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AUGUST 31, 2023 |
2023 Semi-Annual Report (Unaudited) |
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
Dear Shareholder,
Despite an uncertain economic landscape during the 12-month reporting period ended August 31, 2023, the resilience of the U.S. economy in the face of ever tighter financial conditions provided an encouraging backdrop for investors. While inflation was near multi-decade highs at the beginning of the period, it declined precipitously as commodity prices dropped. Labor shortages also moderated, although wages continued to grow and unemployment rates reached the lowest levels in decades. This robust labor market powered further growth in consumer spending, backstopping the economy.
Equity returns were solid, as the durability of consumer sentiment eased investors’ concerns about the economy’s trajectory. The U.S. economy resumed growth in the third quarter of 2022 and continued to expand thereafter. Most major classes of equities rose, as large-capitalization U.S. stocks and developed market equities advanced strongly. However, small-capitalization U.S. stocks and emerging market equities posted more modest gains.
The 10-year U.S. Treasury yield rose during the reporting period, driving its price down, as investors reacted to elevated inflation and attempted to anticipate future interest rate changes. The corporate bond market also faced inflationary headwinds, although high-yield corporate bond prices fared significantly better than investment-grade bonds as demand from yield-seeking investors remained strong.
The U.S. Federal Reserve (the “Fed”), acknowledging that inflation has been more persistent than expected, raised interest rates seven times during the 12-month period. Furthermore, the Fed wound down its bond-buying programs and incrementally reduced its balance sheet by not replacing securities that reach maturity. However, the Fed declined to raise interest rates at its June 2023 meeting, the first time it paused its tightening in the current cycle, before again raising rates in July 2023.
Supply constraints appear to have become an embedded feature of the new macroeconomic environ-ment, making it difficult for developed economies to increase production without sparking higher inflation. Geopolitical fragmentation and an aging population risk further exacerbating these constraints, keeping the labor market tight and wage growth high. Although the Fed has decelerated the pace of interest rate hikes and recently opted for two pauses, we believe that the new economic regime means that the Fed will need to maintain high rates for an extended period to keep inflation under control. Furthermore, ongoing structural changes may mean that the Fed will be hesitant to cut interest rates in the event of faltering economic activity lest inflation accelerate again. We believe investors should expect a period of higher volatility as markets adjust to the new economic reality and policymakers attempt to adapt.
While we favor an overweight position to developed market equities in the long term, we prefer an underweight stance in the near term. Expectations for corporate earnings remain elevated, which seems inconsistent with macroeconomic constraints. Nevertheless, we are overweight on emerging market stocks in the near term as growth trends for emerging markets appear brighter. We also believe that stocks with an AI tilt should benefit from an investment cycle that is set to support revenues and margins. In credit, there are selective opportunities in the near term despite tightening credit and financial conditions. For fixed income investing with a six- to twelve-month horizon, we see the most attractive investments in short-term U.S. Treasuries, U.S. inflation-linked bonds, U.S. mortgage-backed securities, and hard-currency emerging market bonds.
Overall, our view is that investors need to think globally, position themselves to be prepared for a decarbonizing economy, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit iShares.com for further insight about investing in today’s markets.
Rob Kapito
President, BlackRock, Inc.
Rob Kapito
President, BlackRock, Inc.
Total Returns as of August 31, 2023 | ||||||||
6-Month | 12-Month | |||||||
U.S. large cap equities (S&P 500® Index) |
14.50% | 15.94% | ||||||
U.S. small cap equities (Russell 2000® Index) |
0.99 | 4.65 | ||||||
International equities (MSCI Europe, Australasia, Far East Index) |
4.75 | 17.92 | ||||||
Emerging market equities (MSCI Emerging Markets Index) |
3.62 | 1.25 | ||||||
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index) |
2.47 | 4.25 | ||||||
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index) |
0.11 | (4.71) | ||||||
U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index) |
0.95 | (1.19) | ||||||
Tax-exempt municipal bonds (Bloomberg Municipal Bond Index) |
1.04 | 1.70 | ||||||
U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) |
4.55 | 7.19 | ||||||
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
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T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T |
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Financial Statements |
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Fund Summary as of August 31, 2023 | 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
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Average Annual Total Returns | Cumulative Total Returns | ||||||||||||||||||||||||||||||
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6-Month Total Returns |
1 Year | 5 Years | Since Inception |
1 Year | 5 Years | Since Inception |
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Fund NAV |
5.24 | % | 7.37 | % | 3.99 | % | 4.09% | 7.37 | % | 21.60 | % | 27.94 | % | |||||||||||||||||||
Fund Market |
5.45 | 8.07 | 3.90 | 4.12 | 8.07 | 21.07 | 28.11 | |||||||||||||||||||||||||
Index |
5.46 | 7.72 | 4.36 | 4.40 | 7.72 | 23.81 | 30.28 |
The inception date of the Fund was July 11, 2017. The first day of secondary market trading was July 13, 2017.
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 not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
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Beginning Account Value |
Ending Account Value |
Expenses Paid During |
Beginning Account Value |
Ending Account Value |
Expenses Paid During |
Annualized Expense |
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(03/01/23) | (08/31/23) | the Period | (a) | (03/01/23) | (08/31/23) | the Period | (a) | Ratio | ||||||||||||||||||||||
$ 1,000.00 | $ 1,052.40 | $ 1.81 | $ 1,000.00 | $ 1,023.40 | $ 1.78 | 0.35 | % |
(a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. |
Portfolio Information
CREDIT QUALITY ALLOCATION |
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Percent of | ||||
Moody’s Credit Rating* | Total Investments | (a) | ||
Baa |
1.1 | % | ||
Ba |
40.4 | |||
B |
46.5 | |||
Caa |
5.7 | |||
Ca |
1.4 | |||
Not Rated |
4.9 |
MATURITY ALLOCATION |
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Percent of | ||||
Maturity | Total Investments | (a) | ||
1-5 Years |
54.5 | % | ||
5-10 Years |
41.9 | |||
10-15 Years |
1.9 | |||
15-20 Years |
0.2 | |||
More than 20 Years |
1.5 |
* |
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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2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Fund Summary as of August 31, 2023 | 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
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Average Annual Total Returns | Cumulative Total Returns | ||||||||||||||||||||||||||||||
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6-Month Total Returns |
1 Year | 5 Years | Since Inception |
1 Year | 5 Years | Since Inception |
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Fund NAV |
2.46 | % | 2.20 | % | 2.25 | % | 1.84% | 2.20 | % | 11.79 | % | 11.88 | % | |||||||||||||||||||
Fund Market |
2.45 | 2.50 | 2.18 | 1.86 | 2.50 | 11.40 | 11.97 | |||||||||||||||||||||||||
Index |
2.55 | 2.44 | 2.42 | 2.01 | 2.44 | 12.71 | 12.97 |
The inception date of the Fund was July 11, 2017. The first day of secondary market trading was July 13, 2017.
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 not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
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Beginning Account Value |
Ending Account Value |
Expenses Paid During |
Beginning Account Value |
Ending Account Value |
Expenses Paid During |
Annualized Expense |
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(03/01/23) | (08/31/23) | the Period | (a) | (03/01/23) | (08/31/23) | the Period | (a) | Ratio | ||||||||||||||||||||||
$ 1,000.00 | $ 1,024.60 | $ 0.92 | $ 1,000.00 | $ 1,024.20 | $ 0.92 | 0.18 | % |
(a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. |
Portfolio Information
CREDIT QUALITY ALLOCATION |
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Percent of | ||||
Moody’s Credit Rating* | Total Investments | (a) | ||
Aaa |
0.7 | % | ||
Aa |
3.0 | |||
A |
20.1 | |||
Baa |
69.6 | |||
Ba |
6.0 | |||
Not Rated |
0.6 |
MATURITY ALLOCATION |
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Percent of | ||||
Maturity | Total Investments | (a) | ||
1-5 Years |
17.2 | % | ||
5-10 Years |
56.9 | |||
10-15 Years |
6.5 | |||
15-20 Years |
4.3 | |||
More than 20 Years |
15.1 |
* |
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. |
F U N D S U M M A R Y |
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Fund Summary as of August 31, 2023 | 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
Average Annual Total Returns | Cumulative Total Returns | |||||||||||||||||||||
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6-Month Total Returns |
1 Year |
Since Inception |
1 Year | Since Inception |
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Fund NAV |
1.12 | % | (0.69 | )% | (6.80)% | (0.69 | )% | (12.45 | )% | |||||||||||||
Fund Market |
1.15 | (0.60 | ) | (6.74) | (0.60 | ) | (12.34 | ) | ||||||||||||||
Index |
1.25 | (0.45 | ) | (6.63) | (0.45 | ) | (12.13 | ) |
The inception date of the Fund was October 12, 2021. The first day of secondary market trading was October 14, 2021.
Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
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Beginning Account Value |
Ending Account Value |
Expenses Paid During |
Beginning Account Value |
Ending Account Value |
Expenses Paid During |
Annualized Expense |
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(03/01/23) | (08/31/23) | the Period | (a) | (03/01/23) | (08/31/23) | the Period | (a) | Ratio | ||||||||||||||||||||||
$ 1,000.00 | $ 1,011.20 | $ 0.86 | $ 1,000.00 | $ 1,024.30 | $ 0.87 | 0.17 | % |
(a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. |
Portfolio Information
CREDIT QUALITY ALLOCATION |
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Percent of | ||||
Moody’s Credit Rating* | Total Investments | (a) | ||
Aaa |
26.4 | % | ||
Aa |
15.3 | |||
A |
16.9 | |||
Baa |
30.2 | |||
Ba |
3.2 | |||
B |
1.9 | |||
Caa |
0.2 | |||
Not Rated |
5.9 |
MATURITY ALLOCATION |
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Percent of | ||||
Maturity | Total Investments | (a) | ||
0-1 Year |
0.8 | % | ||
1-5 Years |
30.0 | |||
5-10 Years |
23.8 | |||
10-15 Years |
3.9 | |||
15-20 Years |
5.6 | |||
More than 20 Years |
35.9 |
* |
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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2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
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.
Shareholders of each Fund may incur the following charges: (1) transactional expenses, including brokerage commissions on purchases and sales of fund shares and (2) ongoing expenses, including management fees and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other funds.
The expense examples provide information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number under the heading entitled “Expenses Paid During the Period.”
The expense examples also provide information about hypothetical account values and hypothetical expenses based on a fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as brokerage commissions and other fees paid on purchases and sales of fund shares. Therefore, the hypothetical examples are useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
A B O U T F U N D P E R F O R M A N C E / D I S C L O S U R E O F E X P E N S E S |
7 |
Schedule of Investments (unaudited) August 31, 2023 |
iShares® High Yield Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Corporate Bonds & Notes |
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Advertising — 0.6% | ||||||||
Advantage Sales & Marketing Inc., 6.50%, 11/15/28 (Call 11/15/23)(a) |
$ | 1,285 | $ | 1,120,212 | ||||
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Aerospace & Defense — 1.9% | ||||||||
Rolls-Royce PLC |
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3.63%, 10/14/25 (Call 07/14/25)(a) |
275 | 257,813 | ||||||
5.75%, 10/15/27 (Call 07/15/27)(a) |
1,465 | 1,422,244 | ||||||
Spirit AeroSystems Inc. |
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7.50%, 04/15/25 (Call 10/02/23)(a) |
1,375 | 1,357,960 | ||||||
9.38%, 11/30/29 (Call 11/30/25)(a) |
430 | 448,109 | ||||||
TransDigm
UK Holdings PLC, 6.88%, 05/15/26 |
225 | 228,824 | ||||||
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3,714,950 | ||||||||
Agriculture — 0.7% | ||||||||
Vector
Group Ltd., 5.75%, 02/01/29 |
1,475 | 1,284,051 | ||||||
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Airlines — 2.1% | ||||||||
Air Canada, 3.88%, 08/15/26 (Call 02/15/26)(a) |
1,555 | 1,435,920 | ||||||
American Airlines Inc., 11.75%, 07/15/25(a) |
1,155 | 1,264,198 | ||||||
Delta Air Lines Inc. |
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4.38%, 04/19/28 (Call 01/19/28)(b) |
575 | 543,087 | ||||||
7.38%, 01/15/26 (Call 12/15/25)(b) |
950 | 977,405 | ||||||
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4,220,610 | ||||||||
Auto Manufacturers — 3.2% | ||||||||
Allison
Transmission Inc., 5.88%, 06/01/29 |
386 | 372,809 | ||||||
Aston
Martin Capital Holdings Ltd., 10.50%, |
682 | 692,672 | ||||||
Ford Motor Co. |
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5.29%, 12/08/46 (Call 06/08/46)(b) |
715 | 561,463 | ||||||
7.45%, 07/16/31(b) |
45 | 47,441 | ||||||
9.63%, 04/22/30 (Call 01/22/30) |
270 | 312,270 | ||||||
Ford Motor Credit Co. LLC |
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4.13%, 08/04/25 |
1,510 | 1,438,163 | ||||||
5.13%, 06/16/25 (Call 05/16/25) |
1,145 | 1,114,671 | ||||||
Jaguar Land Rover Automotive PLC |
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4.50%, 10/01/27 (Call 07/01/27)(a) |
800 | 698,007 | ||||||
5.50%, 07/15/29 (Call 07/15/24)(a) |
690 | 599,528 | ||||||
5.88%, 01/15/28 (Call 01/15/24)(a) |
325 | 299,335 | ||||||
7.75%, 10/15/25 (Call 10/02/23)(a) |
175 | 175,619 | ||||||
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6,311,978 | ||||||||
Banks — 0.8% | ||||||||
Intesa Sanpaolo SpA |
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4.20%,
06/01/32 (Call 06/01/31), |
100 | 76,210 | ||||||
4.95%,
06/01/42 (Call 06/01/41), |
700 | 466,492 | ||||||
5.71%, 01/15/26(a)(b) |
1,065 | 1,023,690 | ||||||
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1,566,392 | ||||||||
Building Materials — 0.5% | ||||||||
Builders
FirstSource Inc., 6.38%, 06/15/32 |
1,040 | 1,013,933 | ||||||
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Chemicals — 2.7% | ||||||||
Avient Corp., 5.75%, 05/15/25 (Call 10/02/23)(a) |
65 | 64,135 | ||||||
CVR
Partners LP/CVR Nitrogen Finance Corp., |
895 | 801,267 | ||||||
EverArc
Escrow Sarl, 5.00%, 10/30/29 |
1,210 | 994,100 |
Security | Par (000) |
Value | ||||||
Chemicals (continued) | ||||||||
Methanex Corp., 5.25%, 12/15/29 (Call 09/15/29) |
$ | 245 | $ | 223,180 | ||||
Rain
Carbon Inc., 12.25%, 09/01/29 |
155 | 159,879 | ||||||
Rain
CII Carbon LLC/CII Carbon Corp., 7.25%, |
18 | 17,683 | ||||||
Sasol Financing USA LLC |
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5.50%, 03/18/31 (Call 03/18/30) |
1,450 | 1,160,515 | ||||||
6.50%, 09/27/28 (Call 06/27/28) |
555 | 499,564 | ||||||
8.75%, 05/03/29 (Call 03/03/29)(a) |
275 | 268,469 | ||||||
Tronox Inc., 4.63%, 03/15/29 (Call 03/15/24)(a) |
1,375 | 1,133,049 | ||||||
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5,321,841 | ||||||||
Coal — 0.5% | ||||||||
SunCoke
Energy Inc., 4.88%, 06/30/29 |
810 | 689,277 | ||||||
Warrior
Met Coal Inc., 7.88%, 12/01/28 |
345 | 351,941 | ||||||
|
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1,041,218 | ||||||||
Commercial Services — 7.7% | ||||||||
ADT Security Corp. (The) |
||||||||
4.13%, 08/01/29 (Call 08/01/28)(a)(b) |
762 | 665,089 | ||||||
4.88%, 07/15/32(a)(b) |
1,220 | 1,052,372 | ||||||
Adtalem
Global Education Inc., 5.50%, 03/01/28 |
428 | 398,895 | ||||||
APX Group Inc. |
||||||||
5.75%, 07/15/29 (Call 07/15/24)(a) |
900 | 775,344 | ||||||
6.75%, 02/15/27 (Call 10/02/23)(a) |
852 | 827,888 | ||||||
Cimpress PLC, 7.00%, 06/15/26 (Call 09/18/23)(b) |
1,175 | 1,101,562 | ||||||
Deluxe Corp., 8.00%, 06/01/29 (Call 06/01/24)(a) |
825 | 696,194 | ||||||
Graham
Holdings Co., 5.75%, 06/01/26 |
159 | 155,196 | ||||||
Hertz
Corp. (The), 5.00%, 12/01/29 |
1,767 | 1,452,816 | ||||||
Korn Ferry, 4.63%, 12/15/27 (Call 10/02/23)(a) |
345 | 320,871 | ||||||
MPH Acquisition Holdings LLC |
||||||||
5.50%, 09/01/28 (Call 09/01/24)(a) |
1,750 | 1,486,160 | ||||||
5.75%, 11/01/28 (Call 11/01/23)(a) |
340 | 254,684 | ||||||
NESCO
Holdings II Inc., 5.50%, 04/15/29 |
1,400 | 1,269,593 | ||||||
Prime Security Services Borrower LLC/Prime Finance Inc. |
||||||||
5.75%, 04/15/26(a) |
1,078 | 1,057,890 | ||||||
6.25%, 01/15/28 (Call 10/02/23)(a)(b) |
1,005 | 957,163 | ||||||
Rent-A-Center Inc./TX, 6.38%,
02/15/29 |
725 | 658,663 | ||||||
United
Rentals North America Inc., 4.88%, |
640 | 608,929 | ||||||
WW
International Inc., 4.50%, 04/15/29 |
1,005 | 695,963 | ||||||
ZipRecruiter
Inc., 5.00%, 01/15/30 |
945 | 792,770 | ||||||
|
|
|||||||
15,228,042 | ||||||||
Computers — 0.6% | ||||||||
Conduent Business Services LLC/Conduent State & Local Solutions Inc., 6.00%, 11/01/29 (Call 11/01/24)(a)(b) |
930 | 767,464 | ||||||
Unisys Corp., 6.88%, 11/01/27 (Call 11/01/23)(a) |
406 | 320,297 | ||||||
|
|
|||||||
1,087,761 | ||||||||
Cosmetics & Personal Care — 0.8% | ||||||||
Coty Inc., 5.00%, 04/15/26 (Call 10/02/23)(a) |
960 | 922,829 | ||||||
Coty Inc./HFC Prestige Products Inc./HFC Prestige International U.S. LLC, 4.75%, 01/15/29 (Call 01/15/25)(a) |
755 | 691,768 | ||||||
|
|
|||||||
1,614,597 | ||||||||
Diversified Financial Services — 8.2% | ||||||||
Burford Capital Global Finance LLC |
||||||||
6.25%, 04/15/28 (Call 04/15/24)(a) |
361 | 332,301 | ||||||
6.88%, 04/15/30 (Call 04/15/25)(a) |
540 | 495,269 | ||||||
Coinbase Global Inc. |
||||||||
3.38%, 10/01/28 (Call 10/01/24)(a) |
2,328 | 1,712,507 |
8 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® High Yield Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Diversified Financial Services (continued) | ||||||||
3.63%, 10/01/31 (Call 10/01/26)(a) |
$ | 53 | $ | 35,682 | ||||
Credit
Acceptance Corp., 6.63%, 03/15/26 |
345 | 335,802 | ||||||
goeasy Ltd., 5.38%, 12/01/24 (Call 10/03/23)(a)(b) |
780 | 769,239 | ||||||
Nationstar Mortgage Holdings Inc. |
||||||||
5.13%, 12/15/30 (Call 12/15/25)(a)(b) |
960 | 813,189 | ||||||
5.50%, 08/15/28 (Call 10/02/23)(a) |
215 | 194,829 | ||||||
5.75%, 11/15/31 (Call 11/15/26)(a) |
985 | 850,106 | ||||||
OneMain Finance Corp. |
||||||||
5.38%, 11/15/29 (Call 05/15/29)(b) |
25 | 21,595 | ||||||
6.63%, 01/15/28 (Call 07/15/27)(b) |
115 | 107,525 | ||||||
6.88%, 03/15/25 |
995 | 990,002 | ||||||
7.13%, 03/15/26(b) |
1,465 | 1,441,184 | ||||||
PennyMac Financial Services Inc. |
||||||||
4.25%, 02/15/29 (Call 02/15/24)(a) |
400 | 331,106 | ||||||
5.38%, 10/15/25 (Call 10/02/23)(a) |
705 | 682,320 | ||||||
5.75%, 09/15/31 (Call 09/15/26)(a) |
820 | 689,209 | ||||||
Rocket Mortgage LLC/Rocket Mortgage Co-Issuer Inc. |
||||||||
3.63%, 03/01/29 (Call 03/01/24)(a) |
170 | 144,693 | ||||||
3.88%, 03/01/31 (Call 03/01/26)(a)(b) |
1,800 | 1,465,137 | ||||||
4.00%, 10/15/33 (Call 10/15/27)(a) |
475 | 375,561 | ||||||
SLM Corp. |
||||||||
3.13%, 11/02/26 (Call 10/02/26) |
810 | 720,900 | ||||||
4.20%, 10/29/25 (Call 09/29/25)(b) |
780 | 733,559 | ||||||
Synchrony
Financial, 7.25%, 02/02/33 |
1,185 | 1,089,564 | ||||||
United Wholesale Mortgage LLC |
||||||||
5.50%, 04/15/29 (Call 04/15/24)(a) |
1,190 | 1,032,325 | ||||||
5.75%, 06/15/27 (Call 06/15/24)(a)(b) |
780 | 718,635 | ||||||
|
|
|||||||
16,082,239 | ||||||||
Electric — 3.2% | ||||||||
Drax Finco PLC, 6.63%, 11/01/25 (Call 09/11/23)(a) |
711 | 697,309 | ||||||
FirstEnergy Corp. |
||||||||
Series C, 3.40%, 03/01/50 (Call 09/01/49)(b) |
380 | 251,513 | ||||||
Series C, 5.10%, 07/15/47 (Call 01/15/47) |
459 | 399,439 | ||||||
Mercury
Chile Holdco LLC, 6.50%, 01/24/27 |
345 | 319,059 | ||||||
NRG Energy Inc. |
||||||||
3.88%, 02/15/32 (Call 02/15/27)(a) |
1,325 | 1,025,183 | ||||||
5.75%, 01/15/28 (Call 09/18/23)(b) |
627 | 593,189 | ||||||
PG&E Corp. |
||||||||
5.00%, 07/01/28 (Call 09/11/23)(b) |
1,515 | 1,393,660 | ||||||
5.25%, 07/01/30 (Call 07/01/25)(b) |
360 | 319,832 | ||||||
Vistra Operations Co. LLC |
||||||||
5.50%, 09/01/26 (Call 09/11/23)(a) |
830 | 800,590 | ||||||
5.63%, 02/15/27 (Call 09/11/23)(a) |
480 | 462,101 | ||||||
|
|
|||||||
6,261,875 | ||||||||
Electrical Components & Equipment — 0.8% | ||||||||
Energizer Holdings Inc. |
||||||||
4.38%, 03/31/29 (Call 10/02/23)(a) |
900 | 770,841 | ||||||
4.75%, 06/15/28 (Call 10/02/23)(a) |
1,010 | 891,776 | ||||||
|
|
|||||||
1,662,617 | ||||||||
Engineering & Construction — 1.2% | ||||||||
AECOM, 5.13%, 03/15/27 (Call 12/15/26) |
1,200 | 1,151,323 | ||||||
Brundage-Bone
Concrete Pumping Holdings Inc., |
375 | 360,000 | ||||||
Tutor
Perini Corp., 6.88%, 05/01/25 |
860 | 777,754 | ||||||
|
|
|||||||
2,289,077 |
Security | Par (000) |
Value | ||||||
Entertainment — 1.7% | ||||||||
