LOGO

  JANUARY 31, 2022

 

  

2022 Semi-Annual Report

(Unaudited)

 

iShares Trust

 

·  

iShares ESG Aware Aggressive Allocation ETF | EAOA | Cboe BZX

 

·  

iShares ESG Aware Conservative Allocation ETF | EAOK | Cboe BZX

 

·  

iShares ESG Aware Growth Allocation ETF | EAOR | Cboe BZX

 

·  

iShares ESG Aware Moderate Allocation ETF | EAOM | Cboe BZX


The Markets in Review

Dear Shareholder,

The 12-month reporting period as of January 31, 2022 saw a continuation of the resurgent growth that followed the initial coronavirus (or “COVID-19”) pandemic reopening, albeit at a slower pace. The global economy weathered the emergence of several variant strains and the resulting peaks and troughs in infections amid optimism that increasing vaccinations and economic adaptation could help contain the pandemic’s disruptions. Continued growth meant that the U.S. economy regained and then surpassed its pre-pandemic output. However, rapid changes in consumer spending led to supply constraints and elevated inflation.

Equity prices were mixed, as persistently high inflation drove investors’ expectations for higher interest rates, which particularly weighed on relatively high valuation growth stocks and economically sensitive small-capitalization stocks. Overall, small-capitalization U.S. stocks declined slightly, while large-capitalization U.S. stocks posted a strong advance. International equities from developed markets also gained, although emerging market stocks declined, pressured by rising interest rates and a strengthening U.S. dollar.

The 10-year U.S. Treasury yield (which is inversely related to bond prices) rose significantly during the reporting period as the economy expanded rapidly and inflation reached its highest annualized reading in decades. In the corporate bond market, the improving economy assuaged credit concerns and led to positive returns for high-yield corporate bonds, outpacing the modest negative return of investment-grade corporate bonds.

The U.S. Federal Reserve (the “Fed”) maintained accommodative monetary policy during the reporting period by keeping near-zero interest rates. However, the Fed’s tone shifted late in the period, as it reduced its bond-buying program and raised the prospect of higher rates in 2022. Continued high inflation and the Fed’s new tone led many analysts to anticipate that the Fed will raise interest rates multiple times throughout the year.

Looking ahead, however, the horrific war in Ukraine has significantly clouded the outlook for the global economy. Sanctions on Russia and general wartime disruption are likely to drive already-high commodity prices even further upwards, and we have already seen spikes in energy and metal markets. While this will exacerbate inflationary pressure, it could also constrain economic growth, making the Fed’s way forward less clear. Its challenge will be combating inflation without stifling a recovery that is now facing additional supply shocks.

In this environment, we favor an overweight to equities, as we believe low interest rates and continued economic growth will support further gains, albeit likely more modest than what we saw in 2021. Sectors that are better poised to manage the transition to a lower-carbon world, such as technology and health care, are particularly attractive in the long term. U.S. and other developed-market equities have room for further growth, while we believe Chinese equities stand to gain from a more accommodative monetary and fiscal environment. We are underweight long-term credit, but inflation-protected U.S. Treasuries, Asian fixed income, and emerging market local-currency bonds offer potential opportunities. We believe that international diversification and a focus on sustainability can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments.

In this environment, our view is that investors need to think globally, extend their scope across a broad array of asset classes, 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.

Sincerely,

 

 

LOGO

Rob Kapito

President, BlackRock, Inc.

LOGO

Rob Kapito

President, BlackRock, Inc.

 

Total Returns as of January 31, 2022
    

 

6-Month  

 

 

 

12-Month

 

   

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

  3.44%   23.29%
   

U.S. small cap equities
(Russell 2000® Index)

  (8.41)      (1.21)   
   

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

  (3.43)      7.03   
   

Emerging market equities
(MSCI Emerging Markets Index)

  (4.59)      (7.23)   
   

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

  0.01      0.04   
   

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

  (3.87)      (4.43)   
   

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

  (3.17)      (2.97)   
   

Tax-exempt municipal
bonds

(S&P Municipal Bond Index)

  (2.56)      (1.22)   
   

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

  (1.55)      2.05   
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  

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


Table of Contents

 

     

Page

 

 

The Markets in Review

     2  

Fund Summary

     4  

About Fund Performance

     8  

Shareholder Expenses

     8  

Schedules of Investments

     9  

Financial Statements:

  

Statements of Assets and Liabilities

     13  

Statements of Operations

     14  

Statements of Changes in Net Assets

     15  

Financial Highlights

     17  

Notes to Financial Statements

     21  

Statement Regarding Liquidity Risk Management Program

     27  

Supplemental Information

     28  

General Information

     29  

 

 

  3


Fund Summary as of January 31, 2022    iShares® ESG Aware Aggressive Allocation ETF

 

Investment Objective

The iShares ESG Aware Aggressive Allocation ETF (the “Fund”) seeks to track the investment results of an index composed of a portfolio of underlying equity and fixed income funds with positive environmental, social and governance characteristics intended to represent an aggressive risk profile, as represented by the BlackRock ESG Aware Aggressive Allocation 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.

Performance

 

               Average Annual Total Returns                     Cumulative Total Returns  
     6 Months      1 Year     

Since

Inception

           1 Year      Since
Inception
 

Fund NAV

    (1.18 )%       9.65      19.25       9.65      33.49

Fund Market

    (1.15      9.47        19.29         9.47        33.57  

Index

    (1.12      9.74        19.47               9.74        33.72  

The inception date of the Fund was 6/12/20. The first day of secondary market trading was 6/18/20.

Past performance is no guarantee 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” on page 8 for more information.

Expense Example

 

                                                    Actual                                                                                  Hypothetical 5% Return                                   
            

Beginning
Account Value
(08/01/21)
 
 
 
      

Ending
Account Value
(01/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
 (a)(b) 
           

Beginning
Account Value
(08/01/21)
 
 
 
      

Ending
Account Value
(01/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
 (a)(b) 
    

Annualized
Expense
Ratio
 
 
 (a)  
      $        1,000.00          $        988.20          $        0.10               $        1,000.00          $        1,025.10          $       0.10        0.02

 

  (a) 

Annualized expense ratio and expenses paid during the period do not include fees and expenses of the underlying fund in which the Fund invests.

 
  (b) 

Expenses are calculated using the Fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days). 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 “Shareholder Expenses” on page 8 for more information.

 

Portfolio Information

 

ALLOCATION BY ASSET CLASS

 

Asset Class    
Percent of
Total Investments
 
(a) 

Domestic Equity

    52.0

International Equity

    27.6  

Domestic Fixed Income

    20.4  

FIVE LARGEST HOLDINGS

 

Security    
Percent of
Total Investments
 
(a) 

iShares ESG Aware MSCI USA ETF

    46.6

iShares ESG Aware U.S. Aggregate Bond ETF

    20.4  

iShares ESG Aware MSCI EAFE ETF

    18.9  

iShares ESG Aware MSCI EM ETF

    8.7  

iShares ESG Aware MSCI USA Small-Cap ETF

    5.4  

 

  (a) 

Excludes money market funds.

 

 

 

4  

2 0 2 2    H A R E S     E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Fund Summary as of January 31, 2022    iShares® ESG Aware Conservative Allocation ETF

 

Investment Objective

The iShares ESG Aware Conservative Allocation ETF (the “Fund”) seeks to track the investment results of an index composed of a portfolio of underlying equity and fixed income funds with positive environmental, social and governance characteristics intended to represent a conservative risk profile, as represented by the BlackRock ESG Aware Conservative Allocation 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.

Performance

 

               Average Annual Total Returns                     Cumulative Total Returns  
     6 Months      1 Year      Since
Inception
           1 Year      Since
Inception
 

Fund NAV

    (2.47 )%       1.77      6.13       1.77      10.26

Fund Market

    (2.47      1.69        6.16         1.69        10.30  

Index

    (2.44      1.83        6.24               1.83        10.40  

The inception date of the Fund was 6/12/20. The first day of secondary market trading was 6/18/20.

