UNITEDSTATES
SECURITIESANDEXCHANGECOMMISSION
Washington,D.C.20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number: 811-23402
Name of Fund: BlackRock ETF Trust
BlackRock U.S. Equity Factor Rotation ETF
Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809
Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock ETF Trust, 55 East 52nd Street, New York, NY 10055
Registrant's telephone number, including area code: (800) 441-7762
Date of fiscal year end: 07/31/2020
Date of reporting period: 01/31/2020
Item 1 – Report to Stockholders
JANUARY 31, 2020 |
2020 Semi-Annual Report | |
(Unaudited) | |
BlackRock ETF Trust
- BlackRock U.S. Equity Factor Rotation ETF | DYNF | NYSE ARCA
Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from your financial intermediary, such as a broker-dealer or bank. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. |
You may elect to receive all future reports in paper free of charge. If you hold accounts through a financial intermediary, you can follow the instructions included with this disclosure, if applicable, or contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. Please note that not all financial intermediaries may offer this service. Your election to receive reports in paper will apply to all funds held with your financial intermediary. |
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive electronic delivery of shareholder reports and other communications by contacting your financial intermediary. Please note that not all financial intermediaries may offer this service. |
Not FDIC Insured • May Lose Value • No Bank Guarantee |
Dear Shareholder,
U.S. equities and bonds both delivered impressive returns over the last 12 months, despite fears and doubts about the economy that were ultimately laid to rest with unprecedented monetary stimulus and a sluggish yet resolute performance from the U.S. economy. Investors were further encouraged by the apparent cessation of trade hostilities between the United States and China late in 2019, although some of these gains were reversed in January 2020, as the spread of the coronavirus injected uncertainty into markets.
Returns for most securities were particularly strong in the second half of the reporting period, as investors began to realize that the U.S. economy was maintaining the modest yet steady growth that has characterized this economic cycle. In the United States, large-cap stocks led the broader market, while small-cap equities still posted healthy returns. Emerging market stocks, however, were constrained by coronavirus fears, losing most of their gains near the end of the reporting period.
Fixed-income securities played an important role in diversified portfolios by delivering strong returns amid economic uncertainty, as interest rates declined (and bond prices rose). Long-term bonds, particularly long-term Treasuries, generally posted the strongest returns, as inflation remained low despite an uptick late in the reporting period. Investment-grade and high-yield corporate bonds also posted solid returns, as the credit fundamentals in corporate markets remained relatively solid.
Continuing the shift toward looser monetary policy that began in early 2019, the U.S. Federal Reserve (the “Fed”) increased efforts to stimulate economic activity. The Fed reduced interest rates three times during the reporting period, from July 2019 to October 2019. In December 2019, the Fed further reassured markets by indicating that it is unlikely to reverse course and tighten monetary policy in the near future. Following in the Fed’s footsteps, the European Central Bank announced aggressive economic stimulus measures, including lower interest rates and the return of its bond purchasing program. The Bank of Japan continued its accommodative monetary policy, while China committed to looser credit conditions and an increase in fiscal spending.
The outpouring of global economic stimulus led to a sharp rally in risk assets throughout the world despite the headwind of rising geopolitical and trade tensions. Hopes continued to remain high as the current economic expansion became the longest in U.S. history.
Looking ahead, we believe there are reasons to remain cautious about the U.S. economy, most notably the uncertainty around the duration of the impact of the coronavirus-driven economic contraction, the U.S. presidential election and future earnings growth. At this time we are watching the developments around the world very closely to assess the full extent of the risks of economic disruption that could result from the global pandemic. Corporate earnings underperformed in 2019, but action by the Fed led to outstanding equity returns. With the future of monetary policy and consumer behaviors uncertain, earnings deterioration could act as a drag on equities.
Overall, we favor moderately increasing investment risk to benefit from expected growth. We are neutral on U.S. equities, but we favor emerging market and Japanese equities, which could benefit from an uptick in global trade and investment. Increasing cyclical exposure through value-style investing and maintaining a meaningful emphasis on high-quality companies through quality factors also makes sense for diversified investors. In fixed income, extremely low yields and inflation risk limit the effectiveness of many bond classes as a counterweight in portfolios. We favor higher-yielding bonds from emerging markets, where central banks have more room for further accommodation, while strategically using U.S. Treasuries as stabilizers.
In this environment, 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 blackrock.com for further insight about investing in today’s markets.
Sincerely,
Total Returns as of January 31, 2020 | ||
6-month | 12-month | |
U.S. large cap equities | 9.31% | 21.68% |
(S&P 500 Index) | ||
U.S. small cap equities | 3.26 | 9.21 |
(Russell 2000 Index) | ||
International equities | 6.12 | 12.10 |
(MSCI Europe, Australasia, Far | ||
East Index) | ||
Emerging market equities | 3.36 | 3.81 |
(MSCI Emerging Markets Index) | ||
3-month Treasury bills | 0.98 | 2.22 |
(ICE BofAML 3-Month | ||
U.S. Treasury Bill Index) | ||
U.S. Treasury securities | 5.13 | 12.15 |
(ICE BofAML 10-Year | ||
U.S. Treasury Index) | ||
U.S. investment grade bonds | 4.20 | 9.64 |
(Bloomberg Barclays | ||
U.S. Aggregate Bond Index) | ||
Tax-exempt municipal bonds | 3.08 | 8.21 |
(S&P Municipal Bond Index) | ||
U.S. high yield bonds | 3.43 | 9.40 |
(Bloomberg Barclays | ||
U.S. Corporate High Yield 2% | ||
Issuer Capped Index) | ||
Past performance is no guarantee of future results. Index | ||
performance is shown for illustrative purposes only. You | ||
cannot invest directly in an index. |
Rob Kapito
President, BlackRock Advisors, LLC
2 | THIS PAGE IS NOT PART OF YOUR FUND REPORT |
Table of Contents
3
Investment Objective
The BlackRock U.S. Equity Factor Rotation ETF (the “Fund”) seeks to outperform the investment results of the large- and mid-capitalization U.S. equity markets by providing diversified and tactical exposure to style factors via a factor rotation model. The Fund is an actively managed exchange-traded fund that does not seek to replicate the performance of a specified index.
Performance
Cumulative Total Returns | |||||||
Since | |||||||
6 Months | Inception | ||||||
Fund NAV | 7.54 | % | 14.62 | % | |||
Fund Market. | 7.61 | 14.74 | |||||
MSCI USA Index(a) | 9.35 | 15.90 | |||||
80% MSCI USA Index / 20% MSCI Minimum Volatility (USD) Index(b) | 8.82 | 15.81 |
The inception date of the Fund was 3/19/19. The first day of secondary market trading was 3/21/19.
(a) The MSCI USA Index is designed to measure the performance of the large and mid cap segments of the US market. The index covers approximately 85% of the free float-adjusted market capitalization in the US. Effective September 23, 2019, the Fund changed its benchmark against which it measures its performance from the 80% MSCI
USA Index / 20% MSCI Minimum Volatility (USD) Index to the MSCI USA Index.
(b) The MSCI Minimum Volatility (USD) Index aims to reflect the performance characteristics of a minimum variance strategy applied to the large and mid cap USA equity universe. The index is calculated by optimizing the MSCI USA Index, its parent index, in USD for the lowest absolute risk.
Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 6 for more information.
Expense Example
Actual | Hypothetical 5% Return | |||||||||||||||||||||||||
Beginning | Ending | Expenses | Beginning | Ending | Expenses | Annualized | ||||||||||||||||||||
Account Value | Account Value | Paid During | Account Value | Account Value | Paid During | Expense | ||||||||||||||||||||
(08/01/19) | (01/31/20) | the Period | (a) | (08/01/19) | (01/31/20) | the Period | (a) | Ratio | ||||||||||||||||||
$ | 1,000.00 | $ | 1,075.40 | $ | 1.04 | $ | 1,000.00 | $ | 1,024.10 | $ | 1.02 | 0.20 | % | |||||||||||||
(a) | Expenses are calculated using the Fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of | |||||||||||||||||||||||||
days in the period (184 days) and divided by the number of days in the year (366 days). See “Shareholder Expenses” on page 6 for more information. |
Portfolio Management Commentary
The Fund posted a solid return for the reporting period, primarily driven by the information technology and healthcare sectors. In the technology sector, the large payment processing companies continued to post solid gains, as the ongoing shift to online shopping drove relatively rapid growth in transaction processing and cross-border payments. A large systems software company also contributed to the Fund’s performance, as growth in its cloud-based software, as well as growth in cloud computing and services for businesses, drove strong revenue and earnings growth. In the healthcare sector, large biotechnology stocks advanced based on investors’ growth expectations for relatively robust product pipelines despite modest revenue growth from existing patents. Strong product pipelines and rapid growth in sales of existing treatments for cancer, diabetes, and depression, as well as strong product pipelines and relatively high dividend yields, drove strong performance for some pharmaceutical companies. On the downside, energy stocks detracted from the Fund’s performance, as oil and gas prices declined due to concerns about oversupply amid slower global growth record U.S. production, and supply cuts by OPEC.
In terms of relative performance, the Fund underperformed the broader market, as represented by the MSCI USA Index. The Fund’s actively managed factor rotation strategy seeks diversified exposure to five style factors: value, low size, momentum, quality, and minimum volatility. The Fund seeks to outperform the broader market through both the efficacy of these underlying stock selection factors and actively emphasizing exposure to the factors that BlackRock believes will perform best based on forward-looking insights.
All five of the quantitative factors underperformed the MSCI USA Index, which detracted from the Fund’s relative performance. Markets had been grappling with the risk of a recession until global central banks responded with additional stimulus, resulting in renewed optimism for an elongated business cycle. These types of abrupt, short-term changes in sentiment tend to work against quantitative factors, which are designed to work over long periods of time. However, the Fund’s factor tilting contributed to relative performance, as the investment process emphasized the factors with the strongest performance by tactically adjusting the Fund’s emphasis on minimum volatility, quality, and momentum factors.
4 | 2020 BLACK ROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Fund Summary as of January 31, 2020 | BlackRock U.S. Equity Factor Rotation ETF |
Portfolio Information
ALLOCATION BY SECTOR | |||
Percent of | |||
Sector | Total Investments | (a) | |
Information Technology | 22.9 | % | |
Financials | 12.8 | ||
Health Care | 12.3 | ||
Consumer Discretionary | 9.0 | ||
Communication Services | 8.6 | ||
Industrials | 8.5 | ||
Consumer Staples | 8.1 | ||
Utilities | 6.1 | ||
Real Estate. | 5.8 | ||
Materials | 3.0 | ||
Energy | 2.9 |
TEN LARGEST HOLDINGS | |||
Percent of | |||
Security | Total Investments | (a) | |
AT&T Inc | 3.0 | % | |
Intel Corp | 2.3 | ||
Microsoft Corp | 2.3 | ||
Visa Inc., Class A | 2.1 | ||
Mastercard Inc., Class A | 2.0 | ||
Johnson & Johnson | 1.6 | ||
PepsiCo Inc | 1.6 | ||
International Business Machines Corp | 1.3 | ||
Apple Inc | 1.3 | ||
Facebook Inc., Class A. | 1.1 |
(a) | Excludes money market funds. |
FUND SUMMARY | 5 |
Past performance is no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end is available at blackrock.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. The price used to calculate market return (“Market Price”) is determined by using the midpoint between the highest bid and the lowest ask on the primary stock exchange on which shares of a fund are listed for trading, as of the time that such fund’s NAV is calculated. Since shares of a fund may not trade in the secondary market until after the fund’s inception, for the period from inception to the first day of secondary market trading in shares of the fund, the NAV of the fund is used as a proxy for the Market Price to calculate market returns. Market and NAV returns assume that dividends and capital gain distributions have been reinvested at Market Price and NAV, respectively.
