
		FEBRUARY 28, 2022

2022 Annual Report

iShares Trust

iShares High Yield Bond Factor ETF | HYDB | Cboe BZX

iShares Investment Grade Bond Factor ETF | IGEB | Cboe BZX

iShares USD Bond Factor ETF | USBF | NASDAQ

The Markets in Review

Dear Shareholder,

The 12-month reporting period as of February 28, 2022 saw a continuation of the resurgent growth that followed the initial coronavirus (or “COVID-19”) pandemic reopening, albeit at a slower pace. The global economy weathered the emergence of several variant strains and the resulting peaks and troughs in infections amid optimism that increasing vaccinations and economic adaptation could help contain the pandemic’s disruptions. However, rapid changes in consumer spending led to supply constraints and elevated inflation. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the invasion has presented challenges for both investors and policymakers.

Equity prices were mixed, as persistently high inflation drove investors’ expectations for higher interest rates, which particularly weighed on relatively high valuation growth stocks and economically sensitive small-capitalization stocks. Overall, small-capitalization U.S. stocks declined, while large-capitalization U.S. stocks posted a solid advance. International equities from developed markets gained slightly, although emerging market stocks declined, pressured by rising interest rates and a strengthening U.S. dollar.

The 10-year U.S. Treasury yield (which is inversely related to bond prices) rose during the reporting period as the economy expanded rapidly and inflation reached its highest annualized reading in decades. In the corporate bond market, the improving economy assuaged credit concerns and led to modest returns for high-yield corporate bonds, outpacing the negative return of investment-grade corporate bonds.

The U.S. Federal Reserve (the “Fed”) maintained accommodative monetary policy during the reporting period by keeping near-zero interest rates. However, the Fed’s tone shifted during the period, as it reduced its bond-buying program and raised the prospect of higher rates in 2022. Continued high inflation and the Fed’s new stance led many analysts to anticipate that the Fed will raise interest rates multiple times throughout the year.

Looking ahead, however, the horrific war in Ukraine has significantly clouded the outlook for the global economy. Sanctions on Russia and general wartime disruption are likely to drive already-high commodity prices even further upwards, and we have already seen spikes in energy and metal markets. While this will exacerbate inflationary pressure, it could also constrain economic growth, making the Fed’s way forward less clear. Its challenge will be combating inflation without stifling a recovery that is now facing additional supply shocks.

In this environment, we favor an overweight to equities, as we believe low interest rates and continued economic growth will support further gains, albeit likely more modest than what we saw in 2021. 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. and other developed market equities have room for further growth, while we believe Chinese equities stand to gain from a more accommodative monetary and fiscal environment. 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.

Overall, 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 February 28, 2022
	6-Month	12-Month

U.S. large cap equities (S&P 500^® Index)	(2.62)%	16.39%

U.S. small cap equities (Russell 2000^® Index)	(9.46)	(6.01)

International equities (MSCI Europe, Australasia, Far East Index)	(6.78)	2.83

Emerging market equities (MSCI Emerging Markets Index)	(9.81)	(10.69)

3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index)	0.02	0.04

U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index)	(3.94)	(1.67)

U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index)	(4.07)	(2.64)

Tax-exempt municipal bonds (Bloomberg Municipal Bond Index)	(3.09)	(0.66)

U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index)	(3.07)	0.64
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.


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

Table of Contents


	Page
The Markets in Review		2
Market Overview		4
Fund Summary		5
About Fund Performance		10
Shareholder Expenses		10
Schedules of Investments		11
Financial Statements
Statements of Assets and Liabilities		33
Statements of Operations		34
Statements of Changes in Net Assets		35
Financial Highlights		37
Notes to Financial Statements		40
Report of Independent Registered Public Accounting Firm		49
Important Tax Information (Unaudited)		50
Board Review and Approval of Investment Advisory Contract		51
Statement Regarding Liquidity Risk Management Program		53
Supplemental Information		54
Trustee and Officer Information		55
General Information		58
Glossary of Terms Used in this Report		59

Market Overview

iShares Trust

U.S. Corporate Bond Market Overview

Despite rising U.S. Treasury yields and the emergence of geopolitical concerns, high-yield bonds delivered gains in the 12-month period that ended February 28, 2022. The Markit iBoxx USD Liquid Investment Grade and High Yield Indexes, broad measures of U.S. dollar-denominated investment-grade and high-yield corporate bond performance, returned -3.24% and 0.50%, respectively. High yield outpaced the domestic investment-grade market, as gauged by the -2.64% return of the Bloomberg U.S. Aggregate Bond Index.

High-yield bonds performed well for the majority of the reporting period, reflecting the favorable fundamental backdrop that was in place throughout 2021. As COVID-19 vaccines were rolled out and the economy steadily returned to a normal footing, growth and corporate earnings surged. Credit conditions improved in kind, boosting the outlook for below investment-grade companies. Rising oil prices also provided support by bolstering the profits and balance sheets of the many energy issuers represented in the high-yield space. Default rates across the asset class fell as a result, and the ratio of ratings upgrades to downgrades improved. Further, positive economic conditions raised the odds that many issues that had been downgraded into the high-yield market in 2020 would return to investment-grade status.

Supply-and-demand factors were an additional positive, with investors’ thirst for yield fueling steady inflows into the market. Much of the new supply came from issuers that refinanced existing debt to lengthen maturities or reduce their interest expense.

Perhaps most notably, high yield benefited from its lower degree of interest-rate sensitivity versus investment-grade bonds. This attribute was a positive at a time in which stronger growth and rising inflation prompted the U.S. Federal Reserve (“Fed”) to shift toward a tighter monetary policy. The Fed, in addition to reducing its stimulative quantitative easing program, indicated that it would begin raising interest rates in 2022. High-yield bonds, which tend to benefit from an improving growth outlook, held up much better in the face of rising rates than the fixed-income market as a whole.

The picture changed considerably in the final two months of the period following Russia’s invasion of Ukraine. The uncertainty surrounding the event, together with the disruptions it created in the economic outlook, weighed heavily on higher-risk assets across the board. High-yield bond prices fell sharply in response, leading to the largest downturn for the asset class since the coronavirus-driven slump of early 2020. Although the sell-off led to negative price performance for the indexes over the full 12 months, the shortfall was more than offset by contribution from income.


4		2 0 2 2 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 February 28, 2022		iShares^® High Yield Bond Factor ETF

Investment Objective

The iShares High Yield Bond Factor ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. dollar-denominated, high yield corporate bonds, as represented by the BlackRock High Yield Defensive Bond Index (the “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.

Performance


	Average Annual Total Returns				Cumulative Total Returns
	1 Year		Since Inception		1 Year		Since Inception
Fund NAV	0.63	%	5.40	%	0.63	%	27.60	%
Fund Market	0.96		5.47		0.96		28.00
Index	0.89		5.62		0.89		28.88
Bloomberg U.S. Corporate High Yield Index	0.64		4.88		0.64		24.70

LOGO

The inception date of the Fund was 7/11/17. The first day of secondary market trading was 7/13/17.

The Bloomberg U.S. Corporate High Yield Index is an unmanaged index that measures the USD-denominated, high yield, fixed-rate corporate bond market.

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 10 for more information.

Expense Example


Actual							Hypothetical 5% Return


	Beginning Account Value (09/01/21)		Ending Account Value (02/28/22)		Expenses Paid During the Period	^(a)		Beginning Account Value (09/01/21)		Ending Account Value (02/28/22)		Expenses Paid During the Period	^(a)	Annualized Expense Ratio

$	1,000.00	$	973.70	$	1.71		$	1,000.00	$	1,023.10	$	1.76		0.35	%

^(a)

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” for more information.


F U N D S U M M A R Y		5


Fund Summary as of February 28, 2022 (continued)		iShares^® High Yield Bond Factor ETF

Portfolio Management Commentary

High-yield defensive bonds posted a positive total return for the 12-month period ended February 28, 2022. This positive return was due to income, which outweighed the impact of falling prices. The Index outperformed the broader market, as represented by the Bloomberg U.S. Corporate High Yield Bond Index.

Positioning in the consumer cyclical sector, specifically a sector overweight in leisure and a sector underweight in automotive issues, helped results. An overweight in the basic industry sector also contributed. The Index’s slight underweight to BB rated securities and significant overweight to B rated issues contributed positively to performance.

Slight overweights in the energy and financial sectors were minor detractors. Additionally, an underweight to CCC rated bonds also detracted.

The Index’s shorter duration positioning detracted from its performance relative to the broad market during the summer of 2021. (Duration is a measure of interest rate sensitivity). However, this positioning made a positive contribution in the last four months of the period as markets priced in higher interest rates.

In terms of portfolio changes, the Index’s weightings in the basic industry and energy sectors increased and its holdings in consumer non-cyclicals declined. The Index’s holdings of BB-rated bonds fell, while its weighting in B-rated bonds rose in roughly equal measure. All of these changes were driven by the probability of default model, which informs the Index construction methodology.

As a result of the Index’s screening process based on probability of default and relative value, the portfolio was underweight on CCC rated bonds and overweight in B rated issues. In the early part of the reporting period, the Index had a slightly lower yield than the broader market. However, its yield tracked more closely from June 2021 onward. The Fund’s effective duration was consistently lower than that of the broad market for the entire reporting period.

Portfolio Information

ALLOCATION BY CREDIT QUALITY



Moody’s Credit Rating^*	Percent of Total Investments	^(a)
Baa	3.2	%
Ba	43.4
B	42.0
Caa	5.5
Not Rated	5.9

ALLOCATION BY MATURITY



Maturity	Percent of Total Investments	^(a)
1-5 Years	48.7	%
5-10 Years	43.6
10-15 Years	2.7
15-20 Years	0.3
More than 20 Years	4.7

Credit quality ratings shown reflect the ratings assigned by Moody’s Investors Service (“Moody’s”), a widely used independent, nationally recognized statistical rating organization. Moody’s credit ratings are opinions of the credit quality of individual obligations or of an issuer’s general creditworthiness. Investment grade ratings are credit ratings of Baa or higher. Below investment grade ratings are credit ratings of Ba or lower. Unrated investments do not necessarily indicate low credit quality. Credit quality ratings are subject to change.

^(a)

Excludes money market funds.


6		2 0 2 2 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 February 28, 2022		iShares^® Investment Grade Bond Factor ETF

Investment Objective

The iShares Investment Grade Bond Factor ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. dollar denominated investment-grade corporate bonds, as represented by the BlackRock Investment Grade Enhanced Bond Index (the “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.

Performance


	Average Annual Total Returns				Cumulative Total Returns
	1 Year		Since Inception		1 Year		Since Inception
Fund NAV	(3.57	)%	4.10	%	(3.57	)%	20.47	%
Fund Market	(3.25	)	4.14		(3.25	)	20.71
Index	(2.97	)	4.24		(2.97	)	21.22
Bloomberg U.S. Corporate Index	(3.40	)	3.65		(3.40	)	18.05

LOGO

The inception date of the Fund was 7/11/17. The first day of secondary market trading was 7/13/17.

The Bloomberg U.S. Corporate Index is an unmanaged index that measures the USD-denominated, investment grade, fixed-rate, taxable corporate bond market.

Expense Example


Actual							Hypothetical 5% Return


	Beginning Account Value (09/01/21)		Ending Account Value (02/28/22)		Expenses Paid During the Period	^(a)		Beginning Account Value (09/01/21)		Ending Account Value (02/28/22)		Expenses Paid During the Period	^(a)	Annualized Expense Ratio

	$ 1,000.00	$	938.70	$	0.87			$ 1,000.00	$	1,023.90	$	0.90		0.18	%

^(a)


F U N D S U M M A R Y		7


Fund Summary as of February 28, 2022 (continued)		iShares^® Investment Grade Bond Factor ETF

Portfolio Management Commentary

Investment-grade corporate bonds experienced a negative total return in the 12-month period ended February 28, 2022, as the impact of falling prices offset the contribution from income. All three segments of the Index—industrials, financials and utilities—lost ground. The utilities sector was the weakest performer of the three, but the impact was relatively limited due to the sector’s smaller Index weighting of approximately 10%. All of the market’s downturn occurred in the final two months of the period, when the prospect of the Fed tightening monetary policy coupled with Russia’s invasion of Ukraine led to a broad risk-off tone in the markets. The Index underperformed the broader market, as represented by the Bloomberg US Corporate Bond Index.

In terms of performance relative to the Bloomberg US Corporate Bond Index, the Index’s sizable overweight in BBB rated bonds detracted from performance. Some of the shortfall was offset by an underweight in A rated issues.

Relative to the Bloomberg US Corporate Bond Index, the Index held the largest overweights in the consumer non-cyclical and technology sectors. The former sector lagged the broader market, while the latter modestly outperformed. The Index’s largest underweight was in the banking sector.

Over the reporting period, the index slightly increased holdings of bonds in the energy and technology sectors and reduced its weighting in securities issued by consumer cyclical companies. The increase in energy and technology reflected the probability of default risk model and the relative value of these securities. The Index first screens out issuers with higher probability of default, and then tilts towards securities which offer higher default-adjusted yield spreads.

Portfolio Information

ALLOCATION BY CREDIT QUALITY



Moody’s Credit Rating^*	Percent of Total Investments	^(a)
Aaa	0.3	%
Aa	1.2
A	11.5
Baa	81.2
Ba	4.7
Not Rated	1.1

ALLOCATION BY MATURITY



Maturity	Percent of Total Investments	^(a)
0-1 Year	1.0	%
1-5 Years	27.9
5-10 Years	36.3
10-15 Years	4.4
15-20 Years	11.2
More than 20 Years	19.2

^(a)

Excludes money market funds.


8		2 0 2 2 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 February 28, 2022		iShares^® USD Bond Factor ETF

Investment Objective

The iShares USD Bond Factor ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. dollar-denominated bonds that are rated either investment grade or high-yield, as represented by the BlackRock USD Bond Factor Index (the “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.

Performance


	Cumulative Total Returns
	Since Inception
Fund NAV		(3.43)%
Fund Market		(3.35)
Index		(3.46)

For the fiscal period ended 2/28/22, the Fund did not have six months of performance and therefore line graphs are not presented.

The inception date of the Fund was 10/12/21. The first day of secondary market trading was 10/14/21.

Expense Example


Actual								Hypothetical 5% Return


	Beginning Account Value (10/12/21)	^(a)		Ending Account Value (02/28/22)		Expenses Paid During the Period	^(b)		Beginning Account Value (09/01/21)		Ending Account Value (02/28/22)		Expenses Paid During the Period	^(b)	Annualized Expense Ratio

	$ 1,000.00		$	965.70	$	0.60			$ 1,000.00	$	1,024.00	$	0.80		0.16	%

^(a)

Commencement of operations.

^(b)

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 139/365 for actual expenses and 181/365 for hypothetical expenses (to reflect the six month period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” for more information.

Portfolio Information

ALLOCATION BY CREDIT QUALITY



Moody’s Credit Rating^*	Percent of Total Investments	^(a)
Aaa	30.6	%
Aa	4.4
A	16.7
Baa	41.2
Ba	2.7
B	1.2
Caa	0.1
Not Rated	3.1

ALLOCATION BY MATURITY



Maturity	Percent of Total Investments	^(a)
1-5 Years	19.1	%
5-10 Years	39.8
10-15 Years	2.0
15-20 Years	8.1
More than 20 Years	31.0

^(a)

Excludes money market funds.


F U N D S U M M A R Y		9

About Fund Performance

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 each 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 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.

Shareholder Expenses

Shareholders of each Fund may incur the following charges: (1) transactional expenses, including brokerage commissions on purchases and sales of fund shares and (2) ongoing expenses, including management fees and other fund expenses. The expense examples shown (which are based on a hypothetical investment of $1,000 invested at the beginning of the period and held through the end of the period) are intended to assist shareholders both in calculating expenses based on an investment in each Fund and in comparing these expenses with similar costs of investing in other funds.

The expense examples provide information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. In order to estimate the expenses a shareholder paid during the period covered by this report, shareholders can divide their account value by $1,000 and then multiply the result by the number under the heading entitled “Expenses Paid During Period.”

The expense examples also provide information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. In order to assist shareholders in comparing the ongoing expenses of investing in a Funds and other funds, compare the 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

The expenses shown in the expense examples are intended to highlight shareholders’ ongoing costs only and do not reflect any transactional expenses, such as brokerage commissions and other fees paid on purchases and sales of fund shares. Therefore, the hypothetical examples are useful in comparing ongoing expenses only and will not help shareholders determine the relative total expenses of owning different funds. If these transactional expenses were included, shareholder expenses would have been higher.


10		2 0 2 2 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

Schedule of Investments

February 28, 2022

iShares^® High Yield Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Corporate Bonds & Notes

Advertising — 0.6%
Advantage Sales & Marketing Inc., 6.50%, 11/15/28 (Call 11/15/23)^(a)	$	1,025	$	1,032,154


Aerospace & Defense — 3.5%
Bombardier Inc., 7.88%, 04/15/27 (Call 04/15/22)^(a)		1,050		1,064,700
Maxar Space Robotics LLC, 9.75%, 12/31/23 (Call 03/11/22)^(a)		625		660,156
Spirit AeroSystems Inc. 5.50%, 01/15/25 (Call 10/15/22)^(a)(b)		345		354,534
7.50%, 04/15/25 (Call 04/15/22)^(a)		1,250		1,298,750
TransDigm Inc. 6.25%, 03/15/26 (Call 03/31/22)^(a)		1,275		1,311,656
6.38%, 06/15/26 (Call 03/31/22)		850		866,549
8.00%, 12/15/25 (Call 04/08/22)^(a)		235		245,392
TransDigm UK Holdings PLC, 6.88%, 05/15/26 (Call 03/31/22)		250		258,210


				6,059,947

Agriculture — 0.8%
Vector Group Ltd. 5.75%, 02/01/29 (Call 02/01/24)^(a)		835		770,287
10.50%, 11/01/26 (Call 03/31/22)^(a)		674		691,996


				1,462,283

Airlines — 3.3%
Air Canada, 3.88%, 08/15/26 (Call 02/15/26)^(a)		1,320		1,281,713
American Airlines Group Inc., 3.75%, 03/01/25^(a)(b)		640		596,086
American Airlines Inc., 11.75%, 07/15/25^(a)		800		970,172
Azul Investments LLP, 7.25%, 06/15/26 (Call 06/15/24)^(a)(b)		890		797,671
Delta Air Lines Inc. 4.38%, 04/19/28 (Call 01/19/28)^(b)		515		515,000
7.38%, 01/15/26 (Call 12/15/25)^(b)		885		993,280
United Airlines Inc., 4.63%, 04/15/29 (Call 10/15/28)^(a)		595		580,420


				5,734,342

Auto Manufacturers — 2.8%
Allison Transmission Inc., 5.88%, 06/01/29 (Call 06/01/24)^(a)		360		377,586
Aston Martin Capital Holdings Ltd., 10.50%, 11/30/25 (Call 11/01/24)^(a)		1,291		1,349,095
Ford Motor Co. 5.29%, 12/08/46 (Call 06/08/46)		775		794,577
9.00%, 04/22/25 (Call 03/22/25)		50		57,969
9.63%, 04/22/30 (Call 01/22/30)		485		666,443
Jaguar Land Rover Automotive PLC 4.50%, 10/01/27 (Call 07/01/27)^(a)		765		703,800
5.50%, 07/15/29 (Call 07/15/24)^(a)		675		648,412
5.88%, 01/15/28 (Call 01/15/24)^(a)		135		133,884
7.75%, 10/15/25 (Call 10/15/22)^(a)		200		210,614


				4,942,380

Banks — 0.8%
Intesa Sanpaolo SpA 5.02%, 06/26/24^(a)		300		308,755
5.71%, 01/15/26^(a)		1,050		1,106,771


				1,415,526

Building Materials — 0.5%
Builders FirstSource Inc., 6.75%, 06/01/27 (Call 06/01/22)^(a)		925		961,343


Chemicals — 2.6%
CVR Partners LP/CVR Nitrogen Finance Corp., 6.13%, 06/15/28 (Call 06/15/24)^(a)(b)		735		739,594


Security	Par (000)		Value

Chemicals (continued)
GCP Applied Technologies Inc., 5.50%, 04/15/26 (Call 03/16/22)^(a)	$	160	$	163,000
Rain CII Carbon LLC/CII Carbon Corp., 7.25%, 04/01/25 (Call 03/31/22)^(a)		715		715,765
Sasol Financing USA LLC 5.50%, 03/18/31 (Call 03/18/30)		200		191,600
5.88%, 03/27/24 (Call 02/27/24)		1,530		1,556,775
Trinseo Materials Operating SCA/Trinseo Materials Finance Inc. 5.13%, 04/01/29 (Call 04/01/24)^(a)		600		568,500
5.38%, 09/01/25 (Call 03/31/22)^(a)		595		599,748


				4,534,982

Coal — 0.2%
Warrior Met Coal Inc., 7.88%, 12/01/28 (Call 12/01/24)^(a)		325		339,625


Commercial Services — 6.9%
ADT Security Corp. (The) 4.13%, 08/01/29 (Call 08/01/28)^(a)(b)		700		660,002
4.88%, 07/15/32^(a)(b)		950		885,875
Adtalem Global Education Inc., 5.50%, 03/01/28 (Call 03/01/24)^(a)		871		779,048
APX Group Inc., 6.75%, 02/15/27 (Call 02/15/23)^(a)(b)		745		765,026
Cimpress PLC, 7.00%, 06/15/26 (Call 03/31/22)^(a)		770		762,300
Deluxe Corp., 8.00%, 06/01/29 (Call 06/01/24)^(a)		645		661,125
Graham Holdings Co., 5.75%, 06/01/26 (Call 03/11/22)^(a)		164		168,100
Korn Ferry, 4.63%, 12/15/27 (Call 12/15/22)^(a)		345		339,825
Nielsen Finance LLC/Nielsen Finance Co. 4.75%, 07/15/31 (Call 07/15/26)^(a)		915		814,350
5.88%, 10/01/30 (Call 10/01/25)^(a)		875		847,402
Prime Security Services Borrower LLC/Prime Finance Inc. 5.25%, 04/15/24^(a)		410		418,200
5.75%, 04/15/26^(a)		958		984,412
6.25%, 01/15/28 (Call 01/15/23)^(a)(b)		475		458,375
PROG Holdings Inc., 6.00%, 11/15/29 (Call 11/15/24)^(a)(b)		775		744,000
Ritchie Bros. Auctioneers Inc., 5.38%, 01/15/25 (Call 03/31/22)^(a)		650		659,730
Sabre GLBL Inc. 7.38%, 09/01/25 (Call 09/01/22)^(a)		940		974,268
9.25%, 04/15/25 (Call 03/16/25)^(a)		480		541,325
United Rentals North America Inc., 4.88%, 01/15/28 (Call 01/15/23)^(b)		535		546,016


				12,009,379

Computers — 0.7%
Conduent Business Services LLC/Conduent State & Local Solutions Inc., 6.00%, 11/01/29 (Call 11/01/24)^(a)		710		676,275
Unisys Corp., 6.88%, 11/01/27 (Call 11/01/23)^(a)		570		599,925


				1,276,200

Cosmetics & Personal Care — 0.4%
Coty Inc., 5.00%, 04/15/26 (Call 04/15/23)^(a)		635		638,867


Distribution & Wholesale — 0.5%
Avient Corp., 5.75%, 05/15/25 (Call 05/15/22)^(a)		835		856,919


Diversified Financial Services — 4.1%
Burford Capital Global Finance LLC, 6.25%, 04/15/28 (Call 04/15/24)^(a)(b)		350		362,688
Credit Acceptance Corp., 6.63%, 03/15/26 (Call 03/15/22)^(b)		295		304,239
Curo Group Holdings Corp., 7.50%, 08/01/28 (Call 08/01/24)^(a)		1,430		1,269,125
goeasy Ltd., 5.38%, 12/01/24 (Call 03/31/22)^(a)		715		718,575


S C H E D U L E O F I N V E S T M E N T S		11

Schedule of Investments (continued)

