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Fund name | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
BlackRock Advantage Large Cap Income ETF | $19 | 0.35% |
6-Month Total Returns | Since Inception | |
Fund NAV | 14.30% | 25.87% |
Fund Market | 14.47% | 26.18% |
S&P 500® Index | 15.29% | 29.23% |
Net Assets | $46,039,726% |
Number of Portfolio Holdings | $131% |
Portfolio Turnover Rate | $53% |
Sector(a) | Percent of Total Investments(b) |
Information Technology | 31.3% |
Financials | 13.3% |
Health Care | 13.1% |
Communication Services | 10.7% |
Consumer Discretionary | 10.6% |
Industrials | 8.4% |
Consumer Staples | 6.7% |
Energy | 2.9% |
Utilities | 1.3% |
Materials | 1.2% |
Other(c) | 0.5% |
Security | Percent of Total Investments(b) |
Microsoft Corp. | 8.2% |
Apple Inc. | 7.6% |
NVIDIA Corp. | 6.2% |
Amazon.com, Inc. | 4.9% |
Alphabet, Inc., Class A | 3.4% |
Alphabet, Inc., Class C, NVS | 2.0% |
Eli Lilly & Co. | 1.8% |
Johnson & Johnson | 1.8% |
Mastercard, Inc., Class A | 1.8% |
Home Depot, Inc. (The) | 1.7% |
(a) | For purposes of this report, sector sub-classifications may differ from those utilized for compliance purposes. |
(b) | Excludes short-term securities, short investments and options, if any. |
(c) | Ten largest sectors are presented. Additional sectors are found in Other. |
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(b) Not Applicable
Item 2 – | Code of Ethics – Not applicable to this semi-annual report. |
Item 3 – | Audit Committee Financial Expert – Not applicable to this semi-annual report. |
Item 4 – | Principal Accountant Fees and Services – Not applicable to this semi-annual report. |
Item 5 – | Audit Committee of Listed Registrant – Not applicable. |
Item 6 – | Investments |
(a) The registrant’s Schedule of Investments is included as part of the Financial Statement and Financial Highlights for Open-End Management Investment Companies filed under Item 7 of this Form.
(b) Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – | Financial Statements and Financial Highlights for Open-End Management Investment Companies |
(a) The registrant’s Financial Statements are attached herewith.
(b) The registrant’s Financial Highlights are attached herewith.
2
JUNE 30, 2024 |
2024 Semi-Annual Financial Statements (Unaudited) |
BlackRock ETF Trust
· | BlackRock Advantage Large Cap Income ETF | BALI | Cboe BZX |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Table of Contents
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8 | ||||
9 | ||||
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11 | ||||
17 | ||||
19 |
2 |
Schedule of Investments (unaudited) June 30, 2024
| BlackRock Advantage Large Cap Income ETF (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Common Stocks | ||||||||
Aerospace & Defense — 1.9% | ||||||||
Lockheed Martin Corp. | 1,228 | $ | 573,599 | |||||
Northrop Grumman Corp. | 656 | 285,983 | ||||||
|
| |||||||
859,582 | ||||||||
Air Freight & Logistics — 0.9% | ||||||||
Expeditors International of Washington, Inc. | 1,162 | 145,006 | ||||||
United Parcel Service, Inc., Class B | 1,846 | 252,625 | ||||||
|
| |||||||
397,631 | ||||||||
Automobiles — 1.2% | ||||||||
Ford Motor Co. | 32,201 | 403,801 | ||||||
Tesla, Inc.(a) | 833 | 164,834 | ||||||
|
| |||||||
568,635 | ||||||||
Banks — 2.1% | ||||||||
Citigroup, Inc. | 6,343 | 402,527 | ||||||
JPMorgan Chase & Co. | 2,715 | 549,136 | ||||||
|
| |||||||
951,663 | ||||||||
Beverages — 0.2% | ||||||||
Monster Beverage Corp.(a) | 473 | 23,627 | ||||||
PepsiCo, Inc. | 439 | 72,404 | ||||||
|
| |||||||
96,031 | ||||||||
Biotechnology — 3.8% | ||||||||
AbbVie, Inc. | 4,374 | 750,228 | ||||||
Exelixis, Inc.(a) | 2,142 | 48,131 | ||||||
Gilead Sciences, Inc. | 8,225 | 564,317 | ||||||
Incyte Corp.(a) | 3,772 | 228,659 | ||||||
Neurocrine Biosciences, Inc.(a) | 1,246 | 171,537 | ||||||
|
| |||||||
1,762,872 | ||||||||
Broadline Retail — 4.8% | ||||||||
Amazon.com, Inc.(a)(b) | 11,377 | 2,198,605 | ||||||
|
| |||||||
Capital Markets — 2.4% | ||||||||
CME Group, Inc., Class A | 2,624 | 515,879 | ||||||
Invesco Ltd. | 441 | 6,597 | ||||||
Lazard, Inc. | 685 | 26,153 | ||||||
S&P Global, Inc. | 233 | 103,918 | ||||||
XP, Inc., Class A | 25,972 | 456,848 | ||||||
|
| |||||||
1,109,395 | ||||||||
Chemicals — 1.1% | ||||||||
Sherwin-Williams Co. (The) | 1,746 | 521,059 | ||||||
|
| |||||||
Commercial Services & Supplies — 2.4% |
| |||||||
Cintas Corp. | 154 | 107,840 | ||||||
