LOGO

  SEPTEMBER 30, 2021

 

 

    

  

2021 Semi-Annual Report

(Unaudited)

 

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


The Markets in Review

Dear Shareholder,

The 12-month reporting period as of September 30, 2021 was a remarkable period of adaptation and recovery, as the global economy dealt with the implications of the coronavirus (or “COVID-19”) pandemic. The United States began the reporting period as the initial reopening-led economic rebound was beginning to slow. Nonetheless, the economy continued to grow at a brisk pace for the reporting period, eventually regaining the output lost from the pandemic.

Equity prices rose with the broader economy, as strong fiscal and monetary support, as well as the development of vaccines, made investors increasingly optimistic about the economic outlook. The implementation of mass vaccination campaigns and passage of two additional fiscal stimulus packages further boosted stocks, and many equity indices neared or surpassed all-time highs late in the reporting period. In the United States, returns of small-capitalization stocks, which benefited the most from the resumption of in-person activities, outpaced large-capitalization stocks. International equities also gained, as both developed and emerging markets continued to recover from the effects of the pandemic.

The 10-year U.S. Treasury yield (which is inversely related to bond prices) had fallen sharply prior to the beginning of the reporting period, which meant bonds were priced for extreme risk avoidance and economic disruption. Despite expectations of doom and gloom, the economy expanded rapidly, stoking inflation concerns in early 2021, which led to higher yields and a negative overall return for most U.S. Treasuries. In the corporate bond market, support from the U.S. Federal Reserve (the “Fed”) assuaged credit concerns and led to solid returns for high-yield corporate bonds, although investment-grade corporates declined slightly.

The Fed remained committed to accommodative monetary policy by maintaining near-zero interest rates and by reiterating that inflation could exceed its 2% target for a sustained period without triggering a rate increase. In response to rising inflation late in the period, the Fed changed its market guidance, raising the possibility of higher rates in 2022 and reducing bond purchasing beginning in late 2021.

Looking ahead, we believe that the global expansion will continue to broaden as Europe and other developed market economies gain momentum, although the delta variant of the coronavirus remains a threat, particularly in emerging markets. While we expect inflation to remain elevated in the medium-term as the expansion continues, we believe the recent uptick owes more to temporary supply disruptions than a lasting change in fundamentals. The change in Fed policy also means that moderate inflation is less likely to be followed by interest rate hikes that could threaten the economic expansion.

Overall, we favor a moderately positive stance toward risk, with an overweight in equities. Sectors that are better poised to manage the transition to a lower-carbon world, such as technology and health care, are particularly attractive in the long-term. U.S. small-capitalization stocks and European equities are likely to benefit from the continuing vaccine-led restart, while Chinese equities stand to gain from a more accommodative monetary and fiscal environment as the Chinese economy slows. We are underweight long-term credit, but inflation-protected U.S. Treasuries, Asian fixed income, and emerging market local-currency bonds offer potential opportunities. We believe that international diversification and a focus on sustainability can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments.

In this environment, our view is that investors need to think globally, extend their scope across a broad array of asset classes, and be nimble as market conditions change. We encourage you to talk with your financial advisor and visit iShares.com for further insight about investing in today’s markets.

Sincerely,

Trust

 

 


LOGO

Rob Kapito

President, BlackRock, Inc.

LOGO

Rob Kapito

President, BlackRock, Inc.

 

Total Returns as of September 30, 2021
     
       6-Month     12-Month
   

U.S. large cap equities

(S&P 500® Index)

    9.18%     30.00%
   

U.S. small cap equities

(Russell 2000® Index)

  (0.25)   47.68
   

International equities

(MSCI Europe, Australasia, Far East Index)

 

4.70

 

25.73

   

Emerging market equities

(MSCI Emerging Markets Index)

 

(3.45)

 

18.20

   

3-month Treasury bills

(ICE BofA 3-Month

U.S. Treasury Bill Index)

 

0.01

 

0.07

   

U.S. Treasury securities

(ICE BofA 10-Year

U.S. Treasury Index)

 

2.92

 

(6.22)

   

U.S. investment grade bonds

(Bloomberg U.S. Aggregate Bond Index)

 

1.88

 

(0.90)

   

Tax-exempt municipal bonds

(S&P Municipal Bond Index)

  1.24   2.71
   

U.S. high yield bonds

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

 

3.65

 

11.27

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

 

 

2  

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


Table of Contents

 

      Page  

The Markets in Review

     2  

Fund Summary

     4  

About Fund Performance

     7  

Shareholder Expenses

     7  

Schedules of Investments

     8  

Financial Statements

  

Statements of Assets and Liabilities

     22  

Statements of Operations

     23  

Statements of Changes in Net Assets

     24  

Financial Highlights

     26  

Notes to Financial Statements

     29  

Board Review and Approval of Investment Advisory Contract

     37  

Supplemental Information

     41  

General Information

     42  

Glossary of Terms Used in this Report

     43  

 

 

 


Fund Summary as of September 30, 2021    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  
     6 Months      1 Year      Since
Inception
           1 Year      Since
Inception
 

Fund NAV

    11.66      27.52      24.91       27.52      46.44

Fund Market

    11.68        27.40        24.97         27.40        46.57  

Index

    11.78        27.75        25.14               27.75        46.82  

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 7 for more information.

Expense Example

 

Actual

         

Hypothetical 5% Return

          

 

 

     

 

 

      
 

Beginning
Account Value
(04/01/21)
 
 
 
      

Ending
Account Value
(09/30/21)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
           

Beginning
Account Value
(04/01/21)
 
 
 
      

Ending
Account Value
(09/30/21)
 
 
 
      

Expenses
Paid During
the Period
 
 
 (a) 
      

Annualized
Expense
Ratio
 
 
 
$ 1,000.00        $ 1,116.60        $ 1.33             $ 1,000.00        $ 1,023.80        $ 1.27          0.25

 

  (a) 

Expenses are calculated using the Fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (183 days) and divided by the number of days in the year (365 days). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” on page 7 for more information.

 

Portfolio Information

 

ALLOCATION BY SECTOR

 

Sector    
Percent of
Total Investments
 
(a) 

Information Technology

    44.8

Consumer Discretionary

    21.0  

Health Care

    10.8  

Communication Services

    6.9  

Industrials

    4.9  

Financials

    4.8  

Materials

    3.6  

Consumer Staples

    3.2  

TEN LARGEST HOLDINGS

 

Security    
Percent of
Total Investments
 
(a) 

Apple Inc.

    11.9

Microsoft Corp.

    11.1  

Amazon.com Inc.

    6.3  

Facebook Inc., Class A

    2.7  

AbbVie Inc.

    2.1  

Louisiana-Pacific Corp.

    2.1  

Booz Allen Hamilton Holding Corp.

    2.0  

QUALCOMM Inc.

    2.0  

MSCI Inc.

    1.8  

NVIDIA Corp.

    1.8  
  (a) 

Excludes money market funds.

 

 

 

4  

2 0 2 1    H A R E S     E M I - A N N U A L    E P O R T     T O    H A R E H O L D E R S


Fund Summary as of September 30, 2021    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    
     6 Months      1 Year      Since
Inception
           1 Year      Since
Inception
 

Fund NAV

    4.95      38.24      10.51       38.24      18.70

Fund Market

    4.87        38.23        10.60         38.23        18.86  

Index

    5.01        38.56        10.70               38.56        19.00  

The inception date of the Fund was 1/14/20. The first day of secondary market trading was 1/16/20.

Certain sectors and markets performed exceptionally well based on market conditions during the one-year period. Achieving such exceptional returns involves the risk of volatility and investors should not expect that such exceptional returns will be repeated.

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 7 for more information.

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 

Beginning
Account Value
(04/01/21)
 
 
 
      

Ending
Account Value
(09/30/21)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
           

Beginning
Account Value
(04/01/21)
 
 
 
      

Ending
Account Value
(09/30/21)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
$ 1,000.00        $ 1,049.50        $ 1.28             $ 1,000.00        $ 1,023.80        $ 1.27          0.25

 

  (a) 

Expenses are calculated using the Fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (183 days) and divided by the number of days in the year (365 days). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” on page 7 for more information.

 

Portfolio Information

 

ALLOCATION BY SECTOR

 

Sector    
Percent of
Total Investments
 
(a) 

Financials

    24.1

Health Care

    15.3  

Information Technology

    13.7  

Consumer Staples

    10.3  

Industrials

    9.3  

Consumer Discretionary

    9.2  

Materials

    4.6  

Communication Services

    4.3  

Utilities

    3.4  

Energy

    3.0  

Real Estate

    2.8  

TEN LARGEST HOLDINGS

 

Security    
Percent of
Total Investments
 
(a) 

Johnson & Johnson

    2.8

Merck & Co. Inc.

    2.8  

Jefferies Financial Group Inc.

