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MARCH 31, 2022 |
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2022 Annual Report
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iShares Trust
· iShares Factors US Growth Style ETF | STLG | Cboe BZX
· iShares Factors US Value Style ETF | STLV | Cboe BZX
· iShares US Small Cap Value Factor ETF | SVAL | Cboe BZX
Dear Shareholder,
The 12-month reporting period as of March 31, 2022 saw a continuation of the resurgent growth that followed the initial coronavirus (or “COVID-19”) pandemic reopening, albeit at a slower pace. The global economy weathered the emergence of several variant strains and the resulting peaks and troughs in infections amid optimism that increasing vaccinations and economic adaptation could help contain the pandemic’s disruptions. However, rapid changes in consumer spending led to supply constraints and elevated inflation. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the invasion has presented challenges for both investors and policymakers.
Equity prices were mixed, as persistently high inflation drove investors’ expectations for higher interest rates, which particularly weighed on relatively high valuation growth stocks and economically sensitive small-capitalization stocks. Overall, small-capitalization U.S. stocks declined, while large-capitalization U.S. stocks posted a strong advance. International equities from developed markets gained slightly, although emerging market stocks declined, pressured by rising interest rates and a strengthening U.S. dollar.
The 10-year U.S. Treasury yield (which is inversely related to bond prices) rose during the reporting period as the economy expanded rapidly and inflation reached its highest annualized reading in decades. The corporate bond market also faced inflationary headwinds, although the improving economy assuaged credit concerns and high-yield corporate bonds consequently declined less than investment-grade corporate bonds.
The U.S. Federal Reserve (the “Fed”), acknowledging that inflation is growing faster than expected, raised interest rates in March 2022, the first increase of this business cycle. Furthermore, the Fed wound down its bond-buying programs and raised the prospect of reversing the flow and reducing its balance sheet. Continued high inflation and the Fed’s new tone led many analysts to anticipate that the Fed will continue to raise interest rates multiple times throughout the year.
Looking ahead, however, the horrific war in Ukraine has significantly clouded the outlook for the global economy, leading to major volatility in energy and metal markets. Sanctions on Russia, Europe’s top energy supplier, and general wartime disruption are likely to drive already-high commodity prices even higher. Sharp increases in energy prices will exacerbate inflationary pressure while also constraining economic growth. Combating inflation without stifling a recovery, while buffering against ongoing supply and price shocks amid the ebb and flow of the pandemic, will be an especially challenging environment for setting effective monetary policy. Despite the likelihood of more rate increases on the horizon, we believe the Fed will err on the side of protecting employment, even at the expense of higher inflation.
In this environment, we favor an overweight to equities, as valuations have become more attractive and inflation-adjusted interest rates remain low. Sectors that are better poised to manage the transition to a lower-carbon world, such as technology and health care, are particularly attractive in the long term. We favor U.S. equities due to strong earnings momentum, while Japanese equities should benefit from supportive monetary and fiscal policy. We are underweight credit overall, but inflation-protected U.S. Treasuries, Asian fixed income, and emerging market local-currency bonds offer potential opportunities for additional yield. We believe that international diversification and a focus on sustainability and quality can help provide portfolio resilience.
Overall, our view is that investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit iShares.com for further insight about investing in today’s markets.
Sincerely,
Rob Kapito
President, BlackRock, Inc.
Rob Kapito
President, BlackRock, Inc.
Total Returns as of March 31, 2022 | ||||
6-Month | 12-Month | |||
U.S. large cap equities (S&P 500® Index) |
5.92% | 15.65% | ||
U.S. small cap equities (Russell 2000® Index) |
(5.55) | (5.79) | ||
International equities (MSCI Europe, Australasia, Far East Index) |
(3.38) | 1.16 | ||
Emerging market equities (MSCI Emerging Markets Index) |
(8.20) | (11.37) | ||
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index) |
0.05 | 0.07 | ||
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index) |
(6.04) | (3.31) | ||
U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index) |
(5.92) | (4.15) | ||
Tax-exempt municipal bonds (Bloomberg Municipal Bond Index) |
(5.55) | (4.47) | ||
U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index) |
(4.16) | (0.66) | ||
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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iShares Trust
Domestic Market Overview
U.S. stocks advanced for the 12 months ended March 31, 2022 (“reporting period”), when the Russell 3000® Index, a broad measure of U.S. equity market performance, returned 11.92%. The strengthening economy supported equities, as high consumer spending drove robust growth, and most remaining coronavirus pandemic-related restrictions were eased. Increased economic activity led to strong corporate earnings as companies reaped the benefits of the recovery. Nonetheless, significant challenges emerged, particularly during the second half of the reporting period, including high inflation, rising interest rates, and the impacts of Russia’s invasion of Ukraine.
The U.S. economic recovery was powered primarily by consumers, who were supported by strong household balance sheets. Prior to the beginning of the reporting period, fiscal stimulus and business closures led to record-high personal savings rates. This allowed consumers to spend at an elevated level throughout much of the reporting period, as pent-up demand was released. The ensuing acceleration in economic activity allowed the U.S. to reach and then surpass its pre-pandemic output level. Hiring increased as businesses restored capacity, and unemployment decreased substantially, falling to 3.6% in March 2022.
The growing economy and rapid increases in consumer spending drove a significant rise in inflation. Supply chains for many goods were disrupted by the pandemic and were unable to quickly adapt to the rapid rebound in demand. In one prominent example of this dynamic, a global shortage of semiconductors created bottlenecks in the production of many goods, including automobiles. Consequently, the price of used cars rose sharply during the reporting period and was a notable factor in overall inflation. Oil prices also rose significantly as demand increased, and the supply of oil was constrained by a lack of investment. The strong job market led to higher wages, particularly at the lower end of the market. These factors led to higher prices in many areas of the economy. By the end of the reporting period the consumer price index, a widely used measure of prices in the U.S., grew at the fastest rate since 1982.
Rising inflation led to a shift in policy from the U.S. Federal Reserve Bank (“Fed”). As the reporting period began, the Fed was using accommodative monetary policy to stimulate the economy. Short-term interest rates were kept at near zero levels, and the Fed used bond-buying programs to stabilize debt markets. However, rising prices led the Fed to tighten monetary policy in the second half of the reporting period in an attempt to prevent runaway inflation. The Fed slowed and then ended its bond-buying activities and discussed plans to begin reducing its balance sheet by selling bonds later in 2022. In March 2022, it raised short-term interest rates and indicated that further increases could be necessary. Interest rates rose significantly in anticipation of further tightening, leading to higher borrowing costs for businesses.
Russia’s invasion of Ukraine in late February 2022 raised the prospect of substantial disruptions to the global economy and increased uncertainty in financial markets. The invasion was met with widespread condemnation and sanctions imposed by many countries on the Russian state, businesses, and individuals. This led to sharp volatility in energy markets, as Russia is a top producer of both oil and natural gas. Furthermore, both Russia and Ukraine are notable exporters of wheat, and the war’s disruption led to concerns surrounding food prices.
4 |
2 0 2 2 I S H A R E S 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 March 31, 2022 | iShares® Factors US Growth Style ETF |
Investment Objective
The iShares Factors US Growth Style ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. large- and mid-capitalization stocks with favorable exposure to target style factors subject to constraints, as represented by the Russell US Large Cap Factors Growth Style Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.
Performance
Average Annual Total Returns | Cumulative Total Returns | |||||||||||||||||
1 Year |
Since Inception |
1 Year | Since Inception |
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Fund NAV |
13.28 | % | 19.59% | 13.28 | % | 48.58 | % | |||||||||||
Fund Market |
13.42 | 19.68 | 13.42 | 48.85 | ||||||||||||||
Index |
13.57 | 19.81 | 13.57 | 49.17 |
GROWTH OF $10,000 INVESTMENT
(SINCE INCEPTION AT NET ASSET VALUE)
The inception date of the Fund was 1/14/20. The first day of secondary market trading was 1/16/20.
Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 11 for more information.
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||||||
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Beginning Account Value (10/01/21) |
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Ending Account Value (03/31/22 |
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Expenses Paid During the Period |
(a) |
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Beginning Account Value (10/01/21 |
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Ending Account Value (03/31/22 |
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Expenses Paid During the Period |
(a) |
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Annualized Expense Ratio |
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$ 1,000.00 | $ 1,014.60 | $ 1.26 | $ 1,000.00 | $ | 1,023.70 | $ | 1.26 | 0.25 | % |
(a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” for more information. |
F U N D S U M M A R Y |
5 |
Fund Summary as of March 31, 2022 (continued) | iShares® Factors US Growth Style ETF |
Portfolio Management Commentary
U.S. stocks with favorable exposure to target style factors subject to constraints advanced robustly for the reporting period. The information technology sector was the leading contributor to the Index’s return, driven primarily by the strong performance of large corporations. Ongoing effects of the pandemic accelerated online migration, leading to record levels of revenues for companies in the software and services industry. Demand for cloud and computing services grew strongly, along with sales of personal and commercial productivity software. Growth in video games and investor optimism about new products and services, as well as industry consolidation, boosted returns. In addition, strong sales of hardware, including personal computers and tablets, despite ongoing supply chain challenges, contributed to record revenues. Volatility in the labor market increased traffic on web-based career platforms, leading to sharply higher advertising revenues.
Technology, hardware, and equipment stocks, as well as software & services, were contributors. Increased sales of smartphones with 5G capability drove profits in the industry as demand for these products outstripped supply, helped by discounts from wireless carriers. Increased time at home drove strong demand for computing products for remote work and online learning. Similarly, increased demand for entertainment services, especially music and streaming video, drove rising subscription revenues. Wearable technologies such as earbuds also showed strength, adding to revenue growth.
In the healthcare sector, biotechnology companies benefited from blockbuster drugs, those that generate $1 million or more annually, as global spending on medicine grew. The development of antibody therapies to fight COVID-19, which the U.S. government contracted to purchase, drove rising revenues.
The Index’s research-based selection process is designed to maximize exposure to the weighted combination of five target investment style factors: momentum, quality, value, size, and low volatility. Reflecting those factor contributions, the Index marginally underperformed the broader market, as represented by the Russell 1000 Growth Index. Of the five target style factors, size detracted the most from relative performance during the reporting period. In contrast, the value and quality factors contributed to relative performance. Growth-oriented stocks underperformed relative to the broader market in the first quarter of 2022. From a sector perspective, stock selection in the consumer discretionary and financials sectors, which were both overweighted, detracted from the Index’s relative return. Conversely, stock selection in the information technology sector, which was also overweighted, contributed to relative performance.
Portfolio Information
ALLOCATION BY SECTOR |
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Sector |
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Percent of Total Investments |
(a) | |
Information Technology |
47.9 | % | ||
Consumer Discretionary |
20.2 | |||
Health Care |
10.4 | |||
Industrials |
5.1 | |||
Financials |
4.9 | |||
Communication Services |
4.1 | |||
Consumer Staples |
4.0 | |||
Materials |
3.0 | |||
Other (each representing less than 1%) |
0.4 |
TEN LARGEST HOLDINGS |
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Security |
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Percent of Total Investments |
(a) | |
Apple Inc. |
13.3 | % | ||
Microsoft Corp. |
11.7 | |||
Amazon.com Inc. |
5.4 | |||
NVIDIA Corp. |
2.9 | |||
AbbVie Inc. |
2.3 | |||
Tesla Inc. |
2.3 | |||
QUALCOMM Inc. |
2.0 | |||
Home Depot Inc. (The) |
1.9 | |||
Goldman Sachs Group Inc. (The) |
1.9 | |||
Costco Wholesale Corp. |
1.8 |
(a) |
Excludes money market funds. |
6 |
2 0 2 2 I S H A R E S 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 March 31, 2022 | iShares® Factors US Value Style ETF |
Investment Objective
The iShares Factors US Value Style ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. large- and mid-capitalization stocks with favorable exposure to target style factors subject to constraints, as represented by the Russell US Large Cap Factors Value Style Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.
Performance
Average Annual Total Returns | Cumulative Total Returns | |||||||||||||||||||
1 Year |
Since Inception |
1 Year | Since Inception |
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Fund NAV |
8.28 | % | 9.58 | % | 8.28 | % | 22.45 | % | ||||||||||||
Fund Market |
8.22 | 9.66 | 8.22 | 22.65 | ||||||||||||||||
Index |
8.35 | 9.72 | 8.35 | 22.78 |
GROWTH OF $10,000 INVESTMENT
(SINCE INCEPTION AT NET ASSET VALUE)
The inception date of the Fund was 1/14/20. The first day of secondary market trading was 1/16/20.
Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 11 for more information.
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||||
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Beginning Account Value (10/01/21) |
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Ending Account Value (03/31/22) |
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Expenses Paid During the Period |
(a) |
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Beginning Account Value (10/01/21) |
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Ending Account Value (03/31/22) |
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Expenses Paid During the Period |
(a) |
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Annualized Expense Ratio |
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$ | 1,000.00 | $ | 1,031.70 | $ | 1.27 | $ | 1,000.00 | $ | 1,023.70 | $ | 1.26 | 0.25 | % |
(a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” for more information. |
F U N D S U M M A R Y |
7 |
Fund Summary as of March 31, 2022 (continued) | iShares® Factors US Value Style ETF |
Portfolio Management Commentary
U.S. stocks with favorable exposure to target style factors subject to constraints advanced for the reporting period. The consumer staples sector contributed the most to the Index’s performance, led by the food and staples retailing industry. Sales and profits rose for supermarkets in the industry as consumers continued spending on everyday food items. A major supermarket’s announcement that it would examine strategic alternatives to maximize growth improved investors’ outlook and benefited the industry.
Stocks in the financials sector also advanced, driven by the insurance industry. In the face of rising inflation and an increase in auto accidents as more drivers returned to the road, property and casualty insurers were able to raise premiums to bolster profitability. Rising interest rates helped life and health insurance companies, which invest premiums in short-term, high-quality bonds, as rising bond yields increased the interest income from insurers’ substantial bond portfolios.
Energy stocks contributed to the Index’s return as higher oil prices boosted revenues in the oil, gas, and consumable fuels industry. The Index’s return has also benefitted from the health care sector— specifically biotechnology companies benefited from blockbuster drugs, those that generate $1 million or more annually, as global spending on medicine grew. The development of antibody therapies to fight COVID-19, which the U.S. government contracted to purchase, drove rising revenues. The materials sector also gained, driven by low-cost producers in the paper products industry amid a rise in the price of paper.
On the downside, the communication services sector detracted from the Index’s return due to declining revenues for companies managing online loyalty programs. In the consumer discretionary sector, retailers also declined amid inflationary pressure, which weighed on earnings.
The Index’s research-based selection process is designed to maximize exposure to the weighted combination of five target investment style factors: momentum, quality, value, low size, and low volatility. Reflecting those factor contributions, the Index significantly underperformed the broader market, as represented by the Russell 1000 Value Index. Of the five target style factors, exposure to the low size factor was the largest detractor from the Index’s relative performance for the reporting period. Smaller stocks were disproportionately pressured by the increasing interest rate environment in the second half of the reporting period. Higher exposure to the low volatility factor also worked against relative performance, while exposure to the quality factor was additive.
From a sector perspective, stock selection in the healthcare and financials sectors detracted substantially from the Index’s relative return. An underweight position in the energy sector also drove underperformance, as the energy sector gained amid higher prices for oil and gas. Conversely, stock selection in the information technology and consumer staples sectors benefited relative performance.
Portfolio Information
ALLOCATION BY SECTOR |
| |||
Sector |
|
Percent of Total Investments |
(a) | |
Financials |
23.3 | % | ||
Health Care |
16.8 | |||
Information Technology |
11.1 | |||
Consumer Staples |
10.2 | |||
Industrials |
9.3 | |||
Consumer Discretionary |
7.8 | |||
Energy |
5.0 | |||
Materials |
4.9 | |||
Communication Services |
4.6 | |||
Utilities |
4.0 | |||
Real Estate |
3.0 |
(a) |
Excludes money market funds. |
TEN LARGEST HOLDINGS |
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Security |
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Percent of Total Investments |
(a) | |
Johnson & Johnson |
3.0 | % | ||
Merck & Co. Inc. |
2.2 | |||
Jefferies Financial Group Inc. |
1.9 | |||
Procter & Gamble Co. (The) |
1.8 | |||
Walmart Inc. |
1.8 | |||
Evercore Inc., Class A |
1.8 | |||
Verizon Communications Inc. |
1.7 | |||
Pfizer Inc. |
1.5 | |||
Otis Worldwide Corp. |
1.5 | |||
Lazard Ltd., Class A |
1.4 |
8 |
2 0 2 2 I S H A R E S 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 March 31, 2022 | iShares® US Small Cap Value Factor ETF |
Investment Objective
The iShares US Small Cap Value Factor ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. small-capitalization stocks with prominent value characteristics, as represented by the Russell 2000 Focused Value Select Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.
Performance
Average Annual Total Returns | Cumulative Total Returns | |||||||||||||||||||
1 Year |
Since Inception |
1 Year |
Since Inception |
|||||||||||||||||
Fund NAV |
2.79 | % | 39.87 | % | 2.79 | % | 61.43 | % | ||||||||||||
Fund Market |
2.64 | 39.95 | 2.64 | 61.57 | ||||||||||||||||
Index |
3.01 | 40.44 | 3.01 | 62.39 |
GROWTH OF $10,000 INVESTMENT
(SINCE INCEPTION AT NET ASSET VALUE)
The inception date of the Fund was 10/27/20. The first day of secondary market trading was 10/29/20.
Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 11 for more information.
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||||
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Beginning Account Value (10/01/21 |
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Ending Account Value (03/31/22) |
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Expenses Paid During the Period |
(a) |
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Beginning Account Value (10/01/21 |
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Ending Account Value (03/31/22) |
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Expenses Paid During the Period |
(a) |
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Annualized Expense Ratio |
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$ | 1,000.00 | $ | 1,035.00 | $ | 1.01 | $ | 1,000.00 | $ | 1,023.90 | $ | 1.01 | 0.20 | % |
(a) |
Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” for more information. |
F U N D S U M M A R Y |
9 |
Fund Summary as of March 31, 2022 (continued) | iShares® US Small Cap Value Factor ETF |
Portfolio Management Commentary
Small cap U.S. stocks with favorable exposure to the target value factor advanced modestly for the reporting period. The financials sector contributed the most to the Index’s return as the strengthening economy and higher interest rates drove earnings growth. Regional banks led the advance, benefiting from higher interest rates due to the larger spread between the rate they pay on deposits and the rate they charge for loans. Investors were optimistic about expanding business loans amid the economic recovery as well as growth in digital finance platforms to expedite business loan processing and trade cryptocurrency.