Republic Services, Inc. | 2,308 | 448,537 | ||||||
Waste Connections, Inc. | 151 | 26,479 | ||||||
Waste Management, Inc. | 2,550 | 544,017 | ||||||
|
| |||||||
1,126,873 | ||||||||
Communications Equipment — 0.0% | ||||||||
Juniper Networks, Inc. | 315 | 11,485 | ||||||
|
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Construction & Engineering — 0.0% |
| |||||||
EMCOR Group, Inc. | 41 | 14,968 | ||||||
|
| |||||||
Consumer Finance — 0.5% | ||||||||
OneMain Holdings, Inc. | 4,418 | 214,229 | ||||||
|
| |||||||
Consumer Staples Distribution & Retail — 1.3% |
| |||||||
Costco Wholesale Corp. | 6 | 5,100 | ||||||
Kroger Co. (The) | 9,505 | 474,584 | ||||||
Sysco Corp. | 544 | 38,836 | ||||||
Walmart, Inc. | 1,477 | 100,008 | ||||||
|
| |||||||
618,528 |
Security | Shares | Value | ||||||
Diversified Telecommunication Services — 1.7% |
| |||||||
AT&T Inc. | 32,293 | $ | 617,119 | |||||
Verizon Communications, Inc. | 4,622 | 190,612 | ||||||
|
| |||||||
807,731 | ||||||||
Electric Utilities — 0.5% | ||||||||
Exelon Corp. | 2,889 | 99,988 | ||||||
OGE Energy Corp. | 3,613 | 128,984 | ||||||
|
| |||||||
228,972 | ||||||||
Electrical Equipment — 0.3% | ||||||||
Eaton Corp. PLC | 409 | 128,242 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.1% |
| |||||||
TE Connectivity Ltd. | 3,381 | 508,604 | ||||||
|
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Entertainment — 0.6% | ||||||||
Electronic Arts, Inc. | 1,648 | 229,616 | ||||||
Netflix, Inc.(a) | 95 | 64,113 | ||||||
|
| |||||||
293,729 | ||||||||
Financial Services — 3.4% | ||||||||
Berkshire Hathaway, Inc., Class B(a) | 767 | 312,016 | ||||||
Mastercard, Inc., Class A | 1,809 | 798,058 | ||||||
Visa, Inc., Class A | 1,784 | 468,247 | ||||||
|
| |||||||
1,578,321 | ||||||||
Food Products — 2.5% | ||||||||
Conagra Brands, Inc. | 4,583 | 130,249 | ||||||
Flowers Foods, Inc. | 930 | 20,646 | ||||||
General Mills, Inc. | 7,644 | 483,559 | ||||||
Ingredion, Inc. | 136 | 15,599 | ||||||
Kellanova | 3,123 | 180,135 | ||||||
Mondelez International, Inc., Class A | 5,196 | 340,026 | ||||||
|
| |||||||
1,170,214 | ||||||||
Ground Transportation — 0.0% | ||||||||
Old Dominion Freight Line, Inc. | 22 | 3,885 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.8% |
| |||||||
Medtronic PLC | 2,424 | 190,793 | ||||||
Stryker Corp. | 494 | 168,084 | ||||||
|
| |||||||
358,877 | ||||||||
Health Care Providers & Services — 2.5% | ||||||||
Cardinal Health, Inc. | 4,691 | 461,219 | ||||||
Cigna Group (The) | 182 | 60,164 | ||||||
Elevance Health, Inc. | 395 | 214,034 | ||||||
McKesson Corp. | 145 | 84,686 | ||||||
UnitedHealth Group, Inc. | 672 | 342,223 | ||||||
|
| |||||||
1,162,326 | ||||||||
Hotels, Restaurants & Leisure — 2.1% | ||||||||
Booking Holdings, Inc. | 16 | 63,384 | ||||||
Darden Restaurants, Inc. | 3,116 | 471,513 | ||||||
McDonald’s Corp. | 1,638 | 417,428 | ||||||
|
| |||||||
952,325 | ||||||||
Household Durables — 0.4% | ||||||||
Leggett & Platt, Inc. | 15,175 | 173,906 | ||||||
|
| |||||||
Household Products — 2.4% | ||||||||
Clorox Co. (The) | 91 | 12,419 | ||||||
Colgate-Palmolive Co. | 5,521 | 535,758 | ||||||
Kimberly-Clark Corp. | 3,527 | 487,431 | ||||||
Procter & Gamble Co. (The) | 384 | 63,329 | ||||||
|
| |||||||
1,098,937 | ||||||||
Industrial Conglomerates — 0.3% | ||||||||
Honeywell International, Inc. | 562 | 120,009 | ||||||
|
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S C H E D U L E O F I N V E S T M E N T S | 3 |
Schedule of Investments (unaudited) (continued) June 30, 2024
| BlackRock Advantage Large Cap Income ETF (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Insurance — 4.0% | ||||||||
Allstate Corp. (The) | 108 | $ | 17,243 | |||||
Everest Group Ltd. | 71 | 27,052 | ||||||
Marsh & McLennan Cos., Inc. | 2,775 | 584,748 | ||||||
Progressive Corp. (The) | 2,759 | 573,072 | ||||||
Reinsurance Group of America, Inc. | 24 | 4,927 | ||||||
Travelers Cos., Inc. (The) | 2,129 | 432,911 | ||||||
W R Berkley Corp. | 2,630 | 206,665 | ||||||
|
| |||||||
1,846,618 | ||||||||
Interactive Media & Services — 6.6% | ||||||||
Alphabet, Inc., Class A(b) | 8,291 | 1,510,206 | ||||||
Alphabet, Inc., Class C, NVS | 4,830 | 885,918 | ||||||
Meta Platforms, Inc., Class A | 1,268 | 639,351 | ||||||
|
| |||||||
3,035,475 | ||||||||
IT Services — 0.2% | ||||||||
Cognizant Technology Solutions Corp., Class A | 1,492 | 101,456 | ||||||
|
| |||||||
Machinery — 1.3% | ||||||||
CNH Industrial NV | 28,856 | 292,311 | ||||||