    2.2  

Evercore Inc., Class A

    2.1  

Verizon Communications Inc.

    1.9  

Otis Worldwide Corp.

    1.8  

Louisiana-Pacific Corp.

    1.7  

Walmart Inc.

    1.7  

Procter & Gamble Co. (The)

    1.7  

Lazard Ltd., Class A

    1.7  

 

  (a) 

Excludes money market funds.

 

 

 

U N D    U M M A R Y

  5


Fund Summary as of September 30, 2021    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

 

              Cumulative Total Returns  
     6 Months     Since
Inception
 

Fund NAV

    (0.68 )%      55.98

Fund Market

    (0.85     56.08  

Index

    (0.55     56.77  

The inception date of the Fund was 10/27/20. The first day of secondary market trading was 10/29/20.

Certain sectors and markets performed exceptionally well based on market conditions since the Fund commenced operations. Achieving such exceptional returns involves the risk of volatility and investors should not expect that such exceptional returns will be repeated.

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 7 for more information.

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 

Beginning
Account Value
(04/01/21)
 
 
 
      

Ending
Account Value
(09/30/21)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
           

Beginning
Account Value
(04/01/21)
 
 
 
      

Ending
Account Value
(09/30/21)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
$ 1,000.00        $ 993.20        $ 1.00             $ 1,000.00        $ 1,024.10        $ 1.01          0.20

 

  (a) 

Expenses are calculated using the Fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (183 days) and divided by the number of days in the year (365 days). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” on page 7 for more information.

 

Portfolio Information

 

ALLOCATION BY SECTOR

 

Sector    
Percent of
Total Investments
 
(a) 

Financials

    43.8

Industrials

    20.2  

Consumer Discretionary

    11.0  

Materials

    7.4  

Information Technology

    5.4  

Energy

    3.8  

Real Estate

    3.8  

Utilities

    1.8  

Health Care

    1.3  

Consumer Staples

    1.1  

Communication Services

    0.4  

 

  (a) 

Excludes money market funds.

 

TEN LARGEST HOLDINGS

 

Security    
Percent of
Total Investments
 
(a) 

Customers Bancorp. Inc.

    1.0

Dime Community Bancshares Inc.

    1.0  

Triumph Bancorp. Inc.

    0.8  

Movado Group Inc.

    0.8  

Funko Inc., Class A

    0.8  

AdvanSix Inc.

    0.8  

Clean Energy Fuels Corp.

    0.8  

MYR Group Inc.

    0.7  

Abercrombie & Fitch Co., Class A

    0.7  

Meta Financial Group Inc.

    0.7  

 

 

6  

2 0 2 1    H A R E S     E M I - A N N U A L    E P O R T     T O    H A R E H O L D E R S


About Fund Performance

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

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

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

Shareholder Expenses

As a shareholder of your Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of fund shares and (2) ongoing costs, including management fees and other fund expenses. The expense example, which is based on an investment of $1,000 invested at the beginning of the period (or from the commencement of operations if less than 6 months) and held through the end of the period, is intended to help you understand your ongoing costs (in dollars and cents) of investing in your Fund and to compare these costs with the ongoing costs of investing in other funds.

Actual Expenses – The table provides information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. To estimate the expenses that you paid on your account over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period.”

Hypothetical Example for Comparison Purposes – The table also provides information about hypothetical account values and hypothetical expenses based on your Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions and other fees paid on purchases and sales of fund shares. Therefore, the hypothetical examples are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

 

 

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

  7


Schedule of Investments (unaudited) 

September 30, 2021

  

iShares® Factors US Growth Style ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

Common Stocks

 

Air Freight & Logistics — 1.6%  

Expeditors International of Washington Inc.

    319     $ 38,002  

FedEx Corp.

    85       18,640  

United Parcel Service Inc., Class B

    160       29,136  
   

 

 

 
      85,778  
Automobiles — 0.9%  

Tesla Inc.(a)

    66       51,182  
   

 

 

 
Beverages — 0.1%  

PepsiCo Inc.

    20       3,008  
   

 

 

 
Biotechnology — 3.8%  

AbbVie Inc.

    1,066       114,989  

Acceleron Pharma Inc.(a)

    34       5,851  

Amgen Inc.

    26       5,529  

Moderna Inc.(a)

    168       64,657  

Vertex Pharmaceuticals Inc.(a)

    64       11,609  
   

 

 

 
      202,635  
Building Products — 0.5%  

Carrier Global Corp.

    100       5,176  

Trane Technologies PLC

    57       9,841  

Trex Co. Inc.(a)

    118       12,028  
   

 

 

 
      27,045  
Capital Markets — 4.0%  

Goldman Sachs Group Inc. (The)

    141       53,302  

MSCI Inc.

    159       96,726  

S&P Global Inc.

    150       63,734  
   

 

 

 
      213,762  
Chemicals — 1.4%  

Chemours Co. (The)

    562       16,332  

Scotts Miracle-Gro Co. (The)

    409       59,861  
   

 

 

 
      76,193  
Communications Equipment — 0.5%  

Arista Networks Inc.(a)

    11       3,780  

Ubiquiti Inc.

    76       22,699  
   

 

 

 
      26,479  
Consumer Finance — 0.9%  

Synchrony Financial

    535       26,151  

Upstart Holdings Inc.(a)

    63       19,936  
   

 

 

 
      46,087  
Containers & Packaging — 0.1%  

Sealed Air Corp.

    101       5,534  
   

 

 

 
Distributors — 0.4%            

Pool Corp.

    51       22,155  
   

 

 

 
Electrical Equipment — 0.0%  

Generac Holdings Inc.(a)

    1       409  
   

 

 

 
Electronic Equipment, Instruments & Components — 0.7%  

Vontier Corp.

    283       9,509  

Zebra Technologies Corp., Class A(a)

    56       28,863  
   

 

 

 
      38,372  
Entertainment — 1.1%  

Playtika Holding Corp.(a)

    1,750       48,353  

Take-Two Interactive Software Inc.(a)

    59       9,090  
   

 

 

 
      57,443  
Food & Staples Retailing — 1.6%  

Costco Wholesale Corp.

    197       88,522  
   

 

 

 
Security   Shares     Value  
Food Products — 0.3%  

Hershey Co. (The)

    96     $ 16,248  
   

 

 

 
Health Care Equipment & Supplies — 0.9%  

Align Technology Inc.(a)

    18       11,978  

IDEXX Laboratories Inc.(a)

    61       37,936  
   

 

 

 
      49,914  
Health Care Providers & Services — 2.6%  

Amedisys Inc.(a)

    78       11,630  

Chemed Corp.

    60       27,907  

DaVita Inc.(a)

    279       32,437  

HCA Healthcare Inc.

    166       40,291  

McKesson Corp.

    80       15,950  

Molina Healthcare Inc.(a)

    48       13,023  
   

 

 

 
      141,238  
Health Care Technology — 0.3%  

Veeva Systems Inc., Class A(a)

    50       14,409  
   

 

 

 
Hotels, Restaurants & Leisure — 1.5%  

Domino’s Pizza Inc.

    119       56,758  

Yum! Brands Inc.

    217       26,542  
   

 

 

 
      83,300  
Household Durables — 0.7%  

Tempur Sealy International Inc.

    296       13,737  

TopBuild Corp.(a)

    121       24,782  
   

 

 

 
      38,519  
Household Products — 0.1%  

Clorox Co. (The)

    36       5,962  
   

 

 

 
Interactive Media & Services — 5.9%  

Alphabet Inc., Class A(a)

    35       93,573  

Alphabet Inc., Class C, NVS(a)

    28       74,629  

Facebook Inc., Class A(a)

    422       143,222  

Match Group Inc.(a)

    34       5,338  
   

 

 

 
      316,762  
Internet & Direct Marketing Retail — 7.8%  

Amazon.com Inc.(a)

    103       338,359  

eBay Inc.

    604       42,081  

Wayfair Inc., Class A(a)(b)

    162       41,392  
   

 

 

 
      421,832  
IT Services — 0.4%  

Mastercard Inc., Class A

    22       7,649  

PayPal Holdings Inc.(a)

    24       6,245  

Visa Inc., Class A

    30       6,683  
   

 

 

 
      20,577  
Life Sciences Tools & Services — 1.5%  

Maravai LifeSciences Holdings Inc., Class A(a)

    224       10,994  

Mettler-Toledo International Inc.(a)

    36       49,585  

Sotera Health Co.(a)

    829       21,678  
   

 

 

 
      82,257  
Machinery — 0.5%  

AGCO Corp.

    194       23,771  

Graco Inc.

    12       839  
   

 

 

 
      24,610  
Multiline Retail — 2.1%  

Dollar General Corp.

    88       18,668  

Nordstrom Inc.(a)

    352       9,310  

Target Corp.