The materials sector was another source of strength, led by the metals and mining industry. As vaccinations spread and economies reopened, demand for power increased, boosting prices of coal. Steel prices rallied late in the reporting period as the Russian war in Ukraine disrupted supply from both countries, and investors were optimistic that demand for coal used in steel production would continue to increase.
On the downside, the consumer discretionary sector detracted from the Index’s return. In the retail industry, consumers’ purchases of durable goods were constrained by sharply rising inflation, weighing on returns. Reductions in government expenditures to contend with the pandemic reduced low-income consumers’ retail purchases, leading to lower-than-expected revenues.
The Index’s research-based selection process is designed to maximize exposure to small cap stocks which are trading at a discount to their fundamentals. The Index significantly outperformed the broader market, as represented by the Russell 2000 Index. From a factor perspective, exposure to the value factor was the biggest positive contributor to relative returns. Positioning within quality and volatility was also beneficial. Exposure to stocks with higher earnings yield detracted. However, from a sector perspective, an underweight allocation to the healthcare sector contributed to relative performance, as did an overweight to and stock selection within the financials sector. Stock selection within the materials sector also contributed positively to relative results. Conversely, an underweight to and stock selection within the energy sector, as well as an underweight to the real estate sector, detracted from relative returns.
Portfolio Information
ALLOCATION BY SECTOR |
| |||
Sector |
|
Percent of Total Investments |
(a) | |
Financials |
43.0 | % | ||
Industrials |
20.7 | |||
Consumer Discretionary |
9.5 | |||
Materials |
8.0 | |||
Information Technology |
5.8 | |||
Energy |
4.5 | |||
Real Estate |
3.5 | |||
Utilities |
2.0 | |||
Consumer Staples |
1.5 | |||
Health Care |
1.0 | |||
Communication Services |
0.5 |
(a) |
Excludes money market funds. |
TEN LARGEST HOLDINGS |
| |||
Security |
|
Percent of Total Investments |
(a) | |
Customers Bancorp. Inc. |
1.2 | % | ||
Alpha & Omega Semiconductor Ltd. |
1.1 | |||
RPC Inc. |
1.0 | |||
AdvanSix Inc. |
1.0 | |||
Dime Community Bancshares Inc. |
1.0 | |||
Movado Group Inc. |
1.0 | |||
Independent Bank Corp. |
0.9 | |||
Clean Energy Fuels Corp. |
0.8 | |||
Allegheny Technologies Inc. |
0.8 | |||
Triumph Bancorp. Inc. |
0.8 |
10 |
2 0 2 2 I S H A R E S 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 Period.”
The expense examples also provide information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in a Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as brokerage commissions and other fees paid on purchases and sales of fund shares. Therefore, the hypothetical examples are useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.
A B O U T F U N D P E R F O R M A N C E / S H A R E H O L D E R E X P E N S E S |
11 |
March 31, 2022 |
iShares® Factors US Growth Style ETF (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Common Stocks |
| |||||||
Air Freight & Logistics — 2.1% |
| |||||||
Expeditors International of Washington Inc. |
373 | $ | 38,479 | |||||
FedEx Corp. |
97 | 22,445 | ||||||
United Parcel Service Inc., Class B |
263 | 56,403 | ||||||
|
|
|||||||
117,327 | ||||||||
Automobiles — 2.3% | ||||||||
Tesla Inc.(a) |
116 | 125,002 | ||||||
|
|
|||||||
Beverages — 0.5% | ||||||||
PepsiCo Inc. |
170 | 28,455 | ||||||
|
|
|||||||
Biotechnology — 3.6% | ||||||||
AbbVie Inc. |
788 | 127,743 | ||||||
Amgen Inc. |
45 | 10,882 | ||||||
Moderna Inc.(a) |
228 | 39,275 | ||||||
Vertex Pharmaceuticals Inc.(a) |
66 | 17,224 | ||||||
|
|
|||||||
195,124 | ||||||||
Building Products — 0.3% | ||||||||
Trex Co. Inc.(a) |
245 | 16,006 | ||||||
|
|
|||||||
Capital Markets — 4.1% | ||||||||
Goldman Sachs Group Inc. (The) |
312 | 102,991 | ||||||
MSCI Inc. |
184 | 92,530 | ||||||
Raymond James Financial Inc. |
41 | 4,507 | ||||||
S&P Global Inc. |
62 | 25,431 | ||||||
|
|
|||||||
225,459 | ||||||||
Chemicals — 1.1% | ||||||||
Chemours Co. (The) |
966 | 30,410 | ||||||
Scotts Miracle-Gro Co. (The) |
222 | 27,297 | ||||||
|
|
|||||||
57,707 | ||||||||
Communications Equipment — 0.7% | ||||||||
Arista Networks Inc.(a) |
82 | 11,396 | ||||||
Ubiquiti Inc. |
98 | 28,534 | ||||||
|
|
|||||||
39,930 | ||||||||
Consumer Finance — 0.7% | ||||||||
American Express Co. |
12 | 2,244 | ||||||
Synchrony Financial |
1,072 | 37,316 | ||||||
|
|
|||||||
39,560 | ||||||||
Containers & Packaging — 0.3% | ||||||||
Sealed Air Corp. |
239 | 16,003 | ||||||
|
|
|||||||
Distributors — 0.6% | ||||||||
Pool Corp. |
77 | 32,559 | ||||||
|
|
|||||||
Electric Utilities — 0.1% | ||||||||
NRG Energy Inc. |
102 | 3,913 | ||||||
|
|
|||||||
Electronic Equipment, Instruments & Components — 0.8% | ||||||||
Keysight Technologies Inc.(a) |
36 | 5,687 | ||||||
Vontier Corp. |
774 | 19,652 | ||||||
Zebra Technologies Corp., Class A(a) |
42 | 17,375 | ||||||
|
|
|||||||
42,714 | ||||||||
Entertainment — 0.1% | ||||||||
Playtika Holding Corp.(a) |
131 | 2,532 | ||||||
Take-Two Interactive Software Inc.(a) |
22 | 3,383 | ||||||
|
|
|||||||
5,915 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 0.3% | ||||||||
Public Storage |
29 | 11,318 |
Security | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (continued) |
| |||||||
SBA Communications Corp. |
11 | $ | 3,785 | |||||
|
|
|||||||
15,103 | ||||||||
Food & Staples Retailing — 1.8% | ||||||||
Costco Wholesale Corp. |
168 | 96,743 | ||||||
|
|
|||||||
Food Products — 0.9% | ||||||||
Hershey Co. (The) |
234 | 50,691 | ||||||
|
|
|||||||
Health Care Equipment & Supplies — 1.9% | ||||||||
Abbott Laboratories |
6 | 710 | ||||||
Figs Inc., Class A(a) |
3,528 | 75,922 | ||||||
IDEXX Laboratories Inc.(a) |
45 | 24,618 | ||||||
|
|
|||||||
101,250 | ||||||||
Health Care Providers & Services — 1.7% | ||||||||
Chemed Corp. |
52 | 26,340 | ||||||
DaVita Inc.(a) |
125 | 14,139 | ||||||
HCA Healthcare Inc. |
151 | 37,843 | ||||||
McKesson Corp. |
5 | 1,531 | ||||||
Molina Healthcare Inc.(a) |
47 | 15,679 | ||||||
|
|
|||||||
95,532 | ||||||||
Health Care Technology — 0.2% | ||||||||
Veeva Systems Inc., Class A(a) |
56 | 11,898 | ||||||
|
|
|||||||
Hotels, Restaurants & Leisure — 1.4% | ||||||||
Domino’s Pizza Inc. |
140 | 56,981 | ||||||
Yum! Brands Inc. |
168 | 19,913 | ||||||
|
|
|||||||
76,894 | ||||||||
Household Durables — 0.3% | ||||||||
Tempur Sealy International Inc. |
385 | 10,749 | ||||||
TopBuild Corp.(a) |
39 | 7,074 | ||||||
|
|
|||||||
17,823 | ||||||||
Household Products — 0.2% | ||||||||
Clorox Co. (The) |
88 | 12,235 | ||||||
|
|
|||||||
Interactive Media & Services — 4.0% | ||||||||
Alphabet Inc., Class A(a) |
30 | 83,440 | ||||||
Alphabet Inc., Class C, NVS(a) |
24 | 67,032 | ||||||
Meta Platforms Inc, Class A(a) |
297 | 66,041 | ||||||
|
|
|||||||
216,513 | ||||||||
Internet & Direct Marketing Retail — 6.4% | ||||||||
Amazon.com Inc.(a) |
90 | 293,395 | ||||||
eBay Inc. |
623 | 35,673 | ||||||
Wayfair Inc., Class A(a)(b) |
175 | 19,387 | ||||||
|
|
|||||||
348,455 | ||||||||
IT Services — 0.6% | ||||||||
Mastercard Inc., Class A |
50 | 17,869 | ||||||
Paychex Inc. |
60 | 8,188 | ||||||
Visa Inc., Class A |
21 | 4,657 | ||||||
|
|
|||||||
30,714 | ||||||||
Leisure Products — 0.1% | ||||||||
YETI Holdings Inc.(a) |
92 | 5,518 | ||||||
|
|
|||||||
Life Sciences Tools & Services — 1.2% | ||||||||
Danaher Corp. |
20 | 5,867 | ||||||
Maravai LifeSciences Holdings Inc., Class A(a) |
316 | 11,145 | ||||||
Mettler-Toledo International Inc.(a) |
34 | 46,688 | ||||||
Thermo Fisher Scientific Inc. |
1 | 591 | ||||||
|
|
|||||||
64,291 |
12 |
2 0 2 2 I S H A R E S 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 (continued) March 31, 2022 |
iShares® Factors US Growth Style ETF (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Machinery — 0.2% |
| |||||||
Allison Transmission Holdings Inc. |
252 | $ | 9,894 | |||||
|
|
|||||||
Multiline Retail — 1.5% | ||||||||
Dollar General Corp. |
32 | 7,124 | ||||||
Target Corp. |
353 | 74,914 | ||||||
|
|
|||||||
82,038 | ||||||||
Paper & Forest Products — 1.7% | ||||||||
Louisiana-Pacific Corp. |
1,491 | 92,621 | ||||||
|
|
|||||||
Personal Products — 0.5% | ||||||||
Estee Lauder Companies Inc. (The), Class A |
10 | 2,723 | ||||||
Herbalife Nutrition Ltd.(a) |
854 | 25,928 | ||||||
|
|
|||||||
28,651 | ||||||||
Pharmaceuticals — 1.8% | ||||||||
Eli Lilly & Co. |
233 | 66,724 | ||||||
Royalty Pharma PLC, Class A |
765 | 29,805 | ||||||
Zoetis Inc. |
10 | 1,886 | ||||||
|
|
|||||||
98,415 | ||||||||
Professional Services — 1.9% | ||||||||
Booz Allen Hamilton Holding Corp. |
1,027 | 90,212 | ||||||
Robert Half International Inc. |
136 | 15,528 | ||||||
|
|
|||||||
105,740 | ||||||||
Road & Rail — 0.3% | ||||||||
Old Dominion Freight Line Inc. |
62 | 18,518 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment — 8.7% | ||||||||
Advanced Micro Devices Inc.(a) |
351 | 38,378 | ||||||
Allegro MicroSystems Inc.(a) |
785 | 22,294 | ||||||
Applied Materials Inc. |
111 | 14,630 | ||||||
Broadcom Inc. |
49 | 30,854 | ||||||
KLA Corp. |
50 | 18,303 | ||||||
Lam Research Corp. |
26 | 13,978 | ||||||
NVIDIA Corp. |
577 | 157,440 | ||||||
QUALCOMM Inc. |
701 | 107,127 | ||||||
Teradyne Inc. |
207 | 24,474 | ||||||
Texas Instruments Inc. |
257 | 47,154 | ||||||
|
|
|||||||
474,632 | ||||||||
Software — 22.2% | ||||||||
Adobe Inc.(a) |
114 | 51,941 | ||||||
Aspen Technology Inc.(a) |
230 | 38,035 | ||||||
Atlassian Corp. PLC, Class A(a) |
238 | 69,932 | ||||||
Cadence Design Systems Inc.(a) |
277 | 45,555 | ||||||
Citrix Systems Inc. |
141 | 14,227 | ||||||
Crowdstrike Holdings Inc., Class A(a) |
296 | 67,216 | ||||||
Dropbox Inc., Class A(a) |
611 | 14,206 | ||||||
Fair Isaac Corp.(a) |
69 | 32,186 | ||||||
Fortinet Inc.(a) |
162 | 55,362 | ||||||
HubSpot Inc.(a) |
60 | 28,496 | ||||||
Intuit Inc. |
89 | 42,795 | ||||||
Manhattan Associates Inc.(a) |
355 | 49,242 | ||||||
Microsoft Corp. |
2,068 | 637,585 | ||||||
NortonLifeLock Inc. |
252 | 6,683 | ||||||
Nutanix Inc., Class A(a) |
214 | 5,739 |
Security | Shares | Value | ||||||
Software (continued) |
| |||||||
Oracle Corp. |
332 | $ | 27,466 | |||||
Smartsheet Inc., Class A(a) |
221 | 12,106 | ||||||
Synopsys Inc.(a) |
34 | 11,331 | ||||||
Zscaler Inc.(a)(b) |
18 | 4,343 | ||||||
|
|
|||||||
1,214,446 | ||||||||
Specialty Retail — 5.4% | ||||||||
AutoZone Inc.(a) |
10 | 20,446 | ||||||
Bath & Body Works Inc. |
355 | 16,969 | ||||||
Best Buy Co. Inc. |
328 | 29,815 | ||||||
Home Depot Inc. (The) |
351 | 105,065 | ||||||
Leslie’s Inc.(a) |
910 | 17,618 | ||||||
Lowe’s Companies Inc. |
226 | 45,695 | ||||||
Tractor Supply Co. |
23 | 5,367 | ||||||
Williams-Sonoma Inc. |
372 | 53,940 | ||||||
|
|
|||||||
294,915 | ||||||||
Technology Hardware, Storage & Peripherals — 14.9% | ||||||||
Apple Inc. |
4,146 | 723,933 | ||||||
HP Inc. |
1,640 | 59,532 | ||||||
NetApp Inc. |
333 | 27,639 | ||||||
|
|
|||||||
811,104 | ||||||||
Textiles, Apparel & Luxury Goods — 2.2% | ||||||||
Columbia Sportswear Co. |
245 | 22,180 | ||||||
Deckers Outdoor Corp.(a) |
211 | 57,766 | ||||||
Lululemon Athletica Inc.(a) |
32 | 11,687 | ||||||
Nike Inc., Class B |
199 | 26,777 | ||||||
|
|
|||||||
118,410 | ||||||||
Trading Companies & Distributors — 0.2% | ||||||||
WW Grainger Inc. |
20 | 10,316 | ||||||
|
|
|||||||
Total
Common Stocks — 99.8% |
5,449,034 | |||||||
|
|
|||||||
Short-Term Investments | ||||||||
Money Market Funds — 0.1% |
||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.34%(c)(d)(e) |
4,275 | 4,274 | ||||||
|
|
|||||||
Total
Short-Term Investments — 0.1% |
4,274 | |||||||
|
|
|||||||
Total
Investments in Securities — 99.9% |
5,453,308 | |||||||
Other Assets, Less Liabilities — 0.1% |
5,660 | |||||||
|
|
|||||||
Net Assets — 100.0% |
$ | 5,458,968 | ||||||
|
|
(a) |
Non-income producing security. |
(b) |
All or a portion of this security is on loan. |
(c) |
Affiliate of the Fund. |
(d) |
Annualized 7-day yield as of period end. |
(e) |
All or a portion of this security was purchased with the cash collateral from loaned securities. |
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 (continued) March 31, 2022 |
iShares® Factors US Growth Style ETF |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended March 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
||||||||||||||||||||||||||||||||||||||||
Affiliated Issuer | Value at 03/31/21 |
Purchases at Cost |
Proceeds from Sales |
Net Realized |
Change
in Unrealized Appreciation (Depreciation) |
Value at 03/31/22 |
Shares Held at 03/31/22 |
Income |
Capital Gain |
|||||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares |
$ | 127,035 | $ | — | $ | (122,719 | )(a) | $ | (43 | ) | $ | 1 | $ | 4,274 | 4,275 | $ | 832 | (b) | $ | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
(b) |
All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
||||||||||||||||
Investments |
||||||||||||||||
Assets |
||||||||||||||||
Common Stocks |
$ | 5,449,034 | $ | — | $ | — | $ | 5,449,034 | ||||||||
Money Market Funds |
4,274 | — | — | 4,274 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 5,453,308 | $ | — | $ | — | $ | 5,453,308 | |||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
14 |
2 0 2 2 I S H A R E S 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 March 31, 2022 |
iShares® Factors US Value Style ETF (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Common Stocks |
||||||||
Aerospace & Defense — 0.6% |
||||||||
Lockheed Martin Corp. |
19 | $ | 8,387 | |||||
Northrop Grumman Corp. |
