Table of Contents

 

LOGO

 

  AUGUST 31, 2022

 

 

  

  

2022 Annual Report

 

 

 

iShares Trust

·  iShares Currency Hedged MSCI Canada ETF | HEWC | NYSE Arca

·  iShares Currency Hedged MSCI Eurozone ETF | HEZU | NYSE Arca

·  iShares Currency Hedged MSCI Germany ETF | HEWG | NASDAQ

·  iShares Currency Hedged MSCI Japan ETF | HEWJ | NYSE Arca


Table of Contents

The Markets in Review

Dear Shareholder,

The 12-month reporting period as of August 31, 2022 saw the emergence of significant challenges that disrupted the economic recovery and strong financial markets of 2021. The U.S. economy shrank in the first half of 2022, ending the run of robust growth that followed the reopening of global economies and the development of COVID-19 vaccines. Changes in consumer spending patterns and a tight labor market led to elevated inflation, which reached a 40-year high. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.

Equity prices fell as interest rates rose, particularly weighing on relatively high-valuation growth stocks and economically sensitive small-capitalization stocks. While both large- and small-capitalization U.S. stocks fell, declines for small-capitalization U.S. stocks were steeper. Both emerging market stocks and international equities from developed markets fell significantly, pressured by rising interest rates and a strengthening U.S. dollar.

The 10-year U.S. Treasury yield (which is inversely related to bond prices) rose notably during the reporting period as investors reacted to higher inflation and attempted to anticipate its impact on future interest rate changes. The corporate bond market also faced inflationary headwinds, and increasing uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).

The U.S. Federal Reserve (the “Fed”), acknowledging that inflation is growing faster than expected, raised interest rates four times while indicating that additional rate hikes were likely. Furthermore, the Fed wound down its bond-buying programs and began to reduce its balance sheet. As investors attempted to assess the Fed’s future trajectory, the Fed’s statements late in the reporting period led markets to believe that additional tightening is likely in the near term.

The horrific war in Ukraine has significantly clouded the outlook for the global economy, leading to major volatility in energy and metals markets. Sanctions on Russia, Europe’s top energy supplier, and general wartime disruption have magnified supply problems for key commodities. We believe elevated energy prices will continue to exacerbate inflationary pressure while also constraining economic growth. Combating inflation without stifling a recovery, while buffering against ongoing supply and price shocks, will be an especially challenging environment for setting effective monetary policy. Despite the likelihood of more rate increases on the horizon, we believe the Fed will ultimately err on the side of protecting employment, even at the expense of higher inflation. In the meantime, however, we are likely to see a period of slowing growth paired with relatively high inflation.

In this environment, while we favor an overweight to equities in the long-term, the market’s concerns over excessive rate hikes from central banks moderate our outlook. Furthermore, the energy shock and a deteriorating economic backdrop in China and Europe are likely to challenge corporate earnings, so we are underweight equities overall in the near term. We take the opposite view on credit, where higher spreads provide near-term opportunities, while the likelihood of higher inflation leads us to take an underweight stance on credit in the long term. We believe that investment-grade corporates, U.K. gilts, local-currency emerging market debt, and inflation-protected bonds (particularly in Europe) offer strong opportunities for a six- to twelve-month horizon.

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

 

LOGO

Rob Kapito

President, BlackRock, Inc.

LOGO

Rob Kapito

President, BlackRock, Inc.

 

Total Returns as of August 31, 2022  
     
     

 

6-Month  

 

 

 

   

 

12-Month  

 

 

 

   

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

    (8.84)%       (11.23)%  
   

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

    (9.31)          (17.88)     
   

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

    (13.97)          (19.80)     
   

Emerging market equities
(MSCI Emerging Markets Index)

    (13.30)          (21.80)     
   

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

    0.36            0.39       
   

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

    (9.71)          (13.27)     
   

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

    (7.76)          (11.52)     
   

Tax-exempt municipal bonds
(Bloomberg Municipal Bond Index)

    (5.72)          (8.63)     
   

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

    (7.78)          (10.61)     
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

 

 

2   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


Table of Contents

Table of Contents

 

      Page

The Markets in Review

   2

Annual Report:

  

Market Overview

   4

Fund Summary

   5

About Fund Performance

   13

Disclosure of Expenses

   13

Schedules of Investments

   14

Financial Statements

  

Statements of Assets and Liabilities

   27

Statements of Operations

   28

Statements of Changes in Net Assets

   29

Financial Highlights

   31

Notes to Financial Statements

   35

Report of Independent Registered Public Accounting Firm

   42

Important Tax Information

   43

Board Review and Approval of Investment Advisory Contract

   44

Supplemental Information

   46

Trustee and Officer Information

   47

General Information

   50

Glossary of Terms Used in this Report

   51

 

 

 


Table of Contents

Market Overview

 

iShares Trust

Global Market Overview

Global equity markets declined in U.S. dollar terms during the 12 months ended August 31, 2022 (“reporting period”). The MSCI ACWI, a broad global equity index that includes both developed and emerging markets, returned -15.88% in U.S. dollar terms for the reporting period.

For the first third of the reporting period, economic recovery supported stocks in most regions of the world. The global economy continued to rebound from the impact of restrictions imposed at the beginning of the coronavirus pandemic, as mitigation and adaptation allowed most economic activity to continue. However, substantial challenges emerged at the beginning of 2022 which negatively affected stock prices. Inflation rose significantly in many countries, reducing consumers’ purchasing power and leading many central banks to tighten monetary policy. Russia’s invasion of Ukraine presented a further challenge to the global economy, disrupting important commodities markets.

The U.S. economy grew briskly over the final half of 2021, powered primarily by consumer spending. Record-high personal savings rates allowed consumers to spend at an elevated level, releasing pent-up demand for goods and services. Growth subsequently stalled in the first half of 2022, and the economy contracted amid lower inventories and faltering business investment. Despite the economic downturn, unemployment declined substantially, falling to 3.7% in August 2022 while the number of long-term unemployed dropped below the pre-pandemic level. Although high inflation negatively impacted consumer sentiment, which declined significantly, consumer spending continued to grow.

Rising inflation led to a shift in policy from the U.S. Federal Reserve (“the Fed”). As the reporting period began, the Fed was using accommodative monetary policy to stimulate the economy. Short-term interest rates were kept at near-zero levels, and the Fed used bond-buying programs to stabilize debt markets. However, rising prices led the Fed to tighten monetary policy during the reporting period in an attempt to prevent runaway inflation. The Fed slowed and then ended its bond-buying activities, finally reversing course as it began to reduce its balance sheet in June 2022. In March 2022, the Fed began to raise short-term interest rates, followed by three more increases for a total increase of 225 basis points, the most rapid rise in decades. Interest rates rose significantly in response, leading to higher borrowing costs for businesses. In that environment, the U.S. dollar significantly appreciated relative to most foreign currencies.

Stocks declined in Europe in U.S. dollar terms as economic growth stalled and the euro declined sharply relative to the U.S. dollar. Significantly higher inflation and Russia’s invasion of Ukraine negatively impacted equities. Russia is an important trading partner with many European countries, and new sanctions imposed limits on certain types of trade with Russia. Investors became concerned that the sharp rise in energy prices during the reporting period would constrain economic growth, as Europe relies on imported energy for much of its industrial and heating needs. The European Central Bank (“ECB”) responded to elevated inflation by raising interest rates in July 2022, the first such increase in over a decade.

Despite relatively low inflation by global standards, Asia-Pacific stocks declined significantly in U.S. dollar terms. Chinese stocks faced significant headwinds amid regulatory interventions by the Chinese government and strict lockdowns following COVID-19 outbreaks. Japanese stocks also declined amid an economic contraction in the first quarter of 2022 and a sharp decline in the Japanese yen relative to the U.S. dollar. Emerging market stocks declined substantially, as higher interest rates and a strengthening U.S. dollar raised the cost of borrowing in many emerging economies.

 

 

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Table of Contents
Fund Summary as of August 31, 2022    iShares® Currency Hedged MSCI Canada ETF

 

Investment Objective

The iShares Currency Hedged MSCI Canada ETF (the “Fund”) seeks to track the investment results of an index composed of large- and mid-capitalization Canadian equities while mitigating exposure to fluctuations between the value of the Canadian dollar and the U.S. dollar, as represented by the MSCI Canada 100% Hedged to USD 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. The Fund currently seeks to achieve its investment objective by investing a substantial portion of its assets in one underlying fund, the iShares MSCI Canada ETF.

