Schedule of Investments (unaudited) January 31, 2024 | iShares U.S. Securitized Bond Index Fund (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Asset-Backed Securities |
| |||||||
American Express Credit Account Master Trust | ||||||||
Series 2022-1, Class A, 2.21%, 03/15/27 | $ | 3,750 | $ | 3,636,574 | ||||
Series 2022-2, Class A, 3.39%, 05/15/27 | 8,302 | 8,151,301 | ||||||
Hyundai Auto Receivables Trust | ||||||||
Series 2022-B, Class A3, 3.72%, 11/16/26 | 620 | 611,550 | ||||||
Series 2022-B, Class A4, 3.80%, 08/15/28 | 450 | 440,742 | ||||||
Santander Drive Auto Receivables Trust, Series 2022-4, Class A3, 4.14%, 02/16/27 | 502 | 499,248 | ||||||
Toyota Auto Receivables Owner Trust | ||||||||
Series 2021-B, Class A3, 0.26%, 11/17/25 | 1,137 | 1,114,436 | ||||||
Series 2021-B, Class A4, 0.53%, 10/15/26 | 2,073 | 1,967,633 | ||||||
Verizon Master Trust, Series 2021-1, Class A, 0.50%, 05/20/27 | 2,382 | 2,345,014 | ||||||
|
| |||||||
Total Asset-Backed Securities — 0.4% |
| 18,766,498 | ||||||
|
| |||||||
Non-Agency Mortgage-Backed Securities |
| |||||||
Commercial Mortgage-Backed Securities — 2.6% |
| |||||||
Bank | ||||||||
Series 2019-BN18, Class A4, 3.58%, 05/15/62 | 1,659 | 1,496,102 | ||||||
Series 2019-BN21, Class A5, 2.85%, 10/17/52 | 4,564 | 4,040,526 | ||||||
Series 2020-BN27, Class A5, 2.14%, 04/15/63 | 4,515 | 3,748,896 | ||||||
BBCMS Mortgage Trust | ||||||||
Series 2017-C1, Class A4, 3.67%, 02/15/50 | 1,908 | 1,821,035 | ||||||
Series 2020-C7, Class A5, 2.04%, 04/15/53 | 5,536 | 4,698,993 | ||||||
BBCMS Trust, Series 2021-C10, Class A5, 2.49%, 07/15/54 | 7,713 | 6,628,145 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2018-B5, Class A4, 4.21%, 07/15/51 | 2,489 | 2,405,732 | ||||||
Series 2019-B10, Class A4, 3.72%, 03/15/62 | 2,654 | 2,505,958 | ||||||
Series 2019-B11, Class A4, 3.28%, 05/15/52 | 3,319 | 3,017,291 | ||||||
Series 2019-B13, Class A4, 2.95%, 08/15/57 | 7,093 | 6,426,937 | ||||||
Series 2019-B9, Class A5, 4.02%, 03/15/52 | 2,489 | 2,347,896 | ||||||
Series 2020-B19, Class B, 2.35%, 09/15/53 | 937 | 639,291 | ||||||
Series 2020-B21, Class A4, 1.70%, 12/17/53 | 2,988 | 2,463,749 | ||||||
Series 2020-B21, Class A5, 1.98%, 12/17/53 | 1,990 | 1,639,424 | ||||||
Series 2021-B28, Class A5, 2.22%, 08/15/54 | 7,100 | 5,868,318 | ||||||
Series 2021-B29, Class A5, 2.39%, 09/15/54 | 2,763 | 2,324,740 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2014-GC25, Class A4, 3.64%, 10/10/47 | 413 | 406,069 | ||||||
Series 2014-GC25, Class AS, 4.02%, 10/10/47 | 1,243 | 1,214,442 | ||||||
Series 2016-GC37, Class A4, 3.31%, 04/10/49 | 2,903 | 2,771,458 | ||||||
Series 2016-P5, Class A4, 2.94%, 10/10/49 | 829 | 770,164 | ||||||
Series 2017-C4, Class A4, 3.47%, 10/12/50 | 7,905 | 7,486,004 | ||||||
Series 2017-P7, Class A4, 3.71%, 04/14/50 | 1,866 | 1,769,101 | ||||||
Commercial Mortgage Trust | ||||||||
Series 2013-CR12, Class A4, 4.05%, 10/10/46 | 116 | 111,805 | ||||||
Series 2014-UBS2, Class A5, 3.96%, 03/10/47 | 16 | 16,380 | ||||||
Series 2015-PC1, Class A5, 3.90%, 07/10/50 | 1,243 | 1,216,639 | ||||||
