The Markets in Review

Dear Shareholder,

The 12-month reporting period as of October 31, 2021 was a remarkable period of adaptation and recovery, as the global economy dealt with the implications of the coronavirus (or “COVID-19”) pandemic. The United States began the reporting period as the initial reopening-led economic rebound was beginning to slow. Nonetheless, the economy continued to grow at a solid pace for the reporting period, eventually regaining the output lost from the pandemic. However, a rapid rebound in consumer spending pushed up against supply constraints and led to elevated inflation.

Equity prices rose with the broader economy, as the implementation of mass vaccination campaigns and passage of two additional fiscal stimulus packages further boosted stocks, and many equity indices neared or surpassed all-time highs late in the reporting period. In the United States, returns of small-capitalization stocks, which benefited the most from the resumption of in-person activities, outpaced large-capitalization stocks. International equities also gained, as both developed and emerging markets continued to recover from the effects of the pandemic.

The 10-year U.S. Treasury yield (which is inversely related to bond prices) had fallen sharply prior to the beginning of the reporting period, which meant bonds were priced for extreme risk avoidance and economic disruption. Despite expectations of doom and gloom, the economy expanded rapidly, stoking inflation concerns in early 2021, which led to higher yields and a negative overall return for most U.S. Treasuries. In the corporate bond market, support from the U.S. Federal Reserve (the “Fed”) assuaged credit concerns and led to solid returns for high-yield corporate bonds, outpacing investment-grade corporate bonds.

The Fed remained committed to accommodative monetary policy by maintaining near-zero interest rates and by reiterating that inflation could exceed its 2% target for a sustained period without triggering a rate increase. In response to rising inflation late in the period, the Fed changed its market guidance, raising the possibility of higher rates in 2022 and reducing bond purchasing beginning in late 2021.

Looking ahead, we believe that the global expansion will continue to broaden as Europe and other developed market economies gain momentum, although the Delta variant of the coronavirus remains a threat, particularly in emerging markets. While we expect inflation to remain elevated in the medium-term as the expansion continues, we believe the recent uptick owes more to temporary supply disruptions than a lasting change in fundamentals. The change in Fed policy also means that moderate inflation is less likely to be followed by interest rate hikes that could threaten the economic expansion.

Overall, we favor a moderately positive stance toward risk, with an overweight in equities. Sectors that are better poised to manage the transition to a lower-carbon world, such as technology and health care, are particularly attractive in the long-term. U.S. small-capitalization stocks and European equities are likely to benefit from the continuing vaccine-led restart, while Chinese equities stand to gain from a more accommodative monetary and fiscal environment as the Chinese economy slows. We are underweight long-term credit, but inflation-protected U.S. Treasuries, Asian fixed income, and emerging market local-currency bonds offer potential opportunities. We believe that international diversification and a focus on sustainability can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments.

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

Sincerely,

LOGO

Rob Kapito

President, BlackRock, Inc.

LOGO

Rob Kapito

President, BlackRock, Inc.


Total Returns as of October 31, 2021

	6-Month	12-Month

U.S. large cap equities (S&P 500^® Index)	10.91%	42.91%

U.S. small cap equities (Russell 2000^® Index)	1.85	50.80

International equities (MSCI Europe, Australasia, Far East Index)	4.14	34.18

Emerging market equities (MSCI Emerging Markets Index)	(4.87)	16.96

3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index)	0.01	0.06

U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index)	1.59	(4.77)

U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index)	1.06	(0.48)

Tax-exempt municipal bonds (S&P Municipal Bond Index)	0.33	2.76

U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index)	2.36	10.53

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

The U.S. bond market declined slightly for the 12 months ended October 31, 2021 (“reporting period”). The Bloomberg U.S. Aggregate Bond Index, a broad measure of U.S. fixed-income performance, returned -0.48%.

The U.S. economy continued to recover from the effects of the coronavirus pandemic, growing at a brisk pace during the reporting period. Driven by strong consumer spending and significant fiscal and monetary stimulus, U.S. growth outpaced most other developed economies. An ongoing COVID-19 vaccination program helped accelerate the easing of pandemic-related restrictions, and consumers returned to activities that were previously curtailed, such as travel, restaurant dining, and in-person shopping. Spending on goods also remained elevated, leading imports to rise to an all-time high.

However, this robust consumer demand combined with continued pandemic-related disruptions to the global supply chain led to significantly higher inflation. Similarly, in the labor market, the reopening economy and pent-up demand meant that hiring accelerated, and the unemployment rate fell substantially. Nonetheless, total employment remained notably below pre-pandemic levels and job openings reached a record high despite rising wages. Elevated demand drove an increase in industrial production, although rising commodities prices and supply delays constrained growth, particularly late in the reporting period. The emergence of the highly contagious Delta variant, which was responsible for a significant rise in cases beginning late in summer 2021, also weighed on the economy.

The U.S. Federal Reserve Bank (“Fed”) continued to keep short-term interest rates at near-zero levels and maintained a significant bond-buying program for U.S. Treasuries and mortgage-backed securities, although it discontinued its corporate bond purchasing program. The Fed indicated that it would begin slowing its bond buying activities late in 2021 and signaled that an interest rate increase could be possible in 2022. However, the improving employment environment and a sharp rise in inflation led investors to anticipate a more accelerated tightening of monetary policy. Trading activity showed that investors view multiple interest rate increases as probable in 2022.

U.S. Treasuries declined, as inflation increased, and investors moved toward equities and lower-rated bonds. Rising domestic inflation expectations pressured U.S. Treasuries, which typically lose value in an inflationary environment. U.S. Treasury yields (which move inversely to prices) began the reporting period near historic lows, but generally rose as inflation increased and the economy continued to strengthen. Yields of U.S. Treasuries with intermediate- and long-term maturities, which are more sensitive to inflation, generally increased more than short-term U.S. Treasuries. However, long-term U.S. Treasury yields rose less than intermediate-term U.S. Treasury yields, with two-year, 10-year, and 30-year U.S. Treasury yields rising by 0.34%, 0.67%, and 0.28%, respectively.

Mortgage-backed securities (“MBS”) declined slightly, despite ongoing support from Fed bond purchasing. MBS performance was constrained by prepayments, as homeowners took advantage of low mortgage rates to refinance their mortgages at a lower interest rate.

On the upside, most corporate bonds advanced for the reporting period, particularly lower-rated corporate bonds. A narrowing yield spread (the difference between yields on corporate bonds and U.S. Treasuries) buoyed the performance of corporate bonds compared to U.S. Treasuries. Investors’ ongoing search for yield in a low interest rate environment drove the decline in the yield spread and supported corporate bond prices. High-yield bonds gained the most, as investors’ concerns about solvency abated alongside the growing economy, and the Fed’s support led to high investor confidence. Corporate bond issuance was elevated by historical standards as companies took advantage of low yields to refinance and lock in advantageous borrowing costs.

The iShares U.S. Fixed Income Balanced Risk Factor ETF (the “Fund”) seeks to track the investment results of an index, composed of taxable U.S. dollar-denominated bonds and U.S. Treasury futures, which targets an equal allocation between interest rate and credit spread risk, as represented by the Bloomberg U.S. Fixed Income Balanced Risk Index (the “Index”) (formerly Bloomberg Barclays U.S. Fixed Income Balanced Risk Index). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

The inception date of the Fund was 2/24/15. The first day of secondary market trading was 2/26/15.

Index performance through February 4, 2018 reflects the performance of the Bloomberg Barclays U.S. Aggregate Bond Index. Index performance beginning on February 5, 2018 reflects the performance of the Bloomberg U.S. Fixed Income Balanced Risk Index.

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 7 for more information.

U.S. dollar-denominated bonds advanced slightly for the reporting period. The Index uses a combination of corporate bonds, asset-backed securities, and U.S. Treasury futures to target an equal allocation between interest rate and credit spread risk.

Corporate bonds contributed the most to the Index’s return amid a narrowing of yield spreads (the difference between yields of corporate bonds and U.S. Treasuries). From a sector perspective, bonds issued by energy companies were the top contributors to the Index’s return, helped by rising prices for energy commodities. The prices of oil, natural gas, and coal all rose substantially during the reporting period as the global economic rebound led to higher demand for energy. At the beginning of the coronavirus pandemic, oil prices declined rapidly and investment in new projects decreased significantly. As oil prices increased during the reporting period, energy companies issued debt, primarily to refinance existing debt at lower borrowing costs.

Financial company bonds also contributed to the Index’s return, including bonds issued by both non-bank financial firms and banks. Bonds issued by non-bank financial companies, which included aircraft leasing companies, benefited from the improving financial environment of their lessees. Meanwhile, banks were relatively financially healthy during the pandemic, supported by strong balance sheets and diverse revenue streams. Consumer cyclicals company bonds advanced as automotive company debt gained despite production cuts due to a semiconductor shortage.

On the downside, mortgage-backed securities (“MBS”) detracted slightly from the Index’s return despite ongoing support from Fed bond purchasing. MBS performance was pressured by prepayments, as homeowners took advantage of low mortgage rates to refinance their mortgages at a lower interest rate. U.S. Treasuries also declined as inflation increased and investors moved toward equities and lower-rated bonds.

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

Net asset value or “NAV” is the value of one share of a fund as calculated in accordance with the standard formula for valuing mutual fund shares. Beginning August 10, 2020, the price used to calculate market return (“Market Price”) is the closing price. Prior to August 10, 2020, Market Price was determined 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.

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

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 and other fees 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.


Security	Par (000)		Value

Corporate Bonds & Notes

Advertising — 0.1%
Interpublic Group of Companies Inc. (The), 2.40%, 03/01/31 (Call 12/01/30)^(a)	$	100	$	100,205
Omnicom Group Inc., 2.60%, 08/01/31 (Call 05/01/31)		10		10,075
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.00%, 08/15/27 (Call 08/15/22)^(b)		25		25,492


				135,772

Aerospace & Defense — 1.0%
Boeing Co. (The) 2.20%, 02/04/26 (Call 02/04/23)		100		100,243
4.51%, 05/01/23 (Call 04/01/23)		125		131,062
4.88%, 05/01/25 (Call 04/01/25)^(a)		70		77,307
Bombardier Inc., 7.88%, 04/15/27 (Call 04/15/22)^(a)(b)		75		77,998
General Dynamics Corp., 1.15%, 06/01/26 (Call 05/01/26)		120		119,682
Howmet Aerospace Inc. 5.13%, 10/01/24 (Call 07/01/24)		100		110,116
5.90%, 02/01/27		100		114,518
Raytheon Technologies Corp., 6.70%, 08/01/28		50		64,497
TransDigm Inc. 5.50%, 11/15/27 (Call 11/15/22)		175		179,427
6.25%, 03/15/26 (Call 03/15/22)^(b)		100		104,454
6.38%, 06/15/26 (Call 11/29/21)		50		51,731
7.50%, 03/15/27 (Call 03/15/22)		50		52,523


				1,183,558

Agriculture — 0.6%
Altria Group Inc., 4.40%, 02/14/26 (Call 12/14/25)		155		171,948
BAT Capital Corp., 2.26%, 03/25/28 (Call 01/25/28)		40		39,215
Bunge Ltd. Finance Corp., 1.63%, 08/17/25 (Call 07/17/25)		40		40,150
Philip Morris International Inc., 2.88%, 05/01/24 (Call 04/01/24)		206		215,674
Turning Point Brands Inc., 5.63%, 02/15/26 (Call 02/15/23)^(b)		200		204,170


				671,157

Airlines — 0.0%
United Airlines Holdings Inc., 5.00%, 02/01/24		50		51,940


Apparel — 0.5%
Crocs Inc., 4.25%, 03/15/29 (Call 03/15/24)^(b)		150		152,446
NIKE Inc., 2.85%, 03/27/30 (Call 12/27/29)		240		257,045
VF Corp., 2.05%, 04/23/22		200		201,504


				610,995

Auto Manufacturers — 1.1%
American Honda Finance Corp., 1.20%, 07/08/25		150		149,629
Ford Motor Co. 4.35%, 12/08/26 (Call 09/08/26)		120		128,380
9.00%, 04/22/25 (Call 03/22/25)		20		24,052
9.63%, 04/22/30 (Call 01/22/30)		5		7,203
Ford Motor Credit Co. LLC, 3.66%, 09/08/24		259		268,700
General Motors Co., 5.40%, 10/02/23		25		27,065
General Motors Financial Co. Inc. 2.35%, 01/08/31 (Call 10/08/30)		70		67,897
2.40%, 10/15/28 (Call 08/15/28)		30		29,803
3.45%, 04/10/22 (Call 02/10/22)		120		120,977
3.55%, 07/08/22		200		204,054
4.20%, 11/06/21		240		240,094


				1,267,854

Auto Parts & Equipment — 0.3%
Aptiv Corp., 4.15%, 03/15/24 (Call 12/15/23)		115		122,728


Security	Par (000)		Value

Auto Parts & Equipment (continued)
Clarios Global LP/Clarios US Finance Co. 6.25%, 05/15/26 (Call 05/15/22)^(b)	$	58	$	60,685
8.50%, 05/15/27 (Call 05/15/22)^(b)		35		37,198
Lear Corp., 3.80%, 09/15/27 (Call 06/15/27)		80		87,356