Past performance is no guarantee 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” on page 8 for more information.

Expense Example

 

                                                    Actual                                                                                  Hypothetical 5% Return                                   
            

Beginning
Account Value
(08/01/21)
 
 
 
      

Ending
Account Value
(01/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
 (a)(b) 
           

Beginning
Account Value
(08/01/21)
 
 
 
      

Ending
Account Value
(01/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
 (a)(b) 
    

Annualized
Expense
Ratio
 
 
 (a)  
      $        1,000.00          $        975.30          $        0.30               $        1,000.00          $        1,024.90          $       0.31        0.06

 

  (a) 

Annualized expense ratio and expenses paid during the period do not include fees and expenses of the underlying fund in which the Fund invests.

 
  (b) 

Expenses are calculated using the Fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days). 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 “Shareholder Expenses” on page 8 for more information.

 

Portfolio Information

 

ALLOCATION BY ASSET CLASS

 

Asset Class    
Percent of
Total Investments
 
(a) 

Domestic Fixed Income

    70.5

Domestic Equity

    19.3  

International Equity

    10.2  

FIVE LARGEST HOLDINGS

 

Security    
Percent of
Total Investments
 
(a) 

iShares ESG Aware U.S. Aggregate Bond ETF

    70.5

iShares ESG Aware MSCI USA ETF

    17.3  

iShares ESG Aware MSCI EAFE ETF

    7.0  

iShares ESG Aware MSCI EM ETF

    3.2  

iShares ESG Aware MSCI USA Small-Cap ETF

    2.0  

 

  (a) 

Excludes money market funds.

 

 

 

F U N D    S U M M A R Y

  5


Fund Summary as of January 31, 2022    iShares® ESG Aware Growth Allocation ETF

 

Investment Objective

The iShares ESG Aware Growth Allocation ETF (the “Fund”) seeks to track the investment results of an index composed of a portfolio of underlying equity and fixed income funds with positive environmental, social and governance characteristics intended to represent a growth risk profile, as represented by the BlackRock ESG Aware Growth Allocation 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.

Performance

 

               Average Annual Total Returns                     Cumulative Total Returns  
     6 Months      1 Year      Since
Inception
           1 Year      Since
Inception
 

Fund NAV

    (1.59 )%       6.56      13.96       6.56      23.92

Fund Market

    (1.59      6.41        13.98         6.41        23.96  

Index

    (1.64      6.63        14.13               6.63        24.10  

The inception date of the Fund was 6/12/20. The first day of secondary market trading was 6/18/20.

Past performance is no guarantee 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” on page 8 for more information.

Expense Example

 

                                                    Actual                                                                                  Hypothetical 5% Return                                   
            

Beginning
Account Value
(08/01/21)
 
 
 
      

Ending
Account Value
(01/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
 (a)(b) 
           

Beginning
Account Value
(08/01/21)
 
 
 
      

Ending
Account Value
(01/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
 (a)(b) 
    

Annualized
Expense
Ratio
 
 
 (a)  
      $        1,000.00          $        984.10          $        0.20               $        1,000.00          $        1,025.00          $       0.20        0.04

 

  (a) 

Annualized expense ratio and expenses paid during the period do not include fees and expenses of the underlying fund in which the Fund invests.

 
  (b) 

Expenses are calculated using the Fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days). 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 “Shareholder Expenses” on page 8 for more information.

 

Portfolio Information

 

ALLOCATION BY ASSET CLASS

 

Asset Class    
Percent of
Total Investments
 
(a) 

Domestic Fixed Income

    40.6

Domestic Equity

    38.8  

International Equity

    20.6  

FIVE LARGEST HOLDINGS

 

Security    
Percent of
Total Investments
 
(a) 

iShares ESG Aware U.S. Aggregate Bond ETF

    40.5

iShares ESG Aware MSCI USA ETF

    34.8  

iShares ESG Aware MSCI EAFE ETF

    14.1  

iShares ESG Aware MSCI EM ETF

    6.5  

iShares ESG Aware MSCI USA Small-Cap ETF

    4.1  

 

  (a) 

Excludes money market funds.

 

 

 

6  

2 0 2 2    H A R E S    E M I - A N N U A L    E P O R T    T O    H A R E H O L D E R S


Fund Summary as of January 31, 2022    iShares® ESG Aware Moderate Allocation ETF

 

Investment Objective

The iShares ESG Aware Moderate Allocation ETF (the “Fund”) seeks to track the investment results of an index composed of a portfolio of underlying equity and fixed income funds with positive environmental, social and governance characteristics intended to represent a moderate risk profile, as represented by the BlackRock ESG Aware Moderate Allocation 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.

Performance

 

               Average Annual Total Returns                     Cumulative Total Returns  
     6 Months      1 Year      Since
Inception
           1 Year      Since
Inception
 

Fund NAV

    (2.20 )%       3.39      8.72       3.39      14.71

Fund Market

    (2.16      3.28        8.75         3.28        14.75  

Index

    (2.17      3.45        8.86               3.45        14.87  

The inception date of the Fund was 6/12/20. The first day of secondary market trading was 6/18/20.

Past performance is no guarantee 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” on page 8 for more information.

Expense Example

 

                                                    Actual                                                                                  Hypothetical 5% Return                                   
            

Beginning
Account Value
(08/01/21)
 
 
 
      

Ending
Account Value
(01/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
 (a)(b) 
           

Beginning
Account Value
(08/01/21)
 
 
 
      

Ending
Account Value
(01/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
 (a)(b) 
    

Annualized
Expense
Ratio
 
 
 (a)  
      $        1,000.00          $        978.00          $        0.25               $        1,000.00          $        1,025.00          $       0.26        0.05

 

  (a) 

Annualized expense ratio and expenses paid during the period do not include fees and expenses of the underlying fund in which the Fund invests.

 
  (b) 

Expenses are calculated using the Fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (184 days) and divided by the number of days in the year (365 days). 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 “Shareholder Expenses” on page 8 for more information.

 

Portfolio Information

 

ALLOCATION BY ASSET CLASS

 

Asset Class    
Percent of
Total Investments
 
(a) 

Domestic Fixed Income

    60.5

Domestic Equity

    25.8  

International Equity

    13.7  

FIVE LARGEST HOLDINGS

 

Security    
Percent of
Total Investments
 
(a) 

iShares ESG Aware U.S. Aggregate Bond ETF

    60.6

iShares ESG Aware MSCI USA ETF

    23.1  

iShares ESG Aware MSCI EAFE ETF

    9.3  

iShares ESG Aware MSCI EM ETF

    4.3  

iShares ESG Aware MSCI USA Small-Cap ETF

    2.7  

 

  (a) 

Excludes money market funds.

 

 

 

F U N D    S U M M A R Y

  7


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 by 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.

Shareholder 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 (or from the commencement of operations if less than 6 months) 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 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 a 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.