    367       83,959  
   

 

 

 
      111,937  

 

 

8  

2 0 2 1    H A R E S     E M I - A N N U A L    E P O R T     T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

September 30, 2021

  

iShares® Factors US Growth Style ETF

    (Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Paper & Forest Products — 2.1%  

Louisiana-Pacific Corp.

    1,821     $ 111,755  
   

 

 

 
Personal Products — 1.1%            

Estee Lauder Companies Inc. (The), Class A

    19       5,699  

Herbalife Nutrition Ltd.(a)

    1,251       53,017  
   

 

 

 
      58,716  
Pharmaceuticals — 1.7%            

Eli Lilly & Co.

    233       53,835  

Royalty Pharma PLC, Class A

    988       35,706  

Zoetis Inc.

    5       971  
   

 

 

 
      90,512  
Professional Services — 2.0%            

Booz Allen Hamilton Holding Corp.

    1,355       107,519  
   

 

 

 
Road & Rail — 0.3%            

Old Dominion Freight Line Inc.

    64       18,303  
   

 

 

 
Semiconductors & Semiconductor Equipment — 5.8%  

Allegro MicroSystems Inc.(a)

    402       12,848  

Applied Materials Inc.

    110       14,160  

Broadcom Inc.

    4       1,940  

KLA Corp.

    48       16,056  

NVIDIA Corp.

    464       96,122  

QUALCOMM Inc.

    828       106,795  

Teradyne Inc.

    269       29,367  

Texas Instruments Inc.

    184       35,367  
   

 

 

 
      312,655  
Software — 24.8%            

Adobe Inc.(a)

    114       65,632  

Aspen Technology Inc.(a)

    385       47,278  

Atlassian Corp. PLC, Class A(a)

    225       88,070  

Cadence Design Systems Inc.(a)

    410       62,090  

Citrix Systems Inc.

    284       30,493  

Crowdstrike Holdings Inc., Class A(a)

    308       75,700  

Dropbox Inc., Class A(a)

    440       12,857  

Fair Isaac Corp.(a)

    136       54,118  

Fortinet Inc.(a)

    248       72,426  

HubSpot Inc.(a)

    87       58,820  

Intuit Inc.

    60       32,371  

Manhattan Associates Inc.(a)

    361       55,244  

McAfee Corp., Class A

    753       16,649  

Microsoft Corp.

    2,132       601,053  

NortonLifeLock Inc.

    333       8,425  

Oracle Corp.

    186       16,206  

ServiceNow Inc.(a)

    16       9,956  

Synopsys Inc.(a)

    52       15,569  

Teradata Corp.(a)

    36       2,065  

Zoom Video Communications Inc., Class A(a)

    15       3,923  
Security   Shares     Value  
Software (continued)            

Zscaler Inc.(a)

    41     $ 10,751  
   

 

 

 
      1,339,696  
Specialty Retail — 5.2%            

AutoZone Inc.(a)

    8       13,584  

Bath & Body Works Inc.

    27       1,702  

Best Buy Co. Inc.

    251       26,533  

Home Depot Inc. (The)

    247       81,080  

Leslie’s Inc.(a)

    1,829       37,568  

Lowe’s Companies Inc.

    150       30,429  

O’Reilly Automotive Inc.(a)

    3       1,833  

Victoria’s Secret & Co.(a)

    796       43,987  

Williams-Sonoma Inc.

    262       46,460  
   

 

 

 
      283,176  
Technology Hardware, Storage & Peripherals — 12.5%  

Apple Inc.

    4,529       640,853  

HP Inc.

    988       27,032  

NetApp Inc.

    104       9,335  
   

 

 

 
      677,220  
Textiles, Apparel & Luxury Goods — 2.2%            

Columbia Sportswear Co.

    216       20,701  

Deckers Outdoor Corp.(a)

    192       69,158  

Nike Inc., Class B

    202       29,337  
   

 

 

 
      119,196  
   

 

 

 

Total Common Stocks — 99.9%
(Cost: $5,444,457)

      5,390,917  
   

 

 

 

Short-Term Investments

   
Money Market Funds — 0.4%            

BlackRock Cash Funds: Institutional, SL Agency Shares, 0.05%(c)(d)(e)

    19,882       19,892  
   

 

 

 

Total Short-Term Investments — 0.4%
(Cost: $19,892)

      19,892  
   

 

 

 

Total Investments in Securities — 100.3%
(Cost: $5,464,349)

      5,410,809  

Other Assets, Less Liabilities — (0.3)%

      (13,724
   

 

 

 

Net Assets — 100.0%

    $ 5,397,085  
   

 

 

 

 

(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.

 

 

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

  9


Schedule of Investments (unaudited) (continued)

September 30, 2021

  

iShares® Factors US Growth Style ETF

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended September 30, 2021 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
09/30/21
     Shares
Held at
09/30/21
     Income      Capital
Gain
Distributions
from
Underlying
Funds
 

BlackRock Cash Funds: Institutional,
SL Agency Shares

   $ 127,035      $      $ (107,144 )(a)     $ 1      $      $ 19,892        19,882      $ 736 (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

   $ 5,390,917        $        $        $ 5,390,917  

Money Market Funds

     19,892                            19,892  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 5,410,809        $             —        $             —        $ 5,410,809  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

10  

2 0 2 1    H A R E S     E M I - A N N U A L    E P O R T    T O     H A R E H O L D E R S


Schedule of Investments (unaudited)

September 30, 2021

  

iShares® Factors US Value Style ETF

(Percentages shown are based on Net Assets)

 

Security   Shares      Value  

Common Stocks

    
Aerospace & Defense — 0.5%             

Lockheed Martin Corp.

    25      $ 8,627  

Northrop Grumman Corp.

    84        30,253  
    

 

 

 
              38,880  
Air Freight & Logistics — 1.1%             

Expeditors International of Washington Inc.

    470        55,991  

FedEx Corp.

    91        19,955  
    

 

 

 
       75,946  
Banks — 1.4%             

Popular Inc.

    1,273        98,874  

Regions Financial Corp.

    129        2,749  
    

 

 

 
       101,623  
Biotechnology — 1.8%             

Amgen Inc.

    252        53,588  

Biogen Inc.(a)

    92        26,035  

Gilead Sciences Inc.

    688        48,057  
    

 

 

 
       127,680  
Building Products — 1.3%             

Lennox International Inc.

    213        62,658  

Masco Corp.

    555        30,830  

Trane Technologies PLC

    9        1,554  
    

 

 

 
       95,042  
Capital Markets — 10.4%             

Ameriprise Financial Inc.

    53        13,998  

Evercore Inc., Class A

    1,091        145,834  

Franklin Resources Inc.

    667        19,823  

Goldman Sachs Group Inc. (The)

    234        88,459  

Jefferies Financial Group Inc.

    4,144        153,867  

Lazard Ltd., Class A

    2,594        118,805  

Morgan Stanley

    141        13,721  

MSCI Inc.

    46        27,984  

Northern Trust Corp.

    43        4,636  

Raymond James Financial Inc.

    295        27,222  

State Street Corp.

    469        39,734  

Stifel Financial Corp.

    668        45,397  

Virtu Financial Inc., Class A

    1,697        41,458  
    

 

 

 
       740,938  
Commercial Services & Supplies — 0.6%             

ADT Inc.

    157        1,270  

Republic Services Inc.

    152        18,249  

Waste Management Inc.

    172        25,690  
    

 

 

 
       45,209  
Communications Equipment — 2.5%             

Ciena Corp.(a)

    30        1,541  

Cisco Systems Inc.

    1,243        67,656  

Juniper Networks Inc.

    153        4,211  

Lumentum Holdings Inc.(a)

    8        668  

Motorola Solutions Inc.

    258        59,939  

Ubiquiti Inc.

    151        45,099  
    

 

 

 
       179,114  
Consumer Finance — 3.5%             

Ally Financial Inc.

    1,996        101,896  

Capital One Financial Corp.

    252        40,816  

OneMain Holdings Inc.

    1,101        60,918  

Synchrony Financial

    917        44,823  
    

 

 

 
       248,453  
Security   Shares      Value  
Containers & Packaging — 1.5%             

Amcor PLC

    4,862      $ 56,351  

Avery Dennison Corp.

    47        9,739  

Graphic Packaging Holding Co.

    289        5,502  

Sealed Air Corp.

    405        22,190  

Silgan Holdings Inc.

    414        15,881  
    

 

 

 
            109,663  
Diversified Consumer Services — 0.5%             

H&R Block Inc.

    1,409        35,225  
    

 

 

 
Diversified Financial Services — 0.6%             

Equitable Holdings Inc.

    370        10,967  

Voya Financial Inc.

    517        31,738  
    

 

 

 
       42,705  
Diversified Telecommunication Services — 3.3%  

AT&T Inc.