				307,967

Banks — 12.2%
Banco Santander SA 0.70%, 06/30/24 (Call 06/30/23)^(c)		200		199,376
1.85%, 03/25/26		210		210,300
Bank of America Corp. 0.52%, 06/14/24 (Call 06/14/23)^(c)		210		209,015
0.81%, 10/24/24 (Call 10/24/23), (SOFR + 0.740%)^(c)		200		199,666
0.98%, 04/22/25 (Call 04/22/24), (SOFR + 0.690%)^(c)		230		229,032
0.98%, 09/25/25 (Call 09/25/24), (SOFR + 0.910%)^(c)		70		69,539
1.32%, 06/19/26 (Call 06/19/25), (SOFR + 1.150%)^(c)		100		99,197
2.50%, 02/13/31 (Call 02/13/30), (3 mo. LIBOR US + 0.990%)^(c)		75		75,247
2.57%, 10/20/32 (Call 10/20/31)^(c)		10		10,022
2.82%, 07/21/23 (Call 07/21/22), (3 mo. LIBOR US + 0.930%)^(c)		450		457,024
3.00%, 12/20/23 (Call 12/20/22), (3 mo. LIBOR US + 0.790%)^(c)		326		334,378
3.56%, 04/23/27 (Call 04/23/26), (3 mo. LIBOR US + 1.060%)^(c)		150		161,165
4.25%, 10/22/26		120		132,804
Series N, 2.65%, 03/11/32 (Call 03/11/31), (SOFR + 1.220%)^(c)		100		101,042
Bank of Montreal 0.63%, 07/09/24		110		108,943
1.25%, 09/15/26		60		58,871
Bank of New York Mellon Corp. (The), 0.50%, 04/26/24 (Call 03/26/24)		105		104,239
Bank of Nova Scotia (The) 0.65%, 07/31/24		115		113,943
1.05%, 03/02/26		230		225,244
Barclays PLC, 4.84%, 05/09/28 (Call 05/07/27)		200		222,814
Canadian Imperial Bank of Commerce 0.45%, 06/22/23		120		119,570
2.25%, 01/28/25		170		175,243
Citigroup Inc. 0.78%, 10/30/24 (Call 10/30/23), (SOFR + 0.686%)^(c)		530		528,585
0.98%, 05/01/25 (Call 05/01/24), (SOFR + 0.669%)^(c)		90		89,613
1.46%, 06/09/27 (Call 06/09/26)^(c)		290		285,534
3.14%, 01/24/23 (Call 01/24/22), (3 mo. LIBOR US + 0.722%)^(c)		200		201,152
3.35%, 04/24/25 (Call 04/24/24), (3 mo. LIBOR US + 0.897%)^(c)		365		384,429
3.98%, 03/20/30 (Call 03/20/29), (3 mo. LIBOR US + 1.338%)^(c)		50		55,534
4.60%, 03/09/26		100		111,525
Credit Suisse AG/New York NY, 0.52%, 08/09/23		250		249,380
Deutsche Bank AG, 4.30%, 05/24/28 (Call 05/24/23), (5 year USD Swap + 2.248%)^(c)		200		207,294
Fifth Third Bancorp., 1.71%, 11/01/27		60		59,852
First Republic Bank/CA, 1.91%, 02/12/24 (Call 02/12/23), (SOFR + 0.620%)^(c)		250		253,745
Goldman Sachs Group Inc. (The) 0.86%, 02/12/26 (Call 02/12/25), (SOFR + 0.609%)^(c)		105		103,027
1.43%, 03/09/27 (Call 03/09/26), (SOFR + 0.798%)^(c)		350		344,480
2.38%, 07/21/32 (Call 07/21/31), (SOFR + 1.248%)^(c)		175		172,030


Security	Par (000)		Value

Banks (continued)
2.60%, 02/07/30 (Call 11/07/29)	$	90	$	91,458
2.62%, 04/22/32 (Call 04/22/31), (SOFR + 1.281%)^(c)		95		95,270
3.27%, 09/29/25 (Call 09/29/24), (3 mo. LIBOR US + 1.201%)^(c)		165		174,040
3.50%, 01/23/25 (Call 10/23/24)		335		355,984
3.75%, 02/25/26 (Call 11/25/25)		194		210,189
3.85%, 01/26/27 (Call 01/26/26)		120		129,916
HSBC Holdings PLC 3.95%, 05/18/24 (Call 05/18/23), (3 mo. LIBOR US + 0.987%)^(c)		200		209,394
4.25%, 03/14/24		200		213,052
JPMorgan Chase & Co. 0.97%, 06/23/25 (Call 06/23/24)^(c)		120		119,324
1.05%, 11/19/26 (Call 11/19/25), (SOFR + 0.800%)^(c)		315		307,232
1.58%, 04/22/27 (Call 04/22/26), (SOFR + 0.885%)^(c)		117		115,927
2.95%, 10/01/26 (Call 07/01/26)		200		211,594
2.96%, 05/13/31 (Call 05/13/30), (SOFR + 2.515%)^(c)		300		309,906
3.13%, 01/23/25 (Call 10/23/24)		40		42,200
3.22%, 03/01/25 (Call 03/01/24), (3 mo. LIBOR US + 1.155%)^(c)		132		138,358
3.56%, 04/23/24 (Call 04/23/23), (3 mo. LIBOR US + 0.730%)^(c)		120		124,931
3.88%, 09/10/24		200		215,034
4.02%, 12/05/24 (Call 12/05/23), (3 mo. LIBOR US + 1.000%)^(c)		40		42,524
Lloyds Banking Group PLC, 0.70%, 05/11/24 (Call 05/11/23), (1 year CMT + 0.550%)^(c)		200		199,800
Mitsubishi UFJ Financial Group Inc. 0.95%, 07/19/25 (Call 07/19/24)^(c)		260		258,378
1.64%, 10/13/27 (Call 10/13/26)^(c)		360		356,310
Mizuho Financial Group Inc. 1.24%, 07/10/24 (Call 07/10/23), (SOFR + 1.252%)^(c)		280		281,926
2.84%, 07/16/25 (Call 07/16/24), (SOFR + 1.242%)^(c)		200		208,356
Morgan Stanley 0.53%, 01/25/24 (Call 01/25/23), (SOFR + 0.455%)^(c)		245		244,436
1.59%, 05/04/27 (Call 05/04/26), (SOFR + 0.879%)^(c)		170		168,397
2.19%, 04/28/26 (Call 04/28/25), (SOFR + 1.990%)^(c)		110		112,598
2.24%, 07/21/32 (Call 07/21/31), (SOFR + 1.178%)^(c)		380		370,998
3.13%, 07/27/26		85		90,285
3.62%, 04/01/31 (Call 04/01/30), (SOFR + 3.120%)^(c)		290		316,541
3.74%, 04/24/24 (Call 04/24/23), (3 mo. LIBOR US + 0.847%)^(c)		55		57,361
3.88%, 01/27/26		200		218,310
Series I, 0.86%, 10/21/25 (Call 10/21/24), (SOFR + 0.745%)^(c)		195		192,943
Royal Bank of Canada 0.75%, 10/07/24		70		69,378
1.20%, 04/27/26		75		73,918
Santander Holdings USA Inc., 3.45%, 06/02/25 (Call 05/02/25)		70		74,292
Santander UK Group Holdings PLC, 1.09%, 03/15/25 (Call 03/15/24), (SOFR + 0.787%)^(c)		330		328,419
Sumitomo Mitsui Financial Group Inc., 1.47%, 07/08/25		300		299,844
SVB Financial Group, 1.80%, 02/02/31 (Call 11/02/30)		95		90,811
Toronto-Dominion Bank (The), 0.30%, 06/02/23		250		249,075


				14,031,563

Biotechnology — 0.0%
Gilead Sciences Inc., 0.75%, 09/29/23 (Call 11/09/21)		45		44,946


Security	Par (000)		Value

Building Materials — 0.8%
Builders FirstSource Inc. 4.25%, 02/01/32 (Call 08/01/26)^(b)	$	175	$	176,566
5.00%, 03/01/30 (Call 03/01/25)^(b)		20		21,216
6.75%, 06/01/27 (Call 06/01/22)^(b)		80		84,563
Carrier Global Corp., 2.24%, 02/15/25 (Call 01/15/25)		35		35,922
Forterra Finance LLC/FRTA Finance Corp., 6.50%, 07/15/25 (Call 07/15/22)^(b)		200		213,090
Louisiana-Pacific Corp., 3.63%, 03/15/29 (Call 03/15/24)^(b)		300		301,914
Martin Marietta Materials Inc. 0.65%, 07/15/23 (Call 07/15/22)		55		54,989
2.40%, 07/15/31 (Call 04/15/31)		45		44,931


				933,191

Chemicals — 0.7%
Celanese U.S. Holdings LLC, 1.40%, 08/05/26 (Call 07/05/26)		70		68,769
Chemours Co. (The), 5.38%, 05/15/27 (Call 02/15/27)^(a)		25		26,532
Minerals Technologies Inc., 5.00%, 07/01/28 (Call 07/01/23)^(b)		200		206,266
Sherwin-Williams Co. (The) 2.75%, 06/01/22 (Call 05/01/22)		2		2,022
2.95%, 08/15/29 (Call 05/15/29)		115		121,630
3.13%, 06/01/24 (Call 04/01/24)		100		105,210
3.45%, 06/01/27 (Call 03/01/27)		140		151,754
Valvoline Inc., 4.25%, 02/15/30 (Call 02/15/25)^(b)		100		101,501


				783,684

Commercial Services — 2.0%
Automatic Data Processing Inc., 1.70%, 05/15/28 (Call 03/15/28)		40		39,823
Block Financial LLC, 2.50%, 07/15/28 (Call 05/15/28)		70		69,743
Carriage Services Inc., 4.25%, 05/15/29 (Call 05/15/24)^(b)		150		150,246
Cintas Corp. No. 2, 3.70%, 04/01/27 (Call 01/01/27)		14		15,421
Equifax Inc., 2.35%, 09/15/31 (Call 06/15/31)		40		39,231
Gartner Inc. 3.75%, 10/01/30 (Call 10/01/25)^(b)		200		203,862
4.50%, 07/01/28 (Call 07/01/23)^(b)		200		208,446
Global Payments Inc., 4.00%, 06/01/23 (Call 05/01/23)		40		41,951
MoneyGram International Inc., 5.38%, 08/01/26 (Call 08/01/23)^(b)		100		100,494
PayPal Holdings Inc. 2.40%, 10/01/24 (Call 09/01/24)		320		332,925
2.65%, 10/01/26 (Call 08/01/26)		140		147,790
Prime Security Services Borrower LLC/Prime Finance Inc. 5.75%, 04/15/26^(b)		100		106,947
6.25%, 01/15/28 (Call 01/15/23)^(a)(b)		55		56,385
Quanta Services Inc. 0.95%, 10/01/24 (Call 10/01/22)		80		79,365
2.35%, 01/15/32 (Call 10/15/31)		50		49,044
Rent-A-Center Inc./TX, 6.38%, 02/15/29 (Call 02/15/24)^(a)(b)		100		105,207
S&P Global Inc., 2.95%, 01/22/27 (Call 10/22/26)		105		111,823
Service Corp. International/U.S., 5.13%, 06/01/29 (Call 06/01/24)		40		43,224
United Rentals North America Inc., 4.88%, 01/15/28 (Call 01/15/23)		100		105,600
Verisk Analytics Inc., 4.00%, 06/15/25 (Call 03/15/25)		208		226,655
Verscend Escrow Corp., 9.75%, 08/15/26 (Call 11/29/21)^(b)		15		15,893


				2,250,075

Computers — 0.7%
Apple Inc., 1.40%, 08/05/28 (Call 06/05/28)		50		48,738
Booz Allen Hamilton Inc., 3.88%, 09/01/28 (Call 09/01/23)^(b)		15		15,221


Security	Par (000)		Value

Computers (continued)
Crowdstrike Holdings Inc., 3.00%, 02/15/29 (Call 02/15/24)	$	150	$	148,243
Dell International LLC/EMC Corp., 6.20%, 07/15/30 (Call 04/15/30)		180		229,574
HP Inc., 1.45%, 06/17/26 (Call 05/17/26)^(b)		200		197,278
Kyndryl Holdings Inc. 2.05%, 10/15/26 (Call 09/15/26)^(b)		10		9,897
2.70%, 10/15/28 (Call 08/15/28)^(b)		10		9,853
3.15%, 10/15/31 (Call 07/15/31)^(b)		10		9,799
NetApp Inc., 1.88%, 06/22/25 (Call 05/22/25)		30		30,492
Western Digital Corp., 4.75%, 02/15/26 (Call 11/15/25)^(a)		50		54,933


				754,028

Diversified Financial Services — 2.3%
Air Lease Corp., 3.38%, 07/01/25 (Call 06/01/25)		105		110,626
Ally Financial Inc., 1.45%, 10/02/23 (Call 09/02/23)		190		191,831
Brookfield Finance I UK PLC, 2.34%, 01/30/32 (Call 10/30/31)		20		19,536
Charles Schwab Corp. (The), 1.15%, 05/13/26 (Call 04/13/26)		85		84,184
Credit Acceptance Corp., 6.63%, 03/15/26 (Call 03/15/22)		75		78,235
Enova International Inc., 8.50%, 09/15/25 (Call 11/29/21)^(b)		100		102,964
goeasy Ltd., 5.38%, 12/01/24 (Call 12/01/21)^(b)		115		118,258
Intercontinental Exchange Inc. 3.75%, 12/01/25 (Call 09/01/25)		343		373,383
3.75%, 09/21/28 (Call 06/21/28)		28		31,063
4.00%, 10/15/23		150		159,354
LPL Holdings Inc., 4.00%, 03/15/29 (Call 03/15/24)^(b)		125		127,825
Mastercard Inc., 2.95%, 11/21/26 (Call 08/21/26)		65		69,636
Nasdaq Inc., 4.25%, 06/01/24 (Call 03/01/24)		100		107,434
Navient Corp. 5.00%, 03/15/27 (Call 09/15/26)		100		101,940
6.13%, 03/25/24		50		53,502
Nomura Holdings Inc., 2.65%, 01/16/25		350		362,236
OneMain Finance Corp. 4.00%, 09/15/30 (Call 09/15/25)		100		97,139
6.13%, 03/15/24 (Call 09/15/23)		30		31,908
6.88%, 03/15/25		155		173,301
7.13%, 03/15/26		30		34,070
ORIX Corp., 2.90%, 07/18/22		55		55,896
StoneX Group Inc., 8.63%, 06/15/25 (Call 06/15/22)^(b)		100		106,387


