[NPORT-P] BlackRock ETF Trust II iShares Total Return Active ETF SEC Filing
BlackRock ETF Trust II – iShares Large Cap Deep Buffer ETF filed its monthly Form N-PORT for the period ended 30 April 2025.
- Net assets: $254.7 million, with total assets of $258.6 million and liabilities of only $3.8 million (≈ 1.5 % of assets), indicating low leverage.
- Recent performance: the fund posted three consecutive negative monthly total returns: -0.56 %, -5.21 %, and -0.34 % for Months 1-3.
- Liquidity: cash & cash equivalents reported outside Parts C/D total $173 k; no borrowings or payables on delayed-delivery or standby commitment bases.
- Risk metrics: no reportable exposure to credit spread risk; derivatives activity and gains/losses were zero across all listed instrument types.
- Securities lending: the form queried non-cash collateral, but no amounts were disclosed.
No major transactions, leverage, or derivative exposures were reported, underscoring a conservative balance sheet but highlighting short-term underperformance.
BlackRock ETF Trust II – iShares Large Cap Deep Buffer ETF ha presentato il suo modulo mensile Form N-PORT relativo al periodo terminato il 30 aprile 2025.
- Attività nette: 254,7 milioni di dollari, con attività totali pari a 258,6 milioni di dollari e passività di soli 3,8 milioni di dollari (circa l'1,5% delle attività), indicando una leva finanziaria bassa.
- Performance recente: il fondo ha registrato tre rendimenti totali mensili negativi consecutivi: -0,56%, -5,21% e -0,34% nei mesi 1-3.
- Liquidità: la liquidità e equivalenti di cassa riportati al di fuori delle Parti C/D ammontano a 173 mila dollari; nessun prestito o debito su base di consegna differita o impegni standby.
- Indicatori di rischio: nessuna esposizione segnalabile al rischio di spread di credito; attività e guadagni/perdite da derivati pari a zero per tutti i tipi di strumenti quotati.
- Prestito titoli: il modulo ha richiesto informazioni su garanzie non in contanti, ma non sono stati dichiarati importi.
Non sono state segnalate transazioni significative, leva finanziaria o esposizioni a derivati, sottolineando un bilancio conservativo ma evidenziando una performance negativa nel breve termine.
BlackRock ETF Trust II – iShares Large Cap Deep Buffer ETF presentó su formulario mensual Form N-PORT correspondiente al período finalizado el 30 de abril de 2025.
- Activos netos: 254,7 millones de dólares, con activos totales de 258,6 millones y pasivos de solo 3,8 millones (≈ 1,5 % de los activos), lo que indica un bajo apalancamiento.
- Rendimiento reciente: el fondo tuvo tres rendimientos totales mensuales negativos consecutivos: -0,56 %, -5,21 % y -0,34 % en los meses 1-3.
- Liquidez: efectivo y equivalentes de efectivo reportados fuera de las Partes C/D totalizan 173 mil dólares; no hay préstamos ni cuentas por pagar basados en entregas diferidas o compromisos en espera.
- Métricas de riesgo: sin exposición reportable al riesgo de diferencial de crédito; la actividad y ganancias/pérdidas por derivados fueron cero en todos los tipos de instrumentos listados.
- Préstamo de valores: el formulario preguntó por garantías no en efectivo, pero no se revelaron montos.
No se reportaron transacciones importantes, apalancamiento ni exposiciones a derivados, lo que subraya un balance conservador pero destaca un bajo rendimiento a corto plazo.
BlackRock ETF Trust II – iShares Large Cap Deep Buffer ETF는 2025년 4월 30일 종료된 기간에 대한 월간 Form N-PORT를 제출했습니다.
- 순자산: 2억 5,470만 달러로, 총자산은 2억 5,860만 달러이고 부채는 380만 달러(자산의 약 1.5%)로 낮은 레버리지를 나타냅니다.
- 최근 성과: 펀드는 최근 3개월 연속 월간 총수익이 마이너스를 기록했습니다: -0.56%, -5.21%, -0.34% (1~3개월 차).
- 유동성: C/D 파트 외 현금 및 현금성 자산은 총 17만 3천 달러이며, 연기된 인도나 대기 약정에 따른 차입금이나 미지급금은 없습니다.
- 위험 지표: 신용 스프레드 위험에 대한 보고 가능한 노출 없음; 파생상품 활동 및 손익은 모든 상장 상품 유형에서 0입니다.
- 증권 대출: 비현금 담보에 대해 문의했으나 금액은 공개되지 않았습니다.
주요 거래, 레버리지 또는 파생상품 노출이 보고되지 않아 보수적인 재무구조를 강조하는 한편 단기 부진을 나타냅니다.
BlackRock ETF Trust II – iShares Large Cap Deep Buffer ETF a déposé son formulaire mensuel Form N-PORT pour la période close au 30 avril 2025.
- Actifs nets : 254,7 millions de dollars, avec un total d'actifs de 258,6 millions de dollars et des passifs de seulement 3,8 millions de dollars (≈ 1,5 % des actifs), indiquant un faible effet de levier.
- Performance récente : le fonds a enregistré trois rendements mensuels totaux négatifs consécutifs : -0,56 %, -5,21 % et -0,34 % pour les mois 1 à 3.
- Liquidité : trésorerie et équivalents de trésorerie hors parties C/D totalisent 173 000 $ ; aucun emprunt ni dettes sur livraison différée ou engagement en attente.
- Métriques de risque : aucune exposition reportable au risque de spread de crédit ; l'activité sur dérivés et les gains/pertes étaient nuls pour tous les types d'instruments cotés.
- Prêt de titres : le formulaire a interrogé sur les garanties non monétaires, mais aucun montant n'a été divulgué.