    1,963        53,021  

Lumen Technologies Inc.

    3,859        47,813  

Verizon Communications Inc.

    2,499        134,971  
    

 

 

 
       235,805  
Electric Utilities — 2.1%             

Duke Energy Corp.

    129        12,589  

Entergy Corp.

    333        33,070  

FirstEnergy Corp.

    226        8,050  

Hawaiian Electric Industries Inc.

    1,299        53,038  

IDACORP Inc.

    62        6,410  

NRG Energy Inc.

    470        19,190  

Pinnacle West Capital Corp.

    198        14,328  

Xcel Energy Inc.

    6        375  
    

 

 

 
       147,050  
Electrical Equipment — 0.5%             

nVent Electric PLC

    1,197        38,699  
    

 

 

 
Electronic Equipment, Instruments & Components — 0.7%  

Avnet Inc.

    505        18,670  

Jabil Inc.

    157        9,164  

Vontier Corp.

    578        19,421  
    

 

 

 
       47,255  
Entertainment — 0.3%             

Activision Blizzard Inc.

    10        774  

Take-Two Interactive Software Inc.(a)

    110        16,948  
    

 

 

 
       17,722  
Equity Real Estate Investment Trusts (REITs) — 2.8%  

Brixmor Property Group Inc.

    464        10,259  

Equity Residential

    116        9,387  

Public Storage

    5        1,485  

SBA Communications Corp.

    72        23,801  

SL Green Realty Corp.

    1,190        84,300  

VEREIT Inc.

    1,517        68,614  
    

 

 

 
       197,846  
Food & Staples Retailing — 4.5%             

Albertsons Companies Inc., Class A

    3,122        97,188  

Costco Wholesale Corp.

    48        21,569  

Kroger Co. (The)

    1,764        71,319  

Walgreens Boots Alliance Inc.

    142        6,681  

Walmart Inc.

    864        120,424  
    

 

 

 
       317,181  
Food Products — 1.0%             

Campbell Soup Co.

    384        16,055  

Flowers Foods Inc.

    1,852        43,763  

Hershey Co. (The)

    9        1,523  

 

 

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

  11


Schedule of Investments (unaudited) (continued)

September 30, 2021

  

iShares® Factors US Value Style ETF

(Percentages shown are based on Net Assets)

 

Security   Shares      Value  
Food Products (continued)             

JM Smucker Co. (The)

    102      $ 12,243  
    

 

 

 
       73,584  
Gas Utilities — 0.0%             

National Fuel Gas Co.

    48        2,521  
    

 

 

 
Health Care Equipment & Supplies — 0.6%             

Abbott Laboratories

    56        6,615  

Danaher Corp.

    45        13,700  

DENTSPLY SIRONA Inc.

    180        10,449  

Hologic Inc.(a)(b)

    71        5,241  

Medtronic PLC

    40        5,014  
    

 

 

 
       41,019  
Health Care Providers & Services — 2.8%             

Amedisys Inc.(a)

    75        11,183  

Cardinal Health Inc.

    244        12,068  

Chemed Corp.

    18        8,372  

CVS Health Corp.

    659        55,923  

DaVita Inc.(a)

    309        35,924  

Molina Healthcare Inc.(a)(b)

    81        21,976  

Signify Health Inc., Class A(a)

    2,006        35,847  

UnitedHealth Group Inc.

    46        17,974  

Universal Health Services Inc., Class B

    3        415  
    

 

 

 
       199,682  
Hotels, Restaurants & Leisure — 1.9%             

Domino’s Pizza Inc.

    94        44,835  

McDonald’s Corp.

    102        24,593  

Yum! Brands Inc.

    549        67,148  
    

 

 

 
       136,576  
Household Durables — 0.3%             

Newell Brands Inc.

    826        18,288  
    

 

 

 
Household Products — 2.4%             

Clorox Co. (The)

    15        2,484  

Colgate-Palmolive Co.

    101        7,634  

Kimberly-Clark Corp.

    332        43,970  

Procter & Gamble Co. (The)

    858        119,948  
    

 

 

 
       174,036  
Independent Power and Renewable Electricity Producers — 0.7%  

Vistra Corp.

    2,819        48,205  
    

 

 

 
Insurance — 7.9%             

Aflac Inc.

    681        35,501  

Allstate Corp. (The)

    560        71,294  

American Financial Group Inc./OH

    368        46,306  

Assurant Inc.

    95        14,986  

Assured Guaranty Ltd.

    485        22,703  

Athene Holding Ltd., Class A(a)

    300        20,661  

Brighthouse Financial Inc.(a)

    858        38,807  

CNA Financial Corp.

    516        21,651  

Everest Re Group Ltd.

    53        13,291  

Hanover Insurance Group Inc. (The)

    153        19,832  

Hartford Financial Services Group Inc. (The)

    441        30,980  

Loews Corp.

    301        16,233  

Mercury General Corp.

    832        46,318  

MetLife Inc.

    496        30,618  

Old Republic International Corp.

    263        6,083  

Primerica Inc.

    90        13,827  

Principal Financial Group Inc.

    261        16,808  

Unum Group

    1,462        36,638  
Security   Shares      Value  
Insurance (continued)             

White Mountains Insurance Group Ltd.(b)

    58      $ 62,037  
    

 

 

 
       564,574  
Internet & Direct Marketing Retail — 1.1%             

Qurate Retail Inc., Series A

    4,019        40,954  

Wayfair Inc., Class A(a)(b)

    140        35,771  
    

 

 

 
       76,725  
IT Services — 1.8%             

Akamai Technologies Inc.(a)

    6        627  

Concentrix Corp.(a)

    68        12,036  

International Business Machines Corp.

    15        2,084  

Paychex Inc.

    153        17,205  

VeriSign Inc.(a)

    278        56,993  

Western Union Co. (The)

    1,818        36,760  
    

 

 

 
       125,705  
Leisure Products — 0.1%             

Hasbro Inc.

    102        9,100  
    

 

 

 
Life Sciences Tools & Services — 0.4%             

Thermo Fisher Scientific Inc.

    52        29,709  
    

 

 

 
Machinery — 2.9%             

AGCO Corp.

    93        11,395  

Allison Transmission Holdings Inc.

    854        30,163  

Dover Corp.

    89        13,840  

Illinois Tool Works Inc.

    55        11,365  

Otis Worldwide Corp.

    1,573        129,426  

Pentair PLC

    106        7,699  
    

 

 

 
       203,888  
Media — 0.7%             

Altice USA Inc., Class A(a)

    285        5,905  

Comcast Corp., Class A

    576        32,216  

News Corp., Class B

    18        418  

Omnicom Group Inc.

    119        8,623  

Sirius XM Holdings Inc.

    120        732  
    

 

 

 
       47,894  
Metals & Mining — 1.3%             

Alcoa Corp.(a)

    624        30,539  

Reliance Steel & Aluminum Co.

    441        62,807  

Steel Dynamics Inc.

    8        468  
    

 

 

 
       93,814  
Multi-Utilities — 0.6%             

Ameren Corp.

    381        30,861  

CMS Energy Corp.

    14        836  

Consolidated Edison Inc.

    52        3,775  

DTE Energy Co.

    49        5,474  

WEC Energy Group Inc.

    17        1,499  
    

 

 

 
       42,445  
Multiline Retail — 1.1%             

Kohl’s Corp.

    15        706  

Target Corp.

    327        74,808  
    

 

 

 
       75,514  
Oil, Gas & Consumable Fuels — 3.0%             

Antero Midstream Corp.

    6,301        65,656  

Cabot Oil & Gas Corp.

    89        1,937  

Devon Energy Corp.

    1,002        35,581  

DTE Midstream LLC(a)

    2,353        108,803  
    

 

 

 
       211,977  

 

 

12  

2 0 2 1    H A R E S     E M I - A N N U A L    E P O R T     T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

September 30, 2021

  

iShares® Factors US Value Style ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Paper & Forest Products — 1.7%            

Louisiana-Pacific Corp.

    1,982     $     121,635  
   

 

 

 
Personal Products — 0.4%            

Herbalife Nutrition Ltd.(a)

    690       29,242  
   

 

 

 
Pharmaceuticals — 9.6%            

Bristol-Myers Squibb Co.

    1,765       104,435  

Eli Lilly & Co.

    182       42,051  

Johnson & Johnson

    1,216       196,384  

Merck & Co. Inc.

    2,610       196,037  

Organon & Co.

    1,010       33,118  

Pfizer Inc.

    2,339       100,601  

Royalty Pharma PLC, Class A

    338       12,215  
   

 

 

 
      684,841  
Professional Services — 1.7%  

Dun & Bradstreet Holdings Inc.(a)

    1,988       33,418  

FTI Consulting Inc.(a)

    476       64,117  

Leidos Holdings Inc.

