|
|
APRIL 30, 2023 |
|
|
2023 Semi-Annual Report (Unaudited) | |
iShares U.S. ETF Trust
| · |
iShares Inflation Hedged Corporate Bond ETF | LQDI | Cboe BZX |
| · |
iShares Inflation Hedged High Yield Bond ETF | HYGI | NYSE Arca |
| · |
iShares Inflation Hedged U.S. Aggregate Bond ETF | AGIH | NYSE Arca |
| · |
iShares Interest Rate Hedged Corporate Bond ETF | LQDH | NYSE Arca |
| · |
iShares Interest Rate Hedged High Yield Bond ETF | HYGH | NYSE Arca |
| · |
iShares Interest Rate Hedged Long-Term Corporate Bond ETF | IGBH | NYSE Arca |
| · |
iShares Interest Rate Hedged U.S. Aggregate Bond ETF | AGRH | NYSE Arca |
Dear Shareholder,
Investors faced an uncertain economic landscape during the 12-month reporting period ended April 30, 2023, amid mixed indicators and rapidly changing market conditions. The U.S. economy returned to modest growth beginning in the third quarter of 2022, although the pace of growth slowed thereafter. Inflation was elevated, reaching a 40-year high as labor costs grew rapidly and unemployment rates reached the lowest levels in decades. However, inflation moderated as the period continued, while continued strength in consumer spending backstopped the economy.
Equity returns varied substantially, as large-capitalization U.S. stocks gained for the period amid a rebound in big tech stocks, whereas small-capitalization U.S. stocks declined. International equities from developed markets advanced strongly, while emerging market stocks declined, pressured by higher interest rates and volatile commodities prices.
The 10-year U.S. Treasury yield rose during the reporting period, driving its price down, as investors reacted to elevated inflation and attempted to anticipate future interest rate changes. The corporate bond market also faced inflationary headwinds, although high-yield corporate bonds posted a positive return as demand from yield-seeking investors remained strong.
The U.S. Federal Reserve (the “Fed”), acknowledging that inflation has been more persistent than expected, raised interest rates eight times. Furthermore, the Fed wound down its bond-buying programs and incrementally reduced its balance sheet by not replacing securities that reach maturity. In addition, the Fed added liquidity to markets amid the failure of prominent regional banks.
Restricted labor supply kept inflation elevated even as other inflation drivers, such as goods prices and energy costs, moderated. While economic growth was modest in the last year, we believe that stickiness in services inflation and continued wage growth will keep inflation above central bank targets for some time. Although the Fed has decelerated the pace of interest rate hikes and indicated a pause could be its next step, we believe that the Fed still seems determined to get inflation back to target. With this in mind, we believe the possibility of a U.S. recession in the near term is high, but the dimming economic outlook has not yet been fully reflected in current market prices. We believe investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt to rapidly changing conditions. Turmoil in the banking sector late in the period highlighted the potential for the rapid increase in interest rates to disrupt markets with little warning.
While we favor an overweight to equities in the long term, we prefer an underweight stance on equities overall in the near term. Expectations for corporate earnings remain elevated, which seems inconsistent with the possibility of a recession. Nevertheless, we are overweight on emerging market stocks as we believe a weakening U.S. dollar could provide a supportive backdrop. We also see selective, long-term opportunities in credit, where we believe that valuations are appealing, and higher yields offer attractive income. However, we are neutral on credit in the near term, as we’re concerned about tightening credit and financial conditions. For fixed income investing with a six- to twelve-month horizon, we see the most significant opportunities in short-term U.S. Treasuries, global inflation-linked bonds, and emerging market bonds denominated in local currency.
Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit iShares.com for further insight about investing in today’s markets.
Rob Kapito
President, BlackRock, Inc.
Rob Kapito
President, BlackRock, Inc.
| Total Returns as of April 30, 2023 | ||||
| 6-Month | 12-Month | |||
|
U.S.
large cap equities |
8.63% | 2.66% | ||
|
U.S.
small cap equities |
(3.45) | (3.65) | ||
|
International
equities |
24.19 | 8.42 | ||
|
Emerging market equities (MSCI Emerging Markets Index) |
16.36 | (6.51) | ||
|
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index) |
2.09 | 2.83 | ||
|
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index) |
7.14 | (1.68) | ||
|
U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index) |
6.91 | (0.43) | ||
|
Tax-exempt municipal bonds (Bloomberg Municipal Bond Index) |
7.65 | 2.87 | ||
|
U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) |
6.21 | 1.21 | ||
| Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. | ||||
| 2 |
T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T |
Table of Contents
| Page | ||||
| 2 | ||||
|
Semi-Annual Report: |
||||
| 4 | ||||
| 11 | ||||
| 11 | ||||
| 12 | ||||
|
Financial Statements |
||||
| 38 | ||||
| 40 | ||||
| 42 | ||||
| 46 | ||||
| 53 | ||||
| 62 | ||||
| 63 | ||||
| 64 | ||||
| 65 | ||||
| 66 | ||||
| Fund Summary as of April 30, 2023 | iShares® Inflation Hedged Corporate Bond ETF |
Investment Objective
The iShares Inflation Hedged Corporate Bond ETF (the “Fund”) seeks to track the investment results of an index designed to mitigate the inflation risk of a portfolio composed of U.S. dollar-denominated, investment grade corporate bonds, as represented by the BlackRock Inflation Hedged Corporate Bond Index (the “Index”). The Fund currently seeks to achieve its investment objective by investing a substantial portion of its assets in one underlying fund, the iShares iBoxx $ Investment Grade Corporate Bond ETF. The Fund attempts to mitigate the inflation risk of the underlying fund by holding inflation swaps.
Performance
| Average Annual Total Returns | Cumulative Total Returns | |||||||||||||||||||||||
| 6-Month Total Returns |
1 Year |
Since Inception |
1 Year |
Since Inception |
||||||||||||||||||||
|
Fund NAV |
7.94 | % | (1.80 | )% | 3.87 | % | (1.80 | )% | 20.82 | % | ||||||||||||||
|
Fund Market |
8.29 | (1.86 | ) | 3.90 | (1.86 | ) | 21.01 | |||||||||||||||||
|
Index |
8.31 | (1.33 | ) | 5.27 | (1.33 | ) | 29.12 | |||||||||||||||||
The inception date of the Fund was May 8, 2018. The first day of secondary market trading was May 10, 2018.
Index performance through November 30, 2021 reflects the performance of the Markit iBoxx® USD Liquid Investment Grade Inflation Hedged Index. Index performance beginning on December 1, 2021 reflects the performance of the BlackRock Inflation Hedge Corporate Bond 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 (11/01/22) |
|
|
Ending Account Value (04/30/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Beginning Account Value (11/01/22) |
|
|
Ending Account Value (04/30/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Annualized Expense Ratio |
| ||||||||||
| $ 1,000.00 | $ 1,079.40 | $ 0.26 | $ 1,000.00 | $ 1,024.50 | $ 0.25 | 0.05 | % | |||||||||||||||||||||||
| (a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio. |
Portfolio Information
PORTFOLIO COMPOSITION
| Investment Type | Percent of Net Assets |
|||
|
Investment Companies |
94.7 | % | ||
|
Short-term Investments |
1.2 | |||
|
Swaps, net cumulative appreciation |
3.8 | |||
|
Other assets less liabilities |
0.3 | |||
CREDIT QUALITY ALLOCATION (of the UNDERLYING FUND)
| Credit Rating(a) |
Percent of Total Investment(b) |
|||
|
Aaa |
3.2 | % | ||
|
Aa |
4.9 | |||
|
A |
46.2 | |||
|
Baa |
43.4 | |||
|
Ba |
2.0 | |||
|
Not Rated |
0.3 | |||
| (a) |
Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (b) |
Excludes money market funds. |
| 4 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Fund Summary as of April 30, 2023 | iShares® Inflation Hedged High Yield Bond ETF |
Investment Objective
The iShares Inflation Hedged High Yield Bond ETF (the “Fund”) seeks to track the investment results of an index designed to mitigate the inflation risk of a portfolio composed of U.S. dollar-denominated, high yield corporate bonds, as represented by the BlackRock Inflation Hedged High Yield Bond Index (the “Index”). The Fund currently seeks to achieve its investment objective by investing a substantial portion of its assets in one underlying fund, the iShares iBoxx $ HighYield Corporate Bond ETF. The Fund attempts to mitigate the inflation risk of the underlying fund by holding inflation swaps.