Performance

 

    Average Annual Total Returns           Cumulative Total Returns  
     1 Year      5 Years      Since
Inception
           1 Year      5 Years      Since
Inception
 

Fund NAV

    (3.60 )%       8.26      7.11       (3.60 )%       48.72      63.65

Fund Market

    (3.72      8.35        7.12         (3.72      49.31        63.76  

Index

    (3.51      8.13        7.15               (3.51      47.84        64.02  

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

The inception date of the Fund was June 29, 2015. The first day of secondary market trading was July 1, 2015.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 

Beginning

Account Value

(03/01/22)

 

 

 

      

Ending

Account Value

(08/31/22)

 

 

 

      

Expenses

Paid During

the Period

 

 

(a) 

           

Beginning

Account Value

(03/01/22)

 

 

 

      

Ending

Account Value

(08/31/22)

 

 

 

      

Expenses

Paid During

the Period

 

 

(a) 

      

Annualized

Expense

Ratio

 

 

 

  $       1,000.00          $         923.70          $        0.15               $      1,000.00          $      1,025.10          $        0.15          0.03

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio.

 

 

 

F U N D   S U M M A R Y

  5


Table of Contents
Fund Summary as of August 31, 2022   (continued)    iShares® Currency Hedged MSCI Canada ETF

 

Portfolio Management Commentary

Stocks in Canada declined in U.S. dollar terms for the reporting period. The war in Ukraine disrupted supply chains, which contributed to soaring inflation as prices for commodities and oil climbed, sending stocks lower. Canada’s central bank raised interest rates four times during the second half of the reporting period to curb the highest inflation since 1983. The country’s economy grew steadily during the reporting period, boosted by stronger consumer consumption as coronavirus-related restrictions eased.

Stocks in the information technology sector detracted the most from the Index’s performance. The software and services industry declined as e-commerce dropped sharply amid easing restrictions and consumers returning to in-store shopping. Rising interest rates and supply chain shortages also weighed on the industry, in addition to investors’ concerns about the impact of inflation on consumer spending.

The financials sector also detracted from the Index’s performance as bank stocks dropped on concerns about the economy’s resilience amid rising interest rates. Some banks increased their expenses for loans expected to become delinquent, while revenues from services such as commercial and personal banking dropped. The capital markets industry declined despite continued growth in assets under management. In addition, stocks in the materials sector retreated, driven primarily by a decline in the metals and mining industry as costs for energy and raw materials rose.

On the upside, stocks in the energy sector contributed to the Index’s performance in U.S. dollar terms. Rising oil and natural gas prices strengthened the revenues and profits of Canadian energy companies. Strong cash flows allowed the oil, gas, and consumable fuels industry to reduce debt levels while also rewarding shareholders by buying back stock and increasing dividend payments.

In terms of currency performance during the reporting period, the Canadian dollar depreciated by approximately 3% relative to the U.S. dollar. Sharply rising interest rates in the U.S. and a slowdown in Canada’s housing sector pressured the Canadian dollar.

The Canadian dollar’s negative performance meant hedging activity contributed to the Index’s return. A fully hedged investor seeks to bypass the currency fluctuations — both on the upside and on the downside — related to holding foreign-currency-denominated securities. The Index’s hedging activity offset the negative impact of the Canadian dollar’s performance relative to the U.S. dollar, resulting in an Index return that was relatively close to the return of Canadian equities measured in Canadian dollars.

Portfolio Information

 

PORTFOLIO COMPOSITION  
   
Investment Type   Percent of
Net Assets
 
Investment Companies     99.6
Forward foreign currency exchange contracts, net cumulative appreciation     2.5  
Other assets less liabilities     (2.1
SECTOR ALLOCATION (of the UNDERLYING FUND)

 

   
Sector   Percent of
Total Investment
(a)
 

Financials

    36.5

Energy

    19.6  

Industrials

    11.8  

Materials

    10.6  

Information Technology

    5.7  

Consumer Staples

    4.7  

Utilities

    4.2  

Consumer Discretionary

    3.7  

Communication Services

    2.5  

Other (each representing less than 1%)

    0.7  

 

  (a) 

Excludes money market funds.

 

 

 

6  

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Table of Contents
Fund Summary as of August 31, 2022    iShares® Currency Hedged MSCI Eurozone ETF

 

Investment Objective

The iShares Currency Hedged MSCI Eurozone ETF (the “Fund”) seeks to track the investment results of an index composed of large- and mid-capitalization equities from developed market countries which use the euro as their official currency while mitigating exposure to fluctuations between the value of the euro and the U.S. dollar, as represented by the MSCI EMU 100% Hedged to USD 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. The Fund currently seeks to achieve its investment objective by investing a substantial portion of its assets in one underlying fund, the iShares MSCI Eurozone ETF.

Performance

 

    Average Annual Total Returns           Cumulative Total Returns  
     1 Year      5 Years      Since
Inception
           1 Year      5 Years      Since
Inception
 

Fund NAV

    (13.50 )%       4.88      5.84       (13.50 )%       26.92      58.74

Fund Market

    (13.50      4.89        5.83         (13.50      26.97        58.69  

Index

    (13.74      4.90        6.01               (13.74      27.04        60.86  

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

The inception date of the Fund was July 9, 2014. The first day of secondary market trading was July 10, 2014.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 

Beginning
Account Value
(03/01/22)
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
           

Beginning
Account Value
(03/01/22)
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
  $      1,000.00          $        931.70          $        0.15               $      1,000.00          $      1,025.10          $        0.15          0.03

 

  (a)

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio.

 

 

 

F U N D   S U M M A R Y

  7


Table of Contents
Fund Summary as of August 31, 2022   (continued)    iShares® Currency Hedged MSCI Eurozone ETF

 

Portfolio Management Commentary

Stocks in the eurozone declined sharply in U.S. dollar terms during the reporting period. Russia’s invasion of Ukraine disrupted supply chains and contributed to high inflation across the eurozone as commodities and energy prices soared. Many nations imposed sanctions against Russia while some companies halted Russian business operations. Rising inflation, which led the ECB to raise interest rates in July 2022 for the first time in 11 years, weakened business confidence and the economic outlook.

German equities detracted the most from the Index’s performance, led by the consumer discretionary sector. Textiles, apparel, and luxury goods companies reported weaker earnings due to the lingering effects of coronavirus-related shutdowns of shoe manufacturing plants in Vietnam. Slowing sales in China and growing competition from local brands also weakened the outlook for textiles, apparel, and luxury goods companies. Stocks in Germany’s industrials sector fell as supply chain disruptions and escalating input prices drove lower earnings outlooks. Information technology stocks also declined as many firms discontinued business operations in Russia and the economic outlook across Europe weakened.

Stocks in France also detracted from the Index’s return. Coronavirus-related lockdowns in China disrupted production of a French industrials company with Chinese operations and limited the supply of critical parts. The aerospace and defense industry was also negatively impacted by shortages in the supply of key parts, including engines and microchips. In the consumer discretionary sector, China’s lockdowns shuttered stores and led to declining sales of luxury brand products in the apparel, accessories, and luxury goods industry. The economic downturn in the U.S., where growth turned negative in the first two quarters of 2022, also weighed on sales of French luxury goods.

Stocks in the Netherlands also detracted from the Index’s performance. A global supply shortage of microprocessors slowed production for semiconductor equipment manufacturers, while the slowing worldwide economy diminished the sales outlook for many products that use microprocessors.

In terms of currency performance during the reporting period, the euro depreciated by approximately 15% relative to the U.S. dollar. Higher interest rates in the U.S. and geopolitical uncertainty due to the Eurozone’s proximity to the war in Ukraine pressured the euro.

The euro’s negative performance meant hedging activity contributed to the Index’s return. A fully hedged investor seeks to bypass the currency fluctuations — both on the upside and on the downside — related to holding foreign-currency-denominated securities. The Index’s hedging activity offset the negative impact of the euro’s performance relative to the U.S. dollar, resulting in an Index return that was relatively close to the return of European equities measured in euros.