Series 2016-CR28, Class A4, 3.76%, 02/10/49 | 620 | 598,250 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
Series 2015-C3, Class A4, 3.72%, 08/15/48 | 829 | 801,904 | ||||||
Series 2016-C7, Class A5, 3.50%, 11/15/49 | 3,984 | 3,768,116 | ||||||
Series 2018-CX11, Class A5, 4.03%, 04/15/51(a) | 3,319 | 3,161,578 | ||||||
DBJPM Mortgage Trust, Series 2016-C3, Class A5, 2.89%, 08/10/49 | 6,225 | 5,799,013 | ||||||
GS Mortgage Securities Corp. II, Series 2018-GS10, Class A5, 4.16%, 07/10/51(a) | 2,489 | 2,345,001 | ||||||
GS Mortgage Securities Trust | ||||||||
Series 2014-GC24, Class A5, 3.93%, 09/10/47 | 5,809 | 5,718,806 |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
GS Mortgage Securities Trust (continued) | ||||||||
Series 2015-GC30, Class A4, 3.38%, 05/10/50 | $ | 496 | $ | 481,017 | ||||
Series 2015-GS1, Class A3, 3.73%, 11/10/48 | 1,908 | 1,844,294 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
Series 2014-C18, Class A5, 4.08%, 02/15/47 | 84 | 83,312 | ||||||
Series 2015-C31, Class A3, 3.80%, 08/15/48 | 1,557 | 1,503,656 | ||||||
JPMCC Commercial Mortgage Securities Trust, Series 2017-JP7, Class A5, 3.45%, 09/15/50 | 2,903 | 2,687,389 | ||||||
JPMDB Commercial Mortgage Securities Trust, Series 2017-C7, Class A5, 3.41%, 10/15/50 | 4,979 | 4,641,256 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
Series 2013-C10, Class AS, 4.13%, 07/15/46(a) | 133 | 127,731 | ||||||
Series 2015-C24, Class A4, 3.73%, 05/15/48 | 620 | 600,632 | ||||||
Series 2016-C28, Class A4, 3.54%, 01/15/49 | 5,621 | 5,383,084 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2015-UBS8, Class A4, 3.81%, 12/15/48 | 978 | 947,308 | ||||||
Series 2018-H3, Class A4, 3.91%, 07/15/51 | 2,489 | 2,358,633 | ||||||
Series 2019-H6, Class A4, 3.42%, 06/15/52 | 488 | 452,330 | ||||||
Series 2019-L3, Class AS, 3.49%, 11/15/52 | 628 | 556,569 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2015-C27, Class A5, 3.45%, 02/15/48 | 1,243 | 1,209,018 | ||||||
Series 2015-SG1, Class A4, 3.79%, 09/15/48 | 4,028 | 3,923,061 | ||||||
Series 2019-C49, Class A5, 4.02%, 03/15/52 | 3,195 | 3,075,966 | ||||||
Series 2020-C56, Class A5, 2.45%, 06/15/53 | 2,580 | 2,207,074 | ||||||
Series 2020-C58, Class A4, 2.09%, 07/15/53 | 2,349 | 1,962,379 | ||||||
|
| |||||||
Total Non-Agency Mortgage-Backed Securities — 2.6% |
| 124,072,472 | ||||||
|
| |||||||
U.S. Government Sponsored Agency Securities |
| |||||||
Collateralized Mortgage Obligations — 0.0% | ||||||||
Freddie Mac Multifamily Structured Pass Through Certificates, Series K146, Class A2, 2.92%, 06/25/32 | 2,000 | 1,785,344 | ||||||
|
| |||||||
Commercial Mortgage-Backed Securities — 2.6% | ||||||||
Fannie Mae-Aces | ||||||||
Series 2016-M5, Class A2, 2.47%, 04/25/26 | 4,465 | 4,271,239 | ||||||
Series 2016-M6, Class A2, 2.49%, 05/25/26 | 4,643 | 4,438,847 | ||||||
Series 2017-M15, Class A2, 3.06%, 09/25/27(a) | 2,979 | 2,846,344 | ||||||
Series 2018-M12, Class A2, 3.76%, 08/25/30(a) | 2,489 | 2,383,342 | ||||||
Series 2018-M3, Class A2, 3.17%, 02/25/30(a) | 6,854 | 6,414,974 | ||||||
