LOGO

  FEBRUARY 28, 2022

 

  

2022 Annual Report

 

 

iShares Trust

 

·  

iShares High Yield Bond Factor ETF | HYDB | Cboe BZX

·  

iShares Investment Grade Bond Factor ETF | IGEB | Cboe BZX

·  

iShares USD Bond Factor ETF | USBF | NASDAQ


The Markets in Review

Dear Shareholder,

The 12-month reporting period as of February 28, 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. However, rapid changes in consumer spending led to supply constraints and elevated inflation. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the invasion has presented challenges for both investors and policymakers.

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, while large-capitalization U.S. stocks posted a solid advance. International equities from developed markets gained slightly, 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 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 modest returns for high-yield corporate bonds, outpacing the 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 during 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 stance 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.

Overall, 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 February 28, 2022
     6-Month   12-Month
   

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

  (2.62)%   16.39%
   

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

  (9.46)   (6.01)
   

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

  (6.78)   2.83
   

Emerging market equities
(MSCI Emerging Markets Index)

  (9.81)   (10.69)
   

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

  0.02   0.04
   

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

  (3.94)   (1.67)
   

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

  (4.07)   (2.64)
   

Tax-exempt municipal bonds
(Bloomberg Municipal Bond Index)

  (3.09)   (0.66)
   

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

  (3.07)   0.64
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   P A G E   I S   N O T   P A R T   O F   Y O U R   F U N D   R E P O R T


Table of Contents

 

      Page  

The Markets in Review

     2  

Market Overview

     4  

Fund Summary

     5  

About Fund Performance

     10  

Shareholder Expenses

     10  

Schedules of Investments

     11  

Financial Statements

  

Statements of Assets and Liabilities

     33  

Statements of Operations

     34  

Statements of Changes in Net Assets

     35  

Financial Highlights

     37  

Notes to Financial Statements

     40  

Report of Independent Registered Public Accounting Firm

     49  

Important Tax Information (Unaudited)

     50  

Board Review and Approval of Investment Advisory Contract

     51  

Statement Regarding Liquidity Risk Management Program

     53  

Supplemental Information

     54  

Trustee and Officer Information

     55  

General Information

     58  

Glossary of Terms Used in this Report

     59  

 

 

 


Market Overview

 

iShares Trust

U.S. Corporate Bond Market Overview

Despite rising U.S. Treasury yields and the emergence of geopolitical concerns, high-yield bonds delivered gains in the 12-month period that ended February 28, 2022. The Markit iBoxx USD Liquid Investment Grade and High Yield Indexes, broad measures of U.S. dollar-denominated investment-grade and high-yield corporate bond performance, returned -3.24% and 0.50%, respectively. High yield outpaced the domestic investment-grade market, as gauged by the -2.64% return of the Bloomberg U.S. Aggregate Bond Index.

High-yield bonds performed well for the majority of the reporting period, reflecting the favorable fundamental backdrop that was in place throughout 2021. As COVID-19 vaccines were rolled out and the economy steadily returned to a normal footing, growth and corporate earnings surged. Credit conditions improved in kind, boosting the outlook for below investment-grade companies. Rising oil prices also provided support by bolstering the profits and balance sheets of the many energy issuers represented in the high-yield space. Default rates across the asset class fell as a result, and the ratio of ratings upgrades to downgrades improved. Further, positive economic conditions raised the odds that many issues that had been downgraded into the high-yield market in 2020 would return to investment-grade status.

Supply-and-demand factors were an additional positive, with investors’ thirst for yield fueling steady inflows into the market. Much of the new supply came from issuers that refinanced existing debt to lengthen maturities or reduce their interest expense.

Perhaps most notably, high yield benefited from its lower degree of interest-rate sensitivity versus investment-grade bonds. This attribute was a positive at a time in which stronger growth and rising inflation prompted the U.S. Federal Reserve (“Fed”) to shift toward a tighter monetary policy. The Fed, in addition to reducing its stimulative quantitative easing program, indicated that it would begin raising interest rates in 2022. High-yield bonds, which tend to benefit from an improving growth outlook, held up much better in the face of rising rates than the fixed-income market as a whole.

The picture changed considerably in the final two months of the period following Russia’s invasion of Ukraine. The uncertainty surrounding the event, together with the disruptions it created in the economic outlook, weighed heavily on higher-risk assets across the board. High-yield bond prices fell sharply in response, leading to the largest downturn for the asset class since the coronavirus-driven slump of early 2020. Although the sell-off led to negative price performance for the indexes over the full 12 months, the shortfall was more than offset by contribution from income.

 

 

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Fund Summary  as of February 28, 2022    iShares® High Yield Bond Factor ETF

 

Investment Objective

The iShares High Yield Bond Factor ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. dollar-denominated, high yield corporate bonds, as represented by the BlackRock High Yield Defensive Bond 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  
       1 Year       

Since

Inception


 

              1 Year       

Since

Inception


 

Fund NAV

     0.63      5.40         0.63      27.60

Fund Market

     0.96        5.47           0.96        28.00  

Index

     0.89        5.62           0.89        28.88  

Bloomberg U.S. Corporate High Yield Index

     0.64        4.88                 0.64        24.70  

 

LOGO

The inception date of the Fund was 7/11/17. The first day of secondary market trading was 7/13/17.

The Bloomberg U.S. Corporate High Yield Index is an unmanaged index that measures the USD-denominated, high yield, fixed-rate corporate bond market.

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 10 for more information.

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 

Beginning
Account Value
(09/01/21)
 
 
 
      

Ending
Account Value
(02/28/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
 (a) 
           

Beginning
Account Value
(09/01/21)
 
 
 
      

Ending
Account Value
(02/28/22)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
    $ 1,000.00        $ 973.70        $ 1.71             $ 1,000.00        $ 1,023.10        $ 1.76          0.35

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” for more information.

 

 

 

U N D   S U M M A R Y

  5


Fund Summary  as of February 28, 2022   (continued)    iShares® High Yield Bond Factor ETF

 

Portfolio Management Commentary

High-yield defensive bonds posted a positive total return for the 12-month period ended February 28, 2022. This positive return was due to income, which outweighed the impact of falling prices. The Index outperformed the broader market, as represented by the Bloomberg U.S. Corporate High Yield Bond Index.

Positioning in the consumer cyclical sector, specifically a sector overweight in leisure and a sector underweight in automotive issues, helped results. An overweight in the basic industry sector also contributed. The Index’s slight underweight to BB rated securities and significant overweight to B rated issues contributed positively to performance.

Slight overweights in the energy and financial sectors were minor detractors. Additionally, an underweight to CCC rated bonds also detracted.

The Index’s shorter duration positioning detracted from its performance relative to the broad market during the summer of 2021. (Duration is a measure of interest rate sensitivity). However, this positioning made a positive contribution in the last four months of the period as markets priced in higher interest rates.

In terms of portfolio changes, the Index’s weightings in the basic industry and energy sectors increased and its holdings in consumer non-cyclicals declined. The Index’s holdings of BB-rated bonds fell, while its weighting in B-rated bonds rose in roughly equal measure. All of these changes were driven by the probability of default model, which informs the Index construction methodology.

As a result of the Index’s screening process based on probability of default and relative value, the portfolio was underweight on CCC rated bonds and overweight in B rated issues. In the early part of the reporting period, the Index had a slightly lower yield than the broader market. However, its yield tracked more closely from June 2021 onward. The Fund’s effective duration was consistently lower than that of the broad market for the entire reporting period.

Portfolio Information

 

ALLOCATION BY CREDIT QUALITY

 

   

Moody’s Credit Rating*

   
Percent of
Total Investments
 
(a) 

Baa

    3.2

Ba

    43.4  

B

    42.0  

Caa

    5.5  

Not Rated

    5.9  

ALLOCATION BY MATURITY

 

   

Maturity

   
Percent of
Total Investments
 
(a) 

1-5 Years

    48.7

5-10 Years

    43.6  

10-15 Years

    2.7  

15-20 Years

    0.3  

More than 20 Years

    4.7  

 

  *

Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
  (a) 

Excludes money market funds.

 

 

 

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Fund Summary  as of February 28, 2022    iShares® Investment Grade Bond Factor ETF

 

Investment Objective

The iShares Investment Grade Bond Factor ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. dollar denominated investment-grade corporate bonds, as represented by the BlackRock Investment Grade Enhanced Bond 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  
       1 Year       

Since

Inception


 

              1 Year       

Since

Inception


 

Fund NAV

     (3.57 )%       4.10         (3.57 )%       20.47

Fund Market

     (3.25      4.14           (3.25      20.71  

Index

     (2.97      4.24           (2.97      21.22  

Bloomberg U.S. Corporate Index

     (3.40      3.65                 (3.40      18.05  

 

LOGO

The inception date of the Fund was 7/11/17. The first day of secondary market trading was 7/13/17.

The Bloomberg U.S. Corporate Index is an unmanaged index that measures the USD-denominated, investment grade, fixed-rate, taxable corporate bond market.

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 10 for more information.

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 

Beginning
Account Value
(09/01/21)
 
 
 
      

Ending
Account Value
(02/28/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
 (a) 
           

Beginning
Account Value
(09/01/21)
 
 
 
      

Ending
Account Value
(02/28/22)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
  $       1,000.00        $ 938.70        $ 0.87               $       1,000.00        $ 1,023.90        $ 0.90          0.18

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” for more information.

 

 

 

U N D   S U M M A R Y

  7


Fund Summary  as of February 28, 2022   (continued)    iShares® Investment Grade Bond Factor ETF

 

Portfolio Management Commentary

Investment-grade corporate bonds experienced a negative total return in the 12-month period ended February 28, 2022, as the impact of falling prices offset the contribution from income. All three segments of the Index—industrials, financials and utilities—lost ground. The utilities sector was the weakest performer of the three, but the impact was relatively limited due to the sector’s smaller Index weighting of approximately 10%. All of the market’s downturn occurred in the final two months of the period, when the prospect of the Fed tightening monetary policy coupled with Russia’s invasion of Ukraine led to a broad risk-off tone in the markets. The Index underperformed the broader market, as represented by the Bloomberg US Corporate Bond Index.

In terms of performance relative to the Bloomberg US Corporate Bond Index, the Index’s sizable overweight in BBB rated bonds detracted from performance. Some of the shortfall was offset by an underweight in A rated issues.

Relative to the Bloomberg US Corporate Bond Index, the Index held the largest overweights in the consumer non-cyclical and technology sectors. The former sector lagged the broader market, while the latter modestly outperformed. The Index’s largest underweight was in the banking sector.

Over the reporting period, the index slightly increased holdings of bonds in the energy and technology sectors and reduced its weighting in securities issued by consumer cyclical companies. The increase in energy and technology reflected the probability of default risk model and the relative value of these securities. The Index first screens out issuers with higher probability of default, and then tilts towards securities which offer higher default-adjusted yield spreads.

Portfolio Information

 

ALLOCATION BY CREDIT QUALITY

 

   

Moody’s Credit Rating*

   
Percent of
Total Investments
 
(a) 

Aaa

    0.3

Aa

    1.2  

A

    11.5  

Baa

    81.2  

Ba

    4.7  

Not Rated

    1.1  

ALLOCATION BY MATURITY

 

   

Maturity

   
Percent of
Total Investments
 
(a) 

0-1 Year

    1.0

1-5 Years

    27.9  

5-10 Years

    36.3  

10-15 Years

    4.4  

15-20 Years

    11.2  

More than 20 Years

    19.2  

 

  *

Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
  (a) 

Excludes money market funds.

 

 

 

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Fund Summary  as of February 28, 2022    iShares® USD Bond Factor ETF

 

Investment Objective

The iShares USD Bond Factor ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. dollar-denominated bonds that are rated either investment grade or high-yield, as represented by the BlackRock USD Bond Factor 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

 

      Cumulative Total Returns     
    

Since   

Inception   

 

Fund NAV

    (3.43)%  

Fund Market

    (3.35)     

Index

    (3.46)     

For the fiscal period ended 2/28/22, the Fund did not have six months of performance and therefore line graphs are not presented.

The inception date of the Fund was 10/12/21. The first day of secondary market trading was 10/14/21.

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 10 for more information.

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 

Beginning
Account Value
(10/12/21)
 
 
(a) 
      

Ending
Account Value
(02/28/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
 (b) 
           

Beginning
Account Value
(09/01/21)
 
 
 
      

Ending
Account Value
(02/28/22)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(b) 
      

Annualized
Expense
Ratio
 
 
 
  $       1,000.00        $ 965.70        $ 0.60               $       1,000.00        $ 1,024.00        $ 0.80          0.16

 

  (a) 

Commencement of operations.

 
  (b) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 139/365 for actual expenses and 181/365 for hypothetical expenses (to reflect the six month period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” for more information.

 

Portfolio Information

 

ALLOCATION BY CREDIT QUALITY

 

   

Moody’s Credit Rating*

   
Percent of
Total Investments
 
 (a) 

Aaa

    30.6

Aa

    4.4  

A

    16.7  

Baa

    41.2  

Ba

    2.7  

B

    1.2  

Caa

    0.1  

Not Rated

    3.1  

ALLOCATION BY MATURITY

 

   

Maturity

   
Percent of
Total Investments
 
(a) 

1-5 Years

    19.1

5-10 Years

    39.8  

10-15 Years

    2.0  

15-20 Years

    8.1  

More than 20 Years

    31.0  
  *

Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

 
  (a) 

Excludes money market funds.