Aucune transaction majeure, levier ou exposition aux dérivés n'a été signalée, soulignant un bilan conservateur mais mettant en lumière une sous-performance à court terme.
BlackRock ETF Trust II – iShares Large Cap Deep Buffer ETF hat seinen monatlichen Form N-PORT für den Zeitraum bis zum 30. April 2025 eingereicht.
- Nettovermögen: 254,7 Millionen US-Dollar, mit Gesamtvermögen von 258,6 Millionen US-Dollar und Verbindlichkeiten von nur 3,8 Millionen US-Dollar (≈ 1,5 % der Vermögenswerte), was auf eine geringe Verschuldung hinweist.
- Jüngste Performance: Der Fonds verzeichnete drei aufeinanderfolgende negative monatliche Gesamtrenditen: -0,56 %, -5,21 % und -0,34 % in den Monaten 1-3.
- Liquidität: Zahlungsmittel und Zahlungsmitteläquivalente außerhalb der Teile C/D belaufen sich auf insgesamt 173.000 US-Dollar; keine Kredite oder Verbindlichkeiten auf Basis von verzögerter Lieferung oder Bereitschaftsverpflichtungen.
- Risikokennzahlen: Keine meldbare Kreditspread-Risikoexposition; Derivateaktivitäten sowie Gewinne/Verluste waren bei allen gelisteten Instrumententypen null.
- Wertpapierleihe: Im Formular wurde nach nicht-barer Sicherheiten gefragt, es wurden jedoch keine Beträge angegeben.
Es wurden keine wesentlichen Transaktionen, Verschuldungen oder Derivateexpositionen gemeldet, was eine konservative Bilanz unterstreicht, aber kurzfristige Underperformance hervorhebt.
- Low leverage: liabilities of $3.8 m represent only ~1.5 % of total assets, indicating a strong balance sheet.
- No derivative or borrowing exposure reported, reducing counter-party and market risk.
- Underperformance: three consecutive negative monthly returns (-0.56 %, -5.21 %, -0.34 %) may weigh on investor sentiment.
Insights
TL;DR: Routine N-PORT shows clean balance sheet but three straight negative months; overall neutral impact.
The filing is largely procedural. Net assets of $255 m with liabilities under 2 % signal solid liquidity and negligible leverage, typical for a buffer strategy ETF. Zero borrowings and derivative exposure reduce counter-party and spread risks. However, three consecutive negative returns, especially the -5.21 % draw in Month 2, may concern short-term performance-focused investors, though it is within expectations for a defined-outcome product. No new strategic information, capital actions, or material events are presented, so the filing carries limited market impact.
BlackRock ETF Trust II – iShares Large Cap Deep Buffer ETF ha presentato il suo modulo mensile Form N-PORT relativo al periodo terminato il 30 aprile 2025.
- Attività nette: 254,7 milioni di dollari, con attività totali pari a 258,6 milioni di dollari e passività di soli 3,8 milioni di dollari (circa l'1,5% delle attività), indicando una leva finanziaria bassa.
- Performance recente: il fondo ha registrato tre rendimenti totali mensili negativi consecutivi: -0,56%, -5,21% e -0,34% nei mesi 1-3.
- Liquidità: la liquidità e equivalenti di cassa riportati al di fuori delle Parti C/D ammontano a 173 mila dollari; nessun prestito o debito su base di consegna differita o impegni standby.
- Indicatori di rischio: nessuna esposizione segnalabile al rischio di spread di credito; attività e guadagni/perdite da derivati pari a zero per tutti i tipi di strumenti quotati.
- Prestito titoli: il modulo ha richiesto informazioni su garanzie non in contanti, ma non sono stati dichiarati importi.
Non sono state segnalate transazioni significative, leva finanziaria o esposizioni a derivati, sottolineando un bilancio conservativo ma evidenziando una performance negativa nel breve termine.
BlackRock ETF Trust II – iShares Large Cap Deep Buffer ETF presentó su formulario mensual Form N-PORT correspondiente al período finalizado el 30 de abril de 2025.
- Activos netos: 254,7 millones de dólares, con activos totales de 258,6 millones y pasivos de solo 3,8 millones (≈ 1,5 % de los activos), lo que indica un bajo apalancamiento.
- Rendimiento reciente: el fondo tuvo tres rendimientos totales mensuales negativos consecutivos: -0,56 %, -5,21 % y -0,34 % en los meses 1-3.
- Liquidez: efectivo y equivalentes de efectivo reportados fuera de las Partes C/D totalizan 173 mil dólares; no hay préstamos ni cuentas por pagar basados en entregas diferidas o compromisos en espera.
- Métricas de riesgo: sin exposición reportable al riesgo de diferencial de crédito; la actividad y ganancias/pérdidas por derivados fueron cero en todos los tipos de instrumentos listados.
- Préstamo de valores: el formulario preguntó por garantías no en efectivo, pero no se revelaron montos.
No se reportaron transacciones importantes, apalancamiento ni exposiciones a derivados, lo que subraya un balance conservador pero destaca un bajo rendimiento a corto plazo.
BlackRock ETF Trust II – iShares Large Cap Deep Buffer ETF는 2025년 4월 30일 종료된 기간에 대한 월간 Form N-PORT를 제출했습니다.
- 순자산: 2억 5,470만 달러로, 총자산은 2억 5,860만 달러이고 부채는 380만 달러(자산의 약 1.5%)로 낮은 레버리지를 나타냅니다.
- 최근 성과: 펀드는 최근 3개월 연속 월간 총수익이 마이너스를 기록했습니다: -0.56%, -5.21%, -0.34% (1~3개월 차).
- 유동성: C/D 파트 외 현금 및 현금성 자산은 총 17만 3천 달러이며, 연기된 인도나 대기 약정에 따른 차입금이나 미지급금은 없습니다.