AMC
Entertainment Holdings Inc., 7.50%, 02/15/29 |
$ | 633 | $ | 432,061 | ||||
Live
Nation Entertainment Inc., 6.50%, 05/15/27 |
1,195 | 1,195,926 | ||||||
Resorts
World Las Vegas LLC/RWLV Capital Inc., |
1,990 | 1,626,737 | ||||||
|
|
|||||||
3,254,724 | ||||||||
Environmental Control — 0.7% | ||||||||
GFL Environmental Inc. |
||||||||
3.50%, 09/01/28 (Call 03/01/28)(a)(b) |
1,078 | 952,304 | ||||||
5.13%, 12/15/26 (Call 10/03/23)(a)(b) |
486 | 470,261 | ||||||
|
|
|||||||
1,422,565 | ||||||||
Gas — 0.4% | ||||||||
AmeriGas Partners LP/AmeriGas Finance Corp. |
||||||||
5.75%, 05/20/27 (Call 02/20/27)(b) |
661 | 611,234 | ||||||
5.88%, 08/20/26 (Call 05/20/26) |
130 | 123,331 | ||||||
|
|
|||||||
734,565 | ||||||||
Health Care - Products — 0.2% | ||||||||
Garden
Spinco Corp., 8.63%, 07/20/30 |
445 | 475,091 | ||||||
|
|
|||||||
Health Care - Services — 1.4% | ||||||||
DaVita Inc. |
||||||||
3.75%, 02/15/31 (Call 02/15/26)(a) |
610 | 485,769 | ||||||
4.63%, 06/01/30 (Call 06/01/25)(a) |
1,735 | 1,488,202 | ||||||
Fortrea
Holdings Inc., 7.50%, 07/01/30 |
840 | 822,150 | ||||||
|
|
|||||||
2,796,121 | ||||||||
Holding Companies - Diversified — 0.2% | ||||||||
Compass
Group Diversified Holdings LLC, 5.25%, |
405 | 371,935 | ||||||
|
|
|||||||
Home Builders — 0.8% | ||||||||
Brookfield
Residential Properties Inc./Brookfield |
||||||||
4.88%, 02/15/30 (Call 02/15/25)(a) |
925 | 763,950 | ||||||
6.25%, 09/15/27 (Call 10/03/23)(a)(b) |
940 | 862,695 | ||||||
|
|
|||||||
1,626,645 | ||||||||
Housewares — 0.4% | ||||||||
Newell Brands Inc., 6.00%, 04/01/46 (Call 10/01/45) |
1,072 | 869,947 | ||||||
|
|
|||||||
Insurance — 0.2% | ||||||||
NMI
Holdings Inc., 7.38%, 06/01/25 |
336 | 338,275 | ||||||
|
|
|||||||
Internet — 0.8% | ||||||||
Gen Digital Inc., 5.00%, 04/15/25 (Call 09/11/23)(a) |
855 | 838,148 | ||||||
GrubHub
Holdings Inc., 5.50%, 07/01/27 |
1,175 | 812,219 | ||||||
|
|
|||||||
1,650,367 | ||||||||
Iron & Steel — 1.6% | ||||||||
Cleveland-Cliffs
Inc., 5.88%, 06/01/27 |
740 | 712,632 | ||||||
Mineral Resources Ltd. |
||||||||
8.13%, 05/01/27 (Call 10/02/23)(a) |
938 | 935,672 | ||||||
8.50%, 05/01/30 (Call 05/01/25)(a)(b) |
785 | 787,807 | ||||||
U.S. Steel Corp., 6.88%, 03/01/29 (Call 03/01/24) |
665 | 662,440 | ||||||
|
|
|||||||
3,098,551 | ||||||||
Leisure Time — 4.4% | ||||||||
Carnival Corp. |
||||||||
6.00%, 05/01/29 (Call 11/01/24)(a) |
726 | 655,488 | ||||||
7.63%, 03/01/26 (Call 03/01/24)(a) |
1,798 | 1,792,541 | ||||||
9.88%, 08/01/27 (Call 02/01/24)(a) |
545 | 576,075 | ||||||
10.50%, 06/01/30 (Call 06/01/25)(a)(b) |
195 | 207,700 | ||||||
NCL Corp. Ltd., 5.88%, 02/15/27 (Call 02/15/24)(a)(b) |
1,545 | 1,497,179 |
S C H E D U L E O F I N V E S T M E N T S |
9 |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® High Yield Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Leisure Time (continued) | ||||||||
NCL
Finance Ltd., 6.13%, 03/15/28 |
$ | 20 | $ | 18,032 | ||||
Royal Caribbean Cruises Ltd. |
||||||||
4.25%, 07/01/26 (Call 01/01/26)(a) |
805 | 750,541 | ||||||
5.50%, 08/31/26 (Call 02/28/26)(a) |
1,805 | 1,729,582 | ||||||
11.63%, 08/15/27 (Call 08/15/24)(a) |
585 | 637,431 | ||||||
Vista
Outdoor Inc., 4.50%, 03/15/29 |
895 | 745,953 | ||||||
|
|
|||||||
8,610,522 | ||||||||
Lodging — 1.5% | ||||||||
Genting
New York LLC, 3.30%, 02/15/26 |
835 | 744,255 | ||||||
Las
Vegas Sands Corp., 3.20%, 08/08/24 |
66 | 63,899 | ||||||
Travel + Leisure Co. |
||||||||
4.50%, 12/01/29 (Call 09/01/29)(a)(b) |
1,065 | 916,603 | ||||||
6.63%, 07/31/26 (Call 04/30/26)(a) |
885 | 878,327 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. |
||||||||
5.25%, 05/15/27 (Call 02/15/27)(a)(b) |
175 | 165,641 | ||||||
5.50%, 03/01/25 (Call 12/01/24)(a) |
187 | 184,734 | ||||||
|
|
|||||||
2,953,459 | ||||||||
Machinery — 1.3% | ||||||||
GrafTech
Finance Inc., 4.63%, 12/15/28 |
902 | 708,070 | ||||||
GrafTech
Global Enterprises Inc., 9.88%, |
635 | 619,125 | ||||||
Vertiv
Group Corp., 4.13%, 11/15/28 |
1,335 | 1,198,512 | ||||||
|
|
|||||||
2,525,707 | ||||||||
Manufacturing — 0.5% | ||||||||
LSB
Industries Inc., 6.25%, 10/15/28 |
1,100 | 1,006,007 | ||||||
|
|
|||||||
Media — 7.5% | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
||||||||
4.25%, 01/15/34 (Call 01/15/28)(a) |
1,670 | 1,278,881 | ||||||
4.50%, 06/01/33 (Call 06/01/27)(a)(b) |
1,460 | 1,152,481 | ||||||
4.75%, 02/01/32 (Call 02/01/27)(a)(b) |
200 | 165,500 | ||||||
Directv
Financing LLC/Directv Financing Co-Obligor Inc., 5.88%,
08/15/27 |
1,605 | 1,422,380 | ||||||
GCI LLC, 4.75%, 10/15/28 (Call 10/15/23)(a) |
971 | 842,343 | ||||||
Sirius XM Radio Inc. |
||||||||
3.88%, 09/01/31 (Call 09/01/26)(a)(b) |
505 | 393,047 | ||||||
4.13%, 07/01/30 (Call 07/01/25)(a) |
1,080 | 880,448 | ||||||
5.50%, 07/01/29 (Call 07/01/24)(a) |
1,530 | 1,377,391 | ||||||
TEGNA Inc. |
||||||||
4.63%, 03/15/28 (Call 10/02/23) |
1,675 | 1,496,048 | ||||||
5.00%, 09/15/29 (Call 09/15/24) |
520 | 457,600 | ||||||
Telenet
Finance Luxembourg Notes Sarl, 5.50%, |
1,600 | 1,460,800 | ||||||
Townsquare
Media Inc., 6.88%, 02/01/26 |
790 | 760,375 | ||||||
UPC
Broadband Finco BV, 4.88%, 07/15/31 |
1,680 | 1,386,588 | ||||||
UPC
Holding BV, 5.50%, 01/15/28 |
255 | 226,950 | ||||||
Urban
One Inc., 7.38%, 02/01/28 |
1,360 | 1,182,594 | ||||||
VTR
Finance NV, 6.38%, 07/15/28 |
500 | 227,574 | ||||||
|
|
|||||||
14,711,000 | ||||||||
Mining — 4.2% | ||||||||
Azul Secured Finance LLP |
||||||||
10.88%, 05/28/30(a) |
645 | 549,430 | ||||||
11.93%, 08/28/28(a)(b) |
1,170 | 1,161,106 | ||||||
Eldorado
Gold Corp., 6.25%, 09/01/29 |
900 | 768,843 | ||||||
Endeavour
Mining PLC, 5.00%, 10/14/26 |
855 | 750,262 |
Security | Par (000) |
Value | ||||||
Mining (continued) | ||||||||
First Quantum Minerals Ltd. |
||||||||
6.88%, 03/01/26 (Call 09/11/23)(a)(b) |
$ | 800 | $ | 788,096 | ||||
7.50%, 04/01/25 (Call 09/11/23)(a) |
1,339 | 1,336,822 | ||||||
Hecla Mining Co., 7.25%, 02/15/28 (Call 09/18/23) |
625 | 613,703 | ||||||
IAMGOLD
Corp., 5.75%, 10/15/28 |
835 | 645,873 | ||||||
Stillwater Mining Co. |
||||||||
4.00%, 11/16/26 (Call 11/16/23)(a)(b) |
980 | 861,175 | ||||||
4.50%, 11/16/29 (Call 11/16/25)(a)(b) |
930 | 732,375 | ||||||
|
|
|||||||
8,207,685 | ||||||||
Office Furnishings — 0.3% | ||||||||
Steelcase Inc., 5.13%, 01/18/29 (Call 10/18/28)(b) |
750 | 663,241 | ||||||
|
|
|||||||
Oil & Gas — 10.1% | ||||||||
Antero
Resources Corp., 7.63%, 02/01/29 |
546 | 559,545 | ||||||
Baytex Energy Corp. |
||||||||
8.50%, 04/30/30(a) |
950 | 963,249 | ||||||
8.75%, 04/01/27 (Call 10/03/23)(a) |
680 | 695,913 | ||||||
California
Resources Corp., 7.13%, 02/01/26 |
855 | 857,196 | ||||||
Civitas
Resources Inc., 5.00%, 10/15/26 |
396 | 375,820 | ||||||
CNX Resources Corp. |
||||||||
6.00%, 01/15/29 (Call 01/15/24)(a)(b) |
480 | 457,136 | ||||||
7.25%, 03/14/27 (Call 10/02/23)(a) |
469 | 468,520 | ||||||
7.38%, 01/15/31 (Call 01/15/26)(a)(b) |
725 | 723,652 | ||||||
Comstock
Resources Inc., 6.75%, 03/01/29 |
695 | 650,295 | ||||||
Crescent
Energy Finance LLC, 9.25%, 02/15/28 |
640 | 654,701 | ||||||
Earthstone
Energy Holdings LLC, 8.00%, 04/15/27 |
820 | 836,966 | ||||||
Energean PLC, 6.50%, 04/30/27 (Call 10/30/23)(a) |
710 | 648,122 | ||||||
Gulfport
Energy Corp., 8.00%, 05/17/26 |
415 | 421,445 | ||||||
Harbour
Energy PLC, 5.50%, 10/15/26 |
745 | 695,644 | ||||||
Independence Energy Finance LLC, 7.25%, 05/01/26 (Call 10/02/23)(a) |
1,055 | 1,039,301 | ||||||
Ithaca
Energy North Sea PLC, 9.00%, 07/15/26 |
1,010 | 967,321 | ||||||
Kosmos Energy Ltd. |
||||||||
7.13%, 04/04/26 (Call 09/11/23)(a) |
1,045 | 958,787 | ||||||
7.50%, 03/01/28 (Call 03/01/24)(a) |
770 | 677,677 | ||||||
Magnolia
Oil & Gas Operating LLC/Magnolia Oil & Gas Finance
Corp., 6.00%, 08/01/26 |
165 | 159,843 | ||||||
Matador
Resources Co., 5.88%, 09/15/26 |
1,473 | 1,436,673 | ||||||
Northern
Oil and Gas Inc., 8.13%, 03/01/28 |
1,100 | 1,102,651 | ||||||
Oasis
Petroleum Inc., 6.38%, 06/01/26 |
365 | 359,751 | ||||||
Patterson-UTI Energy Inc., 3.95%,
02/01/28 |
500 | 458,735 | ||||||
PBF Holding Co. LLC/PBF Finance Corp. |
||||||||
6.00%, 02/15/28 (Call 10/02/23)(b) |
696 | 658,353 | ||||||
7.25%, 06/15/25 (Call 09/13/23)(b) |
975 | 975,067 | ||||||
Sunoco
LP/Sunoco Finance Corp., |
435 | 430,451 | ||||||
Talos
Production Inc., 12.00%, 01/15/26 |
880 | 917,400 | ||||||
Tullow
Oil PLC, 10.25%, 05/15/26 |
950 | 782,838 | ||||||
|
|
|||||||
19,933,052 | ||||||||
Oil & Gas Services — 2.6% | ||||||||
Archrock Partners LP/Archrock Partners Finance Corp. |
||||||||
6.25%, 04/01/28 (Call 10/02/23)(a) |
280 | 267,301 |
10 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® High Yield Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Oil & Gas Services (continued) | ||||||||
6.88%, 04/01/27 (Call 10/02/23)(a) |
$ | 670 | $ | 658,711 | ||||
Bristow Group Inc., 6.88%, 03/01/28 (Call 03/01/24)(a) |
376 | 351,703 | ||||||
CGG SA, 8.75%, 04/01/27 (Call 04/01/24)(a)(b) |
840 | 722,898 | ||||||
USA Compression Partners LP/USA Compression |
||||||||
Finance Corp. 6.88%, 04/01/26 (Call 10/02/23) |
1,035 | 1,023,377 | ||||||
6.88%, 09/01/27 (Call 10/02/23) |
595 | 580,022 | ||||||
Weatherford
International Ltd., 8.63%, 04/30/30 |
1,445 | 1,479,979 | ||||||
|
|
|||||||
5,083,991 | ||||||||
Packaging & Containers — 0.7% | ||||||||
Berry
Global Inc., 5.63%, 07/15/27 |
710 | 695,977 | ||||||
Graham Packaging Co. Inc., 7.13%, 08/15/28 (Call 10/02/23)(a) |
820 | 715,085 | ||||||
|
|
|||||||
1,411,062 | ||||||||
Pharmaceuticals — 1.5% | ||||||||
Bausch
Health Americas Inc., 8.50%, 01/31/27 |
499 | 277,569 | ||||||
Bausch
Health Companies Inc. |
622 | 408,965 | ||||||
6.25%, 02/15/29 (Call 02/15/24)(a) |
165 | 72,187 | ||||||
Elanco
Animal Health Inc., 6.65%, 08/28/28 |
1,080 | 1,065,150 | ||||||
Grifols
Escrow Issuer SA, 4.75%, 10/15/28 |
1,275 | 1,118,596 | ||||||
|
|
|||||||
2,942,467 | ||||||||
Pipelines — 3.2% | ||||||||
Antero Midstream Partners LP/Antero Midstream |
||||||||
Finance Corp. 5.75%, 03/01/27 (Call 09/18/23)(a) |
790 | 765,679 | ||||||
7.88%, 05/15/26 (Call 09/18/23)(a) |
744 | 756,937 | ||||||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. |
||||||||
5.75%, 04/01/25 (Call 10/02/23) |
557 | 552,282 | ||||||
8.00%, 04/01/29 (Call 04/01/24)(a) |
635 | 656,156 | ||||||
EnLink
Midstream Partners LP, 4.15%, 06/01/25 |
595 | 575,853 | ||||||
EQM
Midstream Partners LP, 6.50%, 07/15/48 |
565 | 512,877 | ||||||
Holly
Energy Partners LP/Holly Energy Finance Corp., |
750 | 703,549 | ||||||
New
Fortress Energy Inc. |
1,570 | 1,459,351 | ||||||
6.75%, 09/15/25 (Call 09/21/23)(a) |
438 | 423,318 | ||||||
|
|
|||||||
6,406,002 | ||||||||
Real Estate — 0.6% | ||||||||
Howard
Hughes Corp. (The), 4.13%, 02/01/29 |
260 | 214,500 | ||||||
Kennedy-Wilson
Inc. |
1,055 | 847,713 | ||||||
4.75%, 02/01/30 (Call 09/01/24)(b) |
245 | 188,741 | ||||||
|
|
|||||||
1,250,954 | ||||||||
Real Estate Investment Trusts — 5.3% | ||||||||
Apollo
Commercial Real Estate Finance Inc., 4.63%, |
915 | 717,561 | ||||||
Brookfield Property REIT Inc./BPR Cumulus LLC/BPR |
||||||||
Nimbus LLC/GGSI Sellco LL 4.50%, 04/01/27 (Call 10/02/23)(a)(b) |
367 | 306,445 | ||||||
5.75%, 05/15/26 (Call 09/11/23)(a) |
1,521 | 1,395,266 |
Security | Par (000) |
Value | ||||||
Real Estate Investment Trusts (continued) | ||||||||
Iron
Mountain Inc. |
$ | 270 | $ | 231,943 | ||||
5.25%, 03/15/28 (Call 09/11/23)(a) |
120 | 112,508 | ||||||
5.63%, 07/15/32 (Call 07/15/26)(a) |
315 | 282,675 | ||||||
Office
Properties Income Trust, 4.50%, 02/01/25 |
1,100 | 983,483 | ||||||
Park Intermediate Holdings LLC/PK Domestic |
||||||||
Property LLC/PK Finance Co-Issuer 4.88%, 05/15/29 (Call 05/15/24)(a) |
140 | 121,450 | ||||||
5.88%, 10/01/28 (Call 10/02/23)(a)(b) |
1,014 | 937,927 | ||||||
7.50%, 06/01/25 (Call 10/02/23)(a) |
545 | 545,620 | ||||||
RLJ
Lodging Trust LP |
735 | 673,444 | ||||||
4.00%, 09/15/29 (Call 09/15/24)(a)(b) |
825 | 689,935 | ||||||
Service
Properties Trust, 4.75%, 10/01/26 |
765 | 664,955 | ||||||
Uniti
Group LP/Uniti Group Finance Inc./CSL Capital LLC |
975 | 665,438 | ||||||
10.50%, 02/15/28 (Call 09/15/25)(a) |
1,415 | 1,411,653 | ||||||
XHR LP, 6.38%, 08/15/25 (Call 09/11/23)(a) |
697 | 688,631 | ||||||
|
|
|||||||
10,428,934 | ||||||||
Retail — 5.7% | ||||||||
Arko Corp., 5.13%, 11/15/29 (Call 11/15/24)(a)(b) |
775 | 636,500 | ||||||
Bath &
Body Works Inc. |
690 | 636,950 | ||||||
6.88%, 11/01/35(b) |
1,405 | 1,313,730 | ||||||
Brinker
International Inc., 8.25%, 07/15/30 |
510 | 501,075 | ||||||
Carvana
Co. |
1,075 | 784,750 | ||||||
5.63%, 10/01/25 (Call 09/11/23)(a). |
675 | 586,917 | ||||||
5.88%, 10/01/28 (Call 10/02/23)(a) |
950 | 584,250 | ||||||
10.25%, 05/01/30 (Call 05/01/27)(a) |
375 | 290,702 | ||||||
FirstCash
Inc. |
769 | 683,957 | ||||||
5.63%, 01/01/30 (Call 01/01/25)(a)(b) |
860 | 780,735 | ||||||
Gap
Inc. (The) |
1,590 | 1,210,440 | ||||||
3.88%, 10/01/31 (Call 10/01/26)(a)(b) |
765 | 554,361 | ||||||
Kohl’s Corp., 4.63%, 05/01/31 (Call 02/01/31)(b) |
650 | 478,563 | ||||||
Macy’s
Retail Holdings LLC, 6.13%, 03/15/32 |
410 | 351,575 | ||||||
Nordstrom
Inc., 5.00%, 01/15/44 |
382 | 242,570 | ||||||
QVC
Inc. |
1,140 | 644,999 | ||||||
4.45%, 02/15/25 (Call 11/15/24)(b) |
215 | 193,292 | ||||||
4.75%, 02/15/27 (Call 11/15/26)(b) |
1,300 | 858,125 | ||||||
|
|
|||||||
11,333,491 | ||||||||
Software — 1.1% | ||||||||
MicroStrategy
Inc., 6.13%, 06/15/28 |
910 | 814,654 | ||||||
ROBLOX
Corp., 3.88%, 05/01/30 |
1,759 | 1,451,181 | ||||||
|
|
|||||||
2,265,835 | ||||||||
Telecommunications — 1.0% | ||||||||
Frontier
Communications Holdings LLC |
1,290 | 1,001,124 | ||||||
8.63%, 03/15/31 (Call 03/15/26)(a) |
200 | 192,610 | ||||||
8.75%, 05/15/30 (Call 05/15/25)(a) |
853 | 829,060 | ||||||
|
|
|||||||
2,022,794 |
S C H E D U L E O F I N V E S T M E N T S |
11 |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® High Yield Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par/ Shares (000) |
Value | ||||||
Trucking & Leasing — 0.9% | ||||||||
Fortress
Transportation and Infrastructure Investors LLC 5.50%, 05/01/28 |
$ | 1,555 | $ | 1,444,462 | ||||
6.50%, 10/01/25 (Call 10/02/23)(a) |
285 | 281,418 | ||||||
|
|
|||||||
1,725,880 | ||||||||
|
|
|||||||
Total
Long-Term Investments — 96.3% |
189,942,262 | |||||||
|
|
|||||||
Short-Term Securities |
||||||||
Money Market Funds — 23.4% | ||||||||
BlackRock
Cash Funds: Institutional, SL Agency |
43,391 | 43,403,529 | ||||||
BlackRock
Cash Funds: Treasury, SL Agency |
2,680 | 2,680,000 | ||||||
|
|
|||||||
Total
Short-Term Securities — 23.4% |
46,083,529 | |||||||
|
|
Security | Par/ Shares (000) |
Value | ||||||
Money Market Funds (continued) | ||||||||
Total
Investments — 119.7% |
$ | 236,025,791 | ||||||
Liabilities in Excess of Other Assets — (19.7)% |
(38,897,444 | ) | ||||||
|
|
|||||||
NetAssets — 100.0% |
$ | 197,128,347 | ||||||
|
|
(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) |
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. |
(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. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the six months ended August 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
||||||||||||||||||||||||||||||||||||
Affiliated Issuer | Value
at 02/28/23 |
Purchases at Cost |
Proceeds from Sale |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value
at 08/31/23 |
Shares Held at 08/31/23 (000) |
Income | Capital
Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares |
$ | 24,449,304 | $ | 18,962,419 | (a) | $ | — | $ | (4,647 | ) | $ | (3,547) | $ | 43,403,529 | 43,391 | $ | 132,996 | (b) | $ | — | ||||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares |
1,280,000 | 1,400,000 | (a) | — | — | — | 2,680,000 | 2,680 | 32,230 | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (4,647) | $ | (3,547) | $ | 46,083,529 | $ | 165,226 | $ | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(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 | |||||||||||||
|
||||||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Corporate Bonds & Notes |
$ | — | $ | 189,942,262 | $ | — | $ | 189,942,262 | ||||||||
Short-Term Securities |
||||||||||||||||
Money Market Funds |
46,083,529 | — | — | 46,083,529 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 46,083,529 | $ | 189,942,262 | $ | — | $ | 236,025,791 | |||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
12 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) August 31, 2023 |
iShares® Investment Grade Bond Factor ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Corporate Bonds & Notes |
||||||||
Aerospace & Defense — 2.0% | ||||||||
Boeing
Co. (The) |
$ | 625 | $ | 501,770 | ||||
5.15%, 05/01/30 (Call 02/01/30) |
1,223 | 1,203,230 | ||||||
5.71%, 05/01/40 (Call 11/01/39) |
164 | 159,438 | ||||||
5.93%, 05/01/60 (Call 11/01/59) |
770 | 743,263 | ||||||
L3Harris
Technologies Inc., 4.40%, 06/15/28 |
1,200 | 1,153,773 | ||||||
Northrop Grumman Corp., 4.75%, 06/01/43 |
285 | 258,869 | ||||||
RTX
Corp. |
905 | 789,285 | ||||||
4.88%, 10/15/40 |
290 | 265,250 | ||||||
|
|
|||||||
5,074,878 | ||||||||
Agriculture — 2.4% | ||||||||
Altria
Group Inc. |
130 | 114,204 | ||||||
5.38%, 01/31/44(a) |
1,023 | 949,882 | ||||||
5.80%, 02/14/39 (Call 08/14/38) |
1,027 | 1,000,655 | ||||||
BAT
Capital Corp. |
685 | 542,360 | ||||||
4.74%, 03/16/32 (Call 12/16/31) |
110 | 99,454 | ||||||
4.91%, 04/02/30 (Call 01/02/30) |
314 | 295,708 | ||||||
7.75%, 10/19/32 (Call 07/19/32) |
270 | 292,986 | ||||||
BAT
International Finance PLC, 4.45%, 03/16/28 |
226 | 214,255 | ||||||
Philip
Morris International Inc. |
620 | 612,227 | ||||||
6.38%, 05/16/38 |
995 | 1,068,876 | ||||||
Reynolds
American Inc. |
397 | 367,194 | ||||||
5.85%, 08/15/45 (Call 02/15/45) |
748 | 649,764 | ||||||
|
|
|||||||
6,207,565 | ||||||||
Auto Parts & Equipment — 0.4% | ||||||||
Aptiv PLC, 3.25%, 03/01/32 (Call 12/01/31)(a) |
1,150 | 975,172 | ||||||
|
|
|||||||
Banks — 15.2% | ||||||||
Bank of America Corp. |
||||||||
2.88%,
10/22/30 (Call 10/22/29), |
1,473 | 1,263,702 | ||||||
3.19%,
07/23/30 (Call 07/23/29), |
1,380 | 1,211,529 | ||||||
3.71%,
04/24/28 (Call 04/24/27), |
1,000 | 936,075 | ||||||
3.82%,
01/20/28 (Call 01/20/27), |
300 | 282,826 | ||||||
3.97%,
03/05/29 (Call 03/05/28), |
603 | 563,512 | ||||||
3.97%,
02/07/30 (Call 02/07/29), |
1,410 | 1,298,175 | ||||||
4.30%,
(Call 01/28/25), |
1,090 | 988,724 | ||||||
6.10%,
(Call 03/17/25), |
1,215 | 1,194,269 | ||||||
Bank
of New York Mellon Corp. (The), |
1,400 | 1,256,239 | ||||||
Citigroup
Inc. |
1,205 | 1,164,006 | ||||||
3.98%, 03/20/30 (Call 03/20/29), |
||||||||
(3-mo. SOFR + 1.600%)(b) |
359 | 330,618 |
Security |
Par (000) |
Value | ||||||
Banks (continued) | ||||||||
Goldman
Sachs Group Inc., |
$ | 1,278 | $ | 1,182,540 | ||||
4.02%,
10/31/38 (Call 10/31/37), |
274 | 227,842 | ||||||
4.22%,
05/01/29 (Call 05/01/28), |
1,323 | 1,246,471 | ||||||
HSBC Holdings PLC |
||||||||
3.97%,
05/22/30 (Call 05/22/29), |
1,502 | 1,352,111 | ||||||
4.04%,
03/13/28 (Call 03/13/27), |
1,320 | 1,239,721 | ||||||
4.58%,
06/19/29 (Call 06/19/28), |
750 | 708,061 | ||||||
5.40%,
08/11/33 (Call 08/11/32), |
365 | 348,426 | ||||||
7.39%,
11/03/28 (Call 11/03/27), |
680 | 714,423 | ||||||
JPMorgan Chase & Co. |
||||||||
1.95%,
02/04/32 (Call 02/04/31), |
1,545 | 1,217,729 | ||||||
2.74%,
10/15/30 (Call 10/15/29), |
1,470 | 1,260,154 | ||||||
3.96%,
11/15/48 (Call 11/15/47), |
522 | 414,374 | ||||||
Series
HH, 4.60%, (Call 02/01/25), |
1,396 | 1,309,727 | ||||||
Manufacturers &
Traders Trust Co. |
1,398 | 1,306,898 | ||||||
5.40%, 11/21/25 (Call 10/21/25) |
294 | 287,152 | ||||||
Morgan Stanley |
||||||||
2.70%,
01/22/31 (Call 01/22/30), |
1,274 | 1,072,295 | ||||||
3.59%,
07/22/28 (Call 07/22/27), |
1,261 | 1,166,579 | ||||||
3.62%,
04/01/31 (Call 04/01/30), |
1,360 | 1,208,533 | ||||||
3.77%,
01/24/29 (Call 01/24/28), |
1,333 | 1,236,400 | ||||||
4.43%,
01/23/30 (Call 01/23/29), |
1,310 | 1,244,045 | ||||||
PNC Financial Services Group Inc. (The) |
||||||||
5.58%,
06/12/29 (Call 06/12/28), |
1,200 | 1,190,165 | ||||||
6.04%,
10/28/33 (Call 10/28/32), |
1,193 | 1,211,924 | ||||||
Regions
Financial Corp., 2.25%, 05/18/25 |
1,013 | 946,548 | ||||||
Wells Fargo & Co. |
||||||||
2.88%,
10/30/30 (Call 10/30/29), |
1,445 | 1,236,556 | ||||||
3.20%,
06/17/27 (Call 06/17/26), |
1,165 | 1,089,114 | ||||||
4.48%,
04/04/31 (Call 04/04/30), |
580 | 542,621 | ||||||
4.90%,
07/25/33 (Call 07/25/32), |
1,270 | 1,194,990 | ||||||
5.39%, 04/24/34, (1-day SOFR + 2.020%)(b) |
595 | 579,535 | ||||||
5.88%,
(Call 06/15/25), |
1,210 | 1,199,413 | ||||||
|
|
|||||||
38,424,022 |
S C H E D U L E O F I N V E S T M E N T S |
13 |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® Investment Grade Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Beverages — 0.7% | ||||||||
Anheuser-Busch
Companies LLC/Anheuser-Busch InBev Worldwide Inc., 4.70%,
02/01/36 |
$ | 1,145 | $ | 1,095,890 | ||||
Anheuser-Busch
InBev Worldwide Inc. |
100 | 101,512 | ||||||
8.20%, 01/15/39 |
412 | 526,570 | ||||||
|
|
|||||||
1,723,972 | ||||||||
Biotechnology — 2.7% | ||||||||
Amgen Inc., 4.40%, 05/01/45 (Call 11/01/44) |
504 | 424,077 | ||||||
Biogen Inc., 2.25%, 05/01/30 (Call 02/01/30) |
1,540 | 1,267,771 | ||||||
Bio-Rad Laboratories Inc., 3.70%, 03/15/32 |
||||||||
(Call 12/15/31) |
580 | 508,050 | ||||||
Gilead Sciences Inc. |
||||||||
4.80%, 04/01/44 (Call 10/01/43) |
1,105 | 1,016,468 | ||||||
5.65%, 12/01/41 (Call 06/01/41) |
520 | 530,311 | ||||||
Illumina Inc. |
||||||||
2.55%, 03/23/31 (Call 12/23/30) |
490 | 393,200 | ||||||
5.75%, 12/13/27 (Call 11/13/27) |
195 | 194,501 | ||||||
Regeneron Pharmaceuticals Inc., 1.75%, 09/15/30 |
||||||||
(Call 06/15/30) |
1,505 | 1,197,748 | ||||||
Royalty Pharma PLC |
||||||||
1.20%, 09/02/25 (Call 08/02/25) |
1,355 | 1,234,284 | ||||||
1.75%, 09/02/27 (Call 07/02/27) |
105 | 90,589 | ||||||
2.15%, 09/02/31 (Call 06/02/31) |
35 | 27,160 | ||||||
3.55%, 09/02/50 (Call 03/02/50)(a) |
125 | 81,723 | ||||||
|
|
|||||||
6,965,882 | ||||||||
Building Materials — 0.5% | ||||||||
Eagle Materials Inc., 2.50%, 07/01/31 (Call 04/01/31) |
1,155 | 932,530 | ||||||
Fortune Brands Innovations Inc., 5.88%, 06/01/33 |
||||||||
