E D U L E O F I N V E S T M E N T S |
83 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Total Return ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||||||
Transportation (continued) | ||||||||||||
3.16%, 05/15/55 (Call 11/15/54) |
USD | 11 | $ | 7,566 | ||||||||
3.40%, 11/01/49 (Call 05/01/49) |
USD | 10 | 7,399 | |||||||||
3.70%, 03/15/53 (Call 09/15/52) |
USD | 10 | 7,785 | |||||||||
4.05%, 08/15/52 (Call 02/15/52) |
USD | 9 | 7,511 | |||||||||
4.10%, 05/15/49 (Call 11/15/48) |
USD | 9 | 7,491 | |||||||||
4.65%, 01/15/46 (Call 07/15/45) |
USD | 34 | 31,346 | |||||||||
5.35%, 08/01/54 (Call 02/01/54) |
USD | 7 | 7,138 | |||||||||
Ryder System Inc. |
||||||||||||
5.25%, 06/01/28 (Call 05/01/28) |
USD | 13 | 13,224 | |||||||||
5.65%, 03/01/28 (Call 02/01/28) |
USD | 8 | 8,238 | |||||||||
Union Pacific Corp. |
||||||||||||
2.97%, 09/16/62 (Call 03/16/62) |
USD | 12 | 7,831 | |||||||||
3.55%, 05/20/61 (Call 11/20/60) |
USD | 10 | 7,451 | |||||||||
3.75%, 02/05/70 (Call 08/05/69) |
USD | 10 | 7,635 | |||||||||
3.80%, 04/06/71 (Call 10/06/70) |
USD | 10 | 7,714 | |||||||||
3.84%, 03/20/60 (Call 09/20/59) |
USD | 25 | 19,949 | |||||||||
3.95%, 08/15/59 (Call 02/15/59) |
USD | 23 | 18,716 | |||||||||
4.10%, 09/15/67 (Call 03/15/67) |
USD | 9 | 7,375 | |||||||||
4.38%, 11/15/65 (Call 05/15/65) |
USD | 10 | 8,254 | |||||||||
5.15%, 01/20/63 (Call 07/20/62) |
USD | 8 | 7,999 | |||||||||
|
|
|||||||||||
331,272 | ||||||||||||
|
|
|||||||||||
Total Corporate Bonds & Notes — 25.9% (Cost: $20,902,628) |
21,190,199 | |||||||||||
|
|
|||||||||||
Foreign Government Obligations |
||||||||||||
Brazil — 0.3% | ||||||||||||
Brazilian Government International Bond, 6.13%, 03/15/34 |
USD | 210 | 207,942 | |||||||||
|
|
|||||||||||
Free of Tax — 0.2% | ||||||||||||
European Union, 2.50%, 10/04/52(d) |
EUR | 170 | 158,482 | |||||||||
|
|
|||||||||||
Indonesia — 0.2% | ||||||||||||
Indonesia Government International Bond, 2.85%, 02/14/30 |
USD | 200 | 179,022 | |||||||||
|
|
|||||||||||
Mexico — 0.5% | ||||||||||||
Mexican Bonos |
||||||||||||
8.50%, 03/01/29 |
MXN | 15 | 84,727 | |||||||||
Series M 20, 8.50%, 05/31/29 |
MXN | 30 | 169,999 | |||||||||
Mexico Government International Bond, 2.66%, 05/24/31 (Call 02/24/31) |
USD | 220 | 184,800 | |||||||||
|
|
|||||||||||
439,526 | ||||||||||||
Panama — 0.2% | ||||||||||||
Panama Government International Bond, 3.88%, 03/17/28 (Call 12/17/27) |
USD | 200 | 182,600 | |||||||||
|
|
|||||||||||
Peru — 0.0% | ||||||||||||
Peruvian Government International Bond, 3.55%, 03/10/51 (Call 09/10/50) |
USD | 50 | 36,450 | |||||||||
|
|
|||||||||||
Philippines — 0.2% | ||||||||||||
Philippine Government International Bond, 3.00%, 02/01/28 |
USD | 200 | 187,772 | |||||||||
|
|
|||||||||||
Uruguay — 0.1% | ||||||||||||
Uruguay Government International Bond, 5.10%, 06/18/50 |
USD | 50 | 48,645 | |||||||||
|
|
|||||||||||
Total
Foreign Government
Obligations — 1.7% |
1,440,439 | |||||||||||
|
|
Security | Par (000) |
Value | ||||||
Municipal Debt Obligations |
||||||||
California — 0.3% | ||||||||
Bay Area Toll Authority RB BAB, Series S-1, 7.04%, 04/01/50 |
$ | 30 | $ | 37,113 | ||||
Los Angeles Unified School District/CA GO BAB, Series RY, 6.76%, 07/01/34 |
40 | 45,203 | ||||||
State of California GO, 4.60%, 04/01/38 (Call 04/01/28) |
130 | 125,881 | ||||||
University of California RB, Series AD, 4.86%, 05/15/12 |
20 | 18,754 | ||||||
|
|
|||||||
226,951 | ||||||||
Illinois — 0.1% | ||||||||
State of Illinois GO, 5.10%, 06/01/33 |
70 | 69,431 | ||||||
|
|
|||||||
Louisiana — 0.1% | ||||||||
Louisiana Local Government Environmental Facilities & Community Development Authority RB, 4.15%, 02/01/33 |
70 | 68,379 | ||||||
|
|
|||||||
New Jersey — 0.0% | ||||||||
New Jersey State Turnpike Authority RB BAB, Series F, 7.41%, 01/01/40 |
20 | 24,831 | ||||||
|
|
|||||||
New York — 0.1% | ||||||||
Metropolitan Transportation Authority RB BAB, Series A, 5.87%, 11/15/39 |
20 | 21,039 | ||||||
New York City Municipal Water Finance Authority RB 5.88%, 06/15/44 |
20 | 22,236 | ||||||
6.01%, 06/15/42 |
10 | 11,185 | ||||||
Port Authority of New York & New Jersey RB, Series 168, 4.93%, 10/01/51 |
30 | 29,742 | ||||||
|
|
|||||||
84,202 | ||||||||
Texas — 0.0% | ||||||||
City of San Antonio Texas Electric & Gas Systems Revenue RB BAB, 5.81%, 02/01/41 |
20 | 21,321 | ||||||
State of Texas GO BAB, 5.52%, 04/01/39 |
30 | 32,248 | ||||||
|
|
|||||||
53,569 | ||||||||
|
|
|||||||
Total Municipal Debt Obligations — 0.6% (Cost: $520,293) |
527,363 | |||||||
|
|
|||||||
U.S. Government & Agency Obligations |
|
|||||||
Mortgage-Backed Securities — 35.0% | ||||||||
Federal Home Loan Mortgage Corp., 4.50%, 07/01/47 |
164 | 161,994 | ||||||
Government National Mortgage Association |
||||||||
2.00%, 08/20/51 |
299 | 249,389 | ||||||
2.00%, 02/20/54(e) |
789 | 656,994 | ||||||
2.50%, 11/20/51 |
211 | 182,526 | ||||||
2.50%, 04/20/52 |
258 | 223,232 | ||||||
2.50%, 02/20/54(e) |
638 | 551,557 | ||||||
3.00%, 06/20/50 |
69 | 62,372 | ||||||
3.00%, 11/20/51 |
161 | 144,045 | ||||||
3.00%, 02/20/54(e) |
580 | 518,058 | ||||||
3.50%, 03/20/44 |
135 | 126,921 | ||||||
3.50%, 03/20/47 |
42 | 38,848 | ||||||
3.50%, 02/20/54(e) |
429 | 395,717 | ||||||
4.00%, 07/20/43 |
31 | 29,729 | ||||||
4.00%, 02/20/48 |
85 | 81,448 | ||||||
4.00%, 02/20/54(e) |
303 | 287,843 | ||||||
4.50%, 01/20/41 |
30 | 29,502 |
84 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Total Return ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value |
||||||
Mortgage-Backed Securities (continued) | ||||||||
4.50%, 09/20/48 |
$ | 68 | $ | 66,800 | ||||
4.50%, 02/20/54(e) |
255 | 248,261 | ||||||
5.00%, 02/20/54(e) |
331 | 328,799 | ||||||
5.50%, 02/20/54(e) |
268 | 269,714 | ||||||
6.00%, 02/20/54(e) |
209 | 212,188 | ||||||
6.50%, 02/20/54(e) |
172 | 175,800 | ||||||
Uniform Mortgage-Backed Securities |
||||||||
1.50%, 02/15/39(e) |
603 | 527,197 | ||||||
1.50%, 01/01/51 |
70 | 53,994 | ||||||
1.50%, 02/01/51 |
60 | 46,165 | ||||||
1.50%, 03/01/51 |
40 | 30,492 | ||||||
1.50%, 06/01/51 |
30 | 23,096 | ||||||
1.50%, 02/13/54(e) |
436 | 334,612 | ||||||
2.00%, 12/01/35 |
203 | 183,084 | ||||||
2.00%, 05/01/36 |
153 | 138,728 | ||||||
2.00%, 03/01/37 |
154 | 139,026 | ||||||
2.00%, 02/15/39(e) |
275 | 246,789 | ||||||
2.00%, 01/01/42 |
170 | 145,202 | ||||||
2.00%, 02/01/42 |
170 | 144,424 | ||||||
2.00%, 09/01/50 |
779 | 635,133 | ||||||
2.00%, 11/01/50 |
524 | 427,596 | ||||||
2.00%, 01/01/51 |
875 | 709,657 | ||||||
2.00%, 10/01/51 |
716 | 579,124 | ||||||
2.00%, 05/01/52 |
598 | 482,995 | ||||||
2.00%, 02/13/54(e) |
1,031 | 831,201 | ||||||
2.50%, 02/01/35 |
107 | 101,567 | ||||||
2.50%, 05/01/35 |
80 | 74,472 | ||||||
2.50%, 02/01/36 |
41 | 37,676 | ||||||
2.50%, 07/01/36 |
40 | 37,237 | ||||||
2.50%, 02/15/39(e) |
142 | 130,762 | ||||||
2.50%, 11/01/51 |
907 | 772,962 | ||||||
2.50%, 01/01/52 |
518 | 441,673 | ||||||
2.50%, 03/01/52 |
649 | 551,726 | ||||||
2.50%, 05/01/52 |
520 | 443,288 | ||||||
2.50%, 02/13/54(e) |
803 | 675,192 | ||||||
3.00%, 02/01/29 |
35 | 33,823 | ||||||
3.00%, 11/01/34 |
35 | 33,521 | ||||||
3.00%, 06/01/37 |
35 | 33,631 | ||||||
3.00%, 07/01/37 |
36 | 33,920 | ||||||
3.00%, 02/15/39(e) |
95 | 89,448 | ||||||
3.00%, 09/01/46 |
311 | 279,672 | ||||||
3.00%, 11/01/50 |
233 | 208,245 | ||||||
3.00%, 12/01/50 |
389 | 346,910 | ||||||
3.00%, 12/01/51 |
313 | 278,546 | ||||||
3.00%, 01/01/52 |
312 | 275,657 | ||||||
3.00%, 02/13/54(e) |
381 | 333,435 | ||||||
3.50%, 01/01/34 |
27 | 26,018 | ||||||
3.50%, 04/01/37 |
14 | 13,854 | ||||||
3.50%, 06/01/37 |
7 | 6,537 | ||||||
3.50%, 02/15/39(e) |
34 | 32,687 | ||||||
3.50%, 02/01/45 |
131 | 121,420 | ||||||
3.50%, 02/01/47 |
47 | 43,712 | ||||||
3.50%, 05/01/47 |
11 | 10,147 | ||||||
3.50%, 10/01/47 |
72 | 67,062 | ||||||
3.50%, 03/01/50 |
565 | 519,377 | ||||||
3.50%, 02/01/51 |
40 | 37,502 | ||||||
3.50%, 08/01/52 |
48 | 44,203 | ||||||
3.50%, 02/13/54(e) |
440 | 400,433 | ||||||
3.50%, 03/13/54(e) |
200 | 182,109 | ||||||
4.00%, 02/15/39(e) |
38 | 37,155 | ||||||
4.00%, 10/01/47 |
193 | 183,945 |
Security |
Par (000) |
Value |
||||||
Mortgage-Backed Securities (continued) | ||||||||
4.00%, 12/01/48 |
$ | 108 | $ | 103,267 | ||||
4.00%, 03/01/50 |
569 | 544,411 | ||||||
4.00%, 11/01/50 |
92 | 88,437 | ||||||
4.00%, 04/01/53 |
15 | 14,461 | ||||||
4.00%, 02/13/54(e) |
184 | 172,750 | ||||||
4.00%, 03/13/54(e) |
178 | 168,051 | ||||||
4.50%, 02/15/39(e) |
66 | 65,517 | ||||||
4.50%, 07/01/48 |
135 | 132,595 | ||||||
4.50%, 12/01/48 |
166 | 163,316 | ||||||
4.50%, 09/01/49 |
67 | 66,175 | ||||||
4.50%, 10/01/50 |
134 | 131,491 | ||||||
4.50%, 02/13/54(e) |
2,041 | 1,973,232 | ||||||
4.50%, 03/13/54(e) |
400 | 386,859 | ||||||
5.00%, 07/01/47 |
49 | 49,160 | ||||||
5.00%, 06/01/50 |
73 | 73,372 | ||||||
5.00%, 07/01/53 |
172 | 169,855 | ||||||
5.00%, 08/01/53 |
97 | 96,234 | ||||||
5.00%, 11/01/53 |
98 | 96,582 | ||||||
5.00%, 02/13/54(e) |
2,412 | 2,380,405 | ||||||
5.50%, 07/01/53 |
420 | 422,113 | ||||||
5.50%, 08/01/53 |
10 | 9,935 | ||||||
5.50%, 02/13/54(e) |
2,711 | 2,718,717 | ||||||
6.00%, 05/01/53 |
102 | 102,999 | ||||||
6.00%, 08/01/53 |
99 | 100,476 | ||||||
6.00%, 11/01/53 |
264 | 267,958 | ||||||
6.00%, 02/13/54(e) |
39 | 39,534 | ||||||
6.50%, 10/01/53 |
168 | 171,992 | ||||||
6.50%, 02/13/54(e) |
262 | 268,200 | ||||||
|
|
|||||||
28,637,870 | ||||||||
U.S. Government Obligations — 33.4% | ||||||||
U.S. Treasury Inflation-Indexed Bonds, 1.38%, 07/15/33 |
162 | 157,610 | ||||||
U.S. Treasury Note/Bond |
||||||||
0.25%, 06/30/25 |
583 | 549,774 | ||||||
0.25%, 07/31/25 |
611 | 574,388 | ||||||
0.38%, 04/30/25 |
1,432 | 1,359,913 | ||||||
0.38%, 09/30/27 |
426 | 374,362 | ||||||
0.50%, 02/28/26 |
652 | 604,424 | ||||||
0.50%, 04/30/27 |
573 | 512,634 | ||||||
0.50%, 05/31/27 |
773 | 690,562 | ||||||
0.50%, 08/31/27 |
1,167 | 1,034,071 | ||||||
0.63%, 07/31/26 |
388 | 356,445 | ||||||
0.75%, 05/31/26 |
287 | 265,710 | ||||||
0.88%, 06/30/26 |
631 | 585,055 | ||||||
1.13%, 05/15/40 |
43 | 27,547 | ||||||
1.13%, 08/15/40 |
43 | 27,273 | ||||||
1.25%, 08/15/31 |
1,260 | 1,042,847 | ||||||
1.38%, 11/15/40 |
43 | 28,352 | ||||||
1.50%, 02/15/25 |
634 | 613,271 | ||||||
1.50%, 02/15/30 |
222 | 193,496 | ||||||
1.63%, 11/30/26 |
777 | 727,800 | ||||||
1.63%, 05/15/31 |
678 | 581,067 | ||||||
1.63%, 11/15/50 |
204 | 117,640 | ||||||
1.75%, 12/31/24 |
315 | 305,986 | ||||||
1.88%, 02/15/51 |
146 | 89,792 | ||||||
1.88%, 11/15/51 |
204 | 124,839 | ||||||
2.25%, 08/15/27 |
190 | 179,692 | ||||||
2.25%, 08/15/49 |
256 | 173,668 | ||||||
2.38%, 05/15/27 |
190 | 180,993 | ||||||
2.38%, 03/31/29 |
323 | 300,028 | ||||||
2.38%, 02/15/42 |
146 | 110,708 |
S C H E D U L E O F I N V E S T M E N T S |
85 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Total Return ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
U.S. Government Obligations (continued) |
|
|||||||
2.38%, 05/15/51 |
$ | 322 | $ | 222,652 | ||||
2.50%, 02/15/45 |
472 | 351,676 | ||||||
2.63%, 04/15/25 |
634 | 619,487 | ||||||
2.63%, 07/31/29 |
954 | 894,114 | ||||||
2.75%, 08/15/32 |
1,193 | 1,089,871 | ||||||
2.75%, 11/15/47 |
474 | 361,195 | ||||||
2.88%, 06/15/25 |
634 | 620,651 | ||||||
2.88%, 05/15/32 |
42 | 38,843 | ||||||
2.88%, 05/15/43 |
146 | 118,492 | ||||||
3.00%, 05/15/47 |
212 | 169,283 | ||||||
3.00%, 02/15/48 |
472 | 376,008 | ||||||
3.00%, 02/15/49 |
692 | 549,841 | ||||||
3.00%, 08/15/52 |
480 | 380,961 | ||||||
3.13%, 11/15/28 |
64 | 62,083 | ||||||
3.13%, 08/15/44 |
206 | 171,588 | ||||||
3.63%, 08/15/43 |
204 | 185,346 | ||||||
3.63%, 02/15/53 |
350 | 313,965 | ||||||
3.63%, 05/15/53 |
338 | 303,365 | ||||||
3.75%, 05/31/30 |
344 | 340,694 | ||||||
3.75%, 12/31/30 |
188 | 186,091 | ||||||
3.75%, 11/15/43 |
204 | 188,331 | ||||||
3.88%, 03/31/25 |
829 | 822,102 | ||||||
3.88%, 11/30/27 |
858 | 855,956 | ||||||
3.88%, 09/30/29 |
329 | 328,306 | ||||||
3.88%, 11/30/29 |
706 | 704,566 | ||||||
3.88%, 12/31/29 |
361 | 360,196 | ||||||
3.88%, 08/15/40 |
52 | 49,856 | ||||||
3.88%, 02/15/43 |
260 | 244,567 | ||||||
4.00%, 12/15/25 |
1,425 | 1,418,352 | ||||||
4.00%, 01/31/29 |
39 | 39,235 | ||||||
4.00%, 01/31/31 |
8 | 8,041 | ||||||
4.00%, 11/15/42 |
186 | 178,073 | ||||||
4.00%, 11/15/52 |
204 | 196,288 | ||||||
4.13%, 08/15/53 |
57 | 56,047 | ||||||
4.25%, 01/31/26 |
166 | 166,078 | ||||||
4.25%, 11/15/40 |
184 | 185,128 | ||||||
4.38%, 05/15/40 |
206 | 210,258 | ||||||
4.38%, 05/15/41 |
122 | 124,340 | ||||||
4.50%, 07/15/26 |
206 | 207,923 | ||||||
4.50%, 11/15/33 |
513 | 535,684 | ||||||
4.50%, 08/15/39 |
411 | 429,086 | ||||||
4.63%, 02/15/40 |
52 | 54,736 | ||||||
4.75%, 02/15/41 |
398 | 423,364 | ||||||
4.75%, 11/15/43 |
50 | 52,930 | ||||||
4.75%, 11/15/53 |