 

 

 

U N D   S U M M A R Y

  9


About Fund Performance

 

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

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

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

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 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.

 

 

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Schedule of Investments

February 28, 2022

  

iShares® High Yield Bond Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Corporate Bonds & Notes

 

Advertising — 0.6%            

Advantage Sales & Marketing Inc., 6.50%, 11/15/28 (Call 11/15/23)(a)

  $ 1,025     $     1,032,154  
   

 

 

 
Aerospace & Defense — 3.5%            

Bombardier Inc., 7.88%, 04/15/27 (Call 04/15/22)(a)

    1,050       1,064,700  

Maxar Space Robotics LLC, 9.75%, 12/31/23
(Call 03/11/22)(a)

    625       660,156  

Spirit AeroSystems Inc.
5.50%, 01/15/25 (Call 10/15/22)(a)(b)

    345       354,534  

7.50%, 04/15/25 (Call 04/15/22)(a)

    1,250       1,298,750  

TransDigm Inc.
6.25%, 03/15/26 (Call 03/31/22)(a)

    1,275       1,311,656  

6.38%, 06/15/26 (Call 03/31/22)

    850       866,549  

8.00%, 12/15/25 (Call 04/08/22)(a)

    235       245,392  

TransDigm UK Holdings PLC, 6.88%, 05/15/26 (Call 03/31/22)

    250       258,210  
   

 

 

 
      6,059,947  
Agriculture — 0.8%            

Vector Group Ltd.
5.75%, 02/01/29 (Call 02/01/24)(a)

    835       770,287  

10.50%, 11/01/26 (Call 03/31/22)(a)

    674       691,996  
   

 

 

 
      1,462,283  
Airlines — 3.3%            

Air Canada, 3.88%, 08/15/26 (Call 02/15/26)(a)

    1,320       1,281,713  

American Airlines Group Inc., 3.75%, 03/01/25(a)(b)

    640       596,086  

American Airlines Inc., 11.75%, 07/15/25(a)

    800       970,172  

Azul Investments LLP, 7.25%, 06/15/26
(Call 06/15/24)(a)(b)

    890       797,671  

Delta Air Lines Inc.
4.38%, 04/19/28 (Call 01/19/28)(b)

    515       515,000  

7.38%, 01/15/26 (Call 12/15/25)(b)

    885       993,280  

United Airlines Inc., 4.63%, 04/15/29 (Call 10/15/28)(a)

    595       580,420  
   

 

 

 
      5,734,342  
Auto Manufacturers — 2.8%            

Allison Transmission Inc., 5.88%, 06/01/29 (Call 06/01/24)(a)

    360       377,586  

Aston Martin Capital Holdings Ltd., 10.50%, 11/30/25 (Call 11/01/24)(a)

    1,291       1,349,095  

Ford Motor Co.
5.29%, 12/08/46 (Call 06/08/46)

    775       794,577  

9.00%, 04/22/25 (Call 03/22/25)

    50       57,969  

9.63%, 04/22/30 (Call 01/22/30)

    485       666,443  

Jaguar Land Rover Automotive PLC
4.50%, 10/01/27 (Call 07/01/27)(a)

    765       703,800  

5.50%, 07/15/29 (Call 07/15/24)(a)

    675       648,412  

5.88%, 01/15/28 (Call 01/15/24)(a)

    135       133,884  

7.75%, 10/15/25 (Call 10/15/22)(a)

    200       210,614  
   

 

 

 
      4,942,380  
Banks — 0.8%            

Intesa Sanpaolo SpA
5.02%, 06/26/24(a)

    300       308,755  

5.71%, 01/15/26(a)

    1,050       1,106,771  
   

 

 

 
      1,415,526  
Building Materials — 0.5%            

Builders FirstSource Inc., 6.75%, 06/01/27 (Call 06/01/22)(a)

    925       961,343  
   

 

 

 
Chemicals — 2.6%            

CVR Partners LP/CVR Nitrogen Finance Corp., 6.13%, 06/15/28 (Call 06/15/24)(a)(b)

    735       739,594  
Security   Par
(000)
    Value  

Chemicals (continued)

   

GCP Applied Technologies Inc., 5.50%, 04/15/26 (Call 03/16/22)(a)

  $ 160     $ 163,000  

Rain CII Carbon LLC/CII Carbon Corp.,
7.25%, 04/01/25 (Call 03/31/22)(a)

    715       715,765  

Sasol Financing USA LLC
5.50%, 03/18/31 (Call 03/18/30)

    200       191,600  

5.88%, 03/27/24 (Call 02/27/24)

    1,530       1,556,775  

Trinseo Materials Operating SCA/Trinseo Materials Finance Inc.
5.13%, 04/01/29 (Call 04/01/24)(a)

    600       568,500  

5.38%, 09/01/25 (Call 03/31/22)(a)

    595       599,748  
   

 

 

 
          4,534,982  
Coal — 0.2%            

Warrior Met Coal Inc., 7.88%, 12/01/28 (Call 12/01/24)(a)

    325       339,625  
   

 

 

 
Commercial Services — 6.9%            

ADT Security Corp. (The)
4.13%, 08/01/29 (Call 08/01/28)(a)(b)

    700       660,002  

4.88%, 07/15/32(a)(b)

    950       885,875  

Adtalem Global Education Inc., 5.50%, 03/01/28 (Call 03/01/24)(a)

    871       779,048  

APX Group Inc., 6.75%, 02/15/27
(Call 02/15/23)(a)(b)

    745       765,026  

Cimpress PLC, 7.00%, 06/15/26 (Call 03/31/22)(a)

    770       762,300  

Deluxe Corp., 8.00%, 06/01/29 (Call 06/01/24)(a)

    645       661,125  

Graham Holdings Co., 5.75%, 06/01/26
(Call 03/11/22)(a)

    164       168,100  

Korn Ferry, 4.63%, 12/15/27 (Call 12/15/22)(a)

    345       339,825  

Nielsen Finance LLC/Nielsen Finance Co.
4.75%, 07/15/31 (Call 07/15/26)(a)

    915       814,350  

5.88%, 10/01/30 (Call 10/01/25)(a)

    875       847,402  

Prime Security Services Borrower LLC/Prime Finance Inc.
5.25%, 04/15/24(a)

    410       418,200  

5.75%, 04/15/26(a)

    958       984,412  

6.25%, 01/15/28 (Call 01/15/23)(a)(b)

    475       458,375  

PROG Holdings Inc., 6.00%, 11/15/29
(Call 11/15/24)(a)(b)

    775       744,000  

Ritchie Bros. Auctioneers Inc., 5.38%, 01/15/25
(Call 03/31/22)(a)

    650       659,730  

Sabre GLBL Inc.
7.38%, 09/01/25 (Call 09/01/22)(a)

    940       974,268  

9.25%, 04/15/25 (Call 03/16/25)(a)

    480       541,325  

United Rentals North America Inc., 4.88%, 01/15/28 (Call 01/15/23)(b)

    535       546,016  
   

 

 

 
      12,009,379  
Computers — 0.7%            

Conduent Business Services LLC/Conduent State & Local Solutions Inc., 6.00%, 11/01/29
(Call 11/01/24)(a)

    710       676,275  

Unisys Corp., 6.88%, 11/01/27 (Call 11/01/23)(a)

    570       599,925  
   

 

 

 
      1,276,200  
Cosmetics & Personal Care — 0.4%            

Coty Inc., 5.00%, 04/15/26 (Call 04/15/23)(a)

    635       638,867  
   

 

 

 
Distribution & Wholesale — 0.5%            

Avient Corp., 5.75%, 05/15/25 (Call 05/15/22)(a)

    835       856,919  
   

 

 

 
Diversified Financial Services — 4.1%            

Burford Capital Global Finance LLC, 6.25%, 04/15/28 (Call 04/15/24)(a)(b)

    350       362,688  

Credit Acceptance Corp., 6.63%, 03/15/26
(Call 03/15/22)(b)

    295       304,239  

Curo Group Holdings Corp., 7.50%, 08/01/28
(Call 08/01/24)(a)

    1,430       1,269,125  

goeasy Ltd., 5.38%, 12/01/24 (Call 03/31/22)(a)

    715       718,575  

 

 

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

  11


Schedule of Investments  (continued)

February 28, 2022

  

iShares® High Yield Bond Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Diversified Financial Services (continued)            

Nationstar Mortgage Holdings Inc.
5.13%, 12/15/30 (Call 12/15/25)(a)

  $ 855     $ 801,562  

5.75%, 11/15/31 (Call 11/15/26)(a)

    680       657,900  

OneMain Finance Corp.
6.63%, 01/15/28 (Call 07/15/27)

    95       101,499  

6.88%, 03/15/25

    780       832,334  

7.13%, 03/15/26(b)

    1,110       1,203,240  

PennyMac Financial Services Inc., 5.75%, 09/15/31 (Call 09/15/26)(a)

    665       626,763  

PRA Group Inc., 5.00%, 10/01/29 (Call 10/01/24)(a)

    315       305,550  
   

 

 

 
      7,183,475  
Electric — 3.2%            

Drax Finco PLC, 6.63%, 11/01/25 (Call 03/11/22)(a)

    621       630,315  

FirstEnergy Corp.

   

Series C, 3.40%, 03/01/50 (Call 09/01/49)

    920       789,590  

Series C, 5.35%, 07/15/47 (Call 01/15/47)

    415       438,510  

Mercury Chile Holdco LLC, 6.50%, 01/24/27 (Call 01/24/24)(a)

    325       313,625  

NRG Energy Inc., 5.75%, 01/15/28 (Call 01/15/23)

    600       613,488  

PG&E Corp.
5.00%, 07/01/28 (Call 07/01/23)(b)

    1,375           1,361,250  

5.25%, 07/01/30 (Call 07/01/25)(b)

    220       218,532  

Vistra Operations Co. LLC
5.50%, 09/01/26 (Call 03/11/22)(a)

    730       742,713  

5.63%, 02/15/27 (Call 03/11/22)(a)

    455       465,879  
   

 

 

 
      5,573,902  
Electronics — 0.3%            

Sensata Technologies BV, 4.88%, 10/15/23(a)(b)

    505       517,625  
   

 

 

 
Energy - Alternate Sources — 0.4%            

Renewable Energy Group Inc., 5.88%, 06/01/28 (Call 06/01/24)(a)(b)

    685       739,800  
   

 

 

 
Engineering & Construction — 1.5%            

AECOM, 5.13%, 03/15/27 (Call 12/15/26)

    1,105       1,132,625  

Brundage-Bone Concrete Pumping Holdings Inc., 6.00%, 02/01/26 (Call 02/01/23)(a)

    310       306,581  

IHS Netherlands Holdco BV, 8.00%, 09/18/27
(Call 09/18/22)(a)

    1,200       1,221,696  
   

 

 

 
      2,660,902  
Entertainment — 3.9%            

AMC Entertainment Holdings Inc., 7.50%, 02/15/29 (Call 02/15/25)(a)

    1,014       998,537  

Caesars Entertainment Inc., 6.25%, 07/01/25
(Call 07/01/22)(a)

    1,285       1,332,416  

Caesars Resort Collection LLC/CRC Finco Inc., 5.75%, 07/01/25
(Call 07/01/22)(a)

    700       717,805  

Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op,
5.50%, 05/01/25 (Call 05/01/22)(a)

    1,250       1,284,837  

Live Nation Entertainment Inc.
4.88%, 11/01/24 (Call 03/31/22)(a)(b)

    300       302,955  

6.50%, 05/15/27 (Call 05/15/23)(a)

    1,085       1,161,666  

Resorts World Las Vegas LLC/RWLV Capital Inc., 4.63%, 04/16/29 (Call 01/16/29)(a)

    200       187,164  

Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.75%, 04/15/25 (Call 04/15/22)(a)(b)

    750       782,925  
   

 

 

 
      6,768,305  
Security   Par
(000)
    Value  
Environmental Control — 1.3%            

GFL Environmental Inc.
3.50%, 09/01/28 (Call 03/01/28)(a)

  $ 998     $ 952,716  

5.13%, 12/15/26 (Call 12/15/22)(a)

    450       459,493  

Stericycle Inc., 5.38%, 07/15/24 (Call 03/16/22)(a)

    771       788,164  
   

 

 

 
          2,200,373  
Food — 3.1%            

BRF GmbH, 4.35%, 09/29/26(a)(b)

    300       295,653  

Del Monte Foods Inc., 11.88%, 05/15/25
(Call 05/15/22)(a)

    225       248,708  

Kraft Heinz Foods Co.
4.38%, 06/01/46 (Call 12/01/45)

    1,125       1,153,125  

4.88%, 10/01/49 (Call 04/01/49)

    1,100       1,218,250  

5.50%, 06/01/50 (Call 12/01/49)

    485       580,788  

6.88%, 01/26/39

    440       580,800  

Pilgrim’s Pride Corp., 5.88%, 09/30/27
(Call 09/30/22)(a)

    810       832,522  

Post Holdings Inc., 5.75%, 03/01/27
(Call 03/16/22)(a)(b)

    590       596,195  
   

 

 

 
      5,506,041  
Gas — 0.8%            

AmeriGas Partners LP/AmeriGas Finance Corp.
5.63%, 05/20/24 (Call 03/20/24)

    695       708,900  

5.75%, 05/20/27 (Call 02/20/27)

    586       592,036  

5.88%, 08/20/26 (Call 05/20/26)

    115       117,375  
   

 

 

 
      1,418,311  
Health Care - Services — 0.8%            

Tenet Healthcare Corp., 6.25%, 02/01/27
(Call 03/31/22)(a)

