LOGO

  AUGUST 31, 2023

 

 

  

 

2023 Annual Report

 

 

iShares Trust

· iShares Currency Hedged MSCI Canada ETF | HEWC | NYSE Arca

· iShares Currency Hedged MSCI Eurozone ETF | HEZU | NYSE Arca

· iShares Currency Hedged MSCI Germany ETF | HEWG | NASDAQ

· iShares Currency Hedged MSCI Japan ETF | HEWJ | NYSE Arca


The Markets in Review

Dear Shareholder,

Despite an uncertain economic landscape during the 12-month reporting period ended August 31, 2023, the resilience of the U.S. economy in the face of ever tighter financial conditions provided an encouraging backdrop for investors. While inflation was near multi-decade highs at the beginning of the period, it declined precipitously as commodity prices dropped. Labor shortages also moderated, although wages continued to grow and unemployment rates reached the lowest levels in decades. This robust labor market powered further growth in consumer spending, backstopping the economy.

Equity returns were solid, as the durability of consumer sentiment eased investors’ concerns about the economy’s trajectory. The U.S. economy resumed growth in the third quarter of 2022 and continued to expand thereafter. Most major classes of equities rose, as large-capitalization U.S. stocks and developed market equities advanced strongly. However, small-capitalization U.S. stocks and emerging market equities posted more modest gains.

The 10-year U.S. Treasury yield rose during the reporting period, driving its price down, as investors reacted to elevated inflation and attempted to anticipate future interest rate changes. The corporate bond market also faced inflationary headwinds, although high-yield corporate bond prices fared significantly better than investment-grade bonds as demand from yield-seeking investors remained strong.

The U.S. Federal Reserve (the “Fed”), acknowledging that inflation has been more persistent than expected, raised interest rates seven times during the 12-month period. Furthermore, the Fed wound down its bond-buying programs and incrementally reduced its balance sheet by not replacing securities that reach maturity. However, the Fed declined to raise interest rates at its June 2023 meeting, the first time it paused its tightening in the current cycle, before again raising rates in July 2023.

Supply constraints appear to have become an embedded feature of the new macroeconomic environment, making it difficult for developed economies to increase production without sparking higher inflation. Geopolitical fragmentation and an aging population risk further exacerbating these constraints, keeping the labor market tight and wage growth high. Although the Fed has decelerated the pace of interest rate hikes and recently opted for two pauses, we believe that the new economic regime means that the Fed will need to maintain high rates for an extended period to keep inflation under control. Furthermore, ongoing structural changes may mean that the Fed will be hesitant to cut interest rates in the event of faltering economic activity lest inflation accelerate again. We believe investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt.

While we favor an overweight position to developed market equities in the long term, we prefer an underweight stance in the near term. Expectations for corporate earnings remain elevated, which seems inconsistent with macroeconomic constraints. Nevertheless, we are overweight on emerging market stocks in the near term as growth trends for emerging markets appear brighter. We also believe that stocks with an AI tilt should benefit from an investment cycle that is set to support revenues and margins. In credit, there are selective opportunities in the near term despite tightening credit and financial conditions. For fixed income investing with a six- to twelve-month horizon, we see the most attractive investments in short-term U.S. Treasuries, U.S. inflation-linked bonds, U.S. mortgage-backed securities, and hard-currency emerging market bonds.

Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit iShares.com for further insight about investing in today’s markets.

 

LOGO

Rob Kapito

President, BlackRock, Inc.

LOGO

Rob Kapito

President, BlackRock, Inc.

 

Total Returns as of August 31, 2023
     
     6-Month    12-Month 
 

U.S. large cap equities
(S&P 500® Index)

  14.50%   15.94%
 

U.S. small cap equities

(Russell 2000® Index)

  0.99    4.65 
 

International equities
(MSCI Europe, Australasia, Far East Index)

  4.75    17.92  
 

Emerging market equities
(MSCI Emerging Markets Index)

  3.62    1.25 
 

3-month Treasury bills
(ICE BofA 3-Month U.S. Treasury Bill Index)

  2.47    4.25 
 

U.S. Treasury securities
(ICE BofA 10-Year U.S. Treasury Index)

  0.11    (4.71) 
 

U.S. investment grade bonds
(Bloomberg U.S. Aggregate Bond Index)

  0.95    (1.19) 
 

Tax-exempt municipal bonds
(Bloomberg Municipal Bond Index)

  1.04    1.70 
 

U.S. high yield bonds
(Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index)

  4.55    7.19 

Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

 

2  

T H I S  P A G E  I S  N O T  P A R T  O F  Y O U R  F U N D  R E P O R T


Table of Contents

 

     Page  

 

 

The Markets in Review

     2  

Annual Report:

  

Market Overview

     4  

Fund Summary

     5  

About Fund Performance

     13  

Disclosure of Expenses

     13  

Schedules of Investments

     14  

Financial Statements

  

Statements of Assets and Liabilities

     27  

Statements of Operations

     28  

Statements of Changes in Net Assets

     29  

Financial Highlights

     31  

Notes to Financial Statements

     35  

Report of Independent Registered Public Accounting Firm

     43  

Important Tax Information

     44  

Board Review and Approval of Investment Advisory Contract

     45  

Supplemental Information

     48  

Trustee and Officer Information

     49  

General Information

     52  

Glossary of Terms Used in this Report

     53  

 

 

 


Market Overview   

 

iShares Trust

Global Market Overview

Global equity markets advanced during the 12 months ended August 31, 2023 (“reporting period”), supported by continued economic growth and moderating inflation. The MSCI ACWI, a broad global equity index that includes both developed and emerging markets, returned 13.95% in U.S. dollar terms for the reporting period. Despite concerns about the impact of higher interest rates and rising prices, the global economy continued to grow, albeit at a slower pace than during the initial post-coronavirus pandemic recovery. Inflation began to subside in most regions of the world, and lower energy prices reduced pressure on consumers, leading consumer and business sentiment to improve. While the Russian invasion of Ukraine continued to disrupt trade in Europe and elsewhere, market adaptation lessened the economic impact of the ongoing war. The prices of several key commodities, including oil, natural gas, and wheat, either stabilized or declined during the reporting period, easing pressure on the world’s economies.

The U.S. Federal Reserve (“Fed”) tightened monetary policy rapidly, raising short-term interest rates seven times over the course of the reporting period. The pace of tightening decelerated as the Fed twice lowered the increment of increase before pausing entirely in June 2023, the first time it declined to take action since the tightening cycle began. However, the Fed then raised interest rates again at its July 2023 meeting and stated that it would continue to monitor economic data. The Fed also continued to decrease the size of its balance sheet by reducing the store of U.S. Treasuries it had accumulated to stabilize markets in the early phases of the pandemic.

Despite the tightening financial conditions, the U.S. economy demonstrated continued strength, and U.S. equities advanced. The economy returned to growth in the third quarter of 2022 and showed robust, if slightly slower, growth thereafter. Consumers powered the economy, increasing their spending in both nominal and inflation-adjusted terms. A strong labor market bolstered spending, as unemployment remained low, and the number of employed persons reached an all-time high. Tightness in the labor market drove higher wages, although wage growth slowed as the reporting period continued.

European stocks outpaced their counterparts in most other regions of the globe, advancing strongly for the reporting period despite modest economic growth. European stocks benefited from a solid recovery following the early phases of the war in Ukraine. While the conflict disrupted critical natural gas supplies, new sources were secured and prices declined, while a warm winter helped moderate consumption. The European Central Bank (“ECB”) responded to the highest inflation since the introduction of the euro by raising interest rates eight times and beginning to reduce the size of its debt holdings.

Stocks in the Asia-Pacific region gained, albeit at a slower pace than other regions of the world. Japan returned to growth in the fourth quarter of 2022 and first half of 2023, as strong business investment and exports helped boost the economy and support Japanese equities. However, Chinese stocks were negatively impacted by slowing economic growth. While investors were initially optimistic following China’s lifting of several pandemic-related lockdowns in December 2022, subsequent performance disappointed, and tensions with the U.S. increased. Emerging market stocks advanced modestly, as the resilient global economic environment reassured investors. The declining value of the U.S. dollar relative to many other currencies and the slowing pace of the Fed’s interest rate increases also supported emerging market stocks.

