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OCTOBER 31, 2021 |
2021 Annual Report |
iShares Trust
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iShares CMBS ETF | CMBS | NYSE Arca |
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iShares GNMA Bond ETF | GNMA | NASDAQ |
· |
iShares Treasury Floating Rate Bond ETF | TFLO | NYSE Arca |
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iShares U.S. Treasury Bond ETF | GOVT | Cboe BZX |
Dear Shareholder,
The 12-month reporting period as of October 31, 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 solid pace for the reporting period, eventually regaining the output lost from the pandemic. However, a rapid rebound in consumer spending pushed up against supply constraints and led to elevated inflation.
Equity prices rose with the broader economy, as 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, outpacing investment-grade corporate bonds.
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,
Rob Kapito
President, BlackRock, Inc.
Rob Kapito
President, BlackRock, Inc.
Total Returns as of October 31, 2021
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6-Month | 12-Month | |||
U.S.
large cap equities |
10.91% | 42.91% | ||
U.S.
small cap equities |
1.85 | 50.80 | ||
International
equities |
4.14 | 34.18 | ||
Emerging
market equities |
(4.87) | 16.96 | ||
3-month Treasury bills |
0.01 | 0.06 | ||
U.S.
Treasury securities |
1.59 | (4.77) | ||
U.S.
investment grade bonds |
1.06 | (0.48) | ||
Tax-exempt municipal bonds |
0.33 | 2.76 | ||
U.S.
high yield bonds |
2.36 | 10.53 | ||
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index. |
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T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T |
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Financial Statements |
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iShares Trust
U.S. Bond Market Overview
The U.S. bond market declined slightly for the 12 months ended October 31, 2021 (“reporting period”). The Bloomberg U.S. Aggregate Bond Index, a broad measure of U.S. fixed-income performance, returned -0.48%.
The U.S. economy continued to recover from the effects of the coronavirus pandemic, growing at a brisk pace during the reporting period. Driven by strong consumer spending and significant fiscal and monetary stimulus, U.S. growth outpaced most other developed economies. An ongoing COVID-19 vaccination program helped accelerate the easing of pandemic-related restrictions, and consumers returned to activities that were previously curtailed, such as travel, restaurant dining, and in-person shopping. Spending on goods also remained elevated, leading imports to rise to an all-time high.
However, this robust consumer demand combined with continued pandemic-related disruptions to the global supply chain led to significantly higher inflation. Similarly, in the labor market, the reopening economy and pent-up demand meant that hiring accelerated, and the unemployment rate fell substantially. Nonetheless, total employment remained notably below pre-pandemic levels and job openings reached a record high despite rising wages. Elevated demand drove an increase in industrial production, although rising commodities prices and supply delays constrained growth, particularly late in the reporting period. The emergence of the highly contagious Delta variant, which was responsible for a significant rise in cases beginning late in summer 2021, also weighed on the economy.
The U.S. Federal Reserve Bank (“Fed”) continued to keep short-term interest rates at near-zero levels and maintained a significant bond-buying program for U.S. Treasuries and mortgage-backed securities, although it discontinued its corporate bond purchasing program. The Fed indicated that it would begin slowing its bond buying activities late in 2021 and signaled that an interest rate increase could be possible in 2022. However, the improving employment environment and a sharp rise in inflation led investors to anticipate a more accelerated tightening of monetary policy. Trading activity showed that investors view multiple interest rate increases as probable in 2022.
U.S. Treasuries declined, as inflation increased, and investors moved toward equities and lower-rated bonds. Rising domestic inflation expectations pressured U.S. Treasuries, which typically lose value in an inflationary environment. U.S. Treasury yields (which move inversely to prices) began the reporting period near historic lows, but generally rose as inflation increased and the economy continued to strengthen. Yields of U.S. Treasuries with intermediate- and long-term maturities, which are more sensitive to inflation, generally increased more than short-term U.S. Treasuries. However, long-term U.S. Treasury yields rose less than intermediate-term U.S. Treasury yields, with two-year, 10-year, and 30-year U.S. Treasury yields rising by 0.34%, 0.67%, and 0.28%, respectively.
Mortgage-backed securities (“MBS”) declined slightly, despite ongoing support from Fed bond purchasing. MBS performance was constrained by prepayments, as homeowners took advantage of low mortgage rates to refinance their mortgages at a lower interest rate.
On the upside, most corporate bonds advanced for the reporting period, particularly lower-rated corporate bonds. A narrowing yield spread (the difference between yields on corporate bonds and U.S. Treasuries) buoyed the performance of corporate bonds compared to U.S. Treasuries. Investors’ ongoing search for yield in a low interest rate environment drove the decline in the yield spread and supported corporate bond prices. High-yield bonds gained the most, as investors’ concerns about solvency abated alongside the growing economy, and the Fed’s support led to high investor confidence. Corporate bond issuance was elevated by historical standards as companies took advantage of low yields to refinance and lock in advantageous borrowing costs.
4 |
2 0 2 1 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 October 31, 2021 | iShares® CMBS ETF |
Investment Objective
The iShares CMBS ETF (the “Fund”) seeks to track the investment results of an index composed of investment-grade commercial mortgage-backed securities, as represented by the Bloomberg U.S. CMBS (ERISA Only) Index (the “Index”) (formerly the Bloomberg Barclays U.S. CMBS (ERISA Only) 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 |
5 Years |
Since Inception |
1 Year |
5 Years |
Since Inception |
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Fund NAV |
0.29 | % | 3.11 | % | 3.22 | % | 0.29 | % | 16.53 | % | 36.10 | % | ||||||||||||||||
Fund Market |
0.15 | 3.15 | 3.23 | 0.15 | 16.75 | 36.20 | ||||||||||||||||||||||
Index |
0.59 | 3.38 | 3.57 | 0.59 | 18.09 | 40.62 |
GROWTH OF $10,000 INVESTMENT
(SINCE INCEPTION AT NET ASSET VALUE)
The inception date of the Fund was 2/14/12. The first day of secondary market trading was 2/16/12.
Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 13 for more information.
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
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Beginning Account Value (05/01/21) |
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Ending Account Value (10/31/21) |
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Expenses Paid During the Period |
(a) |
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Beginning Account Value (05/01/21) |
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Ending Account Value (10/31/21) |
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Expenses Paid During the Period |
(a) |
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Annualized Expense Ratio |
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$ | 1,000.00 | $ | 1,003.40 | $ | 1.26 | $ | 1,000.00 | $ | 1,023.90 | $ | 1.28 | 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 (184 days) and divided by the number of days in the year (365 days). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” on page 13 for more information. |
F U N D S U M M A R Y |
5 |
Fund Summary as of October 31, 2021 (continued) | iShares® CMBS ETF |
Portfolio Management Commentary
Commercial mortgage-backed securities (“CMBS”) advanced modestly for the reporting period, as rising longer-term bond yields drove CMBS prices lower. However, the annual income from CMBS offset modest price declines.
From a supply and demand perspective, strong investor demand for yield supported CMBS, which have higher yields than U.S. Treasuries to compensate for the additional credit risk. Issuance was brisk during the first half of 2021, although the composition of issuance changed markedly. Bridge loans, which are loans intended to provide short-term financing for budget gaps, and single-asset, single-buyer loans drove issuance, while conduit loans, which pool borrowers to create securitized loans, became a much smaller portion of overall lending.
The credit environment improved significantly during the reporting period, as the commercial mortgage market continued to recover from the disruption of the coronavirus pandemic. The delinquency rate for CMBS loans declined sharply in every borrower segment, as policies like loan forbearance and pandemic relief for businesses early in the reporting period reduced credit distress, while the economic recovery helped restore the financial strength of many businesses.
The sectors hardest hit by the pandemic, including lodging and retail, continued to have the highest delinquency rates, but the rate of late payments also fell the most in those sectors. However, forbearance, loan modifications, and pandemic relief only forestalled credit stress, prompting Fed Chairman Jerome Powell to warn of the potential for loan defaults that could result from possible long-term shifts in demand for retail, lodging, and office space.
From a credit perspective, non-rated CMBS were the largest contributors to the Index’s return while the highest-rated lowest-yielding bonds detracted slightly from the Index’s performance. Intermediate-term bonds, which represented 90% of the Index on average, drove performance from a maturity perspective.
Portfolio Information
ALLOCATION BY CREDIT QUALITY |
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Moody’s Credit Rating* | |
Percent of Total Investments |
(a) | |
Aaa |
75.9 | % | ||
Aa |
4.0 | |||
A |
0.6 | |||
Baa |
0.1 | |||
Not Rated |
19.4 |
ALLOCATION BY MATURITY |
| |||
Maturity | |
Percent of Total Investments |
(a) | |
0-1 Year |
0.1 | % | ||
1-5 Years |
11.9 | |||
5-10 Years |
29.7 | |||
10-15 Years |
2.4 | |||
20-25 Years |
3.8 | |||
25-30 Years |
32.2 | |||
30-35 Years |
14.2 | |||
35-40 Years |
3.9 | |||
More than 40 Years |
1.8 |
* |
Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change. |
(a) |
Excludes money market funds. |
6 |
2 0 2 1 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 October 31, 2021 | iShares® GNMA Bond ETF |
Investment Objective
The iShares GNMA Bond ETF (the “Fund”) seeks to track the investment results of an index composed of mortgage-backed pass-through securities guaranteed by the Government National Mortgage Association (GNMA or Ginnie Mae), as represented by the Bloomberg U.S. GNMA Bond Index (the “Index”) (formerly the Bloomberg Barclays U.S. GNMA Bond 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 | 5 Years | Since Inception |
1 Year | 5 Years | Since Inception |
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Fund NAV |
(1.14 | )% | 1.71 | % | 1.69 | % | (1.14 | )% | 8.83 | % | 17.73 | % | ||||||||||||||||
Fund Market |
(1.33 | ) | 1.66 | 1.68 | (1.33 | ) | 8.60 | 17.59 | ||||||||||||||||||||
Index |
(0.96 | ) | 1.87 | 2.00 | (0.96 | ) | 9.70 | 21.17 |
GROWTH OF $10,000 INVESTMENT
(SINCE INCEPTION AT NET ASSET VALUE)
The inception date of the Fund was 2/14/12. The first day of secondary market trading was 2/16/12.
Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 13 for more information.
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
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Beginning Account Value (05/01/21) |
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Ending Account Value (10/31/21) |
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|
Expenses Paid During the Period |
(a) |
|
Beginning Account Value (05/01/21) |
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|
Ending Account Value (10/31/21) |
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|
Expenses Paid During the Period |
(a) |
|
Annualized Expense Ratio |
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$ | 1,000.00 | $ | 991.20 | $ | 0.65 | $ | 1,000.00 | $ | 1,024.60 | $ | 0.66 | 0.13 | % |
(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 (184 days) and divided by the number of days in the year (365 days). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” on page 13 for more information. |
F U N D S U M M A R Y |
7 |
Fund Summary as of October 31, 2021 (continued) | iShares® GNMA Bond ETF |
Portfolio Management Commentary
Mortgage-backed securities (“MBS”) guaranteed by the Government National Mortgage Association (“GNMA”) declined for the reporting period. During the reporting period, the 10-year U.S. Treasury bond yield, an important barometer for mortgage lending rates, increased from 0.88% to 1.55%. However, the average interest rate for a 30-year fixed-rate conforming mortgage increased by a smaller amount — from 2.81% at the beginning of the reporting period to 3.14% at the end of the reporting period. Rising interest rates typically lead to lower prices on fixed-rate bonds, including GNMA MBS, and this inverse relationship contributed to the Index’s overall decline.
GNMA issuance increased substantially during the reporting period amid strong growth in the mortgage market. The Fed’s mortgage purchasing program and elevated sales of new and existing homes were key sources of demand for MBS. COVID-19 relief policies, such as a moratorium on foreclosures and loan forbearance, also supported the mortgage market, in which loan delinquency fell sharply from a relatively high level.
Interest rates on mortgages began to increase in January 2021, which led to a surge in refinancing activity as homeowners sought to lock in historically low interest rates. Interest rates rose steadily before falling again during the summer, spurring another wave of refinancing until rising interest rates sharply curtailed mortgage refinancing. While the increase in interest rates decreased the price of existing MBS, it also decreased prepayment risk, which can negatively affect the value of the Index. Reflecting the decreased refinancing activity, the approximate weighted average life of the mortgages represented by the Index rose from 3.9 years to 4.4 years. Mortgages with a weighted average life between 3-7 years, which represented approximately 82% of the Index on average, detracted the most from the Index’s return.
Portfolio Information
ALLOCATION BY MATURITY |
| |||
Maturity | |
Percent of Total Investments |
(a) | |
0-1 Year |
2.1 | % | ||
5-10 Years |
1.5 | |||
10-15 Years |
0.5 | |||
15-20 Years |
0.1 | |||
20-25 Years |
11.7 | |||
25-30 Years |
66.8 | |||
30-35 Years |
17.3 |
FIVE LARGEST HOLDINGS |
| |||
Security | |
Percent of Total Investments |
(a) | |
Government National Mortgage Association, 2.00%, 11/18/51 |
12.6 | % | ||
Government National Mortgage Association, 2.00%, 04/20/51 |
10.3 | |||
Government National Mortgage Association, 2.50%, 08/20/51 |
6.3 | |||
Government National Mortgage Association, 2.50%, 07/20/51 |
4.7 | |||
Government National Mortgage Association, 2.50%, 11/18/51 |
3.9 |
(a) |
Excludes money market funds. |
8 |
2 0 2 1 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 October 31, 2021 | iShares® Treasury Floating Rate Bond ETF |
Investment Objective
The iShares Treasury Floating Rate Bond ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. Treasury floating rate bonds, as represented by the Bloomberg U.S. Treasury Floating Rate Bond Index (the “Index”) (formerly the Bloomberg Barclays U.S. Treasury Floating Rate Bond 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 | 5 Years | Since Inception |
1 Year | 5 Years | Since Inception |
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Fund NAV |
(0.04 | )% | 1.06 | % | 0.76 | % | (0.04 | )% | 5.43 | % | 6.00 | % | ||||||||||||||||
Fund Market |
(0.04 | ) | 1.07 | 0.75 | (0.04 | ) | 5.45 | 6.00 | ||||||||||||||||||||
Index |
0.11 | 1.21 | 0.86 | 0.11 | 6.18 | 6.85 |
GROWTH OF $10,000 INVESTMENT
(SINCE INCEPTION AT NET ASSET VALUE)
The inception date of the Fund was 2/3/14. The first day of secondary market trading was 2/4/14.
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 13 for more information.
Expense Example
Actual |
Hypothetical 5% Return |
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Beginning Account Value (05/01/21) |
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Ending Account Value (10/31/21) |
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Expenses Paid During the Period |
(a) |
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Beginning Account Value (05/01/21) |
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Ending Account Value (10/31/21) |
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|
Expenses Paid During the Period |
(a) |
|
Annualized Expense Ratio |
| ||||||||||
$ | 1,000.00 | $ | 999.60 | $ | 0.76 | $ | 1,000.00 | $ | 1,024.40 | $ | 0.77 | 0.15 | % |
(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 (184 days) and divided by the number of days in the year (365 days). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” on page 13 for more information. |
F U N D S U M M A R Y |
9 |
Fund Summary as of October 31, 2021 (continued) | iShares® Treasury Floating Rate Bond ETF |
Portfolio Management Commentary
Investment-grade floating-rate bonds posted a modestly positive performance for the reporting period. The Index is composed of U.S. dollar-denominated bonds with interest rates that reset periodically. As a consequence of this reset, floating-rate bonds typically advance in a rising interest rate environment, as their yields reset at higher levels. However, while yields rose for many bonds, particularly long- and intermediate-term bonds, most floating-rate bonds are benchmarked to short-term interest rates. The Fed kept short-term interest rates unchanged during the reporting period, and yields of U.S. Treasuries dated less than one year declined slightly, which supported the Index’s performance. Additionally, strong investor demand for fixed-income instruments with variable yields that rise with interest rates also benefited the Index’s return.
Measures that are commonly used as a reference for resetting the yields of floating-rate bonds, such as the London Interbank Offered Rate and the Secured Overnight Financing Rate, declined slightly. Consequently, the overall impact of the interest rate environment varied depending on the particular measures used to reset yields, and the majority of the Index’s return came from interest earned on the bonds in the Index rather than price appreciation.
Corporate and government-related bonds both contributed to the Index’s performance, with corporate bonds driving the majority of the gain. Among corporate bonds, banks, which represented approximately 51% of the Index on average for the reporting period, were the leading contributors to the Index’s return. Banks are typically the largest issuers of floating-rate corporate bonds because they help reduce sensitivity to changing interest rates. Strong balance sheets and diverse revenue streams led to improving balance sheets and robust investor demand for bank floating-rate bonds. Consumer cyclicals company bonds also advanced as automotive company debt gained despite production cuts due to a semiconductor shortage.
Portfolio Information
ALLOCATION BY MATURITY |
| |||
Maturity | |
Percent of Total Investments |
(a) | |
0-1 Year |
52.1 | % | ||
1-2 Years |
47.9 |
FIVE LARGEST HOLDINGS |
| |||
Security | |
Percent of Total Investments |
(a) | |
U.S. Treasury Floating Rate Note, 0.11%, 10/31/22 |
51.1 | % | ||
U.S. Treasury Floating Rate Note, 0.08%, 07/31/23 |
21.6 | |||
U.S. Treasury Floating Rate Note, 0.10%, 01/31/23 |
16.9 | |||
U.S. Treasury Floating Rate Note, 0.09%, 04/30/23 |
9.3 | |||
U.S. Treasury Floating Rate Note, 0.17%, 04/30/22 |
0.4 |
(a) |
Excludes money market funds. |
10 |
2 0 2 1 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 October 31, 2021 | iShares® U.S. Treasury Bond ETF |
Investment Objective
The iShares U.S. Treasury Bond ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. Treasury bonds, as represented by the ICE U.S. Treasury Core Bond Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.
Performance
Average Annual Total Returns | Cumulative Total Returns | |||||||||||||||||||||||||||
1 Year | 5 Years | Since Inception |
1 Year | 5 Years | Since Inception |
|||||||||||||||||||||||
Fund NAV |
(2.58 | )% | 2.32 | % | 2.08 | % | (2.58 | )% | 12.17 | % | 22.12 | % | ||||||||||||||||
Fund Market |
(2.33 | ) | 2.34 | 2.09 | (2.33 | ) | 12.25 | 22.25 | ||||||||||||||||||||
Index |
(2.46 | ) | 2.44 | 2.18 | (2.46 | ) | 12.83 | 23.32 |
GROWTH OF $10,000 INVESTMENT
(SINCE INCEPTION AT NET ASSET VALUE)
The inception date of the Fund was 2/14/12. The first day of secondary market trading was 2/16/12.
On 3/1/2021 the Fund began to track the 4pm pricing variant of the ICE U.S. Treasury Core Bond Index. Index data on and after 3/1/2021 is for the 4pm pricing variant of the ICE U.S. Treasury Core Bond Index. Historical index data from 7/1/2016 through 2/28/2021 is for the 3pm pricing variant of the ICE U.S. Treasury Core Bond Index. Historical index data prior to 7/1/2016 is for the Barclays U.S. Treasury Bond Index.
Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 13 for more information.
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||||||
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Beginning Account Value (05/01/21) |
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Ending Account Value (10/31/21) |
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Expenses Paid During the Period |
(a) |
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Beginning Account Value (05/01/21) |
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Ending Account Value (10/31/21) |
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Expenses Paid During the Period |
(a) |
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Annualized Expense Ratio |
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$ | 1,000.00 | $ | 1,009.50 | $ | 0.25 | $ | 1,000.00 | $ | 1,025.00 | $ | 0.26 | 0.05 | % |
(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 (184 days) and divided by the number of days in the year (365 days). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” on page 13 for more information. |
F U N D S U M M A R Y |
11 |
Fund Summary as of October 31, 2021 (continued) | iShares® U.S. Treasury Bond ETF |
Portfolio Management Commentary
Intermediate- and long-term U.S. Treasury prices declined, and their yields rose, during the reporting period in response to rising inflation. Inflation, as measured by the Consumer Price Index, increased to a 31-year high of 6.2% year-over-year as of October 2021, as disruptions related to the coronavirus pandemic led to a combination of pent-up consumer demand and supply-chain shortages. Specifically, costs linked to shelter, food, new vehicles, and energy drove the majority of price increases. Likewise, labor shortages and job resignations drove wage growth to a 40-year high, which added to inflationary pressure.
In addition to concerns about the possibility of longer-term inflation, U.S. Treasury bond yields increased following the Fed’s announcement that it plans to begin scaling back its bond-buying program as early as November 2021, with the goal of winding down the program entirely by mid-year 2022. The monthly bond-buying program, which provides liquidity to markets, has been one of the Fed’s key initiatives for providing support to the U.S. economy during the pandemic. The Fed also signaled the possibility of raising interest rates in 2022.
Massive issuance of U.S. Treasuries to finance the second largest, annual federal budget deficit, following record issuance in 2020, raised concerns about the market’s ability to absorb monthly auctions of U.S. Treasuries without higher interest rates. Growing revenue from income tax late in the reporting period allowed the U.S. Treasury to set expectations for smaller but still substantial auctions. In this environment, intermediate- and long-term U.S. Treasury yields increased more than those of shorter-term maturities. In contrast, yields of two- to three-year U.S. Treasury bonds declined slightly during the reporting period.
Portfolio Information
ALLOCATION BY MATURITY |
| |||
Maturity | |
Percent of Total Investments |
(a) | |
0-1 Year |
0.1 | % | ||
1-5 Years |
53.3 | |||
5-10 Years |
25.4 | |||
15-20 Years |
2.8 | |||
More than 20 Years |
18.4 |
FIVE LARGEST HOLDINGS |
| |||
Security | |
Percent of Total Investments |
(a) | |
U.S. Treasury Note/Bond, 0.25%, 05/15/24 |
6.2 | % | ||
U.S. Treasury Note/Bond, 0.38%, 08/15/24 |
5.5 | |||
U.S. Treasury Note/Bond, 1.88%, 02/15/51 |
5.1 | |||
U.S. Treasury Note/Bond, 3.75%, 11/15/43 |
5.0 | |||
U.S. Treasury Note/Bond, 0.38%, 04/15/24 |
3.9 |
(a) |
Excludes money market funds. |
12 |
2 0 2 1 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 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.
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.