70 | 31,305 | ||||||
|
|
|||||||
39,692 | ||||||||
Air Freight & Logistics — 1.2% | ||||||||
CH Robinson Worldwide Inc. |
198 | 21,326 | ||||||
Expeditors International of Washington Inc. |
367 | 37,860 | ||||||
FedEx Corp. |
105 | 24,296 | ||||||
|
|
|||||||
83,482 | ||||||||
Banks — 2.0% | ||||||||
Citigroup Inc. |
375 | 20,025 | ||||||
Citizens Financial Group Inc. |
195 | 8,839 | ||||||
Comerica Inc. |
60 | 5,426 | ||||||
JPMorgan Chase & Co. |
152 | 20,721 | ||||||
Popular Inc. |
895 | 73,157 | ||||||
Regions Financial Corp. |
880 | 19,589 | ||||||
|
|
|||||||
147,757 | ||||||||
Biotechnology — 1.4% | ||||||||
Amgen Inc. |
149 | 36,031 | ||||||
Biogen Inc.(a) |
60 | 12,636 | ||||||
Gilead Sciences Inc. |
700 | 41,615 | ||||||
Vertex Pharmaceuticals Inc.(a) |
56 | 14,614 | ||||||
|
|
|||||||
104,896 | ||||||||
Building Products — 1.3% | ||||||||
Hayward Holdings Inc.(a) |
61 | 1,014 | ||||||
Lennox International Inc. |
223 | 57,503 | ||||||
Masco Corp. |
744 | 37,944 | ||||||
|
|
|||||||
96,461 | ||||||||
Capital Markets — 9.4% | ||||||||
Ameriprise Financial Inc. |
64 | 19,223 | ||||||
Evercore Inc., Class A |
1,154 | 128,463 | ||||||
Franklin Resources Inc. |
968 | 27,027 | ||||||
Goldman Sachs Group Inc. (The) |
216 | 71,302 | ||||||
Jefferies Financial Group Inc. |
4,150 | 136,328 | ||||||
Lazard Ltd., Class A |
2,956 | 101,982 | ||||||
Morgan Stanley |
376 | 32,862 | ||||||
MSCI Inc. |
32 | 16,092 | ||||||
Northern Trust Corp. |
18 | 2,096 | ||||||
Raymond James Financial Inc. |
462 | 50,779 | ||||||
S&P Global Inc. |
1 | 410 | ||||||
State Street Corp. |
369 | 32,147 | ||||||
Stifel Financial Corp. |
409 | 27,771 | ||||||
Virtu Financial Inc., Class A |
927 | 34,503 | ||||||
|
|
|||||||
680,985 | ||||||||
Chemicals — 0.1% | ||||||||
CF Industries Holdings Inc. |
48 | 4,947 | ||||||
Chemours Co. (The) |
112 | 3,526 | ||||||
|
|
|||||||
8,473 | ||||||||
Commercial Services & Supplies — 0.7% | ||||||||
Republic Services Inc. |
198 | 26,235 | ||||||
Waste Management Inc. |
173 | 27,421 | ||||||
|
|
|||||||
53,656 | ||||||||
Communications Equipment — 2.1% | ||||||||
Cisco Systems Inc. |
911 | 50,797 | ||||||
Juniper Networks Inc. |
26 | 966 | ||||||
Motorola Solutions Inc. |
237 | 57,402 |
Security | Shares | Value | ||||||
Communications Equipment (continued) |
||||||||
Ubiquiti Inc.(b) |
160 | $ | 46,586 | |||||
|
|
|||||||
155,751 | ||||||||
Consumer Finance — 2.7% | ||||||||
Ally Financial Inc. |
1,765 | 76,742 | ||||||
American Express Co. |
47 | 8,789 | ||||||
Capital One Financial Corp. |
290 | 38,074 | ||||||
OneMain Holdings Inc. |
823 | 39,019 | ||||||
SLM Corp. |
625 | 11,475 | ||||||
Synchrony Financial |
678 | 23,601 | ||||||
|
|
|||||||
197,700 | ||||||||
Containers & Packaging — 1.4% | ||||||||
Amcor PLC |
2,816 | 31,905 | ||||||
Avery Dennison Corp. |
52 | 9,047 | ||||||
Ball Corp. |
87 | 7,830 | ||||||
Sealed Air Corp. |
498 | 33,346 | ||||||
Silgan Holdings Inc. |
452 | 20,896 | ||||||
|
|
|||||||
103,024 | ||||||||
Diversified Consumer Services — 0.3% | ||||||||
H&R Block Inc. |
805 | 20,962 | ||||||
|
|
|||||||
Diversified Financial Services — 0.7% | ||||||||
Equitable Holdings Inc. |
466 | 14,404 | ||||||
Voya Financial Inc. |
567 | 37,621 | ||||||
|
|
|||||||
52,025 | ||||||||
Diversified Telecommunication Services — 3.1% | ||||||||
AT&T Inc. |
2,075 | 49,032 | ||||||
Lumen Technologies Inc. |
4,494 | 50,648 | ||||||
Verizon Communications Inc. |
2,430 | 123,784 | ||||||
|
|
|||||||
223,464 | ||||||||
Electric Utilities — 2.2% | ||||||||
Duke Energy Corp. |
197 | 21,997 | ||||||
Entergy Corp. |
317 | 37,010 | ||||||
Exelon Corp. |
12 | 572 | ||||||
FirstEnergy Corp. |
226 | 10,364 | ||||||
Hawaiian Electric Industries Inc. |
1,227 | 51,914 | ||||||
IDACORP Inc. |
56 | 6,460 | ||||||
NRG Energy Inc. |
506 | 19,410 | ||||||
Pinnacle West Capital Corp. |
8 | 625 | ||||||
Xcel Energy Inc. |
157 | 11,331 | ||||||
|
|
|||||||
159,683 | ||||||||
Electrical Equipment — 0.5% | ||||||||
nVent Electric PLC |
1,121 | 38,988 | ||||||
|
|
|||||||
Electronic Equipment, Instruments & Components — 0.5% | ||||||||
Avnet Inc. |
358 | 14,531 | ||||||
Corning Inc. |
26 | 960 | ||||||
Jabil Inc. |
52 | 3,210 | ||||||
Vontier Corp.(b) |
642 | 16,300 | ||||||
|
|
|||||||
35,001 | ||||||||
Entertainment — 0.7% | ||||||||
Activision Blizzard Inc. |
295 | 23,632 | ||||||
Electronic Arts Inc. |
50 | 6,326 | ||||||
Take-Two Interactive Software Inc.(a)(b) |
87 | 13,375 | ||||||
Zynga Inc., Class A(a) |
383 | 3,539 | ||||||
|
|
|||||||
46,872 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 3.0% | ||||||||
Brixmor Property Group Inc. |
917 | 23,668 | ||||||
Equity Residential |
384 | 34,529 | ||||||
Healthpeak Properties Inc. |
536 | 18,401 |
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 (continued) March 31, 2022 |
iShares® Factors US Value Style ETF (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Equity Real Estate Investment Trusts (REITs) (continued) | ||||||||
Orion Office REIT Inc. |
292 | $ | 4,088 | |||||
Public Storage |
84 | 32,784 | ||||||
SBA Communications Corp. |
99 | 34,066 | ||||||
SL Green Realty Corp. |
825 | 66,973 | ||||||
|
|
|||||||
214,509 | ||||||||
Food & Staples Retailing — 4.1% | ||||||||
Albertsons Companies Inc., Class A |
2,399 | 79,767 | ||||||
Kroger Co. (The) |
1,328 | 76,187 | ||||||
Walgreens Boots Alliance Inc. |
170 | 7,611 | ||||||
Walmart Inc. |
879 | 130,901 | ||||||
|
|
|||||||
294,466 | ||||||||
Food Products — 1.6% | ||||||||
Campbell Soup Co. |
299 | 13,326 | ||||||
Flowers Foods Inc. |
2,297 | 59,056 | ||||||
General Mills Inc. |
53 | 3,589 | ||||||
Hershey Co. (The) |
106 | 22,963 | ||||||
JM Smucker Co. (The) |
139 | 18,822 | ||||||
Mondelez International Inc., Class A |
9 | 565 | ||||||
|
|
|||||||
118,321 | ||||||||
Gas Utilities — 0.1% | ||||||||
National Fuel Gas Co. |
107 | 7,351 | ||||||
|
|
|||||||
Health Care Equipment & Supplies — 2.6% | ||||||||
Abbott Laboratories |
135 | 15,979 | ||||||
Baxter International Inc. |
14 | 1,086 | ||||||
DENTSPLY SIRONA Inc. |
117 | 5,759 | ||||||
Figs Inc., Class A(a) |
3,154 | 67,874 | ||||||
Medtronic PLC |
110 | 12,204 | ||||||
Zimvie Inc.(a) |
3,817 | 87,180 | ||||||
|
|
|||||||
190,082 | ||||||||
Health Care Providers & Services — 2.8% | ||||||||
Cardinal Health Inc. |
19 | 1,077 | ||||||
Chemed Corp. |
20 | 10,131 | ||||||
CVS Health Corp. |
840 | 85,016 | ||||||
DaVita Inc.(a) |
182 | 20,586 | ||||||
McKesson Corp. |
30 | 9,184 | ||||||
Molina Healthcare Inc.(a) |
55 | 18,348 | ||||||
Signify Health Inc., Class A(a) |
481 | 8,730 | ||||||
UnitedHealth Group Inc. |
99 | 50,487 | ||||||
|
|
|||||||
203,559 | ||||||||
Health Care Technology — 0.1% | ||||||||
Cerner Corp. |
103 | 9,637 | ||||||
|
|
|||||||
Hotels, Restaurants & Leisure — 1.9% | ||||||||
Domino’s Pizza Inc. |
93 | 37,852 | ||||||
McDonald’s Corp. |
178 | 44,016 | ||||||
Yum! Brands Inc. |
475 | 56,302 | ||||||
|
|
|||||||
138,170 | ||||||||
Household Durables — 0.3% | ||||||||
Newell Brands Inc. |
1,091 | 23,358 | ||||||
|
|
|||||||
Household Products — 2.5% | ||||||||
Clorox Co. (The) |
13 | 1,807 | ||||||
Colgate-Palmolive Co. |
270 | 20,474 | ||||||
Kimberly-Clark Corp. |
217 | 26,726 | ||||||
Procter & Gamble Co. (The) |
864 | 132,019 | ||||||
|
|
|||||||
181,026 | ||||||||
Independent Power and Renewable Electricity Producers — 0.4% | ||||||||
Vistra Corp. |
1,290 | 29,993 | ||||||
|
|
Security | Shares | Value | ||||||
Insurance — 8.4% | ||||||||
Aflac Inc. |
791 | $ | 50,932 | |||||
Alleghany Corp.(a) |
3 | 2,541 | ||||||
Allstate Corp. (The) |
380 | 52,634 | ||||||
American Financial Group Inc./OH |
262 | 38,152 | ||||||
Aon PLC, Class A |
60 | 19,538 | ||||||
Assurant Inc. |
124 | 22,547 | ||||||
Assured Guaranty Ltd. |
364 | 23,172 | ||||||
Axis Capital Holdings Ltd. |
200 | 12,094 | ||||||
Brighthouse Financial Inc.(a) |
775 | 40,036 | ||||||
Cincinnati Financial Corp. |
13 | 1,767 | ||||||
CNA Financial Corp. |
544 | 26,449 | ||||||
Everest Re Group Ltd. |
25 | 7,535 | ||||||
Globe Life Inc. |
41 | 4,125 | ||||||
Hanover Insurance Group Inc. (The) |
212 | 31,698 | ||||||
Hartford Financial Services Group Inc. (The) |
396 | 28,437 | ||||||
Loews Corp. |
703 | 45,568 | ||||||
Mercury General Corp. |
619 | 34,045 | ||||||
MetLife Inc. |
724 | 50,883 | ||||||
Old Republic International Corp. |
621 | 16,065 | ||||||
Primerica Inc. |
191 | 26,133 | ||||||
Principal Financial Group Inc. |
104 | 7,635 | ||||||
Travelers Companies Inc. (The) |
114 | 20,831 | ||||||
Unum Group |
135 | 4,254 | ||||||
White Mountains Insurance Group Ltd. |
36 | 40,905 | ||||||
|
|
|||||||
607,976 | ||||||||
Internet & Direct Marketing Retail — 0.6% | ||||||||
Qurate Retail Inc., Series A |
4,853 | 23,100 | ||||||
Wayfair Inc., Class A(a)(b) |
173 | 19,165 | ||||||
|
|
|||||||
42,265 | ||||||||
IT Services — 2.2% | ||||||||
Akamai Technologies Inc.(a)(b) |
61 | 7,283 | ||||||
Concentrix Corp. |
75 | 12,492 | ||||||
International Business Machines Corp. |
84 | 10,922 | ||||||
Kyndryl Holdings Inc.(a) |
2,507 | 32,892 | ||||||
Paychex Inc. |
84 | 11,463 | ||||||
VeriSign Inc.(a) |
240 | 53,390 | ||||||
Western Union Co. (The) |
1,754 | 32,870 | ||||||
|
|
|||||||
161,312 | ||||||||
Leisure Products — 0.1% | ||||||||
Hasbro Inc. |
60 | 4,915 | ||||||
|
|
|||||||
Life Sciences Tools & Services — 0.9% | ||||||||
Danaher Corp. |
83 | 24,346 | ||||||
Thermo Fisher Scientific Inc. |
72 | 42,527 | ||||||
|
|
|||||||
66,873 | ||||||||
Machinery — 2.4% | ||||||||
AGCO Corp. |
76 | 11,098 | ||||||
Allison Transmission Holdings Inc. |
665 | 26,108 | ||||||
Dover Corp. |
48 | 7,531 | ||||||
Illinois Tool Works Inc. |
53 | 11,098 | ||||||
Otis Worldwide Corp. |
1,384 | 106,499 | ||||||
Pentair PLC |
167 | 9,053 | ||||||
|
|
|||||||
171,387 | ||||||||
Media — 0.9% | ||||||||
Altice USA Inc., Class A(a) |
322 | 4,019 | ||||||
Comcast Corp., Class A |
550 | 25,751 | ||||||
Loyalty Ventures Inc.(a) |
1,432 | 23,671 | ||||||
News Corp., Class A, NVS |
16 | 354 | ||||||
News Corp., Class B |
157 | 3,536 |
16 |
2 0 2 2 I S H A R E S 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 (continued) March 31, 2022 |
iShares® Factors US Value Style ETF (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Media (continued) | ||||||||
Omnicom Group Inc. |
4 | $ | 339 | |||||
Sirius XM Holdings Inc.(b) |
1,282 | 8,487 | ||||||
|
|
|||||||
66,157 | ||||||||
Metals & Mining — 0.7% | ||||||||
Alcoa Corp. |
174 | 15,665 | ||||||
Nucor Corp. |
4 | 595 | ||||||
Reliance Steel & Aluminum Co. |
184 | 33,736 | ||||||
Steel Dynamics Inc. |
22 | 1,836 | ||||||
|
|
|||||||
51,832 | ||||||||
Multi-Utilities — 1.3% | ||||||||
Ameren Corp. |
359 | 33,660 | ||||||
CMS Energy Corp. |
48 | 3,357 | ||||||
Consolidated Edison Inc. |
274 | 25,942 | ||||||
NiSource Inc. |
257 | 8,173 | ||||||
WEC Energy Group Inc. |
204 | 20,361 | ||||||
|
|
|||||||
91,493 | ||||||||
Multiline Retail — 1.3% | ||||||||
Kohl’s Corp. |
363 | 21,947 | ||||||
Target Corp. |
349 | 74,065 | ||||||
|
|
|||||||
96,012 | ||||||||
Oil, Gas & Consumable Fuels — 5.0% | ||||||||
Antero Midstream Corp. |
7,956 | 86,482 | ||||||
APA Corp. |
82 | 3,389 | ||||||
Chevron Corp. |
194 | 31,589 | ||||||
ConocoPhillips |
524 | 52,400 | ||||||
Coterra Energy Inc. |
1,061 | 28,615 | ||||||
Devon Energy Corp. |
1,220 | 72,139 | ||||||
DTE Midstream LLC(a) |
867 | 47,043 | ||||||
Exxon Mobil Corp. |
228 | 18,831 | ||||||
Marathon Oil Corp. |
892 | 22,398 | ||||||
|
|
|||||||
362,886 | ||||||||
Paper & Forest Products — 2.6% | ||||||||
Louisiana-Pacific Corp. |
1,494 | 92,807 | ||||||
Sylvamo Corp.(a) |
2,940 | 97,843 | ||||||
|
|
|||||||
190,650 | ||||||||
Personal Products — 0.4% | ||||||||
Herbalife Nutrition Ltd.(a) |
1,000 | 30,360 | ||||||
|
|
|||||||
Pharmaceuticals — 8.8% | ||||||||
Bristol-Myers Squibb Co. |
1,360 | 99,321 | ||||||
Eli Lilly & Co. |
109 | 31,214 | ||||||
Johnson & Johnson |
1,223 | 216,752 | ||||||
Merck & Co. Inc. |
1,975 | 162,049 | ||||||
Organon & Co. |
345 | 12,051 | ||||||
Pfizer Inc. |
2,130 | 110,270 | ||||||
Royalty Pharma PLC, Class A |
166 | 6,467 | ||||||
|
|
|||||||
638,124 | ||||||||
Professional Services — 1.7% | ||||||||
Dun & Bradstreet Holdings Inc.(a) |
1,264 | 22,145 | ||||||
FTI Consulting Inc.(a) |
321 | 50,468 | ||||||
Legalzoomcom Inc.(a)(b) |
1,018 | 14,394 | ||||||
ManpowerGroup Inc. |
55 | 5,166 | ||||||
Robert Half International Inc. |
240 | 27,403 | ||||||
|
|
|||||||
119,576 | ||||||||
Road & Rail — 0.3% | ||||||||
Landstar System Inc. |
47 | 7,089 | ||||||
Schneider National Inc., Class B |
612 | 15,606 | ||||||
|
|
|||||||
22,695 |
Security | Shares | Value | ||||||
Semiconductors & Semiconductor Equipment — 1.9% | ||||||||
Cirrus Logic Inc.(a) |
129 | $ | 10,938 | |||||
Intel Corp. |
821 | 40,689 | ||||||
NXP Semiconductors NV |
19 | 3,516 | ||||||
Qorvo Inc.(a) |
113 | 14,023 | ||||||
Texas Instruments Inc. |
381 | 69,906 | ||||||
|
|
|||||||
139,072 | ||||||||
Software — 1.5% | ||||||||
CDK Global Inc. |
89 | 4,332 | ||||||
Citrix Systems Inc. |
344 | 34,710 | ||||||
Manhattan Associates Inc.(a) |
272 | 37,729 | ||||||
NortonLifeLock Inc. |
275 | 7,293 | ||||||
Oracle Corp. |
48 | 3,971 | ||||||
Teradata Corp.(a) |
459 | 22,624 | ||||||
|
|
|||||||
110,659 | ||||||||
Specialty Retail — 2.3% | ||||||||
AutoNation Inc.(a) |
131 | 13,045 | ||||||
AutoZone Inc.(a) |
10 | 20,446 | ||||||
Bath & Body Works Inc. |
186 | 8,891 | ||||||
Best Buy Co. Inc. |
332 | 30,179 | ||||||
Dick’s Sporting Goods Inc. |
310 | 31,006 | ||||||
Foot Locker Inc. |
325 | 9,639 | ||||||
Leslie’s Inc.(a) |
546 | 10,571 | ||||||
Williams-Sonoma Inc. |
297 | 43,065 | ||||||
|
|
|||||||
166,842 | ||||||||
Technology Hardware, Storage & Peripherals — 2.8% | ||||||||
Hewlett Packard Enterprise Co. |