 

 

8  

2 0 2 2    H A R E S     E M I - A N N U A L    E P O R T    T O     H A R E H O L D E R S


Schedule of Investments (unaudited) 

January 31, 2022

  

iShares® ESG Aware Aggressive Allocation ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Investment Companies

   
Domestic Equity — 52.0%  

iShares ESG Aware MSCI USA ETF(a)

    98,148     $ 9,953,189  

iShares ESG Aware MSCI USA Small-Cap ETF(a)

    31,239       1,163,340  
   

 

 

 
      11,116,529  
Domestic Fixed Income — 20.3%  

iShares ESG Aware U.S. Aggregate Bond ETF(a)

    80,942       4,353,870  
   

 

 

 
International Equity — 27.6%  

iShares ESG Aware MSCI EAFE ETF(a)

    52,746       4,031,904  

iShares ESG Aware MSCI EM ETF(a)

    46,801       1,867,360  
   

 

 

 
      5,899,264  
   

 

 

 

Total Investment Companies — 99.9%
(Cost: $20,773,593)

 

    21,369,663  
   

 

 

 
Security   Shares     Value  

Short-Term Investments

 

Money Market Funds — 0.1%        

BlackRock Cash Funds: Treasury, SL Agency Shares,
0.00%(a)(b)

    10,000     $ 10,000  
   

 

 

 

Total Short-Term Investments — 0.1%
(Cost: $10,000)

 

    10,000  
   

 

 

 

Total Investments in Securities — 100.0%
(Cost: $20,783,593)

 

    21,379,663  

Other Assets, Less Liabilities — 0.0%

 

    1,833  
   

 

 

 

Net Assets — 100.0%

 

  $  21,381,496  
   

 

 

 

 

(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 six months ended January 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer    Value at
07/31/21
     Purchases
at Cost
     Proceeds
from Sales
     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
01/31/22
     Shares
Held at
01/31/22
     Income      Capital
Gain
Distributions
from
Underlying
Funds
 

BlackRock Cash Funds: Treasury, SL Agency
Shares

   $ 20,000      $      $ (10,000 )(a)     $      $      $ 10,000        10,000      $ 1      $  —  

iShares ESG Aware MSCI EAFE ETF

     3,969,646        759,497        (525,407      122,703        (294,535      4,031,904        52,746        59,039         

iShares ESG Aware MSCI EM ETF

     1,811,160        327,982        (161,754      (11,160      (98,868      1,867,360        46,801        38,827         

iShares ESG Aware MSCI USA ETF

     9,231,931        1,840,936        (1,158,534      388,650        (349,794      9,953,189        98,148        59,448         

iShares ESG Aware MSCI USA Small-Cap ETF

     1,109,388        209,368        (76,569      30,270        (109,117      1,163,340        31,239        6,345         

iShares ESG Aware U.S. Aggregate Bond ETF

     3,990,925        689,674        (162,664      (4,244      (159,821      4,353,870        80,942        21,914         
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 
            $ 526,219      $  (1,012,135)      $ 21,379,663         $ 185,574      $  —  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

(a) 

Represents net amount purchased (sold).

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. 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  

 

 

Investments

                 

Assets

                 

Investment Companies

   $ 21,369,663        $        $        $ 21,369,663  

Money Market Funds

     10,000                            10,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 21,379,663        $        $        $ 21,379,663  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

 

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

  9


Schedule of Investments (unaudited) 

January 31, 2022

  

iShares® ESG Aware Conservative Allocation ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Investment Companies

   
Domestic Equity — 19.2%  

iShares ESG Aware MSCI USA ETF(a)

    73,707     $ 7,474,627  

iShares ESG Aware MSCI USA Small-Cap ETF(a)

    23,460       873,651  
   

 

 

 
      8,348,278  
Domestic Fixed Income — 70.4%  

iShares ESG Aware U.S. Aggregate Bond ETF(a)

    567,328       30,516,573  
   

 

 

 
International Equity — 10.2%  

iShares ESG Aware MSCI EAFE ETF(a)

    39,611       3,027,865  

iShares ESG Aware MSCI EM ETF(a)

    35,146       1,402,325  
   

 

 

 
      4,430,190  
   

 

 

 

Total Investment Companies — 99.8%
(Cost: $44,662,739)

 

    43,295,041  
   

 

 

 
Security   Shares     Value  

Short-Term Investments

 

Money Market Funds — 0.2%        

BlackRock Cash Funds: Treasury, SL Agency Shares,
0.00%(a)(b)

    80,000     $ 80,000  
   

 

 

 

Total Short-Term Investments — 0.2%
(Cost: $80,000)

 

    80,000  
   

 

 

 

Total Investments in Securities — 100.0%
(Cost: $44,742,739)

 

    43,375,041  

Other Assets, Less Liabilities — 0.0%

 

    313  
   

 

 

 

Net Assets — 100.0%

 

  $   43,375,354  
   

 

 

 

 

(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 six months ended January 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

Affiliated Issuer    Value at
07/31/21
     Purchases
at Cost
    

Proceeds

from Sales

     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
01/31/22
     Shares
Held at
01/31/22
     Income     

Capital

Gain
Distributions
from
Underlying
Funds

 

BlackRock Cash Funds: Treasury, SL Agency
Shares

   $      $ 80,000 (a)      $      $      $      $ 80,000        80,000      $ 2      $  

iShares ESG Aware MSCI EAFE ETF

     412,200        3,025,960        (252,942      (2,061      (155,292      3,027,865        39,611        44,385         

iShares ESG Aware MSCI EM ETF

     191,386        1,389,942        (93,896      (8,527      (76,580      1,402,325        35,146        29,193         

iShares ESG Aware MSCI USA ETF

     962,310        7,524,855        (948,600      205,146        (269,084      7,474,627        73,707        44,855         

iShares ESG Aware MSCI USA Small-Cap ETF

     116,722        1,262,577        (447,720      31,564        (89,492      873,651        23,460        4,789         

iShares ESG Aware U.S. Aggregate Bond ETF

     3,903,609        28,127,012        (484,299      (12,072      (1,017,677      30,516,573        567,328        134,182         
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 
            $   214,050      $  (1,608,125)      $ 43,375,041         $ 257,406      $  —  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

(a) 

Represents net amount purchased (sold).

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. 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  

 

 

Investments

                 

Assets

                 

Investment Companies

   $ 43,295,041        $        $        $ 43,295,041  

Money Market Funds

     80,000                            80,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 43,375,041        $        $        $ 43,375,041  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

10  

    2 0 2 2    H A R E S     E M I - A N N U A L    E P O R T    T O     H A R E H O L D E R S


Schedule of Investments (unaudited)

January 31, 2022

  

iShares® ESG Aware Growth Allocation ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Investment Companies

   
Domestic Equity — 38.8%  

iShares ESG Aware MSCI USA ETF(a)

    31,342     $ 3,178,392  

iShares ESG Aware MSCI USA Small-Cap ETF(a)

    9,976       371,506  
   

 

 

 
      3,549,898  
Domestic Fixed Income — 40.5%  

iShares ESG Aware U.S. Aggregate Bond ETF(a)

    68,926       3,707,530  
   

 

 

 
International Equity — 20.6%            

iShares ESG Aware MSCI EAFE ETF(a)

    16,844       1,287,555  

iShares ESG Aware MSCI EM ETF(a)

    14,945       596,306  
   

 

 

 
      1,883,861  
   

 

 

 

Total Investment Companies — 99.9%
(Cost: 18,544,544)

 

    9,141,289  
   

 

 

 

Total Investments in Securities — 99.9%
(Cost: $8,544,544)

 

    9,141,289  

Other Assets, Less Liabilities — 0.1%

 

    8,499  
   

 

 

 

Net Assets — 100.0%

 

  $  9,149,788  
   

 

 

 

 

  (a) 

Affiliate of the Fund.

 

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended January 31, 2022 for purposes of
Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer    Value at
07/31/21
     Purchases
at Cost
     Proceeds
from Sales
     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
01/31/22
     Shares
Held at
01/31/22
     Income      Capital
Gain
Distributions
from
Underlying
Funds
 

 

 

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

   $ 370,000      $      $ (370,000 )(b)     $      $      $             $ 1      $  

iShares ESG Aware MSCI EAFE ETF

     1,213,688        233,576        (106,656      1,136        (54,189      1,287,555        16,844        18,860         

iShares ESG Aware MSCI EM ETF

     563,602        109,896        (39,838      (1,610      (35,744      596,306        14,945        12,404         

iShares ESG Aware MSCI USA ETF

     2,775,397        555,095        (164,365      2,677        9,588        3,178,392        31,342        18,173         

iShares ESG Aware MSCI USA Small-Cap ETF

     325,664        70,850                      (25,008      371,506        9,976        1,930         

iShares ESG Aware U.S. Aggregate Bond ETF

     2,562,736        1,273,273                      (128,479      3,707,530        68,926        17,714         
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 
            $ 2,203      $ (233,832    $ 9,141,289         $ 69,082      $  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

  (a) 

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

 
  (b) 

Represents net amount purchased (sold).