- 위험 지표: 신용 스프레드 위험에 대한 보고 가능한 노출 없음; 파생상품 활동 및 손익은 모든 상장 상품 유형에서 0입니다.
- 증권 대출: 비현금 담보에 대해 문의했으나 금액은 공개되지 않았습니다.
주요 거래, 레버리지 또는 파생상품 노출이 보고되지 않아 보수적인 재무구조를 강조하는 한편 단기 부진을 나타냅니다.
BlackRock ETF Trust II – iShares Large Cap Deep Buffer ETF a déposé son formulaire mensuel Form N-PORT pour la période close au 30 avril 2025.
- Actifs nets : 254,7 millions de dollars, avec un total d'actifs de 258,6 millions de dollars et des passifs de seulement 3,8 millions de dollars (≈ 1,5 % des actifs), indiquant un faible effet de levier.
- Performance récente : le fonds a enregistré trois rendements mensuels totaux négatifs consécutifs : -0,56 %, -5,21 % et -0,34 % pour les mois 1 à 3.
- Liquidité : trésorerie et équivalents de trésorerie hors parties C/D totalisent 173 000 $ ; aucun emprunt ni dettes sur livraison différée ou engagement en attente.
- Métriques de risque : aucune exposition reportable au risque de spread de crédit ; l'activité sur dérivés et les gains/pertes étaient nuls pour tous les types d'instruments cotés.
- Prêt de titres : le formulaire a interrogé sur les garanties non monétaires, mais aucun montant n'a été divulgué.
Aucune transaction majeure, levier ou exposition aux dérivés n'a été signalée, soulignant un bilan conservateur mais mettant en lumière une sous-performance à court terme.
BlackRock ETF Trust II – iShares Large Cap Deep Buffer ETF hat seinen monatlichen Form N-PORT für den Zeitraum bis zum 30. April 2025 eingereicht.
- Nettovermögen: 254,7 Millionen US-Dollar, mit Gesamtvermögen von 258,6 Millionen US-Dollar und Verbindlichkeiten von nur 3,8 Millionen US-Dollar (≈ 1,5 % der Vermögenswerte), was auf eine geringe Verschuldung hinweist.
- Jüngste Performance: Der Fonds verzeichnete drei aufeinanderfolgende negative monatliche Gesamtrenditen: -0,56 %, -5,21 % und -0,34 % in den Monaten 1-3.
- Liquidität: Zahlungsmittel und Zahlungsmitteläquivalente außerhalb der Teile C/D belaufen sich auf insgesamt 173.000 US-Dollar; keine Kredite oder Verbindlichkeiten auf Basis von verzögerter Lieferung oder Bereitschaftsverpflichtungen.
- Risikokennzahlen: Keine meldbare Kreditspread-Risikoexposition; Derivateaktivitäten sowie Gewinne/Verluste waren bei allen gelisteten Instrumententypen null.
- Wertpapierleihe: Im Formular wurde nach nicht-barer Sicherheiten gefragt, es wurden jedoch keine Beträge angegeben.
Es wurden keine wesentlichen Transaktionen, Verschuldungen oder Derivateexpositionen gemeldet, was eine konservative Bilanz unterstreicht, aber kurzfristige Underperformance hervorhebt.
|
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION WASHINGTON, DC 20549 FORM NPORT-P Monthly Portfolio Investments Report |
NPORT-P: Filer Information
| Filer CIK | 0001804196 |
| Filer CCC |
********
|
| Filer Investment Company Type | |
| Is this a LIVE or TEST Filing? | LIVE TEST |
| Would you like a Return Copy? | |
| Is this an electronic copy of an official filing submitted in paper format? |
Submission Contact Information
| Name | |
| Phone | |
| E-Mail Address |
Notification Information
| Notify via Filing Website only? | |
| Series ID | S000080646 |
| Class (Contract) ID | C000243162 |
NPORT-P: Part A: General Information
Item A.1. Information about the Registrant.
| a. Name of Registrant | BlackRock ETF Trust II |
| b. Investment Company Act file number for Registrant: (e.g., 811-______) | 811-23511 |
| c. CIK number of Registrant | 0001804196 |
| d. LEI of Registrant | 549300PLJCTZLQ2LE832 |
| Street Address 1 | 100 Bellevue Parkway |
| Street Address 2 | |
| City | Wilmington |
| State, if applicable |
DELAWARE
|
| Foreign country, if applicable |
UNITED STATES OF AMERICA
|
| Zip / Postal Code | 19809 |
| Telephone number | 800-441-7762 |
Item A.2. Information about the Series.
| a. Name of Series. | iShares Large Cap Deep Buffer ETF |
| b. EDGAR series identifier (if any). | S000080646 |
| c. LEI of Series. | 529900LGTNV6L2PRI881 |
Item A.3. Reporting period.
| a. Date of fiscal year-end. | 2025-07-31 |
| b. Date as of which information is reported. | 2025-04-30 |
Item A.4. Final filing
| Does the Fund anticipate that this will be its final filing on Form N PORT? | Yes No |
NPORT-P: Part B: Information About the Fund
| Report the following information for the Fund and its consolidated subsidiaries. |
Item B.1. Assets and liabilities. Report amounts in U.S. dollars.
| a. Total assets, including assets attributable to miscellaneous securities reported in Part D. | 258556698.43 |
| b. Total liabilities. | 3842555.98 |
| c. Net assets. | 254714142.45 |
Item B.2. Certain assets and liabilities. Report amounts in U.S. dollars.
| a. Assets attributable to miscellaneous securities reported in Part D. | 0.00000000 |
| b. Assets invested in a Controlled Foreign Corporation for the purpose of investing in certain types of instruments such as, but not limited to, commodities. | 0.00000000 |
c. Borrowings attributable to amounts payable for notes payable, bonds, and similar debt, as reported pursuant to rule 6-04(13)(a) of Regulation S-X [17 CFR 210.6-04(13)(a)].