(Call 03/01/33) |
395 | 393,430 | ||||||
|
|
|||||||
1,325,960 | ||||||||
Chemicals — 1.4% | ||||||||
Albemarle Corp., 5.05%, 06/01/32 (Call 03/01/32)(a) |
366 | 344,525 | ||||||
Dow
Chemical Co. (The), 5.55%, 11/30/48 |
552 | 526,450 | ||||||
DuPont
de Nemours Inc., 5.32%, 11/15/38 |
501 | 491,129 | ||||||
Eastman
Chemical Co., 5.75%, 03/08/33 |
315 | 310,680 | ||||||
FMC Corp., 5.65%, 05/18/33 (Call 02/18/33) |
300 | 286,040 | ||||||
Huntsman International LLC, 4.50%, 05/01/29 |
||||||||
(Call 02/01/29) |
1,035 | 958,467 | ||||||
LYB International Finance BV, 4.88%, 03/15/44 |
||||||||
(Call 09/15/43)(a) |
499 | 422,651 | ||||||
LYB International Finance III LLC, 5.63%, 05/15/33 |
||||||||
(Call 02/15/33) |
150 | 148,560 | ||||||
LyondellBasell Industries NV, 4.63%, 02/26/55 |
||||||||
(Call 08/26/54) |
55 | 43,172 | ||||||
|
|
|||||||
3,531,674 | ||||||||
Commercial Services — 1.5% | ||||||||
Equifax Inc., 2.35%, 09/15/31 (Call 06/15/31) |
960 | 752,374 | ||||||
Global Payments Inc. 2.15%, 01/15/27 (Call 12/15/26) |
950 | 846,664 | ||||||
3.20%, 08/15/29 (Call 05/15/29) |
530 | 461,381 | ||||||
5.30%, 08/15/29 (Call 06/15/29) |
325 | 317,215 | ||||||
Quanta Services Inc. 2.35%, 01/15/32 (Call 10/15/31) |
155 | 122,613 | ||||||
2.90%, 10/01/30 (Call 07/01/30) |
1,425 | 1,201,692 | ||||||
|
|
|||||||
3,701,939 | ||||||||
Computers — 2.2% | ||||||||
Apple Inc., 2.40%, 08/20/50 (Call 02/20/50)(a) |
868 | 558,275 |
Security | Par (000) |
Value | ||||||
Computers (continued) | ||||||||
Dell
International LLC/EMC Corp. |
$ | 1,055 | $ | 1,212,073 | ||||
8.35%, 07/15/46 (Call 01/15/46) |
590 | 723,611 | ||||||
HP
Inc. |
180 | 157,175 | ||||||
5.50%, 01/15/33 (Call 10/15/32) |
920 | 893,134 | ||||||
6.00%, 09/15/41(a) |
535 | 526,849 | ||||||
Leidos
Inc. |
502 | 397,578 | ||||||
4.38%, 05/15/30 (Call 02/15/30) |
977 | 900,611 | ||||||
5.75%, 03/15/33 (Call 12/15/32) |
50 | 49,687 | ||||||
Teledyne FLIR LLC, 2.50%, 08/01/30 (Call 05/01/30) |
190 | 156,781 | ||||||
|
|
|||||||
5,575,774 | ||||||||
Distribution & Wholesale — 0.5% | ||||||||
LKQ
Corp. |
925 | 917,129 | ||||||
6.25%, 06/15/33 (Call 03/15/33)(d) |
365 | 362,381 | ||||||
|
|
|||||||
1,279,510 | ||||||||
Diversified Financial Services — 1.8% | ||||||||
American Express Co., 3.55%, (Call 09/15/26), |
||||||||
(5-year CMT + 2.854%)(b)(c) |
1,507 | 1,254,578 | ||||||
Charles
Schwab Corp. (The) |
545 | 485,163 | ||||||
2.45%, 03/03/27 (Call 02/03/27) |
64 | 57,596 | ||||||
5.38%, (Call 06/01/25), (5-year CMT + 4.971%)(a)(b)(c) |
1,343 | 1,295,995 | ||||||
5.85%, 05/19/34 (Call 05/19/33), |
||||||||
(1-day SOFR + 2.500%)(b) |
450 | 450,350 | ||||||
Raymond James Financial Inc., 4.95%, 07/15/46 |
585 | 509,606 | ||||||
Visa Inc., 2.00%, 08/15/50 (Call 02/15/50)(a) |
815 | 481,939 | ||||||
|
|
|||||||
4,535,227 | ||||||||
Electric — 11.7% | ||||||||
Ameren
Illinois Co. |
340 | 307,243 | ||||||
4.95%, 06/01/33 (Call 03/01/33) |
335 | 328,107 | ||||||
Avangrid
Inc. |
615 | 588,545 | ||||||
3.80%, 06/01/29 (Call 03/01/29) |
950 | 862,218 | ||||||
CenterPoint
Energy Houston Electric LLC |
300 | 294,958 | ||||||
Series ai., 4.45%, 10/01/32 (Call 07/01/32) |
105 | 99,548 | ||||||
Commonwealth
Edison Co. |
275 | 182,080 | ||||||
4.00%, 03/01/48 (Call 09/01/47) |
150 | 120,795 | ||||||
Connecticut Light & Power Co. (The), 4.00%, 04/01/48 |
||||||||
(Call 10/01/47) |
960 | 781,547 | ||||||
Consumers
Energy Co., |
168 | 115,544 | ||||||
Dominion
Energy Inc. |
1,435 | 1,212,211 | ||||||
Series B, 4.65%, (Call 12/15/24), |
||||||||
(5-year CMT + 2.993%)(a)(b)(c) |
1,135 | 1,032,850 | ||||||
DTE
Electric Co. |
165 | 109,480 | ||||||
5.20%, 04/01/33 (Call 01/01/33) |
360 | 361,343 | ||||||
Series A, 3.00%, 03/01/32 (Call 12/01/31) |
245 | 209,198 | ||||||
Duke
Energy Carolinas LLC |
330 | 278,467 | ||||||
3.20%, 08/15/49 (Call 02/15/49) |
875 | 601,357 | ||||||
Duke Energy Corp., 3.75%, 09/01/46 (Call 03/01/46) |
165 | 120,748 |
14 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® Investment Grade Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Electric (continued) | ||||||||
Duke Energy Florida LLC, 2.40%, 12/15/31 |
||||||||
(Call 09/15/31) |
$ | 575 | $ | 469,265 | ||||
Duke Energy Indiana LLC |
||||||||
2.75%, 04/01/50 (Call 10/01/49) |
370 | 225,629 | ||||||
5.40%, 04/01/53 (Call 10/01/52) |
285 | 277,011 | ||||||
Series YYY, 3.25%, 10/01/49 (Call 04/01/49) |
265 | 180,501 | ||||||
Duke Energy Progress LLC |
||||||||
2.00%, 08/15/31 (Call 05/15/31) |
480 | 382,132 | ||||||
3.40%, 04/01/32 (Call 01/01/32) |
335 | 294,527 | ||||||
3.45%, 03/15/29 (Call 12/15/28) |
330 | 303,143 | ||||||
Edison International |
||||||||
5.25%, 11/15/28 (Call 10/15/28) |
380 | 370,987 | ||||||
6.95%, 11/15/29 (Call 09/15/29) |
320 | 337,339 | ||||||
Emera
U.S. Finance LP, 4.75%, 06/15/46 |
1,500 | 1,174,037 | ||||||
Enel
Finance International NV, 4.63%, 06/15/27 |
1,005 | 969,680 | ||||||
Entergy Louisiana LLC |
||||||||
2.35%, 06/15/32 (Call 03/15/32) |
345 | 274,484 | ||||||
4.00%, 03/15/33 (Call 12/15/32) |
683 | 612,798 | ||||||
4.20%, 09/01/48 (Call 03/01/48) |
308 | 246,906 | ||||||
Evergy Inc., 2.90%, 09/15/29 (Call 06/15/29) |
920 | 800,429 | ||||||
Evergy Kansas Central Inc., 3.45%, 04/15/50 |
||||||||
(Call 10/15/49) |
225 | 158,660 | ||||||
Exelon Corp., 4.05%, 04/15/30 (Call 01/15/30) |
1,210 | 1,118,033 | ||||||
Florida
Power & Light Co. 2.45%, 02/03/32 |
1,325 | 1,098,579 | ||||||
3.15%, 10/01/49 (Call 04/01/49) |
145 | 101,221 | ||||||
3.95%, 03/01/48 (Call 09/01/47) |
895 | 726,719 | ||||||
Fortis Inc./Canada, 3.06%, 10/04/26 (Call 07/04/26) |
1,245 | 1,154,770 | ||||||
Georgia Power Co., 4.30%, 03/15/42 |
90 | 75,322 | ||||||
Kentucky
Utilities Co., 3.30%, 06/01/50 |
238 | 163,886 | ||||||
National Grid PLC, 5.81%, 06/12/33 (Call 03/12/33) |
990 | 991,943 | ||||||
Oncor
Electric Delivery Co. LLC |
305 | 207,128 | ||||||
4.55%, 09/15/32 (Call 06/15/32) |
440 | 419,116 | ||||||
Pacific Gas and Electric Co. |
||||||||
5.90%, 06/15/32 (Call 03/15/32) |
327 | 313,003 | ||||||
6.10%, 01/15/29 (Call 12/15/28) |
1,070 | 1,057,434 | ||||||
6.15%, 01/15/33 (Call 10/15/32) |
540 | 525,875 | ||||||
6.40%, 06/15/33 (Call 03/15/33) |
305 | 300,839 | ||||||
Public Service Co. of Colorado, 1.88%, 06/15/31 |
||||||||
(Call 12/15/30) |
1,198 | 945,347 | ||||||
Public Service Electric & Gas Co., 3.10%, 03/15/32 |
||||||||
(Call 12/15/31)(a) |
262 | 227,339 | ||||||
San Diego Gas & Electric Co. |
||||||||
Series WWW, 2.95%, 08/15/51 (Call 02/15/51) |
740 | 482,996 | ||||||
Series XXX, 3.00%, 03/15/32 (Call 12/15/31) |
75 | 63,864 | ||||||
Sempra Energy, 4.88%, (Call 10/15/25), |
||||||||
(5-year CMT + 4.550%)(a)(b)(c) |
1,144 | 1,081,984 | ||||||
Southern California Edison Co., 5.95%, 11/01/32 |
||||||||
(Call 08/01/32) |
875 | 906,936 | ||||||
Southern California Gas Co., 5.20%, 06/01/33 |
||||||||
(Call 03/01/33) |
450 | 441,895 | ||||||
Southern
Co. (The) |
755 | 621,759 | ||||||
Series B, 4.00%, 01/15/51 (Call 10/15/25), |
||||||||
(5-year CMT + 3.733%)(b) |
1,345 | 1,247,240 |
Security | Par (000) |
Value | ||||||
Electric (continued) | ||||||||
Union
Electric Co. |
$ | 385 | $ | 304,584 | ||||
2.63%, 03/15/51 (Call 09/15/50) |
405 | 247,219 | ||||||
|
|
|||||||
29,508,798 | ||||||||
Electronics — 0.8% |
||||||||
Jabil Inc., 4.25%, 05/15/27 (Call 04/15/27) |
300 | 286,616 | ||||||
TD
SYNNEX Corp. |
520 | 458,370 | ||||||
2.38%, 08/09/28 (Call 06/09/28) |
430 | 356,888 | ||||||
Trimble Inc., 6.10%, 03/15/33 (Call 12/15/32) |
985 | 994,585 | ||||||
|
|
|||||||
2,096,459 | ||||||||
Engineering & Construction — 0.3% | ||||||||
Jacobs
Engineering Group Inc. |
335 | 331,444 | ||||||
6.35%, 08/18/28 (Call 07/18/28) |
330 | 335,557 | ||||||
|
|
|||||||
667,001 | ||||||||
Food — 1.1% | ||||||||
Conagra
Brands Inc. |
284 | 276,467 | ||||||
5.30%, 11/01/38 (Call 05/01/38) |
1,015 | 937,530 | ||||||
Sysco
Corp. |
825 | 854,424 | ||||||
6.60%, 04/01/50 (Call 10/01/49) |
607 | 669,259 | ||||||
2,737,680 | ||||||||
Gas — 0.8% | ||||||||
National
Fuel Gas Co. |
345 | 277,515 | ||||||
5.50%, 01/15/26 (Call 12/15/25) |
145 | 143,615 | ||||||
NiSource Inc. 3.60%, 05/01/30 (Call 02/01/30) |
615 | 551,176 | ||||||
4.38%, 05/15/47 (Call 11/15/46) |
1,180 | 967,878 | ||||||
|
|
|||||||
1,940,184 | ||||||||
Health Care - Products — 2.3% | ||||||||
DENTSPLY
SIRONA Inc., 3.25%, 06/01/30 |
1,105 | 949,270 | ||||||
HCA Inc. 3.13%, 03/15/27 (Call 02/15/27) |
70 | 64,332 | ||||||
3.63%, 03/15/32 (Call 12/15/31) |
1,035 | 890,174 | ||||||
Revvity
Inc. |
375 | 295,249 | ||||||
3.30%, 09/15/29 (Call 06/15/29) |
1,196 | 1,063,396 | ||||||
Smith
& Nephew PLC, 2.03%, 10/14/30 |
1,570 | 1,242,227 | ||||||
STERIS
Irish FinCo UnLtd Co. |
510 | 422,135 | ||||||
3.75%, 03/15/51 (Call 09/15/50) |
495 | 361,043 | ||||||
Zimmer Biomet Holdings Inc., 2.60%, 11/24/31 |
||||||||
(Call 08/24/31) |
780 | 635,402 | ||||||
|
|
|||||||
5,923,228 | ||||||||
Health Care - Services — 2.0% | ||||||||
Centene
Corp. |
1,423 | 1,218,327 | ||||||
3.38%, 02/15/30 (Call 02/15/25) |
705 | 603,337 | ||||||
Elevance Health Inc., 4.65%, 01/15/43 |
300 | 266,567 | ||||||
HCA Inc. 3.38%, 03/15/29 (Call 01/15/29) |
315 | 280,843 | ||||||
4.13%, 06/15/29 (Call 03/15/29) |
1,300 | 1,200,819 | ||||||
5.13%, 06/15/39 (Call 12/15/38) |
40 | 36,284 | ||||||
Humana
Inc. |
140 | 124,449 |
S C H E D U L E O F I N V E S T M E N T S |
15 |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® Investment Grade Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Health Care - Services (continued) | ||||||||
4.95%, 10/01/44 (Call 04/01/44) |
$ | 342 | $ | 303,118 | ||||
IQVIA Inc., 5.70%, 05/15/28 (Call 04/15/28)(d) |
800 | 797,030 | ||||||
Laboratory Corp. of America Holdings, 4.70%, 02/01/45 |
||||||||
(Call 08/01/44) |
173 | 148,223 | ||||||
|
|
|||||||
4,978,997 | ||||||||
Holding Companies - Diversified — 2.4% | ||||||||
Ares
Capital Corp. |
391 | 303,810 | ||||||
3.88%, 01/15/26 (Call 12/15/25) |
1,363 | 1,274,892 | ||||||
Blackstone
Secured Lending Fund |
470 | 388,207 | ||||||
3.63%, 01/15/26 (Call 12/15/25) |
1,065 | 986,557 | ||||||
Blue
Owl Capital Corp. |
165 | 136,328 | ||||||
3.40%, 07/15/26 (Call 06/15/26) |
1,395 | 1,256,481 | ||||||
FS
KKR Capital Corp. |
1,140 | 931,121 | ||||||
3.40%, 01/15/26 (Call 12/15/25) |
480 | 440,142 | ||||||
Golub
Capital BDC Inc., |
420 | 369,070 | ||||||
|
|
|||||||
6,086,608 | ||||||||
Home Builders — 0.7% | ||||||||
Lennar Corp., 4.75%, 11/29/27 (Call 05/29/27) |
765 | 741,762 | ||||||
NVR Inc., 3.00%, 05/15/30 (Call 11/15/29) |
1,295 | 1,108,225 | ||||||
|
|
|||||||
1,849,987 | ||||||||
Household Products & Wares — 0.1% | ||||||||
Avery
Dennison Corp., 4.88%, 12/06/28 |
150 | 146,632 | ||||||
|
|
|||||||
Insurance — 3.7% | ||||||||
American
International Group Inc. |
915 | 885,038 | ||||||
Series A-9, 5.75%, 04/01/48 (Call 04/01/28), |
||||||||
(3-mo. LIBOR US + 2.868%)(b) |
710 | 670,418 | ||||||
Brown &
Brown Inc. |
475 | 379,717 | ||||||
4.20%, 03/17/32 (Call 12/17/31) |
380 | 340,084 | ||||||
CNA
Financial Corp. |
155 | 144,257 | ||||||
5.50%, 06/15/33 (Call 03/15/33) |
300 | 293,775 | ||||||
Everest
Reinsurance Holdings Inc., |
||||||||
(Call 04/15/50) |
925 | 633,837 | ||||||
Fairfax
Financial Holdings Ltd. |
380 | 318,510 | ||||||
5.63%, 08/16/32 (Call 05/16/32) |
1,015 | 979,621 | ||||||
Fidelity
National Financial Inc. |
430 | 341,947 | ||||||
3.40%, 06/15/30 (Call 03/15/30)(a) |
235 | 204,230 | ||||||
First
American Financial Corp., 2.40%, 08/15/31 |
475 | 364,211 | ||||||
Markel
Group Inc. |
400 | 271,310 | ||||||
5.00%, 05/20/49 (Call 11/20/48) |
190 | 166,294 | ||||||
Old
Republic International Corp., |
||||||||
(Call 12/11/50) |
440 | 306,738 | ||||||
Prudential
Financial Inc. |
||||||||
(5-year CMT + 3.035%)(b) |
776 | 660,373 | ||||||
5.70%, 09/15/48 (Call 09/15/28), |
||||||||
(3-mo. LIBOR US + 2.665%)(b) |
1,200 | 1,136,208 |
Security | Par (000) |
Value | ||||||
Insurance (continued) | ||||||||
Willis
North America Inc. 4.50%, 09/15/28 |
$ | 178 | $ | 169,657 | ||||
4.65%, 06/15/27 (Call 05/15/27) |
915 | 886,090 | ||||||
5.35%, 05/15/33 (Call 02/15/33) |
360 | 347,510 | ||||||
|
|
|||||||
9,499,825 | ||||||||
Internet — 0.9% | ||||||||
Alphabet Inc., 2.05%, 08/15/50 (Call 02/15/50) |
2,080 | 1,245,068 | ||||||
VeriSign Inc., 2.70%, 06/15/31 (Call 03/15/31) |
1,135 | 929,235 | ||||||
|
|
|||||||
2,174,303 | ||||||||
Iron & Steel — 0.6% | ||||||||
ArcelorMittal SA 6.55%, 11/29/27 (Call 10/29/27) |
188 | 192,806 | ||||||
6.80%, 11/29/32 (Call 08/29/32) |
1,200 | 1,232,829 | ||||||
|
|
|||||||
1,425,635 | ||||||||
Lodging — 0.4% | ||||||||
Marriott
International Inc./MD, Series FF, |
1,205 | 1,141,870 | ||||||
|
|
|||||||
Machinery — 0.6% | ||||||||
nVent Finance Sarl, 5.65%, 05/15/33 (Call 02/15/33) |
300 | 290,351 | ||||||
Westinghouse
Air Brake Technologies Corp., 4.95%, 09/15/28 |
1,259 | 1,214,361 | ||||||
|
|
|||||||
1,504,712 | ||||||||
Manufacturing — 1.0% | ||||||||
Carlisle
Companies Inc., 2.75%, 03/01/30 |
1,140 | 964,634 | ||||||
General
Electric Co. |
285 | 299,430 | ||||||
6.75%, 03/15/32(a) |
1,059 | 1,180,977 | ||||||
Textron Inc., 3.00%, 06/01/30 (Call 03/01/30) |
225 | 194,641 | ||||||
|
|
|||||||
2,639,682 | ||||||||
Media — 0.7% | ||||||||
Comcast Corp., 1.95%, 01/15/31 (Call 10/15/30) |
330 | 266,826 | ||||||
FactSet Research Systems Inc., 3.45%, 03/01/32 |
||||||||
(Call 12/01/31) |
65 | 55,081 | ||||||
Fox
Corp. |
80 | 77,174 | ||||||
5.48%, 01/25/39 (Call 07/25/38) |
1,158 | 1,050,940 | ||||||
Walt Disney Co. (The), 6.65%, 11/15/37 |
198 | 223,126 | ||||||
|
|
|||||||
1,673,147 | ||||||||
Mining — 1.0% | ||||||||
Freeport-McMoRan
Inc. |
220 | 203,465 | ||||||
5.45%, 03/15/43 (Call 09/15/42) |
425 | 381,456 | ||||||
Newmont Corp., 4.88%, 03/15/42 (Call 09/15/41) |
783 | 702,673 | ||||||
Southern
Copper Corp. |
65 | 60,118 | ||||||
5.88%, 04/23/45(a) |
678 | 667,273 | ||||||
6.75%, 04/16/40 |
535 | 580,539 | ||||||
|
|
|||||||
2,595,524 | ||||||||
Office & Business Equipment — 0.6% | ||||||||
CDW
LLC/CDW Finance Corp. |
108 | 97,898 | ||||||
3.28%, 12/01/28 (Call 10/01/28) |
370 | 324,461 | ||||||
3.57%, 12/01/31 (Call 09/01/31) |
1,230 | 1,040,053 | ||||||
|
|
|||||||
1,462,412 | ||||||||
Oil & Gas — 3.0% | ||||||||
BP
Capital Markets PLC |
1,280 | 1,224,640 |
16 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® Investment Grade Bond Factor ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Oil & Gas (continued) | ||||||||
4.88%,
(Call 03/22/30), |
$ | 1,317 | $ | 1,192,694 | ||||
Canadian Natural Resources Ltd., 3.85%, 06/01/27 |
||||||||
(Call 03/01/27) |
1,315 | 1,244,026 | ||||||
Diamondback Energy Inc., 6.25%, 03/15/33 |
||||||||
(Call 12/15/32) |
66 | 68,202 | ||||||
EQT Corp., 5.70%, 04/01/28 (Call 03/01/28) |
300 | 298,669 | ||||||
Occidental
Petroleum Corp. |
560 | 606,761 | ||||||
8.88%, 07/15/30 (Call 01/15/30) |
1,088 | 1,247,338 | ||||||
Pioneer Natural Resources Co., 2.15%, 01/15/31 |
||||||||
(Call 10/15/30)(a) |
585 | 474,082 | ||||||
Valero Energy Corp., 6.63%, 06/15/37 |
1,065 | 1,133,525 | ||||||
|
|
|||||||
7,489,937 | ||||||||
Packaging & Containers — 0.5% | ||||||||
Amcor
Finance USA Inc. |
184 | 174,416 | ||||||
5.63%, 05/26/33 (Call 02/26/33) |
230 | 228,229 | ||||||
Amcor Flexibles North America Inc., 2.69%, 05/25/31 |
||||||||
(Call 02/25/31) |
1,172 | 953,565 | ||||||
|
|
|||||||
1,356,210 | ||||||||
Pharmaceuticals — 2.9% | ||||||||
AbbVie Inc. 4.50%, 05/14/35 (Call 11/14/34) |
597 | 561,654 | ||||||
4.70%, 05/14/45 (Call 11/14/44) |
455 | 409,192 | ||||||
4.85%, 06/15/44 (Call 12/15/43) |
100 | 91,420 | ||||||
AstraZeneca PLC, 6.45%, 09/15/37 |
923 | 1,038,220 | ||||||
Cencora Inc., 2.70%, 03/15/31 (Call 12/15/30) |
1,414 | 1,189,417 | ||||||
Cigna
Group (The) |
20 | 18,436 | ||||||
4.80%, 07/15/46 (Call 01/16/46) |
1,109 | 984,647 | ||||||
4.90%, 12/15/48 (Call 06/15/48) |
91 | 81,147 | ||||||
CVS
Health Corp. |
545 | 487,129 | ||||||
4.78%, 03/25/38 (Call 09/25/37) |
1,114 | 997,651 | ||||||
5.13%, 07/20/45 (Call 01/20/45) |
152 | 135,404 | ||||||
Johnson &
Johnson |
1,905 | 1,200,508 | ||||||
2.45%, 09/01/60 (Call 03/01/60) |
100 | 61,390 | ||||||
Zoetis Inc., 4.70%, 02/01/43 (Call 08/01/42) |
200 | 181,323 | ||||||
|
|
|||||||
7,437,538 | ||||||||
Pipelines — 8.4% | ||||||||
Boardwalk
Pipelines LP |
185 | 157,726 | ||||||
3.60%, 09/01/32 (Call 06/01/32) |
335 | 281,671 | ||||||
Cheniere
Corpus Christi Holdings LLC |
265 | 240,909 | ||||||
5.13%, 06/30/27 (Call 01/01/27) |
1,235 | 1,221,871 | ||||||
Cheniere Energy Inc., 4.63%, 10/15/28 (Call 10/15/23) |
1,330 | 1,251,939 | ||||||
Cheniere
Energy Partners LP |
270 | 238,371 | ||||||
4.50%, 10/01/29 (Call 10/01/24) |
1,345 | 1,241,027 | ||||||
Enbridge
Inc. |
1,245 | 1,117,833 | ||||||
6.25%,
03/01/78 (Call 03/01/28), |
885 | 824,347 | ||||||
Energy
Transfer LP |
746 | 724,711 | ||||||
5.25%, 04/15/29 (Call 01/15/29) |
1,235 | 1,206,631 |
Security |
Par (000) |
Value | ||||||
Pipelines (continued) | ||||||||
5.75%, 02/15/33 (Call 11/15/32) |
$ | 515 | $ | 512,030 | ||||
Enterprise
Products Operating LLC, |
1,445 | 1,271,369 | ||||||
Kinder
Morgan Inc. |
1,124 | 1,071,441 | ||||||
5.30%, 12/01/34 (Call 06/01/34) |
326 | 310,063 | ||||||
MPLX
LP |
100 | 82,993 | ||||||
4.50%, 04/15/38 (Call 10/15/37) |
1,090 | 923,463 | ||||||
ONEOK Inc. 3.10%, 03/15/30 (Call 12/15/29) |
430 | 369,172 | ||||||
3.40%, 09/01/29 (Call 06/01/29) |
345 | 304,747 | ||||||
4.55%, 07/15/28 (Call 04/15/28) |
635 | 605,490 | ||||||
6.10%, 11/15/32 (Call 08/15/32) |
440 | 446,947 | ||||||
Plains All American Pipeline LP/PAA Finance Corp., 3.55%, 12/15/29 (Call 09/15/29) |
320 | 281,325 | ||||||
Sabine
Pass Liquefaction LLC |
1,300 | 1,231,119 | ||||||
4.50%, 05/15/30 (Call 11/15/29) |
360 | 338,779 | ||||||
Targa
Resources Corp. |
1,455 | 1,336,387 | ||||||
5.50%, 03/01/30 (Call 03/01/25) |
185 | 177,344 | ||||||
Transcanada
Trust |
||||||||
(3 mo. LIBOR US + 3.208%)(b) |
1,492 | 1,298,040 | ||||||
Series 16-A, 5.88%, 08/15/76 (Call 08/15/26), |
||||||||
(3 mo. LIBOR US + 4.640%)(b) |
843 | 777,375 | ||||||
Western
Midstream Operating LP |
1,360 | 1,213,128 | ||||||
6.15%, 04/01/33 (Call 01/01/33) |
290 | 288,552 | ||||||
|
|
|||||||
21,346,800 | ||||||||
Real Estate — 0.1% | ||||||||
CBRE
Services Inc., 5.95%, 08/15/34 |
140 | 138,478 | ||||||
|
|
|||||||
Real Estate Investment Trusts — 7.0% | ||||||||
American
Homes 4 Rent LP, 3.63%, 04/15/32 |
435 | 372,676 | ||||||
American
Tower Corp. |
600 | 511,124 | ||||||
3.38%, 10/15/26 (Call 07/15/26) |
77 | 72,130 | ||||||
3.55%, 07/15/27 (Call 04/15/27) |
180 | 166,904 | ||||||
3.80%, 08/15/29 (Call 05/15/29) |
1,333 | 1,212,300 | ||||||
3.95%, 03/15/29 (Call 12/15/28) |
65 | 59,804 | ||||||
Brixmor
Operating Partnership LP |
450 | 406,535 | ||||||
4.13%, 05/15/29 (Call 02/15/29) |
1,050 | 955,114 | ||||||
Crown
Castle International Corp. |
65 | 60,553 | ||||||
3.80%, 02/15/28 (Call 11/15/27) |
245 | 227,868 | ||||||
CubeSmart
LP, |
405 | 342,967 | ||||||
Digital
Realty Trust LP |
100 | 90,177 | ||||||
3.70%, 08/15/27 (Call 05/15/27) |
1,165 | 1,085,428 | ||||||
5.55%, 01/15/28 (Call 12/15/27) |
80 | 79,781 | ||||||
Equinix
Inc. |
1,040 | 839,144 | ||||||
3.20%, 11/18/29 (Call 08/18/29) |
516 | 452,040 | ||||||
Extra
Space Storage LP |
380 | 356,234 | ||||||
5.70%, 04/01/28 (Call 03/01/28) |
300 | 301,319 |
S C H E D U L E O F I N V E S T M E N T S |
17 |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® Investment Grade Bond Factor ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Real Estate Investment Trusts (continued) | ||||||||
GLP
Capital LP/GLP Financing II Inc. |
$ | 70 | $ | 56,440 | ||||
5.25%, 06/01/25 (Call 03/01/25) |
495 | 485,881 | ||||||
5.30%, 01/15/29 (Call 10/15/28) |
946 | 891,986 | ||||||
Healthpeak Properties Inc., 3.50%, 07/15/29 |
||||||||
(Call 04/15/29) |
220 | 197,570 | ||||||
Host Hotels & Resorts LP, Series I, 3.50%, 09/15/30 |
||||||||
(Call 06/15/30) |
1,090 | 929,886 | ||||||
Invitation
Homes Operating Partnership LP |
480 | 367,291 | ||||||
2.30%, 11/15/28 (Call 09/15/28) |
425 | 361,123 | ||||||
4.15%, 04/15/32 (Call 01/15/32)(a) |
405 | 360,449 | ||||||
Physicians
Realty LP, |
340 | 264,118 | ||||||
Sun
Communities Operating LP |
1,070 | 849,563 | ||||||
4.20%, 04/15/32 (Call 01/15/32) |
520 | 457,275 | ||||||
Ventas Realty LP, 4.40%, 01/15/29 (Call 10/15/28) |
685 | 643,137 | ||||||
VICI
Properties LP |
1,307 | 1,242,875 | ||||||
4.95%, 02/15/30 (Call 12/15/29) |
196 | 184,358 | ||||||
Welltower Inc., 3.85%, 06/15/32 (Call 03/15/32) |
185 | 162,573 | ||||||
Welltower
OP LLC 2.80%, 06/01/31 |
145 | 119,605 | ||||||
3.10%, 01/15/30 (Call 10/15/29) |
1,035 | 899,352 | ||||||
4.25%, 04/15/28 (Call 01/15/28) |
501 | 474,342 | ||||||
Weyerhaeuser
Co., 4.00%, 11/15/29 |
990 | 913,590 | ||||||
WP Carey Inc., 2.40%, 02/01/31 (Call 11/01/30)(a) |
360 | 287,736 | ||||||
|
|
|||||||
17,741,248 | ||||||||
Retail — 1.7% | ||||||||
Dollar
General Corp., 5.45%, 07/05/33 |
1,270 | 1,232,266 | ||||||
Dollar Tree Inc., 4.20%, 05/15/28 (Call 02/15/28) |
1,172 | 1,112,164 | ||||||
McDonald’s
Corp. |
279 | 266,577 | ||||||
4.88%, 12/09/45 (Call 06/09/45) |
165 | 152,394 | ||||||
O’Reilly Automotive Inc., 3.90%, 06/01/29 |
||||||||
(Call 03/01/29)(a) |
180 | 168,886 | ||||||
Walgreens Boots Alliance Inc. 3.45%, 06/01/26 (Call 03/01/26) |
1,018 | 961,636 | ||||||
4.10%, 04/15/50 (Call 10/15/49) |
68 | 46,436 | ||||||
4.80%, 11/18/44 (Call 05/18/44)(a) |
517 | 404,525 | ||||||
|
|
|||||||
4,344,884 | ||||||||
Semiconductors — 3.0% | ||||||||
Broadcom
Corp./Broadcom Cayman Finance Ltd., |
321 | 305,001 | ||||||
Broadcom Inc. 4.00%, 04/15/29 (Call 02/15/29)(d) |
450 | 415,018 | ||||||
4.15%, 11/15/30 (Call 08/15/30) |
1,000 | 914,337 | ||||||
4.75%, 04/15/29 (Call 01/15/29) |
692 | 667,361 | ||||||
5.00%, 04/15/30 (Call 01/15/30)(a) |
372 | 366,553 | ||||||
Micron Technology Inc. |
||||||||
4.66%, 02/15/30 (Call 11/15/29)(a) |
1,022 | 957,976 | ||||||
5.33%, 02/06/29 (Call 11/06/28) |
230 | 225,492 | ||||||
6.75%, 11/01/29 (Call 09/01/29) |
343 | 356,945 | ||||||
NXP BV/NXP Funding LLC, 5.55%, 12/01/28 |
||||||||
(Call 09/01/28)(a) |
300 | 300,554 | ||||||
NXP
BV/NXP Funding LLC/NXP USA Inc. |