Portfolio Information

 

PORTFOLIO COMPOSITION  
   
Investment Type   Percent of
Net Assets
 
Investment Companies     99.9
Short-term Investments     0.5  
Forward foreign currency exchange contracts, net cumulative appreciation     1.7  
Other assets less liabilities     (2.1
SECTOR ALLOCATION (of the UNDERLYING FUND)

 

   
Sector   Percent of
Total Investment
(a)
 

Consumer Discretionary

    16.5

Industrials

    15.4  

Financials

    14.5  

Information Technology

    12.9  

Consumer Staples

    8.6  

Health Care

    7.7  

Utilities

    6.6  

Materials

    6.5  

Energy

    5.2  

Communication Services

    4.9  

Real Estate

    1.2  

 

  (a) 

Excludes money market funds.

 

 

 

8  

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Table of Contents
Fund Summary as of August 31, 2022    iShares® Currency Hedged MSCI Germany ETF

 

Investment Objective

The iShares Currency Hedged MSCI Germany ETF (the “Fund”) seeks to track the investment results of an index composed of large- and mid-capitalization German equities while mitigating exposure to fluctuations between the value of the euro and the U.S. dollar, as represented by the MSCI Germany 100% Hedged to USD 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. The Fund currently seeks to achieve its investment objective by investing a substantial portion of its assets in one underlying fund, the iShares MSCI Germany ETF.

Performance

 

    Average Annual Total Returns           Cumulative Total Returns  
     1 Year      5 Years      Since
Inception
           1 Year      5 Years      Since
Inception
 

Fund NAV

    (21.88 )%       1.33      3.75       (21.88 )%       6.84      37.16

Fund Market

    (21.85      1.34        3.75         (21.85      6.87        37.13  

Index

    (21.92      1.64        4.02               (21.92      8.46        40.30  

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

The inception date of the Fund was January 31, 2014. The first day of secondary market trading was February 4, 2014.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 

Beginning
Account Value
(03/01/22)
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
           

Beginning
Account Value
(03/01/22)
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
  $      1,000.00          $        878.60          $        0.19               $      1,000.00          $      1,025.00          $        0.20          0.04

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio.

 

 

 

F U N D   S U M M A R Y

  9


Table of Contents
Fund Summary as of August 31, 2022   (continued)    iShares® Currency Hedged MSCI Germany ETF

 

Portfolio Management Commentary

Stocks in Germany declined sharply in U.S. dollar terms during the reporting period. Russia’s invasion of Ukraine disrupted supply chains and contributed to record-high inflation as prices for commodities and energy soared. Many nations, including Germany, imposed sanctions against Russia while some companies suspended Russian business operations. Germany’s economic growth slowed despite the lifting of many coronavirus-related restrictions. Rising inflation rates led the ECB to raise interest rates in July 2022 for the first time in 11 years, further weakening business confidence and the economic outlook.

The consumer discretionary sector detracted the most from the Index’s performance. Sales in the apparel, accessories, and luxury goods industry weakened after coronavirus-related restrictions forced the shutdown of shoe manufacturing plants in Vietnam. Stocks of automobile manufacturers also declined, as a global shortage of microprocessors forced automakers to curtail vehicle production while rising commodities prices, stemming from the war in Ukraine, increased costs.

The industrials sector also detracted notably from the Index’s return. Germany’s industrial production contracted over most of the reporting period, particularly in the second half. Supply chain disruptions and escalating input prices negatively affected the earnings outlook for the industrial conglomerates industry. In addition, sanctions against Russia forced a production halt in the country while also negatively affecting business operations in other areas.

The information technology sector further detracted from the Index’s performance, as many firms in the sector discontinued business operations in Russia and as the economic outlook across Europe weakened. The cost of investments in infrastructure to support cloud computing, such as computer servers and data centers, led to lower profit margins.

In terms of currency performance during the reporting period, the euro depreciated by approximately 15% relative to the U.S. dollar. Higher interest rates in the U.S. and geopolitical uncertainty due to the Eurozone’s proximity to the war in Ukraine pressured the euro.

The euro’s negative performance meant hedging activity contributed to the Index’s return. A fully hedged investor seeks to bypass the currency fluctuations — both on the upside and on the downside — related to holding foreign-currency-denominated securities. The Index’s hedging activity offset the negative impact of the euro’s performance relative to the U.S. dollar, resulting in an Index return that was relatively close to the return of German equities measured in euros.

Portfolio Information

 

PORTFOLIO COMPOSITION  
   
Investment Type   Percent of
Net Assets
 
Investment Companies     99.9
Short-term Investments     0.0 (a) 
Forward foreign currency exchange contracts, net cumulative appreciation     1.8  
Other assets less liabilities     (1.7

 

  (a)

Rounds to less than 0.1%.

 
SECTOR ALLOCATION (of the UNDERLYING FUND)

 

   
Sector   Percent of
Total Investment
(a)
 

Industrials

    17.4

Financials

    16.6  

Consumer Discretionary

    16.4  

Health Care

    12.9  

Information Technology

    12.6  

Communication Services

    7.0  

Materials

    6.8  

Utilities

    4.4  

Consumer Staples

    3.2  

Real Estate

    2.7  

 

  (a) 

Excludes money market funds.

 

 

 

10  

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Table of Contents
Fund Summary as of August 31, 2022      iShares® Currency Hedged MSCI Japan ETF

 

Investment Objective

The iShares Currency Hedged MSCI Japan ETF (the “Fund”) seeks to track the investment results of an index composed of large- and mid-capitalization Japanese equities while mitigating exposure to fluctuations between the value of the Japanese yen and the U.S. dollar, as represented by the MSCI Japan 100% Hedged to USD 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. The Fund currently seeks to achieve its investment objective by investing a substantial portion of its assets in one underlying fund, the iShares MSCI Japan ETF.

Performance

 

    Average Annual Total Returns           Cumulative Total Returns  
     1 Year      5 Years      Since
Inception
           1 Year      5 Years      Since
Inception
 

Fund NAV

    2.43      7.48      8.10       2.43      43.44      95.12

Fund Market

    2.49        7.48        8.10         2.49        43.42        95.09  

Index

    3.36        8.22        8.42               3.36        48.42        100.21  

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

The inception date of the Fund was January 31, 2014. The first day of secondary market trading was February 4, 2014.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

Actual           Hypothetical 5% Return           

 

 

     

 

 

      
 

Beginning

Account Value

(03/01/22)

 

 

 

      

Ending

Account Value

(08/31/22)

 

 

 

      

Expenses

Paid During

the Period

 

 

(a) 

           

Beginning

Account Value

(03/01/22)

 

 

 

      

Ending

Account Value

(08/31/22)

 

 

 

      

Expenses

Paid During

the Period

 

 

(a) 

      

Annualized

Expense

Ratio

 

 

 

  $       1,000.00          $        1,050.10          $        0.05               $      1,000.00          $      1,025.20          $        0.05          0.01

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Disclosure of Expenses” for more information. The fees and expenses of the underlying funds in which the Fund invests are not included in the Fund’s annualized expense ratio.

 

 

 

F U N D   S U M M A R Y

  11


Table of Contents
Fund Summary as of August 31, 2022   (continued)    iShares® Currency Hedged MSCI Japan ETF

 

Portfolio Management Commentary

Stocks in Japan declined in U.S. dollar terms during the reporting period, as supply chain disruptions, rising energy costs, and slowing exports restricted growth. The industrials sector detracted the most from the Index’s performance amid a notable slowdown in industrial production. Although currency weakness has historically aided industrial exporters, recent increases in offshore production limited the benefits. Japanese exports to China, the country’s largest export market, slowed amid China’s coronavirus pandemic-related restrictions, which idled factories and warehouses and slowed deliveries of goods. Industrial machinery stocks detracted notably as Japan’s industrial production fell significantly amid ongoing parts and labor shortages. Professional services companies that rely heavily on internet technology also declined, despite strong earnings growth, as their close identification with the information technology sector made them vulnerable to its stock price volatility.

The information technology sector detracted meaningfully from the Index’s return, most notably the technology hardware and equipment industry. A decline in demand for sensors and smart technology among retailers and automobile manufacturers amid changes in consumer purchasing behavior and reduced automobile production negatively affected makers of electronic equipment and instruments.