| Amounts payable within one year. | |
| Banks or other financial institutions for borrowings. | 0.00000000 |
| Controlled companies. | 0.00000000 |
| Other affiliates. | 0.00000000 |
| Others. | 0.00000000 |
| Amounts payable after one year. | |
| Banks or other financial institutions for borrowings. | 0.00000000 |
| Controlled companies. | 0.00000000 |
| Other affiliates. | 0.00000000 |
| Others. | 0.00000000 |
d. Payables for investments purchased either (i) on a delayed delivery, when-issued, or other firm commitment basis, or (ii) on a standby commitment basis.
| (i) On a delayed delivery, when-issued, or other firm commitment basis: | 0.00000000 |
| (ii) On a standby commitment basis: | 0.00000000 |
| e. Liquidation preference of outstanding preferred stock issued by the Fund. | 0.00000000 |
| f. Cash and cash equivalents not reported in Parts C and D. | 173391.27000000 |
Item B.3. Portfolio level risk metrics.
If the average value of the Fund's debt securities positions for the previous three months, in the aggregate, exceeds 25% or more of the Fund's net asset value, provide:
c. Credit Spread Risk (SDV01, CR01 or CS01). Provide the change in value of the portfolio resulting from a 1 basis point change in credit spreads where the shift is applied to the option adjusted spread, aggregated by investment grade and non-investment grade exposures, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.
| Investment grade. | |
| Maturity period. | |
| 3 month. | |
| 1 year. | |
| 5 years. | |
| 10 years. | |
| 30 years. | |
| Non-Investment grade. | |
| Maturity period. | |
| 3 month. | |
| 1 year. | |
| 5 years. | |
| 10 years. | |
| 30 years. |
For purposes of Item B.3., calculate value as the sum of the absolute values of:
(i) the value of each debt security,
(ii) the notional value of each swap, including, but not limited to, total return swaps, interest rate swaps, and credit default swaps, for which the underlying reference asset or assets are debt securities or an interest rate;
(iii) the notional value of each futures contract for which the underlying reference asset or assets are debt securities or an interest rate; and
(iv) the delta-adjusted notional value of any option for which the underlying reference asset is an asset described in clause (i),(ii), or (iii).
Report zero for maturities to which the Fund has no exposure. For exposures that fall between any of the listed maturities in (a) and (b), use linear interpolation to approximate exposure to each maturity listed above. For exposures outside of the range of maturities listed above, include those exposures in the nearest maturity.
Item B.4. Securities lending.
a. For each borrower in any securities lending transaction, provide the following information:
| b. Did any securities lending counterparty provide any non-cash collateral? | Yes No |
Item B.5. Return information.
a. Monthly total returns of the Fund for each of the preceding three months. If the Fund is a Multiple Class Fund, report returns for each class. Such returns shall be calculated in accordance with the methodologies outlined in Item 26(b) (1) of Form N-1A, Instruction 13 to sub-Item 1 of Item 4 of Form N-2, or Item 26(b) (i) of Form N-3, as applicable.
| Monthly Total Return Record: 1 | |
| Monthly total returns of the Fund for each of the preceding three months - Month 1. | -0.56000000 |
| Monthly total returns of the Fund for each of the preceding three months - Month 2. | -5.21000000 |
| Monthly total returns of the Fund for each of the preceding three months - Month 3. | -0.34000000 |
| b. Class identification number(s) (if any) of the Class(es) for which returns are reported. | C000243162 |
c. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to derivatives for each of the following categories: commodity contracts, credit contracts, equity contracts, foreign exchange contracts, interest rate contracts, and other contracts. Within each such asset category, further report the same information for each of the following types of derivatives instrument: forward, future, option, swaption, swap, warrant, and other. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers.
| Asset category. | Commodity Contracts |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Forward |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Future |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Option |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Swaption |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Swap |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Warrant |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Other |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Asset category. | Credit Contracts |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Forward |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Future |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Option |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Swaption |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Swap |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Warrant |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Other |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Asset category. | Equity Contracts |
| Monthly net realized gain(loss) - Month 1 | 266.73000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 664364.02000000 |
| Monthly net realized gain(loss) - Month 2 | -59743.13000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | -1044522.90000000 |
| Monthly net realized gain(loss) - Month 3 | -1031826.20000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 1480757.40000000 |
| Instrument type. | Forward |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Future |
| Monthly net realized gain(loss) - Month 1 | 432.12000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | -10913.54000000 |
| Monthly net realized gain(loss) - Month 2 | -59743.13000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 15316.38000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | -23674.62000000 |
| Instrument type. | Option |
| Monthly net realized gain(loss) - Month 1 | -165.39000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 675277.56000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | -1059839.28000000 |
| Monthly net realized gain(loss) - Month 3 | -1031826.20000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 1504432.02000000 |
| Instrument type. | Swaption |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Swap |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Warrant |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Other |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Asset category. | Foreign Exchange Contracts |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Forward |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Future |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Option |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Swaption |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Swap |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Warrant |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Other |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Asset category. | Interest Rate Contracts |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Forward |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Future |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Option |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Swaption |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Swap |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Warrant |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Other |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Asset category. | Other Contracts |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Forward |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Future |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Option |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Swaption |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Swap |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Warrant |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
| Instrument type. | Other |
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | 0.00000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | 0.00000000 |
| Monthly net realized gain(loss) - Month 3 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | 0.00000000 |
d. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation
(or depreciation) attributable to investment other than derivatives. Report in U.S. dollars. Losses and depreciation shall
be reported as negative numbers.