67 | 73,156 | ||||||
4.88%, 10/31/30 |
129 | 135,753 | ||||||
|
|
|||||||
27,294,505 | ||||||||
|
|
|||||||
Total
U.S. Government & Agency Obligations — 68.4% |
55,932,375 | |||||||
|
|
|||||||
Total
Long-Term
Investments — 114.4% |
93,609,223 | |||||||
|
|
Security | Shares |
Value | ||||||
Short-Term Securities | ||||||||
Money Market Funds — 0.1% | ||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares, 5.32%(f)(g) |
100,000 | $ | 100,000 | |||||
|
|
|||||||
Total Short-Term Securities — 0.1% (Cost: $100,000) |
100,000 | |||||||
|
|
|||||||
Total
Investments Before TBA Sales Commitments — 114.5% |
93,709,223 | |||||||
|
|
|||||||
Par (000) |
||||||||
TBA Sales Commitments(e) |
||||||||
Mortgage-Backed Securities — (2.9)% | ||||||||
Uniform Mortgage-Backed Securities |
||||||||
1.50%, 02/15/39 |
(4 | ) | (3,497 | ) | ||||
3.00%, 02/15/39 |
(3 | ) | (2,825 | ) | ||||
3.50%, 02/13/54 |
(200 | ) | (182,015 | ) | ||||
4.00%, 02/13/54 |
(179 | ) | (167,132 | ) | ||||
4.50%, 02/13/54 |
(884 | ) | (854,648 | ) | ||||
5.00%, 02/13/54 |
(547 | ) | (539,835 | ) | ||||
5.50%, 02/13/54 |
(619 | ) | (620,762 | ) | ||||
|
|
|||||||
Total
TBA Sales Commitments — (2.9)% |
(2,370,714 | ) | ||||||
|
|
|||||||
Total Investments, Net of TBA Sales Commitments — 111.6% (Cost: $90,722,226) |
91,338,509 | |||||||
Liabilities in Excess of Other Assets — (11.6)% |
|
(9,525,649 | ) | |||||
|
|
|||||||
Net Assets — 100.0% |
$ | 81,812,860 | ||||||
|
|
(a) |
Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors. |
(b) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(c) |
Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(d) |
This security may be resold to qualified foreign investors and foreign institutional buyers under Regulation S of the Securities Act of 1933. |
(e) |
Represents or includes a TBA transaction. |
(f) |
Affiliate of the Fund. |
(g) |
Annualized 7-day yield as of period end. |
86 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Total Return ETF |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the period ended January 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | |
Value at 12/12/23 |
(a) |
|
Purchases at Cost |
|
|
Proceeds from Sale |
|
|
Net Realized Gain (Loss) |
|
|
Change in Unrealized Appreciation (Depreciation) |
|
|
Value at 01/31/24 |
|
|
Shares Held at 01/31/24 |
|
Income | |
Capital Gain Distributions from Underlying Funds |
||||||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares(b) |
$ | — | $ | — | $ | (4,767) | (c) | $ | 4,767 | $ | — | $ | — | — | $ | 81,561 | (d) | $ | 10 | |||||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares |
— | 100,000 | (c) | — | — | — | 100,000 | 100,000 | 727 | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | 4,767 | $ | — | $ | 100,000 | $ | 82,288 | $ | 10 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Commencement of operations. |
(b) |
As of period end, the entity is no longer held. (c) Represents net amount purchased (sold). |
(d) |
All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
Description | Number of Contracts |
Expiration Date |
Notional Amount (000) |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||||
Long Contracts |
||||||||||||||||
10-Year Australian Treasury Bond |
1 | 03/15/24 | $ | 76 | $ | 1,441 | ||||||||||
U.S. Long Bond |
13 | 03/19/24 | 1,594 | (9,350 | ) | |||||||||||
U.S. Ultra Bond |
2 | 03/19/24 | 259 | (864 | ) | |||||||||||
5-Year U.S. Treasury Note |
29 | 03/28/24 | 3,145 | 9,278 | ||||||||||||
|
|
|||||||||||||||
505 | ||||||||||||||||
|
|
|||||||||||||||
Short Contracts |
||||||||||||||||
30-Year Euro Buxl Bond |
(1 | ) | 03/07/24 | 149 | 1,750 | |||||||||||
Euro BOBL |
(2 | ) | 03/07/24 | 256 | (715 | ) | ||||||||||
Euro Bund |
(5 | ) | 03/07/24 | 734 | (3,614 | ) | ||||||||||
10-Year Canadian Bond |
(3 | ) | 03/19/24 | 272 | 241 | |||||||||||
10-Year U.S. Treasury Note |
(16 | ) | 03/19/24 | 1,798 | (6,275 | ) | ||||||||||
10-Year U.S. Ultra Bond |
(8 | ) | 03/19/24 | 936 | (10,528 | ) | ||||||||||
2-Year U.S. Treasury Note |
(24 | ) | 03/28/24 | 4,936 | (6,709 | ) | ||||||||||
|
|
|||||||||||||||
(25,850 | ) | |||||||||||||||
|
|
|||||||||||||||
$ | (25,345 | ) | ||||||||||||||
|
|
Forward Foreign Currency Exchange Contracts
Currency Purchased | Currency Sold |
Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
USD |
91,553 | EUR | 84,000 | Barclays Bank PLC | 03/20/24 | $ | 594 | |||||||||||||||
USD |
1,519,791 | EUR | 1,383,000 | Morgan Stanley & Co. International PLC | 03/20/24 | 22,213 | ||||||||||||||||
|
|
|||||||||||||||||||||
22,807 | ||||||||||||||||||||||
|
|
|||||||||||||||||||||
$ | 22,807 | |||||||||||||||||||||
|
|
S C H E D U L E O F I N V E S T M E N T S |
87 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Total Return ETF |
Centrally Cleared Interest Rate Swaps
|
||||||||||||||||||||||||||||
Paid by the Fund |
Received by the Fund |
Effective Date |
Termination Date |
Notional (000) |
Value |
Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Rate |
Frequency | Rate | Frequency | |||||||||||||||||||||||||
|
||||||||||||||||||||||||||||
2.66% |
Annual |
6-mo. EURIBOR, 3.84% |
Semi-Annual | N/A | 12/15/33 | EUR | 120 | $ | (863 | ) | $ | 2 | $ | (865 | ) |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
|
||||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||
|
||||||||||||||||||||||||||||
Assets — Derivative Financial Instruments |
||||||||||||||||||||||||||||
Futures contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on futures contracts(a) |
$ | — | $ | — | $ | — | $ | — | $ | 12,710 | $ | — | $ | 12,710 | ||||||||||||||
Forward foreign currency exchange contracts |
||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts |
$ | — | $ | — | $ | — | $ | 22,807 | $ | — | $ | — | $ | 22,807 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | — | $ | — | $ | 22,807 | $ | 12,710 | $ | — | $ | 35,517 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Liabilities — Derivative Financial Instruments |
||||||||||||||||||||||||||||
Futures contracts |
||||||||||||||||||||||||||||
Unrealized depreciation on futures contracts(a) |
$ | — | $ | — | $ | — | $ | — | $ | 38,055 | $ | — | $ | 38,055 | ||||||||||||||
Swaps — centrally cleared |
||||||||||||||||||||||||||||
Unrealized depreciation on centrally cleared swaps(a) |
$ | — | $ | — | $ | — | $ | — | $ | 865 | $ | — | $ | 865 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | 38,920 | $ | — | $ | 38,920 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) |
Net cumulative unrealized appreciation (depreciation) on futures contracts are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
For the period ended January 31, 2024, the effect of derivative financial instruments in the Statements of Operations was as follows:
|
||||||||||||||||||||||||||||||||
Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Other Contracts |
Total | ||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Net Realized Gain (Loss) from |
||||||||||||||||||||||||||||||||
Futures contracts |
$ | — | $ | — | $ | 204,676 | $ | — | $ | — | $ | — | $ | 204,676 | ||||||||||||||||||
|
Forward foreign currency exchange contracts |
— | — | — | (1,646 | ) | — | — | (1,646 | ) | ||||||||||||||||||||||
Swaps |
— | — | — | — | 13,083 | — | 13,083 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
$ | — | $ | — | $ | 204,676 | $ | (1,646 | ) | $ | 13,083 | $ | — | $ | 216,113 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on |
||||||||||||||||||||||||||||||||
Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | (25,345 | ) | $ | — | $ | (25,345 | ) | ||||||||||||||||
Forward foreign currency exchange contracts |
— | — | — | 22,807 | — | — | 22,807 | |||||||||||||||||||||||||
Swaps |
— | — | — | — | (865 | ) | — | (865 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||
$ | — | $ | — | $ | — | $ | 22,807 | $ | (26,210 | ) | $ | — | $ | (3,403 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
Futures contracts: |
||||||||
|
Average notional value of contracts — long |
$ | 5,073,850 | |||||
Average notional value of contracts — short |
$ | 9,080,661 | ||||||
Forward foreign currency exchange contracts: |
||||||||
Average amounts sold — in USD |
$ | 1,611,344 | ||||||
Interest rate swaps: |
||||||||
Average notional value — pays fixed rate |
$ | 129,684 |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
88 |
2 0 2 4 B L A C K R O C K S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Total Return ETF |
Derivative Financial Instruments - Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
|
||||||||||||
Assets | Liabilities | |||||||||||
|
||||||||||||
|
Derivative Financial Instruments: |
|||||||||||
Futures contracts |
$ | 12,710 | $ | 38,055 | ||||||||
Forward foreign currency exchange contracts |
22,807 | — | ||||||||||
Swaps - centrally cleared |
— | 865 | ||||||||||
|
|
|
|
|||||||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities |
35,517 | 38,920 | ||||||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
(12,710 | ) | (38,920 | ) | ||||||||
|
|
|
|
|||||||||
Total derivative assets and liabilities subject to an MNA |
$ | 22,807 | $ | — | ||||||||
|
|
|
|
The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under an MNA and net of the related collateral received by the Fund:
|
||||||||||||||||||||||||||||||||
Derivative Assets Subject to an MNA by |
|
Derivatives Available |
|
Non-Cash Collateral |
|
|
Cash Collateral |
|
Net Amount of Derivative |
|
||||||||||||||||||||||
Counterparty | Counterparty |
|
for Offset | (a) | Received | Received | Assets | (a)(b) | ||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Barclays Bank PLC |
$ | 594 | $ | — | $ | — | $ | — | $ | 594 | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC |
22,213 | — | — | — | 22,213 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||
$ | 22,807 | $ | — | $ | — | $ | — | $ | 22,807 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Net amount represents the net amount receivable from the counterparty in the event of default. |
(b) |
Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
|
||||||||||||||||||
Assets |
||||||||||||||||||
Investments |
||||||||||||||||||
Long-Term Investments |
||||||||||||||||||
Asset-Backed Securities |
$ | — | $ | 7,089,040 | $ | — | $ | 7,089,040 | ||||||||||
Collaterized Mortgage Obligations |
— | 7,429,807 | — | 7,429,807 | ||||||||||||||
Corporate Bonds & Notes |
— | 21,190,199 | — | 21,190,199 | ||||||||||||||
Foreign Government Obligations |
— | 1,440,439 | — | 1,440,439 | ||||||||||||||
Municipal Debt Obligations |
— | 527,363 | — | 527,363 | ||||||||||||||
U.S. Government & Agency Obligations |
— | 55,932,375 | — | 55,932,375 | ||||||||||||||
Short-Term Securities |
||||||||||||||||||
Money Market Funds |
100,000 | — | — | 100,000 | ||||||||||||||
Liabilities |
||||||||||||||||||
Investments |
||||||||||||||||||
TBA Sales Commitments |
— | (2,370,714 | ) | — | (2,370,714 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||
$ | 100,000 | $ | 91,238,509 | $ | — | $ | 91,338,509 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||||
Derivative Financial Instruments(a) |
||||||||||||||||||
Assets |
||||||||||||||||||
Foreign Currency Exchange Contracts |
$ | — | $ | 22,807 | $ | — | $ | 22,807 | ||||||||||
Interest Rate Contracts |
12,710 | — | — | 12,710 |
S C H E D U L E O F I N V E S T M E N T S |
89 |
Schedule of Investments (unaudited) (continued) January 31, 2024 |
BlackRock Total Return ETF |
Fair Value Hierarchy as of Period End (continued)
|
||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||
|
||||||||||||||||||
Liabilities |
||||||||||||||||||
Interest Rate Contracts |
$ | (38,055 | ) | $ | — | $ | — | $ | (38,055 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||||
$ | (25,345 | ) | $ | 22,807 | $ | — | (3,403 | ) | ||||||||||
|
|
|
|
|
|
|
|
(a) |
Derivative financial instruments are swaps, futures contracts and forward foreign currency exchange contracts. Swaps, futures contracts and forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
90 |
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 |
Statements of Assets and Liabilities (unaudited)
January 31, 2024
BlackRock AAA CLO ETF |
BlackRock Flexible Income ETF |
BlackRock Floating Rate Loan ETF |
BlackRock High Yield Muni Income |
|||||||||||||
|
||||||||||||||||
ASSETS |
||||||||||||||||
Investments, at value — unaffiliated(a)(b) |
$ | 80,034,694 | $ | 1,321,549,074 | $ | 24,318,187 | $ | 80,200,073 | ||||||||
Investments, at value — affiliated(c) |
2,330,000 | 245,216,645 | 4,129,734 | 1,153,527 | ||||||||||||
Cash |
10,078 | 101,512 | 136,775 | — | ||||||||||||
Cash pledged: |
||||||||||||||||
Futures contracts |