Series 2019-M22, Class A2, 2.52%, 08/25/29 | 3,702 | 3,367,146 | ||||||
Series 2020-M46, Class A2, 1.32%, 05/25/30 | 4,549 | 3,823,532 | ||||||
Series 2021-M13, Class A2, 1.66%, 04/25/31(a) | 3,536 | 2,918,755 | ||||||
Series 2021-M17, Class A2, 1.71%, 07/25/31(a) | 2,489 | 2,057,047 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series K052, Class A2, 3.15%, 11/25/25 | 620 | 603,721 | ||||||
Series K063, Class A2, 3.43%, 01/25/27(a) | 4,150 | 4,035,799 | ||||||
Series K066, Class A2, 3.12%, 06/25/27 | 2,903 | 2,789,778 | ||||||
Series K067, Class A1, 2.90%, 03/25/27 | 1,830 | 1,778,089 | ||||||
Series K076, Class A2, 3.90%, 04/25/28 | 1,659 | 1,628,249 | ||||||
Series K081, Class A2, 3.90%, 08/25/28(a) | 8,302 | 8,146,039 | ||||||
Series K088, Class A2, 3.69%, 01/25/29 | 413 | 400,743 | ||||||
Series K100, Class A2, 2.67%, 09/25/29 | 8,302 | 7,601,998 | ||||||
Series K101, Class A2, 2.52%, 10/25/29 | 4,690 | 4,253,974 | ||||||
Series K109, Class A2, 1.56%, 04/25/30 | 8,471 | 7,186,440 | ||||||
Series K110, Class A2, 1.48%, 04/25/30 | 2,190 | 1,851,181 | ||||||
Series K111, Class A2, 1.35%, 05/25/30 | 829 | 692,463 | ||||||
Series K123, Class A2, 1.62%, 12/25/30 | 8,302 | 6,939,504 | ||||||
Series K126, Class A2, 2.07%, 01/25/31 | 9,074 | 7,807,557 |
1 |
Schedule of Investments (unaudited) (continued) January 31, 2024 | iShares U.S. Securitized Bond Index Fund (Percentages shown are based on Net Assets) |
Security | Par (000) | Value | ||||||
Commercial Mortgage-Backed Securities (continued) |
| |||||||
Freddie Mac Multifamily Structured Pass Through Certificates (continued) | ||||||||
Series K144, Class A2, 2.45%, 04/25/32 | $ | 5,000 | $ | 4,312,470 | ||||
Series K-151, Class A2, 3.80%, 10/25/32(a) | 3,750 | 3,565,909 | ||||||
Series K-1521, Class A2, 2.18%, 08/25/36 | 3,967 | 3,034,797 | ||||||
Series K730, Class A2, 3.59%, 01/25/25(a) | 7,097 | 6,989,951 | ||||||
Series K734, Class A2, 3.21%, 02/25/26 | 4,731 | 4,610,482 | ||||||
Series K748, Class A2, 2.26%, 01/25/29(a) | 10,000 | 9,070,696 | ||||||
|
| |||||||
119,821,066 | ||||||||
Mortgage-Backed Securities — 93.2% | ||||||||
Fannie Mae Mortgage-Backed Securities | ||||||||
3.00%, 02/01/47 | 896 | 804,884 | ||||||
4.00%, 02/01/47 - 02/01/57 | 3,199 | 3,010,597 | ||||||
3.50%, 11/01/51 | 4,887 | 4,529,525 | ||||||
(12-mo. LIBOR US + 1.53%), 5.19%, 05/01/43(a) | 36 | 35,730 | ||||||
(12-mo. LIBOR US + 1.54%), 5.42%, 06/01/43(a) | 46 | 46,649 | ||||||
(12-mo. LIBOR US + 1.70%), 5.95%, 08/01/42(a) | 12 | 11,896 | ||||||
(12-mo. LIBOR US + 1.75%), 6.00%, 08/01/41(a) | 4 | 3,803 | ||||||
(12-mo. LIBOR US + 1.83%), 6.08%, 11/01/40(a) | 2 | 1,851 | ||||||
Freddie Mac Mortgage-Backed Securities | ||||||||
8.00%, 12/01/24 | 2 | 1,805 | ||||||
3.00%, 03/01/27 - 10/01/47 | 34,016 | 30,830,065 | ||||||
2.50%, 07/01/28 - 01/01/33 | 7,691 | 7,262,298 | ||||||
3.50%, 03/01/32 - 06/01/49 | 33,146 | 30,936,906 | ||||||
5.00%, 04/01/33 - 04/01/49 | 1,409 | 1,419,512 | ||||||
4.00%, 05/01/33 - 01/01/49 | 11,339 | 10,917,818 | ||||||
5.50%, 06/01/35 - 01/01/39 | 47 | 49,190 | ||||||