 

 

4  

2 0 2 3I S H A R E S  A N N U A L  R E P O R TT O  S H A R E H O L D E R S


Fund Summary as of August 31, 2023    iShares® Currency Hedged MSCI Canada ETF

 

Investment Objective

The iShares Currency Hedged MSCI Canada ETF (the “Fund”) seeks to track the investment results of an index composed of large-and mid-capitalization Canadian equities while mitigating exposure to fluctuations between the value of the Canadian dollar and the U.S. dollar, as represented by the MSCI Canada 100% Hedged to USD Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index. The Fund currently seeks to achieve its investment objective by investing a substantial portion of its assets in one underlying fund, the iShares MSCI Canada ETF.

On June 6, 2023, the Board approved a proposal to close the Fund to new and subsequent investments and thereafter to liquidate the Fund. After the close of business on October 30, 2023, the Fund will no longer accept creation orders. Trading in the Fund will be halted prior to market open on October 31, 2023. Proceeds of the liquidation will be sent to shareholders on or about November 2, 2023.

Performance

 

    Average Annual Total Returns          Cumulative Total Returns  
     1 Year     5 Years    

Since

Inception

   

   1 Year     5 Years    

Since  

Inception  

 

Fund NAV

    9.78     8.06     7.43        9.78     47.32     79.64%  

Fund Market

    9.76       8.05       7.44          9.76       47.29       79.74    

Index

    9.67       7.92       7.45            9.67       46.41       79.88    

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

The inception date of the Fund was June 29, 2015. The first day of secondary market trading was July 1, 2015.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

   

Actual

       

Hypothetical 5% Return

          
                                                          
   

Beginning

Account Value

(03/01/23)

      

Ending

  Account Value

(08/31/23)

 

 

 

      

Expenses

Paid During

the Period

 

 

(a) 

     

Beginning

Account Value

(03/01/23)

      

Ending

  Account Value

(08/31/23)

 

 

 

      

Expenses

Paid During

the Period

 

 

(a) 

      

Annualized

Expense

Ratio

 

 

 

    $  1,000.00        $  1,023.50          $  0.15         $  1,000.00        $  1,025.10          $   0.15          0.03

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio.

 

 

 

F U N D  S U M M A R Y

  5


Fund Summary as of August 31, 2023  (continued)    iShares® Currency Hedged MSCI Canada ETF

 

Portfolio Management Commentary

Stocks in Canada advanced for the reporting period in U.S. dollar terms, as consumer spending continued to rise despite stalling economic growth and concerns about rebounding inflation. While unemployment remained low by historic standards, it rose near the end of the reporting period, as job creation failed to keep pace with Canada’s significant population growth. To combat inflation, the Bank of Canada raised interest rates six times during the reporting period, and the inflation rate declined substantially. However, prices grew again toward the end of the reporting period, raising concerns among investors that additional monetary tightening would be needed to control inflation.

The information technology sector contributed the most to the Index’s return, led by the information technology services industry. Revenues from e-commerce platforms and point of sale systems grew substantially amid sharply higher gross merchandise volume (the total value of merchandise sold through an e-commerce platform). The industry also benefited from optimism surrounding the impact of new developments in the area of artificial intelligence (“AI”). New AI-powered products generated investor enthusiasm, including a new feature designed to help online vendors manage their virtual storefronts using AI and another aimed at assisting merchants with text used in marketing their businesses.

Stocks in the materials sector also gained, due to strength in the metals and mining industry. Although some metal commodities prices declined during the reporting period, gold prices rose notably. This price increase bolstered the earnings of precious metals streamers (companies that provide capital and financing for mines in exchange for discounted precious metal prices) in the gold industry.

On the downside, utilities companies detracted from the Index’s performance in U.S. dollar terms. Financing delays for a new wind farm project amid tighter financial conditions pressured the independent power and renewable electricity producers industry.

In terms of currency performance, the Canadian dollar depreciated relative to the U.S. dollar by approximately 3% for the reporting period. The Bank of Canada’s slower pace of interest rate increases compared to the Fed pressured the value of the Canadian dollar relative to the U.S. dollar.

The Canadian dollar’s negative performance meant hedging activity contributed to the Index’s return. A fully hedged investor seeks to bypass the currency fluctuations — both on the upside and on the downside — related to holding foreign-currency-denominated securities. The Index’s hedging activity offset the negative impact of the Canadian dollar’s performance relative to the U.S. dollar, resulting in an Index return that was relatively close to the return of Canadian equities measured in Canadian dollars.

Portfolio Information

 

PORTFOLIO COMPOSITION

 

   
Investment Type  

Percent of  

Net Assets  

Investment Companies

  100.1%
Forward foreign currency exchange contracts, net cumulative appreciation   2.6  

Other assets less liabilities

  (2.7) 

SECTOR ALLOCATION (of the UNDERLYING FUND)

 

   
Sector  

Percent of  

Total  Investment(a)  

Financials

  34.9%

Energy

  18.4  

Industrials

  12.7  

Materials

  11.1  

Information Technology

  8.9  

Consumer Staples

  4.6  

Consumer Discretionary

  3.8  

Utilities

  3.3  

Communication Services

  1.6  

Real Estate

  0.6  

 

(a)

Excludes money market funds.

 

 

 

6  

2 0 2 3  I S H A R E S  A N N U A L  R E P O R TT O  S H A R E H O L D E R S


Fund Summary as of August 31, 2023      iShares® Currency Hedged MSCI Eurozone ETF

 

Investment Objective

The iShares Currency Hedged MSCI Eurozone ETF (the “Fund”) seeks to track the investment results of an index composed of large- and mid-capitalization equities from developed market countries which use the euro as their official currency while mitigating exposure to fluctuations between the value of the euro and the U.S. dollar, as represented by the MSCI EMU 100% Hedged to USD Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index. The Fund currently seeks to achieve its investment objective by investing a substantial portion of its assets in one underlying fund, the iShares MSCI Eurozone ETF.

Performance

 

    Average Annual Total Returns         Cumulative Total Returns  
     1 Year     5 Years    

Since

Inception

         1 Year     5 Years    

Since

Inception

 

Fund NAV

    24.30     8.20     7.71       24.30     48.33     97.31

Fund Market

    24.42       8.22       7.72         24.42       48.43       97.44  

Index

    24.28       8.15       7.87           24.28       47.92       99.92  

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

The inception date of the Fund was July 9, 2014. The first day of secondary market trading was July 10, 2014.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

   

Actual

       

Hypothetical 5% Return

          
                                                          
   

Beginning

Account Value

(03/01/23)

      

Ending

  Account Value

(08/31/23)

 

 

 

      

Expenses

Paid During

the Period

 

 

(a) 

     

Beginning

Account Value

(03/01/23)

      

Ending

  Account Value

(08/31/23)

 

 

 

      

Expenses

Paid During

the Period

 

 

(a) 

      

Annualized
Expense
Ratio
 
 
 
    $  1,000.00        $  1,035.90          $   0.15         $  1,000.00        $  1,025.10          $   0.15          0.03

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio.

 

 

 

F U N D  S U M M A R Y

  7


Fund Summary as of August 31, 2023  (continued)    iShares® Currency Hedged MSCI Eurozone ETF

 

Portfolio Management Commentary

Stocks in the Eurozone advanced for the reporting period in U.S. dollar terms as equity markets in Europe outpaced most other regions of the globe, despite modest economic growth. Eurozone stocks benefited from a solid recovery following the early phases of the war in Ukraine. While the conflict initially disrupted critical natural gas supplies, the acquisition of new sources led to price declines, and a warm winter helped moderate consumption. The ECB responded to the highest inflation since the introduction of the euro by raising interest rates eight times and beginning to reduce the size of its debt holdings. Inflation across the Eurozone declined steadily from a peak of 10.6% in October 2022.

Stocks in France contributed the most to the Index’s performance. The French capital goods industry, in the industrials sector, led the gains. Overcoming significant supply-chain challenges, French manufacturers of jets and engines advanced as air travel recovered, and orders for new planes increased accordingly. French electrical equipment manufacturers benefited from stronger sales in the U.S., where new government incentives and funding encouraged business investment in new semiconductor, electric vehicle, and battery manufacturing plants. The French consumer discretionary sector also contributed, buoyed by solid sales of luxury goods in Europe and Asia, owing in part to the rebound in international travel and the end of China’s coronavirus pandemic-related lockdowns.