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 |
13 |
October 31, 2021 |
iShares® CMBS ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Collaterized Mortgage Obligations |
||||||||
Mortgage-Backed Securities — 68.5% | ||||||||
Banc of America Commercial Mortgage Trust |
||||||||
Series 2016-UB10, Class A4, 3.17%, 07/15/49 (Call 04/15/26) |
$ | 800 | $ | 849,000 | ||||
Series 2016-UB10, Class B, 3.79%, 07/15/49 (Call 05/15/26) |
250 | 265,855 | ||||||
Series 2017-BNK3, Class A3, 3.31%, 02/15/50 (Call 11/15/26) |
1,365 | 1,452,887 | ||||||
Series 2017-BNK3, Class A4, 3.57%, 02/15/50 (Call 01/15/27) |
1,000 | 1,088,194 | ||||||
Series 2017-BNK3, Class B, 3.88%, 02/15/50 (Call 01/15/27)(a) |
830 | 897,862 | ||||||
BANK |
||||||||
Series 2017-BNK4, Class AS, 3.78%, 05/15/50 (Call 03/15/27) |
1,500 | 1,622,228 | ||||||
Series 2017-BNK4, Class ASB, 3.42%, 05/15/50 (Call 10/15/26) |
300 | 316,977 | ||||||
Series 2017-BNK4, Class C, 4.37%, 05/15/50 (Call 03/15/27)(a) |
485 | 524,655 | ||||||
Series 2017-BNK5, Class A4, 3.13%, 06/15/60 (Call 05/15/27) |
1,960 | 2,085,932 | ||||||
Series 2017-BNK7, Class A5, 3.44%, 09/15/60 (Call 09/15/27) |
220 | 239,116 | ||||||
Series 2017-BNK7, Class B, 3.95%, 09/15/60 (Call 09/15/27) |
500 | 539,227 | ||||||
Series 2017-BNK8, Class A3, 3.23%, 11/15/50 (Call 10/15/27) |
1,000 | 1,069,197 | ||||||
Series 2017-BNK8, Class AS, 3.73%, 11/15/50 (Call 11/15/27) |
1,000 | 1,089,656 | ||||||
Series 2018-BN10, Class A5, 3.69%, 02/15/61 (Call 01/15/28) |
1,500 | 1,651,610 | ||||||
Series 2018-BN10, Class C, 4.16%, 02/15/61 (Call 02/15/28)(a) |
800 | 855,614 | ||||||
Series 2018-BN14, Class A3, 3.97%, 09/15/60 (Call 07/15/28) |
600 | 666,346 | ||||||
Series 2018-BN14, Class AS, 4.48%, 09/15/60 (Call 09/15/28)(a) |
500 | 569,020 | ||||||
Series 2018-BN14, Class B, 4.58%, 09/15/60 (Call 09/15/28)(a) |
750 | 850,661 | ||||||
Series 2019-BN16, Class AS, 4.27%, 02/15/52 (Call 01/15/29) |
262 | 296,999 | ||||||
Series 2019-BN18, Class A2, 3.47%, 05/15/62 (Call 05/15/24) |
830 | 872,014 | ||||||
Series 2019-BN19, Class A3, 2.93%, 08/15/61 (Call 05/15/29) |
3,000 | 3,147,205 | ||||||
Series 2019-BN19, Class A3, 3.18%, 08/15/61 (Call 07/15/29) |
497 | 535,715 | ||||||
Series 2019-BN20, Class A2, 2.76%, 09/15/62 |
500 | 518,185 | ||||||
Series 2019-BN20, Class A3, 3.01%, 09/15/62 |
1,000 | 1,065,927 | ||||||
Series 2019-BN20, Class B, 3.40%, 09/15/62(a) |
1,000 | 1,073,521 | ||||||
Series 2019-BN21, Class A4, 2.60%, 10/17/52 (Call 08/15/29) |
2,000 | 2,065,940 | ||||||
Series 2019-BN21, Class A5, 2.85%, 10/17/52 (Call 09/15/29) |
1,500 | 1,581,920 | ||||||
Series 2019-BN21, Class B, 3.21%, 10/17/52 (Call 10/15/29)(a) |
1,000 | 1,054,047 | ||||||
Series 2019-BN22, Class A3, 2.73%, 11/15/62 (Call 09/15/29) |
1,000 | 1,040,621 |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Series 2019-BN22, Class A4, 2.98%, 11/15/62 (Call 10/15/29) |
$ | 820 | $ | 871,915 | ||||
Series 2019-BN24, Class ASB, 2.93%, 11/15/62 (Call 03/15/29) |
1,000 | 1,059,960 | ||||||
Series 2019-BNK16, Class A4, 4.01%, 02/15/52 (Call 01/15/29) |
2,100 | 2,366,728 | ||||||
Series 2020, Class A5, 2.65%, 01/15/63 (Call 01/15/30) |
1,000 | 1,039,512 | ||||||
Series 2020-BN25, Class A3, 2.39%, 01/15/63 (Call 01/15/27) |
1,000 | 1,016,969 | ||||||
Series 2020-BN26, Class B, 2.91%, 03/15/63 (Call 03/15/30)(a) |
250 | 260,466 | ||||||
Series 2020-BN27, Class AS, 2.55%, 04/15/63 (Call 03/15/30) |
1,000 | 1,026,205 | ||||||
Series 2020-BN28, Class A4, 1.84%, 03/15/63 (Call 09/15/30) |
500 | 487,841 | ||||||
Series 2020-BN29, Class C, 3.03%, 11/15/53 (Call 12/15/30)(a) |
520 | 522,468 | ||||||
Series 2021-BN32, Class AS, 2.64%, 04/15/54 |
2,000 | 2,077,423 | ||||||
Series 2021-BN34, Class A5, 2.44%, 06/15/63 (Call 06/15/31) |
244 | 249,158 | ||||||
Series 2021-BN35, Class B, 2.53%, 06/15/64 (Call 07/15/31) |
1,000 | 998,366 | ||||||
Series2017-BNK4, Class A4, 3.63%, 05/15/50 (Call 03/15/27) |
1,000 | 1,092,407 | ||||||
Serise BN23, Class C, 3.62%, 12/15/52 (Call 12/15/29)(a) |
500 | 532,636 | ||||||
Barclays Commercial Mortgage Trust |
||||||||
Series 2019-C3, Class A4, 3.58%, 05/15/52 (Call 04/15/29) |
1,746 | 1,923,583 | ||||||
Series 2019-C4, Class A5, 2.92%, 08/15/52 (Call 07/15/29) |
2,000 | 2,115,124 | ||||||
Series 2019-C5, Class A2, 3.04%, 11/15/52 (Call 10/15/24) |
678 | 705,307 | ||||||
Series 2019-C5, Class A4, 3.06%, 11/15/52 (Call 10/15/29) |
2,000 | 2,137,300 | ||||||
BBCMS Mortgage Trust |
||||||||
BBCMS 2020-C7, Class AS, 2.44%, 04/15/53 (Call 03/15/30) |
300 | 301,971 | ||||||
Series 2017-C1, Class A2, 3.19%, 02/15/50 (Call 02/15/22) |
882 | 886,871 | ||||||
Series 2017-C1, Class A4, 3.67%, 02/15/50 (Call 02/15/27) |
2,000 | 2,180,405 | ||||||
Series 2018-C2, Class A5, 4.31%, 12/15/51 (Call 12/15/28) |
2,250 | 2,576,397 | ||||||
Series 2018-C2, Class C, 4.97%, 12/15/51 (Call 12/15/28)(a) |
250 | 285,408 | ||||||
Series 2020-C6, Class A4, 2.64%, 02/15/53 (Call 01/15/30) |
3,000 | 3,114,083 | ||||||
Series 2020-C8, Class A5, 2.04%, 10/15/53 (Call 10/15/30) |
1,000 | 990,210 | ||||||
BBCMS Trust |
||||||||
Class C, 2.84%, 07/15/54 (Call 06/15/31) |
500 | 495,364 | ||||||
Series 2021-C10, Class A5, 2.49%, 07/15/54 (Call 06/15/31) |
3,000 | 3,075,576 | ||||||
Series 2021-C10, Class AS, 2.68%, 07/15/54 (Call 06/15/31) |
1,000 | 1,024,112 | ||||||
Series 2021-C10, Class B, 2.49%, 07/15/54 (Call 06/15/31) |
1,000 | 1,000,111 | ||||||
Benchmark Mortgage Trust |
||||||||
BMARK 2020-B18 AM, Class AM, 2.34%, 07/15/53 (Call 07/11/30) |
430 | 429,210 | ||||||
Series 2018-B1, Class A2, 3.57%, 01/15/51 (Call 01/15/23) |
1,250 | 1,283,971 | ||||||
Series 2018-B1, Class A5, 3.67%, 01/15/51 (Call 12/15/27)(a) |
1,000 | 1,099,736 | ||||||
Series 2018-B1, Class AM, 3.88%, 01/15/51 (Call 12/15/27)(a) |
500 | 548,924 | ||||||
Series 2018-B2, Class A2, 3.66%, 02/15/51 (Call 12/15/24) |
600 | 614,592 | ||||||
Series 2018-B2, Class A4, 3.61%, 02/15/51 (Call 11/15/27) |
1,350 | 1,473,623 | ||||||
Series 2018-B2, Class A5, 3.88%, 02/15/51 (Call 01/15/28)(a) |
1,750 | 1,947,297 |
14 |
2 0 2 1 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) October 31, 2021 |
iShares® CMBS ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Series 2018-B2, Class AS, 4.08%, 02/15/51 (Call 01/15/28)(a) |
$ | 1,000 | $ | 1,109,759 | ||||
Series 2018-B2, Class C, 4.20%, 02/15/51 (Call 02/15/28)(a) |
500 | 541,505 | ||||||
Series 2018-B3, Class A5, 4.03%, 04/10/51 (Call 02/10/28) |
1,000 | 1,122,011 | ||||||
Series 2018-B4, Class A2, 3.98%, 07/15/51 |
478 | 498,305 | ||||||
Series 2018-B4, Class A5, 4.12%, 07/15/51(a) |
2,023 | 2,285,925 | ||||||
Series 2018-B4, Class ASB, 4.06%, 07/15/51(a) |
464 | 510,862 | ||||||
Series 2018-B4, Class C, 4.55%, 07/15/51(a) |
400 | 438,912 | ||||||
Series 2018-B5, Class A4, 4.21%, 07/15/51 (Call 07/15/28) |
2,500 | 2,842,586 | ||||||
Series 2018-B5, Class AS, 4.42%, 07/15/51 (Call 07/15/28) |
1,000 | 1,131,971 | ||||||
Series 2018-B5, Class B, 4.57%, 07/15/51 (Call 07/15/28) |
500 | 568,386 | ||||||
Series 2018-B7, Class A4, 4.51%, 05/15/53 (Call 10/15/28)(a) |
1,000 | 1,158,547 | ||||||
Series 2018-B7, Class B, 4.86%, 05/15/53 (Call 11/15/28)(a) |
400 | 461,861 | ||||||
Series 2018-B8, Class A4, 3.96%, 01/15/52 (Call 07/15/28) |
1,000 | 1,103,440 | ||||||
Series 2018-B8, Class A5, 4.23%, 01/15/52 (Call 12/15/28) |
1,000 | 1,140,354 | ||||||
Series 2018-B8, Class AS, 4.53%, 01/15/52 (Call 12/15/28)(a) |
1,563 | 1,788,725 | ||||||
Series 2019-B10, Class AM, 3.98%, 03/15/62 |
600 | 666,916 | ||||||
Series 2019-B11, Class A5, 3.54%, 05/15/52 (Call 05/15/29) |
1,000 | 1,100,310 | ||||||
Series 2019-B11, Class AS, 3.78%, 05/15/52 (Call 05/15/29) |
500 | 549,786 | ||||||
Series 2019-B11, Class B, 3.96%, 05/15/52 (Call 05/15/29)(a) |
500 | 554,239 | ||||||
Series 2019-B13, Class AM, 3.18%, 08/15/57 (Call 10/15/29) |
1,000 | 1,059,538 | ||||||
Series 2019-B13, Class C, 3.84%, 08/15/57 (Call 10/15/29)(a) |
500 | 530,612 | ||||||
Series 2019-B14, Class A5, 3.05%, 12/15/62 (Call 11/15/29) |
500 | 533,509 | ||||||
Series 2019-B9, Class A5, 4.02%, 03/15/52 (Call 01/15/29) |
1,000 | 1,127,547 | ||||||
Series 2019-B9, Class C, 4.97%, 03/15/52 (Call 01/15/29)(a) |
250 | 284,448 | ||||||
Series 2020-B16, Class A5, 2.73%, 02/15/53 (Call 01/15/30) |
1,990 | 2,077,904 | ||||||
Series 2020-B16, Class AM, 2.94%, 02/15/53 (Call 01/15/30)(a) |
1,000 | 1,041,852 | ||||||
Series 2020-B17, Class C, 3.37%, 03/15/53 (Call 03/15/30)(a) |
250 | 259,074 | ||||||
Series 2020-B19, Class B, 2.35%, 09/15/53 (Call 09/15/30) |
450 | 446,094 | ||||||
Series 2020-B20, Class B, 2.53%, 10/15/53 (Call 10/15/30) |
500 | 505,562 | ||||||
Series 2020-B21, Class A5, 2.25%, 12/17/53 (Call 12/15/30) |
500 | 494,566 | ||||||
Series 2020-B22, Class A5, 1.97%, 01/15/54 (Call 12/15/30) |
1,000 | 983,460 | ||||||
Series 2020-IG1, Class A3, 2.69%, 09/15/43 (Call 01/15/30) |
1,750 | 1,812,216 | ||||||
Series 2021-B23, Class AS, 2.27%, 02/15/54 (Call 02/15/31) |
500 | 495,332 | ||||||
Series 2021-B24, Class A4, 2.26%, 03/15/54 (Call 01/15/31) |
3,000 | 3,032,760 | ||||||
Series 2021-B25, Class A5, 2.58%, 04/15/54 (Call 04/15/31) |
2,000 | 2,065,479 | ||||||
Series 2021-B25, Class ASB, 2.27%, 04/15/54 (Call 03/15/31) |
650 | 660,400 | ||||||
Series 2021-B26, Class A5, 2.61%, 06/15/54 |
2,500 | 2,588,907 | ||||||
Series 2021-B26, Class AM, 2.83%, 06/15/54 |
500 | 520,313 | ||||||
Series 2021-B28, Class AS, 2.43%, 08/15/54(a) |
500 | 501,498 |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Series 2021-B29, Class A5, 2.39%, 09/15/54 (Call 08/15/31) |
$ | 830 | $ | 842,884 | ||||
Serise 2020-B17, Class A2, 2.21%, 03/15/53 (Call 03/15/25) |
1,000 | 1,016,497 | ||||||
Serise 2020-B17, Class A5, 2.29%, 03/15/53 (Call 02/15/30) |
1,000 | 1,011,902 | ||||||
CCUBS Commercial Mortgage Trust, Series 2017-C1, Class A4, 3.54%, 11/15/50 (Call 11/15/27)(a) |
1,510 | 1,646,108 | ||||||
CD Mortgage Trust |
||||||||
Series 2017-CD3, Class A4, 3.63%, 02/10/50 (Call 01/10/27) |
230 | 250,404 | ||||||
Series 2017-CD3, Class AS, 3.83%, 02/10/50 (Call 01/10/27) |
750 | 808,676 | ||||||
Series 2017-CD3, Class C, 4.55%, 02/10/50 (Call 01/10/27)(a) |
300 | 302,385 | ||||||
Series 2017-CD4, Class A4, 3.51%, 05/10/50 (Call 04/10/27)(a) |
1,000 | 1,084,641 | ||||||
Series 2017-CD5, Class A4, 3.43%, 08/15/50 (Call 07/15/27) |
750 | 813,856 | ||||||
Series 2017-CD6, Class C, 4.27%, 11/13/50 (Call 11/13/27)(a) |
500 | 539,932 | ||||||
Series 2018-CD7, Class ASB, 4.21%, 08/15/51 (Call 03/15/28) |
550 | 608,492 | ||||||
Series 2019-CD8, Class A4, 2.91%, 08/15/57 (Call 08/15/29) |
1,000 | 1,054,342 | ||||||
CFCRE Commercial Mortgage Trust |
||||||||
Series 2016-C3, Class A3, 3.87%, 01/10/48 (Call 12/10/25) |
500 | 541,449 | ||||||
Series 2016-C4, Class A4, 3.28%, 05/10/58 |
1,650 | 1,756,169 | ||||||
Series 2017-C8, Class ASB, 3.37%, 06/15/50 (Call 07/15/26) |
1,000 | 1,056,374 | ||||||
Series 2017-C8, Class B, 4.20%, 06/15/50 (Call 05/15/27)(a) |
750 | 815,012 | ||||||
Citigroup Commercial Mortgage Trust |
||||||||
Series 20116-P4, Class A4, 2.90%, 07/10/49 (Call 07/10/26) |
1,729 | 1,822,286 | ||||||
Series 2013-GC11, Class A3, 2.82%, 04/10/46 (Call 01/10/23) |
811 | 829,773 | ||||||
Series 2013-GC11, Class AS, 3.42%, 04/10/46 (Call 04/10/23) |
100 | 102,890 | ||||||
Series 2013-GC15, Class A4, 4.37%, 09/10/46 (Call 09/10/23)(a) |
750 | 792,479 | ||||||
Series 2014-GC19, Class A4, 4.02%, 03/10/47 (Call 01/10/24) |
500 | 530,724 | ||||||
Series 2014-GC21, Class A5, 3.86%, 05/10/47 |
2,085 | 2,214,765 | ||||||
Series 2014-GC23, Class A4, 3.62%, 07/10/47 (Call 07/10/24) |
750 | 795,135 | ||||||
Series 2014-GC23, Class AS, 3.86%, 07/10/47 (Call 07/10/24) |
250 | 265,873 | ||||||
Series 2014-GC23, Class C, 4.43%, 07/10/47 (Call 07/10/24)(a) |
250 | 263,237 | ||||||
Series 2014-GC25, Class A4, 3.64%, 10/10/47 (Call 09/10/24) |
1,000 | 1,065,397 | ||||||
Series 2014-GC25, Class AS, 4.02%, 10/10/47 (Call 09/10/24) |
953 | 1,014,471 | ||||||
Series 2014-GC25, Class B, 4.35%, 10/10/47 (Call 10/10/24)(a) |
100 | 106,328 | ||||||
Series 2015-GC27, Class A5, 3.14%, 02/10/48 (Call 12/10/24) |
1,190 | 1,248,864 | ||||||
Series 2015-GC29, Class C, 4.15%, 04/10/48 (Call 04/10/25)(a) |
250 | 265,158 |
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) October 31, 2021 |
iShares® CMBS ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Series 2015-GC31, Class A4, 3.76%, 06/10/48 (Call 06/10/25) |
$ | 750 | $ | 809,344 | ||||
Series 2015-GC33, Class A4, 3.78%, 09/10/58 (Call 09/10/25) |
1,500 | 1,619,276 | ||||||
Series 2015-GC35, Class AAB, 3.61%, 11/10/48 (Call 04/10/25) |
428 | 447,354 | ||||||
Series 2015-P1, Class A5, 3.72%, 09/15/48 (Call 07/15/25) |
356 | 384,527 | ||||||
Series 2016-C1, Class A4, 3.21%, 05/10/49 (Call 05/10/26) |
2,374 | 2,530,543 | ||||||
Series 2016-C2, Class A4, 2.83%, 08/10/49 (Call 08/10/26) |
1,000 | 1,051,018 | ||||||
Series 2016-C3, Class A4, 3.15%, 11/15/49 (Call 10/15/26) |
1,466 | 1,567,004 | ||||||
Series 2016-GC36, Class A4, 3.35%, 02/10/49 (Call 11/10/25) |
1,000 | 1,050,558 | ||||||
Series 2016-P3, Class A3, 3.06%, 04/15/49 (Call 01/15/26) |
1,500 | 1,558,942 | ||||||
Series 2016-P3, Class A4, 3.33%, 04/15/49 (Call 02/15/26) |
75 | 79,960 | ||||||
Series 2016-P6, Class AS, 4.03%, 12/10/49 (Call 11/10/26)(a) |
1,000 | 1,077,130 | ||||||
Series 2017-C4, Class A3, 3.21%, 10/12/50 (Call 08/12/27) |
1,000 | 1,061,342 | ||||||
Series 2017-P8, Class A3, 3.20%, 09/15/50 (Call 07/15/27) |
885 | 944,847 | ||||||
Series 2017-P8, Class AS, 3.79%, 09/15/50 (Call 09/15/27)(a) |
750 | 818,109 | ||||||
Series 2018-B2, Class A2, 3.79%, 03/10/51 (Call 03/10/23) |
1,000 | 1,032,539 | ||||||
Series 2018-B2, Class A4, 4.01%, 03/10/51 (Call 02/10/28) |
600 | 672,786 | ||||||
Series 2018-C5, Class A4, 4.23%, 06/10/51 (Call 05/10/28)(a) |
3,000 | 3,412,269 | ||||||
Series 2018-C6, Class A4, 4.41%, 11/10/51 (Call 11/10/28) |
1,199 | 1,381,148 | ||||||
Series 2019-C7, Class A4, 3.10%, 12/15/72 (Call 12/15/29) |
2,000 | 2,145,835 | ||||||
Series 2019-GC41, Class A5, 2.87%, 08/10/56 (Call 08/10/29) |
2,500 | 2,636,269 | ||||||
Series 2019-GC41, Class AS, 3.02%, 08/10/56 (Call 08/10/29) |
750 | 785,330 | ||||||
Series 2019-GC43, Class A2, 2.98%, 11/10/52 (Call 10/10/24) |
863 | 897,378 | ||||||
Series 2019-GC43, Class A4, 3.04%, 11/10/52 (Call 10/10/29) |
750 | 799,134 | ||||||
Series 2020-GC46, Class A5, 2.72%, 02/15/53 (Call 02/15/30) |
2,000 | 2,083,142 | ||||||
Series 2020-GC46, Class AS, 2.92%, 02/15/53 (Call 02/15/30)(a) |
500 | 525,039 | ||||||
Series 2020-GC46, Class B, 3.15%, 02/15/53 (Call 02/15/30)(a) |
234 | 246,820 | ||||||
COMM Mortgage Trust |
||||||||
Series 2012-CR1, Class A3, 3.39%, 05/15/45 (Call 04/15/22) |
175 | 175,749 | ||||||
Series 2013-CR11, Class AM, 4.72%, 08/10/50 (Call 09/10/23)(a) |
250 | 265,327 | ||||||
Series 2013-CR6, Class ASB, 2.62%, 03/10/46 (Call 12/10/22) |
154 | 155,548 | ||||||
Series 2013-CR8, Class A5, 3.61%, 06/10/46 (Call 05/10/23)(a) |
1,605 | 1,665,469 | ||||||
Series 2013-CR9, Class A4, 4.25%, 07/10/45(a) |
1,200 | 1,256,661 | ||||||
Series 2013-LC13, Class A5, 4.21%, 08/10/46 (Call 08/10/23) |
778 | 814,732 | ||||||
Series 2013-LC6, Class AM, 3.28%, 01/10/46 (Call 01/10/23) |
100 | 102,209 | ||||||
Series 2013-LC6, Class ASB, 2.48%, 01/10/46 (Call 09/10/22) |
60 | 60,697 | ||||||
Series 2013-LC6, Class B, 3.74%, 01/10/46 (Call 01/10/23) |
430 | 440,523 | ||||||
Series 2014-CR14, Class C, 4.61%, 02/10/47 (Call 01/10/24)(a) |
200 | 208,118 |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Series 2014-CR15, Class A4, 4.07%, 02/10/47 (Call 01/10/24)(a) |
$ | 400 | $ | 423,843 | ||||
Series 2014-CR16, Class A4, 4.05%, 04/10/47 (Call 03/10/24) |
500 | 531,819 | ||||||
Series 2014-CR16, Class ASB, 3.65%, 04/10/47 (Call 01/10/24) |
94 | 97,159 | ||||||
Series 2014-CR17, Class A5, 3.98%, 05/10/47 (Call 04/10/24) |
500 | 532,322 | ||||||
Series 2014-CR17, Class B, 4.38%, 05/10/47 (Call 05/10/24) |
292 | 306,868 | ||||||
Series 2014-CR18, Class AM, 4.10%, 07/15/47 (Call 06/15/24) |
300 | 318,683 | ||||||
Series 2014-CR19, Class A5, 3.80%, 08/10/47 (Call 08/10/24) |
438 | 466,998 | ||||||
Series 2014-CR19, Class B, 4.70%, 08/10/47 (Call 08/10/24)(a) |
850 | 915,721 | ||||||
Series 2014-CR20, Class AM, 3.94%, 11/10/47 (Call 10/10/24) |
250 | 265,350 | ||||||
Series 2014-LC15, Class A4, 4.01%, 04/10/47 |
1,945 | 2,064,117 | ||||||
Series 2014-LC17, Class A5, 3.92%, 10/10/47 (Call 09/10/24) |
675 | 722,612 | ||||||
Series 2014-UBS2, Class A5, 3.96%, 03/10/47 (Call 02/10/24) |
1,521 | 1,612,213 | ||||||
Series 2014-UBS2, Class AM, 4.20%, 03/10/47 (Call 02/10/24) |
425 | 450,040 | ||||||
Series 2014-UBS3, Class C, 4.74%, 06/10/47 (Call 05/10/24)(a) |
150 | 158,002 | ||||||
Series 2014-UBS4, Class A4, 3.42%, 08/10/47 (Call 06/10/24) |
250 | 259,829 | ||||||
Series 2014-UBS4, Class A5, 3.69%, 08/10/47 (Call 07/10/24) |
500 | 529,782 | ||||||
Series 2014-UBS4, Class AM, 3.97%, 08/10/47 (Call 07/10/24) |
500 | 530,479 | ||||||
Series 2014-UBS4, Class B, 4.35%, 08/10/47 (Call 07/10/24) |
250 | 262,802 | ||||||
Series 2014-UBS5, Class A4, 3.84%, 09/10/47 (Call 09/10/24) |
730 | 778,441 | ||||||
Series 2014-UBS6, Class A4, 3.38%, 12/10/47 (Call 10/10/24) |
1,000 | 1,052,468 | ||||||
Series 2014-UBS6, Class A5, 3.64%, 12/10/47 (Call 11/10/24) |
500 | 531,141 | ||||||
Series 2015-CR22, Class A5, 3.31%, 03/10/48 |
500 | 529,121 | ||||||
Series 2015-CR22, Class AM, 3.60%, 03/10/48(a) |
200 | 211,996 | ||||||
Series 2015-CR22, Class ASB, 3.14%, 03/10/48 |
1,690 | 1,747,110 | ||||||
Series 2015-CR22, Class C, 4.11%, 03/10/48(a) |
300 | 314,599 | ||||||
Series 2015-CR23, Class A4, 3.50%, 05/10/48 |
500 | 533,217 | ||||||
Series 2015-CR24, Class B, 4.38%, 08/10/48 (Call 07/10/25)(a) |
750 | 802,857 | ||||||
Series 2015-CR24, Class D, 3.46%, 08/10/48 (Call 08/10/25)(a) |
200 | 185,869 | ||||||
Series 2015-CR25, Class A4, 3.76%, 08/10/48 (Call 08/10/25) |
750 | 809,955 | ||||||
Series 2015-CR25, Class ASB, 3.54%, 08/10/48 (Call 04/10/25) |
783 | 816,018 | ||||||
Series 2015-CR25, Class B, 4.53%, 08/10/48 (Call 08/10/25)(a) |
300 | 322,128 | ||||||
Series 2015-CR26, Class A4, 3.63%, 10/10/48 (Call 08/10/25) |
2,398 | 2,579,797 | ||||||
Series 2015-DC1, Class A5, 3.35%, 02/10/48 (Call 01/10/25) |
750 | 793,252 |
16 |
2 0 2 1 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) October 31, 2021 |
iShares® CMBS ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Series 2015-DC1, Class B, 4.04%, 02/10/48 (Call 01/10/25)(a) |
$ | 1,000 | $ | 1,053,092 | ||||
Series 2015-DC1, Class C, 4.31%, 02/10/48 (Call 01/10/25)(a) |
250 | 252,431 | ||||||
Series 2015-LC19, Class A4, 3.18%, 02/10/48 (Call 01/10/25) |