    1,300       1,336,985  
   

 

 

 
Holding Companies - Diversified — 1.1%            

Icahn Enterprises LP/Icahn Enterprises Finance Corp.
5.25%, 05/15/27 (Call 11/15/26)

    700       695,100  

6.25%, 05/15/26 (Call 05/15/22)

    975       983,497  

6.38%, 12/15/25 (Call 03/31/22)

    225       226,795  
   

 

 

 
      1,905,392  
Home Builders — 1.2%            

Brookfield Residential Properties Inc./Brookfield Residential U.S. LLC, 6.25%, 09/15/27
(Call 09/15/22)(a)

    750       751,875  

Picasso Finance Sub Inc., 6.13%, 06/15/25
(Call 06/15/22)(a)

    774       798,187  

TRI Pointe Group Inc./TRI Pointe Homes Inc., 5.88%, 06/15/24(b)

    501       521,040  
   

 

 

 
      2,071,102  
Housewares — 0.2%            

Newell Brands Inc., 6.00%, 04/01/46 (Call 10/01/45)

    375       419,224  
   

 

 

 
Insurance — 0.5%            

NMI Holdings Inc., 7.38%, 06/01/25 (Call 03/30/25)(a)

    286       307,409  

Radian Group Inc., 4.88%, 03/15/27 (Call 09/15/26)

    520       536,900  
   

 

 

 
      844,309  
Internet — 2.5%            

GrubHub Holdings Inc., 5.50%, 07/01/27
(Call 07/01/22)(a)

    645       575,663  

NortonLifeLock Inc., 5.00%, 04/15/25
(Call 03/11/22)(a)

    1,280       1,280,614  

TripAdvisor Inc., 7.00%, 07/15/25
(Call 07/15/22)(a)(b)

    625       646,875  

Uber Technologies Inc.
7.50%, 05/15/25 (Call 05/15/22)(a)

    200       208,050  

7.50%, 09/15/27 (Call 09/15/22)(a)

    1,485       1,587,094  
   

 

 

 
      4,298,296  
Iron & Steel — 1.5%            

Cleveland-Cliffs Inc.
5.88%, 06/01/27 (Call 06/01/22)(b)

    660       679,866  

6.75%, 03/15/26 (Call 03/31/22)(a)

    525       553,318  

9.88%, 10/17/25 (Call 10/17/22)(a)(b)

    421       467,310  

 

 

12  

2 0 2 2   H A R E S  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  (continued)

February 28, 2022

  

iShares® High Yield Bond Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Iron & Steel (continued)            

Mineral Resources Ltd., 8.13%, 05/01/27
(Call 05/01/22)(a)

  $ 833     $ 880,152  
   

 

 

 
          2,580,646  
Leisure Time — 3.2%            

Carnival Corp.
7.63%, 03/01/26 (Call 03/01/24)(a)

        1,015       1,043,410  

9.88%, 08/01/27 (Call 02/01/24)(a)(b)

    565       634,212  

10.50%, 02/01/26 (Call 08/01/23)(a)(b)

    850       954,125  

Lindblad Expeditions LLC, 6.75%, 02/15/27
(Call 02/15/24)(a)

    310       311,550  

NCL Corp. Ltd., 5.88%, 02/15/27
(Call 02/15/24)(a)

    343       343,429  

Royal Caribbean Cruises Ltd.
5.50%, 08/31/26 (Call 02/28/26)(a)(b)

    200       199,055  

9.13%, 06/15/23 (Call 03/15/23)(a)

    610       637,865  

10.88%, 06/01/23 (Call 03/01/23)(a)

    1,200       1,288,044  

11.50%, 06/01/25 (Call 06/01/22)(a)(b)

    110       121,517  
   

 

 

 
      5,533,207  
Lodging — 2.4%            

Travel + Leisure Co.
4.50%, 12/01/29 (Call 09/01/29)(a)

    855       816,525  

6.63%, 07/31/26 (Call 04/30/26)(a)

    830       886,025  

Universal Entertainment Corp., 8.50%, 12/11/24 (Call 12/11/23)(a)

    805       832,241  

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
4.25%, 05/30/23 (Call 02/28/23)(a)

    650       652,652  

5.25%, 05/15/27 (Call 02/15/27)(a)(b)

    150       148,500  

5.50%, 03/01/25 (Call 12/01/24)(a)

    775       785,994  
   

 

 

 
      4,121,937  
Machinery — 1.0%            

GrafTech Finance Inc., 4.63%, 12/15/28
(Call 12/15/23)(a)(b)

    690       670,507  

Vertiv Group Corp., 4.13%, 11/15/28
(Call 11/15/24)(a)

    1,200       1,101,000  
   

 

 

 
      1,771,507  
Manufacturing — 0.3%            

LSB Industries Inc., 6.25%, 10/15/28
(Call 10/15/24)(a)

    525       527,625  
   

 

 

 
Media — 4.1%            

CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 01/15/34 (Call 01/15/28)(a)

    325       298,805  

Directv Financing LLC/Directv Financing Co-Obligor Inc., 5.88%, 08/15/27
(Call 08/15/23)(a)(b)

    1,295       1,294,560  

DISH DBS Corp.
7.38%, 07/01/28 (Call 07/01/23)(b)

    1,055       999,001  

7.75%, 07/01/26

    1,125       1,139,276  

5.13%, 06/01/29

    715       603,281  

Gannett Holdings LLC, 6.00%, 11/01/26
(Call 11/01/23)(a)

    355       353,225  

Telenet Finance Luxembourg Notes Sarl,
5.50%, 03/01/28 (Call 12/01/22)(a)

    1,200       1,188,000  

UPC Broadband Finco BV, 4.88%, 07/15/31
(Call 07/15/26)(a)

    1,355       1,294,025  
   

 

 

 
      7,170,173  
Mining — 4.8%            

Arconic Corp.
6.00%, 05/15/25 (Call 05/15/22)(a)

    200       206,000  

6.13%, 02/15/28 (Call 02/15/23)(a)

    1,185       1,211,662  

Coeur Mining Inc., 5.13%, 02/15/29
(Call 02/15/24)(a)

    335       295,537  

Eldorado Gold Corp., 6.25%, 09/01/29
(Call 09/01/24)(a)

    680       686,800  

Endeavour Mining PLC, 5.00%, 10/14/26
(Call 10/14/23)(a)

    715       672,214  

First Quantum Minerals Ltd.
6.88%, 03/01/26 (Call 03/11/22)(a)(b)

    730       750,075  

7.50%, 04/01/25 (Call 03/11/22)(a)

    1,280       1,308,378  

FMG Resources August 2006 Pty Ltd.,
5.13%, 05/15/24 (Call 02/15/24)(a)(b)

    830       853,008  
Security   Par
(000)
    Value  
Mining (continued)            

Hecla Mining Co., 7.25%, 02/15/28
(Call 02/15/23)(b)

  $ 585     $ 613,519  

IAMGOLD Corp., 5.75%, 10/15/28
(Call 10/15/23)(a)(b)

    615       561,237  

Stillwater Mining Co.
4.00%, 11/16/26 (Call 11/16/23)(a)

    625       596,375  

4.50%, 11/16/29 (Call 11/16/25)(a)

    775       708,117  
   

 

 

 
      8,462,922  
Office & Business Equipment — 0.3%            

Pitney Bowes Inc.
6.88%, 03/15/27 (Call 03/15/24)(a)(b)

    345       324,697  

7.25%, 03/15/29 (Call 03/15/24)(a)

    305       289,491  
   

 

 

 
      614,188  
Oil & Gas — 7.4%            

Antero Resources Corp., 7.63%, 02/01/29
(Call 02/01/24)(a)

    836       904,995  

Civitas Resources Inc., 5.00%, 10/15/26
(Call 10/15/23)(a)(b)

    370       364,561  

CNX Resources Corp., 7.25%, 03/14/27
(Call 03/31/22)(a)

    900       950,724  

Energean PLC, 6.50%, 04/30/27
(Call 10/30/23)(a)

    625       590,313  

EQT Corp., 6.63%, 02/01/25 (Call 01/01/25)

        1,060       1,145,033  

Gulfport Energy Corp., 8.00%, 05/17/26
(Call 05/17/24)

    400       423,000  

Harbour Energy PLC, 5.50%, 10/15/26
(Call 10/15/23)(a)

    680       669,800  

Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26 (Call 03/11/22)(a)

    180       184,275  

Matador Resources Co., 5.88%, 09/15/26
(Call 03/16/22)

    1,363       1,383,445  

Moss Creek Resources Holdings Inc.
7.50%, 01/15/26 (Call 03/31/22)(a)

    225       199,125  

10.50%, 05/15/27 (Call 05/15/22)(a)

    675       636,188  

Oasis Petroleum Inc., 6.38%, 06/01/26
(Call 06/01/23)(a)

    345       351,038  

Occidental Petroleum Corp.
5.55%, 03/15/26 (Call 12/15/25)

    1,502       1,614,199  

6.95%, 07/01/24

    760       824,600  

7.88%, 09/15/31

    450       556,569  

8.50%, 07/15/27 (Call 01/15/27)

    361       435,005  

Patterson UTI Energy Inc., 3.95%, 02/01/28
(Call 11/01/27)

    450       430,068  

PDC Energy Inc., 5.75%, 05/15/26
(Call 03/31/22)(b)

    540       548,100  

Sunoco LP/Sunoco Finance Corp.,
6.00%, 04/15/27 (Call 04/15/22)

    750       774,180  
   

 

 

 
          12,985,218  
Oil & Gas Services — 1.7%            

Archrock Partners LP/Archrock Partners Finance Corp.
6.25%, 04/01/28 (Call 04/01/23)(a)

    270       270,000  

6.88%, 04/01/27 (Call 04/01/22)(a)

    630       646,720  

Bristow Group Inc., 6.88%, 03/01/28
(Call 03/01/24)(a)

    340       343,985  

Oceaneering International Inc., 4.65%, 11/15/24 (Call 08/15/24)

    190       186,984  

USA Compression Partners LP/USA Compression Finance Corp.
6.88%, 04/01/26 (Call 03/31/22)

    925       928,931  

6.88%, 09/01/27 (Call 09/01/22)(b)

    520       520,364  
   

 

 

 
      2,896,984  
Packaging & Containers — 0.4%            

Berry Global Inc., 5.63%, 07/15/27
(Call 07/15/22)(a)

    635       650,621  
   

 

 

 
Pharmaceuticals — 0.8%            

Bausch Health Companies Inc., 9.00%, 12/15/25 (Call 03/31/22)(a)

    835       861,094  

HLF Financing Sarl LLC/Herbalife International Inc., 4.88%, 06/01/29 (Call 06/01/24)(a)

    541       496,367  
   

 

 

 
      1,357,461  

 

 

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

  13


Schedule of Investments  (continued)

February 28, 2022

  

iShares® High Yield Bond Factor ETF

(Percentages shown are based on Net Assets)

 

Security       
Par
(000)
    Value  
Pipelines — 4.2%            

Antero Midstream Partners LP/Antero Midstream Finance Corp.
5.75%, 03/01/27 (Call 03/16/22)(a)(b)

  $ 725     $ 738,442  

7.88%, 05/15/26 (Call 05/15/23)(a)

    680       731,000  

Delek Logistics Partners LP/Delek Logistics Finance Corp., 7.13%, 06/01/28
(Call 06/01/24)(a)

    340       332,421  

EnLink Midstream Partners LP
4.15%, 06/01/25 (Call 03/01/25)

    730       730,913  

4.40%, 04/01/24 (Call 01/01/24)

    670       682,397  

EQM Midstream Partners LP, 6.50%, 07/15/48 (Call 01/15/48)(b)

    425       414,375  

ITT Holdings LLC, 6.50%, 08/01/29
(Call 08/01/24)(a)

    1,075       1,007,812  

PBF Logistics LP/PBF Logistics Finance Corp., 6.88%, 05/15/23 (Call 03/31/22)

    725       721,375  

Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.50%, 07/15/27
(Call 07/15/22)

    860       911,600  

Western Midstream Operating LP,
5.75%, 02/01/50 (Call 08/01/49)

        1,080           1,098,900  
   

 

 

 
      7,369,235  
Real Estate — 1.0%            

Cushman & Wakefield US Borrower LLC,
6.75%, 05/15/28 (Call 05/15/23)(a)

    850       888,250  

WeWork Companies Inc., 7.88%, 05/01/25(a)

    950       859,750  
   

 

 

 
      1,748,000  
Real Estate Investment Trusts — 4.9%            

Apollo Commercial Real Estate Finance Inc., 4.63%, 06/15/29 (Call 06/15/24)(a)(b)

    680       613,700  

Brookfield Property REIT Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL
4.50%, 04/01/27 (Call 10/01/23)(a)

    55       51,288  

5.75%, 05/15/26 (Call 05/15/22)(a)

    1,430       1,414,685  

Iron Mountain Inc.
5.25%, 03/15/28 (Call 12/27/22)(a)

    100       100,026  

5.63%, 07/15/32 (Call 07/15/26)(a)

    275       272,022  

Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer
4.88%, 05/15/29 (Call 05/15/24)(a)

    100       96,375  

5.88%, 10/01/28 (Call 10/01/23)(a)

    910       926,726  

7.50%, 06/01/25 (Call 06/01/22)(a)

    480       501,600  

RLJ Lodging Trust LP, 4.00%, 09/15/29
(Call 09/15/24)(a)

    665       624,388  

Service Properties Trust
4.35%, 10/01/24 (Call 09/01/24)