Performance
| Cumulative Total Returns | ||||||||
| 6-Month Total Returns |
Since Inception |
|||||||
|
Fund NAV |
4.37 | % | 6.07 | % | ||||
|
Fund Market |
4.40 | 6.09 | ||||||
|
Index |
4.49 | 5.97 | ||||||
The inception date of the Fund was June 22, 2022. The first day of secondary market trading was June 24, 2022.
Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.
Expense Example
| Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
| |
Beginning Account Value (11/01/22) |
|
|
Ending Account Value (04/30/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Beginning Account Value (11/01/22) |
|
|
Ending Account Value (04/30/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Annualized Expense Ratio |
| ||||||||||
| $ | 1,000.00 | $ | 1,043.70 | $ | 0.25 | $ | 1,000.00 | $ | 1,024.50 | $ | 0.25 | 0.05 | % | |||||||||||||||||
| (a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio. |
Portfolio Information
PORTFOLIO COMPOSITION
| Investment Type | Percent
of Net Assets |
|||
|
Investment Companies |
96.1 | % | ||
|
Short-term Investments |
48.1 | |||
|
Swaps, net cumulative depreciation |
(0.3 | ) | ||
|
Other assets less liabilities |
(43.9 | ) | ||
|
CREDIT QUALITY ALLOCATION (of the UNDERLYING FUND)
|
| |||
| Credit Rating(a) | Percent
of Total Investment(b) |
|||
|
Baa |
4.6 | % | ||
|
Ba |
42.2 | |||
|
B |
42.1 | |||
|
Caa |
9.7 | |||
|
Ca |
0.8 | |||
|
Not Rated |
0.6 | |||
| (a) |
Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (b) |
Excludes money market funds. |
|
F U N D S U M M A R Y |
5 |
| Fund Summary as of April 30, 2023 | iShares® Inflation Hedged U.S. Aggregate Bond ETF |
Investment Objective
The iShares Inflation Hedged U.S. Aggregate Bond ETF (the “Fund”) seeks to track the investment results of an index designed to mitigate the inflation risk of a portfolio composed of U.S. dollar-denominated, investment-grade bonds, as represented by the BlackRock Inflation Hedged U.S. Aggregate Bond Index (the “Index”). The Fund currently seeks to achieve its investment objective by investing a substantial portion of its assets in one underlying fund, the iShares Core U.S. Aggregate Bond ETF. The Fund attempts to mitigate the inflation risk of the underlying fund by holding inflation swaps.
Performance
| Cumulative Total Returns | ||||||||
| 6-Month Total Returns |
Since Inception |
|||||||
|
Fund NAV |
4.86 | % | 0.44 | % | ||||
|
Fund Market |
5.06 | 0.46 | ||||||
|
Index |
5.25 | 0.67 | ||||||
The inception date of the Fund was June 22, 2022. The first day of secondary market trading was June 24, 2022.
Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.
Expense Example
| Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
| |
Beginning Account Value (11/01/22) |
|
|
Ending Account Value (04/30/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Beginning Account Value (11/01/22) |
|
|
Ending Account Value (04/30/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Annualized Expense Ratio |
| ||||||||||
| $ | 1,000.00 | $ | 1,048.60 | $ | 0.51 | $ | 1,000.00 | $ | 1,024.30 | $ | 0.50 | 0.10 | % | |||||||||||||||||
| (a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio. |
Portfolio Information
PORTFOLIO COMPOSITION
| Investment Type | Percent of Net Assets |
|||
|
Investment Companies |
95.7 | % | ||
|
Short-term Investments |
1.6 | |||
|
Swaps, net cumulative depreciation |
(0.1 | ) | ||
|
Other assets less liabilities |
2.8 | |||
|
CREDIT QUALITY ALLOCATION (of the UNDERLYING FUND)
|
| |||
| Credit Rating(a) | Percent
of Total Investment(b) |
|||
|
Aaa |
52.9 | % | ||
|
Aa |
2.1 | |||
|
A |
11.4 | |||
|
Baa |
12.6 | |||
|
Ba |
0.4 | |||
|
Not Rated |
20.6 | |||
| (a) |
Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (b) |
Excludes money market funds. |
| 6 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Fund Summary as of April 30, 2023 | iShares® Interest Rate Hedged Corporate Bond ETF |
Investment Objective
The iShares Interest Rate Hedged Corporate Bond ETF (the “Fund”) seeks to track the investment results of an index designed to mitigate the interest rate risk of a portfolio composed of U.S. dollar-denominated, investment-grade corporate bonds, as represented by the BlackRock Interest Rate Hedged Corporate Bond Index, (the “Index”). The Fund currently seeks to achieve its investment objective by investing a substantial portion of its assets in one underlying fund, the iShares iBoxx $ Investment Grade Corporate Bond ETF. The Fund attempts to mitigate the interest rate risk of the underlying fund by holding short positions in U.S. Treasury futures or interest rate swaps.
Performance
| Average Annual Total Returns | Cumulative Total Returns | |||||||||||||||||||||||||||||||
| 6-Month Total Returns |
1 Year | 5 Years | Since Inception |
1 Year | 5 Years | Since Inception |
||||||||||||||||||||||||||
|
Fund NAV |
5.75 | % | 5.61 | % | 2.36 | % | 2.07 | % | 5.61 | % | 12.38 | % | 20.06 | % | ||||||||||||||||||
|
Fund Market |
5.98 | 5.35 | 2.33 | 2.06 | 5.35 | 12.19 | 19.93 | |||||||||||||||||||||||||
|
Index |
5.67 | 5.19 | 2.07 | 2.39 | 5.19 | 10.77 | 23.48 | |||||||||||||||||||||||||
The inception date of the Fund was May 27, 2014. The first day of secondary market trading was May 28, 2014.
Index performance through November 30, 2021 reflects the performance of the Markit iBoxx® USD Liquid Investment Grade Interest Rate Hedged Swaps Index. Index performance beginning on December 1, 2021 reflects the performance of the BlackRock Interest Rate Hedged Corporate Bond 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 (11/01/22) |
|
|
Ending Account Value (04/30/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Beginning Account Value (11/01/22) |
|
|
Ending Account Value (04/30/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Annualized Expense Ratio |
| ||||||||||
| $ | 1,000.00 | $ | 1,057.50 | $ | 0.51 | $ | 1,000.00 | $ | 1,024.30 | $ | 0.50 | 0.10 | % | |||||||||||||||||
| (a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio. |
Portfolio Information
PORTFOLIO COMPOSITION
| Investment Type | Percent
of Net Assets |
|||
|
Investment Companies |
94.9 | % | ||
|
Short-term Investments |
15.8 | |||
|
Swaps, net cumulative appreciation |
1.1 | |||
|
Other assets less liabilities |
(11.8 | ) | ||
CREDIT QUALITY ALLOCATION (of the UNDERLYING FUND)
| Credit Rating(a) | Percent
of Total Investment(b) |
|||
|
Aaa |
3.2 | % | ||
|
Aa |
4.9 | |||
|
A |
46.2 | |||
|
Baa |
43.4 | |||
|
Ba |
2.0 | |||
|
Not Rated |
0.3 | |||
| (a) |
Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (b) |
Excludes money market funds. |
|
F U N D S U M M A R Y |
7 |
| Fund Summary as of April 30, 2023 | iShares® Interest Rate Hedged High Yield Bond ETF |
Investment Objective
The iShares Interest Rate Hedged High Yield Bond ETF (the “Fund”) seeks to track the investment results of an index designed to mitigate the interest rate risk of a portfolio composed of U.S. dollar-denominated, high yield corporate bonds, as represented by the BlackRock Interest Rate Hedged High Yield Bond Index (the “Index”). The Fund currently seeks to achieve its investment objective by investing a substantial portion of its assets in one underlying fund, the iShares iBoxx $ High Yield Corporate Bond ETF. The Fund attempts to mitigate the interest rate risk of the underlying fund by holding short positions in U.S. Treasury futures or interest rate swaps.