As a shareholder of your Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of fund shares and (2) ongoing costs, including management fees and other fund expenses. The expense example, which is based on an investment of $1,000 invested at the beginning of the period (or from the commencement of operations if less than 6 months) and held through the end of the period, is intended to help you understand your ongoing costs (in dollars and cents) of investing in your Fund and to compare these costs with the ongoing costs of investing in other funds.
Actual Expenses – The table provides information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. To estimate the expenses that you paid on your account over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period.”
Hypothetical Example for Comparison Purposes – The table also provides information about hypothetical account values and hypothetical expenses based on your Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of fund shares. Therefore, the hypothetical examples are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
6 | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) | BlackRock U.S. Equity Factor Rotation ETF |
January 31, 2020 | (Percentages shown are based on Net Assets) |
Security | Shares | Value | |||||
Common Stocks | |||||||
Communication Services — 8.6% | |||||||
Activision Blizzard Inc | 1,548 | $ | 90,527 | ||||
Alphabet Inc., Class A(a) | 277 | 396,880 | |||||
Alphabet Inc., Class C, NVS(a) | 297 | 425,966 | |||||
Altice USA Inc., Class A(a) | 607 | 16,608 | |||||
AT&T Inc | 53,306 | 2,005,372 | |||||
CenturyLink Inc | 6,437 | 87,929 | |||||
Charter Communications Inc., Class A(a) | 396 | 204,914 | |||||
Comcast Corp., Class A | 1,788 | 77,224 | |||||
Discovery Inc., Class A(a)(b) | 976 | 28,558 | |||||
Discovery Inc., Class C, NVS(a) | 2,081 | 57,789 | |||||
DISH Network Corp., Class A(a)(b) | 933 | 34,297 | |||||
Electronic Arts Inc.(a) | 662 | 71,443 | |||||
Facebook Inc., Class A(a) | 3,805 | 768,268 | |||||
Fox Corp., Class A, NVS | 810 | 30,035 | |||||
Fox Corp., Class B(a) | 634 | 23,033 | |||||
IAC/InterActiveCorp.(a) | 33 | 8,038 | |||||
Interpublic Group of Companies Inc. (The) | 1,000 | 22,700 | |||||
Liberty Broadband Corp., Class C, NVS(a) | 79 | 10,501 | |||||
Liberty Global PLC, Class C, NVS(a) | 325 | 6,331 | |||||
Liberty Media Corp.-Liberty Formula One, Class C, NVS(a) | 204 | 9,545 | |||||
Liberty Media Corp.-Liberty SiriusXM, Class A(a) | 620 | 30,113 | |||||
Liberty Media Corp.-Liberty SiriusXM, Class C, NVS(a) | 680 | 33,334 | |||||
Live Nation Entertainment Inc.(a) | 312 | 21,266 | |||||
Match Group Inc.(a)(b) | 95 | 7,431 | |||||
Netflix Inc.(a) | 23 | 7,937 | |||||
News Corp., Class A, NVS | 2,775 | 37,796 | |||||
Omnicom Group Inc | 987 | 74,331 | |||||
Pinterest Inc., Class A(a) | 412 | 9,076 | |||||
Roku Inc.(a)(b) | 355 | 42,937 | |||||
Sirius XM Holdings Inc | 3,425 | 24,215 | |||||
Snap Inc., Class A, NVS(a) | 2,984 | 54,846 | |||||
Sprint Corp.(a) | 4,758 | 20,792 | |||||
T-Mobile U.S. Inc.(a) | 1,413 | 111,896 | |||||
Take-Two Interactive Software Inc.(a) | 285 | 35,522 | |||||
TripAdvisor Inc | 299 | 8,169 | |||||
Twitter Inc.(a) | 263 | 8,542 | |||||
Verizon Communications Inc | 3,460 | 205,662 | |||||
ViacomCBS Inc., Class B, NVS | 2,682 | 91,537 | |||||
Walt Disney Co. (The) | 4,206 | 581,732 | |||||
Zayo Group Holdings Inc.(a) | 913 | 31,727 | |||||
Zillow Group Inc., Class C, NVS(a) | 203 | 9,381 | |||||
5,824,200 | |||||||
Consumer Discretionary — 9.0% | |||||||
Advance Auto Parts Inc | 100 | 13,175 | |||||
Amazon.com Inc.(a) | 5 | 10,044 | |||||
Aptiv PLC | 104 | 8,818 | |||||
Aramark | 732 | 32,311 | |||||
Autoliv Inc | 118 | 9,042 | |||||
AutoZone Inc.(a) | 110 | 116,376 | |||||
Best Buy Co. Inc | 1,544 | 130,761 | |||||
Booking Holdings Inc.(a) | 244 | 446,654 | |||||
BorgWarner Inc | 1,227 | 42,074 | |||||
Burlington Stores Inc.(a) | 92 | 20,007 | |||||
Capri Holdings Ltd.(a)(b) | 992 | 29,720 | |||||
CarMax Inc.(a) | 59 | 5,725 | |||||
Carnival Corp | 2,431 | 105,821 | |||||
Chipotle Mexican Grill Inc.(a) | 53 | 45,938 | |||||
Darden Restaurants Inc | 771 | 89,768 |
Security | Shares | Value | |||||
Consumer Discretionary (continued) | |||||||
Dollar General Corp | 1,032 | $ | 158,319 | ||||
Dollar Tree Inc.(a) | 479 | 41,707 | |||||
Domino's Pizza Inc | 23 | 6,480 | |||||
DR Horton Inc | 2,058 | 121,834 | |||||
eBay Inc | 424 | 14,229 | |||||
Expedia Group Inc | 145 | 15,725 | |||||
Ford Motor Co | 30,730 | 271,039 | |||||
Gap Inc. (The) | 2,561 | 44,587 | |||||
Garmin Ltd | 657 | 63,696 | |||||
General Motors Co | 11,194 | 373,768 | |||||
Genuine Parts Co | 304 | 28,445 | |||||
Grubhub Inc.(a) | 213 | 11,534 | |||||
Hanesbrands Inc | 430 | 5,917 | |||||
Harley-Davidson Inc | 201 | 6,713 | |||||
Hasbro Inc | 82 | 8,353 | |||||
Hilton Worldwide Holdings Inc | 75 | 8,085 | |||||
Home Depot Inc. (The) | 457 | 104,242 | |||||
Kohl's Corp | 1,137 | 48,607 | |||||
Las Vegas Sands Corp | 136 | 8,882 | |||||
Lear Corp | 526 | 64,793 | |||||
Leggett & Platt Inc | 442 | 21,035 | |||||
Lennar Corp., Class A | 1,551 | 102,924 | |||||
LKQ Corp.(a) | 212 | 6,929 | |||||
Lowe's Companies Inc | 64 | 7,439 | |||||
Lululemon Athletica Inc.(a)(b) | 641 | 153,449 | |||||
Marriott International Inc./MD, Class A | 49 | 6,863 | |||||
McDonald's Corp | 1,055 | 225,738 | |||||
MercadoLibre Inc.(a) | 14 | 9,282 | |||||
MGM Resorts International | 227 | 7,051 | |||||
Mohawk Industries Inc.(a) | 301 | 39,636 | |||||
Newell Brands Inc | 2,332 | 45,544 | |||||
NIKE Inc., Class B | 6,460 | 622,098 | |||||
Nordstrom Inc | 666 | 24,549 | |||||
Norwegian Cruise Line Holdings Ltd.(a) | 1,109 | 59,720 | |||||
NVR Inc.(a) | 32 | 122,143 | |||||
O'Reilly Automotive Inc.(a) | 224 | 90,966 | |||||
Polaris Inc | 69 | 6,337 | |||||
PulteGroup Inc | 1,994 | 89,032 | |||||
PVH Corp | 281 | 24,495 | |||||
Ralph Lauren Corp | 260 | 29,510 | |||||
Ross Stores Inc | 2,305 | 258,598 | |||||
Royal Caribbean Cruises Ltd | 637 | 74,580 | |||||
Starbucks Corp | 3,224 | 273,492 | |||||
Tapestry Inc | 859 | 22,136 | |||||
Target Corp | 2,123 | 235,101 | |||||
Tesla Inc.(a)(b) | 21 | 13,662 | |||||
Tiffany & Co | 64 | 8,577 | |||||
TJX Companies Inc. (The) | 8,021 | 473,560 | |||||
Tractor Supply Co | 569 | 52,889 | |||||
Ulta Salon Cosmetics & Fragrance Inc.(a) | 288 | 77,158 | |||||
Under Armour Inc., Class A(a)(b) | 168 | 3,390 | |||||
Under Armour Inc., Class C, NVS(a) | 352 | 6,322 | |||||
Vail Resorts Inc | 33 | 7,739 | |||||
VF Corp | 1,283 | 106,451 | |||||
Wayfair Inc., Class A(a)(b) | 95 | 8,902 | |||||
Whirlpool Corp | 332 | 48,528 | |||||
Wynn Resorts Ltd | 59 | 7,443 | |||||
Yum! Brands Inc | 1,837 | 194,300 | |||||
6,080,757 |
SCHEDULE OF INVESTMENTS | 7 |
Schedule of Investments (unaudited) | BlackRock U.S. Equity Factor Rotation ETF |
January 31, 2020 | (Percentages shown are based on Net Assets) |
Security | Shares | Value | |||||
Consumer Staples — 8.1% | |||||||
Altria Group Inc | 10,998 | $ | 522,735 | ||||
Archer-Daniels-Midland Co | 170 | 7,609 | |||||
Brown-Forman Corp., Class B, NVS | 981 | 66,355 | |||||
Bunge Ltd | 266 | 13,946 | |||||
Campbell Soup Co | 671 | 32,470 | |||||
Church & Dwight Co. Inc | 743 | 55,146 | |||||
Clorox Co. (The) | 394 | 61,980 | |||||
Coca-Cola Co. (The) | 3,947 | 230,505 | |||||
Colgate-Palmolive Co | 755 | 55,704 | |||||
Conagra Brands Inc | 1,195 | 39,339 | |||||
Constellation Brands Inc., Class A | 38 | 7,155 | |||||
Costco Wholesale Corp | 904 | 276,190 | |||||
Coty Inc., Class A | 2,570 | 26,368 | |||||
Estee Lauder Companies Inc. (The), Class A | 1,091 | 212,920 | |||||
General Mills Inc | 604 | 31,541 | |||||
Hershey Co. (The) | 1,443 | 223,910 | |||||
Hormel Foods Corp | 2,732 | 129,114 | |||||
Ingredion Inc | 470 | 41,360 | |||||
JM Smucker Co. (The) | 1,059 | 109,723 | |||||
Kellogg Co | 1,094 | 74,622 | |||||
Kimberly-Clark Corp | 381 | 54,575 | |||||
Kraft Heinz Co. (The) | 4,898 | 143,022 | |||||
Kroger Co. (The) | 5,479 | 147,166 | |||||
Lamb Weston Holdings Inc | 2,085 | 190,381 | |||||
McCormick & Co. Inc./MD, NVS | 413 | 67,472 | |||||
Molson Coors Beverage Co., Class B | 1,773 | 98,543 | |||||
Mondelez International Inc., Class A | 1,440 | 82,627 | |||||
Monster Beverage Corp.(a) | 1,658 | 110,423 | |||||
PepsiCo Inc | 7,417 | 1,053,362 | |||||
Philip Morris International Inc | 363 | 30,020 | |||||
Procter & Gamble Co. (The) | 5,392 | 671,951 | |||||
Sysco Corp | 676 | 55,527 | |||||
Tyson Foods Inc., Class A | 2,148 | 177,489 | |||||
Walmart Inc | 829 | 94,912 | |||||