Consumer discretionary stocks also detracted notably from performance. Consumer electronics companies declined as production slowed amid the global semiconductor shortage and investor concerns about the risk of recession and the outlook for profits. Automobile manufacturers also declined as cost pressures outweighed strong vehicle sales.

In terms of currency performance during the reporting period, the Japanese yen depreciated by approximately 21% against the U.S. dollar. The widening gap between U.S. and Japanese interest rates pressured the Japanese yen, as some U.S. dollar-denominated investments became more attractive to investors.

The Japanese yen’s negative performance meant hedging activity contributed to the Index’s return. A fully hedged investor seeks to bypass the currency fluctuations — both on the upside and on the downside — related to holding foreign-currency-denominated securities. The Index’s hedging activity offset the negative impact of the Japanese yen’s performance relative to the U.S. dollar, resulting in an Index return that was relatively close to the return of Japanese equities measured in Japanese yen.

Portfolio Information

 

PORTFOLIO COMPOSITION

 

   

Investment Type

   
Percent of
Net Assets
 
 

Investment Companies

    99.7

Short-term Investments

    0.4  
Forward foreign currency exchange contracts, net cumulative appreciation     4.2  

Other assets less liabilities

    (4.3
SECTOR ALLOCATION (of the UNDERLYING FUND)

 

   

Sector

   
Percent of
Total Investment(a)
 
 

Industrials

    22.6

Consumer Discretionary

    19.0  

Information Technology

    13.5  

Financials

    10.2  

Health Care

    9.8  

Communication Services

    8.4  

Consumer Staples

    6.5  

Materials

    4.6  

Real Estate

    3.5  

Utilities

    1.1  

Energy

    0.9  

 

  (a)

Excludes money market funds.

 

 

 

 

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Table of Contents

About Fund Performance

 

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

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

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

Disclosure of Expenses

Shareholders of each Fund may incur the following charges: (1) transactional expenses, including brokerage commissions on purchases and sales of fund shares and (2) ongoing expenses, including management fees and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other funds.

The expense examples provide information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number under the heading entitled “Expenses Paid During the Period.”

The expense examples also provide information about hypothetical account values and hypothetical expenses based on a fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in the Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as brokerage commissions and other fees paid on purchases and sales of fund shares. Therefore, the hypothetical examples are useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.

 

 

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

  13


Table of Contents

Schedule of Investments

August 31, 2022

  

iShares® Currency Hedged MSCI Canada ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

 

 

Investment Companies

   

Exchange-Traded Funds — 99.6%

   

iShares MSCI Canada ETF(a)

    627,536     $ 21,141,688  

Total Investments in Securities — 99.6%
(Cost: $21,942,302)

      21,141,688  

Other Assets Less Liabilities — 0.4%

 

    77,753  
   

 

 

 

Net Assets — 100.0%

    $   21,219,441  
   

 

 

 

 

(a) 

Affiliate of the Fund.

 

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended August 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                   
Affiliated Issuer   Value at
08/31/21
    Purchases
at Cost
    Proceeds
from Sale
   

Net Realized

Gain (Loss)

    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
08/31/22
    Shares
Held at
08/31/22
    Income    

Capital

Gain

Distributions

from

Underlying

Funds

 

BlackRock Cash Funds: Treasury, SL Agency Shares(a)

  $ 420,000     $     $ (420,000 )(b)    $     $     $           $ 817     $  

iShares MSCI Canada ETF

    16,587,362       13,185,295       (6,531,226     922,039       (3,021,782     21,141,688       627,536       401,394        
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ 922,039     $ (3,021,782   $ 21,141,688       $ 402,211     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

As of period end, the entity is no longer held.

 
  (b)

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

         
Currency Purchased        Currency Sold      Counterparty   Settlement Date        Unrealized
Appreciation
(Depreciation)
 
USD      23,015,938        CAD      29,495,000      Morgan Stanley & Co. International PLC     09/06/22        $ 558,419  
USD      722,920        CAD      947,000      Bank of America N.A.     10/04/22          2,045  
USD      20,987,221        CAD      27,492,000      Morgan Stanley & Co. International PLC     10/04/22          59,760  
                    

 

 

 
                       620,224  
                    

 

 

 
CAD      29,495,000        USD      22,550,153      Morgan Stanley & Co. International PLC     09/06/22          (92,633
CAD      378,000        USD      288,241      Bank of America N.A.     10/04/22          (500
                    

 

 

 
                       (93,133
                    

 

 

 
                       $527,091  
                    

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

 

 
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

 

 

Assets — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

   $      $      $      $ 620,224      $      $      $ 620,224  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

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Table of Contents

Schedule of Investments   (continued)

August 31, 2022

   iShares® Currency Hedged MSCI Canada ETF

 

Derivative Financial Instruments Categorized by Risk Exposure (continued)

 

 

 
    Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

 

 

Liabilities — Derivative Financial Instruments

                   

Forward foreign currency exchange contracts

                   

Unrealized depreciation on forward foreign currency exchange contracts

  $      $      $      $ 93,133      $      $      $   93,133  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended August 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

 

 
    Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

 

 

Net Realized Gain (Loss) from

                   

Forward foreign currency exchange contracts

  $      $      $      $ 385,300      $      $      $ 385,300  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                   

Forward foreign currency exchange contracts

  $      $      $      $ 384,115      $      $      $ 384,115  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   

Forward foreign currency exchange contracts

  

Average amounts purchased — in USD

   $ 20,182,029  

Average amounts sold — in USD

   $ 39,879,657  

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

Derivative Financial Instruments - Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

 

 
     Assets        Liabilities  

 

 

Derivative Financial Instruments:

       

Forward foreign currency exchange contracts

   $ 620,224        $ 93,133  
  

 

 

      

 

 

 

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

     620,224          93,133  

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

               
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

     620,224          93,133  
  

 

 

      

 

 

 

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

 

 

 

Counterparty

    

Derivative

Assets

Subject to

an MNA by

Counterparty

 

 

 

 

 

      

Derivatives

Available

for Offset

 

 

(a)  

    

Non-Cash

Collateral

Received

 

 

 

      

Cash

Collateral

Received

 

 

 

      

Net Amount

of Derivative

Assets

 

 

(b)(c)  

 

 

Bank of America N.A.

   $ 2,045        $ (500    $        $        $ 1,545  

Morgan Stanley & Co. International PLC

     618,179          (92,633               (450,000        75,546  
  

 

 

      

 

 

    

 

 

      

 

 

      

 

 

 
   $ 620,224        $ (93,133    $        $ (450,000      $ 77,091  
  

 

 

      

 

 

    

 

 

      

 

 

      

 

 

 

 

 

Counterparty

    

Derivative

Liabilities

Subject to

an MNA by

Counterparty

 

 

 

 

 

      

Derivatives

Available

for Offset

 

 

(a)  

    

Non-Cash

Collateral

Pledged

 

 

 

      

Cash

Collateral

Pledged

 

 

 

      

Net Amount

of Derivative

Liabilities

 

 

 

 

 

Bank of America N.A.

   $ 500        $ (500    $        $        $  

Morgan Stanley & Co. International PLC

     92,633          (92,633                         
  

 

 

      

 

 

    

 

 

      

 

 

      

 

 

 
   $ 93,133        $ (93,133    $        $        $  
  

 

 

      

 

 

    

 

 

      

 

 

      

 

 

 

 

 

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

   
15
 


Table of Contents

Schedule of Investments   (continued)

August 31, 2022

   iShares® Currency Hedged MSCI Canada ETF

 

Derivative Financial Instruments - Offsetting as of Period End (continued)

 

  (a)

The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

 
  (b) 

Net amount represents the net amount receivable from the counterparty in the event of default.

 
  (c) 

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

 

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

                 

Investment Companies

   $ 21,141,688        $        $        $ 21,141,688  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative financial instruments(a)

                 

Assets

                 

Forward Foreign Currency Exchange Contracts

   $        $ 620,224        $        $ 620,224  

Liabilities

                 

Forward Foreign Currency Exchange Contracts

              (93,133                 (93,133
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $     527,091        $           —        $ 527,091  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are forward foreign currency exchange contracts. Forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

See notes to financial statements.