— | 5,664,000 | — | — | ||||||||||||
Centrally cleared swaps |
— | 318,000 | — | — | ||||||||||||
Foreign currency, at value(d) |
— | 593,345 | — | — | ||||||||||||
Receivables: |
||||||||||||||||
Investments sold |
— | 14,265 | 311,341 | — | ||||||||||||
Securities lending income - affiliated |
— | 13,243 | — | — | ||||||||||||
TBA sales commitment |
— | 32,955,715 | — | — | ||||||||||||
Loans |
— | — | 49,696 | — | ||||||||||||
Capital shares sold |
— | 41,825,263 | 2,613,228 | — | ||||||||||||
Dividends - unaffiliated |
— | 20 | — | — | ||||||||||||
Dividends - affiliated |
7,146 | 107,301 | 3,531 | 11,105 | ||||||||||||
Interest - unaffiliated |
235,059 | 13,720,761 | 91,091 | 834,653 | ||||||||||||
From custodian |
— | 5,007,330 | — | — | ||||||||||||
Variation margin on centrally cleared swaps |
— | 27,570 | — | — | ||||||||||||
Unrealized appreciation on: |
||||||||||||||||
Forward foreign currency exchange contracts |
— | 3,056,337 | — | — | ||||||||||||
OTC swaps |
— | 2,781 | — | — | ||||||||||||
Unfunded floating rate loan interests |
— | — | 23 | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total assets |
82,616,977 | 1,670,173,162 | 31,653,606 | 82,199,358 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Bank overdraft |
— | — | — | 18 | ||||||||||||
Collateral on securities loaned, at value |
— | 54,165,043 | — | — | ||||||||||||
TBA sales commitments, at value(e) |
— | 32,978,469 | — | — | ||||||||||||
Payables: |
||||||||||||||||
Investments purchased |
— | 223,339,528 | 5,510,989 | 483,076 | ||||||||||||
Deferred foreign capital gain tax |
— | 6,188 | — | — | ||||||||||||
Investment advisory fees |
10,878 | 202,461 | 9,305 | 22,602 | ||||||||||||
Proxy fees |
3,510 | 4,171 | 2,180 | 3,343 | ||||||||||||
Variation margin on futures contracts |
— | 182,500 | — | — | ||||||||||||
Unrealized depreciation on: |
||||||||||||||||
Forward foreign currency exchange contracts |
— | 345,318 | — | — | ||||||||||||
OTC swaps |
— | 10,480 | — | — | ||||||||||||
Unfunded floating rate loan interests |
— | — | 11 | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total liabilities |
14,388 | 311,234,158 | 5,522,485 | 509,039 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Commitments and contingent liabilities |
||||||||||||||||
NET ASSETS |
$ | 82,602,589 | $ | 1,358,939,004 | $ | 26,131,121 | $ | 81,690,319 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS CONSIST OF: |
||||||||||||||||
Paid-in capital |
$ | 81,365,146 | $ | 1,345,518,264 | $ | 25,538,650 | $ | 84,086,588 | ||||||||
Accumulated earnings (loss) |
1,237,443 | 13,420,740 | 592,471 | (2,396,269 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS |
$ | 82,602,589 | $ | 1,358,939,004 | $ | 26,131,121 | $ | 81,690,319 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(a) Investments, at cost — unaffiliated |
$ | 79,298,581 | $ | 1,313,728,117 | $ | 23,995,877 | $ | 80,387,507 | ||||||||
(b) Securities loaned, at value |
$ | — | $ | 52,853,075 | $ | — | $ | — | ||||||||
(c) Investments, at cost — affiliated |
$ | 2,330,000 | $ | 244,024,810 | $ | 4,120,175 | $ | 1,153,438 | ||||||||
(d) Foreign currency, at cost |
$ | — | $ | 595,629 | $ | — | $ | — | ||||||||
(e) Proceeds from TBA sales commitments |
$ | — | $ | 32,955,715 | $ | — | $ | — |
F I N A N C I A L S T A T E M E N T S |
91 |
Statements of Assets and Liabilities (unaudited) (continued)
January 31, 2024
BlackRock AAA CLO ETF |
BlackRock Flexible Income ETF |
BlackRock Floating Rate Loan ETF |
BlackRock High Yield Muni Income |
|||||||||||||
|
||||||||||||||||
Net asset value |
||||||||||||||||
Shares outstanding |
$ | 1,600,000 | $ | 26,000,000 | $ | 500,000 | $ | 3,700,000 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value |
$ | 51.63 | $ | 52.27 | $ | 52.26 | $ | 22.08 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Shares authorized |
Unlimited | Unlimited | Unlimited | Unlimited | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Par value |
None | None | None | None | ||||||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
92 |
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 |
Statements of Assets and Liabilities (unaudited) (continued)
January 31, 2024
BlackRock Intermediate Muni Income Bond ETF |
BlackRock Short-Term California Muni Bond ETF |
BlackRock Total Return ETF |
||||||||||
ASSETS |
||||||||||||
Investments, at value — unaffiliated(a) |
$ | 23,463,851 | $ | 20,298,781 | $ | 93,609,223 | ||||||
Investments, at value — affiliated(b) |
118,416 | 77,404 | 100,000 | |||||||||
Cash |
32 | 75 | — | |||||||||
Cash pledged: |
||||||||||||
Futures contracts |
— | — | 112,000 | |||||||||
Centrally cleared swaps |
— | — | 6,000 | |||||||||
Foreign currency, at value(c) |
— | — | 511,782 | |||||||||
Receivables: |
||||||||||||
Investments sold |
— | — | 954,948 | |||||||||
TBA sales commitments(d) |
— | — | 2,358,626 | |||||||||
Dividends — affiliated |
1,142 | 17,838 | 38,118 | |||||||||
Interest — unaffiliated |
171,702 | 232,832 | 627,281 | |||||||||
From custodian |
— | — | 31,231,374 | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts |
— | — | 22,807 | |||||||||
|
|
|
|
|
|
|||||||
Total assets |
23,755,143 | 20,626,930 | 129,572,159 | |||||||||
|
|
|
|
|
|
|||||||
LIABILITIES |
||||||||||||
Bank overdraft |
— | — | 29,273,586 | |||||||||
TBA sales commitments, at value |
— | — | 2,370,714 | |||||||||
Payables: |
||||||||||||
Investments purchased |
— | 504,470 | 16,084,742 | |||||||||
Investment advisory fees |
5,312 | 3,023 | 25,459 | |||||||||
Proxy fees |
2,356 | 2,030 | — | |||||||||
Variation margin on futures contracts |
— | — | 3,607 | |||||||||
Variation margin on centrally cleared swaps |
— | — | 1,191 | |||||||||
|
|
|
|
|
|
|||||||
Total liabilities |
7,668 | 509,523 | 47,759,299 | |||||||||
|
|
|
|
|
|
|||||||
Commitments and contingent liabilities |
||||||||||||
NET ASSETS |
$ | 23,747,475 | $ | 20,117,407 | $ | 81,812,860 | ||||||
|
|
|
|
|
|
|||||||
NET ASSETS CONSIST OF |
||||||||||||
Paid-in capital |
$ | 24,529,346 | $ | 19,999,644 | $ | 80,270,116 | ||||||
Accumulated earnings (loss) |
(781,871 | ) | 117,763 | 1,542,744 | ||||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 23,747,475 | $ | 20,117,407 | $ | 81,812,860 | ||||||
|
|
|
|
|
|
|||||||
NET ASSET VALUE |
||||||||||||
Shares outstanding |
1,000,000 | 400,000 | 1,600,000 | |||||||||
|
|
|
|
|
|
|||||||
Net asset value |
$ | 23.75 | $ | 50.29 | $ | 51.13 | ||||||
|
|
|
|
|
|
|||||||
Shares authorized |
Unlimited | Unlimited | Unlimited | |||||||||
|
|
|
|
|
|
|||||||
Par value |
None | None | None | |||||||||
|
|
|
|
|
|
|||||||
(a) Investments, at cost — unaffiliated |
$ | 23,403,417 | $ | 20,235,685 | $ | 92,980,852 | ||||||
(b) Investments, at cost — affiliated |
$ | 118,412 | $ | 77,404 | $ | 100,000 | ||||||
(c) Foreign currency, at cost |
$ | — | $ | — | $ | 515,045 | ||||||
(d) Proceeds from TBA sales commitments |
$ | — | $ | — | $ | 2,358,626 |
See notes to financial statements.
F I N A N C I A L S T A T E M E N T S |
93 |
Statements of Operations (unaudited)
Six Months Ended January 31, 2024
BlackRock AAA CLO ETF |
BlackRock Flexible Income ETF |
BlackRock Floating Rate Loan ETF |
BlackRock High Yield Muni Income Bond ETF |
|||||||||||||
INVESTMENT INCOME |
||||||||||||||||
Dividends — affiliated |
$ | 38,091 | $ | 773,228 | $ | 26,478 | $ | 66,979 | ||||||||
Interest — unaffiliated |
1,862,893 | 8,150,931 | 1,003,027 | 1,425,873 | ||||||||||||
Securities lending income — affiliated — net |
— | 17,963 | — | — | ||||||||||||
Other income — unaffiliated |
— | 113 | — | — | ||||||||||||
Foreign taxes withheld |
— | (7,758 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total investment income |
1,900,984 | 8,934,477 | 1,029,505 | 1,492,852 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
EXPENSES |
||||||||||||||||
Investment advisory |
54,568 | 723,567 | 62,611 | 134,936 | ||||||||||||
Proxy fees |
3,579 | 4,365 | 2,215 | 3,975 | ||||||||||||
Commitment costs |
101 | — | — | 91 | ||||||||||||
Interest expense |
— | 14 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
58,248 | 727,946 | 64,826 | 139,002 | ||||||||||||
Less: |
||||||||||||||||
Investment advisory fees waived |
(643 | ) | (176,282 | ) | (6,044 | ) | (34,173 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses after fees waived |
57,605 | 551,664 | 58,782 | 104,829 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income |
1,843,379 | 8,382,813 | 970,723 | 1,388,023 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||
Net realized gain (loss) from: |
||||||||||||||||
Investments — unaffiliated |
78,533 | 372,907 | 52,978 | (753,334 | ) | |||||||||||
Investments — affiliated |
— | (118,269 | ) | 1,332 | 754 | |||||||||||
Capital gain distributions from underlying funds — affiliated |
— | 10 | — | — | ||||||||||||
Forward foreign currency exchange contracts |
— | (886,932 | ) | — | — | |||||||||||
Foreign currency transactions |
— | 550,466 | — | — | ||||||||||||
Futures contracts |
— | 640,283 | — | — | ||||||||||||
Swaps |
— | (287,352 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
78,533 | 271,113 | 54,310 | (752,580 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change in unrealized appreciation (depreciation) on: |
||||||||||||||||
Investments — unaffiliated |
506,446 | 6,967,179 | 38,208 | 1,721,725 | ||||||||||||
Investments — affiliated |
— | 1,129,055 | 1,448 | (257 | ) | |||||||||||
Forward foreign currency exchange contracts |
— | 2,869,313 | — | — | ||||||||||||
Foreign currency translations |
— | 5,994 | — | — | ||||||||||||
Futures contracts |
— | (927,049 | ) | — | — | |||||||||||
Swaps |
— | 366,776 | — | — | ||||||||||||
Unfunded floating rate loan interests |
— | — | (319 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
506,446 | 10,411,268 | 39,337 | 1,721,468 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized gain |
584,979 | 10,682,381 | 93,647 | 968,888 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 2,428,358 | $ | 19,065,194 | $ | 1,064,370 | $ | 2,356,911 | ||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
94 |
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 |
Statements of Operations (unaudited) (continued)
Six Months Ended January 31, 2024
|
BlackRock Intermediate Muni Income Bond ETF |
|
|
BlackRock Short-Term California Muni Bond ETF |
|
|
BlackRock Total Return ETF |
(a) | ||||
|
||||||||||||
INVESTMENT INCOME |
||||||||||||
Dividends — affiliated |
$ | 5,179 | $ | 2,517 | $ | 82,288 | ||||||
Interest — unaffiliated |
476,239 | 312,626 | 439,083 | |||||||||
|
|
|
|
|
|
|||||||
Total investment income |
481,418 | 315,143 | 521,371 | |||||||||
|
|
|
|
|
|
|||||||
EXPENSES |
||||||||||||
Investment advisory |
48,772 | 23,482 | 43,349 | |||||||||
Proxy fees |
2,407 | 2,048 | — | |||||||||
Commitment costs |
35 | — | — | |||||||||
Interest expense |
— | 122 | — | |||||||||
|
|
|
|
|
|
|||||||
Total expenses |
51,214 | 25,652 | 43,349 | |||||||||
Less: |
||||||||||||
Investment advisory fees waived |
(12,513 | ) | (4,847 | ) | (3,399 | ) | ||||||
|
|
|
|
|
|
|||||||
Total expenses after fees waived |
38,701 | 20,805 | 39,950 | |||||||||
|
|
|
|
|
|
|||||||
Net investment income |
442,717 | 294,338 | 481,421 | |||||||||
|
|
|
|
|
|
|||||||
REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||
Net realized gain (loss) from: |
||||||||||||
Investments — unaffiliated |
(150,127 | ) | (172 | ) | 402,953 | |||||||
Investments — affiliated |
5 | — | 4,767 | |||||||||
Capital gain distributions from underlying funds — affiliated |
— | — | 10 | |||||||||
Forward foreign currency exchange contracts |
— | — | (1,646 | ) | ||||||||
Foreign currency transactions |
— | — | 818 | |||||||||
Futures contracts |
— | — | 204,676 | |||||||||
Swaps |
— | — | 13,083 | |||||||||
|
|
|
|
|
|
|||||||
(150,122 | ) | (172 | ) | 624,661 | ||||||||
|
|
|
|
|
|
|||||||
Net change in unrealized appreciation (depreciation) on: |
||||||||||||
Investments — unaffiliated |
257,120 | 67,033 | 616,283 | |||||||||
Investments — affiliated |
(9 | ) | — | — | ||||||||
Forward foreign currency exchange contracts |
— | — | 22,807 | |||||||||
Foreign currency translations |
— | — | (3,428 | ) | ||||||||
Futures contracts |
— | — | (25,345 | ) | ||||||||
Swaps |
— | — | (865 | ) | ||||||||
|
|
|
|
|
|
|||||||
257,111 | 67,033 | 609,452 | ||||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain |
106,989 | 66,861 | 1,234,113 | |||||||||
|
|
|
|
|
|
|||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 549,706 | $ | 361,199 | $ | 1,715,534 | ||||||
|
|
|
|
|
|
(a) |
For the period from December 12, 2023 (commencement of operations) to January 31, 2024. |
See notes to financial statements.