Month 1
| Monthly net realized gain(loss) - Month 1 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 1 | -1172208.55000000 |
| Monthly net realized gain(loss) - Month 2 | 0.00000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 2 | -6865779.05000000 |
| Monthly net realized gain(loss) - Month 3 | 5688.62000000 |
| Monthly net change in unrealized appreciation (or depreciation) - Month 3 | -550459.65000000 |
Item B.6. Flow information.
| Provide the aggregate dollar amounts for sales and redemptions/repurchases of Fund shares during each of the preceding three months. If shares of the Fund are held in omnibus accounts, for purposes of calculating the Fund's sales, redemptions, and repurchases, use net sales or redemptions/repurchases from such omnibus accounts. The amounts to be reported under this Item should be after any front-end sales load has been deducted and before any deferred or contingent deferred sales load or charge has been deducted. Shares sold shall include shares sold by the Fund to a registered unit investment trust. For mergers and other acquisitions, include in the value of shares sold any transaction in which the Fund acquired the assets of another investment company or of a personal holding company in exchange for its own shares. For liquidations, include in the value of shares redeemed any transaction in which the Fund liquidated all or part of its assets. Exchanges are defined as the redemption or repurchase of shares of one Fund or series and the investment of all or part of the proceeds in shares of another Fund or series in the same family of investment companies. |
| Month 1 |
| a. Total net asset value of shares sold (including exchanges but excluding reinvestment of dividends and distributions). | 34714129.28000000 |
| b. Total net asset value of shares sold in connection with reinvestments of dividends and distributions. | 0.00000000 |
| c. Total net asset value of shares redeemed or repurchased, including exchanges. | 0.00000000 |
| Month 2 |
| a. Total net asset value of shares sold (including exchanges but excluding reinvestment of dividends and distributions). | 129043281.56000000 |
| b. Total net asset value of shares sold in connection with reinvestments of dividends and distributions. | 0.00000000 |
| c. Total net asset value of shares redeemed or repurchased, including exchanges. | 0.00000000 |
| Month 3 |
| a. Total net asset value of shares sold (including exchanges but excluding reinvestment of dividends and distributions). | 22662277.56000000 |
| b. Total net asset value of shares sold in connection with reinvestments of dividends and distributions. | 0.00000000 |
| c. Total net asset value of shares redeemed or repurchased, including exchanges. | 5754049.40000000 |
Item B.7. Highly Liquid Investment Minimum information.
| a. If applicable, provide the Fund's current Highly Liquid Investment Minimum. | |
| b. If applicable, provide the number of days that the Fund's holdings in Highly Liquid Investments fell below the Fund's Highly Liquid Investment Minimum during the reporting period. | |
| c. Did the Fund's Highly Liquid Investment Minimum change during the reporting period? | Yes No N/A |
Item B.8. Derivatives Transactions.
For portfolio investments of open-end management investment companies, provide the percentage of the Fund's Highly Liquid Investments that it has pledged as margin or collateral in connection with derivatives transactions that are classified among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]:
| (1) Moderately Liquid Investments |
| (2) Less Liquid Investments |
| (3) Illiquid Investments |
For purposes of Item B.8, when computing the required percentage, the denominator should only include assets (and exclude liabilities) that are categorized by the Fund as Highly Liquid Investments.
| Classification |
Item B.9. Derivatives Exposure for limited derivatives users.
If the Fund is excepted from the rule 18f-4 [17 CFR 270.18f-4] program requirement and limit on fund leverage risk under rule 18f-4(c)(4) [17 CFR 270.18f-4(c)(4)], provide the following information:
| a. Derivatives exposure (as defined in rule 18f-4(a) [17 CFR 270.18f-4(a)]), reported as a percentage of the Fund's net asset value. | |
| b. Exposure from currency derivatives that hedge currency risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value. | |
| c. Exposure from interest rate derivatives that hedge interest rate risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value. | |
| d. The number of business days, if any, in excess of the five-business-day period described in rule 18f-4(c)(4)(ii) [17 CFR 270.18f-4(c)(4)(ii)], that the Fund's derivatives exposure exceeded 10 percent of its net assets during the reporting period. |
Item B.10. VaR information.
For Funds subject to the limit on fund leverage risk described in rule 18f-4(c)(2) [17 CFR 270.18f-4(c)(2)], provide the following information, as determined in accordance with the requirement under rule 18f-4(c)(2)(ii) to determine the fund's compliance with the applicable VaR test at least once each business day:
| a. Median daily VaR during the reporting period, reported as a percentage of the Fund's net asset value. | |
| b. For Funds that were subject to the Relative VaR Test during the reporting period, provide: | |
| i. As applicable, the name of the Fund's Designated Index, or a statement that the Fund's Designated Reference Portfolio is the Fund's Securities Portfolio. | S&P 500 Index (USD) |
| ii. As applicable, the index identifier for the Fund's Designated Index. | SPTR |
| iii. Median VaR Ratio during the reporting period, reported as a percentage of the VaRof the Fund's Designated Reference Portfolio. | |
| c. Backtesting Results. Number of exceptions that the Fund identified as a result of its backtesting of its VaR calculation model (as described in rule 18f-4(c)(1)(iv) [17 CFR 270.18f-4(c)(1)(iv)] during the reporting period. |
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Item C.1. Identification of investment.
| a. Name of issuer (if any). | CHICAGO MERCANTILE EXCHANGE INC. |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series. | SNZ2OJLFK8MNNCLQOF39 |
| c. Title of the issue or description of the investment. | SP500 MIC EMIN |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | HWAM5 |
| Identifier. | Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BBG01LX7ZWS1 |
| Description of other unique identifier. | ID_BB_GLOBAL |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
| Balance | 71.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. Indicate the currency in which the investment is denominated. |
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value. | -24514.59000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.00962435370 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
| Payoff profile. | Long Short N/A |
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If "other," provide a brief description. |
Derivative-equity
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If "other", provide a brief description. |
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? | Yes No |
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
| Category. |
N/A
|
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7 Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading). In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
| Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient). | 1 2 3 N/A |
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date. |
b. Coupon.