 

 

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Table of Contents

Schedule of Investments

August 31, 2022

  

iShares® Currency Hedged MSCI Eurozone ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

 

 

Investment Companies

   

Exchange-Traded Funds — 99.9%

   

iShares MSCI Eurozone ETF(a)

    9,985,558     $ 352,789,764  
   

 

 

 

Total Investment Companies
(Cost: $477,664,279)

      352,789,764  
   

 

 

 

Short-Term Securities

   

Money Market Funds — 0.5%

   

BlackRock Cash Funds: Treasury, SL Agency Shares, 2.07%(a)(b)

    1,610,000       1,610,000  
   

 

 

 

Total Short-Term Securities — 0.5%
(Cost: $1,610,000)

 

    1,610,000  
   

 

 

 

Total Investments in Securities — 100.4%
(Cost: $479,274,279)

 

    354,399,764  

Liabilities in Excess of Other Assets — (0.4)%

 

    (1,261,722
   

 

 

 

Net Assets — 100.0%

    $   353,138,042  
   

 

 

 

 

(a) 

Affiliate of the Fund.

(b) 

Annualized 7-day yield as of period end.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended August 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

   
       Affiliated Issuer    Value at
08/31/21
     Purchases
at Cost
     Proceeds
from Sale
     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
08/31/22
     Shares
Held at
08/31/22
     Income     

Capital

Gain
Distributions
from
Underlying
Funds

          
 

 

   

    

 

BlackRock Cash Funds: Treasury, SL Agency Shares

   $ 1,160,000      $ 450,000 (a)      $      $      $      $ 1,610,000        1,610,000      $ 6,237      $    
 

iShares MSCI Eurozone ETF

     744,520,226        403,157,224        (623,138,064      19,547,147        (191,296,769      352,789,764        9,985,558        17,612,000           
             

 

 

    

 

 

    

 

 

       

 

 

    

 

 

   
              $ 19,547,147      $ (191,296,769    $ 354,399,764         $ 17,618,237      $    
             

 

 

    

 

 

    

 

 

       

 

 

    

 

 

   

 

  (a) 

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

         

      Currency Purchased      

             Currency Sold              Counterparty   Settlement Date       

Unrealized

Appreciation

(Depreciation)

 
EUR     4,697,000        USD     4,707,518        Bank of America N.A.     09/06/22        $ 13,966  
USD     30,869,254        EUR     30,207,000        BNP Paribas SA     09/06/22          504,797  
USD     59,471,833        EUR     58,187,302        Morgan Stanley & Co. International PLC     09/06/22          981,223  
USD     291,438,005        EUR     285,149,043        State Street Bank and Trust Co.     09/06/22          4,802,588  
USD     3,279,520        EUR     3,174,000        UBS AG     09/06/22          88,975  
USD     58,632,958        EUR     58,187,302        Morgan Stanley & Co. International PLC     10/04/22          34,553  
USD     303,867,034        EUR     301,631,043        State Street Bank and Trust Co.     10/04/22          104,914  
                    

 

 

 
                       6,531,016  
                    

 

 

 
EUR     11,213,000        USD     11,436,287        Barclays Bank PLC     09/06/22          (164,838
EUR     66,000        USD     67,771        BNP Paribas SA     09/06/22          (1,427
EUR     1,117,000        USD     1,143,954        JPMorgan Chase Bank N.A.     09/06/22          (21,131

 

 

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

    17  


Table of Contents

Schedule of Investments   (continued)

August 31, 2022

   iShares® Currency Hedged MSCI Eurozone ETF

 

Forward Foreign Currency Exchange Contracts (continued)

 

         
      Currency Purchased                    Currency Sold            Counterparty    Settlement Date       

Unrealized

Appreciation

(Depreciation)

 
EUR     58,187,302        USD     58,525,370      Morgan Stanley & Co. International PLC      09/06/22        $ (34,760
EUR     301,631,043        USD     303,305,095      State Street Bank and Trust Co.      09/06/22          (101,764
EUR     4,737,000        USD     4,853,184      UBS AG      09/06/22          (91,492
USD     4,787,622        EUR     4,798,000      Barclays Bank PLC      09/06/22          (35,388
USD     56,740        EUR     57,000      JPMorgan Chase Bank N.A.      09/06/22          (557
USD     75,767        EUR     76,000      State Street Bank and Trust Co.      09/06/22          (630
EUR     6,093,000        USD     6,138,764      UBS AG      10/04/22          (2,716
                   

 

 

 
                      (454,703
                   

 

 

 
                      $6,076,313  
                   

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

 

 
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

 

 

Assets — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

   $      $      $      $ 6,531,016      $      $      $ 6,531,016  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

   $      $      $      $ 454,703      $      $      $ 454,703  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended August 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

 

 
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

 

 

Net Realized Gain (Loss) from

                    

Forward foreign currency exchange contracts

   $      $      $      $ 84,053,100      $      $      $ 84,053,100  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                    

Forward foreign currency exchange contracts

   $      $      $      $ 2,585,261      $      $      $ 2,585,261  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

 

 

Forward foreign currency exchange contracts

         

Average amounts purchased — in USD

   $ 574,219,532    

Average amounts sold — in USD

   $ 1,123,298,125    

 

 

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

Derivative Financial Instruments - Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

 

 
     Assets        Liabilities  

 

 

Derivative Financial Instruments:

       

Forward foreign currency exchange contracts

   $ 6,531,016        $   454,703  
  

 

 

      

 

 

 

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

     6,531,016          454,703  

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

               
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

     6,531,016          454,703  
  

 

 

      

 

 

 

 

 

18  

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


Table of Contents

Schedule of Investments   (continued)

August 31, 2022

   iShares® Currency Hedged MSCI Eurozone ETF

 

Derivative Financial Instruments - Offsetting as of Period End (continued)

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

 

 

 
Counterparty     

Derivative

Assets

Subject to

an MNA by

Counterparty

 

 

 

 

 

    

Derivatives

Available

for Offset

 

 

(a)  

   

Non-Cash

Collateral

Received

 

 

 

    

Cash

Collateral

Received

 

 

 

    

Net Amount

of Derivative

Assets

 

 

(b)(c)  

 

 

Bank of America N.A.

   $ 13,966      $     $      $      $ 13,966  

BNP Paribas SA

     504,797        (1,427                   503,370  

Morgan Stanley & Co. International PLC

     1,015,776        (34,760            (981,016       

State Street Bank and Trust Co.

     4,907,502        (102,394                   4,805,108  

UBS AG

     88,975        (88,975                    
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 
   $ 6,531,016      $ (227,556   $      $ (981,016    $ 5,322,444  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

 

 
Counterparty     

Derivative

Liabilities

Subject to

an MNA by

Counterparty

 

 

 

 

 

    

Derivatives

Available

for Offset

 

 

(a) 

   

Non-Cash

Collateral

Pledged

 

 

 

    

Cash

Collateral

Pledged

 

 

 

    

Net Amount

of Derivative

Liabilities

 

 

(c)(d) 

 

 

Barclays Bank PLC

   $ 200,226      $     $      $      $ 200,226  

BNP Paribas SA

     1,427        (1,427                    

JPMorgan Chase Bank N.A.

     21,688                            21,688  

Morgan Stanley & Co. International PLC

     34,760        (34,760                    

State Street Bank and Trust Co.

     102,394        (102,394                    

UBS AG

     94,208        (88,975                   5,233  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 
   $ 454,703      $ (227,556   $      $      $ 227,147  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

 

  (a) 

The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

 
  (b) 

Net amount represents the net amount receivable from the counterparty in the event of default.

 
  (c) 

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

 
  (d) 

Net amount represents the net amount payable due to the counterparty in the event of default.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

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

                 

Investment Companies

   $ 352,789,764        $        $        $ 352,789,764  

Money Market Funds

     1,610,000                            1,610,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 354,399,764        $        $        $ 354,399,764  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative financial instruments(a)

                 

Assets

                 

Forward Foreign Currency Exchange Contracts

   $        $ 6,531,016        $        $ 6,531,016  

Liabilities

                 

Forward Foreign Currency Exchange Contracts

              (454,703                 (454,703
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ 6,076,313        $                 —        $ 6,076,313  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are forward foreign currency exchange contracts. Forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

See notes to financial statements.