5,263 | 87,945 | ||||||
HP Inc. |
1,539 | 55,865 | ||||||
NetApp Inc. |
336 | 27,888 | ||||||
Xerox Holdings Corp. |
1,665 | 33,583 | ||||||
|
|
|||||||
205,281 | ||||||||
Textiles, Apparel & Luxury Goods — 1.0% | ||||||||
Columbia Sportswear Co. |
256 | 23,176 | ||||||
Deckers Outdoor Corp.(a) |
143 | 39,149 | ||||||
Ralph Lauren Corp. |
95 | 10,777 | ||||||
|
|
|||||||
73,102 | ||||||||
Tobacco — 1.6% | ||||||||
Altria Group Inc. |
565 | 29,521 | ||||||
Philip Morris International Inc. |
887 | 83,325 | ||||||
|
|
|||||||
112,846 | ||||||||
Trading Companies & Distributors — 0.7% | ||||||||
MSC Industrial Direct Co. Inc., Class A |
33 | 2,812 | ||||||
Watsco Inc. |
42 | 12,795 | ||||||
WW Grainger Inc. |
69 | 35,589 | ||||||
|
|
|||||||
51,196 | ||||||||
|
|
|||||||
Total Common Stocks — 99.7% (Cost: $7,484,824) |
7,242,855 | |||||||
|
|
|||||||
Short-Term Investments | ||||||||
Money Market Funds — 1.6% | ||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.34%(c)(d)(e) |
105,581 | 105,560 |
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 (continued) March 31, 2022 |
iShares® Factors US Value Style ETF (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
|
||||||||
Money Market Funds (continued) | ||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.25%(c)(d) |
10,000 | $ | 10,000 | |||||
|
|
|||||||
115,560 | ||||||||
|
|
|||||||
Total
Short-Term Investments — 1.6% |
|
115,560 | ||||||
|
|
|||||||
Total
Investments in Securities — 101.3% |
|
7,358,415 | ||||||
Other Assets, Less Liabilities — (1.3)% |
(95,420 | ) | ||||||
|
|
|||||||
Net Assets — 100.0% |
|
$ | 7,262,995 | |||||
|
|
(a) |
Non-income producing security. |
(b) |
All or a portion of this security is on loan. |
(c) |
Affiliate of the Fund. |
(d) |
Annualized 7-day yield as of period end. |
(e) |
All or a portion of this security was purchased with the cash collateral from loaned securities. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended March 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
||||||||||||||||||||||||||||||||||||
Affiliated Issuer | Value at 03/31/21 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value at 03/31/22 |
Shares Held at 03/31/22 |
Income |
Capital Gain |
|||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares |
$ | 178,136 | $ | — | $ | (72,551 | )(a) | $ | (42 | ) | $ | 17 | $ | 105,560 | 105,581 | $ | 910 | (b) | $ | — | ||||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares |
— | 10,000 | (a) | — | — | — | 10,000 | 10,000 | 1 | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
$ | (42 | ) | $ | 17 | $ | 115,560 | $ | 911 | $ | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
(b) |
All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
||||||||||||||||
Investments |
||||||||||||||||
Assets |
||||||||||||||||
Common Stocks |
$ | 7,242,855 | $ | — | $ | — | $ | 7,242,855 | ||||||||
Money Market Funds |
115,560 | — | — | 115,560 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 7,358,415 | $ | — | $ | — | $ | 7,358,415 | |||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
18 |
2 0 2 2 I S H A R E S 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 March 31, 2022 |
iShares® US Small Cap Value Factor ETF (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Common Stocks |
| |||||||
Aerospace & Defense — 0.4% |
| |||||||
Ducommun Inc.(a) |
13,637 | $ | 714,442 | |||||
|
|
|||||||
Air Freight & Logistics — 0.4% |
||||||||
Atlas Air Worldwide Holdings Inc.(a) |
7,369 | 636,461 | ||||||
|
|
|||||||
Auto Components — 0.7% |
||||||||
Dana Inc. |
36,346 | 638,599 | ||||||
Modine Manufacturing Co.(a) |
71,767 | 646,621 | ||||||
|
|
|||||||
1,285,220 | ||||||||
Banks — 31.5% |
| |||||||
1st Source Corp. |
14,535 | 672,244 | ||||||
Allegiance Bancshares Inc. |
19,129 | 854,684 | ||||||
Atlantic Union Bankshares Corp. |
20,969 | 769,353 | ||||||
Banc of California Inc. |
44,269 | 857,048 | ||||||
BancFirst Corp. |
10,970 | 912,814 | ||||||
Bank of NT Butterfield & Son Ltd. (The) |
20,100 | 721,188 | ||||||
BankUnited Inc. |
12,864 | 565,501 | ||||||
Brookline Bancorp. Inc. |
42,054 | 665,294 | ||||||
Cadence Bank |
18,159 | 531,332 | ||||||
Cathay General Bancorp |
20,678 | 925,340 | ||||||
Central Pacific Financial Corp. |
26,791 | 747,469 | ||||||
City Holding Co. |
4,962 | 390,509 | ||||||
Columbia Banking System Inc. |
15,290 | 493,408 | ||||||
Community Trust Bancorp. Inc. |
15,879 | 654,215 | ||||||
ConnectOne Bancorp. Inc. |
31,851 | 1,019,551 | ||||||
CrossFirst Bankshares Inc.(a) |
51,610 | 813,374 | ||||||
Customers Bancorp. Inc.(a) |
40,027 | 2,087,008 | ||||||
CVB Financial Corp. |
25,842 | 599,793 | ||||||
Dime Community Bancshares Inc. |
51,406 | 1,777,105 | ||||||
Enterprise Financial Services Corp. |
16,449 | 778,202 | ||||||
First BanCorp./Puerto Rico |
67,647 | 887,529 | ||||||
First Bancshares Inc. (The) |
21,367 | 719,213 | ||||||
First Busey Corp. |
28,247 | 715,779 | ||||||
First Financial Bancorp |
34,589 | 797,276 | ||||||
First Financial Corp./IN |
14,288 | 618,385 | ||||||
First Foundation Inc. |
34,276 | 832,564 | ||||||
First Merchants Corp. |
19,347 | 804,835 | ||||||
Flushing Financial Corp. |
42,595 | 951,998 | ||||||
Fulton Financial Corp. |
48,050 | 798,591 | ||||||
German American Bancorp. Inc. |
16,508 | 627,139 | ||||||
Great Southern Bancorp. Inc. |
12,369 | 729,895 | ||||||
Hancock Whitney Corp. |
23,833 | 1,242,891 | ||||||
Hanmi Financial Corp. |
44,282 | 1,089,780 | ||||||
Heritage Commerce Corp. |
67,364 | 757,845 | ||||||
Heritage Financial Corp./WA |
16,494 | 413,340 | ||||||
Home BancShares Inc./AR |
29,607 | 669,118 | ||||||
HomeStreet Inc. |
13,513 | 640,246 | ||||||
Hope Bancorp Inc. |
54,340 | 873,787 | ||||||
Horizon Bancorp Inc./IN |
44,414 | 829,209 | ||||||
Independent Bank Corp. |
19,902 | 1,625,794 | ||||||
Independent Bank Corp./MI |
35,687 | 785,114 | ||||||
Independent Bank Group Inc. |
10,142 | 721,705 | ||||||
Investors Bancorp. Inc. |
61,724 | 921,539 | ||||||
Lakeland Bancorp. Inc. |
45,014 | 751,734 | ||||||
Meta Financial Group Inc. |
18,811 | 1,033,100 | ||||||
Midland States Bancorp. Inc. |
34,874 | 1,006,464 | ||||||
NBT Bancorp. Inc. |
13,605 | 491,549 | ||||||
Nicolet Bankshares Inc.(a)(b) |
8,207 | 767,929 | ||||||
OFG Bancorp |
28,678 | 763,982 |
Security | Shares | Value | ||||||
Banks (continued) |
| |||||||
Old National Bancorp./IN |
35,674 | $ | 584,340 | |||||
Pacific Premier Bancorp. Inc. |
18,051 | 638,103 | ||||||
Peoples Bancorp. Inc./OH |
23,470 | 734,846 | ||||||
Preferred Bank/Los Angeles CA |
2,254 | 166,999 | ||||||
Premier Financial Corp. |
28,810 | 873,807 | ||||||
S&T Bancorp. Inc. |
19,252 | 569,474 | ||||||
Sandy Spring Bancorp. Inc. |
19,416 | 872,167 | ||||||
Seacoast Banking Corp. of Florida |
24,847 | 870,142 | ||||||
Simmons First National Corp., Class A |
22,768 | 596,977 | ||||||
South State Corp. |
9,320 | 760,419 | ||||||
Texas Capital Bancshares Inc.(a) |
14,400 | 825,264 | ||||||
Tompkins Financial Corp. |
7,890 | 617,550 | ||||||
Towne Bank/Portsmouth VA |
27,350 | 818,859 | ||||||
TriCo Bancshares |
18,298 | 732,469 | ||||||
TriState Capital Holdings Inc.(a) |
33,854 | 1,124,968 | ||||||
Triumph Bancorp. Inc.(a) |
14,396 | 1,353,512 | ||||||
Trustmark Corp. |
15,645 | 475,452 | ||||||
United Bankshares Inc./WV |
20,871 | 727,980 | ||||||
United Community Banks Inc./GA |
25,247 | 878,596 | ||||||
Valley National Bancorp. |
65,402 | 851,534 | ||||||
Washington Trust Bancorp. Inc. |
14,615 | 767,287 | ||||||
|
|
|||||||
56,544,507 | ||||||||
Biotechnology — 0.3% |
||||||||
Vanda Pharmaceuticals Inc.(a) |
46,420 | 525,010 | ||||||
|
|
|||||||
Building Products — 1.5% |
||||||||
American Woodmark Corp.(a) |
5,704 | 279,211 | ||||||
Apogee Enterprises Inc. |
20,978 | 995,616 | ||||||
Insteel Industries Inc. |
23,974 | 886,798 | ||||||
Quanex Building Products Corp. |
24,347 | 511,044 | ||||||
|
|
|||||||
2,672,669 | ||||||||
Capital Markets — 1.7% |
||||||||
BGC Partners Inc., Class A |
186,913 | 822,417 | ||||||
Cowen Inc., Class A |
27,578 | 747,364 | ||||||
Federated Hermes Inc. |
20,819 | 709,095 | ||||||
Piper Sandler Cos |
6,135 | 805,219 | ||||||
|
|
|||||||
3,084,095 | ||||||||
Chemicals — 2.4% |
||||||||
AdvanSix Inc. |
34,806 | 1,778,238 | ||||||
Avient Corp. |
16,943 | 813,264 | ||||||
Ecovyst Inc. |
43,776 | 506,051 | ||||||
HB Fuller Co. |
9,787 | 646,627 | ||||||
Minerals Technologies Inc. |
8,768 | 580,003 | ||||||
|
|
|||||||
4,324,183 | ||||||||
Commercial Services & Supplies — 3.7% |
| |||||||
ABM Industries Inc. |
12,246 | 563,806 | ||||||
ACCO Brands Corp. |
77,202 | 617,616 | ||||||
BrightView Holdings Inc.(a) |
39,359 | 535,676 | ||||||
HNI Corp. |
14,271 | 528,741 | ||||||
Interface Inc. |
73,223 | 993,636 | ||||||
KAR Auction Services Inc.(a) |
31,090 | 561,174 | ||||||
Matthews International Corp., Class A |
20,055 | 648,980 | ||||||
MillerKnoll Inc. |
26,767 | 925,067 | ||||||
SP Plus Corp.(a) |
24,999 | 783,969 | ||||||
Steelcase Inc., Class A |
44,410 | 530,699 | ||||||
|
|
|||||||
6,689,364 | ||||||||
Communications Equipment — 0.6% |
| |||||||
Comtech Telecommunications Corp. |
32,043 | 502,755 |
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 (continued) March 31, 2022 |
iShares® US Small Cap Value Factor ETF (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
Communications Equipment (continued) |
| |||||||
NetScout Systems Inc.(a) |
20,562 | $ | 659,629 | |||||
|
|
|||||||
1,162,384 | ||||||||
Construction & Engineering — 2.5% |
| |||||||
Arcosa Inc. |
10,182 | 582,920 | ||||||
EMCOR Group Inc. |
6,621 | 745,723 | ||||||
Great Lakes Dredge & Dock Corp.(a) |
47,102 | 660,841 | ||||||
MYR Group Inc.(a) |
12,058 | 1,133,934 | ||||||
Primoris Services Corp. |
24,875 | 592,522 | ||||||
Sterling Construction Co. Inc.(a) |
31,671 | 848,783 | ||||||
|
|
|||||||
4,564,723 | ||||||||
Construction Materials — 0.5% |
| |||||||
Summit Materials Inc., Class A(a) |
27,118 | 842,285 | ||||||
|
|
|||||||
Consumer Finance — 0.8% |
||||||||
EZCORP Inc., Class A, NVS(a) |
89,001 | 537,566 | ||||||
World Acceptance Corp.(a) |
4,244 | 814,169 | ||||||
|
|
|||||||
1,351,735 | ||||||||
Distributors — 0.7% |
| |||||||
Funko Inc., Class A(a)(b) |
77,427 | 1,335,616 | ||||||
|
|
|||||||
Diversified Consumer Services — 0.2% |
||||||||
Laureate Education Inc., Class A |
33,703 | 399,381 | ||||||
|
|
|||||||
Electrical Equipment — 1.2% |
||||||||
Encore Wire Corp. |
9,665 | 1,102,486 | ||||||
Powell Industries Inc. |
18,598 | 361,173 | ||||||
Thermon Group Holdings Inc.(a) |
39,963 | 647,401 | ||||||
|
|
|||||||
2,111,060 | ||||||||
Electronic Equipment, Instruments & Components — 2.5% |
| |||||||
Benchmark Electronics Inc. |
22,273 | 557,716 | ||||||
Insight Enterprises Inc.(a) |
7,920 | 849,974 | ||||||
Knowles Corp.(a) |
30,046 | 646,890 | ||||||
Methode Electronics Inc. |
15,725 | 680,106 | ||||||
Sanmina Corp.(a) |
16,552 | 669,032 | ||||||
TTM Technologies Inc.(a) |
39,239 | 581,522 | ||||||
Vishay Intertechnology Inc. |
28,756 | 563,618 | ||||||
|
|
|||||||
4,548,858 | ||||||||
Energy Equipment & Services — 1.8% |
| |||||||
National Energy Services Reunited Corp.(a) |
70,177 | 589,487 | ||||||
RPC Inc.(a) |
169,813 | 1,811,904 | ||||||
Solaris Oilfield Infrastructure Inc., Class A |
70,782 | 799,129 | ||||||
|
|
|||||||
3,200,520 | ||||||||
Equity Real Estate Investment Trusts (REITs) — 3.2% |
| |||||||
Acadia Realty Trust |
42,670 | 924,659 | ||||||
Kite Realty Group Trust |
38,740 | 882,110 | ||||||
Piedmont Office Realty Trust Inc., Class A |
32,986 | 568,019 | ||||||
Sabra Health Care REIT Inc. |
32,579 | 485,101 | ||||||
SITE Centers Corp. |
62,265 | 1,040,448 | ||||||
Summit Hotel Properties Inc.(a) |
86,540 | 861,938 | ||||||
Xenia Hotels & Resorts Inc.(a) |
51,113 | 985,970 | ||||||
|
|
|||||||
5,748,245 | ||||||||
Food & Staples Retailing — 1.2% |
| |||||||
Andersons Inc. (The) |
23,380 | 1,175,079 | ||||||
SpartanNash Co. |
27,419 | 904,553 | ||||||
|
|
|||||||
2,079,632 | ||||||||
Food Products — 0.3% |
| |||||||
Fresh Del Monte Produce Inc. |
19,582 | 507,370 | ||||||
|
|
Security | Shares | Value | ||||||
Gas Utilities — 0.6% |
| |||||||
Southwest Gas Holdings Inc. |
7,114 | $ | 556,955 | |||||
Spire Inc. |
8,415 | 603,861 | ||||||
|
|
|||||||
1,160,816 | ||||||||
Health Care Providers & Services — 0.3% |
| |||||||
Select Medical Holdings Corp. |
21,504 | 515,881 | ||||||
|
|
|||||||
Household Durables — 2.4% |
| |||||||
Century Communities Inc. |
10,602 | 567,949 | ||||||
Ethan Allen Interiors Inc. |
33,110 | 863,178 | ||||||
Hooker Furnishings Corp. |
17,395 | 329,461 | ||||||
KB Home |
11,672 | 377,939 | ||||||
La-Z-Boy Inc. |
14,186 | 374,085 | ||||||
M/I Homes Inc.(a) |
9,721 | 431,126 | ||||||
Meritage Homes Corp.(a) |
4,060 | 321,674 | ||||||
Taylor Morrison Home Corp.(a) |
18,211 | 495,704 | ||||||
Tri Pointe Homes Inc.(a) |
24,724 | 496,458 | ||||||
|
|
|||||||
4,257,574 | ||||||||
Insurance — 4.2% |
| |||||||
American Equity Investment Life Holding Co. |
20,369 | 812,927 | ||||||
CNO Financial Group Inc. |
27,944 | 701,115 | ||||||
Employers Holdings Inc. |
9,271 | 380,296 | ||||||
Enstar Group Ltd.(a) |
2,775 | 724,691 | ||||||
HCI Group Inc. |
9,095 | 620,097 | ||||||
Heritage Insurance Holdings Inc. |
44,131 | 315,095 | ||||||
Horace Mann Educators Corp. |
10,999 | 460,088 | ||||||
ProAssurance Corp. |
23,245 | 624,826 | ||||||
Selective Insurance Group Inc. |
8,706 | 777,968 | ||||||
SiriusPoint Ltd.(a) |
64,577 | 483,036 | ||||||
Stewart Information Services Corp. |
8,383 | 508,094 | ||||||
United Fire Group Inc. |
22,093 | 686,430 | ||||||
Universal Insurance Holdings Inc. |
32,379 | 436,793 | ||||||
|
|
|||||||
7,531,456 | ||||||||
Machinery — 3.4% |
| |||||||