    1,085       1,045,929  

4.75%, 10/01/26 (Call 08/01/26)

    595       550,262  

Uniti Group LP/Uniti Fiber Holdings Inc./CSL Capital LLC, 7.88%, 02/15/25
(Call 03/31/22)(a)

    460       479,216  

Uniti Group LP/Uniti Group Finance Inc./CSL Capital LLC
4.75%, 04/15/28 (Call 04/15/24)(a)

    450       428,339  

6.50%, 02/15/29 (Call 02/15/24)(a)

    930       861,896  

XHR LP, 6.38%, 08/15/25 (Call 08/15/22)(a)

    612       630,360  
   

 

 

 
      8,596,812  
Retail — 2.9%            

Academy Ltd., 6.00%, 11/15/27
(Call 11/15/23)(a)(b)

    325       338,423  

Bath & Body Works Inc.
6.75%, 07/01/36

    585       638,059  

6.88%, 11/01/35

    1,045       1,154,965  

Bed Bath & Beyond Inc., 5.17%, 08/01/44
(Call 02/01/44)(b)

    815       596,987  

Dave & Buster’s Inc., 7.63%, 11/01/25
(Call 11/01/22)(a)

    366       383,385  

FirstCash Inc.
4.63%, 09/01/28 (Call 09/01/23)(a)

    670       632,534  
Security   Par/
Shares
(000)
    Value  
Retail (continued)            

5.63%, 01/01/30 (Call 01/01/25)(a)

  $ 725     $ 719,925  

Nordstrom Inc., 5.00%, 01/15/44
(Call 07/15/43)(b)

    575       506,000  

QVC Inc., 4.38%, 09/01/28 (Call 06/01/28)

    120       108,703  
   

 

 

 
      5,078,981  
Semiconductors — 0.3%            

ams-OSRAM AG, 7.00%, 07/31/25
(Call 07/31/22)(a)(b)

    550       570,004  
   

 

 

 
Software — 0.3%            

MicroStrategy Inc., 6.13%, 06/15/28
(Call 06/15/24)(a)(b)

    640       614,400  
   

 

 

 
Telecommunications — 5.7%            

Consolidated Communications Inc.,
6.50%, 10/01/28 (Call 10/01/23)(a)

    975       970,125  

Embarq Corp., 8.00%, 06/01/36

    632       624,100  

Frontier Communications Holdings LLC
5.00%, 05/01/28 (Call 05/01/24)(a)

    731       709,618  

6.00%, 01/15/30 (Call 10/15/24)(a)

    994       925,911  

Hughes Satellite Systems Corp.
5.25%, 08/01/26

    670       687,782  

6.63%, 08/01/26(b)

    639       665,544  

Sprint Capital Corp., 8.75%, 03/15/32

    455       631,313  

Sprint Corp.
7.13%, 06/15/24

    590       637,943  

7.63%, 02/15/25 (Call 11/15/24)

    1,055       1,168,534  

7.88%, 09/15/23(b)

    130       139,750  

Telesat Canada/Telesat LLC
4.88%, 06/01/27 (Call 12/01/22)(a)

    322       228,620  

5.63%, 12/06/26 (Call 12/06/23)(a)

    865       635,775  

6.50%, 10/15/27 (Call 10/15/22)(a)(b)

    995       497,500  

ViaSat Inc.
5.63%, 09/15/25 (Call 03/11/22)(a)

    750       716,565  

5.63%, 04/15/27 (Call 04/15/22)(a)

    765       764,212  
   

 

 

 
      10,003,292  
Trucking & Leasing — 0.9%            

Fortress Transportation and Infrastructure Investors LLC
5.50%, 05/01/28 (Call 05/01/24)(a)(b)

    135       128,925  

6.50%, 10/01/25 (Call 03/31/22)(a)

    1,085       1,098,562  

9.75%, 08/01/27 (Call 08/01/23)(a)

    301       330,348  
   

 

 

 
      1,557,835  
   

 

 

 

Total Corporate Bonds & Notes — 96.6%
(Cost: $173,716,626)

          168,919,037  
   

 

 

 

Short-Term Investments

   
Money Market Funds — 12.3%            

BlackRock Cash Funds: Institutional, SL Agency Shares, 0.09%(c)(d)(e)

        16,906       16,908,997  

BlackRock Cash Funds: Treasury, SL Agency Shares, 0.03%(c)(d)

    4,590       4,590,000  
   

 

 

 
      21,498,997  
   

 

 

 

Total Short-Term Investments — 12.3%
(Cost: $21,498,833)

 

    21,498,997  
   

 

 

 

Total Investments in Securities — 108.9%
(Cost: $195,215,459)

 

    190,418,034  

Other Assets, Less Liabilities — (8.9)%

 

    (15,505,290
   

 

 

 

Net Assets — 100.0%

    $ 174,912,744  
   

 

 

 

 

 

14  

2 0 2 2   H A R E S  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  (continued)

February 28, 2022

  

iShares® High Yield Bond Factor ETF

 

(a) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(b) 

All or a portion of this security is on loan.

(c) 

Affiliate of the Fund.

(d) 

Annualized 7-day yield as of period end.

(e) 

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

    

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended February 28, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer    Value at
02/28/21
    

Purchases

at Cost

     Proceeds
from Sales
     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
02/28/22
     Shares
Held at
02/28/22
(000)
     Income      Capital Gain
Distributions from
Underlying Funds
 

 

 

BlackRock Cash Funds: Institutional, SL Agency Shares

   $ 8,316,854      $ 8,599,546 (a)     $      $ (5,856    $ (1,547    $ 16,908,997        16,906      $ 53,218 (b)     $  

BlackRock Cash Funds: Treasury, SL Agency Shares

     1,771,000        2,819,000 (a)                            4,590,000        4,590        288         
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 
            $ (5,856    $ (1,547    $ 21,498,997         $ 53,506      $  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

(a) 

Represents net amount purchased (sold).

 
(b) 

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

 

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

                 

Corporate Bonds & Notes

   $        $ 168,919,037        $        $ 168,919,037  

Money Market Funds

     21,498,997                            21,498,997  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 21,498,997        $ 168,919,037        $        $ 190,418,034  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

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

  15


Schedule of Investments  

February 28, 2022

  

iShares® Investment Grade Bond Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

 

 

Corporate Bonds & Notes

   
Advertising — 0.1%            

Interpublic Group of Companies Inc. (The),
3.38%, 03/01/41 (Call 09/01/40)

  $     205     $ 191,908  
   

 

 

 
Aerospace & Defense — 2.6%            

Boeing Co. (The)
4.88%, 05/01/25 (Call 04/01/25)

    59       62,722  

5.04%, 05/01/27 (Call 03/01/27)

    765       831,056  

5.15%, 05/01/30 (Call 02/01/30)

    420       463,908  

5.93%, 05/01/60 (Call 11/01/59)

    715       849,004  

L3Harris Technologies Inc., 4.40%, 06/15/28
(Call 03/15/28)

    915       987,144  

Northrop Grumman Corp., 4.75%, 06/01/43

    185       212,894  

Raytheon Technologies Corp.
4.50%, 06/01/42

    35       39,143  

4.88%, 10/15/40

    675       778,633  
   

 

 

 
      4,224,504  
Agriculture — 2.3%            

Altria Group Inc.
4.80%, 02/14/29 (Call 11/14/28)

    16       17,285  

5.38%, 01/31/44

    598       623,967  

5.80%, 02/14/39 (Call 08/14/38)

    618       677,490  

5.95%, 02/14/49 (Call 08/14/48)

    61       67,759  

BAT Capital Corp.
3.56%, 08/15/27 (Call 05/15/27)

    496       499,189  

4.91%, 04/02/30 (Call 01/02/30)

    49       52,316  

5.28%, 04/02/50 (Call 07/01/22)

    210       213,030  

Philip Morris International Inc., 6.38%, 05/16/38

    605       781,152  

Reynolds American Inc.
5.70%, 08/15/35 (Call 02/15/35)

    231       252,400  

5.85%, 08/15/45 (Call 12/01/30)

    558       603,760  
   

 

 

 
      3,788,348  
Apparel — 0.1%            

Tapestry Inc., 3.05%, 03/15/32 (Call 12/15/31)

    210       199,791  
   

 

 

 
Auto Parts & Equipment — 0.1%            

Lear Corp., 3.80%, 09/15/27 (Call 06/15/27)

    103       107,240  
   

 

 

 
Banks — 3.3%            

Bank of America Corp.
3.59%, 07/21/28 (Call 07/21/27),

(3 mo. LIBOR US + 1.370%)(a)

 

 

23

 

 

 

23,753

 

4.45%, 03/03/26

    220       234,416  

Citigroup Inc.
4.60%, 03/09/26

    304       324,210  

8.13%, 07/15/39

    519       811,909  

Discover Bank, 4.65%, 09/13/28 (Call 06/13/28)

    250       270,698  

Fifth Third Bancorp., 3.65%, 01/25/24 (Call 12/25/23)

    815       837,835  

HSBC Holdings PLC
3.90%, 05/25/26

    595       618,119  

4.25%, 08/18/25

    215       223,383  

4.30%, 03/08/26

    745       787,478  

Morgan Stanley, Series F, 3.88%, 04/29/24

    36       37,222  

SVB Financial Group, 3.13%, 06/05/30
(Call 03/05/30)

    210       211,106  

Truist Financial Corp., 2.20%, 03/16/23
(Call 02/13/23)

    806       810,454  

Wells Fargo & Co., 3.00%, 02/19/25

    200       203,822  
   

 

 

 
          5,394,405  
Beverages — 2.0%            

Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc., 4.70%, 02/01/36
(Call 08/01/35)

    605       674,264  
Security   Par
(000)
    Value  

 

 
Beverages (continued)  

Anheuser-Busch InBev Worldwide Inc.
4.60%, 06/01/60 (Call 12/01/59)

  $     125     $ 136,625  

5.45%, 01/23/39 (Call 07/23/38)

    155       184,654  

8.20%, 01/15/39

    287       438,242  

Constellation Brands Inc., 4.25%, 05/01/23

    630       647,472  

Keurig Dr Pepper Inc.
4.42%, 05/25/25 (Call 03/25/25)

    685       725,195  

4.60%, 05/25/28 (Call 02/25/28)

    390       425,529  
   

 

 

 
      3,231,981  
Biotechnology — 2.7%            

Amgen Inc.
4.40%, 05/01/45 (Call 11/01/44)

    334       354,871  

4.40%, 02/22/62 (Call 09/15/25)

    20       21,028  

Baxalta Inc., 4.00%, 06/23/25 (Call 03/23/25)

    745       777,543  

Gilead Sciences Inc.
4.80%, 04/01/44 (Call 10/01/43)

    650       738,169  

5.65%, 12/01/41 (Call 06/01/41)

    310       386,561  

Illumina Inc., 2.55%, 03/23/31 (Call 12/23/30)

    245       232,231  

Regeneron Pharmaceuticals Inc., 1.75%, 09/15/30
(Call 06/15/30)

    950       848,536  

Royalty Pharma PLC
1.20%, 09/02/25 (Call 08/02/25)

    575       546,052  

3.35%, 09/02/51 (Call 03/02/51)

    310       259,695  

3.55%, 09/02/50 (Call 03/02/50)

    165       143,208  
   

 

 

 
      4,307,894  
Building Materials — 0.6%            

Eagle Materials Inc., 2.50%, 07/01/31
(Call 04/01/31)

    625       583,961  

Fortune Brands Home & Security Inc.,
3.25%, 09/15/29 (Call 06/15/29)

    340       345,880  

Martin Marietta Materials Inc., 4.25%, 12/15/47
(Call 06/15/47)

    15       15,709  
   

 

 

 
      945,550  
Chemicals — 1.3%            

Celanese U.S. Holdings LLC, 3.50%, 05/08/24
(Call 04/08/24)

    240       245,154  

Dow Chemical Co. (The), 5.55%, 11/30/48
(Call 05/30/48)

    335       422,238  

DuPont de Nemours Inc., 5.32%, 11/15/38
(Call 05/15/38)

    295       350,698  

Huntsman International LLC, 4.50%, 05/01/29
(Call 02/01/29)

    540       573,400  

LYB International Finance BV, 4.88%, 03/15/44
(Call 09/15/43)

    300       329,774  

LYB International Finance III LLC, 3.80%, 10/01/60
(Call 04/01/60)(b)

    145       129,710  

LyondellBasell Industries NV, 4.63%, 02/26/55
(Call 08/26/54)

    75       78,720  
   

 

 

 
      2,129,694  
Commercial Services — 1.8%            

Equifax Inc., 2.35%, 09/15/31 (Call 06/15/31)

    550       505,276  

Global Payments Inc.
2.90%, 05/15/30 (Call 02/15/30)

    220       211,675  

3.20%, 08/15/29 (Call 05/15/29)

    209       206,305  

4.00%, 06/01/23 (Call 05/01/23)

    145       148,569  

4.15%, 08/15/49 (Call 02/15/49)

    58       57,154  

4.80%, 04/01/26 (Call 01/01/26)

    440       471,874  

Quanta Services Inc.
2.35%, 01/15/32 (Call 10/15/31)

    130       118,005  

2.90%, 10/01/30 (Call 07/01/30)

    790       757,531  

Verisk Analytics Inc., 4.00%, 06/15/25 (Call 03/15/25)

    410       426,445  
   

 

 

 
          2,902,834  
Computers — 1.6%            

Apple Inc., 3.00%, 02/09/24 (Call 12/09/23)