Performance
| Average Annual Total Returns | Cumulative Total Returns | |||||||||||||||||||||||||||||||
| 6-Month Total Returns |
1 Year | 5 Years | Since Inception |
1 Year | 5 Years | Since Inception |
||||||||||||||||||||||||||
|
Fund NAV |
3.47 | % | 4.56 | % | 3.20 | % | 2.98 | % | 4.56 | % | 17.07 | % | 29.94 | % | ||||||||||||||||||
|
Fund Market |
3.44 | 4.61 | 3.21 | 2.98 | 4.61 | 17.13 | 29.96 | |||||||||||||||||||||||||
|
Index |
3.12 | 3.61 | 3.09 | 3.20 | 3.61 | 16.44 | 32.52 | |||||||||||||||||||||||||
The inception date of the Fund was May 27, 2014. The first day of secondary market trading was May 28, 2014.
Index performance through November 30, 2021 reflects the performance of the Markit iBoxx® USD Liquid High Yield Interest Rate Hedged Swaps Index. Index performance beginning on December 1, 2021 reflects the performance of the BlackRock Interest Rate Hedged High Yield Bond 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 (11/01/22) |
|
|
Ending Account Value (04/30/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Beginning Account Value (11/01/22) |
|
|
Ending Account Value (04/30/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Annualized Expense Ratio |
| ||||||||||
| $ | 1,000.00 | $ | 1,034.70 | $ | 0.25 | $ | 1,000.00 | $ | 1,024.50 | $ | 0.25 | 0.05 | % | |||||||||||||||||
| (a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio. |
Portfolio Information
PORTFOLIO COMPOSITION
| Investment Type | Percent of Net Assets |
|||
|
Investment Companies |
95.1 | % | ||
|
Short-term Investments |
48.9 | |||
|
Swaps, net cumulative appreciation |
1.6 | |||
|
Other assets less liabilities |
(45.6 | ) | ||
CREDIT QUALITY ALLOCATION (of the UNDERLYING FUND)
| Credit Rating(a) | Percent
of Total Investment(b) |
|||
|
Baa |
4.6 | % | ||
|
Ba |
42.2 | |||
|
B |
42.1 | |||
|
Caa |
9.7 | |||
|
Ca |
0.8 | |||
|
Not Rated |
0.6 | |||
| (a) |
Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (b) |
Excludes money market funds. |
| 8 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
| Fund Summary as of April 30, 2023 | iShares® Interest Rate Hedged Long-Term Corporate Bond ETF |
Investment Objective
The iShares Interest Rate Hedged Long-Term Corporate Bond ETF (the “Fund”) seeks to track the investment results of an index designed to mitigate the interest rate risk of a portfolio composed of U.S. dollar-denominated investment-grade corporate bonds with remaining maturities greater than ten years, as represented by the BlackRock Interest Rate Hedged Long-Term Corporate Bond Index (the “Index”). The Fund currently seeks to achieve its investment objective by investing a substantial portion of its assets in one underlying fund, the iShares 10+ Year Investment Grade Corporate Bond ETF. The Fund attempts to mitigate the interest rate risk of the underlying fund by holding short positions in U.S. Treasury futures or interest rate swaps.
Performance
| Average Annual Total Returns | Cumulative Total Returns | |||||||||||||||||||||||||||||||
| 6-Month Total Returns |
1 Year | 5 Years | Since Inception |
1 Year | 5 Years | Since Inception |
||||||||||||||||||||||||||
|
Fund NAV |
7.44 | % | 5.54 | % | 1.74 | % | 2.70 | % | 5.54 | % | 9.02 | % | 23.01 | % | ||||||||||||||||||
|
Fund Market |
7.83 | 5.54 | 1.71 | 2.69 | 5.54 | 8.82 | 22.89 | |||||||||||||||||||||||||
|
Index |
7.56 | 5.44 | 1.15 | 2.61 | 5.44 | 5.89 | 22.22 | |||||||||||||||||||||||||
The inception date of the Fund was July 22, 2015. The first day of secondary market trading was July 23, 2015.
Index performance through November 30, 2021 reflects the performance of the ICE Q70A Custom Index. Index performance beginning on December 1, 2021 reflects the performance of the BlackRock Interest Rate Hedged Long-Term Corporate Bond 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 (11/01/22) |
|
|
Ending Account Value (04/30/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Beginning Account Value (11/01/22) |
|
|
Ending Account Value (04/30/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Annualized Expense Ratio |
| ||||||||||
| $ | 1,000.00 | $ | 1,074.40 | $ | 0.51 | $ | 1,000.00 | $ | 1,024.30 | $ | 0.50 | 0.10 | % | |||||||||||||||||
| (a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio. |
Portfolio Information
PORTFOLIO COMPOSITION
| Investment Type | Percent of Net Assets |
|||
|
Investment Companies |
91.4 | % | ||
|
Short-term Investments |
1.7 | |||
|
Swaps, net cumulative depreciation |
(1.4 | ) | ||
|
Other assets less liabilities |
8.3 | |||
CREDIT QUALITY ALLOCATION (of the UNDERLYING FUND)
| Credit Rating(a) | Percent
of Total Investment(b) |
|||
|
Aaa |
3.0 | % | ||
|
Aa |
7.9 | |||
|
A |
42.8 | |||
|
Baa |
40.5 | |||
|
Ba |
1.3 | |||
|
Not Rated |
4.6 | |||
| (a) |
Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (b) |
Excludes money market funds. |
|
F U N D S U M M A R Y |
9 |
| Fund Summary as of April 30, 2023 | iShares® Interest Rate Hedged U.S. Aggregate Bond ETF |
Investment Objective
The iShares Interest Rate Hedged U.S. Aggregate Bond ETF (the “Fund”) seeks to track the investment results of an index designed to mitigate the interest rate risk of a portfolio composed of U.S. dollar-denominated, investment grade bonds, as represented by the BlackRock Interest Rate Hedged U.S. Aggregate Bond Index (the “Index”). The Fund currently seeks to achieve its investment objective by investing a substantial portion of its assets in one underlying fund, the iShares Core U.S.Aggregate Bond ETF. The Fund attempts to mitigate the interest rate risk of the underlying fund by holding positions in U.S. Treasury futures or interest rate swaps.
Performance
| Cumulative Total Returns | ||||||||
|
6-Month Total Returns |
Since Inception |
|||||||
|
Fund NAV |
3.34 | % | 3.67 | % | ||||
|
Fund Market |
3.42 | 3.63 | ||||||
|
Index |
3.32 | 3.42 | ||||||
The inception date of the Fund was June 22, 2022. The first day of secondary market trading was June 24, 2022.
Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.