 

 

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

    19  


Table of Contents

Schedule of Investments

August 31, 2022

  

iShares® Currency Hedged MSCI Germany ETF

(Percentages shown are based on Net Assets)

 

Security   Shares      Value  

 

 

Investment Companies

    

Exchange-Traded Funds — 99.9%

    

iShares MSCI Germany ETF(a)

    1,659,661      $ 36,246,996  
    

 

 

 

Total Investment Companies
(Cost: $55,900,307)

       36,246,996  
    

 

 

 

Short-Term Securities

    

Money Market Funds — 0.0%

    

BlackRock Cash Funds: Treasury, SL Agency Shares, 2.07%(a)(b)

    10,000        10,000  
    

 

 

 

Total Short-Term Securities — 0.0%
(Cost: $10,000)

       10,000  
    

 

 

 

Total Investments in Securities — 99.9%
(Cost: $55,910,307)

 

     36,256,996  

Other Assets Less Liabilities — 0.1%

 

     23,568  
    

 

 

 

Net Assets — 100.0%

     $   36,280,564  
    

 

 

 

 

(a) 

Affiliate of the Fund.

(b) 

Annualized 7-day yield as of period end.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended August 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer   Value at
08/31/21
    Purchases
at Cost
    Proceeds
from Sale
   

Net Realized

Gain (Loss)

    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
08/31/22
    Shares
Held at
08/31/22
    Income    

Capital

Gain
Distributions
from
Underlying
Funds

 

 

 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 30,000     $     $ (20,000 )(a)     $     $     $ 10,000       10,000     $ 338     $  

iShares MSCI Germany ETF

    63,381,021       293,474,260       (298,660,515     (2,776,222     (19,171,548     36,246,996       1,659,661       1,865,279        
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 
        $ (2,776,222   $ (19,171,548   $ 36,256,996       $ 1,865,617     $  
       

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

 

  (a) 

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

         
Currency Purchased        Currency Sold      Counterparty    Settlement Date        Unrealized
Appreciation
(Depreciation)
 
EUR     31,000        USD     31,137      Citibank N.A.      09/06/22        $ 25  
USD     36,938,926        EUR             36,127,150      BNP Paribas SA      09/06/22          623,459  
USD     6,426,659        EUR     6,287,850      Morgan Stanley & Co. International PLC      09/06/22          106,033  
USD     6,336,009        EUR     6,287,850      Morgan Stanley & Co. International PLC      10/04/22          3,734  
USD             30,819,937        EUR     30,593,150      State Street Bank and Trust Co.      10/04/22          10,641  
                   

 

 

 
                      743,892  
                   

 

 

 
EUR     12,000        USD     12,306      Bank of America N.A.      09/06/22          (244
EUR     6,733,000        USD     6,840,165      JPMorgan Chase Bank N.A.      09/06/22          (72,069
EUR     6,299,850        USD     6,336,796      Morgan Stanley & Co. International PLC      09/06/22          (4,107
EUR     30,593,150        USD     30,762,942      State Street Bank and Trust Co.      09/06/22          (10,322
USD     1,256,808        EUR     1,254,000      Bank of America N.A.      09/06/22          (3,729

 

 

20  

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


Table of Contents

Schedule of Investments   (continued)

August 31, 2022

   iShares® Currency Hedged MSCI Germany ETF

 

Forward Foreign Currency Exchange Contracts (continued)

 

Currency Purchased        Currency Sold      Counterparty   Settlement Date        Unrealized
Appreciation
(Depreciation)
 
EUR      464,000        USD      467,563      Toronto Dominion Bank     10/04/22        $ (284
EUR      58,000        USD      58,429      UBS AG     10/04/22          (19
                    

 

 

 
                       (90,774
                    

 

 

 
                       $653,118  
                    

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

 

 
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

 

 

Assets — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized appreciation on forward foreign currency exchange contracts

   $      $      $      $ 743,892      $      $      $ 743,892  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                    

Forward foreign currency exchange contracts

                    

Unrealized depreciation on forward foreign currency exchange contracts

   $      $      $      $ 90,774      $      $      $ 90,774  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended August 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

 

 
     Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

 

 

Net Realized Gain (Loss) from

                    

Forward foreign currency exchange contracts

   $      $      $      $ 8,395,733      $      $      $ 8,395,733  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                    

Forward foreign currency exchange contracts

   $      $      $      $ 378,920      $      $      $ 378,920  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

   

Forward foreign currency exchange contracts

  

Average amounts purchased — in USD

   $ 67,608,476  

Average amounts sold — in USD

   $ 119,927,042  

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

Derivative Financial Instruments - Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

 

 
     Assets        Liabilities  

 

 

Derivative Financial Instruments:

       

Forward foreign currency exchange contracts

   $ 743,892        $   90,774  
  

 

 

      

 

 

 

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

     743,892          90,774  

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

               
  

 

 

      

 

 

 

Total derivative assets and liabilities subject to an MNA

     743,892          90,774  
  

 

 

      

 

 

 

 

 

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

    21  


Table of Contents

Schedule of Investments   (continued)

August 31, 2022

   iShares® Currency Hedged MSCI Germany ETF

 

Derivative Financial Instruments - Offsetting as of Period End (continued)

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

 

 

 

Counterparty

    

Derivative

Assets

Subject to

an MNA by

Counterparty

 

 

 

 

 

    

Derivatives

Available

for Offset

 

 

(a) 

    

Non-Cash

Collateral

Received

 

 

 

    

Cash

Collateral

Received

 

 

 

    

Net Amount

of Derivative

Assets

 

 

(b)(c)  

 

 

BNP Paribas SA

   $ 623,459      $      $      $      $ 623,459  

Citibank N.A.

     25                             25  

Morgan Stanley & Co. International PLC

     109,767        (4,107                    105,660  

State Street Bank and Trust Co.

     10,641        (10,322                    319  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $ 743,892      $ (14,429    $      $      $ 729,463  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

 

Counterparty

  



 


Derivative
Liabilities
Subject to

an MNA by
Counterparty


 
 


 

    

Derivatives
Available

for Offset

 
 

(a)  

    

Non-Cash
Collateral
Pledged
 
 
 
    

Cash
Collateral
Pledged
 
 
 
    

Net Amount
of Derivative
Liabilities
 
 
(c)(d)  

 

 

Bank of America N.A.

   $     3,973      $      $      $      $ 3,973  

JPMorgan Chase Bank N.A.

     72,069                             72,069  

Morgan Stanley & Co. International PLC

     4,107        (4,107                     

State Street Bank and Trust Co.

     10,322        (10,322                     

Toronto Dominion Bank

     284                             284  

UBS AG

     19                             19  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 
   $   90,774      $ (14,429    $      $      $ 76,345  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

 

  (a) 

The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

 
  (b) 

Net amount represents the net amount receivable from the counterparty in the event of default.

 
  (c) 

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

 
  (d) 

Net amount represents the net amount payable due to the counterparty in the event of default.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

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

                 

Investment Companies

   $ 36,246,996        $        $        $ 36,246,996  

Money Market Funds

     10,000                            10,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 36,256,996        $        $        $ 36,256,996  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative financial instruments(a)

                 

Assets

                 

Forward Foreign Currency Exchange Contracts

   $        $ 743,892        $        $ 743,892  

Liabilities

                 

Forward Foreign Currency Exchange Contracts

              (90,774                 (90,774
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $     653,118        $     —        $ 653,118  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are forward foreign currency exchange contracts. Forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

See notes to financial statements.

 

 

22  

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


Table of Contents

 

Schedule of Investments

August 31, 2022

  

iShares® Currency Hedged MSCI Japan ETF

(Percentages shown are based on Net Assets)

 

Security   Shares     Value  

 

 

Investment Companies

   

Exchange-Traded Funds — 99.7%

   

iShares MSCI Japan ETF(a)

    8,649,761     $ 463,540,692  
   

 

 

 

Total Investment Companies
(Cost: $581,370,513)

      463,540,692  
   

 

 

 

Short-Term Securities

   

Money Market Funds — 0.4%

   

BlackRock Cash Funds: Treasury, SL Agency Shares, 2.07%(a)(b)

    1,710,000       1,710,000  
   

 

 

 

Total Short-Term Securities — 0.4%
(Cost: $1,710,000)

 

    1,710,000  
   

 

 

 

Total Investments in Securities — 100.1%
(Cost: $583,080,513)

 

    465,250,692  

Liabilities in Excess of Other Assets — (0.1)%

 

    (499,860
   

 

 

 

Net Assets — 100.0%

    $   464,750,832  
   

 

 

 

 

 

(a) 

Affiliate of the Fund.