Walgreens Boots Alliance Inc | 5,911 | 300,574 | |||||
5,496,736 | |||||||
Energy — 2.9% | |||||||
Apache Corp | 332 | 9,110 | |||||
Baker Hughes Co | 8,275 | 179,236 | |||||
Cabot Oil & Gas Corp | 946 | 13,329 | |||||
Cheniere Energy Inc.(a) | 407 | 24,111 | |||||
Chevron Corp | 1,088 | 116,568 | |||||
Concho Resources Inc | 1,289 | 97,680 | |||||
ConocoPhillips | 134 | 7,964 | |||||
Continental Resources Inc./OK | 234 | 6,369 | |||||
Devon Energy Corp | 3,441 | 74,739 | |||||
Diamondback Energy Inc | 330 | 24,552 | |||||
EOG Resources Inc | 116 | 8,458 | |||||
Exxon Mobil Corp | 8,862 | 550,507 | |||||
Halliburton Co | 289 | 6,303 | |||||
Hess Corp | 108 | 6,110 | |||||
HollyFrontier Corp | 1,563 | 70,210 | |||||
Kinder Morgan Inc./DE | 5,206 | 108,649 | |||||
Marathon Oil Corp | 7,130 | 81,068 | |||||
Marathon Petroleum Corp | 4,609 | 251,190 | |||||
National Oilwell Varco Inc | 373 | 7,688 | |||||
Noble Energy Inc | 362 | 7,157 | |||||
Occidental Petroleum Corp | 1,626 | 64,585 | |||||
ONEOK Inc | 852 | 63,789 | |||||
Phillips 66 | 840 | 76,751 |
Security | Shares | Value | |||||
Energy (continued) | |||||||
Pioneer Natural Resources Co | 57 | $ | 7,695 | ||||
Schlumberger Ltd | 281 | 9,416 | |||||
Targa Resources Corp | 183 | 6,680 | |||||
TechnipFMC PLC | 361 | 5,960 | |||||
Valero Energy Corp | 845 | 71,242 | |||||
Williams Companies Inc. (The) | 331 | 6,848 | |||||
1,963,964 | |||||||
Financials — 12.7% | |||||||
Aflac Inc | 8,151 | 420,347 | |||||
AGNC Investment Corp | 7,002 | 130,167 | |||||
Alleghany Corp.(a) | 80 | 63,813 | |||||
Allstate Corp. (The) | 987 | 116,999 | |||||
Ally Financial Inc | 1,760 | 56,373 | |||||
American Express Co | 163 | 21,169 | |||||
American Financial Group Inc./OH | 572 | 62,228 | |||||
American International Group Inc | 2,934 | 147,463 | |||||
Ameriprise Financial Inc | 1,024 | 169,380 | |||||
Annaly Capital Management Inc | 19,249 | 187,870 | |||||
Aon PLC | 931 | 205,053 | |||||
Arch Capital Group Ltd.(a) | 3,435 | 151,690 | |||||
Arthur J Gallagher & Co | 1,286 | 131,905 | |||||
Assurant Inc | 190 | 24,806 | |||||
Athene Holding Ltd., Class A(a) | 709 | 30,884 | |||||
Bank of America Corp | 17,145 | 562,870 | |||||
Bank of New York Mellon Corp. (The) | 414 | 18,539 | |||||
Berkshire Hathaway Inc., Class B(a) | 425 | 95,383 | |||||
Blackstone Group Inc. (The), Class A | 233 | 14,229 | |||||
Brown & Brown Inc | 2,267 | 101,788 | |||||
Capital One Financial Corp | 1,729 | 172,554 | |||||
Cboe Global Markets Inc | 513 | 63,212 | |||||
Charles Schwab Corp. (The) | 8,650 | 394,007 | |||||
Cincinnati Financial Corp | 691 | 72,520 | |||||
Citigroup Inc | 6,418 | 477,563 | |||||
Citizens Financial Group Inc | 1,484 | 55,324 | |||||
CME Group Inc | 554 | 120,279 | |||||
Comerica Inc | 130 | 7,951 | |||||
Discover Financial Services | 198 | 14,876 | |||||
E*TRADE Financial Corp | 357 | 15,215 | |||||
East West Bancorp. Inc | 1,248 | 57,208 | |||||
Eaton Vance Corp., NVS | 1,194 | 54,626 | |||||
Equitable Holdings Inc | 2,110 | 50,682 | |||||
Erie Indemnity Co., Class A, NVS | 351 | 58,442 | |||||
Everest Re Group Ltd | 437 | 120,861 | |||||
FactSet Research Systems Inc.(b) | 456 | 130,466 | |||||
Fidelity National Financial Inc | 1,703 | 83,021 | |||||
Fifth Third Bancorp | 235 | 6,686 | |||||
First Republic Bank/CA | 74 | 8,205 | |||||
Franklin Resources Inc | 2,827 | 71,523 | |||||
Globe Life Inc | 90 | 9,383 | |||||
Goldman Sachs Group Inc. (The) | 1,006 | 239,176 | |||||
Hartford Financial Services Group Inc. (The) | 1,574 | 93,307 | |||||
Huntington Bancshares Inc./OH | 572 | 7,762 | |||||
Intercontinental Exchange Inc | 1,045 | 104,228 | |||||
Invesco Ltd | 2,119 | 36,659 | |||||
Jefferies Financial Group Inc | 1,265 | 27,375 | |||||
JPMorgan Chase & Co | 118 | 15,618 | |||||
KeyCorp | 408 | 7,634 | |||||
KKR & Co. Inc., Class A, NVS | 265 | 8,454 | |||||
Lincoln National Corp | 940 | 51,211 | |||||
Loews Corp | 985 | 50,678 |
8 | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) | BlackRock U.S. Equity Factor Rotation ETF |
January 31, 2020 | (Percentages shown are based on Net Assets) |
Security | Shares | Value | |||||
Financials (continued) | |||||||
M&T Bank Corp | 150 | $ | 25,278 | ||||
Markel Corp.(a) | 65 | 76,243 | |||||
MarketAxess Holdings Inc | 513 | 181,694 | |||||
Marsh & McLennan Companies Inc | 4,363 | 488,045 | |||||
MetLife Inc | 2,500 | 124,275 | |||||
Moody's Corp | 417 | 107,081 | |||||
Morgan Stanley | 3,315 | 173,242 | |||||
MSCI Inc | 206 | 58,875 | |||||
Nasdaq Inc | 181 | 21,079 | |||||
Northern Trust Corp | 189 | 18,486 | |||||
People's United Financial Inc | 499 | 7,695 | |||||
PNC Financial Services Group Inc. (The) | 71 | 10,547 | |||||
Principal Financial Group Inc | 161 | 8,525 | |||||
Progressive Corp. (The) | 5,124 | 413,456 | |||||
Prudential Financial Inc | 1,223 | 111,366 | |||||
Raymond James Financial Inc | 230 | 21,029 | |||||
Regions Financial Corp | 2,235 | 34,799 | |||||
Reinsurance Group of America Inc | 62 | 8,931 | |||||
RenaissanceRe Holdings Ltd | 562 | 106,465 | |||||
S&P Global Inc | 612 | 179,763 | |||||
SEI Investments Co | 1,610 | 105,069 | |||||
Signature Bank/New York NY | 63 | 8,939 | |||||
State Street Corp | 189 | 14,294 | |||||
SVB Financial Group(a) | 36 | 8,652 | |||||
Synchrony Financial | 392 | 12,705 | |||||
T Rowe Price Group Inc | 2,514 | 335,694 | |||||
TD Ameritrade Holding Corp | 2,345 | 111,341 | |||||
Travelers Companies Inc. (The) | 658 | 86,606 | |||||
Truist Financial Corp | 451 | 23,258 | |||||
U.S. Bancorp | 1,344 | 71,528 | |||||
Unum Group. | 1,085 | 28,959 | |||||
Voya Financial Inc | 698 | 41,692 | |||||
Wells Fargo & Co | 388 | 18,213 | |||||
Willis Towers Watson PLC | 249 | 52,611 | |||||
WR Berkley Corp | 2,070 | 152,207 | |||||
Zions Bancorp. N.A | 159 | 7,233 | |||||
8,655,537 | |||||||
Health Care — 12.3% | |||||||
Abbott Laboratories | 556 | 48,450 | |||||
AbbVie Inc | 79 | 6,401 | |||||
ABIOMED Inc.(a) | 136 | 25,335 | |||||
Agilent Technologies Inc | 104 | 8,586 | |||||
Alexion Pharmaceuticals Inc.(a) | 77 | 7,653 | |||||
Align Technology Inc.(a) | 235 | 60,419 | |||||
Allergan PLC | 1,555 | 290,225 | |||||
Alnylam Pharmaceuticals Inc.(a) | 90 | 10,331 | |||||
AmerisourceBergen Corp | 425 | 36,363 | |||||
Amgen Inc | 1,676 | 362,100 | |||||
Anthem Inc | 813 | 215,673 | |||||
Baxter International Inc | 1,087 | 96,982 | |||||
Becton Dickinson and Co | 163 | 44,854 | |||||
Biogen Inc.(a) | 1,023 | 275,034 | |||||
BioMarin Pharmaceutical Inc.(a) | 135 | 11,273 | |||||
Bio-Rad Laboratories Inc., Class A(a) | 21 | 7,579 | |||||
Boston Scientific Corp.(a) | 183 | 7,662 | |||||
Bristol-Myers Squibb Co | 2,854 | 179,659 | |||||
Cardinal Health Inc | 1,257 | 64,371 | |||||
Centene Corp.(a) | 1,393 | 87,494 | |||||
Cerner Corp | 215 | 15,443 | |||||
Cigna Corp.(a) | 1,129 | 217,197 |
Security | Shares | Value | |||||
Health Care (continued) | |||||||
Cooper Companies Inc. (The) | 144 | $ | 49,952 | ||||
CVS Health Corp | 4,587 | 311,090 | |||||
Danaher Corp | 1,681 | 270,422 | |||||
DaVita Inc.(a)(b) | 398 | 31,788 | |||||
Dentsply Sirona Inc | 356 | 19,936 | |||||
DexCom Inc.(a) | 36 | 8,667 | |||||
Edwards Lifesciences Corp.(a) | 1,038 | 228,215 | |||||
Elanco Animal Health Inc.(a) | 295 | 9,116 | |||||
Eli Lilly & Co | 4,012 | 560,236 | |||||
Exact Sciences Corp.(a) | 98 | 9,141 | |||||
Gilead Sciences Inc | 4,249 | 268,537 | |||||
HCA Healthcare Inc | 52 | 7,218 | |||||
Henry Schein Inc.(a) | 207 | 14,271 | |||||
Hologic Inc.(a) | 166 | 8,884 | |||||
Humana Inc | 153 | 51,445 | |||||
IDEXX Laboratories Inc.(a) | 441 | 119,515 | |||||
Illumina Inc.(a) | 319 | 92,532 | |||||
Incyte Corp.(a) | 89 | 6,503 | |||||
Insulet Corp.(a) | 198 | 38,420 | |||||
Intuitive Surgical Inc.(a) | 14 | 7,837 | |||||
Ionis Pharmaceuticals Inc.(a) | 131 | 7,640 | |||||
IQVIA Holdings Inc.(a) | 46 | 7,142 | |||||
Jazz Pharmaceuticals PLC(a) | 240 | 34,404 | |||||
Johnson & Johnson | 7,323 | 1,090,175 | |||||
Laboratory Corp. of America Holdings(a) | 43 | 7,542 | |||||
McKesson Corp | 757 | 107,956 | |||||
Medtronic PLC | 4,109 | 474,343 | |||||
Merck & Co. Inc | 7,717 | 659,341 | |||||
Mettler-Toledo International Inc.(a) | 89 | 67,389 | |||||
Mylan NV(a) | 3,219 | 68,951 | |||||
Neurocrine Biosciences Inc.(a) | 66 | 6,605 | |||||
PerkinElmer Inc | 86 | 7,953 | |||||
Perrigo Co. PLC | 581 | 33,140 | |||||
Pfizer Inc | 14,547 | 541,730 | |||||
Quest Diagnostics Inc | 153 | 16,933 | |||||
Regeneron Pharmaceuticals Inc.(a) | 197 | 66,574 | |||||
ResMed Inc | 403 | 64,065 | |||||
Sarepta Therapeutics Inc.(a) | 82 | 9,509 | |||||