February 28, 2022

iShares^® High Yield Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Diversified Financial Services (continued)
Nationstar Mortgage Holdings Inc. 5.13%, 12/15/30 (Call 12/15/25)^(a)	$	855	$	801,562
5.75%, 11/15/31 (Call 11/15/26)^(a)		680		657,900
OneMain Finance Corp. 6.63%, 01/15/28 (Call 07/15/27)		95		101,499
6.88%, 03/15/25		780		832,334
7.13%, 03/15/26^(b)		1,110		1,203,240
PennyMac Financial Services Inc., 5.75%, 09/15/31 (Call 09/15/26)^(a)		665		626,763
PRA Group Inc., 5.00%, 10/01/29 (Call 10/01/24)^(a)		315		305,550


				7,183,475

Electric — 3.2%
Drax Finco PLC, 6.63%, 11/01/25 (Call 03/11/22)^(a)		621		630,315
FirstEnergy Corp.
Series C, 3.40%, 03/01/50 (Call 09/01/49)		920		789,590
Series C, 5.35%, 07/15/47 (Call 01/15/47)		415		438,510
Mercury Chile Holdco LLC, 6.50%, 01/24/27 (Call 01/24/24)^(a)		325		313,625
NRG Energy Inc., 5.75%, 01/15/28 (Call 01/15/23)		600		613,488
PG&E Corp. 5.00%, 07/01/28 (Call 07/01/23)^(b)		1,375		1,361,250
5.25%, 07/01/30 (Call 07/01/25)^(b)		220		218,532
Vistra Operations Co. LLC 5.50%, 09/01/26 (Call 03/11/22)^(a)		730		742,713
5.63%, 02/15/27 (Call 03/11/22)^(a)		455		465,879


				5,573,902

Electronics — 0.3%
Sensata Technologies BV, 4.88%, 10/15/23^(a)(b)		505		517,625


Energy - Alternate Sources — 0.4%
Renewable Energy Group Inc., 5.88%, 06/01/28 (Call 06/01/24)^(a)(b)		685		739,800


Engineering & Construction — 1.5%
AECOM, 5.13%, 03/15/27 (Call 12/15/26)		1,105		1,132,625
Brundage-Bone Concrete Pumping Holdings Inc., 6.00%, 02/01/26 (Call 02/01/23)^(a)		310		306,581
IHS Netherlands Holdco BV, 8.00%, 09/18/27 (Call 09/18/22)^(a)		1,200		1,221,696


				2,660,902

Entertainment — 3.9%
AMC Entertainment Holdings Inc., 7.50%, 02/15/29 (Call 02/15/25)^(a)		1,014		998,537
Caesars Entertainment Inc., 6.25%, 07/01/25 (Call 07/01/22)^(a)		1,285		1,332,416
Caesars Resort Collection LLC/CRC Finco Inc., 5.75%, 07/01/25 (Call 07/01/22)^(a)		700		717,805
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25 (Call 05/01/22)^(a)		1,250		1,284,837
Live Nation Entertainment Inc. 4.88%, 11/01/24 (Call 03/31/22)^(a)(b)		300		302,955
6.50%, 05/15/27 (Call 05/15/23)^(a)		1,085		1,161,666
Resorts World Las Vegas LLC/RWLV Capital Inc., 4.63%, 04/16/29 (Call 01/16/29)^(a)		200		187,164
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., 7.75%, 04/15/25 (Call 04/15/22)^(a)(b)		750		782,925


				6,768,305


Security	Par (000)		Value

Environmental Control — 1.3%
GFL Environmental Inc. 3.50%, 09/01/28 (Call 03/01/28)^(a)	$	998	$	952,716
5.13%, 12/15/26 (Call 12/15/22)^(a)		450		459,493
Stericycle Inc., 5.38%, 07/15/24 (Call 03/16/22)^(a)		771		788,164


				2,200,373

Food — 3.1%
BRF GmbH, 4.35%, 09/29/26^(a)(b)		300		295,653
Del Monte Foods Inc., 11.88%, 05/15/25 (Call 05/15/22)^(a)		225		248,708
Kraft Heinz Foods Co. 4.38%, 06/01/46 (Call 12/01/45)		1,125		1,153,125
4.88%, 10/01/49 (Call 04/01/49)		1,100		1,218,250
5.50%, 06/01/50 (Call 12/01/49)		485		580,788
6.88%, 01/26/39		440		580,800
Pilgrim’s Pride Corp., 5.88%, 09/30/27 (Call 09/30/22)^(a)		810		832,522
Post Holdings Inc., 5.75%, 03/01/27 (Call 03/16/22)^(a)(b)		590		596,195


				5,506,041

Gas — 0.8%
AmeriGas Partners LP/AmeriGas Finance Corp. 5.63%, 05/20/24 (Call 03/20/24)		695		708,900
5.75%, 05/20/27 (Call 02/20/27)		586		592,036
5.88%, 08/20/26 (Call 05/20/26)		115		117,375


				1,418,311

Health Care - Services — 0.8%
Tenet Healthcare Corp., 6.25%, 02/01/27 (Call 03/31/22)^(a)		1,300		1,336,985


Holding Companies - Diversified — 1.1%
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 5.25%, 05/15/27 (Call 11/15/26)		700		695,100
6.25%, 05/15/26 (Call 05/15/22)		975		983,497
6.38%, 12/15/25 (Call 03/31/22)		225		226,795


				1,905,392

Home Builders — 1.2%
Brookfield Residential Properties Inc./Brookfield Residential U.S. LLC, 6.25%, 09/15/27 (Call 09/15/22)^(a)		750		751,875
Picasso Finance Sub Inc., 6.13%, 06/15/25 (Call 06/15/22)^(a)		774		798,187
TRI Pointe Group Inc./TRI Pointe Homes Inc., 5.88%, 06/15/24^(b)		501		521,040


				2,071,102

Housewares — 0.2%
Newell Brands Inc., 6.00%, 04/01/46 (Call 10/01/45)		375		419,224


Insurance — 0.5%
NMI Holdings Inc., 7.38%, 06/01/25 (Call 03/30/25)^(a)		286		307,409
Radian Group Inc., 4.88%, 03/15/27 (Call 09/15/26)		520		536,900


				844,309

Internet — 2.5%
GrubHub Holdings Inc., 5.50%, 07/01/27 (Call 07/01/22)^(a)		645		575,663
NortonLifeLock Inc., 5.00%, 04/15/25 (Call 03/11/22)^(a)		1,280		1,280,614
TripAdvisor Inc., 7.00%, 07/15/25 (Call 07/15/22)^(a)(b)		625		646,875
Uber Technologies Inc. 7.50%, 05/15/25 (Call 05/15/22)^(a)		200		208,050
7.50%, 09/15/27 (Call 09/15/22)^(a)		1,485		1,587,094


				4,298,296

Iron & Steel — 1.5%
Cleveland-Cliffs Inc. 5.88%, 06/01/27 (Call 06/01/22)^(b)		660		679,866
6.75%, 03/15/26 (Call 03/31/22)^(a)		525		553,318
9.88%, 10/17/25 (Call 10/17/22)^(a)(b)		421		467,310


12		2 0 2 2 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

Schedule of Investments (continued)

February 28, 2022

iShares^® High Yield Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Iron & Steel (continued)
Mineral Resources Ltd., 8.13%, 05/01/27 (Call 05/01/22)^(a)	$	833	$	880,152


				2,580,646

Leisure Time — 3.2%
Carnival Corp. 7.63%, 03/01/26 (Call 03/01/24)^(a)		1,015		1,043,410
9.88%, 08/01/27 (Call 02/01/24)^(a)(b)		565		634,212
10.50%, 02/01/26 (Call 08/01/23)^(a)(b)		850		954,125
Lindblad Expeditions LLC, 6.75%, 02/15/27 (Call 02/15/24)^(a)		310		311,550
NCL Corp. Ltd., 5.88%, 02/15/27 (Call 02/15/24)^(a)		343		343,429
Royal Caribbean Cruises Ltd. 5.50%, 08/31/26 (Call 02/28/26)^(a)(b)		200		199,055
9.13%, 06/15/23 (Call 03/15/23)^(a)		610		637,865
10.88%, 06/01/23 (Call 03/01/23)^(a)		1,200		1,288,044
11.50%, 06/01/25 (Call 06/01/22)^(a)(b)		110		121,517


				5,533,207

Lodging — 2.4%
Travel + Leisure Co. 4.50%, 12/01/29 (Call 09/01/29)^(a)		855		816,525
6.63%, 07/31/26 (Call 04/30/26)^(a)		830		886,025
Universal Entertainment Corp., 8.50%, 12/11/24 (Call 12/11/23)^(a)		805		832,241
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 4.25%, 05/30/23 (Call 02/28/23)^(a)		650		652,652
5.25%, 05/15/27 (Call 02/15/27)^(a)(b)		150		148,500
5.50%, 03/01/25 (Call 12/01/24)^(a)		775		785,994


				4,121,937

Machinery — 1.0%
GrafTech Finance Inc., 4.63%, 12/15/28 (Call 12/15/23)^(a)(b)		690		670,507
Vertiv Group Corp., 4.13%, 11/15/28 (Call 11/15/24)^(a)		1,200		1,101,000


				1,771,507

Manufacturing — 0.3%
LSB Industries Inc., 6.25%, 10/15/28 (Call 10/15/24)^(a)		525		527,625


Media — 4.1%
CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 01/15/34 (Call 01/15/28)^(a)		325		298,805
Directv Financing LLC/Directv Financing Co-Obligor Inc., 5.88%, 08/15/27 (Call 08/15/23)^(a)(b)		1,295		1,294,560
DISH DBS Corp. 7.38%, 07/01/28 (Call 07/01/23)^(b)		1,055		999,001
7.75%, 07/01/26		1,125		1,139,276
5.13%, 06/01/29		715		603,281
Gannett Holdings LLC, 6.00%, 11/01/26 (Call 11/01/23)^(a)		355		353,225
Telenet Finance Luxembourg Notes Sarl, 5.50%, 03/01/28 (Call 12/01/22)^(a)		1,200		1,188,000
UPC Broadband Finco BV, 4.88%, 07/15/31 (Call 07/15/26)^(a)		1,355		1,294,025


				7,170,173

Mining — 4.8%
Arconic Corp. 6.00%, 05/15/25 (Call 05/15/22)^(a)		200		206,000
6.13%, 02/15/28 (Call 02/15/23)^(a)		1,185		1,211,662
Coeur Mining Inc., 5.13%, 02/15/29 (Call 02/15/24)^(a)		335		295,537
Eldorado Gold Corp., 6.25%, 09/01/29 (Call 09/01/24)^(a)		680		686,800
Endeavour Mining PLC, 5.00%, 10/14/26 (Call 10/14/23)^(a)		715		672,214
First Quantum Minerals Ltd. 6.88%, 03/01/26 (Call 03/11/22)^(a)(b)		730		750,075
7.50%, 04/01/25 (Call 03/11/22)^(a)		1,280		1,308,378
FMG Resources August 2006 Pty Ltd., 5.13%, 05/15/24 (Call 02/15/24)^(a)(b)		830		853,008


Security	Par (000)		Value

Mining (continued)
Hecla Mining Co., 7.25%, 02/15/28 (Call 02/15/23)^(b)	$	585	$	613,519
IAMGOLD Corp., 5.75%, 10/15/28 (Call 10/15/23)^(a)(b)		615		561,237
Stillwater Mining Co. 4.00%, 11/16/26 (Call 11/16/23)^(a)		625		596,375
4.50%, 11/16/29 (Call 11/16/25)^(a)		775		708,117


				8,462,922

Office & Business Equipment — 0.3%
Pitney Bowes Inc. 6.88%, 03/15/27 (Call 03/15/24)^(a)(b)		345		324,697
7.25%, 03/15/29 (Call 03/15/24)^(a)		305		289,491


				614,188

Oil & Gas — 7.4%
Antero Resources Corp., 7.63%, 02/01/29 (Call 02/01/24)^(a)		836		904,995
Civitas Resources Inc., 5.00%, 10/15/26 (Call 10/15/23)^(a)(b)		370		364,561
CNX Resources Corp., 7.25%, 03/14/27 (Call 03/31/22)^(a)		900		950,724
Energean PLC, 6.50%, 04/30/27 (Call 10/30/23)^(a)		625		590,313
EQT Corp., 6.63%, 02/01/25 (Call 01/01/25)		1,060		1,145,033
Gulfport Energy Corp., 8.00%, 05/17/26 (Call 05/17/24)		400		423,000
Harbour Energy PLC, 5.50%, 10/15/26 (Call 10/15/23)^(a)		680		669,800
Magnolia Oil & Gas Operating LLC/Magnolia Oil & Gas Finance Corp., 6.00%, 08/01/26 (Call 03/11/22)^(a)		180		184,275
Matador Resources Co., 5.88%, 09/15/26 (Call 03/16/22)		1,363		1,383,445
Moss Creek Resources Holdings Inc. 7.50%, 01/15/26 (Call 03/31/22)^(a)		225		199,125
10.50%, 05/15/27 (Call 05/15/22)^(a)		675		636,188
Oasis Petroleum Inc., 6.38%, 06/01/26 (Call 06/01/23)^(a)		345		351,038
Occidental Petroleum Corp. 5.55%, 03/15/26 (Call 12/15/25)		1,502		1,614,199
6.95%, 07/01/24		760		824,600
7.88%, 09/15/31		450		556,569
8.50%, 07/15/27 (Call 01/15/27)		361		435,005
Patterson UTI Energy Inc., 3.95%, 02/01/28 (Call 11/01/27)		450		430,068
PDC Energy Inc., 5.75%, 05/15/26 (Call 03/31/22)^(b)		540		548,100
Sunoco LP/Sunoco Finance Corp., 6.00%, 04/15/27 (Call 04/15/22)		750		774,180


				12,985,218

Oil & Gas Services — 1.7%
Archrock Partners LP/Archrock Partners Finance Corp. 6.25%, 04/01/28 (Call 04/01/23)^(a)		270		270,000
6.88%, 04/01/27 (Call 04/01/22)^(a)		630		646,720
Bristow Group Inc., 6.88%, 03/01/28 (Call 03/01/24)^(a)		340		343,985
Oceaneering International Inc., 4.65%, 11/15/24 (Call 08/15/24)		190		186,984
USA Compression Partners LP/USA Compression Finance Corp. 6.88%, 04/01/26 (Call 03/31/22)		925		928,931
6.88%, 09/01/27 (Call 09/01/22)^(b)		520		520,364


				2,896,984

Packaging & Containers — 0.4%
Berry Global Inc., 5.63%, 07/15/27 (Call 07/15/22)^(a)		635		650,621


Pharmaceuticals — 0.8%
Bausch Health Companies Inc., 9.00%, 12/15/25 (Call 03/31/22)^(a)		835		861,094
HLF Financing Sarl LLC/Herbalife International Inc., 4.88%, 06/01/29 (Call 06/01/24)^(a)		541		496,367


				1,357,461


S C H E D U L E O F I N V E S T M E N T S		13

Schedule of Investments (continued)

February 28, 2022

iShares^® High Yield Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Pipelines — 4.2%
Antero Midstream Partners LP/Antero Midstream Finance Corp. 5.75%, 03/01/27 (Call 03/16/22)^(a)(b)	$	725	$	738,442
7.88%, 05/15/26 (Call 05/15/23)^(a)		680		731,000
Delek Logistics Partners LP/Delek Logistics Finance Corp., 7.13%, 06/01/28 (Call 06/01/24)^(a)		340		332,421
EnLink Midstream Partners LP 4.15%, 06/01/25 (Call 03/01/25)		730		730,913
4.40%, 04/01/24 (Call 01/01/24)		670		682,397
EQM Midstream Partners LP, 6.50%, 07/15/48 (Call 01/15/48)^(b)		425		414,375
ITT Holdings LLC, 6.50%, 08/01/29 (Call 08/01/24)^(a)		1,075		1,007,812
PBF Logistics LP/PBF Logistics Finance Corp., 6.88%, 05/15/23 (Call 03/31/22)		725		721,375
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.50%, 07/15/27 (Call 07/15/22)		860		911,600
Western Midstream Operating LP, 5.75%, 02/01/50 (Call 08/01/49)		1,080		1,098,900


				7,369,235

Real Estate — 1.0%
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/28 (Call 05/15/23)^(a)		850		888,250
WeWork Companies Inc., 7.88%, 05/01/25^(a)		950		859,750


				1,748,000

Real Estate Investment Trusts — 4.9%
Apollo Commercial Real Estate Finance Inc., 4.63%, 06/15/29 (Call 06/15/24)^(a)(b)		680		613,700
Brookfield Property REIT Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL 4.50%, 04/01/27 (Call 10/01/23)^(a)		55		51,288
5.75%, 05/15/26 (Call 05/15/22)^(a)		1,430		1,414,685
Iron Mountain Inc. 5.25%, 03/15/28 (Call 12/27/22)^(a)		100		100,026
5.63%, 07/15/32 (Call 07/15/26)^(a)		275		272,022
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer 4.88%, 05/15/29 (Call 05/15/24)^(a)		100		96,375
5.88%, 10/01/28 (Call 10/01/23)^(a)		910		926,726
7.50%, 06/01/25 (Call 06/01/22)^(a)		480		501,600
RLJ Lodging Trust LP, 4.00%, 09/15/29 (Call 09/15/24)^(a)		665		624,388
Service Properties Trust 4.35%, 10/01/24 (Call 09/01/24)		1,085		1,045,929
4.75%, 10/01/26 (Call 08/01/26)		595		550,262
Uniti Group LP/Uniti Fiber Holdings Inc./CSL Capital LLC, 7.88%, 02/15/25 (Call 03/31/22)^(a)		460		479,216
Uniti Group LP/Uniti Group Finance Inc./CSL Capital LLC 4.75%, 04/15/28 (Call 04/15/24)^(a)		450		428,339
6.50%, 02/15/29 (Call 02/15/24)^(a)		930		861,896
XHR LP, 6.38%, 08/15/25 (Call 08/15/22)^(a)		612		630,360


				8,596,812

Retail — 2.9%
Academy Ltd., 6.00%, 11/15/27 (Call 11/15/23)^(a)(b)		325		338,423
Bath & Body Works Inc. 6.75%, 07/01/36		585		638,059
6.88%, 11/01/35		1,045		1,154,965
Bed Bath & Beyond Inc., 5.17%, 08/01/44 (Call 02/01/44)^(b)		815		596,987
Dave & Buster’s Inc., 7.63%, 11/01/25 (Call 11/01/22)^(a)		366		383,385
FirstCash Inc. 4.63%, 09/01/28 (Call 09/01/23)^(a)		670		632,534


Security	Par/ Shares (000)		Value

Retail (continued)
5.63%, 01/01/30 (Call 01/01/25)^(a)	$	725	$	719,925
Nordstrom Inc., 5.00%, 01/15/44 (Call 07/15/43)^(b)		575		506,000
QVC Inc., 4.38%, 09/01/28 (Call 06/01/28)		120		108,703


				5,078,981

Semiconductors — 0.3%
ams-OSRAM AG, 7.00%, 07/31/25 (Call 07/31/22)^(a)(b)		550		570,004


Software — 0.3%
MicroStrategy Inc., 6.13%, 06/15/28 (Call 06/15/24)^(a)(b)		640		614,400


Telecommunications — 5.7%
Consolidated Communications Inc., 6.50%, 10/01/28 (Call 10/01/23)^(a)		975		970,125
Embarq Corp., 8.00%, 06/01/36		632		624,100
Frontier Communications Holdings LLC 5.00%, 05/01/28 (Call 05/01/24)^(a)		731		709,618
6.00%, 01/15/30 (Call 10/15/24)^(a)		994		925,911
Hughes Satellite Systems Corp. 5.25%, 08/01/26		670		687,782
6.63%, 08/01/26^(b)		639		665,544
Sprint Capital Corp., 8.75%, 03/15/32		455		631,313
Sprint Corp. 7.13%, 06/15/24		590		637,943
7.63%, 02/15/25 (Call 11/15/24)		1,055		1,168,534
7.88%, 09/15/23^(b)		130		139,750
Telesat Canada/Telesat LLC 4.88%, 06/01/27 (Call 12/01/22)^(a)		322		228,620
5.63%, 12/06/26 (Call 12/06/23)^(a)		865		635,775
6.50%, 10/15/27 (Call 10/15/22)^(a)(b)		995		497,500
ViaSat Inc. 5.63%, 09/15/25 (Call 03/11/22)^(a)		750		716,565
5.63%, 04/15/27 (Call 04/15/22)^(a)		765		764,212


				10,003,292

Trucking & Leasing — 0.9%
Fortress Transportation and Infrastructure Investors LLC 5.50%, 05/01/28 (Call 05/01/24)^(a)(b)		135		128,925
6.50%, 10/01/25 (Call 03/31/22)^(a)		1,085		1,098,562
9.75%, 08/01/27 (Call 08/01/23)^(a)		301		330,348


				1,557,835


Total Corporate Bonds & Notes — 96.6% (Cost: $173,716,626)				168,919,037


Short-Term Investments

Money Market Funds — 12.3%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.09%^(c)(d)(e)		16,906		16,908,997
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.03%^(c)(d)		4,590		4,590,000


				21,498,997


Total Short-Term Investments — 12.3% (Cost: $21,498,833)				21,498,997


Total Investments in Securities — 108.9% (Cost: $195,215,459)				190,418,034

Other Assets, Less Liabilities — (8.9)%				(15,505,290	)


Net Assets — 100.0%			$	174,912,744


14		2 0 2 2 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

Schedule of Investments (continued)

February 28, 2022

iShares^® High Yield Bond Factor ETF

^(a)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

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

^(c)	Affiliate of the Fund.

^(d)	Annualized 7-day yield as of period end.

^(e)	All or a portion of this security was purchased with the cash collateral from loaned securities.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended February 28, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:




Affiliated Issuer	Value at 02/28/21		Purchases at Cost			Proceeds from Sales		Net Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value at 02/28/22		Shares Held at 02/28/22 (000)		Income			Capital Gain Distributions from Underlying Funds

BlackRock Cash Funds: Institutional, SL Agency Shares	$	8,316,854	$	8,599,546	^(a)	$	—	$	(5,856	)	$	(1,547	)	$	16,908,997		16,906	$	53,218	^(b)	$	—
BlackRock Cash Funds: Treasury, SL Agency Shares		1,771,000		2,819,000	^(a)		—		—			—			4,590,000		4,590		288			—

								$	(5,856	)	$	(1,547	)	$	21,498,997			$	53,506		$	—

^(a)

Represents net amount purchased (sold).

^(b)

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

Fair Value Hierarchy as of Period End

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.



		Level 1		Level 2		Level 3		Total

Investments
Assets
Corporate Bonds & Notes	$	—	$	168,919,037	$	—	$	168,919,037
Money Market Funds		21,498,997		—		—		21,498,997

	$	21,498,997	$	168,919,037	$	—	$	190,418,034

See notes to financial statements.