F I N A N C I A L S T A T E M E N T S |
95 |
Statements of Changes in Net Assets
BlackRock AAA CLO ETF |
BlackRock Flexible Income ETF |
|||||||||||||||||||
|
Six Months Ended 01/31/24 (unaudited |
) |
|
Period From 01/10/23 to 07/31/23 |
(a)
|
|
Six Months Ended 01/31/24 (unaudited |
) |
|
Period From 05/19/23 to 07/31/23 |
(a)
| |||||||||
|
||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||||||
OPERATIONS |
||||||||||||||||||||
Net investment income |
$ | 1,843,379 | $ | 1,057,700 | $ | 8,382,813 | $ | 935,494 | ||||||||||||
Net realized gain (loss) |
78,533 | 40,249 | 271,113 | (94,132 | ) | |||||||||||||||
Net change in unrealized appreciation (depreciation) |
506,446 | 229,667 | 10,411,268 | 756,968 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Net increase in net assets resulting from operations |
2,428,358 | 1,327,616 | 19,065,194 | 1,598,330 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS(b) |
||||||||||||||||||||
Decrease in net assets resulting from distributions to shareholders |
(1,663,640 | )(c) | (854,891 | ) | (6,799,784 | )(c) | (443,000 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||
Net increase in net assets derived from capital share transactions |
41,070,038 | 40,295,108 | 1,217,099,448 | 128,418,816 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
NET ASSETS |
||||||||||||||||||||
Total increase in net assets |
41,834,756 | 40,767,833 | 1,229,364,858 | 129,574,146 | ||||||||||||||||
Beginning of period |
40,767,833 | — | 129,574,146 | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
End of period |
$ | 82,602,589 | $ | 40,767,833 | $ | 1,358,939,004 | $ | 129,574,146 | ||||||||||||
|
|
|
|
|
|
|
|
(a) |
Commencement of operations. |
(b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) |
A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
See notes to financial statements.
96 |
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 |
Statements of Changes in Net Assets (continued)
BlackRock Floating Rate Loan ETF |
BlackRock High Yield Muni Income Bond ETF |
|||||||||||||||||||
|
Six Months Ended 01/31/24 (unaudited |
) |
|
Period From 10/04/22 to 07/31/23 |
(a)
|
|
Six Months Ended 01/31/24 (unaudited |
) |
|
Year Ended 07/31/23 |
| |||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||||||
OPERATIONS |
||||||||||||||||||||
Net investment income |
$ | 970,723 | $ | 1,388,888 | $ | 1,388,023 | $ | 1,627,776 | ||||||||||||
Net realized gain (loss) |
54,310 | 53,438 | (752,580 | ) | (1,335,515 | ) | ||||||||||||||
Net change in unrealized appreciation (depreciation) |
39,337 | 292,544 | 1,721,468 | 1,686 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Net increase in net assets resulting from operations |
1,064,370 | 1,734,870 | 2,356,911 | 293,947 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS(b) |
||||||||||||||||||||
Decrease in net assets resulting from distributions to shareholders |
(975,733 | )(c) | (1,231,036 | ) | (1,267,763 | )(c) | (1,488,950 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||
Net increase in net assets derived from capital share transactions |
5,239,445 | 20,299,205 | 20,014,722 | 34,490,784 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
NET ASSETS |
||||||||||||||||||||
Total increase in net assets |
5,328,082 | 20,803,039 | 21,103,870 | 33,295,781 | ||||||||||||||||
Beginning of period |
20,803,039 | — | 60,586,449 | 27,290,668 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
End of period |
$ | 26,131,121 | $ | 20,803,039 | $ | 81,690,319 | $ | 60,586,449 | ||||||||||||
|
|
|
|
|
|
|
|
(a) |
Commencement of operations. |
(b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) |
A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
See notes to financial statements.
F I N A N C I A L S T A T E M E N T S |
97 |
Statements of Changes in Net Assets (continued)
BlackRock Intermediate Muni Income Bond ETF |
BlackRock Short-Term California Muni Bond ETF |
|||||||||||||||||||
|
Six Months Ended 01/31/24 (unaudited) |
|
|
Year Ended 07/31/23 |
|
|
Six Months Ended 01/31/24 (unaudited) |
|
|
Period From 07/11/23 to 07/31/23 |
(a)
| |||||||||
|
||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||||||
OPERATIONS |
||||||||||||||||||||
Net investment income |
$ | 442,717 | $ | 968,631 | $ | 294,338 | $ | 15,387 | ||||||||||||
Net realized loss |
(150,122 | ) | (709,030 | ) | (172 | ) | (355 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) |
257,111 | 683,044 | 67,033 | (3,937 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
Net increase in net assets resulting from operations |
549,706 | 942,645 | 361,199 | 11,095 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS(b) |
||||||||||||||||||||
Decrease in net assets resulting from distributions to shareholders |
(448,836 | )(c) | (946,808 | ) | (254,531 | )(c) | — | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||
Net increase (decrease) in net assets derived from capital share transactions |
(2,268,728 | ) | (7,708,732 | ) | 2,490,894 | 17,508,750 | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
NET ASSETS |
||||||||||||||||||||
Total increase (decrease) in net assets |
(2,167,858 | ) | (7,712,895 | ) | 2,597,562 | 17,519,845 | ||||||||||||||
Beginning of period |
25,915,333 | 33,628,228 | 17,519,845 | — | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||
End of period |
$ | 23,747,475 | $ | 25,915,333 | $ | 20,117,407 | $ | 17,519,845 | ||||||||||||
|
|
|
|
|
|
|
|
(a) |
Commencement of operations. |
(b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(c) |
A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
See notes to financial statements.
98 |
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 |
Statements of Changes in Net Assets (continued)
BlackRock Total Return ETF |
||||
|
Period From 12/12/23 to 01/31/24 (unaudited) |
(a)
| ||
INCREASE (DECREASE) IN NET ASSETS |
||||
OPERATIONS |
||||
Net investment income |
$ | 481,421 | ||
Net realized gain |
624,661 | |||
Net change in unrealized appreciation (depreciation) |
609,452 | |||
|
|
|||
Net increase in net assets resulting from operations |
1,715,534 | |||
|
|
|||
DISTRIBUTIONS TO SHAREHOLDERS(b) |
||||
Decrease in net assets resulting from distributions to shareholders |
(172,790 | ) | ||
|
|
|||
CAPITAL SHARE TRANSACTIONS |
||||
Net increase in net assets derived from capital share transactions |
80,270,116 | |||
|
|
|||
NET ASSETS |
||||
Total increase in net assets |
81,812,860 | |||
Beginning of period |
— | |||
|
|
|||
End of period |
$ | 81,812,860 | ||
|
|
(a) |
Commencement of operations. |
(b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
F I N A N C I A L S T A T E M E N T S |
99 |
(For a share outstanding throughout each period)
BlackRock AAA CLO ETF | ||||||||||||
|
||||||||||||
Six Months Ended | Period From | |||||||||||
01/31/24 | 01/10/23 | (a) | ||||||||||
(unaudited) | to 07/31/23 | |||||||||||
|
||||||||||||
Net asset value, beginning of period |
$ | 50.96 | $ | 50.01 | ||||||||
|
|
|
|
|||||||||
Net investment income(b) |
1.74 | 1.73 | ||||||||||
Net realized and unrealized gain(c) |
0.56 | 0.60 | ||||||||||
|
|
|
|
|||||||||
Net increase from investment operations |
2.30 | 2.33 | ||||||||||
|
|
|
|
|||||||||
Distributions from net investment income(d) |
(1.63 | )(e) | (1.38 | ) | ||||||||
|
|
|
|
|||||||||
Net asset value, end of period |
$ | 51.63 | $ | 50.96 | ||||||||
|
|
|
|
|||||||||
Total Return(f) |
||||||||||||
Based on net asset value |
4.60 | %(g) | 4.73 | %(g) | ||||||||
|
|
|
|
|||||||||
Ratios to Average Net Assets(h) |
||||||||||||
Total expenses |
0.21 | %(i) | 0.20 | %(i) | ||||||||
|
|
|
|
|||||||||
Total expenses after fees waived |
0.20 | %(i) | 0.20 | %(i) | ||||||||
|
|
|
|
|||||||||
Net investment income |
6.76 | %(i) | 6.20 | %(i) | ||||||||
|
|
|
|
|||||||||
Supplemental Data |
||||||||||||
Net assets, end of period (000) |
$ | 82,603 | $ | 40,768 | ||||||||
|
|
|
|
|||||||||
Portfolio turnover rate(j) |
16 | % | 19 | % | ||||||||
|
|
|
|
(a) |
Commencement of operations. |
(b) |
Based on average shares outstanding. |
(c) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(d) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(e) |
A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(f) |
Where applicable, assumes the reinvestment of distributions. |
(g) |
Not annualized. |
(h) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(i) |
Annualized. |
(j) |
Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
100 |
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 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock Flexible Income ETF | ||||||||||||
|
||||||||||||
Six Months Ended | Period From | |||||||||||
01/31/24 | 05/19/23 | (a) | ||||||||||
(unaudited) | to 07/31/23 | |||||||||||
|
||||||||||||
Net asset value, beginning of period |
$ | 50.81 | $ | 50.00 | ||||||||
|
|
|
|
|||||||||
Net investment income(b) |
1.49 | 0.54 | ||||||||||
Net realized and unrealized gain(c) |
1.35 | 0.52 | ||||||||||
|
|
|
|
|||||||||
Net increase from investment operations |
2.84 | 1.06 | ||||||||||
|
|
|
|
|||||||||
Distributions from net investment income(d) |
(1.38 | )(e) | (0.25 | ) | ||||||||
|
|
|
|
|||||||||
Net asset value, end of period |
$ | 52.27 | $ | 50.81 | ||||||||
|
|
|
|
|||||||||
Total Return(f) |
||||||||||||
Based on net asset value |
5.70 | %(g) | 2.14 | %(g) | ||||||||
|
|
|
|
|||||||||
Ratios to Average Net Assets(h) |
||||||||||||
Total expenses |
0.50 | %(i) | 0.50 | %(i) | ||||||||
|
|
|
|
|||||||||
Total expenses after fees waived |
0.38 | %(i) | 0.37 | %(i) | ||||||||
|
|
|
|
|||||||||
Net investment income |
5.79 | %(i) | 5.39 | %(i) | ||||||||
|
|
|
|
|||||||||
Supplemental Data |
||||||||||||
Net assets, end of period (000) |
$ | 1,358,939 | $ | 129,574 | ||||||||
|
|
|
|
|||||||||
Portfolio turnover rate(j)(k) |
65 | % | 54 | % | ||||||||
|
|
|
|
(a) |
Commencement of operations. |
(b) |
Based on average shares outstanding. |
(c) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(d) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(e) |
A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(f) |
Where applicable, assumes the reinvestment of distributions. |
(g) |
Not annualized. |
(h) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(i) |
Annualized. |
(j) |
Includes mortgage dollar roll transactions (“MDRs”). Excluding MDRs, the portfolio turnover rate would have been 33%. |
(k) |
Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
F I N A N C I A L H I G H L I G H T S |
101 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock Floating Rate Loan ETF | ||||||||||||
|
||||||||||||
Six Months Ended | Period From | |||||||||||
01/31/24 | 10/04/22 | (a) | ||||||||||
(unaudited) | to 07/31/23 | |||||||||||
|
||||||||||||
Net asset value, beginning of period |
$ | 52.01 | $ | 50.37 | ||||||||
|
|
|
|
|||||||||
Net investment income(b) |
2.42 | 3.47 | ||||||||||
Net realized and unrealized gain(c) |
0.27 | 1.25 | ||||||||||
|
|
|
|
|||||||||
Net increase from investment operations |
2.69 | 4.72 | ||||||||||
|
|
|
|
|||||||||
Distributions from net investment income(d) |
(2.44 | )(e) | (3.08 | ) | ||||||||
|
|
|
|
|||||||||
Net asset value, end of period |
$ | 52.26 | $ | 52.01 | ||||||||
|
|
|
|
|||||||||
Total Return(f) |
||||||||||||
Based on net asset value |
5.35 | %(g) | 9.62 | %(g) | ||||||||
|
|
|
|
|||||||||
Ratios to Average Net Assets(h) |
||||||||||||
Total expenses |
0.61 | %(i) | 0.60 | %(i) | ||||||||
|
|
|
|
|||||||||
Total expenses after fees waived |
0.55 | %(i) | 0.53 | %(i) | ||||||||
|
|
|
|
|||||||||
Net investment income |
9.31 | %(i) | 8.25 | %(i) | ||||||||
|
|
|
|
|||||||||
Supplemental Data |
||||||||||||
Net assets, end of period (000) |
$ | 26,131 | $ | 20,803 | ||||||||
|
|
|
|
|||||||||
Portfolio turnover rate(j) |
10 | % | 22 | % | ||||||||
|
|
|
|
(a) |
Commencement of operations. |
(b) |
Based on average shares outstanding. |
(c) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(d) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(e) |
A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(f) |
Where applicable, assumes the reinvestment of distributions. |
(g) |
Not annualized. |
(h) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(i) |
Annualized. |
(j) |
Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
102 |
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 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock High Yield Muni Income Bond ETF | ||||||||||||||||||||||||||||||||
|
Six Months Ended 01/31/24 (unaudited) |
|
|
Year Ended 07/31/23 |
|
|
Year Ended 07/31/22 |
|
|
Period From 03/16/21 to 07/31/21 |
(a)
| |||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 21.64 | $ | 22.74 | $ | 26.80 | $ | 25.00 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net investment income(b) |
0.50 | 0.94 | 0.79 | 0.23 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss)(c) |
0.44 | (1.13 | ) | (3.81 | ) | 1.70 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net increase (decrease) from investment operations |
0.94 | (0.19 | ) | (3.02 | ) | 1.93 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Distributions(d) |
||||||||||||||||||||||||||||||||
From net investment income |
(0.50 | )(e) | (0.91 | ) | (0.81 | ) | (0.13 | ) | ||||||||||||||||||||||||
From net realized gain |
— | — | (0.23 | ) | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total distributions |
(0.50 | ) | (0.91 | ) | (1.04 | ) | (0.13 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net asset value, end of period |
$ | 22.08 | $ | 21.64 | $ | 22.74 | $ | 26.80 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Return(f) |
||||||||||||||||||||||||||||||||
Based on net asset value |
4.48 | %(g) | (0.71 | )% | (11.55 | )% | 7.75 | %(g) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Ratios to Average Net Assets(h) |
||||||||||||||||||||||||||||||||
Total expenses |
0.46 | %(i) | 0.45 | % | 0.45 | % | 0.45 | %(i) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total expenses after fees waived |
0.34 | %(i) | 0.33 | % | 0.34 | % | 0.32 | %(i) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net investment income |
4.64 | %(i) | 4.39 | % | 3.23 | % | 2.31 | %(i) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Supplemental Data |
||||||||||||||||||||||||||||||||
Net assets, end of period (000) |
$ | 81,690 | $ | 60,586 | $ | 27,291 | $ | 26,803 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Portfolio turnover rate(j) |
26 | % | 30 | % | 38 | % | 20 | % | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
(a) |
Commencement of operations. |
(b) |
Based on average shares outstanding. |
(c) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(d) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(e) |
A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(f) |
Where applicable, assumes the reinvestment of distributions. |
(g) |
Not annualized. |
(h) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(i) |
Annualized. |
(j) |
Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
F I N A N C I A L H I G H L I G H T S |
103 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock Intermediate Muni Income Bond ETF | ||||||||||||||||||||||||||||||||