				2,590,708

Electric — 1.7%
Appalachian Power Co., 3.40%, 06/01/25 (Call 03/01/25)		70		74,732
Arizona Public Service Co., 2.20%, 12/15/31 (Call 09/15/31)		45		44,088
Berkshire Hathaway Energy Co., 1.65%, 05/15/31 (Call 02/15/31)		35		33,290
Black Hills Corp., 3.95%, 01/15/26 (Call 07/15/25)		50		54,083
Calpine Corp. 4.50%, 02/15/28 (Call 02/15/23)^(a)(b)		50		50,638
5.13%, 03/15/28 (Call 03/15/23)^(a)(b)		60		59,851
5.25%, 06/01/26 (Call 11/29/21)^(b)		108		111,097
Dominion Energy Inc.
Series C, 2.25%, 08/15/31 (Call 05/15/31)		35		34,547
Series D, 2.85%, 08/15/26 (Call 05/15/26)		100		105,291
DPL Inc., 4.35%, 04/15/29 (Call 01/15/29)		50		54,130
DTE Energy Co., Series H, 0.55%, 11/01/22		45		45,012
Duke Energy Carolinas LLC, 2.95%, 12/01/26 (Call 09/01/26)		130		138,759
Entergy Louisiana LLC, 5.40%, 11/01/24		131		147,334
Exelon Corp., 3.40%, 04/15/26 (Call 01/15/26)		70		75,003
Interstate Power & Light Co., 3.60%, 04/01/29 (Call 01/01/29)		35		38,492


Security	Par (000)		Value

Electric (continued)
National Rural Utilities Cooperative Finance Corp. 1.00%, 06/15/26 (Call 05/15/26)	$	25	$	24,576
3.70%, 03/15/29 (Call 12/15/28)		40		44,678
NextEra Energy Capital Holdings Inc. 0.65%, 03/01/23		30		30,031
3.55%, 05/01/27 (Call 02/01/27)		84		91,090
NextEra Energy Operating Partners LP 4.25%, 07/15/24 (Call 04/15/24)^(b)		25		26,451
4.25%, 09/15/24 (Call 07/15/24)^(b)		8		8,491
NRG Energy Inc., 6.63%, 01/15/27 (Call 11/15/21)		61		63,400
Pacific Gas and Electric Co. 1.75%, 06/16/22 (Call 11/09/21)		20		19,979
3.00%, 06/15/28 (Call 04/15/28)^(a)		5		5,039
3.15%, 01/01/26^(a)		20		20,594
4.55%, 07/01/30 (Call 01/01/30)		40		43,572
Public Service Co. of New Hampshire, 2.20%, 06/15/31 (Call 03/15/31)		20		20,117
Public Service Enterprise Group Inc., 1.60%, 08/15/30 (Call 05/15/30)		20		18,730
Puget Energy Inc., 2.38%, 06/15/28 (Call 04/15/28)		10		9,902
San Diego Gas & Electric Co., 2.50%, 05/15/26 (Call 02/15/26)		50		52,130
Sempra Energy, 2.90%, 02/01/23 (Call 01/01/23)^(a)		145		148,793
Southern California Edison Co., 2.85%, 08/01/29 (Call 05/01/29)		25		25,812
Southern Power Co., 4.15%, 12/01/25 (Call 09/01/25)		150		164,530
Union Electric Co., 2.95%, 06/15/27 (Call 03/15/27)		40		42,419
Vistra Operations Co. LLC, 5.00%, 07/31/27 (Call 07/31/22)^(b)		20		20,478
WEC Energy Group Inc., 0.55%, 09/15/23		40		39,867


				1,987,026

Electronics — 0.6%
Agilent Technologies Inc., 2.30%, 03/12/31 (Call 12/12/30)		35		34,769
Allegion U.S. Holding Co. Inc., 3.20%, 10/01/24 (Call 08/01/24)		150		157,493
Flex Ltd., 3.75%, 02/01/26 (Call 01/01/26)		20		21,452
Jabil Inc., 1.70%, 04/15/26 (Call 03/15/26)		75		74,548
Keysight Technologies Inc., 4.60%, 04/06/27 (Call 01/06/27)		65		73,631
Trimble Inc., 4.90%, 06/15/28 (Call 03/15/28)		240		274,958


				636,851

Energy - Alternate Sources — 0.0%
TerraForm Power Operating LLC, 5.00%, 01/31/28 (Call 07/31/27)^(b)		50		53,428


Engineering & Construction — 0.6%
AECOM, 5.13%, 03/15/27 (Call 12/15/26)		100		110,325
Arcosa Inc., 4.38%, 04/15/29 (Call 04/15/24)^(b)		10		10,176
Brundage-Bone Concrete Pumping Holdings Inc., 6.00%, 02/01/26 (Call 02/01/23)^(b)		300		313,995
MasTec Inc., 4.50%, 08/15/28 (Call 08/15/23)^(b)		275		282,466


				716,962

Entertainment — 0.1%
Cedar Fair LP, 5.25%, 07/15/29 (Call 07/15/24)^(a)		15		15,546
Scientific Games International Inc. 5.00%, 10/15/25 (Call 11/29/21)^(b)		100		103,026
7.25%, 11/15/29 (Call 11/15/24)^(a)(b)		25		28,255


				146,827

Environmental Control — 0.1%
GFL Environmental Inc., 5.13%, 12/15/26 (Call 12/15/22)^(b)		45		47,123


Security	Par (000)		Value

Environmental Control (continued)
Waste Pro USA Inc., 5.50%, 02/15/26 (Call 11/29/21)^(a)(b)	$	30	$	29,707


				76,830

Food — 0.9%
Albertsons Companies Inc./Safeway Inc./New
Albertsons LP/Albertsons LLC 4.63%, 01/15/27 (Call 01/15/23)^(b)		40		41,851
7.50%, 03/15/26 (Call 03/15/22)^(b)		173		186,397
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance Inc. 5.50%, 01/15/30 (Call 01/15/25)^(b)		100		109,500
6.50%, 04/15/29 (Call 04/15/24)^(b)		10		11,104
Lamb Weston Holdings Inc., 4.88%, 11/01/26 (Call 11/18/21)^(b)		150		153,863
McCormick & Co. Inc./MD, 3.15%, 08/15/24 (Call 06/15/24)		300		316,740
Performance Food Group Inc., 5.50%, 10/15/27 (Call 10/15/22)^(b)		40		41,823
Pilgrim’s Pride Corp., 5.88%, 09/30/27 (Call 09/30/22)^(b)		100		105,397
Simmons Foods Inc./Simmons Prepared Foods Inc./Simmons Pet Food Inc./Simmons Feed, 4.63%, 03/01/29 (Call 03/01/24)^(b)		20		20,199


				986,874

Forest Products & Paper — 0.3%
Clearwater Paper Corp., 5.38%, 02/01/25^(b)		50		54,096
Resolute Forest Products Inc., 4.88%, 03/01/26 (Call 03/01/23)^(a)(b)		250		255,032


				309,128

Gas — 0.1%
AmeriGas Partners LP/AmeriGas Finance Corp., 5.63%, 05/20/24 (Call 03/20/24)		45		48,661
NiSource Inc., 0.95%, 08/15/25 (Call 07/15/25)		90		88,247


				136,908

Health Care - Products — 0.7%
Baxter International Inc., 2.60%, 08/15/26 (Call 05/15/26)		80		83,606
Boston Scientific Corp., 3.38%, 05/15/22		75		76,175
DH Europe Finance II Sarl, 2.05%, 11/15/22		175		177,775
Hill-Rom Holdings Inc., 4.38%, 09/15/27 (Call 09/15/22)^(b)		20		20,800
PerkinElmer Inc. 0.85%, 09/15/24 (Call 09/15/22)		240		237,979
1.90%, 09/15/28 (Call 07/15/28)		50		49,124
Teleflex Inc., 4.63%, 11/15/27 (Call 11/15/22)		50		52,157
Thermo Fisher Scientific Inc., 4.50%, 03/25/30 (Call 12/25/29)		50		58,855


				756,471

Health Care - Services — 1.8%
Acadia Healthcare Co. Inc., 5.00%, 04/15/29 (Call 10/15/23)^(b)		200		204,030
Catalent Pharma Solutions Inc., 5.00%, 07/15/27 (Call 07/15/22)^(b)		10		10,379
Charles River Laboratories International Inc. 4.00%, 03/15/31 (Call 03/15/26)^(b)		100		103,482
4.25%, 05/01/28 (Call 05/01/23)^(b)		200		206,586
CHS/Community Health Systems Inc., 8.00%, 03/15/26 (Call 03/15/22)^(b)		150		158,463
HCA Inc. 4.13%, 06/15/29 (Call 03/15/29)		70		77,579
5.25%, 04/15/25		220		246,609
5.88%, 02/15/26 (Call 08/15/25)		170		193,623
IQVIA Inc., 5.00%, 05/15/27 (Call 05/15/22)^(b)		200		207,334
Laboratory Corp. of America Holdings, 1.55%, 06/01/26 (Call 05/01/26)		70		69,465


Security	Par (000)		Value

Health Care - Services (continued)
Prime Healthcare Services Inc., 7.25%, 11/01/25 (Call 11/01/22)^(b)	$	25	$	26,674
Select Medical Corp., 6.25%, 08/15/26 (Call 08/15/22)^(b)		150		156,991
Tenet Healthcare Corp. 4.63%, 07/15/24 (Call 11/29/21)		21		21,277
5.13%, 11/01/27 (Call 11/01/22)^(b)		150		156,833
6.75%, 06/15/23		50		53,728
UnitedHealth Group Inc., 3.10%, 03/15/26		135		144,921


				2,037,974

Holding Companies - Diversified — 1.2%
Ares Capital Corp. 2.15%, 07/15/26 (Call 06/15/26)		83		82,202
2.88%, 06/15/28 (Call 04/15/28)		115		115,498
3.50%, 02/10/23 (Call 01/10/23)		380		391,731
3.88%, 01/15/26 (Call 12/15/25)		37		39,253
FS KKR Capital Corp. 1.65%, 10/12/24		110		108,683
2.63%, 01/15/27 (Call 12/15/26)		30		29,708
4.63%, 07/15/24 (Call 06/15/24)		100		106,796
Goldman Sachs BDC Inc., 2.88%, 01/15/26 (Call 12/15/25)		75		76,650
Golub Capital BDC Inc., 2.50%, 08/24/26 (Call 07/24/26)		65		64,561
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 4.38%, 02/01/29 (Call 08/01/28)		200		200,868
6.38%, 12/15/25 (Call 11/29/21)		100		102,070
Owl Rock Capital Corp. 2.88%, 06/11/28 (Call 04/11/28)		50		49,247
3.40%, 07/15/26 (Call 06/15/26)		30		30,837


				1,398,104

Home Builders — 0.7%
Brookfield Residential Properties Inc./Brookfield Residential U.S. LLC, 6.25%, 09/15/27 (Call 09/15/22)^(a)(b)		75		78,280
LGI Homes Inc., 4.00%, 07/15/29 (Call 01/15/29)^(b)		200		195,024
M/I Homes Inc., 4.95%, 02/01/28 (Call 02/01/23)^(a)		40		41,682
Meritage Homes Corp., 5.13%, 06/06/27 (Call 12/06/26)		50		55,171
NVR Inc., 3.00%, 05/15/30 (Call 11/15/29)		75		78,090
Picasso Finance Sub Inc., 6.13%, 06/15/25 (Call 06/15/22)^(b)		40		42,126
Taylor Morrison Communities Inc., 5.75%, 01/15/28 (Call 10/15/27)^(b)		25		27,512
Tri Pointe Homes Inc., 5.25%, 06/01/27 (Call 12/01/26)		100		107,903
Williams Scotsman International Inc., 4.63%, 08/15/28 (Call 08/15/23)^(b)		100		103,397
Winnebago Industries Inc., 6.25%, 07/15/28 (Call 07/15/23)^(a)(b)		120		129,662


				858,847

Housewares — 0.2%
Scotts Miracle-Gro Co. (The), 4.50%, 10/15/29 (Call 10/15/24)		200		208,214


Insurance — 1.4%
Acrisure LLC/Acrisure Finance Inc., 7.00%, 11/15/25 (Call 11/29/21)^(b)		25		25,286
Aflac Inc., 3.60%, 04/01/30 (Call 01/01/30)		92		102,229
Chubb INA Holdings Inc., 3.35%, 05/15/24		25		26,574
Enstar Group Ltd., 3.10%, 09/01/31 (Call 03/01/31)		45		44,031
Fairfax Financial Holdings Ltd., 3.38%, 03/03/31 (Call 12/03/30)^(b)		30		30,983
HUB International Ltd., 7.00%, 05/01/26 (Call 11/09/21)^(b)		25		25,838
Kemper Corp., 4.35%, 02/15/25 (Call 11/15/24)		50		53,876


Security	Par (000)		Value

Insurance (continued)
Marsh & McLennan Companies Inc. 3.75%, 03/14/26 (Call 12/14/25)	$	530	$	577,817
4.38%, 03/15/29 (Call 12/15/28)		60		69,328
MGIC Investment Corp., 5.25%, 08/15/28 (Call 08/15/23)		250		266,035
NMI Holdings Inc., 7.38%, 06/01/25 (Call 03/30/25)^(a)(b)		300		344,880
Willis North America Inc., 2.95%, 09/15/29 (Call 06/15/29)		15		15,483


				1,582,360

Internet — 0.7%
Amazon.com Inc., 2.10%, 05/12/31 (Call 02/12/31)		120		120,679
Match Group Holdings II LLC 3.63%, 10/01/31 (Call 10/01/26)^(b)		35		34,003
4.13%, 08/01/30 (Call 05/01/25)^(b)		45		46,357
5.00%, 12/15/27 (Call 12/15/22)^(b)		69		72,066
5.63%, 02/15/29 (Call 02/15/24)^(a)(b)		55		59,403
Netflix Inc. 4.88%, 04/15/28		50		57,324
5.88%, 11/15/28		50		60,883
NortonLifeLock Inc., 5.00%, 04/15/25 (Call 11/09/21)^(b)		25		25,332
Uber Technologies Inc. 7.50%, 05/15/25 (Call 05/15/22)^(b)		70		74,597
7.50%, 09/15/27 (Call 09/15/22)^(b)		200		218,898
VeriSign Inc. 2.70%, 06/15/31 (Call 03/15/31)		35		35,333
5.25%, 04/01/25 (Call 01/01/25)		50		55,824


				860,699

Iron & Steel — 0.1%
United States Steel Corp., 6.88%, 03/01/29 (Call 03/01/24)^(a)		30		32,102
Vale Overseas Ltd., 3.75%, 07/08/30 (Call 04/08/30)		35		35,749