 

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  

 

 

Investments

                 

Assets

                 

Investment Companies

   $ 9,141,289        $        $        $ 9,141,289  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

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

  11


Schedule of Investments (unaudited)

January 31, 2022

  

iShares® ESG Aware Moderate Allocation ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Investment Companies

   
Domestic Equity — 25.7%            

iShares ESG Aware MSCI USA ETF(a)

    12,780     $  1,296,020  

iShares ESG Aware MSCI USA Small-Cap ETF(a)

    4,068       151,492  
   

 

 

 
      1,447,512  
Domestic Fixed Income — 60.3%            

iShares ESG Aware U.S. Aggregate Bond ETF(a)

    63,239       3,401,626  
   

 

 

 
International Equity — 13.6%            

iShares ESG Aware MSCI EAFE ETF(a)

    6,868       524,990  

iShares ESG Aware MSCI EM ETF(a)

    6,094       243,150  
   

 

 

 
      768,140  
   

 

 

 

Total Investment Companies — 99.6%
(Cost: $5,765,375)

 

    5,617,278  
   

 

 

 

Security   Shares     Value  

Short-Term Investments

   
Money Market pFunds — 0.4%            

BlackRock Cash Funds: Treasury, SL Agency Shares, 0.00%(a)(b)

    20,000     $ 20,000  
   

 

 

 

Total Short-Term Investments — 0.4%
(Cost: $20,000)

 

    20,000  
   

 

 

 

Total Investments in Securities — 100.0%
(Cost: $5,785,375)

 

    5,637,278  

Other Assets, Less Liabilities — 0.0%

      2,314  
   

 

 

 

Net Assets — 100.0%

    $  5,639,592  
   

 

 

 

 

(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 six months ended January 31, 2022 for purposes of
Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer   Value at
07/31/21
    Purchases
at Cost
    Proceeds
from Sales
    Net Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
01/31/22
    Shares
Held at
01/31/22
    Income     Capital
Gain
Distributions
from
Underlying
Funds
 

 

 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $     $ 20,000 (a)    $     $     $     $ 20,000       20,000     $     $  

iShares ESG Aware MSCI EAFE ETF

    570,445       368,547       (393,755     72,437       (92,684     524,990       6,868       7,696        

iShares ESG Aware MSCI EM ETF

    264,909       66,530       (73,132     (6,196     (8,961     243,150       6,094       5,062        

iShares ESG Aware MSCI USA ETF

    1,331,832       928,237       (979,811     264,645       (248,883     1,296,020       12,780       8,164        

iShares ESG Aware MSCI USA Small-Cap ETF

    161,526       92,706       (93,851     29,698       (38,587     151,492       4,068       876        

iShares ESG Aware U.S. Aggregate Bond ETF

    3,473,067       856,877       (795,015     (17,911     (115,392     3,401,626       63,239       18,314        
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ 342,673     $ (504,507   $ 5,637,278       $ 40,112     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. 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  

 

 

Investments

                 

Assets

                 

Investment Companies

   $ 5,617,278        $        $        $ 5,617,278  

Money Market Funds

     20,000                            20,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 5,637,278        $        $        $ 5,637,278  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

12  

2 0 2 2   I S H A R E S   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


 

Statements of Assets and Liabilities (unaudited)

January 31, 2022

 

    

iShares

ESG Aware
Aggressive
Allocation

ETF

    

iShares

ESG Aware
Conservative
Allocation

ETF

   

iShares

ESG Aware
Growth
Allocation

ETF

    

iShares

ESG Aware
Moderate
Allocation

ETF

 

ASSETS

         

Investments in securities, at value:

         

Affiliated(a)

  $ 21,379,663      $ 43,375,041     $ 9,141,289      $ 5,637,278  

Cash

    2,215        2,476       8,778        2,558  

Receivables:

         

Securities lending income — Affiliated

    5        2       3        2  
 

 

 

    

 

 

   

 

 

    

 

 

 

Total assets

    21,381,883        43,377,519       9,150,070        5,639,838  
 

 

 

    

 

 

   

 

 

    

 

 

 

LIABILITIES

         

Payables:

         

Investment advisory fees

    387        2,165       282        246  
 

 

 

    

 

 

   

 

 

    

 

 

 

Total liabilities

    387        2,165       282        246  
 

 

 

    

 

 

   

 

 

    

 

 

 

NET ASSETS

  $ 21,381,496      $ 43,375,354     $ 9,149,788      $ 5,639,592  
 

 

 

    

 

 

   

 

 

    

 

 

 

NET ASSETS CONSIST OF:

         

Paid-in capital

  $ 20,261,955      $ 44,540,764     $ 8,555,706      $ 5,452,718  

Accumulated earnings (loss)

    1,119,541        (1,165,410     594,082        186,874  
 

 

 

    

 

 

   

 

 

    

 

 

 

NET ASSETS

  $ 21,381,496      $ 43,375,354     $ 9,149,788      $ 5,639,592  
 

 

 

    

 

 

   

 

 

    

 

 

 

Shares outstanding

    650,000        1,600,000       300,000        200,000  
 

 

 

    

 

 

   

 

 

    

 

 

 

Net asset value

  $ 32.89      $ 27.11     $ 30.50      $ 28.20  
 

 

 

    

 

 

   

 

 

    

 

 

 

Shares authorized

    Unlimited        Unlimited       Unlimited        Unlimited  
 

 

 

    

 

 

   

 

 

    

 

 

 

Par value

    None        None       None        None  
 

 

 

    

 

 

   

 

 

    

 

 

 

(a) Investments, at cost — Affiliated

  $ 20,783,593      $ 44,742,739     $ 8,544,544      $ 5,785,375  

See notes to financial statements.

 

 

F I N A N C I A L   S T A T E M E N T S

  13


 

Statements of Operations (unaudited)

Six Months Ended January 31, 2022

 

   

iShares

ESG Aware
Aggressive
Allocation
ETF

   

iShares

ESG Aware
Conservative
Allocation
ETF

    iShares
ESG
Aware
Growth
Allocation
ETF
    iShares
ESG
Aware
Moderate
Allocation
ETF
 

 

 

INVESTMENT INCOME

       

Dividends — Affiliated

  $ 185,574     $ 257,406     $ 69,082     $ 40,112  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    185,574       257,406       69,082       40,112  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

       

Investment advisory fees

    19,232       34,012       7,924       5,292  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    19,232       34,012       7,924       5,292  

Less:

       

Investment advisory fees waived

    (17,028     (23,095     (6,354     (3,808
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived

    2,204       10,917       1,570       1,484  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income

    183,370       246,489       67,512       38,628  
 

 

 

   

 

 

   

 

 

   

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

       

Net realized gain (loss) from:

       

Investments — Affiliated

    (14,815     (22,661     2,203       (24,077

In-kind redemptions — Affiliated

    541,034       236,711             366,750  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized gain

    526,219       214,050       2,203       342,673  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation) on:

       

Investments — Affiliated

    (1,012,135     (1,608,125     (233,832     (504,507
 

 

 

   

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation (depreciation)

    (1,012,135     (1,608,125     (233,832     (504,507
 

 

 

   

 

 

   

 

 

   

 

 

 

Net realized and unrealized loss

    (485,916     (1,394,075     (231,629     (161,834
 

 

 

   

 

 

   

 

 

   

 

 

 

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ (302,546   $ (1,147,586   $ (164,117   $ (123,206
 

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

 

14  

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Statements of Changes in Net Assets

 

    iShares
ESG Aware Aggressive Allocation
ETF
    iShares
ESG Aware Conservative Allocation
ETF
 
   

Six Months
Ended

01/31/22

(unaudited

 
 

 

   
Year Ended
07/31/21
 
 
   

Six Months
Ended

01/31/22

(unaudited

 
 

 

   
Year Ended
07/31/21
 
 

 

 

INCREASE (DECREASE) IN NET ASSETS

       

OPERATIONS

       

Net investment income

  $ 183,370     $ 158,493     $ 246,489     $ 56,942  

Net realized gain

    526,219       442,494       214,050       190,927  

Net change in unrealized appreciation (depreciation)