S C H E D U L E O F I N V E S T M E N T S		15

Schedule of Investments

February 28, 2022

iShares^® Investment Grade Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value


Corporate Bonds & Notes

Advertising — 0.1%
Interpublic Group of Companies Inc. (The), 3.38%, 03/01/41 (Call 09/01/40)	$	205	$	191,908


Aerospace & Defense — 2.6%
Boeing Co. (The) 4.88%, 05/01/25 (Call 04/01/25)		59		62,722
5.04%, 05/01/27 (Call 03/01/27)		765		831,056
5.15%, 05/01/30 (Call 02/01/30)		420		463,908
5.93%, 05/01/60 (Call 11/01/59)		715		849,004
L3Harris Technologies Inc., 4.40%, 06/15/28 (Call 03/15/28)		915		987,144
Northrop Grumman Corp., 4.75%, 06/01/43		185		212,894
Raytheon Technologies Corp. 4.50%, 06/01/42		35		39,143
4.88%, 10/15/40		675		778,633


				4,224,504

Agriculture — 2.3%
Altria Group Inc. 4.80%, 02/14/29 (Call 11/14/28)		16		17,285
5.38%, 01/31/44		598		623,967
5.80%, 02/14/39 (Call 08/14/38)		618		677,490
5.95%, 02/14/49 (Call 08/14/48)		61		67,759
BAT Capital Corp. 3.56%, 08/15/27 (Call 05/15/27)		496		499,189
4.91%, 04/02/30 (Call 01/02/30)		49		52,316
5.28%, 04/02/50 (Call 07/01/22)		210		213,030
Philip Morris International Inc., 6.38%, 05/16/38		605		781,152
Reynolds American Inc. 5.70%, 08/15/35 (Call 02/15/35)		231		252,400
5.85%, 08/15/45 (Call 12/01/30)		558		603,760


				3,788,348

Apparel — 0.1%
Tapestry Inc., 3.05%, 03/15/32 (Call 12/15/31)		210		199,791


Auto Parts & Equipment — 0.1%
Lear Corp., 3.80%, 09/15/27 (Call 06/15/27)		103		107,240


Banks — 3.3%
Bank of America Corp. 3.59%, 07/21/28 (Call 07/21/27), (3 mo. LIBOR US + 1.370%)^(a)		23		23,753
4.45%, 03/03/26		220		234,416
Citigroup Inc. 4.60%, 03/09/26		304		324,210
8.13%, 07/15/39		519		811,909
Discover Bank, 4.65%, 09/13/28 (Call 06/13/28)		250		270,698
Fifth Third Bancorp., 3.65%, 01/25/24 (Call 12/25/23)		815		837,835
HSBC Holdings PLC 3.90%, 05/25/26		595		618,119
4.25%, 08/18/25		215		223,383
4.30%, 03/08/26		745		787,478
Morgan Stanley, Series F, 3.88%, 04/29/24		36		37,222
SVB Financial Group, 3.13%, 06/05/30 (Call 03/05/30)		210		211,106
Truist Financial Corp., 2.20%, 03/16/23 (Call 02/13/23)		806		810,454
Wells Fargo & Co., 3.00%, 02/19/25		200		203,822


				5,394,405

Beverages — 2.0%
Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc., 4.70%, 02/01/36 (Call 08/01/35)		605		674,264


Security	Par (000)		Value


Beverages (continued)
Anheuser-Busch InBev Worldwide Inc. 4.60%, 06/01/60 (Call 12/01/59)	$	125	$	136,625
5.45%, 01/23/39 (Call 07/23/38)		155		184,654
8.20%, 01/15/39		287		438,242
Constellation Brands Inc., 4.25%, 05/01/23		630		647,472
Keurig Dr Pepper Inc. 4.42%, 05/25/25 (Call 03/25/25)		685		725,195
4.60%, 05/25/28 (Call 02/25/28)		390		425,529


				3,231,981

Biotechnology — 2.7%
Amgen Inc. 4.40%, 05/01/45 (Call 11/01/44)		334		354,871
4.40%, 02/22/62 (Call 09/15/25)		20		21,028
Baxalta Inc., 4.00%, 06/23/25 (Call 03/23/25)		745		777,543
Gilead Sciences Inc. 4.80%, 04/01/44 (Call 10/01/43)		650		738,169
5.65%, 12/01/41 (Call 06/01/41)		310		386,561
Illumina Inc., 2.55%, 03/23/31 (Call 12/23/30)		245		232,231
Regeneron Pharmaceuticals Inc., 1.75%, 09/15/30 (Call 06/15/30)		950		848,536
Royalty Pharma PLC 1.20%, 09/02/25 (Call 08/02/25)		575		546,052
3.35%, 09/02/51 (Call 03/02/51)		310		259,695
3.55%, 09/02/50 (Call 03/02/50)		165		143,208


				4,307,894

Building Materials — 0.6%
Eagle Materials Inc., 2.50%, 07/01/31 (Call 04/01/31)		625		583,961
Fortune Brands Home & Security Inc., 3.25%, 09/15/29 (Call 06/15/29)		340		345,880
Martin Marietta Materials Inc., 4.25%, 12/15/47 (Call 06/15/47)		15		15,709


				945,550

Chemicals — 1.3%
Celanese U.S. Holdings LLC, 3.50%, 05/08/24 (Call 04/08/24)		240		245,154
Dow Chemical Co. (The), 5.55%, 11/30/48 (Call 05/30/48)		335		422,238
DuPont de Nemours Inc., 5.32%, 11/15/38 (Call 05/15/38)		295		350,698
Huntsman International LLC, 4.50%, 05/01/29 (Call 02/01/29)		540		573,400
LYB International Finance BV, 4.88%, 03/15/44 (Call 09/15/43)		300		329,774
LYB International Finance III LLC, 3.80%, 10/01/60 (Call 04/01/60)^(b)		145		129,710
LyondellBasell Industries NV, 4.63%, 02/26/55 (Call 08/26/54)		75		78,720


				2,129,694

Commercial Services — 1.8%
Equifax Inc., 2.35%, 09/15/31 (Call 06/15/31)		550		505,276
Global Payments Inc. 2.90%, 05/15/30 (Call 02/15/30)		220		211,675
3.20%, 08/15/29 (Call 05/15/29)		209		206,305
4.00%, 06/01/23 (Call 05/01/23)		145		148,569
4.15%, 08/15/49 (Call 02/15/49)		58		57,154
4.80%, 04/01/26 (Call 01/01/26)		440		471,874
Quanta Services Inc. 2.35%, 01/15/32 (Call 10/15/31)		130		118,005
2.90%, 10/01/30 (Call 07/01/30)		790		757,531
Verisk Analytics Inc., 4.00%, 06/15/25 (Call 03/15/25)		410		426,445


				2,902,834

Computers — 1.6%
Apple Inc., 3.00%, 02/09/24 (Call 12/09/23)		500		512,045
HP Inc. 2.65%, 06/17/31 (Call 03/17/31)		580		544,419
3.40%, 06/17/30 (Call 03/17/30)		125		126,218


16		2 0 2 2 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

Schedule of Investments (continued)

February 28, 2022

iShares^® Investment Grade Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value


Computers (continued)
6.00%, 09/15/41	$	267	$	318,968
Leidos Inc. 2.95%, 05/15/23 (Call 04/15/23)		200		202,416
4.38%, 05/15/30 (Call 02/15/30)		635		674,192
Teledyne FLIR LLC, 2.50%, 08/01/30 (Call 05/01/30)		215		202,029


				2,580,287

Diversified Financial Services — 2.2%
Capital One Financial Corp. 3.20%, 02/05/25 (Call 01/05/25)		590		602,278
3.75%, 03/09/27 (Call 02/09/27)^(b)		685		715,421
Discover Financial Services, 4.10%, 02/09/27 (Call 11/09/26)		770		807,565
Raymond James Financial Inc. 3.75%, 04/01/51 (Call 10/01/50)		15		14,865
4.95%, 07/15/46		435		500,282
Synchrony Financial 3.95%, 12/01/27 (Call 09/01/27)		570		587,192
5.15%, 03/19/29 (Call 12/19/28)		325		353,356


				3,580,959

Electric — 10.1%
Ameren Illinois Co., 3.70%, 12/01/47 (Call 06/01/47)		85		87,577
Avangrid Inc. 3.20%, 04/15/25 (Call 03/15/25)		215		219,790
3.80%, 06/01/29 (Call 03/01/29)		570		595,762
Commonwealth Edison Co. 3.00%, 03/01/50 (Call 09/01/49)		110		100,113
4.00%, 03/01/48 (Call 09/01/47)		100		106,665
Connecticut Light & Power Co. (The), 4.00%, 04/01/48 (Call 10/01/47)		560		601,261
Consolidated Edison Co. of New York Inc. 3.60%, 06/15/61 (Call 12/15/60)		550		511,437
Series C, 3.00%, 12/01/60 (Call 06/01/60)		320		263,684
Consumers Energy Co., 3.10%, 08/15/50 (Call 02/15/50)		115		109,051
DTE Electric Co., 2.95%, 03/01/50 (Call 09/01/49)		45		40,946
Duke Energy Carolinas LLC, 3.95%, 03/15/48 (Call 09/15/47)		270		280,522
Duke Energy Corp., 2.65%, 09/01/26 (Call 06/01/26)		480		482,281
Duke Energy Florida LLC, 3.40%, 10/01/46 (Call 04/01/46)		255		245,236
Duke Energy Indiana LLC 2.75%, 04/01/50 (Call 10/01/49)		480		407,562
Series YYY, 3.25%, 10/01/49 (Call 04/01/49)		170		156,524
Duke Energy Progress LLC, 3.45%, 03/15/29 (Call 12/15/28)		230		240,301
Edison International, 5.75%, 06/15/27 (Call 04/15/27)		260		288,633
Emera U.S. Finance LP 3.55%, 06/15/26 (Call 03/15/26)		89		91,532
4.75%, 06/15/46 (Call 12/15/45)		725		765,132
Entergy Louisiana LLC 4.00%, 03/15/33 (Call 12/15/32)		740		798,205
4.20%, 09/01/48 (Call 03/01/48)		160		174,313
Evergy Inc. 2.45%, 09/15/24 (Call 08/15/24)		210		209,900
2.90%, 09/15/29 (Call 06/15/29)		560		555,361
Evergy Kansas Central Inc., 3.45%, 04/15/50 (Call 10/15/49)		190		182,344
Exelon Corp. 3.95%, 06/15/25 (Call 03/15/25)		500		520,096
4.05%, 04/15/30 (Call 01/15/30)		770		817,091
Florida Power & Light Co. 3.15%, 10/01/49 (Call 04/01/49)		90		85,794
3.70%, 12/01/47 (Call 06/01/47)		133		136,730
3.95%, 03/01/48 (Call 09/01/47)		525		565,132
Fortis Inc./Canada, 3.06%, 10/04/26 (Call 07/04/26)		750		758,334


Security	Par (000)		Value


Electric (continued)
Georgia Power Co., 4.30%, 03/15/42	$	70	$	73,038
Kentucky Utilities Co., 3.30%, 06/01/50 (Call 12/01/49)		213		199,983
OGE Energy Corp., 0.70%, 05/26/23 (Call 03/31/22)		365		359,436
Oncor Electric Delivery Co. LLC, 3.80%, 06/01/49 (Call 12/01/48)		240		251,350
Public Service Enterprise Group Inc. 0.84%, 11/08/23 (Call 05/08/22)		300		296,032
2.88%, 06/15/24 (Call 05/15/24)		600		611,606
San Diego Gas & Electric Co., Series WWW, 2.95%, 08/15/51 (Call 02/15/51)		485		434,474
Sempra Energy 3.25%, 06/15/27 (Call 03/15/27)^(b)		120		122,601
3.40%, 02/01/28 (Call 12/11/50)		655		674,466
4.00%, 02/01/48 (Call 08/01/47)		80		80,367
Southern California Edison Co. 2.85%, 08/01/29 (Call 05/01/29)		65		63,967
4.00%, 04/01/47 (Call 10/01/46)		770		760,296
Series A, 4.20%, 03/01/29 (Call 12/01/28)		141		149,579
Series B, 4.88%, 03/01/49 (Call 09/01/48)		208		228,182
Series C, 4.13%, 03/01/48 (Call 09/01/47)		125		126,034
Southern Co. (The) 2.95%, 07/01/23 (Call 05/01/23)		250		253,064
3.25%, 07/01/26 (Call 04/01/26)		351		359,915
4.40%, 07/01/46 (Call 01/01/46)		700		733,422
Union Electric Co., 2.63%, 03/15/51 (Call 09/15/50)		245		212,380


				16,387,501

Electronics — 0.8%
Keysight Technologies Inc., 4.60%, 04/06/27 (Call 01/06/27)		135		147,508
TD SYNNEX Corp. 1.25%, 08/09/24 (Call 08/09/22)^(c)		300		291,147
1.75%, 08/09/26 (Call 07/09/26)^(c)		295		280,121
2.38%, 08/09/28 (Call 06/09/28)^(b)(c)		230		214,406
2.65%, 08/09/31 (Call 05/09/31)^(c)		220		199,822
Trimble Inc., 4.90%, 06/15/28 (Call 03/15/28)		115		123,908


				1,256,912

Environmental Control — 0.2%
Republic Services Inc., 3.95%, 05/15/28 (Call 02/15/28)		225		239,012


Food — 2.2%
Campbell Soup Co. 3.95%, 03/15/25 (Call 01/15/25)		90		93,753
4.15%, 03/15/28 (Call 12/15/27)		730		780,915
Conagra Brands Inc., 5.30%, 11/01/38 (Call 05/01/38)		615		705,710
General Mills Inc., 4.00%, 04/17/25 (Call 02/17/25)		525		549,518
Kellogg Co. 3.25%, 04/01/26		80		82,101
4.30%, 05/15/28 (Call 02/15/28)		125		136,177
Sysco Corp., 6.60%, 04/01/50 (Call 10/01/49)		362		503,644
Tyson Foods Inc., 3.95%, 08/15/24 (Call 05/15/24)		690		717,665


				3,569,483

Gas — 1.0%
National Fuel Gas Co. 2.95%, 03/01/31 (Call 12/01/30)		185		174,095
5.50%, 01/15/26 (Call 12/15/25)		290		314,167
NiSource Inc. 3.60%, 05/01/30 (Call 02/01/30)		310		316,786
4.38%, 05/15/47 (Call 11/15/46)		699		730,896


				1,535,944


S C H E D U L E O F I N V E S T M E N T S		17

Schedule of Investments (continued)

February 28, 2022

iShares^® Investment Grade Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value


Health Care - Products — 2.8%
Boston Scientific Corp., 3.45%, 03/01/24 (Call 02/01/24)	$	670	$	686,942
DENTSPLY SIRONA Inc., 3.25%, 06/01/30 (Call 03/01/30)		560		567,056
Edwards Lifesciences Corp., 4.30%, 06/15/28 (Call 03/15/28)		123		133,286
PerkinElmer Inc. 2.25%, 09/15/31 (Call 06/15/31)		230		210,403
3.30%, 09/15/29 (Call 06/15/29)		683		685,838
Smith & Nephew PLC, 2.03%, 10/14/30 (Call 07/14/30)		910		826,109
STERIS Irish FinCo UnLtd Co. 2.70%, 03/15/31 (Call 12/15/30)		305		289,739
3.75%, 03/15/51 (Call 09/15/50)		270		259,487
Zimmer Biomet Holdings Inc. 2.60%, 11/24/31 (Call 08/24/31)		470		443,659
3.55%, 04/01/25 (Call 01/01/25)^(b)		430		442,170


				4,544,689

Health Care - Services — 2.9%
Aetna Inc., 2.80%, 06/15/23 (Call 04/15/23)		790		800,474
Anthem Inc. 4.10%, 03/01/28 (Call 12/01/27)		61		65,262
4.65%, 01/15/43		190		213,069
HCA Inc. 5.13%, 06/15/39 (Call 12/15/38)		730		813,545
5.25%, 06/15/49 (Call 12/15/48)		25		28,438
5.50%, 06/15/47 (Call 12/15/46)		375		438,715
Humana Inc. 3.13%, 08/15/29 (Call 05/15/29)		180		180,924
3.95%, 03/15/27 (Call 12/15/26)		132		139,472
4.95%, 10/01/44 (Call 04/01/44)		330		383,553
Laboratory Corp. of America Holdings 3.60%, 02/01/25 (Call 11/01/24)		645		663,019
3.60%, 09/01/27 (Call 06/01/27)		203		210,966
4.70%, 02/01/45 (Call 08/01/44)		93		102,478
Quest Diagnostics Inc., 4.20%, 06/30/29 (Call 03/30/29)		185		197,959
Universal Health Services Inc. 1.65%, 09/01/26 (Call 08/01/26)^(c)		400		379,840
2.65%, 01/15/32 (Call 10/15/31)^(c)		150		139,603


				4,757,317

Holding Companies - Diversified — 2.1%
Ares Capital Corp. 3.20%, 11/15/31 (Call 08/15/31)		210		189,787
3.88%, 01/15/26 (Call 12/15/25)		798		809,047
FS KKR Capital Corp. 3.13%, 10/12/28 (Call 08/12/28)^(b)		115		106,847
3.40%, 01/15/26 (Call 12/15/25)		780		766,144
Goldman Sachs BDC Inc., 2.88%, 01/15/26 (Call 12/15/25)^(b)		230		225,551
Golub Capital BDC Inc., 2.50%, 08/24/26 (Call 07/24/26)		260		246,298
Main Street Capital Corp., 3.00%, 07/14/26 (Call 06/14/26)		230		220,854
Owl Rock Capital Corp. 3.40%, 07/15/26 (Call 06/15/26)		500		479,078
3.75%, 07/22/25 (Call 06/22/25)		185		182,385
4.25%, 01/15/26 (Call 12/15/25)		250		252,028


				3,478,019

Household Products & Wares — 0.1%
Avery Dennison Corp., 4.88%, 12/06/28 (Call 09/06/28)		85		94,764


Insurance — 3.5%
Alleghany Corp., 3.63%, 05/15/30 (Call 02/15/30)		215		219,307
American Financial Group Inc./OH, 4.50%, 06/15/47 (Call 12/15/46)		115		123,230


Security	Par (000)		Value


Insurance (continued)
American International Group Inc. 3.75%, 07/10/25 (Call 04/10/25)	$	315	$	327,656
3.88%, 01/15/35 (Call 07/15/34)		34		35,627
3.90%, 04/01/26 (Call 01/01/26)		694		730,554
4.50%, 07/16/44 (Call 01/16/44)		190		210,797
Aon PLC, 3.88%, 12/15/25 (Call 09/15/25)^(b)		349		364,465
Brown & Brown Inc., 2.38%, 03/15/31 (Call 12/15/30)^(b)		290		269,972
CNA Financial Corp. 3.45%, 08/15/27 (Call 12/09/23)		110		114,015
3.90%, 05/01/29 (Call 02/01/29)		125		132,747
Everest Reinsurance Holdings Inc., 3.50%, 10/15/50 (Call 04/15/50)		555		520,004
Fairfax Financial Holdings Ltd., 3.38%, 03/03/31 (Call 12/03/30)		240		237,230
Fidelity National Financial Inc. 2.45%, 03/15/31 (Call 12/15/30)^(b)		255		237,791
3.40%, 06/15/30 (Call 03/15/30)		240		240,477
First American Financial Corp., 2.40%, 08/15/31 (Call 05/15/31)		285		260,157
Globe Life Inc., 4.55%, 09/15/28 (Call 06/15/28)		120		131,059
Jackson Financial Inc. 1.13%, 11/22/23^(b)(c)		250		245,942
3.13%, 11/23/31 (Call 08/23/31)^(c)		211		202,457
4.00%, 11/23/51 (Call 05/23/51)^(c)		211		189,517
Markel Corp. 3.45%, 05/07/52 (Call 11/07/51)		235		216,722
4.15%, 09/17/50 (Call 03/17/50)		15		15,573
5.00%, 05/20/49 (Call 11/20/48)		195		226,683
Old Republic International Corp., 3.85%, 06/11/51 (Call 12/11/50)		260		245,805
Travelers Companies Inc. (The), 4.05%, 03/07/48 (Call 09/07/47)		95		102,368
Willis North America Inc., 4.50%, 09/15/28 (Call 06/15/28)		128		136,424


				5,736,579

Internet — 0.4%
Booking Holdings Inc. 3.60%, 06/01/26 (Call 03/01/26)		35		36,613
4.63%, 04/13/30 (Call 01/13/30)		60		67,073
eBay Inc., 3.45%, 08/01/24 (Call 05/01/24)		450		461,986


				565,672

Lodging — 0.7%
Marriott International Inc./MD
Series EE, 5.75%, 05/01/25 (Call 04/01/25)		250		273,591
Series FF, 4.63%, 06/15/30 (Call 03/15/30)		720		777,418


				1,051,009

Machinery — 0.9%
John Deere Capital Corp., 2.80%, 03/06/23		500		507,020
Westinghouse Air Brake Technologies Corp. 4.40%, 03/15/24 (Call 02/15/24)		205		212,376
4.95%, 09/15/28 (Call 06/15/28)		695		755,524


				1,474,920

Manufacturing — 0.6%
General Electric Co. 5.88%, 01/14/38		150		186,877
6.75%, 03/15/32		457		589,938
Textron Inc., 3.00%, 06/01/30 (Call 03/01/30)		255		251,111


				1,027,926


18		2 0 2 2 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

Schedule of Investments (continued)

February 28, 2022

iShares^® Investment Grade Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value


Media — 3.1%
Charter Communications Operating LLC/Charter Communications Operating Capital 3.85%, 04/01/61 (Call 10/01/60)^(b)	$	60	$	49,834
5.38%, 04/01/38 (Call 10/01/37)		179		187,230
5.38%, 05/01/47 (Call 11/01/46)		275		290,197
6.38%, 10/23/35 (Call 04/23/35)		515		615,555
6.48%, 10/23/45 (Call 04/23/45)		625		746,776
Comcast Corp. 2.94%, 11/01/56 (Call 05/01/56)^(c)		410		345,086
2.99%, 11/01/63 (Call 05/01/63)^(c)		405		337,200
Fox Corp. 4.71%, 01/25/29 (Call 10/25/28)		50		54,572
5.48%, 01/25/39 (Call 07/25/38)		685		798,631
5.58%, 01/25/49 (Call 07/25/48)		175		210,550
Time Warner Cable LLC 6.55%, 05/01/37		285		342,536
6.75%, 06/15/39		644		781,672
Walt Disney Co. (The), 6.20%, 12/15/34		190		245,337


				5,005,176

Mining — 1.4%
Freeport-McMoRan Inc. 4.63%, 08/01/30 (Call 08/01/25)		670		691,668
5.45%, 03/15/43 (Call 09/15/42)		30		34,505
Newmont Corp., 4.88%, 03/15/42 (Call 09/15/41)		473		544,279
Southern Copper Corp. 5.25%, 11/08/42		15		17,464
5.88%, 04/23/45		403		501,957
6.75%, 04/16/40		350		454,303


				2,244,176

Office & Business Equipment — 0.5%
CDW LLC/CDW Finance Corp., 3.57%, 12/01/31 (Call 09/01/31)		885		859,689


Oil & Gas — 2.0%
Canadian Natural Resources Ltd. 2.95%, 01/15/23 (Call 12/15/22)		760		767,788
3.85%, 06/01/27 (Call 03/01/27)		790		823,929
Coterra Energy Inc. 3.90%, 05/15/27 (Call 02/15/27)^(c)		245		255,290
4.38%, 06/01/24 (Call 03/01/24)^(c)		335		347,436
EOG Resources Inc., 2.63%, 03/15/23 (Call 12/15/22)		730		735,823
Pioneer Natural Resources Co., 2.15%, 01/15/31 (Call 10/15/30)		375		345,900


				3,276,166

Packaging & Containers — 0.5%
Amcor Finance USA Inc., 3.63%, 04/28/26 (Call 01/28/26)		214		223,825
Amcor Flexibles North America Inc., 2.69%, 05/25/31 (Call 02/25/31)		668		643,047


				866,872

Pharmaceuticals — 6.0%
AbbVie Inc. 3.20%, 05/14/26 (Call 02/14/26)		625		640,893
3.25%, 10/01/22 (Call 07/01/22)		780		785,195
4.25%, 11/14/28 (Call 08/14/28)		380		410,307
4.50%, 05/14/35 (Call 11/14/34)		387		430,061
4.70%, 05/14/45 (Call 11/14/44)		290		321,450
AmerisourceBergen Corp., 2.70%, 03/15/31 (Call 12/15/30)		845		814,049