Flowserve Corp. | 737 | 35,450 | ||||||
Oshkosh Corp. | 1,070 | 115,774 | ||||||
Otis Worldwide Corp. | 665 | 64,013 | ||||||
Parker-Hannifin Corp. | 150 | 75,871 | ||||||
|
| |||||||
583,419 | ||||||||
Media — 1.4% | ||||||||
Comcast Corp., Class A | 15,619 | 611,640 | ||||||
New York Times Co. (The), Class A | 752 | 38,510 | ||||||
|
| |||||||
650,150 | ||||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.6% |
| |||||||
Annaly Capital Management, Inc. | 13,967 | 266,211 | ||||||
|
| |||||||
Multi-Utilities — 0.8% | ||||||||
Ameren Corp. | 1,174 | 83,483 | ||||||
CMS Energy Corp. | 1,889 | 112,452 | ||||||
WEC Energy Group, Inc. | 1,963 | 154,017 | ||||||
|
| |||||||
349,952 | ||||||||
Oil, Gas & Consumable Fuels — 2.9% | ||||||||
ConocoPhillips | 4 | 458 | ||||||
Devon Energy Corp. | 3,356 | 159,074 | ||||||
EOG Resources, Inc. | 4,272 | 537,717 | ||||||
Exxon Mobil Corp. | 1,995 | 229,664 | ||||||
Hess Corp. | 299 | 44,108 | ||||||
ONEOK, Inc. | 1,198 | 97,697 | ||||||
Ovintiv, Inc. | 2,057 | 96,412 | ||||||
Valero Energy Corp. | 987 | 154,722 | ||||||
|
| |||||||
1,319,852 | ||||||||
Pharmaceuticals — 5.6% | ||||||||
Bristol-Myers Squibb Co. | 4,395 | 182,524 | ||||||
Eli Lilly & Co. | 899 | 813,937 | ||||||
Johnson & Johnson | 5,563 | 813,088 | ||||||
Merck & Co., Inc. | 6,166 | 763,351 | ||||||
|
| |||||||
2,572,900 | ||||||||
Professional Services — 0.0% | ||||||||
Robert Half, Inc. | 150 | 9,597 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 10.2% |
| |||||||
Broadcom, Inc. | 173 | 277,757 | ||||||
Intel Corp. | 7,715 | 238,933 | ||||||
Lam Research Corp. | 593 | 631,456 |
Security | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment (continued) |
| |||||||
Micron Technology, Inc. | 1,045 | $ | 137,449 | |||||
NVIDIA Corp.(b) | 22,486 | 2,777,920 | ||||||
QUALCOMM, Inc. | 3,166 | 630,604 | ||||||
|
| |||||||
4,694,119 | ||||||||
Software — 11.2% | ||||||||
Adobe, Inc.(a) | 475 | 263,882 | ||||||
Atlassian Corp., Class A(a) | 105 | 18,572 | ||||||
Fortinet, Inc.(a) | 2,245 | 135,306 | ||||||
Manhattan Associates, Inc.(a) | 1,976 | 487,440 | ||||||
Microsoft Corp.(b) | 8,280 | 3,700,746 | ||||||
Salesforce, Inc. | 1,560 | 401,076 | ||||||
ServiceNow, Inc.(a) | 184 | 144,747 | ||||||
|
| |||||||
5,151,769 | ||||||||
Specialized REITs — 0.9% | ||||||||
Equinix, Inc. | 151 | 114,247 | ||||||
Gaming & Leisure Properties, Inc. | 6,828 | 308,694 | ||||||
|
| |||||||
422,941 | ||||||||
Specialty Retail — 1.7% | ||||||||
Home Depot, Inc. (The) | 2,261 | 778,327 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 7.8% |
| |||||||
Apple Inc.(b) | 16,308 | 3,434,791 | ||||||
HP, Inc. | 617 | 21,607 | ||||||
NetApp, Inc. | 903 | 116,307 | ||||||
|
| |||||||
3,572,705 | ||||||||
Textiles, Apparel & Luxury Goods — 0.2% |
| |||||||
NIKE, Inc., Class B | 1,093 | 82,379 | ||||||
|
| |||||||
Trading Companies & Distributors — 1.1% |
| |||||||
MSC Industrial Direct Co., Inc., Class A | 1,829 | 145,058 | ||||||
Watsco, Inc. | 478 | 221,429 | ||||||
WW Grainger, Inc. | 163 | 147,065 | ||||||
|
| |||||||
513,552 | ||||||||
|
| |||||||
Total Long-Term Investments — 97.7% |
| 44,989,056 | ||||||
|
| |||||||
Short-Term Securities | ||||||||
Money Market Funds — 1.9% | ||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares, 5.28%(c)(d) | 850,675 | 850,675 | ||||||
|
| |||||||
Total Short-Term Securities — 1.9% |
| 850,675 | ||||||
|
| |||||||
Total Investments Before Options Written — 99.6% |
| 45,839,731 | ||||||
|
| |||||||
Options Written — (0.4)% |
| (179,200 | ) | |||||
|
| |||||||
Total Investments Net of Options Written — 99.2% |
| 45,660,531 | ||||||
Other Assets Less Liabilities — 0.8% | 379,195 | |||||||
|
| |||||||
Net Assets — 100.0% | $ 46,039,726 | |||||||
|
|
(a) | Non-income producing security. |
(b) | All or a portion of the security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written. |
(c) | Affiliate of the Fund. |
(d) | Annualized 7-day yield as of period end. |
4 | 2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S |
Schedule of Investments (unaudited) (continued) June 30, 2024 | BlackRock Advantage Large Cap Income ETF |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended June 30, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 12/31/23 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 06/30/24 | Shares Held at 06/30/24 | Income | Capital Gain | |||||||||||||||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares | $ | 223,329 | $ | 627,346 | (a) | $ | — | $ | — | $ | — | $ | 850,675 | 850,675 | $ | 13,999 | $ | — | ||||||||||||||||||