    500       512,045  

HP Inc.
2.65%, 06/17/31 (Call 03/17/31)

    580       544,419  

3.40%, 06/17/30 (Call 03/17/30)

    125       126,218  

 

 

16  

2 0 2 2   H A R E S    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  (continued)

February 28, 2022

  

iShares® Investment Grade Bond Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

 

 
Computers (continued)            

6.00%, 09/15/41

  $     267     $ 318,968  

Leidos Inc.
2.95%, 05/15/23 (Call 04/15/23)

    200       202,416  

4.38%, 05/15/30 (Call 02/15/30)

    635       674,192  

Teledyne FLIR LLC, 2.50%, 08/01/30
(Call 05/01/30)

    215       202,029  
   

 

 

 
          2,580,287  
Diversified Financial Services — 2.2%            

Capital One Financial Corp.
3.20%, 02/05/25 (Call 01/05/25)

    590       602,278  

3.75%, 03/09/27 (Call 02/09/27)(b)

    685       715,421  

Discover Financial Services, 4.10%, 02/09/27
(Call 11/09/26)

    770       807,565  

Raymond James Financial Inc.
3.75%, 04/01/51 (Call 10/01/50)

    15       14,865  

4.95%, 07/15/46

    435       500,282  

Synchrony Financial
3.95%, 12/01/27 (Call 09/01/27)

    570       587,192  

5.15%, 03/19/29 (Call 12/19/28)

    325       353,356  
   

 

 

 
      3,580,959  
Electric — 10.1%            

Ameren Illinois Co., 3.70%, 12/01/47 (Call 06/01/47)

    85       87,577  

Avangrid Inc.
3.20%, 04/15/25 (Call 03/15/25)

    215       219,790  

3.80%, 06/01/29 (Call 03/01/29)

    570       595,762  

Commonwealth Edison Co.
3.00%, 03/01/50 (Call 09/01/49)

    110       100,113  

4.00%, 03/01/48 (Call 09/01/47)

    100       106,665  

Connecticut Light & Power Co. (The),
4.00%, 04/01/48 (Call 10/01/47)

    560       601,261  

Consolidated Edison Co. of New York Inc.
3.60%, 06/15/61 (Call 12/15/60)

    550       511,437  

Series C, 3.00%, 12/01/60 (Call 06/01/60)

    320       263,684  

Consumers Energy Co., 3.10%, 08/15/50
(Call 02/15/50)

    115       109,051  

DTE Electric Co., 2.95%, 03/01/50 (Call 09/01/49)

    45       40,946  

Duke Energy Carolinas LLC, 3.95%, 03/15/48
(Call 09/15/47)

    270       280,522  

Duke Energy Corp., 2.65%, 09/01/26 (Call 06/01/26)

    480       482,281  

Duke Energy Florida LLC, 3.40%, 10/01/46
(Call 04/01/46)

    255       245,236  

Duke Energy Indiana LLC
2.75%, 04/01/50 (Call 10/01/49)

    480       407,562  

Series YYY, 3.25%, 10/01/49 (Call 04/01/49)

    170       156,524  

Duke Energy Progress LLC, 3.45%, 03/15/29
(Call 12/15/28)

    230       240,301  

Edison International, 5.75%, 06/15/27 (Call 04/15/27)

    260       288,633  

Emera U.S. Finance LP
3.55%, 06/15/26 (Call 03/15/26)

    89       91,532  

4.75%, 06/15/46 (Call 12/15/45)

    725       765,132  

Entergy Louisiana LLC
4.00%, 03/15/33 (Call 12/15/32)

    740       798,205  

4.20%, 09/01/48 (Call 03/01/48)

    160       174,313  

Evergy Inc.
2.45%, 09/15/24 (Call 08/15/24)

    210       209,900  

2.90%, 09/15/29 (Call 06/15/29)

    560       555,361  

Evergy Kansas Central Inc., 3.45%, 04/15/50
(Call 10/15/49)

    190       182,344  

Exelon Corp.
3.95%, 06/15/25 (Call 03/15/25)

    500       520,096  

4.05%, 04/15/30 (Call 01/15/30)

    770       817,091  

Florida Power & Light Co.
3.15%, 10/01/49 (Call 04/01/49)

    90       85,794  

3.70%, 12/01/47 (Call 06/01/47)

    133       136,730  

3.95%, 03/01/48 (Call 09/01/47)

    525       565,132  

Fortis Inc./Canada, 3.06%, 10/04/26
(Call 07/04/26)

    750       758,334  
Security   Par
(000)
    Value  

 

 
Electric (continued)            

Georgia Power Co., 4.30%, 03/15/42

  $ 70     $ 73,038  

Kentucky Utilities Co., 3.30%, 06/01/50
(Call 12/01/49)

        213       199,983  

OGE Energy Corp., 0.70%, 05/26/23 (Call 03/31/22)

    365       359,436  

Oncor Electric Delivery Co. LLC, 3.80%, 06/01/49 (Call 12/01/48)

    240       251,350  

Public Service Enterprise Group Inc.
0.84%, 11/08/23 (Call 05/08/22)

    300       296,032  

2.88%, 06/15/24 (Call 05/15/24)

    600       611,606  

San Diego Gas & Electric Co., Series WWW,
2.95%, 08/15/51 (Call 02/15/51)

    485       434,474  

Sempra Energy
3.25%, 06/15/27 (Call 03/15/27)(b)

    120       122,601  

3.40%, 02/01/28 (Call 12/11/50)

    655       674,466  

4.00%, 02/01/48 (Call 08/01/47)

    80       80,367  

Southern California Edison Co.
2.85%, 08/01/29 (Call 05/01/29)

    65       63,967  

4.00%, 04/01/47 (Call 10/01/46)

    770       760,296  

Series A, 4.20%, 03/01/29 (Call 12/01/28)

    141       149,579  

Series B, 4.88%, 03/01/49 (Call 09/01/48)

    208       228,182  

Series C, 4.13%, 03/01/48 (Call 09/01/47)

    125       126,034  

Southern Co. (The)
2.95%, 07/01/23 (Call 05/01/23)

    250       253,064  

3.25%, 07/01/26 (Call 04/01/26)

    351       359,915  

4.40%, 07/01/46 (Call 01/01/46)

    700       733,422  

Union Electric Co., 2.63%, 03/15/51 (Call 09/15/50)

    245       212,380  
   

 

 

 
      16,387,501  
Electronics — 0.8%            

Keysight Technologies Inc., 4.60%, 04/06/27
(Call 01/06/27)

    135       147,508  

TD SYNNEX Corp.
1.25%, 08/09/24 (Call 08/09/22)(c)

    300       291,147  

1.75%, 08/09/26 (Call 07/09/26)(c)

    295       280,121  

2.38%, 08/09/28 (Call 06/09/28)(b)(c)

    230       214,406  

2.65%, 08/09/31 (Call 05/09/31)(c)

    220       199,822  

Trimble Inc., 4.90%, 06/15/28 (Call 03/15/28)

    115       123,908  
   

 

 

 
      1,256,912  
Environmental Control — 0.2%            

Republic Services Inc., 3.95%, 05/15/28
(Call 02/15/28)

    225       239,012  
   

 

 

 
Food — 2.2%            

Campbell Soup Co.
3.95%, 03/15/25 (Call 01/15/25)

    90       93,753  

4.15%, 03/15/28 (Call 12/15/27)

    730       780,915  

Conagra Brands Inc., 5.30%, 11/01/38
(Call 05/01/38)

    615       705,710  

General Mills Inc., 4.00%, 04/17/25 (Call 02/17/25)

    525       549,518  

Kellogg Co.
3.25%, 04/01/26

    80       82,101  

4.30%, 05/15/28 (Call 02/15/28)

    125       136,177  

Sysco Corp., 6.60%, 04/01/50 (Call 10/01/49)

    362       503,644  

Tyson Foods Inc., 3.95%, 08/15/24 (Call 05/15/24)

    690           717,665  
   

 

 

 
      3,569,483  
Gas — 1.0%            

National Fuel Gas Co.
2.95%, 03/01/31 (Call 12/01/30)

    185       174,095  

5.50%, 01/15/26 (Call 12/15/25)

    290       314,167  

NiSource Inc.
3.60%, 05/01/30 (Call 02/01/30)

    310       316,786  

4.38%, 05/15/47 (Call 11/15/46)

    699       730,896  
   

 

 

 
      1,535,944  

 

 

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

  17


Schedule of Investments  (continued)

February 28, 2022

  

iShares® Investment Grade Bond Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

 

 
Health Care - Products — 2.8%            

Boston Scientific Corp., 3.45%, 03/01/24
(Call 02/01/24)

  $     670     $ 686,942  

DENTSPLY SIRONA Inc., 3.25%, 06/01/30
(Call 03/01/30)

    560       567,056  

Edwards Lifesciences Corp., 4.30%, 06/15/28
(Call 03/15/28)

    123       133,286  

PerkinElmer Inc.
2.25%, 09/15/31 (Call 06/15/31)

    230       210,403  

3.30%, 09/15/29 (Call 06/15/29)

    683       685,838  

Smith & Nephew PLC, 2.03%, 10/14/30
(Call 07/14/30)

    910       826,109  

STERIS Irish FinCo UnLtd Co.
2.70%, 03/15/31 (Call 12/15/30)

    305       289,739  

3.75%, 03/15/51 (Call 09/15/50)

    270       259,487  

Zimmer Biomet Holdings Inc.
2.60%, 11/24/31 (Call 08/24/31)

    470       443,659  

3.55%, 04/01/25 (Call 01/01/25)(b)

    430       442,170  
   

 

 

 
      4,544,689  
Health Care - Services — 2.9%            

Aetna Inc., 2.80%, 06/15/23 (Call 04/15/23)

    790       800,474  

Anthem Inc.
4.10%, 03/01/28 (Call 12/01/27)

    61       65,262  

4.65%, 01/15/43

    190       213,069  

HCA Inc.
5.13%, 06/15/39 (Call 12/15/38)

    730       813,545  

5.25%, 06/15/49 (Call 12/15/48)

    25       28,438  

5.50%, 06/15/47 (Call 12/15/46)

    375       438,715  

Humana Inc.
3.13%, 08/15/29 (Call 05/15/29)

    180       180,924  

3.95%, 03/15/27 (Call 12/15/26)

    132       139,472  

4.95%, 10/01/44 (Call 04/01/44)

    330       383,553  

Laboratory Corp. of America Holdings
3.60%, 02/01/25 (Call 11/01/24)

    645       663,019  

3.60%, 09/01/27 (Call 06/01/27)

    203       210,966  

4.70%, 02/01/45 (Call 08/01/44)

    93       102,478  

Quest Diagnostics Inc., 4.20%, 06/30/29
(Call 03/30/29)

    185       197,959  

Universal Health Services Inc.
1.65%, 09/01/26 (Call 08/01/26)(c)

    400       379,840  

2.65%, 01/15/32 (Call 10/15/31)(c)

    150       139,603  
   

 

 

 
      4,757,317  
Holding Companies - Diversified — 2.1%            

Ares Capital Corp.
3.20%, 11/15/31 (Call 08/15/31)

    210       189,787  

3.88%, 01/15/26 (Call 12/15/25)

    798       809,047  

FS KKR Capital Corp.
3.13%, 10/12/28 (Call 08/12/28)(b)

    115       106,847  

3.40%, 01/15/26 (Call 12/15/25)

    780       766,144  

Goldman Sachs BDC Inc., 2.88%, 01/15/26
(Call 12/15/25)(b)

    230       225,551  

Golub Capital BDC Inc., 2.50%, 08/24/26
(Call 07/24/26)

    260       246,298  

Main Street Capital Corp., 3.00%, 07/14/26
(Call 06/14/26)

    230       220,854  

Owl Rock Capital Corp.
3.40%, 07/15/26 (Call 06/15/26)

    500       479,078  

3.75%, 07/22/25 (Call 06/22/25)

    185       182,385  

4.25%, 01/15/26 (Call 12/15/25)

    250       252,028  
   

 

 

 
          3,478,019  
Household Products & Wares — 0.1%            

Avery Dennison Corp., 4.88%, 12/06/28 (Call 09/06/28)

    85       94,764  
   

 

 

 
Insurance — 3.5%            

Alleghany Corp., 3.63%, 05/15/30 (Call 02/15/30)

    215       219,307  

American Financial Group Inc./OH, 4.50%, 06/15/47 (Call 12/15/46)

    115       123,230  
Security   Par
(000)
    Value  

 

 
Insurance (continued)            

American International Group Inc.
3.75%, 07/10/25 (Call 04/10/25)

  $     315     $ 327,656  

3.88%, 01/15/35 (Call 07/15/34)

    34       35,627  

3.90%, 04/01/26 (Call 01/01/26)

    694       730,554  

4.50%, 07/16/44 (Call 01/16/44)

    190       210,797  

Aon PLC, 3.88%, 12/15/25 (Call 09/15/25)(b)

    349       364,465  

Brown & Brown Inc., 2.38%, 03/15/31
(Call 12/15/30)(b)

    290       269,972  

CNA Financial Corp.
3.45%, 08/15/27 (Call 12/09/23)

    110       114,015  

3.90%, 05/01/29 (Call 02/01/29)

    125       132,747  

Everest Reinsurance Holdings Inc., 3.50%, 10/15/50
(Call 04/15/50)

    555       520,004  

Fairfax Financial Holdings Ltd., 3.38%, 03/03/31
(Call 12/03/30)