Expense Example
| Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
| |
Beginning Account Value (11/01/22) |
|
|
Ending Account Value (04/30/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Beginning Account Value (11/01/22) |
|
|
Ending Account Value (04/30/23) |
|
|
Expenses Paid During the Period |
(a) |
|
Annualized Expense Ratio |
| ||||||||||
| $ | 1,000.00 | $ | 1,033.40 | $ | 0.50 | $ | 1,000.00 | $ | 1,024.30 | $ | 0.50 | 0.10 | % | |||||||||||||||||
| (a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio. |
Portfolio Information
PORTFOLIO COMPOSITION
| Investment Type | Percent of Net Assets |
|||
|
Investment Companies |
94.5 | % | ||
|
Short-term Investments |
1.2 | |||
|
Swaps, net cumulative appreciation |
2.3 | |||
|
Other assets less liabilities |
2.0 | |||
CREDIT QUALITY ALLOCATION (of the UNDERLYING FUND)
| Credit Rating(a) | Percent of Total Investment(b) |
|||
|
Aaa |
52.9 | % | ||
|
Aa |
2.1 | |||
|
A |
11.4 | |||
|
Baa |
12.6 | |||
|
Ba |
0.4 | |||
|
Not Rated |
20.6 | |||
| (a) |
Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
| (b) |
Excludes money market funds. |
| 10 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time and may continue to affect adversely the value and liquidity of each Fund’s investments. As a result, current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end is available at iShares.com. Performance results assume reinvestment of all dividends and capital gain distributions and do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. The investment return and principal value of shares will vary with changes in market conditions. Shares may be worth more or less than their original cost when they are redeemed or sold in the market. Performance for certain funds may reflect a waiver of a portion of investment advisory fees. Without such a waiver, performance would have been lower.
Net asset value or “NAV” is the value of one share of a fund as calculated in accordance with the standard formula for valuing mutual fund shares. Beginning August 10, 2020, the price used to calculate market return (“Market Price”) is the closing price. Prior to August 10, 2020, Market Price was determined using the midpoint between the highest bid and the lowest ask on the primary stock exchange on which shares of a fund are listed for trading, as of the time that such fund’s NAV is calculated. Since shares of a fund may not trade in the secondary market until after the fund’s inception, for the period from inception to the first day of secondary market trading in shares of the fund, the NAV of the fund is used as a proxy for the Market Price to calculate market returns. Market and NAV returns assume that dividends and capital gain distributions have been reinvested at Market Price and NAV, respectively.
An index is a statistical composite that tracks a specified financial market or sector. Unlike a fund, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by a fund. These expenses negatively impact fund performance. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower.
Shareholders of each Fund may incur the following charges: (1) transactional expenses, including brokerage commissions on purchases and sales of fund shares and (2) ongoing expenses, including management fees and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other funds.
The expense examples provide information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number under the heading entitled “Expenses Paid During the Period.”
The expense examples also provide information about hypothetical account values and hypothetical expenses based on a fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as brokerage commissions and other fees paid on purchases and sales of fund shares. Therefore, the hypothetical examples are useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
|
A B O U T F U N D P E R F O R M A N C E / D I S C L O S U R E O F E X P E N S E S |
11 |
|
Schedule of Investments (unaudited) April 30, 2023 |
iShares® Inflation Hedged Corporate Bond ETF (Percentages shown are based on Net Assets) |
|
Security |
Shares |
Value |
||||||
|
Investment Companies |
| |||||||
| Exchange-Traded Funds — 94.7% | ||||||||
|
iShares iBoxx $ Investment Grade Corporate Bond ETF(a) |
538,138 | $ | 59,157,510 | |||||
|
|
|
|||||||
|
Total
Investment Companies |
|
59,157,510 | ||||||
|
|
|
|||||||
|
Short-Term Securities |
| |||||||
| Money Market Funds — 1.2% | ||||||||
|
BlackRock
Cash Funds: Treasury, SL Agency Shares, |
740,000 | 740,000 | ||||||
|
|
|
|||||||
|
Total
Short-Term Securities — 1.2% |
|
740,000 | ||||||
|
|
|
|||||||
|
Total
Investments in Securities — 95.9% |
|
59,897,510 | ||||||
|
Other Assets Less Liabilities — 4.1% |
|
2,592,373 | ||||||
|
|
|
|||||||
|
Net Assets — 100.0% |
|
$ | 62,489,883 | |||||
|
|
|
|||||||
| (a) |
Affiliate of the Fund. |
| (b) |
Annualized 7-day yield as of period end. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended April 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 10/31/22 |
Purchases at Cost |
Proceeds from Sale |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value at 04/30/23 |
Shares Held at 04/30/23 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
|
BlackRock
Cash Funds: Institutional, SL |
$ | — | $ | 2,482 | (b) | $ | — | $ | (2,482 | ) | $ | — | $ | — | — | $ | 4,995 | (c) | $ | — | ||||||||||||||||
|
BlackRock
Cash Funds: Treasury, SL |
170,000 | 570,000 | (b) | — | — | — | 740,000 | 740,000 | 11,506 | — | ||||||||||||||||||||||||||
|
iShares iBoxx $ Investment Grade Corporate Bond ETF |
53,261,756 | 15,609,841 | (14,119,284 | ) | (3,361,800 | ) | 7,766,997 | 59,157,510 | 538,138 | 1,001,850 | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | (3,364,282 | ) | $ | 7,766,997 | $ | 59,897,510 | $ | 1,018,351 | $ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (a) |
As of period end, the entity is no longer held. |
| (b) |
Represents net amount purchased (sold). |
| (c) |
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
Centrally Cleared Interest Rate Swaps
| Paid by the Fund |
Received by the Fund |
Effective Date |
Termination Date |
Notional Amount (000) |
Value |
Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
| Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||
| 3.32% | Annual | 1-Day SOFR, 4.81% | Annual | N/A | 12/06/29 | $ (600) | $ | (3,691 | ) | $ | 8 | $ | (3,699 | ) | ||||||||||||
| 3.48% | Annual | 1-Day SOFR, 4.81% | Annual | N/A | 01/09/30 | (200) | (3,231 | ) | 3 | (3,234 | ) | |||||||||||||||
| 3.27% | Annual | 1-Day SOFR, 4.81% | Annual | N/A | 03/15/30 | (100) | (385 | ) | 1 | (386 | ) | |||||||||||||||
| 3.25% | Annual | 1-Day SOFR, 4.81% | Annual | N/A | 12/06/32 | (200) | (1,433 | ) | 3 | (1,436 | ) | |||||||||||||||
| 3.08% | Annual | 1-Day SOFR, 4.81% | Annual | N/A | 01/23/33 | (200) | 1,246 | 4 | 1,242 | |||||||||||||||||
| 3.23% | Annual | 1-Day SOFR, 4.81% | Annual | N/A | 12/06/37 | (100) | (677 | ) | 2 | (679 | ) | |||||||||||||||
| 3.18% | Annual | 1-Day SOFR, 4.81% | Annual | N/A | 12/06/42 | (250) | (1,168 | ) | 7 | (1,175 | ) | |||||||||||||||
| 3.17% | Annual | 1-Day SOFR, 4.81% | Annual | N/A | 01/09/48 | (200) | (3,721 | ) | 6 | (3,727 | ) | |||||||||||||||
| 12 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
|
Schedule of Investments (unaudited) (continued) April 30, 2023 |