Altra Industrial Motion Corp. |
12,139 | 472,571 | ||||||
Barnes Group Inc. |
12,528 | 503,500 | ||||||
Columbus McKinnon Corp./NY |
13,554 | 574,690 | ||||||
EnPro Industries Inc. |
7,945 | 776,465 | ||||||
Greenbrier Companies Inc. (The) |
15,234 | 784,703 | ||||||
Meritor Inc.(a) |
21,387 | 760,736 | ||||||
Mueller Industries Inc. |
16,576 | 897,922 | ||||||
REV Group Inc. |
56,860 | 761,924 | ||||||
Wabash National Corp. |
37,543 | 557,138 | ||||||
|
|
|||||||
6,089,649 | ||||||||
Marine — 0.7% |
| |||||||
Matson Inc. |
11,182 | 1,348,773 | ||||||
|
|
|||||||
Media — 0.5% |
| |||||||
Scholastic Corp. |
21,372 | 860,864 | ||||||
|
|
|||||||
Metals & Mining — 4.5% |
| |||||||
Allegheny Technologies Inc.(a)(b) |
51,411 | 1,379,871 | ||||||
Carpenter Technology Corp. |
24,676 | 1,035,898 | ||||||
Commercial Metals Co. |
22,438 | 933,870 | ||||||
Haynes International Inc. |
26,227 | 1,117,270 | ||||||
Kaiser Aluminum Corp. |
8,372 | 788,308 | ||||||
Schnitzer Steel Industries Inc., Class A |
23,313 | 1,210,877 | ||||||
Warrior Met Coal Inc. |
26,241 | 973,804 | ||||||
Worthington Industries Inc. |
10,979 | 564,430 | ||||||
|
|
|||||||
8,004,328 |
20 |
2 0 2 2 I S H A R E S 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 (continued) March 31, 2022 |
iShares® US Small Cap Value Factor ETF (Percentages shown are based on Net Assets) |
Security | Shares | Value | ||||||
|
||||||||
Mortgage Real Estate Investment — 0.2% |
| |||||||
Broadmark Realty Capital Inc. |
45,362 | $ | 392,381 | |||||
|
|
|||||||
Multi-Utilities — 1.3% |
||||||||
Avista Corp. |
13,157 | 594,039 | ||||||
Black Hills Corp. |
8,376 | 645,120 | ||||||
NorthWestern Corp. |
9,213 | 557,294 | ||||||
Unitil Corp. |
11,596 | 578,408 | ||||||
|
|
|||||||
2,374,861 | ||||||||
Oil, Gas & Consumable Fuels — 2.5% |
| |||||||
Clean Energy Fuels Corp.(a) |
180,768 | 1,435,298 | ||||||
CNX Resources Corp.(a) |
47,517 | 984,552 | ||||||
DHT Holdings Inc. |
86,828 | 503,603 | ||||||
Dorian LPG Ltd. |
56,015 | 811,657 | ||||||
Nordic American Tankers Ltd. |
128,468 | 273,637 | ||||||
World Fuel Services Corp. |
21,173 | 572,518 | ||||||
|
|
|||||||
4,581,265 | ||||||||
Paper & Forest Products — 0.4% |
| |||||||
Clearwater Paper Corp.(a) |
11,815 | 331,174 | ||||||
Glatfelter Corp. |
32,568 | 403,192 | ||||||
|
|
|||||||
734,366 | ||||||||
Pharmaceuticals — 0.4% |
| |||||||
Prestige Consumer Healthcare Inc.(a) |
12,293 | 650,791 | ||||||
|
|
|||||||
Professional Services — 1.7% |
||||||||
Heidrick & Struggles International Inc. |
22,801 | 902,464 | ||||||
Kelly Services Inc., Class A, NVS |
26,267 | 569,731 | ||||||
Resources Connection Inc. |
38,865 | 666,146 | ||||||
TrueBlue Inc.(a) |
28,968 | 836,885 | ||||||
|
|
|||||||
2,975,226 | ||||||||
Real Estate Management & Development — 0.2% |
| |||||||
RE/MAX Holdings Inc., Class A |
13,716 | 380,345 | ||||||
|
|
|||||||
Road & Rail — 1.1% |
| |||||||
ArcBest Corp. |
14,434 | 1,161,937 | ||||||
Covenant Logistics Group Inc., Class A |
25,592 | 550,996 | ||||||
U.S. Xpress Enterprises Inc., Class A(a)(b) |
54,204 | 210,311 | ||||||
|
|
|||||||
1,923,244 | ||||||||
Semiconductors & Semiconductor Equipment — 2.0% |
| |||||||
Alpha & Omega Semiconductor Ltd.(a) |
34,969 | 1,911,056 | ||||||
Amkor Technology Inc. |
40,056 | 870,016 | ||||||
SMART Global Holdings Inc.(a) |
32,826 | 847,896 | ||||||
|
|
|||||||
3,628,968 | ||||||||
Software — 0.4% |
| |||||||
Xperi Holding Corp. |
39,043 | 676,225 | ||||||
|
|
|||||||
Specialty Retail — 3.3% |
| |||||||
Abercrombie & Fitch Co., Class A(a) |
32,170 | 1,029,118 | ||||||
Hibbett Inc. |
11,444 | 507,427 | ||||||
MarineMax Inc.(a)(b) |
17,448 | 702,456 | ||||||
ODP Corp. (The)(a) |
23,049 | 1,056,336 | ||||||
Rent-A-Center Inc./TX |
15,005 | 377,976 | ||||||
Sportsman’s Warehouse Holdings Inc.(a) |
31,275 | 334,330 | ||||||
Tilly’s Inc., Class A |
74,307 | 695,513 | ||||||
Urban Outfitters Inc.(a)(b) |
21,515 | 540,242 |
Security | Shares | Value | ||||||
|
||||||||
Specialty Retail (continued) |
| |||||||
Zumiez Inc.(a)(b) |
16,129 | $ | 616,289 | |||||
|
|
|||||||
5,859,687 | ||||||||
Textiles, Apparel & Luxury Goods — 1.8% |
||||||||
Movado Group Inc. |
45,101 | 1,761,194 | ||||||
Superior Group of Companies Inc. |
19,292 | 344,362 | ||||||
Unifi Inc.(a) |
34,947 | 632,541 | ||||||
Vera Bradley Inc.(a) |
73,284 | 562,088 | ||||||
|
|
|||||||
3,300,185 | ||||||||
Thrifts & Mortgage Finance — 3.2% |
||||||||
Kearny Financial Corp./MD |
62,220 | 801,394 | ||||||
NMI Holdings Inc., Class A(a) |
25,139 | 518,366 | ||||||
Northfield Bancorp. Inc. |
49,101 | 705,091 | ||||||
Provident Financial Services Inc. |
29,800 | 697,320 | ||||||
Radian Group Inc. |
30,685 | 681,514 | ||||||
TrustCo Bank Corp. NY |
13,110 | 418,602 | ||||||
Washington Federal Inc. |
21,506 | 705,827 | ||||||
WSFS Financial Corp. |
26,036 | 1,213,798 | ||||||
|
|
|||||||
5,741,912 | ||||||||
Trading Companies & Distributors — 3.5% |
||||||||
Beacon Roofing Supply Inc.(a)(b) |
14,449 | 856,537 | ||||||
Boise Cascade Co. |
11,222 | 779,592 | ||||||
DXP Enterprises Inc./TX(a) |
27,810 | 753,373 | ||||||
GMS Inc.(a)(b) |
18,594 | 925,423 | ||||||
Rush Enterprises Inc., Class A |
13,296 | 676,899 | ||||||
Titan Machinery Inc.(a) |
33,879 | 957,421 | ||||||
WESCO International Inc.(a) |
10,184 | 1,325,346 | ||||||
|
|
|||||||
6,274,591 | ||||||||
|
|
|||||||
Total
Common Stocks — 96.7% |
173,591,148 | |||||||
|
|
|||||||
Short-Term Investments |
| |||||||
Money Market Funds — 5.5% |
| |||||||
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.34%(c)(d)(e) |
3,780,117 | 3,779,361 | ||||||
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.25%(c)(d) |
6,160,000 | 6,160,000 | ||||||
|
|
|||||||
9,939,361 | ||||||||
|
|
|||||||
Total
Short-Term Investments — 5.5% |
9,939,361 | |||||||
|
|
|||||||
Total
Investments in Securities — 102.2% |
183,530,509 | |||||||
Other Assets, Less Liabilities — (2.2)% |
(4,032,018 | ) | ||||||
|
|
|||||||
Net Assets — 100.0% |
$ | 179,498,491 | ||||||
|
|
(a) |
Non-income producing security. |
(b) |
All or a portion of this security is on loan. |
(c) |
Affiliate of the Fund. |
(d) |
Annualized 7-day yield as of period end. |
(e) |
All or a portion of this security was purchased with the cash collateral from loaned securities. |
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 (continued) March 31, 2022 |
iShares® US Small Cap Value Factor ETF |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended March 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
|
||||||||||||||||||||||||||||||||||||||||
|
Affiliated Issuer |
|
Value at 03/31/21 |
|
|
Purchases at Cost |
|
|
Proceeds from Sales |
|
|
Net Realized Gain (Loss) |
|
|
Change in Unrealized Appreciation (Depreciation) |
|
|
Value at 03/31/22 |
|
|
Shares Held at 03/31/22 |
|
Income |
|
Capital Gain Distributions from Underlying Funds |
|
| |||||||||||||
|
||||||||||||||||||||||||||||||||||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares |
$ | 376,585 | $ | 3,405,257 | (a) | $ | — | $ | (2,724 | ) | $ | 243 | $ | 3,779,361 | 3,780,117 | $ | 2,895 | (b) | $ | — | ||||||||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares |
11,350,000 | — | (5,190,000 | )(a) | — | — | 6,160,000 | 6,160,000 | 1,375 | — | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||||
$ | (2,724 | ) | $ | 243 | $ | 9,939,361 | $ | 4,270 | $ | — | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
(b) |
All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
|
||||||||||||||||
Description |
Number of Contracts |
Expiration Date |
Notional Amount (000) |
Value/ Unrealized Appreciation (Depreciation) |
||||||||||||
|
||||||||||||||||
Long
Contracts |
3 | 06/17/22 | $ | 310 | $ | 8,112 | ||||||||||
|
|
OTC Total Return Swaps
|
||||||||||||||||||||||||
Reference Entity | Payment Frequency |
Counterparty(a) | Termination Date |
Net Notional | Accrued Unrealized Appreciation (Depreciation) |
Net Value of Reference Entity |
Gross Notional Amount Net Asset Percentage |
|||||||||||||||||
|
||||||||||||||||||||||||
Equity Securities Long |
Monthly | Goldman Sachs Bank USA(b) | 02/27/23 | $ | 1,234,554 | $ | (40,573 | )(c) | $ | 1,193,744 | 0.7 | % | ||||||||||||
Monthly | HSBC Bank PLC(d) | 02/10/23 | 2,183,891 | 59,014 | (e) | 2,217,745 | 1.2 | |||||||||||||||||
Monthly |
JPMorgan Chase Bank NA(f) | 02/08/23 | 2,141,519 | (10,725 | )(g) | 2,125,039 | 1.2 | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
$ | 7,716 | $ | 5,536,528 | |||||||||||||||||||||
|
|
|
|
(a) |
The Fund receives the total return on a portfolio of long positions underlying the total return swap. The Fund pays the total return on a portfolio of short positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. |
(c) |
Amount includes $237 of net dividends and financing fees. |
(e) |
Amount includes $25,160 of net dividends, payable for referenced securities purchased and financing fees. |
(g) |
Amount includes $5,755 of net dividends, payable for referenced securities purchased and financing fees. |
The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest:
(b) | (d) | (f) | ||||||
|
Range: |
65 basis points | 65 basis points | 65 basis points | ||||
Benchmarks: |
USD - 1D Overnight Fed Funds Effective Rate | USD - 1D Overnight Bank Funding Rate | USD - 1D Overnight Bank Funding Rate | |||||
(FEDL01) | (OBFR01) | (OBFR01) |
22 |
2 0 2 2 I S H A R E S 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 (continued) March 31, 2022 |
iShares® US Small Cap Value Factor ETF |
The following table represents the individual long positions and related values of the equity securities underlying the total return swap with Goldman Sachs Bank USA as of March 31, 2022 expiration 2/27/2023.
Shares | Value | % of Basket Value |
||||||||||
Reference Entity — Long |
| |||||||||||
Banks | ||||||||||||
BankUnited Inc. |
705 | $ | 30,992 | 2.6% | ||||||||
Central Pacific Financial Corp. |
3,402 | 94,916 | 7.9 | |||||||||
CVB Financial Corp. |
1,154 | 26,784 | 2.2 | |||||||||
First Financial Bancorp. |
1,209 | 27,867 | 2.3 | |||||||||
Heritage Financial Corp./WA |
631 | 15,813 | 1.3 | |||||||||
Independent Bank Corp. |
67 | 5,473 | 0.5 | |||||||||
NBT Bancorp. Inc. |
580 | 20,955 | 1.7 | |||||||||
OFG Bancorp. |
3,079 | 82,025 | 6.9 | |||||||||
Pacific Premier Bancorp. Inc. |
576 | 20,362 | 1.7 | |||||||||
Preferred Bank/Los Angeles CA |
5,359 | 397,048 | 33.3 | |||||||||
Simmons First National Corp. |
2,910 | 76,300 | 6.4 | |||||||||
Trustmark Corp. |
1,254 | 38,109 | 3.2 | |||||||||
United Community Banks Inc./GA |
89 | 3,097 | 0.3 | |||||||||
|
|
|||||||||||
839,741 | ||||||||||||
|
|
|||||||||||
Insurance | ||||||||||||
Employers Holdings Inc. |
1,518 | 62,268 | 5.2 | |||||||||
Horace Mann Educators Corp. |
345 | 14,431 | 1.2 | |||||||||
ProAssurance Corp. |
996 | 26,772 | 2.3 | |||||||||
|
|
|||||||||||
103,471 | ||||||||||||
|
|
|||||||||||
Thrifts & Mortgage Finance | ||||||||||||
Provident Financial Services Inc. |
326 | 7,628 | 0.6 | |||||||||
TrustCo Bank Corp. NY |
564 | 18,009 | 1.5 | |||||||||
WSFS Financial Corp. |
4,824 | 224,895 | 18.9 | |||||||||
|
|
|||||||||||
250,532 | ||||||||||||
|
|
|||||||||||
Total Reference Entity — Long |
1,193,744 | |||||||||||
|
|
|||||||||||
Net Value of Reference Entity — Goldman Sachs Bank USA |
|
$ | 1,193,744 | |||||||||
|
|
The following table represents the individual long positions and related values of the equity securities underlying the total return swap with HSBC Bank PLC as of March 31, 2022 expiration 2/10/2023.
Shares | Value | % of Basket Value |
||||||||||
Reference Entity — Long |
||||||||||||
Banks | ||||||||||||
Allegiance Bancshares Inc. |
40 | $ | 1,787 | 0.1% | ||||||||
BankUnited Inc. |
5,346 | 235,010 | 10.6 | |||||||||
Brookline Bancorp. Inc. |
4,989 | 78,926 | 3.6 | |||||||||
Cadence Bank |
2,826 | 82,689 | 3.7 | |||||||||
City Holding Co. |
1,059 | 83,343 | 3.7 | |||||||||
Columbia Banking System Inc. |
2,243 | 72,382 | 3.3 | |||||||||
First BanCorp./Puerto Rico |
8,261 | 108,384 | 4.9 | |||||||||
First Financial Bancorp. |
1,521 | 35,059 | 1.6 | |||||||||
Hanmi Financial Corp. |
5,253 | 129,276 | 5.8 | |||||||||
Heritage Financial Corp./WA |
7,287 | 182,612 | 8.2 | |||||||||
HomeStreet Inc. |
2,274 | 107,742 | 4.9 | |||||||||
Meta Financial Group Inc. |
2,243 | 123,186 | 5.5 | |||||||||
NBT Bancorp. Inc. |
2,554 | 92,276 | 4.2 | |||||||||
OFG Bancorp. |
382 | 10,176 | 0.5 | |||||||||
Pacific Premier Bancorp. Inc. |
2,142 | 75,720 | 3.4 |
Shares | Value | % of Basket Value |
||||||||||
Preferred Bank/Los Angeles CA |
2,535 | $ | 187,818 | 8.5 | ||||||||
S&T Bancorp. Inc. |
2,438 | 72,116 | 3.2 | |||||||||
Simmons First National Corp. |
1,428 | 37,442 | 1.7 | |||||||||
Trustmark Corp. |
2,632 | 79,986 | 3.6 | |||||||||
|
|
|||||||||||
1,795,930 | ||||||||||||
|
|
|||||||||||
Insurance | ||||||||||||
Employers Holdings Inc. |
1,373 | 56,320 | 2.5 | |||||||||
Horace Mann Educators Corp. |
932 | 38,986 | 1.8 | |||||||||
ProAssurance Corp. |
2,503 | 67,281 | 3.0 | |||||||||
Stewart Information Services Corp. |
1,180 | 71,520 | 3.2 | |||||||||
|
|
|||||||||||
234,107 | ||||||||||||
|
|
|||||||||||
Thrifts & Mortgage Finance | ||||||||||||
Provident Financial Services Inc. |
3,209 | 75,091 | 3.4 | |||||||||
TrustCo Bank Corp. NY |
3,527 | 112,617 | 5.1 | |||||||||
|
|
|||||||||||
187,708 | ||||||||||||
|
|
|||||||||||
Total Reference Entity — Long |
2,217,745 | |||||||||||
|
|
|||||||||||
Net Value of Reference Entity — HSBC Bank PLC |
$ | 2,217,745 | ||||||||||
|
|
The following table represents the individual long positions and related values of the equity securities underlying the total return swap with JPMorgan Chase Bank NA as of March 31, 2022 expiration 2/8/2023.