Seattle Genetics Inc.(a) | 357 | 38,695 | |||||
Steris PLC | 167 | 25,165 | |||||
Stryker Corp | 414 | 87,230 | |||||
Teleflex Inc | 109 | 40,495 | |||||
Thermo Fisher Scientific Inc | 607 | 190,106 | |||||
UnitedHealth Group Inc | 333 | 90,726 | |||||
Universal Health Services Inc., Class B | 448 | 61,425 | |||||
Varian Medical Systems Inc.(a) | 253 | 35,564 | |||||
Veeva Systems Inc., Class A(a) | 45 | 6,597 | |||||
Vertex Pharmaceuticals Inc.(a) | 32 | 7,266 | |||||
Waters Corp.(a) | 306 | 68,480 | |||||
West Pharmaceutical Services Inc | 52 | 8,109 | |||||
Zimmer Biomet Holdings Inc | 104 | 15,382 | |||||
Zoetis Inc | 1,490 | 199,973 | |||||
8,339,414 | |||||||
Industrials — 8.5% | |||||||
3M Co | 3,544 | 562,291 | |||||
Acuity Brands Inc.(b) | 161 | 18,977 | |||||
Allegion PLC | 626 | 80,954 | |||||
AMERCO | 124 | 46,037 | |||||
American Airlines Group Inc | 1,420 | 38,113 | |||||
AMETEK Inc | 411 | 39,929 |
SCHEDULE OF INVESTMENTS | 9 |
Schedule of Investments (unaudited) | BlackRock U.S. Equity Factor Rotation ETF |
January 31, 2020 | (Percentages shown are based on Net Assets) |
Security | Shares | Value | |||||
Industrials (continued) | |||||||
AO Smith Corp | 963 | $ | 41,110 | ||||
Arconic Inc | 256 | 7,667 | |||||
Boeing Co. (The) | 20 | 6,365 | |||||
Caterpillar Inc | 55 | 7,224 | |||||
CH Robinson Worldwide Inc | 1,056 | 76,264 | |||||
Cintas Corp | 236 | 65,837 | |||||
Copart Inc.(a) | 1,873 | 190,035 | |||||
CoStar Group Inc.(a) | 77 | 50,280 | |||||
CSX Corp | 117 | 8,932 | |||||
Cummins Inc | 1,867 | 298,664 | |||||
Deere & Co | 37 | 5,867 | |||||
Delta Air Lines Inc | 2,125 | 118,447 | |||||
Dover Corp | 70 | 7,970 | |||||
Eaton Corp. PLC. | 2,072 | 195,742 | |||||
Emerson Electric Co | 151 | 10,816 | |||||
Equifax Inc | 104 | 15,590 | |||||
Expeditors International of Washington Inc | 1,218 | 88,963 | |||||
Fastenal Co | 3,667 | 127,905 | |||||
FedEx Corp | 1,392 | 201,339 | |||||
Flowserve Corp | 179 | 8,356 | |||||
Fortive Corp | 106 | 7,943 | |||||
Fortune Brands Home & Security Inc | 112 | 7,696 | |||||
General Dynamics Corp | 51 | 8,947 | |||||
General Electric Co | 662 | 8,242 | |||||
HD Supply Holdings Inc.(a) | 108 | 4,400 | |||||
HEICO Corp.(b) | 96 | 11,753 | |||||
HEICO Corp., Class A. | 161 | 15,480 | |||||
Honeywell International Inc | 355 | 61,493 | |||||
Huntington Ingalls Industries Inc | 269 | 70,209 | |||||
IDEX Corp | 51 | 8,356 | |||||
IHS Markit Ltd.(a) | 983 | 77,519 | |||||
Illinois Tool Works Inc | 2,221 | 388,631 | |||||
Ingersoll-Rand PLC | 63 | 8,393 | |||||
Jacobs Engineering Group Inc | 84 | 7,773 | |||||
JB Hunt Transport Services Inc | 68 | 7,339 | |||||
Johnson Controls International PLC. | 3,469 | 136,852 | |||||
Kansas City Southern | 49 | 8,266 | |||||
Knight-Swift Transportation Holdings Inc | 1,395 | 51,727 | |||||
L3Harris Technologies Inc | 859 | 190,122 | |||||
Lennox International Inc | 23 | 5,359 | |||||
Lockheed Martin Corp | 260 | 111,311 | |||||
ManpowerGroup Inc | 509 | 46,568 | |||||
Masco Corp | 714 | 33,929 | |||||
Middleby Corp. (The)(a) | 61 | 6,842 | |||||
Nielsen Holdings PLC | 1,163 | 23,725 | |||||
Norfolk Southern Corp | 47 | 9,786 | |||||
Northrop Grumman Corp | 375 | 140,464 | |||||
Old Dominion Freight Line Inc | 37 | 7,261 | |||||
Owens Corning | 1,033 | 62,486 | |||||
PACCAR Inc | 2,171 | 161,110 | |||||
Parker-Hannifin Corp | 34 | 6,653 | |||||
Pentair PLC | 219 | 9,402 | |||||
Raytheon Co | 96 | 21,210 | |||||
Republic Services Inc | 2,575 | 244,754 | |||||
Robert Half International Inc | 996 | 57,937 | |||||
Rockwell Automation Inc | 1,033 | 197,985 | |||||
Rollins Inc | 1,166 | 44,250 | |||||
Roper Technologies Inc | 23 | 8,778 | |||||
Sensata Technologies Holding PLC(a) | 123 | 5,814 | |||||
Snap-on Inc | 50 | 7,981 |
Security | Shares | Value | |||||
Industrials (continued) | |||||||
Southwest Airlines Co | 1,545 | $ | 84,944 | ||||
Spirit AeroSystems Holdings Inc., Class A | 443 | 28,937 | |||||
Stanley Black & Decker Inc | 57 | 9,082 | |||||
Teledyne Technologies Inc.(a) | 113 | 41,252 | |||||
Textron Inc | 745 | 34,218 | |||||
TransDigm Group Inc | 107 | 68,831 | |||||
TransUnion | 78 | 7,153 | |||||
Uber Technologies Inc.(a)(b) | 299 | 10,851 | |||||
Union Pacific Corp | 56 | 10,048 | |||||
United Airlines Holdings Inc.(a) | 937 | 70,088 | |||||
United Parcel Service Inc., Class B | 52 | 5,383 | |||||
United Rentals Inc.(a) | 925 | 125,513 | |||||
United Technologies Corp | 294 | 44,159 | |||||
Verisk Analytics Inc | 321 | 52,153 | |||||
WABCO Holdings Inc.(a) | 313 | 42,458 | |||||
Waste Connections Inc | 1,670 | 160,838 | |||||
Waste Management Inc | 2,371 | 288,551 | |||||
Westinghouse Air Brake Technologies Corp | 720 | 53,179 | |||||
WW Grainger Inc | 23 | 6,961 | |||||
XPO Logistics Inc.(a) | 84 | 7,469 | |||||
Xylem Inc./NY | 106 | 8,656 | |||||
5,775,144 | |||||||
Information Technology — 22.8% | |||||||
Accenture PLC, Class A | 2,152 | 441,612 | |||||
Adobe Inc.(a) | 27 | 9,481 | |||||
Advanced Micro Devices Inc.(a) | 1,721 | 80,887 | |||||
Akamai Technologies Inc.(a) | 90 | 8,401 | |||||
Alliance Data Systems Corp | 410 | 42,144 | |||||
Amphenol Corp., Class A | 818 | 81,366 | |||||
Analog Devices Inc | 70 | 7,683 | |||||
ANSYS Inc.(a) | 30 | 8,230 | |||||
Apple Inc | 2,774 | 858,581 | |||||
Applied Materials Inc | 6,457 | 374,441 | |||||
Arista Networks Inc.(a) | 40 | 8,934 | |||||
Arrow Electronics Inc.(a) | 579 | 43,969 | |||||
Autodesk Inc.(a) | 50 | 9,842 | |||||
Automatic Data Processing Inc | 1,481 | 253,829 | |||||
Black Knight Inc.(a) | 1,550 | 103,726 | |||||
Booz Allen Hamilton Holding Corp | 763 | 59,545 | |||||
Broadcom Inc | 114 | 34,788 | |||||
Broadridge Financial Solutions Inc | 669 | 79,711 | |||||
Cadence Design Systems Inc.(a) | 586 | 42,256 | |||||
CDK Global Inc | 394 | 21,150 | |||||
CDW Corp./DE | 323 | 42,135 | |||||
Cisco Systems Inc | 9,898 | 455,011 | |||||
Citrix Systems Inc | 1,232 | 149,343 | |||||
Cognex Corp | 159 | 8,104 | |||||
Cognizant Technology Solutions Corp., Class A. | 1,005 | 61,687 | |||||
Corning Inc | 4,090 | 109,162 | |||||
Dell Technologies Inc., Class C(a) | 584 | 28,482 | |||||
DocuSign Inc.(a) | 310 | 24,338 | |||||
Dropbox Inc., Class A(a) | 489 | 8,323 | |||||
DXC Technology Co | 2,478 | 78,999 | |||||
EPAM Systems Inc.(a) | 35 | 7,985 | |||||
F5 Networks Inc.(a) | 180 | 21,982 | |||||
Fidelity National Information Services Inc | 2,182 | 313,466 | |||||
Fiserv Inc.(a) | 2,373 | 281,462 | |||||
FleetCor Technologies Inc.(a) | 145 | 45,708 | |||||
Flex Ltd.(a) | 642 | 8,442 | |||||
FLIR Systems Inc | 503 | 25,925 |
10 | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) | BlackRock U.S. Equity Factor Rotation ETF |
January 31, 2020 | (Percentages shown are based on Net Assets) |
Security | Shares | Value | |||||
Information Technology (continued) | |||||||
Fortinet Inc.(a) | 73 | $ | 8,421 | ||||
Gartner Inc.(a) | 46 | 7,396 | |||||
Global Payments Inc | 642 | 125,479 | |||||
GoDaddy Inc., Class A(a) | 106 | 7,124 | |||||
Guidewire Software Inc.(a) | 69 | 7,763 | |||||
Hewlett Packard Enterprise Co | 12,639 | 176,061 | |||||
HP Inc | 7,844 | 167,234 | |||||
Intel Corp | 24,669 | 1,577,089 | |||||
International Business Machines Corp | 6,286 | 903,487 | |||||
Intuit Inc | 688 | 192,901 | |||||
IPG Photonics Corp.(a) | 59 | 7,533 | |||||
Jack Henry & Associates Inc | 911 | 136,231 | |||||
Juniper Networks Inc | 2,936 | 67,352 | |||||
Keysight Technologies Inc.(a) | 497 | 46,216 | |||||
KLA Corp | 770 | 127,620 | |||||
Lam Research Corp | 1,270 | 378,727 | |||||
Leidos Holdings Inc | 74 | 7,435 | |||||
Marvell Technology Group Ltd | 328 | 7,885 | |||||
Mastercard Inc., Class A | 4,297 | 1,357,594 | |||||
Maxim Integrated Products Inc | 744 | 44,729 | |||||
Microchip Technology Inc | 67 | 6,531 | |||||
Micron Technology Inc.(a) | 11,282 | 598,961 | |||||
Microsoft Corp | 9,022 | 1,535,815 | |||||
MongoDB Inc.(a)(b) | 58 | 9,507 | |||||
Motorola Solutions Inc | 1,043 | 184,611 | |||||
NetApp Inc | 610 | 32,574 | |||||
NortonLifeLock Inc | 1,581 | 44,932 | |||||
NVIDIA Corp | 35 | 8,275 | |||||
Okta Inc.(a)(b) | 278 | 35,598 | |||||
ON Semiconductor Corp.(a) | 2,712 | 62,783 | |||||
Oracle Corp | 5,341 | 280,135 | |||||
Palo Alto Networks Inc.(a) | 125 | 29,347 | |||||
Paychex Inc | 2,547 | 218,456 | |||||
Paycom Software Inc.(a) | 186 | 59,178 | |||||
PayPal Holdings Inc.(a) | 97 | 11,047 | |||||
PTC Inc.(a) | 111 | 9,226 | |||||
Qorvo Inc.(a) | 719 | 76,113 | |||||
QUALCOMM Inc | 77 | 6,569 | |||||
RingCentral Inc., Class A(a) | 220 | 45,228 | |||||
Sabre Corp | 281 | 6,053 | |||||