|
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(a) | Represents net amount purchased (sold). |
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 | ||||||||||||||||
Micro E-Mini S&P 500 Index | 339 | 09/20/24 | $ | 9,359 | $ | 31,192 | ||||||||||
|
|
Exchange-Traded Options Written
Description | Number of Contracts | Expiration Date | Exercise Price | Notional Amount (000) | Value | |||||||||||||||
Call | ||||||||||||||||||||
S&P 500 Index | 8 | 07/05/24 | USD 5,415.00 | USD 4,368 | $ | (56,440 | ) | |||||||||||||
S&P 500 Index | 9 | 07/12/24 | USD 5,470.00 | USD 4,914 | (45,135 | ) | ||||||||||||||
S&P 500 Index | 9 | 07/19/24 | USD 5,515.00 | USD 4,914 | (33,975 | ) | ||||||||||||||
S&P 500 Index | 9 | 07/26/24 | USD 5,535.00 | USD 4,914 | (43,650 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (179,200 | ) | ||||||||||||||||||
|
|
Balances Reported in the Statement of Assets and Liabilities for Options Written
Description | Swap Premiums Paid | Swap Premiums Received | Unrealized Appreciation | Unrealized Depreciation | Value | |||||||||||||||
Options Written | $ | N/A | $ | N/A | $ | 14,616 | $ | (22,394 | ) | $ | (179,200 | ) |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statement 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) | $ | — | $ | — | $ | 31,192 | $ | — | $ | — | $ | — | $ | 31,192 | ||||||||||||||
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Liabilities — Derivative Financial Instruments |
| |||||||||||||||||||||||||||
Options written | ||||||||||||||||||||||||||||
Options written at value | $ | — | $ | — | $ | 179,200 | $ | — | $ | — | $ | — | $ | 179,200 | ||||||||||||||
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(a) | Net cumulative unrealized appreciation (depreciation) on futures contracts, if any, are reported in the Schedule of Investments. In the Statement 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 | 5 |
Schedule of Investments (unaudited) (continued) June 30, 2024 | BlackRock Advantage Large Cap Income ETF |
For the period ended June 30, 2024, the effect of derivative financial instruments in the Statement 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 | $ | — | $ | — | $ | 553,446 | $ | — | $ | — | $ | — | $ | 553,446 | ||||||||||||||
Options written | — | — | (641,063 | ) | — | — | — | (641,063 | ) | |||||||||||||||||||
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$ | — | $ | — | $ | (87,617 | ) | $ | — | $ | — | $ | — | $ | (87,617 | ) | |||||||||||||
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Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||||||||||||||||||||||
Futures contracts | $ | — | $ | — | $ | (90,868 | ) | $ | — | $ | — | $ | — | $ | (90,868 | ) | ||||||||||||
Options written | — | — | 35,748 | — | — | — | 35,748 | |||||||||||||||||||||
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$ | — | $ | — | $ | (55,120 | ) | $ | — | $ | — | $ | — | $ | (55,120 | ) | |||||||||||||
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Average Quarterly Balances of Outstanding Derivative Financial Instruments
| ||||
Futures contracts | ||||
Average notional value of contracts — long | $7,307,179 | |||
Options: | ||||
Average value of option contracts written | $150,733 | |||
|
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 | ||||||||||||||||
Common Stocks | $ | 44,989,056 | $ | — | $ | — | $ | 44,989,056 | ||||||||
Short-Term Securities | ||||||||||||||||
Money Market Funds | 850,675 | — | — | 850,675 | ||||||||||||
|
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| |||||||||
$ | 45,839,731 | $ | — | $ | — | $ | 45,839,731 | |||||||||
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Derivative Financial Instruments(a) | ||||||||||||||||
Assets | ||||||||||||||||
Equity Contracts | $ | 31,192 | $ | — | $ | — | $ | 31,192 | ||||||||
Liabilities | ||||||||||||||||
Equity Contracts | (179,200 | ) | — | — | (179,200 | ) | ||||||||||
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|
|
|
|
|
|
| |||||||||
$ | (148,008 | ) | $ | — | $ | — | $ | (148,008 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | Derivative financial instruments are futures contracts and options written. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument and options written are shown at value. |
See notes to financial statements.