Shares | Value | % of Basket Value |
||||||||||
Reference Entity — Long |
||||||||||||
Banks | ||||||||||||
BankUnited Inc. |
1,532 | $ | 67,347 | 3.2% | ||||||||
Brookline Bancorp. Inc. |
4,887 | 77,312 | 3.6 | |||||||||
Cadence Bank |
2,180 | 63,787 | 3.0 | |||||||||
Central Pacific Financial Corp. |
2,824 | 78,790 | 3.7 | |||||||||
City Holding Co. |
1,772 | 139,456 | 6.6 | |||||||||
Columbia Banking System Inc. |
1,290 | 41,628 | 2.0 | |||||||||
First BanCorp./Puerto Rico |
9,957 | 130,636 | 6.1 | |||||||||
Hanmi Financial Corp. |
5,070 | 124,773 | 5.9 | |||||||||
HomeStreet Inc. |
1,604 | 75,998 | 3.6 | |||||||||
Hope Bancorp Inc. |
4,735 | 76,139 | 3.6 | |||||||||
Independent Bank Corp. |
501 | 40,927 | 1.9 | |||||||||
Meta Financial Group Inc. |
2,270 | 124,668 | 5.9 | |||||||||
OFG Bancorp. |
3,824 | 101,871 | 4.8 | |||||||||
Pacific Premier Bancorp. Inc. |
1,472 | 52,035 | 2.4 | |||||||||
Preferred Bank/Los Angeles CA |
3,804 | 281,838 | 13.3 | |||||||||
S&T Bancorp. Inc. |
3,688 | 109,091 | 5.1 | |||||||||
Simmons First National Corp. |
1,209 | 31,700 | 1.5 | |||||||||
Trustmark Corp. |
1,438 | 43,701 | 2.0 | |||||||||
United Community Banks Inc./GA |
1,130 | 39,324 | 1.8 | |||||||||
|
|
|||||||||||
1,701,021 | ||||||||||||
|
|
|||||||||||
Insurance | ||||||||||||
Employers Holdings Inc. |
2,679 | 109,893 | 5.2 | |||||||||
Horace Mann Educators Corp. |
1,165 | 48,732 | 2.3 | |||||||||
ProAssurance Corp. |
1,960 | 52,685 | 2.5 | |||||||||
Stewart Information Services Corp. |
675 | 40,912 | 1.9 | |||||||||
|
|
|||||||||||
252,222 | ||||||||||||
|
|
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 (continued) March 31, 2022 |
iShares® US Small Cap Value Factor ETF |
Shares | Value | % of Basket Value |
||||||||||
Thrifts & Mortgage Finance | ||||||||||||
Provident Financial Services Inc. |
3,385 | $ | 79,209 | 3.7 | ||||||||
WSFS Financial Corp. |
1,986 | 92,587 | 4.4 | |||||||||
|
|
|||||||||||
171,796 | ||||||||||||
|
|
|||||||||||
Total Reference Entity — Long |
2,125,039 | |||||||||||
|
|
|||||||||||
Net Value of Reference Entity — JPMorgan Chase Bank NA |
|
$ | 2,125,039 | |||||||||
|
|
Balances Reported in the Statements of Assets and Liabilities for Total Return Swaps
Premiums Paid |
Premiums Received |
Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||
Total Return Swaps |
$— | $— | $59,014 | $(51,298 | ) |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:
|
||||
Equity Contracts |
||||
|
||||
Assets — Derivative Financial Instruments |
||||
Futures contracts |
||||
Unrealized appreciation on futures contracts(a) |
$ | 8,112 | ||
Swaps — OTC |
||||
Unrealized appreciation on OTC swaps; Swap premiums paid |
$ | 59,014 | ||
|
|
|||
$ | 67,126 | |||
|
|
|||
Liabilities — Derivative Financial Instruments |
||||
Swaps — OTC |
||||
Unrealized depreciation on OTC swaps; Swap premiums received |
$ | 51,298 | ||
|
|
(a) |
Net cumulative unrealized appreciation (depreciation) on futures contracts are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss). |
For the period ended March 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:
|
||||
Equity Contracts |
||||
|
||||
Net Realized Gain (Loss) from: |
||||
Futures contracts |
$ | (28,738 | ) | |
Swaps |
40,784 | |||
|
|
|||
$ | 12,046 | |||
|
|
|||
Net Change in Unrealized Appreciation (Depreciation) on: | ||||
Futures contracts |
$ | 8,112 | ||
Swaps |
325,019 | |||
|
|
|||
$ | 333,131 | |||
|
|
Average Quarterly Balances of Outstanding Derivative Financial Instruments
|
||||||||
|
Futures contracts: |
|||||||
Average notional value of contracts — long |
$ | 221,192 | ||||||
Total return swaps: |
||||||||
Average notional value |
$ | 4,674,584 | ||||||
|
For more information about the Fund’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
24 |
2 0 2 2 I S H A R E S 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 (continued) March 31, 2022 |
iShares® US Small Cap Value Factor ETF |
Derivative Financial Instruments - Offsetting as of Period End
The Fund’s derivative assets and liabilities (by type) were as follows:
|
||||||||
Assets | Liabilities | |||||||
|
||||||||
Derivative Financial Instruments: |
||||||||
Futures contracts |
$ | 8,112 | $ | — | ||||
Swaps - OTC(a) |
59,014 | 51,298 | ||||||
|
|
|
|
|||||
Total derivative assets and liabilities in the Statement of Assets and Liabilities |
67,126 | 51,298 | ||||||
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”) |
(8,112 | ) | — | |||||
|
|
|
|
|||||
Total derivative assets and liabilities subject to an MNA |
59,014 | 51,298 | ||||||
|
|
|
|
(a) |
Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities. |
The following tables present the Fund’s derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:
|
||||||||||||||||||||||||||||||||||||||
Derivative Assets Subject to an MNA by |
|
|
Derivatives Available |
|
|
Non-Cash Collateral |
|
|
Cash Collateral |
|
|
Net Amount of Derivative |
| |||||||||||||||||||||||||
Counterparty |
Counterparty |
|
for Offset | (a) | Received | Received | Assets | (b) | ||||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||||
HSBC Bank PLC |
$ | 59,014 | $ | — | $ | — | $ | — | $ | 59,014 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||||
Derivative Liabilities Subject to an MNA by |
|
|
Derivatives Available |
|
|
Non-Cash Collateral |
|
|
Cash Collateral |
|
|
Net Amount of Derivative |
| |||||||||||||||||||||||||
Counterparty |
Counterparty |
|
for Offset | (a) | Pledged | Pledged | Liabilities | (c) | ||||||||||||||||||||||||||||||
|
||||||||||||||||||||||||||||||||||||||
Goldman Sachs Bank USA |
$ | 40,573 | $ | — | $ | — | $ | — | $ | 40,573 | ||||||||||||||||||||||||||||
JPMorgan Chase Bank NA |
10,725 | — | — | — | 10,725 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
$ | 51,298 | $ | — | $ | — | $ | — | $ | 51,298 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA. |
(b) |
Net amount represents the net amount receivable from the counterparty in the event of default. |
(c) |
Net amount represents the net amount payable due to the counterparty in the event of default. |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
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 (continued) March 31, 2022 |
iShares® US Small Cap Value Factor ETF |
Fair Value Hierarchy as of Period End (continued)
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
||||||||||||||||
Investments |
||||||||||||||||
Assets |
||||||||||||||||
Common Stocks |
$ | 173,591,148 | $ | — | $ | — | $ | 173,591,148 | ||||||||
Money Market Funds |
9,939,361 | — | — | 9,939,361 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 183,530,509 | $ | — | $ | — | $ | 183,530,509 | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Derivative financial instruments(a) |
||||||||||||||||
Assets |
||||||||||||||||
Futures Contracts |
$ | 8,112 | $ | — | $ | — | $ | 8,112 | ||||||||
Swaps |
— | 59,014 | — | 59,014 | ||||||||||||
Liabilities |
||||||||||||||||
Swaps |
— | (51,298 | ) | — | (51,298 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 8,112 | $ | 7,716 | $ | — | $ | 15,828 | |||||||||
|
|
|
|
|
|
|
|
(a) |
Derivative financial instruments are swaps and futures contracts. Swaps and futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
See notes to financial statements.
26 |
2 0 2 2 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S |
Statements of Assets and Liabilities
March 31, 2022
iShares Factors US Growth Style ETF |
iShares Factors US |
iShares US Small Cap Value Factor ETF |
||||||||||
|
||||||||||||
ASSETS |
||||||||||||
Investments in securities, at value (including securities on loan)(a): |
||||||||||||
Unaffiliated(b) |
$ | 5,449,034 | $ | 7,242,855 | $ | 173,591,148 | ||||||
Affiliated(c) |
4,274 | 115,560 | 9,939,361 | |||||||||
Cash |
9,793 | 1,020 | 9,504 | |||||||||
Cash pledged: |
||||||||||||
Futures contracts |
— | — | 20,000 | |||||||||
Receivables: |
||||||||||||
Investments sold |
506 | — | 27,967 | |||||||||
Securities lending income — Affiliated |
7 | 25 | 637 | |||||||||
Dividends |
829 | 10,760 | 152,333 | |||||||||
Unrealized appreciation on: |
||||||||||||
OTC swaps |
— | — | 59,014 | |||||||||
|
|
|
|
|
|
|||||||
Total assets |
5,464,443 | 7,370,220 | 183,799,964 | |||||||||
|
|
|
|
|
|
|||||||
LIABILITIES |
||||||||||||
Collateral on securities loaned, at value |
4,306 | 105,656 | 3,781,842 | |||||||||
Payables: |
||||||||||||
Investments purchased |
— | — | 434,968 | |||||||||
Variation margin on futures contracts |
— | — | 3,320 | |||||||||
Investment advisory fees |
1,169 | 1,569 | 30,045 | |||||||||
Unrealized depreciation on: |
||||||||||||
OTC swaps |
— | — | 51,298 | |||||||||
|
|
|
|
|
|
|||||||
Total liabilities |
5,475 | 107,225 | 4,301,473 | |||||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 5,458,968 | $ | 7,262,995 | $ | 179,498,491 | ||||||
|
|
|
|
|
|
|||||||
NET ASSETS CONSIST OF: |
||||||||||||
Paid-in capital |
$ | 6,351,386 | $ | 7,878,603 | $ | 176,735,090 | ||||||
Accumulated earnings (loss) |
(892,418 | ) | (615,608 | ) | 2,763,401 | |||||||
|
|
|
|
|
|
|||||||
NET ASSETS |
$ | 5,458,968 | $ | 7,262,995 | $ | 179,498,491 | ||||||
|
|
|
|
|
|
|||||||
Shares outstanding |
150,000 | 250,000 | 5,850,000 | |||||||||
|
|
|
|
|
|
|||||||
Net asset value |
$ | 36.39 | $ | 29.05 | $ | 30.68 | ||||||
|
|
|
|
|
|
|||||||
Shares authorized |
Unlimited | Unlimited | Unlimited | |||||||||
|
|
|
|
|
|
|||||||
Par value |
None | None | None | |||||||||
|
|
|
|
|
|
|||||||
(a) Securities loaned, at value |
$ | 4,094 | $ | 100,704 | $ | 3,587,491 | ||||||
(b) Investments, at cost — Unaffiliated |
$ | 5,653,910 | $ | 7,484,824 | $ | 169,627,158 | ||||||
(c) Investments, at cost — Affiliated |
$ | 4,273 | $ | 115,543 | $ | 9,939,118 |
See notes to financial statements.
F I N A N C I A L S T A T E M E N T S |
27 |
Year Ended March 31, 2022
iShares Factors US Growth Style ETF |
iShares Factors US ETF |
iShares US Small Cap Value |
||||||||||
|
||||||||||||
INVESTMENT INCOME |
||||||||||||
Dividends — Unaffiliated |
$ | 50,245 | $ | 193,405 | $ | 2,878,762 | ||||||
Dividends — Affiliated |
3 | 8 | 1,397 | |||||||||
Securities lending income — Affiliated — net |
829 | 903 | 2,873 | |||||||||
Foreign taxes withheld |
— | (208 | ) | (2,843 | ) | |||||||
|
|
|
|
|
|
|||||||
Total investment income |
51,077 | 194,108 | 2,880,189 | |||||||||
|
|
|
|
|
|
|||||||
EXPENSES |
||||||||||||
Investment advisory fees |
14,080 | 18,519 | 423,098 | |||||||||
|
|
|
|
|
|
|||||||
Total expenses |
14,080 | 18,519 | 423,098 | |||||||||
Less: |
||||||||||||
Investment advisory fees waived |
— | — | (144,074 | ) | ||||||||
|
|
|
|
|
|
|||||||
Total expenses after fees waived |
14,080 | 18,519 | 279,024 | |||||||||
|
|
|
|
|
|
|||||||
Net investment income |
36,997 | 175,589 | 2,601,165 | |||||||||
|
|
|
|
|
|
|||||||
REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||
Net realized gain (loss) from: |
||||||||||||
Investments — Unaffiliated |
(637,356 | ) | (81,287 | ) | (1,387,298 | ) | ||||||
Investments — Affiliated |
(43 | ) | (42 | ) | (2,724 | ) | ||||||
In-kind redemptions — Unaffiliated |
2,289,969 | 2,160,379 | 7,177,677 | |||||||||
Futures contracts |
— | — | (28,738 | ) | ||||||||
Swaps |
— | — | 40,784 | |||||||||
|
|
|
|
|
|
|||||||
Net realized gain |
1,652,570 | 2,079,050 | 5,799,701 | |||||||||
|
|
|
|
|
|
|||||||
Net change in unrealized appreciation (depreciation) on: |
||||||||||||
Investments — Unaffiliated |
(1,206,726 | ) | (1,743,625 | ) | (7,137,680 | ) | ||||||
Investments — Affiliated |
1 | 17 | 243 | |||||||||
Futures contracts |
— | — | 8,112 | |||||||||
Swaps |
— | — | 325,019 | |||||||||
|
|
|
|
|
|
|||||||
Net change in unrealized appreciation (depreciation) |
(1,206,725 | ) | (1,743,608 | ) | (6,804,306 | ) | ||||||
|
|
|
|
|
|
|||||||
Net realized and unrealized gain (loss) |
445,845 | 335,442 | (1,004,605 | ) | ||||||||
|
|
|
|
|
|
|||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | 482,842 | $ | 511,031 | $ | 1,596,560 | ||||||
|
|
|
|
|
|
See notes to financial statements.
28 |
2 0 2 2 I S H A R E S 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
iShares Factors US Growth Style ETF |
iShares Factors US Value Style ETF |
|||||||||||||||
|
|
|
|
|||||||||||||
Year Ended 03/31/22 |
Year Ended 03/31/21 |
Year Ended 03/31/22 |
Year Ended 03/31/21 |
|||||||||||||
|
||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||
OPERATIONS |
||||||||||||||||
Net investment income |
$ | 36,997 | $ | 42,898 | $ | 175,589 | $ | 139,344 | ||||||||
Net realized gain (loss) |
1,652,570 | 338,458 | 2,079,050 | (168,124 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) |
(1,206,725 | ) | 1,876,990 | (1,743,608 | ) | 2,943,489 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase in net assets resulting from operations |
482,842 | 2,258,346 | 511,031 | 2,914,709 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) |
||||||||||||||||
Decrease in net assets resulting from distributions to shareholders |
(43,421 | ) | (43,655 | ) | (173,963 | ) | (158,652 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
CAPITAL SHARE TRANSACTIONS |
||||||||||||||||
Net increase (decrease) in net assets derived from capital share transactions |
167,748 | (1,416,764 | ) | 62,505 | 614,979 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS |
||||||||||||||||
Total increase in net assets |
607,169 | 797,927 | 399,573 | 3,371,036 | ||||||||||||
Beginning of year |
4,851,799 | 4,053,872 | 6,863,422 | 3,492,386 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
End of year |
$ | 5,458,968 | $ | 4,851,799 | $ | 7,262,995 | $ | 6,863,422 | ||||||||
|
|
|
|
|
|
|
|
(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 |
29 |
Statements of Changes in Net Assets (continued)
iShares US Small Cap Value Factor ETF |
||||||||
|
|
|||||||
|
Year Ended 03/31/22 |
|
|
Period From 10/27/20 to 03/31/21 |
(a)
| |||
|
||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||
OPERATIONS |
||||||||
Net investment income |
$ | 2,601,165 | $ | 374,760 | ||||
Net realized gain |
5,799,701 | 5,494,147 | ||||||
Net change in unrealized appreciation (depreciation) |
(6,804,306 | ) | 10,784,367 | |||||
|
|
|
|
|||||
Net increase in net assets resulting from operations |
1,596,560 | 16,653,274 | ||||||
|
|
|
|
|||||
DISTRIBUTIONS TO SHAREHOLDERS(b) |
||||||||
Decrease in net assets resulting from distributions to shareholders |
(3,383,522 | ) | (394,188 | ) | ||||
|
|
|
|
|||||
CAPITAL SHARE TRANSACTIONS |
||||||||
Net increase in net assets derived from capital share transactions |
68,225,121 | 96,801,246 | ||||||
|
|
|
|
|||||
NET ASSETS |
||||||||
Total increase in net assets |
66,438,159 | 113,060,332 | ||||||
Beginning of period |
113,060,332 | — | ||||||
|
|
|
|
|||||
End of period |
$ | 179,498,491 | $ | 113,060,332 | ||||
|
|
|
|
(a) |
Commencement of operations. |
(b) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
30 |
2 0 2 2 I S H A R E S 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 |
(For a share outstanding throughout each period)
iShares Factors US Growth Style ETF |
||||||||||||||||||||||
Period From | ||||||||||||||||||||||
Year Ended |
|
Year Ended | 01/14/20 | (a) | ||||||||||||||||||
03/31/22 |
|
03/31/21 | to 03/31/20 | |||||||||||||||||||
|
||||||||||||||||||||||
Net asset value, beginning of period |
$ | 32.35 | $ | 20.27 | $ | 24.96 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Net investment income(b) |
0.24 | 0.25 | 0.06 | |||||||||||||||||||
Net realized and unrealized gain (loss)(c) |
4.06 | 12.08 | (4.69 | ) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) from investment operations |
4.30 | 12.33 | (4.63 | ) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Distributions(d) |
||||||||||||||||||||||
From net investment income |
(0.26 | ) | (0.25 | ) | (0.06 | ) | ||||||||||||||||
Return of capital |
— | — | (0.00 | )(e) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Total distributions |
(0.26 | ) | (0.25 | ) | (0.06 | ) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Net asset value, end of period |
$ | 36.39 | $ | 32.35 | $ | 20.27 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Total Return(f) |
||||||||||||||||||||||
Based on net asset value |
13.28 | % | 61.00 | % | (18.54 | )%(g) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Ratios to Average Net Assets(h) |
||||||||||||||||||||||
Total expenses |
0.25 | % | 0.25 | % | 0.25 | %(i) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Net investment income |
0.66 | % | 0.88 | % | 1.20 | %(i) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Supplemental Data |
||||||||||||||||||||||
Net assets, end of period (000) |
$ | 5,459 | $ | 4,852 | $ | 4,054 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Portfolio turnover rate(j) |
111 | % | 103 | % | 13 | %(g) | ||||||||||||||||
|
|
|
|
|
|
(a) |
Commencement of operations. |
(b) |
Based on average shares outstanding. |
(c) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(d) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(e) |
Rounds to less than $0.01. |
(f) |
Where applicable, assumes the reinvestment of distributions. |
(g) |
Not annualized. |
(h) |
Excludes fees and expenses incurred indirectly as a result of investments in underlying funds. |
(i) |
Annualized. |
(j) |
Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
F I N A N C I A L H I G H L I G H T S |
31 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
iShares Factors US Value Style ETF |
||||||||||||||||||||||
Period From | ||||||||||||||||||||||
Year Ended |
|
Year Ended | 01/14/20 | (a) | ||||||||||||||||||
03/31/22 |
|
03/31/21 | to 03/31/20 | |||||||||||||||||||
|
||||||||||||||||||||||
Net asset value, beginning of period |
$ | 27.45 | $ | 17.46 | $ | 25.09 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Net investment income(b) |
0.69 | 0.51 | 0.15 | |||||||||||||||||||
Net realized and unrealized gain (loss)(c) |
1.58 | 10.06 | (7.65 | ) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Net increase (decrease) from investment operations |
2.27 | 10.57 | (7.50 | ) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Distributions(d) |
||||||||||||||||||||||
From net investment income |
(0.67 | ) | (0.58 | ) | (0.13 | ) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Total distributions |
(0.67 | ) | (0.58 | ) | (0.13 | ) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Net asset value, end of period |
$ | 29.05 | $ | 27.45 | $ | 17.46 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Total Return(e) |
||||||||||||||||||||||
Based on net asset value |
8.28 | % | 61.25 | % | (29.87 | )%(f) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Ratios to Average Net Assets(g) |
||||||||||||||||||||||
Total expenses |
0.25 | % | 0.25 | % | 0.25 | %(h) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Net investment income |
2.37 | % | 2.29 | % | 3.09 | %(h) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Supplemental Data |
||||||||||||||||||||||
Net assets, end of period (000) |
$ | 7,263 | $ | 6,863 | $ | 3,492 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Portfolio turnover rate(i) |
104 | % | 148 | % | 16 | %(f) | ||||||||||||||||
|
|
|
|
|
|
(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. |
See notes to financial statements.