    4       385  

ManpowerGroup Inc.

    37       4,006  

Robert Half International Inc.

    221       22,173  
   

 

 

 
      124,099  
Road & Rail — 0.2%  

Schneider National Inc., Class B

    557       12,666  
   

 

 

 
Semiconductors & Semiconductor Equipment — 2.0%  

Cirrus Logic Inc.(a)

    221       18,199  

Intel Corp.

    835       44,489  

Qorvo Inc.(a)

    161       26,918  

Texas Instruments Inc.

    281       54,011  
   

 

 

 
      143,617  
Software — 3.7%  

Citrix Systems Inc.

    639       68,610  

Manhattan Associates Inc.(a)

    204       31,218  

McAfee Corp., Class A

    1,919       42,429  

N-Able Inc.(a)

    7,198       89,327  

Oracle Corp.

    89       7,755  

Teradata Corp.(a)

    461       26,438  
   

 

 

 
      265,777  
Specialty Retail — 2.9%  

AutoNation Inc.(a)

    124       15,098  

AutoZone Inc.(a)

    9       15,282  

Bath & Body Works Inc.

    239       15,064  

Best Buy Co. Inc.

    371       39,219  

Dick’s Sporting Goods Inc.

    187       22,397  

Foot Locker Inc.

    26       1,187  

Leslie’s Inc.(a)

    692       14,214  

Victoria’s Secret & Co.(a)

    778       42,992  

Williams-Sonoma Inc.

    219       38,835  
   

 

 

 
      204,288  
Technology Hardware, Storage & Peripherals — 3.0%  

Hewlett Packard Enterprise Co.

    6,198       88,321  
Security   Shares      Value  
Technology Hardware, Storage & Peripherals (continued)  

HP Inc.

    1,505      $ 41,177  

NetApp Inc.

    287        25,761  

Xerox Holdings Corp.

    2,852        57,525  
    

 

 

 
       212,784  
Textiles, Apparel & Luxury Goods — 1.4%  

Carter’s Inc.

    25        2,431  

Columbia Sportswear Co.

    225        21,564  

Deckers Outdoor Corp.(a)

    159        57,272  

Ralph Lauren Corp.

    167        18,543  
    

 

 

 
       99,810  
Thrifts & Mortgage Finance — 0.2%  

New York Community Bancorp. Inc.

    560        7,207  

UWM Holdings Corp.

    659        4,580  
    

 

 

 
       11,787  
Tobacco — 1.9%  

Altria Group Inc.

    680        30,954  

Philip Morris International Inc.

    1,074        101,804  
    

 

 

 
       132,758  
Trading Companies & Distributors — 0.4%             

MSC Industrial Direct Co. Inc., Class A

    66        5,293  

WW Grainger Inc.

    55        21,618  
    

 

 

 
       26,911  
    

 

 

 

Total Common Stocks — 99.6%
(Cost: $6,801,784)

       7,087,507  
    

 

 

 

Short-Term Investments

 

Money Market Funds — 1.9%  

BlackRock Cash Funds: Institutional, SL Agency Shares, 0.05%(c)(d)(e)

    125,650        125,712  

BlackRock Cash Funds: Treasury, SL Agency Shares, 0.00%(c)(d)

    10,000        10,000  
    

 

 

 
       135,712  
    

 

 

 

Total Short-Term Investments — 1.9%
(Cost: $135,712)

       135,712  
    

 

 

 

Total Investments in Securities — 101.5% (Cost: $6,937,496)

       7,223,219  

Other Assets, Less Liabilities — (1.5)%

 

     (109,923
    

 

 

 

Net Assets — 100.0%

 

   $  7,113,292  
    

 

 

 

 

(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.

 

 

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

  13


Schedule of Investments (unaudited) (continued)

September 30, 2021

  

    iShares® Factors US Value Style ETF

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended September 30, 2021 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
09/30/21
     Shares
Held at
09/30/21
     Income     

Capital

Gain
Distributions
from
Underlying
Funds

 

BlackRock Cash Funds: Institutional, SL Agency Shares

   $ 178,136      $      $ (52,428 )(a)     $ 4      $      $ 125,712        125,650      $ 765 (b)     $  

BlackRock Cash Funds: Treasury, SL Agency Shares

            10,000 (a)                            10,000        10,000                
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 
            $ 4      $      $ 135,712         $ 765      $  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

  (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

   $ 7,087,507        $             —        $             —        $ 7,087,507  

Money Market Funds

     135,712                            135,712  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 7,223,219        $        $        $ 7,223,219  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

14  

2 0 2 1    H A R E S     E M I - A N N U A L    E P O R T     T O    H A R E H O L D E R S


Schedule of Investments (unaudited) 

September 30, 2021

  

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)

    9,719     $ 489,352  
   

 

 

 
Air Freight & Logistics — 0.3%  

Atlas Air Worldwide Holdings Inc.(a)(b)

    5,254       429,147  
   

 

 

 
Auto Components — 0.9%  

Dana Inc.

    26,154       581,665  

Modine Manufacturing Co.(a)

    46,390       525,599  
   

 

 

 
      1,107,264  
Banks — 30.3%  

1st Source Corp.

    10,428       492,619  

Allegiance Bancshares Inc.

    13,599       518,802  

Atlantic Union Bankshares Corp.

    14,968       551,571  

Banc of California Inc.

    31,439       581,307  

BancFirst Corp.

    6,939       417,173  

BancorpSouth Bank

    15,190       452,358  

Bank of NT Butterfield & Son Ltd. (The)

    14,592       518,162  

BankUnited Inc.

    13,964       583,974  

Brookline Bancorp. Inc.

    32,982       503,305  

Bryn Mawr Bank Corp.

    12,860       590,917  

Cathay General Bancorp.

    14,792       612,241  

Central Pacific Financial Corp.

    21,155       543,260  

City Holding Co.

    4,962       386,589  

Columbia Banking System Inc.

    12,867       488,817  

Community Trust Bancorp. Inc.

    11,628       489,539  

ConnectOne Bancorp. Inc.

    22,786       683,808  

CrossFirst Bankshares Inc.(a)

    37,748       490,724  

Customers Bancorp. Inc.(a)

    28,477       1,225,080  

CVB Financial Corp.

    18,715       381,225  

Dime Community Bancshares Inc.

    36,643       1,196,760  

Enterprise Financial Services Corp.

    11,729       531,089  

First BanCorp./Puerto Rico

    51,416       676,120  

First Bancshares Inc. (The)

    15,478       600,237  

First Busey Corp.

    20,134       495,900  

First Financial Bancorp.

    23,602       552,523  

First Financial Corp./IN

    10,194       428,658  

First Foundation Inc.

    24,544       645,507  

First Merchants Corp.

    13,810       577,810  

Flushing Financial Corp.

    30,469       688,599  

Fulton Financial Corp.

    34,284       523,859  

German American Bancorp. Inc.

    10,399       401,713  

Great Southern Bancorp. Inc.

    8,834       484,192  

Hancock Whitney Corp.

    16,992       800,663  

Hanmi Financial Corp.

    35,319       708,499  

Heritage Commerce Corp.

    48,060       558,938  

Heritage Financial Corp./WA

    16,794       428,247  

Home BancShares Inc./AR

    21,058       495,495  

Hope Bancorp Inc.

    37,856       546,641  

Horizon Bancorp Inc./IN

    31,698       575,953  

Independent Bank Corp.

    5,856       445,934  

Independent Bank Corp./MI

    25,445       546,559  

Independent Bank Group Inc.

    7,241       514,401  

Investors Bancorp. Inc.

    44,169       667,394  

Lakeland Bancorp. Inc.

    32,144       566,699  

Midland States Bancorp. Inc.

    25,396       628,043  

NBT Bancorp. Inc.

    11,523       416,211  

Nicolet Bankshares Inc.(a)

    5,846       433,656  

OFG Bancorp.

    23,161       584,120  

Old National Bancorp./IN

    22,227       376,748  
Security   Shares      Value  
Banks (continued)  

Pacific Premier Bancorp. Inc.

    14,511      $ 601,336  

Peoples Bancorp. Inc./OH

    16,756        529,657  

Preferred Bank/Los Angeles CA

    3,154        210,309  

S&T Bancorp. Inc.

    17,392        512,542  

Sandy Spring Bancorp. Inc.

    13,855        634,836  

Seacoast Banking Corp. of Florida

    16,000        540,960  

Simmons First National Corp., Class A

    17,689        522,887  

South State Corp.

    6,821        509,324  

Texas Capital Bancshares Inc.(a)

    9,367        562,207  

Tompkins Financial Corp.

    5,784        467,983  

Towne Bank/Portsmouth VA

    19,501        606,676  

TriCo Bancshares

    13,035        565,719  

TriState Capital Holdings Inc.(a)

    21,612        457,094  

Triumph Bancorp. Inc.(a)

    10,252        1,026,533  

Trustmark Corp.