|
Six Months Ended 01/31/24 (unaudited) |
|
|
Year Ended 07/31/23 |
|
|
Year Ended 07/31/22 |
|
|
Period From 03/16/21 to 07/31/21 |
(a)
| |||||||||||||||||||||
|
||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 23.56 | $ | 24.02 | $ | 25.74 | $ | 25.00 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net investment income(b) |
0.42 | 0.67 | 0.34 | 0.09 | ||||||||||||||||||||||||||||
Net realized and unrealized gain (loss)(c) |
0.19 | (0.45 | ) | (1.67 | ) | 0.71 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net increase (decrease) from investment operations |
0.61 | 0.22 | (1.33 | ) | 0.80 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Distributions(d) |
||||||||||||||||||||||||||||||||
From net investment income |
(0.42 | )(e) | (0.68 | ) | (0.32 | ) | (0.06 | ) | ||||||||||||||||||||||||
From net realized gain |
— | — | (0.07 | ) | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total distributions |
(0.42 | ) | (0.68 | ) | (0.39 | ) | (0.06 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net asset value, end of period |
$ | 23.75 | $ | 23.56 | $ | 24.02 | $ | 25.74 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total Return(f) |
||||||||||||||||||||||||||||||||
Based on net asset value |
2.64 | %(g) | 0.97 | % | (5.21 | )% | 3.22 | %(g) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Ratios to Average Net Assets(h) |
||||||||||||||||||||||||||||||||
Total expenses |
0.41 | %(i) | 0.40 | % | 0.40 | % | 0.40 | %(i) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total expenses after fees waived |
0.31 | %(i) | 0.29 | % | 0.30 | % | 0.29 | %(i) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Net investment income |
3.64 | %(i) | 2.88 | % | 1.36 | % | 0.99 | %(i) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Supplemental Data |
||||||||||||||||||||||||||||||||
Net assets, end of period (000) |
$ | 23,747 | $ | 25,915 | $ | 33,628 | $ | 25,735 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Portfolio turnover rate(j) |
28 | % | 72 | % | 30 | % | 25 | % | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
(a) |
Commencement of operations. |
(b) |
Based on average shares outstanding. |
(c) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(d) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(e) |
A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(f) |
Where applicable, assumes the reinvestment of distributions. |
(g) |
Not annualized. |
(h) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(i) |
Annualized. |
(j) |
Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
104 |
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 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock Short-Term California Muni Bond ETF | ||||||||||||||||
|
Six Months Ended 01/31/24 (unaudited) |
|
|
Period From 07/11/23 to 07/31/23 |
(a)
| |||||||||||
Net asset value, beginning of period |
$ | 50.06 | $ | 50.00 | ||||||||||||
|
|
|
|
|||||||||||||
Net investment income(b) |
0.79 | 0.04 | ||||||||||||||
Net realized and unrealized gain(c) |
0.13 | 0.02 | ||||||||||||||
|
|
|
|
|||||||||||||
Net increase from investment operations |
0.92 | 0.06 | ||||||||||||||
|
|
|
|
|||||||||||||
Distributions from net investment income(d) |
(0.69 | )(e) | — | |||||||||||||
|
|
|
|
|||||||||||||
Net asset value, end of period |
$ | 50.29 | $ | 50.06 | ||||||||||||
|
|
|
|
|||||||||||||
Total Return(f) |
||||||||||||||||
Based on net asset value |
1.88 | %(g) | 0.11 | %(g) | ||||||||||||
|
|
|
|
|||||||||||||
Ratios to Average Net Assets(h) |
||||||||||||||||
Total expenses |
0.26 | %(i) | 0.25 | % | ||||||||||||
|
|
|
|
|||||||||||||
Total expenses after fees waived |
0.21 | %(i) | 0.19 | %(i) | ||||||||||||
|
|
|
|
|||||||||||||
Net investment income |
3.14 | %(i) | 1.60 | %(i) | ||||||||||||
|
|
|
|
|||||||||||||
Supplemental Data |
||||||||||||||||
Net assets, end of period (000) |
$ | 20,117 | $ | 17,520 | ||||||||||||
|
|
|
|
|||||||||||||
Portfolio turnover rate(j) |
76 | % | 68 | % | ||||||||||||
|
|
|
|
(a) |
Commencement of operations. |
(b) |
Based on average shares outstanding. |
(c) |
The amount reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(d) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(e) |
A portion of the distributions from net investment income may be deemed a return of capital or net realized gain at fiscal year-end. |
(f) |
Where applicable, assumes the reinvestment of distributions. |
(g) |
Not annualized. |
(h) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. (i) Annualized. |
(j) |
Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
F I N A N C I A L H I G H L I G H T S |
105 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
BlackRock Total Return ETF |
||||||||
|
Period From 12/12/23 to |
(a)
| ||||||
01/31/24(unaudited) | ||||||||
Net asset value, beginning of period |
$ | 50.00 | ||||||
|
|
|||||||
Net investment income(b) |
0.31 | |||||||
Net realized and unrealized gain(c) |
0.93 | |||||||
|
|
|||||||
Net increase from investment operations |
1.24 | |||||||
|
|
|||||||
Distributions from net investment income(d) |
(0.11 | ) | ||||||
|
|
|||||||
Net asset value, end of period |
$ | 51.13 | ||||||
|
|
|||||||
Total Return(e) |
||||||||
Based on net asset value |
2.48 | %(f) | ||||||
|
|
|||||||
Ratios to Average Net Assets(g) |
||||||||
Total expenses |
0.39 | %(h) | ||||||
|
|
|||||||
Total expenses after fees waived |
0.36 | %(h) | ||||||
|
|
|||||||
Net investment income |
4.35 | %(h) | ||||||
|
|
|||||||
Supplemental Data |
||||||||
Net assets, end of period (000) |
$ | 81,813 | ||||||
|
|
|||||||
Portfolio turnover rate(i)(j) |
75 | % | ||||||
|
|
(a) |
Commencement of operations. |
(b) |
Based on average shares outstanding. |
(c) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(d) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(e) |
Where applicable, assumes the reinvestment of distributions. |
(f) |
Not annualized. |
(g) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(h) |
Annualized. |
(i) |
Portfolio turnover rate excludes in-kind transactions. |
(j) |
Includes mortgage dollar roll transactions (“MDRs”). Excluding MDRs, the portfolio turnover rate would have been 60%. |
See notes to financial statements.
106 |
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 |
Notes to Financial Statements (unaudited)
1. |
ORGANIZATION |
BlackRock ETF Trust II (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust and is authorized to have multiple series or portfolios.
These financial statements relate only to the following funds (each, a “Fund” and collectively, the “Funds”):
BlackRock ETF | Diversification Classification | |
AAA CLO |
Non-diversified | |
Flexible Income |
Non-diversified | |
Floating Rate Loan |
Non-diversified | |
High Yield Muni Income Bond |
Non-diversified | |
Intermediate Muni Income Bond |
Non-diversified | |
Short-Term California Muni Bond |
Non-diversified | |
Total Return(a) |
Diversified |
(a) |
The Fund commenced operations on December 12, 2023. |
The Funds, together with certain other registered investment companies advised by BlackRock Fund Advisors (“BFA” or the “Manager”) or its affiliates, are included in a complex of funds referred to as the BlackRock Fixed-Income Complex.
2. |
SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend date. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. Upon notification from issuers or as estimated by management, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.
Foreign Currency Translation: Each Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using prevailing market rates as quoted by one or more data service providers. Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
Each Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. Each Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Bank Overdraft: Certain Funds had outstanding cash disbursements exceeding deposited cash amounts at the custodian during the reporting period. The Funds are obligated to repay the custodian for any overdraft, including any related costs or expenses, where applicable. For financial reporting purposes, overdraft fees, if any, are included in interest expense in the Statements of Operations.
Collateralization: If required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.
In-kind Redemptions: For financial reporting purposes, in-kind redemptions are treated as sales of securities resulting in realized capital gains or losses to the Funds. Because such gains or losses are not taxable to the Funds and are not distributed to existing Fund shareholders, the gains or losses are reclassified from accumulated net realized gain (loss) to paid-in capital at the end of the Funds’ tax year. These reclassifications have no effect on net assets or net asset value (“NAV”) per share.
Distributions: Dividends and distributions paid by each Fund are recorded on the ex-dividend dates. Distributions are determined on a tax basis and may differ from net investment income and net realized capital gains for financial reporting purposes. Dividends and distributions are paid in U.S. dollars and cannot be automatically reinvested in additional shares of the Funds.
N O T E S T O F I N A N C I A L S T A T E M E N T S |
107 |
Notes to Financial Statements (unaudited) (continued)
Indemnifications: In the normal course of business, each Fund enters into contracts that contain a variety of representations that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown because it involves future potential claims against the Funds, which cannot be predicted with any certainty.
3. |
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund’s listing exchange is open and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of the Trust (the “Board”) of each Fund has approved the designation of BlackRock Fund Advisors (“BFA”), the Funds’ investment adviser, as the valuation designee for each Fund. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under BFA’s policies. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with BFA’s policies and procedures as reflecting fair value. BFA has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:
• |
Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last traded price. |
• |
Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Pricing services generally value fixed income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless BFA determines such method does not represent fair value. |
• |
Exchange-traded funds and closed-end funds traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the fund is primarily traded. Funds traded on a recognized exchange for which there were no sales on that day may be valued at the last traded price. |
• |
Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV. |
• |
Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded. |
• |
Forward foreign currency exchange contracts are valued at the mean between the bid and ask prices and are determined as of the close of trading on the New York Stock Exchange (“NYSE”) based on that day’s prevailing forward exchange rate for the underlying currencies. |
• |
Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. |
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee, in accordance with BFA’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• |
Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access; |
• |
Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs); and |
108 |
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 |
Notes to Financial Statements (unaudited) (continued)
• |
Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
4. |
SECURITIES AND OTHER INVESTMENTS |
Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
Collateralized Debt Obligations: Collateralized debt obligations (“CDOs”), including collateralized bond obligations (“CBOs”) and collateralized loan obligations (“CLOs”), are types of asset-backed securities. A CDO is an entity that is backed by a diversified pool of debt securities (CBOs) or syndicated bank loans (CLOs). The cash flows of the CDO can be split into multiple segments, called “tranches,” which will vary in risk profile and yield. The riskiest segment is the subordinated or “equity” tranche. This tranche bears the greatest risk of defaults from the underlying assets in the CDO and serves to protect the other, more senior, tranches from default in all but the most severe circumstances. Since it is shielded from defaults by the more junior tranches, a “senior” tranche will typically have higher credit ratings and lower yields than their underlying securities, and often receive investment grade ratings from one or more of the nationally recognized rating agencies. Despite the protection from the more junior tranches, senior tranches can experience substantial losses due to actual defaults, increased sensitivity to future defaults and the disappearance of one or more protecting tranches as a result of changes in the credit profile of the underlying pool of assets.
Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.
To mitigate counterparty risk, a fund enters into a two-way collateral agreement for TBA transactions with certain counterparties. Under such agreement, the “in-the-money” party of a TBA transaction may at any time require the other party to pledge collateral assets (in the form of cash or securities) to offset any loss the in-the-money party would incur upon cancellation of the TBA transaction. A party is in-the-money if they are the buyer and the market value of the TBA transaction increases or if they are the seller and the market value of the TBA transaction decreases. Cash collateral received from the counterparty may be reinvested in money market funds, including those managed by the Funds’ investment adviser, or its affiliates. Such collateral, if any, is noted in the Schedule of Investments and the obligation to return the collateral is presented as a liability in the Statements of Assets and Liabilities. Securities pledged as collateral by a fund, if any, are noted in the Schedule of Investments.
N O T E S T O F I N A N C I A L S T A T E M E N T S |
109 |
Notes to Financial Statements (unaudited) (continued)
Mortgage Dollar Roll Transactions: Certain Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
Securities Lending: Each Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, an irrevocable letter of credit issued by an approved bank, or securities issued or guaranteed by the U.S. government. The initial collateral received by each Fund is required to have a value of at least 102% of the current market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund or excess collateral is returned by the Fund, on the next business day. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested in money market funds managed by BFA, or its affiliates is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Fund, except in the event of borrower default. The securities on loan, if any, are also disclosed in each Fund’s Schedule of Investments. The market value of any securities on loan and the value of any related cash collateral are disclosed in the Statements of Assets and Liabilities.