32 |
2 0 2 2 I S H A R E S 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 US Small Cap Value Factor ETF |
||||||||||||||||
Period From | ||||||||||||||||
Year Ended | 10/27/20 | (a) | ||||||||||||||
03/31/22 | to 03/31/21 | |||||||||||||||
|
||||||||||||||||
Net asset value, beginning of period |
$ | 30.56 | $ | 19.56 | ||||||||||||
|
|
|
|
|||||||||||||
Net investment income(b) |
0.57 | 0.20 | ||||||||||||||
Net realized and unrealized gain(c) |
0.28 | 10.94 | ||||||||||||||
|
|
|
|
|||||||||||||
Net increase from investment operations |
0.85 | 11.14 | ||||||||||||||
|
|
|
|
|||||||||||||
Distributions(d) |
||||||||||||||||
From net investment income |
(0.73 | ) | (0.14 | ) | ||||||||||||
|
|
|
|
|||||||||||||
Total distributions |
(0.73 | ) | (0.14 | ) | ||||||||||||
|
|
|
|
|||||||||||||
Net asset value, end of period |
$ | 30.68 | $ | 30.56 | ||||||||||||
|
|
|
|
|||||||||||||
Total Return(e) |
||||||||||||||||
Based on net asset value |
2.79 | % | 57.05 | %(f) | ||||||||||||
|
|
|
|
|||||||||||||
Ratios to Average Net Assets(g) |
||||||||||||||||
Total expenses |
0.30 | % | 0.30 | %(h) | ||||||||||||
|
|
|
|
|||||||||||||
Total expenses after fees waived |
0.20 | % | 0.20 | %(h) | ||||||||||||
|
|
|
|
|||||||||||||
Net investment income |
1.84 | % | 1.74 | %(h) | ||||||||||||
|
|
|
|
|||||||||||||
Supplemental Data |
||||||||||||||||
Net assets, end of period (000) |
$ | 179,498 | $ | 113,060 | ||||||||||||
|
|
|
|
|||||||||||||
Portfolio turnover rate(i) |
13 | % | 14 | %(f) | ||||||||||||
|
|
|
|
(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. |
See notes to financial statements.
F I N A N C I A L H I G H L I G H T S |
33 |
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 |
|||
Factors US Growth Style |
Non-diversified | |||
Factors US Value Style |
Non-diversified | |||
US Small Cap Value Factor |
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.
Foreign Taxes: The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Fund invests. These foreign taxes, if any, are paid by each Fund and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Other foreign taxes”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of March 31, 2022, if any, are disclosed in the Statements of Assets and Liabilities.
The Funds file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Funds may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statements of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.
Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., futures contracts and swaps) that would be treated as “senior securities” for 1940 Act purposes, a Fund may segregate or designate on its books and record cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, 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 or obligations.
In-kind Redemptions: For financial reporting purposes, in-kind redemptions are treated as sales of securities resulting in realized capital gains or losses to the Funds. Because such gains or losses are not taxable to the Funds and are not distributed to existing Fund shareholders, the gains or losses are reclassified from accumulated net realized gain (loss) to paid-in capital at the end of the Funds’ tax year. These reclassifications have no effect on net assets or net asset value (“NAV”) per share.
Distributions: Dividends and distributions paid by each Fund are recorded on the ex-dividend dates. Distributions are determined on a tax basis and may differ from net investment income and net realized capital gains for financial reporting purposes. Dividends and distributions are paid in U.S. dollars and cannot be automatically reinvested in additional shares of the Funds. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.
Indemnifications: In the normal course of business, each Fund enters into contracts that contain a variety of representations that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown because it involves future potential claims against the Funds, which cannot be predicted with any certainty.
3. |
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investment Valuation Policies: Each Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund’s listing exchange is open and, for financial reporting purposes, as of the report date. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Each Fund determines the fair values of its financial instruments
34 |
2 0 2 2 I S H A R E S 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 (continued)
using various independent dealers or pricing services under policies approved by the Board of Trustees of the Trust (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of each Fund’s assets and liabilities:
• |
Equity investments traded on a recognized securities exchange are valued at that day’s official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last traded price. |
• |
Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV. |
• |
Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded. |
• |
Swap agreements are valued utilizing quotes received daily by independent pricing services or through brokers, which are derived using daily swap curves and models that incorporate a number of market data factors, such as discounted cash flows, trades and values of the underlying reference instruments. |
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee include market approach, income approach and cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.
Fair value pricing could result in a difference between the prices used to calculate a fund’s NAV and the prices used by the fund’s underlying index, which in turn could result in a difference between the fund’s performance and the performance of the fund’s underlying index.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• |
Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access; |
• |
Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs); and |
• |
Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, (including the Global Valuation Committee’s assumptions used in determining the fair value of financial instruments). |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
4. |
SECURITIES AND OTHER INVESTMENTS |
Securities Lending: Each Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, an irrevocable letter of credit issued by an approved bank, or securities issued or guaranteed by the U.S. government. The initial collateral received by each Fund is required to have a value of at least 102% of the current market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund or excess collateral is returned by the Fund, on the next business day. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested in money market funds managed by BlackRock Fund Advisors (“BFA”), the Funds’ investment adviser, or its affiliates is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Fund, except in the event of borrower default. The securities on loan, if any, are also disclosed in each Fund’s Schedule of Investments. The market value of any securities on loan and the value of any related cash collateral are disclosed in the Statements of Assets and Liabilities.
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
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 |
35 |
Notes to Financial Statements (continued)
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.
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 |
|
Market Value of Securities on Loan |
|
|
Cash Collateral Received |
(a) |
|
Non-Cash Collateral Received |
|
Net Amount | ||||||
|
||||||||||||||||
Factors US Growth Style |
||||||||||||||||
J.P. Morgan Securities LLC |
$ | 2,654 | $ | 2,654 | $ | — | $ | — | ||||||||
UBS Securities LLC |
1,440 | 1,440 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 4,094 | $ | 4,094 | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Factors US Value Style |
||||||||||||||||
Barclays Bank PLC |
$ | 46,003 | $ | 46,003 | $ | — | $ | — | ||||||||
Citigroup Global Markets, Inc. |
11,865 | 11,865 | — | — | ||||||||||||
J.P. Morgan Securities LLC |
19,784 | 19,784 | — | — | ||||||||||||
Jefferies LLC |
7,163 | 7,163 | — | — | ||||||||||||
Morgan Stanley |
14,239 | 14,239 | — | — | ||||||||||||
Toronto-Dominion Bank |
1,650 | 1,650 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 100,704 | $ | 100,704 | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
|||||||||
US Small Cap Value Factor |
||||||||||||||||
Credit Suisse Securities (USA) LLC |
$ | 2,511 | $ | 2,511 | $ | — | $ | — | ||||||||
Goldman Sachs & Co. LLC |
1,756,514 | 1,756,514 | — | — | ||||||||||||
Mizuho Securities USA Inc. |
161,040 | 161,040 | — | — | ||||||||||||
Morgan Stanley |
2,888 | 2,888 | — | — | ||||||||||||
National Financial Services LLC |
484,623 | 484,623 | — | — | ||||||||||||
Toronto-Dominion Bank |
847,941 | 847,941 | — | — | ||||||||||||
UBS AG |
136,275 | 136,275 | — | — | ||||||||||||
UBS Securities LLC |
195,699 | 195,699 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 3,587,491 | $ | 3,587,491 | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
(a) |
Collateral received 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 statement 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. |
DERIVATIVE FINANCIAL INSTRUMENTS |
Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Futures contracts are exchange-traded agreements between the Funds and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Funds are required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statements of Assets and Liabilities.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.
36 |
2 0 2 2 I S H A R E S 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 (continued)
Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). For OTC swaps, any upfront premiums paid and any upfront fees received are shown as swap premiums paid and swap premiums received, respectively, in the Statements of Assets and Liabilities and amortized over the term of the contract. The daily fluctuation in market value is recorded as unrealized appreciation (depreciation) on OTC Swaps in the Statements of Assets and Liabilities. Payments received or paid are recorded in the Statements of Operations as realized gains or losses, respectively. When an OTC swap is terminated, a realized gain or loss is recorded in the Statements of Operations equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds’ basis in the contract, if any. Generally, the basis of the contract is the premium received or paid. Total return swaps are entered into by the iShares US Small Cap Value Factor ETF to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).
Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket or underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instruments or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Fund receives payment from or makes a payment to the counterparty.
Certain total return swaps are designed to function as a portfolio of direct investments in long and short equity positions. This means that the Fund has the ability to trade in and out of these long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions, subject to certain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap’s market value. The market value also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the portfolio.
Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Fund and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Statements of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time.
Swap transactions involve, to varying degrees, elements of interest rate, credit and market risks in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement, and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty.
Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from the counterparty are not fully collateralized, each Fund bears the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.
For financial reporting purposes, each Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.
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 |
37 |
Notes to Financial Statements (continued)
6. |
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 Fee | |||
Factors US Growth Style |
0.25 | % | ||
Factors US Value Style |
0.25 | |||
US Small Cap Value Factor |
0.30 |
Expense Waivers: The total of the investment advisory fee and any fund other expenses are a fund’s total annual operating expenses. For the iShares US Small Cap Value Factor ETF, BFA has contractually agreed to waive a portion of its management fee so that the Fund’s total annual fund operating expenses after the fee waiver will not exceed 0.20% through March 31, 2023.
This amount is included in investment advisory fees waived in the Statements of Operations. For the year ended March 31, 2022, the amounts waived in investment advisory fees pursuant to this arrangement were as follows:
iShares ETF | Amounts waived | |||
US Small Cap Value Factor |
$ | 144,074 |
Distributor: BlackRock Investments, LLC, an affiliate of BFA, is the distributor for each Fund. Pursuant to the distribution agreement, BFA is responsible for any fees or expenses for distribution services provided to the Funds.
Securities Lending: The U.S. Securities and Exchange Commission (the “SEC”) has issued an exemptive order which permits BlackRock Institutional Trust Company, N.A. (“BTC”), an affiliate of BFA, to serve as securities lending agent for the Funds, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. Each Fund is responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by BFA, or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees each Fund bears to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund’s weekly liquid assets fall below certain thresholds.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. Each Fund retains a portion of securities lending income and remits the remaining portion to BTC as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, each Fund retains 81% 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 81% 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.
Prior to January 1, 2022, each Fund retained 77% of securities lending income (which excludes collateral investment fees) and the amount retained was not 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 the iShares ETF Complex in a calendar year exceeded a specified threshold, each Fund, pursuant to the securities lending agreement, retained for the remainder of that calendar year 81% of securities lending income (which excludes collateral investment fees), and the amount retained could never be less than 70% of the total of securities lending income plus the collateral investment fees.
38 |
2 0 2 2 I S H A R E S 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 (continued)
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 year ended March 31, 2022, the Funds paid BTC the following amounts for securities lending agent services:
iShares ETF |
Fees Paid to BTC |
|||
Factors US Growth Style |
$ | 276 | ||
Factors US Value Style |
305 | |||
US Small Cap Value Factor |
1,232 |
Officers and Trustees: Certain officers and/or trustees of the Trust are officers and/or trustees of BlackRock or its affiliates.
Other Transactions: Cross trading is the buying or selling of portfolio securities between funds to which BFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter for compliance with the requirements and restrictions set forth by Rule 17a-7.
For the year ended March 31, 2022, transactions executed by the Funds pursuant to Rule 17a-7 under the 1940 Act were as follows:
iShares ETF | Purchases | Sales | Net Realized Gain (Loss) |
|||||||||
Factors US Value Style |
$ | 712,183 | $ | 1,226,284 | $ | 63,138 | ||||||
US Small Cap Value Factor |
83,191 | 1,062,600 | 149,923 |
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.
7. |
PURCHASES AND SALES |
For the year ended March 31, 2022, purchases and sales of investments, excluding short-term investments and in-kind transactions, were as follows:
iShares ETF | Purchases | Sales | ||||||
Factors US Growth Style |
$ | 6,076,940 | $ | 6,123,171 | ||||
Factors US Value Style |
7,637,734 | 7,564,593 | ||||||
US Small Cap Value Factor |
34,238,255 | 18,201,986 |
For the year ended March 31, 2022, in-kind transactions were as follows:
iShares ETF | In-kind Purchases |
In-kind Sales |
||||||
Factors US Growth Style |
$ | 16,707,200 | $ | 16,505,242 | ||||
Factors US Value Style |
13,106,822 | 13,110,752 | ||||||
US Small Cap Value Factor |
85,718,100 | 29,529,953 |
8. |
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 March 31, 2022, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.
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 (continued)
U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or NAV per share. As of March 31, 2022, permanent differences attributable to certain deemed distributions and realized gains (losses) from in-kind redemptions were reclassified to the following accounts:
iShares ETF | Paid-in Capital | Accumulated Earnings (Loss) |
||||||
Factors US Growth Style |
$ | 2,316,252 | $ | (2,316,252 | ) | |||
Factors US Value Style |
2,085,948 | (2,085,948 | ) | |||||
US Small Cap Value Factor |
7,158,994 | (7,158,994 | ) |
The tax character of distributions paid was as follows:
|
||||||||
iShares ETF |
Year Ended 03/31/22 |
Year Ended 03/31/21 |
||||||
|
||||||||
Factors
US Growth Style |
$ | 43,421 | $ | 43,655 | ||||
|
|
|
|
|||||
Factors
US Value Style |
$ | 173,963 | $ | 158,652 | ||||
|
|
|
|
|
||||||||
iShares ETF |
Year Ended 03/31/22 |
Period Ended 03/31/21 |
||||||
|
||||||||
US
Small Cap Value Factor |
$ | 3,383,522 | $ | 394,188 | ||||
|
|
|
|
As of March 31, 2022, the tax components of accumulated net earnings (losses) were as follows:
iShares ETF |
|
Undistributed Ordinary Income |
|
|
Non-expiring Capital Loss Carryforwards |
(a) |
|
Net Unrealized Gains (Losses) |
(b) |
|
Qualified Late-Year Losses |
(c) |
Total | |||||||
Factors US Growth Style |
$ | — | $ | — | $ | (751,181 | ) | $ | (141,237 | ) | $ | (892,418 | ) | |||||||
Factors US Value Style |
810 | — | (475,315 | ) | (141,103 | ) | (615,608 | ) | ||||||||||||
US Small Cap Value Factor |
298,277 | (539,143 | ) | 3,004,267 | — | 2,763,401 |
(a) |
Amounts available to offset future realized capital gains. |
(b) |
The difference between book-basis and tax-basis unrealized gains (losses) was attributable primarily to the tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains (losses) on certain futures contracts, accounting for swap agreements, timing and recognition of partnership income, characterization of corporate actions and the realization for tax purposes of unrealized gains on investments in passive foreign investment companies. |
(c) |
The Funds have elected to defer certain qualified late-year losses and recognize such losses in the next taxable year. |
For the year ended March 31, 2022, the Funds listed below utilized the following amounts of their respective capital loss carryforwards:
iShares ETF | Utilized | |||
Factors US Growth Style |
$ | 11,990 | ||
Factors US Value Style |
219,929 |
As of March 31, 2022, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
iShares ETF | Tax Cost |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
||||||||||||
Factors US Growth Style |
$ | 6,204,489 | $ | 110,182 | $ | (861,363 | ) | $ | (751,181 | ) | ||||||
Factors US Value Style |
7,833,730 | 208,116 | (683,431 | ) | (475,315 | ) | ||||||||||
US Small Cap Value Factor |
180,526,242 | 13,357,661 | (10,353,394 | ) | 3,004,267 |
9. |
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
40 |
2 0 2 2 I S H A R E S 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 (continued)
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.
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: An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. Although vaccines have been developed and approved for use by various governments, the duration of this pandemic and its effects cannot be determined with certainty.
Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A fund may invest in illiquid investments. An illiquid investment is any investment that a fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause a fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a fund may lose value, regardless of the individual results of the securities and other instruments in which a fund invests.
Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.
Certain Funds invest a significant portion of their assets in securities within a single or limited number of market sectors. When a Fund concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions affecting such sectors may have a significant impact on the fund and could affect the income from, or the value or liquidity of, the fund’s portfolio. Investment percentages in specific sectors 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 United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”). Although many LIBOR rates ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.
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 (continued)
10. |
CAPITAL SHARE TRANSACTIONS |
Capital shares are issued and redeemed by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”) at NAV. Except when aggregated in Creation Units, shares of each Fund are not redeemable.
Transactions in capital shares were as follows:
|
||||||||||||||||||||||
Year Ended 03/31/22 |
Year Ended 03/31/21 |
|||||||||||||||||||||
iShares ETF | Shares | Amount | Shares | Amount | ||||||||||||||||||
|
||||||||||||||||||||||
Factors US Growth Style |
||||||||||||||||||||||
Shares sold |
|
450,000 | $ | 16,814,770 | — | $ | — | |||||||||||||||
Shares redeemed |
(450,000 | ) | (16,647,022 | ) | (50,000 | ) | (1,416,764 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
Net increase (decrease) |
— | $ | 167,748 | (50,000 | ) | $ | (1,416,764 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
Factors US Value Style |
||||||||||||||||||||||
Shares sold |
450,000 | $ | 13,270,839 | 100,000 | $ | 1,668,542 | ||||||||||||||||
Shares redeemed |
(450,000 | ) | (13,208,334 | ) | (50,000 | ) | (1,053,563 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||
Net increase |
— | $ | 62,505 | 50,000 | $ | 614,979 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
||||||||||||||||
Year Ended 03/31/22 |
Period Ended 03/31/21 |
|||||||||||||||
|
|
|
|
|||||||||||||
iShares ETF | Shares | Amount | Shares | Amount | ||||||||||||
|
||||||||||||||||
US Small Cap Value Factor |
||||||||||||||||
Shares sold |
3,300,000 | $ | 103,708,907 | 5,400,000 | $ | 138,471,143 | ||||||||||
Shares redeemed |
(1,150,000 | ) | (35,483,786 | ) | (1,700,000 | ) | (41,669,897 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase |
2,150,000 | $ | 68,225,121 | 3,700,000 | $ | 96,801,246 | ||||||||||
|
|
|
|
|
|
|
|
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.