    14,550        468,801  

United Bankshares Inc./WV

    15,189        552,576  

United Community Banks Inc./GA

    16,639        546,092  

Valley National Bancorp.

    47,131        627,314  

Washington Trust Bancorp. Inc.

    10,466        554,489  
    

 

 

 
       38,105,974  
Biotechnology — 0.4%  

Vanda Pharmaceuticals Inc.(a)

    33,110        567,505  
    

 

 

 
Building Products — 1.4%  

American Woodmark Corp.(a)

    3,283        214,610  

Apogee Enterprises Inc.

    15,562        587,621  

Insteel Industries Inc.

    17,529        666,978  

Quanex Building Products Corp.

    15,870        339,777  
    

 

 

 
       1,808,986  
Capital Markets — 2.0%  

BGC Partners Inc., Class A

    134,348        699,953  

Cowen Inc., Class A

    19,652        674,260  

Federated Hermes Inc.

    14,925        485,062  

Piper Sandler Cos.

    4,393        608,255  
    

 

 

 
       2,467,530  
Chemicals — 2.2%  

AdvanSix Inc.(a)

    25,088        997,248  

Avient Corp.

    12,347        572,283  

Ecovyst Inc.

    26,722        311,579  

HB Fuller Co.

    7,028        453,728  

Minerals Technologies Inc.

    6,428        448,931  
    

 

 

 
       2,783,769  
Commercial Services & Supplies — 4.0%  

ABM Industries Inc.

    8,796        395,908  

ACCO Brands Corp.

    55,164        473,859  

BrightView Holdings Inc.(a)

    28,912        426,741  

Herman Miller Inc.

    19,317        727,478  

HNI Corp.

    10,727        393,896  

Interface Inc.

    52,227        791,239  

KAR Auction Services Inc.(a)

    23,848        390,869  

Matthews International Corp., Class A

    14,277        495,269  

SP Plus Corp.(a)

    17,981        551,477  

Steelcase Inc., Class A

    31,678        401,677  
    

 

 

 
       5,048,413  
Communications Equipment — 0.8%  

Comtech Telecommunications Corp.

    22,844        585,035  

NetScout Systems Inc.(a)

    15,124        407,592  
    

 

 

 
       992,627  

 

 

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

  15


Schedule of Investments (unaudited) (continued)

September 30, 2021

  

iShares® US Small Cap Value Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Construction & Engineering — 2.5%  

Arcosa Inc.

    6,213     $ 311,706  

EMCOR Group Inc.

    4,916       567,208  

Great Lakes Dredge & Dock Corp.(a)(b)

    33,773       509,635  

MYR Group Inc.(a)

    8,743       869,929  

Primoris Services Corp.

    15,562       381,113  

Sterling Construction Co. Inc.(a)

    23,176       525,400  
   

 

 

 
      3,164,991  
Construction Materials — 0.5%  

Summit Materials Inc., Class A(a)

    19,544       624,822  
   

 

 

 
Consumer Finance — 0.8%  

EZCORP Inc., Class A, NVS(a)

    63,466       480,438  

World Acceptance Corp.(a)

    3,042       576,702  
   

 

 

 
      1,057,140  
Distributors — 0.8%  

Funko Inc., Class A(a)

    55,194       1,005,083  
   

 

 

 
Diversified Consumer Services — 0.3%  

Laureate Education Inc., Class A(a)

    24,308       412,993  
   

 

 

 
Electrical Equipment — 1.1%  

Encore Wire Corp.

    6,913       655,560  

Powell Industries Inc.

    11,150       273,955  

Thermon Group Holdings Inc.(a)

    28,470       492,816  
   

 

 

 
      1,422,331  
Electronic Equipment, Instruments & Components — 2.5%  

Benchmark Electronics Inc.

    15,843       423,167  

Insight Enterprises Inc.(a)

    5,766       519,401  

Knowles Corp.(a)

    21,593       404,653  

Methode Electronics Inc.

    11,325       476,216  

Sanmina Corp.(a)

    12,161       468,685  

TTM Technologies Inc.(a)

    29,391       369,445  

Vishay Intertechnology Inc.

    21,103       423,959  
   

 

 

 
      3,085,526  
Energy Equipment & Services — 1.3%  

National Energy Services Reunited Corp.(a)

    50,436       631,459  

RPC Inc.(a)

    120,922       587,681  

Solaris Oilfield Infrastructure Inc., Class A

    49,571       413,422  
   

 

 

 
      1,632,562  
Equity Real Estate Investment Trusts (REITs) — 3.5%  

Acadia Realty Trust

    30,392       620,301  

Columbia Property Trust Inc.

    29,317       557,609  

Kite Realty Group Trust

    27,696       563,891  

Piedmont Office Realty Trust Inc., Class A

    23,528       410,093  

Sabra Health Care REIT Inc.

    19,617       288,762  

SITE Centers Corp.

    44,508       687,203  

Summit Hotel Properties Inc.(a)

    61,733       594,489  

Xenia Hotels & Resorts Inc.(a)

    36,021       639,013  
   

 

 

 
      4,361,361  
Food & Staples Retailing — 0.8%  

Andersons Inc. (The)

    16,753       516,495  

SpartanNash Co.

    19,572       428,627  
   

 

 

 
      945,122  
Food Products — 0.4%  

Fresh Del Monte Produce Inc.

    14,036       452,240  
   

 

 

 
Gas Utilities — 0.5%  

Southwest Gas Holdings Inc.

    5,457       364,964  
Security   Shares     Value  
Gas Utilities (continued)  

Spire Inc.

    5,147     $ 314,893  
   

 

 

 
      679,857  
Health Care Providers & Services — 0.4%  

Select Medical Holdings Corp.

    15,521       561,394  
   

 

 

 
Household Durables — 2.7%  

Century Communities Inc.

    7,542       463,456  

Ethan Allen Interiors Inc.

    25,237       598,117  

Hooker Furniture Corp.

    10,444       281,884  

KB Home

    8,595       334,517  

La-Z-Boy Inc.

    8,546       275,438  

M/I Homes Inc.(a)

    6,953       401,883  

Meritage Homes Corp.(a)

    2,992       290,224  

Taylor Morrison Home Corp.(a)

    13,473       347,334  

TRI Pointe Homes Inc.(a)

    18,068       379,789  
   

 

 

 
      3,372,642  
Insurance — 4.3%  

American Equity Investment Life Holding Co.

    14,226       420,663  

CNO Financial Group Inc.

    20,234       476,308  

Employers Holdings Inc.

    9,371       370,061  

Enstar Group Ltd.(a)

    1,993       467,817  

HCI Group Inc.

    6,501       720,116  

Heritage Insurance Holdings Inc.

    30,614       208,481  

Horace Mann Educators Corp.

    8,448       336,146  

ProAssurance Corp.

    18,329       435,864  

Selective Insurance Group Inc.

    6,240       471,307  

SiriusPoint Ltd.(a)

    47,339       438,359  

Stewart Information Services Corp.

    6,997       442,630  

United Fire Group Inc.

    15,025       347,078  

Universal Insurance Holdings Inc.

    22,852       297,990  
   

 

 

 
      5,432,820  
Machinery — 3.3%  

Altra Industrial Motion Corp.

    8,872       491,065  

Barnes Group Inc.

    7,683       320,612  

Columbus McKinnon Corp./NY

    9,667       467,399  

EnPro Industries Inc.

    5,671       494,057  

Greenbrier Companies Inc. (The)

    11,837       508,873  

Meritor Inc.(a)

    12,821       273,215  

Mueller Industries Inc.

    11,976       492,214  

REV Group Inc.

    40,460       694,294  

Wabash National Corp.

    23,253       351,818  
   

 

 

 
      4,093,547  
Marine — 0.5%  

Matson Inc.

    8,008       646,326  
   

 

 

 
Media — 0.4%  

Scholastic Corp.

    15,240       543,306  
   

 

 

 
Metals & Mining — 3.6%  

Allegheny Technologies Inc.(a)(b)

    33,388       555,242  

Carpenter Technology Corp.

    15,940       521,876  

Commercial Metals Co.

    16,013       487,756  

Haynes International Inc.

    18,983       707,117  

Kaiser Aluminum Corp.

    6,035       657,573  

Schnitzer Steel Industries Inc., Class A

    16,744       733,555  

Warrior Met Coal Inc.

    20,141       468,681  

Worthington Industries Inc.

    6,846       360,784  
   

 

 

 
      4,492,584  
Mortgage Real Estate Investment — 0.3%  

Broadmark Realty Capital Inc.