iShares® Inflation Hedged Corporate Bond ETF |
Centrally Cleared Interest Rate Swaps (continued)
| Paid by the Fund |
Received by the Fund |
Effective Date |
Termination Date |
Notional (000) |
Value |
Upfront (Received) |
Unrealized (Depreciation) |
|||||||||||||||||||||
| Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||
| 2.98% | Annual | 1-Day SOFR, 4.81% | Annual | N/A | 03/15/48 | $ (100) | $ | 1,330 | $ | 2 | $ | 1,328 | ||||||||||||||||
| 3.15% | Annual | 1-Day SOFR, 4.81% | Annual | N/A | 11/23/52 | (100) | (3,458 | ) | 4 | (3,462 | ) | |||||||||||||||||
| 2.93% | Annual | 1-Day SOFR, 4.81% | Annual | N/A | 12/06/52 | (200) | 1,512 | 7 | 1,505 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $ | (13,676 | ) | $ | 47 | $ | (13,723 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
Centrally Cleared Inflation Swaps
| Paid by the Fund |
Received by the Fund |
Termination Date |
Notional (000) |
Value |
Upfront (Received) |
Unrealized (Depreciation) |
||||||||||||||||||
| Reference | Frequency | Rate | Frequency | |||||||||||||||||||||
| 1.75% | At Termination | U.S. CPI Urban Consumers NSA |
At Termination | 08/20/23 | $ | (10) | $ 1,301 | $ | — | $ | 1,301 | |||||||||||||
| U.S. CPI Urban Consumers NSA |
At Termination | 2.63% | At Termination | 12/09/23 | (1,770 | ) | (7,714) | (2,001 | ) | (5,713 | ) | |||||||||||||
| 3.35% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 01/05/24 | (3,000 | ) | 111,528 | 19 | 111,509 | |||||||||||||||
| 3.12% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 11/04/24 | (400 | ) | (3,160) | 284 | (3,444 | ) | ||||||||||||||
| 2.74% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 11/17/24 | (800 | ) | (758) | 5 | (763 | ) | ||||||||||||||
| 2.50% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 12/30/24 | (560 | ) | (195) | (4 | ) | (191 | ) | |||||||||||||
| 2.54% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 02/10/25 | (60 | ) | (13) | 1 | (14 | ) | ||||||||||||||
| 2.48% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 04/06/25 | (66 | ) | (73) | 1 | (74 | ) | ||||||||||||||
| 2.50% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 04/13/25 | (400 | ) | (809) | 275 | (1,084 | ) | ||||||||||||||
| 2.42% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 04/25/25 | (520 | ) | (607) | 4 | (611 | ) | ||||||||||||||
| 2.68% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 09/07/26 | (1,400 | ) | 75,937 | 19 | 75,918 | |||||||||||||||
| 2.74% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 09/15/26 | (2,000 | ) | 100,174 | 27 | 100,147 | |||||||||||||||
| 2.92% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 10/21/26 | (3,500 | ) | 136,719 | 47 | 136,672 | |||||||||||||||
| 3.13% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 10/27/26 | (3,430 | ) | 98,779 | 45 | 98,734 | |||||||||||||||
| 3.15% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 10/29/26 | (1,540 | ) | 42,472 | 20 | 42,452 | |||||||||||||||
| 2.59% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 10/11/27 | (100 | ) | (196) | 1 | (197 | ) | ||||||||||||||
| 2.75% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 12/07/27 | (200 | ) | (1,893) | 3 | (1,896 | ) | ||||||||||||||
| 2.54% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 12/30/27 | (430 | ) | (992) | (243 | ) | (749 | ) | |||||||||||||
| 2.46% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 01/05/28 | (1,900 | ) | 2,487 | 25 | 2,462 | |||||||||||||||
| 2.45% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 02/08/28 | (965 | ) | 2,584 | 13 | 2,571 | |||||||||||||||
| 2.59% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 02/22/28 | (360 | ) | (960) | 5 | (965 | ) | ||||||||||||||
| 2.71% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 02/24/28 | (250 | ) | (1,949) | 4 | (1,953 | ) | ||||||||||||||
| 2.58% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 03/31/28 | (80 | ) | (364) | 1 | (365 | ) | ||||||||||||||
| 2.56% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 04/05/28 | (125 | ) | (530) | 1 | (531 | ) | ||||||||||||||
|
S C H E D U L E O F I N V E S T M E N T S |
13 |
|
Schedule of Investments (unaudited) (continued) April 30, 2023 |
iShares® Inflation Hedged Corporate Bond ETF |
Centrally Cleared Inflation Swaps (continued)
| Paid by the Fund |
Received by the Fund |
Termination Date |
Notional (000) |
Value |
Upfront (Received) |
Unrealized (Depreciation) |
||||||||||||||||||||
| Reference | Frequency | Rate | Frequency | |||||||||||||||||||||||
| 2.50% | At Termination | U.S. CPI Urban Consumers NSA |
At Termination | 04/06/28 | $ | (700 | ) | $ | (829 | ) | $ | 10 | $ | (839 | ) | |||||||||||
| 2.52% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 04/13/28 | (1,200 | ) | (2,855 | ) | 1,935 | (4,790 | ) | |||||||||||||||
| 2.55% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 04/19/28 | (800 | ) | (3,304 | ) | 11 | (3,315 | ) | |||||||||||||||
| 2.66% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 10/01/28 | (1,000 | ) | 49,727 | 18 | 49,709 | |||||||||||||||||
| 2.96% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 10/26/28 | (1,800 | ) | 50,960 | 33 | 50,927 | |||||||||||||||||
| 1.89% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 08/20/30 | (360 | ) | 56,763 | 7,108 | 49,655 | |||||||||||||||||
| 1.90% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 08/20/30 | (420 | ) | 65,938 | 10 | 65,928 | |||||||||||||||||
| 2.24% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 01/12/31 | (2,000 | ) | 230,096 | 46 | 230,050 | |||||||||||||||||
| 2.40% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 02/09/31 | (3,000 | ) | 296,728 | 70 | 296,658 | |||||||||||||||||
| 2.47% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 04/07/31 | (2,000 | ) | 182,228 | 47 | 182,181 | |||||||||||||||||
| 2.67% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 05/19/31 | (1,000 | ) | 67,766 | 23 | 67,743 | |||||||||||||||||
| 2.57% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 06/02/31 | (3,000 | ) | 230,476 | 2,869 | 227,607 | |||||||||||||||||
| 2.60% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 09/30/31 | (1,000 | ) | 50,340 | 23 | 50,317 | |||||||||||||||||
| 2.43% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 12/19/32 | (110 | ) | 750 | 3 | 747 | |||||||||||||||||
| 2.55% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 12/30/32 | (270 | ) | (1,533 | ) | (358 | ) | (1,175 | ) | ||||||||||||||
| 2.50% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 01/05/33 | (700 | ) | (666 | ) | 17 | (683 | ) | |||||||||||||||
| 2.47% | At Termination | U.S. CPI Urban Consumers NSA | At Termination | 02/07/33 | (410 | ) | 935 | 10 | 925 | |||||||||||||||||
| 2.54% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 04/13/33 | (815 | ) | (4,367 | ) | 1,211 | (5,578 | ) | |||||||||||||||
| 2.55% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 04/25/33 | (1,200 | ) | (8,521 | ) | 28 | (8,549 | ) | |||||||||||||||
| 2.61% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 01/07/37 | (3,500 | ) | 88,240 | 101 | 88,139 | |||||||||||||||||
| 2.50% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 01/25/37 | (560 | ) | 21,081 | 16 | 21,065 | |||||||||||||||||
| 2.45% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 04/06/38 | (510 | ) | (1,066 | ) | 15 | (1,081 | ) | |||||||||||||||
| 2.40% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 06/29/41 | (500 | ) | 37,649 | 19 | 37,630 | |||||||||||||||||