Securities lending transactions are entered into by the Funds under Master Securities Lending Agreements (each, an “MSLA”) which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Funds, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Funds can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
As of period end, the following table is a summary of the securities on loan by counterparty which are subject to offset under an MSLA:
BlackRock ETF and Counterparty | |
Securities Loaned at Value |
|
|
Cash Collateral Received |
(a) |
|
Non-Cash Collateral Received, at Fair Value |
(a) |
Net Amount | ||||||
Flexible Income |
||||||||||||||||
BMO Capital Markets Corp |
$ | 459,003 | $ | (459,003 | ) | $ | — | $ | — | |||||||
BNP Paribas SA |
344,918 | (344,918 | ) | — | — | |||||||||||
BofA Securities, Inc. |
2,739,789 | (2,739,789 | ) | — | — | |||||||||||
Citadel Clearing LLC |
74,130 | (74,130 | ) | — | — | |||||||||||
Citigroup Global Markets, Inc. |
38,515,153 | (38,515,153 | ) | — | — | |||||||||||
Jefferies LLC |
204,590 | (204,590 | ) | — | — | |||||||||||
RBC Capital Markets LLC |
9,031,073 | (9,031,073 | ) | — | — | |||||||||||
Wells Fargo Bank N.A. |
974,867 | (974,867 | ) | — | — | |||||||||||
Wells Fargo Securities LLC |
509,552 | (509,552 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 52,853,075 | $ | (52,853,075 | ) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
(a) |
Collateral received, if any, in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed in the Fund’s Statements of Assets and Liabilities. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, each Fund benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value of the securities loaned in the event of borrower default. Each Fund could incur a loss if the value of an investment purchased with cash collateral falls below the market value of the loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by each Fund.
Floating Rate Loan Interests: Floating rate loan interests are typically issued to companies (the “borrower”) by banks, other financial institutions, or privately and publicly offered corporations (the “lender”). Floating rate loan interests are generally non-investment grade, often involve borrowers whose financial condition is troubled or uncertain and companies that are highly leveraged or in bankruptcy proceedings. In addition, transactions in floating rate loan interests may settle on a delayed basis, which may result in proceeds from the sale not being readily available for a fund to make additional investments or meet its redemption obligations. Floating rate loan interests may include fully funded term loans or revolving lines of credit. Floating rate loan interests are typically senior in the corporate capital structure of the borrower. Floating rate loan interests generally pay interest at rates that are periodically determined by reference to a base lending rate plus a premium. Since the rates reset only periodically, changes in prevailing interest rates (and particularly sudden and significant changes) can be expected to cause some fluctuations in the NAV of a fund to the extent that it invests in
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Notes to Financial Statements (unaudited) (continued)
floating rate loan interests. The base lending rates are generally the lending rate offered by one or more European banks, such as the Secured Overnight Financing Rate (“SOFR”), the prime rate offered by one or more U.S. banks or the certificate of deposit rate. Floating rate loan interests may involve foreign borrowers, and investments may be denominated in foreign currencies. These investments are treated as investments in debt securities for purposes of a fund’s investment policies.
When a fund purchases a floating rate loan interest, it may receive a facility fee and when it sells a floating rate loan interest, it may pay a facility fee. On an ongoing basis, a fund may receive a commitment fee based on the undrawn portion of the underlying line of credit amount of a floating rate loan interest. Facility and commitment fees are typically amortized to income over the term of the loan or term of the commitment, respectively. Consent and amendment fees are recorded to income as earned. Prepayment penalty fees, which may be received by a fund upon the prepayment of a floating rate loan interest by a borrower, are recorded as realized gains. A fund may invest in multiple series or tranches of a loan. A different series or tranche may have varying terms and carry different associated risks.
Floating rate loan interests are usually freely callable at the borrower’s option. A fund may invest in such loans in the form of participations in loans (“Participations”) or assignments (“Assignments”) of all or a portion of loans from third parties. Participations typically will result in a fund having a contractual relationship only with the lender, not with the borrower. A fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the Participation and only upon receipt by the lender of the payments from the borrower. In connection with purchasing Participations, a fund generally will have no right to enforce compliance by the borrower with the terms of the loan agreement, nor any rights of offset against the borrower. A fund may not benefit directly from any collateral supporting the loan in which it has purchased the Participation. As a result, a fund assumes the credit risk of both the borrower and the lender that is selling the Participation. A fund’s investment in loan participation interests involves the risk of insolvency of the financial intermediaries who are parties to the transactions. In the event of the insolvency of the lender selling the Participation, a fund may be treated as a general creditor of the lender and may not benefit from any offset between the lender and the borrower. Assignments typically result in a fund having a direct contractual relationship with the borrower, and a fund may enforce compliance by the borrower with the terms of the loan agreement.
In connection with floating rate loan interests, the Funds may also enter into unfunded floating rate loan interests (“commitments”). In connection with these commitments, a fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income, which is included in interest income in the Statements of Operations, is recognized ratably over the commitment period. Unfunded floating rate loan interests are marked-to-market daily, and any unrealized appreciation (depreciation) is included in the Statements of Assets and Liabilities and Statements of Operations. As of period end, the Funds had the following unfunded floating rate loan interests:
Fund Name | Borrower | Par | Commitment Amount |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Floating Rate Loan |
AI Aqua Merger Sub Inc. | $ | 8,522 | $ | 8,522 | $ | — | $(11 | ) | |||||||||||||
The Action Environmental Group Inc. | 3,000 | 2,977 | — | 23 | ||||||||||||||||||
|
|
|||||||||||||||||||||
$ 12 | ||||||||||||||||||||||
|
|
5. |
DERIVATIVE FINANCIAL INSTRUMENTS |
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
Forward Foreign Currency Exchange Contracts: Forward foreign currency exchange contracts are entered into to gain or reduce exposure to foreign currencies (foreign currency exchange rate risk).
A forward foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a specified date. These contracts help to manage the overall exposure to the currencies in which some of the investments held by the Funds are denominated and in some cases, may be used to obtain exposure to a particular market. The contracts are traded over-the-counter (“OTC”) and not on an organized exchange.
The contract is marked-to-market daily and the change in market value is recorded as unrealized appreciation or depreciation in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the value at the time it was opened and the value at the time it was closed. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The use of forward foreign currency exchange contracts involves the risk that the value of a contract changes unfavorably due to movements in the value of the
N O T E S T O F I N A N C I A L S T A T E M E N T S |
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Notes to Financial Statements (unaudited) (continued)
referenced foreign currencies, and such value may exceed the amount(s) reflected in the Statements of Assets and Liabilities. Cash amounts pledged for forward foreign currency exchange contracts are considered restricted and are included in cash pledged as collateral for OTC derivatives in the Statements of Assets and Liabilities. A fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund.
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”).
For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid.
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (“CCP”) and the CCP becomes the Fund’s counterparty on the swap. Each Fund is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, each Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited is shown as cash pledged for centrally cleared swaps on the Statements of Assets and Liabilities. Amounts pledged, which are considered restricted cash, are included in cash pledged for centrally cleared swaps in the Statements of Assets and Liabilities. Pursuant to the contract, each Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and shown as variation margin receivable (or payable) on centrally cleared swaps in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty are amortized over the term of the contract and recorded as realized gains (losses) in the Statements of Operations, including those at termination.
Interest rate swaps are entered into to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate (interest rate risk).
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, in exchange for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time. In more complex interest rate swaps, the notional principal amount may decline (or amortize) over time.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risks in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement, and comparing that amount to the value of any collateral currently pledged by a fund and the counterparty.
Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from the counterparty are not fully collateralized, each Fund bears the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, each Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
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Notes to Financial Statements (unaudited) (continued)
6. |
INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory Fees: Pursuant to an Investment Advisory Agreement with the Trust, BFA manages the investment of each Fund’s assets. BFA is a California corporation indirectly owned by BlackRock. Under the Investment Advisory Agreement, BFA is responsible for substantially all expenses of the Funds, except (i) interest and taxes; (ii) brokerage commissions and other expenses connected with the execution of portfolio transactions; (iii) distribution fees; (iv) the advisory fee payable to BFA; and (v) litigation expenses and any extraordinary expenses (in each case as determined by a majority of the independent trustees).
For its investment advisory services to each of the following Funds, BFA will be paid a management fee from the Funds based on a percentage of each Fund’s average daily net assets as follows:
BlackRock ETF | Investment Advisory Fees | |||
AAA CLO |
0.20 | % | ||
Flexible Income |
0.50 | |||
Floating Rate Loan |
0.60 | |||
High Yield Muni Income Bond |
0.45 | |||
Intermediate Muni Income Bond |
0.40 | |||
Short-Term California Muni Bond |
0.25 | |||
Total Return |
0.40 |
Expense Waivers: For the BlackRock Flexible Income ETF, BlackRock High Yield Muni Income Bond ETF and BlackRock Intermediate Muni Income Bond ETF, BFA has contractually agreed to waive 0.10% of the management fee through June 30, 2025. For the BlackRock Floating Rate Loan ETF and BlackRock Short-Term California Muni Bond ETF, BFA has contractually agreed to waive 0.05% of the management fee through June 30, 2026. For the BlackRock Total Return ETF, BFA has contractually agreed to waive 0.02% of the management fee through June 30, 2026. Each agreement may be terminated upon 90 days’ notice by a majority of the non-interested trustees of the Trust or by a vote of a majority of the outstanding voting securities of the Fund.
These amounts are included in investment advisory fees waived in the Statements of Operations. For the six months ended January 31, 2024, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:
BlackRock ETF | Amounts Waived | |||
Flexible Income |
$ | 144,713 | ||
Floating Rate Loan |
5,218 | |||
High Yield Muni Income Bond |
29,986 | |||
Intermediate Muni Income Bond |
12,193 | |||
Short-Term California Muni Bond |
4,696 | |||
Total Return |
2,167 |
In addition, BFA has contractually agreed to waive a portion of its management fees to each Fund in an amount equal to the aggregate Acquired Fund Fees and Expenses, if any, attributable to investments by each Fund in other equity and fixed-income mutual funds and ETFs advised by BFA or its affiliates through June 30, 2025. BFA has also contractually agreed to waive a portion of its management fees to each Fund by an amount equal to the aggregate Acquired Fund Fees and Expenses, if any, attributable to investments by each Fund in money market funds advised by BFA or its affiliates through June 30, 2025. The agreement may be terminated upon 90 days’ notice by a majority of the non-interested trustees of the Trust or by a vote of a majority of the outstanding voting securities of the Fund.
These amounts are included in investment advisory fees waived in the Statements of Operations. For the six months ended January 31, 2024, the amounts waived in investment advisory fees pursuant to these arrangements were as follows:
BlackRock ETF | Amounts Waived | |||
AAA CLO |
$ | 643 | ||
Flexible Income |
31,569 | |||
Floating Rate Loan |
826 | |||
High Yield Muni Income Bond |
4,187 | |||
Intermediate Muni Income Bond |
320 | |||
Short-Term California Muni Bond |
151 | |||
Total Return |
1,232 |
Sub-Adviser: BFA has entered into separate sub-advisory agreements with BlackRock International Limited and BlackRock (Singapore) Limited (together the “Sub-Advisers”), both affiliates of BFA, under which BFA pays each of the Sub-Advisers for services it provides to BlackRock Flexible Income ETF and BlackRock Total Return ETF.
Distributor: BlackRock Investments, LLC (“BRIL”), an affiliate of BFA, is the distributor for each Fund. Pursuant to the distribution agreement, BFA is responsible for any fees or expenses for distribution services provided to the Funds.
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Notes to Financial Statements (unaudited) (continued)
ETFServicing Fees: Each Fund has entered into an ETF Services Agreement with BRIL to perform certain order processing, Authorized Participant communications, and related services in connection with the issuance and redemption of Creation Units (“ETF Services”). BRIL is entitled to a transaction fee from Authorized Participants on each creation or redemption order for the ETF Services provided. The Funds do not pay BRIL for ETF Services.
Prior to January 8, 2024 (date of conversion for BlackRock Floating Rate Loan ETF, BlackRock High Yield Muni Income Bond ETF and BlackRock Intermediate Muni Income Bond ETF), ETF Services were performed by State Street Bank and Trust Company.
Prior to January 22, 2024 (date of conversion for BlackRock AAA CLO ETF, BlackRock Flexible Income ETF, BlackRock Short-Term California Muni Bond ETF and BlackRock Total Return ETF), ETF Services were performed by State Street Bank and Trust Company.
Securities Lending: The U.S. Securities and Exchange Commission (the “SEC”) has issued an exemptive order which permits BlackRock Institutional Trust Company, N.A. (“BTC”), an affiliate of BFA, to serve as securities lending agent for the Funds, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. The Funds are responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by BFA or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Funds bear to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund’s weekly liquid assets fall below certain thresholds.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. Each Fund retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, each Fund retains 82% of securities lending income (which excludes collateral investment fees), and the amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
In addition, commencing the business day following the date that the aggregate securities lending income plus the collateral investment fees generated across the BlackRock Fixed-Income Complex in that calendar year exceeds a specified threshold, each Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year 85% of securities lending income (which excludes collateral investment fees) and the amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
The share of securities lending income earned by the Fund is shown as securities lending income – affiliated – net in its Statements of Operations. For the six months ended January 31, 2024, the Fund paid BTC $5,257 for securities lending agent services.
Officers and Trustees: Certain officers and/or trustees of the Trust are officers and/or trustees of BlackRock or its affiliates.
Each Fund may invest its positive cash balances in certain money market funds managed by BFA or an affiliate. The income earned on these temporary cash investments is shown as dividends – affiliated in the Statements of Operations.
7. |
PURCHASES AND SALES |
For the six months ended January 31, 2024, purchases and sales of investments, including mortgage dollar rolls and excluding short-term securities and in-kind transactions, were as follows:
U.S. Government Securities | Other Securities | |||||||||||||||
BlackRock ETF | Purchases | Sales | Purchases | Sales | ||||||||||||
AAA CLO |
$ | — | $ | — | $ | 49,061,923 | $ | 8,489,162 | ||||||||
Flexible Income |
252,209,394 | 175,924,415 | 1,242,100,137 | 84,237,869 | ||||||||||||
Floating Rate Loan |
— | — | 6,900,851 | 2,057,646 | ||||||||||||
High Yield Muni Income Bond |
— | — | 38,776,599 | 14,830,923 | ||||||||||||
Intermediate Muni Income Bond |
— | — | 6,819,051 | 9,261,551 | ||||||||||||
Short-Term California Muni Bond |
— | — | 9,717,448 | 9,755,000 | ||||||||||||
Total Return |
114,980,681 | 61,934,063 | 45,651,876 | 8,462,151 |
For the six months ended January 31, 2024, purchases and sales related to mortgage dollar rolls were as follows:
BlackRock ETF | Purchases | Sales | ||||||
Flexible Income |
$ | 125,597,057 | $ | 125,515,758 | ||||
Total Return |
14,827,780 | 14,815,978 |
There were no in-kind transactions for the six months ended January 31, 2024.
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Notes to Financial Statements (unaudited) (continued)
8. |
INCOME TAX INFORMATION |
Each Fund is treated as an entity separate from the Trust’s other funds for federal income tax purposes. It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Management has analyzed tax laws and regulations and their application to the Funds as of January 31, 2024, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.