    35,164       346,717  
   

 

 

 

 

 

16  

2 0 2 1    H A R E S     E M I - A N N U A L    E P O R T     T O    H A R E H O L D E R S


Schedule of Investments (unaudited) (continued)

September 30, 2021

  

iShares® US Small Cap Value Factor ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  
Multi-Utilities — 1.2%  

Avista Corp.

    8,672     $ 339,249  

Black Hills Corp.

    6,147       385,786  

NorthWestern Corp.

    6,752       386,889  

Unitil Corp.

    8,513       364,186  
   

 

 

 
      1,476,110  
Oil, Gas & Consumable Fuels — 2.5%  

Clean Energy Fuels Corp.(a)

    121,662       991,545  

CNX Resources Corp.(a)

    33,817       426,770  

DHT Holdings Inc.

    64,342       420,153  

Dorian LPG Ltd.

    40,904       507,619  

Nordic American Tankers Ltd.

    96,544       247,153  

World Fuel Services Corp.

    15,098       507,595  
   

 

 

 
      3,100,835  
Paper & Forest Products — 1.0%  

Clearwater Paper Corp.(a)

    8,833       338,569  

Domtar Corp.(a)

    12,078       658,734  

Glatfelter Corp.

    19,642       276,952  
   

 

 

 
      1,274,255  
Pharmaceuticals — 0.4%  

Prestige Consumer Healthcare Inc.(a)

    8,826       495,227  
   

 

 

 
Professional Services — 1.7%  

Heidrick & Struggles International Inc.

    16,290       727,022  

Kelly Services Inc., Class A, NVS

    20,034       378,242  

Resources Connection Inc.

    27,873       439,836  

TrueBlue Inc.(a)

    20,700       560,556  
   

 

 

 
      2,105,656  
Real Estate Management & Development — 0.2%  

RE/MAX Holdings Inc., Class A

    9,696       302,127  
   

 

 

 
Road & Rail — 1.4%  

ArcBest Corp.

    10,278       840,432  

Covenant Logistics Group Inc., Class A(a)

    18,290       505,718  

U.S. Xpress Enterprises Inc., Class A(a)

    41,773       360,501  
   

 

 

 
      1,706,651  
Semiconductors & Semiconductor Equipment — 1.6%  

Alpha & Omega Semiconductor Ltd.(a)

    24,901       781,144  

Amkor Technology Inc.

    28,543       712,148  

SMART Global Holdings Inc.(a)(b)

    11,701       520,695  
   

 

 

 
      2,013,987  
Software — 0.4%  

Xperi Holding Corp.

    28,326       533,662  
   

 

 

 
Specialty Retail — 4.2%  

Abercrombie & Fitch Co., Class A(a)

    23,081       868,538  

Hibbett Inc.

    8,181       578,724  

MarineMax Inc.(a)(b)

    12,397       601,502  

ODP Corp. (The)(a)

    16,523       663,564  

Rent-A-Center Inc./TX

    10,680       600,323  

Sportsman’s Warehouse Holdings Inc.(a)

    22,525       396,440  

Tilly’s Inc., Class A

    53,368       747,686  

Urban Outfitters Inc.(a)

    13,630       404,675  

Zumiez Inc.(a)

    11,502       457,319  
   

 

 

 
          5,318,771  
Security   Shares     Value  
Textiles, Apparel & Luxury Goods — 1.9%            

Movado Group Inc.

    32,208     $ 1,014,230  

Superior Group of Companies Inc.

    14,312       333,326  

Unifi Inc.(a)

    22,461       492,570  

Vera Bradley Inc.(a)

    53,125       499,906  
   

 

 

 
      2,340,032  
Thrifts & Mortgage Finance — 5.3%            

HomeStreet Inc.

    10,877       447,589  

Kearny Financial Corp./MD

    44,520       553,384  

Meridian Bancorp. Inc.

    31,019       643,954  

Meta Financial Group Inc.

    16,165       848,339  

NMI Holdings Inc., Class A(a)

    18,553       419,483  

Northfield Bancorp. Inc.

    35,003       600,651  

Premier Financial Corp.

    20,496       652,593  

Provident Financial Services Inc.

    25,534       599,283  

Radian Group Inc.

    21,978       499,340  

TrustCo Bank Corp. NY

    11,050       353,269  

Washington Federal Inc.

    15,477       531,016  

WSFS Financial Corp.

    11,259       577,699  
   

 

 

 
      6,726,600  
Trading Companies & Distributors — 3.2%            

Beacon Roofing Supply Inc.(a)

    10,296       491,737  

Boise Cascade Co.

    7,997       431,678  

DXP Enterprises Inc./TX(a)

    19,828       586,314  

GMS Inc.(a)

    13,499       591,256  

Rush Enterprises Inc., Class A

    9,558       431,640  

Titan Machinery Inc.(a)

    24,266       628,732  

WESCO International Inc.(a)

    7,260       837,223  
   

 

 

 
      3,998,580  
   

 

 

 

Total Common Stocks — 98.2%
(Cost: $116,939,921)

      123,526,424  
   

 

 

 

Short-Term Investments

   
Money Market Funds — 3.0%            

BlackRock Cash Funds: Institutional, SL Agency Shares, 0.05%(c)(d)(e)

    1,348,863       1,349,538  

BlackRock Cash Funds: Treasury, SL Agency Shares, 0.00%(c)(d)

    2,460,000       2,460,000  
   

 

 

 
      3,809,538  
   

 

 

 

Total Short-Term Investments — 3.0%
(Cost: $3,809,538)

      3,809,538  
   

 

 

 

Total Investments in Securities — 101.2%
(Cost: $120,749,459)

      127,335,962  

Other Assets, Less Liabilities — (1.2)%

      (1,491,698
   

 

 

 

Net Assets — 100.0%

    $   125,844,264  
   

 

 

 

 

(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.

 

 

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

  17


Schedule of Investments (unaudited) (continued)

September 30, 2021

  

iShares® US Small Cap Value Factor ETF

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended September 30, 2021 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
09/30/21
     Shares
Held at
09/30/21
     Income      Capital
Gain
Distributions
from
Underlying
Funds
 

BlackRock Cash Funds: Institutional,
SL Agency Shares

   $ 376,585      $ 973,147 (a)     $      $ (194    $      $ 1,349,538        1,348,863      $ 1,281 (b)     $  

BlackRock Cash Funds: Treasury, SL Agency Shares

     11,350,000               (8,890,000 )(a)                     2,460,000        2,460,000        256         
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 
            $ (194    $      $ 3,809,538         $ 1,537      $  
           

 

 

    

 

 

    

 

 

       

 

 

    

 

 

 

 

  (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

           

E-Mini Financial Select Sector Index

     1        12/17/21      $ 116      $ (2,115

Russell 2000 E-Mini Index

     2        12/17/21        220        (4,500
           

 

 

 
            $ (6,615
           

 

 

 

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      $ 699,041      $ 49,891 (c)     $ 740,108        0.6
   Monthly      HSBC Bank PLC(d)        02/10/23        869,763        46,238 (e)       891,011        0.7  
   Monthly      JPMorgan Chase Bank NA(f)        02/08/23        409,341        35,150 (g)       431,223        0.3  
              

 

 

    

 

 

    
               $ 131,279      $ 2,062,342     
              

 

 

    

 

 

    

 

  (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 $8,824 of net dividends and financing fees.

 
  (e) 

Amount includes $24,990 of net dividends, payable for referenced securities purchased and financing fees.

 
  (g) 

Amount includes $13,268 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)

 

 

18  

2 0 2 1    H A R E S     E M I - A N N U A L    E P O R T     T O    H A R E H O L D E R S


Schedule of Investments  (unaudited) (continued)

September 30, 2021

  

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 September 30, 2021 expiration 2/27/2023.

 

     Shares     Value     % of
Basket
Value
 

Reference Entity — Long

     
Banks                  

Banc of California Inc.

    276     $ 5,103       0.7

Brookline Bancorp. Inc.

    282       4,303       0.6  

Columbia Banking System Inc.

    518       19,679       2.7  

CVB Financial Corp.

    1,876       38,214       5.2  

First BanCorp./Puerto Rico

    9,740       128,081       17.3  

Independent Bank Corp.

    71       5,407       0.7  

Old National Bancorp./IN

    1,507       25,544       3.4  

Pacific Premier Bancorp. Inc.

    778       32,240       4.4  

Preferred Bank/Los Angeles CA

    3,609       240,648       32.5  

S&T Bancorp. Inc.

    91       2,682       0.4  

Seacoast Banking Corp. of Florida

    553       18,697       2.5  

Simmons First National Corp.

    1,460       43,158       5.8  
   

 

 

   
      563,756    
   

 

 

   
Insurance                  

Employers Holdings Inc.

    394       15,559       2.1  

Heritage Insurance Holdings Inc.

    2,695       18,353       2.5  

Horace Mann Educators Corp.

    40       1,592       0.2  

ProAssurance Corp.