salesforce.com Inc.(a) | 52 | 9,480 | |||||
Seagate Technology PLC. | 1,470 | 83,775 | |||||
ServiceNow Inc.(a) | 29 | 9,809 | |||||
Skyworks Solutions Inc | 383 | 43,336 | |||||
Splunk Inc.(a) | 65 | 10,092 | |||||
Square Inc., Class A(a) | 120 | 8,963 | |||||
SS&C Technologies Holdings Inc | 116 | 7,309 | |||||
Synopsys Inc.(a) | 356 | 52,514 | |||||
TE Connectivity Ltd | 801 | 73,836 | |||||
Teradyne Inc | 463 | 30,553 | |||||
Texas Instruments Inc | 2,489 | 300,298 | |||||
Trimble Inc.(a) | 202 | 8,589 | |||||
Twilio Inc., Class A(a)(b) | 79 | 9,823 | |||||
Tyler Technologies Inc.(a) | 167 | 54,055 | |||||
VeriSign Inc.(a) | 265 | 55,157 | |||||
Visa Inc., Class A | 7,097 | 1,412,090 | |||||
VMware Inc., Class A(a) | 42 | 6,219 | |||||
Western Digital Corp | 2,426 | 158,903 | |||||
Western Union Co. (The) | 6,583 | 177,083 | |||||
Workday Inc., Class A(a) | 52 | 9,601 |
Security | Shares | Value | |||||
Information Technology (continued) | |||||||
Xerox Holdings Corp.(a) | 1,741 | $ | 61,927 | ||||
Xilinx Inc | 558 | 47,140 | |||||
Zebra Technologies Corp., Class A(a) | 31 | 7,410 | |||||
15,494,308 | |||||||
Materials — 3.0% | |||||||
Air Products & Chemicals Inc | 1,354 | 323,213 | |||||
Albemarle Corp | 276 | 22,157 | |||||
Amcor PLC(a) | 11,670 | 123,585 | |||||
Avery Dennison Corp | 550 | 72,182 | |||||
Axalta Coating Systems Ltd.(a) | 212 | 6,108 | |||||
Ball Corp | 1,027 | 74,129 | |||||
Celanese Corp | 515 | 53,303 | |||||
CF Industries Holdings Inc | 167 | 6,727 | |||||
Corteva Inc.(a) | 1,391 | 40,228 | |||||
Crown Holdings Inc.(a) | 423 | 31,315 | |||||
Dow Inc.(a) | 1,164 | 53,625 | |||||
DuPont de Nemours Inc | 133 | 6,807 | |||||
Eastman Chemical Co | 516 | 36,775 | |||||
Ecolab Inc | 855 | 167,674 | |||||
FMC Corp | 76 | 7,265 | |||||
Freeport-McMoRan Inc | 4,473 | 49,650 | |||||
International Flavors & Fragrances Inc | 56 | 7,342 | |||||
International Paper Co | 1,163 | 47,357 | |||||
Linde PLC | 73 | 14,829 | |||||
LyondellBasell Industries NV, Class A | 2,170 | 168,956 | |||||
Martin Marietta Materials Inc | 150 | 39,570 | |||||
Mosaic Co. (The) | 1,869 | 37,081 | |||||
Newmont Corp | 5,430 | 244,676 | |||||
Nucor Corp | 2,016 | 95,740 | |||||
Packaging Corp. of America | 412 | 39,449 | |||||
PPG Industries Inc | 67 | 8,029 | |||||
RPM International Inc | 90 | 6,423 | |||||
Sealed Air Corp | 219 | 7,775 | |||||
Sherwin-Williams Co. (The) | 202 | 112,512 | |||||
Steel Dynamics Inc | 1,064 | 31,792 | |||||
Vulcan Materials Co | 65 | 9,206 | |||||
Westlake Chemical Corp | 219 | 13,403 | |||||
Westrock Co | 1,340 | 52,260 | |||||
2,011,143 | |||||||
Real Estate — 5.7% | |||||||
Alexandria Real Estate Equities Inc | 240 | 39,168 | |||||
American Tower Corp | 1,346 | 311,922 | |||||
AvalonBay Communities Inc | 999 | 216,473 | |||||
Boston Properties Inc | 54 | 7,741 | |||||
Camden Property Trust | 806 | 90,619 | |||||
CBRE Group Inc., Class A(a) | 3,817 | 233,028 | |||||
Crown Castle International Corp | 575 | 86,158 | |||||
Digital Realty Trust Inc | 63 | 7,748 | |||||
Duke Realty Corp | 245 | 8,896 | |||||
Equinix Inc | 240 | 141,535 | |||||
Equity LifeStyle Properties Inc | 547 | 39,794 | |||||
Equity Residential | 2,286 | 189,921 | |||||
Essex Property Trust Inc | 330 | 102,221 | |||||
Extra Space Storage Inc | 455 | 50,359 | |||||
Federal Realty Investment Trust | 54 | 6,751 | |||||
Healthpeak Properties Inc | 3,469 | 124,849 | |||||
Host Hotels & Resorts Inc | 18,232 | 297,911 | |||||
Invitation Homes Inc | 1,979 | 62,279 | |||||
Iron Mountain Inc | 186 | 5,879 |
SCHEDULE OF INVESTMENTS | 11 |
Schedule of Investments (unaudited) | BlackRock U.S. Equity Factor Rotation ETF |
January 31, 2020 | (Percentages shown are based on Net Assets) |
Security | Shares | Value | |||||
Real Estate (continued) | |||||||
Jones Lang LaSalle Inc | 978 | $ | 166,084 | ||||
Kimco Realty Corp | 2,394 | 45,606 | |||||
Liberty Property Trust | 504 | 31,576 | |||||
Medical Properties Trust Inc | 1,253 | 27,754 | |||||
Mid-America Apartment Communities Inc | 638 | 87,540 | |||||
National Retail Properties Inc | 1,370 | 76,720 | |||||
Omega Healthcare Investors Inc | 628 | 26,345 | |||||
Prologis Inc | 3,179 | 295,266 | |||||
Public Storage | 1,331 | 297,825 | |||||
Realty Income Corp | 1,915 | 150,155 | |||||
Regency Centers Corp | 108 | 6,700 | |||||
SBA Communications Corp | 327 | 81,606 | |||||
Simon Property Group Inc | 973 | 129,555 | |||||
SL Green Realty Corp | 100 | 9,204 | |||||
Sun Communities Inc | 354 | 57,408 | |||||
UDR Inc | 1,765 | 84,561 | |||||
Ventas Inc | 494 | 28,583 | |||||
VEREIT Inc | 3,290 | 32,110 | |||||
VICI Properties Inc | 288 | 7,718 | |||||
Vornado Realty Trust | 126 | 8,287 | |||||
Welltower Inc | 1,704 | 144,687 | |||||
Weyerhaeuser Co | 315 | 9,119 | |||||
WP Carey Inc | 863 | 72,596 | |||||
3,900,257 | |||||||
Utilities — 6.1% | |||||||
AES Corp./VA | 1,911 | 37,952 | |||||
Alliant Energy Corp | 810 | 48,082 | |||||
Ameren Corp | 475 | 38,974 | |||||
American Electric Power Co. Inc | 1,788 | 186,345 | |||||
American Water Works Co. Inc | 535 | 72,867 | |||||
Atmos Energy Corp | 2,819 | 329,908 | |||||
CenterPoint Energy Inc | 1,081 | 28,625 | |||||
CMS Energy Corp | 1,128 | 77,279 | |||||
Consolidated Edison Inc | 1,778 | 167,132 | |||||
Dominion Energy Inc | 828 | 71,001 | |||||
DTE Energy Co | 103 | 13,659 | |||||
Duke Energy Corp | 2,944 | 287,423 | |||||
Edison International | 1,091 | 83,516 | |||||
Entergy Corp | 651 | 85,620 | |||||
Essential Utilities Inc | 634 | 32,930 | |||||
Evergy Inc | 1,007 | 72,665 | |||||
Eversource Energy. | 1,292 | 119,433 |
Security | Shares | Value | |||||||||
Utilities (continued) | |||||||||||
Exelon Corp | 4,622 | $ | 219,961 | ||||||||
FirstEnergy Corp | 1,174 | 59,627 | |||||||||
NextEra Energy Inc | 2,296 | 615,787 | |||||||||
NiSource Inc | 251 | 7,357 | |||||||||
NRG Energy Inc | 231 | 8,522 | |||||||||
OGE Energy Corp | 4,486 | 205,683 | |||||||||
Pinnacle West Capital Corp | 2,467 | 241,001 | |||||||||
PPL Corp | 1,859 | 67,277 | |||||||||
Public Service Enterprise Group Inc | 175 | 10,360 | |||||||||
Sempra Energy | 634 | 101,846 | |||||||||
Southern Co. (The) | 5,184 | 364,954 | |||||||||
UGI Corp | 460 | 19,131 | |||||||||
Vistra Energy Corp | 1,597 | 35,964 | |||||||||
WEC Energy Group Inc | 1,936 | 193,387 | |||||||||
Xcel Energy Inc | 3,275 | 226,597 | |||||||||
4,130,865 | |||||||||||
Total Common Stocks — 99.7% | |||||||||||
(Cost: $62,349,036) | 67,672,325 | ||||||||||
Short-Term Investments | |||||||||||
Money Market Funds — 0.7% | |||||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares, | |||||||||||
1.78 | %(c)(d)(e) | 367,613 | 367,834 | ||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares, | |||||||||||
1.50 | %(c)(d) | 146,000 | 146,000 | ||||||||
513,834 | |||||||||||
Total Short-Term Investments — 0.7% | |||||||||||
(Cost: $513,770) | 513,834 | ||||||||||
Total Investments In Securities — 100.4% | |||||||||||
(Cost: $62,862,806) | 68,186,159 | ||||||||||
Other Assets, Less Liabilities — (0.4)% | (301,464 | ) | |||||||||
Net Assets — 100.0% | $ | 67,884,695 | |||||||||
(a) | Non-income producing security. | ||||||||||
(b) | All or a portion of this security is on loan. | ||||||||||
(c) | Affiliate of the Fund. | ||||||||||
(d) | Annualized 7-day yield as of period-end. | ||||||||||
(e) | All or a portion of this security was purchased with cash collateral received from loaned securities. |
Affiliates
Investments in issuers considered to be affiliates of the Fund during the six months ended January 31, 2020, for purposes of Section 2(a)(3) of the 1940 Act, were as follows:
Change in | |||||||||||||||||||||||||||
Shares | Shares | Unrealized | |||||||||||||||||||||||||
Held at | Held at | Value at | Net Realized | Appreciation | |||||||||||||||||||||||
Affiliated Issuer | 07/31/19 | Net Activity | 01/31/20 | 01/31/20 | Income | Gain (Loss)(a) | (Depreciation) | ||||||||||||||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares | 17,119 | 350,494 | 367,613 | $ | 367,834 | $ | 700 | (b) | $ | (55 | ) | $ | 62 | ||||||||||||||
BlackRock Cash Funds: Treasury, SL Agency Shares | 50,000 | 96,000 | 146,000 | 146,000 | 879 | — | — | ||||||||||||||||||||
$ | 513,834 | $ | 1,579 | $ | (55 | ) | $ | 62 |
(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. |
12 | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Schedule of Investments (unaudited) | BlackRock U.S. Equity Factor Rotation ETF |
January 31, 2020 | (Percentages shown are based on Net Assets) |
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 the Notes to Financial Statements.