As of July 31, 2023, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:
BlackRock ETF | Non-Expiring Capital Loss Carryforwards |
|||
High Yield Muni Income Bond |
$ | (1,787,276 | ) | |
Intermediate Muni Income Bond |
(757,111 | ) | ||
Short-Term California Muni Bond |
(43 | ) |
As of January 31, 2024, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
BlackRock ETF | Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
AAA CLO |
$ | 81,628,581 | $ | 742,308 | $ | (6,195 | ) | $ | 736,113 | |||||||
Flexible Income |
1,557,763,908 | 15,610,354 | (4,443,372 | ) | 11,166,982 | |||||||||||
Floating Rate Loan |
28,116,753 | 450,875 | (119,707 | ) | 331,168 | |||||||||||
High Yield Muni Income Bond |
81,546,171 | 1,855,727 | (2,048,298 | ) | (192,571 | ) | ||||||||||
Intermediate Muni Income Bond |
23,522,272 | 458,994 | (398,999 | ) | 59,995 | |||||||||||
Short-Term California Muni Bond |
20,313,401 | 68,119 | (5,335 | ) | 62,784 | |||||||||||
Total Return |
93,081,245 | 730,555 | (118,068 | ) | 612,487 |
9. |
LINE OF CREDIT |
The Trust, on behalf of AAA CLO, Floating Rate Loan, High Yield Muni Income Bond and Intermediate Muni Income Bond, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is party to a 364-day, $2.50 billion credit agreement with a group of lenders. Under this agreement, the Funds may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Partcipating Funds, including AAA CLO, High Yield Muni Income Bond and Intermediate Muni Income Bond, can borrow up to an aggregate commitment amount of $1.75 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. With respect to Floating Rate Loan, of the aggregate $2.50 billion commitment amount, $750 million is specifically designated to the Fund and another participating Fund. The remaining $1.75 billion commitment is available to all Participating Funds, but Floating Rate Loan can borrow up to an additional $350 million in the aggregate of the remaining aggregate commitment, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.10% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) Overnight Bank Funding Rate (“OBFR”) (but in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum, (b) the Fed Funds rate (but in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed or (c) the sum of (x) Daily SOFR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.10% and (y) 0.80% per annum . The agreement expires in April 2024 unless extended or renewed. Floating Rate Loan paid an upfront commitment fee of 0.04% on new commitments of $250 million, in addition to administration, legal and arrangement fees, which are included in miscellaneous expenses in the Statements of Operations. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended January 31, 2024, the Funds did not borrow under the credit agreement.
10. |
PRINCIPAL RISKS |
In the normal course of business, each Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including, among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate or price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund’s prospectus provides details of the risks to which the Fund is subject.
Market Risk: Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.
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Notes to Financial Statements (unaudited) (continued)
Municipal securities are subject to the risk that litigation, legislation or other political events, local business or economic conditions, credit rating downgrades, or the bankruptcy of the issuer could have a significant effect on an issuer’s ability to make payments of principal and/or interest or otherwise affect the value of such securities. Municipal securities can be significantly affected by political or economic changes, including changes made in the law after issuance of the securities, as well as uncertainties in the municipal market related to, taxation, legislative changes or the rights of municipal security holders, including in connection with an issuer insolvency. Municipal securities backed by current or anticipated revenues from a specific project or specific assets can be negatively affected by the discontinuance of the tax benefits supporting the project or assets or the inability to collect revenues for the project or from the assets. Municipal securities may be less liquid than taxable bonds, and there may be less publicly available information on the financial condition of municipal security issuers than for issuers of other securities.
Valuation Risk: The price each Fund could receive upon the sale of any particular portfolio investment may differ from each Fund’s valuation of the investment, particularly for securities that trade in thin or volatile markets or that are valued using a fair valuation technique or a price provided by an independent pricing service. Changes to significant unobservable inputs and assumptions (i.e., publicly traded company multiples, growth rate, time to exit) due to the lack of observable inputs may significantly impact the resulting fair value and therefore each Fund’s results of operations. As a result, the price received upon the sale of an investment may be less than the value ascribed by each Fund, and each Fund could realize a greater than expected loss or lesser than expected gain upon the sale of the investment. Each Fund’s ability to value its investments may also be impacted by technological issues and/or errors by pricing services or other third-party service providers.
Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that BFA believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
Geographic/Asset Class Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.
The Funds invest a significant portion of their assets in securities of issuers located in the United States. A decrease in imports or exports, changes in trade regulations, inflation and/or an economic recession in the United States may have a material adverse effect on the U.S. economy and the securities listed on U.S. exchanges. Proposed and adopted policy and legislative changes in the United States may also have a significant effect on U.S. markets generally, as well as on the value of certain securities. Governmental agencies project that the United States will continue to maintain elevated public debt levels for the foreseeable future which may constrain future economic growth. Circumstances could arise that could prevent the timely payment of interest or principal on U.S. government debt, such as reaching the legislative “debt ceiling.” Such non-payment would result in substantial negative consequences for the U.S. economy and the global financial system. If U.S. relations with certain countries deteriorate, it could adversely affect issuers that rely on the United States for trade. The United States has also experienced increased internal unrest and discord. If these trends were to continue, they may have an adverse impact on the U.S. economy and the issuers in which the the Funds invest.
Certain Funds invest a significant portion of their assets in issuers located in a single state or limited number of states, When a fund concentrates its investments in this manner, it assumes the risk that economic, regulatory, political or social conditions affecting that state or group of states could have a significant impact on the fund and could affect the income from, or the value or liquidity of, the fund’s portfolio. Investment percentages in specific states or U.S. territories are presented in the Schedule of Investments.
Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.
The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will
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Notes to Financial Statements (unaudited) (continued)
decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the period of historically low interest rates that ended in March 2022. The Federal Reserve has recently raised the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Funds’ performance.
Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.
LIBOR Transition Risk: The Funds may be exposed to financial instruments that recently transitioned from, or continue to be tied to the London Interbank Offered Rate (“LIBOR”) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased publishing all LIBOR settings, but some USD LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. SOFR has been used increasingly on a voluntary basis in new instruments and transactions. Under U.S. regulations that implement a statutory fallback mechanism to replace LIBOR, benchmark rates based on SOFR have replaced LIBOR in certain financial contracts. The ultimate effect of the LIBOR transition process on the Funds is uncertain.
11. |
CAPITAL SHARE TRANSACTIONS |
Capital shares are issued and redeemed by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”) at NAV. Except when aggregated in Creation Units, shares of each Fund are not redeemable.
Transactions in capital shares were as follows:
Six Months Ended 01/31/24 |
Period Ended 07/31/23 |
|||||||||||||||
BlackRock ETF | Shares | Amount | Shares | Amount | ||||||||||||
AAA CLO(a) |
||||||||||||||||
Shares sold |
800,000 | $ | 41,070,038 | 800,000 | $ | 40,295,108 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Flexible Income(b) |
||||||||||||||||
Shares sold |
23,450,000 | $ | 1,217,099,448 | 2,550,000 | $ | 128,418,816 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Floating Rate Loan(c) |
||||||||||||||||
Shares sold |
100,000 | $ | 5,239,445 | 400,000 | $ | 20,299,205 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Six Months Ended 01/31/24 |
Year Ended 07/31/23 |
|||||||||||||||
BlackRock ETF | Shares | Amount | Shares | Amount | ||||||||||||
High Yield Muni Income Bond |
||||||||||||||||
Shares sold |
1,800,000 | $ | 38,598,316 | 1,600,000 | $ | 34,490,784 | ||||||||||
Shares redeemed |
(900,000 | ) | (18,583,594 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
900,000 | $ | 20,014,722 | 1,600,000 | $ | 34,490,784 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Intermediate Muni Income Bond |
||||||||||||||||
Shares sold |
100,000 | $ | 2,383,217 | 800,000 | $ | 18,308,144 | ||||||||||
Shares redeemed |
(200,000 | ) | (4,651,945 | ) | (1,100,000 | ) | (26,016,876 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
(100,000 | ) | $ | (2,268,728) | (300,000 | ) | $ | (7,708,732 | ) | ||||||||
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|
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|
|
|||||||||
Six Months Ended 01/31/24 |
Period Ended 07/31/23 |
|||||||||||||||
BlackRock ETF | Shares | Amount | Shares | Amount | ||||||||||||
Short-Term California Muni Bond(d) |
||||||||||||||||
Shares sold |
50,000 | $ | 2,490,894 | 350,000 | $ | 17,508,750 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Period Ended 01/31/24 |
||||||||||||||||
BlackRock ETF | Shares | Amount | ||||||||||||||
Total Return(e) |
||||||||||||||||
Shares sold |
1,600,000 | $ | 80,270,116 | |||||||||||||
|
|
|
|
(a) |
The Fund commenced operations on January 10, 2023. |
(b) |
The Fund commenced operations on May 19, 2023. |
N O T E S T O F I N A N C I A L S T A T E M E N T S |
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Notes to Financial Statements (unaudited) (continued)
(c) |
The Fund commenced operations on October 4, 2022. |
(d) |
The Fund commenced operations on July 11, 2023. |
(e) |
The Fund commenced operations on December 12, 2023. |
The consideration for the purchase of Creation Units of a fund in the Trust generally consists of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Certain funds in the Trust may be offered in Creation Units solely or partially for cash in U.S. dollars. Authorized Participants purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to State Street Bank and Trust Company, the Trust’s administrator or BRIL, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. Authorized Participants transacting in Creation Units for cash may also pay an additional variable charge to compensate the relevant fund for certain transaction costs (i.e., stamp taxes, taxes on currency or other financial transactions, and brokerage costs) and market impact expenses relating to investing in portfolio securities. Such variable charges, if any, are included in shares sold in the table above.
From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable in the Statements of Assets and Liabilities.
As of January 31, 2024, shares owned by BlackRock Financial Management, Inc., an affiliate of the Funds, were as follows:
BlackRock ETF | Shares | |||
BlackRock Flexible Income ETF |
1,000,000 | |||
BlackRock Floating Rate Loan ETF |
42,000 | |||
BlackRock Short-Term California Muni Bond ETF |
80,000 | |||
BlackRock Total Return ETF |
1,000,000 |
12. |
SUBSEQUENT EVENTS |
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements
The Board of Trustees (the “Board,” the members of which are referred to as “Board Members”) of BlackRock ETF Trust II (the “Trust”) met on November 14, 2023 (the “Meeting”) to consider the approval of the proposed investment advisory agreement (the “Advisory Agreement”) between the Trust, on behalf of BlackRock Total Return ETF (the “Fund”) and BlackRock Fund Advisors (the “Manager”), the Fund’s investment advisor. The Board also considered the initial approval of the proposed sub-advisory agreements (the “Sub-Advisory Agreements”) between the Manager and (1) BlackRock International Limited (“BIL”), with respect to the Fund, and (2) BlackRock (Singapore) Limited (“BRS” and together with BIL, the “Sub-Advisors”), with respect to the Fund. The Manager and the Sub-Advisors are referred to herein as “BlackRock.” The Advisory Agreement and the Sub-Advisory Agreements are referred to herein as the “Agreements.”
The Approval Process
Pursuant to the Investment Company Act of 1940 (the “1940 Act”), the Board is required to consider the initial approval of the Agreements. The Board Members who are not “interested persons” of the Fund, as defined in the 1940 Act, are considered independent Board Members (the “Independent Board Members”). In connection with this process, the Board assessed, among other things, the nature, extent and quality of the services to be provided to the Fund by BlackRock, BlackRock’s personnel and affiliates, including (as applicable): investment management services; accounting oversight; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; and legal, regulatory and compliance services.
At the Meeting, the Board reviewed materials relating to its consideration of the Agreements. The Board considered all factors it believed relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services to be provided by BlackRock; (b) the investment performance of BlackRock portfolio management; (c) the advisory fee and the estimated cost of the services to be provided and estimated profits to be realized by BlackRock and its affiliates from their relationship with the Fund; (d) the sharing of potential economies of scale; (e) potential fall-out benefits to BlackRock and its affiliates as a result of BlackRock’s relationship with the Fund; and (f) other factors deemed relevant by the Board Members.
In considering approval of the Agreements, the Board met with the relevant investment advisory personnel from BlackRock and considered all information it deemed reasonably necessary to evaluate the terms of the Agreements. The Board received materials in advance of the Meeting relating to its consideration of the Agreements, including, among other things, (a) fees and estimated expense ratios of the Fund in comparison to the fees and expense ratios of a peer group of funds as determined by Broadridge Financial Solutions, Inc. (“Broadridge”) and other metrics, as applicable; (b) information on the composition of the peer group of funds and a description of Broadridge’s methodology; (c) information regarding BlackRock’s economic outlook for the Fund and its general investment outlook for the markets; (d) information regarding fees paid to service providers that are affiliates of BlackRock; and (e) information outlining the legal duties of the Board under the 1940 Act with respect to the consideration and approval of the Agreements. The Board also noted information received at prior Board meetings concerning compliance records and regulatory matters relating to BlackRock.
The Board also considered other matters it deemed important to the approval process, such as other payments to be made to BlackRock or its affiliates relating to securities lending and cash management, and BlackRock’s services related to the valuation and pricing of Fund portfolio holdings. The Board noted the willingness of BlackRock’s personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.
A. Nature, Extent and Quality of the Services to be Provided by BlackRock
The Board, including the Independent Board Members, reviewed the nature, extent and quality of services to be provided by BlackRock, including the investment advisory services to be provided to the Fund. The Board received information concerning the investment philosophy and investment process to be used by BlackRock in managing the Fund, as well as a description of the capabilities, personnel and services of BlackRock. In connection with this review, the Board considered BlackRock’s in-house research capabilities as well as other resources available to its personnel. The Board considered the scope of the services to be provided by BlackRock to the Fund under the Agreements relative to services typically provided by third parties to other funds. The Board concluded that the scope of BlackRock’s services to be provided to the Fund was consistent with the Fund’s operational requirements, including, in addition to seeking to meet its investment objective, compliance with investment restrictions, tax and reporting requirements and related shareholder services.
The Board, including the Independent Board Members, also considered the quality of the administrative and other non-investment advisory services to be provided by BlackRock and its affiliates to the Fund. The Board received information regarding the procedures of BlackRock designed to fulfill its fiduciary duty to the Fund with respect to possible conflicts of interest, including BlackRock’s code of ethics (regulating the personal trading of BlackRock’s officers and employees), the procedures by which BlackRock allocates trades among its various investment advisory clients, the integrity of the systems in place to ensure compliance with the foregoing and the record of BlackRock in these matters. The Board also noted information received at prior meetings of the boards of directors/trustees of other funds in the BlackRock Fixed-Income Complex concerning the standards of BlackRock and its affiliates with respect to the execution of portfolio transactions.
The Board considered, among other factors, with respect to BlackRock: the experience of investment personnel generally and the Fund’s portfolio management team; research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board also considered BlackRock’s overall risk management program, including the continued efforts of BlackRock and its affiliates to address cybersecurity risks and the role of BlackRock’s Risk & Quantitative Analysis Group (“RQA”). The Board considered BlackRock’s compensation structure with respect to the Fund’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the nature and quality of the administrative and other non-investment advisory services to be provided to the Fund. BlackRock and its affiliates will provide the Fund with certain administrative, shareholder and other services (in addition to any such services provided to the Fund by third parties) and officers and other personnel as are necessary for the operations of the Fund, as applicable. In particular, BlackRock and its affiliates will provide
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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
the Fund with certain administrative services, including, among others: (i) responsibility for disclosure documents, such as the prospectus, the summary prospectus, the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) responsibility for periodic filings with regulators and stock exchanges; (iv) overseeing and coordinating the activities of third-party service providers, including, among others, the Fund’s custodian, fund accountant, transfer agent, and auditor; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues; and (viii) performing or managing administrative functions necessary for the operation of the Fund, such as tax reporting, expense management, fulfilling regulatory filing requirements, overseeing the Fund’s distribution partners, and shareholder call center and other services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal and compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations. The Board considered the operation of BlackRock’s business continuity plans.