| 2.45% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 06/29/41 | (1,000 | ) | 67,462 | 38 | 67,424 | |||||||||||||||||
| 2.38% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 07/16/41 | (300 | ) | 22,635 | 4 | 22,631 | |||||||||||||||||
| 2.58% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 01/05/42 | (1,530 | ) | 23,360 | 59 | 23,301 | |||||||||||||||||
| 2.33% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 12/19/42 | (200 | ) | 2,929 | 7 | 2,922 | |||||||||||||||||
| 2.40% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 01/13/43 | (40 | ) | 9 | 1 | 8 | |||||||||||||||||
| 2.47% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 03/31/43 | (120 | ) | (1,548 | ) | 5 | (1,553 | ) | |||||||||||||||
| 2.43% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 04/05/43 | (275 | ) | (1,649 | ) | 11 | (1,660 | ) | |||||||||||||||
| 14 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
|
Schedule of Investments (unaudited) (continued) April 30, 2023 |
iShares® Inflation Hedged Corporate Bond ETF |
Centrally Cleared Inflation Swaps (continued)
| Paid by the Fund |
Received by the Fund |
Termination Date |
Notional (000) |
Value |
Upfront (Received) |
Unrealized (Depreciation) |
||||||||||||||||||||
| Reference | Frequency | Rate | Frequency | |||||||||||||||||||||||
| 2.47% | At Termination | U.S. CPI Urban Consumers NSA |
At Termination | 04/19/43 | $ | (325 | ) | $ | (4,207 | ) | $ | 13 | $ | (4,220 | ) | |||||||||||
| 2.50% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 12/06/46 | (500 | ) | 12,463 | 23 | 12,440 | |||||||||||||||||
| 2.47% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 12/09/46 | (1,000 | ) | 31,610 | 44 | 31,566 | |||||||||||||||||
| 2.31% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 01/20/48 | (230 | ) | 3,160 | 11 | 3,149 | |||||||||||||||||
| 2.35% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 04/06/48 | (210 | ) | 986 | 10 | 976 | |||||||||||||||||
| 1.83% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 10/18/49 | (418 | ) | 87,119 | (11,789 | ) | 98,908 | ||||||||||||||||
| 1.94% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 08/20/50 | (10 | ) | 1,982 | 1 | 1,981 | |||||||||||||||||
| 1.95% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 08/20/50 | (600 | ) | 117,488 | 16,729 | 100,759 | |||||||||||||||||
| 2.23% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 01/06/51 | (300 | ) | 35,582 | 15 | 35,567 | |||||||||||||||||
| 2.41% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 07/30/51 | (1,000 | ) | 56,861 | 49 | 56,812 | |||||||||||||||||
| 2.42% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 08/02/51 | (459 | ) | 24,395 | 22 | 24,373 | |||||||||||||||||
| 2.37% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 02/08/53 | (225 | ) | 287 | 12 | 275 | |||||||||||||||||
| 2.35% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 04/06/53 | (50 | ) | 238 | 2 | 236 | |||||||||||||||||
| 2.40% | At Termination | U.S. CPI
Urban Consumers NSA |
At Termination | 04/13/53 | (345 | ) | (3,177 | ) | 351 | (3,528 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | 2,436,289 | $ | 17,435 | $ | 2,418,854 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
Balances Reported in the Statements of Assets and Liabilities for Centrally Cleared Swaps
| Description | Swap Premiums Paid |
Swap Premiums Received |
Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||
|
Centrally Cleared Swaps(a) |
$ | 31,877 | $ | (14,395 | ) | $ | 2,478,450 | $ | (73,319) | |||||||
| (a) |
Includes cumulative appreciation (depreciation) on centrally cleared swaps, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities and is net of any previously paid (received) swap premium amounts. |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Inflation Linked Contracts |
Total | ||||||||||||||||||||||
|
Assets — Derivative Financial Instruments |
|
|||||||||||||||||||||||||||
|
Swaps — centrally cleared |
||||||||||||||||||||||||||||
|
Unrealized appreciation on centrally cleared swaps(a) |
$ | — | $ | — | $ | — | $ | — | $ | 4,075 | $ | 2,474,375 | $ | 2,478,450 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
|
Swaps — centrally cleared |
||||||||||||||||||||||||||||
|
Unrealized depreciation on centrally cleared swaps(a) |
$ | — | $ | — | $ | — | $ | — | $ | 17,798 | $ | 55,521 | $ | 73,319 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (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 |
15 |
|
Schedule of Investments (unaudited) (continued) April 30, 2023 |
iShares® Inflation Hedged Corporate Bond ETF |
For the period ended April 30, 2023, the effect of derivative financial instruments in the Statements of Operations was as follows:
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Inflation Linked Contracts |
Total | ||||||||||||||||||||||
|
Net Realized Gain (Loss) from |
||||||||||||||||||||||||||||
|
Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | (56,283 | ) | $ | — | $ | (56,283 | ) | ||||||||||||
|
Swaps |
— | — | — | — | (6,017 | ) | 494,473 | 488,456 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | — | $ | — | $ | — | $ | (62,300 | ) | $ | 494,473 | $ | 432,173 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net Change in Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
|
Futures contracts |
$ | — | $ | — | $ | — | $ | — | $ | (113,634 | ) | $ | — | $ | (113,634 | ) | ||||||||||||
|
Swaps |
— | — | — | — | (13,723 | ) | (1,363,498 | ) | (1,377,221 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | — | $ | — | $ | — | $ | (127,357 | ) | $ | (1,363,498 | ) | $ | (1,490,855 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Average Quarterly Balances of Outstanding Derivative Financial Instruments
|
Interest rate swaps: |
||||
|
Average notional value — pays fixed rate |
$ | 2,200,000 | ||
|
Inflation swaps: |
||||
|
Average notional value – pays fixed rate |
$ | 56,247,500 | ||
|
Average notional value – receives fixed rate |
$ | 1,385,000 |
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
Assets |
||||||||||||||||
|
Investments |
||||||||||||||||
|
Long-Term Investments |
||||||||||||||||
|
Investment Companies |
$ | 59,157,510 | $ | — | $ | — | $ | 59,157,510 | ||||||||
|
Short-Term Securities |
||||||||||||||||
|
Money Market Funds |
740,000 | — | — | 740,000 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 59,897,510 | $ | — | $ | — | $ | 59,897,510 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
Derivative Financial Instruments(a) |
||||||||||||||||
|
Assets |
||||||||||||||||
|
Inflation Linked Contracts |
$ | — | $ | 2,474,375 | $ | — | $ | 2,474,375 | ||||||||
|
Interest Rate Contracts |
— | 4,075 | — | 4,075 | ||||||||||||
|
Liabilities |
||||||||||||||||
|
Inflation Linked Contracts |
— | (55,521 | ) | — | (55,521 | ) | ||||||||||
|
Interest Rate Contracts |
— | (17,798 | ) | — | (17,798 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | — | $ | 2,405,131 | $ | — | 2,405,131 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) |
Derivative financial instruments are swaps. Swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
| 16 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
|
Schedule of Investments (unaudited) April 30, 2023 |
iShares® Inflation Hedged High Yield Bond ETF (Percentages shown are based on Net Assets) |