4.50%, 06/01/38 - 01/01/49 | 4,711 | 4,656,773 | ||||||
(12-mo. LIBOR US + 1.50%), 5.25%, 06/01/43(a) | 1 | 1,002 | ||||||
(12-mo. LIBOR US + 1.73%), 5.85%, 08/01/41(a) | 2 | 2,211 | ||||||
(12-mo. LIBOR US + 1.84%), 5.73%, 09/01/40(a) | 5 | 5,107 | ||||||
Ginnie Mae Mortgage-Backed Securities | ||||||||
5.50%, 12/15/32 - 02/20/54(b) | 56,902 | 57,316,324 | ||||||
6.00%, 03/15/35 - 02/20/54(b) | 41,981 | 42,627,597 | ||||||
6.50%, 09/15/36 - 02/20/54(b) | 32,769 | 33,504,635 | ||||||
4.50%, 07/15/39 - 02/20/54(b) | 73,818 | 72,090,338 | ||||||
5.00%, 11/15/39 - 02/20/54(b) | 65,624 | 65,282,520 | ||||||
4.00%, 03/15/41 - 02/20/54(b) | 86,777 | 82,856,423 | ||||||
3.50%, 09/20/42 - 02/20/54(b) | 129,230 | 120,138,010 | ||||||
3.00%, 01/20/43 - 02/20/54(b) | 168,119 | 150,866,427 | ||||||
2.50%, 05/20/45 - 02/20/54(b) | 234,822 | 202,681,891 | ||||||
2.00%, 07/20/50 - 02/20/54(b) | 272,174 | 226,723,257 | ||||||
1.50%, 10/20/51 | 771 | 619,033 | ||||||
Uniform Mortgage-Backed Securities | ||||||||
4.50%, 05/01/24 - 02/13/54(b) | 149,103 | 144,732,452 | ||||||
4.00%, 10/01/25 - 02/13/54(b) | 232,382 | 221,468,617 | ||||||
3.50%, 02/01/26 - 02/13/54(b) | 269,077 | 249,079,315 | ||||||
3.00%, 01/01/27 - 02/13/54(b) | 435,948 | 389,940,556 | ||||||
2.50%, 09/01/28 - 02/13/54(b) | 795,636 | 681,753,251 | ||||||
7.00%, 02/01/32 | 7 | 7,669 | ||||||
6.50%, 07/01/32 - 02/13/54(b) | 98,417 | 101,123,852 | ||||||
5.00%, 11/01/33 - 02/13/54(b) | 141,229 | 139,660,422 | ||||||
6.00%, 03/01/34 - 02/13/54(b) | 102,331 | 104,500,405 | ||||||
2.00%, 12/01/35 - 02/13/54(b) | 1,153,536 | 958,479,744 | ||||||
1.50%, 03/01/36 - 11/01/51(b) | 140,494 | 115,297,143 | ||||||
5.50%, 04/01/36 - 02/13/54(b) | 131,182 | 132,310,910 | ||||||
|
| |||||||
4,387,588,413 | ||||||||
|
| |||||||
Total U.S. Government Sponsored Agency Securities — 95.8% |
| |||||||
(Cost: $4,904,994,052) |
| 4,509,194,823 | ||||||
|
| |||||||
Total Long-Term Investments — 98.8% |
| 4,652,033,793 | ||||||
|
|
Security |
Shares | Value | ||||||
Short-Term Securities |
| |||||||
Money Market Funds — 10.7% | ||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares, 5.51%(c)(d) | 500,930,164 | $ | 501,230,722 | |||||
|
| |||||||
Total Short-Term Securities — 10.7% |
| 501,230,722 | ||||||
|
| |||||||
Total Investments Before TBA Sale Commitments — 109.5% |
| |||||||
(Cost: $5,562,431,423) |
| 5,153,264,515 | ||||||
|
| |||||||
Par (000) | ||||||||
TBA Sale Commitments(b) |
| |||||||
Mortgage-Backed Securities — (1.1)% | ||||||||
Ginnie Mae Mortgage-Backed Securities | ||||||||
2.00%, 02/20/54 | $ | (12,450 | ) | (10,367,023 | ) | |||
2.50%, 02/20/54 | (5,750 | ) | (4,970,926 | ) | ||||
3.00%, 02/20/54 | (4,025 | ) | (3,595,143 | ) | ||||
3.50%, 02/20/54 | (3,075 | ) | (2,836,435 | ) | ||||
4.00%, 02/20/54 | (1,975 | ) | (1,876,206 | ) | ||||
4.50%, 02/20/54 | (1,450 | ) | (1,411,682 | ) | ||||
6.50%, 02/20/54 | (4,275 | ) | (4,369,445 | ) | ||||
Uniform Mortgage-Backed Securities | ||||||||
2.00%, 02/15/39 | (2,000 | ) | (1,794,830 | ) | ||||