1,000 | 1,055,397 | ||||||
Series 2015-LC21, Class A4, 3.71%, 07/10/48 (Call 05/10/25) |
500 | 536,629 | ||||||
Series 2015-LC23, Class A4, 3.77%, 10/10/48 |
1,000 | 1,082,880 | ||||||
Series 2015-PC1, Class A5, 3.90%, 07/10/50 (Call 05/10/25) |
1,533 | 1,651,328 | ||||||
Series 2015-PC1, Class ASB, 3.61%, 07/10/50 (Call 11/10/24) |
143 | 148,978 | ||||||
Series 2016-CR28, Class A4, 3.76%, 02/10/49 |
2,000 | 2,164,466 | ||||||
Series 2016-CR28, Class C, 4.64%, 02/10/49(a) |
604 | 645,305 | ||||||
Series 2016-DC2, Class A4, 3.50%, 02/10/49 (Call 12/10/25) |
418 | 443,976 | ||||||
Series 2016-DC2, Class AM, 4.24%, 02/10/49 (Call 02/10/26) |
750 | 813,938 | ||||||
Series 2016-DC2, Class ASB, 3.55%, 02/10/49 (Call 08/10/25) |
857 | 900,361 | ||||||
Series 2016-DC2, Class C, 4.67%, 02/10/49 (Call 02/10/26)(a) |
250 | 264,959 | ||||||
Series 2017-COR2, Class C, 4.56%, 09/10/50 (Call 08/10/27)(a) |
750 | 820,076 | ||||||
Series 2018-COR3, Class A3, 4.23%, 05/10/51 (Call 04/10/28) |
750 | 845,489 | ||||||
Series 2018-COR3, Class B, 4.51%, 05/10/51 (Call 04/10/28)(a) |
500 | 566,722 | ||||||
Series 2018-COR3, Class C, 4.56%, 05/10/51 (Call 04/10/28)(a) |
500 | 540,757 | ||||||
Series 2019-GC44, Class A5, 2.95%, 08/15/57 (Call 11/15/29) |
1,000 | 1,066,153 | ||||||
CSAIL Commercial Mortgage Trust |
||||||||
Series 2015-C1, Class A4, 3.51%, 04/15/50 (Call 01/15/25) |
500 | 529,821 | ||||||
Series 2015-C1, Class AS, 3.79%, 04/15/50 (Call 01/15/25)(a) |
435 | 461,678 | ||||||
Series 2015-C2, Class A4, 3.50%, 06/15/57 (Call 04/15/25) |
500 | 531,841 | ||||||
Series 2015-C2, Class AS, 3.85%, 06/15/57 (Call 04/15/25)(a) |
700 | 735,071 | ||||||
Series 2015-C3, Class A4, 3.72%, 08/15/48 (Call 07/15/25) |
650 | 697,472 | ||||||
Series 2015-C4, Class A3, 3.54%, 11/15/48 |
1,489 | 1,588,587 | ||||||
Series 2015-C4, Class A4, 3.81%, 11/15/48 |
1,464 | 1,583,311 | ||||||
Series 2015-C4, Class D, 3.56%, 11/15/48(a) |
250 | 247,569 | ||||||
Series 2016-C5, Class C, 4.65%, 11/15/48 (Call 11/15/25)(a) |
750 | 793,692 | ||||||
Series 2016-C6, Class C, 4.92%, 01/15/49 (Call 04/15/26)(a) |
350 | 370,509 | ||||||
Series 2016-C7, Class A4, 3.21%, 11/15/49 (Call 07/15/26) |
193 | 204,039 | ||||||
Series 2016-C7, Class AS, 3.96%, 11/15/49 (Call 10/15/26)(a) |
1,000 | 1,075,545 | ||||||
Series 2017-CX9, Class A5, 3.45%, 09/15/50 |
1,000 | 1,080,605 | ||||||
Series 2018-CX11, Class A5, 4.03%, 04/15/51 (Call 02/15/28)(a) |
1,000 | 1,116,054 | ||||||
Series 2019-C15, Class A2, 3.45%, 03/15/52 |
1,105 | 1,155,139 | ||||||
Series 2019-C15, Class A3, 3.78%, 03/15/52 |
1,000 | 1,094,082 | ||||||
Series 2019-C15, Class B, 4.48%, 03/15/52 |
1,000 | 1,111,911 | ||||||
Series 2019-C17, Class A5, 3.02%, 09/15/52 |
2,000 | 2,120,024 | ||||||
Series 2019-C18, Class ASB, 2.87%, 12/15/52 |
500 | 529,673 | ||||||
Series 2020-C19, Class A3, 2.56%, 03/15/53 |
500 | 514,260 |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
DBGS Mortgage Trust, Series 2018-C1, Class A4, 4.47%, 10/15/51 |
$ | 1,400 | $ | 1,611,871 | ||||
DBJPM Mortgage Trust |
||||||||
Series 2016-C1, Class A4, 3.28%, 05/10/49 (Call 02/10/26) |
1,000 | 1,061,948 | ||||||
Series 2016-C1, Class ASB, 3.04%, 05/10/49 (Call 12/10/25) |
446 | 463,921 | ||||||
Series 2016-C1, Class B, 4.20%, 05/10/49 (Call 03/10/26)(a) |
1,160 | 1,229,115 | ||||||
Series 2016-C1, Class C, 3.33%, 05/10/49 (Call 03/10/26)(a) |
468 | 455,510 | ||||||
Series 2017-C6, Class A3, 3.27%, 06/10/50 (Call 06/10/24) |
750 | 778,157 | ||||||
Federal National Mortgage Association |
||||||||
Series 2016-M1, Class A2, 2.94%, 01/25/26(a) |
937 | 994,123 | ||||||
Series 2016-M10, Class AV2, 3.00%, 11/25/45 |
500 | 542,684 | ||||||
Series 2016-M12, Class AV2, 2.31%, 10/25/23 |
493 | 501,562 | ||||||
Series 2016-M5, Class A2, 2.47%, 04/25/26 |
500 | 522,186 | ||||||
Series 2017-M1, Class A2, 2.41%, 10/25/26(a) |
856 | 896,650 | ||||||
Series 2017-M14, Class A2, 2.87%, 11/25/27(a) |
1,830 | 1,975,071 | ||||||
Series 2019-M1, Class A1, 3.36%, 09/25/28 |
766 | 821,454 | ||||||
Series 2020-M1, Class A1, 2.15%, 10/25/29 |
2,016 | 2,088,591 | ||||||
Series 2020-M1, Class A2, 2.44%, 10/25/29 |
4,530 | 4,804,316 | ||||||
Series 2020-M14, Class A2, 1.78%, 05/25/30 |
1,000 | 1,010,105 | ||||||
Series 2020-M20, Class A2, 1.44%, 10/25/29 |
250 | 246,615 | ||||||
Series 2020-M5, Class A3, 2.19%, 01/25/30 |
1,000 | 1,040,734 | ||||||
Series 2020-M8, Class A2, 1.82%, 02/25/30 |
100 | 101,214 | ||||||
Series 2021-M4, Class A2, 1.47%, 02/25/31(a) |
1,500 | 1,470,272 | ||||||
Series 2019-M6, Class A2, 3.45%, 01/01/29 |
1,000 | 1,123,658 | ||||||
Serise 2015-M15, Class A2, 2.92%, 10/25/25(a) |
944 | 993,577 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates |
||||||||
Series K039, Class A2, 3.30%, 07/25/24 (Call 07/25/24) |
263 | 278,319 | ||||||
Series K056, Class A1, 2.20%, 07/25/25 (Call 05/25/25) |
1,091 | 1,117,174 | ||||||
Series K057, Class A2, 2.57%, 07/25/26 (Call 07/25/26) |
1,725 | 1,818,624 | ||||||
Series K070, Class A1, 3.03%, 04/25/27 (Call 04/25/27) |
1,694 | 1,775,261 | ||||||
Series K078, Class A1, 3.67%, 01/25/28 (Call 01/25/28) |
1,369 | 1,488,810 | ||||||
Series K089, Class A1, 3.34%, 10/25/28 (Call 10/25/28) |
3,260 | 3,539,059 | ||||||
Series K095, Class A2, 2.79%, 06/25/29 (Call 06/25/29) |
1,175 | 1,271,989 | ||||||
Series K098, Class A2, 2.43%, 08/25/29 (Call 08/25/29) |
500 | 529,244 | ||||||
Series K099, Class A2, 2.60%, 09/25/29 (Call 09/25/29) |
1,811 | 1,939,639 | ||||||
Series K104, Class A2, 2.25%, 01/25/30 (Call 01/25/30) |
2,005 | 2,095,334 | ||||||
Series K106, Class A1, 1.78%, 10/25/29 (Call 10/25/29) |
4,425 | 4,522,127 | ||||||
Series K107, Class A2, 1.64%, 01/25/30 (Call 01/25/30) |
3,250 | 3,253,923 | ||||||
Series K109, Class A2, 1.56%, 04/25/30 (Call 04/25/30) |
2,000 | 1,987,984 | ||||||
Series K110, Class A1, 1.02%, 09/25/29 (Call 09/25/29) |
988 | 965,097 | ||||||
Series K114, Class A2, 1.37%, 06/25/30 (Call 06/25/30) |
4,010 | 3,920,230 | ||||||
Series K118, Class A1, 0.79%, 03/25/30 (Call 03/25/30) |
1,955 | 1,877,846 | ||||||
Series K118, Class A2, 1.49%, 09/25/30 (Call 09/25/30) |
2,500 | 2,466,617 | ||||||
Series K119, Class A2, 1.57%, 09/25/30 (Call 09/25/30) |
3,000 | 2,977,375 | ||||||
Series K120, Class A2, 1.50%, 10/25/30 (Call 10/25/30) |
4,000 | 3,946,229 | ||||||
Series K121, Class A2, 1.55%, 10/25/30 (Call 10/25/30) |
1,500 | 1,485,547 | ||||||
Series K123, Class A2, 1.62%, 12/25/30 (Call 12/25/30) |
600 | 597,726 | ||||||
Series K124, Class A2, 1.66%, 12/25/30 (Call 12/25/30) |
2,300 | 2,297,801 | ||||||
Series K126, Class A2, 2.07%, 01/25/31 (Call 01/25/31) |
2,000 | 2,066,085 | ||||||
Series K127, Class A2, 2.11%, 01/25/31 (Call 01/25/31) |
7,500 | 7,784,596 | ||||||
Series K128, Class A2, 2.02%, 03/25/31 (Call 03/25/31) |
4,000 | 4,110,188 | ||||||
Series K131, Class A2, 1.85%, 07/25/31 (Call 07/25/31) |
3,000 | 3,040,289 | ||||||
Series K132, Class A2, 2.02%, 08/25/31 (Call 08/25/31) |
1,000 | 1,028,590 | ||||||
Series K-1511, Class A2, 3.47%, 03/25/31 (Call 03/25/31) |
1,000 | 1,150,525 | ||||||
Series K-1516, Class A2, 1.72%, 05/25/35 (Call 05/25/35) |
1,825 | 1,749,115 | ||||||
Series K-1517, Class A2, 1.72%, 07/25/35 (Call 07/25/35) |
500 | 479,412 | ||||||
Series K-1518, Class A2, 1.86%, 10/25/35 (Call 10/25/35) |
2,500 | 2,434,226 |
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) October 31, 2021 |
iShares® CMBS ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Series K152, Class A1, 2.83%, 05/25/30 (Call 05/25/30) |
$ | 1,218 | $ | 1,307,014 | ||||
Series K-1520, Class A2, 2.44%, 02/25/36 (Call 02/25/36) |
2,000 | 2,079,959 | ||||||
Series K-1521, Class A2, 2.18%, 08/25/36 (Call 08/25/36) |
1,000 | 1,010,900 | ||||||
Series K155, Class A1, 3.75%, 11/25/29 (Call 11/25/29) |
494 | 549,778 | ||||||
Series K156, Class A3, 3.70%, 06/25/33 (Call 06/25/33)(a) |
500 | 584,087 | ||||||
Series K727, Class A2, 2.95%, 07/25/24 (Call 07/25/24) |
1,000 | 1,040,191 | ||||||
Series K735, Class A2, 2.86%, 05/25/26 (Call 05/25/26) |
2,000 | 2,124,451 | ||||||
Series K737, Class AM, 2.10%, 10/25/26 (Call 10/25/26) |
300 | 309,966 | ||||||
Series K740, Class A2, 1.47%, 09/25/27 (Call 09/25/27) |
2,000 | 2,005,975 | ||||||
Series K741, Class A2, 1.60%, 12/25/27 (Call 12/25/27) |
1,120 | 1,130,819 | ||||||
Series K742, Class A2, 1.76%, 03/25/28 (Call 03/25/28) |
2,550 | 2,596,800 | ||||||
Series K742, Class AM, 1.37%, 04/25/28 (Call 04/25/28) |
1,400 | 1,386,217 | ||||||
Series K745, Class A2, 1.66%, 08/25/28 (Call 08/25/28) |
3,000 | 3,033,991 | ||||||
GS Mortgage Securities Corp. II, Series 2013-GC10, Class A5, 2.94%, 02/10/46 (Call 01/10/23) |
400 | 409,066 | ||||||
GS Mortgage Securities Trust |
||||||||
Series 2012-GCJ9, Class AS, 3.12%, 11/10/45 (Call 11/10/22) |
200 | 203,792 | ||||||
Series 2013-GC12, Class AS, 3.38%, 06/10/46 (Call 05/10/23) |
300 | 309,460 | ||||||
Series 2013-GC12, Class B, 3.78%, 06/10/46 (Call 05/10/23)(a) |
115 | 118,677 | ||||||
Series 2013-GC14, Class A5, 4.24%, 08/10/46 (Call 07/10/23) |
550 | 578,346 | ||||||
Series 2013-GC16, Class A4, 4.27%, 11/10/46 (Call 10/10/23) |
3,500 | 3,698,360 | ||||||
Series 2013-GC16, Class AS, 4.65%, 11/10/46 (Call 11/10/23) |
150 | 158,904 | ||||||
Series 2013-GC16, Class C, 5.31%, 11/10/46 (Call 11/10/23)(a) |
100 | 103,110 | ||||||
Series 2014-GC18, Class AS, 4.38%, 01/10/47 (Call 01/10/24) |
650 | 673,418 | ||||||
Series 2014-GC20, Class A5, 4.00%, 04/10/47 |
400 | 424,501 | ||||||
Series 2014-GC20, Class B, 4.53%, 04/10/47(a) |
250 | 256,106 | ||||||
Series 2014-GC22, Class A5, 3.86%, 06/10/47 (Call 05/10/24) |
2,640 | 2,807,468 | ||||||
Series 2014-GC22, Class AS, 4.11%, 06/10/47 (Call 05/10/24) |
250 | 264,541 | ||||||
Series 2014-GC24, Class AAB, 3.65%, 09/10/47 (Call 06/10/24) |
340 | 352,890 | ||||||
Series 2014-GC26, Class A5, 3.63%, 11/10/47 (Call 11/10/24) |
750 | 797,741 | ||||||
Series 2015-GC30, Class AAB, 3.12%, 05/10/50 (Call 10/10/24) |
321 | 330,977 | ||||||
Series 2015-GC30, Class AS, 3.78%, 05/10/50 (Call 05/10/25)(a) |
500 | 534,156 | ||||||
Series 2015-GC32, Class A3, 3.50%, 07/10/48 (Call 06/10/25) |
600 | 632,768 | ||||||
Series 2015-GC32, Class C, 4.42%, 07/10/48 (Call 07/10/25)(a) |
804 | 848,475 | ||||||
Series 2015-GC34, Class A4, 3.51%, 10/10/48 (Call 09/10/25) |
2,500 | 2,676,044 | ||||||
Series 2016-GS2, Class A4, 3.05%, 05/10/49 (Call 02/10/26) |
1,170 | 1,237,446 | ||||||
Series 2016-GS3, Class A3, 2.59%, 10/10/49 (Call 08/10/26) |
1,291 | 1,338,783 | ||||||
Series 2016-GS3, Class A4, 2.85%, 10/10/49 (Call 09/10/26) |
780 | 818,691 | ||||||
Series 2016-GS4, Class A4, 3.44%, 11/10/49(a) |
39 | 42,049 |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Series 2017-GS7, Class A3, 3.17%, 08/10/50 (Call 05/10/27) |
$ | 1,000 | $ | 1,066,575 | ||||
Series 2017-GS7, Class AAB, 3.20%, 08/10/50 (Call 03/10/27) |
910 | 960,428 | ||||||
Series 2017-GS7, Class B, 3.88%, 08/10/50 (Call 07/10/27) |
500 | 540,270 | ||||||
Series 2018-GS9, Class A4, 3.99%, 03/10/51 (Call 02/10/28)(a) |
1,000 | 1,117,321 | ||||||
Series 2019-GC38, Class A4, 3.97%, 02/10/52 (Call 01/10/29) |
750 | 845,408 | ||||||
Series 2019-GC40, Class A4, 3.16%, 07/10/52 (Call 06/10/29) |
1,131 | 1,215,995 | ||||||
Series 2019-GSA1, Class C, 3.80%, 11/10/52 (Call 10/10/29)(a) |
500 | 532,566 | ||||||
Series 2020-GC45, Class A4, 2.66%, 02/13/53 (Call 11/13/29) |
775 | 803,872 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust |
||||||||
Series 2015-JP1, Class A4, 3.65%, 01/15/49 (Call 11/15/25) |
1,000 | 1,074,456 | ||||||
Series 2015-JP1, Class AS, 4.12%, 01/15/49 (Call 12/15/25)(a) |
750 | 812,597 | ||||||
Series 2016-JP3, Class AS, 3.14%, 08/15/49 (Call 09/15/26) |
1,000 | 1,047,437 | ||||||
Series 2016-JP3, Class B, 3.40%, 08/15/49 (Call 09/15/26)(a) |
108 | 110,890 | ||||||
JPMBB Commercial Mortgage Securities Trust |
||||||||
Series 2013-C12, Class AS, 4.04%, 07/15/45 (Call 05/15/23)(a) |
500 | 520,163 | ||||||
Series 2013-C14, Class A4, 4.13%, 08/15/46 (Call 07/15/23)(a) |
513 | 534,562 | ||||||
Series 2013-C14, Class AS, 4.41%, 08/15/46 (Call 07/15/23)(a) |
150 | 155,106 | ||||||
Series 2013-C14, Class B, 4.55%, 08/15/46 (Call 07/15/23)(a) |
500 | 510,016 | ||||||
Series 2013-C15, Class B, 4.93%, 11/15/45 (Call 10/15/23)(a) |
200 | 211,898 | ||||||
Series 2013-C15, Class C, 5.19%, 11/15/45 (Call 10/15/23)(a) |
110 | 116,723 | ||||||
Series 2013-C17, Class A4, 4.20%, 01/15/47 (Call 12/15/23) |
490 | 519,848 | ||||||
Series 2013-C17, Class C, 4.89%, 01/15/47 (Call 12/15/23)(a) |
100 | 103,559 | ||||||
Series 2014-C18, Class A5, 4.08%, 02/15/47 (Call 02/15/24) |
1,400 | 1,486,670 | ||||||
Series 2014-C18, Class AS, 4.44%, 02/15/47 (Call 02/15/24)(a) |
1,200 | 1,263,763 | ||||||
Series 2014-C18, Class ASB, 3.57%, 02/15/47 (Call 07/15/23) |
618 | 634,788 | ||||||
Series 2014-C18, Class B, 4.80%, 02/15/47 (Call 02/15/24)(a) |
225 | 236,340 | ||||||
Series 2014-C19, Class C, 4.66%, 04/15/47 (Call 04/15/24)(a) |
200 | 211,349 | ||||||
Series 2014-C21, Class A4, 3.49%, 08/15/47 (Call 05/15/24) |
646 | 672,042 | ||||||
Series 2014-C21, Class A5, 3.77%, 08/15/47 (Call 06/15/24) |
2,835 | 3,008,146 | ||||||
Series 2014-C21, Class ASB, 3.43%, 08/15/47 (Call 02/15/24) |
205 | 211,558 | ||||||
Series 2014-C22, Class A4, 3.80%, 09/15/47 (Call 08/15/24) |
750 | 798,361 | ||||||
Series 2014-C22, Class C, 4.55%, 09/15/47 (Call 08/15/24)(a) |
200 | 195,007 |
18 |
2 0 2 1 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) October 31, 2021 |
iShares® CMBS ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Series 2014-C23, Class A5, 3.93%, 09/15/47 (Call 09/15/24) |
$ | 1,144 | $ | 1,224,445 | ||||
Series 2014-C23, Class ASB, 3.66%, 09/15/47 (Call 07/15/24) |
206 | 213,956 | ||||||
Series 2014-C25, Class AS, 4.07%, 11/15/47 (Call 10/15/24) |
222 | 237,875 | ||||||
Series 2014-C25, Class B, 4.35%, 11/15/47 (Call 11/15/24)(a) |
185 | 194,488 | ||||||
Series 2015-C27, Class AS, 3.63%, 02/15/48 (Call 01/15/25) |
500 | 528,109 | ||||||
Series 2015-C28, Class A3, 2.91%, 10/15/48 (Call 01/15/25) |
978 | 1,003,009 | ||||||
Series 2015-C28, Class ASB, 3.04%, 10/15/48 (Call 11/15/24) |
347 | 357,743 | ||||||
Series 2015-C29, Class A4, 3.61%, 05/15/48 (Call 04/15/25) |
2,500 | 2,673,550 | ||||||
Series 2015-C29, Class ASB, 3.30%, 05/15/48 (Call 11/15/24) |
358 | 371,403 | ||||||
Series 2015-C29, Class B, 4.12%, 05/15/48 (Call 05/15/25)(a) |
250 | 259,770 | ||||||
Series 2015-C30, Class AS, 4.23%, 07/15/48 (Call 07/15/25)(a) |
635 | 687,669 | ||||||
Series 2015-C31, Class A3, 3.80%, 08/15/48 (Call 08/15/25) |
1,085 | 1,163,238 | ||||||
Series 2015-C33, Class A4, 3.77%, 12/15/48 (Call 11/15/25) |
1,000 | 1,086,458 | ||||||
Series 2016-C1, Class A5, 3.58%, 03/15/49 (Call 01/15/26) |
822 | 884,005 | ||||||
Series 2016-C1, Class B, 4.73%, 03/15/49 (Call 02/15/26)(a) |
450 | 486,690 | ||||||
Series 2016-C1, Class C, 4.73%, 03/15/49 (Call 02/15/26)(a) |
400 | 421,410 | ||||||
JPMCC Commercial Mortgage Securities Trust |
||||||||
JPMCC 2017-JP5, Class ASB, 3.55%, 03/15/50 |
130 | 138,053 | ||||||
Series 2017-JP5, Class A3, 3.34%, 03/15/50 |
250 | 253,951 | ||||||
Series 2017-JP5, Class A5, 3.72%, 03/15/50 |
1,300 | 1,421,508 | ||||||
Series 2017-JP5, Class AS, 3.88%, 03/15/50(a) |
650 | 708,107 | ||||||
Series 2017-JP6, Class A5, 3.49%, 07/15/50 (Call 04/15/27) |
300 | 325,272 | ||||||
Series 2017-JP6, Class AS, 3.74%, 07/15/50 (Call 05/15/27) |
400 | 433,966 | ||||||
Series 2017-JP7, Class A5, 3.45%, 09/15/50 (Call 07/15/27) |
1,000 | 1,082,461 | ||||||
Series 2019-COR4, Class ASB, 3.94%, 03/10/52 (Call 03/10/28) |
1,000 | 1,096,629 | ||||||
Series 2019-COR5, Class A2, 3.15%, 06/13/52 (Call 05/13/24) |
360 | 374,993 | ||||||
Series 2019-COR5, Class A4, 3.39%, 06/13/52 (Call 04/13/29) |
1,200 | 1,298,847 | ||||||
JPMDB Commercial Mortgage Securities Trust |
||||||||
Series 2016-C2, Class A4, 3.14%, 06/15/49 (Call 04/15/26) |
1,000 | 1,057,370 | ||||||
Series 2016-C2, Class B, 3.99%, 06/15/49 (Call 05/15/26)(a) |
750 | 768,177 | ||||||
Series 2017-C5, Class A5, 3.69%, 03/15/50 (Call 01/15/27) |
2,100 | 2,285,940 | ||||||
Series 2017-C7, Class A3, 3.05%, 10/15/50 (Call 07/15/24) |
1,200 | 1,244,748 | ||||||
Series 2017-C7, Class A5, 3.41%, 10/15/50 (Call 08/15/27) |
3,050 | 3,305,118 | ||||||
Series 2019-COR6, Class A4, 3.06%, 11/13/52 (Call 10/13/29) |
955 | 1,017,311 | ||||||
Series 2020-COR7, Class A5, 2.18%, 05/13/53 (Call 03/13/30) |
539 | 540,609 |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
||||||||
Series 2012-C8, Class ASB, 2.38%, 10/15/45 (Call 05/15/22) |
$ | 45 | $ | 44,852 | ||||
Series 2013-C10, Class A5, 3.14%, 12/15/47 (Call 02/15/23) |
589 | 602,909 | ||||||
Series 2013-C10, Class AS, 3.37%, 12/15/47 (Call 02/15/23) |
1,100 | 1,128,707 | ||||||
Series 2013-C10, Class B, 3.67%, 12/15/47 (Call 02/15/23)(a) |
1,100 | 1,130,538 | ||||||
Series 2013-C10, Class C, 4.10%, 12/15/47 (Call 02/15/23)(a) |
200 | 202,053 | ||||||
Series 2013-C13, Class A4, 3.99%, 01/15/46 (Call 06/15/23)(a) |
205 | 214,132 | ||||||
Series 2013-C13, Class ASB, 3.41%, 01/15/46 (Call 03/15/23) |
17 | 17,035 | ||||||
Series 2013-LC11, Class A5, 2.96%, 04/15/46 (Call 04/15/23) |
500 | 513,207 | ||||||
Series 2014-C20, Class A5, 3.80%, 07/15/47 (Call 05/15/24) |
500 | 529,912 | ||||||
Series 2014-C20, Class B, 4.40%, 07/15/47 (Call 06/15/24)(a) |
100 | 105,882 | ||||||
Series 2015-JP1, Class A5, 3.91%, 01/15/49 (Call 12/15/25) |
2,462 | 2,677,594 | ||||||
Series 2016-JP2, Class A4, 2.82%, 08/15/49 (Call 07/15/26) |
1,023 | 1,072,814 | ||||||
Series 2016-JP2, Class AS, 3.06%, 08/15/49 (Call 07/15/26) |
700 | 717,921 | ||||||
Series 2016-JP4, Class A4, 3.65%, 12/15/49 (Call 11/15/26)(a) |
1,090 | 1,185,782 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust |
||||||||
Series 2012-C6, Class A4, 2.86%, 11/15/45 (Call 09/15/22) |
1,131 | 1,143,895 | ||||||
Series 2012-C6, Class AS, 3.48%, 11/15/45 (Call 09/15/22) |
500 | 509,814 | ||||||
Series 2013-C09, Class A4, 3.10%, 05/15/46 (Call 04/15/23) |
1,500 | 1,537,159 | ||||||
Series 2013-C10, Class A4, 4.08%, 07/15/46 (Call 06/15/23)(a) |
1,000 | 1,041,661 | ||||||
Series 2013-C10, Class ASB, 3.91%, 07/15/46 (Call 01/15/23)(a) |
71 | 72,616 | ||||||
Series 2013-C11, Class A3, 3.96%, 08/15/46 (Call 05/15/23) |
479 | 491,762 | ||||||
Series 2013-C11, Class A4, 4.15%, 08/15/46 (Call 07/15/23)(a) |
800 | 836,268 | ||||||
Series 2013-C13, Class A4, 4.04%, 11/15/46 (Call 11/15/23) |
1,100 | 1,161,390 | ||||||
Series 2013-C13, Class C, 4.90%, 11/15/46 (Call 11/15/23)(a) |
230 | 231,014 | ||||||
Series 2013-C7, Class AAB, 2.47%, 02/15/46 (Call 11/15/22) |
34 | 34,538 | ||||||