| i. Select the category that most closely reflects the coupon type among the following (fixed, floating, variable, none). | |
| ii. Annualized rate. | |
| c. Currently in default? [Y/N] | Yes No |
| d. Are there any interest payments in arrears or have any coupon payments been legally deferred by the issuer? [Y/N] | Yes No |
| e. Is any portion of the interest paid in kind? [Y/N] Enter "N" if the interest may be paid in kind but is not actually paid in kind or if the Fund has the option of electing in-kind payment and has elected to be paid in-kind. | Yes No |
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] | Yes No |
| ii. Contingent convertible? [Y/N] | Yes No |
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable). |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
| a. Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral. | Repurchase Reverse repurchase |
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. | Yes No |
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? | Yes No |
| d. Repurchase rate. | |
| e. Maturity date. |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely represents the investment, selected from among the following (forward, future, option, swaption, swap (including but not limited to total return swaps, credit default swaps, and interest rate swaps), warrant, other). |
Future
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
| Counterparty Record: 1 | |
| Name of counterparty. | CHICAGO MERCANTILE EXCHANGE INC. |
| LEI (if any) of counterparty. | SNZ2OJLFK8MNNCLQOF39 |
d. For futures and forwards (other than forward foreign currency contracts), provide:
| i. Payoff profile, selected from among the following (long, short). | Long |
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the reference instrument, ISIN (if CUSIP is not available), ticker if (CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
| Name of issuer. | STANDARD & POOR'S FINANCIAL SERVICES LLC |
| Title of issue. | STANDARD & POORS'S 500 |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 000000000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | SPX |
| Identifier. | Other identifier (if CUSIP, ISIN, and ticker are not available) |
| Other identifier (if CUSIP, ISIN, and ticker are not available). | SPX_INDEX_US |
| If other identifier provided, indicate the type of identifier used. | INTERNAL |
| iii. Expiration date. | 2025-06-20 |
| iv. Aggregate notional amount or contract value on trade date. | 2007899.59000000 |
| ISO Currency Code. |
United States Dollar
|
| v. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -24514.59000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | Yes No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | Yes No |
| c. Is any portion of this investment on loan by the Fund? | Yes No |
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Item C.1. Identification of investment.
| a. Name of issuer (if any). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series. | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | ISHARES CORE S&P 500 ETF |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYDGV6EL7 |
| Description of other unique identifier. | Internal |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
| Balance | 4546.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. Indicate the currency in which the investment is denominated. |
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value. | 5591534.54000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 2.195219506155 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
| Payoff profile. | Long Short N/A |
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If "other," provide a brief description. |
Derivative-equity
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If "other", provide a brief description. |
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? | Yes No |
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
| Category. |
N/A
|
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7 Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading). In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
| Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient). | 1 2 3 N/A |
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date. |
b. Coupon.
| i. Select the category that most closely reflects the coupon type among the following (fixed, floating, variable, none). | |
| ii. Annualized rate. | |
| c. Currently in default? [Y/N] | Yes No |
| d. Are there any interest payments in arrears or have any coupon payments been legally deferred by the issuer? [Y/N] | Yes No |
| e. Is any portion of the interest paid in kind? [Y/N] Enter "N" if the interest may be paid in kind but is not actually paid in kind or if the Fund has the option of electing in-kind payment and has elected to be paid in-kind. | Yes No |
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] | Yes No |
| ii. Contingent convertible? [Y/N] | Yes No |
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable). |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
| a. Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral. | Repurchase Reverse repurchase |
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. | Yes No |
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? | Yes No |
| d. Repurchase rate. | |
| e. Maturity date. |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely represents the investment, selected from among the following (forward, future, option, swaption, swap (including but not limited to total return swaps, credit default swaps, and interest rate swaps), warrant, other). |
Option
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
| Counterparty Record: 1 | |
| Name of counterparty. | GOLDMAN SACHS & CO. LLC |
| LEI (if any) of counterparty. | FOR8UP27PHTHYVLBNG30 |
| i. Type, selected from among the following (put, call). Respond call for warrants. | Put Call |
| ii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | Written Purchased |
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the reference instrument, ISIN (if CUSIP is not available), ticker if (CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
| Name of issuer. | iShares Core S&P 500 ETF |
| Title of issue. | iShares Core S&P 500 ETF |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 464287200 |
| Identifier. | ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US4642872000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | IVV |
iv. Number of shares or principal amount of underlying reference instrument per contract.
| Number of shares. | 100.00000000 |
| v. Exercise price or rate. | 533.81000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2025-07-02 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | 148958.17000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | Yes No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | Yes No |
| c. Is any portion of this investment on loan by the Fund? | Yes No |
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Item C.1. Identification of investment.
| a. Name of issuer (if any). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series. | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | ISHARES CORE S&P 500 ETF |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYDGV6EK9 |
| Description of other unique identifier. | Internal |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
| Balance | -4546.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. Indicate the currency in which the investment is denominated. |
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value. | -1445037.02000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.56731715251 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
| Payoff profile. | Long Short N/A |
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If "other," provide a brief description. |
Derivative-equity
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If "other", provide a brief description. |
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? | Yes No |
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
| Category. |
N/A
|
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7 Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading). In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
| Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient). | 1 2 3 N/A |
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date. |
b. Coupon.