87 | 76,432 | ||||||
4.30%, 06/18/29 (Call 03/18/29) |
1,324 | 1,239,885 |
Security |
Par (000) |
Value | ||||||
Semiconductors (continued) | ||||||||
Qorvo
Inc. |
$ | 235 | $ | 220,392 | ||||
4.38%, 10/15/29 (Call 10/15/24) |
1,185 | 1,073,627 | ||||||
Skyworks
Solutions Inc. |
312 | 278,883 | ||||||
3.00%, 06/01/31 (Call 03/01/31) |
355 | 288,847 | ||||||
|
|
|||||||
7,687,303 | ||||||||
Shipbuilding — 0.3% |
||||||||
Huntington
Ingalls Industries Inc. |
410 | 347,722 | ||||||
4.20%, 05/01/30 (Call 02/01/30)(a) |
320 | 295,550 | ||||||
|
|
|||||||
643,272 | ||||||||
Software — 2.7% | ||||||||
Broadridge
Financial Solutions Inc. |
520 | 424,361 | ||||||
2.90%, 12/01/29 (Call 09/01/29)(a) |
930 | 801,698 | ||||||
Oracle
Corp. |
759 | 657,909 | ||||||
3.90%, 05/15/35 (Call 11/15/34) |
215 | 183,583 | ||||||
4.30%, 07/08/34 (Call 01/08/34) |
1,230 | 1,102,891 | ||||||
5.38%, 07/15/40 |
1,315 | 1,225,715 | ||||||
6.25%, 11/09/32 (Call 08/09/32) |
830 | 868,733 | ||||||
VMware
Inc. |
1,256 | 1,183,564 | ||||||
4.70%, 05/15/30 (Call 02/15/30) |
370 | 348,725 | ||||||
|
|
|||||||
6,797,179 | ||||||||
Telecommunications — 5.2% | ||||||||
AT&T
Inc. |
251 | 237,475 | ||||||
5.54%, 02/20/26 (Call 02/20/24) |
46 | 45,922 | ||||||
Deutsche
Telekom International Finance BV, |
1,025 | 1,206,844 | ||||||
Juniper
Networks Inc., |
165 | 150,048 | ||||||
Motorola
Solutions Inc. |
375 | 298,834 | ||||||
2.75%, 05/24/31 (Call 02/24/31) |
254 | 206,036 | ||||||
4.60%, 05/23/29 (Call 02/23/29)(a) |
935 | 900,950 | ||||||
Orange SA, 9.00%, 03/01/31 |
968 | 1,174,490 | ||||||
Rogers Communications Inc., 3.80%, 03/15/32 |
||||||||
(Call 12/15/31) |
1,433 | 1,225,608 | ||||||
Sprint Capital Corp. 6.88%, 11/15/28 |
315 | 332,767 | ||||||
8.75%, 03/15/32 |
1,030 | 1,227,616 | ||||||
TELUS Corp., 3.40%, 05/13/32 (Call 02/13/32) |
1,318 | 1,109,789 | ||||||
T-Mobile USA Inc. |
||||||||
2.40%, 03/15/29 (Call 01/15/29) |
150 | 128,942 | ||||||
2.55%, 02/15/31 (Call 11/15/30) |
725 | 597,415 | ||||||
2.70%, 03/15/32 (Call 12/15/31) |
95 | 77,357 | ||||||
3.60%, 11/15/60 (Call 05/15/60) |
155 | 103,802 | ||||||
3.75%, 04/15/27 (Call 02/15/27) |
930 | 881,449 | ||||||
3.88%, 04/15/30 (Call 01/15/30) |
1,295 | 1,181,979 | ||||||
4.38%, 04/15/40 (Call 10/15/39) |
290 | 249,223 | ||||||
4.50%, 04/15/50 (Call 10/15/49) |
11 | 9,086 | ||||||
Verizon Communications Inc. |
||||||||
4.27%, 01/15/36 |
358 | 317,835 | ||||||
4.40%, 11/01/34 (Call 05/01/34) |
366 | 331,607 | ||||||
4.50%, 08/10/33 |
77 | 71,142 | ||||||
5.25%, 03/16/37 |
1,034 | 1,007,266 | ||||||
|
|
|||||||
13,073,482 |
18 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) August 31, 20223 |
iShares® Investment Grade Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par/ Shares (000) |
Value | ||||||
|
||||||||
Transportation — 0.3% | ||||||||
United Parcel Service Inc., 6.20%, 01/15/38 |
$ | 800 | $ | 894,242 | ||||
Total
Long-Term Investments — 98.1% |
248,324,832 | |||||||
|
|
|||||||
Short-Term Securities |
||||||||
Money Market Funds — 6.6% | ||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares, 5.52%(e)(f)(g) |
15,462 | 15,466,591 | ||||||
BlackRock Cash Funds: Treasury, SL Agency Shares, 5.31%(e)(f) |
1,090 | 1,090,000 | ||||||
|
|
|||||||
Total
Short-Term Securities — 6.6% |
16,556,591 | |||||||
|
|
|||||||
Total
Investments — 104.7% |
264,881,423 | |||||||
Liabilities in Excess of Other Assets — (4.7)% |
(11,830,846 | ) | ||||||
|
|
|||||||
Net Assets — 100.0% |
$ | 253,050,577 | ||||||
|
|
(a) |
All or a portion of this security is on loan. |
(b) |
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. |
(c) |
Perpetual security with no stated maturity date. |
(d) |
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. |
(e) |
Affiliate of the Fund. |
(f) |
Annualized 7-day yield as of period end. |
(g) |
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 six months ended August 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
||||||||||||||||||||||||||||||||||||||||||
Affiliated Issuer | Value at 02/28/23 |
Purchases at Cost |
Proceeds from Sale |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value at 08/31/23 |
Shares Held at 08/31/23 (000) |
Income | Capital
Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||||||||
|
BlackRock Cash Funds: Institutional, SL Agency Shares |
$ | 13,118,282 | $ | 2,354,331 | (a) | $ | — | $ | (5,105 | ) | $ | (917 | ) | $ | 15,466,591 | 15,462 | $ | 25,536 | (b) | $ | — | ||||||||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares |
2,043,000 | — | (953,000 | )(a) | — | — | 1,090,000 | 1,090 | 34,841 | — | ||||||||||||||||||||||||||||||||
$ | (5,105 | ) | $ | (917 | ) | $ | 16,556,591 | $ | 60,377 | $ | — | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(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 | |||||||||||||
|
||||||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Corporate Bonds & Notes |
$ | — | $ | 248,324,832 | $ | — | $ | 248,324,832 | ||||||||
Short-Term Securities |
||||||||||||||||
Money Market Funds |
16,556,591 | — | — | 16,556,591 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 16,556,591 | $ | 248,324,832 | $ | — | $ | 264,881,423 | |||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
S C H E D U L E O F I N V E S T M E N T S |
19 |
Schedule of Investments (unaudited) August 31, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Collaterized Mortgage Obligations |
||||||||
Mortgage-Backed Securities — 1.5% | ||||||||
Bank,
Series 2017, Class A5, 3.44%, 09/15/60 |
$ | 40 | $ | 36,803 | ||||
COMM
Mortgage Trust, 2.87%, 08/15/57 |
50 | 45,418 | ||||||
GS Mortgage Securities Trust, 2.91%, 02/13/53 |
||||||||
(Call 01/13/30) |
75 | 64,504 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A4, 3.72%, 07/15/50 |
25 | 23,913 | ||||||
Wells Fargo Commercial Mortgage Trust, 3.79%, 12/15/49 (Call 12/15/26) |
10 | 9,381 | ||||||
|
|
|||||||
180,019 | ||||||||
|
|
|||||||
Total
Collaterized Mortgage Obligations — 1.5% |
180,019 | |||||||
|
|
|||||||
Corporate Bonds & Notes |
||||||||
Advertising — 0.1% | ||||||||
Advantage
Sales & Marketing Inc., 6.50%, 11/15/28 |
5 | 4,359 | ||||||
Omnicom Group Inc., 3.65%, 11/01/24 (Call 08/01/24) |
6 | 5,858 | ||||||
|
|
|||||||
10,217 | ||||||||
Aerospace & Defense — 1.1% | ||||||||
Boeing Co. (The) |
||||||||
2.20%, 02/04/26 (Call 09/11/23) |
45 | 41,513 | ||||||
3.25%, 02/01/35 (Call 11/01/34) |
8 | 6,423 | ||||||
4.88%, 05/01/25 (Call 04/01/25) |
10 | 9,862 | ||||||
5.15%, 05/01/30 (Call 02/01/30) |
15 | 14,758 | ||||||
5.71%, 05/01/40 (Call 11/01/39) |
2 | 1,944 | ||||||
5.93%, 05/01/60 (Call 11/01/59) |
9 | 8,687 | ||||||
General
Dynamics Corp., 3.25%, 04/01/25 |
10 | 9,689 | ||||||
L3Harris
Technologies Inc. 4.40%, 06/15/28 |
15 | 14,422 | ||||||
Northrop Grumman Corp., 4.75%, 06/01/43 |
3 | 2,725 | ||||||
Rolls-Royce PLC, 5.75%, 10/15/27 (Call 07/15/27)(a) |
5 | 4,854 | ||||||
RTX Corp. |
||||||||
3.95%, 08/16/25 (Call 06/16/25) |
10 | 9,722 | ||||||
4.88%, 10/15/40 |
11 | 10,061 | ||||||
Spirit AeroSystems Inc. |
||||||||
7.50%, 04/15/25 (Call 10/02/23)(a) |
5 | 4,938 | ||||||
9.38%, 11/30/29 (Call 11/30/25)(a) |
2 | 2,084 | ||||||
|
|
|||||||
141,682 | ||||||||
Agriculture — 1.0% | ||||||||
Altria Group Inc. |
||||||||
3.40%, 05/06/30 (Call 02/06/30) |
10 | 8,785 | ||||||
5.38%, 01/31/44(b) |
10 | 9,285 | ||||||
5.80%, 02/14/39 (Call 08/14/38) |
13 | 12,666 | ||||||
BAT Capital Corp. |
||||||||
2.73%, 03/25/31 (Call 12/25/30) |
15 | 11,876 | ||||||
3.22%, 08/15/24 (Call 06/15/24) |
3 | 2,926 | ||||||
3.56%, 08/15/27 (Call 05/15/27) |
3 | 2,783 | ||||||
4.91%, 04/02/30 (Call 01/02/30) |
4 | 3,767 | ||||||
BAT
International Finance PLC, 4.45%, 03/16/28 |
10 | 9,480 | ||||||
Philip Morris International Inc. |
||||||||
3.25%, 11/10/24 |
10 | 9,738 | ||||||
3.38%, 08/15/29 (Call 05/15/29) |
5 | 4,498 | ||||||
5.00%, 11/17/25 |
10 | 9,941 | ||||||
5.38%, 02/15/33 (Call 11/15/32) |
8 | 7,900 | ||||||
6.38%, 05/16/38(b) |
10 | 10,742 |
Security | Par (000) |
Value | ||||||
Agriculture (continued) | ||||||||
Reynolds American Inc. |
||||||||
4.45%, 06/12/25 (Call 03/12/25) |
$ | 5 | $ | 4,892 | ||||
5.70%, 08/15/35 (Call 02/15/35) |
5 | 4,625 | ||||||
5.85%, 08/15/45 (Call 02/15/45) |
10 | 8,687 | ||||||
Vector Group Ltd., 5.75%, 02/01/29 (Call 02/01/24)(a) |
5 | 4,353 | ||||||
|
|
|||||||
126,944 | ||||||||
Airlines — 0.1% | ||||||||
Air Canada, 3.88%, 08/15/26 (Call 02/15/26)(a) |
3 | 2,770 | ||||||
American Airlines Inc., 11.75%, 07/15/25(a) |
3 | 3,284 | ||||||
Delta Air Lines Inc., 7.38%, 01/15/26 (Call 12/15/25) |
3 | 3,086 | ||||||
|
|
|||||||
9,140 | ||||||||
Auto Manufacturers — 1.1% | ||||||||
American Honda Finance Corp., 5.25%, 07/07/26 |
18 | 18,029 | ||||||
Ford Motor Co. |
||||||||
5.29%, 12/08/46 (Call 06/08/46) |
2 | 1,571 | ||||||
7.45%, 07/16/31 |
5 | 5,271 | ||||||
Ford Motor Credit Co. LLC, 4.13%, 08/04/25 |
5 | 4,762 | ||||||
General Motors Financial Co. Inc. |
||||||||
2.90%, 02/26/25 (Call 01/26/25) |
20 | 19,097 | ||||||
5.40%, 04/06/26 |
15 | 14,813 | ||||||
6.05%, 10/10/25 |
5 | 5,005 | ||||||
Jaguar Land Rover Automotive PLC |
||||||||
4.50%, 10/01/27 (Call 07/01/27)(a) |
2 | 1,745 | ||||||
5.50%, 07/15/29 (Call 07/15/24)(a) |
2 | 1,738 | ||||||
PACCAR Financial Corp., 4.95%, 10/03/25 |
15 | 14,955 | ||||||
Toyota Motor Credit Corp. |
||||||||
1.45%, 01/13/25 |
20 | 18,988 | ||||||
3.95%, 06/30/25 |
10 | 9,769 | ||||||
4.80%, 01/10/25 |
15 | 14,894 | ||||||
|
|
|||||||
130,637 | ||||||||
Auto Parts & Equipment — 0.1% | ||||||||
Aptiv PLC, 3.25%, 03/01/32 (Call 12/01/31) |
15 | 12,720 | ||||||
|
|
|||||||
Banks — 11.6% | ||||||||
Bank of America Corp. |
||||||||
2.88%,
10/22/30 (Call 10/22/29), |
10 | 8,579 | ||||||
3.19%,
07/23/30 (Call 07/23/29), |
20 | 17,558 | ||||||
3.37%,
01/23/26 (Call 01/23/25), |
20 | 19,288 | ||||||
3.97%,
03/05/29 (Call 03/05/28), |
10 | 9,345 | ||||||
3.97%,
02/07/30 (Call 02/07/29), |
18 | 16,572 | ||||||
4.20%, 08/26/24 |
25 | 24,555 | ||||||
4.30%, (Call 01/28/25), (3-mo. SOFR + 2.926%)(c)(d) |
11 | 9,978 | ||||||
5.13%, (Call 06/20/24), (3-mo. SOFR + 3.554%)(c)(d) |
50 | 48,719 | ||||||
6.10%, (Call 03/17/25), (3-mo. SOFR + 4.160%)(c)(d) |
16 | 15,727 | ||||||
Series L, 3.95%, 04/21/25 |
10 | 9,679 | ||||||
Bank of Montreal |
||||||||
1.50%, 01/10/25 |
15 | 14,190 | ||||||
3.70%, 06/07/25 |
15 | 14,489 | ||||||
Bank of New York Mellon Corp. (The) |
||||||||
0.75%, 01/28/26 (Call 12/28/25) |
14 | 12,641 | ||||||
3.35%, 04/25/25 (Call 03/25/25) |
20 | 19,280 | ||||||
Series
F, 4.63%, (Call 09/20/26), |
16 | 14,357 | ||||||
Bank of Nova Scotia (The), 3.45%, 04/11/25 |
40 | 38,638 |
20 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Banks (continued) | ||||||||
Canadian Imperial Bank of Commerce |
||||||||
1.00%, 10/18/24 |
$ | 10 | $ | 9,484 | ||||
3.95%, 08/04/25 |
5 | 4,845 | ||||||
Citigroup Inc. |
||||||||
2.01%,
01/25/26 (Call 01/25/25), |
15 | 14,190 | ||||||
3.98%,
03/20/30 (Call 03/20/29), |
15 | 13,814 | ||||||
4.40%, 06/10/25 |
55 | 53,631 | ||||||
Goldman Sachs Group Inc., |
||||||||
0.86%,
02/12/26 (Call 02/12/25), |
30 | 27,828 | ||||||
2.62%,
04/22/32 (Call 04/22/31), |
25 | 20,229 | ||||||
3.27%,
09/29/25 (Call 09/29/24), |
10 | 9,698 | ||||||
3.81%,
04/23/29 (Call 04/23/28), |
22 | 20,357 | ||||||
4.22%,
05/01/29 (Call 05/01/28), |
17 | 16,017 | ||||||
5.70%, 11/01/24 |
30 | 29,943 | ||||||
HSBC
Holdings PLC, 2.10%, 06/04/26 (Call 06/04/25), |
200 | 186,418 | ||||||
Intesa Sanpaolo SpA |
||||||||
4.95%,
06/01/42 (Call 06/01/41), |
2 | 1,333 | ||||||
5.71%, 01/15/26(a) |
2 | 1,922 | ||||||
JPMorgan Chase & Co. |
||||||||
1.95%,
02/04/32 (Call 02/04/31), |
42 | 33,103 | ||||||
2.01%,
03/13/26 (Call 03/13/25), |
40 | 37,735 | ||||||
2.30%,
10/15/25 (Call 10/15/24), |
25 | 23,983 | ||||||
2.74%,
10/15/30 (Call 10/15/29), |
8 | 6,858 | ||||||
5.00%,
(Call 08/01/24), |
10 | 9,794 | ||||||
Series
HH, 4.60%, (Call 02/01/25), |
25 | 23,455 | ||||||
M&T
Bank Corp., 4.55%, 08/16/28 |
20 | 18,707 | ||||||
Mitsubishi
UFJ Financial Group Inc., |
45 | 43,699 | ||||||
Morgan Stanley |
||||||||
2.70%,
01/22/31 (Call 01/22/30), |
15 | 12,625 | ||||||
2.72%,
07/22/25 (Call 07/22/24), |
32 | 31,054 | ||||||
3.62%,
04/01/31 (Call 04/01/30), |
15 | 13,329 | ||||||
3.77%,
01/24/29 (Call 01/24/28), |
60 | 55,652 | ||||||
4.00%, 07/23/25 |
10 | 9,700 | ||||||
4.43%,
01/23/30 (Call 01/23/29), |
10 | 9,497 | ||||||
5.00%, 11/24/25 |
40 | 39,394 | ||||||
PNC
Financial Services Group Inc. (The) |
10 | 9,598 | ||||||
5.58%,
06/12/29 (Call 06/12/28), |
41 | 40,664 |
Security | Par (000) |
Value | ||||||
Banks (continued) | ||||||||
6.04%,
10/28/33 (Call 10/28/32), |
$ | 15 | $ | 15,238 | ||||
Royal Bank of Canada |
||||||||
2.25%, 11/01/24 |
20 | 19,230 | ||||||
3.38%, 04/14/25 |
20 | 19,348 | ||||||
4.88%, 01/12/26 |
10 | 9,879 | ||||||
Toronto-Dominion Bank (The) |
||||||||
0.70%, 09/10/24 |
5 | 4,756 | ||||||
1.45%, 01/10/25 |
30 | 28,434 | ||||||
3.77%, 06/06/25 |
5 | 4,854 | ||||||
4.11%, 06/08/27 |
14 | 13,370 | ||||||
Truist
Financial Corp., 4.00%, 05/01/25 |
25 | 24,213 | ||||||
U.S. Bancorp, 1.45%, 05/12/25 (Call 04/11/25) |
20 | 18,703 | ||||||
Wells Fargo & Co. |
||||||||
2.16%,
02/11/26 (Call 02/11/25), |
13 | 12,291 | ||||||
2.41%,
10/30/25 (Call 10/30/24), |
10 | 9,589 | ||||||
2.88%,
10/30/30 (Call 10/30/29), |
15 | 12,836 | ||||||
3.00%, 04/22/26 |
20 | 18,747 | ||||||
3.20%,
06/17/27 (Call 06/17/26), |
20 | 18,697 | ||||||
3.55%, 09/29/25 |
25 | 23,985 | ||||||
3.91%,
04/25/26 (Call 04/25/25), |
18 | 17,402 | ||||||
4.90%,
07/25/33 (Call 07/25/32), |
16 | 15,055 | ||||||
5.39%, 04/24/34, (1-day SOFR + 2.020%)(c) |
7 | 6,818 | ||||||
5.88%,
(Call 06/15/25), |
13 | 12,886 | ||||||
Westpac Banking Corp., 1.02%, 11/18/24 |
10 | 9,478 | ||||||
|
|
|||||||
1,437,960 | ||||||||
Beverages — 0.4% | ||||||||
Anheuser-Busch
Companies LLC/Anheuser-Busch InBev Worldwide Inc., 4.70%,
02/01/36 |
24 | 22,971 | ||||||
Anheuser-Busch InBev Worldwide Inc., 8.20%, 01/15/39 |
5 | 6,390 | ||||||
Keurig
Dr Pepper Inc., 4.42%, 05/25/25 |
6 | 5,884 | ||||||
PepsiCo Inc., 2.25%, 03/19/25 (Call 02/19/25) |
20 | 19,137 | ||||||
|
|
|||||||
54,382 | ||||||||
Biotechnology — 1.1% | ||||||||
Amgen Inc. |
||||||||
3.13%, 05/01/25 (Call 02/01/25) |
5 | 4,810 | ||||||
4.40%, 05/01/45 (Call 11/01/44) |
7 | 5,890 | ||||||
5.25%, 03/02/25 |
9 | 8,962 | ||||||
Biogen Inc. |
||||||||
2.25%, 05/01/30 (Call 02/01/30) |
15 | 12,348 | ||||||
4.05%, 09/15/25 (Call 06/15/25) |
18 | 17,457 | ||||||
Bio-Rad Laboratories Inc., 3.70%,
03/15/32 |
10 | 8,760 | ||||||
Gilead Sciences Inc. |
||||||||
3.65%, 03/01/26 (Call 12/01/25) |
8 | 7,697 | ||||||
4.80%, 04/01/44 (Call 10/01/43) |
17 | 15,638 | ||||||
5.65%, 12/01/41 (Call 06/01/41) |
7 | 7,139 | ||||||
Illumina Inc. |
||||||||
2.55%, 03/23/31 (Call 12/23/30) |
5 | 4,012 | ||||||
5.75%, 12/13/27 (Call 11/13/27) |
6 | 5,985 | ||||||
Regeneron
Pharmaceuticals Inc., 1.75%, 09/15/30 |
15 | 11,938 |
S C H E D U L E O F I N V E S T M E N T S |
21 |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Biotechnology (continued) | ||||||||
Royalty Pharma PLC |
||||||||
1.20%, 09/02/25 (Call 08/02/25) |
$ | 20 | $ | 18,218 | ||||
3.55%, 09/02/50 (Call 03/02/50) |
3 | 1,961 | ||||||
|
|
|||||||
130,815 | ||||||||
Building Materials — 0.2% | ||||||||
Builders
FirstSource Inc., 6.38%, 06/15/32 |
2 | 1,950 | ||||||
Carrier Global Corp., 2.24%, 02/15/25 (Call 01/15/25) |
7 | 6,659 | ||||||
Eagle Materials Inc., 2.50%, 07/01/31 (Call 04/01/31) |
12 | 9,688 | ||||||
Fortune
Brands Innovations Inc., 5.88%, 06/01/33 |
5 | 4,980 | ||||||
|
|
|||||||
23,277 | ||||||||
Chemicals — 0.7% | ||||||||
Albemarle Corp., 5.05%, 06/01/32 (Call 03/01/32)(b) |
5 | 4,707 | ||||||
CVR
Partners LP/CVR Nitrogen Finance Corp., |
2 | 1,790 | ||||||
Dow
Chemical Co. (The), 5.55%, 11/30/48 |
7 | 6,676 | ||||||
DuPont de Nemours Inc. |
||||||||
4.49%, 11/15/25 (Call 09/15/25) |
5 | 4,895 | ||||||
5.32%, 11/15/38 (Call 05/15/38) |
5 | 4,901 | ||||||
Eastman
Chemical Co., 5.75%, 03/08/33 |
9 | 8,877 | ||||||
EverArc
Escrow Sarl, 5.00%, 10/30/29 |
3 | 2,465 | ||||||
FMC Corp., 5.65%, 05/18/33 (Call 02/18/33) |
4 | 3,814 | ||||||
Huntsman
International LLC, 4.50%, 05/01/29 |
15 | 13,891 | ||||||
LYB
International Finance BV, 4.88%, 03/15/44 |
5 | 4,235 | ||||||
LYB
International Finance III LLC, 5.63%, 05/15/33 |
3 | 2,971 | ||||||
LyondellBasell
Industries NV, 4.63%, 02/26/55 |
5 | 3,925 | ||||||
Sasol
Financing USA LLC, 5.50%, 03/18/31 |
5 | 4,002 | ||||||
Sherwin-Williams Co. (The), 4.05%, 08/08/24 |
20 | 19,677 | ||||||
Tronox Inc., 4.63%, 03/15/29 (Call 03/15/24)(a) |
4 | 3,296 | ||||||
|
|
|||||||
90,122 | ||||||||
Coal — 0.0% | ||||||||
SunCoke
Energy Inc., 4.88%, 06/30/29 |
2 | 1,702 | ||||||
|
|
|||||||
Commercial Services — 1.0% | ||||||||
ADT Security Corp. (The) |
||||||||
4.13%, 08/01/29 (Call 08/01/28)(a) |
3 | 2,618 | ||||||
4.88%, 07/15/32(a) |
2 | 1,725 | ||||||
APX Group Inc. |
||||||||
5.75%, 07/15/29 (Call 07/15/24)(a) |
2 | 1,723 | ||||||
6.75%, 02/15/27 (Call 10/02/23)(a) |
5 | 4,859 | ||||||
Block Financial LLC, 5.25%, 10/01/25 (Call 07/01/25) |
10 | 9,847 | ||||||
Cimpress PLC, 7.00%, 06/15/26 (Call 09/18/23) |
3 | 2,813 | ||||||
Deluxe Corp., 8.00%, 06/01/29 (Call 06/01/24)(a) |
2 | 1,688 | ||||||
Equifax Inc. |
||||||||
2.35%, 09/15/31 (Call 06/15/31) |
10 | 7,837 | ||||||
2.60%, 12/01/24 (Call 11/01/24) |
7 | 6,728 | ||||||
Global Payments Inc. |
||||||||
2.15%, 01/15/27 (Call 12/15/26) |
24 | 21,389 | ||||||
3.20%, 08/15/29 (Call 05/15/29) |
7 | 6,094 | ||||||
Hertz Corp. (The), 5.00%, 12/01/29 (Call 12/01/24)(a) |
5 | 4,111 | ||||||
MPH
Acquisition Holdings LLC, 5.50%, 09/01/28 |
5 | 4,246 | ||||||
NESCO
Holdings II Inc., 5.50%, 04/15/29 |
5 | 4,534 | ||||||
Prime Security Services Borrower LLC/Prime Finance Inc., 6.25%, 01/15/28 (Call 10/02/23)(a)(b) |
7 | 6,667 |
Security | Par (000) |
Value | ||||||
Commercial Services (continued) | ||||||||
Quanta Services Inc., 2.90%, 10/01/30 (Call 07/01/30) |
$ | 20 | $ | 16,866 | ||||
United
Rentals North America Inc., 4.88%, 01/15/28 |
2 | 1,903 | ||||||
Verisk Analytics Inc., 4.00%, 06/15/25 (Call 03/15/25) |
10 | 9,724 | ||||||
WW
International Inc., 4.50%, 04/15/29 |
2 | 1,385 | ||||||
ZipRecruiter Inc., 5.00%, 01/15/30 (Call 01/15/25)(a) |
2 | 1,678 | ||||||
|
|
|||||||
118,435 | ||||||||
Computers — 1.4% | ||||||||
Apple Inc. |
||||||||
0.55%, 08/20/25 (Call 07/20/25) |
20 | 18,372 | ||||||
2.40%, 08/20/50 (Call 02/20/50) |
10 | 6,432 | ||||||
2.75%, 01/13/25 (Call 11/13/24) |
40 | 38,759 | ||||||
Conduent
Business Services LLC/Conduent State & Local Solutions Inc.,
6.00%, 11/01/29 |
2 | 1,650 | ||||||
Dell International LLC/EMC Corp. |
||||||||
6.02%, 06/15/26 (Call 03/15/26) |
12 | 12,126 | ||||||
8.10%, 07/15/36 (Call 01/15/36) |
13 | 14,935 | ||||||
8.35%, 07/15/46 (Call 01/15/46) |
7 | 8,585 | ||||||
Hewlett Packard Enterprise Co. |
||||||||
4.90%, 10/15/25 (Call 07/15/25) |
5 | 4,934 | ||||||
5.90%, 10/01/24 |
12 | 12,011 | ||||||
HP Inc. |
||||||||
3.40%, 06/17/30 (Call 03/17/30) |
25 | 21,830 | ||||||
6.00%, 09/15/41 |
5 | 4,924 | ||||||
Leidos Inc. |
||||||||
2.30%, 02/15/31 (Call 11/15/30) |
5 | 3,960 | ||||||
4.38%, 05/15/30 (Call 02/15/30) |
11 | 10,140 | ||||||
5.75%, 03/15/33 (Call 12/15/32) |
4 | 3,975 | ||||||
Teledyne FLIR LLC, 2.50%, 08/01/30 (Call 05/01/30) |
5 | 4,126 | ||||||
Western Digital Corp., 4.75%, 02/15/26 (Call 11/15/25) |
6 | 5,721 | ||||||
|
|
|||||||
172,480 | ||||||||
Cosmetics & Personal Care — 0.1% | ||||||||
Colgate-Palmolive Co., 3.10%, 08/15/25 |
15 | 14,458 | ||||||
Coty Inc., 5.00%, 04/15/26 (Call 10/02/23)(a) |
2 | 1,923 | ||||||
Coty
Inc./HFC Prestige Products Inc./HFC Prestige |
2 | 1,832 | ||||||
|
|
|||||||
18,213 | ||||||||
Distribution & Wholesale — 0.1% | ||||||||
LKQ Corp., 6.25%, 06/15/33 (Call 03/15/33)(a) |
13 | 12,907 | ||||||
|
|
|||||||
Diversified Financial Services — 2.4% | ||||||||
Air Lease Corp., 3.38%, 07/01/25 (Call 06/01/25) |
10 | 9,527 | ||||||
American Express Co. |
||||||||
2.25%, 03/04/25 (Call 02/01/25) |
5 | 4,754 | ||||||
3.55%, (Call 09/15/26), (5-year CMT + 2.854%)(c)(d) |
20 | 16,650 | ||||||
3.95%, 08/01/25 (Call 07/01/25) |
21 | 20,376 | ||||||
4.99%, 05/01/26, (1-day SOFR + 0.999%)(c) |
16 | 15,772 | ||||||
Ameriprise
Financial Inc., 3.00%, 04/02/25 |
10 | 9,616 | ||||||
Burford
Capital Global Finance LLC, 6.88%, 04/15/30 |
2 | 1,834 | ||||||
Capital
One Financial Corp., 4.25%, 04/30/25 |
20 | 19,388 | ||||||
Charles Schwab Corp. (The) |
||||||||
1.15%, 05/13/26 (Call 04/13/26) |
16 | 14,243 | ||||||
3.63%, 04/01/25 (Call 01/01/25) |
5 | 4,844 | ||||||
3.85%, 05/21/25 (Call 03/21/25) |
6 | 5,818 | ||||||
5.38%, (Call 06/01/25), (5-year CMT + 4.971%)(c)(d) |
15 | 14,475 | ||||||
Coinbase
Global Inc., 3.38%, 10/01/28 |
7 | 5,149 | ||||||
Discover
Financial Services, 4.10%, 02/09/27 |
50 | 46,385 |
22 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Diversified Financial Services (continued) | ||||||||
goeasy Ltd., 5.38%, 12/01/24 (Call 10/03/23)(a) |
$ | 2 | $ | 1,973 | ||||
Nasdaq Inc., 3.85%, 06/30/26 (Call 03/30/26) |
25 | 24,058 | ||||||
Nationstar Mortgage Holdings Inc. |
||||||||
5.13%, 12/15/30 (Call 12/15/25)(a) |
3 | 2,541 | ||||||
5.75%, 11/15/31 (Call 11/15/26)(a) |
5 | 4,315 | ||||||
OneMain Finance Corp. |
||||||||
6.88%, 03/15/25 |
2 | 1,990 | ||||||
7.13%, 03/15/26 |
7 | 6,886 | ||||||
PennyMac
Financial Services Inc., 5.75%, 09/15/31 |
2 | 1,681 | ||||||
Radian Group Inc., 4.50%, 10/01/24 (Call 07/01/24) |
20 | 19,375 | ||||||
Raymond James Financial Inc., 4.95%, 07/15/46 |
8 | 6,969 | ||||||
Rocket
Mortgage LLC/Rocket Mortgage Co-Issuer Inc., 3.88%,
03/01/31 |
8 | 6,512 | ||||||
SLM Corp., 3.13%, 11/02/26 (Call 10/02/26) |
2 | 1,780 | ||||||
Synchrony Financial |
||||||||
4.25%, 08/15/24 (Call 05/15/24) |
10 | 9,740 | ||||||
7.25%, 02/02/33 (Call 11/02/32) |
2 | 1,839 | ||||||
United
Wholesale Mortgage LLC, 5.50%, 04/15/29 |
5 | 4,338 | ||||||
Visa Inc. |
||||||||
2.00%, 08/15/50 (Call 02/15/50) |
8 | 4,731 | ||||||
3.15%, 12/14/25 (Call 09/14/25) |
10 | 9,590 | ||||||
|
|
|||||||
297,149 | ||||||||
Electric — 4.4% | ||||||||
Avangrid Inc. |
||||||||