Series 2013-C7, Class AS, 3.21%, 02/15/46 (Call 01/15/23) |
1,621 | 1,656,255 | ||||||
Series 2013-C7, Class B, 3.77%, 02/15/46 (Call 01/15/23) |
200 | 201,374 | ||||||
Series 2013-C8, Class B, 3.53%, 12/15/48 (Call 02/15/23)(a) |
200 | 204,055 | ||||||
Series 2014-C14, Class A5, 4.06%, 02/15/47 (Call 12/15/23) |
1,000 | 1,057,737 | ||||||
Series 2014-C14, Class AS, 4.38%, 02/15/47 (Call 01/15/24)(a) |
200 | 212,192 | ||||||
Series 2014-C14, Class B, 4.86%, 02/15/47 (Call 01/15/24)(a) |
200 | 213,846 | ||||||
Series 2014-C15, Class ASB, 3.65%, 04/15/47 (Call 12/15/23) |
110 | 113,530 |
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) October 31, 2021 |
iShares® CMBS ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Series 2014-C16, Class A5, 3.89%, 06/15/47 (Call 05/15/24) |
$ | 500 | $ | 530,101 | ||||
Series 2014-C17, Class A5, 3.74%, 08/15/47 (Call 07/15/24) |
2,220 | 2,355,127 | ||||||
Series 2014-C18, Class A3, 3.65%, 10/15/47 |
358 | 372,951 | ||||||
Series 2014-C18, Class A4, 3.92%, 10/15/47 |
1,150 | 1,228,821 | ||||||
Series 2014-C19, Class A4, 3.53%, 12/15/47 (Call 11/15/24) |
1,275 | 1,352,485 | ||||||
Series 2015-C20, Class A4, 3.25%, 02/15/48 (Call 12/15/24) |
3,500 | 3,690,832 | ||||||
Series 2015-C20, Class AS, 3.61%, 02/15/48 (Call 01/15/25) |
500 | 529,087 | ||||||
Series 2015-C21, Class A4, 3.34%, 03/15/48 (Call 02/15/25) |
901 | 949,008 | ||||||
Series 2015-C22, Class A4, 3.31%, 04/15/48 (Call 04/15/25) |
1,000 | 1,056,633 | ||||||
Series 2015-C22, Class C, 4.21%, 04/15/48 (Call 04/15/25)(a) |
250 | 249,509 | ||||||
Series 2015-C23, Class A3, 3.45%, 07/15/50 (Call 05/15/25) |
730 | 774,632 | ||||||
Series 2015-C24, Class A3, 3.48%, 05/15/48 (Call 05/15/25) |
369 | 390,833 | ||||||
Series 2015-C24, Class A4, 3.73%, 05/15/48 (Call 07/15/25) |
950 | 1,023,910 | ||||||
Series 2015-C25, Class ASB, 3.38%, 10/15/48 (Call 06/15/25) |
514 | 533,775 | ||||||
Series 2015-C27, Class A4, 3.75%, 12/15/47 (Call 10/15/25) |
1,373 | 1,480,344 | ||||||
Series 2016-C28, Class A4, 3.54%, 01/15/49 (Call 01/15/26) |
2,900 | 3,106,918 | ||||||
Series 2016-C30, Class A5, 2.86%, 09/15/49 (Call 08/15/26) |
500 | 524,640 | ||||||
Series 2016-C31, Class A5, 3.10%, 11/15/49 (Call 10/15/26) |
2,250 | 2,383,456 | ||||||
Series 2016-C32, Class A4, 3.72%, 12/15/49 (Call 12/15/26) |
1,000 | 1,091,114 | ||||||
Series 2016-C32, Class ASB, 3.51%, 12/15/49 (Call 07/15/26) |
310 | 328,631 | ||||||
Series 2017-C33, Class A5, 3.60%, 05/15/50 (Call 04/15/27) |
1,100 | 1,198,720 | ||||||
Series 2017-C34, Class A4, 3.54%, 11/15/52 (Call 09/15/27) |
1,000 | 1,091,134 | ||||||
Series 2017-C34, Class AS, 3.86%, 11/15/52 (Call 10/15/27) |
500 | 547,470 | ||||||
Morgan Stanley Capital I, Series 2017-HR2, Class A4, 3.59%, 12/15/50 (Call 12/15/27) |
2,010 | 2,192,170 | ||||||
Morgan Stanley Capital I Trust |
||||||||
Series 2015-MS1, Class A4, 3.78%, 05/15/48 (Call 05/15/25)(a) |
500 | 536,140 | ||||||
Series 2015-UBS8, Class AS, 4.11%, 12/15/48 |
250 | 266,733 | ||||||
Series 2016-BNK2, Class A4, 3.05%, 11/15/49 (Call 10/15/26) |
1,250 | 1,326,206 | ||||||
Series 2016-UB11, Class A4, 2.78%, 08/15/49 (Call 08/15/26) |
1,000 | 1,045,015 | ||||||
Series 2017-H1, Class A5, 3.53%, 06/15/50 (Call 05/15/27) |
1,000 | 1,085,815 | ||||||
Series 2018-H3, Class A4, 3.91%, 07/15/51 (Call 05/15/28) |
500 | 553,375 | ||||||
Series 2019-H7, Class A4, 3.26%, 07/15/52 |
1,000 | 1,077,934 | ||||||
Series 2020-HR8, Class A4, 2.04%, 07/15/53 (Call 07/15/30) |
1,120 | 1,108,692 | ||||||
Series 2020-L4, Class A3, 2.70%, 02/15/53 (Call 02/15/30) |
1,500 | 1,561,394 |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Series 2021-L6, Class A2, 2.13%, 06/15/54 (Call 07/15/26) |
$ | 1,500 | $ | 1,523,814 | ||||
Series 2021-L7, Class A5, 2.57%, 10/15/54 (Call 09/15/31) |
3,000 | 3,079,376 | ||||||
SG Commercial Mortgage Securities Trust, Series 2016-C5, Class A4, 3.06%, 10/10/48 (Call 06/10/26) |
1,000 | 1,047,180 | ||||||
UBS Commercial Mortgage Trust |
||||||||
Series 2017-C2, Class A4, 3.49%, 08/15/50 (Call 07/15/27) |
1,000 | 1,080,010 | ||||||
Series 2017-C6, Class AS, 3.93%, 12/15/50(a) |
500 | 546,873 | ||||||
Series 2017-C7, Class A4, 3.68%, 12/15/50 (Call 12/15/27) |
1,000 | 1,095,027 | ||||||
Series 2018-C08, Class A4, 3.98%, 02/15/51 (Call 02/15/28) |
1,325 | 1,472,335 | ||||||
Series 2018-C12, Class ASB, 4.19%, 08/15/51 (Call 01/15/28) |
1,765 | 1,951,959 | ||||||
Series 2018-C15, Class B, 4.92%, 12/15/51 (Call 12/15/28)(a) |
750 | 863,114 | ||||||
Series 2019-C16, Class AS, 3.89%, 04/15/52 (Call 03/15/29) |
1,334 | 1,469,950 | ||||||
Series 2019-C17, Class A4, 2.92%, 10/15/52 (Call 09/15/29) |
1,000 | 1,051,502 | ||||||
UBS-Barclays Commercial Mortgage Trust |
||||||||
Series 2012-C4, Class AAB, 2.46%, 12/10/45 (Call 06/10/22) |
47 | 47,725 | ||||||
Series 2013-C5, Class A4, 3.18%, 03/10/46 (Call 01/10/23) |
1,222 | 1,246,847 | ||||||
Series 2013-C6, Class A4, 3.24%, 04/10/46 (Call 03/10/23) |
677 | 694,737 | ||||||
Wells Fargo Commercial Mortgage Trust |
||||||||
Series 2013-LC12, Class A4, 4.22%, 07/15/46 (Call 06/15/23)(a) |
2,975 | 3,115,142 | ||||||
Series 2013-LC12, Class AS, 4.31%, 07/15/46 (Call 07/15/23)(a) |
473 | 489,068 | ||||||
Series 2014-LC16, Class ASB, 3.48%, 08/15/50 (Call 03/15/24) |
728 | 750,895 | ||||||
Series 2015-C26, Class AS, 3.58%, 02/15/48 (Call 01/15/25) |
820 | 864,868 | ||||||
Series 2015-C27, Class A5, 3.45%, 02/15/48 (Call 02/15/25) |
1,000 | 1,062,350 | ||||||
Series 2015-C27, Class B, 4.14%, 02/15/48 (Call 03/15/25)(a) |
330 | 342,168 | ||||||
Series 2015-C28, Class A4, 3.54%, 05/15/48 (Call 04/15/25) |
500 | 534,177 | ||||||
Series 2015-C28, Class AS, 3.87%, 05/15/48 (Call 04/15/25)(a) |
250 | 267,681 | ||||||
Series 2015-C30, Class A4, 3.66%, 09/15/58 (Call 07/15/25) |
817 | 878,642 | ||||||
Series 2015-C30, Class ASB, 3.41%, 09/15/58 (Call 03/15/25) |
372 | 386,628 | ||||||
Series 2015-C31, Class A4, 3.70%, 11/15/48 (Call 10/15/25) |
500 | 539,389 | ||||||
Series 2015-C31, Class B, 4.48%, 11/15/48 (Call 10/15/25)(a) |
1,000 | 1,077,175 | ||||||
Series 2015-C31, Class C, 4.60%, 11/15/48 (Call 11/15/25)(a) |
450 | 470,442 | ||||||
Series 2015-LC20, Class A3, 3.09%, 04/15/50 |
600 | 601,204 | ||||||
Series 2015-LC20, Class B, 3.72%, 04/15/50 |
750 | 779,154 | ||||||
Series 2015-LC22, Class A4, 3.84%, 09/15/58 (Call 09/15/25) |
1,000 | 1,082,207 | ||||||
Series 2015-NXS2, Class A5, 3.77%, 07/15/58 (Call 06/15/25)(a) |
750 | 808,155 | ||||||
Series 2016-C32, Class ASB, 3.32%, 01/15/59 (Call 06/15/25) |
940 | 978,809 | ||||||
Series 2016-C34, Class A4, 3.10%, 06/15/49 (Call 04/15/26) |
1,000 | 1,054,728 |
20 |
2 0 2 1 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) October 31, 2021 |
iShares® CMBS ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Series 2016-C35, Class A4, 2.93%, 07/15/48 (Call 06/15/26) |
$ | 1,000 | $ | 1,048,462 | ||||
Series 2016-C36, Class AS, 3.42%, 11/15/59 (Call 10/15/26) |
500 | 520,153 | ||||||
Series 2016-C37, Class ASB, 3.62%, 12/15/49 (Call 06/15/26) |
1,000 | 1,058,215 | ||||||
Series 2016-LC24, Class A4, 2.94%, 10/15/49 (Call 08/15/26) |
1,680 | 1,772,722 | ||||||
Series 2016-LC25, Class B, 4.35%, 12/15/59 (Call 11/15/26)(a) |
198 | 216,713 | ||||||
Series 2016-NXS4, Class A4, 3.72%, 12/15/48 |
1,000 | 1,080,237 | ||||||
Series 2016-NXS6, Class B, 3.81%, 11/15/49 (Call 09/15/26) |
500 | 520,036 | ||||||
Series 2017-C38, Class A4, 3.19%, 07/15/50 (Call 05/15/27) |
500 | 531,466 | ||||||
Series 2017-C38, Class A5, 3.45%, 07/15/50 (Call 06/15/27) |
2,000 | 2,172,247 | ||||||
Series 2017-C39, Class A5, 3.42%, 09/15/50 (Call 07/15/27) |
2,500 | 2,708,741 | ||||||
Series 2017-C39, Class ASB, 3.21%, 09/15/50 (Call 12/15/26) |
1,000 | 1,054,373 | ||||||
Series 2017-C39, Class C, 4.12%, 09/15/50 (Call 08/15/27) |
500 | 529,691 | ||||||
Series 2017-C42, Class A4, 3.59%, 12/15/50 |
1,250 | 1,368,110 | ||||||
Series 2017-C42, Class B, 4.00%, 12/15/50(a) |
500 | 540,811 | ||||||
Series 2018-C44, Class A5, 4.21%, 05/15/51 (Call 04/15/28) |
1,000 | 1,128,622 | ||||||
Series 2018-C45, Class AS, 4.41%, 06/15/51 (Call 06/15/28)(a) |
350 | 394,435 | ||||||
Series 2018-C46, Class AS, 4.38%, 08/15/51 |
500 | 563,822 | ||||||
Series 2018-C47, Class A4, 4.44%, 09/15/61 (Call 09/15/28) |
2,250 | 2,583,888 | ||||||
Series 2018-C48, Class A5, 4.30%, 01/15/52 (Call 12/15/28) |
1,000 | 1,142,833 | ||||||
Series 2019-C49, Class A5, 4.02%, 03/15/52 (Call 02/15/29) |
1,625 | 1,830,654 | ||||||
Series 2019-C49, Class C, 4.87%, 03/15/52 (Call 02/15/29)(a) |
665 | 746,703 | ||||||
Series 2019-C50, Class A5, 3.73%, 05/15/52 (Call 04/15/29) |
750 | 831,793 | ||||||
Series 2019-C50, Class AS, 4.02%, 05/15/52 (Call 04/15/29) |
1,000 | 1,109,638 | ||||||
Series 2019-C51, Class AS, 3.58%, 06/15/52 (Call 06/15/29) |
492 | 532,779 | ||||||
Series 2019-C52, Class AS, 3.14%, 08/15/52 (Call 08/15/29) |
1,074 | 1,132,891 | ||||||
Series 2019-C53, Class A4, 3.04%, 10/15/52 (Call 10/15/29) |
1,400 | 1,492,686 | ||||||
Series 2020-C55, Class A5, 2.73%, 02/15/53 (Call 01/15/30) |
1,000 | 1,042,919 | ||||||
Series 2020-C56, Class ASB, 2.42%, 06/15/53 (Call 11/15/29) |
2,000 | 2,068,499 | ||||||
Series 2020-C56, Class B, 3.75%, 06/15/53 (Call 03/15/30)(a) |
345 | 380,884 | ||||||
Series 2020-C56, Class C, 3.75%, 06/15/53 (Call 04/15/30)(a) |
800 | 857,242 | ||||||
Series 2020-C57, Class A4, 2.12%, 08/15/53 (Call 08/15/30) |
2,919 | 2,911,237 | ||||||
Series 2020-C58, Class A4, 2.09%, 07/15/53 (Call 11/15/30) |
1,000 | 993,029 |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Series 2021-C59, Class A5, 2.63%, 04/15/54 (Call 04/15/31) |
$ | 1,000 | $ | 1,034,863 | ||||
Series 2021-C59, Class ASB, 2.30%, 04/15/54 (Call 01/15/30) |
354 | 360,110 | ||||||
WFRBS Commercial Mortgage Trust |
||||||||
Series 2012-C10, Class A3, 2.88%, 12/15/45 (Call 12/15/22) |
200 | 203,143 | ||||||
Series 2012-C10, Class AS, 3.24%, 12/15/45 (Call 12/15/22) |
250 | 251,821 | ||||||
Series 2012-C6, Class AS, 3.84%, 04/15/45 (Call 02/15/22) |
145 | 145,489 | ||||||
Series 2012-C8, Class ASB, 2.56%, 08/15/45 (Call 12/15/21) |
10 | 9,851 | ||||||
Series 2013-C13, Class C, 3.91%, 05/15/45 (Call 05/15/23)(a) |
110 | 112,964 | ||||||
Series 2013-C14, Class B, 3.84%, 06/15/46 (Call 05/15/23)(a) |
500 | 514,075 | ||||||
Series 2013-C15, Class A4, 4.15%, 08/15/46 (Call 07/15/23)(a) |
2,000 | 2,095,614 | ||||||
Series 2013-C17, Class A3, 3.75%, 12/15/46 (Call 10/15/23) |
756 | 789,576 | ||||||
Series 2013-C17, Class ASB, 3.56%, 12/15/46 (Call 08/15/23) |
320 | 329,126 | ||||||
Series 2013-C18, Class A4, 3.90%, 12/15/46 (Call 12/15/23) |
543 | 569,127 | ||||||
Series 2013-C18, Class A5, 4.16%, 12/15/46 (Call 12/15/23)(a) |
2,000 | 2,120,722 | ||||||
Series 2013-UBS1, Class A4, 4.08%, 03/15/46 (Call 11/15/23)(a) |
797 | 841,281 | ||||||
Series 2014-C19, Class A4, 3.83%, 03/15/47 (Call 02/15/24) |
300 | 313,578 | ||||||
Series 2014-C19, Class B, 4.72%, 03/15/47 (Call 03/15/24)(a) |
300 | 316,630 | ||||||
Series 2014-C20, Class ASB, 3.64%, 05/15/47 (Call 01/15/24) |
187 | 193,488 | ||||||
Series 2014-C22, Class A4, 3.49%, 09/15/57 |
4,070 | 4,252,713 | ||||||
Series 2014-C22, Class A5, 3.75%, 09/15/57 |
400 | 425,235 | ||||||
Series 2014-C22, Class AS, 4.07%, 09/15/57(a) |
480 | 511,491 | ||||||
Series 2014-C24, Class A5, 3.61%, 11/15/47 (Call 10/15/24) |
100 | 106,096 | ||||||
Series 2014-C25, Class A5, 3.63%, 11/15/47 (Call 11/15/24) |
1,050 | 1,119,578 | ||||||
Series 2014-LC14, Class A5, 4.05%, 03/15/47 (Call 01/15/24) |
950 | 1,007,423 | ||||||
|
|
|||||||
561,691,167 | ||||||||
|
|
|||||||
Total
Collaterized Mortgage Obligations — 68.5% |
|
|||||||
(Cost: $558,406,210) |
561,691,167 | |||||||
|
|
|||||||
U.S. Government & Agency Obligations |
| |||||||
Mortgage-Backed Securities — 30.8% | ||||||||
Federal National Mortgage Association |
||||||||
Series 2012-M9, Class A2, 2.48%, 04/25/22 |
111 | 111,235 | ||||||
Series 2013-M12, Class APT, 2.41%, 03/25/23(a) |
402 | 407,994 | ||||||
Series 2013-M14, Class A2, 3.33%, 10/25/23(a) |
2,638 | 2,729,168 | ||||||
Series 2013-M6, Class 1A2, 3.30%, 02/25/43(a) |
332 | 364,570 | ||||||
Series 2013-M7, Class A2, 2.28%, 12/27/22 |
338 | 340,921 | ||||||
Series 2014-M11, Class 1A, 3.12%, 08/25/24(a) |
644 | 675,105 | ||||||
Series 2014-M11, Class 2A, 3.30%, 08/25/26(a) |
577 | 625,005 | ||||||
Series 2014-M13, Class A2, 3.02%, 08/25/24(a) |
138 | 144,089 |
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) October 31, 2021 |
iShares® CMBS ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Series 2014-M3, Class A2, 3.49%, 01/25/24(a) |
$ | 573 | $ | 597,971 | ||||
Series 2014-M4, Class A2, 3.35%, 03/25/24(a) |
484 | 508,479 | ||||||
Series 2015-M1, Class A2, 2.53%, 09/25/24 |
667 | 688,546 | ||||||
Series 2015-M10, Class A2, 3.09%, 04/25/27(a) |
2,467 | 2,661,557 | ||||||
Series 2015-M11, Class A2, 2.82%, 04/25/25(a) |
800 | 837,666 | ||||||
Series 2015-M13, Class A2, 2.71%, 06/25/25(a) |
931 | 971,997 | ||||||
Series 2015-M2, Class A, 2.62%, 12/25/24 |
335 | 347,141 | ||||||
Series 2015-M8, Class A2, 2.90%, 01/25/25(a) |
1,250 | 1,305,319 | ||||||
Series 2016-M6, Class A2, 2.49%, 05/25/26 |
310 | 324,275 | ||||||
Series 2016-M9, Class A2, 2.29%, 06/25/26 |
2,000 | 2,074,648 | ||||||
Series 2017, Class A2, 2.96%, 09/25/27(a) |
1,000 | 1,081,577 | ||||||
Series 2017-M15, Class AV2, 2.62%, 11/25/24(a) |
977 | 1,011,907 | ||||||
Series 2017-M2, Class A2, 2.78%, 02/25/27(a) |
1,927 | 2,053,967 | ||||||
Series 2017-M3, Class A2, 2.47%, 12/25/26(a) |
839 | 881,476 | ||||||
Series 2017-M4, Class A2, 2.56%, 12/25/26(a) |
908 | 957,962 | ||||||
Series 2017-M7, Class A2, 2.96%, 02/25/27(a) |
1,038 | 1,108,857 | ||||||
Series 2017-M8, Class A2, 3.06%, 05/25/27(a) |
2,400 | 2,593,208 | ||||||
Series 2018-M1, Class A2, 2.99%, 12/25/27(a) |
919 | 991,663 | ||||||
Series 2018-M10, Class A2, 3.37%, 07/25/28(a) |
1,040 | 1,161,286 | ||||||
Series 2018-M13, Class A2, 3.70%, 09/25/30(a) |
100 | 115,123 | ||||||
Series 2018-M7, Class A2, 3.06%, 03/25/28(a) |
800 | 874,610 | ||||||
Series 2019-M1, Class A2, 3.55%, 09/25/28(a) |
3,000 | 3,392,118 | ||||||
Series 2019-M2, Class A2, 3.63%, 11/25/28(a) |
2,000 | 2,272,574 | ||||||
Series 2019-M5, Class A2, 3.27%, 02/25/29 |
2,450 | 2,715,973 | ||||||
Series 2019-M6, Class A1, 3.30%, 08/01/28 |
1,299 | 1,392,174 | ||||||
Series 2019-M7, Class A2, 3.14%, 04/25/29 |
1,300 | 1,437,261 | ||||||
Series 2019-M9, Class A2, 2.94%, 06/25/29 |
1,970 | 2,151,949 | ||||||
Series 2020-M5, Class A2, 2.21%, 01/25/30 |
2,600 | 2,707,579 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates |
||||||||
Series K027, Class A2, 2.64%, 01/25/23 (Call 01/25/23) |
1,000 | 1,019,554 | ||||||
Series K028, Class A2, 3.11%, 02/25/23 (Call 02/25/23) |
2,710 | 2,783,418 | ||||||
Series K029, Class A2, 3.32%, 02/25/23 (Call 02/25/23)(a) |
2,985 | 3,076,075 | ||||||
Series K031, Class A2, 3.30%, 04/25/23 (Call 04/25/23)(a) |
2,000 | 2,069,034 | ||||||
Series K032, Class A2, 3.31%, 05/25/23 (Call 05/25/23)(a) |
180 | 186,631 | ||||||
Series K033, Class A2, 3.06%, 07/25/23 (Call 07/25/23)(a) |
2,000 | 2,066,443 | ||||||
Series K034, Class A2, 3.53%, 07/25/23 (Call 07/25/23)(a) |
2,271 | 2,368,893 | ||||||
Series K035, Class A2, 3.46%, 08/25/23 (Call 08/25/23)(a) |
375 | 391,023 | ||||||
Series K036, Class A2, 3.53%, 10/25/23 (Call 10/25/23)(a) |
3,150 | 3,289,047 | ||||||
Series K037, Class A2, 3.49%, 01/25/24 (Call 01/25/24) |
3,000 | 3,157,908 | ||||||
Series K038, Class A2, 3.39%, 03/25/24 (Call 03/25/24) |
500 | 526,935 | ||||||
Series K040, Class A2, 3.24%, 09/25/24 (Call 09/25/24) |
1,120 | 1,187,241 | ||||||
Series K041, Class A2, 3.17%, 10/25/24 (Call 10/25/24) |
1,250 | 1,325,155 | ||||||
Series K043, Class A2, 3.06%, 12/25/24 (Call 12/25/24) |
1,000 | 1,058,572 | ||||||
Series K044, Class A2, 2.81%, 01/25/25 (Call 01/25/25) |
3,820 | 4,019,418 | ||||||
Series K046, Class A2, 3.21%, 03/25/25 (Call 03/25/25) |
1,285 | 1,370,874 | ||||||
Series K048, Class A1, 2.69%, 12/25/24 (Call 10/25/24) |
256 | 262,471 | ||||||
Series K049, Class A2, 3.01%, 07/25/25 (Call 07/25/25) |
3,800 | 4,041,823 | ||||||
Series K050, Class A2, 3.33%, 08/25/25 (Call 08/25/25)(a) |
3,450 | 3,710,696 | ||||||
Series K051, Class A2, 3.31%, 09/25/25 (Call 09/25/25) |
2,630 | 2,830,106 | ||||||
Series K052, Class A2, 3.15%, 11/25/25 (Call 11/25/25) |
800 | 857,369 | ||||||
Series K053, Class A2, 3.00%, 12/25/25 (Call 12/25/25) |
2,200 | 2,344,720 | ||||||
Series K054, Class A2, 2.75%, 01/25/26 (Call 01/25/26) |
700 | 740,571 | ||||||
Series K056, Class A2, 2.53%, 05/25/26 (Call 05/25/26) |
1,725 | 1,813,988 | ||||||
Series K057, Class A1, 2.21%, 06/25/25 (Call 04/25/25) |
577 | 587,828 | ||||||
Series K058, Class A1, 2.34%, 07/25/26 (Call 06/25/26) |
1,165 | 1,197,827 | ||||||
Series K058, Class A2, 2.65%, 08/25/26 (Call 08/25/26) |
1,527 | 1,618,091 | ||||||
Series K059, Class A2, 3.12%, 09/25/26 (Call 09/25/26)(a) |
3,280 | 3,545,296 | ||||||
Series K060, Class A2, 3.30%, 10/25/26 (Call 10/25/26) |
2,797 | 3,051,633 | ||||||
Series K061, Class A1, 3.01%, 08/25/26 (Call 12/25/25) |
670 | 695,920 | ||||||
Series K061, Class A2, 3.35%, 11/25/26 (Call 11/25/26)(a) |
1,300 | 1,421,191 |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Series K062, Class A2, 3.41%, 12/25/26 (Call 12/25/26) |
$ | 1,000 | $ | 1,098,329 | ||||
Series K063, Class A2, 3.43%, 01/25/27 (Call 01/25/27)(a) |
1,345 | 1,478,317 | ||||||
Series K064, Class A1, 2.89%, 10/25/26 (Call 10/25/26) |
786 | 818,017 | ||||||
Series K064, Class A2, 3.22%, 03/25/27 (Call 03/25/27) |
325 | 354,201 | ||||||
Series K065, Class A1, 2.86%, 10/25/26 (Call 10/25/26) |
1,845 | 1,919,365 | ||||||
Series K065, Class A2, 3.24%, 04/25/27 (Call 04/25/27) |
2,570 | 2,808,268 | ||||||
Series K066, Class A2, 3.12%, 06/25/27 (Call 06/25/27) |
1,610 | 1,751,671 | ||||||
Series K067, Class A1, 2.90%, 03/25/27 (Call 03/25/27) |
871 | 908,176 | ||||||
Series K067, Class A2, 3.19%, 07/25/27 (Call 07/25/27) |
1,600 | 1,749,269 | ||||||
Series K068, Class A2, 3.24%, 08/25/27 (Call 08/25/27) |
1,000 | 1,096,751 | ||||||
Series K069, Class A2, 3.19%, 09/25/27 (Call 09/25/27)(a) |
1,960 | 2,145,990 | ||||||
Series K070, Class A2, 3.30%, 11/25/27 (Call 11/25/27)(a) |
5,541 | 6,110,602 | ||||||
Series K071, Class A2, 3.29%, 11/25/27 (Call 11/25/27) |
1,500 | 1,653,978 | ||||||
Series K072, Class A2, 3.44%, 12/25/27 (Call 12/25/27) |
3,450 | 3,837,619 | ||||||
Series K073, Class A2, 3.35%, 01/25/28 (Call 01/25/28) |
3,937 | 4,361,154 | ||||||
Series K074, Class A1, 3.60%, 09/25/27 (Call 09/25/27) |
924 | 998,254 | ||||||
Series K074, Class A2, 3.60%, 01/25/28 (Call 01/25/28) |