6 | 2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S |
Statement of Assets and Liabilities (unaudited)
June 30, 2024
BlackRock Advantage Large Cap Income ETF | ||||
ASSETS | ||||
Investments, at value — unaffiliated(a) | $ | 44,989,056 | ||
Investments, at value — affiliated(b) | 850,675 | |||
Cash | 13,466 | |||
Cash pledged: | ||||
Futures contracts | 550,000 | |||
Receivables: | ||||
Investments sold | 43,640 | |||
Dividends — unaffiliated | 43,007 | |||
Dividends — affiliated | 2,474 | |||
|
| |||
Total assets | 46,492,318 | |||
|
| |||
LIABILITIES | ||||
Options written, at value(c) | 179,200 | |||
Payables: | ||||
Investments purchased | 193,932 | |||
Investment advisory fees | 12,507 | |||
Variation margin on futures contracts | 66,953 | |||
|
| |||
Total liabilities | 452,592 | |||
|
| |||
Commitments and contingent liabilities | ||||
NET ASSETS | $ | 46,039,726 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Paid-in capital | $ | 41,734,586 | ||
Accumulated earnings | 4,305,140 | |||
|
| |||
NET ASSETS | $ | 46,039,726 | ||
|
| |||
NET ASSET VALUE | ||||
Shares outstanding | $ | 1,560,000 | ||
|
| |||
Net asset value | $ | 29.51 | ||
|
| |||
Shares authorized | Unlimited | |||
|
| |||
Par value | None | |||
|
| |||
(a) Investments, at cost — unaffiliated | $ | 40,975,839 | ||
(b) Investments, at cost — affiliated | $ | 850,675 | ||
(c) Premiums received | $ | 171,422 |
See notes to financial statements.
S T A T E M E N T O F A S S E T S A N D L I A B I L I T I E S | 7 |
Statement of Operations (unaudited)
Six Months Ended June 30, 2024
BlackRock Advantage Large Cap Income ETF | ||||
INVESTMENT INCOME | ||||
Dividends — unaffiliated | $ | 338,480 | ||
Dividends — affiliated | 13,999 | |||
Interest — unaffiliated | 150 | |||
Foreign taxes withheld | (4 | ) | ||
|
| |||
Total investment income | 352,625 | |||
|
| |||
EXPENSES | ||||
Investment advisory | 49,521 | |||
Interest expense | 195 | |||
|
| |||
Total expenses | 49,716 | |||
|
| |||
Less: | ||||
Investment advisory fees waived | (237 | ) | ||
|
| |||
Total expenses after fees waived | 49,479 | |||
|
| |||
Net investment income | 303,146 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) from: | ||||
Investments — unaffiliated | 78,813 | |||
Options written | (641,063 | ) | ||
Futures contracts | 553,446 | |||
Foreign currency transactions | 166 | |||
In-kind redemptions — unaffiliated(a) | 887,128 | |||
|
| |||
878,490 | ||||
|
| |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments — unaffiliated | 2,585,832 | |||
Options written | 35,748 | |||
Futures contracts | (90,868 | ) | ||
|
| |||
2,530,712 | ||||
|
| |||
Net realized and unrealized gain | 3,409,202 | |||
|
| |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,712,348 | ||
|
|
(a) See Note 2 of the Notes to Financial Statements.
See notes to financial statements.