    2,082       49,510       6.7  

Universal Insurance Holdings Inc.

    2,051       26,745       3.6  
   

 

 

   
      111,759    
   

 

 

   
Multi-Utilities                  

Avista Corp.

    285       11,149       1.5  
   

 

 

   
Thrifts & Mortgage Finance                  

HomeStreet Inc.

    818       33,661       4.5  

Provident Financial Services Inc.

    633       14,857       2.0  

WSFS Financial Corp.

    96       4,926       0.7  
   

 

 

   
      53,444    
   

 

 

   

Total Reference Entity — Long

      740,108    
   

 

 

   

Net Value of Reference Entity — Goldman Sachs Bank USA

 

  $ 740,108    
   

 

 

   

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 September 30, 2021 expiration 2/10/2023.

 

     Shares      Value      % of
Basket
Value
 

Reference Entity — Long

       
Banks                    

Allegiance Bancshares Inc.

    60      $ 2,289        0.3

BancorpSouth Bank

    1,021        30,405        3.4  

BankUnited Inc.

    606        25,343        2.8  

Brookline Bancorp. Inc.

    3,567        54,432        6.1  

Central Pacific Financial Corp.

    1,016        26,091        2.9  

City Holding Co.

    136        10,596        1.2  

Customers Bancorp. Inc.(a)

    25        1,076        0.1  

First Financial Bancorp.

    2,308        54,030        6.1  

Hanmi Financial Corp.

    1,728        34,664        3.9  

Heritage Financial Corp./WA

    529        13,490        1.5  

Hope Bancorp Inc.

    1,778        25,674        2.9  
     Shares      Value      % of
Basket
Value
 

Independent Bank Corp.

    168      $ 12,793        1.4  

Investors Bancorp. Inc.

    164        2,478        0.3  

NBT Bancorp. Inc.

    380        13,726        1.5  

OFG Bancorp.

    1,363        34,375        3.9  

Old National Bancorp./IN

    989        16,764        1.9  

Pacific Premier Bancorp. Inc.

    465        19,270        2.2  

Preferred Bank/Los Angeles CA

    1,901        126,759        14.2  

S&T Bancorp. Inc.

    563        16,592        1.9  

Seacoast Banking Corp. of Florida

    899        30,395        3.4  

Simmons First National Corp.

    986        29,146        3.3  

Trustmark Corp.

    360        11,599        1.3  

United Community Banks Inc./GA

    1,958        64,262        7.2  
    

 

 

    
       656,249     
    

 

 

    
Insurance                    

American Equity Investment Life Holding Co.

    288        8,516        1.0  

Heritage Insurance Holdings Inc.

    3,291        22,412        2.5  

Horace Mann Educators Corp.

    1,730        68,837        7.7  

Stewart Information Services Corp.

    303        19,168        2.2  
    

 

 

    
       118,933     
    

 

 

    
Paper & Forest Products                    

Domtar Corp.(a)

    47        2,563        0.3  
    

 

 

    
Real Estate Management & Development  

RE/MAX Holdings Inc.

    957        29,820        3.3  
    

 

 

    
Specialty Retail                    

MarineMax Inc.(a)

    100        4,852        0.5  
    

 

 

    
Thrifts & Mortgage Finance                    

HomeStreet Inc.

    568        23,373        2.6  

Meta Financial Group Inc.

    444        23,301        2.6  

TrustCo Bank Corp. NY

    655        20,940        2.4  

WSFS Financial Corp.

    214        10,980        1.2  
    

 

 

    
       78,594     
    

 

 

    

Total Reference Entity — Long

       891,011     
    

 

 

    

Net Value of Reference Entity — HSBC Bank PLC

     $ 891,011     
    

 

 

    

 

(a) 

Non-income producing security

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 September 30, 2021 expiration 2/8/2023.

 

     Shares      Value      % of
Basket
Value
 

Reference Entity — Long

       
Banks                    

BancorpSouth Bank

    261      $ 7,773        1.8

Brookline Bancorp. Inc.

    96        1,465        0.3  

Central Pacific Financial Corp.

    1,354        34,771        8.1  

City Holding Co.

    443        34,514        8.0  

CVB Financial Corp.

    679        13,831        3.2  

First Financial Bancorp.

    682        15,966        3.7  

Hanmi Financial Corp.

    1,836        36,830        8.6  

Hope Bancorp Inc.

    2,453        35,421        8.2  

OFG Bancorp.

    1,097        27,666        6.4  

Old National Bancorp./IN

    694        11,763        2.7  

Pacific Premier Bancorp. Inc.

    97        4,020        0.9  

 

 

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

  19


Schedule of Investments  (unaudited) (continued)

September 30, 2021

  

iShares® US Small Cap Value Factor ETF

 

     Shares      Value      % of
Basket
Value
 

Preferred Bank/Los Angeles CA

    1,275      $ 85,017        19.7  

Seacoast Banking Corp. of Florida

    254        8,588        2.0  

United Community Banks Inc./GA

    259        8,500        2.0  
    

 

 

    
       326,125     
    

 

 

    
Equity Real Estate Investment Trusts (REITs)  

Xenia Hotels & Resorts Inc.(a)

    338        5,996        1.4  
    

 

 

    
Insurance                    

American Equity Investment Life Holding Co.

    365        10,793        2.5  

Employers Holdings Inc.

    788        31,118        7.2  

Horace Mann Educators Corp.

    33        1,313        0.3  
    

 

 

    
       43,224     
    

 

 

    
Multi-Utilities                    

Avista Corp.

    474        18,543        4.3  
    

 

 

    
      Shares    Value      % of
Basket
Value
Paper & Forest Products                 

Domtar Corp.(a)

   26    $ 1,418      0.3
     

 

 

    
Thrifts & Mortgage Finance                 

HomeStreet Inc.

   130      5,350      1.3

TrustCo Bank Corp. NY

   526      16,816      3.9

WSFS Financial Corp.

   268      13,751      3.2
     

 

 

    
        35,917     
     

 

 

    

Total Reference Entity — Long

        431,223     
     

 

 

    

Net Value of Reference Entity — JPMorgan Chase Bank NA

 

   $ 431,223     
     

 

 

    

 

(a) 

Non-income producing security

Balances Reported in the Statements of Assets and Liabilities for Total Return Swaps

 

      Premiums
Paid
     Premiums
Received
     Unrealized
Appreciation
     Unrealized
Depreciation
 

Total Return Swaps

     $—        $—        $131,279        $—  

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

  

Swaps — OTC

  

Unrealized appreciation on OTC swaps; Swap premiums paid

   $ 131,279  
  

 

 

 

Liabilities — Derivative Financial Instruments

  

Futures contracts

  

Unrealized depreciation on futures contracts(a)

   $ 6,615  
  

 

 

 

 

  (a)

Net cumulative 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 September 30, 2021, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

      Equity
Contracts
 

Net Realized Gain (Loss) from:

  

Futures contracts

   $ 8,447  

Swaps

     (138,638
  

 

 

 
   $ (130,191
  

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on:

  

Futures contracts

   $ (6,615)  

Swaps

     448,582  
  

 

 

 
   $ 441,967  
  

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

Futures contracts:

        

Average notional value of contracts — long

   $ 187,911  

Total return swaps:

  

Average notional value

   $ 4,629,489  

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

 

 

20  

2 0 2 1    H A R E S     E M I - A N N U A L    E P O R T     T O    H A R E H O L D E R S


Schedule of Investments  (unaudited) (continued)

September 30, 2021

  

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

   . $        $ 6,615  

Swaps - OTC(a)

     131,279           
  

 

 

      

 

 

 

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

     131,279          6,615  

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

              (6,615
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

     131,279           
  

 

 

      

 

 

 

 

  (a) 

Includes unrealized appreciation (depreciation) on OTC swaps and swap premiums (paid/received) in the Statements of Assets and Liabilities.

 

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

 

Counterparty     



Derivative
Assets
Subject to
an MNA by
Counterparty
 


 
 
      

Derivatives
Available
for Offset
 
 
(a) 
    

Non-Cash
Collateral
Received
 
 
 
      

Cash
Collateral
Received
 
 
 
      

Net Amount
of Derivative
Assets

 
(b) 

Goldman Sachs Bank USA

   $     49,891        $     —      $     —        $     —        $     49,891  

HSBC Bank PLC

     46,238                                   46,238  

JPMorgan Chase Bank NA

     35,150                                   35,150  
  

 

 

      

 

 

    

 

 

      

 

 

      

 

 

 
   $     131,279        $     —      $     —        $     —        $     131,279  
  

 

 

      

 

 

    

 

 

      

 

 

      

 

 

 

(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.

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

   $ 123,526,424        $          —        $          —        $ 123,526,424  

Money Market Funds

     3,809,538                            3,809,538  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 127,335,962        $        $        $ 127,335,962