| Schedule of Investments (unaudited) June 30, 2020 |
iShares® S&P Small-Cap 600 Value ETF (Percentages shown are based on Net Assets) |
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| Schedule of Investments (unaudited) (continued) June 30, 2020 |
iShares® S&P Small-Cap 600 Value ETF (Percentages shown are based on Net Assets) |
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| Schedule of Investments (unaudited) (continued) June 30, 2020 |
iShares® S&P Small-Cap 600 Value ETF (Percentages shown are based on Net Assets) |
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| Schedule of Investments (unaudited) (continued) June 30, 2020 |
iShares® S&P Small-Cap 600 Value ETF (Percentages shown are based on Net Assets) |
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| Schedule of Investments (unaudited) (continued) June 30, 2020 |
iShares® S&P Small-Cap 600 Value ETF (Percentages shown are based on Net Assets) |
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| Schedule of Investments (unaudited) (continued) June 30, 2020 |
iShares® S&P Small-Cap 600 Value ETF (Percentages shown are based on Net Assets) |
Affiliates
Investments in issuers considered to be affiliates of the Fund during the period ended June 30, 2020, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:
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| Affiliated Issuer | |
Shares Held at 03/31/20 |
Net Activity | |
Shares Held at 06/30/20 |
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Value at 06/30/20 |
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Income | |
Net Realized Gain (Loss) |
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Change in Unrealized Appreciation (Depreciation) |
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| BlackRock Cash Funds: Institutional, SL Agency Shares |
289,029,114 | 129,259,238 | 418,288,352 | $ | 418,832,127 | $ | 1,977,903 | (b) | $ | 5,973 | $ | 505,202 | ||||||||||||||||
| BlackRock Cash Funds: Treasury, SL Agency Shares |
49,110,000 | (33,490,000 | ) | 15,620,000 | 15,620,000 | 11,178 | — | — | ||||||||||||||||||||
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| $ | 434,452,127 | $ | 1,989,081 | $ | 5,973 | $ | 505,202 | |||||||||||||||||||||
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| (a) | Includes realized capital gain distributions from an affiliated fund, if any. |
| (b) | Includes securities lending income earned from the reinvestment of cash collateral from loaned securities (excluding collateral investment fees), net of fees and other payments to and from borrowers of securities, and less fees paid to BTC as securities lending agent. |
Futures Contracts
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| Description | Number of Contracts |
Expiration Date |
Notional Amount (000) |
Value/ Unrealized Appreciation (Depreciation) |
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| Long Contracts |
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| Russell 2000 E-Mini Index |
170 | 09/18/20 | $ | 12,220 | $ | 291,388 | ||||||||||
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OTC Total Return Swaps
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| Reference Entity(a) | Counterparty | Termination Date |
Net Notional | Unrealized Appreciation (Depreciation) |
Net Value of Reference Entity |
Gross Notional Amount Net Asset Percentage |
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| Equity Securities Long |
Goldman Sachs & Co. | 02/27/23 | $ | 3,023,359 | $ | 1,050,886 | (b) | $ | 3,402,666 | 0.1 | % | |||||||||||
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| Schedule of Investments (unaudited) (continued) June 30, 2020 |
iShares® S&P Small-Cap 600 Value ETF |
OTC Total Return Swaps (continued)
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| Reference Entity(a) | Counterparty | Termination Date |
Net Notional | Unrealized Appreciation (Depreciation) |
Net Value of Reference Entity |
Gross Notional Amount Net Asset Percentage |
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| JPMorgan Securities PLC | 02/08/23 | $ | 5,533,873 | $ | (2,408,854 | )(c) | $ | 4,210,149 | 0.1 | % | ||||||||||||
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| $ | 8,557,232 | $ | (1,357,968 | ) | $ | 7,612,815 | ||||||||||||||||
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| (a) | In regards to total return swaps with multiple financing rate benchmarks, the Fund receives the total return on a portfolio of long positions underlying the total return swap. In addition, the Fund pays a variable rate of interest, based on a specified benchmark, plus or minus a spread of 65 basis points. The benchmark and spread are determined based upon the country and/or currency of the individual underlying positions. The following are the specified benchmarks used in determining the variable rate of interest: |
USD — 1D Overnight Bank Funding Rate (OBFR01)
USD — 1D Overnight Fed Funds Effective Rate (FEDL01)
| (b) | Amount includes $671,579 of net dividends and financing fees. |
| (c) | Amount includes $(1,085,130) of net dividends, payable for referenced securities purchased and financing fees. |
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| Schedule of Investments (unaudited) (continued) June 30, 2020 |
iShares® S&P Small-Cap 600 Value 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.
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| Schedule of Investments (unaudited) (continued) June 30, 2020 |
iShares® S&P Small-Cap 600 Value ETF |
Fair Value Measurements (continued)
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2020. The breakdown of the Fund’s investments into major categories is disclosed in the Schedule of Investments above.
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| Level 1 | Level 2 | Level 3 | Total | |||||||||||||
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| Investments |
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| Assets |
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| Common Stocks |
$ | 4,570,531,208 | $ | — | $ | 4 | $ | 4,570,531,212 | ||||||||
| Preferred Stocks |
27 | — | — | 27 | ||||||||||||
| Money Market Funds |
434,452,127 | — | — | 434,452,127 | ||||||||||||
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| $ | 5,004,983,362 | $ | — | $ | 4 | $ | 5,004,983,366 | |||||||||
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| Derivative financial instruments(a) |
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| Assets |
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| Futures Contracts |
$ | 291,388 | $ | — | $ | — | $ | 291,388 | ||||||||
| Swaps |
— | 1,050,886 | — | 1,050,886 | ||||||||||||
| Liabilities |
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| Swaps |
— | (2,408,854 | ) | — | (2,408,854 | ) | ||||||||||
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| $ | 291,388 | $ | (1,357,968 | ) | $ | — | $ | (1,066,580 | ) | |||||||
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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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