German stocks also contributed to the Index’s return, despite a sharp slowdown in the German economy. Following a two-quarter recession, German economic growth was stagnant in the second quarter of 2023. The information technology sector led the gains, benefiting from growth in cloud-based services in the software industry. Stocks of multi-line insurers in the financials sector also contributed, amid strong profits from life and health insurance sales. In the industrials sector, stocks in the industrial conglomerates industry were buoyed by strong earnings guidance amid easing supply chain bottlenecks.

In terms of currency performance during the reporting period, the euro appreciated by approximately 8% against the U.S. dollar. As the Fed slowed and then paused its interest rate increases, the ECB continued to raise interest rates, supporting the value of the euro relative to the U.S. dollar.

The euro’s positive performance meant hedging activity detracted from the Index’s return. A fully hedged investor seeks to bypass the currency fluctuations — both on the upside and on the downside — related to holding foreign-currency-denominated securities. The Index’s hedging activity offset the positive impact of the euro’s performance relative to the U.S. dollar, resulting in an Index return that was relatively close to the return of European equities measured in euros.

Portfolio Information

 

PORTFOLIO COMPOSITION

 

   
Investment Type  

Percent of  

Net Assets  

Investment Companies

  99.8%

Short-term Investments

  2.2  
Forward foreign currency exchange contracts, net cumulative appreciation   1.9  

Other assets less liabilities

  (3.9) 

SECTOR ALLOCATION (of the UNDERLYING FUND)

 

   
Sector  

Percent of  

Total  Investment(a)  

Financials

  17.3%

Consumer Discretionary

  16.6  

Industrials

  15.9  

Information Technology

  11.8  

Health Care

  8.2  

Consumer Staples

  8.0  

Materials

  6.5  

Utilities

  6.1  

Energy

  4.6  

Communication Services

  4.2  

Real Estate

  0.9  

 

(a)

Excludes money market funds.

 

 

 

 

8  

2 0 2 3  I S H A R E S  A N N U A L  R E P O R TT O  S H A R E H O L D E R S


Fund Summary as of August 31, 2023     iShares® Currency Hedged MSCI Germany ETF

 

Investment Objective

The iShares Currency Hedged MSCI Germany ETF (the “Fund”) seeks to track the investment results of an index composed of large- and mid-capitalization German equities while mitigating exposure to fluctuations between the value of the euro and the U.S. dollar, as represented by the MSCI Germany 100% Hedged to USD Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index. The Fund currently seeks to achieve its investment objective by investing a substantial portion of its assets in one underlying fund, the iShares MSCI Germany ETF.

Performance

 

    Average Annual Total Returns         Cumulative Total Returns  
     1 Year     5 Years    

Since

Inception

      1 Year     5 Years    

Since

Inception

 

Fund NAV

    26.26     4.97     5.90       26.26     27.47     73.17

Fund Market

    26.29       4.97       5.90         26.29       27.44       73.18  

Index

    25.82       5.10       6.11           25.82       28.26       76.52  

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

The inception date of the Fund was January 31, 2014. The first day of secondary market trading was February 4, 2014.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

   

Actual

       

Hypothetical 5% Return

          
                                                          
   

Beginning

Account Value

(03/01/23)

      

Ending

  Account Value

(08/31/23)

 

 

 

      

Expenses

Paid During

the Period

 

 

(a) 

     

Beginning

  Account Value

(03/01/23)

      

Ending

Account Value

(08/31/23)

 

 

 

      

Expenses

Paid During

the Period

 

 

(a) 

      

Annualized

Expense

Ratio

 

 

 

    $  1,000.00        $  1,039.20          $   0.15         $  1,000.00        $  1,025.10          $   0.15          0.03

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio.

 

 

 

F U N D  S U M M A R Y

  9


Fund Summary as of August 31, 2023  (continued)    iShares® Currency Hedged MSCI Germany ETF

 

Portfolio Management Commentary

Despite sluggish economic growth, stocks in Germany advanced significantly in U.S. dollar terms for the reporting period. German stocks benefited from improved energy security, as alternate fuel suppliers and a warm winter helped offset supply problems in the wake of Russia’s decision to stop supplying Germany with natural gas shortly before the start of the reporting period. While inflation remained elevated, it declined notably as the ECB raised interest rates eight times during the reporting period in an attempt to control rising prices.

The information technology sector contributed the most to the Index’s return, led by the software industry. Product offerings as part of enterprise resource planning software drove revenue gains, as software designed to improve business processes and operations was adopted by several major companies. Strong sales of cloud software, which provides a recurring stream of revenue, bolstered the industry’s profits, and layoffs helped to reduce costs while divestment of a large subsidiary was part of a restructuring plan to focus on core business.

Stocks in the financials sector also contributed to the Index’s return, most notably in the insurance industry. The ECB’s substantial interest rate increases benefited the industry, as higher interest rates allowed insurance companies to make more income from their investments. Earnings from insurance related to life and health or property and casualty were particularly strong.

The industrials sector also posted solid gains, as stocks in the industrial conglomerates industry were buoyed by strong earnings guidance amid easing supply chain bottlenecks. Price increases and productivity gains helped to offset higher wages and more expensive raw materials.

In terms of currency performance during the reporting period, the euro appreciated by approximately 8% against the U.S. dollar. As the Fed slowed and then paused its interest rate increases, the ECB continued to raise interest rates, supporting the value of the euro relative to the U.S. dollar.

The euro’s positive performance meant hedging activity detracted from the Index’s return. A fully hedged investor seeks to bypass the currency fluctuations — both on the upside and on the downside — related to holding foreign-currency-denominated securities. The Index’s hedging activity offset the positive impact of the euro’s performance relative to the U.S. dollar, resulting in an Index return that was relatively close to the return of German equities measured in euros.

Portfolio Information

 

PORTFOLIO COMPOSITION

 

   
Investment Type  

Percent of  

Net Assets  

Investment Companies

  99.9%

Short-term Investments

  5.8  
Forward foreign currency exchange contracts, net cumulative appreciation   1.9  

Other assets less liabilities

  (7.6) 

SECTOR ALLOCATION (of the UNDERLYING FUND)

 

   
Sector  

Percent of  

Total  Investment(a)  

Industrials

  18.6%

Financials

  18.0  

Consumer Discretionary

  15.9  

Information Technology

  15.4  

Health Care

  10.7  

Materials

  6.7  

Communication Services

  5.9  

Utilities

  4.1  

Consumer Staples

  2.9  

Real Estate

  1.8  

 

(a)

Excludes money market funds.

 

 

 

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Fund Summary as of August 31, 2023    iShares® Currency Hedged MSCI Japan ETF

 

Investment Objective

The iShares Currency Hedged MSCI Japan ETF (the “Fund”) seeks to track the investment results of an index composed of large- and mid-capitalization Japanese equities while mitigating exposure to fluctuations between the value of the Japanese yen and the U.S. dollar, as represented by the MSCI Japan 100% Hedged to USD Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index. The Fund currently seeks to achieve its investment objective by investing a substantial portion of its assets in one underlying fund, the iShares MSCI Japan ETF.

Performance

 

     Average Annual Total Returns          Cumulative Total Returns  
     1 Year     5 Years     Since
Inception
      1 Year     5 Years     Since
Inception
 

Fund NAV

    27.07     10.41     9.94       27.07     64.10     147.93

Fund Market

    26.96       10.40       9.93         26.96       63.98       147.68  

Index

    26.98       11.00       10.23           26.98       68.51       154.22  

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSETVALUE)

 

LOGO

The inception date of the Fund was January 31, 2014. The first day of secondary market trading was February 4, 2014.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

   

Actual

       

Hypothetical 5% Return

          
                                                          
   

Beginning

Account Value

(03/01/23)

      

Ending
  Account Value
(08/31/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
     

Beginning

Account Value

(03/01/23)

      

Ending
  Account Value
(08/31/23)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Annualized

Expense

Ratio

 

 

 

    $  1,000.00        $  1,213.40          $   0.00         $  1,000.00        $  1,025.20          $   0.00          0.00

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio.