    240       237,230  

Fidelity National Financial Inc.
2.45%, 03/15/31 (Call 12/15/30)(b)

    255       237,791  

3.40%, 06/15/30 (Call 03/15/30)

    240       240,477  

First American Financial Corp., 2.40%, 08/15/31
(Call 05/15/31)

    285       260,157  

Globe Life Inc., 4.55%, 09/15/28 (Call 06/15/28)

    120       131,059  

Jackson Financial Inc.
1.13%, 11/22/23(b)(c)

    250       245,942  

3.13%, 11/23/31 (Call 08/23/31)(c)

    211       202,457  

4.00%, 11/23/51 (Call 05/23/51)(c)

    211       189,517  

Markel Corp.
3.45%, 05/07/52 (Call 11/07/51)

    235       216,722  

4.15%, 09/17/50 (Call 03/17/50)

    15       15,573  

5.00%, 05/20/49 (Call 11/20/48)

    195       226,683  

Old Republic International Corp., 3.85%, 06/11/51
(Call 12/11/50)

    260       245,805  

Travelers Companies Inc. (The), 4.05%, 03/07/48
(Call 09/07/47)

    95       102,368  

Willis North America Inc., 4.50%, 09/15/28
(Call 06/15/28)

    128       136,424  
   

 

 

 
      5,736,579  
Internet — 0.4%            

Booking Holdings Inc.
3.60%, 06/01/26 (Call 03/01/26)

    35       36,613  

4.63%, 04/13/30 (Call 01/13/30)

    60       67,073  

eBay Inc., 3.45%, 08/01/24 (Call 05/01/24)

    450       461,986  
   

 

 

 
      565,672  
Lodging — 0.7%            

Marriott International Inc./MD

   

Series EE, 5.75%, 05/01/25 (Call 04/01/25)

    250       273,591  

Series FF, 4.63%, 06/15/30 (Call 03/15/30)

    720       777,418  
   

 

 

 
          1,051,009  
Machinery — 0.9%            

John Deere Capital Corp., 2.80%, 03/06/23

    500       507,020  

Westinghouse Air Brake Technologies Corp.
4.40%, 03/15/24 (Call 02/15/24)

    205       212,376  

4.95%, 09/15/28 (Call 06/15/28)

    695       755,524  
   

 

 

 
      1,474,920  
Manufacturing — 0.6%            

General Electric Co.
5.88%, 01/14/38

    150       186,877  

6.75%, 03/15/32

    457       589,938  

Textron Inc., 3.00%, 06/01/30 (Call 03/01/30)

    255       251,111  
   

 

 

 
      1,027,926  

 

 

18  

2 0 2 2   H A R E S    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  (continued)

February 28, 2022

  

iShares® Investment Grade Bond Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
     Value  

 

 
Media — 3.1%             

Charter Communications Operating LLC/Charter Communications Operating Capital
3.85%, 04/01/61 (Call 10/01/60)(b)

  $ 60      $ 49,834  

5.38%, 04/01/38 (Call 10/01/37)

        179        187,230  

5.38%, 05/01/47 (Call 11/01/46)

    275        290,197  

6.38%, 10/23/35 (Call 04/23/35)

    515        615,555  

6.48%, 10/23/45 (Call 04/23/45)

    625        746,776  

Comcast Corp.
2.94%, 11/01/56 (Call 05/01/56)(c)

    410        345,086  

2.99%, 11/01/63 (Call 05/01/63)(c)

    405        337,200  

Fox Corp.
4.71%, 01/25/29 (Call 10/25/28)

    50        54,572  

5.48%, 01/25/39 (Call 07/25/38)

    685        798,631  

5.58%, 01/25/49 (Call 07/25/48)

    175        210,550  

Time Warner Cable LLC 6.55%, 05/01/37

    285        342,536  

6.75%, 06/15/39

    644        781,672  

Walt Disney Co. (The), 6.20%, 12/15/34

    190        245,337  
    

 

 

 
       5,005,176  
Mining — 1.4%             

Freeport-McMoRan Inc.
4.63%, 08/01/30 (Call 08/01/25)

    670        691,668  

5.45%, 03/15/43 (Call 09/15/42)

    30        34,505  

Newmont Corp., 4.88%, 03/15/42
(Call 09/15/41)

    473        544,279  

Southern Copper Corp.
5.25%, 11/08/42

    15        17,464  

5.88%, 04/23/45

    403        501,957  

6.75%, 04/16/40

    350        454,303  
    

 

 

 
       2,244,176  
Office & Business Equipment — 0.5%             

CDW LLC/CDW Finance Corp.,
3.57%, 12/01/31 (Call 09/01/31)

    885        859,689  
    

 

 

 
Oil & Gas — 2.0%             

Canadian Natural Resources Ltd.
2.95%, 01/15/23 (Call 12/15/22)

    760        767,788  

3.85%, 06/01/27 (Call 03/01/27)

    790        823,929  

Coterra Energy Inc.
3.90%, 05/15/27 (Call 02/15/27)(c)

    245        255,290  

4.38%, 06/01/24 (Call 03/01/24)(c)

    335        347,436  

EOG Resources Inc., 2.63%, 03/15/23 (Call 12/15/22)

    730        735,823  

Pioneer Natural Resources Co.,
2.15%, 01/15/31 (Call 10/15/30)

    375        345,900  
    

 

 

 
       3,276,166  
Packaging & Containers — 0.5%             

Amcor Finance USA Inc., 3.63%, 04/28/26 (Call 01/28/26)

    214        223,825  

Amcor Flexibles North America Inc.,
2.69%, 05/25/31
(Call 02/25/31)

    668        643,047  
    

 

 

 
       866,872  
Pharmaceuticals — 6.0%             

AbbVie Inc.
3.20%, 05/14/26 (Call 02/14/26)

    625        640,893  

3.25%, 10/01/22 (Call 07/01/22)

    780        785,195  

4.25%, 11/14/28 (Call 08/14/28)

    380        410,307  

4.50%, 05/14/35 (Call 11/14/34)

    387        430,061  

4.70%, 05/14/45 (Call 11/14/44)

    290        321,450  

AmerisourceBergen Corp., 2.70%, 03/15/31 (Call 12/15/30)

    845        814,049  
Security   Par
(000)
     Value  

 

 
Pharmaceuticals (continued)             

AstraZeneca PLC
4.00%, 09/18/42

  $ 55      $ 59,796  

6.45%, 09/15/37

        505        685,370  

Becton Dickinson and Co.
3.70%, 06/06/27 (Call 03/06/27)

    486        509,445  

3.73%, 12/15/24 (Call 09/15/24)

    494        510,760  

4.67%, 06/06/47 (Call 12/06/46)

    55        61,703  

Cigna Corp.
3.40%, 03/15/50 (Call 09/15/49)

    100        91,476  

4.38%, 10/15/28 (Call 07/15/28)

    810        877,931  

4.80%, 07/15/46 (Call 01/16/46)

    630        703,136  

CVS Health Corp.
3.25%, 08/15/29 (Call 05/15/29)

    515        523,920  

4.30%, 03/25/28 (Call 12/25/27)

    355        383,242  

4.78%, 03/25/38 (Call 09/25/37)

    744        831,987  

5.13%, 07/20/45 (Call 01/20/45)

    312        361,238  

Shire Acquisitions Investments Ireland DAC, 3.20%, 09/23/26
(Call 06/23/26)

    260        266,867  

Takeda Pharmaceutical Co. Ltd.,
5.00%, 11/26/28
(Call 08/26/28)

    235        264,898  

Zoetis Inc., 4.70%, 02/01/43 (Call 08/01/42)

    105        120,885  
    

 

 

 
       9,654,609  
Pipelines — 6.7%             

Boardwalk Pipelines LP
3.40%, 02/15/31 (Call 11/15/30)

    220        214,783  

3.60%, 09/01/32 (Call 12/15/46)

    205        202,818  

Columbia Pipeline Group Inc., 4.50%, 06/01/25 (Call 03/01/25)

    535        567,322  

Enbridge Inc.
2.50%, 01/15/25 (Call 12/15/24)

    102        102,119  

5.50%, 12/01/46 (Call 05/01/38)

    80        98,188  

Enterprise Products Operating LLC
3.35%, 03/15/23 (Call 12/15/22)

    850        860,640  

4.85%, 03/15/44 (Call 09/15/43)

    380        414,315  

5.10%, 02/15/45 (Call 08/15/44)

    300        335,532  

Kinder Morgan Inc.
4.30%, 03/01/28 (Call 12/01/27)

    650        692,622  

5.30%, 12/01/34 (Call 06/01/34)

    351        393,586  

5.55%, 06/01/45 (Call 12/01/44)

    421        483,147  

Magellan Midstream Partners LP,
3.95%, 03/01/50 (Call 09/01/49)

    330        311,672  

MPLX LP
4.50%, 04/15/38 (Call 10/15/37)

    760        782,082  

4.88%, 06/01/25 (Call 03/01/25)

    315        335,389  

5.20%, 03/01/47 (Call 09/01/46)

    275        302,884  

ONEOK Inc.
3.40%, 09/01/29 (Call 06/01/29)

    565        557,424  

4.55%, 07/15/28 (Call 04/15/28)

    575        612,427  

5.20%, 07/15/48 (Call 01/15/48)

    30        32,690  

Spectra Energy Partners LP, 4.75%, 03/15/24 (Call 12/15/23)

    779        814,236  

TransCanada PipeLines Ltd.
4.10%, 04/15/30 (Call 01/15/30)

    115        121,429  

4.63%, 03/01/34 (Call 12/01/33)(b)

    50        54,529  

4.88%, 01/15/26 (Call 10/15/25)

    500        540,651  

7.63%, 01/15/39(b)

    388        554,255  

Transcontinental Gas Pipe Line Co. LLC,
7.85%, 02/01/26 (Call 11/01/25)(b)

    190        223,912  

Williams Companies Inc. (The)
4.00%, 09/15/25 (Call 06/15/25)

    520        541,631  

5.10%, 09/15/45 (Call 03/15/45)

    50        55,123  

 

 

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

  19


Schedule of Investments  (continued)

February 28, 2022

  

iShares® Investment Grade Bond Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Pipelines (continued)            

6.30%, 04/15/40

  $ 502     $ 617,121  
   

 

 

 
          10,822,527  
Real Estate Investment Trusts — 6.6%            

American Homes 4 Rent LP, 4.25%, 02/15/28 (Call 11/15/27)

    85       89,769  

American Tower Corp.
2.70%, 04/15/31 (Call 01/15/31)

        130       122,249  

3.38%, 10/15/26 (Call 07/15/26)

    147       150,772  

3.80%, 08/15/29 (Call 05/15/29)

    208       214,766  

4.00%, 06/01/25 (Call 03/01/25)

    310       322,756  

5.00%, 02/15/24

    525       552,350  

CC Holdings GS V LLC/Crown Castle GS III Corp., 3.85%, 04/15/23

    590       602,546  

Crown Castle International Corp.
3.65%, 09/01/27 (Call 06/01/27)

    105       108,583  

3.70%, 06/15/26 (Call 03/15/26)

    120       123,881  

4.45%, 02/15/26 (Call 11/15/25)

    355       375,328  

Digital Realty Trust LP
3.70%, 08/15/27 (Call 05/15/27)(b)

    560       585,752  

4.45%, 07/15/28 (Call 04/15/28)

    231       248,761  

Equinix Inc.
2.15%, 07/15/30 (Call 04/15/30)

    345       312,825  

3.20%, 11/18/29 (Call 08/18/29)

    571       563,258  

3.40%, 02/15/52 (Call 08/15/51)

    205       184,471  

GLP Capital LP/GLP Financing II Inc.
3.25%, 01/15/32 (Call 10/15/31)

    20       18,773  

5.25%, 06/01/25 (Call 03/01/25)

    340       358,272  

5.30%, 01/15/29 (Call 10/15/28)

    555       603,356  

Healthcare Trust of America Holdings LP
2.00%, 03/15/31 (Call 12/15/30)

    570       516,722  

3.10%, 02/15/30 (Call 11/15/29)

    270       267,485  

3.75%, 07/01/27 (Call 04/01/27)

    125       131,366  

Healthpeak Properties Inc., 3.50%, 07/15/29 (Call 04/15/29)

    260       269,107  

Invitation Homes Operating Partnership LP
2.00%, 08/15/31 (Call 05/15/31)

    290       258,297  

2.30%, 11/15/28 (Call 09/15/28)

    250       236,161  

Mid-America Apartments LP, 3.60%, 06/01/27
(Call 03/01/27)(b)

    130       136,749  

Physicians Realty LP, 2.63%, 11/01/31 (Call 08/01/31)

    180       168,818  

Sun Communities Operating LP, 2.70%, 07/15/31 (Call 04/15/31)

    640       602,061  

Ventas Realty LP
2.50%, 09/01/31 (Call 06/01/31)

    220       207,690  

4.40%, 01/15/29 (Call 10/15/28)

    560       608,632  

Welltower Inc.
4.00%, 06/01/25 (Call 03/01/25)

    735       769,494  

4.25%, 04/15/28 (Call 01/15/28)

    291       313,111  

Weyerhaeuser Co., 4.00%, 11/15/29 (Call 08/15/29)

    435       464,424  

WP Carey Inc., 2.40%, 02/01/31 (Call 11/01/30)

    225       210,949  
   

 

 

 
      10,699,534  
Retail — 2.6%            

Best Buy Co. Inc., 4.45%, 10/01/28 (Call 07/01/28)