8 | 2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S |
Statements of Changes in Net Assets
BlackRock Advantage Large Cap Income ETF | ||||||||
Six Months 06/30/24 | Period From 09/26/23(a) to 12/31/23 | |||||||
INCREASE (DECREASE) IN NET ASSETS |
| |||||||
OPERATIONS | ||||||||
Net investment income | $ | 303,146 | $ | 116,950 | ||||
Net realized gain | 878,490 | 267 | ||||||
Net change in unrealized appreciation (depreciation) | 2,530,712 | 1,505,919 | ||||||
|
|
|
| |||||
Net increase in net assets resulting from operations | 3,712,348 | 1,623,136 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS(b) | ||||||||
From net investment income | (796,372 | ) | (233,972 | ) | ||||
Return of capital | — | (164,121 | ) | |||||
|
|
|
| |||||
Decrease in net assets resulting from distributions to shareholders | (796,372 | ) | (398,093 | ) | ||||
|
|
|
| |||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Net increase in net assets derived from capital share transactions | 24,518,719 | 17,379,988 | ||||||
|
|
|
| |||||
NET ASSETS | ||||||||
Total increase in net assets | 27,434,695 | 18,605,031 | ||||||
Beginning of period | 18,605,031 | — | ||||||
|
|
|
| |||||
End of period | $ | 46,039,726 | $ | 18,605,031 | ||||
|
|
|
|
(a) | Commencement of operations. |
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
S T A T E M E N T S O F C H A N G E S I N N E T A S S E T S | 9 |
Financial Highlights
(For a share outstanding throughout each period)
BlackRock Advantage Large Cap Income ETF | ||||||||
| Six Months Ended 06/30/24 (unaudited | ) | | Period From 09/26/23 to 12/31/23 | (a)
| |||
Net asset value, beginning of period | $ | 26.58 | $ | 24.67 | ||||
|
|
|
| |||||
Net investment income(b) | 0.30 | 0.17 | ||||||
Net realized and unrealized gain(c) | 3.44 | 2.31 | ||||||
|
|
|
| |||||
Net increase from investment operations | 3.74 | 2.48 | ||||||
|
|
|
| |||||
Distributions(d) | ||||||||
From net investment income | (0.81 | ) | (0.34 | ) | ||||
Return of capital | — | (0.23 | ) | |||||
|
|
|
| |||||
Total distributions | (0.81 | ) | (0.57 | ) | ||||
|
|
|
| |||||
Net asset value, end of period | $ | 29.51 | $ | 26.58 | ||||
|
|
|
| |||||
Total Return(e) | ||||||||
Based on net asset value | 14.30 | %(f) | 10.12 | %(f) | ||||
|
|
|
| |||||
Ratios to Average Net Assets(g) | ||||||||
Total expenses | 0.35 | %(h) | 0.35 | %(h) | ||||
|
|
|
| |||||
Net investment income | 2.14 | %(h) | 2.60 | %(h) | ||||
|
|
|
| |||||
Supplemental Data | ||||||||
Net assets, end of period (000) | $ | 46,040 | $ | 18,605 | ||||
|
|
|
| |||||
Portfolio turnover rate(i) | 53 | % | 23 | % | ||||
|
|
|
|
(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. |
See notes to financial statements.
10 | 2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S |
Notes to Financial Statements (unaudited)
1. | ORGANIZATION |
BlackRock ETF Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust and is authorized to have multiple series or portfolios.
These financial statements relate only to the following fund (the “Fund”):
BlackRock ETF | Diversification Classification | |
Advantage Large Cap Income | Non-diversified |
The Fund, together with certain other registered investment companies advised by BlackRock Fund Advisors (“BFA” or the “Manager”) or its affiliates, is included in a complex of funds referred to as the BlackRock Multi-Asset 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. The 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: The 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.
The 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 Statement 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. The 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.
Foreign Taxes: The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in its Statement of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Other foreign taxes”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of June 30, 2024, if any, are disclosed in the Statement of Assets and Liabilities.
The Fund files withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Fund may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statement of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
Bank Overdraft: The Fund had outstanding cash disbursements exceeding deposited cash amounts at the custodian during the reporting period. The Fund is 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 Statement of Operations.
Collateralization: If required by an exchange or counterparty agreement, the Fund 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 Fund. Because such gains or losses are not taxable to the Fund 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 Fund’s tax year. These reclassifications have no effect on net assets or net asset value (“NAV”) per share.
Distributions: Dividends and distributions paid by the 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 and/or return of capital for financial reporting purposes. Dividends and distributions are paid in U.S. dollars and cannot be automatically reinvested in additional shares of the Fund.
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 | 11 |
Notes to Financial Statements (unaudited) (continued)
The portion of distributions that exceeds the Fund’s current and accumulated earnings and profits will constitute a non-taxable return of capital. Distributions in excess of the Fund’s minimum distribution requirements, but not in excess of the Fund’s earning and profits, will be taxable to the Fund’s shareholders and will not constitute non-taxable returns of capital. Return of capital distributions will reduce a shareholder’s cost basis and will result in higher capital gains or lower capital losses when the Fund’s shares on which distributions were received are sold. Once a shareholder’s cost basis is reduced to zero, further distributions will be treated as capital gains.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: The 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 the Fund has approved the designation of BlackRock Fund Advisors (“BFA”), the Fund’s investment adviser, as the valuation designee for the Fund. The 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 the 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. |
• | 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. |
• | Exchange-traded options are valued at the mean between the last bid and ask prices at the close of the options market in which the options trade. An exchange-traded option for which there is no mean price is valued at the last bid (long positions) or ask (short positions) price. If no bid or ask price is available, the prior day’s price will be used, unless it is determined that the prior day’s price no longer reflects the fair value of the option. |
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 the 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 the Fund has the ability to access; |
• | Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs); and |
• | Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
4. | DERIVATIVE FINANCIAL INSTRUMENTS |
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).
12 | 2 0 2 4 B L A C K R O C K S E M I - A N N U A L F I N A N C I A L S T A T E M E N T S |
Notes to Financial Statements (unaudited) (continued)
Futures contracts are exchange-traded agreements between the Fund 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 Fund is 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 Statement 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 Statement of Assets and Liabilities. Pursuant to the contract, the 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, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement 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.
Options: The Fund will sell (write) call options on a large cap equity index, such as the S&P 500 Index, to generate income.