				67,851

Leisure Time — 0.1%
Vista Outdoor Inc., 4.50%, 03/15/29 (Call 03/15/24)^(b)		100		100,142


Lodging — 0.1%
Choice Hotels International Inc., 3.70%, 12/01/29 (Call 09/01/29)		45		47,851
Hilton Grand Vacations Borrower LLC/Hilton Grand Vacations Borrower Inc., 6.13%, 12/01/24 (Call 12/01/21)		50		51,709
MGM Resorts International, 4.63%, 09/01/26 (Call 06/01/26)		27		28,197


				127,757

Machinery — 0.4%
Caterpillar Financial Services Corp., 0.80%, 11/13/25^(a)		90		88,604
Rockwell Automation Inc., 1.75%, 08/15/31 (Call 05/15/31)^(a)		25		24,320
Terex Corp., 5.00%, 05/15/29 (Call 05/15/24)^(b)		250		256,192
Westinghouse Air Brake Technologies Corp., 3.20%, 06/15/25 (Call 05/15/25)		125		132,254


				501,370

Manufacturing — 0.1%
General Electric Co., 3.45%, 05/01/27 (Call 03/01/27)		75		81,751


Media — 1.8%
AMC Networks Inc., 4.75%, 08/01/25 (Call 11/29/21)		50		51,241
CCO Holdings LLC/CCO Holdings Capital Corp. 4.50%, 06/01/33 (Call 06/01/27)^(b)		200		199,542
5.00%, 02/01/28 (Call 08/01/22)^(b)		263		273,517
5.13%, 05/01/27 (Call 05/01/22)^(b)		210		217,854
5.38%, 06/01/29 (Call 06/01/24)^(b)		75		80,607
Charter Communications Operating LLC/Charter Communications Operating Capital, 2.80%, 04/01/31 (Call 01/01/31)		75		74,632


Security	Par (000)		Value

Media (continued)
CSC Holdings LLC, 5.25%, 06/01/24	$	200	$	210,244
DIRECTV Holdings LLC/DIRECTV Financing Co. Inc., 5.88%, 08/15/27 (Call 08/15/23)^(a)(b)		10		10,379
DISH DBS Corp. 5.00%, 03/15/23		50		51,737
5.88%, 11/15/24		100		106,709
7.75%, 07/01/26		100		111,307
GCI LLC, 4.75%, 10/15/28 (Call 10/15/23)^(b)		300		310,410
Gray Television Inc., 7.00%, 05/15/27 (Call 05/15/22)^(b)		50		53,620
Radiate Holdco LLC/Radiate Finance Inc., 4.50%, 09/15/26 (Call 09/15/23)^(b)		25		25,406
Sirius XM Radio Inc., 5.50%, 07/01/29 (Call 07/01/24)^(a)(b)		150		161,889
TWDC Enterprises 18 Corp., 1.85%, 07/30/26		50		50,778
Univision Communications Inc., 5.13%, 02/15/25 (Call 11/09/21)^(b)		50		50,896


				2,040,768

Metal Fabricate & Hardware — 0.3%
Advanced Drainage Systems Inc., 5.00%, 09/30/27 (Call 09/30/22)^(b)		300		312,327


Mining — 0.2%
FMG Resources August 2006 Pty Ltd., 4.50%, 09/15/27 (Call 06/15/27)^(b)		45		47,178
Freeport-McMoRan Inc., 5.45%, 03/15/43 (Call 09/15/42)^(a)		50		62,879
Kaiser Aluminum Corp., 4.63%, 03/01/28 (Call 03/01/23)^(b)		100		100,898
Novelis Corp., 4.75%, 01/30/30 (Call 01/30/25)^(b)		35		36,372
Southern Copper Corp., 3.88%, 04/23/25		5		5,392


				252,719

Office & Business Equipment — 0.1%
CDW LLC/CDW Finance Corp., 4.25%, 04/01/28 (Call 10/01/22)		145		150,538


Oil & Gas — 2.1%
Apache Corp. 4.25%, 01/15/30 (Call 10/15/29)		70		74,530
4.88%, 11/15/27 (Call 05/15/27)^(a)		100		108,786
Bonanza Creek Energy Inc., 5.00%, 10/15/26 (Call 10/15/23)^(b)		250		252,510
Cenovus Energy Inc., 5.38%, 07/15/25 (Call 04/15/25)		17		19,101
Chevron USA Inc., 3.85%, 01/15/28 (Call 10/15/27)		90		100,925
CNX Resources Corp., 7.25%, 03/14/27 (Call 03/14/22)^(b)		100		106,188
Comstock Resources Inc., 7.50%, 05/15/25 (Call 11/29/21)^(b)		14		14,511
Continental Resources Inc./OK 4.38%, 01/15/28 (Call 10/15/27)^(a)		225		245,542
4.90%, 06/01/44 (Call 12/01/43)		25		28,415
Devon Energy Corp., 4.50%, 01/15/30 (Call 01/15/25)^(b)		35		38,047
Diamondback Energy Inc., 3.13%, 03/24/31 (Call 12/24/30)		25		25,789
EQT Corp., 6.63%, 02/01/25 (Call 01/01/25)		25		28,131
Hess Corp., 4.30%, 04/01/27 (Call 01/01/27)^(a)		85		93,240
Matador Resources Co., 5.88%, 09/15/26 (Call 11/15/21)		80		82,556
Murphy Oil Corp. 5.75%, 08/15/25 (Call 11/29/21)		25		25,659
5.88%, 12/01/27 (Call 12/01/22)		15		15,629
Occidental Petroleum Corp. 3.40%, 04/15/26 (Call 01/15/26)		75		76,442
6.45%, 09/15/36		50		63,719
8.50%, 07/15/27 (Call 01/15/27)		65		81,264
8.88%, 07/15/30 (Call 01/15/30)^(a)		70		94,931
PDC Energy Inc., 5.75%, 05/15/26 (Call 11/29/21)		300		308,541


Security	Par (000)		Value

Oil & Gas (continued)
Pioneer Natural Resources Co., 0.75%, 01/15/24 (Call 01/15/22)	$	25	$	24,849
Range Resources Corp., 5.00%, 03/15/23 (Call 12/15/22)		50		51,390
SM Energy Co., 10.00%, 01/15/25 (Call 06/17/22)^(b)		38		42,275
Sunoco LP/Sunoco Finance Corp., 6.00%, 04/15/27 (Call 04/15/22)		350		366,709


				2,369,679

Oil & Gas Services — 0.1%
USA Compression Partners LP/USA Compression Finance Corp.
6.88%, 04/01/26 (Call 11/29/21)		55		56,824
6.88%, 09/01/27 (Call 09/01/22)		100		103,707


				160,531

Packaging & Containers — 0.9%
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., 5.25%, 08/15/27 (Call 08/15/22)^(a)(b)		200		200,028
Ball Corp. 4.00%, 11/15/23		25		26,292
5.25%, 07/01/25		50		55,755
Berry Global Inc. 4.50%, 02/15/26 (Call 11/29/21)^(a)(b)		23		23,365
4.88%, 07/15/26 (Call 07/15/22)^(b)		100		104,768
Cascades Inc./Cascades USA Inc., 5.38%, 01/15/28 (Call 01/15/23)^(a)(b)		50		52,301
Greif Inc., 6.50%, 03/01/27 (Call 03/01/22)^(b)		200		208,442
Mauser Packaging Solutions Holding Co., 5.50%, 04/15/24 (Call 11/29/21)^(b)		75		75,077
Sealed Air Corp., 5.50%, 09/15/25 (Call 06/15/25)^(b)		50		55,234
Trivium Packaging Finance BV, 5.50%, 08/15/26 (Call 08/15/22)^(b)		200		208,078


				1,009,340

Pharmaceuticals — 1.1%
AbbVie Inc., 3.20%, 11/21/29 (Call 08/21/29)		60		64,175
AmerisourceBergen Corp., 3.45%, 12/15/27 (Call 09/15/27)		168		181,160
Bausch Health Americas Inc., 8.50%, 01/31/27 (Call 07/31/22)^(b)		100		106,413
Bausch Health Companies Inc. 6.13%, 04/15/25 (Call 11/29/21)^(b)		41		41,788
7.25%, 05/30/29 (Call 05/30/24)^(b)		25		25,348
CVS Health Corp., 1.30%, 08/21/27 (Call 06/21/27)		90		87,245
Horizon Therapeutics USA Inc., 5.50%, 08/01/27 (Call 08/01/22)^(b)		200		211,644
McKesson Corp., 0.90%, 12/03/25 (Call 11/03/25)		55		53,733
Merck & Co. Inc., 0.75%, 02/24/26 (Call 01/24/26)^(a)		120		117,545
PRA Health Sciences Inc., 2.88%, 07/15/26 (Call 07/15/23)^(b)		300		303,021
Zoetis Inc., 2.00%, 05/15/30 (Call 02/15/30)		110		108,019


				1,300,091

Pipelines — 1.6%
Cheniere Corpus Christi Holdings LLC, 3.70%, 11/15/29 (Call 05/18/29)		50		53,760
Cheniere Energy Inc., 4.63%, 10/15/28 (Call 10/15/23)		250		262,485
Cheniere Energy Partners LP, 4.50%, 10/01/29 (Call 10/01/24)		50		53,386
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.
5.63%, 05/01/27 (Call 05/01/22)^(b)		100		102,654
5.75%, 04/01/25 (Call 11/29/21)		100		102,543
DCP Midstream Operating LP, 5.38%, 07/15/25 (Call 04/15/25)		80		88,665


Security	Par (000)		Value

Pipelines (continued)
Enbridge Inc., 0.55%, 10/04/23	$	25	$	24,924
Global Partners LP/GLP Finance Corp., 7.00%, 08/01/27 (Call 08/01/22)		100		104,169
Hess Midstream Operations LP, 5.13%, 06/15/28 (Call 06/15/23)^(a)(b)		50		51,943
MPLX LP 2.65%, 08/15/30 (Call 05/15/30)		60		59,713
4.88%, 12/01/24 (Call 09/01/24)		135		148,226
ONEOK Inc. 2.75%, 09/01/24 (Call 08/01/24)		180		187,250
6.35%, 01/15/31 (Call 10/15/30)^(a)		35		44,497
7.50%, 09/01/23 (Call 06/01/23)		160		176,414
Targa Resources Partners LP/Targa Resources Partners Finance Corp.
5.88%, 04/15/26 (Call 11/29/21)		35		36,612
6.88%, 01/15/29 (Call 01/15/24)		121		135,520
Transcontinental Gas Pipe Line Co. LLC, 3.25%, 05/15/30 (Call 02/15/30)		145		153,600
Williams Companies Inc. (The), 2.60%, 03/15/31 (Call 12/15/30)		50		50,015


				1,836,376

Real Estate — 0.6%
Five Point Operating Co. LP/Five Point Capital Corp., 7.88%, 11/15/25 (Call 11/29/21)^(b)		225		234,450
Howard Hughes Corp. (The), 5.38%, 08/01/28 (Call 08/01/23)^(b)		300		315,345
Realogy Group LLC/Realogy Co-Issuer Corp., 9.38%, 04/01/27 (Call 04/01/22)^(b)		100		109,382


				659,177

Real Estate Investment Trusts — 2.3%
American Tower Corp. 0.60%, 01/15/24		200		198,580
1.45%, 09/15/26 (Call 08/15/26)^(a)		60		59,105
3.00%, 06/15/23		50		51,832
3.38%, 05/15/24 (Call 04/15/24)		50		52,806
4.00%, 06/01/25 (Call 03/01/25)		146		157,928
Brixmor Operating Partnership LP, 4.05%, 07/01/30 (Call 04/01/30)		15		16,561
Camden Property Trust, 2.80%, 05/15/30 (Call 02/15/30)		20		20,949
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.85%, 04/15/23		300		313,470
Crown Castle International Corp., 2.50%, 07/15/31 (Call 04/15/31)		40		39,618
Equinix Inc., 2.63%, 11/18/24 (Call 10/18/24)		125		129,829
Essex Portfolio LP, 1.70%, 03/01/28 (Call 01/01/28)		40		39,010
GLP Capital LP/GLP Financing II Inc., 5.25%, 06/01/25 (Call 03/01/25)		165		183,224
Iron Mountain Inc., 4.50%, 02/15/31 (Call 02/15/26)^(b)		185		186,558
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer Inc.
5.63%, 05/01/24 (Call 02/01/24)		50		54,262
5.75%, 02/01/27 (Call 11/01/26)		80		91,335
MPT Operating Partnership LP/MPT Finance Corp., 5.00%, 10/15/27 (Call 10/15/22)		185		194,701
Office Properties Income Trust, 3.45%, 10/15/31 (Call 07/15/31)		60		58,590
Public Storage, 3.39%, 05/01/29 (Call 02/01/29)		180		196,801
Simon Property Group LP, 3.50%, 09/01/25 (Call 06/01/25)		145		156,177


Security	Par (000)		Value

Real Estate Investment Trusts (continued)
Starwood Property Trust Inc., 4.75%, 03/15/25 (Call 09/15/24)^(a)	$	200	$	210,178
VICI Properties LP/VICI Note Co. Inc. 3.75%, 02/15/27 (Call 02/15/23)^(b)		20		20,553
4.25%, 12/01/26 (Call 12/01/22)^(b)		50		51,817
XHR LP, 6.38%, 08/15/25 (Call 08/15/22)^(b)		200		210,988


				2,694,872

Retail — 1.0%
1011778 BC ULC/New Red Finance Inc., 3.88%, 01/15/28 (Call 09/15/22)^(b)		35		34,914
Academy Ltd., 6.00%, 11/15/27 (Call 11/15/23)^(b)		175		186,457
AutoNation Inc., 1.95%, 08/01/28 (Call 06/01/28)		35		34,124
Bath & Body Works Inc. 7.50%, 06/15/29 (Call 06/15/24)		75		84,740
9.38%, 07/01/25^(b)		116		144,379
Costco Wholesale Corp., 1.60%, 04/20/30 (Call 01/20/30)		80		77,889
FirstCash Inc., 4.63%, 09/01/28 (Call 09/01/23)^(b)		150		154,611
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 4.75%, 06/01/27 (Call 06/01/22)^(b)		107		110,941
Murphy Oil USA Inc., 4.75%, 09/15/29 (Call 09/15/24)		100		105,428
Sally Holdings LLC/Sally Capital Inc., 5.63%, 12/01/25 (Call 11/29/21)		25		25,542
Specialty Building Products Holdings LLC/SBP Finance Corp., 6.38%, 09/30/26 (Call 09/30/22)^(b)		10		10,414
Yum! Brands Inc., 4.75%, 01/15/30 (Call 10/15/29)^(b)		160		171,718


