but
does
not
receive
interest
income
on
securities
received
as
collateral.
Loans
of
securities
are
terminable
at
any
time
and
the
borrower,
after
notice,
is
required
to
return
borrowed
securities
within
the
standard
time
period
for
settlement
of
securities
transactions.
As
of
period
end,
any
securities
on
loan
were
collateralized
by
cash
and/or
U.S.
Government
obligations.
Cash
collateral
invested
in
money
market
funds
managed
by
BFA,
or
its
affiliates
is
disclosed
in
the
Schedule
of
Investments.
Any
non-cash
collateral
received
cannot
be
sold,
re-invested
or
pledged
by
the
Fund,
except
in
the
event
of
borrower
default.
The
securities
on
loan,
if
any,
are
also
disclosed
in
each
Fund’s
Schedule
of
Investments.
The
market
value
of
any
securities
on
loan
and
the
value
of
any
related
cash
collateral
are
disclosed
in
the
Statements
of
Assets
and
Liabilities.
Securities
lending
transactions
are
entered
into
by
the
Funds
under
Master
Securities
Lending
Agreements
(each,
an
“MSLA”)
which
provide
the
right,
in
the
event
of
default
(including
bankruptcy
or
insolvency)
for
the
non-defaulting
party
to
liquidate
the
collateral
and
calculate
a
net
exposure
to
the
defaulting
party
or
request
additional
collateral.
In
the
event
that
a
borrower
defaults,
the
Funds,
as
lender,
would
offset
the
market
value
of
the
collateral
received
against
the
market
value
of
the
securities
loaned.
When
the
value
of
the
collateral
is
greater
than
that
of
the
market
value
of
the
securities
loaned,
the
lender
is
left
with
a
net
amount
payable
to
the
defaulting
party.
However,
bankruptcy
or
insolvency
laws
of
a
particular
jurisdiction
may
impose
restrictions
on
or
prohibitions
against
such
a
right
of
offset
in
the
event
of
an
MSLA
counterparty’s
bankruptcy
or
insolvency.
Under
the
MSLA,
absent
an
event
of
default,
the
borrower
can
resell
or
re-pledge
the
loaned
securities,
and
the
Funds
can
reinvest
cash
collateral
received
in
connection
with
loaned
securities.
Upon
an
event
of
default,
the
parties’
obligations
to
return
the
securities
or
collateral
to
the
other
party
are
extinguished,
and
the
parties
can
resell
or
re-pledge
the
loaned
securities
or
the
collateral
received
in
connection
with
the
loaned
securities
in
order
to
satisfy
the
defaulting
party’s
net
payment
obligation
for
all
transactions
under
the
MSLA.
The
defaulting
party
remains
liable
for
any
deficiency.
As
of
period
end,
the
following
table
is
a
summary
of
the
securities
on
loan
by
counterparty
which
are
subject
to
offset
under
an
MSLA:
iShares
ETF
and
Counterparty
Securities
Loaned
at
Value
Cash
Collateral
Received
(a)
Non-Cash
Collateral
Received,
at
Fair
Value
(a)
Net
Amount
MSCI
USA
Small-Cap
Min
Vol
Factor
Barclays
Bank
plc
......................................
$
909,612
$
(909,612)
$
–
$
–
BNP
Paribas
SA
.......................................
8,910,078
(8,910,078)
–
–
Citadel
Clearing
LLC
....................................
289,562
(289,562)
–
–
Citigroup
Global
Markets,
Inc.
..............................
799,622
(799,622)
–
–
J.P.
Morgan
Securities
LLC
...............................
7,448,449
(7,448,449)
–
–
Jefferies
LLC
.........................................
10,676
(10,676)
–
–
Morgan
Stanley
.......................................
1,051,227
(1,051,227)
–
–
RBC
Capital
Markets
LLC
................................
2,565,692
(2,565,692)
–
–
SG
Americas
Securities
LLC
..............................
889,185
(889,185)
–
–
State
Street
Bank
&
Trust
Co.
..............................
562,505
(562,505)
–
–
Toronto-Dominion
Bank
(The)
..............................
1,947,855
(1,947,855)
–
–
UBS
AG
............................................
38,801
(38,801)
–
–
UBS
Securities
LLC
....................................
7,563
(7,563)
–
–
Wells
Fargo
Bank
NA
...................................
1,161,731
(1,161,731)
–
–
Wells
Fargo
Securities
LLC
...............................
78,558
(78,558)
–
–
$
26,671,116
$
(26,671,116)
$
–
$
–
U.S.
Equity
Factor
Barclays
Bank
plc
......................................
$
622,426
$
(622,426)
$
–
$
–
BNP
Paribas
SA
.......................................
4,629,697
(4,629,697)
–
–
HSBC
Bank
plc
.......................................
38,670
(38,670)
–
–
J.P.
Morgan
Securities
LLC
...............................
7,399,115
(7,399,115)
–
–
Morgan
Stanley
.......................................
5,239,668
(5,239,668)
–
–
RBC
Capital
Markets
LLC
................................
328,477
(328,477)
–
–
UBS
AG
............................................
645,606
(645,606)
–
–
$
18,903,659
$
(18,903,659)
$
–
$
–
U.S.
Small-Cap
Equity
Factor
Barclays
Bank
plc
......................................
$
1,453,905
$
(1,453,905)
$
–
$
–
BNP
Paribas
SA
.......................................
12,207,683
(12,207,683)
–
–
BofA
Securities,
Inc.
....................................
6,815,099
(6,815,099)
–
–
Citadel
Clearing
LLC
....................................
2,951,196
(2,951,196)
–
–
Citigroup
Global
Markets,
Inc.
..............................
2,601,383
(2,601,383)
–
–
Goldman
Sachs
&
Co.
LLC
...............................
15,655,787
(15,655,787)
–
–
HSBC
Bank
plc
.......................................
2,651,846
(2,651,846)
–
–
J.P.
Morgan
Securities
LLC
...............................
13,693,402
(13,693,402)
–
–
Jefferies
LLC
.........................................
90,694
(90,694)
–
–
National
Financial
Services
LLC
............................
850,274
(850,274)
–
–
Natixis
SA
...........................................
1,256,292
(1,256,292)
–
–
RBC
Capital
Markets
LLC
................................
2,385,999
(2,385,999)
–
–
Scotia
Capital
(USA),
Inc.
................................
3,920,088
(3,920,088)
–
–
SG
Americas
Securities
LLC
..............................
23,575
(23,575)
–
–
State
Street
Bank
&
Trust
Co.
..............................
384,813
(384,813)
–
–
UBS
AG
............................................
7,466,458
(7,466,458)
–
–
UBS
Securities
LLC
....................................
398
(398)
–
–
Virtu
Americas
LLC
.....................................
601,300
(601,300)
–
–
Wells
Fargo
Bank
NA
...................................
243,282
(243,282)
–
–