3.20%, 04/15/25 (Call 03/15/25) |
5 | 4,785 | ||||||
3.80%, 06/01/29 (Call 03/01/29) |
15 | 13,614 | ||||||
Berkshire
Hathaway Energy Co., 4.05%, 04/15/25 |
10 | 9,784 | ||||||
Commonwealth
Edison Co., 3.00%, 03/01/50 |
6 | 3,973 | ||||||
Connecticut
Light & Power Co. (The), 4.00%, |
15 | 12,212 | ||||||
Dominion Energy Inc. |
||||||||
4.35%,
(Call 01/15/27), |
10 | 8,447 | ||||||
Series A, 3.30%, 03/15/25 (Call 02/15/25) |
15 | 14,483 | ||||||
Series
B, 4.65%, (Call 12/15/24), |
10 | 9,100 | ||||||
Series C, 3.38%, 04/01/30 (Call 01/01/30) |
19 | 16,754 | ||||||
DTE Electric Co., 5.20%, 04/01/33 (Call 01/01/33) |
16 | 16,060 | ||||||
DTE Energy Co., 4.22%, 11/01/24(e) |
5 | 4,904 | ||||||
Duke Energy Carolinas LLC |
||||||||
2.85%, 03/15/32 (Call 12/15/31) |
10 | 8,438 | ||||||
3.20%, 08/15/49 (Call 02/15/49) |
10 | 6,873 | ||||||
Duke Energy Corp., 3.15%, 08/15/27 (Call 05/15/27) |
20 | 18,492 | ||||||
Duke Energy Indiana LLC |
||||||||
2.75%, 04/01/50 (Call 10/01/49) |
10 | 6,098 | ||||||
5.40%, 04/01/53 (Call 10/01/52) |
8 | 7,776 | ||||||
Edison International |
||||||||
4.70%, 08/15/25 |
15 | 14,667 | ||||||
6.95%, 11/15/29 (Call 09/15/29) |
4 | 4,217 | ||||||
Emera
U.S. Finance LP, 4.75%, 06/15/46 |
20 | 15,654 | ||||||
Entergy Corp., 1.90%, 06/15/28 (Call 04/15/28) |
10 | 8,566 | ||||||
Entergy
Louisiana LLC, 4.00%, 03/15/33 |
20 | 17,944 | ||||||
Evergy Inc., 2.90%, 09/15/29 (Call 06/15/29) |
15 | 13,050 | ||||||
Exelon Corp., 4.05%, 04/15/30 (Call 01/15/30) |
15 | 13,860 | ||||||
FirstEnergy Corp. |
||||||||
Series C, 3.40%, 03/01/50 (Call 09/01/49) |
3 | 1,986 | ||||||
Series C, 5.10%, 07/15/47 (Call 01/15/47) |
2 | 1,740 |
Security | Par (000) |
Value | ||||||
Electric (continued) | ||||||||
Florida Power & Light Co. |
||||||||
2.45%, 02/03/32 (Call 11/03/31) |
$ | 26 | $ | 21,557 | ||||
3.95%, 03/01/48 (Call 09/01/47) |
10 | 8,120 | ||||||
Fortis Inc./Canada, 3.06%, 10/04/26 (Call 07/04/26) |
20 | 18,551 | ||||||
Kentucky Utilities Co., 3.30%, 06/01/50 (Call 12/01/49) |
5 | 3,443 | ||||||
National Grid PLC, 5.81%, 06/12/33 (Call 03/12/33) |
13 | 13,026 | ||||||
National
Rural Utilities Cooperative Finance Corp., |
15 | 15,043 | ||||||
NextEra Energy Capital Holdings Inc., 4.45%, 06/20/25 |
25 | 24,484 | ||||||
NRG
Energy Inc. |
7 | 5,416 | ||||||
5.75%, 01/15/28 (Call 09/18/23) |
3 | 2,838 | ||||||
Oncor
Electric Delivery Co. LLC, 3.10%, 09/15/49 |
10 | 6,791 | ||||||
Pacific Gas and Electric Co. |
||||||||
3.15%, 01/01/26 |
20 | 18,635 | ||||||
4.95%, 06/08/25 |
10 | 9,781 | ||||||
5.90%, 06/15/32 (Call 03/15/32) |
4 | 3,829 | ||||||
6.15%, 01/15/33 (Call 10/15/32) |
10 | 9,738 | ||||||
6.75%, 01/15/53 (Call 07/15/52) |
2 | 1,944 | ||||||
PG&E Corp., 5.00%, 07/01/28 (Call 09/11/23)(b) |
5 | 4,600 | ||||||
Public
Service Co. of Colorado, 1.88%, 06/15/31 |
10 | 7,891 | ||||||
Public
Service Electric & Gas Co., 3.10%, 03/15/32 |
5 | 4,339 | ||||||
San
Diego Gas & Electric Co., Series WWW, |
10 | 6,527 | ||||||
Sempra Energy |
||||||||
3.25%, 06/15/27 (Call 03/15/27) |
10 | 9,242 | ||||||
3.40%, 02/01/28 (Call 11/01/27) |
15 | 13,880 | ||||||
4.88%, (Call 10/15/25), (5-year CMT + 4.550%)(c)(d) |
15 | 14,187 | ||||||
Southern
California Edison Co., 5.95%, 11/01/32 |
12 | 12,438 | ||||||
Southern Co. (The) |
||||||||
3.25%, 07/01/26 (Call 04/01/26) |
5 | 4,730 | ||||||
4.40%, 07/01/46 (Call 01/01/46) |
15 | 12,353 | ||||||
Series
B, 4.00%, 01/15/51 (Call 10/15/25), |
20 | 18,546 | ||||||
Union Electric Co., 2.63%, 03/15/51 (Call 09/15/50) |
10 | 6,104 | ||||||
Vistra
Operations Co. LLC, 5.50%, 09/01/26 |
2 | 1,929 | ||||||
Wisconsin
Public Service Corp., 5.35%, 11/10/25 |
10 | 9,998 | ||||||
|
|
|||||||
543,437 | ||||||||
Electrical Components & Equipment — 0.1% | ||||||||
Energizer Holdings Inc. |
||||||||
4.38%, 03/31/29 (Call 10/02/23)(a) |
3 | 2,569 | ||||||
4.75%, 06/15/28 (Call 10/02/23)(a) |
5 | 4,415 | ||||||
|
|
|||||||
6,984 | ||||||||
Electronics — 0.4% | ||||||||
Flex Ltd., 3.75%, 02/01/26 (Call 01/01/26) |
6 | 5,730 | ||||||
Honeywell
International Inc., 1.35%, 06/01/25 |
20 | 18,746 | ||||||
TD SYNNEX Corp. |
||||||||
1.25%, 08/09/24 (Call 09/11/23) |
8 | 7,626 | ||||||
1.75%, 08/09/26 (Call 07/09/26) |
5 | 4,407 | ||||||
2.38%, 08/09/28 (Call 06/09/28) |
5 | 4,150 | ||||||
Trimble Inc., 6.10%, 03/15/33 (Call 12/15/32) |
14 | 14,136 | ||||||
|
|
|||||||
54,795 |
S C H E D U L E O F I N V E S T M E N T S |
23 |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Engineering & Construction — 0.1% | ||||||||
AECOM, 5.13%, 03/15/27 (Call 12/15/26) |
$ | 3 | $ | 2,878 | ||||
Jacobs
Engineering Group Inc., 5.90%, 03/01/33 |
4 | 3,958 | ||||||
Tutor Perini Corp., 6.88%, 05/01/25 (Call 09/18/23)(a) |
2 | 1,809 | ||||||
|
|
|||||||
8,645 | ||||||||
Entertainment — 0.1% | ||||||||
AMC
Entertainment Holdings Inc., 7.50%, 02/15/29 |
2 | 1,365 | ||||||
Live
Nation Entertainment Inc., 6.50%, 05/15/27 |
3 | 3,003 | ||||||
Resorts
World Las Vegas LLC / RWLV Capital Inc., 8.45%, |
5 | 4,937 | ||||||
|
|
|||||||
9,305 | ||||||||
Environmental Control — 0.0% | ||||||||
GFL Environmental Inc., 3.50%, 09/01/28 (Call 03/01/28)(a) |
2 | 1,767 | ||||||
|
|
|||||||
Food — 0.8% | ||||||||
Campbell Soup Co., 3.95%, 03/15/25 (Call 01/15/25) |
10 | 9,734 | ||||||
Conagra Brands Inc. |
||||||||
4.60%, 11/01/25 (Call 09/01/25) |
5 | 4,895 | ||||||
4.85%, 11/01/28 (Call 08/01/28) |
5 | 4,867 | ||||||
5.30%, 11/01/38 (Call 05/01/38) |
10 | 9,237 | ||||||
General Mills Inc., 4.00%, 04/17/25 (Call 02/17/25) |
10 | 9,747 | ||||||
Kraft Heinz Foods Co., 3.00%, 06/01/26 (Call 03/01/26) |
15 | 14,140 | ||||||
Sysco Corp. |
||||||||
5.95%, 04/01/30 (Call 01/01/30) |
20 | 20,713 | ||||||
6.60%, 04/01/50 (Call 10/01/49) |
5 | 5,513 | ||||||
Tyson Foods Inc., 3.95%, 08/15/24 (Call 05/15/24) |
5 | 4,911 | ||||||
Walmart Inc., 3.90%, 09/09/25 |
15 | 14,671 | ||||||
|
|
|||||||
98,428 | ||||||||
Gas — 0.2% | ||||||||
AmeriGas
Partners LP/AmeriGas Finance Corp., 5.75%, |
3 | 2,774 | ||||||
National Fuel Gas Co., 2.95%, 03/01/31 (Call 12/01/30) |
5 | 4,022 | ||||||
NiSource Inc. |
||||||||
0.95%, 08/15/25 (Call 07/15/25) |
5 | 4,583 | ||||||
3.60%, 05/01/30 (Call 02/01/30) |
10 | 8,962 | ||||||
4.38%, 05/15/47 (Call 11/15/46) |
12 | 9,843 | ||||||
|
|
|||||||
30,184 | ||||||||
Hand & Machine Tools — 0.1% | ||||||||
Stanley
Black & Decker Inc., 2.30%, 02/24/25 |
10 | 9,520 | ||||||
|
|
|||||||
Health Care - Products — 1.0% | ||||||||
Abbott Laboratories, 2.95%, 03/15/25 (Call 12/15/24) |
5 | 4,843 | ||||||
Baxter International Inc., 1.32%, 11/29/24 |
10 | 9,474 | ||||||
DENTSPLY SIRONA Inc., 3.25%, 06/01/30 (Call 03/01/30) |
15 | 12,886 | ||||||
HCA Inc. |
||||||||
3.13%, 03/15/27 (Call 02/15/27) |
5 | 4,595 | ||||||
3.63%, 03/15/32 (Call 12/15/31) |
30 | 25,802 | ||||||
Revvity Inc. |
||||||||
2.25%, 09/15/31 (Call 06/15/31) |
5 | 3,937 | ||||||
3.30%, 09/15/29 (Call 06/15/29) |
15 | 13,337 | ||||||
Smith &
Nephew PLC, 2.03%, 10/14/30 |
19 | 15,033 | ||||||
Thermo Fisher Scientific Inc., |
||||||||
1.22%, 10/18/24 (Call 09/11/23) |
10 | 9,533 |
Security | Par (000) |
Value | ||||||
Health Care - Products (continued) | ||||||||
Zimmer Biomet Holdings Inc. |
||||||||
2.60%, 11/24/31 (Call 08/24/31) |
$ | 15 | $ | 12,219 | ||||
3.55%, 04/01/25 (Call 01/01/25) |
15 | 14,508 | ||||||
|
|
|||||||
126,167 | ||||||||
Health Care - Services — 1.0% | ||||||||
Centene Corp., 4.63%, 12/15/29 (Call 12/15/24) |
30 | 27,585 | ||||||
DaVita Inc. |
||||||||
3.75%, 02/15/31 (Call 02/15/26)(a) |
2 | 1,593 | ||||||
4.63%, 06/01/30 (Call 06/01/25)(a) |
5 | 4,289 | ||||||
Elevance Health Inc. |
||||||||
2.38%, 01/15/25 (Call 12/15/24) |
5 | 4,781 | ||||||
4.65%, 01/15/43 |
4 | 3,554 | ||||||
5.35%, 10/15/25 (Call 09/15/25) |
10 | 9,986 | ||||||
HCA Inc. |
||||||||
3.38%, 03/15/29 (Call 01/15/29) |
10 | 8,916 | ||||||
4.13%, 06/15/29 (Call 03/15/29) |
17 | 15,703 | ||||||
5.38%, 02/01/25 |
5 | 4,967 | ||||||
Humana Inc., 4.95%, 10/01/44 (Call 04/01/44) |
5 | 4,431 | ||||||
Laboratory Corp. of America Holdings |
||||||||
1.55%, 06/01/26 (Call 05/01/26) |
22 | 19,795 | ||||||
3.60%, 02/01/25 (Call 11/01/24) |
15 | 14,550 | ||||||
UnitedHealth Group Inc., 3.75%, 07/15/25 |
10 | 9,744 | ||||||
|
|
|||||||
129,894 | ||||||||
Holding Companies — Diversified — 1.1% | ||||||||
Ares Capital Corp. |
||||||||
3.88%, 01/15/26 (Call 12/15/25) |
30 | 28,061 | ||||||
4.20%, 06/10/24 (Call 05/10/24) |
25 | 24,562 | ||||||
Blackstone
Secured Lending Fund, 3.63%, 01/15/26 |
30 | 27,790 | ||||||
Blue Owl Capital Corp., 3.40%, 07/15/26 (Call 06/15/26) |
21 | 18,915 | ||||||
FS KKR Capital Corp., 3.13%, 10/12/28 (Call 08/12/28) |
20 | 16,336 | ||||||
Goldman Sachs BDC Inc., 2.88%, 01/15/26 (Call 12/15/25) |
10 | 9,289 | ||||||
Golub Capital BDC Inc., 2.50%, 08/24/26 (Call 07/24/26) |
10 | 8,787 | ||||||
|
|
|||||||
133,740 | ||||||||
Home Builders — 0.3% | ||||||||
Brookfield Residential Properties Inc./Brookfield Residential |
||||||||
U.S. LLC |
||||||||
4.88%, 02/15/30 (Call 02/15/25)(a) |
2 | 1,652 | ||||||
6.25%, 09/15/27 (Call 10/03/23)(a) |
2 | 1,835 | ||||||
Lennar Corp., 4.75%, 11/29/27 (Call 05/29/27) |
15 | 14,544 | ||||||
NVR Inc., 3.00%, 05/15/30 (Call 11/15/29) |
15 | 12,837 | ||||||
|
|
|||||||
30,868 | ||||||||
Housewares — 0.0% | ||||||||
Newell Brands Inc., 6.00%, 04/01/46 (Call 10/01/45) |
3 | 2,435 | ||||||
|
|
|||||||
Insurance — 1.3% | ||||||||
American International Group Inc. |
||||||||
2.50%, 06/30/25 (Call 05/30/25) |
13 | 12,305 | ||||||
5.13%, 03/27/33 (Call 12/27/32) |
12 | 11,607 | ||||||
Series
A-9, 5.75%, 04/01/48 (Call
04/01/28), |
10 | 9,443 | ||||||
Berkshire Hathaway Inc., 3.13%, 03/15/26 (Call 12/15/25) |
7 | 6,712 | ||||||
Brown & Brown Inc. |
||||||||
2.38%, 03/15/31 (Call 12/15/30) |
5 | 3,997 | ||||||
4.20%, 03/17/32 (Call 12/17/31) |
5 | 4,475 | ||||||
Everest
Reinsurance Holdings Inc., 3.50%, 10/15/50 |
10 | 6,852 |
24 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Insurance (continued) | ||||||||
Fairfax Financial Holdings Ltd. |
||||||||
3.38%, 03/03/31 (Call 12/03/30) |
$ | 6 | $ | 5,029 | ||||
5.63%, 08/16/32 (Call 05/16/32) |
13 | 12,547 | ||||||
Fidelity National Financial Inc. |
||||||||
2.45%, 03/15/31 (Call 12/15/30) |
5 | 3,976 | ||||||
3.40%, 06/15/30 (Call 03/15/30) |
5 | 4,345 | ||||||
First
American Financial Corp., 2.40%, 08/15/31 |
5 | 3,834 | ||||||
Markel Group Inc. |
||||||||
3.45%, 05/07/52 (Call 11/07/51) |
5 | 3,391 | ||||||
5.00%, 05/20/49 (Call 11/20/48) |
2 | 1,750 | ||||||
Old
Republic International Corp., 3.85%, 06/11/51 |
5 | 3,486 | ||||||
Prudential Financial Inc. |
||||||||
1.50%, 03/10/26 (Call 02/10/26) |
8 | 7,326 | ||||||
3.70%,
10/01/50 (Call 07/01/30), |
10 | 8,510 | ||||||
5.38%,
05/15/45 (Call 05/15/25), |
15 | 14,666 | ||||||
5.70%,
09/15/48 (Call 09/15/28), |
15 | 14,203 | ||||||
Willis North America Inc. |
||||||||
4.65%, 06/15/27 (Call 05/15/27) |
20 | 19,368 | ||||||
5.35%, 05/15/33 (Call 02/15/33) |
5 | 4,827 | ||||||
|
|
|||||||
162,649 | ||||||||
Internet — 0.4% | ||||||||
Alphabet Inc., 2.05%, 08/15/50 (Call 02/15/50) |
3 | 1,796 | ||||||
Amazon.com Inc., 3.00%, 04/13/25 |
25 | 24,195 | ||||||
Gen Digital Inc., 5.00%, 04/15/25 (Call 09/11/23)(a) |
2 | 1,961 | ||||||
GrubHub Holdings Inc., 5.50%, 07/01/27 (Call 09/11/23)(a) |
2 | 1,382 | ||||||
Netflix Inc., 5.88%, 02/15/25 |
10 | 10,048 | ||||||
VeriSign Inc., 2.70%, 06/15/31 (Call 03/15/31) |
15 | 12,281 | ||||||
|
|
|||||||
51,663 | ||||||||
Iron & Steel — 0.2% | ||||||||
ArcelorMittal SA, 6.55%, 11/29/27 (Call 10/29/27) |
20 | 20,511 | ||||||
Cleveland-Cliffs Inc., 5.88%, 06/01/27 (Call 10/02/23) |
3 | 2,889 | ||||||
Mineral Resources Ltd., 8.50%, 05/01/30 (Call 05/01/25)(a) |
2 | 2,007 | ||||||
U.S. Steel Corp., 6.88%, 03/01/29 (Call 03/01/24)(b) |
2 | 1,993 | ||||||
|
|
|||||||
27,400 | ||||||||
Leisure Time — 0.1% | ||||||||
Carnival Corp. |
||||||||
7.63%, 03/01/26 (Call 03/01/24)(a) |
3 | 2,991 | ||||||
10.50%, 06/01/30 (Call 06/01/25)(a) |
2 | 2,130 | ||||||
NCL Corp. Ltd., 5.88%, 02/15/27 (Call 02/15/24)(a) |
3 | 2,907 | ||||||
Royal Caribbean Cruises Ltd. |
||||||||
4.25%, 07/01/26 (Call 01/01/26)(a) |
2 | 1,865 | ||||||
5.50%, 08/31/26 (Call 02/28/26)(a) |
7 | 6,707 | ||||||
Vista Outdoor Inc., 4.50%, 03/15/29 (Call 03/15/24)(a) |
2 | 1,667 | ||||||
|
|
|||||||
18,267 | ||||||||
Lodging — 0.3% | ||||||||
Hyatt Hotels Corp., 1.80%, 10/01/24 (Call 09/18/23) |
8 | 7,658 | ||||||
Marriott International Inc./MD |
||||||||
Series EE, 5.75%, 05/01/25 (Call 04/01/25) |
5 | 5,008 | ||||||
Series FF, 4.63%, 06/15/30 (Call 03/15/30) |
15 | 14,214 | ||||||
Travel + Leisure Co. |
||||||||
4.50%, 12/01/29 (Call 09/01/29)(a) |
2 | 1,721 | ||||||
6.63%, 07/31/26 (Call 04/30/26)(a) |
3 | 2,977 | ||||||
|
|
|||||||
31,578 |
Security | Par (000) |
Value | ||||||
Machinery — 0.9% | ||||||||
Caterpillar Financial Services Corp. |
||||||||
0.60%, 09/13/24 |
$ | 20 | $ | 19,035 | ||||
4.90%, 01/17/25 |
10 | 9,961 | ||||||
GrafTech Finance Inc., 4.63%, 12/15/28 (Call 12/15/23)(a) |
2 | 1,570 | ||||||
GrafTech
Global Enterprises Inc., 9.88%, 12/15/28 |
2 | 1,950 | ||||||
John Deere Capital Corp. |
||||||||
1.25%, 01/10/25 |
20 | 18,952 | ||||||
2.13%, 03/07/25 |
10 | 9,544 | ||||||
4.05%, 09/08/25 |
15 | 14,699 | ||||||
nVent Finance Sarl, 5.65%, 05/15/33 (Call 02/15/33) |
7 | 6,775 | ||||||
Otis Worldwide Corp., 2.06%, 04/05/25 (Call 03/05/25) |
10 | 9,476 | ||||||
Vertiv Group Corp., 4.13%, 11/15/28 (Call 11/15/24)(a) |
2 | 1,796 | ||||||
Westinghouse
Air Brake Technologies Corp. |
10 | 9,539 | ||||||
4.95%, 09/15/28 (Call 06/15/28) |
13 | 12,539 | ||||||
|
|
|||||||
115,836 | ||||||||
Manufacturing — 0.2% | ||||||||
Carlisle Companies Inc., 2.75%, 03/01/30 (Call 12/01/29) |
7 | 5,923 | ||||||
General Electric Co. |
||||||||
5.88%, 01/14/38 |
4 | 4,202 | ||||||
6.75%, 03/15/32 |
14 | 15,613 | ||||||
LSB Industries Inc., 6.25%, 10/15/28 (Call 10/15/24)(a) |
5 | 4,573 | ||||||
|
|
|||||||
30,311 | ||||||||
Media — 1.0% | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. 4.25%, 01/15/34 (Call 01/15/28)(a) |
5 | 3,829 | ||||||
4.50%, 06/01/33 (Call 06/01/27)(a) |
5 | 3,947 | ||||||
Charter
Communications Operating LLC/Charter |
12 | 11,785 | ||||||
Comcast Corp. 2.99%, 11/01/63 (Call 05/01/63) |
5 | 3,023 | ||||||
3.95%, 10/15/25 (Call 08/15/25) |
10 | 9,740 | ||||||
5.25%, 11/07/25 |
20 | 20,026 | ||||||
Directv
Financing LLC/Directv Financing Co-Obligor Inc., |
4 | 3,545 | ||||||
Fox
Corp. |
10 | 9,647 | ||||||
5.48%, 01/25/39 (Call 07/25/38) |
15 | 13,613 | ||||||
GCI LLC, 4.75%, 10/15/28 (Call 10/15/23)(a) |
2 | 1,735 | ||||||
Sirius
XM Radio Inc. |
5 | 3,891 | ||||||
4.13%, 07/01/30 (Call 07/01/25)(a) |
3 | 2,446 | ||||||
5.50%, 07/01/29 (Call 07/01/24)(a) |
2 | 1,800 | ||||||
TEGNA Inc., 4.63%, 03/15/28 (Call 10/02/23) |
5 | 4,466 | ||||||
Townsquare Media Inc., 6.88%, 02/01/26 (Call 10/02/23)(a) |
2 | 1,925 | ||||||
UPC
Broadband Finco BV, 4.88%, 07/15/31 |
5 | 4,127 | ||||||
Urban One Inc., 7.38%, 02/01/28 (Call 02/01/24)(a) |
2 | 1,739 | ||||||
VTR Finance NV, 6.38%, 07/15/28 (Call 07/15/24)(a) |
2 | 910 | ||||||
Walt Disney Co. (The) |
||||||||
3.35%, 03/24/25 |
20 | 19,407 | ||||||
6.65%, 11/15/37 |
5 | 5,634 | ||||||
|
|
|||||||
127,235 | ||||||||
Mining — 0.5% | ||||||||
Azul Secured Finance LLP, 11.93%, 08/28/28(a) |
5 | 4,962 | ||||||
Eldorado Gold Corp., 6.25%, 09/01/29 (Call 09/01/24)(a) |
2 | 1,708 | ||||||
Endeavour Mining PLC, 5.00%, 10/14/26 (Call 10/14/23)(a) |
2 | 1,755 |
S C H E D U L E O F I N V E S T M E N T S |
25 |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Mining (continued) |
||||||||
First
Quantum Minerals Ltd. |
$ | 2 | $ | 1,970 | ||||
7.50%, 04/01/25 (Call 09/11/23)(a) |
4 | 3,993 | ||||||
Freeport-McMoRan
Inc. |
15 | 13,873 | ||||||
5.45%, 03/15/43 (Call 09/15/42) |
3 | 2,693 | ||||||
IAMGOLD Corp., 5.75%, 10/15/28 (Call 10/15/23)(a) |
2 | 1,547 | ||||||
Newmont Corp., 4.88%, 03/15/42 (Call 09/15/41) |
10 | 8,974 | ||||||
Southern Copper Corp., 5.88%, 04/23/45 |
15 | 14,763 | ||||||
Stillwater Mining Co., 4.50%, 11/16/29 (Call 11/16/25)(a) |
4 | 3,150 | ||||||
|
|
|||||||
59,388 | ||||||||
Office & Business Equipment — 0.1% | ||||||||
CDW
LLC/CDW Finance Corp. |
5 | 4,385 | ||||||
3.57%, 12/01/31 (Call 09/01/31) |
15 | 12,683 | ||||||
|
|
|||||||
17,068 | ||||||||
Office Furnishings — 0.0% | ||||||||
Steelcase Inc., 5.13%, 01/18/29 (Call 10/18/28) |
2 | 1,769 | ||||||
|
|
|||||||
Oil & Gas — 2.0% | ||||||||
Baytex Energy Corp., 8.50%, 04/30/30(a) |
7 | 7,098 | ||||||
BP
Capital Markets PLC |
25 | 23,919 | ||||||
4.88%, (Call 03/22/30), (5-year CMT + 4.398%)(c)(d) |
13 | 11,773 | ||||||
California Resources Corp., 7.13%, 02/01/26 |
||||||||
(Call 10/02/23)(a) |
2 | 2,005 | ||||||
Canadian Natural Resources Ltd., 3.85%, 06/01/27 |
||||||||
(Call 03/01/27)(b) |
20 | 18,921 | ||||||
Chevron Corp., 1.55%, 05/11/25 (Call 04/11/25) |
5 | 4,703 | ||||||
Chevron USA Inc., 0.69%, 08/12/25 (Call 07/12/25) |
10 | 9,202 | ||||||
CNX
Resources Corp. |
5 | 4,995 | ||||||
7.38%, 01/15/31 (Call 01/15/26)(a) |
2 | 1,996 | ||||||
Comstock Resources Inc., 6.75%, 03/01/29 |
||||||||
(Call 03/01/24)(a) |
5 | 4,678 | ||||||
Coterra Energy Inc., 3.90%, 05/15/27 (Call 02/15/27) |
10 | 9,508 | ||||||
Crescent Energy Finance LLC, 9.25%, 02/15/28 |
||||||||
(Call 02/15/25)(a) |
2 | 2,046 | ||||||
Earthstone Energy Holdings LLC, 8.00%, 04/15/27 |
||||||||
(Call 04/15/24)(a) |
2 | 2,041 | ||||||
Energean PLC, 6.50%, 04/30/27 (Call 10/30/23)(a) |
2 | 1,826 | ||||||
EOG Resources Inc., 4.15%, 01/15/26 (Call 10/15/25) |
2 | 1,958 | ||||||
EQT Corp., 6.13%, 02/01/25 (Call 01/01/25) |
2 | 1,996 | ||||||
Exxon Mobil Corp. 2.99%, 03/19/25 (Call 02/19/25) |
10 | 9,682 | ||||||
3.04%, 03/01/26 (Call 12/01/25) |
19 | 18,153 | ||||||
Gulfport Energy Operating Corp., 8.00%, 05/17/26 |
||||||||
(Call 05/17/24)(a) |
1 | 1,016 | ||||||
Harbour Energy PLC, 5.50%, 10/15/26 (Call 10/15/23)(a) |
2 | 1,867 | ||||||
Ithaca Energy North Sea PLC, 9.00%, 07/15/26 |
||||||||
(Call 10/02/23)(a) |
3 | 2,873 | ||||||
Kosmos Energy Ltd., 7.50%, 03/01/28 (Call 03/01/24)(a) |
5 | 4,400 | ||||||
Marathon Petroleum Corp., 4.70%, 05/01/25 (Call 04/01/25) |
15 | 14,738 | ||||||
Matador Resources Co., 5.88%, 09/15/26 (Call 09/18/23) |
3 | 2,926 | ||||||
Northern Oil and Gas Inc., 8.13%, 03/01/28 |
||||||||
(Call 03/01/24)(a) |
2 | 2,005 | ||||||
Occidental
Petroleum Corp. |
2 | 1,983 | ||||||
5.88%, 09/01/25 (Call 06/01/25) |
8 | 7,982 | ||||||
7.50%, 05/01/31 |
6 | 6,501 |
Security | Par (000) |
Value | ||||||
Oil & Gas (continued) | ||||||||
8.88%, 07/15/30 (Call 01/15/30) |
$ | 14 | $ | 16,050 | ||||
PBF
Holding Co. LLC/PBF Finance Corp. |
2 | 1,892 | ||||||
7.25%, 06/15/25 (Call 09/13/23) |
2 | 2,000 | ||||||
Pioneer Natural Resources Co., 2.15%, 01/15/31 |
||||||||
(Call 10/15/30) |
10 | 8,104 | ||||||
Shell
International Finance BV |
5 | 4,808 | ||||||
3.25%, 05/11/25 |
5 | 4,840 | ||||||
Talos Production Inc., 12.00%, 01/15/26 (Call 09/18/23) |
3 | 3,127 | ||||||
TotalEnergies Capital International SA, 2.43%, 01/10/25 |
||||||||
(Call 10/10/24) |
5 | 4,808 | ||||||
Valero Energy Corp., 6.63%, 06/15/37 |
21 | 22,351 | ||||||
|
|
|||||||
250,771 | ||||||||
Oil & Gas Services — 0.1% | ||||||||
Archrock
Partners LP/Archrock Partners Finance Corp., |
3 | 2,949 | ||||||
CGG SA, 8.75%, 04/01/27 (Call 04/01/24)(a) |
2 | 1,721 | ||||||
USA Compression Partners LP/USA Compression |
||||||||
Finance
Corp. |
2 | 1,977 | ||||||
6.88%, 09/01/27 (Call 10/02/23) |
2 | 1,950 | ||||||
Weatherford International Ltd., 8.63%, 04/30/30 |
||||||||
(Call 10/30/24)(a) |
3 | 3,073 | ||||||
|
|
|||||||
11,670 | ||||||||
Packaging & Containers — 0.4% | ||||||||
Amcor Finance USA Inc., 5.63%, 05/26/33 (Call 02/26/33) |
15 | 14,884 | ||||||
Amcor Flexibles North America Inc., 2.69%, 05/25/31 |
||||||||
(Call 02/25/31) |
15 | 12,204 | ||||||
Berry Global Inc., 5.63%, 07/15/27 (Call 10/02/23)(a) |
2 | 1,961 | ||||||
Graham Packaging Co. Inc., 7.13%, 08/15/28 |
||||||||
(Call 10/02/23)(a) |
2 | 1,744 | ||||||
WRKCo Inc., 3.75%, 03/15/25 (Call 01/15/25) |
15 | 14,549 | ||||||
|
|
|||||||
45,342 | ||||||||
Pharmaceuticals — 2.1% | ||||||||
AbbVie
Inc. |
10 | 9,648 | ||||||
3.60%, 05/14/25 (Call 02/14/25) |
10 | 9,698 | ||||||
3.80%, 03/15/25 (Call 12/15/24) |
10 | 9,737 | ||||||
4.50%, 05/14/35 (Call 11/14/34) |
7 | 6,586 | ||||||
4.70%, 05/14/45 (Call 11/14/44) |
10 | 8,993 | ||||||
Astrazeneca Finance LLC, 1.20%, 05/28/26 (Call 04/28/26) |
7 | 6,319 | ||||||
AstraZeneca
PLC |
5 | 4,806 | ||||||
6.45%, 09/15/37 |
10 | 11,248 | ||||||
Cencora Inc., 2.70%, 03/15/31 (Call 12/15/30) |
18 | 15,141 | ||||||
Cigna
Group (The) |
6 | 5,846 | ||||||
4.38%, 10/15/28 (Call 07/15/28) |
13 | 12,520 | ||||||
4.80%, 07/15/46 (Call 01/16/46) |
15 | 13,318 | ||||||
CVS
Health Corp. |
10 | 9,701 | ||||||
4.30%, 03/25/28 (Call 12/25/27) |
20 | 19,209 | ||||||
4.78%, 03/25/38 (Call 09/25/37) |
15 | 13,433 | ||||||
Elanco Animal Health Inc., 6.65%, 08/28/28 |
||||||||
(Call 05/28/28)(b) |
2 | 1,973 | ||||||
GlaxoSmithKline Capital Inc., 3.63%, 05/15/25 |
5 | 4,875 | ||||||
Grifols Escrow Issuer SA, 4.75%, 10/15/28 (Call 10/15/24)(a) |
4 | 3,509 |
26 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Pharmaceuticals (continued) | ||||||||
Johnson &
Johnson |
$ | 24 | $ | 15,125 | ||||
2.45%, 03/01/26 (Call 12/01/25) |
5 | 4,718 | ||||||
Merck & Co. Inc., 2.75%, 02/10/25 (Call 11/10/24) |
5 | 4,834 | ||||||
Novartis Capital Corp., 3.00%, 11/20/25 (Call 08/20/25) |
15 | 14,348 | ||||||
Pfizer Inc., 0.80%, 05/28/25 (Call 04/28/25) |
10 | 9,276 | ||||||
Pfizer Investment Enterprises Pte Ltd., 4.45%, 05/19/26 |
||||||||
(Call 04/19/26) |
13 | 12,790 | ||||||
Shire Acquisitions Investments Ireland DAC, 3.20%, 09/23/26 |
||||||||
(Call 06/23/26) |
15 | 14,090 | ||||||
Zoetis Inc., 5.40%, 11/14/25 (Call 10/14/25) |
15 | 15,003 | ||||||
|
|
|||||||
256,744 | ||||||||
Pipelines — 3.2% | ||||||||
Antero Midstream Partners LP/Antero Midstream Finance |
||||||||
Corp., 5.75%, 03/01/27 (Call 09/18/23)(a) |
3 | 2,908 | ||||||
Boardwalk Pipelines LP 3.40%, 02/15/31 (Call 11/15/30) |
7 | 5,968 | ||||||
3.60%, 09/01/32 (Call 06/01/32) |
5 | 4,204 | ||||||
Cheniere