				1,141,157

Semiconductors — 0.4%
Amkor Technology Inc., 6.63%, 09/15/27 (Call 03/15/22)^(b)		100		106,455
Analog Devices Inc. 1.70%, 10/01/28 (Call 08/01/28)		40		39,679
2.10%, 10/01/31 (Call 07/01/31)		25		24,956
Broadcom Inc. 3.15%, 11/15/25 (Call 10/15/25)		70		73,908
3.46%, 09/15/26 (Call 07/15/26)^(a)		100		106,732
Skyworks Solutions Inc., 0.90%, 06/01/23 (Call 06/01/22)		100		100,023
Texas Instruments Inc., 1.90%, 09/15/31 (Call 06/15/31)		65		64,185


				515,938

Software — 1.3%
Activision Blizzard Inc., 1.35%, 09/15/30 (Call 06/15/30)		30		27,648
CDK Global Inc., 5.25%, 05/15/29 (Call 05/15/24)^(b)		10		10,720
Citrix Systems Inc., 1.25%, 03/01/26 (Call 02/01/26)		35		34,094
Fair Isaac Corp., 4.00%, 06/15/28 (Call 12/15/22)^(b)		235		238,215
J2 Global Inc., 4.63%, 10/15/30 (Call 10/15/25)^(b)		87		91,134
MSCI Inc. 3.25%, 08/15/33 (Call 08/15/27)^(b)		55		55,209
3.63%, 09/01/30 (Call 03/01/25)^(b)		40		40,914
3.63%, 11/01/31 (Call 11/01/26)^(b)		200		205,844
4.00%, 11/15/29 (Call 11/15/24)^(b)		100		104,520
Nuance Communications Inc., 5.63%, 12/15/26 (Call 12/15/21)		100		103,255
Oracle Corp., 1.65%, 03/25/26 (Call 02/25/26)		180		180,319
Roper Technologies Inc. 2.35%, 09/15/24 (Call 08/15/24)		75		77,698
3.85%, 12/15/25 (Call 09/15/25)		35		38,072
SS&C Technologies Inc., 5.50%, 09/30/27 (Call 03/30/22)^(b)		80		84,270
VMware Inc., 4.50%, 05/15/25 (Call 04/15/25)		20		22,054
ZoomInfo Technologies LLC/ZoomInfo Finance Corp., 3.88%, 02/01/29 (Call 02/01/24)^(b)		200		198,698


				1,512,664


Security	Par (000)		Value

Telecommunications — 2.1%
AT&T Inc. 3.00%, 06/30/22 (Call 04/30/22)	$	415	$	420,017
4.30%, 02/15/30 (Call 11/15/29)		60		68,144
Avaya Inc., 6.13%, 09/15/28 (Call 09/15/23)^(b)		30		31,236
CommScope Inc., 6.00%, 03/01/26 (Call 03/01/22)^(b)		50		51,789
Deutsche Telekom International Finance BV, 8.75%, 06/15/30		110		161,216
Embarq Corp., 8.00%, 06/01/36^(a)		50		55,278
Frontier Communications Holdings LLC, 5.00%, 05/01/28 (Call 05/01/24)^(b)		15		15,302
Hughes Satellite Systems Corp., 6.63%, 08/01/26^(a)		50		56,671
Level 3 Financing Inc. 4.63%, 09/15/27 (Call 09/15/22)^(a)(b)		50		51,273
5.38%, 05/01/25 (Call 11/29/21)^(a)		25		25,567
Lumen Technologies Inc. 5.13%, 12/15/26 (Call 12/15/22)^(b)		65		66,568
5.38%, 06/15/29 (Call 06/15/24)^(b)		75		75,407
5.63%, 04/01/25 (Call 01/01/25)		100		107,544
Motorola Solutions Inc., 4.60%, 02/23/28 (Call 11/23/27)^(a)		99		113,519
Sprint Capital Corp., 8.75%, 03/15/32^(a)		50		74,634
Sprint Corp. 7.63%, 02/15/25 (Call 11/15/24)		100		116,329
7.63%, 03/01/26 (Call 11/01/25)		50		60,007
Telesat Canada/Telesat LLC, 6.50%, 10/15/27 (Call 10/15/22)^(a)(b)		130		105,547
Verizon Communications Inc. 0.75%, 03/22/24		60		59,845
1.75%, 01/20/31 (Call 10/20/30)		50		47,190
3.00%, 03/22/27 (Call 01/22/27)		55		58,202
3.38%, 02/15/25		168		179,449
ViaSat Inc. 5.63%, 09/15/25 (Call 11/09/21)^(b)		100		101,343
5.63%, 04/15/27 (Call 04/15/22)^(b)		100		104,004
Vmed O2 UK Financing I PLC, 4.75%, 07/15/31 (Call 07/15/26)^(b)		200		201,064


				2,407,145

Toys, Games & Hobbies — 0.0%
Hasbro Inc., 3.00%, 11/19/24 (Call 10/19/24)		50		52,641


Transportation — 0.4%
Altera Infrastructure LP/Teekay Offshore Finance Corp., 8.50%, 07/15/23 (Call 11/15/21)^(b)		100		75,465
United Parcel Service Inc., 4.45%, 04/01/30 (Call 01/01/30)		230		272,456
Walmart Inc., 1.50%, 09/22/28 (Call 07/22/28)		75		74,164


				422,085


Total Corporate Bonds & Notes — 50.5% (Cost: $56,939,325)				58,087,860


U.S. Government Agency Obligations

Mortgage-Backed Securities — 85.6%
Federal Home Loan Mortgage Corp. 1.50%, 12/13/51^(d)		1,550		1,498,929
2.00%, 12/13/51^(d)		6,886		6,871,938
2.50%, 01/01/33		49		51,753
3.00%, 03/01/46		284		299,646
3.00%, 07/01/46		24		24,839
3.00%, 08/01/46		139		146,055
3.00%, 10/01/46		40		42,131


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
3.00%, 12/01/46	$	382	$	402,875
3.00%, 01/01/47		78		82,621
3.00%, 06/01/47		201		212,626
3.00%, 10/01/47		59		61,972
3.50%, 07/01/33		17		18,375
3.50%, 06/01/34		42		44,464
3.50%, 07/01/43		12		12,976
3.50%, 09/01/44		11		11,915
3.50%, 01/01/46		11		11,581
3.50%, 03/01/46		8		8,639
3.50%, 09/01/46		7		7,459
3.50%, 08/01/47		7		7,807
3.50%, 05/01/49		28		29,892
3.50%, 06/01/49		34		36,779
4.00%, 04/01/46		101		110,187
4.00%, 07/01/46		34		37,051
4.00%, 06/01/48		38		42,344
4.00%, 01/01/49		0		159
4.50%, 07/01/48		11		11,724
5.00%, 07/01/48		9		10,180
5.00%, 04/01/49		9		9,324
Federal National Mortgage Association
3.50%, 11/01/51		985		1,067,295
4.00%, 01/01/57		72		80,484
4.00%, 02/01/57		73		81,666
4.50%, 12/13/51^(d)		375		405,428
Government National Mortgage Association
2.00%, 11/18/51^(d)		3,200		3,240,437
2.50%, 12/20/46		120		123,783
2.50%, 08/20/50		344		353,826
2.50%, 09/20/50		515		529,721
2.50%, 11/18/51^(d)		3,115		3,202,062
3.00%, 01/15/44		28		29,333
3.00%, 05/20/45		161		169,788
3.00%, 11/20/45		1,345		1,414,816
3.00%, 12/20/45		14		14,553
3.00%, 01/20/46		7		7,832
3.00%, 03/20/46		10		10,104
3.00%, 04/20/46		91		95,777
3.00%, 05/20/46		9		9,341
3.00%, 08/20/46		39		40,378
3.00%, 09/20/46		88		91,821
3.00%, 12/15/46		72		77,395
3.00%, 02/15/47		261		275,102
3.00%, 04/20/49		773		807,830
3.00%, 01/20/50		197		204,886
3.00%, 02/20/50		110		113,617
3.00%, 07/20/50		1,769		1,834,966
3.50%, 10/20/42		105		113,584
3.50%, 03/15/43		70		76,016
3.50%, 06/15/43		60		65,178
3.50%, 04/20/45		34		36,370
3.50%, 04/20/46		53		56,355
3.50%, 12/20/46		64		67,617
3.50%, 03/20/47		109		114,754
3.50%, 08/20/47		119		125,734
3.50%, 09/20/47		106		111,807
3.50%, 11/20/47		96		101,120
3.50%, 02/20/48		65		68,803
3.50%, 04/20/48		651		696,212


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
3.50%, 08/20/48	$	95	$	100,293
3.50%, 01/20/49		43		45,606
3.50%, 01/20/50		541		565,848
3.50%, 08/20/50		897		937,900
4.00%, 09/20/45		17		18,589
4.00%, 09/20/46		6		6,392
4.00%, 04/20/47		51		54,697
4.00%, 06/20/47		186		200,216
4.00%, 07/20/47		287		307,643
4.00%, 11/20/47		52		56,125
4.00%, 05/15/48		46		49,635
4.00%, 05/20/48		38		40,784
4.00%, 08/20/48		42		45,132
4.00%, 02/20/50		87		92,681
4.00%, 11/18/51^(d)		477		507,548
4.50%, 10/20/46		8		8,993
4.50%, 06/20/48		33		35,297
4.50%, 07/20/48		25		26,589
4.50%, 08/20/48		45		47,958
4.50%, 10/20/48		70		75,086
4.50%, 11/18/51^(d)		200		223,414
5.00%, 11/20/48		26		28,231
5.00%, 12/20/48		47		51,079
5.00%, 01/20/49		46		49,874
5.00%, 05/20/49		6		6,177
5.00%, 11/18/51^(d)		960		1,036,350
Uniform Mortgage-Backed Securities 1.00%, 11/01/51		414		414,924
1.50%, 11/16/36^(d)		2,375		2,390,354
1.50%, 11/10/51^(d)		2,525		2,445,453
2.00%, 12/01/35		92		94,606
2.00%, 02/01/36		1,470		1,514,693
2.00%, 11/16/36^(d)		3,035		3,114,372
2.00%, 09/01/50		274		274,167
2.00%, 12/01/50		420		422,267
2.00%, 01/01/51		566		569,515
2.00%, 02/01/51		985		986,277
2.00%, 03/01/51		1,045		1,047,106
2.00%, 04/01/51		1,224		1,225,233
2.00%, 05/01/51		2,201		2,202,045
2.00%, 11/10/51^(d)		9,396		9,395,816
2.50%, 04/01/32		368		384,246
2.50%, 10/01/32		12		12,323
2.50%, 01/01/33		293		304,141
2.50%, 07/01/35		454		475,596
2.50%, 10/01/35		1,147		1,196,146
2.50%, 11/16/36^(d)		547		568,389
2.50%, 04/01/47		54		55,296
2.50%, 06/01/50		122		125,848
2.50%, 07/01/50		193		199,133
2.50%, 08/01/50		286		293,930
2.50%, 09/01/50		1,311		1,349,245
2.50%, 10/01/50		1,389		1,427,473
2.50%, 11/01/50		2,195		2,259,350
2.50%, 01/01/51		249		255,808
2.50%, 02/01/51		91		93,407
2.50%, 03/01/51		428		441,299
2.50%, 05/01/51		72		73,767
2.50%, 06/01/51		193		198,395
2.50%, 11/10/51^(d)		4,437		4,556,851


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
2.50%, 12/13/51^(d)	$	1,700	$	1,741,869
3.00%, 01/01/31		182		192,089
3.00%, 02/01/31		343		360,771
3.00%, 02/01/32		75		79,018
3.00%, 02/01/33		61		65,207
3.00%, 07/01/34		30		31,106
3.00%, 09/01/34		305		322,406
3.00%, 12/01/34		300		314,867
3.00%, 11/16/36^(d)		755		791,334
3.00%, 10/01/44		309		328,183
3.00%, 07/01/46		622		657,944
3.00%, 10/01/46		391		411,819
3.00%, 11/01/46		531		561,581
3.00%, 12/01/46		316		333,771
3.00%, 12/01/47		103		108,195
3.00%, 11/01/48		160		168,485
3.00%, 09/01/49		370		391,408
3.00%, 04/01/50		309		322,063
3.00%, 05/01/50		1,803		1,913,961
3.00%, 07/01/50		321		335,727
3.00%, 08/01/50		259		271,930
3.00%, 10/01/50		1,109		1,164,749
3.00%, 01/01/51		263		276,044
3.50%, 03/01/33		65		70,353
3.50%, 04/01/33		81		86,472
3.50%, 05/01/33		38		40,480
3.50%, 07/01/34		88		93,262
3.50%, 08/01/34		60		63,357
3.50%, 11/16/36^(d)		542		575,050
3.50%, 11/01/45		31		33,727
3.50%, 01/01/46		44		47,855
3.50%, 02/01/46		110		117,829
3.50%, 07/01/46		22		23,874
3.50%, 01/01/47		38		40,859
3.50%, 02/01/47		50		54,055
3.50%, 05/01/47		40		43,336
3.50%, 08/01/47		54		56,890
3.50%, 09/01/47		81		85,508
3.50%, 04/01/48		41		44,513
3.50%, 05/01/48		63		68,959
3.50%, 11/01/48		31		33,417
3.50%, 01/01/49		117		124,717
3.50%, 04/01/49		28		29,907
3.50%, 06/01/49		209		221,737
3.50%, 07/01/49		187		196,901
3.50%, 11/01/49		236		248,661
3.50%, 11/10/51^(d)		3,975		4,200,768
3.50%, 12/13/51^(d)		1,425		1,505,268
4.00%, 06/01/33		34		36,256
4.00%, 07/01/33		14		15,237
4.00%, 12/01/33		65		69,073
4.00%, 11/16/36^(d)		180		190,371
4.00%, 03/01/45		21		23,195
4.00%, 01/01/46		28		30,823
4.00%, 02/01/46		18		19,042
4.00%, 03/01/46		8		8,636
4.00%, 04/01/46		30		32,741
4.00%, 02/01/47		15		16,092
4.00%, 03/01/47		19		20,640
4.00%, 06/01/47		7		8,058