    (1,012,135     1,424,458       (1,608,125     142,098  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    (302,546     2,025,445       (1,147,586     389,967  
 

 

 

   

 

 

   

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

       

Decrease in net assets resulting from distributions to shareholders

    (186,118     (160,003     (245,740     (61,043
 

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

       

Net increase in net assets derived from capital share transactions

    1,729,509       14,264,094       39,174,340       1,372,773  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

       

Total increase in net assets

    1,240,845       16,129,536       37,781,014       1,701,697  

Beginning of period

    20,140,651       4,011,115       5,594,340       3,892,643  
 

 

 

   

 

 

   

 

 

   

 

 

 

End of period

  $ 21,381,496     $ 20,140,651     $ 43,375,354     $ 5,594,340  
 

 

 

   

 

 

   

 

 

   

 

 

 

 

(a) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

F I N A N C I A L   S T A T E M E N T S

  15


 

Statements of Changes in Net Assets (continued)

 

    iShares
ESG Aware Growth Allocation ETF
    iShares
ESG Aware Moderate Allocation
ETF
 
   

Six Months

Ended

01/31/22

(unaudited

 

 

 

   
Year Ended
07/31/21
 
 
   

Six Months

Ended

01/31/22

(unaudited

 

 

 

   
Year Ended
07/31/21
 
 

 

 

INCREASE (DECREASE) IN NET ASSETS

       

OPERATIONS

       

Net investment income

  $ 67,512     $ 74,095     $ 38,628     $ 60,441  

Net realized gain

    2,203       164,855       342,673       258,057  

Net change in unrealized appreciation (depreciation)

    (233,832     677,321       (504,507     234,426  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets resulting from operations

    (164,117     916,271       (123,206     552,924  
 

 

 

   

 

 

   

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

       

Decrease in net assets resulting from distributions to shareholders

    (71,280     (76,617     (43,464     (64,015
 

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS

       

Net increase (decrease) in net assets derived from capital share transactions

    1,574,184       3,006,428       (4,036     1,404,219  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

       

Total increase (decrease) in net assets

    1,338,787       3,846,082       (170,706     1,893,128  

Beginning of period

    7,811,001       3,964,919       5,810,298       3,917,170  
 

 

 

   

 

 

   

 

 

   

 

 

 

End of period

  $ 9,149,788     $ 7,811,001     $ 5,639,592     $ 5,810,298  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a) Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.

 

 

16  

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Financial Highlights

(For a share outstanding throughout each period)

 

    iShares ESG Aware Aggressive Allocation ETF  
 

 

 
 

Six Months Ended

01/31/22

(unaudited)

 

 

 

 

Year Ended

07/31/21

 

 

     

Period From

06/12/20

to 07/31/20

 

(a) 

 

 

 

Net asset value, beginning of period

             $   33.57                $ 26.74                    $ 25.32  
   

 

 

     

 

 

     

 

 

 

Net investment income(b)

      0.29         0.49         0.10  

Net realized and unrealized gain (loss)(c)

      (0.68       6.78         1.44  
   

 

 

     

 

 

     

 

 

 

Net increase (decrease) from investment operations

      (0.39       7.27         1.54  
   

 

 

     

 

 

     

 

 

 
Distributions(d)                                

From net investment income

      (0.29       (0.44       (0.12
   

 

 

     

 

 

     

 

 

 

Total distributions

      (0.29       (0.44       (0.12
   

 

 

     

 

 

     

 

 

 

Net asset value, end of period

    $   32.89       $ 33.57       $ 26.74  
   

 

 

     

 

 

     

 

 

 

Total Return(e)

           

Based on net asset value

      (1.18 )%(f)        27.32       6.10 %(f) 
   

 

 

     

 

 

     

 

 

 

Ratios to Average Net Assets(g)

           

Total expenses

      0.18 %(h)        0.18       0.18 %(h) 
   

 

 

     

 

 

     

 

 

 

Total expenses after fees waived

      0.02 %(h)        0.02       0.03 %(h) 
   

 

 

     

 

 

     

 

 

 

Net investment income

      1.72 %(h)        1.53       2.74
   

 

 

     

 

 

     

 

 

 

Supplemental Data

           

Net assets, end of period (000)

    $ 21,381       $ 20,141       $ 4,011  
   

 

 

     

 

 

     

 

 

 

Portfolio turnover rate(i)

      2 %(f)         5       0 %(f)(j)  
   

 

 

     

 

 

     

 

 

 

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

(d) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(e) 

Where applicable, assumes the reinvestment of distributions.

(f) 

Not annualized.

(g) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(h) 

Annualized.

(i) 

Portfolio turnover rate excludes in-kind transactions.

(j) 

Rounds to less than 0.01%.

See notes to financial statements.

 

 

F I N A N C I A L    H I G H L I G H T S

  17


Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares ESG Aware Conservative Allocation ETF  
 

 

 
 

Six Months Ended

01/31/22

(unaudited)

 

 

 

 

Year Ended

07/31/21

 

 

      

Period From

06/12/20

to 07/31/20

 

(a)  

 

 

 

Net asset value, beginning of period

             $ 27.97                 $ 25.95                     $ 25.14  
   

 

 

      

 

 

      

 

 

 

Net investment income(b)

      0.18          0.33          0.06  

Net realized and unrealized gain (loss)(c)

      (0.87        2.05          0.82  
   

 

 

      

 

 

      

 

 

 

Net increase (decrease) from investment operations

      (0.69        2.38          0.88  
   

 

 

      

 

 

      

 

 

 
Distributions(d)                                  

From net investment income

      (0.17        (0.36        (0.07

Return of capital

                        (0.00 )(e) 
   

 

 

      

 

 

      

 

 

 

Total distributions

      (0.17        (0.36        (0.07
   

 

 

      

 

 

      

 

 

 

Net asset value, end of period

    $ 27.11        $ 27.97        $ 25.95  
   

 

 

      

 

 

      

 

 

 

Total Return(f)

             

Based on net asset value

      (2.47 )%(g)         9.23        3.50 %(g) 
   

 

 

      

 

 

      

 

 

 

Ratios to Average Net Assets(h)

             

Total expenses

      0.18 %(i)         0.18        0.18 %(i) 
   

 

 

      

 

 

      

 

 

 

Total expenses after fees waived

      0.06 %(i)         0.06        0.06 %(i) 
   

 

 

      

 

 

      

 

 

 

Net investment income

      1.30 %(i)         1.21        1.63
   

 

 

      

 

 

      

 

 

 

Supplemental Data

             

Net assets, end of period (000)

    $ 43,375        $ 5,594        $ 3,893  
   

 

 

      

 

 

      

 

 

 

Portfolio turnover rate(j)

      2 %(g)          4        0 %(g)  
   

 

 

      

 

 

      

 

 

 

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

(d) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(e) 

Rounds to less than $0.01.

(f) 

Where applicable, assumes the reinvestment of distributions.

(g) 

Not annualized.

(h) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(i) 

Annualized.

(j) 

Portfolio turnover rate excludes in-kind transactions.

See notes to financial statements.