Corpus Christi Holdings LLC |
3 | 2,727 | ||||||
5.13%, 06/30/27 (Call 01/01/27) |
16 | 15,830 | ||||||
Cheniere Energy Inc., 4.63%, 10/15/28 (Call 10/15/23) |
15 | 14,120 | ||||||
Cheniere Energy Partners LP, 4.50%, 10/01/29 |
||||||||
(Call 10/01/24) |
20 | 18,454 | ||||||
Columbia Pipeline Group Inc., 4.50%, 06/01/25 |
||||||||
(Call 03/01/25) |
10 | 9,757 | ||||||
Crestwood Midstream Partners LP/Crestwood Midstream |
||||||||
Finance Corp., 8.00%, 04/01/29 (Call 04/01/24)(a) |
2 | 2,067 | ||||||
Enbridge
Inc. |
7 | 6,757 | ||||||
5.50%, 07/15/77 (Call 07/15/27), |
||||||||
(3-mo. SOFR + 3.680%)(c) |
15 | 13,468 | ||||||
6.25%, 03/01/78 (Call 03/01/28), |
||||||||
(3-mo. SOFR + 3.903%)(c) |
10 | 9,315 | ||||||
Energy
Transfer LP |
10 | 9,715 | ||||||
5.25%, 04/15/29 (Call 01/15/29) |
16 | 15,632 | ||||||
5.75%, 02/15/33 (Call 11/15/32) |
6 | 5,965 | ||||||
EnLink Midstream Partners LP, 4.15%, 06/01/25 |
||||||||
(Call 03/01/25) |
2 | 1,936 | ||||||
Enterprise
Products Operating LLC |
6 | 5,786 | ||||||
Series E, 5.25%, 08/16/77 (Call 08/16/27), |
||||||||
(3-mo. SOFR + 3.295%)(c) |
19 | 16,717 | ||||||
EQM Midstream Partners LP, 6.50%, 07/15/48 |
||||||||
(Call 01/15/48) |
2 | 1,815 | ||||||
Holly
Energy Partners LP/Holly Energy Finance Corp., |
2 | 1,876 | ||||||
Kinder
Morgan Inc. |
5 | 4,889 | ||||||
4.30%, 03/01/28 (Call 12/01/27) |
15 | 14,299 | ||||||
5.30%, 12/01/34 (Call 06/01/34) |
4 | 3,804 | ||||||
MPLX
LP |
14 | 11,861 | ||||||
4.88%, 12/01/24 (Call 09/01/24) |
10 | 9,870 | ||||||
4.88%, 06/01/25 (Call 03/01/25) |
13 | 12,789 | ||||||
New Fortress Energy Inc., 6.50%, 09/30/26 (Call 10/02/23)(a) |
7 | 6,507 | ||||||
ONEOK
Inc. |
5 | 4,293 | ||||||
3.40%, 09/01/29 (Call 06/01/29) |
3 | 2,650 |
Security | Par (000) |
Value | ||||||
Pipelines (continued) | ||||||||
4.55%, 07/15/28 (Call 04/15/28) |
$ | 13 | $ | 12,396 | ||||
6.10%, 11/15/32 (Call 08/15/32) |
7 | 7,110 | ||||||
Plains
All American Pipeline LP/PAA Finance Corp., |
10 | 9,752 | ||||||
Sabine
Pass Liquefaction LLC |
17 | 16,099 | ||||||
4.50%, 05/15/30 (Call 11/15/29) |
10 | 9,410 | ||||||
5.63%, 03/01/25 (Call 12/01/24) |
10 | 9,967 | ||||||
Targa Resources Corp., 4.88%, 02/01/31 (Call 02/01/26) |
20 | 18,370 | ||||||
TransCanada PipeLines Ltd., 4.10%, 04/15/30 |
||||||||
(Call 01/15/30) |
20 | 18,321 | ||||||
Transcanada Trust, 5.30%, 03/15/77 (Call 03/15/27), |
||||||||
(3 mo. LIBOR US + 3.208%)(c) |
12 | 10,440 | ||||||
Western
Midstream Operating LP |
13 | 12,449 | ||||||
4.05%, 02/01/30 (Call 11/01/29) |
16 | 14,272 | ||||||
6.15%, 04/01/33 (Call 01/01/33) |
4 | 3,980 | ||||||
Williams Companies Inc. (The), 4.00%, 09/15/25 |
||||||||
(Call 06/15/25) |
15 | 14,527 | ||||||
|
|
|||||||
393,072 | ||||||||
Real Estate — 0.0% | ||||||||
Kennedy-Wilson Inc., 4.75%, 03/01/29 (Call 03/01/24) |
2 | 1,607 | ||||||
|
|
|||||||
Real Estate Investment Trusts — 2.9% | ||||||||
American Homes 4 Rent LP, 3.63%, 04/15/32 |
||||||||
(Call 01/15/32) |
5 | 4,284 | ||||||
American
Tower Corp. |
5 | 4,199 | ||||||
2.40%, 03/15/25 (Call 02/15/25) |
20 | 18,981 | ||||||
3.80%, 08/15/29 (Call 05/15/29) |
15 | 13,642 | ||||||
Apollo
Commercial Real Estate Finance Inc., |
2 | 1,568 | ||||||
AvalonBay Communities Inc., 3.50%, 11/15/25 |
||||||||
(Call 08/15/25) |
15 | 14,356 | ||||||
Boston Properties LP, 3.20%, 01/15/25 (Call 10/15/24) |
15 | 14,384 | ||||||
Brixmor
Operating Partnership LP |
10 | 9,646 | ||||||
4.13%, 05/15/29 (Call 02/15/29) |
14 | 12,735 | ||||||
Brookfield Property REIT Inc./BPR Cumulus LLC/BPR |
||||||||
Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26 |
||||||||
(Call 09/11/23)(a) |
5 | 4,587 | ||||||
Crown
Castle International Corp. |
15 | 13,951 | ||||||
4.45%, 02/15/26 (Call 11/15/25) |
5 | 4,870 | ||||||
CubeSmart LP, 2.25%, 12/15/28 (Call 10/15/28) |
5 | 4,234 | ||||||
Digital
Realty Trust LP |
10 | 9,018 | ||||||
3.70%, 08/15/27 (Call 05/15/27) |
5 | 4,658 | ||||||
5.55%, 01/15/28 (Call 12/15/27) |
24 | 23,934 | ||||||
Equinix
Inc. |
10 | 8,069 | ||||||
3.20%, 11/18/29 (Call 08/18/29) |
10 | 8,760 | ||||||
GLP
Capital LP/GLP Financing II Inc. |
10 | 9,816 | ||||||
5.30%, 01/15/29 (Call 10/15/28) |
15 | 14,144 | ||||||
Host Hotels & Resorts LP, Series I, 3.50%, 09/15/30 |
||||||||
(Call 06/15/30) |
15 | 12,797 | ||||||
Invitation
Homes Operating Partnership LP |
10 | 8,497 | ||||||
4.15%, 04/15/32 (Call 01/15/32) |
5 | 4,450 |
S C H E D U L E O F I N V E S T M E N T S |
27 |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Real Estate Investment Trusts (continued) | ||||||||
Iron Mountain Inc., 5.63%, 07/15/32 (Call 07/15/26)(a) |
$ | 5 | $ | 4,487 | ||||
Office Properties Income Trust, 4.50%, 02/01/25 |
||||||||
(Call 11/01/24) |
2 | 1,788 | ||||||
Park Intermediate Holdings LLC/PK Domestic |
||||||||
Property LLC/PK Finance Co-Issuer, 5.88%, 10/01/28 |
||||||||
(Call 10/02/23)(a) |
3 | 2,775 | ||||||
Physicians Realty LP, 2.63%, 11/01/31 (Call 08/01/31) |
5 | 3,884 | ||||||
RLJ
Lodging Trust LP |
5 | 4,581 | ||||||
4.00%, 09/15/29 (Call 09/15/24)(a) |
2 | 1,673 | ||||||
Service Properties Trust, 4.75%, 10/01/26 (Call 08/01/26) |
2 | 1,738 | ||||||
Simon
Property Group LP |
10 | 9,618 | ||||||
3.38%, 06/15/27 (Call 03/15/27) |
10 | 9,327 | ||||||
Sun
Communities Operating LP |
15 | 11,910 | ||||||
4.20%, 04/15/32 (Call 01/15/32) |
5 | 4,397 | ||||||
Uniti
Group LP/Uniti Group Finance Inc./CSL Capital LLC |
2 | 1,365 | ||||||
10.50%, 02/15/28 (Call 09/15/25)(a) |
5 | 4,988 | ||||||
Ventas Realty LP, 4.40%, 01/15/29 (Call 10/15/28) |
13 | 12,205 | ||||||
VICI
Properties LP |
20 | 19,019 | ||||||
4.95%, 02/15/30 (Call 12/15/29) |
10 | 9,406 | ||||||
Welltower Inc., 3.85%, 06/15/32 (Call 03/15/32) |
10 | 8,788 | ||||||
Welltower OP LLC, 3.10%, 01/15/30 (Call 10/15/29) |
14 | 12,165 | ||||||
Weyerhaeuser Co., 4.00%, 11/15/29 (Call 08/15/29) |
10 | 9,228 | ||||||
WP Carey Inc., 2.40%, 02/01/31 (Call 11/01/30) |
5 | 3,996 | ||||||
XHR LP, 6.38%, 08/15/25 (Call 09/11/23)(a) |
2 | 1,976 | ||||||
|
|
|||||||
364,894 | ||||||||
Retail — 1.3% | ||||||||
Arko Corp., 5.13%, 11/15/29 (Call 11/15/24)(a) |
2 | 1,643 | ||||||
Bath &
Body Works Inc. |
2 | 1,846 | ||||||
6.88%, 11/01/35 |
5 | 4,675 | ||||||
Carvana Co., 10.25%, 05/01/30 (Call 05/01/27)(a) |
3 | 2,326 | ||||||
Dollar General Corp., 5.45%, 07/05/33 (Call 04/05/33) |
16 | 15,525 | ||||||
Dollar
Tree Inc. |
5 | 4,851 | ||||||
4.20%, 05/15/28 (Call 02/15/28) |
15 | 14,234 | ||||||
FirstCash Inc., 5.63%, 01/01/30 (Call 01/01/25)(a) |
5 | 4,539 | ||||||
Gap
Inc. (The) |
2 | 1,523 | ||||||
3.88%, 10/01/31 (Call 10/01/26)(a) |
5 | 3,623 | ||||||
Home Depot Inc. (The), 2.70%, 04/15/25 (Call 03/15/25) |
10 | 9,605 | ||||||
Kohl’s Corp., 4.63%, 05/01/31 (Call 02/01/31) |
2 | 1,472 | ||||||
Lowe’s Companies Inc., 4.00%, 04/15/25 (Call 03/15/25) |
10 | 9,773 | ||||||
McDonald’s
Corp. |
15 | 14,487 | ||||||
4.70%, 12/09/35 (Call 06/09/35) |
5 | 4,777 | ||||||
Nordstrom Inc., 5.00%, 01/15/44 (Call 07/15/43) |
2 | 1,270 | ||||||
QVC
Inc. |
5 | 2,829 | ||||||
4.75%, 02/15/27 (Call 11/15/26) |
2 | 1,320 | ||||||
Ross Stores Inc., 4.60%, 04/15/25 (Call 03/15/25) |
25 | 24,563 | ||||||
Target Corp., 2.25%, 04/15/25 (Call 03/15/25) |
10 | 9,546 | ||||||
Walgreens
Boots Alliance Inc. |
13 | 12,280 | ||||||
3.80%, 11/18/24 (Call 08/18/24) |
5 | 4,882 | ||||||
4.80%, 11/18/44 (Call 05/18/44) |
5 | 3,912 |
Security | Par (000) |
Value | ||||||
Retail (continued) | ||||||||
Walmart Inc., 3.55%, 06/26/25 (Call 04/26/25) |
$ | 10 | $ | 9,735 | ||||
|
|
|||||||
165,236 | ||||||||
Semiconductors — 1.6% | ||||||||
Broadcom
Corp./Broadcom Cayman Finance Ltd., |
10 | 9,502 | ||||||
Broadcom
Inc. |
10 | 9,517 | ||||||
4.00%, 04/15/29 (Call 02/15/29)(a) |
18 | 16,601 | ||||||
4.15%, 11/15/30 (Call 08/15/30) |
10 | 9,143 | ||||||
4.75%, 04/15/29 (Call 01/15/29) |
10 | 9,644 | ||||||
5.00%, 04/15/30 (Call 01/15/30) |
5 | 4,927 | ||||||
Intel Corp., 3.40%, 03/25/25 (Call 02/25/25) |
20 | 19,421 | ||||||
Marvell
Technology Inc. |
10 | 8,770 | ||||||
2.95%, 04/15/31 (Call 01/15/31) |
10 | 8,344 | ||||||
Microchip Technology Inc., 4.25%, 09/01/25 (Call 10/02/23) |
15 | 14,598 | ||||||
Micron
Technology Inc. |
15 | 14,060 | ||||||
6.75%, 11/01/29 (Call 09/01/29) |
5 | 5,203 | ||||||
NXP
BV/NXP Funding LLC/NXP USA Inc. |
15 | 13,178 | ||||||
4.30%, 06/18/29 (Call 03/18/29) |
16 | 14,984 | ||||||
Qorvo
Inc. |
10 | 9,379 | ||||||
4.38%, 10/15/29 (Call 10/15/24) |
13 | 11,778 | ||||||
QUALCOMM Inc., 3.45%, 05/20/25 (Call 02/20/25) |
5 | 4,857 | ||||||
Skyworks
Solutions Inc. |
5 | 4,469 | ||||||
3.00%, 06/01/31 (Call 03/01/31) |
5 | 4,068 | ||||||
|
|
|||||||
192,443 | ||||||||
Shipbuilding — 0.1% | ||||||||
Huntington
Ingalls Industries Inc. |
10 | 8,481 | ||||||
3.84%, 05/01/25 (Call 04/01/25) |
10 | 9,675 | ||||||
|
|
|||||||
18,156 | ||||||||
Software — 1.5% | ||||||||
Broadridge Financial Solutions Inc., 2.90%, 12/01/29 |
||||||||
(Call 09/01/29) |
10 | 8,620 | ||||||
Fiserv Inc., 3.85%, 06/01/25 (Call 03/01/25) |
10 | 9,706 | ||||||
Microsoft Corp., 2.70%, 02/12/25 (Call 11/12/24) |
30 | 29,014 | ||||||
MicroStrategy Inc., 6.13%, 06/15/28 (Call 06/15/24)(a) |
3 | 2,686 | ||||||
Oracle
Corp. |
10 | 9,521 | ||||||
2.88%, 03/25/31 (Call 12/25/30) |
15 | 12,673 | ||||||
2.95%, 11/15/24 (Call 09/15/24) |
30 | 29,052 | ||||||
2.95%, 04/01/30 (Call 01/01/30) |
9 | 7,801 | ||||||
4.30%, 07/08/34 (Call 01/08/34) |
15 | 13,450 | ||||||
5.38%, 07/15/40 |
15 | 13,982 | ||||||
6.25%, 11/09/32 (Call 08/09/32) |
21 | 21,980 | ||||||
ROBLOX Corp., 3.88%, 05/01/30 (Call 11/01/24)(a) |
3 | 2,475 | ||||||
Roper Technologies Inc., 1.00%, 09/15/25 (Call 08/15/25) |
10 | 9,159 | ||||||
VMware
Inc. |
15 | 14,135 | ||||||
4.50%, 05/15/25 (Call 04/15/25) |
5 | 4,896 | ||||||
|
|
|||||||
189,150 | ||||||||
Telecommunications — 2.0% | ||||||||
AT&T
Inc. |
10 | 9,479 | ||||||
5.54%, 02/20/26 (Call 02/20/24) |
25 | 24,958 |
28 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Telecommunications (continued) | ||||||||
Deutsche
Telekom International Finance BV, |
$ | 10 | $ | 11,774 | ||||
Frontier
Communications Holdings LLC |
3 | 2,328 | ||||||
8.75%, 05/15/30 (Call 05/15/25)(a) |
5 | 4,860 | ||||||
Hughes Satellite Systems Corp., 5.25%, 08/01/26 |
2 | 1,839 | ||||||
Motorola
Solutions Inc. |
5 | 3,985 | ||||||
2.75%, 05/24/31 (Call 02/24/31) |
15 | 12,168 | ||||||
4.60%, 05/23/29 (Call 02/23/29) |
10 | 9,636 | ||||||
Orange SA, 9.00%, 03/01/31 |
10 | 12,133 | ||||||
Rogers Communications Inc., 3.80%, 03/15/32 |
||||||||
(Call 12/15/31) |
18 | 15,395 | ||||||
Sprint
Capital Corp. |
10 | 10,564 | ||||||
8.75%, 03/15/32 |
12 | 14,302 | ||||||
TELUS Corp., 3.40%, 05/13/32 (Call 02/13/32) |
17 | 14,314 | ||||||
T-Mobile USA Inc. |
5 | 4,623 | ||||||
2.40%, 03/15/29 (Call 01/15/29) |
2 | 1,719 | ||||||
2.55%, 02/15/31 (Call 11/15/30) |
15 | 12,360 | ||||||
3.50%, 04/15/25 (Call 03/15/25) |
6 | 5,800 | ||||||
3.60%, 11/15/60 (Call 05/15/60) |
2 | 1,339 | ||||||
3.75%, 04/15/27 (Call 02/15/27) |
10 | 9,478 | ||||||
3.88%, 04/15/30 (Call 01/15/30) |
17 | 15,516 | ||||||
4.38%, 04/15/40 (Call 10/15/39) |
5 | 4,297 | ||||||
Verizon
Communications Inc. |
10 | 9,069 | ||||||
1.45%, 03/20/26 (Call 02/20/26) |
5 | 4,536 | ||||||
3.38%, 02/15/25 |
6 | 5,821 | ||||||
4.27%, 01/15/36 |
3 | 2,663 | ||||||
4.40%, 11/01/34 (Call 05/01/34) |
5 | 4,530 | ||||||
5.25%, 03/16/37 |
15 | 14,612 | ||||||
Vodafone Group PLC, 4.13%, 05/30/25 |
5 | 4,886 | ||||||
|
|
|||||||
248,984 | ||||||||
Transportation — 0.4% | ||||||||
Burlington Northern Santa Fe LLC, 3.00%, 04/01/25 |
||||||||
(Call 01/01/25) |
7 | 6,760 | ||||||
Canadian Pacific Railway Co., 1.35%, 12/02/24 |
||||||||
(Call 10/03/23) |
10 | 9,479 | ||||||
Ryder System Inc., 3.35%, 09/01/25 (Call 08/01/25) |
5 | 4,784 | ||||||
Union Pacific Corp., 3.75%, 07/15/25 (Call 05/15/25) |
10 | 9,715 | ||||||
United
Parcel Service Inc. |
10 | 9,793 | ||||||
6.20%, 01/15/38 |
10 | 11,178 | ||||||
|
|
|||||||
51,709 | ||||||||
Trucking & Leasing — 0.0% | ||||||||
Fortress
Transportation and Infrastructure Investors LLC, |
3 | 2,787 | ||||||
|
|
|||||||
Total Corporate Bonds & Notes — 54.7% |
||||||||
(Cost: $6,946,884) |
6,810,680 | |||||||
|
|
|||||||
U.S. Government & Agency Obligations |
||||||||
Mortgage-Backed Securities — 29.4% | ||||||||
Federal Home Loan Mortgage Corp., 4.00%, 02/01/53 |
48 | 44,981 | ||||||
Federal
National Mortgage Association |
25 | 18,851 | ||||||
2.50%, 09/01/38(f) |
100 | 89,926 |
Security | Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
3.00%, 09/01/38(f) |
$ | 50 | $ | 46,199 | ||||
3.50%, 09/01/38(f) |
25 | 23,572 | ||||||
3.50%, 07/01/50 |
17 | 15,509 | ||||||
4.00%, 09/01/38(f) |
25 | 24,002 | ||||||
Freddie Mac Multifamily Structured Pass |
||||||||
Through Certificates |
||||||||
Series K081, Class A2, 3.90%, 08/25/28(c) |
30 | 28,812 | ||||||
Series K108, Class A2, 1.52%, 03/25/30 |
16 | 13,117 | ||||||
Series K123, Class A2, 1.62%, 12/25/30 (Call 01/25/31) |
47 | 37,609 | ||||||
Government
National Mortgage Association |
50 | 41,238 | ||||||
2.50%, 09/21/53(f) |
125 | 106,338 | ||||||
3.00%, 08/20/51 |
46 | 40,684 | ||||||
3.00%, 02/20/52 |
70 | 61,977 | ||||||
3.50%, 03/20/49 |
27 | 24,521 | ||||||
3.50%, 09/21/53(f) |
71 | 64,469 | ||||||
4.00%, 09/21/53(f) |
50 | 46,586 | ||||||
4.50%, 03/20/49 |
24 | 23,386 | ||||||
4.50%, 08/20/52 |
28 | 26,426 | ||||||
5.00%, 09/21/53(f) |
75 | 72,980 | ||||||
5.50%, 12/20/52 |
18 | 18,251 | ||||||
5.50%, 07/20/53 |
9 | 9,202 | ||||||
5.50%, 09/21/53(f) |
75 | 74,238 | ||||||
Uniform Mortgage-Backed Securities 1.50%, 03/01/36 |
3 | 2,472 | ||||||
1.50%, 02/01/37 |
61 | 52,654 | ||||||
1.50%, 03/01/37 |
46 | 39,769 | ||||||
1.50%, 07/01/51 |
20 | 15,104 | ||||||
1.50%, 11/01/51 |
24 | 18,073 | ||||||
2.00%, 11/01/35 |
64 | 56,477 | ||||||
2.00%, 09/19/37(f) |
108 | 94,280 | ||||||
2.00%, 08/01/50 |
294 | 235,430 | ||||||
2.00%, 10/01/50 |
25 | 20,181 | ||||||
2.00%, 12/01/51 |
24 | 18,841 | ||||||
2.00%, 02/01/52 |
26 | 20,663 | ||||||
2.00%, 03/01/52 |
471 | 375,956 | ||||||
2.00%, 09/14/53(f) |
125 | 99,526 | ||||||
2.50%, 09/01/51 |
170 | 141,027 | ||||||
2.50%, 11/01/51 |
43 | 35,571 | ||||||
2.50%, 01/01/52 |
179 | 148,472 | ||||||
2.50%, 09/14/53(f) |
250 | 207,090 | ||||||
3.00%, 12/01/49 |
97 | 84,346 | ||||||
3.00%, 09/01/53(f) |
225 | 193,843 | ||||||
3.50%, 05/01/50 |
21 | 18,715 | ||||||
3.50%, 06/01/50 |
11 | 9,579 | ||||||
3.50%, 09/14/53(f) |
200 | 178,758 | ||||||
4.00%, 05/01/52 |
26 | 23,981 | ||||||
4.00%, 09/14/53(f) |
97 | 89,528 | ||||||
4.50%, 09/14/53(f) |
125 | 118,516 | ||||||
5.00%, 09/14/53(f) |
125 | 121,204 | ||||||
5.50%, 01/01/53 |
24 | 24,113 | ||||||
5.50%, 09/14/53(f) |
135 | 133,291 | ||||||
6.00%, 09/14/53(f) |
125 | 125,327 | ||||||
|
|
|||||||
3,655,661 | ||||||||
U.S. Government Obligations — 13.6% | ||||||||
U.S.
Treasury Note/Bond |
58 | 45,700 | ||||||
1.13%, 08/15/40 |
67 | 41,134 | ||||||
1.38%, 11/15/31 |
100 | 81,043 | ||||||
1.38%, 11/15/40 |
106 | 67,670 |
S C H E D U L E O F I N V E S T M E N T S |
29 |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® USD Bond Factor ETF (Percentages shown are based on Net Assets) |
Security | Par/ Shares (000) |
Value | ||||||
|
||||||||
U.S. Government Obligations (continued) | ||||||||
1.38%, 08/15/50 |
$ | 187 | $ | 100,751 | ||||
1.63%, 11/15/50 |
177 | 102,615 | ||||||
1.75%, 08/15/41 |
145 | 97,427 | ||||||
1.88%, 02/15/32 |
159 | 133,641 | ||||||
1.88%, 02/15/41 |
136 | 94,521 | ||||||
1.88%, 02/15/51 |
79 | 48,736 | ||||||
1.88%, 11/15/51 |
101 | 61,814 | ||||||
2.25%, 08/15/46 |
39 | 26,864 | ||||||
2.50%, 02/15/45 |
130 | 95,464 | ||||||
2.50%, 02/15/46 |
38 | 27,627 | ||||||
2.50%, 05/15/46 |
38 | 27,593 | ||||||
2.75%, 08/15/32 |
149 | 133,745 | ||||||
2.88%, 08/15/45 |
88 | 68,857 | ||||||
3.00%, 11/15/45 |
45 | 35,951 | ||||||
3.50%, 02/15/33 |
70 | 66,664 | ||||||
3.63%, 05/15/53 |
70 | 63,131 | ||||||
4.00%, 11/15/42 |
109 | 103,418 | ||||||
4.13%, 11/15/32 |
140 | 139,934 | ||||||
4.13%, 08/15/53 |
35 | 34,530 | ||||||
|
|
|||||||
1,698,830 | ||||||||
|
|
|||||||
Total
U.S. Government & Agency Obligations — 43.0% |
5,354,491 | |||||||
|
|
|||||||
Total
Long-Term Investments — 99.2% |
12,345,190 | |||||||
|
|
|||||||
Short-Term Securities |
||||||||
Money Market Funds — 16.5% | ||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares, 5.52%(g)(h) |
1,893 | 1,893,436 | ||||||
BlackRock Cash Funds: Treasury, SL Agency Shares, 5.31%(g)(h)(i) |
159 | 158,735 | ||||||
|
|
|||||||
Total
Short-Term Securities — 16.5% |
2,052,171 | |||||||
|
|
|||||||
Total
Investments Before TBA Sales Commitments — 115.7% |
14,397,361 | |||||||
|
|
Security | Par (000) |
Value | ||||||
|
||||||||
TBA Sales Commitments |
||||||||
Mortgage-Backed Securities — (0.7)% | ||||||||
Government National Mortgage Association, 5.50%, 09/21/53(f) |
$ | (25 | ) | $ | (24,746 | ) | ||
Uniform Mortgage-Backed Securities, 2.00%, 09/14/53(f) |
$ | (75 | ) | (59,716 | ) | |||
|
|
|||||||
Total
TBA Sales Commitments — (0.7)% |
(84,462 | ) | ||||||
|
|
|||||||
Total
Investments, Net of TBA Sales |
|
14,312,899 | ||||||
Liabilities in Excess of Other Assets — (15.0)% |
(1,872,280 | ) | ||||||
|
|
|||||||
Net Assets — 100.0% |
$ | 12,440,619 | ||||||
|
|
(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) |
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. |
(d) |
Perpetual security with no stated maturity date. |
(e) |
Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect. |
(f) |
Represents or includes a TBA transaction. |
(g) |
Affiliate of the Fund. |
(h) |
Annualized 7-day yield as of period end. |
(i) |
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 six months ended August 31, 2023 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
||||||||||||||||||||||||||||||||||||
Affiliated Issuer | Value at 02/28/23 |
Purchases at Cost |
Proceeds from Sale |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Value at 08/31/23 |
Shares Held at 08/31/23 (000) |
Income | Capital
Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares |
$ | 2,172,145 | $ | — | $ | (278,265 | )(a) | $ | 188 | $ | (632 | ) | $ | 1,893,436 | 1,893 | $ | 43,222 | $ | — | |||||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares |
126,506 | 32,229 | (a) | — | — | — | 158,735 | 159 | 2,829 | (b) | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | 188 | $ | (632 | ) | $ | 2,052,171 | $ | 46,051 | $ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(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. |
30 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Schedule of Investments (unaudited) (continued) August 31, 2023 |
iShares® USD Bond Factor ETF |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
||||||||||||||||
Assets |
||||||||||||||||
Investments |
||||||||||||||||
Long-Term Investments |
||||||||||||||||
Collaterized Mortgage Obligations |
$ | — | $ | 180,019 | $ | — | $ | 180,019 | ||||||||
Corporate Bonds & Notes |
— | 6,810,680 | — | 6,810,680 | ||||||||||||
U.S. Government & Agency Obligations |
— | 5,354,491 | — | 5,354,491 | ||||||||||||
Short-Term Securities |
||||||||||||||||
Money Market Funds |
2,052,171 | — | — | 2,052,171 | ||||||||||||
Liabilities |
||||||||||||||||
Investments |
||||||||||||||||
TBA Sales Commitments |
— | (84,462 | ) | — | (84,462 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 2,052,171 | $ | 12,260,728 | $ | — | $ | 14,312,899 | |||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
S C H E D U L E O F I N V E S T M E N T S |
31 |
Statements of Assets and Liabilities (unaudited)
August 31, 2023
iShares High Yield Bond Factor ETF |
iShares Investment Grade Bond Factor ETF |
iShares ETF |
||||||||||
|
||||||||||||
ASSETS |
||||||||||||
Investments, at value — unaffiliated(a)(b) |
$ | 189,942,262 | $ | 248,324,832 | $ | 12,345,190 | ||||||
Investments, at value — affiliated(c) |
46,083,529 | 16,556,591 | 2,052,171 | |||||||||
Cash |
3,714 | 8,958 | 49 | |||||||||
Foreign currency, at value(d) |
270 | — | — | |||||||||
Receivables: |
||||||||||||
Investments sold |
9,859,933 | 13,941,681 | 187,244 | |||||||||
Securities lending income — affiliated |
32,989 | 3,143 | 70 | |||||||||
TBA sales commitments |
— | — | 83,535 | |||||||||
Dividends — affiliated |
10,442 | 4,625 | 9,292 | |||||||||
Interest — unaffiliated |
3,448,130 | 3,213,127 | 94,636 | |||||||||
|
|
|
|
|
|
|||||||
Total assets |
249,381,269 | 282,052,957 | 14,772,187 | |||||||||
|
|
|
|
|
|
|||||||
LIABILITIES |
||||||||||||
Collateral on securities loaned, at value |
43,410,138 | 15,469,752 | 58,735 | |||||||||
TBA sales commitments, at value(e) |
— | — | 84,462 | |||||||||
Payables: |
||||||||||||
Investments purchased |
8,784,013 | 13,494,369 | 2,186,637 | |||||||||
Investment advisory fees |
58,771 | 38,259 | 1,734 | |||||||||
|
|
|
|
|
|
|||||||
Total liabilities |
52,252,922 | 29,002,380 | 2,331,568 | |||||||||
|
|
|
|
|
|
|||||||
Commitments and contingent liabilities |
||||||||||||
NET ASSETS |
$ | 197,128,347 | $ | 253,050,577 | $ | 12,440,619 | ||||||
|
|
|
|
|
|
|||||||
NET ASSETS CONSIST OF |
||||||||||||
Paid-in capital |
$ | 214,675,261 | $ | 280,536,103 | $ | 15,600,945 | ||||||
Accumulated loss |
(17,546,914 | ) | (27,485,526 | ) | (3,160,326 | ) | ||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 197,128,347 | $ | 253,050,577 | $ | 12,440,619 | ||||||
|
|
|
|
|
|
|||||||
NET ASSETVALUE |
||||||||||||
Shares outstanding |
4,400,000 | 5,800,000 | 150,000 | |||||||||
|
|
|
|
|
|
|||||||
Net asset value |
$ | 44.80 | $ | 43.63 | $ | 82.94 | ||||||
|
|
|
|
|
|
|||||||
Shares authorized |
Unlimited | Unlimited | Unlimited | |||||||||
|
|
|
|
|
|
|||||||
Par value |
None | None | None | |||||||||
|
|
|
|
|
|
|||||||
(a) Investments, at cost — unaffiliated |
$ | 193,058,217 | $ | 260,133,046 | $ | 12,933,401 | ||||||
(b) Securities loaned, at value |
$ | 39,541,641 | $ | 12,883,176 | $ | 53,016 | ||||||
(c) Investments, at cost — affiliated |
$ | 46,072,844 | $ | 16,552,461 | $ | 2,051,593 | ||||||
(d) Foreign currency, at cost |
$ | 242 | $ | — | $ | — | ||||||
(e) Proceeds from TBA sales commitments |
$ | — | $ | — | $ | 83,535 |
See notes to financial statements.