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of January 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 | |||||||||||||||
Assets | |||||||||||||||
Common Stocks | $ | 67,672,325 | $ | — | $ | — | $ | 67,672,325 | |||||||
Money Market Funds | 513,834 | — | — | 513,834 | |||||||||||
$ | 68,186,159 | $ | — | $ | — | $ | 68,186,159 |
See notes to financial statements.
SCHEDULE OF INVESTMENTS | 13 |
Statement of Assets and Liabilities (unaudited) |
January 31, 2020 |
BlackRock | ||||
U.S. Equity | ||||
Factor Rotation | ||||
ETF | ||||
ASSETS | ||||
Investments in securities, at value (including securities on loan)(a): | ||||
Unaffiliated(b) | $ | 67,672,325 | ||
Affiliated(c) | 513,834 | |||
Cash | 19,009 | |||
Receivables: | ||||
Securities lending income — Affiliated | 95 | |||
Dividends | 58,834 | |||
Total assets | 68,264,097 | |||
LIABILITIES | ||||
Collateral on securities loaned, at value | 367,826 | |||
Payables: | ||||
Investment advisory fees | 11,576 | |||
Total liabilities | 379,402 | |||
NET ASSETS | $ | 67,884,695 | ||
NET ASSETS CONSIST OF: | ||||
Paid-in capital | $ | 62,261,728 | ||
Accumulated earnings | 5,622,967 | |||
NET ASSETS | $ | 67,884,695 | ||
Shares outstanding | 2,400,000 | |||
Net asset value | $ | 28.29 | ||
Shares authorized | Unlimited | |||
Par value | None | |||
(a) | Securities loaned, at value | $ | 353,779 | |
(b) | Investments, at cost — Unaffiliated | $ | 62,349,036 | |
(c) | Investments, at cost — Affiliated. | $ | 513,770 |
See notes to financial statements.
14 | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Statement of Operations (unaudited) |
Six Months Ended January 31, 2020 |
BlackRock | |||
U.S. Equity | |||
Factor Rotation | |||
ETF | |||
INVESTMENT INCOME | |||
Dividends — Unaffiliated | $ | 619,485 | |
Dividends — Affiliated | 879 | ||
Securities lending income — Affiliated — net. | 700 | ||
Foreign taxes withheld | (51 | ) | |
Total investment income | 621,013 | ||
EXPENSES | |||
Investment advisory fees | 86,010 | ||
Total expenses | 86,010 | ||
Less: | |||
Investment advisory fees waived | (28,670 | ) | |
Total expenses after fees waived | 57,340 | ||
Net investment income | 563,673 | ||
REALIZED AND UNREALIZED GAIN (LOSS) | |||
Net realized gain (loss) from: | |||
Investments — Unaffiliated | (47,296 | ) | |
Investments — Affiliated. | (55 | ) | |
In-kind redemptions — Unaffiliated. | 317,333 | ||
Net realized gain | 269,982 | ||
Net change in unrealized appreciation (depreciation) on: | |||
Investments — Unaffiliated | 4,079,267 | ||
Investments — Affiliated. | 62 | ||
Net change in unrealized appreciation (depreciation) | 4,079,329 | ||
Net realized and unrealized gain | 4,349,311 | ||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 4,912,984 |
See notes to financial statements.
FINANCIAL STATEMENTS | 15 |
Statement of Changes in Net Assets |
BlackRock | ||||||||
U.S. Equity Factor Rotation ETF | ||||||||
Six Months | ||||||||
Ended | Period From | |||||||
01/31/20 | 03/19/19 | (a) | ||||||
(unaudited) | to 07/31/19 | |||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||
OPERATIONS | ||||||||
Net investment income | $ | 563,673 | $ | 131,577 | ||||
Net realized gain (loss) | 269,982 | (63,285 | ) | |||||
Net change in unrealized appreciation (depreciation) | 4,079,329 | 1,244,024 | ||||||
Net increase in net assets resulting from operations | 4,912,984 | 1,312,316 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS(b) | ||||||||
Decrease in net assets resulting from distributions to shareholders | (504,219 | ) | (98,114 | ) | ||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Net increase in net assets derived from capital share transactions | 42,261,728 | 20,000,000 | ||||||
NET ASSETS | ||||||||
Total increase in net assets | 46,670,493 | 21,214,202 | ||||||
Beginning of period | 21,214,202 | — | ||||||
End of period | $ | 67,884,695 | $ | 21,214,202 | ||||
(a) | Commencement of operations. | |||||||
(b) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
See notes to financial statements.
16 | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Financial Highlights |
(For a share outstanding throughout each period) |
BlackRock U.S. Equity Factor Rotation ETF | |||||||
Six Months Ended | Period From | ||||||
01/31/20 | 03/19/19 | (a) | |||||
(unaudited) | to 07/31/19 | ||||||
Net asset value, beginning of period. | $ | 26.52 | $ | 25.00 | |||
Net investment income(b) | 0.27 | 0.16 | |||||
Net realized and unrealized gain(c) | 1.72 | 1.48 | |||||
Net increase from investment operations | 1.99 | 1.64 | |||||
Distributions(d) | |||||||
From net investment income | (0.22 | ) | (0.12 | ) | |||
Total distributions | (0.22 | ) | (0.12 | ) | |||
Net asset value, end of period | $ | 28.29 | $ | 26.52 | |||
Total Return | |||||||
Based on net asset value | 7.54 | %(e) | 6.59 | %(e) | |||
Ratios to Average Net Assets | |||||||
Total expenses | 0.30 | %(f) | 0.30 | %(f) | |||
Total expenses after fees waived | 0.20 | %(f) | 0.20 | %(f) | |||
Net investment income | 1.97 | %(f) | 1.74 | %(f) | |||
Supplemental Data | |||||||
Net assets, end of period (000) | $ | 67,885 | $ | 21,214 | |||
Portfolio turnover rate(g) | 49 | %(e) | 42 | %(e) |
(a) | Commencement of operations. |
(b) | Based on average shares outstanding. |
(c) | The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities. |
(d) | Distributions for annual periods determined in accordance with U.S. federal income tax regulations. |
(e) | Not annualized. |
(f) | Annualized. |
(g) | Portfolio turnover rate excludes in-kind transactions. |
See notes to financial statements.
FINANCIAL HIGHLIGHTS | 17 |
Notes to Financial Statements (unaudited) |
1. ORGANIZATION
BlackRock ETF Trust (the "Trust") is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is organized as a Delaware statutory trust and is authorized to have multiple series or portfolios. The BlackRock U.S. Equity Factor Rotation ETF (the “Fund”), which is a series of the Trust, is classified as non-diversified. These financial statements related only to the Fund.
The Fund, together with certain other registered investment companies advised by BlackRock Fund Advisors (“BFA” or the “Manager”) or its affiliates, is included in a complex of equity, multi-asset, index and money market funds referred to as the BlackRock Multi-Asset Complex.
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are consistently followed by the Fund in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Investment Transactions and Income Recognition: Investment transactions are accounted for on trade date. Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source. Any taxes withheld that are reclaimable from foreign tax authorities are reflected in tax reclaims receivable. Distributions received by the Fund may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be re-designated as a return of capital or capital gain. Non-cash dividends, if any, are recognized on the ex-dividend date and recorded as non-cash dividend income at fair value. Interest income is accrued daily.
Foreign Taxes: The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in its statement of operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “other foreign taxes”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of January 31, 2020, if any, are disclosed in the statement of assets and liabilities.
In-kind Redemptions: For financial reporting purposes, in-kind redemptions are treated as sales of securities resulting in realized capital gains or losses to the Fund. Because such gains or losses are not taxable to the Fund and are not distributed to existing Fund shareholders, the gains or losses are reclassified from accumulated net realized gain (loss) to paid-in capital at the end of the Fund's tax year. These reclassifications have no effect on net assets or net asset value per share.
Distributions: Dividends and distributions paid by the Fund are recorded on the ex-dividend dates. Distributions are determined on a tax basis and may differ from net investment income and net realized capital gains for financial reporting purposes. Dividends and distributions are paid in U.S. dollars and cannot be automatically reinvested in additional shares of the Fund.
Indemnifications: In the normal course of business, the Fund enters into contracts that contain a variety of representations that provide general indemnification. The Fund's maximum exposure under these arrangements is unknown because it involves future potential claims against the Fund, which cannot be predicted with any certainty.
3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
Investment Valuation Policies: The Fund’s investments are valued at fair value (also referred to as “market value” within the financial statements) each day that the Fund’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Fund’s listing exchange is not open. U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. A fund determines the fair value of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of the Trust (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Fair Value Inputs and Methodologies: The following methods and inputs are used to establish the fair value of the Fund’s assets and liabilities:
• Equity investments traded on a recognized securities exchange are valued at that day’s last traded price or official closing price, as applicable, on the exchange where the stock is primarily traded. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last traded price.
• Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published net asset value (“NAV”).
If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of an investment, or in the event that application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, in accordance with policies approved by the Board as reflecting fair value (“Fair Valued Investments”). The fair valuation approaches that may be used by the Global Valuation Committee include market approach, income approach and the cost approach. Valuation techniques used under these approaches take into consideration inputs that include but are not limited to (i) attributes specific to the investment; (ii) the principal market for the investment; (iii) the customary participants in the principal market for the investment; (iv) data assumptions by market participants for the investment, if
18 | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued) |
reasonably available; (v) quoted prices for similar investments in active markets; and (vi) other inputs, such as future cash flows, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and/or default rates.
When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement.
Fair Value Hierarchy: Various inputs are used in determining the fair value of financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:
• Level 1 – Unadjusted price quotations in active markets for identical assets or liabilities;
• Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
• Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, (including the Global Valuation Committee’s assumptions used in determining the fair value of financial instruments).
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgement exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The fair value hierarchy for the Fund’s investments is included in its schedule of investments. The categorization of a value determined for financial instruments is based on the pricing transparency of the financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
4. SECURITIES AND OTHER INVESTMENTS
Securities Lending: The Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, an irrevocable letter of credit issued by an approved bank, or securities issued or guaranteed by the U.S. government. The initial collateral received by the Fund is required to have a value of at least 102% of the current market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund or excess collateral is returned by the Fund, on the next business day. During the term of the loan, the Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
As of January 31, 2020, any securities on loan were collateralized by cash and/or U.S. government obligations. Cash collateral received was invested in money market funds managed by BFA, the Fund's investment adviser, or its affiliates and 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 for the Fund, if any, are also disclosed in its schedule of investments. The market value of any securities on loan as of January 31, 2020 and the value of the related cash collateral are disclosed in the statement of assets and liabilities.