 

 

18  

2 0 2 2   I S H A R E S   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Financial Highlights (continued)

(For a share outstanding throughout each period)

 

    iShares ESG Aware Growth Allocation ETF  
 

 

 
 

Six Months Ended

01/31/22

(unaudited)

 

 

 

 

Year Ended

07/31/21

 

 

      

Period From

06/12/20

to 07/31/20

 

(a)  

 

 

 

Net asset value, beginning of period

             $ 31.24                 $  26.43                     $ 25.25  
   

 

 

      

 

 

      

 

 

 

Net investment income(b)

      0.24          0.40          0.08  

Net realized and unrealized gain (loss)(c)

      (0.73        4.81          1.20  
   

 

 

      

 

 

      

 

 

 

Net increase (decrease) from investment operations

      (0.49        5.21          1.28  
   

 

 

      

 

 

      

 

 

 
Distributions(d)                                  

From net investment income

      (0.25        (0.40        (0.10
   

 

 

      

 

 

      

 

 

 

Total distributions

      (0.25        (0.40        (0.10
   

 

 

      

 

 

      

 

 

 

Net asset value, end of period

    $ 30.50        $  31.24        $ 26.43  
   

 

 

      

 

 

      

 

 

 

Total Return(e)

             

Based on net asset value

      (1.59 )%(f)         19.83        5.08 %(f) 
   

 

 

      

 

 

      

 

 

 

Ratios to Average Net Assets(g)

             

Total expenses

      0.18 %(h)         0.18        0.18 %(h) 
   

 

 

      

 

 

      

 

 

 

Total expenses after fees waived

      0.04 %(h)         0.03        0.04 %(h)  
   

 

 

      

 

 

      

 

 

 

Net investment income

      1.53 %(h)         1.37        2.29
   

 

 

      

 

 

      

 

 

 

Supplemental Data

             

Net assets, end of period (000)

    $ 9,150        $  7,811        $ 3,965  
   

 

 

      

 

 

      

 

 

 

Portfolio turnover rate(i)

      4 %(f)          15        0 %(f)(j)  
   

 

 

      

 

 

      

 

 

 

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

(d) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(e) 

Where applicable, assumes the reinvestment of distributions.

(f) 

Not annualized.

(g) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(h) 

Annualized.

(i) 

Portfolio turnover rate excludes in-kind transactions.

(j) 

Rounds to less than 0.01%.

See notes to financial statements.

 

 

F I N A N C I A L    H I G H L I G H T S

  19


Financial Highlights (continued)

(For a share outstanding throughout each period)

 

        iShares ESG Aware Moderate Allocation ETF  
 

 

 
 

Six Months Ended

01/31/22

(unaudited)

 

 

 

 

Year Ended

07/31/21

 

 

      

Period From

06/12/20

to 07/31/20

 

(a)  

 

 

 

Net asset value, beginning of period

             $ 29.05                 $ 26.11                     $ 25.18  
   

 

 

      

 

 

      

 

 

 

Net investment income(b)

      0.19          0.35          0.06  

Net realized and unrealized gain (loss)(c)

      (0.82        2.96          0.95  
   

 

 

      

 

 

      

 

 

 

Net increase (decrease) from investment operations

      (0.63        3.31          1.01  
   

 

 

      

 

 

      

 

 

 
Distributions(d)                                  

From net investment income

      (0.22        (0.37        (0.08

Return of capital

                        (0.00 )(e) 
   

 

 

      

 

 

      

 

 

 

Total distributions

      (0.22        (0.37        (0.08
   

 

 

      

 

 

      

 

 

 

Net asset value, end of period

    $ 28.20        $ 29.05        $ 26.11  
   

 

 

      

 

 

      

 

 

 

Total Return(f)

             

Based on net asset value

      (2.20 )%(g)         12.76        4.02 %(g) 
   

 

 

      

 

 

      

 

 

 

Ratios to Average Net Assets(h)

             

Total expenses

      0.18 %(i)         0.18        0.18 %(i) 
   

 

 

      

 

 

      

 

 

 

Total expenses after fees waived

      0.05 %(i)         0.05        0.05 %(i) 
   

 

 

      

 

 

      

 

 

 

Net investment income

      1.31 %(i)         1.25        1.82
   

 

 

      

 

 

      

 

 

 

Supplemental Data

             

Net assets, end of period (000)

    $ 5,640        $ 5,810        $ 3,917  
   

 

 

      

 

 

      

 

 

 

Portfolio turnover rate(j)

      15 %(g)          4        0 %(g)  
   

 

 

      

 

 

      

 

 

 

 

(a) 

Commencement of operations.

(b) 

Based on average shares outstanding.

(c) 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

(d) 

Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

(e) 

Rounds to less than $0.01.

(f) 

Where applicable, assumes the reinvestment of distributions.

(g) 

Not annualized.

(h) 

Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

(i) 

Annualized.

(j) 

Portfolio turnover rate excludes in-kind transactions.

See notes to financial statements.

 

 

20  

2 0 2 2   I S H A R E S   S E M I - A N N U A L   R E P O R T   T O   S H A R E H O L D E R S


Notes to Financial Statements (unaudited)

 

1.

ORGANIZATION

iShares Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust and is authorized to have multiple series or portfolios.

These financial statements relate only to the following funds (each, a “Fund” and collectively, the “Funds”):

 

iShares ETF  

Diversification    

Classification    

ESG Aware Aggressive Allocation

  Diversified    

ESG Aware Conservative Allocation

  Diversified    

ESG Aware Growth Allocation

  Diversified    

ESG Aware Moderate Allocation

  Diversified    

Each Fund is a fund of funds and seeks to achieve its investment objective by investing primarily in other iShares funds (each, an “underlying fund” and collectively, the “underlying funds”). The financial statements, including the accounting policies, and schedules of investments for the underlying funds are available on iShares.com and should be read in conjunction with the Funds’ financial statements.

 

2.

SIGNIFICANT ACCOUNTING POLICIES

The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions from the underlying funds, if any, are recorded on the ex-dividend date. Interest income is recognized daily on an accrual basis.

In-kind Redemptions: For financial reporting purposes, in-kind redemptions are treated as sales of securities resulting in realized capital gains or losses to the Funds. Because such gains or losses are not taxable to the Funds and are not distributed to existing Fund shareholders, the gains or losses are reclassified from accumulated net realized gain (loss) to paid-in capital at the end of the Funds’ tax year. These reclassifications have no effect on net assets or net asset value (“NAV”) per share.

Distributions: Dividends and distributions paid by each Fund are recorded on the ex-dividend dates. Distributions are determined on a tax basis and may differ from net investment income and net realized capital gains for financial reporting purposes. Dividends and distributions are paid in U.S. dollars and cannot be automatically reinvested in additional shares of the Funds. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

Indemnifications: In the normal course of business, each Fund enters into contracts that contain a variety of representations that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown because it involves future potential claims against the Funds, which cannot be predicted with any certainty.

 

3.

INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund’s listing exchange is open and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of the Trust (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.

Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:

   

Exchange-traded funds and closed-end funds traded on a recognized securities exchange are valued at that day’s last traded price or official closing price, as applicable, on the exchange where the fund is primarily traded. Funds traded on a recognized exchange for which there were no sales on that day may be valued at the last traded price.

   

Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV.

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued

 

 

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Notes to Financial Statements (unaudited) (continued)

 

Investments”). The fair valuation approaches that may be used by the Global Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Fair value pricing could result in a difference between the prices used to calculate a fund’s NAV and the prices used by the fund’s underlying index, which in turn could result in a difference between the fund’s performance and the performance of the fund’s underlying index.

Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

   

Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access;

   

Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs); and

   

Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, (including the Global Valuation Committee’s assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.

 

4.

SECURITIES AND OTHER INVESTMENTS

Securities Lending: Each Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, an irrevocable letter of credit issued by an approved bank, or securities issued or guaranteed by the U.S. government. The initial collateral received by each Fund is required to have a value of at least 102% of the current market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund or excess collateral is returned by the Fund, on the next business day. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested in money market funds managed by BlackRock Fund Advisors (“BFA”), the Funds’ investment adviser, or its affiliates is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Fund, except in the event of borrower default. The securities on loan, if any, are also disclosed in each Fund’s Schedule of Investments. The market value of any securities on loan and the value of any related cash collateral are disclosed in the Statements of Assets and Liabilities.

The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, each Fund benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value of the securities loaned in the event of borrower default. Each Fund could incur a loss if the value of an investment purchased with cash collateral falls below the market value of the loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by each Fund.

 

5.

INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory Fees: Pursuant to an Investment Advisory Agreement with the Trust, BlackRock Fund Advisors (“BFA”) manages the investment of each Fund’s assets. BFA is a California corporation indirectly owned by BlackRock. Under the Investment Advisory Agreement, BFA is responsible for substantially all expenses of the Funds, except (i) interest and taxes; (ii) brokerage commissions and other expenses connected with the execution of portfolio transactions; (iii) distribution fees; (iv) the advisory fee payable to BFA; and (v) litigation expenses and any extraordinary expenses (in each case as determined by a majority of the independent trustees).