Security	Par (000)		Value


Pharmaceuticals (continued)
AstraZeneca PLC 4.00%, 09/18/42	$	55	$	59,796
6.45%, 09/15/37		505		685,370
Becton Dickinson and Co. 3.70%, 06/06/27 (Call 03/06/27)		486		509,445
3.73%, 12/15/24 (Call 09/15/24)		494		510,760
4.67%, 06/06/47 (Call 12/06/46)		55		61,703
Cigna Corp. 3.40%, 03/15/50 (Call 09/15/49)		100		91,476
4.38%, 10/15/28 (Call 07/15/28)		810		877,931
4.80%, 07/15/46 (Call 01/16/46)		630		703,136
CVS Health Corp. 3.25%, 08/15/29 (Call 05/15/29)		515		523,920
4.30%, 03/25/28 (Call 12/25/27)		355		383,242
4.78%, 03/25/38 (Call 09/25/37)		744		831,987
5.13%, 07/20/45 (Call 01/20/45)		312		361,238
Shire Acquisitions Investments Ireland DAC, 3.20%, 09/23/26 (Call 06/23/26)		260		266,867
Takeda Pharmaceutical Co. Ltd., 5.00%, 11/26/28 (Call 08/26/28)		235		264,898
Zoetis Inc., 4.70%, 02/01/43 (Call 08/01/42)		105		120,885


				9,654,609

Pipelines — 6.7%
Boardwalk Pipelines LP 3.40%, 02/15/31 (Call 11/15/30)		220		214,783
3.60%, 09/01/32 (Call 12/15/46)		205		202,818
Columbia Pipeline Group Inc., 4.50%, 06/01/25 (Call 03/01/25)		535		567,322
Enbridge Inc. 2.50%, 01/15/25 (Call 12/15/24)		102		102,119
5.50%, 12/01/46 (Call 05/01/38)		80		98,188
Enterprise Products Operating LLC 3.35%, 03/15/23 (Call 12/15/22)		850		860,640
4.85%, 03/15/44 (Call 09/15/43)		380		414,315
5.10%, 02/15/45 (Call 08/15/44)		300		335,532
Kinder Morgan Inc. 4.30%, 03/01/28 (Call 12/01/27)		650		692,622
5.30%, 12/01/34 (Call 06/01/34)		351		393,586
5.55%, 06/01/45 (Call 12/01/44)		421		483,147
Magellan Midstream Partners LP, 3.95%, 03/01/50 (Call 09/01/49)		330		311,672
MPLX LP 4.50%, 04/15/38 (Call 10/15/37)		760		782,082
4.88%, 06/01/25 (Call 03/01/25)		315		335,389
5.20%, 03/01/47 (Call 09/01/46)		275		302,884
ONEOK Inc. 3.40%, 09/01/29 (Call 06/01/29)		565		557,424
4.55%, 07/15/28 (Call 04/15/28)		575		612,427
5.20%, 07/15/48 (Call 01/15/48)		30		32,690
Spectra Energy Partners LP, 4.75%, 03/15/24 (Call 12/15/23)		779		814,236
TransCanada PipeLines Ltd. 4.10%, 04/15/30 (Call 01/15/30)		115		121,429
4.63%, 03/01/34 (Call 12/01/33)^(b)		50		54,529
4.88%, 01/15/26 (Call 10/15/25)		500		540,651
7.63%, 01/15/39^(b)		388		554,255
Transcontinental Gas Pipe Line Co. LLC, 7.85%, 02/01/26 (Call 11/01/25)^(b)		190		223,912
Williams Companies Inc. (The) 4.00%, 09/15/25 (Call 06/15/25)		520		541,631
5.10%, 09/15/45 (Call 03/15/45)		50		55,123


S C H E D U L E O F I N V E S T M E N T S		19

Schedule of Investments (continued)

February 28, 2022

iShares^® Investment Grade Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Pipelines (continued)
6.30%, 04/15/40	$	502	$	617,121


				10,822,527

Real Estate Investment Trusts — 6.6%
American Homes 4 Rent LP, 4.25%, 02/15/28 (Call 11/15/27)		85		89,769
American Tower Corp. 2.70%, 04/15/31 (Call 01/15/31)		130		122,249
3.38%, 10/15/26 (Call 07/15/26)		147		150,772
3.80%, 08/15/29 (Call 05/15/29)		208		214,766
4.00%, 06/01/25 (Call 03/01/25)		310		322,756
5.00%, 02/15/24		525		552,350
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.85%, 04/15/23		590		602,546
Crown Castle International Corp. 3.65%, 09/01/27 (Call 06/01/27)		105		108,583
3.70%, 06/15/26 (Call 03/15/26)		120		123,881
4.45%, 02/15/26 (Call 11/15/25)		355		375,328
Digital Realty Trust LP 3.70%, 08/15/27 (Call 05/15/27)^(b)		560		585,752
4.45%, 07/15/28 (Call 04/15/28)		231		248,761
Equinix Inc. 2.15%, 07/15/30 (Call 04/15/30)		345		312,825
3.20%, 11/18/29 (Call 08/18/29)		571		563,258
3.40%, 02/15/52 (Call 08/15/51)		205		184,471
GLP Capital LP/GLP Financing II Inc. 3.25%, 01/15/32 (Call 10/15/31)		20		18,773
5.25%, 06/01/25 (Call 03/01/25)		340		358,272
5.30%, 01/15/29 (Call 10/15/28)		555		603,356
Healthcare Trust of America Holdings LP 2.00%, 03/15/31 (Call 12/15/30)		570		516,722
3.10%, 02/15/30 (Call 11/15/29)		270		267,485
3.75%, 07/01/27 (Call 04/01/27)		125		131,366
Healthpeak Properties Inc., 3.50%, 07/15/29 (Call 04/15/29)		260		269,107
Invitation Homes Operating Partnership LP 2.00%, 08/15/31 (Call 05/15/31)		290		258,297
2.30%, 11/15/28 (Call 09/15/28)		250		236,161
Mid-America Apartments LP, 3.60%, 06/01/27 (Call 03/01/27)^(b)		130		136,749
Physicians Realty LP, 2.63%, 11/01/31 (Call 08/01/31)		180		168,818
Sun Communities Operating LP, 2.70%, 07/15/31 (Call 04/15/31)		640		602,061
Ventas Realty LP 2.50%, 09/01/31 (Call 06/01/31)		220		207,690
4.40%, 01/15/29 (Call 10/15/28)		560		608,632
Welltower Inc. 4.00%, 06/01/25 (Call 03/01/25)		735		769,494
4.25%, 04/15/28 (Call 01/15/28)		291		313,111
Weyerhaeuser Co., 4.00%, 11/15/29 (Call 08/15/29)		435		464,424
WP Carey Inc., 2.40%, 02/01/31 (Call 11/01/30)		225		210,949


				10,699,534

Retail — 2.6%
Best Buy Co. Inc., 4.45%, 10/01/28 (Call 07/01/28)		115		123,834
Darden Restaurants Inc., 3.85%, 05/01/27 (Call 02/01/27)^(b)		110		115,780
Dick’s Sporting Goods Inc. 3.15%, 01/15/32 (Call 10/15/31)		460		442,128
4.10%, 01/15/52 (Call 07/15/51)		455		398,186
Dollar Tree Inc. 4.00%, 05/15/25 (Call 03/15/25)		185		192,817
4.20%, 05/15/28 (Call 02/15/28)		690		736,661


Security	Par (000)		Value

Retail (continued)
McDonald’s Corp. 4.70%, 12/09/35 (Call 06/09/35)	$	175	$	198,170
4.88%, 12/09/45 (Call 06/09/45)		100		113,384
O’Reilly Automotive Inc. 3.90%, 06/01/29 (Call 03/01/29)		115		120,754
4.35%, 06/01/28 (Call 03/01/28)		95		102,465
Ross Stores Inc., 4.60%, 04/15/25 (Call 03/15/25)		245		261,369
Starbucks Corp., 3.10%, 03/01/23 (Call 02/01/23)		505		512,703
Walgreens Boots Alliance Inc. 3.45%, 06/01/26 (Call 03/01/26)		608		630,559
4.80%, 11/18/44 (Call 05/18/44)		310		338,880


				4,287,690

Semiconductors — 5.1%
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 (Call 10/15/26)		296		308,195
Broadcom Inc. 4.11%, 09/15/28 (Call 06/15/28)		269		282,625
4.70%, 04/15/25 (Call 03/15/25)		215		228,830
4.75%, 04/15/29 (Call 01/15/29)		329		357,508
5.00%, 04/15/30 (Call 01/15/30)		700		772,921
KLA Corp., 4.65%, 11/01/24 (Call 08/01/24)		625		659,569
Marvell Technology Inc. 2.45%, 04/15/28 (Call 02/15/28)		565		544,818
2.95%, 04/15/31 (Call 01/15/31)		445		428,596
Microchip Technology Inc. 4.25%, 09/01/25 (Call 09/01/22)		385		395,120
4.33%, 06/01/23 (Call 05/01/23)		535		550,276
Micron Technology Inc. 4.66%, 02/15/30 (Call 11/15/29)		405		435,335
4.98%, 02/06/26 (Call 12/06/25)		93		99,875
5.33%, 02/06/29 (Call 11/06/28)		150		167,141
NXP BV/NXP Funding LLC 4.88%, 03/01/24 (Call 02/01/24)^(c)		737		772,661
5.35%, 03/01/26 (Call 01/01/26)^(b)(c)		220		241,078
5.55%, 12/01/28 (Call 09/01/28)^(c)		55		62,517
Qorvo Inc., 4.38%, 10/15/29 (Call 10/15/24)		690		697,762
Skyworks Solutions Inc. 0.90%, 06/01/23 (Call 06/01/22)		200		197,289
1.80%, 06/01/26 (Call 05/01/26)		407		388,629
3.00%, 06/01/31 (Call 03/01/31)		170		157,819
Xilinx Inc., 2.95%, 06/01/24 (Call 04/01/24)		540		549,473


				8,298,037

Shipbuilding — 0.5%
Huntington Ingalls Industries Inc. 2.04%, 08/16/28 (Call 06/16/28)^(c)		260		244,769
3.48%, 12/01/27 (Call 09/01/27)^(b)		199		204,055
3.84%, 05/01/25 (Call 04/01/25)		176		182,398
4.20%, 05/01/30 (Call 02/01/30)		150		159,588


				790,810

Software — 3.5%
Broadridge Financial Solutions Inc., 2.60%, 05/01/31 (Call 02/01/31)		295		277,536
Citrix Systems Inc., 4.50%, 12/01/27 (Call 09/01/27)		580		600,237
Fiserv Inc. 3.85%, 06/01/25 (Call 03/01/25)		395		410,943
4.20%, 10/01/28 (Call 07/01/28)		635		676,602
4.40%, 07/01/49 (Call 01/01/49)		30		31,977
Oracle Corp. 2.88%, 03/25/31 (Call 12/25/30)		42		40,087


20		2 0 2 2 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

Schedule of Investments (continued)

February 28, 2022

iShares^® Investment Grade Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Software (continued)
3.40%, 07/08/24 (Call 04/08/24)	$	400	$	409,205
4.38%, 05/15/55 (Call 11/15/54)		30		28,450
5.38%, 07/15/40		1,460		1,606,728
Roper Technologies Inc., 4.20%, 09/15/28 (Call 06/15/28)		520		553,932
VMware Inc. 3.90%, 08/21/27 (Call 05/21/27)		806		841,981
4.50%, 05/15/25 (Call 04/15/25)		160		169,381


				5,647,059

Telecommunications — 6.8%
AT&T Inc. 2.55%, 12/01/33 (Call 09/01/33)		153		141,911
3.40%, 05/15/25 (Call 02/15/25)		85		87,856
3.50%, 06/01/41 (Call 12/01/40)		20		19,017
3.50%, 02/01/61 (Call 08/01/60)		20		17,618
3.65%, 09/15/59 (Call 03/15/59)		318		288,480
4.13%, 02/17/26 (Call 11/17/25)		135		143,799
4.25%, 03/01/27 (Call 12/01/26)		655		705,384
4.35%, 03/01/29 (Call 12/01/28)		210		228,248
4.85%, 03/01/39 (Call 09/01/38)		695		767,329
5.25%, 03/01/37 (Call 09/01/36)		190		223,287
5.65%, 02/15/47 (Call 08/15/46)		435		535,419
Corning Inc., 5.45%, 11/15/79 (Call 07/15/28)		470		542,312
Deutsche Telekom International Finance BV, 8.75%, 06/15/30		565		782,015
Juniper Networks Inc., 3.75%, 08/15/29 (Call 05/15/29)^(b)		190		195,717
Motorola Solutions Inc. 2.30%, 11/15/30 (Call 08/15/30)		175		159,489
4.60%, 02/23/28 (Call 11/23/27)		135		146,313
4.60%, 05/23/29 (Call 02/23/29)		585		631,279
Orange SA, 9.00%, 03/01/31		233		333,742
Telefonica Emisiones SA, 7.05%, 06/20/36^(b)		610		792,505
T-Mobile USA Inc. 2.55%, 02/15/31 (Call 11/15/30)		100		93,729
3.00%, 02/15/41 (Call 08/15/40)		240		207,994
3.60%, 11/15/60 (Call 05/15/60)^(c)		20		17,494
3.75%, 04/15/27 (Call 02/15/27)		615		638,554
3.88%, 04/15/30 (Call 01/15/30)		567		586,330
4.50%, 04/15/50 (Call 10/15/49)		160		166,810
Verizon Communications Inc. 4.27%, 01/15/36		710		773,582
4.40%, 11/01/34 (Call 05/01/34)		278		306,481
4.50%, 08/10/33		127		141,118
5.25%, 03/16/37		85		101,275
Vodafone Group PLC 5.00%, 05/30/38		445		505,117
6.15%, 02/27/37		610		748,836


				11,029,040

Toys, Games & Hobbies — 0.6%
Hasbro Inc. 3.55%, 11/19/26 (Call 09/19/26)		380		392,321
3.90%, 11/19/29 (Call 08/19/29)		585		612,271


				1,004,592


Security	Par/ Shares (000)		Value

Transportation — 1.9%
Canadian Pacific Railway Co., 6.13%, 09/15/2115 (Call 03/15/2115)	$	318	$	414,373
CH Robinson Worldwide Inc., 4.20%, 04/15/28 (Call 01/15/28)		120		130,043
FedEx Corp. 4.40%, 01/15/47 (Call 07/15/46)		460		485,928
4.55%, 04/01/46 (Call 10/01/45)		520		566,108
5.25%, 05/15/50 (Call 11/15/49)		20		23,986
Norfolk Southern Corp., 4.10%, 05/15/2121 (Call 11/15/2120)		255		244,831
Union Pacific Corp., 3.75%, 02/05/70 (Call 08/05/69)		595		592,657
United Parcel Service Inc., 6.20%, 01/15/38		490		663,459


				3,121,385


Total Corporate Bonds & Notes — 96.8% (Cost: $162,315,445)				156,912,504


Short-Term Investments

Money Market Funds — 3.6%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.09%^(d)(e)(f)		3,424		3,424,264
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.03%^(d)(e)		2,373		2,373,000


				5,797,264


Total Short-Term Investments — 3.6% (Cost: $5,795,883)				5,797,264


Total Investments in Securities — 100.4% (Cost: $168,111,328)				162,709,768

Other Assets, Less Liabilities — (0.4)%				(700,361	)


Net Assets — 100.0%			$	162,009,407

^(a)	Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

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

^(c)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

^(d)	Affiliate of the Fund.

^(e)	Annualized 7-day yield as of period end.

^(f)	All or a portion of this security was purchased with the cash collateral from loaned securities.


S C H E D U L E O F I N V E S T M E N T S		21

Schedule of Investments (continued)

February 28, 2022

iShares^® Investment Grade Bond Factor ETF

Affiliates



Affiliated Issuer	Value at 02/28/21		Purchases at Cost			Proceeds from Sales			Net Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value at 02/28/22		Shares Held at 02/28/22 (000)		Income			Capital Gain Distributions from Underlying Funds

BlackRock Cash Funds: Institutional, SL Agency Shares	$	4,403,085	$	—		$	(977,201	)^(a)	$	(517	)	$	(1,103	)	$	3,424,264		3,424	$	7,825	^(b)	$	—
BlackRock Cash Funds: Treasury, SL Agency Shares		903,000		1,470,000	^(a)		—			—			—			2,373,000		2,373		207			—

									$	(517	)	$	(1,103	)	$	5,797,264			$	8,032		$	—

^(a)	Represents net amount purchased (sold).

^(b)	All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

Fair Value Hierarchy as of Period End



	Level 1		Level 2		Level 3		Total

Investments
Assets
Corporate Bonds & Notes	$	—	$	156,912,504	$	—	$	156,912,504
Money Market Funds		5,797,264		—		—		5,797,264

	$	5,797,264	$	156,912,504	$	—	$	162,709,768

See notes to financial statements.


22		2 0 2 2 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

Schedule of Investments

February 28, 2022

iShares^® USD Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Collaterized Mortgage Obligations

Mortgage-Backed Securities — 1.3%
BANK, Series 2017, Class A5, 3.44%, 09/15/60 (Call 09/15/27)	$	40	$	41,350
Commission Mortgage Trust, 2.87%, 08/15/57 (Call 05/15/29)		50		50,804
Freddie Mac Multifamily Structured Pass Through Certificates, Series K123, Class A2, 1.62%, 12/25/30 (Call 12/25/30)		46		44,130
GS Mortgage Securities Trust, 2.91%, 02/13/53 (Call 12/13/29)		75		74,708
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class A4, 3.72%, 07/15/50 (Call 06/15/25)		25		25,814
Wells Fargo Commercial Mortgage Trust, 3.79%, 12/15/49 (Call 11/15/26)		10		10,470


				247,276


Total Collaterized Mortgage Obligations — 1.3% (Cost: $259,866)				247,276


Corporate Bonds & Notes

Advertising — 0.2%
Advantage Sales & Marketing Inc., 6.50%, 11/15/28 (Call 11/15/23)^(a)		3		3,021
Omnicom Group Inc./Omnicom Capital Inc., 3.60%, 04/15/26 (Call 01/15/26)		37		38,647


				41,668

Aerospace & Defense — 1.9%
Boeing Co. (The) 2.20%, 02/04/26 (Call 02/04/23)		40		39,028
4.88%, 05/01/25 (Call 04/01/25)		35		37,208
5.04%, 05/01/27 (Call 03/01/27)		45		48,886
5.15%, 05/01/30 (Call 02/01/30)		10		11,045
5.93%, 05/01/60 (Call 11/01/59)		5		5,937
Bombardier Inc., 7.88%, 04/15/27 (Call 04/15/22)^(a)		5		5,070
L3Harris Technologies Inc., 4.40%, 06/15/28 (Call 03/15/28)		55		59,336
Northrop Grumman Corp. 2.93%, 01/15/25 (Call 11/15/24)		20		20,381
3.25%, 01/15/28 (Call 10/15/27)		45		45,975
Raytheon Technologies Corp. 4.13%, 11/16/28 (Call 08/16/28)		60		64,830
4.88%, 10/15/40		5		5,768
Spirit AeroSystems Inc., 7.50%, 04/15/25 (Call 04/15/22)^(a)		5		5,195
Teledyne Technologies Inc., 2.25%, 04/01/28 (Call 02/01/28)		15		14,568
TransDigm Inc., 6.25%, 03/15/26 (Call 03/31/22)^(a)		5		5,144


				368,371

Agriculture — 1.0%
Altria Group Inc. 3.40%, 05/06/30 (Call 02/06/30)		15		14,766
5.80%, 02/14/39 (Call 08/14/38)		25		27,407
BAT Capital Corp. 3.56%, 08/15/27 (Call 05/15/27)		80		80,514
4.91%, 04/02/30 (Call 01/02/30)		20		21,354
Bunge Ltd. Finance Corp., 2.75%, 05/14/31 (Call 02/14/31)		20		19,035
Philip Morris International Inc., 6.38%, 05/16/38		15		19,367
Reynolds American Inc., 5.85%, 08/15/45 (Call 02/15/45)		5		5,410
Vector Group Ltd. 5.75%, 02/01/29 (Call 02/01/24)^(a)		2		1,845
10.50%, 11/01/26 (Call 03/31/22)^(a)		2		2,053


				191,751

Airlines — 0.1%
Air Canada, 3.88%, 08/15/26 (Call 02/15/26)^(a)		5		4,855
American Airlines Group Inc., 3.75%, 03/01/25^(a)		3		2,794


Security	Par (000)		Value

Airlines (continued)
American Airlines Inc., 11.75%, 07/15/25^(a)	$	3	$	3,638
Delta Air Lines Inc., 7.38%, 01/15/26 (Call 12/15/25)		5		5,612
United Airlines Inc., 4.63%, 04/15/29 (Call 10/15/28)^(a)		2		1,951


				18,850

Auto Manufacturers — 0.1%
Allison Transmission Inc., 5.88%, 06/01/29 (Call 06/01/24)^(a)		2		2,098
Ford Motor Co., 5.29%, 12/08/46 (Call 06/08/46)		2		2,050
Jaguar Land Rover Automotive PLC, 4.50%, 10/01/27 (Call 07/01/27)^(a)		10		9,200


				13,348

Auto Parts & Equipment — 0.0%
Lear Corp., 3.80%, 09/15/27 (Call 06/15/27)		9		9,370


Banks — 3.9%
Bank of America Corp., Series L, 3.95%, 04/21/25		90		93,330
Bank of Nova Scotia (The), 0.65%, 07/31/24		40		38,596
Canadian Imperial Bank of Commerce, 1.25%, 06/22/26		25		23,628
Citigroup Inc. 3.40%, 05/01/26		50		51,452
4.40%, 06/10/25		40		41,967
8.13%, 07/15/39		5		7,822
Citizens Financial Group Inc., 3.25%, 04/30/30 (Call 01/30/30)		35		35,435
Fifth Third Bancorp., 2.38%, 01/28/25 (Call 12/28/24)		20		20,028
HSBC Holdings PLC, 4.30%, 03/08/26		200		211,403
Intesa Sanpaolo SpA, 5.71%, 01/15/26^(a)		10		10,541
Morgan Stanley 3.13%, 07/27/26		15		15,290
3.63%, 01/20/27		40		41,670
4.00%, 07/23/25		35		36,657
SVB Financial Group, 2.10%, 05/15/28 (Call 03/15/28)		10		9,576
Wells Fargo & Co. 3.00%, 02/19/25		55		56,051
4.15%, 01/24/29 (Call 10/24/28)		45		47,985


				741,431

Beverages — 1.2%
Anheuser-Busch InBev Worldwide Inc. 4.00%, 04/13/28 (Call 01/13/28)		55		58,577
4.75%, 01/23/29 (Call 10/23/28)		50		55,503
5.45%, 01/23/39 (Call 07/23/38)		5		5,957
Constellation Brands Inc., 3.15%, 08/01/29 (Call 05/01/29)		30		30,015
Keurig Dr Pepper Inc. 4.42%, 05/25/25 (Call 03/25/25)		25		26,467
4.60%, 05/25/28 (Call 02/25/28)		45		49,100


				225,619

Biotechnology — 0.8%
Amgen Inc., 4.40%, 05/01/45 (Call 11/01/44)		5		5,312
Gilead Sciences Inc. 3.65%, 03/01/26 (Call 12/01/25)		70		72,994
4.80%, 04/01/44 (Call 10/01/43)		5		5,678
Regeneron Pharmaceuticals Inc., 1.75%, 09/15/30 (Call 06/15/30)		15		13,398
Royalty Pharma PLC 1.20%, 09/02/25 (Call 08/02/25)		40		37,986
1.75%, 09/02/27 (Call 07/02/27)		20		18,761
3.35%, 09/02/51 (Call 03/02/51)		5		4,189


				158,318

Building Materials — 0.7%
Builders FirstSource Inc., 6.75%, 06/01/27 (Call 06/01/22)^(a)		4		4,157


S C H E D U L E O F I N V E S T M E N T S		23

Schedule of Investments (continued)

February 28, 2022

iShares^® USD Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Building Materials (continued)
Carrier Global Corp. 2.24%, 02/15/25 (Call 01/15/25)	$	50	$	49,859
2.49%, 02/15/27 (Call 12/15/26)		25		24,870
2.72%, 02/15/30 (Call 11/15/29)		10		9,725
Eagle Materials Inc., 2.50%, 07/01/31 (Call 04/01/31)		5		4,672
Masco Corp., 1.50%, 02/15/28 (Call 12/15/27)		15		13,716
Vulcan Materials Co., 3.50%, 06/01/30 (Call 03/01/30)		30		31,016