 

 

 

F U N D  S U M M A R Y

  11


Fund Summary as of August 31, 2023  (continued)    iShares® Currency Hedged MSCI Japan ETF

 

Portfolio Management Commentary

Japanese stocks advanced for the reporting period in U.S. dollar terms, as the economy grew at its fastest pace in three years. The Japanese economy, which has struggled with weak growth and deflation, or falling prices, in recent decades, returned to growth while logging its highest inflation rate in more than 30 years. Foreign demand for automotive products and tourism drove stronger economic growth. The lifting of coronavirus pandemic-related travel restrictions on foreign tourism unleashed pent-up demand, spurring strong growth in tourism. Automotive exports recovered from lingering supply chain disruptions related to prior pandemic-related policies. Domestic consumption trailed, however, as household spending contracted, and the country’s notoriously high savings rate remained elevated for the reporting period, leading to concerns about the sustainability of recent economic growth. Nevertheless, investor optimism that Japan would maintain accommodative monetary policy to stimulate growth and inflation, as well as other policy shifts, such as limiting government intervention in bond markets and corporate governance reforms, ultimately drove strong flows into the Japanese equity market.

The industrials sector contributed the most to the Index’s return. The trading companies and distributors industry, which acts as an intermediary for the trading of many Japanese exports, benefited from growth in exports, a recovery in Japanese auto sales, and relatively elevated commodities prices.

The financials sector also contributed to the Index’s return, as Japan’s diversified banks advanced with strong earnings growth, including gains on bond sales, higher fees, lower credit costs, and growth in overseas lending activity. The information technology sector also advanced, led by the semiconductors and semiconductor equipment industry, as Chinese companies brought forward chip orders ahead of the Japanese government’s restrictions on semiconductor trade, while expectations for chip demand from artificial intelligence also rose sharply.

In terms of currency performance during the reporting period, the Japanese yen depreciated by approximately 5% against the U.S. dollar. Interest rates increased substantially in the U.S., while the Bank of Japan kept interest rates low, pressuring the value of the Japanese yen relative to the U.S. dollar.

The Japanese yen’s negative performance meant hedging activity contributed to the Index’s return. A fully hedged investor seeks to bypass the currency fluctuations — both on the upside and on the downside — related to holding foreign-currency-denominated securities. The Index’s hedging activity offset the negative impact of the Japanese yen’s performance relative to the U.S. dollar, resulting in an Index return that was relatively close to the return of Japanese equities measured in Japanese yen.

Portfolio Information

 

PORTFOLIO COMPOSITION

 

   
Investment Type   Percent of  
Net Assets  

Investment Companies

  100.1%

Short-term Investments

  0.0(a)
Forward foreign currency exchange contracts, net cumulative appreciation   3.4  

Other assets less liabilities

  (3.5) 

 

  (a) 

Rounds to less than 0.1%.

 

SECTOR ALLOCATION (of the UNDERLYING FUND)

 

   
Sector   Percent of  
Total Investment
(a)  

Industrials

  23.3%

Consumer Discretionary

  18.9  

Information Technology

  14.1  

Financials

  11.8  

Health Care

  8.7  

Communication Services

  7.2  

Consumer Staples

  6.2  

Materials

  4.7  

Real Estate

  3.0  

Utilities

  1.2  

Energy

  0.8  

 

(a) 

Excludes money market funds.

 

 

 

12  

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About Fund Performance

 

Past performance is not an indication of future results. Financial markets have experienced extreme volatility and trading in many instruments has been disrupted. These circumstances may continue for an extended period of time and may continue to affect adversely the value and liquidity of each Fund’s investments. As a result, current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end is available at iShares.com. Performance results assume reinvestment of all dividends and capital gain distributions and do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. The investment return and principal value of shares will vary with changes in market conditions. Shares may be worth more or less than their original cost when they are redeemed or sold in the market. Performance for certain funds may reflect a waiver of a portion of investment advisory fees. Without such a waiver, performance would have been lower.

Net asset value or “NAV” is the value of one share of a fund as calculated in accordance with the standard formula for valuing mutual fund shares. Beginning August 10, 2020, the price used to calculate market return (“Market Price”) is the closing price. Prior to August 10, 2020, Market Price was determined using the midpoint between the highest bid and the lowest ask on the primary stock exchange on which shares of a fund are listed for trading, as of the time that such fund’s NAV is calculated. Since shares of a fund may not trade in the secondary market until after the fund’s inception, for the period from inception to the first day of secondary market trading in shares of the fund, the NAV of the fund is used as a proxy for the Market Price to calculate market returns. Market and NAV returns assume that dividends and capital gain distributions have been reinvested at Market Price and NAV, respectively.

An index is a statistical composite that tracks a specified financial market or sector. Unlike a fund, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by a fund. These expenses negatively impact fund performance. Also, market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included, market returns would be lower.

Disclosure of Expenses

Shareholders of each Fund may incur the following charges: (1) transactional expenses, including brokerage commissions on purchases and sales of fund shares and (2) ongoing expenses, including management fees and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other funds.

The expense examples provide information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number under the heading entitled “Expenses Paid During the Period.”

The expense examples also provide information about hypothetical account values and hypothetical expenses based on a fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as brokerage commissions and other fees paid on purchases and sales of fund shares. Therefore, the hypothetical examples are useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.

 

 

A B O U T  F U N D  P E R F O R M A N C E / D I S C L O S U R EO F  E X P E N S E S

  13


Schedule of Investments

August 31, 2023

  

iShares® Currency Hedged MSCI Canada ETF

(Percentages shown are based on Net Assets)

 

Security  

Shares

    Value  

 

 

Investment Companies

   
Exchange-Traded Funds — 100.1%            

iShares MSCI Canada ETF(a)

    389,219     $ 13,502,007  
   

 

 

 

Total Investments in Securities — 100.1%
(Cost: $14,343,478)

 

     13,502,007  

Liabilities in Excess of Other Assets — (0.1)%

 

    (11,390
   

 

 

 

Net Assets — 100.0%

    $ 13,490,617  
   

 

 

 
(a) 

Affiliate of the Fund.

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended August 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer  

Value at

08/31/22

   

Purchases

at Cost

   

Proceeds

from Sale

   

Net Realized

Gain (Loss)

   

Change in

Unrealized

Appreciation

(Depreciation)

   

Value at

08/31/23

   

Shares

Held at

08/31/23

    Income    

Capital

Gain

Distributions

from

Underlying

Funds

 

 

 

BlackRock Cash Funds: Institutional, SL Agency Shares(a)

  $     $ 3,125 (b)     $     $ (3,125   $     $           $ 34,336 (c)    $  

BlackRock Cash Funds: Treasury, SL Agency Shares(a)

          0 (b)                                     525        

iShares MSCI Canada ETF

    21,141,688       4,791,217       (12,756,681     366,640       (40,857     13,502,007       389,219       340,040        
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ 363,515     $ (40,857   $ 13,502,007       $ 374,901     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

As of period end, the entity is no longer held.

 
  (b) 

Represents net amount purchased (sold).

 
  (c) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

               
  Currency Purchased               Currency Sold             Counterparty    Settlement Date              Unrealized
Appreciation
(Depreciation)
 

CAD

     17,909,000                  USD         13,237,744            BNP Paribas SA      09/05/23         $ 17,151  

USD

    13,236,904           CAD        17,415,000        BNP Paribas SA      09/05/23             347,630  

USD

    94,175           CAD        124,000        Morgan Stanley & Co. International PLC      09/05/23           2,400  

USD

    281,234           CAD        370,000        State Street Bank & Trust Company      09/05/23           7,387  
                        

 

 

 
                           374,568  
                        

 

 

 

CAD

    100,000           USD        74,043        JPMorgan Chase Bank N.A.      10/03/23            

USD

    13,561,726           CAD        18,340,000        BNP Paribas SA      10/03/23           (17,645
                        

 

 

 
                           (17,645
                        

 

 

 
                           $356,923  
                        

 

 

 

 

 

14  

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Schedule of Investments  (continued)

August 31, 2023

  

iShares® Currency Hedged MSCI Canada ETF

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

 

 
   

Commodity

Contracts

    

Credit

Contracts

    

Equity

Contracts

    

Foreign

Currency

Exchange

Contracts

    

Interest

Rate

Contracts

    

Other

Contracts

     Total  

 

 

Assets — Derivative Financial Instruments

                   

Forward foreign currency exchange contracts

                   

Unrealized appreciation on forward foreign currency exchange contracts

  $      $      $      $ 374,568      $      $      $ 374,568  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                   

Forward foreign currency exchange contracts

                   

Unrealized depreciation on forward foreign currency exchange contracts

  $      $      $      $ 17,645      $      $      $ 17,645  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended August 31, 2023, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

 

 
   

Commodity

Contracts

    

Credit

Contracts

    