| i. Select the category that most closely reflects the coupon type among the following (fixed, floating, variable, none). | |
| ii. Annualized rate. | |
| c. Currently in default? [Y/N] | Yes No |
| d. Are there any interest payments in arrears or have any coupon payments been legally deferred by the issuer? [Y/N] | Yes No |
| e. Is any portion of the interest paid in kind? [Y/N] Enter "N" if the interest may be paid in kind but is not actually paid in kind or if the Fund has the option of electing in-kind payment and has elected to be paid in-kind. | Yes No |
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] | Yes No |
| ii. Contingent convertible? [Y/N] | Yes No |
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable). |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
| a. Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral. | Repurchase Reverse repurchase |
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. | Yes No |
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? | Yes No |
| d. Repurchase rate. | |
| e. Maturity date. |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely represents the investment, selected from among the following (forward, future, option, swaption, swap (including but not limited to total return swaps, credit default swaps, and interest rate swaps), warrant, other). |
Option
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
| Counterparty Record: 1 | |
| Name of counterparty. | GOLDMAN SACHS & CO. LLC |
| LEI (if any) of counterparty. | FOR8UP27PHTHYVLBNG30 |
| i. Type, selected from among the following (put, call). Respond call for warrants. | Put Call |
| ii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | Written Purchased |
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the reference instrument, ISIN (if CUSIP is not available), ticker if (CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
| Name of issuer. | iShares Core S&P 500 ETF |
| Title of issue. | iShares Core S&P 500 ETF |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 464287200 |
| Identifier. | ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US4642872000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | IVV |
iv. Number of shares or principal amount of underlying reference instrument per contract.
| Number of shares. | 100.00000000 |
| v. Exercise price or rate. | 449.52000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2025-07-02 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | -233790.26000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | Yes No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | Yes No |
| c. Is any portion of this investment on loan by the Fund? | Yes No |
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Item C.1. Identification of investment.
| a. Name of issuer (if any). | GOLDMAN SACHS & CO. LLC |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series. | FOR8UP27PHTHYVLBNG30 |
| c. Title of the issue or description of the investment. | ISHARES CORE S&P 500 ETF |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | BYDGV6EM5 |
| Description of other unique identifier. | Internal |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
| Balance | -4546.00000000 |
| Units |
Number of contracts
|
| Description of other units. | |
| Currency. Indicate the currency in which the investment is denominated. |
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value. | -2303549.12000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | -0.90436639985 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
| Payoff profile. | Long Short N/A |
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If "other," provide a brief description. |
Derivative-equity
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If "other", provide a brief description. |
Corporate
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? | Yes No |
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
| Category. |
N/A
|
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7 Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading). In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
| Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient). | 1 2 3 N/A |
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date. |
b. Coupon.
| i. Select the category that most closely reflects the coupon type among the following (fixed, floating, variable, none). | |
| ii. Annualized rate. | |
| c. Currently in default? [Y/N] | Yes No |
| d. Are there any interest payments in arrears or have any coupon payments been legally deferred by the issuer? [Y/N] | Yes No |
| e. Is any portion of the interest paid in kind? [Y/N] Enter "N" if the interest may be paid in kind but is not actually paid in kind or if the Fund has the option of electing in-kind payment and has elected to be paid in-kind. | Yes No |
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] | Yes No |
| ii. Contingent convertible? [Y/N] | Yes No |
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable). |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
| a. Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral. | Repurchase Reverse repurchase |
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. | Yes No |
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? | Yes No |
| d. Repurchase rate. | |
| e. Maturity date. |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Type of derivative instrument that most closely represents the investment, selected from among the following (forward, future, option, swaption, swap (including but not limited to total return swaps, credit default swaps, and interest rate swaps), warrant, other). |
Option
|
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).
| Counterparty Record: 1 | |
| Name of counterparty. | GOLDMAN SACHS & CO. LLC |
| LEI (if any) of counterparty. | FOR8UP27PHTHYVLBNG30 |
| i. Type, selected from among the following (put, call). Respond call for warrants. | Put Call |
| ii. Payoff profile, selected from among the following (written, purchased). Respond purchased for warrants. | Written Purchased |
3. If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the reference instrument, ISIN (if CUSIP is not available), ticker if (CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
| Name of issuer. | iShares Core S&P 500 ETF |
| Title of issue. | iShares Core S&P 500 ETF |
At least one of the following other identifiers:
| Identifier. | CUSIP |
| CUSIP. | 464287200 |
| Identifier. | ISIN (if CUSIP is not available) |
| ISIN (if CUSIP is not available). | US4642872000 |
| Identifier. | Ticker (if CUSIP and ISIN are not available) |
| Ticker (if CUSIP and ISIN are not available). | IVV |
iv. Number of shares or principal amount of underlying reference instrument per contract.
| Number of shares. | 100.00000000 |
| v. Exercise price or rate. | 595.45000000 |
| vi. Exercise Price Currency Code |
United States Dollar
|
| vii. Expiration date. | 2025-07-02 |
| viii. Delta. | XXXX |
| ix. Unrealized appreciation or depreciation. Depreciation shall be reported as a negative number. | 513777.01000000 |
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | Yes No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | Yes No |
| c. Is any portion of this investment on loan by the Fund? | Yes No |
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Item C.1. Identification of investment.
| a. Name of issuer (if any). | iShares Core S&P 500 ETF |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series. | 5493007M4YMN8XL48C14 |
| c. Title of the issue or description of the investment. | iShares Core S&P 500 ETF |
| d. CUSIP (if any). | 464287200 |
At least one of the following other identifiers:
| Identifier. | ISIN |
| ISIN | US4642872000 |
| Identifier. | Ticker (if ISIN is not available) |
| Ticker (if ISIN is not available). | IVV |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
| Balance | 451050.00000000 |
| Units |
Number of shares
|
| Description of other units. | |
| Currency. Indicate the currency in which the investment is denominated. |
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value. | 251667858.00000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 98.80403796165 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
| Payoff profile. | Long Short N/A |
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If "other," provide a brief description. |
Equity-common
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If "other", provide a brief description. |
Registered fund
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? | Yes No |
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
| Category. |
N/A
|
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7 Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading). In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
| Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient). | 1 2 3 N/A |
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date. |
b. Coupon.