				138,015

Chemicals — 0.8%
CVR Partners LP/CVR Nitrogen Finance Corp., 6.13%, 06/15/28 (Call 06/15/24)^(a)		3		3,019
DuPont de Nemours Inc. 4.49%, 11/15/25 (Call 09/15/25)		40		42,611
4.73%, 11/15/28 (Call 08/15/28)		20		22,131
Huntsman International LLC, 4.50%, 05/01/29 (Call 02/01/29)		40		42,474
LYB International Finance BV, 4.88%, 03/15/44 (Call 09/15/43)		5		5,496
LYB International Finance III LLC, 1.25%, 10/01/25 (Call 09/01/25)		5		4,776
Nutrien Ltd., 4.20%, 04/01/29 (Call 01/01/29)		30		32,407
Rain CII Carbon LLC/CII Carbon Corp., 7.25%, 04/01/25 (Call 03/31/22)^(a)		3		3,003
Trinseo Materials Operating SCA/Trinseo Materials Finance Inc. 5.13%, 04/01/29 (Call 04/01/24)^(a)		2		1,895
5.38%, 09/01/25 (Call 03/31/22)^(a)		5		5,040


				162,852

Commercial Services — 0.8%
ADT Security Corp. (The), 4.13%, 08/01/29 (Call 08/01/28)^(a)		5		4,714
Adtalem Global Education Inc., 5.50%, 03/01/28
(Call 03/01/24)^(a)		2		1,789
APX Group Inc., 6.75%, 02/15/27 (Call 02/15/23)^(a)		2		2,054
Deluxe Corp., 8.00%, 06/01/29 (Call 06/01/24)^(a)		3		3,075
Global Payments Inc. 1.20%, 03/01/26 (Call 02/01/26)		55		51,914
3.20%, 08/15/29 (Call 05/15/29)		10		9,871
Nielsen Finance LLC/Nielsen Finance Co. 4.75%, 07/15/31 (Call 07/15/26)^(a)		2		1,780
5.88%, 10/01/30 (Call 10/01/25)^(a)		3		2,905
Prime Security Services Borrower LLC/Prime Finance Inc., 5.75%, 04/15/26^(a)		5		5,138
PROG Holdings Inc., 6.00%, 11/15/29 (Call 11/15/24)^(a)		2		1,920
Quanta Services Inc., 2.90%, 10/01/30 (Call 07/01/30)		30		28,767
RELX Capital Inc., 4.00%, 03/18/29 (Call 12/18/28)		30		31,948
Sabre GLBL Inc., 7.38%, 09/01/25 (Call 09/01/22)^(a)		5		5,182
United Rentals North America Inc., 4.88%, 01/15/28
(Call 01/15/23)		2		2,041


				153,098

Computers — 0.7%
CGI Inc., 1.45%, 09/14/26 (Call 08/14/26)^(a)		15		14,268
Conduent Business Services LLC/Conduent State & Local Solutions Inc., 6.00%, 11/01/29 (Call 11/01/24)^(a)		3		2,858
HP Inc. 2.20%, 06/17/25 (Call 05/17/25)		35		34,773
3.40%, 06/17/30 (Call 03/17/30)		20		20,195
6.00%, 09/15/41		5		5,973
Leidos Inc. 2.30%, 02/15/31 (Call 11/15/30)		15		13,509
3.63%, 05/15/25 (Call 04/15/25)		10		10,283
4.38%, 05/15/30 (Call 02/15/30)		20		21,234
Teledyne FLIR LLC, 2.50%, 08/01/30 (Call 05/01/30)		5		4,698


Security	Par (000)		Value

Computers (continued)
Unisys Corp., 6.88%, 11/01/27 (Call 11/01/23)^(a)	$	3	$	3,157


				130,948

Cosmetics & Personal Care — 0.0%
Coty Inc., 5.00%, 04/15/26 (Call 04/15/23)^(a)		2		2,012


Diversified Financial Services — 1.2%
Capital One Financial Corp. 3.75%, 03/09/27 (Call 02/09/27)		30		31,332
3.80%, 01/31/28 (Call 12/31/27)		30		31,237
4.25%, 04/30/25 (Call 03/31/25)		20		21,040
Curo Group Holdings Corp., 7.50%, 08/01/28 (Call 08/01/24)^(a)		4		3,550
Discover Financial Services, 4.10%, 02/09/27 (Call 11/09/26)		65		68,171
goeasy Ltd., 5.38%, 12/01/24 (Call 03/31/22)^(a)		2		2,010
Nationstar Mortgage Holdings Inc. 5.13%, 12/15/30 (Call 12/15/25)^(a)		3		2,813
5.75%, 11/15/31 (Call 11/15/26)^(a)		2		1,935
OneMain Finance Corp., 7.13%, 03/15/26		6		6,504
PennyMac Financial Services Inc., 5.75%, 09/15/31 (Call 09/15/26)^(a)		2		1,885
Raymond James Financial Inc., 3.75%, 04/01/51 (Call 10/01/50)		10		9,910
Synchrony Financial, 3.95%, 12/01/27 (Call 09/01/27)		40		41,206


				221,593

Electric — 4.0%
Ameren Corp., 3.50%, 01/15/31 (Call 10/15/30)		40		41,113
Avangrid Inc. 3.20%, 04/15/25 (Call 03/15/25)		35		35,780
3.80%, 06/01/29 (Call 03/01/29)		20		20,904
Commonwealth Edison Co., 3.00%, 03/01/50 (Call 09/01/49)		5		4,551
Connecticut Light & Power Co. (The), 4.00%, 04/01/48 (Call 10/01/47)		5		5,368
Consolidated Edison Co. of New York Inc., 3.60%, 06/15/61 (Call 12/15/60)		5		4,649
Dominion Energy Inc.
Series A, 1.45%, 04/15/26 (Call 03/15/26)		15		14,437
Series C, 3.38%, 04/01/30 (Call 01/01/30)		35		35,664
DTE Energy Co., Series F, 1.05%, 06/01/25 (Call 05/01/25)		70		66,868
Duke Energy Corp. 2.45%, 06/01/30 (Call 03/01/30)		50		47,508
3.15%, 08/15/27 (Call 05/15/27)		15		15,311
Duke Energy Indiana LLC, 2.75%, 04/01/50 (Call 10/01/49)		15		12,736
Emera U.S. Finance LP 3.55%, 06/15/26 (Call 03/15/26)		10		10,284
4.75%, 06/15/46 (Call 12/15/45)		10		10,554
Entergy Corp. 0.90%, 09/15/25 (Call 08/15/25)		30		28,399
1.90%, 06/15/28 (Call 04/15/28)		20		18,762
Evergy Inc., 2.90%, 09/15/29 (Call 06/15/29)		20		19,834
Evergy Kansas Central Inc., 3.45%, 04/15/50 (Call 10/15/49)		5		4,798
Exelon Corp., 4.05%, 04/15/30 (Call 01/15/30)		40		42,446
FirstEnergy Corp., Series C, 3.40%, 03/01/50 (Call 09/01/49)		3		2,575
Florida Power & Light Co., 3.95%, 03/01/48 (Call 09/01/47)		5		5,382
Fortis Inc./Canada, 3.06%, 10/04/26 (Call 07/04/26)		45		45,500
NextEra Energy Capital Holdings Inc., 3.55%, 05/01/27 (Call 02/01/27)		50		51,927
NRG Energy Inc., 5.75%, 01/15/28 (Call 01/15/23)		3		3,067
PG&E Corp., 5.00%, 07/01/28 (Call 07/01/23)		5		4,950
San Diego Gas & Electric Co.
Series VVV, 1.70%, 10/01/30 (Call 07/01/30)		20		18,158
Series WWW, 2.95%, 08/15/51 (Call 02/15/51)		5		4,479


24		2 0 2 2 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

Schedule of Investments (continued)

February 28, 2022

iShares^® USD Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Electric (continued)
Sempra Energy, 3.40%, 02/01/28 (Call 11/01/27)	$	55	$	56,635
Southern California Edison Co. 4.00%, 04/01/47 (Call 10/01/46)		5		4,937
Series B, 4.88%, 03/01/49 (Call 09/01/48)		5		5,485
Series E, 3.70%, 08/01/25 (Call 06/01/25)		35		36,320
Southern Co. (The) 3.25%, 07/01/26 (Call 04/01/26)		40		41,016
4.40%, 07/01/46 (Call 01/01/46)		12		12,573
Series A, 3.70%, 04/30/30 (Call 01/30/30)		20		20,616
Southwestern Electric Power Co., Series N, 1.65%, 03/15/26 (Call 02/15/26)		15		14,488
Vistra Operations Co. LLC, 5.63%, 02/15/27 (Call 03/11/22)^(a)		2		2,048


				770,122

Electronics — 0.2%
TD SYNNEX Corp. 1.25%, 08/09/24 (Call 08/09/22)^(a)		20		19,410
1.75%, 08/09/26 (Call 07/09/26)^(a)		15		14,243
2.38%, 08/09/28 (Call 06/09/28)^(a)		15		13,983


				47,636

Energy - Alternate Sources — 0.0%
Renewable Energy Group Inc., 5.88%, 06/01/28 (Call 06/01/24)^(a)		2		2,160


Engineering & Construction — 0.0%
AECOM, 5.13%, 03/15/27 (Call 12/15/26)		5		5,125


Entertainment — 0.1%
AMC Entertainment Holdings Inc., 7.50%, 02/15/29^(a)		4		3,939
Caesars Entertainment Inc., 6.25%, 07/01/25 (Call 07/01/22)^(a)		6		6,222
Cedar Fair LP/Canada’s Wonderland Co./Magnum Management Corp./Millennium Op, 5.50%, 05/01/25 (Call 05/01/22)^(a)		5		5,139
Live Nation Entertainment Inc., 6.50%, 05/15/27 (Call 05/15/23)^(a)		5		5,353


				20,653

Environmental Control — 0.2%
GFL Environmental Inc., 3.50%, 09/01/28 (Call 03/01/28)^(a)		5		4,773
Republic Services Inc., 3.95%, 05/15/28 (Call 02/15/28)		20		21,245
Stericycle Inc., 5.38%, 07/15/24 (Call 03/16/22)^(a)		3		3,067


				29,085

Food — 1.6%
Campbell Soup Co. 3.95%, 03/15/25 (Call 01/15/25)		20		20,834
4.15%, 03/15/28 (Call 12/15/27)		25		26,744
Conagra Brands Inc. 4.60%, 11/01/25 (Call 09/01/25)		20		21,283
4.85%, 11/01/28 (Call 08/01/28)		45		49,537
General Mills Inc., 4.20%, 04/17/28 (Call 01/17/28)		30		32,329
JM Smucker Co. (The), 3.50%, 03/15/25		25		25,870
Kraft Heinz Foods Co., 4.88%, 10/01/49 (Call 04/01/49)		9		9,967
Pilgrim’s Pride Corp., 5.88%, 09/30/27 (Call 09/30/22)^(a)		3		3,083
Post Holdings Inc., 5.75%, 03/01/27 (Call 03/16/22)^(a)		2		2,021
Sysco Corp. 5.95%, 04/01/30 (Call 01/01/30)		25		29,896
6.60%, 04/01/50 (Call 10/01/49)		5		6,956
Tyson Foods Inc., 4.00%, 03/01/26 (Call 01/01/26)		70		73,334


				301,854

Gas — 0.3%
AmeriGas Partners LP/AmeriGas Finance Corp., 5.75%, 05/20/27 (Call 02/20/27)		5		5,051


Security	Par (000)		Value

Gas (continued)
National Fuel Gas Co., 2.95%, 03/01/31 (Call 12/01/30)	$	15	$	14,116
NiSource Inc. 2.95%, 09/01/29 (Call 06/01/29)		30		29,579
4.38%, 05/15/47 (Call 11/15/46)		10		10,456


				59,202

Health Care - Products — 0.9%
Boston Scientific Corp. 3.75%, 03/01/26 (Call 01/01/26)		20		20,882
4.00%, 03/01/29 (Call 12/01/28)		20		21,222
DENTSPLY SIRONA Inc., 3.25%, 06/01/30 (Call 03/01/30)		40		40,504
PerkinElmer Inc., 3.30%, 09/15/29 (Call 06/15/29)		45		45,187
Smith & Nephew PLC, 2.03%, 10/14/30 (Call 07/14/30)		60		54,469


				182,264

Health Care - Services — 1.5%
Anthem Inc., 4.10%, 03/01/28 (Call 12/01/27)		60		64,192
HCA Inc. 4.13%, 06/15/29 (Call 03/15/29)		45		47,163
4.50%, 02/15/27 (Call 08/15/26)		20		21,197
5.13%, 06/15/39 (Call 12/15/38)		10		11,144
Humana Inc. 1.35%, 02/03/27 (Call 01/03/27)		30		28,287
3.13%, 08/15/29 (Call 05/15/29)		5		5,026
4.95%, 10/01/44 (Call 04/01/44)		5		5,811
Laboratory Corp. of America Holdings, 1.55%, 06/01/26
(Call 05/01/26)		50		47,863
Tenet Healthcare Corp., 6.25%, 02/01/27 (Call 03/31/22)^(a)		5		5,142
Universal Health Services Inc., 1.65%, 09/01/26
(Call 08/01/26)^(a)		55		52,228


				288,053

Holding Companies - Diversified — 1.3%
Ares Capital Corp. 3.25%, 07/15/25 (Call 06/15/25)		35		34,662
3.88%, 01/15/26 (Call 12/15/25)		40		40,554
FS KKR Capital Corp., 3.40%, 01/15/26 (Call 12/15/25)		65		63,845
Goldman Sachs BDC Inc., 2.88%, 01/15/26 (Call 12/15/25)^(b)		20		19,613
Golub Capital BDC Inc., 2.50%, 08/24/26 (Call 07/24/26)		15		14,210
Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.25%, 05/15/27 (Call 11/15/26)		5		4,965
Main Street Capital Corp., 3.00%, 07/14/26 (Call 06/14/26)		10		9,602
Owl Rock Capital Corp. 2.88%, 06/11/28 (Call 04/11/28)		20		18,181
3.75%, 07/22/25 (Call 06/22/25)		40		39,435


				245,067

Home Builders — 0.3%
Brookfield Residential Properties Inc./Brookfield Residential U.S. LLC, 6.25%, 09/15/27 (Call 09/15/22)^(a)		2		2,005
DR Horton Inc., 1.40%, 10/15/27 (Call 08/15/27)		10		9,267
NVR Inc., 3.00%, 05/15/30 (Call 11/15/29)		35		34,772
Picasso Finance Sub Inc., 6.13%, 06/15/25 (Call 06/15/22)^(a)		3		3,094


				49,138

Housewares — 0.0%
Newell Brands Inc., 6.00%, 04/01/46 (Call 10/01/45)		2		2,236


Insurance — 1.5%
American International Group Inc., 2.50%, 06/30/25 (Call 05/30/25)		100		100,441
Aon Corp., 3.75%, 05/02/29 (Call 02/02/29)		35		36,650
Assured Guaranty U.S. Holdings Inc., 3.15%, 06/15/31 (Call 03/15/31)		10		9,919


S C H E D U L E O F I N V E S T M E N T S		25

Schedule of Investments (continued)

February 28, 2022

iShares^® USD Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Insurance (continued)
Everest Reinsurance Holdings Inc., 3.50%, 10/15/50 (Call 04/15/50)	$	5	$	4,685
Fairfax Financial Holdings Ltd., 3.38%, 03/03/31 (Call 12/03/30)		15		14,827
Fidelity National Financial Inc., 2.45%, 03/15/31 (Call 12/15/30)		25		23,313
First American Financial Corp., 2.40%, 08/15/31 (Call 05/15/31)		15		13,692
Jackson Financial Inc., 4.00%, 11/23/51 (Call 05/23/51)^(a)		5		4,491
Manulife Financial Corp., 4.15%, 03/04/26		35		37,089
Markel Corp., 3.45%, 05/07/52 (Call 11/07/51)		5		4,611
Marsh & McLennan Companies Inc., 4.38%, 03/15/29 (Call 12/15/28)		35		38,173


				287,891

Internet — 0.3%
Booking Holdings Inc., 4.63%, 04/13/30 (Call 01/13/30)		35		39,126
GrubHub Holdings Inc., 5.50%, 07/01/27 (Call 07/01/22)^(a)		2		1,785
TripAdvisor Inc., 7.00%, 07/15/25 (Call 07/15/22)^(a)		2		2,070
Uber Technologies Inc., 7.50%, 09/15/27 (Call 09/15/22)^(a)		5		5,344


				48,325

Iron & Steel — 0.0%
Cleveland-Cliffs Inc., 5.88%, 06/01/27 (Call 06/01/22)		5		5,150
Mineral Resources Ltd., 8.13%, 05/01/27 (Call 05/01/22)^(a)		3		3,170


				8,320

Leisure Time — 0.1%
Carnival Corp. 7.63%, 03/01/26 (Call 03/01/24)^(a)		3		3,084
10.50%, 02/01/26 (Call 08/01/23)^(a)		4		4,490
NCL Corp. Ltd., 5.88%, 02/15/27^(a)		2		2,003
Royal Caribbean Cruises Ltd. 9.13%, 06/15/23 (Call 03/15/23)^(a)		5		5,228
10.88%, 06/01/23 (Call 03/01/23)^(a)		5		5,367


				20,172

Lodging — 0.4%
Marriott International Inc./MD
Series EE, 5.75%, 05/01/25 (Call 04/01/25)		15		16,415
Series HH, 2.85%, 04/15/31 (Call 01/15/31)		50		47,657
Travel + Leisure Co. 4.50%, 12/01/29 (Call 09/01/29)^(a)		2		1,910
6.63%, 07/31/26 (Call 04/30/26)^(a)		3		3,203
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, 03/01/25 (Call 12/01/24)^(a)		4		4,057


				73,242

Machinery — 0.5%
GrafTech Finance Inc., 4.63%, 12/15/28 (Call 12/15/23)^(a)		3		2,915
Otis Worldwide Corp., 2.06%, 04/05/25 (Call 03/05/25)		30		29,774
Vertiv Group Corp., 4.13%, 11/15/28 (Call 11/15/24)^(a)		4		3,670
Westinghouse Air Brake Technologies Corp. 3.45%, 11/15/26 (Call 08/15/26)		15		15,182
4.95%, 09/15/28 (Call 06/15/28)		35		38,048


				89,589

Manufacturing — 0.7%
Carlisle Companies Inc., 2.75%, 03/01/30 (Call 12/01/29)		30		29,088
General Electric Co., 6.75%, 03/15/32		35		45,181
LSB Industries Inc., 6.25%, 10/15/28 (Call 10/15/24)^(a)		2		2,010
Parker-Hannifin Corp., 3.25%, 06/14/29 (Call 03/14/29)		35		35,673
Trane Technologies Luxembourg Finance SA, 3.80%, 03/21/29 (Call 12/21/28)		25		26,216


				138,168


Security	Par (000)		Value

Media — 1.0%
CCO Holdings LLC/CCO Holdings Capital Corp., 4.25%, 01/15/34 (Call 01/15/28)^(a)	$	1	$	919
Charter Communications Operating LLC/Charter Communications Operating Capital 4.20%, 03/15/28 (Call 12/15/27)		30		31,284
5.05%, 03/30/29 (Call 12/30/28)		25		27,175
5.38%, 04/01/38 (Call 10/01/37)		10		10,460
5.75%, 04/01/48 (Call 10/01/47)		5		5,527
6.48%, 10/23/45 (Call 04/23/45)		5		5,974
Comcast Corp. 2.99%, 11/01/63 (Call 05/01/63)^(a)		5		4,163
4.25%, 10/15/30 (Call 07/15/30)		35		38,496
Directv Financing LLC/Directv Financing Co-Obligor Inc., 5.88%, 08/15/27 (Call 08/15/23)^(a)		4		3,998
DISH DBS Corp. 7.75%, 07/01/26		3		3,038
5.13%, 06/01/29		5		4,219
Fox Corp. 4.71%, 01/25/29 (Call 10/25/28)		50		54,572
5.48%, 01/25/39 (Call 07/25/38)		5		5,829
Time Warner Cable LLC, 6.75%, 06/15/39		5		6,069


				201,723

Mining — 0.4%
Arconic Corp., 6.13%, 02/15/28 (Call 02/15/23)^(a)		5		5,113
Eldorado Gold Corp., 6.25%, 09/01/29 (Call 09/01/24)^(a)		5		5,050
FMG Resources August 2006 Pty Ltd., 5.13%, 05/15/24 (Call 02/15/24)^(a)		3		3,083
Freeport-McMoRan Inc., 4.63%, 08/01/30 (Call 08/01/25)		40		41,294
Hecla Mining Co., 7.25%, 02/15/28 (Call 02/15/23)		3		3,146
IAMGOLD Corp., 5.75%, 10/15/28 (Call 10/15/23)^(a)		5		4,563
Newmont Corp., 4.88%, 03/15/42 (Call 09/15/41)		5		5,753
Southern Copper Corp., 5.88%, 04/23/45		5		6,228


				74,230

Office & Business Equipment — 0.3%
CDW LLC/CDW Finance Corp. 2.67%, 12/01/26 (Call 11/01/26)		50		48,888
3.57%, 12/01/31 (Call 09/01/31)		15		14,571
Pitney Bowes Inc., 6.88%, 03/15/27 (Call 03/15/24)^(a)		3		2,823


				66,282

Oil & Gas — 1.2%
Antero Resources Corp., 7.63%, 02/01/29 (Call 02/01/24)^(a)		4		4,330
Canadian Natural Resources Ltd., 3.85%, 06/01/27 (Call 03/01/27)		45		46,933
Civitas Resources Inc., 5.00%, 10/15/26 (Call 10/15/23)^(a)		2		1,971
CNX Resources Corp., 7.25%, 03/14/27 (Call 03/31/22)^(a)		3		3,169
ConocoPhillips Co., 6.95%, 04/15/29		55		70,277
Coterra Energy Inc., 3.90%, 05/15/27 (Call 02/15/27)^(a)		10		10,420
EQT Corp., 6.63%, 02/01/25 (Call 01/01/25)		3		3,241
Gulfport Energy Operating Corp., 8.00%, 05/17/26 (Call 05/17/24)^(a)		1		1,057
Marathon Petroleum Corp., 4.70%, 05/01/25 (Call 04/01/25)		40		42,483
Matador Resources Co., 5.88%, 09/15/26 (Call 03/16/22)		5		5,075
Moss Creek Resources Holdings Inc., 10.50%, 05/15/27 (Call 05/15/22)^(a)		2		1,885
Occidental Petroleum Corp. 5.55%, 03/15/26 (Call 12/15/25)		5		5,373
7.88%, 09/15/31		1		1,237
Pioneer Natural Resources Co. 1.13%, 01/15/26 (Call 12/15/25)		20		19,003


26		2 0 2 2 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

Schedule of Investments (continued)

February 28, 2022

iShares^® USD Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Oil & Gas (continued)
2.15%, 01/15/31 (Call 10/15/30)	$	5	$	4,612
Sunoco LP/Sunoco Finance Corp., 6.00%, 04/15/27 (Call 04/15/22)		3		3,097


				224,163

Oil & Gas Services — 0.1%
Archrock Partners LP/Archrock Partners Finance Corp., 6.88%, 04/01/27 (Call 04/01/22)^(a)		3		3,080
USA Compression Partners LP/USA Compression Finance Corp. 6.88%, 04/01/26 (Call 03/31/22)		5		5,021
6.88%, 09/01/27 (Call 09/01/22)		3		3,002


				11,103

Packaging & Containers — 0.1%
Amcor Flexibles North America Inc., 2.69%, 05/25/31 (Call 02/25/31)		10		9,626