    115       123,834  

Darden Restaurants Inc., 3.85%, 05/01/27 (Call 02/01/27)(b)

    110       115,780  

Dick’s Sporting Goods Inc.
3.15%, 01/15/32 (Call 10/15/31)

    460       442,128  

4.10%, 01/15/52 (Call 07/15/51)

    455       398,186  

Dollar Tree Inc.
4.00%, 05/15/25 (Call 03/15/25)

    185       192,817  

4.20%, 05/15/28 (Call 02/15/28)

    690       736,661  
Security   Par
(000)
    Value  
Retail (continued)            

McDonald’s Corp.
4.70%, 12/09/35 (Call 06/09/35)

  $ 175     $ 198,170  

4.88%, 12/09/45 (Call 06/09/45)

    100       113,384  

O’Reilly Automotive Inc.
3.90%, 06/01/29 (Call 03/01/29)

    115       120,754  

4.35%, 06/01/28 (Call 03/01/28)

    95       102,465  

Ross Stores Inc., 4.60%, 04/15/25 (Call 03/15/25)

        245       261,369  

Starbucks Corp., 3.10%, 03/01/23 (Call 02/01/23)

    505       512,703  

Walgreens Boots Alliance Inc.
3.45%, 06/01/26 (Call 03/01/26)

    608       630,559  

4.80%, 11/18/44 (Call 05/18/44)

    310       338,880  
   

 

 

 
          4,287,690  
Semiconductors — 5.1%            

Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 (Call 10/15/26)

    296       308,195  

Broadcom Inc.
4.11%, 09/15/28 (Call 06/15/28)

    269       282,625  

4.70%, 04/15/25 (Call 03/15/25)

    215       228,830  

4.75%, 04/15/29 (Call 01/15/29)

    329       357,508  

5.00%, 04/15/30 (Call 01/15/30)

    700       772,921  

KLA Corp., 4.65%, 11/01/24 (Call 08/01/24)

    625       659,569  

Marvell Technology Inc.
2.45%, 04/15/28 (Call 02/15/28)

    565       544,818  

2.95%, 04/15/31 (Call 01/15/31)

    445       428,596  

Microchip Technology Inc.
4.25%, 09/01/25 (Call 09/01/22)

    385       395,120  

4.33%, 06/01/23 (Call 05/01/23)

    535       550,276  

Micron Technology Inc.
4.66%, 02/15/30 (Call 11/15/29)

    405       435,335  

4.98%, 02/06/26 (Call 12/06/25)

    93       99,875  

5.33%, 02/06/29 (Call 11/06/28)

    150       167,141  

NXP BV/NXP Funding LLC
4.88%, 03/01/24 (Call 02/01/24)(c)

    737       772,661  

5.35%, 03/01/26 (Call 01/01/26)(b)(c)

    220       241,078  

5.55%, 12/01/28 (Call 09/01/28)(c)

    55       62,517  

Qorvo Inc., 4.38%, 10/15/29 (Call 10/15/24)

    690       697,762  

Skyworks Solutions Inc.
0.90%, 06/01/23 (Call 06/01/22)

    200       197,289  

1.80%, 06/01/26 (Call 05/01/26)

    407       388,629  

3.00%, 06/01/31 (Call 03/01/31)

    170       157,819  

Xilinx Inc., 2.95%, 06/01/24 (Call 04/01/24)

    540       549,473  
   

 

 

 
      8,298,037  
Shipbuilding — 0.5%            

Huntington Ingalls Industries Inc. 2.04%, 08/16/28
(Call 06/16/28)(c)

    260       244,769  

3.48%, 12/01/27 (Call 09/01/27)(b)

    199       204,055  

3.84%, 05/01/25 (Call 04/01/25)

    176       182,398  

4.20%, 05/01/30 (Call 02/01/30)

    150       159,588  
   

 

 

 
      790,810  
Software — 3.5%            

Broadridge Financial Solutions Inc., 2.60%, 05/01/31
(Call 02/01/31)

    295       277,536  

Citrix Systems Inc., 4.50%, 12/01/27 (Call 09/01/27)

    580       600,237  

Fiserv Inc.
3.85%, 06/01/25 (Call 03/01/25)

    395       410,943  

4.20%, 10/01/28 (Call 07/01/28)

    635       676,602  

4.40%, 07/01/49 (Call 01/01/49)

    30       31,977  

Oracle Corp.
2.88%, 03/25/31 (Call 12/25/30)

    42       40,087  

 

 

20  

2 0 2 2   H A R E S    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  (continued)

February 28, 2022

  

iShares® Investment Grade Bond Factor ETF

(Percentages shown are based on Net Assets)

 

Security  

    
Par

(000)

    Value  
Software (continued)            

3.40%, 07/08/24 (Call 04/08/24)

  $ 400     $ 409,205  

4.38%, 05/15/55 (Call 11/15/54)

    30       28,450  

5.38%, 07/15/40

        1,460       1,606,728  

Roper Technologies Inc., 4.20%, 09/15/28 (Call 06/15/28)

    520       553,932  

VMware Inc.
3.90%, 08/21/27 (Call 05/21/27)

    806       841,981  

4.50%, 05/15/25 (Call 04/15/25)

    160       169,381  
   

 

 

 
      5,647,059  
Telecommunications — 6.8%            

AT&T Inc.
2.55%, 12/01/33 (Call 09/01/33)

    153       141,911  

3.40%, 05/15/25 (Call 02/15/25)

    85       87,856  

3.50%, 06/01/41 (Call 12/01/40)

    20       19,017  

3.50%, 02/01/61 (Call 08/01/60)

    20       17,618  

3.65%, 09/15/59 (Call 03/15/59)

    318       288,480  

4.13%, 02/17/26 (Call 11/17/25)

    135       143,799  

4.25%, 03/01/27 (Call 12/01/26)

    655       705,384  

4.35%, 03/01/29 (Call 12/01/28)

    210       228,248  

4.85%, 03/01/39 (Call 09/01/38)

    695       767,329  

5.25%, 03/01/37 (Call 09/01/36)

    190       223,287  

5.65%, 02/15/47 (Call 08/15/46)

    435       535,419  

Corning Inc., 5.45%, 11/15/79 (Call 07/15/28)

    470       542,312  

Deutsche Telekom International Finance BV, 8.75%, 06/15/30

    565       782,015  

Juniper Networks Inc., 3.75%, 08/15/29 (Call 05/15/29)(b)

    190       195,717  

Motorola Solutions Inc. 2.30%, 11/15/30 (Call 08/15/30)

    175       159,489  

4.60%, 02/23/28 (Call 11/23/27)

    135       146,313  

4.60%, 05/23/29 (Call 02/23/29)

    585       631,279  

Orange SA, 9.00%, 03/01/31

    233       333,742  

Telefonica Emisiones SA, 7.05%, 06/20/36(b)

    610       792,505  

T-Mobile USA Inc.
2.55%, 02/15/31 (Call 11/15/30)

    100       93,729  

3.00%, 02/15/41 (Call 08/15/40)

    240       207,994  

3.60%, 11/15/60 (Call 05/15/60)(c)

    20       17,494  

3.75%, 04/15/27 (Call 02/15/27)

    615       638,554  

3.88%, 04/15/30 (Call 01/15/30)

    567       586,330  

4.50%, 04/15/50 (Call 10/15/49)

    160       166,810  

Verizon Communications Inc.
4.27%, 01/15/36

    710       773,582  

4.40%, 11/01/34 (Call 05/01/34)

    278       306,481  

4.50%, 08/10/33

    127       141,118  

5.25%, 03/16/37

    85       101,275  

Vodafone Group PLC
5.00%, 05/30/38

    445       505,117  

6.15%, 02/27/37

    610       748,836  
   

 

 

 
          11,029,040  
Toys, Games & Hobbies — 0.6%            

Hasbro Inc.
3.55%, 11/19/26 (Call 09/19/26)

    380       392,321  

3.90%, 11/19/29 (Call 08/19/29)

    585       612,271  
   

 

 

 
      1,004,592  
Security   Par/
Shares
(000)
    Value  
Transportation — 1.9%            

Canadian Pacific Railway Co., 6.13%, 09/15/2115
(Call 03/15/2115)

  $ 318     $ 414,373  

CH Robinson Worldwide Inc., 4.20%, 04/15/28
(Call 01/15/28)

    120       130,043  

FedEx Corp.
4.40%, 01/15/47 (Call 07/15/46)

    460       485,928  

4.55%, 04/01/46 (Call 10/01/45)

    520       566,108  

5.25%, 05/15/50 (Call 11/15/49)

    20       23,986  

Norfolk Southern Corp., 4.10%, 05/15/2121
(Call 11/15/2120)

    255       244,831  

Union Pacific Corp., 3.75%, 02/05/70 (Call 08/05/69)

    595       592,657  

United Parcel Service Inc., 6.20%, 01/15/38

    490       663,459  
   

 

 

 
      3,121,385  
   

 

 

 

Total Corporate Bonds & Notes — 96.8%
(Cost: $162,315,445)

          156,912,504  
   

 

 

 

Short-Term Investments

   
Money Market Funds — 3.6%            

BlackRock Cash Funds: Institutional, SL Agency Shares, 0.09%(d)(e)(f)

        3,424       3,424,264  

BlackRock Cash Funds: Treasury, SL Agency Shares, 0.03%(d)(e)

    2,373       2,373,000  
   

 

 

 
      5,797,264  
   

 

 

 

Total Short-Term Investments — 3.6%
(Cost: $5,795,883)

      5,797,264  
   

 

 

 

Total Investments in Securities — 100.4% (Cost: $168,111,328)

      162,709,768  

Other Assets, Less Liabilities — (0.4)%

      (700,361
   

 

 

 

Net Assets — 100.0%

    $ 162,009,407  
   

 

 

 

 

(a) 

Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

(b) 

All or a portion of this security is on loan.

(c) 

Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

(d) 

Affiliate of the Fund.

(e) 

Annualized 7-day yield as of period end.

(f) 

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

 

 

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

  21


Schedule of Investments  (continued)

February 28, 2022

  

iShares® Investment Grade Bond Factor ETF

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended February 28, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer   Value at
02/28/21
    Purchases
at Cost
    Proceeds
from Sales
    Net Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
02/28/22
    Shares
Held at
02/28/22
(000)
    Income     Capital Gain
Distributions from
Underlying Funds
 

 

 

BlackRock Cash Funds: Institutional, SL Agency Shares

  $ 4,403,085     $     $ (977,201 )(a)    $ (517   $ (1,103   $ 3,424,264       3,424     $ 7,825 (b)    $  

BlackRock Cash Funds: Treasury, SL Agency Shares

    903,000       1,470,000 (a)                        2,373,000       2,373       207        
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ (517   $ (1,103   $ 5,797,264       $ 8,032     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

(a) 

Represents net amount purchased (sold).

(b) 

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

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

                 

Corporate Bonds & Notes

   $        $ 156,912,504        $        $ 156,912,504  

Money Market Funds

     5,797,264                            5,797,264  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 5,797,264        $ 156,912,504        $        $ 162,709,768  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

22  

2 0 2 2   H A R E S    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

February 28, 2022

  

iShares® USD Bond Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  

Collaterized Mortgage Obligations

 

Mortgage-Backed Securities — 1.3%  

BANK, Series 2017, Class A5, 3.44%, 09/15/60 (Call 09/15/27)

  $     40     $ 41,350  

Commission Mortgage Trust, 2.87%, 08/15/57 (Call 05/15/29)

    50       50,804  

Freddie Mac Multifamily Structured Pass Through Certificates, Series K123, Class A2,
1.62%, 12/25/30 (Call 12/25/30)

    46       44,130  

GS Mortgage Securities Trust, 2.91%, 02/13/53
(Call 12/13/29)

    75       74,708  

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A4, 3.72%, 07/15/50
(Call 06/15/25)

    25       25,814  

Wells Fargo Commercial Mortgage Trust,
3.79%, 12/15/49 (Call 11/15/26)

    10       10,470  
   

 

 

 
      247,276  
   

 

 

 

Total Collaterized Mortgage Obligations — 1.3%
(Cost: $259,866)

          247,276  
   

 

 

 

Corporate Bonds & Notes

 

Advertising — 0.2%  

Advantage Sales & Marketing Inc., 6.50%, 11/15/28
(Call 11/15/23)(a)

    3       3,021  

Omnicom Group Inc./Omnicom Capital Inc.,
3.60%, 04/15/26 (Call 01/15/26)

    37       38,647  
   

 

 

 
      41,668  
Aerospace & Defense — 1.9%  

Boeing Co. (The)
2.20%, 02/04/26 (Call 02/04/23)

    40       39,028  

4.88%, 05/01/25 (Call 04/01/25)

    35       37,208  

5.04%, 05/01/27 (Call 03/01/27)

    45       48,886  

5.15%, 05/01/30 (Call 02/01/30)

    10       11,045  

5.93%, 05/01/60 (Call 11/01/59)

    5       5,937  

Bombardier Inc., 7.88%, 04/15/27 (Call 04/15/22)(a)

    5       5,070  

L3Harris Technologies Inc., 4.40%, 06/15/28
(Call 03/15/28)

    55       59,336  

Northrop Grumman Corp.
2.93%, 01/15/25 (Call 11/15/24)

    20       20,381  

3.25%, 01/15/28 (Call 10/15/27)

    45       45,975  

Raytheon Technologies Corp.
4.13%, 11/16/28 (Call 08/16/28)