Security	Par/ Shares (000)			Value

Mortgage-Backed Securities (continued)
4.00%, 09/01/47	$	34		$	36,681
4.00%, 11/01/47		11			11,618
4.00%, 06/01/48		1,144			1,251,878
4.00%, 05/01/49		96			105,280
4.00%, 07/01/49		37			40,761
4.00%, 12/01/49		43			46,268
4.00%, 04/01/50		631			678,647
4.00%, 05/01/50		171			183,617
4.00%, 11/10/51^(d)		928			993,504
4.00%, 12/13/51^(d)		300			321,217
4.50%, 10/01/47		8			8,659
4.50%, 03/01/48		25			28,248
4.50%, 06/01/48		39			43,666
4.50%, 07/01/48		5			5,539
4.50%, 08/01/48		68			75,348
4.50%, 10/01/48		34			36,216
4.50%, 12/01/48		47			51,647
4.50%, 01/01/49		60			64,661
4.50%, 04/01/49		188			207,409
4.50%, 07/01/49		34			37,066
4.50%, 08/01/49		39			42,506
4.50%, 03/01/50		260			280,235
4.50%, 11/10/51^(d)		1,708			1,846,175
5.00%, 08/01/48		286			321,147
5.00%, 09/01/48		15			16,275
5.00%, 04/01/49		18			19,896
5.00%, 11/10/51^(d)		217			238,801
5.50%, 11/10/51^(d)		525			588,328
6.00%, 02/01/49		79			91,164


					98,402,543


Total U.S. Government Agency Obligations — 85.6% (Cost: $98,221,548)					98,402,543


Short-Term Investments

Money Market Funds — 12.2%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.05%^(e)(f)(g)		13,914			13,921,087
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.00%^(e)(f)		100			100,000


					14,021,087


Total Short-Term Investments — 12.2% (Cost: $14,018,888)					14,021,087


Total Investments Before TBA Sales Commitments — 148.3% (Cost: $169,179,761)					170,511,490


TBA Sales Commitments^(d)

Mortgage-Backed Securities — (9.4)%
Uniform Mortgage-Backed Securities 1.50%, 11/10/51 (Call 11/16/21)		(1,400	)		(1,355,896	)
2.00%, 11/10/51 (Call 11/17/21)		(5,000	)		(4,999,902	)
2.50%, 11/10/51 (Call 11/17/21)		(2,100	)		(2,156,725	)
3.50%, 11/10/51 (Call 11/17/21)		(1,525	)		(1,611,615	)
4.00%, 11/10/51 (Call 11/17/21)		(300	)		(321,176	)


Security	Par (000)			Value


Mortgage-Backed Securities (continued)
4.50%, 11/10/51 (Call 11/17/21)		(375	)	$	(405,337	)


					(10,850,651	)


Total TBA Sales Commitments — (9.4)% (Proceeds: $(10,816,615))					(10,850,651	)


Total Investments, Net of TBA Sales Commitments — 138.9% (Cost: $158,363,146)					159,660,839

Other Assets, Less Liabilities — (38.9)%					(44,662,272	)


Net Assets — 100.0%				$	114,998,567

(a)	All or a portion of this security is on loan.

Investments in issuers considered to be affiliate(s) of the Fund during the year ended October 31, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

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

For the period ended October 31, 2021, the effect of derivative financial instruments in the Statement of Operations was as follows:

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

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

The following table summarizes the Fund’s financial instruments categorized in the fair value hierarchy. The breakdown of the Fund’s financial instruments into major categories is disclosed in the Schedule of Investments above.

iShares 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 financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure 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. Below is a summary of significant accounting policies:

Investment Transactions and Income Recognition: For financial reporting purposes, investment transactions are recorded on the dates the transactions are executed (the “trade dates”). Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend date. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. Interest income, including amortization and accretion of premiums and discounts on debt securities, and payment-in-kind interest are recognized daily on an accrual basis.

Segregation and Collateralization: In cases where the Fund enters into certain investments (e.g., dollar rolls, TBA sale commitments and futures contracts) that would be treated as “senior securities” for 1940 Act purposes, the Fund may segregate or designate on its books and record cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Fund may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.

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 (“NAV”) 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. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on accumulated earnings (loss) or the net asset value 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.

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. 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. The Fund determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of the Trust (the “Board”). If a security’s market price is not readily available or does not otherwise accurately represent the fair value of the security, the security will be valued in accordance with a policy approved by the Board as reflecting fair value. 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:

If events (e.g., market volatility, company announcement or a natural disaster) occur that are expected to materially affect the value of such 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 a policy 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 cost approach. Valuation techniques such as discounted cash flow, use of market comparables and matrix pricing are types of valuation approaches and are typically used in determining fair value. When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that the 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. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis.

Fair value pricing could result in a difference between the prices used to calculate a fund’s NAV and the prices used by the fund’s underlying index, which in turn could result in a difference between the fund’s performance and the performance of the fund’s underlying index.

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:

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 judgment 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. Investments classified within Level 3 have significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by privately held companies or funds that may not have a secondary market and/or may have a limited number of investors. 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.

TBA Commitments: TBA commitments are forward agreements for the purchase or sale of securities, including mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and mortgage terms. When entering into TBA commitments, a fund may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date, if there are expenses or delays in connection with the TBA transactions, or if the counterparty fails to complete the transaction.

Mortgage Dollar Roll Transactions: The Fund may sell TBA mortgage-backed securities and simultaneously contract to repurchase substantially similar (i.e., same type, coupon and maturity) securities on a specific future date at an agreed upon price. During the period between the sale and repurchase, a fund is not entitled to receive interest and principal payments on the securities sold. Mortgage dollar roll transactions are treated as purchases and sales and a fund realizes gains and losses on these transactions. Mortgage dollar rolls involve the risk that the market value of the securities that a fund is required to purchase may decline below the agreed upon repurchase price of those securities.

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 period end, any securities on loan were collateralized by cash and/or U.S. Government obligations. Cash collateral invested in money market funds managed by BlackRock Fund Advisors (“BFA”), the Fund’s investment adviser, or its affiliates is disclosed in the Schedule of Investments. Any non-cash collateral received cannot be sold, re-invested or pledged by the Fund, except in the event of borrower default. The securities on loan, if any, are also disclosed in the Fund’s Schedule of Investments. The market value of any securities on loan and the value of any related cash collateral are disclosed in the Statement of Assets and Liabilities.

Securities lending transactions are entered into by the 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. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Fund can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

As of period end, the following table is a summary of the securities on loan by counterparty which are subject to offset under an MSLA:

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.

Futures Contracts: Futures contracts are purchased or sold to gain exposure to, or manage exposure to, changes in interest rates (interest rate risk) and changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).

Futures contracts are exchange-traded agreements between the Fund and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract. Amounts pledged, which are considered restricted, are included in cash pledged for futures contracts in the Statement of Assets and Liabilities.

Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, are shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the notional amount of the contract at the time it was opened and the notional amount at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest rates, foreign currency exchange rates or underlying assets.

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. Under the Investment Advisory Agreement, BFA is responsible for substantially all expenses of the Fund, except (i) interest and taxes; (ii) brokerage commissions and other expenses connected with the execution of portfolio transactions; (iii) distribution fees; (iv) the advisory fee payable to BFA; and (v) litigation expenses and any extraordinary expenses (in each case as determined by a majority of the independent trustees).

For its investment advisory services to the Fund, BFA is entitled to an annual investment advisory fee of 0.25%, accrued daily and paid monthly by the Fund, based on the average daily net assets of the Fund.

Expense Waivers: A fund may incur its pro rata share of fees and expenses attributable to its investments in other investment companies (“acquired fund fees and expenses”). The total of the investment advisory fee and acquired fund fees and expenses, if any, is a fund’s total annual operating expenses. Total expenses as shown in the Statement of Operations does not include acquired fund fees and expenses.

BFA has contractually agreed to waive a portion of its investment advisory fee for the Fund through February 29, 2024 in an amount equal to the acquired fund fees and expenses, if any, attributable to the Fund’s investments in other registered investment companies advised by BFA or its affiliates.

This amount is included in investment advisory fees waived in the Statement of Operations. For the year ended October 31, 2021, the amounts waived in investment advisory fees pursuant to this arrangement were as follows:

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 investment fees”). The cash collateral is invested in a money market fund, BlackRock Cash Funds: Institutional or BlackRock Cash Funds: Treasury, 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 SL Agency 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 the remaining portion to BTC as compensation for its services as securities lending agent.

Pursuant to the current securities lending agreement, the Fund retains 82% of securities lending income (which excludes collateral investment fees), and the 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 generated across all 1940 Act iShares exchange-traded funds (the “iShares ETF Complex”) in that calendar year exceeds a specified threshold, the Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year 85% of securities lending income (which excludes collateral investment fees) and the amount retained can never be less than 70% 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 year ended October 31, 2021, the Fund paid BTC $3,546 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.

Other Transactions: Cross trading is the buying or selling of portfolio securities between funds to which BFA (or an affiliate) serves as investment adviser. At its regularly scheduled quarterly meetings, the Board reviews such transactions as of the most recent calendar quarter for compliance with the requirements and restrictions set forth by Rule 17a-7.

For the year ended October 31, 2021, transactions executed by the Fund pursuant to Rule 17a-7 under the 1940 Act were as follows:

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.

A fund, in order to improve its portfolio liquidity and its ability to track its underlying index, may invest in shares of other iShares funds that invest in securities in the fund’s underlying index.

For the year ended October 31, 2021, purchases and sales of investments, including mortgage dollar rolls and excluding short-term investments and in-kind transactions, were as follows:

The Fund is treated as an entity separate from the Trust’s other funds for federal income tax purposes. It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of its taxable income to its shareholders. Therefore, no U.S. federal income tax provision is required.

Management has analyzed tax laws and regulations and their application to the Fund as of October 31, 2021, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Fund’s financial statements.

U.S. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or NAV per share. As of October 31, 2021, permanent differences attributable to distributions paid in excess of taxable income and realized gains (losses) from in-kind redemptions were reclassified to the following accounts:

As of October 31, 2021, the tax components of accumulated net earnings (losses) were as follows:

For the year ended October 31, 2021, the Fund utilized $233,200 of its capital loss carryforwards.

As of October 31, 2021, 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:

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. 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 Fund’s prospectus provides details of the risks to which the Fund is subject.

BFA uses a “passive” or index approach to try to achieve the Fund’s investment objective following the securities included in its underlying index during upturns as well as downturns. BFA does not take steps to reduce market exposure or to lessen the effects of a declining market. Divergence from the underlying index and the composition of the portfolio is monitored by BFA.

The Fund may be exposed to additional risks when reinvesting cash collateral in money market funds that do not seek to maintain a stable NAV per share of $1.00, which may be subject to redemption gates or liquidity fees under certain circumstances.

Market Risk: The Fund may be exposed to prepayment risk, which is the risk that borrowers may exercise their option to prepay principal earlier than scheduled during periods of declining interest rates, which would force the Fund to reinvest in lower yielding securities. The Fund may also be exposed to reinvestment risk, which is the risk that income from the Fund’s portfolio will decline if the Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below the Fund portfolio’s current earnings rate.

An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, 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. This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.

Valuation Risk: The market values of equities, such as common stocks and preferred securities or equity related investments, such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. A fund may invest in illiquid investments. An illiquid investment is any investment that a fund reasonably expects cannot be sold or disposed of in current market conditions in seven calendar days or less without the sale or disposition significantly changing the market value of the investment. A fund may experience difficulty in selling illiquid investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause a fund’s NAV to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the NAV of a fund may lose value, regardless of the individual results of the securities and other instruments in which a fund invests.

Counterparty Credit Risk: The Fund may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions, including making timely interest and/or principal payments or otherwise honoring its obligations. The Fund manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Fund to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Fund’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Fund.

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

With exchange-traded futures, there is less counterparty credit risk to the Fund since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Fund.

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.

The Fund invests a significant portion of its assets in fixed-income securities and/or use derivatives tied to the fixed-income markets. Changes in market interest rates or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bonds and other fixed-income securities will increase as interest rates fall and decrease as interest rates rise. The Fund may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

The Fund invests a significant portion of its assets in securities backed by commercial or residential mortgage loans or in issuers that hold mortgage and other asset-backed securities. When a Fund concentrates its investments in this manner, it assumes a greater risk of prepayment or payment extension by securities issuers. Changes in economic conditions, including delinquencies and/or defaults on assets underlying these securities, can affect the value, income and/or liquidity of such positions. Investment percentages in these securities are presented in the Schedule of Investments.

LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”). Although many LIBOR rates will be phased out by the end of 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The Fund may be exposed to financial instruments tied to LIBOR to determine payment obligations, financing terms, hedging strategies or investment value. The transition process away from LIBOR might lead to increased volatility and illiquidity in markets for, and reduce the effectiveness of new hedges placed against, instruments whose terms currently include LIBOR. The ultimate effect of the LIBOR transition process on the Fund is uncertain.

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.

The consideration for the purchase of Creation Units of a fund in the Trust generally consists of the in-kind deposit of a designated portfolio of securities and a specified amount of cash. Certain funds in the Trust 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 relevant 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.

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.

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.

To the Board of Trustees of iShares Trust and Shareholders of iShares U.S. Fixed Income Balanced Risk Factor ETF

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of iShares U.S. Fixed Income Balanced Risk Factor ETF (one of the funds constituting iShares Trust, referred to hereafter as the “Fund”) as of October 31, 2021, the related statement of operations for the year ended October 31, 2021, the statements of changes in net assets for each of the two years in the period ended October 31, 2021, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of October 31, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended October 31, 2021 and the financial highlights for each of the five years in the period ended October 31, 2021 in conformity with accounting principles generally accepted in the United States of America.

These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

We have served as the auditor of one or more BlackRock investment companies since 2000.