Securities lending transactions are entered into by a fund 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 fund, as lender, would offset the market value of the collateral received against the market value of the securities loaned. The value of the collateral is typically greater than the market value of the securities loaned, leaving the lender 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 fund can reinvest cash collateral received in connection with loaned securities.
NOTES TO FINANCIAL STATEMENTS | 19 |
Notes to Financial Statements (unaudited) (continued) |
The following table is a summary of the securities lending agreements by counterparty which are subject to offset under an MSLA as of January 31, 2020:
Market Value of | Cash Collateral | Non-Cash Collateral | |||||||||||||
BlackRock ETF and Counterparty | Securities on Loan | Received | (a) | Received | Net Amount | ||||||||||
U.S. Equity Factor Rotation | |||||||||||||||
BofA Securities, Inc | $ | 7,040 | $ | 7,040 | $ | — | $ | — | |||||||
Citadel Clearing LLC | 323 | 323 | — | — | |||||||||||
Credit Suisse AG Dublin Branch | 9,507 | 9,507 | — | — | |||||||||||
Credit Suisse Securities (USA) LLC | 113,231 | 113,231 | — | — | |||||||||||
Goldman Sachs & Co | 142,636 | 142,636 | — | — | |||||||||||
HSBC Bank PLC. | 9,031 | 8,327 | — | (704 | ) (b) | ||||||||||
JPMorgan Securities LLC | 33,881 | 33,881 | — | — | |||||||||||
Morgan Stanley & Co. LLC (U.S. Equity Securities Lending) | 3,644 | 3,644 | — | — | |||||||||||
State Street Bank & Trust Company. | 4,652 | 4,652 | — | — | |||||||||||
UBS AG | 29,834 | 29,834 | — | — | |||||||||||
$ | 353,779 | $ | 353,075 | $ | — | $ | (704 | ) |
(a) | Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by the Fund is disclosed in the Fund's statement of assets and liabilities. |
(b) | Additional collateral is delivered to the Fund on the next business day in accordance with the MSLA. The net amount would be subject to the borrower default indemnity in the event of default by a counterparty. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Fund benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned to the extent the collateral received does not cover the value of the securities loaned in the event of borrower default. The Fund could incur a loss if the value of an investment purchased with cash collateral falls below the market value of the loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received. Such losses are borne entirely by the Fund.
5. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES
Investment Advisory Fees: Pursuant to an Investment Advisory Agreement with the Trust, BFA manages the investment of the Fund’s assets. BFA is a California corporation indirectly owned by BlackRock.
Pursuant to the Investment Advisory Agreement between BFA and the Trust (entered into on behalf of the Fund), BFA is responsible for substantially all expenses of the Fund, except the management fees, interest expenses, taxes, expenses incurred with respect to the acquisition and disposition of portfolio securities and the execution of portfolio transactions, including brokerage commissions, distribution fees or expenses, litigation expenses and extraordinary expenses (as determined by a majority of the Trustees who are not “interested persons” of the Trust).
For its investment advisory services to the Fund, BFA is paid a management fee from the Fund, based on a percentage of the Fund’s average daily net assets, at an annual rate as follows:
Average Daily Net Assets | Investment Advisory Fee | ||
First $1 billion | 0.30 | % | |
Over $1 billion, up to and including $3 billion. | 0.28 | ||
Over $3 billion, up to and including $5 billion. | 0.27 | ||
Over $5 billion, up to and including $10 billion | 0.26 | ||
Over $10 billion | 0.25 |
Expense Waivers: BFA has contractually agreed to waive its management fees by the amount of investment advisory fees the Fund pays to BFA indirectly through its investment in money market funds managed by BFA or its affiliates, through November 30, 2020.
BFA has voluntarily agreed to waive its management fee payable by the Fund to limit the annual management fee paid by the Fund to 0.20%. BFA may also from time to time voluntarily waive and/or reimburse fees or expenses in order to limit total annual fund operating expenses (excluding acquired fund fees and expenses, if any). Any such voluntary waiver or reimbursement may be eliminated by BFA at any time.
For the six months ended January 31, 2020, BFA voluntarily waived its investment advisory fee for the Fund in the amount of $28,670.
Distributor: BlackRock Investments, LLC, an affiliate of BFA, is the distributor for the Fund. Pursuant to the distribution agreement, BFA is responsible for any fees or expenses for distribution services provided to the Fund.
Securities Lending: The U.S. Securities and Exchange Commission (the "SEC") has issued an exemptive order which permits BlackRock Institutional Trust Company, N.A. (“BTC”), an affiliate of BFA, to serve as securities lending agent for the Fund, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending. The Fund is responsible for fees in connection with the investment of cash collateral received for securities on loan (the “collateral
20 | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued) |
investment fees”). The cash collateral is invested in a money market fund managed by BFA or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Fund bears to an annual rate of 0.04%. The shares of such money market fund will not be subject to a sales load, distribution fee or service fee. The money market fund in which the cash collateral has been invested may, under certain circumstances, impose a liquidity fee of up to 2% of the value redeemed or temporarily restrict redemptions for up to 10 business days during a 90 day period, in the event that the money market fund’s weekly liquid assets fall below certain thresholds.
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. The Fund retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.
Pursuant to the current securities lending agreement, the Fund retains 75% of securities lending income (which excludes collateral investment fees) and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
In addition, commencing the business day following the date that the aggregate securities lending income plus the collateral investment fees earned across the BlackRock Multi-Asset Complex in a calendar year exceeds a specified threshold, the Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year securities lending income in an amount equal to 80% of securities lending income (which excludes collateral investment fees), and this amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.
Prior to January 1, 2020, the Fund retained 73.5% of securities lending income (which excludes collateral investment fees) and the amount retained was not less than 65% of the total of securities lending income plus the collateral investment fees. In addition, commencing the business day following the date that the aggregate securities lending income plus the collateral investment fees generated across the BlackRock Multi-Asset Complex in a calendar year exceeded a specified threshold, the Fund, pursuant to the securities lending agreement, retained for the remainder of that calendar year 75% of securities lending income (which excludes collateral investment fees), and the amount retained could never be less than 65% of the total of securities lending income plus the collateral investment fees.
The share of securities lending income earned by the Fund is shown as securities lending income – affiliated – net in its statement of operations. For the six months ended January 31, 2020, the Fund paid BTC $188 for securities lending agent services.
Officers and Trustees: Certain officers and/or trustees of the Trust are officers and/or trustees of BlackRock or its affiliates.
The Fund may invest its positive cash balances in certain money market funds managed by BFA or an affiliate. The income earned on these temporary cash investments is shown as dividends – affiliated in the statement of operations.
6. PURCHASES AND SALES
For the six months ended January 31, 2020, purchases and sales of investments, including TBA rolls and excluding in-kind transactions and short-term investments, were as follows:
BlackRock ETF | Purchases | Sales | |||||
U.S. Equity Factor Rotation | $ | 27,636,831 | $ | 27,554,121 |
For the six months ended January 31, 2020, in-kind transactions were as follows:
In-kind | In-kind | ||||||
BlackRock ETF | Purchases | Sales | |||||
U.S. Equity Factor Rotation. | $ | 44,723,809 | $ | 2,668,207 |
7. INCOME TAX INFORMATION
The Fund is treated as an entity separate from the Trust's other funds for federal income tax purposes. It is the policy of the Fund to qualify as a regulated investment company by complying with the provisions applicable to regulated investment companies, as defined under Subchapter M of the Internal Revenue Code of 1986, as amended, and to annually distribute substantially all of its ordinary income and any net capital gains (taking into account any capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income and excise taxes. Accordingly, no provision for federal income taxes is required.
Management has analyzed tax laws and regulations and their application to the Fund as of January 31, 2020 and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund's financial statements.
As of July 31, 2019, the Fund had non-expiring capital loss carryforwards available to offset future realized capital gains of $11,052.
NOTES TO FINANCIAL STATEMENTS | 21 |
Notes to Financial Statements (unaudited) (continued) |
As of January 31, 2020, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:
Net Unrealized | |||||||||||||||
Gross Unrealized | Gross Unrealized | Appreciation | |||||||||||||
BlackRock ETF | Tax Cost | Appreciation | Depreciation | (Depreciation) | |||||||||||
U.S. Equity Factor Rotation | $ | 62,915,039 | $ | 5,961,883 | $ (690,763 | ) | $ | 5,271,120 |
8. PRINCIPAL RISKS
In the normal course of business, the Fund invests in securities or other instruments and may enter into certain transactions, and such activities subject the Fund to various risks, including, among others, fluctuations in the market (market risk) or failure of an issuer to meet all of its obligations. The value of securities or other instruments may also be affected by various factors, including, without limitation: (i) the general economy; (ii) the overall market as well as local, regional or global political and/or social instability; (iii) regulation, taxation or international tax treaties between various countries; or (iv) currency, interest rate or price fluctuations. The Fund’s prospectus provides details of the risks to which the Fund is subject.
Market Risk: Market risk arises mainly from uncertainty about future values of financial instruments influenced by price, currency and interest rate movements. It represents the potential loss a fund may suffer through holding market positions in the face of market movements. A fund is exposed to market risk by its investment in equity, fixed income and/or financial derivative instruments or by its investment in underlying funds. The fair value of securities held by a fund may decline due to general market conditions, economic trends or events that are not specifically related to the issuers of the securities including local, regional or global political, social or economic instability or to factors that affect a particular industry or group of industries. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the Fund and its investments. The extent of a fund’s exposure to market risk is the market value of the investments held as shown in the fund’s schedule of investments.
A recent outbreak of respiratory disease caused by a novel coronavirus was first detected in China in December 2019 and has now been detected internationally. This coronavirus has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of epidemics and pandemics such as the coronavirus, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time. The impact of the outbreak may be short term or may last for an extended period of time.
Credit Risk: Credit risk is the risk that an issuer or guarantor of debt instruments or the counterparty to a financial transaction, including derivatives contracts, repurchase agreements or loans of portfolio securities, is unable or unwilling to make timely interest and/or principal payments or to otherwise honor its obligations. BFA and its affiliates manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose a fund to issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of a fund’s exposure to credit and counterparty risks with respect to those financial assets is approximated by their value recorded in its statement of assets and liabilities.
Concentration Risk: A diversified portfolio, where this is appropriate and consistent with a fund’s objectives, minimizes the risk that a price change of a particular investment will have a material impact on the NAV of a fund. The investment concentrations within the Fund’s portfolio are disclosed in its schedule of investments.
9. CAPITAL SHARE TRANSACTIONS
Capital shares are issued and redeemed by the Fund only in aggregations of a specified number of shares or multiples thereof (“Creation Units”) at NAV. Except when aggregated in Creation Units, shares of the Fund are not redeemable.
Transactions in capital shares were as follows:
Six Months Ended | Year Ended | ||||||||||||||
01/31/20 | 07/31/19 | ||||||||||||||
BlackRock ETF | Shares | Amount | Shares | Amount | |||||||||||
U.S. Equity Factor Rotation | |||||||||||||||
Shares sold | 1,700,000 | $ | 44,936,640 | 800,000 | $ | 20,000,000 | |||||||||
Shares redeemed | (100,000 | ) | (2,674,912 | ) | — | — | |||||||||
Net increase | 1,600,000 | $ | 42,261,728 | 800,000 | $ | 20,000,000 |
The consideration for the purchase of Creation Units of the Fund generally consists of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. The Fund may be offered in Creation Units solely or partially for cash in U.S. dollars. Investors purchasing and redeeming Creation Units may pay a purchase transaction fee and a redemption transaction fee directly to State Street Bank and Trust Company, the Trust's administrator, to offset transfer and other transaction costs associated with the issuance and redemption of Creation Units, including Creation Units for cash. Investors transacting in Creation Units for cash may also pay an additional variable charge to compensate the Fund for certain transaction costs (i.e., stamp taxes, taxes on currency or other financial transactions, and brokerage costs) and market impact expenses relating to investing in portfolio securities. Such variable charges, if any, are included in shares sold in the table above.