    60       64,830  

4.88%, 10/15/40

    5       5,768  

Spirit AeroSystems Inc., 7.50%, 04/15/25
(Call 04/15/22)(a)

    5       5,195  

Teledyne Technologies Inc., 2.25%, 04/01/28
(Call 02/01/28)

    15       14,568  

TransDigm Inc., 6.25%, 03/15/26 (Call 03/31/22)(a)

    5       5,144  
   

 

 

 
      368,371  
Agriculture — 1.0%  

Altria Group Inc.
3.40%, 05/06/30 (Call 02/06/30)

    15       14,766  

5.80%, 02/14/39 (Call 08/14/38)

    25       27,407  

BAT Capital Corp.
3.56%, 08/15/27 (Call 05/15/27)

    80       80,514  

4.91%, 04/02/30 (Call 01/02/30)

    20       21,354  

Bunge Ltd. Finance Corp., 2.75%, 05/14/31
(Call 02/14/31)

    20       19,035  

Philip Morris International Inc., 6.38%, 05/16/38

    15       19,367  

Reynolds American Inc., 5.85%, 08/15/45
(Call 02/15/45)

    5       5,410  

Vector Group Ltd.
5.75%, 02/01/29 (Call 02/01/24)(a)

    2       1,845  

10.50%, 11/01/26 (Call 03/31/22)(a)

    2       2,053  
   

 

 

 
      191,751  
Airlines — 0.1%            

Air Canada, 3.88%, 08/15/26 (Call 02/15/26)(a)

    5       4,855  

American Airlines Group Inc., 3.75%, 03/01/25(a)

    3       2,794  
Security   Par
(000)
    Value  
Airlines (continued)            

American Airlines Inc., 11.75%, 07/15/25(a)

  $ 3     $ 3,638  

Delta Air Lines Inc., 7.38%, 01/15/26 (Call 12/15/25)

    5       5,612  

United Airlines Inc., 4.63%, 04/15/29 (Call 10/15/28)(a)

    2       1,951  
   

 

 

 
      18,850  
Auto Manufacturers — 0.1%  

Allison Transmission Inc., 5.88%, 06/01/29
(Call 06/01/24)(a)

    2       2,098  

Ford Motor Co., 5.29%, 12/08/46 (Call 06/08/46)

    2       2,050  

Jaguar Land Rover Automotive PLC, 4.50%, 10/01/27
(Call 07/01/27)(a)

    10       9,200  
   

 

 

 
      13,348  
Auto Parts & Equipment — 0.0%  

Lear Corp., 3.80%, 09/15/27 (Call 06/15/27)

    9       9,370  
   

 

 

 
Banks — 3.9%  

Bank of America Corp., Series L, 3.95%, 04/21/25

    90       93,330  

Bank of Nova Scotia (The), 0.65%, 07/31/24

    40       38,596  

Canadian Imperial Bank of Commerce,
1.25%, 06/22/26

    25       23,628  

Citigroup Inc.
3.40%, 05/01/26

    50       51,452  

4.40%, 06/10/25

    40       41,967  

8.13%, 07/15/39

    5       7,822  

Citizens Financial Group Inc., 3.25%, 04/30/30
(Call 01/30/30)

    35       35,435  

Fifth Third Bancorp., 2.38%, 01/28/25 (Call 12/28/24)

    20       20,028  

HSBC Holdings PLC, 4.30%, 03/08/26

        200       211,403  

Intesa Sanpaolo SpA, 5.71%, 01/15/26(a)

    10       10,541  

Morgan Stanley
3.13%, 07/27/26

    15       15,290  

3.63%, 01/20/27

    40       41,670  

4.00%, 07/23/25

    35       36,657  

SVB Financial Group, 2.10%, 05/15/28 (Call 03/15/28)

    10       9,576  

Wells Fargo & Co.
3.00%, 02/19/25

    55       56,051  

4.15%, 01/24/29 (Call 10/24/28)

    45       47,985  
   

 

 

 
          741,431  
Beverages — 1.2%  

Anheuser-Busch InBev Worldwide Inc.
4.00%, 04/13/28 (Call 01/13/28)

    55       58,577  

4.75%, 01/23/29 (Call 10/23/28)

    50       55,503  

5.45%, 01/23/39 (Call 07/23/38)

    5       5,957  

Constellation Brands Inc., 3.15%, 08/01/29
(Call 05/01/29)

    30       30,015  

Keurig Dr Pepper Inc.
4.42%, 05/25/25 (Call 03/25/25)

    25       26,467  

4.60%, 05/25/28 (Call 02/25/28)

    45       49,100  
   

 

 

 
      225,619  
Biotechnology — 0.8%  

Amgen Inc., 4.40%, 05/01/45 (Call 11/01/44)

    5       5,312  

Gilead Sciences Inc.
3.65%, 03/01/26 (Call 12/01/25)

    70       72,994  

4.80%, 04/01/44 (Call 10/01/43)

    5       5,678  

Regeneron Pharmaceuticals Inc., 1.75%, 09/15/30
(Call 06/15/30)

    15       13,398  

Royalty Pharma PLC
1.20%, 09/02/25 (Call 08/02/25)

    40       37,986  

1.75%, 09/02/27 (Call 07/02/27)

    20       18,761  

3.35%, 09/02/51 (Call 03/02/51)

    5       4,189  
   

 

 

 
      158,318  
Building Materials — 0.7%  

Builders FirstSource Inc., 6.75%, 06/01/27
(Call 06/01/22)(a)

    4       4,157  

 

 

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

  23


Schedule of Investments  (continued)

February 28, 2022

  

iShares® USD Bond Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Par
(000)
    Value  
Building Materials (continued)  

Carrier Global Corp.
2.24%, 02/15/25 (Call 01/15/25)

  $     50     $ 49,859  

2.49%, 02/15/27 (Call 12/15/26)

    25       24,870  

2.72%, 02/15/30 (Call 11/15/29)

    10       9,725  

Eagle Materials Inc., 2.50%, 07/01/31 (Call 04/01/31)

    5       4,672  

Masco Corp., 1.50%, 02/15/28 (Call 12/15/27)

    15       13,716  

Vulcan Materials Co., 3.50%, 06/01/30 (Call 03/01/30)

    30       31,016  
   

 

 

 
          138,015  
Chemicals — 0.8%  

CVR Partners LP/CVR Nitrogen Finance Corp.,
6.13%, 06/15/28 (Call 06/15/24)(a)

    3       3,019  

DuPont de Nemours Inc.
4.49%, 11/15/25 (Call 09/15/25)

    40       42,611  

4.73%, 11/15/28 (Call 08/15/28)

    20       22,131  

Huntsman International LLC, 4.50%, 05/01/29
(Call 02/01/29)

    40       42,474  

LYB International Finance BV, 4.88%, 03/15/44
(Call 09/15/43)

    5       5,496  

LYB International Finance III LLC, 1.25%, 10/01/25
(Call 09/01/25)

    5       4,776  

Nutrien Ltd., 4.20%, 04/01/29 (Call 01/01/29)

    30       32,407  

Rain CII Carbon LLC/CII Carbon Corp.,
7.25%, 04/01/25 (Call 03/31/22)(a)

    3       3,003  

Trinseo Materials Operating SCA/Trinseo Materials Finance Inc.
5.13%, 04/01/29 (Call 04/01/24)(a)

    2       1,895  

5.38%, 09/01/25 (Call 03/31/22)(a)

    5       5,040  
   

 

 

 
      162,852  
Commercial Services — 0.8%            

ADT Security Corp. (The), 4.13%, 08/01/29
(Call 08/01/28)(a)

    5       4,714  

Adtalem Global Education Inc., 5.50%, 03/01/28

   

(Call 03/01/24)(a)

    2       1,789  

APX Group Inc., 6.75%, 02/15/27 (Call 02/15/23)(a)

    2       2,054  

Deluxe Corp., 8.00%, 06/01/29 (Call 06/01/24)(a)

    3       3,075  

Global Payments Inc.
1.20%, 03/01/26 (Call 02/01/26)

    55       51,914  

3.20%, 08/15/29 (Call 05/15/29)

    10       9,871  

Nielsen Finance LLC/Nielsen Finance Co.
4.75%, 07/15/31 (Call 07/15/26)(a)

    2       1,780  

5.88%, 10/01/30 (Call 10/01/25)(a)

    3       2,905  

Prime Security Services Borrower LLC/Prime Finance Inc., 5.75%, 04/15/26(a)

    5       5,138  

PROG Holdings Inc., 6.00%, 11/15/29
(Call 11/15/24)(a)

    2       1,920  

Quanta Services Inc., 2.90%, 10/01/30 (Call 07/01/30)

    30       28,767  

RELX Capital Inc., 4.00%, 03/18/29 (Call 12/18/28)

    30       31,948  

Sabre GLBL Inc., 7.38%, 09/01/25 (Call 09/01/22)(a)

    5       5,182  

United Rentals North America Inc., 4.88%, 01/15/28

   

(Call 01/15/23)

    2       2,041  
   

 

 

 
      153,098  
Computers — 0.7%            

CGI Inc., 1.45%, 09/14/26 (Call 08/14/26)(a)

    15       14,268  

Conduent Business Services LLC/Conduent State & Local Solutions Inc., 6.00%, 11/01/29
(Call 11/01/24)(a)

    3       2,858  

HP Inc.
2.20%, 06/17/25 (Call 05/17/25)

    35       34,773  

3.40%, 06/17/30 (Call 03/17/30)

    20       20,195  

6.00%, 09/15/41

    5       5,973  

Leidos Inc.
2.30%, 02/15/31 (Call 11/15/30)

    15       13,509  

3.63%, 05/15/25 (Call 04/15/25)

    10       10,283  

4.38%, 05/15/30 (Call 02/15/30)

    20       21,234  

Teledyne FLIR LLC, 2.50%, 08/01/30 (Call 05/01/30)

    5       4,698  
Security   Par
(000)
    Value  
Computers (continued)            

Unisys Corp., 6.88%, 11/01/27 (Call 11/01/23)(a)

  $ 3     $ 3,157  
   

 

 

 
          130,948  
Cosmetics & Personal Care — 0.0%            

Coty Inc., 5.00%, 04/15/26 (Call 04/15/23)(a)

    2       2,012  
   

 

 

 
Diversified Financial Services — 1.2%            

Capital One Financial Corp.
3.75%, 03/09/27 (Call 02/09/27)

        30       31,332  

3.80%, 01/31/28 (Call 12/31/27)

    30       31,237  

4.25%, 04/30/25 (Call 03/31/25)

    20       21,040  

Curo Group Holdings Corp., 7.50%, 08/01/28 (Call 08/01/24)(a)

    4       3,550  

Discover Financial Services, 4.10%, 02/09/27
(Call 11/09/26)

    65       68,171  

goeasy Ltd., 5.38%, 12/01/24 (Call 03/31/22)(a)

    2       2,010  

Nationstar Mortgage Holdings Inc.
5.13%, 12/15/30 (Call 12/15/25)(a)

    3       2,813  

5.75%, 11/15/31 (Call 11/15/26)(a)

    2       1,935  

OneMain Finance Corp., 7.13%, 03/15/26

    6       6,504  

PennyMac Financial Services Inc., 5.75%, 09/15/31 (Call 09/15/26)(a)

    2       1,885  

Raymond James Financial Inc., 3.75%, 04/01/51 (Call 10/01/50)

    10       9,910  

Synchrony Financial, 3.95%, 12/01/27 (Call 09/01/27)

    40       41,206  
   

 

 

 
      221,593  
Electric — 4.0%            

Ameren Corp., 3.50%, 01/15/31 (Call 10/15/30)

    40       41,113  

Avangrid Inc.
3.20%, 04/15/25 (Call 03/15/25)

    35       35,780  

3.80%, 06/01/29 (Call 03/01/29)

    20       20,904  

Commonwealth Edison Co., 3.00%, 03/01/50
(Call 09/01/49)

    5       4,551  

Connecticut Light & Power Co. (The), 4.00%, 04/01/48 (Call 10/01/47)

    5       5,368  

Consolidated Edison Co. of New York Inc.,
3.60%, 06/15/61 (Call 12/15/60)

    5       4,649  

Dominion Energy Inc.

   

Series A, 1.45%, 04/15/26 (Call 03/15/26)

    15       14,437  

Series C, 3.38%, 04/01/30 (Call 01/01/30)

    35       35,664  

DTE Energy Co., Series F, 1.05%, 06/01/25
(Call 05/01/25)

    70       66,868  

Duke Energy Corp.
2.45%, 06/01/30 (Call 03/01/30)

    50       47,508  

3.15%, 08/15/27 (Call 05/15/27)

    15       15,311  

Duke Energy Indiana LLC, 2.75%, 04/01/50
(Call 10/01/49)

    15       12,736  

Emera U.S. Finance LP
3.55%, 06/15/26 (Call 03/15/26)

    10       10,284  

4.75%, 06/15/46 (Call 12/15/45)

    10       10,554  

Entergy Corp.
0.90%, 09/15/25 (Call 08/15/25)

    30       28,399  

1.90%, 06/15/28 (Call 04/15/28)

    20       18,762  

Evergy Inc., 2.90%, 09/15/29 (Call 06/15/29)

    20       19,834  

Evergy Kansas Central Inc., 3.45%, 04/15/50
(Call 10/15/49)

    5       4,798  

Exelon Corp., 4.05%, 04/15/30 (Call 01/15/30)

    40       42,446  

FirstEnergy Corp., Series C, 3.40%, 03/01/50
(Call 09/01/49)

    3       2,575