An options contract is an agreement between a buyer and seller that gives the purchaser of the option the right to buy (in the case of a call option) a particular asset at a specified future date at an agreed upon price (commonly known as the “strike price”). A call option gives the purchaser (holder) of the option the right (but not the obligation) to buy and obligates the seller (writer) to sell (when the option is exercised) the underlying instrument at the exercise or strike price at any time or at a specified time during the option period.
Premiums received on options written, as well as the daily fluctuation in market value, are included in options written at value in the Statement of Assets and Liabilities. When an instrument is sold through the exercise of an option, the premium is offset against the proceeds of the underlying instrument. When a written option expires without being exercised, a realized gain or loss is recorded in the Statement of Operations to the extent of the premiums received. When a written option is closed or sold, a gain or loss is recorded in the Statement of Operations to the extent the cost of the closing transaction exceeds or does not exceed the premiums received.
In writing options, the Fund bears the risk of an unfavorable change in the value of the underlying instrument or the risk that they may not be able to enter into a closing transaction due to an illiquid market. Exercise of a written option could result in the Fund purchasing or selling a security when it otherwise would not, or at a price different from the current market value.
5. | 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 the 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 Fund, 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 the Fund, BFA is entitled to an annual investment advisory fee, accrued daily and paid monthly by the Fund, based on the average daily net assets of the Fund as follows:
| ||||
BlackRock ETF | Investment Advisory Fees | |||
| ||||
Advantage Large Cap Income | 0.35% | |||
|
Expense Waivers: BFA has contractually agreed to waive a portion of its management fees to the Fund in an amount equal to the aggregate Acquired Fund Fees and Expenses, if any, attributable to investments by the 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 the Fund by an amount equal to the aggregate Acquired Fund Fees and Expenses, if any, attributable to investments by the 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. For the six months ended June 30, 2024, the Manager waived $237 in investment advisory fees pursuant to this arrangement.
Sub-Adviser: BFA has entered into a sub-advisory agreement with BlackRock International Limited (the “Sub-Adviser”), an affiliate of BFA, under which BFA pays the Sub-Adviser for services it provides to the Fund.
Distributor: BlackRock Investments, LLC (“BRIL”), an affiliate of BFA, is the distributor for the Fund. Pursuant to the distribution agreement, BFA is responsible for any fees or expenses for distribution services provided to the Fund.
ETF Servicing Fees: The 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 Fund does not pay BRIL for ETF Services.
Officers and Trustees: Certain officers and/or trustees of the Trust are officers and/or trustees of BlackRock or its affiliates.
Other Transactions: The 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 Statement of Operations.
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 | 13 |
Notes to Financial Statements (unaudited) (continued)
6. | PURCHASES AND SALES |
For the six months ended June 30, 2024, purchases and sales of investments, excluding short-term securities and in-kind transactions, were as follows:
BlackRock ETF | Purchases | Sales | ||
Advantage Large Cap Income | $ 15,029,506 | $ 15,450,147 |
For the six months ended June 30, 2024, in-kind transactions were as follows:
BlackRock ETF | In-kind Purchases | In-kind Sales | ||
Advantage Large Cap Income | $ 29,947,386 | $ 6,324,426 |
7. | INCOME TAX INFORMATION |
The Fund is treated as an entity separate from the Trust’s other funds for federal income tax purposes. It is the 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 Fund as of June 30, 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 Fund’s financial statements.
As of December 31, 2023, the Fund had non-expiring capital loss carryforwards of $38,221 available to offset future realized capital gains.
As of June 30, 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) | ||||||||||||
Advantage Large Cap Income | $ | 41,826,514 | $ | 4,607,085 | $ | (570,454 | ) | $ | 4,036,631 |
8. | BANK BORROWINGS |
The Trust, on behalf of the Fund, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is party to a 364-day, $2.40 billion credit agreement with a group of lenders. Under this agreement, the Fund may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Fund, 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. 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 Simple Secured Overnight Financing Rate (“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 2025 unless extended or renewed. Prior to April 11, 2024, the aggregate commitment amount was $2.50 billion. 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 June 30, 2024, the Fund did not borrow under the credit agreement.
9. | PRINCIPAL RISKS |
In the normal course of business, the 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 Fund and its investments. The Fund’s prospectus provides details of the risks to which the Fund is subject.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A fund may invest in illiquid investments. An illiquid investment is any investment that a fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause a fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a fund may lose value, regardless of the individual results of the securities and other instruments in which a fund invests.
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Notes to Financial Statements (unaudited) (continued)
Counterparty Credit Risk: The Fund 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 Fund manages 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 Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.
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 Fund 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, the 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 Fund.
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 the Fund’s portfolio are disclosed in its Schedule of Investments.
The Fund invests a significant portion of its 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 Fund invests.
The Fund invests a significant portion of its assets in securities within a single or limited number of market sectors. When a fund concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions affecting such sectors may 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 sectors are presented in the Schedule of Investments.
Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.
10. | CAPITAL SHARE TRANSACTIONS |
Capital shares are issued and redeemed by the 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 the Fund are not redeemable.