11. |
SUBSEQUENT EVENTS |
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
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2 0 2 2 I S H A R E S 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 |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of iShares Trust and
Shareholders of iShares Factors US Growth Style ETF, iShares Factors US Value Style ETF and iShares US
Small Cap Value Factor ETF
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of iShares Factors US Growth Style ETF, iShares Factors US Value Style ETF and iShares US Small Cap Value Factor ETF (three of the funds constituting iShares Trust, hereafter collectively referred to as the “Funds”) as of March 31, 2022, the related statements of operations and changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of March 31, 2022, the results of each of their operations and the changes in each of their net assets for each of the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
iShares Factors US Growth Style ETF and iShares Factors US Value Style ETF: statements of operations for the year ended March 31, 2022 and statements of changes in net assets for each of the two years in the period ended March 31, 2022.
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iShares US Small Cap Value Factor ETF: statement of operations for the year ended March 31, 2022 and statements of changes in net assets for the year ended March 31, 2022 and the period October 27, 2020 (commencement of operations) to March 31, 2021.
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Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of March 31, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
May 24, 2022
We have served as the auditor of one or more BlackRock investment companies since 2000.
R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M |
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Important Tax Information (unaudited) |
The following amounts, or maximum amounts allowable by law, are hereby designated as qualified dividend income for individuals for the fiscal year ended March 31, 2022:
iShares ETF |
Qualified Dividend Income |
|||
Factors US Growth Style |
$ | 45,508 | ||
Factors US Value Style |
173,131 | |||
US Small Cap Value Factor |
2,621,645 |
The following amounts, or maximum amounts allowable by law, are hereby designated as qualified business income for individuals for the fiscal year ended March 31, 2022:
iShares ETF |
Qualified Business Income |
|||
Factors US Value Style |
$ | 1,908 | ||
US Small Cap Value Factor |
52,373 |
The Funds hereby designate the following amounts, or maximum amounts allowable by law, as capital gain dividends, subject to a long-term capital gains tax rate as noted below, for the fiscal year ended March 31, 2022:
iShares ETF |
20% Rate Long-Term Capital Gain Dividends |
|||
Factors US Growth Style |
$ | 39,769 | ||
Factors US Value Style |
21,652 |
The following percentage, or maximum percentage allowable by law, of ordinary income distributions paid during the fiscal year ended March 31, 2022 qualified for the dividends-received deduction for corporate shareholders:
iShares ETF |
Dividends-Received Deduction |
|||
Factors US Growth Style |
100.00 | % | ||
Factors US Value Style |
98.82 | % | ||
US Small Cap Value Factor |
88.50 | % |
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Statement Regarding Liquidity Risk Management Program (unaudited) |
In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), iShares Trust (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) for iShares Factors US Growth Style ETF, iShares Factors US Value Style ETF and iShares US Small Cap Value Factor ETF (the “Funds” or “ETFs”), each a series of the Trust, which is reasonably designed to assess and manage each Fund’s liquidity risk.
The Board of Trustees (the “Board”) of the Trust, on behalf of the Funds, met on December 9, 2021 (the “Meeting”) to review the Program. The Board previously appointed BlackRock Fund Advisors (“BlackRock”), the investment adviser to the Funds, as the program administrator for each Fund’s Program. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the “Committee”). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of each Fund’s Highly Liquid Investment Minimum (“HLIM”) where applicable, and any material changes to the Program (the “Report”). The Report covered the period from October 1, 2020 through September 30, 2021 (the “Program Reporting Period”).
The Report described the Program’s liquidity classification methodology for categorizing each Fund’s investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish each Fund’s HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including extended market holidays and the imposition of capital controls in certain non-U.S. countries.
The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund’s liquidity risk, as follows:
a) |
The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed whether each Fund’s strategy is appropriate for an open-end fund structure, with a focus on funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Derivative exposure was also considered in the calculation of a fund’s liquidity bucketing. Finally, a factor for consideration under the Liquidity Rule is a Fund’s use of borrowings for investment purposes. However, the Funds do not borrow for investment purposes. |
b) |
Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish each ETF’s reasonably anticipated trading size (“RATS”). The Committee may also take into consideration a fund’s shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a fund’s distribution channels, and the degree of certainty associated with a fund’s short-term and long-term cash flow projections. |
c) |
Holdings of cash and cash equivalents, as well as borrowing arrangements. The Committee considered that ETFs generally do not hold more than de minimis amounts of cash. While the ETFs generally do not engage in borrowing, certain of the ETFs have the flexibility to draw on a line of credit to meet redemption requests or facilitate settlements. |
d) |
The relationship between an ETF’s portfolio liquidity and the way in which, and the prices and spreads at which, ETF shares trade, including the efficiency of the arbitrage function and the level of active participation by market participants, including authorized participants. The Committee monitored the prevailing bid/ask spread and the ETF price premium (or discount) to NAV for all ETFs and reviewed any persistent deviations from long-term averages. |
e) |
The effect of the composition of baskets on the overall liquidity of an ETF’s portfolio. In reviewing the linkage between the composition of custom baskets accepted by an ETF and any significant change in the liquidity profile of such ETF, the Committee reviewed changes in the proportion of each ETF’s portfolio comprised of less liquid and illiquid holdings to determine if applicable thresholds were met requiring enhanced review. |
As part of BlackRock’s continuous review of the effectiveness of the Program, the Committee made the following material changes to the Program: (1) updates to certain model components in the Program’s methodology; and (2) certain iShares Funds entered into a $800 million credit agreement with a group of lenders that replaced a previous liquidity facility. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.
S T A T E M E N T R E G A R D I N G L I Q U I D I T Y R I S K M A N A G E M E N T P R O G R A M |
45 |
Supplemental Information (unaudited)
Regulation Regarding Derivatives
On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Funds will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.
Section 19(a) Notices
The amounts and sources of distributions reported are estimates and are being provided pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each Fund’s investment experience during the year and may be subject to changes based on tax regulations. Shareholders will receive a Form 1099-DIV each calendar year that will inform them how to report these distributions for federal income tax purposes.
March 31, 2022
Total Cumulative Distributions for the Fiscal Year |
% Breakdown of the Total Cumulative Distributions for the Fiscal Year |
|||||||||||||||||||||||||||||||||||
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iShares ETF |
Net Investment Income |
Net Realized Capital Gains |
Return of Capital |
Total Per Share |
Net Investment Income |
Net Realized Capital Gains |
Return of Capital |
Total Per Share |
||||||||||||||||||||||||||||
Factors US Growth Style(a) |
$ | 0.258513 | $ | — | $ | 0.000842 | $ | 0.259355 | 100 | % | — | % | 0 | %(b) | 100 | % | ||||||||||||||||||||
Factors US Value Style(a) |
0.652466 | — | 0.014196 | 0.666662 | 98 | — | 2 | 100 | ||||||||||||||||||||||||||||
US Small Cap Value Factor(a) |
0.716641 | — | 0.009371 | 0.726012 | 99 | — | 1 | 100 |
(a) |
The Fund estimates that it has distributed more than its net investment income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in the Fund is returned to the shareholder. A return of capital does not necessarily reflect the Fund’s investment performance and should not be confused with “yield” or “income”. When distributions exceed total return performance, the difference will incrementally reduce the Fund’s net asset value per share. |
(b) |
Rounds to less than 1%. |
Premium/Discount Information
Information on the Fund’s net asset value, market price, premiums and discounts, and bid-ask spreads can be found at iShares.com.
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Trustee and Officer Information
The Board of Trustees has responsibility for the overall management and operations of the Funds, including general supervision of the duties performed by BFA and other service providers. Each Trustee serves until he or she resigns, is removed, dies, retires or becomes incapacitated. Each officer shall hold office until his or her successor is elected and qualifies or until his or her death, resignation or removal. Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust are referred to as independent trustees (“Independent Trustees”).
The registered investment companies advised by BFA or its affiliates (the “BlackRock-advised Funds”) are organized into one complex of open-end equity, multi-asset, index and money market funds and ETFs (the “BlackRock Multi-Asset Complex”), one complex of closed-end funds and open-end non-index fixed-income funds (including ETFs) (the “BlackRock Fixed-Income Complex”) and one complex of ETFs (“Exchange-Traded Fund Complex”) (each, a “BlackRock Fund Complex”). Each Fund is included in the Exchange-Traded Fund Complex. Each Trustee also serves as a Director of iShares, Inc. and a Trustee of iShares U.S. ETF Trust and, as a result, oversees all of the funds within the Exchange-Traded Fund Complex, which consists of 378 funds as of March 31, 2022. With the exception of Robert S. Kapito, Salim Ramji and Charles Park, the address of each Trustee and officer is c/o BlackRock, Inc., 400 Howard Street, San Francisco, CA 94105. The address of Mr. Kapito, Mr. Ramji and Mr. Park is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52nd Street, New York, NY 10055. The Board has designated John E. Kerrigan as its Independent Board Chair. Additional information about the Funds’ Trustees and officers may be found in the Funds’ combined Statement of Additional Information, which is available without charge, upon request, by calling toll-free 1-800-iShares (1-800-474-2737).
Interested Trustees | ||||||
Name (Age) | Position(s) |
Principal Occupation(s) During the Past 5 Years |
Other Directorships Held by Trustee | |||
Robert S. Kapito(a) (65) |
Trustee (since 2009). |
President, BlackRock, Inc. (since 2006); Vice Chairman of BlackRock, Inc. and Head of BlackRock’s Portfolio Management Group (since its formation in 1998) and BlackRock, Inc.’s predecessor entities (since 1988); Trustee, University of Pennsylvania (since 2009); President of Board of Directors, Hope & Heroes Children’s Cancer Fund (since 2002). | Director of BlackRock, Inc. (since 2006); Director of iShares, Inc. (since 2009); Trustee of iShares U.S. ETF Trust (since 2011); Trustee of iShares Trust (since 2009). | |||
Salim Ramji(b) (51) |
Trustee (since 2019). |
Senior Managing Director, BlackRock, Inc. (since 2014); Global Head of BlackRock’s ETF and Index Investments Business (since 2019); Head of BlackRock’s U.S. Wealth Advisory Business (2015-2019); Global Head of Corporate Strategy, BlackRock, Inc. (2014-2015); Senior Partner, McKinsey & Company (2010-2014). | Director of iShares, Inc. (since 2019); Trustee of iShares U.S. ETF Trust (since 2019); Trustee of iShares Trust (since 2019). | |||
(a) Robert S. Kapito is deemed to be an “interested person” (as defined in the 1940 Act) of the Trust due to his affiliations with BlackRock, Inc. and its affiliates. (b) Salim Ramji is deemed to be an “interested person” (as defined in the 1940 Act) of the Trust due to his affiliations with BlackRock, Inc. and its affiliates. |
Independent Trustees | ||||||
Name (Age) | Position(s) |
Principal Occupation(s) During the Past 5 Years |
Other Directorships Held by Trustee | |||
John E. Kerrigan (66) |
Trustee (since 2005); Independent Board Chair (since 2022). | Chief Investment Officer, Santa Clara University (since 2002). | Director of iShares, Inc. (since 2005); Trustee of iShares U.S. ETF Trust (since 2011); Trustee of iShares Trust (since 2005); Independent Board Chair of iShares, Inc. and iShares Trust and iShares U.S. ETF Trust (since 2022). | |||
Jane D. Carlin (66) |
Trustee (since 2015); Risk Committee Chair (since 2016). | Consultant (since 2012); Member of the Audit Committee (2012-2018), Chair of the Nominating and Governance Committee (2017-2018) and Director of PHH Corporation (mortgage solutions) (2012-2018); Managing Director and Global Head of Financial Holding Company Governance & Assurance and the Global Head of Operational Risk Management of Morgan Stanley (2006-2012). | Director of iShares, Inc. (since 2015); Trustee of iShares U.S. ETF Trust (since 2015); Trustee of iShares Trust (since 2015); Member of the Audit Committee (since 2016), Chair of the Audit Committee (since 2020) and Director of The Hanover Insurance Group, Inc. (since 2016). | |||
Richard L. Fagnani (67) |
Trustee (since 2017); Audit Committee Chair (since 2019). | Partner, KPMG LLP (2002-2016). | Director of iShares, Inc. (since 2017); Trustee of iShares U.S. ETF Trust (since 2017); Trustee of iShares Trust (since 2017). |
T R U S T E E A N D O F F I C E R I N F O R M A T I O N |
47 |
Trustee and Officer Information (continued)
Independent Trustees (continued) | ||||||
Name (Age) | Position(s) |
Principal Occupation(s) During the Past 5 Years |
Other Directorships Held by Trustee | |||
Cecilia H. Herbert (73) |
Trustee (since 2005); Nominating and Governance and Equity Plus Committee Chairs (since 2022). | Chair of the Finance Committee (since 2019) and Trustee and Member of the Finance, Audit and Quality Committees of Stanford Health Care (since 2016); Trustee of WNET, New York’s public media company (since 2011) and Member of the Audit Committee (since 2018) and Investment Committee (since 2011); Chair (1994-2005) and Member (since 1992) of the Investment Committee, Archdiocese of San Francisco; Trustee of Forward Funds (14 portfolios) (2009-2018); Trustee of Salient MF Trust (4 portfolios) (2015-2018); Director (1998-2013) and President (2007-2011) of the Board of Directors, Catholic Charities CYO; Trustee (2002-2011) and Chair of the Finance and Investment Committee (2006-2010) of the Thacher School; Director of the Senior Center of Jackson Hole (since 2020). | Director of iShares, Inc. (since 2005); Trustee of iShares U.S. ETF Trust (since 2011); Trustee of iShares Trust (since 2005); Trustee of Thrivent Church Loan and Income Fund (since 2019). | |||
Drew E. Lawton (63) |
Trustee (since 2017); 15(c) Committee Chair (since 2017). | Senior Managing Director of New York Life Insurance Company (2010-2015). | Director of iShares, Inc. (since 2017); Trustee of iShares U.S. ETF Trust (since 2017); Trustee of iShares Trust (since 2017). | |||
John E. Martinez (60) |
Trustee (since 2003); Securities Lending Committee Chair (since 2019). | Director of Real Estate Equity Exchange, Inc. (since 2005); Director of Cloudera Foundation (2017-2020); and Director of Reading Partners (2012-2016). | Director of iShares, Inc. (since 2003); Trustee of iShares U.S. ETF Trust (since 2011); Trustee of iShares Trust (since 2003). | |||
Madhav V. Rajan (57) |
Trustee (since 2011); Fixed Income Plus Committee Chair (since 2019). | Dean, and George Pratt Shultz Professor of Accounting, University of Chicago Booth School of Business (since 2017); Advisory Board Member (since 2016) and Director (since 2020) of C.M. Capital Corporation; Chair of the Board for the Center for Research in Security Prices, LLC (since 2020); Robert K. Jaedicke Professor of Accounting, Stanford University Graduate School of Business (2001-2017); Professor of Law (by courtesy), Stanford Law School (2005-2017); Senior Associate Dean for Academic Affairs and Head of MBA Program, Stanford University Graduate School of Business (2010-2016). | Director of iShares, Inc. (since 2011); Trustee of iShares U.S. ETF Trust (since 2011); Trustee of iShares Trust (since 2011). |
Officers | ||||
Name (Age) | Position(s) |
Principal Occupation(s) During the Past 5 Years | ||
Armando Senra (50) | President (since 2019). | Managing Director, BlackRock, Inc. (since 2007); Head of U.S., Canada and Latam iShares, BlackRock, Inc. (since 2019); Head of Latin America Region, BlackRock, Inc. (2006-2019); Managing Director, Bank of America Merrill Lynch (1994-2006). | ||
Trent Walker (47) |
Treasurer and Chief Financial Officer (since 2020). | Managing Director, BlackRock, Inc. (since September 2019); Chief Financial Officer of iShares Delaware Trust Sponsor LLC, BlackRock Funds, BlackRock Funds II, BlackRock Funds IV, BlackRock Funds V and BlackRock Funds VI (since 2021); Executive Vice President of PIMCO (2016-2019); Senior Vice President of PIMCO (2008-2015); Treasurer (2013-2019) and Assistant Treasurer (2007-2017) of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds. | ||
Charles Park (54) |
Chief Compliance Officer (iShares, Inc. and iShares Trust, since 2006; iShares U.S. ETF Trust, since 2011). | Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex (since 2014); Chief Compliance Officer of BFA (since 2006). | ||
Deepa Damre Smith (46) |
Secretary (since 2019). | Managing Director, BlackRock, Inc. (since 2014); Director, BlackRock, Inc. (2009-2013). | ||
Rachel Aguirre (39) |
Executive Vice President (since 2022). | Managing Director, BlackRock, Inc. (since 2018); Director, BlackRock, Inc. (2009-2018); Head of U.S. iShares Product (since 2022); Head of EII U.S. Product Engineering (since 2021); Co-Head of EII’s Americas Portfolio Engineering (2020-2021); Head of Developed Markets Portfolio Engineering 2021); Head of Developed Markets Portfolio Engineering (2016-2019). | ||
Jennifer Hsui (45) |
Executive Vice President (since 2022). | Managing Director, BlackRock, Inc. (since 2009); Co-Head of Index Equity (since 2022). |
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Trustee and Officer Information (continued)
Officers (continued) | ||||
Name (Age) | Position(s) |
Principal Occupation(s) During the Past 5 Years | ||
James Mauro (51) |
Executive Vice President (since 2021). | Managing Director, BlackRock, Inc. (since 2010); Head of Fixed Income Index Investments in the Americas and Head of San Francisco Core Portfolio Management (since 2020). |
Effective March 18, 2022, Rachel Aguirre, Jennifer Hsui, and James Mauro have replaced Scott Radell, Alan Mason, and Marybeth Leithead as Executive Vice Presidents.
T R U S T E E A N D O F F I C E R I N F O R M A T I O N |
49 |
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 Abbreviations - Equity | ||
NVS | Non-Voting Shares | |
REIT | Real Estate Investment Trust |
G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T |
51 |
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 FTSE Russell, nor does this company make any representation regarding the advisability of investing in the iShares Funds. BlackRock is not affiliated with the company listed above.
©2022 BlackRock, Inc. All rights reserved. iSHARES and BLACKROCK are registered trademarks of BlackRock, Inc. or its subsidiaries. All other marks are the property of their respective owners.
iS-AR-314-0322
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