Pharmaceuticals — 2.9%
AbbVie Inc. 3.80%, 03/15/25 (Call 12/15/24)		65		67,589
4.25%, 11/14/28 (Call 08/14/28)		30		32,393
4.85%, 06/15/44 (Call 12/15/43)		5		5,637
AmerisourceBergen Corp. 2.70%, 03/15/31 (Call 12/15/30)		35		33,718
3.45%, 12/15/27 (Call 09/15/27)		15		15,587
Becton Dickinson and Co., 3.70%, 06/06/27 (Call 03/06/27)		40		41,930
Cigna Corp. 3.25%, 04/15/25 (Call 01/15/25)		15		15,319
4.38%, 10/15/28 (Call 07/15/28)		25		27,097
4.50%, 02/25/26 (Call 11/27/25)		25		26,759
4.80%, 07/15/46 (Call 01/16/46)		10		11,161
CVS Health Corp. 4.10%, 03/25/25 (Call 01/25/25)		50		52,360
4.30%, 03/25/28 (Call 12/25/27)		110		118,751
Shire Acquisitions Investments Ireland DAC, 3.20%, 09/23/26 (Call 06/23/26)		105		107,773


				556,074

Pipelines — 3.0%
Antero Midstream Partners LP/Antero Midstream Finance Corp., 5.75%, 03/01/27 (Call 03/16/22)^(a)		3		3,056
Enbridge Inc. 1.60%, 10/04/26 (Call 09/04/26)		20		19,072
3.13%, 11/15/29 (Call 08/15/29)		25		24,976
4.25%, 12/01/26 (Call 09/01/26)		20		21,311
EnLink Midstream Partners LP, 4.15%, 06/01/25 (Call 03/01/25)		5		5,006
Enterprise Products Operating LLC 3.75%, 02/15/25 (Call 11/15/24)		30		31,182
4.15%, 10/16/28 (Call 07/16/28)		30		32,340
5.10%, 02/15/45 (Call 08/15/44)		5		5,592
ITT Holdings LLC, 6.50%, 08/01/29 (Call 08/01/24)^(a)		6		5,625
Kinder Morgan Energy Partners LP, 4.15%, 02/01/24 (Call 11/01/23)		30		30,971
Kinder Morgan Inc. 4.30%, 03/01/28 (Call 12/01/27)		50		53,279
5.55%, 06/01/45 (Call 12/01/44)		5		5,738
Magellan Midstream Partners LP, 3.95%, 03/01/50 (Call 09/01/49)		5		4,722
MPLX LP 4.00%, 03/15/28 (Call 12/15/27)		80		83,428
4.88%, 06/01/25 (Call 03/01/25)		25		26,618


Security	Par (000)		Value

Pipelines (continued)
ONEOK Inc. 3.40%, 09/01/29 (Call 06/01/29)	$	45	$	44,397
4.55%, 07/15/28 (Call 04/15/28)		20		21,302
Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.50%, 07/15/27 (Call 07/15/22)		3		3,180
TransCanada PipeLines Ltd. 4.10%, 04/15/30 (Call 01/15/30)		25		26,398
4.25%, 05/15/28 (Call 02/15/28)		35		37,241
Western Midstream Operating LP, 5.75%, 02/01/50 (Call 08/01/49)		3		3,052
Williams Companies Inc. (The) 3.75%, 06/15/27 (Call 03/15/27)		65		67,755
4.00%, 09/15/25 (Call 06/15/25)		20		20,832


				577,073

Real Estate — 0.0%
Cushman & Wakefield US Borrower LLC, 6.75%, 05/15/28 (Call 05/15/23)^(a)		3		3,135
WeWork Companies Inc., 7.88%, 05/01/25^(a)		3		2,715


				5,850

Real Estate Investment Trusts — 3.7%
American Tower Corp. 1.50%, 01/31/28 (Call 11/30/27)		35		31,989
2.75%, 01/15/27 (Call 11/15/26)		50		49,889
Apollo Commercial Real Estate Finance Inc., 4.63%, 06/15/29 (Call 06/15/24)^(a)		2		1,805
Brookfield Property REIT Inc./BPR Cumulus LLC/BPR Nimbus LLC/GGSI Sellco LL, 5.75%, 05/15/26 (Call 05/15/22)^(a)		5		4,946
Crown Castle International Corp. 3.65%, 09/01/27 (Call 06/01/27)		30		31,024
3.80%, 02/15/28 (Call 11/15/27)		50		51,993
Digital Realty Trust LP 3.60%, 07/01/29 (Call 04/01/29)		20		20,607
3.70%, 08/15/27 (Call 05/15/27)		35		36,610
Equinix Inc. 1.45%, 05/15/26 (Call 04/15/26)		15		14,272
2.15%, 07/15/30 (Call 04/15/30)		25		22,668
3.20%, 11/18/29 (Call 08/18/29)		25		24,661
3.40%, 02/15/52 (Call 08/15/51)		5		4,499
GLP Capital LP/GLP Financing II Inc. 5.25%, 06/01/25 (Call 03/01/25)		30		31,612
5.30%, 01/15/29 (Call 10/15/28)		30		32,614
Healthcare Trust of America Holdings LP, 2.00%, 03/15/31 (Call 12/15/30)		40		36,261
Healthpeak Properties Inc., 3.25%, 07/15/26 (Call 05/15/26)		20		20,670
Invitation Homes Operating Partnership LP, 2.30%, 11/15/28 (Call 09/15/28)		15		14,170
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co-Issuer, 5.88%, 10/01/28 (Call 10/01/23)^(a)		5		5,092
Realty Income Corp., 2.20%, 06/15/28 (Call 04/15/28)		10		9,692
RLJ Lodging Trust LP, 4.00%, 09/15/29 (Call 09/15/24)^(a)		2		1,878
Service Properties Trust, 4.35%, 10/01/24 (Call 09/01/24)		5		4,820
Simon Property Group LP 2.00%, 09/13/24 (Call 06/13/24)		20		19,936
3.38%, 12/01/27 (Call 09/01/27)		35		36,081
Sun Communities Operating LP, 2.70%, 07/15/31 (Call 04/15/31)		40		37,629
Uniti Group LP/Uniti Group Finance Inc./CSL Capital LLC, 6.50%, 02/15/29 (Call 02/15/24)^(a)		3		2,780


S C H E D U L E O F I N V E S T M E N T S		27

Schedule of Investments (continued)

February 28, 2022

iShares^® USD Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Real Estate Investment Trusts (continued)
Ventas Realty LP 2.50%, 09/01/31 (Call 06/01/31)	$	10	$	9,441
4.40%, 01/15/29 (Call 10/15/28)		20		21,737
Welltower Inc. 4.00%, 06/01/25 (Call 03/01/25)		40		41,877
4.13%, 03/15/29 (Call 12/15/28)		20		21,411
4.25%, 04/15/28 (Call 01/15/28)		20		21,520
Weyerhaeuser Co. 4.00%, 11/15/29 (Call 08/15/29)		35		37,367
4.00%, 04/15/30 (Call 01/15/30)		10		10,629
XHR LP, 6.38%, 08/15/25 (Call 08/15/22)^(a)		2		2,060


				714,240

Retail — 1.5%
AutoZone Inc., 4.00%, 04/15/30 (Call 01/15/30)		30		31,879
Bath & Body Works Inc., 6.88%, 11/01/35		5		5,526
Bed Bath & Beyond Inc., 5.17%, 08/01/44 (Call 02/01/44)		2		1,465
Dave & Buster’s Inc., 7.63%, 11/01/25 (Call 11/01/22)^(a)		2		2,095
Dick’s Sporting Goods Inc. 3.15%, 01/15/32 (Call 10/15/31)		15		14,417
4.10%, 01/15/52 (Call 07/15/51)		10		8,751
Dollar General Corp., 3.50%, 04/03/30 (Call 01/03/30)		50		51,023
Dollar Tree Inc. 4.00%, 05/15/25 (Call 03/15/25)		20		20,845
4.20%, 05/15/28 (Call 02/15/28)		30		32,029
FirstCash Inc., 4.63%, 09/01/28 (Call 09/01/23)^(a)		4		3,776
Lowe’s Companies Inc. 4.00%, 04/15/25 (Call 03/15/25)		15		15,781
4.50%, 04/15/30 (Call 01/15/30)		30		33,089
McDonald’s Corp., 3.30%, 07/01/25 (Call 06/01/25)		35		36,008
Walgreens Boots Alliance Inc. 3.45%, 06/01/26 (Call 03/01/26)		30		31,113
4.80%, 11/18/44 (Call 05/18/44)		5		5,466


				293,263

Semiconductors — 1.9%
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, 01/15/27 (Call 10/15/26)		20		20,824
Broadcom Inc. 4.70%, 04/15/25 (Call 03/15/25)		50		53,216
4.75%, 04/15/29 (Call 01/15/29)		65		70,632
Marvell Technology Inc. 1.65%, 04/15/26 (Call 03/15/26)		10		9,629
2.45%, 04/15/28 (Call 02/15/28)		20		19,286
Microchip Technology Inc., 4.25%, 09/01/25 (Call 09/01/22)		45		46,183
Micron Technology Inc. 4.19%, 02/15/27 (Call 12/15/26)		20		21,120
4.66%, 02/15/30 (Call 11/15/29)		30		32,247
NXP BV/NXP Funding LLC, 4.88%, 03/01/24 (Call 02/01/24)^(a)		10		10,484
NXP BV/NXP Funding LLC/NXP USA Inc., 3.40%, 05/01/30 (Call 02/01/30)^(a)		40		40,379
Qorvo Inc., 4.38%, 10/15/29 (Call 10/15/24)		35		35,394
Skyworks Solutions Inc., 1.80%, 06/01/26 (Call 05/01/26)		10		9,549


				368,943

Shipbuilding — 0.2%
Huntington Ingalls Industries Inc. 2.04%, 08/16/28 (Call 06/16/28)^(a)		30		28,243
3.84%, 05/01/25 (Call 04/01/25)		10		10,363


				38,606


Security	Par (000)		Value

Software — 2.0%
Broadridge Financial Solutions Inc., 2.90%, 12/01/29 (Call 09/01/29)	$	20	$	19,587
Citrix Systems Inc., 4.50%, 12/01/27 (Call 09/01/27)		20		20,698
Fiserv Inc., 3.50%, 07/01/29 (Call 04/01/29)		70		70,928
Oracle Corp. 2.50%, 04/01/25 (Call 03/01/25)		45		44,939
2.80%, 04/01/27 (Call 02/01/27)		140		139,181
Roper Technologies Inc., 4.20%, 09/15/28 (Call 06/15/28)		30		31,958
VMware Inc. 3.90%, 08/21/27 (Call 05/21/27)		45		47,009
4.50%, 05/15/25 (Call 04/15/25)		15		15,879


				390,179

Telecommunications — 3.7%
AT&T Inc. 3.80%, 02/15/27 (Call 11/15/26)		25		26,362
4.30%, 02/15/30 (Call 11/15/29)		70		76,206
4.35%, 03/01/29 (Call 12/01/28)		35		38,041
4.85%, 03/01/39 (Call 09/01/38)		5		5,520
5.65%, 02/15/47 (Call 08/15/46)		5		6,154
Consolidated Communications Inc., 6.50%, 10/01/28 (Call 10/01/23)^(a)		3		2,985
Corning Inc., 5.45%, 11/15/79 (Call 05/19/79)		5		5,769
Deutsche Telekom International Finance BV, 8.75%, 06/15/30		35		48,444
Embarq Corp., 8.00%, 06/01/36		2		1,975
Frontier Communications Holdings LLC, 5.00%, 05/01/28 (Call 05/01/24)^(a)		5		4,854
Hughes Satellite Systems Corp., 6.63%, 08/01/26		5		5,208
Motorola Solutions Inc. 2.30%, 11/15/30 (Call 08/15/30)		25		22,784
4.60%, 05/23/29 (Call 02/23/29)		30		32,373
Orange SA, 9.00%, 03/01/31		30		42,971
Sprint Capital Corp., 8.75%, 03/15/32		2		2,775
Sprint Corp., 7.63%, 02/15/25 (Call 11/15/24)		3		3,323
Telefonica Emisiones SA, 7.05%, 06/20/36		5		6,496
Telesat Canada/Telesat LLC 5.63%, 12/06/26 (Call 12/06/23)^(a)		2		1,470
6.50%, 10/15/27 (Call 10/15/22)^(a)		3		1,500
T-Mobile USA Inc. 3.50%, 04/15/25 (Call 03/15/25)		26		26,729
3.60%, 11/15/60 (Call 05/15/60)^(a)		2		1,749
3.75%, 04/15/27 (Call 02/15/27)		45		46,724
3.88%, 04/15/30 (Call 01/15/30)		43		44,466
Verizon Communications Inc. 4.02%, 12/03/29 (Call 09/03/29)		15		16,097
4.27%, 01/15/36		15		16,343
4.33%, 09/21/28		95		103,444
ViaSat Inc., 5.63%, 04/15/27 (Call 04/15/22)^(a)		5		4,995
Vodafone Group PLC 4.13%, 05/30/25		25		26,267
4.38%, 05/30/28		75		81,125


				703,149

Toys, Games & Hobbies — 0.2%
Hasbro Inc., 3.90%, 11/19/29 (Call 08/19/29)		40		41,865


Transportation — 0.8%
Canadian Pacific Railway Co., 6.13%, 09/15/2115 (Call 03/15/15)		5		6,515
CSX Corp., 4.25%, 03/15/29 (Call 12/15/28)		40		43,444
FedEx Corp., 4.25%, 05/15/30 (Call 02/15/30)		50		54,160


28		2 0 2 2 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

Schedule of Investments (continued)

February 28, 2022

iShares^® USD Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)		Value

Transportation (continued)
Union Pacific Corp. 3.75%, 02/05/70 (Call 08/05/69)	$	5	$	4,981
3.95%, 09/10/28 (Call 06/10/28)		25		26,898
United Parcel Service Inc., 6.20%, 01/15/38		10		13,540


				149,538

Trucking & Leasing — 0.0%
Fortress Transportation and Infrastructure Investors LLC, 6.50%, 10/01/25 (Call 03/31/22)^(a)		5		5,063


Total Corporate Bonds & Notes — 50.3% (Cost: $10,104,960)				9,676,516


U.S. Government & Agency Obligations

Mortgage-Backed Securities — 28.2%
Federal Home Loan Mortgage Corp. 1.50%, 02/01/37		5		4,925
1.50%, 03/01/37		7		6,745
2.00%, 11/01/35		82		82,019
2.00%, 08/01/50		336		323,214
Federal National Mortgage Association 1.50%, 02/01/37		66		63,969
1.50%, 03/01/37		15		15,053
1.50%, 11/01/51		26		23,926
2.00%, 02/01/52		28		26,889
2.50%, 11/01/51		49		48,462
2.50%, 01/01/52		198		195,499
Freddie Mac Multifamily Structured Pass Through Certificates
Series K033, Class A2, 3.06%, 07/25/23 (Call 07/25/23)^(c)		50		50,896
Series K043, Class A2, 3.06%, 12/25/24 (Call 12/25/24)		50		51,472
Series K081, Class A2, 3.90%, 08/25/28 (Call 08/25/28)^(c)		30		32,931
Series K108, Class A2, 1.52%, 03/25/30 (Call 03/25/30)		16		15,143
Government National Mortgage Association 2.00%, 03/21/52^(d)		125		122,207
2.50%, 03/21/52^(d)		200		199,836
3.00%, 02/20/52		79		80,449
3.00%, 03/21/52^(d)		171		173,839
3.50%, 05/20/49^(d)		75		77,379
4.00%, 03/21/52^(d)		125		129,873
Uniform Mortgage-Backed Securities 1.50%, 03/17/37^(d)		75		72,979
1.50%, 03/14/52^(d)		150		139,119
1.50%, 04/13/52^(d)		25		23,151
2.00%, 03/17/37^(d)		200		198,516
2.00%, 12/01/51		26		24,786
2.00%, 03/14/52^(d)		821		787,519
2.00%, 04/13/52^(d)		150		143,587
2.50%, 03/16/36^(d)		150		151,757
2.50%, 11/25/51^(d)		575		567,296
2.50%, 04/13/52^(d)		100		98,432
3.00%, 03/17/37^(d)		125		128,149
3.00%, 04/25/49^(d)		375		378,750
3.00%, 04/13/52^(d)		75		75,586
3.50%, 03/14/52^(d)		375		386,191
3.50%, 04/13/52^(d)		75		77,065
4.00%, 03/14/52^(d)		350		365,422
4.00%, 04/13/52^(d)		75		78,211


				5,421,242


Security	Par/ Shares (000)			Value

U.S. Government Obligations — 21.5%
U.S. Treasury Note/Bond 0.63%, 05/15/30	$	260		$	236,275
1.13%, 08/15/40		310			256,840
1.25%, 08/15/31		300			284,859
1.25%, 05/15/50		190			151,570
1.38%, 11/15/31		665			637,465
1.38%, 11/15/40		325			281,023
1.38%, 08/15/50		300			246,973
1.63%, 05/15/31		100			98,262
1.63%, 11/15/50		330			289,137
1.75%, 08/15/41		160			146,650
1.88%, 02/15/41		325			305,525
1.88%, 02/15/51		200			186,187
2.00%, 02/15/50		110			105,338
2.25%, 05/15/41		50			49,842
2.25%, 08/15/46		100			98,949
2.38%, 05/15/29		75			77,804
2.50%, 02/15/45		170			175,505
2.50%, 02/15/46		100			103,559
2.50%, 05/15/46		100			103,562
2.63%, 02/15/29		150			157,863
2.88%, 08/15/45		50			55,156
3.00%, 11/15/44		70			78,556


					4,126,900


Total U.S. Government & Agency Obligations — 49.7% (Cost: $9,699,156)					9,548,142


Short-Term Investments

Money Market Funds — 22.9%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.09%^(e)(f)		4,283			4,283,613
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.03%^(e)(f)(g)		120			119,800


					4,403,413


Total Short-Term Investments — 22.9% (Cost: $4,403,913)					4,403,413


Total Investments Before TBA Sales Commitments — 124.2% (Cost: $24,467,895)					23,875,347


TBA Sales Commitments^(d)

Mortgage-Backed Securities — (3.1)%
Uniform Mortgage-Backed Securities 1.50%, 03/14/52		(50	)		(46,373	)
2.00%, 03/14/52		(175	)		(167,863	)
2.50%, 11/25/51		(100	)		(98,660	)
3.00%, 04/25/49		(75	)		(75,750	)
3.50%, 03/14/52		(100	)		(102,985	)


S C H E D U L E O F I N V E S T M E N T S		29

Schedule of Investments (continued)

February 28, 2022

iShares^® USD Bond Factor ETF

(Percentages shown are based on Net Assets)


Security	Par (000)			Value

Mortgage-Backed Securities (continued)
4.00%, 03/14/52	$	(100	)	$	(104,406	)


					(596,037	)


Total TBA Sales Commitments — (3.1)% (Proceeds: $(592,595))					(596,037	)


Total Investments, Net of TBA Sales Commitments — 121.1% (Cost: $23,875,300)					23,279,310

Other Assets, Less Liabilities — (21.1)%					(4,051,348	)


Net Assets — 100.0%				$	19,227,962

^(a)	Security exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional investors.

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

^(c)	Variable rate security. Interest rate resets periodically. The rate shown is the effective interest rate as of period end. Security description also includes the reference rate and spread if published and available.

^(d)	Represents or includes a TBA transaction.

^(e)	Affiliate of the Fund.

^(f)	Annualized 7-day yield as of period end.

^(g)	All or a portion of this security was purchased with the cash collateral from loaned securities.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the period ended February 28, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:



Affiliated Issuer		Value at 10/12/21	^(a)		Purchases at Cost			Proceeds from Sales		Net Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)			Value at 02/28/22	Shares Held at 02/28/22 (000)		Income			Capital Gain Distributions from Underlying Funds


BlackRock Cash Funds: Institutional, SL Agency Shares	$	—		$	4,285,096	^(b)	$	—	$	(983	)	$	(500	)	$	4,283,613	4,283	$	2,556		$	—
BlackRock Cash Funds: Treasury, SL Agency Shares		—			119,800	^(b)		—		—			—			119,800	120		19	^(c)		—

									$	(983	)	$	(500	)	$	4,403,413		$	2,575		$	—

^(a)	Commencement of operations.

^(b)	Represents net amount purchased (sold).

^(c)	All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts



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

Long Contracts
U.S. Long Bond		2			06/21/22	$	314	$	4,554

Short Contracts
U.S. 10 Year Treasury Note		(1	)		06/21/22		141		(1,525	)
U.S. 5 Year Treasury Note		(2	)		06/30/22		237		(1,363	)

									(2,888	)

								$	1,666


30		2 0 2 2 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

Schedule of Investments (continued)

February 28, 2022

iShares^® USD Bond Factor ETF

Derivative Financial Instruments Categorized by Risk Exposure

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



	Equity Contracts

Assets — Derivative Financial Instruments
Futures contracts
Unrealized appreciation on futures contracts^(a)	$	4,554


Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts^(a)	$	2,888

^(a)

Net cumulative unrealized appreciation (depreciation) on futures contracts are reported in the Schedule of Investments. In the Statements of Assets and Liabilities, only current day’s variation margin is reported in receivables or payables and the net cumulative unrealized appreciation (depreciation) is included in accumulated earnings (loss).

For the period ended February 28, 2022, the effect of derivative financial instruments in the Statements of Operations was as follows:



	Equity Contracts

Net Realized Gain (Loss) from:
Futures contracts	$	(4,115	)

Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	1,666

Average Quarterly Balances of Outstanding Derivative Financial Instruments



Futures contracts:
Average notional value of contracts — long	$	157,032
Average notional value of contracts — short	$	(189,008)

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


S C H E D U L E O F I N V E S T M E N T S		31

Schedule of Investments (continued)

February 28, 2022

iShares^® USD Bond Factor ETF

Fair Value Hierarchy as of Period End



	Level 1			Level 2			Level 3		Total

Investments
Assets
Collaterized Mortgage Obligations	$	—		$	247,276		$	—	$	247,276
Corporate Bonds & Notes		—			9,676,516			—		9,676,516
U.S. Government & Agency Obligations		—			9,548,142			—		9,548,142
Money Market Funds		4,403,413			—			—		4,403,413


		4,403,413			19,471,934			—		23,875,347

Liabilities
TBA Sales Commitments		—			(596,037	)		—		(596,037	)


	$	4,403,413		$	18,875,897		$	—	$	23,279,310


Derivative financial instruments^(a)
Assets
Futures Contracts	$	4,554		$	—		$	—	$	4,554
Liabilities
Futures Contracts		(2,888	)		—			—		(2,888	)


	$	1,666		$	—		$	—	$	1,666

^(a)

Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument.

See notes to financial statements.


32		2 0 2 2 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

Statements of Assets and Liabilities

February 28, 2022


	iShares High Yield Bond Factor ETF			iShares Investment Grade Bond Factor ETF			iShares USD Bond Factor ETF


ASSETS
Investments in securities, at value (including securities on loan)^(a):
Unaffiliated^(b)	$	168,919,037		$	156,912,504		$	19,471,934
Affiliated^(c)		21,498,997			5,797,264			4,403,413
Cash		8,031			60			—
Cash pledged:
Futures contracts		—			—			6,000
Receivables:
Investments sold		7,682,909			11,167,527			346,548
Securities lending income — Affiliated		7,113			628			2
Variation margin on futures contracts		—			—			3,014
TBA sales commitments		—			—			592,595
Capital shares sold		50,030			—			—
Dividends		107			64			172
Interest		2,904,681			1,692,511			125,410


Total assets		201,070,905			175,570,558			24,949,088


LIABILITIES
Collateral on securities loaned, at value		16,915,345			3,425,155			19,800
TBA sales commitments, at value^(d)		—			—			596,037
Payables:
Investments purchased		9,195,861			10,113,569			5,102,946
Investment advisory fees		46,955			22,427			2,343


Total liabilities		26,158,161			13,561,151			5,721,126


NET ASSETS	$	174,912,744		$	162,009,407		$	19,227,962


NET ASSETS CONSIST OF:
Paid-in capital	$	181,791,867		$	167,084,767		$	20,012,366
Accumulated loss		(6,879,123	)		(5,075,360	)		(784,404	)


NET ASSETS	$	174,912,744		$	162,009,407		$	19,227,962


Shares outstanding		3,550,000			3,250,000			200,000


Net asset value	$	49.27		$	49.85		$	96.14


Shares authorized		Unlimited			Unlimited			Unlimited


Par value		None			None			None


^(a)Securities loaned, at value	$	16,353,711		$	3,362,576		$	19,417
^(b)Investments, at cost — Unaffiliated	$	173,716,626		$	162,315,445		$	20,063,982
^(c)Investments, at cost — Affiliated	$	21,498,833		$	5,795,883		$	4,403,913
^(d)Proceeds from TBA sales commitments	$	—		$	—		$	592,595

See notes to financial statements.