The Board noted that the engagement of the Sub-Advisors with respect to the Fund facilitates the provision of investment advice and trading by investment personnel out of non-U.S. jurisdictions. The Board considered that this arrangement provides additional flexibility to the portfolio management team, which may benefit the Fund and its shareholders.
B. The Investment Performance of the Fund and BlackRock
In their capacity as members of the boards of directors/trustees of other funds in the BlackRock Fixed-Income Complex, the Board, including the Independent Board Members, previously received and considered information about BlackRock’s investment performance for other funds. The Board, however, did not consider the performance history of the Fund because the Fund had not yet commenced operations as of the date of the Meeting.
C. Consideration of the Advisory/Management Fees and the Estimated Cost of the Services to be Provided and Estimated Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Fund
The Board, including the Independent Board Members, reviewed the Fund’s proposed contractual advisory fee rate, noting that the Agreements provide for a unitary fee structure that includes advisory and administration services. Under the unitary fee structure, the Fund will pay a single fee to BlackRock and BlackRock will pay all operating expenses of the Fund, except the advisory fees, interest expenses, taxes, expenses incurred with respect to the acquisition and disposition of portfolio securities and the execution of portfolio transactions, including brokerage commissions, distribution fees or expenses, litigation expenses and extraordinary expenses. The Board, including the Independent Board Members, reviewed the Fund’s contractual management fee rate compared with those of its Broadridge peer group. The contractual management fee rate represents a combination of the advisory fee and any administrative fees, before taking into account any reimbursements or fee waivers. In addition, the Board, including the Independent Board Members, considered the Fund’s estimated total net expense ratio, as well as its estimated actual management fee rate, compared to its Broadridge peer group. The estimated total expense ratio represents a fund’s total net operating expenses, excluding any investment related expenses. The estimated total expense ratio gives effect to any expense reimbursements or fee waivers. Additionally, the Board noted information received at prior meetings of the boards of directors/trustees of other funds in the BlackRock Fixed-Income Complex concerning the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts, and sub-advised mutual funds (including mutual funds sponsored by third parties).
The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreements and to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time and resources, assumption of risk, and liability profile in servicing the Fund, including in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund, separately managed account, collective investment trust, and institutional separate account product channels, as applicable.
The Board noted that the Fund’s contractual management fee rate ranked in the third quartile and the Fund’s estimated actual management fee rate and estimated total expenses would rank in the third quartile and second quartile, respectively, relative to the Fund’s expense peers. The Board also noted that the Fund has an advisory fee arrangement that includes breakpoints that adjust the fee rate downward as the size of the Fund increases above certain contractually specified levels. The Board additionally noted that the breakpoints can, conversely, adjust the advisory fee rate upward as the size of the Fund decreases below certain contractually specified levels. The Board also noted that BlackRock has contractually agreed to waive a portion of the advisory fee payable by the Fund.
The Board previously received and reviewed statements relating to BlackRock’s financial condition in connection with their duties as trustees or directors of other funds in the BlackRock Fixed-Income Complex. As the Fund had not commenced operations as of the date of the Meeting, BlackRock was not able to provide the Board with specific information concerning the expected profits to be realized by BlackRock and its affiliates from their relationships with the Fund. BlackRock, however, will provide the Board with such information at future meetings.
D. Economies of Scale
The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Fund increase. The Board considered multiple factors, including the advisory fee rate and breakpoint structure, fee waivers, and expense caps, as applicable.
E. Other Factors Deemed Relevant by the Board Members
The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from BlackRock’s respective relationships with the Fund, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and its risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers
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Disclosure of Investment Advisory Agreement and Sub-Advisory Agreements (continued)
to the Fund, including for administrative, distribution, securities lending, ETF servicing and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that, subject to applicable law, BlackRock may use and benefit from third-party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts.
The Board noted the competitive nature of the ETF marketplace, and that shareholders are able to redeem or sell their Fund shares if they believe that the Fund’s fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
In connection with its consideration of the Agreements, the Board noted that it considered information regarding BlackRock’s brokerage and soft dollar practices and received and reviewed reports from BlackRock and its affiliates at prior meetings of the boards of directors/trustees of other funds in the BlackRock Fixed-Income Complex which included information on brokerage commissions and trade execution practices.
Conclusion
The Board, including the Independent Board Members, unanimously approved the Advisory Agreement between the Manager and the Trust, on behalf of the Fund, for a two-year term beginning on the effective date of the Advisory Agreement, and the Sub-Advisory Agreements between BlackRock and the Sub-Advisors, with respect to the Fund, for a two-year term beginning on the effective date of the Sub-Advisory Agreements. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board, including the Independent Board Members, was satisfied that the terms of the Agreements were fair and reasonable and in the best interest of the Fund and its shareholders. In arriving at its decision to approve the Agreements, the Board did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel throughout the deliberative process.
D I S C L O S U R E O F I N V E S T M E N T A D V I S O R Y A G R E E M E N T A N D S U B - A D V I S O R Y A G R E E M E N T S |
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Statement Regarding Liquidity Risk Management Program (unaudited)
In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), BlackRock ETF Trust II (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) for BlackRock AAA CLO ETF, BlackRock Flexible Income ETF, BlackRock Floating Rate Loan ETF, BlackRock High Yield Muni Income Bond ETF, BlackRock Intermediate Muni Income Bond ETF and BlackRock Short-Term California Muni Bond ETF (the “Funds”), each a series of the Trust, which is reasonably designed to assess and manage each Fund’s liquidity risk.
The Board of Trustees (the “Board”) of the Trust, on behalf of the Funds, met on November 14-15, 2023 (the “Meeting”) to review the Program. The Board previously appointed BlackRock Fund Advisors (“BlackRock”), the investment adviser to each Fund, as the program administrator for each Fund’s Program. BlackRock also previously delegated oversight of the Program to the 40Act Liquidity Risk Management Committee (the “Committee”). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of each Fund’s Highly Liquid Investment Minimum (“HLIM”) where applicable, and any material changes to the Program (the “Report”). The Report covered the period from October 1, 2022 through September 30, 2023 (the “Program Reporting Period”).
The Report described the Program’s liquidity classification methodology for categorizing each Fund’s investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish each Fund’s HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including the imposition of capital controls in certain countries.
The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund’s liquidity risk, as follows:
a) |
The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed whether each Fund’s strategy is appropriate for an open-end fund structure with a focus on funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a fund participated in borrowings for investment purposes (such as tender option bonds or reverse repurchase agreements), such borrowings were factored into the Program’s calculation of a fund’s liquidity bucketing. A fund’s derivative exposure was also considered in such calculation. |
b) |
Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish each Fund’s reasonably anticipated trading size utilized for liquidity classifications. The Committee may also take into consideration a fund’s shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a fund’s distribution channels, and the degree of certainty associated with a fund’s short-term and long-term cash flow projections. |
c) |
Holdings of cash and cash equivalents, as well as borrowing arrangements. The Committee considered that exchange-traded funds (“ETFs”) that redeem in-kind generally do not hold more than de minimis amounts of cash, and that ETFs generally do not borrow. The Committee considered the terms of the credit facility committed to certain Funds, the financial health of the institution providing the facility and the fact that the credit facility is shared among multiple funds (including that a portion of the aggregate commitment amount is specifically designated for BlackRock Floating Rate Income Portfolio, a series of BlackRock Funds V, and BlackRock Floating Rate Loan ETF, a series of BlackRock ETF Trust II). |
d) |
The relationship between an ETF’s portfolio liquidity and the way in which, and the prices and spreads at which, ETF shares trade, including the efficiency of the arbitrage function and the level of active participation by market participants, including authorized participants. The Committee monitored the prevailing bid/ask spread and the ETF price premium (or discount) to NAV for all Funds and reviewed any persistent deviations from long-term averages. |
e) |
The effect of the composition of baskets on the overall liquidity of an ETF’s portfolio. In reviewing the linkage between the composition of custom baskets accepted by a Fund and any significant change in the liquidity profile of such Fund, the Committee reviewed changes in the proportion of each Fund’s portfolio comprised of less liquid and illiquid holdings to determine if applicable thresholds were met requiring enhanced review. |
There were no material changes to the Program during the Program Reporting Period, other than the enhancement of certain model components in the Program’s classification methodology. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.
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Supplemental Information (unaudited)
Proxy Results
A Special Meeting of Shareholders was held on November 9, 2023 for shareholders of record on September 11, 2023, to elect a Board of Trustees of the Funds.
Shareholders elected the Trustees(a) as follows:
Votes For | Votes Withheld | |||||||
Lorenzo A. Flores |
5,620,997 | 215,120 | ||||||
Stayce D. Harris |
5,611,319 | 224,798 | ||||||
J. Phillip Holloman |
5,594,849 | 241,268 | ||||||
Arthur P. Steinmetz |
5,594,755 | 241,362 |
(a) |
Denotes Trust-wide proposal and voting results. |
Board Members whose term of office continued after the Special Meeting of Shareholders because they were not up for election are R. Glenn Hubbard, W. Carl Kester, Cynthia L. Egan, Frank J. Fabozzi, Catherine A. Lynch, Robert Fairbairn and John M. Perlowski. Frank J. Fabozzi’s term as a Board Member of the Funds ended on December 31, 2023.
Section 19(a) Notices
The amounts and sources of distributions reported are estimates and are being provided pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Fund’s investment experience during the year and may be subject to changes based on tax regulations. Shareholders will receive a Form 1099-DIV each calendar year that will inform them how to report these distributions for federal income tax purposes.
January 31, 2024
Total Cumulative Distributions for the Fiscal Year-to-Date |
% Breakdown of the Total Cumulative Distributions for the Fiscal Year-to-Date |
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BlackRock ETF | Net Investment Income |
Net Realized Capital Gains |
Return of Capital |
Total Per Share |
Net Investment Income |
Net Realized Capital Gains |
Return of Capital |
Total Per Share |
||||||||||||||||||||||||
AAA CLO(a) |
$ | 1.622229 | $ | — | $ | 0.009207 | $ | 1.631436 | 99 | % | — | % | 1 | % | 100 | % | ||||||||||||||||
Flexible Income(a) |
1.235242 | — | 0.147141 | 1.382383 | 89 | — | 11 | 100 | ||||||||||||||||||||||||
Floating Rate Loan(a) |
2.412755 | — | 0.026577 | 2.439332 | 99 | — | 1 | 100 | ||||||||||||||||||||||||
High Yield Muni Income Bond(a) |
0.499334 | — | 0.000173 | 0.499507 | 100 | — | 0 | (b) | 100 | |||||||||||||||||||||||
Intermediate Muni Income Bond(a) |
0.420559 | — | 0.000104 | 0.420663 | 100 | — | 0 | (b) | 100 | |||||||||||||||||||||||
Short-Term California Muni Bond(a) |
0.690808 | — | 0.000405 | 0.691213 | 100 | — | 0 | (b) | 100 |
(a) |
The Fund estimates that it has distributed more than its net investment income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in the Fund is returned to the shareholder. A return of capital does not necessarily reflect the Fund’s investment performance and should not be confused with “yield” or “income”. When distributions exceed total return performance, the difference will reduce the Fund’s net asset value per share. |
(b) |
Rounds to less than 1%. |
Tailored Shareholder Reports for Open-End Mutual Funds and ETFs
Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.
S U P P L E M E N T A L I N F O R M A T I O N |
123 |
General Information
Quarterly performance, semi-annual and annual reports, current net asset value and other information regarding the Funds may be found on BlackRock’s website, which can be accessed at blackrock.com. Any reference to BlackRock’s website in this report is intended to allow investors public access to information regarding the Funds and does not, and is not intended to, incorporate BlackRock’s website in this report.
Householding
The Funds will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports, Rule 30e-3 notices and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at 1-800-474-2737.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at ishares.com/fundreports.
Availability of Proxy Voting Policies, Procedures and Voting Records
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available without charge, upon request (1) by calling 1-800-474-2737; (2) on the BlackRock website at blackrock.com; and (3) on the SEC’s website at sec.gov.
A description of the Company’s policies and procedures with respect to the disclosure of the Fund’s portfolio securities is available in the Fund Prospectus. The Fund discloses its portfolio holdings daily and provides information regarding its top holdings in Fund fact sheets at blackrock.com.
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
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Additional Information (continued)
Fund and Service Providers
Investment Adviser
BlackRock Fund Advisors
San Francisco, CA 94105
Sub-Adviser
BlackRock International Limited
Edinburgh, EH3 8BL
United Kingdom
BlackRock (Singapore) Limited
079912 Singapore
Administrator, Custodian and Transfer Agent
State Street Bank and Trust Company
Boston, MA, 02114
Distributor
BlackRock Investments, LLC(a)
New York, NY 10001
BlackRock Investments, LLC(b)
Princeton, NJ 08540
Independent Registered Public Accounting Firm
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania 19103
Legal Counsel
Willkie Farr & Gallagher LLP
New York, NY 10019
Address of the Trust
100 Bellevue Parkway
Wilmington, DE 19809
(a) For BINC, CALY and BRTR.
(b) For CLOA, BRLN, HYMU and INMU.
G E N E R A L I N F O R M A T I O N |
125 |
Glossary of Terms Used in this Report
Portfolio Abbreviation
AGM | Assured Guaranty Municipal Corp. | |
AMBAC | Ambac Assurance Corp. | |
BAB | Build America Bond | |
BAM | Build America Mutual Assurance Co. | |
CLO | Collateralized Loan Obligation | |
CMT | Constant Maturity Treasury | |
COP | Certificates of Participation | |
EURIBOR | Euro Interbank Offered Rate | |
FHA | Federal Housing Administration | |
GO | General Obligation | |
GOL | General Obligation Limited | |
LIBOR | London Interbank Offered Rate |
Portfolio Abbreviation (continued)
NPFGC | National Public Finance Guarantee Corp. | |
NVS | Non-Voting Shares | |
PIK | Payment-in-kind | |
PILOT | Payment in Lieu of Taxes | |
PR | Prerefunded | |
RB | Revenue Bond | |
REIT | Real Estate Investment Trust | |
SIFMA | Securities Industry and Financial Markets Associations | |
SOFR | Secured Overnight Financing Rate | |
SONIA | Sterling Overnight Interbank Average Rate | |
TA | Tax Allocation | |
TBA | To-Be-Announced |
Currency Abbreviation | ||
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CLP | Chilean Peso | |
CNY | Chinese Yuan | |
COP | Colombian Peso | |
CZK | Czech Koruna | |
EUR | Euro | |
GBP | British Pound | |
HUF | Hungarian Forint | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
MXN | Mexican Peso | |
MYR | Malaysian Ringgit | |
NOK | Norwegian Krone | |
PLN | Polish Zloty | |
RON | Romanian Leu | |
THB | Thai Baht | |
TWD | New Taiwan Dollar | |
USD | United States Dollar | |
ZAR | South African Rand |
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Want to know more?
blackrock.com | 1-800-474-2737
This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Funds unless preceded or accompanied by the Funds’ current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
INCETF-1/24-SAR
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