(b) 

Annualized 7-day yield as of period end.

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended August 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

   
    Affiliated Issuer   

Value at

08/31/21

    

Purchases

at Cost

   

Proceeds

from Sale

    

Net Realized

Gain (Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Value at

08/31/22

    

Shares

Held at

08/31/22

     Income     

Capital

Gain
Distributions

from

Underlying

Funds

          
 

 

   

    

 

BlackRock Cash Funds: Treasury, SL Agency Shares

   $ 210,000      $ 1,500,000 (a)     $      $      $      $ 1,710,000        1,710,000      $ 6,987      $    
 

iShares MSCI Japan ETF

     534,387,175        1,009,080,677       (938,679,654      (12,540,033      (128,707,473      463,540,692        8,649,761        15,045,704           
            

 

 

    

 

 

    

 

 

       

 

 

    

 

 

   
             $ (12,540,033    $ (128,707,473    $ 465,250,692         $ 15,052,691      $    
            

 

 

    

 

 

    

 

 

       

 

 

    

 

 

   

 

  (a) 

Represents net amount purchased (sold).

 

Derivative Financial Instruments Outstanding as of Period End

Forward Foreign Currency Exchange Contracts

 

         
      Currency Purchased                    Currency Sold              Counterparty   Settlement Date       

Unrealized

Appreciation

(Depreciation)

 
USD     3,897,031        JPY      525,583,000        BNP Paribas SA     09/06/22        $ 112,777  
USD     31,398,744        JPY      4,185,938,000        Citibank N.A.     09/06/22          1,259,543  
USD     29,293,488        JPY      3,937,380,000        JPMorgan Chase Bank N.A.     09/06/22          943,931  
USD     48,226,436        JPY      6,428,727,900        Morgan Stanley & Co. International PLC     09/06/22          1,938,908  
USD     480,803,621        JPY      64,107,845,100        State Street Bank and Trust Co.     09/06/22          19,220,289  
USD     67,007        JPY      8,934,000        Toronto Dominion Bank     09/06/22          2,681  
USD     19,864,693        JPY      2,746,792,000        Citibank N.A.     10/04/22          42,666  
USD     46,120,749        JPY      6,377,401,900        Morgan Stanley & Co. International PLC     10/04/22          98,684  

 

 

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

    23  


Table of Contents

Schedule of Investments   (continued)

August 31, 2022

   iShares® Currency Hedged MSCI Japan ETF

 

Forward Foreign Currency Exchange Contracts (continued)

 

         
      Currency Purchased                        Currency Sold              Counterparty    Settlement Date        Unrealized
Appreciation
(Depreciation)
 
USD     400,515,462        JPY             55,394,893,100        State Street Bank and Trust Co.      10/04/22        $ 762,179  
                     

 

 

 
                        24,381,658  
                     

 

 

 
JPY     1,518,661,000        USD     11,366,866        Bank of New York      09/06/22          (432,344
JPY     2,743,165,000        USD     20,624,321        JPMorgan Chase Bank N.A.      09/06/22          (873,241
JPY     6,377,401,900        USD     46,017,184        Morgan Stanley & Co. International PLC      09/06/22          (99,209
JPY     7,813,263,000        USD     57,564,534        Natwest Markets PLC      09/06/22          (1,308,206
JPY     60,607,106,100        USD     438,473,192        State Street Bank and Trust Co.      09/06/22          (2,095,554
JPY     134,811,000        USD     985,539        UBS AG      09/06/22          (14,885
JPY     261,000        USD     1,887        Morgan Stanley & Co. International PLC      10/04/22          (3
                     

 

 

 
                        (4,823,442
                     

 

 

 
                        $19,558,216  
                     

 

 

 

Derivative Financial Instruments Categorized by Risk Exposure

As of period end, the fair values of derivative financial instruments located in the Statements of Assets and Liabilities were as follows:

 

 

 
    Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

 

 

Assets — Derivative Financial Instruments

                   

Forward foreign currency exchange contracts

                   

Unrealized appreciation on forward foreign currency exchange contracts

  $      $      $      $ 24,381,658      $      $      $ 24,381,658  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Liabilities — Derivative Financial Instruments

                   

Forward foreign currency exchange contracts

                   

Unrealized depreciation on forward foreign currency exchange contracts

  $      $      $      $ 4,823,442      $      $      $ 4,823,442  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

For the period ended August 31, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:

 

 

 
    Commodity
Contracts
     Credit
Contracts
     Equity
Contracts
     Foreign
Currency
Exchange
Contracts
     Interest
Rate
Contracts
     Other
Contracts
     Total  

 

 

Net Realized Gain (Loss) from

                   

Forward foreign currency exchange contracts

  $      $      $      $ 107,931,965      $      $      $ 107,931,965  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Net Change in Unrealized Appreciation (Depreciation) on

                   

Forward foreign currency exchange contracts

  $      $      $      $ 18,139,823      $      $      $ 18,139,823  
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

 

Average Quarterly Balances of Outstanding Derivative Financial Instruments

 

 

 

Forward foreign currency exchange contracts

  

Average amounts purchased — in USD

   $ 594,574,699  

Average amounts sold — in USD

   $ 1,125,479,386  

 

 

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

 

 

24  

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Table of Contents

Schedule of Investments   (continued)

August 31, 2022

   iShares® Currency Hedged MSCI Japan ETF

 

Derivative Financial Instruments - Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

 

 

 
     Assets      Liabilities  

 

 

Derivative Financial Instruments:

     

Forward foreign currency exchange contracts

   $   24,381,658      $   4,823,442  
  

 

 

    

 

 

 

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

     24,381,658        4,823,442  

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

             
  

 

 

    

 

 

 

Total derivative assets and liabilities subject to an MNA

     24,381,658        4,823,442  
  

 

 

    

 

 

 

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

 

 

 

Counterparty

    

Derivative

Assets

Subject to

an MNA by

Counterparty

 

 

 

 

 

    

Derivatives

Available

for Offset

 

 

(a)  

   

Non-Cash

Collateral

Received

 

 

 

    

Cash

Collateral

Received

 

 

 

   

Net Amount

of Derivative

Assets

 

 

(b)(c)  

 

 

BNP Paribas SA

   $ 112,777      $     $      $     $ 112,777  

Citibank N.A.

     1,302,209                           1,302,209  

JPMorgan Chase Bank N.A.

     943,931        (873,241                  70,690  

Morgan Stanley & Co. International PLC

     2,037,592        (99,212            (1,920,000     18,380  

State Street Bank and Trust Co.

     19,982,468        (2,095,554                  17,886,914  

Toronto Dominion Bank

     2,681                           2,681  
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 
   $ 24,381,658      $ (3,068,007   $      $ (1,920,000   $ 19,393,651  
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

 

 

Counterparty

    

Derivative

Liabilities

Subject to

an MNA by

Counterparty

 

 

 

 

 

    

Derivatives

Available

for Offset

 

 

(a)  

   

Non-Cash

Collateral

Pledged

 

 

 

    

Cash

Collateral

Pledged

 

 

 

   

Net Amount

of Derivative

Liabilities

 

 

(d)  

 

 

Bank of New York

   $ 432,344      $     $      $     $ 432,344  

JPMorgan Chase Bank N.A.

     873,241        (873,241                   

Morgan Stanley & Co. International PLC

     99,212        (99,212                   

Natwest Markets PLC

     1,308,206                           1,308,206  

State Street Bank and Trust Co.

     2,095,554        (2,095,554                   

UBS AG

     14,885                           14,885  
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 
   $ 4,823,442      $ (3,068,007   $      $     $ 1,755,435  
  

 

 

    

 

 

   

 

 

    

 

 

   

 

 

 

 

  (a) 

The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

 
  (b) 

Net amount represents the net amount receivable from the counterparty in the event of default.

 
  (c) 

Net amount may also include forward foreign currency exchange contracts that are not required to be collateralized.