3,000 | 3,367,805 | ||||||
Series K075, Class A2, 3.65%, 02/25/28 (Call 02/25/28)(a) |
1,000 | 1,125,361 | ||||||
Series K076, Class A1, 3.73%, 12/25/27 (Call 12/25/27) |
1,024 | 1,116,108 | ||||||
Series K076, Class A2, 3.90%, 04/25/28 (Call 04/25/28) |
3,525 | 4,023,247 | ||||||
Series K077, Class A2, 3.85%, 05/25/28 (Call 05/25/28)(a) |
1,000 | 1,139,095 | ||||||
Series K078, Class A2, 3.85%, 06/25/28 (Call 06/25/28) |
1,000 | 1,141,827 | ||||||
Series K079, Class A2, 3.93%, 06/25/28 (Call 06/25/28) |
2,000 | 2,293,613 | ||||||
Series K080, Class A2, 3.93%, 07/25/28 (Call 07/25/28)(a) |
700 | 803,184 | ||||||
Series K081, Class A2, 3.90%, 08/25/28 (Call 08/25/28)(a) |
1,500 | 1,720,139 | ||||||
Series K082, Class A2, 3.92%, 09/25/28 (Call 09/25/28)(a) |
2,000 | 2,297,344 | ||||||
Series K083, Class A2, 4.05%, 09/25/28 (Call 09/25/28)(a) |
1,195 | 1,382,738 | ||||||
Series K084, Class A2, 3.78%, 10/25/28 (Call 10/25/28)(a) |
1,000 | 1,134,600 | ||||||
Series K085, Class A2, 4.06%, 10/25/28 (Call 10/25/28)(a) |
1,000 | 1,153,844 | ||||||
Series K086, Class A2, 3.86%, 11/25/28 (Call 11/25/28)(a) |
1,725 | 1,978,919 | ||||||
Series K087, Class A2, 3.77%, 12/25/28 (Call 12/25/28) |
4,571 | 5,219,154 | ||||||
Series K088, Class A1, 3.48%, 09/25/28 (Call 09/25/28) |
342 | 372,423 | ||||||
Series K088, Class A2, 3.69%, 01/25/29 (Call 01/25/29) |
2,010 | 2,286,878 | ||||||
Series K089, Class A2, 3.56%, 01/25/29 (Call 01/25/29) |
2,400 | 2,713,115 | ||||||
Series K090, Class A2, 3.42%, 02/25/29 (Call 02/25/29) |
2,500 | 2,807,914 | ||||||
Series K091, Class A2, 3.51%, 03/25/29 (Call 03/25/29) |
6,517 | 7,354,468 | ||||||
Series K092, Class A2, 3.30%, 04/25/29 (Call 04/25/29) |
3,010 | 3,358,317 | ||||||
Series K094, Class A2, 2.90%, 06/25/29 (Call 06/25/29) |
1,420 | 1,549,285 | ||||||
Series K096, Class A2, 2.52%, 07/25/29 (Call 07/25/29) |
1,215 | 1,293,925 | ||||||
Series K100, Class A2, 2.67%, 09/25/29 (Call 09/25/29) |
1,000 | 1,076,980 | ||||||
Series K101, Class A2, 2.52%, 10/25/29 (Call 10/25/29) |
250 | 266,574 | ||||||
Series K102, Class A1, 2.18%, 05/25/29 (Call 04/25/29) |
971 | 1,010,089 | ||||||
Series K102, Class A2, 2.54%, 10/25/29 (Call 10/25/29) |
2,000 | 2,134,275 | ||||||
Series K103, Class A2, 2.65%, 11/25/29 (Call 11/25/29) |
2,720 | 2,924,570 | ||||||
Series K105, Class A2, 1.87%, 03/25/53 (Call 01/25/30) |
2,060 | 2,095,241 | ||||||
Series K106, Class A2, 2.07%, 01/25/30 (Call 01/25/30) |
3,500 | 3,612,067 | ||||||
Series K108, Class A2, 1.52%, 03/25/30 (Call 03/25/30) |
4,153 | 4,117,572 | ||||||
Series K110, Class A2, 1.48%, 04/25/30 (Call 04/25/30) |
4,640 | 4,584,236 | ||||||
Series K111, Class A2, 1.35%, 05/25/30 (Call 05/25/30) |
1,500 | 1,466,058 | ||||||
Series K115, Class A2, 1.38%, 06/25/30 (Call 06/25/30) |
1,000 | 979,065 | ||||||
Series K116, Class A2, 1.38%, 07/25/30 (Call 07/25/30) |
2,000 | 1,956,659 | ||||||
Series K117, Class A2, 1.41%, 08/25/30 (Call 08/25/30) |
1,500 | 1,470,074 | ||||||
Series K125, Class A2, 1.85%, 01/25/31 (Call 01/25/31) |
2,000 | 2,027,609 | ||||||
Series K130, Class A2, 1.72%, 06/25/31 (Call 06/25/31) |
2,500 | 2,503,759 | ||||||
Series K1510, Class A2, 3.72%, 01/25/31 (Call 01/25/31) |
250 | 290,038 | ||||||
Series K1510, Class A3, 3.79%, 01/25/34 (Call 01/25/34) |
500 | 586,198 | ||||||
Series K-1512, Class A2, 2.99%, 05/25/31 (Call 05/25/31) |
1,230 | 1,343,349 | ||||||
Series K-1512, Class A3, 3.06%, 04/25/34 (Call 04/25/34) |
1,450 | 1,594,830 | ||||||
Series K-1513, Class A3, 2.80%, 08/25/34 (Call 08/25/34) |
1,015 | 1,091,806 | ||||||
Series K-1514, Class A2, 2.86%, 10/25/34 (Call 10/25/34) |
1,000 | 1,083,549 |
22 |
2 0 2 1 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) October 31, 2021 |
iShares® CMBS ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
Series K152, Class A2, 3.08%, 01/25/31 (Call 01/25/31) |
$ | 250 | $ | 274,846 | ||||
Series K153, Class A3, 3.12%, 10/25/31 (Call 10/25/31)(a) |
500 | 558,183 | ||||||
Series K154, Class A2, 3.42%, 04/25/32 (Call 11/25/31) |
1,500 | 1,689,214 | ||||||
Series K154, Class A3, 3.46%, 11/25/32 (Call 11/25/32) |
1,345 | 1,545,014 | ||||||
Series K157, Class A2, 3.99%, 05/25/33 (Call 05/25/33)(a) |
1,076 | 1,250,992 | ||||||
Series K159, Class A1, 3.95%, 12/25/29 (Call 12/25/29) |
1,552 | 1,742,573 | ||||||
Series K159, Class A2, 3.95%, 11/25/30 (Call 11/25/30)(a) |
833 | 966,665 | ||||||
Series K159, Class A3, 3.95%, 11/25/33 (Call 11/25/33)(a) |
2,000 | 2,375,116 | ||||||
Series K720, Class A2, 2.72%, 06/25/22 (Call 06/25/22) |
742 | 747,530 | ||||||
Series K723, Class A2, 2.45%, 08/25/23 (Call 08/25/23) |
439 | 449,428 | ||||||
Series K724, Class A2, 3.06%, 11/25/23 (Call 11/25/23)(a) |
1,400 | 1,443,920 | ||||||
Series K725, Class A2, 3.00%, 01/25/24 (Call 01/25/24) |
1,010 | 1,050,740 | ||||||
Series K728, Class A2, 3.06%, 08/25/24 (Call 08/25/24)(a) |
2,000 | 2,094,994 | ||||||
Series K729, Class A1, 2.95%, 02/25/24 (Call 02/25/24) |
369 | 376,053 | ||||||
Series K730, Class A2, 3.59%, 01/25/25 (Call 01/25/25)(a) |
2,000 | 2,130,195 | ||||||
Series K731, Class A2, 3.60%, 02/25/25 (Call 02/25/25)(a) |
1,000 | 1,060,103 | ||||||
Series K733, Class A2, 3.75%, 08/25/25 (Call 08/25/25) |
1,000 | 1,079,444 | ||||||
Series K734, Class A2, 3.21%, 02/25/26 (Call 02/25/26) |
2,455 | 2,628,559 | ||||||
Series K739, Class A2, 1.34%, 09/25/27 (Call 09/25/27) |
2,150 | 2,142,985 | ||||||
Series KS03, Class A4, 3.16%, 05/25/25 (Call 05/25/25)(a) |
1,000 | 1,054,934 | ||||||
|
|
|||||||
252,832,051 | ||||||||
U.S. Government Obligations — 0.2% | ||||||||
U.S. Treasury Note/Bond, 1.25%, 08/15/31 |
1,500 | 1,457,578 | ||||||
|
|
|||||||
Total U.S. Government & Agency Obligations — 31.0% |
| |||||||
(Cost: $249,151,841) |
|
254,289,629 | ||||||
|
|
Security |
Shares (000) |
Value | ||||||
Short-Term Investments |
||||||||
Money Market Funds — 0.7% | ||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.00%(b)(c) |
6,210 | $ | 6,210,000 | |||||
|
|
|||||||
Total
Short-Term Investments — 0.7% |
|
6,210,000 | ||||||
|
|
|||||||
Total
Investments in Securities — 100.2% |
|
822,190,796 | ||||||
Other Assets, Less Liabilities — (0.2)% |
|
(1,804,880 | ) | |||||
|
|
|||||||
Net Assets — 100.0% |
|
$ | 820,385,916 | |||||
|
|
(a) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) |
Affiliate of the Fund. |
(c) |
Annualized 7-day yield as of period end. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended October 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 10/31/20 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value at 10/31/21 |
Shares Held at 10/31/21 (000) |
Income | Capital
Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares |
$ | 3,540,000 | $ | 2,670,000 | (a) | $ | — | $ | — | $ | — | $ | 6,210,000 | 6,210 | $ | 833 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
|
||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
|
||||||||||||||||
Investments |
||||||||||||||||
Assets |
||||||||||||||||
Collaterized Mortgage Obligations |
$ | — | $ | 561,691,167 | $ | — | $ | 561,691,167 | ||||||||
U.S. Government & Agency Obligations |
— | 254,289,629 | — | 254,289,629 | ||||||||||||
Money Market Funds |
6,210,000 | — | — | 6,210,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 6,210,000 | $ | 815,980,796 | $ | — | $ | 822,190,796 | |||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
S C H E D U L E O F I N V E S T M E N T S |
23 |
Schedule of Investments October 31, 2021 |
iShares® GNMA Bond ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
U.S. Government Agency Obligations |
| |||||||
Mortgage-Backed Securities — 100.8% | ||||||||
Government National Mortgage Association |
||||||||
1.50%, 11/18/21(a) |
$ | 1,575 | $ | 1,543,838 | ||||
2.00%, 04/20/51 |
48,859 | 49,523,401 | ||||||
2.00%, 10/20/51 |
2,320 | 2,351,542 | ||||||
2.00%, 11/18/51(a) |
59,680 | 60,434,159 | ||||||
2.50%, 01/15/28 |
5 | 4,756 | ||||||
2.50%, 02/20/28 |
8 | 8,611 | ||||||
2.50%, 01/20/31 |
126 | 130,663 | ||||||
2.50%, 07/20/35 |
1,840 | 1,915,202 | ||||||
2.50%, 04/20/43 |
18 | 18,518 | ||||||
2.50%, 12/20/46 |
1,702 | 1,761,016 | ||||||
2.50%, 01/20/47 |
163 | 168,147 | ||||||
2.50%, 08/20/50 |
18,575 | 19,093,309 | ||||||
2.50%, 09/20/50 |
5,333 | 5,481,196 | ||||||
2.50%, 01/20/51 |
4,627 | 4,756,283 | ||||||
2.50%, 02/20/51 |
5,367 | 5,521,135 | ||||||
2.50%, 05/20/51 |
7,253 | 7,461,913 | ||||||
2.50%, 07/20/51 |
21,724 | 22,349,114 | ||||||
2.50%, 08/20/51 |
29,651 | 30,503,505 | ||||||
2.50%, 11/18/51(a) |
18,446 | 18,961,551 | ||||||
3.00%, 11/18/21(a) |
6,925 | 7,190,639 | ||||||
3.00%, 07/15/27 |
5 | 5,319 | ||||||
3.00%, 09/15/27 |
8 | 8,137 | ||||||
3.00%, 01/20/31 |
166 | 174,781 | ||||||
3.00%, 07/20/31 |
272 | 285,706 | ||||||
3.00%, 02/20/32 |
205 | 215,463 | ||||||
3.00%, 09/15/42 |
5 | 5,629 | ||||||
3.00%, 10/15/42 |
41 | 43,002 | ||||||
3.00%, 01/20/43 |
421 | 445,437 | ||||||
3.00%, 07/15/43 |
73 | 76,848 | ||||||
3.00%, 09/20/43 |
882 | 933,141 | ||||||
3.00%, 01/15/44 |
2,126 | 2,245,779 | ||||||
3.00%, 08/20/44 |
508 | 537,764 | ||||||
3.00%, 05/20/45 |
376 | 395,830 | ||||||
3.00%, 07/20/45 |
102 | 107,320 | ||||||
3.00%, 10/20/45 |
165 | 173,185 | ||||||
3.00%, 11/20/45 |
2,567 | 2,701,233 | ||||||
3.00%, 12/20/45 |
2,036 | 2,143,147 | ||||||
3.00%, 01/20/46 |
677 | 712,043 | ||||||
3.00%, 02/20/46 |
688 | 723,897 | ||||||
3.00%, 03/20/46 |
2,626 | 2,750,966 | ||||||
3.00%, 04/20/46 |
1,743 | 1,825,896 | ||||||
3.00%, 05/20/46 |
2,196 | 2,301,233 | ||||||
3.00%, 06/20/46 |
781 | 817,904 | ||||||
3.00%, 07/20/46 |
796 | 833,825 | ||||||
3.00%, 08/20/46 |
5,096 | 5,339,427 | ||||||
3.00%, 09/20/46 |
3,401 | 3,563,233 | ||||||
3.00%, 12/15/46 |
176 | 185,754 | ||||||
3.00%, 12/20/46 |
583 | 611,350 | ||||||
3.00%, 02/15/47 |
200 | 210,935 | ||||||
3.00%, 02/20/47 |
648 | 679,123 | ||||||
3.00%, 06/20/47 |
77 | 80,727 | ||||||
3.00%, 07/20/47 |
1,359 | 1,419,363 | ||||||
3.00%, 10/20/47 |
446 | 465,460 | ||||||
3.00%, 12/20/47 |
850 | 887,484 | ||||||
3.00%, 01/20/48 |
1,204 | 1,257,628 | ||||||
3.00%, 02/20/48 |
63 | 65,860 | ||||||
3.00%, 04/20/49 |
2,763 | 2,885,997 |
Security | Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
3.00%, 07/20/49 |
$ | 595 | $ | 618,315 | ||||
3.00%, 09/20/49 |
46 | 48,213 | ||||||
3.00%, 10/15/49 |
1,124 | 1,172,338 | ||||||
3.00%, 11/20/49 |
1,784 | 1,852,273 | ||||||
3.00%, 01/20/50 |
4,479 | 4,647,776 | ||||||
3.00%, 02/15/50 |
808 | 843,017 | ||||||
3.00%, 02/20/50 |
1,877 | 1,947,252 | ||||||
3.00%, 04/20/50 |
13,635 | 14,142,623 | ||||||
3.00%, 07/20/50 |
17,304 | 17,950,114 | ||||||
3.00%, 08/20/50 |
1,828 | 1,896,391 | ||||||
3.00%, 01/20/51 |
11,694 | 12,132,935 | ||||||
3.50%, 02/15/26 |
3 | 3,270 | ||||||
3.50%, 11/15/26 |
2 | 2,452 | ||||||
3.50%, 02/20/27 |
7 | 7,348 | ||||||
3.50%, 01/20/31 |
54 | 57,822 | ||||||
3.50%, 07/20/32 |
148 | 157,904 | ||||||
3.50%, 09/15/41 |
5 | 5,859 | ||||||
3.50%, 06/20/42 |
3,496 | 3,684,937 | ||||||
3.50%, 09/15/42 |
15 | 16,730 | ||||||
3.50%, 09/20/42 |
150 | 161,230 | ||||||
3.50%, 10/15/42 |
6 | 6,329 | ||||||
3.50%, 10/20/42 |
351 | 378,613 | ||||||
3.50%, 11/15/42 |
28 | 29,741 | ||||||
3.50%, 11/20/42 |
1,166 | 1,256,749 | ||||||
3.50%, 12/20/42 |
124 | 133,283 | ||||||
3.50%, 02/20/43 |
975 | 1,054,431 | ||||||
3.50%, 03/15/43 |
584 | 632,155 | ||||||
3.50%, 05/15/43 |
41 | 43,882 | ||||||
3.50%, 06/15/43 |
137 | 148,203 | ||||||
3.50%, 04/20/45 |
370 | 393,590 | ||||||
3.50%, 09/20/45 |
4,070 | 4,326,478 | ||||||
3.50%, 11/20/45 |
15 | 15,605 | ||||||
3.50%, 12/20/45 |
101 | 107,708 | ||||||
3.50%, 03/20/46 |
525 | 555,907 | ||||||
3.50%, 04/20/46 |
83 | 87,809 | ||||||
3.50%, 06/20/46 |
815 | 862,748 | ||||||
3.50%, 07/20/46 |
4,817 | 5,100,791 | ||||||
3.50%, 11/20/46 |
15 | 15,354 | ||||||
3.50%, 12/20/46 |
197 | 209,074 | ||||||
3.50%, 01/20/47 |
72 | 76,004 | ||||||
3.50%, 02/20/47 |
176 | 186,393 | ||||||
3.50%, 03/20/47 |
366 | 385,730 | ||||||
3.50%, 04/20/47 |
1,549 | 1,634,548 | ||||||
3.50%, 08/20/47 |
640 | 688,950 | ||||||
3.50%, 09/20/47 |
1,419 | 1,495,410 | ||||||
3.50%, 10/20/47 |
10,558 | 11,136,607 | ||||||
3.50%, 11/20/47 |
1,375 | 1,449,033 | ||||||
3.50%, 12/15/47 |
528 | 569,904 | ||||||
3.50%, 12/20/47 |
615 | 662,482 | ||||||
3.50%, 01/20/48 |
455 | 479,595 | ||||||
3.50%, 02/20/48 |
1,959 | 2,064,812 | ||||||
3.50%, 04/20/48 |
138 | 149,303 | ||||||
3.50%, 11/20/48 |
996 | 1,049,146 | ||||||
3.50%, 01/20/50 |
4,482 | 4,685,140 | ||||||
3.50%, 03/20/50 |
3,827 | 3,998,273 | ||||||
3.50%, 04/20/50 |
14,503 | 15,147,300 | ||||||
3.50%, 05/20/50 |
9,457 | 9,876,503 | ||||||
3.50%, 06/20/50 |
912 | 953,596 | ||||||
3.50%, 08/20/50 |
3,989 | 4,170,045 | ||||||
3.50%, 11/19/50(a) |
920 | 962,334 |
24 |
2 0 2 1 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) October 31, 2021 |
iShares® GNMA Bond ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
3.50%, 05/20/51 |
$ | 2,675 | $ | 2,812,548 | ||||
4.00%, 03/20/26 |
2 | 2,387 | ||||||
4.00%, 07/20/26 |
2 | 1,900 | ||||||
4.00%, 02/15/41 |
8 | 8,837 | ||||||
4.00%, 03/15/41 |
8 | 9,287 | ||||||
4.00%, 04/15/41 |
36 | 38,744 | ||||||
4.00%, 05/15/41 |
8 | 8,266 | ||||||
4.00%, 12/15/41 |
9 | 9,893 | ||||||
4.00%, 01/15/42 |
5 | 5,558 | ||||||
4.00%, 02/15/42 |
20 | 22,265 | ||||||
4.00%, 03/15/42 |
53 | 58,435 | ||||||
4.00%, 05/15/42 |
9 | 9,761 | ||||||
4.00%, 08/15/42 |
10 | 11,173 | ||||||
4.00%, 09/20/42 |
250 | 273,770 | ||||||
4.00%, 04/15/44 |
45 | 48,327 | ||||||
4.00%, 05/15/44 |
52 | 56,094 | ||||||
4.00%, 08/20/44 |
33 | 35,580 | ||||||
4.00%, 10/20/44 |
356 | 387,883 | ||||||
4.00%, 03/20/45 |
1,403 | 1,526,308 | ||||||
4.00%, 08/15/45 |
3,305 | 3,610,813 | ||||||
4.00%, 08/20/45 |
585 | 635,390 | ||||||
4.00%, 09/20/45 |
804 | 873,671 | ||||||
4.00%, 10/20/45 |
7 | 7,846 | ||||||
4.00%, 01/20/46 |
12 | 13,377 | ||||||
4.00%, 03/20/46 |
144 | 156,264 | ||||||
4.00%, 07/20/46 |
14 | 15,172 | ||||||
4.00%, 09/20/46 |
409 | 441,993 | ||||||
4.00%, 11/20/46 |
165 | 178,835 | ||||||
4.00%, 12/15/46 |
27 | 28,812 | ||||||
4.00%, 06/20/47 |
2,494 | 2,678,842 | ||||||
4.00%, 07/20/47 |
522 | 560,755 | ||||||
4.00%, 08/20/47 |
10 | 10,373 | ||||||
4.00%, 11/20/47 |
153 | 163,869 | ||||||
4.00%, 03/20/48 |
1,484 | 1,585,063 | ||||||
4.00%, 04/20/48 |
622 | 673,078 | ||||||
4.00%, 05/20/48 |
3,502 | 3,791,282 | ||||||
4.00%, 07/20/48 |
559 | 596,352 | ||||||
4.00%, 09/20/48 |
2,641 | 2,813,070 | ||||||
4.00%, 10/20/48 |
1,881 | 2,004,257 | ||||||
4.00%, 11/20/48 |
11,324 | 12,088,736 | ||||||
4.00%, 09/15/49 |
301 | 324,686 | ||||||
4.00%, 01/20/50 |
802 | 850,525 | ||||||
4.00%, 02/20/50 |
17 | 18,392 | ||||||
4.00%, 09/20/50 |
519 | 550,893 | ||||||
4.00%, 11/18/51(a) |
3,055 | 3,237,703 | ||||||
4.50%, 11/18/21(a) |
1,500 | 1,599,785 | ||||||
4.50%, 07/20/24 |
1 | 1,381 | ||||||
4.50%, 08/15/39 |
113 | 125,701 | ||||||
4.50%, 07/15/40 |
26 | 29,314 | ||||||
4.50%, 08/15/40 |
44 | 49,535 | ||||||
4.50%, 11/20/45 |
256 | 283,708 | ||||||
4.50%, 08/20/46 |
460 | 510,746 | ||||||
4.50%, 09/20/46 |
68 | 76,083 | ||||||
4.50%, 10/20/46 |
78 | 87,008 | ||||||
4.50%, 11/20/46 |
80 | 89,215 | ||||||
4.50%, 04/20/47 |
8 | 8,969 | ||||||
4.50%, 06/20/47 |
10 | 10,474 | ||||||
4.50%, 07/20/47 |
3,517 | 3,814,139 | ||||||
4.50%, 02/20/48 |
532 | 574,943 | ||||||
4.50%, 06/20/48 |
34 | 36,202 |
Security | Par/ Shares (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
4.50%, 07/20/48 |
$ | 216 | $ | 231,520 | ||||
4.50%, 08/20/48 |
180 | 192,631 | ||||||
4.50%, 09/20/48 |
5,185 | 5,543,687 | ||||||
4.50%, 10/20/48 |
176 | 187,715 | ||||||
4.50%, 12/20/48 |
1,568 | 1,674,180 | ||||||
4.50%, 01/20/49 |
1,061 | 1,131,206 | ||||||
4.50%, 03/20/49 |
27 | 28,481 | ||||||
4.50%, 06/20/49 |
1,028 | 1,095,000 | ||||||
4.50%, 08/20/49 |
318 | 338,934 | ||||||
4.50%, 10/20/49 |
235 | 250,936 | ||||||
4.50%, 01/20/50 |
1,269 | 1,351,852 | ||||||
5.00%, 07/15/39 |
25 | 28,497 | ||||||
5.00%, 07/20/42 |
137 | 156,911 | ||||||
5.00%, 07/20/46 |
53 | 61,118 | ||||||
5.00%, 04/20/48 |
72 | 78,000 | ||||||
5.00%, 05/20/48 |
383 | 415,703 | ||||||
5.00%, 11/20/48 |
95 | 102,006 | ||||||
5.00%, 12/20/48 |
90 | 96,767 | ||||||
5.00%, 01/20/49 |
266 | 287,131 | ||||||
5.00%, 04/20/49 |
17 | 18,195 | ||||||
5.00%, 09/20/50 |
328 | 358,735 | ||||||
5.00%, 11/18/51(a) |
6,037 | 6,524,953 | ||||||
5.50%, 10/15/38 |
16 | 18,239 | ||||||
5.50%, 07/20/40 |
231 | 264,917 | ||||||
5.50%, 11/18/51(a) |
625 | 692,969 | ||||||
6.00%, 09/20/38 |
22 | 25,478 | ||||||
6.00%, 11/18/51(a) |
200 | 223,906 | ||||||
|
|
|||||||
487,736,616 | ||||||||
|
|
|||||||
Total U.S. Government Agency Obligations — 100.8% |
| |||||||
(Cost: $489,482,502) |
487,736,616 | |||||||
|
|
|||||||
Short-Term Investments | ||||||||
Money Market Funds — 20.0% | ||||||||
BlackRock
Cash Funds: Treasury, |
96,704 | 96,704,000 | ||||||
|
|
|||||||
Total
Short-Term Investments — 20.0% |
|
96,704,000 | ||||||
|
|
|||||||
Total Investments Before TBA Sales Commitments — 120.8% |
| |||||||
(Cost: $586,186,502) |
|
584,440,616 | ||||||
|
|
|||||||
TBA Sales Commitments(a) |
||||||||
Mortgage-Backed Securities — (1.4)% | ||||||||
Government National Mortgage Association |
||||||||
1.50%, 11/18/51 |
(75 | ) | (73,516 | ) | ||||
2.00%, 11/18/51 |
(2,550 | ) | (2,582,224 | ) | ||||
2.50%, 11/18/51 |
(1,300 | ) | (1,336,334 | ) | ||||
3.00%, 11/18/51 |
(1,550 | ) | (1,609,457 | ) |
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) October 31, 2021 |
iShares® GNMA Bond ETF (Percentages shown are based on Net Assets) |
Security | Par (000) |
Value | ||||||
Mortgage-Backed Securities (continued) | ||||||||
3.50%, 11/19/50 |
(920 | ) | $ | (962,334 | ) | |||
|
|
|||||||
(6,563,865 | ) | |||||||
|
|
|||||||
Total
TBA Sales Commitments — (1.4)% |
(6,563,865 | ) | ||||||
|
|
|||||||
Total
Investments, Net of TBA Sales Commitments — 119.4% |
577,876,751 | |||||||
Other Assets, Less Liabilities — (19.4)% |
(94,029,469 | ) | ||||||
|
|
|||||||
Net Assets — 100.0% |
$ | 483,847,282 | ||||||
|
|
(a) |
Represents or includes a TBA transaction. |
(b) |
Affiliate of the Fund. |
(c) |
Annualized 7-day yield as of period end. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended October 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 10/31/20 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value at 10/31/21 |
Shares Held at 10/31/21 (000) |
Income | Capital
Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares |
$ | 97,794,000 | $ | — | $ | (1,090,000 | )(a) | $ | — | $ | — | $ | 96,704,000 | 96,704 | $ | 31,589 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Represents net amount purchased (sold). |
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.