Equity

Contracts

    

Foreign

Currency

Exchange

Contracts

   

Interest

Rate

Contracts

    

Other

Contracts

     Total  

 

 

Net Realized Gain (Loss) from

                  

Forward foreign currency exchange contracts

  $      $      $      $ 873,091     $      $      $ 873,091  
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                  

Forward foreign currency exchange contracts

  $      $      $      $ (170,168   $      $      $ (170,168
 

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

 

 

Forward foreign currency exchange contracts:

 

Average amounts purchased — in USD

  $ 14,617,291   

Average amounts sold — in USD

  $ 29,337,699   

 

 

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments - Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

 

 
    Assets             Liabilities  

 

 

Derivative Financial Instruments:

      

Forward foreign currency exchange contracts

  $ 374,568        $ 17,645  
 

 

 

      

 

 

 

Total derivative assets and liabilities in the Statement of Assets and Liabilities

    374,568          17,645  

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

              
 

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

    374,568          17,645  
 

 

 

      

 

 

 

The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:

 

 

 
   

Derivative

Assets

Subject to

an MNA by

 

 

 

 

   

Derivatives

Available

 

 

   

Non-Cash

Collateral

 

 

   

Cash

Collateral

 

 

   

Net Amount

of Derivative

 

 

Counterparty

    Counterparty         for Offset (a)        Received         Received         Assets (b)(c) 

 

 

BNP Paribas SA

        $ 364,781           $ (17,645         $           $              $ 347,136  

Morgan Stanley & Co. International PLC

      2,400                                 2,400  

State Street Bank & Trust Company

      7,387                                 7,387  
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 
    $ 374,568       $ (17,645     $       $       $ 356,923  
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

 

S C H E D U L EO F  I N V E S T M E N T S

  15


Schedule of Investments  (continued)

August 31, 2023

  

iShares® Currency Hedged MSCI Canada ETF

 

Derivative Financial Instruments - Offsetting as of Period End (continued)

 

 

 
 

Derivative

Liabilities

Subject to

an MNA by

 

 

 

 

   

Derivatives

Available

 

 

   

Non-Cash

Collateral

 

 

   

Cash

Collateral

 

 

   

Net Amount

of Derivative

 

 

Counterparty

  Counterparty

 

      for Offset (a)      Pledged       Pledged       Liabilities  

 

 

BNP Paribas SA

 

  

  $ 17,645           $ (17,645         $   —           $   —           $   —  
   

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

  (a) 

The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

 
  (b) 

Net amount represents the net amount receivable from the counterparty in the event of default.

 
  (c) 

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

 

 
     Level 1      Level 2      Level 3      Total  

 

 

Assets

           

Investments

           

Long-Term Investments

           

Investment Companies

   $ 13,502,007      $      $      $ 13,502,007  
  

 

 

    

 

 

    

 

 

    

 

 

 

Derivative Financial Instruments(a)

           

Assets

           

Foreign Currency Exchange Contracts

   $      $ 374,568      $      $ 374,568  

Liabilities

           

Foreign Currency Exchange Contracts

            (17,645             (17,645
  

 

 

    

 

 

    

 

 

    

 

 

 
   $      $  356,923      $    —        356,923  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

Derivative financial instruments are forward foreign currency exchange contracts. Forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

See notes to financial statements.

 

 

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Schedule of Investments  

August 31, 2023

  

iShares® Currency Hedged MSCI Eurozone ETF

(Percentages shown are based on Net Assets)

 

 

Security   Shares     Value  

 

 

Investment Companies

   
Exchange-Traded Funds — 99.8%            

iShares MSCI Eurozone ETF(a)(b)

    7,387,045     $ 331,161,227  
   

 

 

 

Total Investment Companies
(Cost: $352,835,382)

      331,161,227  
   

 

 

 
Short-Term Securities            
Money Market Funds — 2.2%            

BlackRock Cash Funds: Institutional, SL Agency Shares, 5.52%(a)(c)(d)

    7,070,142       7,072,263  

BlackRock Cash Funds: Treasury, SL Agency Shares, 5.31%(a)(c)

    160,000       160,000  
   

 

 

 

Total Short-Term Securities — 2.2%
(Cost: $7,232,263)

      7,232,263  
   

 

 

 

Total Investments in Securities — 102.0%
(Cost: $360,067,645)

 

    338,393,490  

Liabilities in Excess of Other Assets — (2.0)%

 

    (6,700,071
   

 

 

 

Net Assets — 100.0%

 

  $  331,693,419  
   

 

 

 
(a) 

Affiliate of the Fund.

(b) 

All or a portion of this security is on loan.

(c) 

Annualized 7-day yield as of period end.

(d) 

All or a portion of this security was purchased with the cash collateral from loaned securities.

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended August 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

   
  Affiliated Issuer   

Value at

08/31/22

   

Purchases

at Cost

   

Proceeds

from Sale

   

Net Realized

Gain (Loss)

   

Change in

Unrealized

Appreciation

(Depreciation)

   

Value at

08/31/23

   

Shares 

Held at

08/31/23

    Income    

Capital

Gain

Distributions

from

Underlying

Funds

   

 

 

   
 

BlackRock Cash Funds: Institutional, SL Agency Shares

   $     $ 7,068,225 (a)    $     $ 4,038     $     $ 7,072,263       7,070,142     $ 34,880 (b)     $    
 

BlackRock Cash Funds: Treasury, SL Agency Shares

     1,610,000             (1,450,000 )(a)                   160,000       160,000       20,796          
 

iShares MSCI Eurozone ETF

     352,789,764       272,331,901       (367,824,443     (29,336,355     103,200,360       331,161,227       7,387,045       7,541,583          
          

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   
           $ (29,332,317   $ 103,200,360     $ 338,393,490       $ 7,597,259     $    
          

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

  (a) 

Represents net amount purchased (sold).

 
  (b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

           
  Currency Purchased        Currency Sold        Counterparty      Settlement Date               

Unrealized

Appreciation

(Depreciation)

 

USD

    4,858,036                   EUR       4,399,000        Bank of America N.A.        09/05/23          $ 87,978  

USD

    6,333,153            EUR       5,779,000        JPMorgan Chase Bank N.A.        09/05/23            66,691  

USD

    1,810,325            EUR       1,642,000        Morgan Stanley & Co. International PLC        09/05/23            29,821  

USD

      331,432,681            EUR         300,115,345        State Street Bank & Trust Company        09/05/23            6,002,444  

USD

    530,363            EUR       488,000        Bank of America N.A.        10/03/23            486  

 

 

S C H E D U L EO F  I N V E S T M E N T S

  17


Schedule of Investments  (continued)

August 31, 2023

  

iShares® Currency Hedged MSCI Eurozone ETF

 

Forward Foreign Currency Exchange Contracts (continued)

 

           
  Currency Purchased        Currency Sold        Counterparty      Settlement Date               

Unrealized

Appreciation

(Depreciation)

 

USD

    334,250,164            EUR       307,549,345        State Street Bank & Trust Company        10/03/23            $  309,515  
                           

 

 

 
                              6,496,935  
                           

 

 

 

EUR

    1,459,000                   USD       1,588,438        Bank of America N.A.        09/05/23            (6,371

EUR

    2,927,000            USD       3,206,528        BNP Paribas SA        09/05/23            (32,634

EUR

       307,549,345            USD         333,798,682        State Street Bank & Trust Company        09/05/23            (307,382

EUR

    3,467,000            USD       3,766,927        BNP Paribas SA        10/03/23            (2,418
                           

 

 

 
                              (348,805
                           

 

 

 
                              $6,148,130  
                           

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

 

 
    

Commodity

Contracts

      

Credit

Contracts

      

Equity

Contracts

      

Foreign

Currency

Exchange

Contracts

      

Interest

Rate

Contracts

      

Other

Contracts

       Total  

 

 

Assets — Derivative Financial Instruments

                                

Forward foreign currency exchange contracts

                                

Unrealized appreciation on forward foreign currency exchange contracts

   $        $        $        $ 6,496,935        $        $        $ 6,496,935  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Liabilities — Derivative Financial Instruments

                                

Forward foreign currency exchange contracts

                                

Unrealized depreciation on forward foreign currency exchange contracts

   $        $        $        $ 348,805        $        $        $ 348,805  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

For the period ended August 31, 2023, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

 