F I N A N C I A L S T A T E M E N T S		33

Statements of Operations

Year Ended February 28, 2022


		iShares High Yield Bond Factor ETF			iShares Investment Grade Bond Factor ETF			iShares USD Bond Factor ETF	^(a)


INVESTMENT INCOME
Dividends — Affiliated	$	1,818		$	456		$	2,561
Interest — Unaffiliated		6,897,790			4,448,592			116,754
Securities lending income — Affiliated — net		51,688			7,576			14
Other income — Unaffiliated		6,469			—			12


Total investment income		6,957,765			4,456,624			119,341


EXPENSES
Investment advisory fees		516,377			292,204			13,536
Professional fees		390			390			—


Total expenses		516,767			292,594			13,536

Less:
Investment advisory fees waived		—			—			(1,568	)


Total expenses after fees waived		516,767			292,594			11,968


Net investment income		6,440,998			4,164,030			107,373


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — Unaffiliated		56,777			1,326,926			(205,272	)
Investments — Affiliated		(5,856	)		(517	)		(983	)
In-kind redemptions — Unaffiliated		124,111			1,936,293			—
Futures contracts		—			—			(4,115	)


Net realized gain (loss)		175,032			3,262,702			(210,370	)

Net change in unrealized appreciation (depreciation) on:
Investments — Unaffiliated		(7,646,150	)		(13,763,585	)		(595,490	)
Investments — Affiliated		(1,547	)		(1,103	)		(500	)
Futures contracts		—			—			1,666


Net change in unrealized appreciation (depreciation)		(7,647,697	)		(13,764,688	)		(594,324	)


Net realized and unrealized loss		(7,472,665	)		(10,501,986	)		(804,694	)


NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(1,031,667	)	$	(6,337,956	)	$	(697,321	)

^(a)	For the period from October 12, 2021 (commencement of operations) to February 28, 2022.

See notes to financial statements.


34		2 0 2 2 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

Statements of Changes in Net Assets


	iShares High Yield Bond Factor ETF						iShares Investment Grade Bond Factor ETF
	Year Ended 02/28/22			Year Ended 02/28/21			Year Ended 02/28/22			Year Ended 02/28/21

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	6,440,998		$	2,456,973		$	4,164,030		$	4,129,340
Net realized gain (loss)		175,032			(1,367,397	)		3,262,702			2,100,145
Net change in unrealized appreciation (depreciation)		(7,647,697	)		2,843,766			(13,764,688	)		88,410


Net increase (decrease) in net assets resulting from operations		(1,031,667	)		3,933,342			(6,337,956	)		6,317,895


DISTRIBUTIONS TO SHAREHOLDERS^(a)
Decrease in net assets resulting from distributions to shareholders		(6,648,731	)		(2,433,532	)		(6,167,210	)		(5,535,834	)


CAPITAL SHARE TRANSACTIONS
Net increase in net assets derived from capital share transactions		103,052,577			38,496,080			16,135,433			64,076,853


NET ASSETS
Total increase in net assets		95,372,179			39,995,890			3,630,267			64,858,914
Beginning of year		79,540,565			39,544,675			158,379,140			93,520,226


End of year	$	174,912,744		$	79,540,565		$	162,009,407		$	158,379,140

^(a)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.


F I N A N C I A L S T A T E M E N T S		35

Statements of Changes in Net Assets (continued)


	iShares USD Bond Factor ETF
		Period From 10/12/21 to 02/28/22	^(a)

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	107,373
Net realized loss		(210,370	)
Net change in unrealized appreciation (depreciation)		(594,324	)


Net decrease in net assets resulting from operations		(697,321	)


DISTRIBUTIONS TO SHAREHOLDERS^(b)
Decrease in net assets resulting from distributions to shareholders		(87,083	)


CAPITAL SHARE TRANSACTIONS
Net increase in net assets derived from capital share transactions		20,012,366


NET ASSETS
Total increase in net assets		19,227,962
Beginning of period		—


End of period	$	19,227,962

^(a)	Commencement of operations.

^(b)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

See notes to financial statements.


36		2 0 2 2 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

Financial Highlights

(For a share outstanding throughout each period)


	iShares High Yield Bond Factor ETF
		Year Ended 02/28/22			Year Ended 02/28/21			Year Ended 02/29/20			Year Ended 02/28/19			Period From 07/11/17 to 02/28/18	^(a)


Net asset value, beginning of period	$	51.32		$	49.43		$	49.03		$	49.99		$	49.90

Net investment income^(b)		2.23			2.90			2.88			2.92			1.78
Net realized and unrealized gain (loss)^(c)		(1.90	)		1.97			0.39			(0.98	)		(0.11	)


Net increase from investment operations		0.33			4.87			3.27			1.94			1.67


Distributions^(d)
From net investment income		(2.38	)		(2.98	)		(2.87	)		(2.90	)		(1.58	)


Total distributions		(2.38	)		(2.98	)		(2.87	)		(2.90	)		(1.58	)


Net asset value, end of period	$	49.27		$	51.32		$	49.43		$	49.03		$	49.99


Total Return^(e)
Based on net asset value		0.63	%		10.38	%		6.78	%		4.08	%		3.35	%^(f)


Ratios to Average Net Assets^(g)
Total expenses		0.35	%		0.35	%		0.35	%		0.35	%		0.35	%^(h)


Net investment income		4.37	%		5.97	%		5.77	%		5.99	%		5.55	%^(h)


Supplemental Data
Net assets, end of period (000)	$	174,913		$	79,541		$	39,545		$	17,162		$	12,497


Portfolio turnover rate⁽ⁱ⁾		67	%		67	%		46	%		59	%		36	%^(f)

^(a)	Commencement of operations.

^(b)	Based on average shares outstanding.

^(c)	The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

^(d)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(e)	Where applicable, assumes the reinvestment of distributions.

^(f)	Not annualized.

^(g)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(h)	Annualized.

⁽ⁱ⁾	Portfolio turnover rate excludes in-kind transactions.

See notes to financial statements.


F I N A N C I A L H I G H L I G H T S		37

Financial Highlights (continued)

(For a share outstanding throughout each period)


	iShares Investment Grade Bond Factor ETF
		Year Ended 02/28/22			Year Ended 02/28/21			Year Ended 02/29/20			Year Ended 02/28/19			Period From 07/11/17 to 02/28/18	^(a)


Net asset value, beginning of period	$	53.69		$	53.44		$	48.32		$	48.85		$	49.90

Net investment income^(b)		1.36			1.56			1.88			1.88			1.05
Net realized and unrealized gain (loss)^(c)		(3.19	)		0.76			6.14			(0.69	)		(1.16	)

Net increase (decrease) from investment operations		(1.83	)		2.32			8.02			1.19			(0.11	)


Distributions^(d)
From net investment income		(1.39	)		(1.59	)		(1.85	)		(1.72	)		(0.94	)
From net realized gain		(0.62	)		(0.48	)		(1.05	)		—			—


Total distributions		(2.01	)		(2.07	)		(2.90	)		(1.72	)		(0.94	)


Net asset value, end of period	$	49.85		$	53.69		$	53.44		$	48.32		$	48.85


Total Return^(e)
Based on net asset value		(3.57	)%		4.41	%		16.96	%		2.54	%		(0.23	)%^(f)


Ratios to Average Net Assets^(g)
Total expenses		0.18	%		0.18	%		0.18	%		0.18	%		0.18	%^(h)


Net investment income		2.57	%		2.90	%		3.67	%		3.95	%		3.29	%^(h)


Supplemental Data
Net assets, end of period (000)	$	162,009		$	158,379		$	93,520		$	96,648		$	9,771

Portfolio turnover rate⁽ⁱ⁾		59	%		46	%		75	%		63	%		36	%^(f)

^(a)	Commencement of operations.

^(b)	Based on average shares outstanding.

^(c)	The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

^(d)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(e)	Where applicable, assumes the reinvestment of distributions.

^(f)	Not annualized.

^(g)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(h)	Annualized.

⁽ⁱ⁾	Portfolio turnover rate excludes in-kind transactions.

See notes to financial statements.


38		2 0 2 2 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

Financial Highlights (continued)

(For a share outstanding throughout the period)


	iShares USD Bond Factor ETF
		Period From 10/12/21 to 02/28/22	^(a)


Net asset value, beginning of period	$	100.00


Net investment income^(b)		0.54
Net realized and unrealized loss^(c)		(3.96	)


Net decrease from investment operations		(3.42	)


Distributions^(d)
From net investment income		(0.44	)


Total distributions		(0.44	)


Net asset value, end of period	$	96.14


Total Return^(e)
Based on net asset value		(3.43	)%^(f)


Ratios to Average Net Assets^(g)

Total expenses		0.18	%^(h)

Total expenses after fees waived		0.16	%^(h)


Net investment income		1.43	%^(h)


Supplemental Data
Net assets, end of period (000)	$	19,228


Portfolio turnover rate^(i)(j)		243	%^(f)

^(a)	Commencement of operations.

^(b)	Based on average shares outstanding.

^(c)	The amount reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

^(d)	Distributions for annual periods determined in accordance with U.S. federal income tax regulations.

^(e)	Where applicable, assumes the reinvestment of distributions.

^(f)	Not annualized.

^(g)	Excludes fees and expenses incurred indirectly as a result of investments in underlying funds.

^(h)	Annualized.

⁽ⁱ⁾	Portfolio turnover rate excludes in-kind transactions. (j) Includes mortgage dollar roll transactions (“MDRs”).

See notes to financial statements.


F I N A N C I A L H I G H L I G H T S		39

Notes to Financial Statements

1.	ORGANIZATION

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.

These financial statements relate only to the following funds (each, a “Fund” and collectively, the “Funds”):



iShares ETF	Diversification Classification

High Yield Bond Factor		Diversified
Investment Grade Bond Factor		Diversified
USD Bond Factor^(a)		Non-diversified

^(a)

The Fund commenced operations on October 12, 2021.

2.	SIGNIFICANT ACCOUNTING POLICIES

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. Each 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. 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. Upon notification from issuers or as estimated by management, a portion of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.

Segregation and Collateralization: In cases where a 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, a 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 Funds 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 Funds. Because such gains or losses are not taxable to the Funds 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 Funds’ tax year. These reclassifications have no effect on net assets or net asset value (“NAV”) per share.

Distributions: Dividends and distributions paid by each 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 Funds. The character and timing of distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

Indemnifications: In the normal course of business, each Fund enters into contracts that contain a variety of representations that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown because it involves future potential claims against the Funds, which cannot be predicted with any certainty.

3.	INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS

Investment Valuation Policies: Each 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. Each 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 each Fund’s assets and liabilities:

•

Fixed-income investments for which market quotations are readily available are generally valued using the last available bid price or current market quotations provided by independent dealers or third-party pricing services. Pricing services generally value fixed income securities assuming orderly transactions of an institutional round lot size, but a fund may hold or transact in such securities in smaller, odd lot sizes. Odd lots may trade at lower prices than institutional round lots.


40		2 0 2 2 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

Notes to Financial Statements (continued)

The pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values, including transaction data (e.g., recent representative bids and offers), market data, credit quality information, perceived market movements, news, and other relevant information. Certain fixed-income securities, including asset-backed and mortgage related securities may be valued based on valuation models that consider the estimated cash flows of each tranche of the entity, establish a benchmark yield and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche. The amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity unless the Manager determines such method does not represent fair value.

•

Investments in open-end U.S. mutual funds (including money market funds) are valued at that day’s published NAV.

•

Futures contracts are valued based on that day’s last reported settlement or trade price on the exchange where the contract is traded.

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 each Fund might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant and consistent with the principles of fair value measurement. 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:

•

Level 1 – Unadjusted price quotations in active markets/exchanges for identical assets or liabilities that each Fund has the ability to access;

•

Level 2 – Other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs); and

•

Level 3 – Unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, (including the Global Valuation Committee’s assumptions used in determining the fair value of financial instruments).

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of 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.

4.	SECURITIES AND OTHER INVESTMENTS

Asset-Backed and Mortgage-Backed Securities: Asset-backed securities are generally issued as pass-through certificates or as debt instruments. Asset-backed securities issued as pass-through certificates represent undivided fractional ownership interests in an underlying pool of assets. Asset-backed securities issued as debt instruments, which are also known as collateralized obligations, are typically issued as the debt of a special purpose entity organized solely for the purpose of owning such assets and issuing such debt. Asset-backed securities are often backed by a pool of assets representing the obligations of a number of different parties. The yield characteristics of certain asset-backed securities may differ from traditional debt securities. One such major difference is that all or a principal part of the obligations may be prepaid at any time because the underlying assets (i.e., loans) may be prepaid at any time. As a result, a decrease in interest rates in the market may result in increases in the level of prepayments as borrowers, particularly mortgagors, refinance and repay their loans. An increased prepayment rate with respect to an asset-backed security will have the effect of shortening the maturity of the security. In addition, a fund may subsequently have to reinvest the proceeds at lower interest rates. If a fund has purchased such an asset-backed security at a premium, a faster than anticipated prepayment rate could result in a loss of principal to the extent of the premium paid.

For mortgage pass-through securities (the “Mortgage Assets”) there are a number of important differences among the agencies and instrumentalities of the U.S. Government that issue mortgage-related securities and among the securities that they issue. For example, mortgage-related securities guaranteed by Ginnie Mae are guaranteed as to the timely payment of principal and interest by Ginnie Mae and such guarantee is backed by the full faith and credit of the United States. However, mortgage-related securities issued by Freddie Mac and Fannie Mae, including Freddie Mac and Fannie Mae guaranteed mortgage pass-through certificates, which are solely the obligations of Freddie Mac and Fannie Mae, are not backed by or entitled to the full faith and credit of the United States, but are supported by the right of the issuer to borrow from the U.S. Treasury.

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or


N O T E S T O F I N A N C I A L S T A T E M E N T S		41

Notes to Financial Statements (continued)

entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

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.

To mitigate counterparty risk, a fund enters into a two-way collateral agreement for TBA transactions with certain counterparties. Under such agreement, the “in-the-money” party of a TBA transaction may at any time require the other party to pledge collateral assets (in the form of cash or securities) to offset any loss the in-the-money party would incur upon cancellation of the TBA transaction. A party is in-the-money if they are the buyer and the market value of the TBA transaction increases or if they are the seller and the market value of the TBA transaction decreases. Cash collateral received from the counterparty may be reinvested in money market funds, including those managed by the Funds’ investment adviser, or its affiliates. Such collateral, if any, is noted in the Schedule of Investments and the obligation to return the collateral is presented as a liability in the Statements of Assets and Liabilities. Securities pledged as collateral by a fund, if any, are noted in the Schedule of Investments.

Mortgage Dollar Roll Transactions: Certain Funds 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: Each 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 each 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, each 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 Funds’ 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 each Fund’s Schedule of Investments. The market value of any securities on loan and the value of any related cash collateral are disclosed in the Statements of Assets and Liabilities.

Securities lending transactions are entered into by the Funds under Master Securities Lending Agreements (each, an “MSLA”) which provide the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Funds, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default, the borrower can resell or re-pledge the loaned securities, and the Funds can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.

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




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

High Yield Bond Factor
Barclays Bank PLC	$	1,218,437	$	1,218,437		$	—	$	—
BofA Securities, Inc.		634,207		634,207			—		—
Goldman Sachs & Co. LLC		5,349,512		5,349,512			—		—
J.P. Morgan Securities LLC		6,066,037		6,066,037			—		—
Jefferies LLC		248,635		248,635			—		—
Morgan Stanley		1,917,053		1,917,053			—		—
Scotia Capital (USA), Inc.		919,830		919,830			—		—

	$	16,353,711	$	16,353,711		$	—	$	—


42		2 0 2 2 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

Notes to Financial Statements (continued)




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

Investment Grade Bond Factor
Barclays Bank PLC	$	228,358	$	228,358		$	—	$	—
BofA Securities, Inc.		948,018		948,018			—		—
Credit Suisse Securities (USA) LLC		361		361			—		—
J.P. Morgan Securities LLC		1,318,819		1,318,819			—		—
Morgan Stanley		599,748		599,748			—		—
Scotia Capital (USA), Inc.		267,272		267,272			—		—

	$	3,362,576	$	3,362,576		$	—	$	—


USD Bond Factor
BofA Securities, Inc.	$	19,417	$	19,417		$	—	$	—

^(a)

Collateral received in excess of the market value of securities on loan is not presented in this table. The total cash collateral received by each Fund is disclosed in the Fund’s statement of assets and liabilities.

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, each 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. Each 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 each Fund.

5.	DERIVATIVE FINANCIAL INSTRUMENTS

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 Funds 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 Funds are 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 Statements 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 Statements of Assets and Liabilities. Pursuant to the contract, the Funds agree 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 Statements of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statements 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.

6.	INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Investment Advisory Fees: Pursuant to an Investment Advisory Agreement with the Trust, BFA manages the investment of each 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 Funds, 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 each Fund, BFA is entitled to an annual investment advisory fee, accrued daily and paid monthly by the Funds, based on the average daily net assets of each Fund as follows:


iShares ETF	Investment Advisory Fee
High Yield Bond Factor		0.35	%
Investment Grade Bond Factor		0.18
USD Bond Factor		0.18


N O T E S T O F I N A N C I A L S T A T E M E N T S		43

Notes to Financial Statements (continued)

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.

Effective October 28, 2021, for the iShares USD Bond Factor ETF, BFA has contractually agreed to waive a portion of its investment advisory fee for the Fund through June 30, 2026 in an amount equal to the acquired fund fees and expenses, if any, attributable to investments by the Fund in other registered investment companies advised by BFA or its affiliates.

This amount is included in investment advisory fees waived in the Statements of Operations. For the year ended February 28, 2022, the amounts waived in investment advisory fees pursuant to this arrangement were as follows:

iShares ETF

Amounts waived

USD Bond Factor

1,568

Distributor: BlackRock Investments, LLC, an affiliate of BFA, is the distributor for each Fund. Pursuant to the distribution agreement, BFA is responsible for any fees or expenses for distribution services provided to the Funds.

Index Provider: BlackRock Index Services, LLC, an affiliate of BFA, creates, sponsors and publishes the underlying index for each Fund. Each Fund uses its underlying index at no charge pursuant to a license agreement between BlackRock Index Services, LLC (or one or more of its affiliates) and the Trust, on behalf of the Funds.

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 Funds, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending, including any custodial costs. Each 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 each 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. Each 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, each 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, each 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 each Fund is shown as securities lending income – affiliated – net in its Statements of Operations. For the year ended February 28, 2022, the Funds paid BTC the following amounts for securities lending agent services:


iShares ETF	Fees Paid to BTC
High Yield Bond Factor	$	18,245
Investment Grade Bond Factor		3,244
USD Bond Factor		6

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 February 28, 2022, transactions executed by the Funds pursuant to Rule 17a-7 under the 1940 Act were as follows:

iShares ETF

Purchases

Sales

Net Realized
Gain (Loss)

High Yield Bond Factor

49,413

509,375

23,533


44		2 0 2 2 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

Notes to Financial Statements (continued)

Each 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 Statements 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.

7.	PURCHASES AND SALES

For the year ended February 28, 2022, purchases and sales of investments, including mortgage dollar rolls and excluding short-term investments and in-kind transactions, were as follows:




	U.S. Government Securities				Other Securities


iShares ETF	Purchases		Sales		Purchases		Sales

High Yield Bond Factor	$	—	$	—	$	95,602,869	$	94,432,838
Investment Grade Bond Factor		—		—		94,012,520		97,897,234
USD Bond Factor		50,054,339		41,476,484		13,036,067		5,235,308

For the year ended February 28, 2022, in-kind transactions were as follows:



iShares ETF	In-kind Purchases		In-kind Sales
High Yield Bond Factor	$	105,451,631	$	4,916,610
Investment Grade Bond Factor		42,674,999		25,403,069
USD Bond Factor		3,353,240		—

8.	INCOME TAX INFORMATION

Each Fund is treated as an entity separate from the Trust’s other funds for federal income tax purposes. It is each 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 Funds as of February 28, 2022, 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 Funds’ 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 February 28, 2022, permanent differences attributable to certain deemed distributions and realized gains (losses) from in-kind redemptions were reclassified to the following accounts:



iShares ETF	Paid-in Capital		Accumulated Loss
High Yield Bond Factor	$	124,112	$	(124,112	)
Investment Grade Bond Factor		2,003,324		(2,003,324	)

The tax character of distributions paid was as follows:




iShares ETF		Year Ended 02/28/22		Year Ended 02/28/21

High Yield Bond Factor
Ordinary income	$	6,648,731	$	2,433,532


Investment Grade Bond Factor
Ordinary income	$	4,221,486	$	4,380,494
Long-term capital gains		1,945,724		1,155,340


	$	6,167,210	$	5,535,834




iShares ETF	Period Ended 02/28/22


USD Bond Factor
Ordinary income	$	87,083


N O T E S T O F I N A N C I A L S T A T E M E N T S		45

Notes to Financial Statements (continued)

As of February 28, 2022, the tax components of accumulated net earnings (losses) were as follows:


iShares ETF		Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Non-expiring Capital Loss Carryforwards	^(a)		Net Unrealized Gains (Losses)	^(b)		Total
High Yield Bond Factor	$	750,111	$	—	$	(2,281,744	)	$	(5,347,490	)	$	(6,879,123	)
Investment Grade Bond Factor		391,317		39,364		—			(5,506,041	)		(5,075,360	)
USD Bond Factor		23,117		—		(200,842	)		(606,679	)		(784,404	)

^(a)

Amounts available to offset future realized capital gains.

^(b)

The difference between book-basis and tax-basis unrealized gains (losses) was attributable primarily to the tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains(losses) on certain futures contracts, amortization methods for premiums and discounts on fixed income securities and TBA transactions.

As of February 28, 2022, 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:


iShares ETF	Tax Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation			Net Unrealized Appreciation (Depreciation)
High Yield Bond Factor	$	195,765,524	$	1,214,048	$	(6,561,538	)	$	(5,347,490	)
Investment Grade Bond Factor		168,215,809		648,438		(6,154,479	)		(5,506,041	)
USD Bond Factor		24,487,807		12,324		(628,227	)		(615,903	)

9.	PRINCIPAL RISKS

In the normal course of business, each 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 Funds and their investments. Each 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 each 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 Funds 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: Each 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 each Fund to reinvest in lower yielding securities. Each Fund may also be exposed to reinvestment risk, which is the risk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixed-income securities at market interest rates that are below each 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. Although vaccines have been developed and approved for use by various governments, the duration of this pandemic and its effects cannot be determined with certainty.

Counterparty Credit Risk: The Funds 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 Funds manage 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 Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statements of Assets and Liabilities, less any collateral held by the Funds.

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 Funds 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, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including


46		2 0 2 2 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

Notes to Financial Statements (continued)

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 Funds.

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 each Fund’s portfolio are disclosed in its Schedule of Investments.

Certain Funds invest a significant portion of their assets in high yield securities. High yield securities that are rated below investment-grade (commonly referred to as “junk bonds”) or are unrated may be deemed speculative, involve greater levels of risk than higher-rated securities of similar maturity and are more likely to default. High yield securities may be issued by less creditworthy issuers, and issuers of high yield securities may be unable to meet their interest or principal payment obligations. High yield securities are subject to extreme price fluctuations, may be less liquid than higher rated fixed-income securities, even under normal economic conditions, and frequently have redemption features.

The Funds invest a significant portion of their 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 Funds may be subject to a greater risk of rising interest rates due to the current period of historically low rates.

The Funds invest a significant portion of their 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.