32 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Operations (unaudited)
August 31, 2023
iShares High Yield Bond Factor ETF |
iShares Investment Grade Bond Factor ETF |
iShares USD Bond Factor ETF |
||||||||||
|
||||||||||||
INVESTMENT INCOME |
||||||||||||
Dividends — affiliated |
$ | 32,230 | $ | 34,841 | $ | 45,682 | ||||||
Interest — unaffiliated |
6,421,943 | 6,217,402 | 234,818 | |||||||||
Securities lending income — affiliated — net |
132,996 | 25,536 | 369 | |||||||||
Other income — unaffiliated |
400 | — | — | |||||||||
|
|
|
|
|
|
|||||||
Total investment income |
6,587,569 | 6,277,779 | 280,869 | |||||||||
|
|
|
|
|
|
|||||||
EXPENSES |
||||||||||||
Investment advisory |
289,662 | 224,576 | 11,412 | |||||||||
|
|
|
|
|
|
|||||||
Total expenses |
289,662 | 224,576 | 11,412 | |||||||||
Less: |
||||||||||||
Investment advisory fees waived |
— | — | (790 | ) | ||||||||
|
|
|
|
|
|
|||||||
Total expenses after fees waived |
289,662 | 224,576 | 10,622 | |||||||||
|
|
|
|
|
|
|||||||
Net investment income |
6,297,907 | 6,053,203 | 270,247 | |||||||||
|
|
|
|
|
|
|||||||
REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||
Net realized gain (loss) from: |
||||||||||||
Investments — unaffiliated |
(3,689,459 | ) | (3,993,816 | ) | (423,667 | ) | ||||||
Investments — affiliated |
(4,647 | ) | (5,105 | ) | 188 | |||||||
In-kind redemptions — unaffiliated(a) |
408,438 | 137,486 | — | |||||||||
|
|
|
|
|
|
|||||||
(3,285,668 | ) | (3,861,435 | ) | (423,479 | ) | |||||||
|
|
|
|
|
|
|||||||
Net change in unrealized appreciation (depreciation) on: |
||||||||||||
Investments — unaffiliated |
5,409,536 | 3,745,746 | 296,078 | |||||||||
Investments — affiliated |
(3,547 | ) | (917 | ) | (632 | ) | ||||||
Foreign currency translations |
6 | — | — | |||||||||
|
|
|
|
|
|
|||||||
5,405,995 | 3,744,829 | 295,446 | ||||||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
2,120,327 | (116,606 | ) | (128,033 | ) | |||||||
|
|
|
|
|
|
|||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 8,418,234 | $ | 5,936,597 | $ | 142,214 | ||||||
|
|
|
|
|
|
(a) |
See Note 2 of the Notes to Financial Statements. |
See notes to financial statements.
F I N A N C I A L S T A T E M E N T S |
33 |
Statements of Changes in Net Assets
iShares High Yield Bond Factor ETF |
iShares Investment Grade Bond Factor ETF |
|||||||||||||||
|
|
|
|
|||||||||||||
Six
Months Ended 08/31/23 (unaudited) |
Year Ended 02/28/23 |
Six
Months Ended 08/31/23 (unaudited) |
Year Ended 02/28/23 |
|||||||||||||
|
||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||
OPERATIONS |
||||||||||||||||
Net investment income |
$ | 6,297,907 | $ | 7,368,573 | $ | 6,053,203 | $ | 6,466,133 | ||||||||
Net realized loss |
(3,285,668 | ) | (11,636,097 | ) | (3,861,435 | ) | (12,729,043 | ) | ||||||||
Net change in unrealized appreciation (depreciation) |
5,405,995 | (3,713,812 | ) | 3,744,829 | (10,147,353 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets resulting from operations |
8,418,234 | (7,981,336 | ) | 5,936,597 | (16,410,263 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) |
||||||||||||||||
Decrease in net assets resulting from distributions to shareholders |
(5,796,298 | ) | (7,711,884 | ) | (5,872,323 | ) | (6,064,177 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
CAPITAL SHARE TRANSACTIONS |
||||||||||||||||
Net increase (decrease) in net assets derived from capital share transactions |
59,891,172 | (24,604,285 | ) | 17,526,500 | 95,924,836 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS |
||||||||||||||||
Total increase (decrease) in net assets |
62,513,108 | (40,297,505 | ) | 17,590,774 | 73,450,396 | |||||||||||
Beginning of period |
134,615,239 | 174,912,744 | 235,459,803 | 162,009,407 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
End of period |
$ | 197,128,347 | $ | 134,615,239 | $ | 253,050,577 | $ | 235,459,803 | ||||||||
|
|
|
|
|
|
|
|
(a) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
34 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Changes in Net Assets (continued)
iShares USD Bond Factor ETF |
||||||||
|
|
|||||||
Six Months Ended |
||||||||
08/31/23 | |
Year Ended 02/28/23 |
| |||||
(unaudited) | ||||||||
|
||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||
OPERATIONS |
||||||||
Net investment income |
$ | 270,247 | $ | 499,798 | ||||
Net realized loss |
(423,479 | ) | (2,155,687 | ) | ||||
Net change in unrealized appreciation (depreciation) |
295,446 | (289,682 | ) | |||||
|
|
|
|
|||||
Net increase (decrease) in net assets resulting from operations |
142,214 | (1,945,571 | ) | |||||
|
|
|
|
|||||
DISTRIBUTIONS TO SHAREHOLDERS(a) |
||||||||
Decrease in net assets resulting from distributions to shareholders |
(267,234 | ) | (482,791 | ) | ||||
|
|
|
|
|||||
CAPITAL SHARE TRANSACTIONS |
||||||||
Net decrease in net assets derived from capital share transactions |
— | (4,233,961 | ) | |||||
|
|
|
|
|||||
NET ASSETS |
||||||||
Total decrease in net assets |
(125,020 | ) | (6,662,323 | ) | ||||
Beginning of period |
12,565,639 | 19,227,962 | ||||||
|
|
|
|
|||||
End of period |
$ | 12,440,619 | $ | 12,565,639 | ||||
|
|
|
|
(a) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
F I N A N C I A L S T A T E M E N T S |
35 |
(For a share outstanding throughout each period)
iShares High Yield Bond Factor ETF | ||||||||||||||||||||||||||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||
08/31/23 | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||||||||||||||||||||
(unaudited) | 02/28/23 | 02/28/22 | 02/28/21 | 02/29/20 | 02/28/19 | |||||||||||||||||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 44.14 | $ | 49.27 | $ | 51.32 | $ | 49.43 | $ | 49.03 | $ | 49.99 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||||||||
Net investment income(a) |
1.69 | 2.66 | 2.23 | 2.90 | 2.88 | 2.92 | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss)(b) |
0.57 | (5.00 | ) | (1.90 | ) | 1.97 | 0.39 | (0.98 | ) | |||||||||||||||||||||||||||||||||||||||
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|
|
|
|
|
|||||||||||||||||||||||||||||||||||||
Net increase (decrease) from investment operations |
2.26 | (2.34 | ) | 0.33 | 4.87 | 3.27 | 1.94 | |||||||||||||||||||||||||||||||||||||||||
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|
|||||||||||||||||||||||||||||||||||||
Distributions from net investment income(c) |
(1.60 | ) | (2.79 | ) | (2.38 | ) | (2.98 | ) | (2.87 | ) | (2.90 | ) | ||||||||||||||||||||||||||||||||||||
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|
|||||||||||||||||||||||||||||||||||||
Net asset value, end of period |
$ | 44.80 | $ | 44.14 | $ | 49.27 | $ | 51.32 | $ | 49.43 | $ | 49.03 | ||||||||||||||||||||||||||||||||||||
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Total Return(d) |
||||||||||||||||||||||||||||||||||||||||||||||||
Based on net asset value |
5.24 | %(e) | (4.73 | )% | 0.63 | % | 10.38 | % | 6.78 | % | 4.08 | % | ||||||||||||||||||||||||||||||||||||
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|||||||||||||||||||||||||||||||||||||
Ratios to Average Net Assets(f) |
||||||||||||||||||||||||||||||||||||||||||||||||
Total expenses |
0.35 | %(g) | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||||||||||||||||||||||||||||
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|
|||||||||||||||||||||||||||||||||||||
Net investment income |
7.61 | %(g) | 5.89 | % | 4.37 | % | 5.97 | % | 5.77 | % | 5.99 | % | ||||||||||||||||||||||||||||||||||||
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Supplemental Data |
||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000) |
$ | 197,128 | $ | 134,615 | $ | 174,913 | $ | 79,541 | $ | 39,545 | $ | 17,162 | ||||||||||||||||||||||||||||||||||||
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|||||||||||||||||||||||||||||||||||||
Portfolio turnover rate(h) |
30 | % | 60 | % | 67 | % | 67 | % | 46 | % | 59 | % | ||||||||||||||||||||||||||||||||||||
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|
(a) |
Based on average shares outstanding. |
(b) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(c) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) |
Where applicable, assumes the reinvestment of distributions. |
(e) |
Not annualized. |
(f) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(g) |
Annualized. |
(h) |
Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
36 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Financial Highlights (continued)
(For a share outstanding throughout each period)
iShares Investment Grade Bond Factor ETF | ||||||||||||||||||||||||||||||||||||||||||||||||
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Six Months Ended |
||||||||||||||||||||||||||||||||||||||||||||||||
|
08/31/23 |
|
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Year Ended |
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Year Ended |
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|
Year Ended |
|
|
Year Ended |
|
Year Ended | |||||||||||||||||||||||||||||||||
(unaudited) |
02/28/23 |
02/28/22 |
02/28/21 |
02/29/20 |
02/28/19 |
|||||||||||||||||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 43.60 | $ | 49.85 | $ | 53.69 | $ | 53.44 | $ | 48.32 | $ | 48.85 | ||||||||||||||||||||||||||||||||||||
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Net investment income(a) |
1.07 | 1.70 | 1.36 | 1.56 | 1.88 | 1.88 | ||||||||||||||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss)(b) |
0.01 | (6.35 | ) | (3.19 | ) | 0.76 | 6.14 | (0.69 | ) | |||||||||||||||||||||||||||||||||||||||
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Net increase (decrease) from investment operations |
1.08 | (4.65 | ) | (1.83 | ) | 2.32 | 8.02 | 1.19 | ||||||||||||||||||||||||||||||||||||||||
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Distributions(c) |
||||||||||||||||||||||||||||||||||||||||||||||||
From net investment income |
(1.05 | ) | (1.59 | ) | (1.39 | ) | (1.59 | ) | (1.85 | ) | (1.72 | ) | ||||||||||||||||||||||||||||||||||||
From net realized gain |
— | (0.01 | ) | (0.62 | ) | (0.48 | ) | (1.05 | ) | — | ||||||||||||||||||||||||||||||||||||||
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|||||||||||||||||||||||||||||||||||||
Total distributions |
(1.05 | ) | (1.60 | ) | (2.01 | ) | (2.07 | ) | (2.90 | ) | (1.72 | ) | ||||||||||||||||||||||||||||||||||||
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|
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Net asset value, end of period |
$ | 43.63 | $ | 43.60 | $ | 49.85 | $ | 53.69 | $ | 53.44 | $ | 48.32 | ||||||||||||||||||||||||||||||||||||
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Total Return(d) |
||||||||||||||||||||||||||||||||||||||||||||||||
Based on net asset value |
2.46 | %(e) | (9.35 | )% | (3.57 | )% | 4.41 | % | 16.96 | % | 2.54 | % | ||||||||||||||||||||||||||||||||||||
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Ratios to Average Net Assets(f) |
||||||||||||||||||||||||||||||||||||||||||||||||
Total expenses |
0.18 | %(g) | 0.18 | % | 0.18 | % | 0.18 | % | 0.18 | % | 0.18 | % | ||||||||||||||||||||||||||||||||||||
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|
|||||||||||||||||||||||||||||||||||||
Net investment income |
4.85 | %(g) | 3.80 | % | 2.57 | % | 2.90 | % | 3.67 | % | 3.95 | % | ||||||||||||||||||||||||||||||||||||
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|||||||||||||||||||||||||||||||||||||
Supplemental Data |
||||||||||||||||||||||||||||||||||||||||||||||||
Net assets, end of period (000) |
$ | 253,051 | $ | 235,460 | $ | 162,009 | $ | 158,379 | $ | 93,520 | $ | 96,648 | ||||||||||||||||||||||||||||||||||||
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|
|||||||||||||||||||||||||||||||||||||
Portfolio turnover rate(h) |
39 | % | 87 | % | 59 | % | 46 | % | 75 | % | 63 | % | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
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|
|
(a) |
Based on average shares outstanding. |
(b) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(c) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) |
Where applicable, assumes the reinvestment of distributions. |
(e) |
Not annualized. |
(f) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(g) |
Annualized. |
(h) |
Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
F I N A N C I A L H I G H L I G H T S |
37 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
iShares USD Bond Factor ETF | ||||||||||||||||||||||||
Six Months Ended |
Year Ended |
Period From to 02/28/22 |
||||||||||||||||||||||
|
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 83.77 | $ | 96.14 | $ | 100.00 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Net investment income(b) |
1.80 | 2.62 | 0.54 | |||||||||||||||||||||
Net realized and unrealized loss(c) |
(0.85 | ) | (12.51 | ) | (3.96 | ) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Net increase (decrease) from investment operations |
0.95 | (9.89 | ) | (3.42 | ) | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Distributions from net investment income(d) |
(1.78 | ) | (2.48 | ) | (0.44 | ) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Net asset value, end of period |
$ | 82.94 | $ | 83.77 | $ | 96.14 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Return(e) |
||||||||||||||||||||||||
Based on net asset value |
1.12 | %(f) | (10.34 | )% | (3.43 | )%(f) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Ratios to Average Net Assets(g) |
||||||||||||||||||||||||
Total expenses |
0.18 | %(h) | 0.18 | % | 0.18 | %(h) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total expenses after fees waived |
0.17 | %(h) | 0.16 | % | 0.16 | %(h) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Net investment income |
4.26 | %(h) | 3.02 | % | 1.43 | %(h) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (000) |
$ | 12,441 | $ | 12,566 | $ | 19,228 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Portfolio turnover rate(i)(j) |
168 | % | 519 | % | 243 | % | ||||||||||||||||||
|
|
|
|
|
|
(a) |
Commencement of operations. |
(b) |
Based on average shares outstanding. |
(c) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(d) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(e) |
Where applicable, assumes the reinvestment of distributions. |
(f) |
Not annualized. |
(g) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(h) |
Annualized. |
(i) |
Portfolio turnover rate excludes in-kind transactions. |
(j) |
Includes mortgage dollar roll transactions (“MDRs”). |
See notes to financial statements.
38 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited)
1. |
ORGANIZATION |
iShares Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust and is authorized to have multiple series or portfolios.
These financial statements relate only to the following funds (each, a “Fund” and collectively, the “Funds”):
iShares ETF | Diversification Classification |
|||
High Yield Bond Factor |
Diversified | |||
Investment Grade Bond Factor |
Diversified | |||
USD Bond Factor |
Non-diversified |
2. |
SIGNIFICANT ACCOUNTING POLICIES |
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend date. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. Upon notification from issuers or as estimated by management, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.
Foreign Currency Translation: The Fund’s books and records are maintained in U.S. dollars. Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using prevailing market rates as quoted by one or more data service providers. Purchases and sales of investments are recorded at the rates of exchange prevailing on the respective dates of such transactions. Generally, when the U.S. dollar rises in value against a foreign currency, the investments denominated in that currency will lose value; the opposite effect occurs if the U.S. dollar falls in relative value.
The Fund does not isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments for financial reporting purposes. Accordingly, the effects of changes in exchange rates on investments are not segregated in the Statements of Operations from the effects of changes in market prices of those investments, but are included as a component of net realized and unrealized gain (loss) from investments. The Fund reports realized currency gains (losses) on foreign currency related transactions as components of net realized gain (loss) for financial reporting purposes, whereas such components are generally treated as ordinary income for U.S. federal income tax purposes.
Collateralization: If required by an exchange or counterparty agreement, the Funds may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments.
In-kind Redemptions: For financial reporting purposes, in-kind redemptions are treated as sales of securities resulting in realized capital gains or losses to the Funds. Because such gains or losses are not taxable to the Funds and are not distributed to existing Fund shareholders, the gains or losses are reclassified from accumulated net realized gain (loss) to paid-in capital at the end of the Funds’ tax year. These reclassifications have no effect on net assets or net asset value (“NAV”) per share.
Distributions: Dividends and distributions paid by each Fund are recorded on the ex-dividend dates. Distributions are determined on a tax basis and may differ from net investment income and net realized capital gains for financial reporting purposes. Dividends and distributions are paid in U.S. dollars and cannot be automatically reinvested in additional shares of the Funds.
Indemnifications: In the normal course of business, each Fund enters into contracts that contain a variety of representations that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown because it involves future potential claims against the Funds, which cannot be predicted with any certainty.
3. |
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund’s listing exchange is open and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Board of Trustees of the Trust (the “Board”) of each Fund has approved the designation of BlackRock Fund Advisors (“BFA”), the Funds’ investment adviser, as the valuation designee for each Fund. Each Fund determines the fair values of its financial instruments using various independent dealers or pricing services under BFA’s policies. If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with BFA’s policies and procedures as reflecting fair value. BFA
N O T E S T O F I N A N C I A L S T A T E M E N T S |
39 |
Notes to Financial Statements (unaudited) (continued)
has formed a committee (the “Valuation Committee”) to develop pricing policies and procedures and to oversee the pricing function for all financial instruments, with assistance from other BlackRock pricing committees.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:
• |
Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Pricing services generally value fixed income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless BFA determines such method does not represent fair value. |
• |
Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV. |
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Valuation Committee, in accordance with BFA’s policies and procedures as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Valuation Committee seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Valuation Committee deems relevant and consistent with the principles of fair value measurement.
Fair value pricing could result in a difference between the prices used to calculate a fund’s NAV and the prices used by the fund’s underlying index, which in turn could result in a difference between the fund’s performance and the performance of the fund’s underlying index.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• |
Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access; |
• |
Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs); and |
• |
Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, (including the Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
4. |
SECURITIES AND OTHER INVESTMENTS |
Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are
40 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.
To mitigate counterparty risk, a fund enters into a two-way collateral agreement for TBA transactions with certain counterparties. Under such agreement, the “in-the-money” party of a TBA transaction may at any time require the other party to pledge collateral assets (in the form of cash or securities) to offset any loss the in-the-money party would incur upon cancellation of the TBA transaction. A party is in-the-money if they are the buyer and the market value of the TBA transaction increases or if they are the seller and the market value of the TBA transaction decreases. Cash collateral received from the counterparty may be reinvested in money market funds, including those managed by the Funds’ investment adviser, or its affiliates. Such collateral, if any, is noted in the Schedule of Investments and the obligation to return the collateral is presented as a liability in the Statements of Assets and Liabilities. Securities pledged as collateral by a fund, if any, are noted in the Schedule of Investments.
Mortgage Dollar Roll Transactions: Certain Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
Securities Lending: Each Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, an irrevocable letter of credit issued by an approved bank, or securities issued or guaranteed by the U.S. government. The initial collateral received by each Fund is required to have a value of at least 102% of the current market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund or excess collateral is returned by the Fund, on the next business day. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested in money market funds managed by BFA, or its affiliates is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Fund, except in the event of borrower default. The securities on loan, if any, are also disclosed in each Fund’s Schedule of Investments. The market value of any securities on loan and the value of any related cash collateral are disclosed in the Statements of Assets and Liabilities.
Securities lending transactions are entered into by the Funds under Master Securities Lending Agreements (each, an “MSLA”) which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Funds, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Funds can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
N O T E S T O F I N A N C I A L S T A T E M E N T S |
41 |
Notes to Financial Statements (unaudited) (continued)
As of period end, the following table is a summary of the securities on loan by counterparty which are subject to offset under an MSLA:
|
||||||||||||||||
iShares ETF and Counterparty |
|
Securities Loaned at Value |
|
|
Cash Collateral Received |
(a) |
|
Non-Cash Collateral Received, at Fair Value |
(a) |
Net Amount | ||||||
|
||||||||||||||||
High Yield Bond Factor |
||||||||||||||||
Barclays Bank PLC |
$ | 2,926,966 | $ | (2,926,966 | ) | $ | — | $ | — | |||||||
BNP Paribas SA |
3,395,760 | (3,395,760 | ) | — | — | |||||||||||
BofA Securities, Inc. |
1,833,524 | (1,833,524 | ) | — | — | |||||||||||
Citigroup Global Markets, Inc. |
573,560 | (573,560 | ) | — | — | |||||||||||
Goldman Sachs & Co. LLC |
9,543,556 | (9,543,556 | ) | — | — | |||||||||||
J.P. Morgan Securities LLC |
8,274,582 | (8,274,582 | ) | — | — | |||||||||||
Jefferies LLC |
1,000,322 | (1,000,322 | ) | — | — | |||||||||||
Morgan Stanley |
3,186,206 | (3,186,206 | ) | — | — | |||||||||||
Pershing LLC |
18,115 | (18,115 | ) | — | — | |||||||||||
RBC Capital Markets LLC |
1,223,857 | (1,223,857 | ) | — | — | |||||||||||
Scotia Capital (USA), Inc. |
1,265,040 | (1,265,040 | ) | — | — | |||||||||||
State Street Bank & Trust Co. |
6,300,153 | (6,300,153 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 39,541,641 | $ | (39,541,641 | ) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Investment Grade Bond Factor |
||||||||||||||||
Barclays Bank PLC |
$ | 4,161,209 | $ | (4,161,209 | ) | $ | — | $ | — | |||||||
BMO Capital Markets Corp. |
366,626 | (366,626 | ) | — | — | |||||||||||
BNP Paribas SA |
487,347 | (487,347 | ) | — | — | |||||||||||
BofA Securities, Inc. |
1,034,826 | (1,034,826 | ) | — | — | |||||||||||
J.P. Morgan Securities LLC |
959,887 | (959,887 | ) | — | — | |||||||||||
Jefferies LLC |
324,314 | (324,314 | ) | — | — | |||||||||||
Morgan Stanley |
2,088,130 | (2,088,130 | ) | — | — | |||||||||||
Pershing LLC |
1,143,265 | (1,143,265 | ) | — | — | |||||||||||
RBC Capital Markets LLC |
797,612 | (797,612 | ) | — | — | |||||||||||
State Street Bank & Trust Co. |
1,491,812 | (1,491,812 | ) | — | — | |||||||||||
Wells Fargo Securities LLC |
28,148 | (28,148 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 12,883,176 | $ | (12,883,176 | ) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|||||||||
USD Bond Factor |
||||||||||||||||
BNP Paribas SA |
$ | 2,263 | $ | (2,263 | ) | $ | — | $ | — | |||||||
Goldman Sachs & Co. LLC |
42,380 | (42,380 | ) | — | — | |||||||||||
J.P. Morgan Securities LLC |
996 | (996 | ) | — | — | |||||||||||
Morgan Stanley |
2,615 | (2,615 | ) | — | — | |||||||||||
Wells Fargo Securities LLC |
4,762 | (4,762 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 53,016 | $ | (53,016 | ) | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
(a) |
Collateral received, if any, in excess of the market value of securities on loan is not presented in this table The total cash collateral received by each Fund is disclosed in the Fund’s Statements of Assets and Liabilities. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, each Fund benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value of the securities loaned in the event of borrower default. Each Fund could incur a loss if the value of an investment purchased with cash collateral falls below the market value of the loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by each Fund.
5. |
INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory Fees: Pursuant to an Investment Advisory Agreement with the Trust, BFA manages the investment of each Fund’s assets. BFA is a California corporation indirectly owned by BlackRock. Under the Investment Advisory Agreement, BFA is responsible for substantially all expenses of the Funds, except (i) interest and taxes; (ii) brokerage commissions and other expenses connected with the execution of portfolio transactions; (iii) distribution fees; (iv) the advisory fee payable to BFA; and (v) litigation expenses and any extraordinary expenses (in each case as determined by a majority of the independent trustees).
For its investment advisory services to each of the following Funds, BFA is entitled to an annual investment advisory fee, accrued daily and paid monthly by the Funds, based on the average daily net assets of each Fund as follows:
iShares ETF | Investment Advisory Fees | |||
High Yield Bond Factor |
0.35 | % | ||
Investment Grade Bond Factor |
0.18 | |||
USD Bond Factor |
0.18 |
42 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
Expense Waivers: A fund may incur its pro rata share of fees and expenses attributable to its investments in other investment companies (“acquired fund fees and expenses”). The total of the investment advisory fee and acquired fund fees and expenses, if any, is a fund’s total annual operating expenses. Total expenses as shown in the Statements of Operations does not include acquired fund fees and expenses.
For the iShares USD Bond Factor ETF, BFA has contractually agreed to waive a portion of its investment advisory fee for the Fund through June 30, 2026 in an amount equal to the acquired fund fees and expenses, if any, attributable to investments by the Fund in other funds advised by BFA or its affiliates.
This amount is included in investment advisory fees waived in the Statements of Operations. For the six months ended August 31, 2023, the amounts waived in investment advisory fees pursuant to this arrangement were as follows:
iShares ETF | Amounts Waived | |||
USD Bond Factor |
$ | 790 |
Distributor: BlackRock Investments, LLC, an affiliate of BFA, is the distributor for each Fund. Pursuant to the distribution agreement, BFA is responsible for any fees or expenses for distribution services provided to the Funds.
Index Provider: BlackRock Index Services, LLC, an affiliate of BFA, created, sponsors and publishes the underlying index used by each Fund. Each Fund uses its underlying index at no charge pursuant to a license agreement between BlackRock Index Services, LLC (or one or more of its affiliates) and the Trust, on behalf of the Funds.
Securities Lending: The U.S. Securities and Exchange Commission (the “SEC”) has issued an exemptive order which permits BlackRock Institutional Trust Company, N.A. (“BTC”), an affiliate of BFA, to serve as securities lending agent for the Funds, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. Each Fund is responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by BFA, or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees each Fund bears to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund’s weekly liquid assets fall below certain thresholds.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. Each Fund retains a portion of securities lending income and remits the remaining portion to BTC as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, each Fund retains 82% of securities lending income (which excludes collateral investment fees), and the amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
In addition, commencing the business day following the date that the aggregate securities lending income plus the collateral investment fees generated across all 1940 Act iShares exchange-traded funds (the “iShares ETF Complex”) in that calendar year exceeds a specified threshold, each Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year 85% of securities lending income (which excludes collateral investment fees) and the amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
The share of securities lending income earned by each Fund is shown as securities lending income – affiliated – net in its Statements of Operations. For the six months ended August 31, 2023, the Funds paid BTC the following amounts for securities lending agent services:
iShares ETF | Amounts | |||
High Yield Bond Factor |
$ | 35,698 | ||
Investment Grade Bond Factor |
8,727 | |||
USD Bond Factor |
89 |
Officers and Trustees: Certain officers and/or trustees of the Trust are officers and/or trustees of BlackRock or its affiliates.
Each Fund may invest its positive cash balances in certain money market funds managed by BFA or an affiliate. The income earned on these temporary cash investments is shown as dividends – affiliated in the Statements of Operations.
A fund, in order to improve its portfolio liquidity and its ability to track its underlying index, may invest in shares of other iShares funds that invest in securities in the fund’s underlying index.
N O T E S T O F I N A N C I A L S T A T E M E N T S |
43 |
Notes to Financial Statements (unaudited) (continued)
6. |
PURCHASES AND SALES |
For the six months ended August 31, 2023, purchases and sales of investments, including mortgage dollar rolls and excluding short-term securities and in-kind transactions, were as follows:
U.S. Government Securities | Other Securities | |||||||||||||||
iShares ETF | Purchases | Sales | Purchases | Sales | ||||||||||||
High Yield Bond Factor |
$ | — | $ | — | $ | 48,192,473 | $ | 49,124,091 | ||||||||
Investment Grade Bond Factor. |
— | — | 94,388,605 | 95,037,462 | ||||||||||||
USD Bond Factor |
18,485,874 | 18,968,514 | 2,409,588 | 1,987,555 |
For the six months ended August 31, 2023, in-kind transactions were as follows:
iShares ETF | In-kind Purchases |
In-kind Sales |
||||||
High Yield Bond Factor |
$ | 75,742,736 | $ | 17,098,718 | ||||
Investment Grade Bond Factor |
26,267,010 | 8,704,509 |
7. |
INCOME TAX INFORMATION |
Each Fund is treated as an entity separate from the Trust’s other funds for federal income tax purposes. It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Management has analyzed tax laws and regulations and their application to the Funds as of August 31, 2023, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.