22 | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Notes to Financial Statements (unaudited) (continued) |
From time to time, settlement of securities related to in-kind contributions or in-kind redemptions may be delayed. In such cases, securities related to in-kind transactions are reflected as a receivable or a payable in the statement of assets and liabilities.
10. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
NOTES TO FINANCIAL STATEMENTS | 23 |
Statement Regarding Liquidity Risk Management Program |
The Securities and Exchange Commission adopted Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”) to promote effective liquidity risk management throughout the open-end investment company industry, thereby reducing the risk that funds will be unable to meet their redemption obligations and mitigating dilution of the interests of fund shareholders.
The Board of Trustees (the “Board”) of BlackRock ETF Trust, on behalf of BlackRock U.S. Equity Factor Rotation ETF, met on November 12-13, 2019 (the “Meeting”) to review the liquidity risk management program (the “Program”) applicable to the BlackRock open-end funds, excluding money market funds (each, a “Fund”), pursuant to the Liquidity Rule. The Board has appointed BlackRock Advisors, LLC or BlackRock Fund Advisors (“BlackRock”), each an investment adviser to certain Funds, as the program administrator for each Fund’s Program, as applicable. BlackRock has delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the “Committee”). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the operation of each Fund’s Highly Liquid Investment Minimum (“HLIM”) where applicable, and any material changes to the Program (the “Report”). The Report covered the period from December 1, 2018 through September 30, 2019 (the “Program Reporting Period”).
The Report described the Program’s liquidity classification methodology for categorizing a Fund’s investments (including derivative transactions) into one of four liquidity buckets. It also described BlackRock’s methodology in establishing a Fund’s HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually.
The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing a Fund’s liquidity risk, as follows:
a) The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed whether each Fund’s strategy is appropriate for an open-end fund structure with a focus on Funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a Fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Where a Fund participated in borrowings for investment purposes (such as tender option bonds and reverse repurchase agreements), such borrowings were factored into the Program’s calculation of a Fund’s liquidity bucketing. Derivative exposure was also considered in such calculation.
b) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish each ETF’s reasonably anticipated trading size (“RATS”). The Committee may also take into consideration a Fund’s shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a Fund’s distribution channels, and the degree of certainty associated with a Fund’s short-term and long-term cash flow projections.
c) Holdings of cash and cash equivalents, as well as borrowing arrangements. The Committee considered that ETFs that redeem in-kind generally do not hold more than de minimus amounts of cash, and that ETFs generally do not borrow.
d) The relationship between an ETF’s portfolio liquidity and the way in which, and the prices and spreads at which, ETF shares trade, including the efficiency of the arbitrage function and the level of active participation by market participants, including authorized participants. The Committee monitored the prevailing bid/ask spread and the ETF price premium (or discount) to NAV for all ETFs and reviewed any persistent deviations from long-term averages.
e) The effect of the composition of baskets on the overall liquidity of an ETF’s portfolio. An ETF does not utilize custom baskets. Therefore, the composition of baskets will not have an effect on the overall liquidity of an ETF’s portfolio.
There were no material changes to the Program during the Program Reporting Period. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.
24 | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Supplemental Information (unaudited) |
Section 19(a) Notices
The amounts and sources of distributions reported are estimates and are being provided pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon the Fund's investment experience during the year and may be subject to changes based on tax regulations. Shareholders will receive a Form 1099-DIV each calendar year that will inform them how to report these distributions for federal income tax purposes.
Total Cumulative Distributions for the Fiscal Year-to-Date | % Breakdown of the Total Cumulative Distributions for the Fiscal Year-to-Date | |||||||||||||||||||||||||||
Net | Net | |||||||||||||||||||||||||||
Investment | Net Realized | Return of | Total Per | Investment | Net Realized | Return of | Total Per | |||||||||||||||||||||
BlackRock ETF | Income | Capital Gains | Capital | Share | Income | Capital Gains | Capital | Share | ||||||||||||||||||||
U.S. Equity Factor Rotation(a) | $ | 0.191188 | $ | — | $ | 0.031053 | $ | 0.222241 | 86 | % | —% | 14 | % | 100 | % |
(a) | The Fund estimates that it has distributed more than its net investment income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder's investment in the Fund is returned to the shareholder. A return of capital does not necessarily reflect the Fund's investment performance and should not be confused with "yield" or "income". When distributions exceed total return performance, the difference will incrementally reduce the Fund's net asset value per share. |
SUPPLEMENTAL INFORMATION | 25 |
Trustee and Officer Information |
Mark Stalnecker, Chair of the Board and Trustee
Bruce R. Bond, Trustee
Susan J. Carter, Trustee
Collette Chilton, Trustee
Neil A. Cotty, Trustee
Lena G. Goldberg, Trustee
Henry R. Keizer, Trustee
Cynthia A. Montgomery, Trustee
Donald C. Opatrny, Trustee
Joseph P. Platt, Trustee
Kenneth L. Urish, Trustee
Claire A. Walton, Trustee
Robert Fairbairn, Trustee
John M. Perlowski, Trustee, President and Chief Executive Officer
Jennifer McGovern, Vice President
Neal J. Andrews, Chief Financial Officer
Jay M. Fife, Treasurer
Charles Park, Chief Compliance Officer
Lisa Belle, Anti-Money Laundering Compliance Officer
Janey Ahn, Secretary
Effective September 19, 2019, Lisa Belle replaced John MacKessy as the Anti-Money Laundering Compliance Officer of the Trust. |
Effective September 19, 2019, Janey Ahn replaced Benjamin Archibald as the Secretary of the Trust. |
Effective December 31, 2019, Robert M. Hernandez retired as Trustee of the Trust. |
Investment Adviser | Independent Registered Public Accounting Firm |
BlackRock Fund Advisors | PricewaterhouseCoopers LLP |
San Francisco, CA 94105 | Philadelphia, Pennsylvania 19103 |
Administrator, Custodian and Transfer Agent | Legal Counsel |
State Street Bank and Trust Company | Sidley Austin LLP |
Boston, MA, 02111 | New York, NY 10019 |
Distributor | Address of the Trust |
BlackRock Investments, LLC | 100 Bellevue Parkway |
New York, NY 10022 | Wilmington, DE 19809 |
26 | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
General Information
Householding
The Fund will mail only one copy of shareholder documents, including prospectuses, annual and semi-annual reports and proxy statements, to shareholders with multiple accounts at the same address. This practice is commonly called “householding” and is intended to reduce expenses and eliminate duplicate mailings of shareholder documents. Mailings of your shareholder documents may be householded indefinitely unless you instruct us otherwise. If you do not want the mailing of these documents to be combined with those for other members of your household, please call the Funds at (800) 441-7762.
Availability of Quarterly Schedule of Investments
The Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, and for reporting periods ended prior to March 31, 2019, filed such information on Form N-Q. The Fund’s Forms N-PORT and N-Q are available on the SEC’s website at sec.gov. The Fund’s Forms N-PORT and N-Q may also be obtained upon request and without charge by calling (800) 441-7762.
Availability of Proxy Voting Policies and Procedures
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available upon request and without charge (1) by calling (800) 441-7762; (2) at blackrock.com; and (3) on the SEC’s website at sec.gov.
Availability of Proxy Voting Record
Information about how the Funds voted proxies relating to securities held in the Funds’ portfolios during the most recent 12-month period ended June 30 is available upon request and without charge (1) at blackrock.com; or by calling (800) 441-7762 and (2) on the SEC’s website at sec.gov.
BlackRock’s Mutual Fund Family
BlackRock offers a diverse lineup of open-end mutual funds crossing all investment styles and managed by experts in equity, fixed-income and tax-exempt investing. Visit blackrock.com for more information.
BlackRock Privacy Principles
BlackRock is committed to maintaining the privacy of its current and former fund investors and individual clients (collectively, “Clients”) and to safeguarding their non-public personal information. The following information is provided to help you understand what personal information BlackRock collects, how we protect that information and why in certain cases we share such information with select parties.
If you are located in a jurisdiction where specific laws, rules or regulations require BlackRock to provide you with additional or different privacy-related rights beyond what is set forth below, then BlackRock will comply with those specific laws, rules or regulations.
BlackRock obtains or verifies personal non-public information from and about you from different sources, including the following: (i) information we receive from you or, if applicable, your financial intermediary, on applications, forms or other documents; (ii) information about your transactions with us, our affiliates, or others; (iii) information we receive from a consumer reporting agency; and (iv) from visits to our websites.
BlackRock does not sell or disclose to non-affiliated third parties any non-public personal information about its Clients, except as permitted by law or as is necessary to respond to regulatory requests or to service Client accounts. These non-affiliated third parties are required to protect the confidentiality and security of this information and to use it only for its intended purpose.
We may share information with our affiliates to service your account or to provide you with information about other BlackRock products or services that may be of interest to you. In addition, BlackRock restricts access to non-public personal information about its Clients to those BlackRock employees with a legitimate business need for the information. BlackRock maintains physical, electronic and procedural safeguards that are designed to protect the non-public personal information of its Clients, including procedures relating to the proper storage and disposal of such information.
ADDITIONAL INFORMATION | 27 |
28 | 2020 BLACKROCK SEMI-ANNUAL REPORT TO SHAREHOLDERS |
Want to know more?
blackrock.com | 877-275-1255 (1-877-ASK-1BLK)
This report is intended for current holders. It is not authorized for use as an offer of sale or a solicitation of an offer to buy shares of the Fund unless preceded or accompanied by the Fund’s current prospectus. Past performance results shown in this report should not be considered a representation of future performance. Investment returns and principal value of shares will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Statements and other information herein are as dated and are subject to change.
USEFR-1/20-SAR
Item 2 – Code of Ethics – Not Applicable to this semi-annual report
Item 3 – Audit Committee Financial Expert – Not Applicable to this semi-annual report
Item 4 – Principal Accountant Fees and Services – Not Applicable to this semi-annual report
Item 5 – Audit Committee of Listed Registrants – Not Applicable
Item 6 – Investments
(a)The registrant's Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this Form.
(b)Not Applicable due to no such divestments during the semi-annual period covered since the previous Form N-CSR filing.
Item 7 – Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies – Not Applicable
Item 8 – Portfolio Managers of Closed-End Management Investment Companies – Not Applicable
Item 9 – Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers – Not Applicable
Item 10 – Submission of Matters to a Vote of Security Holders –There have been no material changes to these procedures.
Item 11 – Controls and Procedures
(a)The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a- 3(c) under the Investment Company Act of 1940, as amended (the "1940 Act")) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b)There were no changes in the registrant's internal control over financial reporting (as defined in Rule
30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.
Item 12 – Disclosure of Securities Lending Activities for Closed-End Management Investment Companies – Not Applicable
Item 13 – Exhibits attached hereto
(a)(1) – Code of Ethics – Not Applicable to this semi-annual report
(a)(2) – Section 302 Certifications are attached
(a)(3) – Not Applicable
2
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
BlackRock ETF Trust
By: /s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock ETF Trust
Date: April 3, 2020
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ John M. Perlowski
John M. Perlowski
Chief Executive Officer (principal executive officer) of
BlackRock ETF Trust
Date: April 3, 2020
By: /s/ Neal J. Andrews
Neal J. Andrews
Chief Financial Officer (principal financial officer) of
BlackRock ETF Trust
Date: April 3, 2020
4