|
|
Shares |
Value |
||||||
|
Investment Companies |
| |||||||
| Exchange-Traded Funds — 96.1% | ||||||||
|
iShares iBoxx $ High Yield Corporate Bond ETF(a)(b) |
32,244 | $ | 2,429,908 | |||||
|
|
|
|||||||
|
Total
Investment Companies |
|
2,429,908 | ||||||
|
|
|
|||||||
|
Short-Term Securities |
| |||||||
|
Money Market Funds — 48.1% |
| |||||||
|
BlackRock
Cash Funds: Institutional, SL Agency Shares, |
1,155,468 | 1,155,814 | ||||||
|
BlackRock
Cash Funds: Treasury, SL Agency Shares, |
60,000 | 60,000 | ||||||
|
|
|
|||||||
|
Total
Short-Term Securities — 48.1% |
|
1,215,814 | ||||||
|
|
|
|||||||
|
Total
Investments in Securities — 144.2% |
|
3,645,722 | ||||||
|
Liabilities in Excess of Other Assets — (44.2)% |
|
(1,117,317 | ) | |||||
|
|
|
|||||||
|
Net Assets — 100.0% |
|
$ | 2,528,405 | |||||
|
|
|
|||||||
| (a) |
Affiliate of the Fund. |
| (b) |
All or a portion of this security is on loan. |
| (c) |
Annualized 7-day yield as of period end. |
| (d) |
All or a portion of this security was purchased with the cash collateral from loaned securities. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended April 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 10/31/22 |
Purchases at Cost |
Proceeds from Sale |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value at 04/30/23 |
Shares Held at 04/30/23 |
Income | Capital Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
|
BlackRock Cash Funds: Institutional, SL Agency Shares |
$ | 723,613 | $ | 432,009 | (a) | $ | — | $ | 517 | $ | (325 | ) | $ | 1,155,814 | 1,155,468 | $ | 4,679 | (b) | $ | — | ||||||||||||||||
|
BlackRock Cash Funds: Treasury, SL Agency Shares |
50,000 | 10,000 | (a) | — | — | — | 60,000 | 60,000 | 1,168 | — | ||||||||||||||||||||||||||
|
iShares iBoxx $ High Yield Corporate Bond ETF |
2,389,706 | 37,756 | (59,435 | ) | 186 | 61,695 | 2,429,908 | 32,244 | 69,423 | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $ | 703 | $ | 61,370 | $ | 3,645,722 | $ | 75,270 | $ | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (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
Centrally Cleared Interest Rate Swaps
|
Paid by the Fund |
Received by the Fund |
Effective Date |
Termination Date |
Notional Amount (000) |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
|
Rate |
Frequency | Rate | Frequency | |||||||||||||||||||||||
| 3.18% | Annual | 1-Day SOFR, 4.81% | Annual | N/A | 01/17/30 | $ (15) | $ | 29 | $ | — | $ | 29 | ||||||||||||||
|
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) April 30, 2023 |
iShares® Inflation Hedged High Yield Bond ETF |
OTC Inflation Swaps
| Paid by the Fund |
Received by the Fund |
Counterparty |
Termination Date |
Notional Amount (000) |
Value | Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
|
Reference |
Frequency | Rate | Frequency | |||||||||||||||||||||||
| 4.05% | At Termination |
U.S. CPI Urban Consumers NAS |
At Termination | Goldman Sachs International | 06/24/24 | $ (197) | $(1,655) | $ | — | $ | (1,655 | ) | ||||||||||||||
| 4.06% | At Termination |
U.S. CPI Urban Consumers NAS |
At Termination | Goldman Sachs International | 06/24/24 | (50) | (429) | — | (429 | ) | ||||||||||||||||
| 3.05% | At Termination |
U.S. CPI Urban Consumers NAS |
At Termination | Goldman Sachs International | 06/24/27 | (520) | (3,268) | — | (3,268 | ) | ||||||||||||||||
| 2.82% | At Termination |
U.S. CPI Urban Consumers NAS |
At Termination | Goldman Sachs International | 06/24/32 | (98) | (1,031) | — | (1,031 | ) | ||||||||||||||||
|
|
|
|
|
|
||||||||||||||||||||||
| $(6,383) | $ | — | $ | (6,383 | ) | |||||||||||||||||||||
|
|
|
|
|
|
||||||||||||||||||||||
Centrally Cleared Inflation Swaps
|
Paid by the Fund |
Received by the Fund |
Termination Date |
Notional Amount (000) |
Value |
Upfront Premium Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
|
Reference |
Frequency | Rate | Frequency | |||||||||||||||||||||||
| 2.75% | At Termination |
U.S. CPI Urban Consumers NSA |
At Termination | 11/29/23 | $ | (32 | ) | $ | 142 | $ | — | $ | 142 | |||||||||||||
| 2.54% | At Termination |
U.S. CPI Urban Consumers NSA |
At Termination | 02/10/24 | (60 | ) | 188 | — | 188 | |||||||||||||||||
| 2.58% | At Termination |
U.S. CPI Urban Consumers NSA |
At Termination | 11/22/24 | (8 | ) | 15 | — | 15 | |||||||||||||||||
| 3.13% | At Termination |
U.S. CPI Urban Consumers NSA |
At Termination | 07/12/25 | (370 | ) | (495 | ) | 4 | (499 | ) | |||||||||||||||
| 2.98% | At Termination |
U.S. CPI Urban Consumers NSA |
At Termination | 09/08/25 | (100 | ) | (1,370 | ) | 1 | (1,371 | ) | |||||||||||||||
| 2.74% | At Termination |
U.S. CPI Urban Consumers NSA |
At Termination | 12/07/25 | (42 | ) | (216 | ) | 1 | (217 | ) | |||||||||||||||
| 2.35% | At Termination |
U.S. CPI Urban Consumers NSA |
At Termination | 02/07/26 | (14 | ) | 52 | — | 52 | |||||||||||||||||
| 2.50% | At Termination |
U.S. CPI Urban Consumers NSA |
At Termination | 04/13/26 | (43 | ) | (108 | ) | — | (108 | ) | |||||||||||||||
| 2.90% | At Termination |
U.S. CPI Urban Consumers NSA |
At Termination | 07/12/27 | (124 | ) | (298 | ) | 2 | (300 | ) | |||||||||||||||
| 2.62% | At Termination |
U.S. CPI Urban Consumers NSA |
At Termination | 02/28/28 | (8 | ) | (25 | ) | — | (25 | ) | |||||||||||||||
| 2.75% | At Termination |
U.S. CPI Urban Consumers NSA |
At Termination | 07/12/29 | (488 | ) | 564 | 8 | 556 | |||||||||||||||||
| 2.52% | At Termination |
U.S. CPI Urban Consumers NSA |
At Termination | 10/11/29 | (13 | ) | 25 | — | 25 | |||||||||||||||||
| 2.80% | At Termination |
U.S. CPI Urban Consumers NSA |
At Termination | 10/27/29 | (25 | ) | (399 | ) | — | (399 | ) | |||||||||||||||
| 2.71% | At Termination |
U.S. CPI Urban Consumers NSA |
At Termination | 12/07/29 | (24 | ) | (256 | ) | 1 | (257 | ) | |||||||||||||||
| 2.51% | At Termination |
U.S. CPI Urban Consumers NSA |
At Termination | 12/22/29 | (25 | ) | 23 | — | 23 | |||||||||||||||||
|
2.44% |
At Termination |
U.S. CPI Urban Consumers NSA |
At Termination | 02/07/30 | (20 | ) | 101 | — | 101 | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $ | (2,057 | ) | $ | 17 | $ | (2,074 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
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) |
$ | 17 | $ | — | $ | 1,131 | $ | (3,176 | ) | |||||||
|
OTC Swaps |
— | — | — | (6,383 | ) | |||||||||||
| (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. |
| 18 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
|
Schedule of Investments (unaudited) (continued) April 30, 2023 |
iShares® Inflation Hedged High Yield Bond ETF |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Inflation Linked Contracts |
Total | ||||||||||||||||||||||
|
Assets — Derivative Financial Instruments |
|
|||||||||||||||||||||||||||
|
Swaps — centrally cleared |
||||||||||||||||||||||||||||
|
Unrealized appreciation on centrally cleared swaps(a) |
$ | — | $ | — | $ | — | $ | — | $ | 29 | $ | 1,102 | $ | 1,131 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Liabilities — Derivative Financial Instruments | ||||||||||||||||||||||||||||
|
Swaps — OTC |
||||||||||||||||||||||||||||
|
Unrealized depreciation on OTC swaps; Swap premiums received |
$ | — | $ | — | $ | — | $ | — | $ | — | $ | 6,383 | $ | 6,383 | ||||||||||||||
|
Swaps — centrally cleared |
||||||||||||||||||||||||||||
|
Unrealized depreciation on centrally cleared swaps(a) |