For its investment advisory services to each Fund, BFA is entitled to an annual investment advisory fee of 0.18%, accrued daily and paid monthly by the Funds, based on the average daily net assets of each Fund.

 

 

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Notes to Financial Statements (unaudited) (continued)

 

Expense Waivers: A fund may incur its pro rata share of fees and expenses attributable to its investments in other investment companies (“acquired fund fees and expenses”). The total of the investment advisory fee and acquired fund fees and expenses, if any, is a fund’s total annual operating expenses. Total expenses as shown in the Statement of Operations does not include acquired fund fees and expenses.

For each of the iShares ESG Aware Aggressive Allocation, iShares ESG Aware Conservative Allocation, iShares ESG Aware Growth Allocation and iShares ESG Aware Moderate Allocation ETFs, BFA has contractually agreed to waive a portion of its investment advisory fee for each Fund through November 30, 2025, in an amount equal to the acquired fund fees and expenses, if any, attributable to each Fund’s investments in other iShares funds.

These amounts are included in investment advisory fees waived in the Statements of Operations. For the six months ended January 31, 2022, the amounts waived in investment advisory fees pursuant to this arrangement were as follows:

 

 

 
iShares ETF   Amounts waived    

 

 

ESG Aware Aggressive Allocation

  $ 17,028    

ESG Aware Conservative Allocation

    23,095    

ESG Aware Growth Allocation

    6,354    

ESG Aware Moderate Allocation

    3,808    

 

 

Distributor: BlackRock Investments, LLC, an affiliate of BFA, is the distributor for each Fund. Pursuant to the distribution agreement, BFA is responsible for any fees or expenses for distribution services provided to the Funds.

Securities Lending: The U.S. Securities and Exchange Commission (the “SEC”) has issued an exemptive order which permits BlackRock Institutional Trust Company, N.A. (“BTC”), an affiliate of BFA, to serve as securities lending agent for the Funds, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. Each Fund is responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by BFA, or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees each Fund bears to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund’s weekly liquid assets fall below certain thresholds.

Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. Each Fund retains a portion of securities lending income and remits the remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, each Fund retains 82% of securities lending income (which excludes collateral investment fees) and the amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

In addition, commencing the business day following the date that the aggregate securities lending income plus the collateral investment fees generated across all 1940 Act iShares exchange-traded funds (the “iShares ETF Complex”) in that calendar year exceeds a specified threshold, each Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year 85% of securities lending income (which excludes collateral investment fees), and the amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

Officers and Trustees: Certain officers and/or trustees of the Trust are officers and/or trustees of BlackRock or its affiliates.

Other Transactions: Cross trading is the buying or selling of portfolio securities between funds to which BFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter for compliance with the requirements and restrictions set forth by Rule 17a-7.

For the six months ended January 31, 2022, transactions executed by the Funds pursuant to Rule 17a-7 under the 1940 Act were as follows:

 

iShares ETF   Purchases      Sales     

Net Realized  

Gain (Loss)  

 

ESG Aware Conservative Allocation

  $ 72,412      $      $ —    

ESG Aware Growth Allocation

           72,408        1,262    

Each Fund may invest its positive cash balances in certain money market funds managed by BFA or an affiliate. The income earned on these temporary cash investments is shown as dividends – affiliated in the Statements of Operations.

 

 

N O T E S   T O   F I N A N C I A L   S T A T E M E N T S

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Notes to Financial Statements (unaudited) (continued)

 

6.

PURCHASES AND SALES

For the six months ended January 31, 2022, purchases and sales of investments, excluding short-term investments and in-kind transactions, were as follows:

 

     
iShares ETF   Purchases      Sales      

ESG Aware Aggressive Allocation

  $ 386,414      $  366,358      

ESG Aware Conservative Allocation

    817,121        831,138      

ESG Aware Growth Allocation

    671,014        310,857      

ESG Aware Moderate Allocation

    859,579        877,242      

For the six months ended January 31, 2022, in-kind transactions were as follows:

 

     
iShares ETF   In-kind
Purchases
    

In-kind    

Sales    

 

ESG Aware Aggressive Allocation

  $ 3,441,045      $  1,718,571      

ESG Aware Conservative Allocation

    40,513,225        1,396,320      

ESG Aware Growth Allocation

    1,571,674        —      

ESG Aware Moderate Allocation

    1,453,318        1,458,322      

 

7.

INCOME TAX INFORMATION

Each Fund is treated as an entity separate from the Trust’s other funds for federal income tax purposes. It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Management has analyzed tax laws and regulations and their application to the Funds as of January 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

As of July 31, 2021, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:

 

   
iShares ETF   Non-Expiring      

ESG Aware Conservative Allocation

  $ 12,511      

ESG Aware Growth Allocation

    1,098      

ESG Aware Moderate Allocation

    2,866      

As of January 31, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

 

         
iShares ETF   Tax Cost      Gross Unrealized
Appreciation
     Gross Unrealized
Depreciation
    Net Unrealized
Appreciation
(Depreciation)
 

ESG Aware Aggressive Allocation

  $  20,783,593      $ 834,801      $ (238,731   $ 596,070  

ESG Aware Conservative Allocation

    44,742,739               (1,367,698     (1,367,698

ESG Aware Growth Allocation

    8,544,544        703,166        (106,421     596,745  

ESG Aware Moderate Allocation

    5,785,375        8,955        (157,052     (148,097

 

8.

PRINCIPAL RISKS

In the normal course of business, each Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including, among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate or price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund’s prospectus provides details of the risks to which the Fund is subject.

BFA uses a “passive” or index approach to try to achieve each Fund’s investment objective following the securities included in its underlying index during upturns as well as downturns. BFA does not take steps to reduce market exposure or to lessen the effects of a declining market. Divergence from the underlying index and the composition of the portfolio is monitored by BFA.

Market Risk: An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time.

 

 

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Notes to Financial Statements (unaudited) (continued)

 

This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.

Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.

Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a Fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.

LIBORTransition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.

 

9.

CAPITAL SHARE TRANSACTIONS

Capital shares are issued and redeemed by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”) at NAV. Except when aggregated in Creation Units, shares of each Fund are not redeemable.

Transactions in capital shares were as follows:

 

 

 
   

Six Months Ended

01/31/22

          

Year Ended

07/31/21

 
 

 

 

      

 

 

 
iShares ETF   Shares     Amount            Shares     Amount  

 

 

ESG Aware Aggressive Allocation

          

Shares sold

    100,000     $ 3,446,676          500,000     $ 15,897,888  

Shares redeemed

    (50,000     (1,717,167        (50,000     (1,633,794
 

 

 

   

 

 

      

 

 

   

 

 

 

Net increase

    50,000     $ 1,729,509          450,000     $ 14,264,094  
 

 

 

   

 

 

      

 

 

   

 

 

 

ESG Aware Conservative Allocation

          

Shares sold

    1,450,000     $ 40,573,011          100,000     $ 2,741,067  

Shares redeemed

    (50,000     (1,398,671        (50,000     (1,368,294
 

 

 

   

 

 

      

 

 

   

 

 

 

Net increase

    1,400,000     $  39,174,340          50,000     $ 1,372,773  
 

 

 

   

 

 

      

 

 

   

 

 

 

ESG Aware Growth Allocation

          

Shares sold

    50,000     $ 1,574,184          150,000     $ 4,441,118  

Shares redeemed

                   (50,000     (1,434,690
 

 

 

   

 

 

      

 

 

   

 

 

 

Net increase

    50,000     $ 1,574,184          100,000     $ 3,006,428  
 

 

 

   

 

 

      

 

 

   

 

 

 

ESG Aware Moderate Allocation

          

Shares sold

    50,000     $ 1,455,321          100,000     $ 2,823,915  

Shares redeemed

    (50,000     (1,459,357        (50,000     (1,419,696
 

 

 

   

 

 

      

 

 

   

 

 

 

Net increase (decrease)

        $ (4,036        50,000     $ 1,404,219  
 

 

 

   

 

 

      

 

 

   

 

 

 

The consideration for the purchase of Creation Units of a fund in the Trust generally consists of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Certain funds in the Trust may be offered in Creation Units solely or partially for cash in U.S. dollars. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to State Street Bank and Trust Company, the Trust’s administrator, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. Investors transacting in Creation Units for cash may also pay an additional variable charge to compensate the relevant fund for certain transaction costs (i.e., stamp taxes, taxes on currency or other financial transactions, and brokerage costs) and market impact expenses relating to investing in portfolio securities. Such variable charges, if any, are included in shares sold in the table above.