As of February 28, 2023, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:
iShares ETF |
Non-Expiring Capital Loss Carryforwards(a) |
|||
High Yield Bond Factor |
$ | (11,986,708) | ||
Investment Grade Bond Factor |
(12,519,533) | |||
USD Bond Factor |
(1,966,331) |
(a) |
Amounts available to offset future realized capital gains. |
As of August 31, 2023, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
iShares ETF | Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
High Yield Bond Factor |
$ 239,442,967 | $ | 2,955,798 | $ | (6,372,974 | ) | $ | (3,417,176) | ||||||||
Investment Grade Bond Factor |
277,030,210 | 531,214 | (12,680,001 | ) | (12,148,787) | |||||||||||
USD Bond Factor |
15,224,443 | 23,924 | (851,933 | ) | (828,009) |
8. |
PRINCIPAL RISKS |
In the normal course of business, each Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including, among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate or price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund’s prospectus provides details of the risks to which the Fund is subject.
BFA uses a “passive” or index approach to try to achieve each Fund’s investment objective following the securities included in its underlying index during upturns as well as downturns. BFA does not take steps to reduce market exposure or to lessen the effects of a declining market. Divergence from the underlying index and the composition of the portfolio is monitored by BFA.
44 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Notes to Financial Statements (unaudited) (continued)
The Funds may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.
Market Risk: Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.
Infectious Illness Risk: An outbreak of an infectious illness, such as the COVID-19 pandemic, may adversely impact the economies of many nations and the global economy, and may impact individual issuers and capital markets in ways that cannot be foreseen. An infectious illness outbreak may result in, among other things, closed international borders, prolonged quarantines, supply chain disruptions, market volatility or disruptions and other significant economic, social and political impacts.
Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that BFA believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
Geographic/Asset Class Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.
Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.
The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will decrease as interest rates rise and increase as interest rates fall. The Funds may be subject to a greater risk of rising interest rates due to the period of historically low interest rates that ended in March 2022. The Federal Reserve has recently been raising the federal funds rate as part of its efforts to address inflation. There is a risk that interest rates will continue to rise, which will likely drive down the prices of bonds and other fixed-income securities, and could negatively impact the Funds’ performance.
The Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedule of Investments.
Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.
LIBOR Transition Risk: The Funds may be exposed to financial instruments that recently transitioned from, or continue to be tied to the London Interbank Offered Rate (“LIBOR”) to determine payment obligations, financing terms, hedging strategies or investment value. The United Kingdom’s Financial Conduct Authority, which regulates LIBOR, has ceased publishing all LIBOR settings, but some USD LIBOR settings will continue to be published under a synthetic methodology until September 30, 2024 for certain legacy contracts. The Secured Overnight Financing Rate (“SOFR”) has been used increasingly on a voluntary basis in new instruments and transactions. Under U.S. regulations that implement a statutory fallback mechanism to replace LIBOR, benchmark rates based on SOFR have replaced LIBOR in certain financial contracts. The ultimate effect of the LIBOR transition process on the Funds is uncertain.
9. |
CAPITAL SHARE TRANSACTIONS |
Capital shares are issued and redeemed by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”) at NAV. Except when aggregated in Creation Units, shares of each Fund are not redeemable.
N O T E S T O F I N A N C I A L S T A T E M E N T S |
45 |
Notes to Financial Statements (unaudited) (continued)
Transactions in capital shares were as follows:
|
||||||||||||||||
Six Months Ended 08/31/23 |
Year Ended 02/28/23 |
|||||||||||||||
|
|
|
|
|||||||||||||
iShares ETF | Shares | Amount | Shares | Amount | ||||||||||||
|
||||||||||||||||
High Yield Bond Factor |
||||||||||||||||
Shares sold |
1,750,000 | $ | 77,576,640 | 700,000 | $ | 31,145,415 | ||||||||||
Shares redeemed |
(400,000 | ) | (17,685,468 | ) | (1,200,000 | ) | (55,749,700 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
1,350,000 | $ | 59,891,172 | (500,000 | ) | $ | (24,604,285 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Investment Grade Bond Factor |
||||||||||||||||
Shares sold |
600,000 | $ | 26,350,075 | 2,150,000 | $ | 95,924,836 | ||||||||||
Shares redeemed |
(200,000 | ) | (8,823,575 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
400,000 | $ | 17,526,500 | 2,150,000 | $ |
95,924,836 |
| ||||||||||
|
|
|
|
|
|
|
|
|||||||||
USD Bond Factor |
||||||||||||||||
Shares redeemed |
— | $ | — | (50,000 | ) | $ | (4,233,961 | ) | ||||||||
|
|
|
|
|
|
|
|
The consideration for the purchase of Creation Units of a fund in the Trust generally consists of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Certain funds in the Trust may be offered in Creation Units solely or partially for cash in U.S. dollars. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to State Street Bank and Trust Company, the Trust’s administrator, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. Investors transacting in Creation Units for cash may also pay an additional variable charge to compensate the relevant fund for certain transaction costs (i.e., stamp taxes, taxes on currency or other financial transactions, and brokerage costs) and market impact expenses relating to investing in portfolio securities. Such variable charges, if any, are included in shares sold in the table above.
From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable in the Statements of Assets and Liabilities.
10. |
SUBSEQUENT EVENTS |
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
46 |
2 0 2 3 I S H A R E S S E M I - A N N U A L R E P O R T T O S H A R E H O L D E R S |
Board Review and Approval of Investment Advisory Contract
iShares High Yield Bond Factor ETF (the “Fund”)
Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Trust’s Board of Trustees (the “Board”), including a majority of Board Members who are not “interested persons” of the Trust (as that term is defined in the 1940 Act) (the “Independent Board Members”), is required annually to consider the approval of the Investment Advisory Agreement between the Trust and BFA (the “Advisory Agreement”) on behalf of the Fund. The Board’s consideration entails a year-long process whereby the Board and its committees (composed solely of Independent Board Members) assess BlackRock’s services to the Fund, including investment management; fund accounting; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements. The Independent Board Members requested, and BFA provided, such information as the Independent Board Members, with advice from independent counsel, deemed reasonably necessary to evaluate the Advisory Agreement. At meetings on May 2, 2023 and May 15, 2023, a committee composed of all of the Independent Board Members (the “15(c) Committee”), with independent counsel, met with management and reviewed and discussed information provided in response to initial requests of the 15(c) Committee and/or its independent counsel, and requested certain additional information, which management agreed to provide. At a meeting held on June 7-8, 2023, the Board, including the Independent Board Members, reviewed the additional information provided by management in response to these requests.
After extensive discussions and deliberations, the Board, including all of the Independent Board Members, approved the continuance of the Advisory Agreement for the Fund, based on a review of qualitative and quantitative information provided by BFA and their cumulative experience as Board Members. The Board noted its satisfaction with the extent and quality of information provided and its frequent interactions with management, as well as the detailed responses and other information provided by BFA. The Independent Board Members were advised by their independent counsel throughout the process, including about the legal standards applicable to their review. In approving the continuance of the Advisory Agreement for the Fund, the Board, including the Independent Board Members, considered various factors, including: (i) the expenses and performance of the Fund; (ii) the nature, extent and quality of the services provided by BFA; (iii) the costs of services provided to the Fund and profits realized by BFA and its affiliates; (iv) potential economies of scale and the sharing of related benefits; (v) the fees and services provided for other comparable funds/accounts managed by BFA and its affiliates; and (vi) other benefits to BFA and/or its affiliates. The material factors, none of which was controlling, and conclusions that formed the basis for the Board, including the Independent Board Members, to approve the continuance of the Advisory Agreement are discussed below.
Expenses and Performance of the Fund: The Board reviewed statistical information prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, regarding the expense ratio components, including gross and net total expenses, fees and expenses of other fund(s) in which the Fund invests (if applicable), and waivers/reimbursements (if applicable) of the Fund in comparison with the same information for other ETFs, objectively selected by Broadridge as comprising the Fund’s applicable expense peer group pursuant to Broadridge’s proprietary ETF methodology (the “Peer Group”). The Board was provided with a detailed description of the proprietary ETF methodology used by Broadridge to determine the Fund’s Peer Group. The Board noted that, due to the limitations in providing comparable funds in the Peer Group, the statistical information provided in Broadridge’s report may or may not provide meaningful direct comparisons to the Fund in all instances. The Board also noted that the investment advisory fee rate and overall expenses (net of any waivers and reimbursements) for the Fund were lower than the median of the investment advisory fee rates and overall expenses (net of any waivers and reimbursements) of the funds in its Peer Group, excluding iShares funds.
In addition, to the extent that any of the comparison funds included in the Peer Group, excluding iShares funds, track the same index as the Fund, Broadridge also provided, and the Board reviewed, a comparison of the Fund’s performance for the one-year, three-year, five-year, ten-year, and since inception periods, as applicable, and for the quarter ended December 31, 2022, to that of such relevant comparison fund(s) for the same periods. The Board noted that the Fund seeks to track its specified underlying index and that, during the year, the Board received periodic reports on the Fund’s short- and longer-term performance in comparison with its underlying index. Such periodic comparative performance information, including additional detailed information as requested by the Board, was also considered. The Board noted that the Fund generally performed in line with its underlying index over the relevant periods.
Based on this review, the other factors considered at the meeting, and their general knowledge of ETF pricing, the Board concluded that the investment advisory fee rate and expense level and the historical performance of the Fund supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Nature, Extent and Quality of Services Provided: Based on management’s representations, including information about ongoing enhancements and initiatives with respect to the iShares business, including with respect to capital markets support and analysis, technology, portfolio management, product design and quality, compliance and risk management, global public policy and other services, the Board expected that there would be no diminution in the scope of services required of or provided by BFA under the Advisory Agreement for the coming year as compared with the scope of services provided by BFA during prior years. In reviewing the scope of these services, the Board considered BFA’s investment philosophy and experience, noting that BFA and its affiliates have committed significant resources over time, including during the past year, to support the iShares funds and their shareholders and have made significant investments into the iShares business. The Board also considered BFA’s compliance program and its compliance record with respect to the Fund, including related programs implemented pursuant to regulatory requirements. In that regard, the Board noted that BFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board, and on other occasions as necessary and appropriate, and has provided information and made relevant officers and other employees of BFA (and its affiliates) available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Fund, as well as the resources available to them in managing the Fund. In addition to the above considerations, the Board reviewed and considered detailed presentations regarding BFA’s investment performance, investment and risk management processes and strategies provided at the May 2, 2023 meeting and throughout the year, and matters related to BFA’s portfolio compliance program and other compliance programs and services.
Based on review of this information, and the performance information discussed above, the Board concluded that the nature, extent and quality of services provided to the Fund under the Advisory Agreement supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Costs of Services Provided to the Fund and Profits Realized by BFA and its Affiliates: The Board reviewed information about the estimated profitability to BlackRock in managing the Fund, based on the fees payable to BFA and its affiliates (including fees under the Advisory Agreement), and other sources of revenue and expense to BFA
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Board Review and Approval of Investment Advisory Contract (continued)
and its affiliates from the Fund’s operations for the last calendar year. The Board reviewed BlackRock’s methodology for calculating estimated profitability of the iShares funds, noting that the 15(c) Committee and the Board had focused on the methodology and profitability presentation. The Board recognized that profitability may be affected by numerous factors, including, among other things, fee waivers by BFA, the types of funds managed, expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at individual fund levels is challenging. The Board discussed with management the sources of direct and ancillary revenue, including the revenues to BTC, a BlackRock affiliate, from securities lending by the Fund. The Board also discussed BFA’s estimated profit margin as reflected in the Fund’s profitability analysis and reviewed information regarding potential economies of scale (as discussed below).
Based on this review, the Board concluded that the information considered with respect to the profits realized by BFA and its affiliates under the Advisory Agreement and from other relationships between the Fund and BFA and/or its affiliates, if any, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Economies of Scale: The Board reviewed information and considered the extent to which economies of scale might be realized as the assets of the Fund increase, noting that the issue of potential economies of scale had been focused on by the 15(c) Committee and the Board during their meetings and addressed by management. The 15(c) Committee and the Board received information regarding BlackRock’s historical estimated profitability (as discussed above), including BFA’s and its affiliates’ estimated costs in providing services. The estimated cost information distinguished, among other things, between fixed and variable costs, and showed how the level and nature of fixed and variable costs may impact the existence or size of scale benefits, with the Board recognizing that potential economies of scale are difficult to measure. The 15(c) Committee and the Board reviewed information provided by BFA regarding the sharing of scale benefits with the iShares funds through various means, including, as applicable, through relatively low fee rates established at inception, breakpoints, waivers, or other fee reductions, as well as through additional investment in the iShares business and the provision of improved or additional infrastructure and services to the iShares funds and their shareholders. The Board noted that the Advisory Agreement for the Fund did not provide for breakpoints in the Fund’s investment advisory fee rate as the assets of the Fund increase. However, the Board noted that it would continue to assess the appropriateness of adding breakpoints in the future.
The Board concluded that this review of potential economies of scale and the sharing of related benefits, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Fees and Services Provided for Other Comparable Funds/Accounts Managed by BFA and its Affiliates: The Board received and considered information regarding the investment advisory/management fee rates for other funds/accounts in the U.S. for which BFA (or its affiliates) provides investment advisory/management services, including open-end funds registered under the 1940 Act (including sub-advised funds), collective trust funds and institutional separate accounts (collectively, the “Other Accounts”). The Board acknowledged BFA’s representation that the iShares funds are fundamentally different investment vehicles from the Other Accounts.
The Board received detailed information regarding how the Other Accounts generally differ from the Fund, including in terms of the types of services and generally more extensive services provided to the Fund, as well as other significant differences. In that regard, the Board considered that the pricing of services to institutional clients is typically based on a number of factors beyond the nature and extent of the specific services to be provided and often depends on the overall relationship between the client and its affiliates and the adviser and its affiliates. In addition, the Board considered the relative complexity and inherent risks and challenges of managing and providing other services to the Fund, as a publicly traded investment vehicle, as compared to the Other Accounts, particularly those that are institutional clients, in light of differing regulatory requirements and client-imposed mandates. The Board noted that BFA and its affiliates do not manage Other Accounts with substantially the same investment objective and strategy as the Fund and that track the same index as the Fund. The Board also acknowledged management’s assertion that, for certain iShares funds, and for client segmentation purposes, BlackRock has launched an iShares fund that may provide a similar investment exposure at a lower investment advisory fee rate.
The Board considered the “all-inclusive” nature of the Fund’s advisory fee structure, and the Fund’s expenses borne by BFA under this arrangement and noted that the investment advisory fee rate under the Advisory Agreement for the Fund was generally higher than the investment advisory/management fee rates for certain of the Other Accounts (particularly institutional clients) and concluded that the differences appeared to be consistent with the factors discussed.
Other Benefits to BFA and/or its Affiliates: The Board reviewed other benefits or ancillary revenue received by BFA and/or its affiliates in connection with the services provided to the Fund by BFA, both direct and indirect, including, but not limited to, payment of revenue to BTC, the Fund’s securities lending agent, for loaning portfolio securities, as applicable (which was included in the profit margins reviewed by the Board pursuant to BFA’s estimated profitability methodology), payment of advisory fees or other fees to BFA (or its affiliates) in connection with any investments by the Fund in other funds for which BFA (or its affiliates) provides investment advisory services or other services, and BlackRock’s profile in the investment community. The Board further considered other direct benefits that might accrue to BFA, including the potential for reduction in the Fund’s expenses that are borne by BFA under the “all-inclusive” management fee arrangement, due in part to the size and scope of BFA’s investment operations servicing the Fund (and other funds in the iShares complex) as well as in response to a changing market environment. The Board also reviewed and considered information provided by BFA concerning authorized participant primary market order processing services that are provided by BlackRock Investments, LLC (“BRIL”), an affiliate of BFA, and paid for by authorized participants under the ETF Servicing Platform. The Board also noted the revenue received by BFA and/or its affiliates pursuant to an agreement that permits a service provider to use certain portions of BlackRock’s technology platform to service accounts managed by BFA and/or its affiliates, including the iShares funds. The Board noted that BFA generally does not use soft dollars or consider the value of research or other services that may be provided to BFA (including its affiliates) in selecting brokers for portfolio transactions for the Fund. The Board concluded that any such ancillary benefits would not be disadvantageous to the Fund and thus would not alter the Board’s conclusion with respect to the appropriateness of approving the continuance of the Advisory Agreement for the coming year.
Conclusion: Based on a review of the factors described above, as well as such other factors as deemed appropriate by the Board, the Board, including all of the Independent Board Members, determined that the Fund’s investment advisory fee rate under the Advisory Agreement does not constitute a fee that is so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded to approve the continuance of the Advisory Agreement for the coming year.
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Board Review and Approval of Investment Advisory Contract (continued)
iShares Investment Grade Bond Factor ETF, iShares USD Bond Factor ETF (each the “Fund”)
Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Trust’s Board of Trustees (the “Board”), including a majority of Board Members who are not “interested persons” of the Trust (as that term is defined in the 1940 Act) (the “Independent Board Members”), is required annually to consider the approval of the Investment Advisory Agreement between the Trust and BFA (the “Advisory Agreement”) on behalf of the Fund. The Board’s consideration entails a year-long process whereby the Board and its committees (composed solely of Independent Board Members) assess BlackRock’s services to the Fund, including investment management; fund accounting; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements. The Independent Board Members requested, and BFA provided, such information as the Independent Board Members, with advice from independent counsel, deemed reasonably necessary to evaluate the Advisory Agreement. At meetings on May 2, 2023 and May 15, 2023, a committee composed of all of the Independent Board Members (the “15(c) Committee”), with independent counsel, met with management and reviewed and discussed information provided in response to initial requests of the 15(c) Committee and/or its independent counsel, and requested certain additional information, which management agreed to provide. At a meeting held on June 7-8, 2023, the Board, including the Independent Board Members, reviewed the additional information provided by management in response to these requests.
After extensive discussions and deliberations, the Board, including all of the Independent Board Members, approved the continuance of the Advisory Agreement for the Fund, based on a review of qualitative and quantitative information provided by BFA and their cumulative experience as Board Members. The Board noted its satisfaction with the extent and quality of information provided and its frequent interactions with management, as well as the detailed responses and other information provided by BFA. The Independent Board Members were advised by their independent counsel throughout the process, including about the legal standards applicable to their review. In approving the continuance of the Advisory Agreement for the Fund, the Board, including the Independent Board Members, considered various factors, including: (i) the expenses and performance of the Fund; (ii) the nature, extent and quality of the services provided by BFA; (iii) the costs of services provided to the Fund and profits realized by BFA and its affiliates; (iv) potential economies of scale and the sharing of related benefits; (v) the fees and services provided for other comparable funds/accounts managed by BFA and its affiliates; and (vi) other benefits to BFA and/or its affiliates. The material factors, none of which was controlling, and conclusions that formed the basis for the Board, including the Independent Board Members, to approve the continuance of the Advisory Agreement are discussed below.
Expenses and Performance of the Fund: The Board reviewed statistical information prepared by Broadridge Financial Solutions, Inc. (“Broadridge”), an independent provider of investment company data, regarding the expense ratio components, including gross and net total expenses, fees and expenses of other fund(s) in which the Fund invests (if applicable), and waivers/reimbursements (if applicable) of the Fund in comparison with the same information for other ETFs, objectively selected by Broadridge as comprising the Fund’s applicable expense peer group pursuant to Broadridge’s proprietary ETF methodology (the “Peer Group”). The Board was provided with a detailed description of the proprietary ETF methodology used by Broadridge to determine the Fund’s Peer Group. The Board noted that, due to the limitations in providing comparable funds in the Peer Group, the statistical information provided in Broadridge’s report may or may not provide meaningful direct comparisons to the Fund in all instances. The Board also noted that the investment advisory fee rate and overall expenses (net of any waivers and reimbursements) for the Fund were within range of the median of the investment advisory fee rates and overall expenses (net of any waivers and reimbursements) of the funds in its Peer Group, excluding iShares funds.
In addition, to the extent that any of the comparison funds included in the Peer Group, excluding iShares funds, track the same index as the Fund, Broadridge also provided, and the Board reviewed, a comparison of the Fund’s performance for the one-year, three-year, five-year, ten-year, and since inception periods, as applicable, and for the quarter ended December 31, 2022, to that of such relevant comparison fund(s) for the same periods. The Board noted that the Fund seeks to track its specified underlying index and that, during the year, the Board received periodic reports on the Fund’s short- and longer-term performance in comparison with its underlying index. Such periodic comparative performance information, including additional detailed information as requested by the Board, was also considered. The Board noted that the Fund generally performed in line with its underlying index over the relevant periods.
Based on this review, the other factors considered at the meeting, and their general knowledge of ETF pricing, the Board concluded that the investment advisory fee rate and expense level and the historical performance of the Fund supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Nature, Extent and Quality of Services Provided: Based on management’s representations, including information about ongoing enhancements and initiatives with respect to the iShares business, including with respect to capital markets support and analysis, technology, portfolio management, product design and quality, compliance and risk management, global public policy and other services, the Board expected that there would be no diminution in the scope of services required of or provided by BFA under the Advisory Agreement for the coming year as compared with the scope of services provided by BFA during prior years. In reviewing the scope of these services, the Board considered BFA’s investment philosophy and experience, noting that BFA and its affiliates have committed significant resources over time, including during the past year, to support the iShares funds and their shareholders and have made significant investments into the iShares business. The Board also considered BFA’s compliance program and its compliance record with respect to the Fund, including related programs implemented pursuant to regulatory requirements. In that regard, the Board noted that BFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board, and on other occasions as necessary and appropriate, and has provided information and made relevant officers and other employees of BFA (and its affiliates) available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Fund, as well as the resources available to them in managing the Fund. In addition to the above considerations, the Board reviewed and considered detailed presentations regarding BFA’s investment performance, investment and risk management processes and strategies provided at the May 2, 2023 meeting and throughout the year, and matters related to BFA’s portfolio compliance program and other compliance programs and services.
Based on review of this information, and the performance information discussed above, the Board concluded that the nature, extent and quality of services provided to the Fund under the Advisory Agreement supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Costs of Services Provided to the Fund and Profits Realized by BFA and its Affiliates: The Board reviewed information about the estimated profitability to BlackRock in managing the Fund, based on the fees payable to BFA and its affiliates (including fees under the Advisory Agreement), and other sources of revenue and expense to BFA
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Board Review and Approval of Investment Advisory Contract (continued)
and its affiliates from the Fund’s operations for the last calendar year. The Board reviewed BlackRock’s methodology for calculating estimated profitability of the iShares funds, noting that the 15(c) Committee and the Board had focused on the methodology and profitability presentation. The Board recognized that profitability may be affected by numerous factors, including, among other things, fee waivers by BFA, the types of funds managed, expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at individual fund levels is challenging. The Board discussed with management the sources of direct and ancillary revenue, including the revenues to BTC, a BlackRock affiliate, from securities lending by the Fund. The Board also discussed BFA’s estimated profit margin as reflected in the Fund’s profitability analysis and reviewed information regarding potential economies of scale (as discussed below).
Based on this review, the Board concluded that the information considered with respect to the profits realized by BFA and its affiliates under the Advisory Agreement and from other relationships between the Fund and BFA and/or its affiliates, if any, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Economies of Scale: The Board reviewed information and considered the extent to which economies of scale might be realized as the assets of the Fund increase, noting that the issue of potential economies of scale had been focused on by the 15(c) Committee and the Board during their meetings and addressed by management. The 15(c) Committee and the Board received information regarding BlackRock’s historical estimated profitability (as discussed above), including BFA’s and its affiliates’ estimated costs in providing services. The estimated cost information distinguished, among other things, between fixed and variable costs, and showed how the level and nature of fixed and variable costs may impact the existence or size of scale benefits, with the Board recognizing that potential economies of scale are difficult to measure. The 15(c) Committee and the Board reviewed information provided by BFA regarding the sharing of scale benefits with the iShares funds through various means, including, as applicable, through relatively low fee rates established at inception, breakpoints, waivers, or other fee reductions, as well as through additional investment in the iShares business and the provision of improved or additional infrastructure and services to the iShares funds and their shareholders. The Board noted that the Advisory Agreement for the Fund did not provide for breakpoints in the Fund’s investment advisory fee rate as the assets of the Fund increase. However, the Board noted that it would continue to assess the appropriateness of adding breakpoints in the future.
The Board concluded that this review of potential economies of scale and the sharing of related benefits, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Fees and Services Provided for Other Comparable Funds/Accounts Managed by BFA and its Affiliates: The Board received and considered information regarding the investment advisory/management fee rates for other funds/accounts in the U.S. for which BFA (or its affiliates) provides investment advisory/management services, including open-end funds registered under the 1940 Act (including sub-advised funds), collective trust funds and institutional separate accounts (collectively, the “Other Accounts”). The Board acknowledged BFA’s representation that the iShares funds are fundamentally different investment vehicles from the Other Accounts.
The Board received detailed information regarding how the Other Accounts generally differ from the Fund, including in terms of the types of services and generally more extensive services provided to the Fund, as well as other significant differences. In that regard, the Board considered that the pricing of services to institutional clients is typically based on a number of factors beyond the nature and extent of the specific services to be provided and often depends on the overall relationship between the client and its affiliates and the adviser and its affiliates. In addition, the Board considered the relative complexity and inherent risks and challenges of managing and providing other services to the Fund, as a publicly traded investment vehicle, as compared to the Other Accounts, particularly those that are institutional clients, in light of differing regulatory requirements and client-imposed mandates. The Board noted that BFA and its affiliates do not manage Other Accounts withsubstantially the same investment objective and strategy as the Fund and that track the same index as the Fund. The Board also acknowledged management’s assertion that, for certain iShares funds, and for client segmentation purposes, BlackRock has launched an iShares fund that may provide a similar investment exposure at a lower investment advisory fee rate.
The Board considered the “all-inclusive” nature of the Fund’s advisory fee structure, and the Fund’s expenses borne by BFA under this arrangement and noted that the investment advisory fee rate under the Advisory Agreement for the Fund was generally higher than the investment advisory/management fee rates for certain of the Other Accounts (particularly institutional clients) and concluded that the differences appeared to be consistent with the factors discussed.
Other Benefits to BFA and/or its Affiliates: The Board reviewed other benefits or ancillary revenue received by BFA and/or its affiliates in connection with the services provided to the Fund by BFA, both direct and indirect, including, but not limited to, payment of revenue to BTC, the Fund’s securities lending agent, for loaning portfolio securities, as applicable (which was included in the profit margins reviewed by the Board pursuant to BFA’s estimated profitability methodology), payment of advisory fees or other fees to BFA (or its affiliates) in connection with any investments by the Fund in other funds for which BFA (or its affiliates) provides investment advisory services or other services, and BlackRock’s profile in the investment community. The Board further considered other direct benefits that might accrue to BFA, including the potential for reduction in the Fund’s expenses that are borne by BFA under the “all-inclusive” management fee arrangement, due in part to the size and scope of BFA’s investment operations servicing the Fund (and other funds in the iShares complex) as well as in response to a changing market environment. The Board also reviewed and considered information provided by BFA concerning authorized participant primary market order processing services that are provided by BlackRock Investments, LLC (“BRIL”), an affiliate of BFA, and paid for by authorized participants under the ETF Servicing Platform. The Board also noted the revenue received by BFA and/or its affiliates pursuant to an agreement that permits a service provider to use certain portions of BlackRock’s technology platform to service accounts managed by BFA and/or its affiliates, including the iShares funds. The Board noted that BFA generally does not use soft dollars or consider the value of research or other services that may be provided to BFA (including its affiliates) in selecting brokers for portfolio transactions for the Fund. The Board concluded that any such ancillary benefits would not be disadvantageous to the Fund and thus would not alter the Board’s conclusion with respect to the appropriateness of approving the continuance of the Advisory Agreement for the coming year.
Conclusion: Based on a review of the factors described above, as well as such other factors as deemed appropriate by the Board, the Board, including all of the Independent Board Members, determined that the Fund’s investment advisory fee rate under the Advisory Agreement does not constitute a fee that is so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded to approve the continuance of the Advisory Agreement for the coming year.
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Supplemental Information (unaudited)
Tailored Shareholder Reports for Open-End Mutual Funds and ETFs
Effective January 24, 2023, the SEC adopted rule and form amendments to require open-end mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will no longer appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.
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Electronic Delivery
Shareholders can sign up for e-mail notifications announcing that the shareholder report or prospectus has been posted on the iShares website at iShares.com. Once you have enrolled, you will no longer receive prospectuses and shareholder reports in the mail.
To enroll in electronic delivery:
• |
Go to icsdelivery.com. |
• |
If your brokerage firm is not listed, electronic delivery may not be available. Please contact your broker-dealer or financial advisor. |
Householding
Householding is an option available to certain fund investors. Householding is a method of delivery, based on the preference of the individual investor, in which a single copy of certain shareholder documents and Rule 30e-3 notices can be delivered to investors who share the same address, even if their accounts are registered under different names. Please contact your broker-dealer if you are interested in enrolling in householding and receiving a single copy of prospectuses and other shareholder documents, or if you are currently enrolled in householding and wish to change your householding status.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at iShares.com/fundreports.
Availability of Proxy Voting Policies and Proxy Voting Records
A description of the policies and procedures that the iShares Funds use to determine how to vote proxies relating to portfolio securities and information about how the iShares Funds voted proxies relating to portfolio securities during the most recent twelve-month period ending June 30 is available without charge, upon request (1) by calling toll-free 1-800-474-2737; (2) on the iShares website at iShares.com; and (3) on the SEC website at sec.gov.
A description of the Trust’s policies and procedures with respect to the disclosure of the Fund’s portfolio securities is available in the Fund Prospectus. The Fund discloses its portfolio holdings daily and provides information regarding its top holdings in Fund fact sheets at iShares.com.
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Glossary of Terms Used in this Report
Portfolio Abbreviation | ||
CMT | Constant Maturity Treasury | |
LIBOR | London Interbank Offered Rate | |
REIT | Real Estate Investment Trust | |
SOFR | Secured Overnight Financing Rate | |
TBA | To-Be-Announced |
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Want to know more?
iShares.com | 1-800-474-2737
This report is intended for the Funds’ shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current prospectus.
Investing involves risk, including possible loss of principal.
The iShares Funds are distributed by BlackRock Investments, LLC (together with its affiliates, “BlackRock”).
The iShares Funds are not sponsored, endorsed, issued, sold or promoted by BlackRock Index Services LLC, nor does this company make any representation regarding the advisability of investing in the iShares Funds. BlackRock is affiliated with the company listed above.
©2023 BlackRock, Inc. All rights reserved. iSHARES and BLACKROCK are registered trademarks of BlackRock, Inc. or its subsidiaries. All other marks are the property of their respective owners.
iS-SAR-208-0823
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