$ | — | $ | — | $ | — | $ | — | $ | — | $ | 3,176 | $ | 3,176 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | — | $ | — | $ | — | $ | — | $ | — | $ | 9,559 | $ | 9,559 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| (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). |
For the period ended April 30, 2023, the effect of derivative financial instruments in the Statements of Operations was as follows:
| Commodity Contracts |
Credit Contracts |
Equity Contracts |
Foreign Currency Exchange Contracts |
Interest Rate Contracts |
Inflation Linked Contracts |
Total | ||||||||||||||||||||||
|
Net Realized Gain (Loss) from |
||||||||||||||||||||||||||||
|
Swaps |
$ | — | $ | — | $ | — | $ | — | $ | 282 | $ | 319 | $ | 601 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
| Net Change in Unrealized Appreciation (Depreciation) on | ||||||||||||||||||||||||||||
|
Swaps |
$ | — | $ | — | $ | — | $ | — | $ | 29 | $ | (29,630 | ) | $ | (29,601 | ) | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||
Average Quarterly Balances of Outstanding Derivative Financial Instruments
|
Interest rate swaps: |
||||
|
Average notional value — pays fixed rate |
$ | 15,000 | ||
|
Inflation swaps: |
||||
|
Average notional value – pays fixed rate |
$ | 2,272,350 | ||
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: |
||||||||
|
Swaps - centrally cleared |
$ | 1,131 | $ | 3,176 | ||||
|
Swaps - OTC(a) |
— | 6,383 | ||||||
|
|
|
|
|
|||||
|
Total derivative assets and liabilities in the Statement of Assets and Liabilities |
1,131 | 9,559 | ||||||
|
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
(1,131 | ) | (3,176 | ) | ||||
|
|
|
|
|
|||||
|
Total derivative assets and liabilities subject to an MNA |
— | 6,383 | ||||||
|
|
|
|
|
|||||
| (a) |
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
|
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) April 30, 2023 |
iShares® Inflation Hedged High Yield Bond ETF |
The following table presents the Fund’s derivative liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral pledged by the Fund:
|
|
||||||||||||||||||||
| Counterparty | |
Derivative Liabilities Subject to an MNA by Counterparty |
|
|
Derivatives Available for Offset |
|
|
Non-Cash Collateral Pledged |
|
|
Cash Collateral Pledged |
|
|
Net Amount of Derivative Liabilities |
(a) | |||||
|
|
||||||||||||||||||||
|
Goldman Sachs International |
$ | 6,383 | $ | — | $ | — | $ | — | $ | 6,383 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (a) |
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 |
||||||||||||||||
|
Investment Companies |
$ | 2,429,908 | $ | — | $ | — | $ | 2,429,908 | ||||||||
|
Short-Term Securities |
||||||||||||||||
|
Money Market Funds |
1,215,814 | — | — | 1,215,814 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 3,645,722 | $ | — | $ | — | $ | 3,645,722 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
|
Derivative Financial Instruments(a) |
||||||||||||||||
|
Assets |
||||||||||||||||
|
Inflation Linked Contracts |
$ | — | $ | 1,102 | $ | — | $ | 1,102 | ||||||||
|
Interest Rate Contracts |
— | 29 | — | 29 | ||||||||||||
|
Liabilities |
||||||||||||||||
|
Inflation Linked Contracts |
— | (9,559 | ) | — | (9,559 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | — | $ | (8,428 | ) | $ | — | (8,428 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) |
Derivative financial instruments are swaps. Swaps are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
| 20 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
|
Schedule of Investments (unaudited) April 30, 2023 |
iShares® Inflation Hedged U.S. Aggregate Bond ETF (Percentages shown are based on Net Assets) |
|
Security |
Shares |
Value |
||||||
|
Investment Companies |
| |||||||
| Exchange-Traded Funds — 95.7% | ||||||||
|
iShares Core U.S. Aggregate Bond ETF(a) |
23,738 | $ | 2,372,850 | |||||
|
|
|
|||||||
|
Total
Investment Companies |
2,372,850 | |||||||
|
|
|
|||||||
|
Short-Term Securities |
| |||||||
| Money Market Funds — 1.6% | ||||||||
|
BlackRock
Cash Funds: Treasury, SL Agency Shares, |
40,000 | 40,000 | ||||||
|
|
|
|||||||
|
Total
Short-Term Securities — 1.6% |
|
40,000 | ||||||
|
|
|
|||||||
|
Total
Investments in Securities — 97.3% |
|
2,412,850 | ||||||
|
Other Assets Less Liabilities — 2.7% |
|
65,751 | ||||||
|
|
|
|||||||
|
Net Assets — 100.0% |
|
$ | 2,478,601 | |||||
|
|
|
|||||||
| (a) |
Affiliate of the Fund. |
| (b) |
Annualized 7-day yield as of period end. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended April 30, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | Value at 10/31/22 |
Purchases at Cost |
Proceeds from Sale |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value at 04/30/23 |
Shares Held at 04/30/23 |
Income | Capital
Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
|
BlackRock Cash Funds: Treasury, SL Agency Shares |
$ | 30,000 | $ | 10,000 | (a) | $ | — | $ | — | $ | — | $ | 40,000 | 40,000 | $ | 370 | $ | — | ||||||||||||||||||
|
iShares Core U.S. Aggregate Bond ETF |
2,285,951 | 69,048 | (103,306 | ) | (2,524 | ) | 123,681 | 2,372,850 | 23,738 | 33,278 | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| $ | (2,524 | ) | $ | 123,681 | $ | 2,412,850 | $ | 33,648 | $ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| (a) |
Represents net amount purchased (sold). |
Derivative Financial Instruments Outstanding as of Period End
Centrally Cleared Interest Rate Swaps
|
Paid by the Fund |
Received by the Fund |
Effective Date |
Termination Date |
Notional (000) |
Value |
Upfront (Received) |
Unrealized (Depreciation) |
|||||||||||||||||||||||
| Rate | Frequency | Rate | Frequency | |||||||||||||||||||||||||||
| 3.23% | Annual | 1-Day SOFR, 4.81% | Annual | N/A | 01/11/33 | $ | (5 | ) | $ | (31 | ) | $ | — | $ | (31 | ) | ||||||||||||||
| 3.20% | Annual | 1-Day SOFR, 4.81% | Annual | N/A | 12/06/42 | (5 | ) | (36 | ) | — | (36 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | (67 | ) | $ | — | $ | (67 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
OTC Inflation Swaps
| Paid by the Fund | Received by the Fund |
|
Termination Date |
Notional (000) |
Value |
Upfront (Received) |
Unrealized (Depreciation) |
|||||||||||||||||||||
| Reference | Frequency | Rate | Frequency | Counterparty | ||||||||||||||||||||||||
| U.S. CPI Urban | ||||||||||||||||||||||||||||
| 3.05% | At Termination | Consumers NAS | At Termination | Goldman Sachs International | 06/24/27 | $ | (315 | ) | $ | (1,980 | ) | $ | — | $ | (1,980 | ) | ||||||||||||
|
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) April 30, 2023 |
iShares® Inflation Hedged U.S. Aggregate Bond ETF |
OTC Inflation Swaps (continued)
| Paid by the Fund | Received by the Fund |
|
Termination Date |
Notional (000) |
Value |
Upfront (Received) |
Unrealized (Depreciation) |
|||||||||||||||||||||||
| Reference | Frequency | Rate | Frequency | Counterparty | ||||||||||||||||||||||||||
| 2.86% | At Termination | |
U.S. CPI Urban Consumers NAS |
At Termination | Goldman Sachs International | 06/24/29 | $ | (315 | ) | $ | (998 | ) | $ | — | $ | (998 | ) | |||||||||||||
| 2.55% | At Termination | |
U.S. CPI
Urban Consumers NAS |
At Termination | Goldman Sachs International | 06/24/47 | (47 | ) | (814 | ) | — | (814 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $ | (3,792 | ) | $ | — | $ | (3,792 | ) | |||||||||||||||||||||||