From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable in the Statements of Assets and Liabilities.

 

 

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Notes to Financial Statements (unaudited) (continued)

 

10.

SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.

 

 

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Statement Regarding Liquidity Risk Management Program (unaudited)

 

In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), iShares Trust (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) for iShares ESG Aware Aggressive Allocation ETF, iShares ESG Aware Conservative Allocation ETF, iShares ESG Aware Growth Allocation ETF and iShares ESG Aware Moderate Allocation ETF (the “Funds” or “ETFs”), each a series of the Trust, which is reasonably designed to assess and manage each Fund’s liquidity risk.

The Board of Trustees (the “Board”) of the Trust, on behalf of the Funds, met on December 9, 2021 (the “Meeting”) to review the Program. The Board previously appointed BlackRock Fund Advisors (“BlackRock”), the investment adviser to the Funds, as the program administrator for each Fund’s Program. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the “Committee”). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of each Fund’s Highly Liquid Investment Minimum (“HLIM”) where applicable, and any material changes to the Program (the “Report”). The Report covered the period from October 1, 2020 through September 30, 2021 (the “Program Reporting Period”).

The Report described the Program’s liquidity classification methodology for categorizing each Fund’s investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish each Fund’s HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including extended market holidays and the imposition of capital controls in certain non-U.S. countries.

The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund’s liquidity risk, as follows:

 

  a)

The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed whether each Fund’s strategy is appropriate for an open-end fund structure, with a focus on funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Derivative exposure was also considered in the calculation of a fund’s liquidity bucketing. Finally, a factor for consideration under the Liquidity Rule is a Fund’s use of borrowings for investment purposes. However, the Funds do not borrow for investment purposes.

 

  b)

Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish each ETF’s reasonably anticipated trading size (“RATS”). The Committee may also take into consideration a fund’s shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a fund’s distribution channels, and the degree of certainty associated with a fund’s short-term and long-term cash flow projections.

 

  c)

Holdings of cash and cash equivalents, as well as borrowing arrangements. The Committee considered that ETFs generally do not hold more than de minimis amounts of cash. While the ETFs generally do not engage in borrowing, certain of the ETFs have the flexibility to draw on a line of credit to meet redemption requests or facilitate settlements.

 

  d)

The relationship between an ETF’s portfolio liquidity and the way in which, and the prices and spreads at which, ETF shares trade, including the efficiency of the arbitrage function and the level of active participation by market participants, including authorized participants. The Committee monitored the prevailing bid/ask spread and the ETF price premium (or discount) to NAV for all ETFs and reviewed any persistent deviations from long-term averages.

 

  e)

The effect of the composition of baskets on the overall liquidity of an ETF’s portfolio. In reviewing the linkage between the composition of custom baskets accepted by an ETF and any significant change in the liquidity profile of such ETF, the Committee reviewed changes in the proportion of each ETF’s portfolio comprised of less liquid and illiquid holdings to determine if applicable thresholds were met requiring enhanced review.

As part of BlackRock’s continuous review of the effectiveness of the Program, the Committee made the following material changes to the Program: (1) updates to certain model components in the Program’s methodology; and (2) certain iShares Funds entered into a $800 million credit agreement with a group of lenders that replaced a previous liquidity facility. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.

 

 

S T A T E M E N T   R E G A R D I N G   L I Q U I D I T Y   R I S K   M A N A G E M E N T   P R O G R A M

  27


Supplemental Information (unaudited)

 

Section 19(a) Notices

The amounts and sources of distributions reported are estimates and are being provided pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Fund’s investment experience during the year and may be subject to changes based on tax regulations. Shareholders will receive a Form 1099-DIV each calendar year that will inform them how to report these distributions for federal income tax purposes.

January 31, 2022

 

       
   

Total Cumulative Distributions

for the Fiscal Year-to-Date

         

% Breakdown of the Total Cumulative

Distributions for the Fiscal Year-to-Date

 
 

 

 

     

 

 

 
iShares ETF   Net
Investment
Income
    Net Realized
Capital Gains
    Return of
Capital
    Total Per
Share
                 Net
Investment
Income
    Net Realized
Capital Gains
    Return of
Capital
    Total Per
Share
 

ESG Aware Aggressive Allocation(a)

  $    0.289812     $     $  0.001966     $  0.291778         99         1     100

ESG Aware Conservative Allocation(a)

    0.170268             0.002465       0.172733         99             1       100  

ESG Aware Growth Allocation(a)

    0.246609             0.002174       0.248783         99             1       100  

ESG Aware Moderate Allocation(a)

    0.214791             0.002527       0.217318               99             1       100  

 

(a)

The Fund estimates that it has distributed more than its net investment income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in the Fund is returned to the shareholder. A return of capital does not necessarily reflect the Fund’s investment performance and should not be confused with “yield” or “income”. When distributions exceed total return performance, the difference will incrementally reduce the Fund’s net asset value per share.

 

 

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General Information

 

Electronic Delivery

Shareholders can sign up for email notifications announcing that the shareholder report or prospectus has been posted on the iShares website at iShares.com. Once you have enrolled, you will no longer receive prospectuses and shareholder reports in the mail.

To enroll in electronic delivery:

 

   

Go to icsdelivery.com.

   

If your brokerage firm is not listed, electronic delivery may not be available. Please contact your broker-dealer or financial advisor.

Householding

Householding is an option available to certain fund investors. Householding is a method of delivery, based on the preference of the individual investor, in which a single copy of certain shareholder documents and Rule 30e-3 notices can be delivered to investors who share the same address, even if their accounts are registered under different names. Please contact your broker-dealer if you are interested in enrolling in householding and receiving a single copy of prospectuses and other shareholder documents, or if you are currently enrolled in householding and wish to change your householding status.

Availability of Quarterly Schedule of Investments

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at iShares.com/fundreports.

Availability of Proxy Voting Policies and Proxy Voting Records

A description of the policies and procedures that the iShares Funds use to determine how to vote proxies relating to portfolio securities and information about how the iShares Funds voted proxies relating to portfolio securities during the most recent twelve-month period ending June 30 is available without charge, upon request (1) by calling toll-free 1-800-474-2737; (2) on the iShares website at iShares.com; and (3) on the SEC website at sec.gov.

A description of the Trust’s policies and procedures with respect to the disclosure of the Fund’s portfolio securities is available in the Fund Prospectus. The Fund discloses its portfolio holdings daily and provides information regarding its top holdings in Fund fact sheets at iShares.com.

 

 

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Want to know more?

iShares.com    |    1-800-474-2737

This report is intended for the Funds’ shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current prospectus.

Investing involves risk, including possible loss of principal.

The iShares Funds are distributed by BlackRock Investments, LLC (together with its affiliates, “BlackRock”).

The iShares Funds are not sponsored, endorsed, issued, sold or promoted by Morningstar, Inc. or S&P Dow Jones Indices LLC, nor do these companies make any representation regarding the advisability of investing in the iShares Funds. BlackRock is not affiliated with the companies listed above

© 2022 BlackRock, Inc. All rights reserved. iSHARES and BLACKROCK are registered trademarks of BlackRock, Inc. or its subsidiaries. All other marks are the property of their respective owners.

iS-SAR-112-0122

 

 

 

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