 
     Commodity
Contracts
       Credit
Contracts
       Equity
Contracts
       Foreign
Currency
Exchange
Contracts
       Interest
Rate
Contracts
       Other
Contracts
       Total  

 

 

Net Realized Gain (Loss) from

                                

Forward foreign currency exchange contracts

   $        $        $        $ (15,368,127      $        $        $ (15,368,127
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                                

Forward foreign currency exchange contracts

   $        $        $        $ 71,817        $        $        $ 71,817  
  

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

      

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

 

 

Forward foreign currency exchange contracts:

 

Average amounts purchased — in USD

  $ 324,582,782   

Average amounts sold — in USD

  $ 646,652,402   

 

 

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments - Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

 

 
     Assets        Liabilities  

 

 

Derivative Financial Instruments:

       

Forward foreign currency exchange contracts

   $ 6,496,935        $  348,805  
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Statement of Assets and Liabilities

     6,496,935          348,805  

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

               
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

     6,496,935          348,805  
  

 

 

      

 

 

 

 

 

18  

2 0 2 3  I S H A R E S  A N N U A L  R E P O R TT O  S H A R E H O L D E R S


Schedule of Investments  (continued)

August 31, 2023

  

iShares® Currency Hedged MSCI Eurozone ETF

 

Derivative Financial Instruments - Offsetting as of Period End (continued)

The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:

 

 

 
   

Derivative

Assets

Subject to

an MNA by

 

 

 

 

 

Derivatives

Available

 

 

    

Non-Cash

Collateral

 

 

      
Cash
Collateral
 
 
   

Net Amount

of Derivative

 

 

Counterparty

    Counterparty         for Offset (a)        Received          Received         Assets (b)(c) 

 

 

Bank of America N.A.

    $ 88,464       $ (6,371    $        $       $ 82,093  

JPMorgan Chase Bank N.A.

          66,691                                 66,691  

Morgan Stanley & Co. International PLC

      29,821                                     29,821  

State Street Bank & Trust Company

      6,311,959         (307,382                       6,004,577  
   

 

 

     

 

 

    

 

 

      

 

 

     

 

 

 
    $ 6,496,935       $ (313,753    $        $       $ 6,183,182  
   

 

 

     

 

 

    

 

 

      

 

 

     

 

 

 

 

 

 

Counterparty

   

Derivative

Liabilities

Subject to

an MNA by

 

 

 

 

 

Derivatives

Available

 

 

    

Non-Cash

Collateral

 

 

      

Cash

Collateral

 

 

   

Net Amount

of Derivative

 

 

    Counterparty         for Offset (a)       Pledged          Pledged         Liabilities (c)(d) 

 

 

Bank of America N.A.

        $ 6,371       $ (6,371    $        $           $  

BNP Paribas SA

      35,052                                 35,052  

State Street Bank & Trust Company

      307,382         (307,382                        
   

 

 

     

 

 

    

 

 

      

 

 

     

 

 

 
    $ 348,805       $ (313,753    $        $       $ 35,052  
   

 

 

     

 

 

    

 

 

      

 

 

     

 

 

 

 

  (a) 

The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

 
  (b) 

Net amount represents the net amount receivable from the counterparty in the event of default.

 
  (c) 

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

 
  (d) 

Net amount represents the net amount payable due to the counterparty in the event of default.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

 

   
     Level 1      Level 2     Level 3      Total        

 

   

Assets

            

Investments

            

Long-Term Investments

            

Investment Companies

   $ 331,161,227      $     $      $ 331,161,227    

Short-Term Securities

            

Money Market Funds

     7,232,263                     7,232,263    
  

 

 

    

 

 

   

 

 

    

 

 

   
   $ 338,393,490      $     $      $ 338,393,490    
  

 

 

    

 

 

   

 

 

    

 

 

   

Derivative Financial Instruments(a)

            

Assets

            

Foreign Currency Exchange Contracts

   $      $ 6,496,935     $      $ 6,496,935    

Liabilities

            

Foreign Currency Exchange Contracts

            (348,805            (348,805  
  

 

 

    

 

 

   

 

 

    

 

 

   
   $      $  6,148,130     $    —        6,148,130    
  

 

 

    

 

 

   

 

 

    

 

 

   

 

  (a) 

Derivative financial instruments are forward foreign currency exchange contracts. Forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

See notes to financial statements.

 

 

S C H E D U L EO F  I N V E S T M E N T S

  19


Schedule of Investments  

August 31, 2023

  

iShares® Currency Hedged MSCI Germany ETF

(Percentages shown are based on Net Assets)

 

 

Security   Shares     Value  

 

 

Investment Companies

 

Exchange-Traded Funds — 99.9%            

iShares MSCI Germany ETF(a)(b)

    1,259,011     $ 35,151,587  
   

 

 

 

Total Investment Companies
(Cost: $42,392,102)

 

    35,151,587  
   

 

 

 
Short-Term Securities  
Money Market Funds — 5.8%  

BlackRock Cash Funds: Institutional, SL Agency Shares, 5.52%(a)(c)(d)

    1,997,538       1,998,138  

BlackRock Cash Funds: Treasury, SL Agency Shares, 5.31%(a)(c)

    60,000       60,000  
   

 

 

 

Total Short-Term Securities — 5.8%
(Cost: $2,058,138)

 

    2,058,138  
   

 

 

 

Total Investments in Securities — 105.7%
(Cost: $44,450,240)

 

    37,209,725  

Liabilities in Excess of Other Assets — (5.7)%

 

    (2,004,174
   

 

 

 

Net Assets — 100.0%

    $ 35,205,551  
   

 

 

 
(a) 

Affiliate of the Fund.

(b) 

All or a portion of this security is on loan.

(c) 

Annualized 7-day yield as of period end.

(d) 

All or a portion of this security was purchased with the cash collateral from loaned securities.

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended August 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer    Value at
08/31/22
   

Purchases

at Cost

    Proceeds
from Sale
   

Net Realized

Gain (Loss)

    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
08/31/23
    Shares
Held at
08/31/23
    Income    

Capital

Gain

Distributions

from

Underlying

Funds

 

 

 

BlackRock Cash Funds: Institutional, SL Agency Shares

   $     $ 1,997,979 (a)     $     $ 159     $     $ 1,998,138       1,997,538     $ 176,320 (b)    $  

BlackRock Cash Funds: Treasury, SL Agency Shares

     10,000       50,000 (a)                         60,000       60,000       1,387        

iShares MSCI Germany ETF

     36,246,996       162,636,180       (173,159,767     (2,984,618     12,412,796       35,151,587       1,259,011       981,694        
        

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
         $ (2,984,459   $ 12,412,796     $ 37,209,725       $ 1,159,401     $  
        

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a)

Represents net amount purchased (sold).

 
  (b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

           
  Currency Purchased        Currency Sold        Counterparty      Settlement Date               Unrealized
Appreciation
(Depreciation)
 

USD

     2,999,726            EUR          2,757,000        Bank of New York        09/05/23          $ 10,172  

USD

     224,917                EUR          204,000        HSBC Bank PLC        09/05/23                    3,709  

USD

     3,086,978            EUR          2,826,000        Natwest Markets PLC        09/05/23            22,603  

USD

        35,454,085            EUR            32,104,000        State Street Bank & Trust Company        09/05/23            642,094  

USD

     665,913            EUR          603,000        Toronto Dominion Bank        09/05/23            12,050  

 

 

20  

2 0 2 3  I S H A R E S  A N N U A L  R E P O R TT O  S H A R E H O L D E R S


Schedule of Investments  (continued)

August 31, 2023

  

iShares® Currency Hedged MSCI Germany ETF

 

Forward Foreign Currency Exchange Contracts (continued)

 

             
 Currency Purchased             Currency Sold      Counterparty      Settlement Date            

Unrealized

Appreciation

(Depreciation)

 
USD      35,726,968            EUR          32,873,000      State Street Bank & Trust Company        10/03/23          $ 33,083  
                             

 

 

 
                                723,711  
                             

 

 

 
EUR      5,540,000                  USD          6,026,883      JPMorgan Chase Bank N.A.        09/05/23            (19,581
EUR        32,873,000            USD            35,678,711       State Street Bank & Trust Company        09/05/23                  (32,855
EUR      81,000            USD          88,123      Toronto Dominion Bank        09/05/23            (291
EUR      215,000            USD          233,668      Bank of America N.A.        10/03/23            (218
EUR      404,000            USD          438,946      Bank of New York        10/03/23            (278
                             