Transactions in capital shares were as follows:
Six Months Ended 06/30/24 | Period From 09/26/23(a) to 12/31/23 | |||||||||||||||
BlackRock ETF | Shares | Amount | Shares | Amount | ||||||||||||
Advantage Large Cap Income | ||||||||||||||||
Shares sold | 1,080,000 | $ | 30,844,110 | 800,000 | $ | 19,905,623 | ||||||||||
Shares redeemed | (220,000 | ) | (6,325,391 | ) | (100,000 | ) | (2,525,635 | ) | ||||||||
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860,000 | $ | 24,518,719 | 700,000 | $ | 17,379,988 | |||||||||||
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(a) | Commencement of operations. |
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 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.
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 | 15 |
Notes to Financial Statements (unaudited) (continued)
From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable in the Statement of Assets and Liabilities.
As of June 30, 2024, BlackRock Financial Management, Inc., an affiliate of the Fund, owned 247,000 shares of the Fund.
11. | SUBSEQUENT EVENTS |
Management’s evaluation of the impact of all subsequent events on the Fund’s financial statements was completed through the date the financial statements were issued and the following item was noted:
On July 30, 2024, the Board approved a proposal to change the name of the Fund from BlackRock Advantage Large Cap Income ETF to iShares Advantage Large Cap Income ETF. This change is expected to become effective on or about October 10, 2024.
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Additional Information
Electronic Delivery
Shareholders can sign up for e-mail notifications announcing that the shareholder report or prospectus has been posted on the BlackRock website at blackrock.com. Once you have enrolled, you will no longer receive prospectuses and shareholder reports in the mail.
To enroll in electronic delivery:
• | Go to icsdelivery.com. |
• | If your brokerage firm is not listed, electronic delivery may not be available. Please contact your broker-dealer or financial advisor. |
Changes in and Disagreements with Accountants
Not applicable.
Proxy Results
Not applicable.
Remuneration Paid to Trustees, Officers, and Others
Because BFA has agreed in the Investment Advisory Agreements to cover all operating expenses of the Fund, subject to certain exclusions as provided for therein, BFA pays the compensation to each Independent Trustee for services to the Fund from BFA’s investment advisory fees.
Availability of Portfolio Holdings Information
A description of the Trust’s policies and procedures with respect to the disclosure of the Fund’s portfolio securities is available in the Fund Prospectus. The Fund discloses its portfolio holdings daily and provides information regarding its top holdings in Fund fact sheets at blackrock.com.
A D D I T I O N A L I N F O R M A T I O N | 17 |
Additional Information (continued)
Fund and Service Providers | ||
Investment Adviser | Independent Registered Public Accounting Firm | |
BlackRock Fund Advisors | PricewaterhouseCoopers LLP | |
San Francisco, CA 94105 | Philadelphia, Pennsylvania 19103 | |
Sub-Adviser | Legal Counsel | |
BlackRock International Limited | Sidley Austin LLP | |
Edinburgh, EH3 8BL | New York, NY 10019 | |
United Kingdom | ||
Address of the Trust | ||
Administrator, Custodian and Transfer Agent | 100 Bellevue Parkway | |
The Bank of New York Mellon | Wilmington, DE 19809 | |
New York, NY 10286 | ||
Distributor | ||
BlackRock Investments, LLC | ||
New York, NY 10001 |
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Glossary of Terms Used in this Report
Currency Abbreviation
USD | United States Dollar | |
Portfolio Abbreviation | ||
NVS | Non-Voting Shares |
G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T | 19 |
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 Fund unless preceded or accompanied by the Fund’s 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.
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Item 8 – | Changes in and Disagreements with Accountants for Open-End Management Investment Companies – See Item 7 |
Item 9 – | Proxy Disclosures for Open-End Management Investment Companies – See Item 7 |
Item 10 – | Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies – See Item 7 |
Item 11 – | Statement Regarding Basis for Approval of Investment Advisory Contract – See Item 7 |
Item 12 – | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable |
Item 13 – | Portfolio Managers of Closed-End Management Investment Companies – Not Applicable |
Item 14 – | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable |
Item 15 – | Submission of Matters to a Vote of Security Holders – There have been no material changes to these procedures. |
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Item 16 – | Controls and Procedures |
(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 17 – | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable |
Item 18 – | Recovery of Erroneously Awarded Compensation – Not Applicable |
Item 19 – | Exhibits attached hereto |
(a)(1) Code of Ethics – Not Applicable
(a)(2) Any policy required by the listing standards adopted pursuant to Rule 10D-1 under the Exchange Act (17 CFR 240.10D-1) by the registered national securities exchange or registered national securities association upon which the registrant’s securities are listed – Not Applicable
(a)(3) Section 302 Certifications are attached.
(a)(4) Any written solicitation to purchase securities under Rule 23c-1 – Not Applicable
(a)(5) Change in Registrant’s independent public accountant – Not Applicable
(b) Section 906 Certifications are attached.
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Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock ETF Trust
By: | /s/ John M. Perlowski | |||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
BlackRock ETF Trust |
Date: August 22, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ John M. Perlowski | |||
John M. Perlowski | ||||
Chief Executive Officer (principal executive officer) of | ||||
BlackRock ETF Trust |
Date: August 22, 2024
By: | /s/ Trent Walker | |||
Trent Walker | ||||
Chief Financial Officer (principal financial officer) of | ||||
BlackRock ETF Trust |
Date: August 22, 2024
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