The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments |
||||||||||||||||
Assets |
||||||||||||||||
U.S. Government Agency Obligations |
$ | — | $ | 487,736,616 | $ | — | $ | 487,736,616 | ||||||||
Money Market Funds |
96,704,000 | — | — | 96,704,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
96,704,000 | 487,736,616 | — | 584,440,616 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities |
||||||||||||||||
TBA Sales Commitments |
— | (6,563,865 | ) | — | (6,563,865 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 96,704,000 | $ | 481,172,751 | $ | — | $ | 577,876,751 | |||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
26 |
2 0 2 1 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 October 31, 2021 |
iShares® Treasury Floating Rate Bond ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
U.S. Government Obligations |
| |||||||
U.S. Government Obligations — 97.1% | ||||||||
U.S. Treasury Floating Rate Note |
||||||||
0.08%, 07/31/23, |
||||||||
(3 mo.Treasury money market yield + 0.029%)(a) |
$ | 54,943 | $ | 54,941,929 | ||||
0.09%, 04/30/23, |
||||||||
(3 mo.Treasury money market yield + 0.034%)(a) |
23,604 | 23,606,367 | ||||||
0.10%, 01/31/23, |
||||||||
(3 mo.Treasury money market yield + 0.049%)(a) |
42,988 | 43,000,880 | ||||||
0.11%, 07/31/22, |
||||||||
(3 mo.Treasury money market yield + 0.055%)(a) |
877 | 877,038 | ||||||
0.11%, 10/31/22, |
||||||||
(3 mo.Treasury money market yield + 0.055%)(a) |
129,624 | 129,677,833 | ||||||
0.17%, 04/30/22, |
||||||||
(3 mo.Treasury money market yield + 0.114%)(a) |
920 | 920,291 | ||||||
0.21%, 01/31/22, |
||||||||
(3 mo.Treasury money market yield + 0.154%)(a) |
808 | 808,299 | ||||||
|
|
|||||||
253,832,637 | ||||||||
|
|
|||||||
Total
U.S. Government Obligations — 97.1% |
|
253,832,637 | ||||||
|
|
Security |
Shares (000) |
Value | ||||||
Short-Term Investments |
||||||||
Money Market Funds — 0.1% | ||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.00%(b)(c) |
200 | $ | 200,000 | |||||
|
|
|||||||
Total
Short-Term Investments — 0.1% |
200,000 | |||||||
|
|
|||||||
Total
Investments in Securities — 97.2% |
254,032,637 | |||||||
Other Assets, Less Liabilities — 2.8% |
7,331,496 | |||||||
|
|
|||||||
Net Assets — 100.0% |
$ | 261,364,133 | ||||||
|
|
(a) |
Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available. |
(b) |
Affiliate of the Fund. |
(c) |
Annualized 7-day yield as of period end. |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the year ended October 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 10/31/20 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value at 10/31/21 |
Shares Held at 10/31/21 (000) |
Income | Capital
Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares |
$ | 40,490,250 | $ | — | $ | (40,290,250 | )(a) | $ | — | $ | — | $ | 200,000 | 200 | $ | 14,222 | (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 |
||||||||||||||||
U.S. Government Obligations |
$ | — | $ | 253,832,637 | $ | — | $ | 253,832,637 | ||||||||
Money Market Funds |
200,000 | — | — | 200,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 200,000 | $ | 253,832,637 | $ | — | $ | 254,032,637 | |||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
S C H E D U L E O F I N V E S T M E N T S |
27 |
Schedule of Investments October 31, 2021 |
iShares® U.S. Treasury Bond ETF (Percentages shown are based on Net Assets) |
Security |
Par (000) |
Value | ||||||
U.S. Government Obligations |
||||||||
U.S. Government Obligations — 99.2% | ||||||||
U.S. Treasury Note/Bond |
||||||||
0.13%, 08/31/22 |
$ | 163 | $ | 163,000 | ||||
0.13%, 09/30/22 |
4,807 | 4,806,249 | ||||||
0.13%, 10/31/22(a) |
254 | 253,921 | ||||||
0.13%, 12/31/22 |
2,618 | 2,614,625 | ||||||
0.13%, 01/31/23 |
1,808 | 1,804,822 | ||||||
0.13%, 02/28/23 |
483 | 481,906 | ||||||
0.13%, 03/31/23 |
1,244 | 1,240,453 | ||||||
0.13%, 04/30/23 |
760 | 757,269 | ||||||
0.13%, 07/15/23 |
1,354 | 1,347,494 | ||||||
0.13%, 07/31/23 |
367 | 365,079 | ||||||
0.13%, 08/15/23 |
486,408 | 483,709,953 | ||||||
0.13%, 08/31/23 |
1,059 | 1,052,919 | ||||||
0.13%, 09/15/23 |
1,662 | 1,651,418 | ||||||
0.13%, 10/15/23 |
1,233 | 1,224,282 | ||||||
0.13%, 12/15/23 |
299,850 | 297,156,034 | ||||||
0.13%, 01/15/24 |
13,994 | 13,855,700 | ||||||
0.25%, 04/15/23 |
131,000 | 130,836,250 | ||||||
0.25%, 09/30/23(a) |
110 | 109,553 | ||||||
0.25%, 11/15/23 |
22,383 | 22,191,095 | ||||||
0.25%, 05/15/24 |
965,028 | 954,887,669 | ||||||
0.25%, 06/15/24 |
6,089 | 6,018,358 | ||||||
0.25%, 05/31/25 |
64,480 | 62,895,706 | ||||||
0.25%, 07/31/25 |
10,673 | 10,385,746 | ||||||
0.25%, 08/31/25 |
78,303 | 76,060,965 | ||||||
0.25%, 10/31/25 |
310,390 | 300,702,436 | ||||||
0.38%, 10/31/23 |
901 | 898,853 | ||||||
0.38%, 04/15/24 |
605,377 | 601,238,679 | ||||||
0.38%, 07/15/24(a) |
215,876 | 213,944,922 | ||||||
0.38%, 08/15/24 |
864,842 | 856,734,106 | ||||||
0.38%, 09/15/24 |
456 | 451,369 | ||||||
0.38%, 11/30/25 |
321,898 | 312,970,164 | ||||||
0.50%, 02/28/26 |
226,317 | 220,482,265 | ||||||
0.63%, 10/15/24 |
456 | 454,254 | ||||||
0.63%, 07/31/26 |
39,562 | 38,559,042 | ||||||
0.63%, 11/30/27 |
483 | 462,171 | ||||||
0.63%, 12/31/27 |
1,630 | 1,557,032 | ||||||
0.63%, 08/15/30 |
302,426 | 280,252,032 | ||||||
0.75%, 03/31/26 |
82,237 | 80,900,649 | ||||||
0.75%, 04/30/26 |
27,792 | 27,321,924 | ||||||
0.75%, 05/31/26 |
43,038 | 42,279,791 | ||||||
0.75%, 08/31/26 |
268,286 | 262,899,321 | ||||||
0.88%, 06/30/26 |
80,610 | 79,551,994 | ||||||
0.88%, 09/30/26(a) |
2,219 | 2,186,582 | ||||||
1.00%, 07/31/28 |
89,265 | 86,677,709 | ||||||
1.13%, 02/28/25 |
72,980 | 73,592,918 | ||||||
1.13%, 10/31/26 |
1,988 | 1,981,477 | ||||||
1.13%, 08/31/28 |
10,781 | 10,546,850 | ||||||
1.13%, 08/15/40 |
114,242 | 98,694,378 | ||||||
1.25%, 08/31/24 |
1,973 | 2,001,670 | ||||||
1.25%, 03/31/28 |
125,966 | 124,730,942 | ||||||
1.25%, 06/30/28 |
135,781 | 134,110,257 | ||||||
1.25%, 09/30/28 |
40,186 | 39,627,163 | ||||||
1.25%, 08/15/31(a) |
53,684 | 52,165,944 | ||||||
1.38%, 10/15/22 |
4,264 | 4,313,969 | ||||||
1.38%, 02/15/23 |
1,848 | 1,874,060 | ||||||
1.38%, 06/30/23 |
2,615 | 2,657,800 | ||||||
1.38%, 11/15/40 |
183,897 | 165,952,676 |
Security |
Par (000) |
Value | ||||||
U.S. Government Obligations (continued) | ||||||||
1.38%, 08/15/50 |
$ | 2,431 | $ | 2,119,813 | ||||
1.50%, 02/28/23 |
528 | 536,477 | ||||||
1.50%, 02/15/30(a) |
109,279 | 109,389,485 | ||||||
1.63%, 08/31/22 |
10 | 10,124 | ||||||
1.63%, 11/15/22 |
10 | 10,152 | ||||||
1.63%, 05/31/23 |
32 | 32,632 | ||||||
1.63%, 02/15/26 |
109,074 | 111,498,340 | ||||||
1.63%, 05/15/26 |
356,740 | 364,446,141 | ||||||
1.63%, 08/15/29 |
2,240 | 2,265,219 | ||||||
1.63%, 05/15/31 |
482,316 | 485,707,284 | ||||||
1.63%, 11/15/50 |
291 | 269,717 | ||||||
1.75%, 07/15/22 |
160 | 161,844 | ||||||
1.75%, 09/30/22 |
1,625 | 1,649,007 | ||||||
1.75%, 01/31/23 |
1,682 | 1,713,012 | ||||||
1.75%, 08/15/41 |
364 | 350,407 | ||||||
1.88%, 07/31/22 |
2,871 | 2,908,906 | ||||||
1.88%, 08/31/22 |
3,476 | 3,526,105 | ||||||
1.88%, 09/30/22 |
1,424 | 1,446,361 | ||||||
1.88%, 10/31/22 |
144 | 146,464 | ||||||
1.88%, 02/15/51 |
801,624 | 788,597,610 | ||||||
2.00%, 10/31/22 |
100 | 101,840 | ||||||
2.00%, 11/30/22 |
100 | 101,973 | ||||||
2.00%, 04/30/24 |
4,000 | 4,133,594 | ||||||
2.00%, 05/31/24 |
21,691 | 22,423,918 | ||||||
2.00%, 02/15/25 |
317,744 | 329,659,400 | ||||||
2.00%, 08/15/25 |
251,051 | 260,553,568 | ||||||
2.00%, 11/15/26 |
197,956 | 205,673,192 | ||||||
2.00%, 02/15/50 |
3,394 | 3,432,308 | ||||||
2.00%, 08/15/51 |
113 | 114,607 | ||||||
2.13%, 12/31/22 |
4,899 | 5,006,766 | ||||||
2.13%, 11/30/23 |
1,063 | 1,097,963 | ||||||
2.13%, 03/31/24 |
5,000 | 5,177,148 | ||||||
2.13%, 09/30/24 |
1,696 | 1,762,846 | ||||||
2.13%, 05/15/25 |
214,203 | 223,081,126 | ||||||
2.25%, 12/31/23 |
261 | 270,431 | ||||||
2.25%, 04/30/24 |
1,867 | 1,940,586 | ||||||
2.25%, 10/31/24 |
262 | 273,514 | ||||||
2.25%, 11/15/24 |
5,744 | 5,997,992 | ||||||
2.25%, 11/15/25 |
16,877 | 17,689,970 | ||||||
2.25%, 02/15/27 |
320,078 | 336,519,613 | ||||||
2.25%, 08/15/27 |
330,904 | 348,043,479 | ||||||
2.25%, 11/15/27 |
191,221 | 201,208,341 | ||||||
2.25%, 05/15/41 |
2 | 2,088 | ||||||
2.25%, 08/15/49 |
46,031 | 49,061,094 | ||||||
2.38%, 02/29/24 |
324,838 | 338,097,988 | ||||||
2.38%, 08/15/24 |
500,060 | 522,875,447 | ||||||
2.38%, 05/15/27 |
168,974 | 178,848,947 | ||||||
2.38%, 05/15/29 |
17,836 | 18,975,997 | ||||||
2.38%, 11/15/49 |
351 | 384,043 | ||||||
2.50%, 02/15/46 |
4,943 | 5,441,409 | ||||||
2.50%, 05/15/46 |
180,738 | 199,214,224 | ||||||
2.63%, 02/28/23 |
2,082 | 2,146,087 | ||||||
2.63%, 06/30/23 |
90 | 93,312 | ||||||
2.63%, 12/31/23 |
150,557 | 157,202,679 | ||||||
2.63%, 02/15/29 |
14,816 | 16,003,232 | ||||||
2.75%, 07/31/23 |
170,550 | 177,445,284 | ||||||
2.75%, 08/31/23 |
29 | 30,209 | ||||||
2.75%, 02/15/24 |
169,916 | 178,259,141 | ||||||
2.75%, 06/30/25 |
97,142 | 103,406,900 | ||||||
2.75%, 02/15/28 |
359,771 | 389,424,002 |
28 |
2 0 2 1 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) October 31, 2021 |
iShares® U.S. Treasury Bond ETF (Percentages shown are based on Net Assets |
Security |
Par (000) |
Value | ||||||
U.S. Government Obligations (continued) |
| |||||||
2.75%, 11/15/42 |
$ | 357,530 | $ | 404,037,282 | ||||
2.88%, 11/30/23 |
410 | 429,811 | ||||||
2.88%, 04/30/25 |
2,896 | 3,090,607 | ||||||
2.88%, 05/31/25 |
193,740 | 207,029,353 | ||||||
2.88%, 11/30/25 |
23,741 | 25,476,133 | ||||||
2.88%, 05/15/28 |
270,337 | 295,078,954 | ||||||
2.88%, 08/15/28 |
14,280 | 15,616,530 | ||||||
2.88%, 05/15/43 |
28,684 | 33,129,015 | ||||||
2.88%, 08/15/45 |
63,998 | 74,937,892 | ||||||
2.88%, 11/15/46 |
170,915 | 202,300,602 | ||||||
2.88%, 05/15/49 |
8,610 | 10,333,009 | ||||||
3.00%, 10/31/25 |
19,066 | 20,537,657 | ||||||
3.00%, 11/15/44 |
6,737 | 8,001,767 | ||||||
3.00%, 02/15/47 |
3,000 | 3,636,445 | ||||||
3.00%, 02/15/48 |
89,356 | 108,783,950 | ||||||
3.00%, 08/15/48 |
12,509 | 15,263,912 | ||||||
3.00%, 02/15/49 |
14,237 | 17,443,662 | ||||||
3.13%, 11/15/28 |
540,089 | 600,616,942 | ||||||
3.13%, 11/15/41 |
20,338 | 24,256,720 | ||||||
3.13%, 02/15/43 |
62,881 | 75,329,114 | ||||||
3.13%, 05/15/48 |
3,296 | 4,107,511 | ||||||
3.38%, 05/15/44 |
39,150 | 49,082,156 | ||||||
3.63%, 08/15/43 |
2,345 | 3,027,432 | ||||||
3.75%, 11/15/43 |
584,252 | 768,929,879 | ||||||
3.88%, 08/15/40 |
60,553 | 79,463,986 | ||||||
4.38%, 11/15/39 |
36,325 | 50,365,464 | ||||||
4.50%, 05/15/38 |
241 | 336,214 | ||||||
5.50%, 08/15/28 |
219 | 276,761 | ||||||
7.13%, 02/15/23 |
747 | 812,734 |
Security | Par/ Shares (000) |
Value | ||||||
U.S. Government Obligations (continued) |
| |||||||
U.S.
Treasury STRIPS |
$ | 96 | $ | 91,318 | ||||
0.00%, 02/15/27(b) |
2 | 1,867 | ||||||
0.00%, 08/15/36(b) |
142 | 107,927 | ||||||
0.00%, 05/15/37(b) |
61,766 | 45,993,540 | ||||||
|
|
|||||||
15,534,533,369 | ||||||||
|
|
|||||||
Total
U.S. Government Obligations — 99.2% |
|
15,534,533,369 | ||||||
|
|
|||||||
Short-Term Investments |
||||||||
Money Market Funds — 2.7% | ||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.00%(c)(d)(e) |
426,475 | 426,474,749 | ||||||
|
|
|||||||
Total
Short-Term Investments — 2.7% |
|
426,474,749 | ||||||
|
|
|||||||
Total
Investments in Securities — 101.9% |
|
15,961,008,118 | ||||||
Other Assets, Less Liabilities — (1.9)% |
|
(295,826,721 | ) | |||||
|
|
|||||||
Net Assets — 100.0% |
$ | 15,665,181,397 | ||||||
|
|
(a) |
All or a portion of this security is on loan. |
(b) |
Zero-coupon bond. |
(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 October 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
Affiliated Issuer | Value at 10/31/20 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change
in Unrealized Appreciation (Depreciation) |
Value at 10/31/21 |
Shares Held at 10/31/21 (000) |
Income | Capital
Gain Distributions from Underlying Funds |
|||||||||||||||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares |
$ | 516,571,506 | $ | — | $ | (90,096,757 | )(a) | $ | — | $ | — | $ | 426,474,749 | 426,475 | $ | 557,382 | (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.
S C H E D U L E O F I N V E S T M E N T S |
29 |
Schedule of Investments (continued) October 31, 2021 |
iShares® U.S. Treasury Bond 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 |
||||||||||||||||
U.S. Government Obligations |
$ | — | $ | 15,534,533,369 | $ | — | $ | 15,534,533,369 | ||||||||
Money Market Funds |
426,474,749 | — | — | 426,474,749 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 426,474,749 | $ | 15,534,533,369 | $ | — | $ | 15,961,008,118 | |||||||||
|
|
|
|
|
|
|
|
See notes to financial statements.
30 |
2 0 2 1 I S H A R E S A N N U A L R E P O R T TO S H A R E H O L D E R S |
Statements of Assets and Liabilities
October 31, 2021
iShares CMBS ETF |
iShares GNMA Bond ETF |
iShares Treasury Floating Rate |
iShares U.S. Treasury |
|||||||||||||
|
||||||||||||||||
ASSETS |
||||||||||||||||
Investments in securities, at value (including securities on loan)(a): |
||||||||||||||||
Unaffiliated(b) |
$ | 815,980,796 | $ | 487,736,616 | $ | 253,832,637 | $ | 15,534,533,369 | ||||||||
Affiliated(c) |
6,210,000 | 96,704,000 | 200,000 | 426,474,749 | ||||||||||||
Cash |
9,671 | 389 | 1,343 | 2,717 | ||||||||||||
Receivables: |
||||||||||||||||
Investments sold |
10,264,610 | 7,712 | 7,297,100 | 832,019,014 | ||||||||||||
Securities lending income — Affiliated |
— | — | 50 | 84,777 | ||||||||||||
TBA sales commitments |
— | 6,538,355 | — | — | ||||||||||||
Dividends |
19 | 427 | — | 1,781 | ||||||||||||
Interest |
2,041,199 | 1,038,107 | 67,231 | 80,508,108 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total assets |
834,506,295 | 592,025,606 | 261,398,361 | 16,873,624,515 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
LIABILITIES |
||||||||||||||||
Collateral on securities loaned, at value |
— | — | — | 153,589,749 | ||||||||||||
TBA sales commitments, at value(d) |
— | 6,563,865 | — | — | ||||||||||||
Payables: |
||||||||||||||||
Investments purchased |
13,947,570 | 101,564,475 | — | 1,054,188,683 | ||||||||||||
Investment advisory fees |
172,809 | 49,984 | 34,228 | 664,686 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total liabilities |
14,120,379 | 108,178,324 | 34,228 | 1,208,443,118 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS |
$ | 820,385,916 | $ | 483,847,282 | $ | 261,364,133 | $ | 15,665,181,397 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS CONSIST OF: |
||||||||||||||||
Paid-in capital |
$ | 808,648,854 | $ | 489,565,888 | $ | 261,437,612 | $ | 15,883,083,206 | ||||||||
Accumulated earnings (loss) |
11,737,062 | (5,718,606 | ) | (73,479 | ) | (217,901,809 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS |
$ | 820,385,916 | $ | 483,847,282 | $ | 261,364,133 | $ | 15,665,181,397 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Shares outstanding |
15,300,000 | 9,700,000 | 5,200,000 | 592,100,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net asset value |
$ | 53.62 | $ | 49.88 | $ | 50.26 | $ | 26.46 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Shares authorized |
Unlimited | Unlimited | Unlimited | Unlimited | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Par value |
None | None | None | None | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
(a) Securities loaned, at value |
$ | — | $ | — | $ | — | $ | 150,110,605 | ||||||||
(b) Investments, at cost — Unaffiliated |
$ | 807,558,051 | $ | 489,482,502 | $ | 253,820,527 | $ | 15,634,620,021 | ||||||||
(c) Investments, at cost — Affiliated |
$ | 6,210,000 | $ | 96,704,000 | $ | 200,000 | $ | 426,474,749 | ||||||||
(d) Proceeds from TBA sales commitments |
$ | — | $ | 6,538,355 | $ | — | $ | — |
See notes to financial statements.
F I N A N C I A L S T A T E M E N T S |
31 |
Year Ended October 31, 2021
iShares CMBS ETF |
iShares GNMA Bond ETF |
iShares Treasury Floating Rate Bond ETF |
iShares U.S. Treasury Bond ETF |
|||||||||||||
|
||||||||||||||||
INVESTMENT INCOME |
||||||||||||||||
Dividends — Affiliated |
$ | 833 | $ | 31,589 | $ | 5,228 | $ | 63,044 | ||||||||
Interest — Unaffiliated |
16,006,190 | 1,017,230 | 425,139 | 159,294,251 | ||||||||||||
Securities lending income — Affiliated — net |
— | — | 8,994 | 494,338 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total investment income |
16,007,023 | 1,048,819 | 439,361 | 159,851,633 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
EXPENSES |
||||||||||||||||
Investment advisory fees |
1,592,431 | 745,546 | 494,120 | 13,705,632 | ||||||||||||
Miscellaneous |
173 | 173 | 173 | 173 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses |
1,592,604 | 745,719 | 494,293 | 13,705,805 | ||||||||||||
Less: |
||||||||||||||||
Investment advisory fees waived |
— | (82,659 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total expenses after fees waived |
1,592,604 | 663,060 | 494,293 | 13,705,805 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net investment income (loss) |
14,414,419 | 385,759 | (54,932 | ) | 146,145,828 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||
Net realized gain (loss) from: |
||||||||||||||||
Investments — Unaffiliated |
2,035,608 | (1,301,515 | ) | 43,117 | (126,707,461 | ) | ||||||||||
In-kind redemptions — Unaffiliated |
— | — | 148,484 | 184,251,977 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized gain (loss) |
2,035,608 | (1,301,515 | ) | 191,601 | 57,544,516 | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change in unrealized appreciation (depreciation) on: |
||||||||||||||||
Investments — Unaffiliated |
(16,946,499 | ) | (4,933,632 | ) | (231,479 | ) | (549,141,099 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net change in unrealized appreciation (depreciation) |
(16,946,499 | ) | (4,933,632 | ) | (231,479 | ) | (549,141,099 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net realized and unrealized loss |
(14,910,891 | ) | (6,235,147 | ) | (39,878 | ) | (491,596,583 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS |
$ | (496,472 | ) | $ | (5,849,388 | ) | $ | (94,810 | ) | $ | (345,450,755 | ) | ||||
|
|
|
|
|
|
|
|
See notes to financial statements.
32 |
2 0 2 1 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 CMBS ETF |
iShares GNMA Bond ETF |
|||||||||||||||
|
|
|
|
|||||||||||||
Year Ended 10/31/21 |
Year Ended 10/31/20 |
Year Ended 10/31/21 |
Year Ended 10/31/20 |
|||||||||||||
|
||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||
OPERATIONS |
||||||||||||||||
Net investment income |
$ | 14,414,419 | $ | 11,438,349 | $ | 385,759 | $ | 4,637,731 | ||||||||
Net realized gain (loss) |
2,035,608 | 3,283,936 | (1,301,515 | ) | 1,401,127 | |||||||||||
Net change in unrealized appreciation (depreciation) |
(16,946,499 | ) | 9,268,077 | (4,933,632 | ) | (16,364 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets resulting from operations |
(496,472 | ) | 23,990,362 | (5,849,388 | ) | 6,022,494 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) |
||||||||||||||||
From net investment income and net realized gain |
(15,800,694 | ) | (11,396,821 | ) | (590,997 | ) | (4,719,036 | ) | ||||||||
Return of capital |
— | — | (4,165,344 | ) | (1,059,609 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Decrease in net assets resulting from distributions to shareholders |
(15,800,694 | ) | (11,396,821 | ) | (4,756,341 | ) | (5,778,645 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
CAPITAL SHARE TRANSACTIONS |
||||||||||||||||
Net increase in net assets derived from capital share transactions |
345,487,641 | 56,577,750 | 13,169,725 | 302,286,876 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS |
||||||||||||||||
Total increase in net assets |
329,190,475 | 69,171,291 | 2,563,996 | 302,530,725 | ||||||||||||
Beginning of year |
491,195,441 | 422,024,150 | 481,283,286 | 178,752,561 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
End of year |
$ | 820,385,916 | $ | 491,195,441 | $ | 483,847,282 | $ | 481,283,286 | ||||||||
|
|
|
|
|
|
|
|
(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 |
33 |
Statements of Changes in Net Assets (continued)
iShares Treasury Floating Rate Bond ETF |
iShares U.S. Treasury Bond ETF |
|||||||||||||||
|
|
|
|
|||||||||||||
Year Ended 10/31/21 |
Year Ended 10/31/20 |
Year Ended 10/31/21 |
Year Ended 10/31/20 |
|||||||||||||
|
||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS |
||||||||||||||||
OPERATIONS |
||||||||||||||||
Net investment income (loss) |
$ | (54,932 | ) | $ | 2,922,918 | $ | 146,145,828 | $ | 218,424,996 | |||||||
Net realized gain |
191,601 | 279,190 | 57,544,516 | 914,519,738 | ||||||||||||
Net change in unrealized appreciation (depreciation) |
(231,479 | ) | 621,247 | (549,141,099 | ) | 5,624,404 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) in net assets resulting from operations |
(94,810 | ) | 3,823,355 | (345,450,755 | ) | 1,138,569,138 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
DISTRIBUTIONS TO SHAREHOLDERS(a) |
||||||||||||||||
Decrease in net assets resulting from distributions to shareholders |
(77,549 | ) | (3,673,140 | ) | (270,729,481 | ) | (229,963,044 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
CAPITAL SHARE TRANSACTIONS |
||||||||||||||||
Net increase (decrease) in net assets derived from capital share transactions |
(145,814,606 | ) | (100,629,285 | ) | 1,243,723,778 | (1,090,179,532 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
NET ASSETS |
||||||||||||||||
Total increase (decrease) in net assets |
(145,986,965 | ) | (100,479,070 | ) | 627,543,542 | (181,573,438 | ) | |||||||||
Beginning of year |
407,351,098 | 507,830,168 | 15,037,637,855 | 15,219,211,293 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
End of year |
$ | 261,364,133 | $ | 407,351,098 | $ | 15,665,181,397 | $ | 15,037,637,855 | ||||||||
|
|
|
|
|
|
|
|
(a) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
34 |
2 0 2 1 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 CMBS ETF | ||||||||||||||||||||
Year Ended 10/31/21 |
Year Ended 10/31/20 |
Year Ended 10/31/19 |
Year Ended 10/31/18 |
Year Ended 10/31/17 |
||||||||||||||||
Net asset value, beginning of year |
$ | 54.88 | $ | 53.42 | $ | 49.36 | $ | 51.60 | $ | 52.43 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net investment income(a) |
1.23 | 1.39 | 1.45 | 1.37 | 1.28 | |||||||||||||||
Net realized and unrealized gain (loss)(b) |
(1.06 | ) | 1.47 | 4.04 | (2.26 | ) | (0.88 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net increase (decrease) from investment operations |
0.17 | 2.86 | 5.49 | (0.89 | ) | 0.40 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Distributions(c) |
||||||||||||||||||||
From net investment income |
(1.22 | ) | (1.40 | ) | (1.43 | ) | (1.35 | ) | (1.23 | ) | ||||||||||
From net realized gain |
(0.21 | ) | — | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total distributions |
(1.43 | ) | (1.40 | ) | (1.43 | ) | (1.35 | ) | (1.23 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net asset value, end of year |
$ | 53.62 | $ | 54.88 | $ | 53.42 | $ | 49.36 | $ | 51.60 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Return(d) |
||||||||||||||||||||
Based on net asset value |
0.29 | % | 5.42 | % | 11.27 | % | (1.74 | )% | 0.80 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||
Total expenses |
0.25 | % | 0.25 | % | 0.25 | % | 0.25 | % | 0.25 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net investment income |
2.26 | % | 2.58 | % | 2.81 | % | 2.72 | % | 2.49 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Supplemental Data |
||||||||||||||||||||
Net assets, end of year (000) |
$ | 820,386 | $ | 491,195 | $ | 422,024 | $ | 310,990 | $ | 250,247 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Portfolio turnover rate(e) |
13 | % | 26 | % | 21 | % | 13 | % | 19 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Based on average shares outstanding. |
(b) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(c) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) |
Where applicable, assumes the reinvestment of distributions. |
(e) |
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 |
35 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
iShares GNMA Bond ETF | ||||||||||||||||||||
Year Ended 10/31/21 |
Year Ended 10/31/20 |
Year Ended 10/31/19 |
Year Ended 10/31/18 |
Year Ended 10/31/17 |
||||||||||||||||
Net asset value, beginning of year |
$ | 50.93 | $ | 50.35 | $ | 47.67 | $ | 49.74 | $ | 50.83 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net investment income(a) |
0.04 | 0.77 | 1.34 | 1.12 | 0.80 | |||||||||||||||
Net realized and unrealized gain (loss)(b) |
(0.61 | ) | 0.82 | 2.69 | (2.05 | ) | (0.72 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net increase (decrease) from investment operations |
(0.57 | ) | 1.59 | 4.03 | (0.93 | ) | 0.08 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Distributions(c) |
||||||||||||||||||||
From net investment income |
(0.06 | ) | (0.82 | ) | (1.35 | ) | (1.14 | ) | (0.79 | ) | ||||||||||
From net realized gain |
— | — | — | — | (0.26 | ) | ||||||||||||||
Return of capital |
(0.42 | ) | (0.19 | ) | — | (0.00 | )(d) | (0.12 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total distributions |
(0.48 | ) | (1.01 | ) | (1.35 | ) | (1.14 | ) | (1.17 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net asset value, end of year |
$ | 49.88 | $ | 50.93 | $ | 50.35 | $ | 47.67 | $ | 49.74 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Return(e) |
||||||||||||||||||||
Based on net asset value |
(1.14 | )% | 3.18 | % | 8.55 | % | (1.90 | )% | 0.18 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||
Total expenses |
0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total expenses after fees waived |
0.13 | % | 0.12 | % | 0.13 | % | 0.12 | % | 0.12 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net investment income |
0.08 | % | 1.51 | % | 2.71 | % | 2.31 | % | 1.60 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Supplemental Data |
||||||||||||||||||||
Net assets, end of year (000) |
$ | 483,847 | $ | 481,283 | $ | 178,753 | $ | 102,483 | $ | 126,827 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Portfolio turnover rate(f)(g) |
498 | % | 699 | % | 529 | % | 834 | % | 917 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Based on average shares outstanding. |
(b) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(c) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) |
Rounds to less than $0.01. |
(e) |
Where applicable, assumes the reinvestment of distributions. |
(f) |
Portfolio turnover rate excludes in-kind transactions. |
(g) |
Includes mortgage dollar roll transactions (“MDRs”). |
See notes to financial statements.
36 |
2 0 2 1 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 Treasury Floating Rate Bond ETF | ||||||||||||||||||||
Year Ended 10/31/21 |
Year Ended 10/31/20 |
Year Ended 10/31/19 |
Year Ended 10/31/18 |
Year Ended 10/31/17 |
||||||||||||||||
|
||||||||||||||||||||
Net asset value, beginning of year |
$ | 50.29 | $ | 50.28 | $ | 50.31 | $ | 50.24 | $ | 50.14 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net investment income (loss)(a) |
(0.01 | ) | 0.31 | 1.08 | 0.92 | 0.39 | ||||||||||||||
Net realized and unrealized gain (loss)(b) |
(0.01 | ) | 0.08 | (0.04 | ) | (0.07 | ) | 0.01 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net increase (decrease) from investment operations |
(0.02 | ) | 0.39 | 1.04 | 0.85 | 0.40 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Distributions(c) |
||||||||||||||||||||
From net investment income |
(0.01 | ) | (0.38 | ) | (1.07 | ) | (0.78 | ) | (0.30 | ) | ||||||||||
From net realized gain |
(0.00 | )(d) | — | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total distributions |
(0.01 | ) | (0.38 | ) | (1.07 | ) | (0.78 | ) | (0.30 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net asset value, end of year |
$ | 50.26 | $ | 50.29 | $ | 50.28 | $ | 50.31 | $ | 50.24 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Return(e) |
||||||||||||||||||||
Based on net asset value |
(0.04 | )% | 0.78 | % | 2.09 | % | 1.70 | % | 0.80 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||
Total expenses |
0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net investment income (loss) |
(0.02 | )% | 0.62 | % | 2.15 | % | 1.83 | % | 0.77 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Supplemental Data |
||||||||||||||||||||
Net assets, end of year (000) |
$ | 261,364 | $ | 407,351 | $ | 507,830 | $ | 306,913 | $ | 25,122 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Portfolio turnover rate(f) |
74 | % | 44 | % | 20 | % | 17 | % | 68 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Based on average shares outstanding. |
(b) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(c) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) |
Rounds to less than $0.01. |
(e) |
Where applicable, assumes the reinvestment of distributions. |
(f) |
Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
F I N A N C I A L H I G H L I G H T S |
37 |
Financial Highlights (continued)
(For a share outstanding throughout each period)
iShares U.S. Treasury Bond ETF | ||||||||||||||||||||
Year Ended 10/31/21 |
Year Ended 10/31/20 |
Year Ended 10/31/19 |
Year Ended 10/31/18 |
Year Ended 10/31/17 |
||||||||||||||||
Net asset value, beginning of year |
$ | 27.66 | $ | 26.28 | $ | 24.17 | $ | 25.16 | $ | 25.74 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net investment income(a) |
0.25 | 0.39 | 0.53 | 0.48 | 0.40 | |||||||||||||||
Net realized and unrealized gain (loss)(b) |
(0.96 | ) | 1.40 | 2.10 | (1.00 | ) | (0.61 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net increase (decrease) from investment operations |
(0.71 | ) | 1.79 | 2.63 | (0.52 | ) | (0.21 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Distributions(c) |
||||||||||||||||||||
From net investment income |
(0.25 | ) | (0.41 | ) | (0.52 | ) | (0.47 | ) | (0.37 | ) | ||||||||||
From net realized gain |
(0.24 | ) | — | — | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total distributions |
(0.49 | ) | (0.41 | ) | (0.52 | ) | (0.47 | ) | (0.37 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net asset value, end of year |
$ | 26.46 | $ | 27.66 | $ | 26.28 | $ | 24.17 | $ | 25.16 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total Return(d) |
||||||||||||||||||||
Based on net asset value |
(2.58 | )% | 6.84 | % | 10.99 | % | (2.10 | )% | (0.82 | )% | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Ratios to Average Net Assets |
||||||||||||||||||||
Total expenses |
0.09 | % | 0.15 | % | 0.15 | % | 0.15 | % | 0.15 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Net investment income |
0.95 | % | 1.43 | % | 2.09 | % | 1.95 | % | 1.58 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Supplemental Data |
||||||||||||||||||||
Net assets, end of year (000) |
$ | 15,665,181 | $ | 15,037,638 | $ | 15,219,211 | $ | 6,747,196 | $ | 5,211,634 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Portfolio turnover rate(e) |
128 | % | 91 | % | 22 | % | 27 | % | 47 | % | ||||||||||
|
|
|
|
|
|
|
|
|
|
(a) |
Based on average shares outstanding. |
(b) |
The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(c) |
Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(d) |
Where applicable, assumes the reinvestment of distributions. |
(e) |
Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
38 |
2 0 2 1 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 |
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 |
|||
CMBS |
Diversified | |||
GNMA Bond |
Diversified | |||
Treasury Floating Rate Bond |
Diversified | |||
U.S. Treasury Bond |
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 (the “trade dates”). 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. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.
Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., dollar rolls and TBA sale commitments ) 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 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:
• |
Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Pricing services generally value fixed income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots. The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income |
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)
securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value. |
• |
Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV. |
If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the 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 |
Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.
For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.
Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.
40 |
2 0 2 1 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)
Stripped Bonds: A stripped bond is a bond that has had its coupon payments and principal repayment stripped into two separate components then selling the separate parts as a zero-coupon bond and an interest paying coupon bond. Once stripped, each component trades as a separate security. Stripped bonds have a greater sensitivity to changes in interest rates than similar maturity debt obligations which provide for regular interest payments.
Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.
TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.
Mortgage Dollar Roll Transactions: Certain Funds may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.
Securities Lending: Each Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, an irrevocable letter of credit issued by an approved bank, or securities issued or guaranteed by the U.S. government. The initial collateral received by each Fund is required to have a value of at least 102% of the current market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund or excess collateral is returned by the Fund, on the next business day. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested in money market funds managed by 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 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 | ||||||
|
||||||||||||||||
U.S. Treasury Bond |
||||||||||||||||
Barclays Capital, Inc. |
$ | 50,050,781 | $ | 50,050,781 | $ | — | $ | — | ||||||||
BofA Securities, Inc. |
108,458 | 108,458 | — | — | ||||||||||||
Credit Suisse AG |
48,949,331 | 48,949,331 | — | — | ||||||||||||
J.P. Morgan Securities LLC |
51,002,035 | 51,002,035 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
$ | 150,110,605 | $ | 150,110,605 | $ | — | $ | — | |||||||||
|
|
|
|
|
|
|
|
(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 the 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.
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)
5. |
INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES |
Investment Advisory Fees: Pursuant to an Investment Advisory Agreement with the Trust, BFA manages the investment of each Fund’s assets. BFA is a California corporation indirectly owned by BlackRock. Under the Investment Advisory Agreement, BFA is responsible for substantially all expenses of the Funds, except (i) interest and taxes; (ii) brokerage commissions and other expenses connected with the execution of portfolio transactions; (iii) distribution fees; (iv) the advisory fee payable to BFA; and (v) litigation expenses and any extraordinary expenses (in each case as determined by a majority of the independent trustees).
For its investment advisory services to each of the following Funds, BFA is entitled to an annual investment advisory fee, accrued daily and paid monthly by the Funds, based on the average daily net assets of each Fund as follows:
iShares ETF | Investment Advisory Fee | |||
CMBS |
0.25 | % | ||
GNMA Bond |
0.10 | |||
Treasury Floating Rate Bond |
0.15 | |||
U.S. Treasury Bond |
0.05 |
Effective October 20, 2021, for its investment advisory services to the iShares GNMA Bond ETF, BFA is entitled to an annual investment advisory fee of 0.10%, accrued daily and paid monthly by the Fund, based on the average daily net assets of the Fund. Prior to October 20, 2021, BFA was entitled to an annual investment advisory fee of 0.15%, accrued daily and paid monthly by the Fund, based on the average daily net assets of the Fund.
Effective April 1, 2021, for its investment advisory services to the iShares U.S. Treasury Bond ETF, BFA is entitled to an annual investment advisory fee of 0.05%, accrued daily and paid monthly by the Fund, based on the average daily net assets of the Fund. Prior to April 1, 2021, BFA was entitled to an annual investment advisory fee of 0.15%, accrued daily and paid monthly by the Fund, based on the average daily net assets of the Fund.
Expense Waivers: A fund may incur its pro rata share of fees and expenses attributable to its investments in other investment companies (“acquired fund fees and expenses”). The total of the investment advisory fee and acquired fund fees and expenses, if any, is a fund’s total annual operating expenses. Total expenses as shown in the Statement of Operations does not include acquired fund fees and expenses.
For the iShares GNMA Bond ETF, BFA has contractually agreed to waive a portion of its investment advisory fees for the Fund through February 29, 2024 in an amount equal to the acquired fund fees and expenses, if any, attributable to the Fund’s investments in other registered investment companies.
This amount is included in investment advisory fees waived in the Statements of Operations. For the year ended October 31, 2021, the amounts waived in investment advisory fees pursuant to this arrangement were as follows:
iShares ETF | Amounts waived | |||
GNMA Bond |
$ | 82,659 |
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. Each Fund is responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, managed by BFA, or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees each Fund bears to an annual rate of 0.04%. The SL Agency Shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund’s weekly liquid assets fall below certain thresholds.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. Each Fund retains a portion of securities lending income and remits the remaining portion to BTC as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, each Fund retains 82% of securities lending income (which excludes collateral investment fees), and the amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
In addition, commencing the business day following the date that the aggregate securities lending income plus the collateral investment fees generated across all 1940 Act iShares exchange-traded funds (the “iShares ETF Complex”) in that calendar year exceeds a specified threshold, each Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year 85% of securities lending income (which excludes collateral investment fees) and the amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
42 |
2 0 2 1 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 October 31, 2021, the Funds paid BTC the following amounts for securities lending agent services:
iShares ETF |
Fees Paid to BTC |
|||
Treasury Floating Rate Bond |
$ | 3,852 | ||
U.S. Treasury Bond |
208,745 |
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 October 31, 2021, 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) |
|||||||||
U.S. Treasury Bond |
$ | 9,111,235,783 | $ | 11,140,571,545 | $ | (23,389,777 | ) |
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.
6. |
PURCHASES AND SALES |
For the year ended October 31, 2021, purchases and sales of investments, including mortgage dollar rolls and excluding short-term investments and in-kind transactions, were as follows:
U.S. Government Securities | Other Securities | |||||||||||||||
|
|
|
|
|||||||||||||
iShares ETF | Purchases | Sales | Purchases | Sales | ||||||||||||
CMBS |
$ | 197,797,301 | $ | 39,635,178 | $ | 210,674,239 | $ | 45,769,387 | ||||||||
GNMA Bond |
2,500,100,350 | 2,479,499,506 | — | — | ||||||||||||
Treasury Floating Rate Bond |
303,064,305 | 221,321,886 | — | — | ||||||||||||
U.S. Treasury Bond |
19,660,191,258 | 19,408,423,407 | — | — |
For the year ended October 31, 2021, in-kind transactions were as follows:
iShares ETF |
In-kind Purchases |
In-kind Sales |
||||||
CMBS |
$ | 22,390,434 | $ | — | ||||
Treasury Floating Rate Bond |
154,172,027 | 295,445,069 | ||||||
U.S. Treasury Bond |
5,640,591,090 | 4,434,889,440 |
7. |
INCOME TAX INFORMATION |
Each Fund is treated as an entity separate from the Trust’s other funds for federal income tax purposes. It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.
Management has analyzed tax laws and regulations and their application to the Funds as of October 31, 2021, 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 |
43 |
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 October 31, 2021, 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) |
||||||
|
||||||||
CMBS |
$ | 116,576 | $ | (116,576) | ||||
Treasury Floating Rate Bond |
148,484 | (148,484) | ||||||
U.S. Treasury Bond |
183,220,406 | (183,220,406) | ||||||
|
The tax character of distributions paid was as follows:
|
||||||||
iShares ETF |
Year Ended 10/31/21 |
Year Ended 10/31/20 |
||||||
|
||||||||
CMBS |
||||||||
Ordinary income |
$ | 14,025,497 | $ | 11,396,821 | ||||
Long-term capital gains |
1,775,197 | — | ||||||
|
|
|
|
|||||
$ | 15,800,694 | $ | 11,396,821 | |||||
|
|
|
|
|||||
GNMA Bond |
||||||||
Ordinary income |
$ | 590,997 | $ | 4,719,036 | ||||
Return of capital |
4,165,344 | 1,059,609 | ||||||
|
|
|
|
|||||
$ | 4,756,341 | $ | 5,778,645 | |||||
|
|
|
|
|||||
Treasury Floating Rate Bond |
||||||||
Ordinary income |
$ | 70,173 | $ | 3,673,140 | ||||
Long-term capital gains |
7,376 | — | ||||||
|
|
|
|
|||||
$ | 77,549 | $ | 3,673,140 | |||||
|
|
|
|
|||||
U.S. Treasury Bond |
||||||||
Ordinary income |
$ | 248,085,194 | $ | 229,963,044 | ||||
Long-term capital gains |
22,644,287 | — | ||||||
|
|
|
|
|||||
$ | 270,729,481 | $ | 229,963,044 | |||||
|
|
|
|
As of October 31, 2021, the tax components of accumulated net earnings (losses) were as follows:
|
||||||||||||||||||||||||
iShares ETF |
|
Undistributed Ordinary Income |
|
|
Undistributed Long-Term Capital Gains |
|
|
Non-expiring Capital Loss Carryforwards |
(a) |
|
Net Unrealized Gains (Losses) |
(b) |
|
Qualified Late-Year Losses |
(c) |
Total | ||||||||
|
||||||||||||||||||||||||
CMBS |
$ | 1,412,074 | $ | 1,910,925 | $ | — | $ | 8,414,063 | $ | — | $ | 11,737,062 | ||||||||||||
GNMA Bond |
— | — | (3,701,329 | ) | (1,812,039 | ) | (205,238 | ) | (5,718,606) | |||||||||||||||
Treasury Floating Rate Bond |
— | — | — | 12,110 | (85,589 | ) | (73,479) | |||||||||||||||||
U.S. Treasury Bond |
12,901,895 | — | (122,194,650 | ) | (108,609,054 | ) | — | (217,901,809) | ||||||||||||||||
|
(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. |
(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 October 31, 2021, the Funds listed below utilized the following amounts of their respective capital loss carryforwards:
|
||||
iShares ETF | Utilized | |||
|
||||
Treasury Floating Rate Bond |
$ | 20,703 | ||
|
As of October 31, 2021, 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) |
||||||||||||
|
||||||||||||||||
CMBS |
$ | 813,776,733 | $ | 15,062,569 | $ | (6,648,506 | ) | $ | 8,414,063 | |||||||
GNMA Bond |
586,227,145 | 2,210,118 | (4,022,157 | ) | (1,812,039) | |||||||||||
Treasury Floating Rate Bond |
254,020,527 | 19,504 | (7,394 | ) | 12,110 | |||||||||||
U.S. Treasury Bond |
16,069,617,172 | 79,086,475 | (187,695,529 | ) | (108,609,054) | |||||||||||
|
44 |
2 0 2 1 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)
8. |
PRINCIPAL RISKS |
In the normal course of business, each Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including, among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate or price fluctuations. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Funds and their investments. Each Fund’s prospectus provides details of the risks to which the Fund is subject.
BFA uses a “passive” or index approach to try to achieve each Fund’s investment objective following the securities included in its underlying index during upturns as well as downturns. BFA does not take steps to reduce market exposure or to lessen the effects of a declining market. Divergence from the underlying index and the composition of the portfolio is monitored by BFA.
Market Risk: Each Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each Fund portfolio’s current earnings rate.
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. The duration of this pandemic and its effects cannot be determined with certainty.
Counterparty Credit Risk: The Funds may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Funds manage counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.
Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are disclosed in its Schedule of Investments.
The Funds invest a significant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.
The Funds invest a significant portion of their assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a Fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedule of Investments.
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 will be phased out by the end of 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Funds may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Funds is uncertain.
9. |
CAPITAL SHARE TRANSACTIONS |
Capital shares are issued and redeemed by each Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”) at NAV. Except when aggregated in Creation Units, shares of each Fund are not redeemable.
N O T E S T O F I N A N C I A L S T A T E M E N T S |
45 |
Notes to Financial Statements (continued)
Transactions in capital shares were as follows:
|
||||||||||||||||
Year Ended 10/31/21 |
Year Ended 10/31/20 |
|||||||||||||||
|
|
|
|
|||||||||||||
iShares ETF | Shares | Amount | Shares | Amount | ||||||||||||
|
||||||||||||||||
CMBS |
||||||||||||||||
Shares sold |
6,950,000 | $ | 378,337,893 | 2,150,000 | $ | 116,484,415 | ||||||||||
Shares redeemed |
(600,000 | ) | (32,850,252 | ) | (1,100,000 | ) | (59,906,665 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase |
6,350,000 | $ | 345,487,641 | 1,050,000 | $ | 56,577,750 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
GNMA Bond |
||||||||||||||||
Shares sold |
1,550,000 | $ | 78,612,344 | 6,700,000 | $ | 342,951,025 | ||||||||||
Shares redeemed |
(1,300,000 | ) | (65,442,619 | ) | (800,000 | ) | (40,664,149 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase |
250,000 | $ | 13,169,725 | 5,900,000 | $ | 302,286,876 | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Treasury Floating Rate Bond |
||||||||||||||||
Shares sold |
3,200,000 | $ | 160,881,792 | 3,600,000 | $ | 180,980,299 | ||||||||||
Shares redeemed |
(6,100,000 | ) | (306,696,398 | ) | (5,600,000 | ) | (281,609,584 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net decrease |
(2,900,000 | ) | $ | (145,814,606 | ) | (2,000,000 | ) | $ | (100,629,285 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
U.S. Treasury Bond |
||||||||||||||||
Shares sold |
220,600,000 | $ | 5,882,272,810 | 279,100,000 | $ | 7,601,212,924 | ||||||||||
Shares redeemed |
(172,200,000 | ) | (4,638,549,032 | ) | (314,600,000 | ) | (8,691,392,456 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Net increase (decrease) |
48,400,000 | $ | 1,243,723,778 | (35,500,000 | ) | $ | (1,090,179,532 | ) | ||||||||
|
|
|
|
|
|
|
|
The consideration for the purchase of Creation Units of a fund in the Trust generally consists of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Certain funds in the Trust may be offered in Creation Units solely or partially for cash in U.S. dollars. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to State Street Bank and Trust Company, the Trust’s administrator, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. Investors transacting in Creation Units for cash may also pay an additional variable charge to compensate the relevant fund for certain transaction costs (i.e., stamp taxes, taxes on currency or other financial transactions, and brokerage costs) and market impact expenses relating to investing in portfolio securities. Such variable charges, if any, are included in shares sold in the table above.
From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable in the Statements of Assets and Liabilities.
10. |
SUBSEQUENT EVENTS |
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
46 |
2 0 2 1 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 CMBS ETF, iShares GNMA Bond ETF,
iShares Treasury Floating Rate Bond ETF and iShares U.S. Treasury Bond ETF
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of iShares CMBS ETF, iShares GNMA Bond ETF, iShares Treasury Floating Rate Bond ETF and iShares U.S. Treasury Bond ETF (four of the funds constituting iShares Trust, hereafter collectively referred to as the “Funds”) as of October 31, 2021, the related statements of operations for the year ended October 31, 2021, the statements of changes in net assets for each of the two years in the period ended October 31, 2021, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2021 (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 October 31, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended October 31, 2021 and each of the financial highlights for each of the five years in the period ended October 31, 2021 in conformity with accounting principles generally accepted in the United States of America.
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 October 31, 2021 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
December 21, 2021
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 |
47 |
Important Tax Information (unaudited) |
The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended October 31, 2021:
iShares ETF | Interest Dividends | |||
CMBS |
$ | 14,414,026 | ||
GNMA Bond |
494,275 | |||
Treasury Floating Rate Bond |
36,419 | |||
U.S. Treasury Bond |
145,693,830 |
The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest-related dividends and qualified short-term capital gains eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended October 31, 2021:
iShares ETF |
Interest-Related Dividends |
Qualified Short-Term Capital Gain |
||||||
CMBS |
$ | 14,408,928 | $ | 77,176 | ||||
GNMA Bond |
494,275 | — | ||||||
Treasury Floating Rate Bond |
34,675 | 15,038 | ||||||
U.S. Treasury Bond |
139,883,654 | 103,234,771 |
The Funds hereby designate the following amounts, or maximum amounts allowable by law, of distributions from direct federal obligation interest for the fiscal year ended October 31, 2021:
iShares ETF |
Federal Obligation Interest |
|||
CMBS |
$ | 4,596 | ||
GNMA Bond |
9,517 | |||
Treasury Floating Rate Bond |
34,516 | |||
U.S. Treasury Bond |
139,862,865 |
The law varies in each state as to whether and what percent of ordinary income dividends attribute to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.
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 of not greater than 20%, for the fiscal year ended October 31, 2021:
iShares ETF |
20% Rate Long-Term Capital Gain Dividends |
|||
CMBS |
$ | 1,891,281 | ||
Treasury Floating Rate Bond |
7,376 | |||
U.S. Treasury Bond |
22,644,287 |
48 |
2 0 2 1 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 |
Board Review and Approval of Investment Advisory Contract
iShares CMBS ETF, iShares GNMA Bond ETF (each the “Fund”)
Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Trust’s Board of Trustees (the “Board”), including a majority of Board Members who are not “interested persons” of the Trust (as that term is defined in the 1940 Act) (the “Independent Board Members), is required annually to consider and approve the Investment Advisory Agreement between the Trust and BFA (the “Advisory Agreement”) whereby the Board and its committees (composed solely of Independent Board Members) assess BlackRock’s services to the Fund, including investment management; fund accounting; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements. The Independent Board Members requested, and BFA provided, such information as the Independent Board Members, with advice from independent counsel, deemed reasonably necessary to evaluate the Advisory Agreement. At meetings on May 7, 2021 and May 14, 2021, a committee composed of all of the Independent Board Members (the “15(c) Committee”), with independent counsel, met with management and reviewed and discussed information provided in response to initial requests of the 15(c) Committee and/or its independent counsel, and requested certain additional information, which management agreed to provide. At a meeting held on June 15-16, 2021, the Board, including the Independent Board Members, reviewed the additional information provided by management in response to these requests.
After extensive discussions and deliberations, the Board, including all of the Independent Board Members, approved the continuance of the Advisory Agreement for the Fund, based on a review of qualitative and quantitative information provided by BFA and their cumulative experience as Board Members. The Board noted its satisfaction with the extent and quality of information provided and its frequent interactions with management, as well as the detailed responses and other information provided by BFA. The Independent Board Members were advised by their independent counsel throughout the process, including about the legal standards applicable to their review. In approving the continuance of the Advisory Agreement for the Fund, the Board, including the Independent Board Members, considered various factors, including: (i) the expenses and performance of the Fund; (ii) the nature, extent and quality of the services provided by BFA; (iii) the costs of services provided to the Fund and profits realized by BFA and its affiliates; (iv) potential economies of scale and the sharing of related benefits; (v) the fees and services provided for other comparable funds/accounts managed by BFA and its affiliates; and (vi) other benefits to BFA and/or its affiliates. The material factors, none of which was controlling, and conclusions that formed the basis for the Board, including the Independent Board Members, to approve the continuance of the Advisory Agreement are discussed below.
Expenses and Performance of the Fund: The Board reviewed statistical information prepared by Broadridge Financial Solutions Inc. (“Broadridge”), an independent provider of investment company data, regarding the expense ratio components, including gross and net total expenses, fees and expenses of another fund in which the Fund invests (if applicable), and waivers/reimbursements (if applicable) of the Fund in comparison with the same information for other ETFs (including, where applicable, funds sponsored by an “at cost” service provider), objectively selected by Broadridge as comprising the Fund’s applicable peer group pursuant to Broadridge’s proprietary ETF methodology (the “Peer Group”). The Board was provided with a detailed description of the proprietary ETF methodology used by Broadridge to determine the Fund’s Peer Group. The Board noted that, due to the limitations in providing comparable funds in the Peer Group, the statistical information provided in Broadridge’s report may or may not provide meaningful direct comparisons to the Fund in all instances. The Board also noted that the overall fund expenses (net of waivers and reimbursements) for the Fund were higher than the median of overall fund expenses (net of waivers and reimbursements ) of the funds in its Peer Group, excluding iShares funds.
In addition, to the extent that any of the comparison funds included in the Peer Group, excluding iShares funds, track the same index as the Fund, Broadridge also provided, and the Board reviewed, a comparison of the Fund’s performance for the one-year, three-year, five-year, ten-year, and since inception periods, as applicable, and for the quarter ended December 31, 2020, to that of relevant comparison fund(s) for the same periods. The Board noted that the Fund seeks to track its specified underlying index and that, during the year, the Board received periodic reports on the Fund’s short- and longer-term performance in comparison with its underlying index. Such periodic comparative performance information, including additional detailed information as requested by the Board, was also considered. The Board noted that the Fund generally performed in line with its underlying index over the relevant periods.
Based on this review, the other factors considered at the meeting, and their general knowledge of ETF pricing, the Board concluded that the investment advisory fee rate and expense level and the historical performance of the Fund supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Nature, Extent and Quality of Services Provided: Based on management’s representations, including information about recent and proposed enhancements to the iShares business, including with respect to capital markets support and analysis, technology, portfolio management, product design and quality, compliance and risk management, global public policy and other services, the Board expected that there would be no diminution in the scope of services required of or provided by BFA under the Advisory Agreement for the coming year as compared with the scope of services provided by BFA during prior years. In reviewing the scope of these services, the Board considered BFA’s investment philosophy and experience, noting that BFA and its affiliates have committed significant resources over time, including during the past year, to support the iShares funds and their shareholders and have made significant investments into the iShares business. The Board also considered BFA’s compliance program and its compliance record with respect to the Fund. In that regard, the Board noted that BFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board, and on other occasions as necessary and appropriate, and has provided information and made relevant officers and other employees of BFA (and its affiliates) available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Fund, as well as the resources available to them in managing the Fund. In addition to the above considerations, the Board reviewed and considered detailed presentations regarding BFA’s investment performance, investment and risk management processes and strategies, which were provided at the May 7, 2021 meeting and throughout the year.
Based on review of this information, and the performance information discussed above, the Board concluded that the nature, extent and quality of services provided to the Fund under the Advisory Agreement supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Costs of Services Provided to the Fund and Profits Realized by BFA and its Affiliates: The Board reviewed information about the estimated profitability to BlackRock in managing the Fund, based on the fees payable to BFA and its affiliates (including fees under the Advisory Agreement), and other sources of revenue and expense to BFA and its affiliates from the Fund’s operations for the last calendar year. The Board reviewed BlackRock’s methodology for calculating estimated profitability of the iShares funds, noting that the 15(c) Committee and the Board had focused on the methodology and profitability presentation. The Board recognized that profitability may be affected
B O A R D R E V I E W A N D A P P R O V A L O F I N V E S T M E N T A D V I S O R Y C O N T R A C T |
49 |
Board Review and Approval of Investment Advisory Contract (continued)
by numerous factors, including, among other things, fee waivers by BFA, the types of funds managed, expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at individual fund levels is challenging. The Board discussed with management the sources of direct and ancillary revenue, including the revenues to BTC, a BlackRock affiliate, from securities lending by the Fund. The Board also discussed BFA’s estimated profit margin as reflected in the Fund’s profitability analysis and reviewed information regarding potential economies of scale (as discussed below).
Based on this review, the Board concluded that the profits realized by BFA and its affiliates under the Advisory Agreement and from other relationships between the Fund and BFA and/or its affiliates, if any, were within a reasonable range in light of the factors and other information considered.
Economies of Scale: The Board reviewed information and considered the extent to which economies of scale might be realized as the assets of the Fund increase, noting that the issue of potential economies of scale had been focused on by the 15(c) Committee and the Board during their meetings and addressed by management. The 15(c) Committee and the Board received information regarding BlackRock’s historical estimated profitability, including BFA’s and its affiliates’ estimated costs in providing services. The estimated cost information distinguished, among other things, between fixed and variable costs, and showed how the level and nature of fixed and variable costs may impact the existence or size of scale benefits, with the Board recognizing that potential economies of scale are difficult to measure. The 15(c) Committee and the Board reviewed information provided by BFA regarding the sharing of scale benefits with the iShares funds through various means, including, as applicable, through relatively low fee rates established at inception, breakpoints, waivers, or other fee reductions, as well as through additional investment in the iShares business and the provision of improved or additional infrastructure and services to the iShares funds and their shareholders. The Board noted that the Advisory Agreement for the Fund did not provide for breakpoints in the Fund’s investment advisory fee rate as the assets of the Fund increase. However, the Board noted that it would continue to assess the appropriateness of adding breakpoints in the future.
The Board concluded that this review of potential economies of scale and the sharing of related benefits, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Fees and Services Provided for Other Comparable Funds/Accounts Managed by BFA and its Affiliates: The Board considered information regarding the investment advisory/management fee rates for other funds/accounts in the U.S. for which BFA (or its affiliates) provides investment advisory/management services, including open-end funds registered under the 1940 Act (including sub-advised funds), collective trust funds, and institutional separate accounts (collectively, the “Other Accounts”). The Board acknowledged BFA’s representation that the iShares funds are fundamentally different investment vehicles from the Other Accounts.
The Board received detailed information regarding how the Other Accounts generally differ from the Fund, including in terms of the types of services and generally more extensive services provided to the Fund, as well as other significant differences. In that regard, the Board considered that the pricing of services to institutional clients is typically based on a number of factors beyond the nature and extent of the specific services to be provided and often depends on the overall relationship between the client and its affiliates and the adviser and its affiliates. In addition, the Board considered the relative complexity and inherent risks and challenges of managing and providing other services to the Fund, as a publicly traded investment vehicle, as compared to the Other Accounts, particularly those that are institutional clients, in light of differing regulatory requirements and client-imposed mandates. The Board noted that BFA and its affiliates do not manage Other Accounts with substantially the same investment objective and strategy as the Fund and that track the same index as the Fund. The Board also acknowledged management’s assertion that, for certain iShares funds, and for client segmentation purposes, BlackRock has launched an iShares fund that may provide a similar investment exposure at a lower investment advisory fee rate.
The Board also considered the “all-inclusive” nature of the Fund’s advisory fee structure, and the Fund’s expenses borne by BFA under this arrangement. The Board noted that the investment advisory fee rate under the Advisory Agreement for the Fund was generally higher than the investment advisory/management fee rates for certain of the Other Accounts (particularly institutional clients) and concluded that the differences appeared to be consistent with the factors discussed.