 
  (d) 

Net amount represents the net amount payable due to the counterparty in the event of default.

 

Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of financial instruments. For a description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to the Notes to Financial Statements.

 

 

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

    25  


Table of Contents

Schedule of Investments   (continued)

August 31, 2022

   iShares® Currency Hedged MSCI Japan 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

                 

Investment Companies

   $ 463,540,692        $        $        $ 463,540,692  

Money Market Funds

     1,710,000                            1,710,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 465,250,692        $        $        $ 465,250,692  
  

 

 

      

 

 

      

 

 

      

 

 

 

Derivative financial instruments(a)

                 

Assets

                 

Forward Foreign Currency Exchange Contracts

   $        $   24,381,658        $        $ 24,381,658  

Liabilities

                 

Forward Foreign Currency Exchange Contracts

              (4,823,442                 (4,823,442
  

 

 

      

 

 

      

 

 

      

 

 

 
   $        $ 19,558,216        $                 —        $ 19,558,216  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

  (a) 

Derivative financial instruments are forward foreign currency exchange contracts. Forward foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument.

 

See notes to financial statements.

 

 

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Table of Contents

Statements of Assets and Liabilities

August 31, 2022

 

   

iShares

Currency

Hedged

MSCI

Canada ETF

           

iShares

Currency

Hedged

MSCI

Eurozone

ETF

             

iShares

Currency

Hedged

MSCI

Germany

ETF

           

iShares

Currency

Hedged

MSCI Japan

ETF

 

 

 

ASSETS

                

Investments, at value — affiliated(a)

  $ 21,141,688        $ 354,399,764        $ 36,256,996        $ 465,250,692  

Cash

    458,087          1,072          7,862          642,790  

Receivables:

                

Capital shares sold

                      27,811          79,119  

Dividends — affiliated

    14          1,288          21          1,736  

Unrealized appreciation on forward foreign currency exchange contracts

    620,224          6,531,016          743,892          24,381,658  
 

 

 

      

 

 

      

 

 

      

 

 

 

Total assets

    22,220,013          360,933,140          37,036,582          490,355,995  
 

 

 

      

 

 

      

 

 

      

 

 

 

LIABILITIES

                

Cash received as collateral for OTC derivatives

    450,000          1,430,000                   1,920,000  

Payables:

                

Investments purchased

    456,871          5,805,903          664,293          18,463,432  

Capital shares redeemed

             94,963                   395,592  

Investment advisory fees

    568          9,529          951          2,697  

Unrealized depreciation on forward foreign currency exchange contracts

    93,133          454,703          90,774          4,823,442  
 

 

 

      

 

 

      

 

 

      

 

 

 

Total liabilities

    1,000,572          7,795,098          756,018          25,605,163  
 

 

 

      

 

 

      

 

 

      

 

 

 

NET ASSETS

  $ 21,219,441        $ 353,138,042        $ 36,280,564        $ 464,750,832  
 

 

 

      

 

 

      

 

 

      

 

 

 

NET ASSETS CONSIST OF

                

Paid-in capital

  $ 21,786,914        $ 434,502,465        $ 90,862,331        $ 530,247,953  

Accumulated loss

    (567,473        (81,364,423        (54,581,767        (65,497,121
 

 

 

      

 

 

      

 

 

      

 

 

 

NET ASSETS

  $ 21,219,441        $ 353,138,042        $ 36,280,564        $ 464,750,832  
 

 

 

      

 

 

      

 

 

      

 

 

 

NET ASSET VALUE

                

Shares outstanding

    700,000          11,400,000          1,450,000          12,000,000  
 

 

 

      

 

 

      

 

 

      

 

 

 

Net asset value

  $ 30.31        $ 30.98        $ 25.02        $ 38.73  
 

 

 

      

 

 

      

 

 

      

 

 

 

Shares authorized

    Unlimited          Unlimited          Unlimited          Unlimited  
 

 

 

      

 

 

      

 

 

      

 

 

 

Par value

    None          None          None          None  
 

 

 

      

 

 

      

 

 

      

 

 

 

(a)  Investments, at cost — affiliated

  $ 21,942,302        $ 479,274,279        $ 55,910,307        $ 583,080,513  

See notes to financial statements.

 

 

F I N A N C I A L   S T A T E M E N T S

  27


Table of Contents

Statements of Operations

Year Ended August 31, 2022

 

   

iShares

Currency

Hedged

MSCI

Canada ETF

    

iShares

Currency

Hedged

MSCI

Eurozone

ETF

    

iShares

Currency

Hedged

MSCI

Germany

ETF

    

iShares

Currency

Hedged

MSCI Japan

ETF

 

 

 

INVESTMENT INCOME

 

        

Dividends — affiliated

  $ 402,211      $ 17,618,237      $ 1,865,617      $ 15,052,691  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total investment income

    402,211        17,618,237        1,865,617        15,052,691  
 

 

 

    

 

 

    

 

 

    

 

 

 

EXPENSES

          

Investment advisory fees

    124,610        3,258,033        280,058        3,036,767  

Commitment fees

           5,390        570        6,412  

Professional fees

    217        217        217        217  

Interest expense

                         8,205  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses

    124,827        3,263,640        280,845        3,051,601  

Less:

          

Investment advisory fees waived

    (118,798      (3,105,994      (261,524      (3,012,924
 

 

 

    

 

 

    

 

 

    

 

 

 

Total expenses after fees waived

    6,029        157,646        19,321        38,677  
 

 

 

    

 

 

    

 

 

    

 

 

 

Net investment income

    396,182        17,460,591        1,846,296        15,014,014  
 

 

 

    

 

 

    

 

 

    

 

 

 

REALIZED AND UNREALIZED GAIN (LOSS)

          

Net realized gain (loss) from:

          

Investments — affiliated

    (43,411      (7,153,553      (1,853,603      (6,601,222

In-kind redemptions — affiliated(a)

    965,450        26,700,700        (922,619      (5,938,811

Forward foreign currency exchange contracts

    385,300        84,053,100        8,395,733        107,931,965  

Foreign currency transactions

                  3,393         
 

 

 

    

 

 

    

 

 

    

 

 

 
    1,307,339        103,600,247        5,622,904        95,391,932  
 

 

 

    

 

 

    

 

 

    

 

 

 

Net change in unrealized appreciation (depreciation) on:

          

Investments — affiliated

    (3,021,782      (191,296,769      (19,171,548      (128,707,473

Forward foreign currency exchange contracts

    384,115        2,585,261        378,920        18,139,823  
 

 

 

    

 

 

    

 

 

    

 

 

 
    (2,637,667      (188,711,508      (18,792,628      (110,567,650
 

 

 

    

 

 

    

 

 

    

 

 

 

Net realized and unrealized loss

    (1,330,328      (85,111,261      (13,169,724      (15,175,718
 

 

 

    

 

 

    

 

 

    

 

 

 

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS

  $ (934,146    $ (67,650,670    $ (11,323,428    $ (161,704
 

 

 

    

 

 

    

 

 

    

 

 

 

(a)  See Note 2 of the Notes to Financial Statements.

          

See notes to financial statements.

 

 

28  

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Table of Contents

Statements of Changes in Net Assets

 

         

iShares

Currency Hedged MSCI Canada ETF

         

iShares

Currency Hedged MSCI Eurozone ETF

 
   

 

 

     

 

 

 
          Year Ended
08/31/22
           Year Ended
08/31/21
          Year Ended
08/31/22
           Year Ended
08/31/21
 

 

 

INCREASE (DECREASE) IN NET ASSETS

                 

OPERATIONS

                 

Net investment income

          $ 396,182        $ 216,856       $ 17,460,591        $ 15,085,514  

Net realized gain (loss)

      1,307,339          (97,038       103,600,247          33,361,588  

Net change in unrealized appreciation (depreciation)

      (2,637,667        2,839,398         (188,711,508        125,904,966  
   

 

 

      

 

 

     

 

 

      

 

 

 

Net increase (decrease) in net assets resulting from operations

      (934,146        2,959,216         (67,650,670        174,352,068  
   

 

 

      

 

 

     

 

 

      

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS(a)

                 

Decrease in net assets resulting from distributions to shareholders

      (630,468        (217,525