2.50%, 02/15/39 - 02/13/54 | (9,375 | ) | (7,962,870 | ) | ||||
3.00%, 02/15/39 | (500 | ) | (470,781 | ) | ||||
4.00%, 02/15/39 | (3,075 | ) | (3,006,653 | ) | ||||
4.50%, 02/13/54 | (2,800 | ) | (2,707,030 | ) | ||||
6.50%, 02/13/54 | (5,150 | ) | (5,271,875 | ) | ||||
|
| |||||||
Total TBA Sale Commitments — (1.1)% |
| (50,640,899 | ) | |||||
|
| |||||||
Total Investments, Net of TBA Sale Commitments — 108.4% |
| |||||||
(Cost: $5,512,279,486) |
| 5,102,623,616 | ||||||
Liabilities in Excess of Other Assets — (8.4)% |
| (394,156,587 | ) | |||||
|
| |||||||
Net Assets — 100.0% |
| $ | 4,708,467,029 | |||||
|
|
(a) | Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) | Represents or includes a TBA transaction. |
(c) | Affiliate of the Fund. |
(d) | Annualized 7-day yield as of period end. |
S C H E D U L E O F I N V E S T M E N T S | 2 |
Schedule of Investments (unaudited) (continued) January 31, 2024 | iShares U.S. Securitized Bond Index Fund |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the period ended January 31, 2024 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| ||||||||||||||||||||||||||||||||||||
Affiliated Issuer | Value at 10/31/23 | Purchases at Cost | Proceeds from Sale | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value at 01/31/24 | Shares Held at 01/31/24 | Income | Capital Gain Distributions from Underlying Funds | |||||||||||||||||||||||||||
| ||||||||||||||||||||||||||||||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares | $ | 580,881,705 | $ | — | $ | (79,764,650 | )(a) | $ | 45,604 | $ | 68,063 | $ | 501,230,722 | 500,930,164 | $ | 8,039,669 | $ | — | ||||||||||||||||||
|
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(a) | Represents net amount purchased (sold). |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. 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. There may not be a secondary market, and/or there are 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. For information about the Fund’s policy regarding valuation of financial instruments, refer to its most recent financial statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
| ||||||||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||
Long-Term Investments | ||||||||||||||||||||||||||||
Asset-Backed Securities | $ | — | $ | 18,766,498 | $ | — | $ | 18,766,498 | ||||||||||||||||||||
Non-Agency Mortgage-Backed Securities | — | 124,072,472 | — | 124,072,472 | ||||||||||||||||||||||||
U.S. Government Sponsored Agency Securities | — | 4,509,194,823 | — | 4,509,194,823 | ||||||||||||||||||||||||
Short-Term Securities | ||||||||||||||||||||||||||||
Money Market Funds | 501,230,722 | — | — | 501,230,722 | ||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||
TBA Sale Commitments | — | (50,640,899 | ) | — | (50,640,899 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 501,230,722 | $ | 4,601,392,894 | $ | — | $ | 5,102,623,616 | |||||||||||||||||||||
|
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Portfolio Abbreviation | ||
LIBOR | London Interbank Offered Rate | |
TBA | To-Be-Announced |
3 |