Other Benefits to BFA and/or its Affiliates: The Board reviewed other benefits or ancillary revenue received by BFA and/or its affiliates in connection with the services provided to the Fund by BFA, both direct and indirect, including, but not limited to, payment of revenue to BTC, the Fund’s securities lending agent, for loaning portfolio securities (which was included in the profit margins reviewed by the Board pursuant to BFA’s estimated profitability methodology), payment of advisory fees or other fees to BFA (or its affiliates) in connection with any investments by the Fund in other funds for which BFA (or its affiliates) provides investment advisory services or other services, and BlackRock’s profile in the investment community. The Board also noted the revenue received by BFA and/or its affiliates pursuant to (i) an agreement that permits a service provider to use certain portions of BlackRock’s technology platform to service accounts managed by BFA and/or its affiliates, including the iShares funds and (ii) other technology-related initiatives aimed to better support the iShares funds. The Board further noted that BFA generally does not use soft dollars or consider the value of research or other services that may be provided to BFA (including its affiliates) in selecting brokers for portfolio transactions for the Fund. The Board concluded that any such ancillary benefits would not be disadvantageous to the Fund and thus would not alter the Board’s conclusion with respect to the appropriateness of approving the continuance of the Advisory Agreement for the coming year.
Conclusion: Based on a review of the factors described above, as well as such other factors as deemed appropriate by the Board, the Board, including all of the Independent Board Members, determined that the Fund’s investment advisory fee rate under the Advisory Agreement does not constitute a fee that is so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded to approve the continuance of the Advisory Agreement for the coming year.
iShares Treasury Floating Rate Bond ETF (the “Fund”)
Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Trust’s Board of Trustees (the “Board”), including a majority of Board Members who are not “interested persons” of the Trust (as that term is defined in the 1940 Act) (the “Independent Board Members), is required annually to consider and approve the Investment Advisory Agreement between the Trust and BFA (the “Advisory Agreement”) whereby the Board and its committees (composed solely of Independent Board Members) assess BlackRock’s services to the Fund, including investment management; fund accounting; administrative and shareholder services; oversight of the Fund’s service
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Board Review and Approval of Investment Advisory Contract (continued)
providers; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements. The Independent Board Members requested, and BFA provided, such information as the Independent Board Members, with advice from independent counsel, deemed reasonably necessary to evaluate the Advisory Agreement. At meetings on May 7, 2021 and May 14, 2021, a committee composed of all of the Independent Board Members (the “15(c) Committee”), with independent counsel, met with management and reviewed and discussed information provided in response to initial requests of the 15(c) Committee and/or its independent counsel, and requested certain additional information, which management agreed to provide. At a meeting held on June 15-16, 2021, the Board, including the Independent Board Members, reviewed the additional information provided by management in response to these requests.
After extensive discussions and deliberations, the Board, including all of the Independent Board Members, approved the continuance of the Advisory Agreement for the Fund, based on a review of qualitative and quantitative information provided by BFA and their cumulative experience as Board Members. The Board noted its satisfaction with the extent and quality of information provided and its frequent interactions with management, as well as the detailed responses and other information provided by BFA. The Independent Board Members were advised by their independent counsel throughout the process, including about the legal standards applicable to their review. In approving the continuance of the Advisory Agreement for the Fund, the Board, including the Independent Board Members, considered various factors, including: (i) the expenses and performance of the Fund; (ii) the nature, extent and quality of the services provided by BFA; (iii) the costs of services provided to the Fund and profits realized by BFA and its affiliates; (iv) potential economies of scale and the sharing of related benefits; (v) the fees and services provided for other comparable funds/accounts managed by BFA and its affiliates; and (vi) other benefits to BFA and/or its affiliates. The material factors, none of which was controlling, and conclusions that formed the basis for the Board, including the Independent Board Members, to approve the continuance of the Advisory Agreement are discussed below.
Expenses and Performance of the Fund: The Board reviewed statistical information prepared by Broadridge Financial Solutions Inc. (“Broadridge”), an independent provider of investment company data, regarding the expense ratio components, including gross and net total expenses, fees and expenses of another fund in which the Fund invests (if applicable), and waivers/reimbursements (if applicable) of the Fund in comparison with the same information for other ETFs (including, where applicable, funds sponsored by an “at cost” service provider), objectively selected by Broadridge as comprising the Fund’s applicable peer group pursuant to Broadridge’s proprietary ETF methodology (the “Peer Group”). The Board was provided with a detailed description of the proprietary ETF methodology used by Broadridge to determine the Fund’s Peer Group. The Board noted that, due to the limitations in providing comparable funds in the Peer Group, the statistical information provided in Broadridge’s report may or may not provide meaningful direct comparisons to the Fund in all instances. The Board also noted that overall fund expenses (net of waivers and reimbursements) for the Fund were lower than the median of the overall fund expenses (net of waivers and reimbursements ) of the funds in its Peer Group, excluding iShares funds.
In addition, to the extent that any of the comparison funds included in the Peer Group, excluding iShares funds, track the same index as the Fund, Broadridge also provided, and the Board reviewed, a comparison of the Fund’s performance for the one-year, three-year, five-year, ten-year, and since inception periods, as applicable, and for the quarter ended December 31, 2021, to that of relevant comparison fund(s) for the same periods. The Board noted that the Fund seeks to track its specified underlying index and that, during the year, the Board received periodic reports on the Fund’s short- and longer-term performance in comparison with its underlying index. Such periodic comparative performance information, including additional detailed information as requested by the Board, was also considered. The Board noted that the Fund generally performed in line with its underlying index over the relevant periods.
Based on this review, the other factors considered at the meeting, and their general knowledge of ETF pricing, the Board concluded that the investment advisory fee rate and expense level and the historical performance of the Fund supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Nature, Extent and Quality of Services Provided: Based on management’s representations, including information about recent and proposed enhancements to the iShares business, including with respect to capital markets support and analysis, technology, portfolio management, product design and quality, compliance and risk management, global public policy and other services, the Board expected that there would be no diminution in the scope of services required of or provided by BFA under the Advisory Agreement for the coming year as compared with the scope of services provided by BFA during prior years. In reviewing the scope of these services, the Board considered BFA’s investment philosophy and experience, noting that BFA and its affiliates have committed significant resources over time, including during the past year, to support the iShares funds and their shareholders and have made significant investments into the iShares business. The Board also considered BFA’s compliance program and its compliance record with respect to the Fund. In that regard, the Board noted that BFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board, and on other occasions as necessary and appropriate, and has provided information and made relevant officers and other employees of BFA (and its affiliates) available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Fund, as well as the resources available to them in managing the Fund. In addition to the above considerations, the Board reviewed and considered detailed presentations regarding BFA’s investment performance, investment and risk management processes and strategies, which were provided at the May 7, 2021 meeting and throughout the year.
Based on review of this information, and the performance information discussed above, the Board concluded that the nature, extent and quality of services provided to the Fund under the Advisory Agreement supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Costs of Services Provided to the Fund and Profits Realized by BFA and its Affiliates: The Board reviewed information about the estimated profitability to BlackRock in managing the Fund, based on the fees payable to BFA and its affiliates (including fees under the Advisory Agreement), and other sources of revenue and expense to BFA and its affiliates from the Fund’s operations for the last calendar year. The Board reviewed BlackRock’s methodology for calculating estimated profitability of the iShares funds, noting that the 15(c) Committee and the Board had focused on the methodology and profitability presentation. The Board recognized that profitability may be affected by numerous factors, including, among other things, fee waivers by BFA, the types of funds managed, expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at individual fund levels is challenging. The Board discussed with management the sources of direct and ancillary revenue,
B O A R D R E V I E W A N D A P P R O V A L O F I N V E S T M E N T A D V I S O R Y C O N T R A C T |
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Board Review and Approval of Investment Advisory Contract (continued)
including the revenues to BTC, a BlackRock affiliate, from securities lending by the Fund. The Board also discussed BFA’s estimated profit margin as reflected in the Fund’s profitability analysis and reviewed information regarding potential economies of scale (as discussed below).
Based on this review, the Board concluded that the profits realized by BFA and its affiliates under the Advisory Agreement and from other relationships between the Fund and BFA and/or its affiliates, if any, were within a reasonable range in light of the factors and other information considered.
Economies of Scale: The Board reviewed information and considered the extent to which economies of scale might be realized as the assets of the Fund increase, noting that the issue of potential economies of scale had been focused on by the 15(c) Committee and the Board during their meetings and addressed by management. The 15(c) Committee and the Board received information regarding BlackRock’s historical estimated profitability, including BFA’s and its affiliates’ estimated costs in providing services. The estimated cost information distinguished, among other things, between fixed and variable costs, and showed how the level and nature of fixed and variable costs may impact the existence or size of scale benefits, with the Board recognizing that potential economies of scale are difficult to measure. The 15(c) Committee and the Board reviewed information provided by BFA regarding the sharing of scale benefits with the iShares funds through various means, including, as applicable, through relatively low fee rates established at inception, breakpoints, waivers, or other fee reductions, as well as through additional investment in the iShares business and the provision of improved or additional infrastructure and services to the iShares funds and their shareholders. The Board noted that the Advisory Agreement for the Fund did not provide for breakpoints in the Fund’s investment advisory fee rate as the assets of the Fund increase. However, the Board would continue to assess the appropriateness of adding breakpoints in the future.
The Board concluded that this review of potential economies of scale and the sharing of related benefits, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Fees and Services Provided for Other Comparable Funds/Accounts Managed by BFA and its Affiliates: The Board considered information regarding the investment advisory/management fee rates for other funds/accounts in the U.S. for which BFA (or its affiliates) provides investment advisory/management services, including open-end funds registered under the 1940 Act (including sub-advised funds), collective trust funds, and institutional separate accounts (collectively, the “Other Accounts”). The Board acknowledged BFA’s representation that the iShares funds are fundamentally different investment vehicles from the Other Accounts.
The Board received detailed information regarding how the Other Accounts generally differ from the Fund, including in terms of the types of services and generally more extensive services provided to the Fund, as well as other significant differences. In that regard, the Board considered that the pricing of services to institutional clients is typically based on a number of factors beyond the nature and extent of the specific services to be provided and often depends on the overall relationship between the client and its affiliates and the adviser and its affiliates. In addition, the Board considered the relative complexity and inherent risks and challenges of managing and providing other services to the Fund, as a publicly traded investment vehicle, as compared to the Other Accounts, particularly those that are institutional clients, in light of differing regulatory requirements and client-imposed mandates. The Board noted that BFA and its affiliates do not manage Other Accounts with substantially the same investment objective and strategy as the Fund and that track the same index as the Fund. The Board also acknowledged management’s assertion that, for certain iShares funds, and for client segmentation purposes, BlackRock has launched an iShares fund that may provide a similar investment exposure at a lower investment advisory fee rate.
The Board also considered the “all-inclusive” nature of the Fund’s advisory fee structure, and the Fund’s expenses borne by BFA under this arrangement. The Board noted that the investment advisory fee rate under the Advisory Agreement for the Fund was generally higher than the investment advisory/management fee rates for certain of the Other Accounts (particularly institutional clients) and concluded that the differences appeared to be consistent with the factors discussed.
Other Benefits to BFA and/or its Affiliates: The Board reviewed other benefits or ancillary revenue received by BFA and/or its affiliates in connection with the services provided to the Fund by BFA, both direct and indirect, including, but not limited to, payment of revenue to BTC, the Fund’s securities lending agent, for loaning portfolio securities (which was included in the profit margins reviewed by the Board pursuant to BFA’s estimated profitability methodology), payment of advisory fees or other fees to BFA (or its affiliates) in connection with any investments by the Fund in other funds for which BFA (or its affiliates) provides investment advisory services or other services, and BlackRock’s profile in the investment community. The Board also noted the revenue received by BFA and/or its affiliates pursuant to (i) an agreement that permits a service provider to use certain portions of BlackRock’s technology platform to service accounts managed by BFA and/or its affiliates, including the iShares funds and (ii) other technology-related initiatives aimed to better support the iShares funds. The Board further noted that BFA generally does not use soft dollars or consider the value of research or other services that may be provided to BFA (including its affiliates) in selecting brokers for portfolio transactions for the Fund. The Board concluded that any such ancillary benefits would not be disadvantageous to the Fund and thus would not alter the Board’s conclusion with respect to the appropriateness of approving the continuance of the Advisory Agreement for the coming year.
Conclusion: Based on a review of the factors described above, as well as such other factors as deemed appropriate by the Board, the Board, including all of the Independent Board Members, determined that the Fund’s investment advisory fee rate under the Advisory Agreement does not constitute a fee that is so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded to approve the continuance of the Advisory Agreement for the coming year.
iShares U.S. Treasury Bond ETF (the “Fund”)
Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Trust’s Board of Trustees (the “Board”), including a majority of Board Members who are not “interested persons” of the Trust (as that term is defined in the 1940 Act) (the “Independent Board Members), is required annually to consider and approve the Investment Advisory Agreement between the Trust and BFA (the “Advisory Agreement”) whereby the Board and its committees (composed solely of Independent Board Members) assess BlackRock’s services to the Fund, including investment management; fund accounting; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements. The Independent Board Members requested, and BFA provided, such information as the Independent Board Members, with advice from independent counsel, deemed reasonably necessary to
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Board Review and Approval of Investment Advisory Contract (continued)
evaluate the Advisory Agreement. At meetings on May 7, 2021 and May 14, 2021, a committee composed of all of the Independent Board Members (the “15(c) Committee”), with independent counsel, met with management and reviewed and discussed information provided in response to initial requests of the 15(c) Committee and/or its independent counsel, and requested certain additional information, which management agreed to provide. At a meeting held on June 15-16, 2021, the Board, including the Independent Board Members, reviewed the additional information provided by management in response to these requests.
After extensive discussions and deliberations, the Board, including all of the Independent Board Members, approved the continuance of the Advisory Agreement for the Fund, based on a review of qualitative and quantitative information provided by BFA and their cumulative experience as Board Members. The Board noted its satisfaction with the extent and quality of information provided and its frequent interactions with management, as well as the detailed responses and other information provided by BFA. The Independent Board Members were advised by their independent counsel throughout the process, including about the legal standards applicable to their review. In approving the continuance of the Advisory Agreement for the Fund, the Board, including the Independent Board Members, considered various factors, including: (i) the expenses and performance of the Fund; (ii) the nature, extent and quality of the services provided by BFA; (iii) the costs of services provided to the Fund and profits realized by BFA and its affiliates; (iv) potential economies of scale and the sharing of related benefits; (v) the fees and services provided for other comparable funds/accounts managed by BFA and its affiliates; and (vi) other benefits to BFA and/or its affiliates. The material factors, none of which was controlling, and conclusions that formed the basis for the Board, including the Independent Board Members, to approve the continuance of the Advisory Agreement are discussed below.
Expenses and Performance of the Fund: The Board reviewed statistical information prepared by Broadridge Financial Solutions Inc. (“Broadridge”), an independent provider of investment company data, regarding the expense ratio components, including gross and net total expenses, fees and expenses of another fund in which the Fund invests (if applicable), and waivers/reimbursements (if applicable) of the Fund in comparison with the same information for other ETFs (including, where applicable, funds sponsored by an “at cost” service provider), objectively selected by Broadridge as comprising the Fund’s applicable peer group pursuant to Broadridge’s proprietary ETF methodology (the “Peer Group”). The Board was provided with a detailed description of the proprietary ETF methodology used by Broadridge to determine the Fund’s Peer Group. The Board noted that, due to the limitations in providing comparable funds in the Peer Group, the statistical information provided in Broadridge’s report may or may not provide meaningful direct comparisons to the Fund in all instances. The Board also noted that the overall fund expenses (net of waivers and reimbursements) for the Fund were within range of the median of the overall fund expenses (net of waivers and reimbursements ) of the funds in its Peer Group, excluding iShares funds.
In addition, to the extent that any of the comparison funds included in the Peer Group, excluding iShares funds, track the same index as the Fund, Broadridge also provided, and the Board reviewed, a comparison of the Fund’s performance for the one-year, three-year, five-year, ten-year, and since inception periods, as applicable, and for the quarter ended December 31, 2021, to that of relevant comparison fund(s) for the same periods. The Board noted that the Fund seeks to track its specified underlying index and that, during the year, the Board received periodic reports on the Fund’s short- and longer-term performance in comparison with its underlying index. Such periodic comparative performance information, including additional detailed information as requested by the Board, was also considered. The Board noted that the Fund generally performed in line with its underlying index over the relevant periods.
Based on this review, the other factors considered at the meeting, and their general knowledge of ETF pricing, the Board concluded that the investment advisory fee rate and expense level and the historical performance of the Fund supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Nature, Extent and Quality of Services Provided: Based on management’s representations, including information about recent and proposed enhancements to the iShares business, including with respect to capital markets support and analysis, technology, portfolio management, product design and quality, compliance and risk management, global public policy and other services, the Board expected that there would be no diminution in the scope of services required of or provided by BFA under the Advisory Agreement for the coming year as compared with the scope of services provided by BFA during prior years. In reviewing the scope of these services, the Board considered BFA’s investment philosophy and experience, noting that BFA and its affiliates have committed significant resources over time, including during the past year, to support the iShares funds and their shareholders and have made significant investments into the iShares business. The Board also considered BFA’s compliance program and its compliance record with respect to the Fund. In that regard, the Board noted that BFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board, and on other occasions as necessary and appropriate, and has provided information and made relevant officers and other employees of BFA (and its affiliates) available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Fund, as well as the resources available to them in managing the Fund. In addition to the above considerations, the Board reviewed and considered detailed presentations regarding BFA’s investment performance, investment and risk management processes and strategies, which were provided at the May 7, 2021 meeting and throughout the year.
Based on review of this information, and the performance information discussed above, the Board concluded that the nature, extent and quality of services provided to the Fund under the Advisory Agreement supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Costs of Services Provided to the Fund and Profits Realized by BFA and its Affiliates: The Board reviewed information about the estimated profitability to BlackRock in managing the Fund, based on the fees payable to BFA and its affiliates (including fees under the Advisory Agreement), and other sources of revenue and expense to BFA and its affiliates from the Fund’s operations for the last calendar year. The Board reviewed BlackRock’s methodology for calculating estimated profitability of the iShares funds, noting that the 15(c) Committee and the Board had focused on the methodology and profitability presentation. The Board recognized that profitability may be affected by numerous factors, including, among other things, fee waivers by BFA, the types of funds managed, expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at individual fund levels is challenging. The Board discussed with management the sources of direct and ancillary revenue, including the revenues to BTC, a BlackRock affiliate, from securities lending by the Fund. The Board also discussed BFA’s estimated profit margin as reflected in the Fund’s profitability analysis and reviewed information regarding potential economies of scale (as discussed below).
Based on this review, the Board concluded that the profits realized by BFA and its affiliates under the Advisory Agreement and from other relationships between the Fund and BFA and/or its affiliates, if any, were within a reasonable range in light of the factors and other information considered.
B O A R D R E V I E W A N D A P P R O V A L O F I N V E S T M E N T A D V I S O R Y C O N T R A C T |
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Board Review and Approval of Investment Advisory Contract (continued)
Economies of Scale: The Board reviewed information and considered the extent to which economies of scale might be realized as the assets of the Fund increase, noting that the issue of potential economies of scale had been focused on by the 15(c) Committee and the Board during their meetings and addressed by management. The 15(c) Committee and the Board received information regarding BlackRock’s historical estimated profitability, including BFA’s and its affiliates’ estimated costs in providing services. The estimated cost information distinguished, among other things, between fixed and variable costs, and showed how the level and nature of fixed and variable costs may impact the existence or size of scale benefits, with the Board recognizing that potential economies of scale are difficult to measure. The 15(c) Committee and the Board reviewed information provided by BFA regarding the sharing of scale benefits with the iShares funds through various means, including, as applicable, through relatively low fee rates established at inception, breakpoints, waivers, or other fee reductions, as well as through additional investment in the iShares business and the provision of improved or additional infrastructure and services to the iShares funds and their shareholders. The Board noted that the Advisory Agreement for the Fund did not provide for breakpoints in the Fund’s investment advisory fee rate as the assets of the Fund increase. However, the Board would continue to assess the appropriateness of adding breakpoints in the future.
The Board concluded that this review of potential economies of scale and the sharing of related benefits, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.
Fees and Services Provided for Other Comparable Funds/Accounts Managed by BFA and its Affiliates: The Board considered information regarding the investment advisory/management fee rates for other funds/accounts in the U.S. for which BFA (or its affiliates) provides investment advisory/management services, including open-end funds registered under the 1940 Act (including sub-advised funds), collective trust funds, and institutional separate accounts (collectively, the “Other Accounts”). The Board acknowledged BFA’s representation that the iShares funds are fundamentally different investment vehicles from the Other Accounts.
The Board received detailed information regarding how the Other Accounts generally differ from the Fund, including in terms of the types of services and generally more extensive services provided to the Fund, as well as other significant differences. In that regard, the Board considered that the pricing of services to institutional clients is typically based on a number of factors beyond the nature and extent of the specific services to be provided and often depends on the overall relationship between the client and its affiliates and the adviser and its affiliates. In addition, the Board considered the relative complexity and inherent risks and challenges of managing and providing other services to the Fund, as a publicly traded investment vehicle, as compared to the Other Accounts, particularly those that are institutional clients, in light of differing regulatory requirements and client-imposed mandates. The Board noted that BFA and its affiliates do not manage Other Accounts with substantially the same investment objective and strategy as the Fund and that track the same index as the Fund. The Board also acknowledged management’s assertion that, for certain iShares funds, and for client segmentation purposes, BlackRock has launched an iShares fund that may provide a similar investment exposure at a lower investment advisory fee rate.
The Board also considered the “all-inclusive” nature of the Fund’s advisory fee structure, and the Fund’s expenses borne by BFA under this arrangement. The Board noted that the investment advisory fee rate under the Advisory Agreement for the Fund was generally higher than the investment advisory/management fee rates for certain of the Other Accounts (particularly institutional clients) and concluded that the differences appeared to be consistent with the factors discussed.
Other Benefits to BFA and/or its Affiliates: The Board reviewed other benefits or ancillary revenue received by BFA and/or its affiliates in connection with the services provided to the Fund by BFA, both direct and indirect, including, but not limited to, payment of revenue to BTC, the Fund’s securities lending agent, for loaning portfolio securities (which was included in the profit margins reviewed by the Board pursuant to BFA’s estimated profitability methodology), payment of advisory fees or other fees to BFA (or its affiliates) in connection with any investments by the Fund in other funds for which BFA (or its affiliates) provides investment advisory services or other services, and BlackRock’s profile in the investment community. The Board also noted the revenue received by BFA and/or its affiliates pursuant to (i) an agreement that permits a service provider to use certain portions of BlackRock’s technology platform to service accounts managed by BFA and/or its affiliates, including the iShares funds and (ii) other technology-related initiatives aimed to better support the iShares funds. The Board further noted that BFA generally does not use soft dollars or consider the value of research or other services that may be provided to BFA (including its affiliates) in selecting brokers for portfolio transactions for the Fund. The Board concluded that any such ancillary benefits would not be disadvantageous to the Fund and thus would not alter the Board’s conclusion with respect to the appropriateness of approving the continuance of the Advisory Agreement for the coming year.
Conclusion: Based on a review of the factors described above, as well as such other factors as deemed appropriate by the Board, the Board, including all of the Independent Board Members, determined that the Fund’s investment advisory fee rate under the Advisory Agreement does not constitute a fee that is so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded to approve the continuance of the Advisory Agreement for the coming year.
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Supplemental Information (unaudited)
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.
October 31, 2021
Total Cumulative Distributions for the Fiscal Year |
% Breakdown of the Total
Cumulative Distributions for the Fiscal Year |
|||||||||||||||||||||||||||||||
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 |
||||||||||||||||||||||||
CMBS(a) |
$ | 1.214707 | $ | 0.206969 | $ | 0.005566 | $ | 1.427242 | 85 | % | 15 | % | 0 | %(b) | 100 | % | ||||||||||||||||
GNMA Bond(a) |
0.022499 | — | 0.454158 | 0.476657 | 5 | — | 95 | 100 | ||||||||||||||||||||||||
Treasury Floating Rate Bond(a) |
— | — | 0.009828 | 0.009828 | — | — | 100 | 100 | ||||||||||||||||||||||||
U.S. Treasury Bond |
0.252850 | 0.241148 | — | 0.493998 | 51 | 49 | — | 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.
S U P P L E M E N T A L I N F O R M A T I O N |
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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 375 funds as of October 31, 2021. 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 Cecilia H. Herbert 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) (64) | 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). | |||
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). | |||
(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 | |||
Cecilia H. Herbert (72) | Trustee (since 2005); Independent Board Chair (since 2016). |
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); Independent Board Chair of iShares, Inc. and iShares U.S. ETF Trust (since 2016); Trustee of Thrivent Church Loan and Income Fund (since 2019). | |||
Jane D. Carlin (65) | 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); 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 (66) | 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). |
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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 | |||
John E. Kerrigan (66) | Trustee (since 2005); Nominating and Governance and Equity Plus Committee Chairs (since 2019). |
Chief Investment Officer, Santa Clara University (since 2002). |
Director of iShares, Inc. (since 2005); Trustee of iShares U.S. ETF Trust (since 2011). | |||
Drew E. Lawton (62) | 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). | |||
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). | |||
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). | |||
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 (since 2006). |
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). |
||||
Scott Radell (52) | Executive Vice President (since 2012). |
Managing Director, BlackRock, Inc. (since 2009); Head of Portfolio Solutions, BlackRock, Inc. (since 2009). | ||||
Alan Mason (60) | Executive Vice President (since 2016). |
Managing Director, BlackRock, Inc. (since 2009). |
||||
Marybeth Leithead (58) | Executive Vice President (since 2019). |
Managing Director, BlackRock, Inc. (since 2017); Chief Operating Officer of Americas iShares (since 2017); Portfolio Manager, Municipal Institutional & Wealth Management (2009-2016). |
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 |
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Electronic Delivery
Shareholders can sign up for email notifications announcing that the shareholder report or prospectus has been posted on the iShares website at iShares.com. Once you have enrolled, you will no longer receive prospectuses and shareholder reports in the mail.
To enroll in electronic delivery:
• |
Go to icsdelivery.com. |
• |
If your brokerage firm is not listed, electronic delivery may not be available. Please contact your broker-dealer or financial advisor. |
Householding
Householding is an option available to certain fund investors. Householding is a method of delivery, based on the preference of the individual investor, in which a single copy of certain shareholder documents and Rule 30e-3 notices can be delivered to investors who share the same address, even if their accounts are registered under different names. Please contact your broker-dealer if you are interested in enrolling in householding and receiving a single copy of prospectuses and other shareholder documents, or if you are currently enrolled in householding and wish to change your householding status.
Availability of Quarterly Schedule of Investments
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at iShares.com/fundreports.
Availability of Proxy Voting Policies and Proxy Voting Records
A description of the policies and procedures that the iShares Funds use to determine how to vote proxies relating to portfolio securities and information about how the iShares Funds voted proxies relating to portfolio securities during the most recent twelve-month period ending June 30 is available without charge, upon request (1) by calling toll-free 1-800-474-2737; (2) on the iShares website at iShares.com; and (3) on the SEC website at sec.gov.
A description of the Company’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 - Fixed Income | ||
STRIPS | Separate Trading of Registered Interest & Principal of Securities | |
TBA | To-Be-Announced |
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 |
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Want to know more?
iShares.com | 1-800-474-2737
This report is intended for the Funds’ shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current prospectus.
Investing involves risk, including possible loss of principal.
The iShares Funds are distributed by BlackRock Investments, LLC (together with its affiliates, “BlackRock”).
The iShares Funds are not sponsored, endorsed, issued, sold or promoted by Bloomberg Index Services Limited or Interactive Data Pricing and Reference Data LLC, nor do these companies make any representation regarding the advisability of investing in the iShares Funds. BlackRock is not affiliated with the companies listed above.
©2021 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-1005-1021
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