Significant Shareholder Redemption Risk: Certain shareholders may own or manage a substantial amount of fund shares and/or hold their fund investments for a limited period of time. Large redemptions of fund shares by these shareholders may force a Fund to sell portfolio securities, which may negatively impact the fund’s NAV, increase the fund’s brokerage costs, and/or accelerate the realization of taxable income/gains and cause the fund to make additional taxable distributions to shareholders.

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 ceased to be published or no longer are representative of the underlying market they seek to measure after December 31, 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 Funds 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 Funds is uncertain.

10.

CAPITAL SHARE TRANSACTIONS

Capital shares are issued and redeemed by each 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 each Fund are not redeemable.

Transactions in capital shares were as follows:




	Year Ended 02/28/22						Year Ended 02/28/21

iShares ETF	Shares			Amount			Shares			Amount

High Yield Bond Factor
Shares sold		2,100,000		$	108,042,192			750,000		$	38,496,080
Shares redeemed		(100,000	)		(4,989,615	)		—			—

Net increase		2,000,000		$	103,052,577			750,000		$	38,496,080


Investment Grade Bond Factor
Shares sold		800,000		$	42,704,808			1,300,000		$	69,552,248
Shares redeemed		(500,000	)		(26,569,375	)		(100,000	)		(5,475,395	)

Net increase		300,000		$	16,135,433			1,200,000		$	64,076,853




							Period Ended 02/28/22

iShares ETF							Shares			Amount

USD Bond Factor
Shares sold								200,000		$	20,012,366


N O T E S T O F I N A N C I A L S T A T E M E N T S		47

Notes to Financial Statements (continued)

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 Statements of Assets and Liabilities.

11.

SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Funds 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.


48		2 0 2 2 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

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of iShares Trust and

Shareholders of iShares High Yield Bond Factor ETF, iShares Investment Grade Bond Factor ETF and

iShares USD Bond Factor ETF

Opinions on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of iShares High Yield Bond Factor ETF, iShares Investment Grade Bond Factor ETF and iShares USD Bond Factor ETF (three of the funds constituting iShares Trust, hereafter collectively referred to as the “Funds”) as of February 28, 2022, the related statements of operations and changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of February 28, 2022, the results of each of their operations and changes in each of their net assets for each of the periods indicated in the table below and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.



iShares High Yield Bond Factor ETF and iShares Investment Grade Bond Factor ETF: statements of operations for the year ended February 28, 2022 and statements of changes in net assets for each of the two years in the period ended February 28, 2022.

iShares USD Bond Factor ETF: statements of operations and changes in net assets for the period October 12, 2021 (commencement of operations) to February 28, 2022.

Basis for Opinions

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ 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 Funds 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 February 28, 2022 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 opinions.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

April 21, 2022

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


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		49

Important Tax Information (unaudited)

The Fund hereby designate the following amounts, or maximum amounts allowable by law, as capital gain dividends, subject to a long-term capital gains tax rate as noted below, for the fiscal year ended February 28, 2022:


iShares ETF	20% Rate Long-Term Capital Gain Dividends
Investment Grade Bond Factor	$	2,028,939

The Fund hereby designate the following amounts, or maximum amounts allowable by law, of distributions from direct federal obligation interest for the fiscal year ended February 28, 2022:


iShares ETF	Federal Obligation Interest
USD Bond Factor	$	20,430

The law varies in each state as to whether and what percent of ordinary income dividends attributable to federal obligations is exempt from state income tax. Shareholders are advised to check with their tax advisers to determine if any portion of the dividends received is exempt from state income tax.

The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest income eligible to be treated as a Section 163(j) interest dividend for the fiscal year ended February 28, 2022:


iShares ETF	Interest Dividends
High Yield Bond Factor	$	7,083,038
Investment Grade Bond Factor		4,228,257
USD Bond Factor		110,303

The Funds hereby designate the following amounts, or maximum amounts 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 February 28, 2022:


iShares ETF	Interest-Related Dividends
High Yield Bond Factor	$	5,453,727
Investment Grade Bond Factor		4,064,713
USD Bond Factor		105,524


50		2 0 2 2 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

Board Review and Approval of Investment Advisory Contract

iShares USD Bond Factor ETF (the “Fund”)

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 Trustees who are not “interested persons” of the Trust (as that term is defined in the 1940 Act) (the “Independent Board Members”), is required to consider and approve the proposed Investment Advisory Contract between the Trust and BFA (the “Advisory Contract”) on behalf of the Fund. The Independent Trustees requested, and BFA provided, such information as the Independent Board Members, with advice from independent counsel, deemed reasonably necessary to evaluate the terms of the proposed Advisory Contract. At a meeting held on September 29 – October 1, 2021, the Board, including the Independent Board Members, approved the selection of BFA as investment adviser and approved the proposed Advisory Contract for the Fund, based on a review of qualitative and quantitative information provided by BFA. The Board also considered information previously provided by BFA, BlackRock Institutional Trust Company, N.A. (“BTC”), and BlackRock, Inc. (“BlackRock”), as applicable, at prior Board meetings. 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 Advisory Contract for the Fund, the Board, including the Independent Board Members, considered various factors, including: (i) the expenses of the Fund; (ii) the nature, extent and quality of the services to be provided by BFA; (iii) the costs of services to be provided to the Fund and the availability of information related to profits to be 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, no one of which was controlling, and conclusions that formed the basis for the Board, including the Independent Board Members, to approve the Advisory Contract are discussed below.

Expenses 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 of the Fund in comparison with the same information for other ETFs, 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 further 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 the overall fund expenses (net of any waivers and reimbursements) for the Fund were lower than the median of the overall fund expenses (net of any waivers and reimbursements) of the funds in its Peer Group, excluding iShares funds.

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 of the Fund supported the Board’s approval of the Advisory Contract.

Nature, Extent and Quality of Services: The Board reviewed the scope of services to be provided by BFA under the Advisory Contract. 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 and have made significant investments into the iShares business to support the iShares funds and their shareholders. The Board considered representations by BFA, BTC, and BlackRock that the scope and quality of services to be provided to the Fund would be similar to the scope and quality of services provided to other iShares funds. The Board also considered BFA’s compliance program and its compliance record with respect to other iShares funds. 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 relevant, and has provided information and made appropriate 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 who will be responsible for the day-to-day management of the Fund, as well as the resources that will be available to them in managing the Fund. The Board also considered detailed presentations regarding BFA’s investment performance, investment and risk management processes and strategies, which were provided throughout the year with respect to other iShares funds.

Based on review of this information, the Board concluded that the nature, extent and quality of services to be provided to the Fund under the Advisory Contract supported the Board’s approval of the Advisory Contract.

Costs of Services to be Provided to the Fund and Profits to be Realized by BFA and Affiliates: The Board did not consider the profitability of the Fund to BFA based on the fees payable under the Advisory Contract or revenue to be received by BFA or its affiliates in connection with services to be provided to the Fund since the proposed relationship had not yet commenced. The Board noted that it expects to receive profitability information from BFA periodically following the Fund’s launch and will thus be in a position to evaluate whether any new or additional breakpoints or other adjustments in Fund fees would be appropriate.

Economies of Scale: The Board considered information that it had previously received regarding economies of scale, efficiencies and scale benefits shared with the iShares funds through relatively low fee rates established at inception, breakpoints and 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 Contract for the Fund did not provide for any breakpoints in the Fund’s investment advisory fee rate as the assets of the Fund increase. However, the Board noted that it would continue to assess the appropriateness of adding breakpoints in the future.

This consideration 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 Advisory Contract.

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”), and acknowledged BFA’s assertion that the iShares funds are fundamentally different investment vehicles from the Other Accounts. 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 further noted that BFA previously provided the Board with detailed information regarding how the Other Accounts (particularly institutional clients) generally differ from the iShares


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		51

Board Review and Approval of Investment Advisory Contract (continued)

funds, including in terms of the different and generally more extensive services provided to the iShares funds, 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 considered the “all-inclusive” nature of the Fund’s advisory fee structure, and the Fund’s expenses borne by BFA under this arrangement.

Other Benefits to BFA and/or its Affiliates: Except as noted below, the Board did not consider the “fallout” benefits or ancillary revenue to be received by BFA and/or its affiliates in connection with the services to be provided to the Fund by BFA since the proposed relationship had not yet commenced. However, the Board 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 considered the potential payment of advisory fees and/or administration 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 and/or administration services. The Board also noted the potential revenue to be received by BFA and/or its affiliates pursuant to an agreement that would permit 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. The Board also considered the potential for revenue to BTC, the Fund’s securities lending agent, and its affiliates in the event of any loaning of portfolio securities of the Fund. The Board further noted that any portfolio transactions on behalf of the Fund placed through a BFA affiliate or purchased from an underwriting syndicate in which a BFA affiliate participates (including associated commissions), will be reported to the Board pursuant to Rule 17e-1 or Rule 10f-3, as applicable, under the 1940 Act. 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 Advisory Contract.

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 investment advisory fee rate under the Advisory Contract does not constitute a fee that is so disproportionately large as to bear no reasonable relationship to the services to be rendered and that could not have been the product of arm’s-length bargaining, and concluded to approve the Advisory Contract.


52		2 0 2 2 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

Statement Regarding Liquidity Risk Management Program (unaudited)

In compliance with Rule 22e-4 under the Investment Company Act of 1940, as amended (the “Liquidity Rule”), iShares Trust (the “Trust”) has adopted and implemented a liquidity risk management program (the “Program”) for iShares High Yield Bond Factor ETF and iShares Investment Grade Bond Factor ETF (the “Funds” or “ETFs”), each a series of the Trust, which is reasonably designed to assess and manage each Fund’s liquidity risk.

The Board of Trustees (the “Board”) of the Trust, on behalf of the Funds, met on December 9, 2021 (the “Meeting”) to review the Program. The Board previously appointed BlackRock Fund Advisors (“BlackRock”), the investment adviser to the Funds, as the program administrator for each Fund’s Program. BlackRock also previously delegated oversight of the Program to the 40 Act Liquidity Risk Management Committee (the “Committee”). At the Meeting, the Committee, on behalf of BlackRock, provided the Board with a report that addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including the management of each Fund’s Highly Liquid Investment Minimum (“HLIM”) where applicable, and any material changes to the Program (the “Report”). The Report covered the period from October 1, 2020 through September 30, 2021 (the “Program Reporting Period”).

The Report described the Program’s liquidity classification methodology for categorizing each Fund’s investments (including derivative transactions) into one of four liquidity buckets. It also referenced the methodology used by BlackRock to establish each Fund’s HLIM and noted that the Committee reviews and ratifies the HLIM assigned to each Fund no less frequently than annually. The Report also discussed notable events affecting liquidity over the Program Reporting Period, including extended market holidays and the imposition of capital controls in certain non-U.S. countries.

The Report noted that the Program complied with the key factors for consideration under the Liquidity Rule for assessing, managing and periodically reviewing each Fund’s liquidity risk, as follows:

The Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed whether each Fund’s strategy is appropriate for an open-end fund structure, with a focus on funds with more significant and consistent holdings of less liquid and illiquid assets. The Committee also factored a fund’s concentration in an issuer into the liquidity classification methodology by taking issuer position sizes into account. Derivative exposure was also considered in the calculation of a fund’s liquidity bucketing. Finally, a factor for consideration under the Liquidity Rule is a Fund’s use of borrowings for investment purposes. However, the Funds do not borrow for investment purposes.

Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions. During the Program Reporting Period, the Committee reviewed historical redemption activity and used this information as a component to establish each ETF’s reasonably anticipated trading size (“RATS”). The Committee may also take into consideration a fund’s shareholder ownership concentration (which, depending on product type and distribution channel, may or may not be available), a fund’s distribution channels, and the degree of certainty associated with a fund’s short-term and long-term cash flow projections.

Holdings of cash and cash equivalents, as well as borrowing arrangements. The Committee considered that ETFs generally do not hold more than de minimis amounts of cash. While the ETFs generally do not engage in borrowing, certain of the ETFs have the flexibility to draw on a line of credit to meet redemption requests or facilitate settlements.

The relationship between an ETF’s portfolio liquidity and the way in which, and the prices and spreads at which, ETF shares trade, including the efficiency of the arbitrage function and the level of active participation by market participants, including authorized participants. The Committee monitored the prevailing bid/ask spread and the ETF price premium (or discount) to NAV for all ETFs and reviewed any persistent deviations from long-term averages.

The effect of the composition of baskets on the overall liquidity of an ETF’s portfolio. In reviewing the linkage between the composition of custom baskets accepted by an ETF and any significant change in the liquidity profile of such ETF, the Committee reviewed changes in the proportion of each ETF’s portfolio comprised of less liquid and illiquid holdings to determine if applicable thresholds were met requiring enhanced review.

As part of BlackRock’s continuous review of the effectiveness of the Program, the Committee made the following material changes to the Program: (1) updates to certain model components in the Program’s methodology; and (2) certain iShares Funds entered into a $800 million credit agreement with a group of lenders that replaced a previous liquidity facility. The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as described in the Report, the Program is operating as intended and is effective in implementing the requirements of the Liquidity Rule.


S T A T E M E N T R E G A R D I N G L I Q U I D I T Y R I S K M A N A G E M E N T P R O G R A M		53

Supplemental Information (unaudited)

Regulation Regarding Derivatives

On October 28, 2020, the Securities and Exchange Commission (the “SEC”) adopted regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Funds 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.

Section 19(a) Notices

The amounts and sources of distributions reported are estimates and are being provided pursuant to regulatory requirements and are not being provided for tax reporting purposes. The actual amounts and sources for tax reporting purposes will depend upon each 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.

February 28, 2022



	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
High Yield Bond Factor	$	2.376321	$	—	$	—	$	2.376321		100	%		—	%		—	%		100	%
Investment Grade Bond Factor		1.391257		0.617690		—		2.008947		69			31			—			100
USD Bond Factor^(a)		0.421793		—		0.013621		0.435414		97			—			3			100

^(a)

The Fund estimates that it has distributed more than its net investment income and net realized capital gains; therefore, a portion of the distribution may be a return of capital. A return of capital may occur, for example, when some or all of the shareholder’s investment in the Fund is returned to the shareholder. A return of capital does not necessarily reflect the Fund’s investment performance and should not be confused with “yield” or “income”. When distributions exceed total return performance, the difference will incrementally reduce the Fund’s net asset value per share.

Premium/Discount Information

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


54		2 0 2 2 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

Trustee and Officer Information

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 374 funds as of February 28, 2022. 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 52nd Street, New York, NY 10055. The Board has designated John E. Kerrigan 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).


Interested Trustees

Name (Age)	Position(s)	Principal Occupation(s) During the Past 5 Years	Other Directorships Held by Trustee

Robert S. Kapito^(a)(65)	Trustee (since 2009).	President, BlackRock, Inc. (since 2006); Vice Chairman of BlackRock, Inc. and Head of BlackRock’s Portfolio Management Group (since its formation in 1998) and BlackRock, Inc.’s predecessor entities (since 1988); Trustee, University of Pennsylvania (since 2009); President of Board of Directors, Hope & Heroes Children’s Cancer Fund (since 2002).	Director of BlackRock, Inc. (since 2006); Director of iShares, Inc. (since 2009); Trustee of iShares U.S. ETF Trust (since 2011); Trustee of iShares Trust (since 2009).

Salim Ramji^(b) (51)	Trustee (since 2019).	Senior Managing Director, BlackRock, Inc. (since 2014); Global Head of BlackRock’s ETF and Index Investments Business (since 2019); Head of BlackRock’s U.S. Wealth Advisory Business (2015-2019); Global Head of Corporate Strategy, BlackRock, Inc. (2014-2015); Senior Partner, McKinsey & Company (2010-2014).	Director of iShares, Inc. (since 2019); Trustee of iShares U.S. ETF Trust (since 2019); Trustee of iShares Trust (since 2019).

^(a)	Robert S. Kapito is deemed to be an “interested person” (as defined in the 1940 Act) of the Trust due to his affiliations with BlackRock, Inc. and its affiliates.

^(b)	Salim Ramji is deemed to be an “interested person” (as defined in the 1940 Act) of the Trust due to his affiliations with BlackRock, Inc. and its affiliates.


Independent Trustees

Name (Age)	Position(s)	Principal Occupation(s) During the Past 5 Years	Other Directorships Held by Trustee

John E. Kerrigan (66)	Trustee (since 2005); Independent Board Chair (since 2022).	Chief Investment Officer, Santa Clara University (since 2002).	Director of iShares, Inc. (since 2005); Trustee of iShares U.S. ETF Trust (since 2011); Trustee of iShares Trust (since 2005); Independent Board Chair of iShares, Inc. and iShares Trust and iShares U.S. ETF Trust (since 2022).

Jane D. Carlin (66)	Trustee (since 2015); Risk Committee Chair (since 2016).	Consultant (since 2012); Member of the Audit Committee (2012-2018), Chair of the Nominating and Governance Committee (2017-2018) and Director of PHH Corporation (mortgage solutions) (2012-2018); Managing Director and Global Head of Financial Holding Company Governance & Assurance and the Global Head of Operational Risk Management of Morgan Stanley (2006-2012).	Director of iShares, Inc. (since 2015); Trustee of iShares U.S. ETF Trust (since 2015); Trustee of iShares Trust (since 2015); Member of the Audit Committee (since 2016), Chair of the Audit Committee (since 2020) and Director of The Hanover Insurance Group, Inc. (since 2016).

Richard L. Fagnani (67)	Trustee (since 2017); Audit Committee Chair (since 2019).	Partner, KPMG LLP (2002-2016).	Director of iShares, Inc. (since 2017); Trustee of iShares U.S. ETF Trust (since 2017); Trustee of iShares Trust (since 2017).


T R U S T E E A N D O F F I C E R I N F O R M A T I O N		55

Trustee and Officer Information (continued)


Independent Trustees (continued)

Name (Age)	Position(s)	Principal Occupation(s) During the Past 5 Years	Other Directorships Held by Trustee

Cecilia H. Herbert (72)	Trustee (since 2005); Nominating and Governance and Equity Plus Committee Chairs (since 2022).	Chair of the Finance Committee (since 2019) and Trustee and Member of the Finance, Audit and Quality Committees of Stanford Health Care (since 2016); Trustee of WNET, New York’s public media company (since 2011) and Member of the Audit Committee (since 2018) and Investment Committee (since 2011); Chair (1994-2005) and Member (since 1992) of the Investment Committee, Archdiocese of San Francisco; Trustee of Forward Funds (14 portfolios) (2009-2018); Trustee of Salient MF Trust (4 portfolios) (2015-2018); Director (1998-2013) and President (2007-2011) of the Board of Directors, Catholic Charities CYO; Trustee (2002-2011) and Chair of the Finance and Investment Committee (2006-2010) of the Thacher School; Director of the Senior Center of Jackson Hole (since 2020).	Director of iShares, Inc. (since 2005); Trustee of iShares U.S. ETF Trust (since 2011); Trustee of iShares Trust (since 2005); Trustee of Thrivent Church Loan and Income Fund (since 2019).

Drew E. Lawton (62)	Trustee (since 2017); 15(c) Committee Chair (since 2017).	Senior Managing Director of New York Life Insurance Company (2010-2015).	Director of iShares, Inc. (since 2017); Trustee of iShares U.S. ETF Trust (since 2017); Trustee of iShares Trust (since 2017).

John E. Martinez (60)	Trustee (since 2003); Securities Lending Committee Chair (since 2019).	Director of Real Estate Equity Exchange, Inc. (since 2005); Director of Cloudera Foundation (2017-2020); and Director of Reading Partners (2012-2016).	Director of iShares, Inc. (since 2003); Trustee of iShares U.S. ETF Trust (since 2011); Trustee of iShares Trust (since 2003).

Madhav V. Rajan (57)	Trustee (since 2011); Fixed Income Plus Committee Chair (since 2019).	Dean, and George Pratt Shultz Professor of Accounting, University of Chicago Booth School of Business (since 2017); Advisory Board Member (since 2016) and Director (since 2020) of C.M. Capital Corporation; Chair of the Board for the Center for Research in Security Prices, LLC (since 2020); Robert K. Jaedicke Professor of Accounting, Stanford University Graduate School of Business (2001-2017); Professor of Law (by courtesy), Stanford Law School (2005-2017); Senior Associate Dean for Academic Affairs and Head of MBA Program, Stanford University Graduate School of Business (2010-2016).	Director of iShares, Inc. (since 2011); Trustee of iShares U.S. ETF Trust (since 2011); Trustee of iShares Trust (since 2011).


Officers

Name (Age)	Position(s)	Principal Occupation(s) During the Past 5 Years

Armando Senra (50)	President (since 2019).	Managing Director, BlackRock, Inc. (since 2007); Head of U.S., Canada and Latam iShares, BlackRock, Inc. (since 2019); Head of Latin America Region, BlackRock, Inc. (2006-2019); Managing Director, Bank of America Merrill Lynch (1994-2006).

Trent Walker (47)	Treasurer and Chief Financial Officer (since 2020).	Managing Director, BlackRock, Inc. (since September 2019); Chief Financial Officer of iShares Delaware Trust Sponsor LLC, BlackRock Funds, BlackRock Funds II, BlackRock Funds IV, BlackRock Funds V and BlackRock Funds VI (since 2021); Executive Vice President of PIMCO (2016-2019); Senior Vice President of PIMCO (2008-2015); Treasurer (2013-2019) and Assistant Treasurer (2007-2017) of PIMCO Funds, PIMCO Variable Insurance Trust, PIMCO ETF Trust, PIMCO Equity Series, PIMCO Equity Series VIT, PIMCO Managed Accounts Trust, 2 PIMCO-sponsored interval funds and 21 PIMCO-sponsored closed-end funds.

Charles Park (54)	Chief Compliance Officer (since 2006).	Chief Compliance Officer of BlackRock Advisors, LLC and the BlackRock-advised Funds in the BlackRock Multi-Asset Complex and the BlackRock Fixed-Income Complex (since 2014); Chief Compliance Officer of BFA (since 2006).

Deepa Damre Smith (46)	Secretary (since 2019).	Managing Director, BlackRock, Inc. (since 2014); Director, BlackRock, Inc. (2009-2013).

Scott Radell (53)	Executive Vice President (since 2012).	Managing Director, BlackRock, Inc. (since 2009); Head of Portfolio Solutions, BlackRock, Inc. (since 2009).

Alan Mason (61)	Executive Vice President (since 2016).	Managing Director, BlackRock, Inc. (since 2009).

Marybeth Leithead (59)	Executive Vice President (since 2019).	Managing Director, BlackRock, Inc. (since 2017); Chief Operating Officer of Americas iShares (since 2017); Portfolio Manager, Municipal Institutional & Wealth Management (2009-2016).


56		2 0 2 2 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

Trustee and Officer Information (continued)

Effective March 18, 2022, Rachel Aguirre, Jennifer Hsui, and James Mauro have replaced Scott Radell, Alan Mason, and Marybeth Leithead as Executive Vice President.


T R U S T E E A N D O F F I C E R I N F O R M A T I O N		57

General Information

Electronic Delivery

Shareholders can sign up for e-mail 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.

To enroll in electronic delivery:

•

Go to icsdelivery.com.

•

If your brokerage firm is not listed, electronic delivery may not be available. Please contact your broker-dealer or financial advisor.

Householding

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.

Availability of Quarterly Schedule of Investments

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to their reports on Form N-PORT. The Funds’ Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for the first and third quarters of each fiscal year available at iShares.com/fundreports.

Availability of Proxy Voting Policies and Proxy Voting Records

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 Trust’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.


58		2 0 2 2 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

Glossary of Terms Used in this Report


Portfolio Abbreviations - Fixed Income

LIBOR		London Interbank Offered Rate

REIT		Real Estate Investment Trust

TBA		To-Be-Announced


G L O S S A R Y O F T E R M S U S E D I N T H I S R E P O R T		59

Want to know more?

iShares.com | 1-800-474-2737

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

Investing involves risk, including possible loss of principal.

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 BlackRock Index Services LLC, nor does this company make any representation regarding the advisability of investing in the iShares Funds. BlackRock is affiliated with the company listed above.

iS-AR-208-0222