The Fund hereby designates the following amount, or maximum amount allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended October 31, 2021:

The Fund hereby designates the following amount, or maximum amount allowable by law, as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended October 31, 2021:

Under Section 15(c) of the Investment Company Act of 1940 (the “1940 Act”), the Trust’s Board of Trustees (the “Board”), including a majority of Board Members who are not “interested persons” of the Trust (as that term is defined in the 1940 Act) (the “Independent Board Members), is required annually to consider and approve the Investment Advisory Agreement between the Trust and BFA (the “Advisory Agreement”) whereby the Board and its committees (composed solely of Independent Board Members) assess BlackRock’s services to the Fund, including investment management; fund accounting; administrative and shareholder services; oversight of the Fund’s service providers; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements. The Independent Board Members requested, and BFA provided, such information as the Independent Board Members, with advice from independent counsel, deemed reasonably necessary to evaluate the Advisory Agreement. At meetings on May 7, 2021 and May 14, 2021, a committee composed of all of the Independent Board Members (the “15(c) Committee”), with independent counsel, met with management and reviewed and discussed information provided in response to initial requests of the 15(c) Committee and/or its independent counsel, and requested certain additional information, which management agreed to provide. At a meeting held on June 15-16, 2021, the Board, including the Independent Board Members, reviewed the additional information provided by management in response to these requests.

After extensive discussions and deliberations, the Board, including all of the Independent Board Members, approved the continuance of the Advisory Agreement for the Fund, based on a review of qualitative and quantitative information provided by BFA and their cumulative experience as Board Members. The Board noted its satisfaction with the extent and quality of information provided and its frequent interactions with management, as well as the detailed responses and other information provided by BFA. The Independent Board Members were advised by their independent counsel throughout the process, including about the legal standards applicable to their review. In approving the continuance of the Advisory Agreement for the Fund, the Board, including the Independent Board Members, considered various factors, including: (i) the expenses and performance of the Fund; (ii) the nature, extent and quality of the services provided by BFA; (iii) the costs of services provided to the Fund and profits realized by BFA and its affiliates; (iv) potential economies of scale and the sharing of related benefits; (v) the fees and services provided for other comparable funds/accounts managed by BFA and its affiliates; and (vi) other benefits to BFA and/or its affiliates. The material factors, none of which was controlling, and conclusions that formed the basis for the Board, including the Independent Board Members, to approve the continuance of the Advisory Agreement are discussed below.

Expenses and Performance of the Fund: The Board reviewed statistical information prepared by Broadridge Financial Solutions Inc. (“Broadridge”), an independent provider of investment company data, regarding the expense ratio components, including gross and net total expenses, fees and expenses of another fund in which the Fund invests (if applicable), and waivers/reimbursements (if applicable) of the Fund in comparison with the same information for other ETFs (including, where applicable, funds sponsored by an “at cost” service provider), objectively selected by Broadridge as comprising the Fund’s applicable peer group pursuant to Broadridge’s proprietary ETF methodology (the “Peer Group”). The Board was provided with a detailed description of the proprietary ETF methodology used by Broadridge to determine the Fund’s Peer Group. The Board noted that, due to the limitations in providing comparable funds in the Peer Group, the statistical information provided in Broadridge’s report may or may not provide meaningful direct comparisons to the Fund in all instances. The Board also noted that overall fund expenses (net of waivers and reimbursements) for the Fund were lower than the median of the overall fund expenses (net of waivers and reimbursements ) of the funds in its Peer Group, excluding iShares funds.

In addition, to the extent that any of the comparison funds included in the Peer Group, excluding iShares funds, track the same index as the Fund, Broadridge also provided, and the Board reviewed, a comparison of the Fund’s performance for the one-year, three-year, five-year, ten-year, and since inception periods, as applicable, and for the quarter ended December 31, 2021, to that of relevant comparison fund(s) for the same periods. The Board noted that the Fund seeks to track its specified underlying index and that, during the year, the Board received periodic reports on the Fund’s short- and longer-term performance in comparison with its underlying index. Such periodic comparative performance information, including additional detailed information as requested by the Board, was also considered. The Board noted that the Fund generally performed in line with its underlying index over the relevant periods.

Based on this review, the other factors considered at the meeting, and their general knowledge of ETF pricing, the Board concluded that the investment advisory fee rate and expense level and the historical performance of the Fund supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.

Nature, Extent and Quality of Services Provided: Based on management’s representations, including information about recent and proposed enhancements to the iShares business, including with respect to capital markets support and analysis, technology, portfolio management, product design and quality, compliance and risk management, global public policy and other services, the Board expected that there would be no diminution in the scope of services required of or provided by BFA under the Advisory Agreement for the coming year as compared with the scope of services provided by BFA during prior years. In reviewing the scope of these services, the Board considered BFA’s investment philosophy and experience, noting that BFA and its affiliates have committed significant resources over time, including during the past year, to support the iShares funds and their shareholders and have made significant investments into the iShares business. The Board also considered BFA’s compliance program and its compliance record with respect to the Fund. In that regard, the Board noted that BFA reports to the Board about portfolio management and compliance matters on a periodic basis in connection with regularly scheduled meetings of the Board, and on other occasions as necessary and appropriate, and has provided information and made relevant officers and other employees of BFA (and its affiliates) available as needed to provide further assistance with these matters. The Board also reviewed the background and experience of the persons responsible for the day-to-day management of the Fund, as well as the resources available to them in managing the Fund. In addition to the above considerations, the Board reviewed and considered detailed presentations regarding BFA’s investment performance, investment and risk management processes and strategies, which were provided at the May 7, 2021 meeting and throughout the year.

Based on review of this information, and the performance information discussed above, the Board concluded that the nature, extent and quality of services provided to the Fund under the Advisory Agreement supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.

Costs of Services Provided to the Fund and Profits Realized by BFA and its Affiliates: The Board reviewed information about the estimated profitability to BlackRock in managing the Fund, based on the fees payable to BFA and its affiliates (including fees under the Advisory Agreement), and other sources of revenue and expense to BFA and its affiliates from the Fund’s operations for the last calendar year. The Board reviewed BlackRock’s methodology for calculating estimated profitability of the iShares funds, noting that the 15(c) Committee and the Board had focused on the methodology and profitability presentation. The Board recognized that profitability may be affected

by numerous factors, including, among other things, fee waivers by BFA, the types of funds managed, expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at individual fund levels is challenging. The Board discussed with management the sources of direct and ancillary revenue, including the revenues to BTC, a BlackRock affiliate, from securities lending by the Fund. The Board also discussed BFA’s estimated profit margin as reflected in the Fund’s profitability analysis and reviewed information regarding potential economies of scale (as discussed below).

Based on this review, the Board concluded that the profits realized by BFA and its affiliates under the Advisory Agreement and from other relationships between the Fund and BFA and/or its affiliates, if any, were within a reasonable range in light of the factors and other information considered.

Economies of Scale: The Board reviewed information and considered the extent to which economies of scale might be realized as the assets of the Fund increase, noting that the issue of potential economies of scale had been focused on by the 15(c) Committee and the Board during their meetings and addressed by management. The 15(c) Committee and the Board received information regarding BlackRock’s historical estimated profitability, including BFA’s and its affiliates’ estimated costs in providing services. The estimated cost information distinguished, among other things, between fixed and variable costs, and showed how the level and nature of fixed and variable costs may impact the existence or size of scale benefits, with the Board recognizing that potential economies of scale are difficult to measure. The 15(c) Committee and the Board reviewed information provided by BFA regarding the sharing of scale benefits with the iShares funds through various means, including, as applicable, through relatively low fee rates established at inception, breakpoints, waivers, or other fee reductions, as well as through additional investment in the iShares business and the provision of improved or additional infrastructure and services to the iShares funds and their shareholders. The Board noted that the Advisory Agreement for the Fund did not provide for breakpoints in the Fund’s investment advisory fee rate as the assets of the Fund increase. However, the Board would continue to assess the appropriateness of adding breakpoints in the future.

The Board concluded that this review of potential economies of scale and the sharing of related benefits, as well as the other factors considered at the meeting, supported the Board’s approval of the continuance of the Advisory Agreement for the coming year.

Fees and Services Provided for Other Comparable Funds/Accounts Managed by BFA and its Affiliates: The Board considered information regarding the investment advisory/management fee rates for other funds/accounts in the U.S. for which BFA (or its affiliates) provides investment advisory/management services, including open-end funds registered under the 1940 Act (including sub-advised funds), collective trust funds, and institutional separate accounts (collectively, the “Other Accounts”). The Board acknowledged BFA’s representation that the iShares funds are fundamentally different investment vehicles from the Other Accounts.

The Board received detailed information regarding how the Other Accounts generally differ from the Fund, including in terms of the types of services and generally more extensive services provided to the Fund, as well as other significant differences. In that regard, the Board considered that the pricing of services to institutional clients is typically based on a number of factors beyond the nature and extent of the specific services to be provided and often depends on the overall relationship between the client and its affiliates and the adviser and its affiliates. In addition, the Board considered the relative complexity and inherent risks and challenges of managing and providing other services to the Fund, as a publicly traded investment vehicle, as compared to the Other Accounts, particularly those that are institutional clients, in light of differing regulatory requirements and client-imposed mandates. The Board noted that BFA and its affiliates do not manage Other Accounts with substantially the same investment objective and strategy as the Fund and that track the same index as the Fund. The Board also acknowledged management’s assertion that, for certain iShares funds, and for client segmentation purposes, BlackRock has launched an iShares fund that may provide a similar investment exposure at a lower investment advisory fee rate.

The Board also considered the “all-inclusive” nature of the Fund’s advisory fee structure, and the Fund’s expenses borne by BFA under this arrangement. The Board noted that the investment advisory fee rate under the Advisory Agreement for the Fund was generally higher than the investment advisory/management fee rates for certain of the Other Accounts (particularly institutional clients) and concluded that the differences appeared to be consistent with the factors discussed.

Other Benefits to BFA and/or its Affiliates: The Board reviewed other benefits or ancillary revenue received by BFA and/or its affiliates in connection with the services provided to the Fund by BFA, both direct and indirect, including, but not limited to, payment of revenue to BTC, the Fund’s securities lending agent, for loaning portfolio securities (which was included in the profit margins reviewed by the Board pursuant to BFA’s estimated profitability methodology), payment of advisory fees or other fees to BFA (or its affiliates) in connection with any investments by the Fund in other funds for which BFA (or its affiliates) provides investment advisory services or other services, and BlackRock’s profile in the investment community. The Board also noted the revenue received by BFA and/or its affiliates pursuant to (i) an agreement that permits a service provider to use certain portions of BlackRock’s technology platform to service accounts managed by BFA and/or its affiliates, including the iShares funds and (ii) other technology-related initiatives aimed to better support the iShares funds. The Board further noted that BFA generally does not use soft dollars or consider the value of research or other services that may be provided to BFA (including its affiliates) in selecting brokers for portfolio transactions for the Fund. The Board concluded that any such ancillary benefits would not be disadvantageous to the Fund and thus would not alter the Board’s conclusion with respect to the appropriateness of approving the continuance of the Advisory Agreement for the coming year.

Conclusion: Based on a review of the factors described above, as well as such other factors as deemed appropriate by the Board, the Board, including all of the Independent Board Members, determined that the Fund’s investment advisory fee rate under the Advisory Agreement does not constitute a fee that is so disproportionately large as to bear no reasonable relationship to the services rendered and that could not have been the product of arm’s-length bargaining, and concluded to approve the continuance of the Advisory Agreement for the coming year.

On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Fund will be required to implement and comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager.

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.

Information on the Fund’s net asset value, market price, premiums and discounts, and bid-ask spreads can be found at iShares.com.

The Board of Trustees has responsibility for the overall management and operations of the Funds, including general supervision of the duties performed by BFA and other service providers. Each Trustee serves until he or she resigns, is removed, dies, retires or becomes incapacitated. Each officer shall hold office until his or her successor is elected and qualifies or until his or her death, resignation or removal. Trustees who are not “interested persons” (as defined in the 1940 Act) of the Trust are referred to as independent trustees (“Independent Trustees”).

The registered investment companies advised by BFA or its affiliates (the “BlackRock-advised Funds”) are organized into one complex of open-end equity, multi-asset, index and money market funds and ETFs (the “BlackRock Multi-Asset Complex”), one complex of closed-end funds and open-end non-index fixed-income funds (including ETFs) (the “BlackRock Fixed-Income Complex”) and one complex of ETFs (“Exchange-Traded Fund Complex”) (each, a “BlackRock Fund Complex”). Each Fund is included in the Exchange-Traded Fund Complex. Each Trustee also serves as a Director of iShares, Inc. and a Trustee of iShares U.S. ETF Trust and, as a result, oversees all of the funds within the Exchange-Traded Fund Complex, which consists of 375 funds as of October 31, 2021. With the exception of Robert S. Kapito, Salim Ramji and Charles Park, the address of each Trustee and officer is c/o BlackRock, Inc., 400 Howard Street, San Francisco, CA 94105. The address of Mr. Kapito, Mr. Ramji and Mr. Park is c/o BlackRock, Inc., Park Avenue Plaza, 55 East 52^nd Street, New York, NY 10055. The Board has designated Cecilia H. Herbert as its Independent Board Chair. Additional information about the Funds’ Trustees and officers may be found in the Funds’ combined Statement of Additional Information, which is available without charge, upon request, by calling toll-free 1-800-iShares (1-800-474-2737).

Shareholders can sign up for email notifications announcing that the shareholder report or prospectus has been posted on the iShares website at iShares.com. Once you have enrolled, you will no longer receive prospectuses and shareholder reports in the mail.

Householding is an option available to certain fund investors. Householding is a method of delivery, based on the preference of the individual investor, in which a single copy of certain shareholder documents and Rule 30e-3 notices can be delivered to investors who share the same address, even if their accounts are registered under different names. Please contact your broker-dealer if you are interested in enrolling in householding and receiving a single copy of prospectuses and other shareholder documents, or if you are currently enrolled in householding and wish to change your householding status.

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. The Fund’s Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, the Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at iShares.com/fundreports.

