NPORT-EX 2 NPORT_0CJU_46189777_0124.htm iShares US Long Government Bond Index Fund

Schedule of Investments (unaudited) 

January 31, 2024

   

iShares U.S. Long Government Bond Index Fund

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

     Value  

U.S. Government Sponsored Agency Securities

 

Agency Obligations — 1.0%  

Fannie Mae, 5.63%, 07/15/37

   $ 4,000     $      4,543,296  

Federal Home Loan Banks

    

5.63%, 03/14/36

     1,000       1,108,089  

5.50%, 07/15/36

     4,730       5,230,806  

Tennessee Valley Authority

    

5.88%, 04/01/36

     11,841       13,476,889  

3.50%, 12/15/42

     66       55,702  
   

 

 

  
      24,414,782  
   

 

 

  

Total U.S. Government Sponsored Agency Securities — 1.0%

 

(Cost: $25,639,393)

 

     24,414,782  
   

 

 

  

U.S. Treasury Obligations

 

  

U.S. Treasury Bonds

    

4.50%, 02/15/36 - 08/15/39

     29,566       30,997,469  

4.75%, 02/15/37 - 11/15/53

     94,128       101,909,665  

5.00%, 05/15/37

     27,415       30,325,703  

4.38%, 02/15/38 - 08/15/43

     68,570       69,678,551  

3.50%, 02/15/39

     12,761       11,920,070  

4.25%, 05/15/39 - 11/15/40

     20,025       20,275,506  

4.63%, 02/15/40

     16,575       17,480,798  

1.13%, 05/15/40 - 08/15/40(a)

    119,755       75,593,846  

3.88%, 08/15/40 - 05/15/43

     54,603       51,450,136  

1.38%, 11/15/40 - 08/15/50(a)

    127,489       73,700,518  

1.88%, 02/15/41 - 11/15/51(a)

    221,285       145,180,457  

2.25%, 05/15/41 - 02/15/52(a)

    294,578       207,009,515  

1.75%, 08/15/41

     44,509       30,549,517  

3.75%, 08/15/41 - 11/15/43

     45,466       42,037,616  

2.00%, 11/15/41 - 08/15/51(a)

    174,541       112,681,239  

3.13%, 11/15/41 - 05/15/48

     88,536       73,860,132  

2.38%, 02/15/42 - 05/15/51(a)

    74,460       52,570,212  

3.00%, 05/15/42 - 08/15/52(a)

    366,992       295,203,362  

3.25%, 05/15/42(a)

    23,247       20,129,541  

2.75%, 08/15/42 - 11/15/47(a)

    157,938       123,398,340  
Security  

Par

(000)

     Value  

U.S. Treasury Obligations (continued)

 

U.S. Treasury Bonds (continued)

    

3.38%, 08/15/42 - 11/15/48

   $ 84,477     $ 72,805,263  

4.00%, 11/15/42 - 11/15/52(a)

    88,000       84,522,992  

2.88%, 05/15/43 - 05/15/52(a)

    138,608       108,595,361  

3.63%, 08/15/43 - 05/15/53(a)

    171,656       154,532,986  

2.50%, 02/15/45 - 05/15/46(a)

    224,930       166,524,431  

1.25%, 05/15/50(a)

    28,428       14,799,217  

1.63%, 11/15/50(a)

    145,169       83,591,259  

4.13%, 08/15/53(a)

    61,500       60,471,797  
   

 

 

  

Total U.S. Treasury Obligations — 98.0%
(Cost: $2,745,577,075)

 

     2,331,795,499  
   

 

 

  

Total Long-Term Investments — 99.0%
(Cost: $2,771,216,468)

 

     2,356,210,281  
   

 

 

  
     Shares         

Short-Term Securities

 

Money Market Funds — 36.6%            

BlackRock Cash Funds: Institutional, SL Agency Shares, 5.51%(b)(c)(d)

    869,391,579       869,913,213  
   

 

 

  

Total Short-Term Securities — 36.6%
(Cost: $869,779,152)

 

     869,913,213  
   

 

 

  

Total Investments — 135.6%
(Cost: $3,640,995,620)

 

     3,226,123,494  

Liabilities in Excess of Other Assets — (35.6)%

 

     (846,103,570 ) 
   

 

 

  

Net Assets — 100.0%

     $  2,380,019,924  
   

 

 

  

 

(a) 

All or a portion of this security is on loan.

(b) 

Affiliate of the Fund.

(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 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

    $  771,554,674      $  98,181,127 (a)     $ —      $ 309,784      $ (132,372 )     $  869,913,213        869,391,579      $  190,444 (b)     $ —  
           

 

 

     

 

 

     

 

 

        

 

 

     

 

 

  

 

  (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.

 

 

 

1  

Schedule of Investments (unaudited) (continued)

January 31, 2024

   

iShares U.S. Long Government Bond Index Fund

 

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

            

Ultra U.S. Treasury Bond

      1        03/19/24      $ 129      $ 6,997  
           

 

 

  

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

                        

U.S. Government Sponsored Agency Securities

    $ —          $ 24,414,782          $ —          $ 24,414,782  

U.S. Treasury Obligations

      —            2,331,795,499            —            2,331,795,499  

Short-Term Securities

                        

Money Market Funds

      869,913,213            —            —            869,913,213  
  

 

 

         

 

 

         

 

 

         

 

 

  
   $  869,913,213          $  2,356,210,281          $      —          $  3,226,123,494  
  

 

 

         

 

 

         

 

 

         

 

 

  

Derivative Financial Instruments(a)

                       

Assets

                        

Interest Rate Contracts

    $ 6,997          $ —          $ —          $ 6,997  
  

 

 

         

 

 

         

 

 

         

 

 

  

 

  (a) 

Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

 

 

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