| Schedule of Investments (unaudited) December 31, 2020 |
iShares® Factors US Small Blend Style ETF (Percentages shown are based on Net Assets) |
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| Schedule of Investments (unaudited) (continued) December 31, 2020 |
iShares® Factors US Small Blend Style ETF (Percentages shown are based on Net Assets) |
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| Schedule of Investments (unaudited) (continued) December 31, 2020 |
iShares® Factors US Small Blend Style ETF (Percentages shown are based on Net Assets) |
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| Schedule of Investments (unaudited) (continued) December 31, 2020 |
iShares® Factors US Small Blend Style ETF (Percentages shown are based on Net Assets) |
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| Schedule of Investments (unaudited) (continued) December 31, 2020 |
iShares® Factors US Small Blend Style ETF (Percentages shown are based on Net Assets) |
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| Schedule of Investments (unaudited) (continued) December 31, 2020 |
iShares® Factors US Small Blend Style ETF (Percentages shown are based on Net Assets) |
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| Schedule of Investments (unaudited) (continued) December 31, 2020 |
iShares® Factors US Small Blend Style ETF (Percentages shown are based on Net Assets) |
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| Schedule of Investments (unaudited) (continued) December 31, 2020 |
iShares® Factors US Small Blend Style ETF (Percentages shown are based on Net Assets) |
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| Schedule of Investments (unaudited) (continued) December 31, 2020 |
iShares® Factors US Small Blend Style ETF (Percentages shown are based on Net Assets) |
Affiliates
Investments in issuers considered to be affiliate(s) of the Fund during the period ended December 31, 2020 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
| Affiliated Issuer | |
Value at 04/14/20 |
(a) |
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Purchases at Cost |
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Proceeds from Sales |
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Net Realized Gain (Loss) |
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Change in Unrealized Appreciation (Depreciation) |
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Value at 12/31/20 |
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Shares Held at 12/31/20 |
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Income | |
Capital Gain |
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| BlackRock Cash Funds: Institutional, SL Agency Shares |
$ | — | $ | 403,662 | (b) | $ | — | $ | (203 | ) | $ | (23 | ) | $ | 403,436 | 403,194 | $ | 4,288 | (c) | $ | — | |||||||||||||||
| BlackRock Cash Funds: Treasury, SL Agency Shares |
— | 50,000 | (b) | — | — | — | 50,000 | 50,000 | 79 | — | ||||||||||||||||||||||||||
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| $ | (203 | ) | $ | (23 | ) | $ | 453,436 | $ | 4,367 | $ | — | |||||||||||||||||||||||||
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| (a) | The Fund commenced operations on April 14, 2020. |
| (b) | Represents net amount purchased (sold). |
| (c) | All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
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| Schedule of Investments (unaudited) (continued) December 31, 2020 |
iShares® Factors US Small Blend Style ETF
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OTC Total Return Swaps
| Reference Entity | |
Payment Frequency |
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Counterparty(a) | |
Termination Date |
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Net Notional | |
Accrued Unrealized Appreciation (Depreciation) |
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Net Value of Reference Entity |
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Gross Notional Amount Net Asset Percentage |
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| Equity Securities Long |
Monthly | Goldman Sachs & Co.(b) | 02/27/23 | $ | 20,784 | $ | (529 | )(c) | $ | 20,248 | 0.3 | % | ||||||||||||||
| Monthly | JPMorgan Securities PLC(d) | 02/08/23 | 20,286 | 867 | (e) | 21,161 | 0.3 | |||||||||||||||||||
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| $ | 338 | $ | 41,409 | |||||||||||||||||||||||
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| (a) | The Fund receives the total return on a portfolio of long positions underlying the total return swap. In addition, the Fund pays or receives a variable rate of interest, based on a specified benchmark. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. |
| (c) | Amount includes $7 of net dividends and financing fees. |
| (e) | Amount includes $(8) of net dividends, payable for referenced securities purchased and financing fees. |
The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest:
| (b) | (d) | ||||||
| Range: | 20-65 basis points | 65 basis points | |||||
| Benchmarks: | USD - 1D Overnight Fed Funds Effective Rate (FEDL01) | USD - 1D Overnight Bank Funding Rate (OBFR01) | |||||
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| Schedule of Investments (unaudited) (continued) December 31, 2020 |
iShares® Factors US Small Blend Style ETF |
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| Schedule of Investments (unaudited) (continued) December 31, 2020 |
iShares® Factors US Small Blend Style ETF |
Fair Value Measurements
Various inputs are used in determining the fair value of financial instruments. For description of the input levels and information about the Fund’s policy regarding valuation of financial instruments, refer to a recently published shareholder report. Shareholder reports are available on the Fund’s website at iShares.com and on the U.S. Securities and Exchange Commission website at sec.gov.
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2020. The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
| Investments |
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| Assets |
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| Common Stocks |
$ | 6,008,156 | $ | 1,264 | $ | — | $ | 6,009,420 | ||||||||
| Money Market Funds |
453,436 | — | — | 453,436 | ||||||||||||
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| $ | 6,461,592 | $ | 1,264 | $ | — | $ | 6,462,856 | |||||||||
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| Derivative financial instruments(a) |
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| Assets |
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| Swaps |
$ | — | $ | 867 | $ | — | $ | 867 | ||||||||
| Liabilities |
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| Swaps |
— | (529 | ) | — | (529 | ) | ||||||||||
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| $ | — | $ | 338 | $ | — | $ | 338 | |||||||||
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| (a) | Shown at the unrealized appreciation (depreciation) on the contracts. |
| Portfolio Abbreviations - Equity | ||
| NVS |
Non-Voting Shares | |
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