 

 

 
                                (53,223
                             

 

 

 
                                $670,488  
                             

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

 

 
    

Commodity

Contracts

    

Credit

Contracts

    

Equity

Contracts

    

Foreign

Currency

Exchange

Contracts

    

Interest

Rate

Contracts

    

Other

Contracts

     Total  

 

 

Assets — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

   $      $      $      $ 723,711      $      $      $ 723,711  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

   $      $      $      $ 53,223      $      $      $ 53,223  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended August 31, 2023, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

 

 
    

Commodity

Contracts

    

Credit

Contracts

    

Equity

Contracts

    

Foreign

Currency

Exchange

Contracts

    

Interest

Rate

Contracts

    

Other

Contracts

     Total  

 

 

Net Realized Gain (Loss) from

                    

Forward foreign currency exchange contracts

   $      $      $      $ (2,040,653    $      $      $ (2,040,653
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                    

Forward foreign currency exchange contracts

   $      $      $      $ 17,370      $      $      $ 17,370  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   

Forward foreign currency exchange contracts:

  

Average amounts purchased — in USD

   $ 44,522,822  

Average amounts sold — in USD

   $ 81,982,483  

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

Derivative Financial Instruments - Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

 

 
     Assets        Liabilities  

 

 

Derivative Financial Instruments:

       

Forward foreign currency exchange contracts

   $ 723,711        $ 53,223  
  

 

 

      

 

 

 

Total derivative assets and liabilities in the Statement of Assets and Liabilities

     723,711          53,223  

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

               
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

     723,711          53,223  
  

 

 

      

 

 

 

 

 

S C H E D U L EO F  I N V E S T M E N T S

  21


Schedule of Investments  (continued)

August 31, 2023

  

iShares® Currency Hedged MSCI Germany ETF

 

Derivative Financial Instruments - Offsetting as of Period End (continued)

The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:

 

 

 
   

Derivative

Assets

Subject to

an MNA by

 

 

 

 

 

Derivatives

Available

 

 

    

Non-Cash

Collateral

 

 

      

Cash

Collateral

 

 

   

Net Amount

of Derivative

 

 

Counterparty

    Counterparty         for Offset (a)       Received          Received         Assets (b)(c) 

 

 

Bank of New York

    $ 10,172       $ (278    $        $       $ 9,894  

HSBC Bank PLC

      3,709                                 3,709  

Natwest Markets PLC

          22,603                                     22,603  

State Street Bank & Trust Company

      675,177         (32,855                       642,322  

Toronto Dominion Bank

      12,050         (291                       11,759  
   

 

 

     

 

 

    

 

 

      

 

 

     

 

 

 
    $ 723,711       $ (33,424    $        $       $ 690,287  
   

 

 

     

 

 

    

 

 

      

 

 

     

 

 

 

 

 

 
   

Derivative

Liabilities

Subject to

an MNA by

 

 

 

 

 

Derivatives

Available

 

 

    

Non-Cash

Collateral

 

 

      

Cash

Collateral

 

 

   

Net Amount

of Derivative

 

 

Counterparty

    Counterparty         for Offset (a)       Pledged          Pledged         Liabilities (c)(d) 

 

 

Bank of America N.A.

    $ 218       $      $        $       $ 218  

Bank of New York

          278         (278                        

JPMorgan Chase Bank N.A.

      19,581                                     19,581  

State Street Bank & Trust Company

      32,855         (32,855                        

Toronto Dominion Bank

      291         (291                        
   

 

 

     

 

 

    

 

 

      

 

 

     

 

 

 
    $ 53,223       $ (33,424    $        $       $ 19,799  
   

 

 

     

 

 

    

 

 

      

 

 

     

 

 

 

 

  (a) 

The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

 
  (b) 

Net amount represents the net amount receivable from the counterparty in the event of default.

 
  (c) 

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

 
  (d) 

Net amount represents the net amount payable due to the counterparty in the event of default.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

 

 
     Level 1      Level 2     Level 3      Total  

 

 

Assets

          

Investments

          

Long-Term Investments

          

Investment Companies

   $ 35,151,587      $     $      $ 35,151,587  

Short-Term Securities

          

Money Market Funds

     2,058,138                     2,058,138  
  

 

 

    

 

 

   

 

 

    

 

 

 
   $ 37,209,725      $     $      $ 37,209,725  
  

 

 

    

 

 

   

 

 

    

 

 

 

Derivative Financial Instruments(a)

          

Assets

          

Foreign Currency Exchange Contracts

   $      $ 723,711     $      $ 723,711  

Liabilities

          

Foreign Currency Exchange Contracts

            (53,223            (53,223
  

 

 

    

 

 

   

 

 

    

 

 

 
   $      $  670,488     $    —        670,488  
  

 

 

    

 

 

   

 

 

    

 

 

 

 

  (a) 

Derivative financial instruments are forward foreign currency exchange contracts. Forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

See notes to financial statements.

 

 

22  

2 0 2 3  I S H A R E S  A N N U A L  R E P O R TT O  S H A R E H O L D E R S


Schedule of Investments

August 31, 2023

  

iShares® Currency Hedged MSCI Japan ETF

(Percentages shown are based on Net Assets)

 

 

 

 

Security   Shares     Value  

 

 

Investment Companies

 

Exchange-Traded Funds — 100.1%            

iShares MSCI Japan ETF(a)

    3,497,674     $ 215,596,625  
   

 

 

 

Total Investment Companies
(Cost: $231,575,206)

 

    215,596,625  
   

 

 

 
Short-Term Securities  
Money Market Funds — 0.0%  

BlackRock Cash Funds: Treasury, SL Agency Shares, 5.31%(a)(b)

    100,000       100,000  
   

 

 

 

Total Short-Term Securities — 0.0%
(Cost: $100,000)

 

    100,000  
   

 

 

 

Total Investments in Securities — 100.1%
(Cost: $231,675,206)

 

    215,696,625  

Liabilities in Excess of Other Assets — (0.1)%

 

    (203,428
   

 

 

 

Net Assets — 100.0%

    $  215,493,197  
   

 

 

 
(a) 

Affiliate of the Fund.

(b) 

Annualized 7-day yield as of period end.

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended August 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

   
  Affiliated Issuer   

Value at

08/31/22

   

Purchases

at Cost

   

Proceeds

from Sale

   

Net Realized

Gain (Loss)

   

Change in

Unrealized

Appreciation

(Depreciation)

   

Value at

08/31/23

   

Shares

Held at

08/31/23

    Income    

Capital

Gain

Distributions

from

Underlying

Funds

   

 

 

   
 

BlackRock Cash Funds: Institutional, SL Agency Shares(a)

   $     $ 30,248 (b)     $     $ (30,248   $     $           $ 56,179 (c)     $    
 

BlackRock Cash Funds: Treasury, SL Agency Shares

     1,710,000             (1,610,000 )(b)                   100,000       100,000       22,893          
 

iShares MSCI Japan ETF

     463,540,692       591,970,453       (859,771,858     (81,993,902     101,851,240       215,596,625       3,497,674       1,580,476          
          

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   
           $ (82,024,150   $ 101,851,240     $ 215,696,625       $ 1,659,548     $    
          

 

 

   

 

 

   

 

 

     

 

 

   

 

 

   

 

  (a) 

As of period end, the entity is no longer held.

 
  (b) 

Represents net amount purchased (sold).