A description of the policies and procedures that the iShares Funds use to determine how to vote proxies relating to portfolio securities and information about how the iShares Funds voted proxies relating to portfolio securities during the most recent twelve-month period ending June 30 is available without charge, upon request (1) by calling toll-free 1-800-474-2737; (2) on the iShares website at iShares.com; and (3) on the SEC website at sec.gov.

A description of the Company’s policies and procedures with respect to the disclosure of the Fund’s portfolio securities is available in the Fund Prospectus. The Fund discloses its portfolio holdings daily and provides information regarding its top holdings in Fund fact sheets at iShares.com.

This report is intended for the Fund’s shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current prospectus.

The iShares Funds are distributed by BlackRock Investments, LLC (together with its affiliates, “BlackRock”).

The iShares Funds are not sponsored, endorsed, issued, sold or promoted by Bloomberg Index Services Limited, nor does this company make any representation regarding the advisability of investing in the iShares Funds. BlackRock is not affiliated with the company listed above.


	Average Annual Total Returns									Cumulative Total Returns

	1 Year			5 Years			Since Inception			1 Year			5 Years			Since Inception

Fund NAV		0.57	%		2.78	%		2.94	%		0.57	%		14.68	%		21.34	%
Fund Market		0.62			2.75			2.93			0.62			14.54			21.33
Index		0.70			2.93			3.08			0.70			15.51			22.44


Actual					Hypothetical 5% Return

	Beginning Account Value (05/01/21)	Ending Account Value (10/31/21)	Expenses Paid During the Period	^(a)		Beginning Account Value (05/01/21)	Ending Account Value (10/31/21)	Expenses Paid During the Period	^(a)	Annualized Expense Ratio

	$ 1,000.00	$ 1,005.30	$ 1.21			$ 1,000.00	$ 1,024.00	$ 1.22		0.24	%



Moody’s Credit Rating^*		Percent of Total Investments^(a)

Aaa		2.1%
Aa		0.4
A		69.2
Baa		10.3
Ba		10.9
B		6.1
Caa		0.5
Not Rated		0.5



Maturity		Percent of Total Investments^(a)

0-1 Year		0.9%
1-5 Years		19.2
5-10 Years		23.2
10-15 Years		4.5
15-20 Years		4.9
More than 20 Years		47.3




Description	Number of Contracts			Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)


Long Contracts
U.S. Long Bond		37			12/21/21	$	5,950	$	(71,818	)
Ultra Long U.S. Treasury Bond		41			12/21/21		8,054		6,300


									(65,518	)


Short Contracts 10-Year U.S. Treasury Note		(3	)		12/21/21		392		2,847
10-Year U.S. Ultra Long Treasury Bond		(6	)		12/21/21		870		14,830
5-Year U.S. Treasury Note		(33	)		12/31/21		4,016		60,845
Ultra Long U.S. Treasury Bond		(9	)		12/31/21		1,973		8,624


									87,146


								$	21,628


2		T H I S P A G E I S N O T P A R T O F Y O U R F U N D R E P O R T


		Page

The Markets in Review		2

Market Overview		4

Fund Summary		5

About Fund Performance		7

Shareholder Expenses		7

Schedule of Investments		8

Financial Statements

Statement of Assets and Liabilities		20

Statement of Operations		21

Statements of Changes in Net Assets		22

Financial Highlights		23

Notes to Financial Statements		24

Report of Independent Registered Public Accounting Firm		31

Important Tax Information (Unaudited)		32

Board Review and Approval of Investment Advisory Contract		33

Supplemental Information		35

Trustee and Officer Information		36

General Information		38

Glossary of Terms Used in this Report		39


4		2 0 2 1 I S H A R E S A N N U A L R E P O R T T O S H A R E H O L D E R S


Fund Summary as of October 31, 2021		iShares^® U.S. Fixed Income Balanced Risk Factor ETF


Fund Summary as of October 31, 2021 (continued)		iShares^® U.S. Fixed Income Balanced Risk Factor ETF


A B O U T F U N D P E R F O R M A N C E / S H A R E H O L D E R E X P E N S E S		7




Affiliated Issuer	Value at 10/31/20		Purchases at Cost			Proceeds from Sales		Net Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)		Value at 10/31/21		Shares Held at 10/31/21 (000)		Income			Capital Gain Distributions from Underlying Funds


BlackRock Cash Funds: Institutional, SL Agency Shares	$	11,094,625	$	2,828,194	^(a)	$	—	$	(2,535	)	$	803	$	13,921,087		13,914	$	16,360	^(b)	$	—
BlackRock Cash Funds: Treasury, SL Agency Shares		100,000		—			—		—			—		100,000		100		29			—


								$	(2,535	)	$	803	$	14,021,087			$	16,389		$	—




	Interest Rate Contracts


Assets — Derivative Financial Instruments
Futures contracts
Unrealized appreciation on futures contracts^(a)	$	93,446


Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts^(a)	$	71,818




	Interest Rate Contracts


Net Realized Gain (Loss) from:
Futures contracts	$	(530,464	)


Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	241,417




Futures contracts:
Average notional value of contracts — long			$11,495,284
Average notional value of contracts — short			$(7,355,891)




	Level 1			Level 2			Level 3		Total


Investments
Assets
Corporate Bonds & Notes	$	—		$	58,087,860		$	—	$	58,087,860
U.S. Government Agency Obligations		—			98,402,543			—		98,402,543
Money Market Funds		14,021,087			—			—		14,021,087


		14,021,087			156,490,403			—		170,511,490

Liabilities
TBA Sales Commitments		—			(10,850,651	)		—		(10,850,651	)


	$	14,021,087		$	145,639,752		$	—	$	159,660,839

Derivative financial instruments^(a)
Assets
Futures Contracts	$	93,446		$	—		$	—	$	93,446
Liabilities
Futures Contracts		(71,818	)		—			—		(71,818	)


	$	21,628		$	—		$	—	$	21,628


	iShares U.S. Fixed Income Balanced Risk Factor ETF


ASSETS
Investments in securities, at value (including securities on loan)^(a):
Unaffiliated^(b)	$	156,490,403
Affiliated^(c)		14,021,087
Cash pledged:
Futures contracts		393,000
Receivables:
Investments sold		69,567
Securities lending income — Affiliated		843
Variation margin on futures contracts		47,428
TBA sales commitments		10,816,615
Dividends		590
Interest		686,268


Total assets		182,525,801


LIABILITIES
Collateral on securities loaned, at value		3,156,398
TBA sales commitments, at value^(d)		10,850,651
Payables:
Investments purchased		53,494,472
Capital shares redeemed		2,054
Investment advisory fees		23,659


Total liabilities		67,527,234


NET ASSETS	$	114,998,567


NET ASSETS CONSIST OF:
Paid-in capital	$	115,699,333
Accumulated loss		(700,766	)


NET ASSETS	$	114,998,567


Shares outstanding		1,150,000


Net asset value	$	100.00


Shares authorized		Unlimited


Par value		None


^(a) Securities loaned, at value	$	3,050,490
^(b) Investments, at cost — Unaffiliated	$	155,160,873
^(c) Investments, at cost — Affiliated	$	14,018,888
^(d) Proceeds from TBA sales commitments	$	10,816,615


	iShares U.S. Fixed Income Balanced Risk Factor ETF


INVESTMENT INCOME
Dividends — Unaffiliated	$	9
Dividends — Affiliated		7,089
Interest — Unaffiliated		2,431,859
Securities lending income — Affiliated — net		9,300
Other income — Unaffiliated		326


Total investment income		2,448,583


EXPENSES
Investment advisory fees		300,615
Miscellaneous		173


Total expenses		300,788

Less:
Investment advisory fees waived		(5,677	)


Total expenses after fees waived		295,111


Net investment income		2,153,472


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — Unaffiliated		522,858
Investments — Affiliated		(2,535	)
In-kind redemptions — Unaffiliated		305,760
Futures contracts		(530,464	)


Net realized gain		295,619

Net change in unrealized appreciation (depreciation) on:
Investments — Unaffiliated		(1,906,881	)
Investments — Affiliated		803
Futures contracts		241,417


Net change in unrealized appreciation (depreciation)		(1,664,661	)


Net realized and unrealized loss		(1,369,042	)


NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	784,430


	iShares U.S. Fixed Income Balanced Risk Factor ETF


	Year Ended 10/31/21			Year Ended 10/31/20


INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	2,153,472		$	4,028,778
Net realized gain		295,619			459,939
Net change in unrealized appreciation (depreciation)		(1,664,661	)		(759,507	)


Net increase in net assets resulting from operations		784,430			3,729,210


DISTRIBUTIONS TO SHAREHOLDERS^(a)
From net investment income		(2,338,575	)		(4,367,197	)
Return of capital		—			(123,080	)


Decrease in net assets resulting from distributions to shareholders		(2,338,575	)		(4,490,277	)


CAPITAL SHARE TRANSACTIONS
Net decrease in net assets derived from capital share transactions		(15,239,332	)		(9,620,236	)


NET ASSETS
Total decrease in net assets		(16,793,477	)		(10,381,303	)
Beginning of year		131,792,044			142,173,347


End of year	$	114,998,567		$	131,792,044


	iShares U.S. Fixed Income Balanced Risk Factor ETF


	Year Ended 10/31/21				Year Ended 10/31/20				Year Ended 10/31/19				Year Ended 10/31/18				Year Ended 10/31/17


Net asset value, beginning of year		$	101.38			$	101.55			$	95.83			$	100.57			$	100.60


Net investment income^(a)			1.81				2.67				3.51				3.15				2.66
Net realized and unrealized gain (loss)^(b)			(1.22	)			0.11				5.73				(4.88	)			0.09


Net increase (decrease) from investment operations			0.59				2.78				9.24				(1.73	)			2.75


Distributions^(c)
From net investment income			(1.97	)			(2.87	)			(3.52	)			(3.01	)			(2.70	)
From net realized gain			—				—				—				—				(0.05	)
Return of capital			—				(0.08	)			—				—				(0.03	)


Total distributions			(1.97	)			(2.95	)			(3.52	)			(3.01	)			(2.78	)


Net asset value, end of year		$	100.00			$	101.38			$	101.55			$	95.83			$	100.57


Total Return^(d)
Based on net asset value			0.57	%			2.79	%			9.82	%			(1.73	)%			2.79	%


Ratios to Average Net Assets
Total expenses			0.25	%			0.25	%			0.25	%			0.25	%			0.25	%


Total expenses after fees waived			0.25	%			0.24	%			0.25	%			0.24	%			0.24	%


Net investment income			1.79	%			2.65	%			3.55	%			3.22	%			2.66	%


Supplemental Data
Net assets, end of year (000)		$	114,999			$	131,792			$	142,173			$	110,203			$	130,741


Portfolio turnover rate^(e)(f)			546	%			703	%			504	%			633	%			683	%



iShares ETF	Diversification Classification

U.S. Fixed Income Balanced Risk Factor		Diversified	^(a)




iShares ETF and Counterparty		Market Value of Securities on Loan		Cash Collateral Received	^(a)		Non-Cash Collateral Received		Net Amount

U.S. Fixed Income Balanced Risk Factor
Barclays Bank PLC	$	203,406	$	203,406		$	—	$	—
Barclays Capital, Inc.		13,021		13,021			—		—
BNP Paribas SA		622,657		622,657			—		—
BofA Securities, Inc.		357,553		357,553			—		—
Citadel Clearing LLC		116,027		116,027			—		—
Citigroup Global Markets, Inc.		229,210		229,210			—		—
Credit Suisse Securities (USA) LLC		59,252		59,252			—		—
Deutsche Bank Securities, Inc.		107,808		107,808			—		—
HSBC Securities (USA), Inc.		1,313		1,313			—		—
J.P. Morgan Securities LLC		1,238,105		1,238,105			—		—
State Street Bank & Trust Co.		50,760		50,760			—		—
Wells Fargo Securities LLC		51,378		51,378			—		—


	$	3,050,490	$	3,050,490		$	—	$	—



iShares ETF	Amounts waived

U.S. Fixed Income Balanced Risk Factor	$	5,677



iShares ETF	Purchases		Sales		Net Realized Gain (Loss)

U.S. Fixed Income Balanced Risk Factor	$	—	$	15,447	$	1,245



	U.S. Government Securities				Other Securities


iShares ETF	Purchases		Sales		Purchases		Sales

U.S. Fixed Income Balanced Risk Factor	$	802,048,259	$	816,785,509	$	28,732,689	$	26,085,612



iShares ETF	In-kind Purchases		In-kind Sales

U.S. Fixed Income Balanced Risk Factor	$	3,501,566	$	11,824,578



iShares ETF	Paid-in Capital		Accumulated Loss

U.S. Fixed Income Balanced Risk Factor	$	172,210	$	(172,210	)




iShares ETF	Year Ended 10/31/21		Year Ended 10/31/20


U.S. Fixed Income Balanced Risk Factor
Ordinary income	$	2,338,575	$	4,367,197
Return of capital		—		123,080

	$	2,338,575	$	4,490,277



iShares ETF	Non-expiring Capital Loss Carryforwards	^(a)	Net Unrealized Gains (Losses)	^(b)		Total

U.S. Fixed Income Balanced Risk Factor	$ (1,876,384	)	$ 1,175,618		$	(700,766	)



iShares ETF	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)

U.S. Fixed Income Balanced Risk Factor	$	169,301,836	$	2,086,171	$	(910,553	)	$	1,175,618


R E P O R T O F I N D E P E N D E N T R E G I S T E R E D P U B L I C A C C O U N T I N G F I R M		31



iShares ETF	Interest Dividends

U.S. Fixed Income Balanced Risk Factor	$	2,190,302



iShares ETF	Interest-Related Dividends

U.S. Fixed Income Balanced Risk Factor	$	1,870,973


B O A R D R E V I E W A N D A P P R O V A L O F I N V E S T M E N T A D V I S O R Y C O N T R A C T		33



	Total Cumulative Distributions for the Fiscal Year								% Breakdown of the Total Cumulative Distributions for the Fiscal Year


iShares ETF	Net Investment Income		Net Realized Capital Gains		Return of Capital		Total Per Share		Net Investment Income			Net Realized Capital Gains			Return of Capital			Total Per Share

U.S. Fixed Income Balanced Risk Factor^(a)	$	1.707700	$	—	$	0.263685	$	1.971385		87	%		—	%		13	%		100	%