| i. Select the category that most closely reflects the coupon type among the following (fixed, floating, variable, none). | |
| ii. Annualized rate. | |
| c. Currently in default? [Y/N] | Yes No |
| d. Are there any interest payments in arrears or have any coupon payments been legally deferred by the issuer? [Y/N] | Yes No |
| e. Is any portion of the interest paid in kind? [Y/N] Enter "N" if the interest may be paid in kind but is not actually paid in kind or if the Fund has the option of electing in-kind payment and has elected to be paid in-kind. | Yes No |
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] | Yes No |
| ii. Contingent convertible? [Y/N] | Yes No |
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable). |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
| a. Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral. | Repurchase Reverse repurchase |
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. | Yes No |
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? | Yes No |
| d. Repurchase rate. | |
| e. Maturity date. |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | Yes No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | Yes No |
| c. Is any portion of this investment on loan by the Fund? | Yes No |
| For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public. |
Item C.1. Identification of investment.
| a. Name of issuer (if any). | BLACKROCK CASH FUNDS |
| b. LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series. | N/A |
| c. Title of the issue or description of the investment. | BLACKROCK CASH FUNDS |
| d. CUSIP (if any). | 000000000 |
At least one of the following other identifiers:
| Identifier. | Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used |
| Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used | 980SNC002 |
| Description of other unique identifier. | INTERNAL |
Item C.2. Amount of each investment.
Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
| Balance | 1119976.37000000 |
| Units |
Number of shares
|
| Description of other units. | |
| Currency. Indicate the currency in which the investment is denominated. |
United States Dollar
|
| Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value. | 1119976.37000000 |
| Exchange rate. | |
| Percentage value compared to net assets of the Fund. | 0.439699326950 |
Item C.3. Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item C.11.
| Payoff profile. | Long Short N/A |
Item C.4. Asset and issuer type. Select the category that most closely identifies the instrument among each of the following:
| Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If "other," provide a brief description. |
Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle)
|
| Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If "other", provide a brief description. |
Registered fund
|
Item C.5. Country of investment or issuer.
| Report the ISO country code that corresponds to the country where the issuer is organized. |
UNITED STATES OF AMERICA
|
| If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments. |
Item C.6. Is the investment a Restricted Security?
| Is the investment a Restricted Security? | Yes No |
Item C.7.
a. Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
| i. Highly Liquid Investments |
| ii. Moderately Liquid Investments |
| iii. Less Liquid Investments |
| iv. Illiquid Investments |
| Category. |
N/A
|
b. If attributing multiple classification categories to the holding, indicate which of the three circumstances listed in the Instructions to Item C.7 is applicable.
Instructions to Item C.7 Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances: (1) if portions of the position have differing liquidity features that justify treating the portions separately; (2) if a fund has multiple sub-advisers with differing liquidity views; or (3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading). In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
Item C.8. Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles (ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
| Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7(ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient). | 1 2 3 N/A |
Item C.9. For debt securities
For debt securities, also provide:
| a. Maturity date. |
b. Coupon.
| i. Select the category that most closely reflects the coupon type among the following (fixed, floating, variable, none). | |
| ii. Annualized rate. | |
| c. Currently in default? [Y/N] | Yes No |
| d. Are there any interest payments in arrears or have any coupon payments been legally deferred by the issuer? [Y/N] | Yes No |
| e. Is any portion of the interest paid in kind? [Y/N] Enter "N" if the interest may be paid in kind but is not actually paid in kind or if the Fund has the option of electing in-kind payment and has elected to be paid in-kind. | Yes No |
f. For convertible securities, also provide:
| i. Mandatory convertible? [Y/N] | Yes No |
| ii. Contingent convertible? [Y/N] | Yes No |
iii. Description of the reference instrument, including the name of issuer, title of issue, and currency in
which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker
(if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
| v. Delta (if applicable). |
Item C.10. For repurchase and reverse repurchase agreements, also provide:
| a. Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral. | Repurchase Reverse repurchase |
b. Counterparty.
| i. Cleared by central counterparty? [Y/N] If Y, provide the name of the central counterparty. | Yes No |
ii. If N, provide the name and LEI (if any) of counterparty.
| c. Tri-party? | Yes No |
| d. Repurchase rate. | |
| e. Maturity date. |
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated in responding to Items C.10.f.i-iii.
Item C.11. For derivatives, also provide:
| a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? | Yes No |
| b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? | Yes No |
| c. Is any portion of this investment on loan by the Fund? | Yes No |
NPORT-P: Part E: Explanatory Notes (if any)
| The Fund may provide any information it believes would be helpful in understanding the information reported in response to any Item of this Form. The Fund may also explain any assumptions that it made in responding to any Item of this Form. To the extent responses relate to a particular Item, provide the Item number(s), as applicable. |
| Note Item | B.5.a |
| Explanatory Notes | Monthly returns presented in Item B.5(a) have been calculated without deducting any applicable sales loads or redemption fees. |
NPORT-P: Signatures
The Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
| Registrant: | BlackRock ETF Trust II |
| By(Signature): | Chuck Pulsfort |
| Name: | Chuck Pulsfort |
| Title: | Assistant Treasurer |
| Date: | 2025-06-24 |
Documents
FAQ
What were the net assets of BRTR as of 30 April 2025?
How did the iShares Large Cap Deep Buffer ETF perform over the last three reported months?
Did the fund report any borrowings or leverage in its April 2025 N-PORT?
What percentage of total assets were liabilities for BRTR?
Were there any derivative gains or losses reported?