 
  (c) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

             
Currency Purchased             Currency Sold      Counterparty    Settlement Date          

Unrealized

Appreciation

(Depreciation)

 
JPY      27,484,000                USD          187,800      Bank of New York      09/05/23        $ 1,099  
JPY       29,893,489,000            USD          205,333,578      BNP Paribas SA      09/05/23              127,015  
JPY      717,844,000            USD          4,909,281      JPMorgan Chase Bank N.A.      09/05/23          24,525  
USD      3,285,769            JPY           466,160,000      Bank of America N.A.      09/05/23          81,810  
USD      205,918,955            JPY            29,147,931,000      BNP Paribas SA      09/05/23          5,582,648  
USD      178,907,646            JPY           25,285,930,000      Commonwealth Bank of Australia      09/05/23          5,115,213  
USD      24,233,303            JPY           3,487,423,000      JPMorgan Chase Bank N.A.      09/05/23          263,937  

 

 

S C H E D U L EO F  I N V E S T M E N T S

  23


Schedule of Investments  (continued)

August 31, 2023

  

iShares® Currency Hedged MSCI Japan ETF

 

Forward Foreign Currency Exchange Contracts (continued)

 

             
Currency Purchased             Currency Sold      Counterparty    Settlement Date          

Unrealized

Appreciation

(Depreciation)

 
USD      59,755            JPY           8,522,000      Nomura Securities International Inc.      09/05/23        $ 1,183  
USD      665,153            JPY           96,246,000      Toronto Dominion Bank      09/05/23          3,646  
                         

 

 

 
                            11,201,076  
                         

 

 

 
JPY       21,033,926,000            USD          147,431,856      Bank of America N.A.      09/05/23              (2,863,823
JPY      6,041,827,000                USD          42,346,919      JPMorgan Chase Bank N.A.      09/05/23          (820,908
JPY      777,642,000            USD          5,499,658      Toronto Dominion Bank      09/05/23          (154,856
JPY      278,173,000            USD          1,921,601      Morgan Stanley & Co. International PLC      10/03/23          (1,107
USD      206,260,144            JPY            29,893,489,000      BNP Paribas SA      10/03/23          (123,211
USD      9,232,633            JPY           1,338,111,000      Citibank N.A.      10/03/23          (5,627
                         

 

 

 
                            (3,969,532
                         

 

 

 
                            $7,231,544  
                         

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

 

 
    

Commodity

Contracts

    

Credit

Contracts

    

Equity

Contracts

    

Foreign

Currency

Exchange

Contracts

    

Interest

Rate

Contracts

    

Other

Contracts

     Total  

 

 

Assets — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

   $      $      $      $ 11,201,076      $      $      $ 11,201,076  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

   $      $      $      $ 3,969,532      $      $      $ 3,969,532  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended August 31, 2023, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

 

 
    

Commodity

Contracts

    

Credit

Contracts

    

Equity

Contracts

    

Foreign

Currency

Exchange

Contracts

   

Interest

Rate

Contracts

    

Other

Contracts

     Total  

 

 

Net Realized Gain (Loss) from

                   

Forward foreign currency exchange contracts

   $      $      $      $ 30,478,315     $      $      $ 30,478,315  
  

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                   

Forward foreign currency exchange contracts

   $      $      $      $ (12,326,672   $      $      $ (12,326,672
  

 

 

    

 

 

    

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   

Forward foreign currency exchange contracts:

  

Average amounts purchased — in USD

   $ 275,538,906  

Average amounts sold — in USD

   $ 465,629,091  

For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.

 

 

24  

2 0 2 3  I S H A R E S  A N N U A L  R E P O R TT O  S H A R E H O L D E R S


Schedule of Investments  (continued)

August 31, 2023

  

iShares® Currency Hedged MSCI Japan ETF

 

Derivative Financial Instruments - Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

 

 

   
         Assets      Liabilities      
 

 

   
 

Derivative Financial Instruments:

       
 

Forward foreign currency exchange contracts

   $ 11,201,076      $ 3,969,532    
    

 

 

    

 

 

   

 

Total derivative assets and liabilities in the Statement of Assets and Liabilities

     11,201,076        3,969,532    
 

Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)

                   
    

 

 

    

 

 

   
 

Total derivative assets and liabilities subject to an MNA

     11,201,076        3,969,532    
    

 

 

    

 

 

   

The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:

 

 

 
 

Derivative

Assets

Subject to

an MNA by

 

 

 

 

 

Derivatives

Available

 

 

   

Non-Cash

Collateral

 

 

   

Cash

Collateral

 

 

 

Net Amount

of Derivative

 

 

Counterparty

  Counterparty

 

      for Offset (a)      Received       Received         Assets (b)(c)  

 

 

Bank of America N.A.

     $ 81,810       $ (81,810   $     $       $  

Bank of New York

       1,099                             1,099  

BNP Paribas SA

       5,709,663         (123,211                   5,586,452  

Commonwealth Bank of Australia

       5,115,213                             5,115,213  

JPMorgan Chase Bank N.A.

       288,462         (288,462                    

Nomura Securities International Inc.

       1,183                              1,183  

Toronto Dominion Bank

       3,646         (3,646                    
    

 

 

     

 

 

   

 

 

   

 

 

     

 

 

 
     $ 11,201,076       $ (497,129   $     $       $ 10,703,947  
    

 

 

     

 

 

   

 

 

   

 

 

     

 

 

 

 

 

 
 

Derivative

Liabilities

Subject to

an MNA by

 

 

 

 

 

 

Derivatives

Available

 

 

   

Non-Cash

Collateral

 

 

   

Cash

Collateral

 

 

 

Net Amount

of Derivative

 

 

Counterparty

  Counterparty

 

      for Offset (a)      Pledged       Pledged         Liabilities (c)(d) 

 

 

Bank of America N.A.

     $ 2,863,823           $ (81,810   $     $       $ 2,782,013  

BNP Paribas SA

       123,211         (123,211                    

Citibank N.A.

       5,627                             5,627  

JPMorgan Chase Bank N.A.

       820,908         (288,462                   532,446  

Morgan Stanley & Co. International PLC

       1,107                              1,107  

Toronto Dominion Bank

       154,856         (3,646                   151,210  
    

 

 

     

 

 

   

 

 

   

 

 

     

 

 

 
     $ 3,969,532       $ (497,129   $     $       $ 3,472,403  
    

 

 

     

 

 

   

 

 

   

 

 

     

 

 

 

 

  (a) 

The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

 
  (b) 

Net amount represents the net amount receivable from the counterparty in the event of default.

 
  (c) 

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

 
  (d) 

Net amount represents the net amount payable due to the counterparty in the event of default.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

 

 

 

   
         Level 1      Level 2      Level 3      Total        
 

 

   

 

Assets

             
 

Investments

             
 

Long-Term Investments

                    
 

Investment Companies

   $ 215,596,625      $      $      $ 215,596,625    
 

Short-Term Securities

             
 

Money Market Funds

     100,000                      100,000    
    

 

 

    

 

 

    

 

 

    

 

 

   
     $ 215,696,625      $    —      $    —      $ 215,696,625    
    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

S C H E D U L EO F  I N V E S T M E N T S

  25


Schedule of Investments  (continued)

August 31, 2023

  

iShares® Currency Hedged MSCI Japan ETF

 

Fair Value Hierarchy as of Period End (continued)

 

 

 
     Level 1        Level 2        Level 3        Total  

 

 

Derivative Financial Instruments(a)

                 

Assets

                 

Foreign Currency Exchange Contracts

   $        $  11,201,076        $        $  11,201,076  

Liabilities

                 

Foreign Currency Exchange Contracts

              (3,969,532                 (3,969,532
  

 

 

      

 

 

      

 

 

      

 

 

 
   $          —        $ 7,231,544        $          —          7,231,544  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are forward foreign currency exchange contracts. Forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

See notes to financial statements.

 

 

26  

2 0 2 3  I S H A R E S  A N N U A L  R E P O R TT O  S H A R E H O L D E R S


Statements of Assets and Liabilities

August 31, 2023

 

   

iShares

Currency

Hedged

MSCI

Canada ETF

    

iShares

Currency

Hedged

MSCI

Eurozone

ETF

    

iShares

Currency

Hedged

MSCI

Germany

ETF

    

iShares

Currency

Hedged

MSCI Japan

ETF

 

 

 

ASSETS

          

Investments, at value — affiliated(a)(b)

  $ 13,502,007      $ 338,393,490      $ 37,209,725      $ 215,696,625  

Cash

    8,459        816        2,567        3,341  

Receivables:

          

Securities lending income — affiliated

    109        1,397        2,726        825  

Capital shares sold

                  44,741         

Dividends — affiliated

           744        128        592  

Unrealized appreciation on forward foreign currency exchange contracts

    374,568        6,496,935        723,711        11,201,076  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total assets

    13,885,143        344,893,382        37,983,598        226,902,459  
 

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

          

Collateral on securities loaned, at value

           7,072,273        1,999,049         

Payables:

          

Investments purchased

    376,542        5,770,470        724,620        7,437,458  

Investment advisory fees

    339        8,415        1,155        2,272  

Unrealized depreciation on forward foreign currency exchange contracts

    17,645        348,805        53,223        3,969,532  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total liabilities

    394,526        13,199,963        2,778,047        11,409,262