iShares Trust

The Markets in Review

Dear Shareholder,

The 12-month reporting period as of September 30, 2021 was a remarkable period of adaptation and recovery, as the global economy dealt with the implications of the coronavirus (or “COVID-19”) pandemic. The United States began the reporting period as the initial reopening-led economic rebound was beginning to slow. Nonetheless, the economy continued to grow at a brisk pace for the reporting period, eventually regaining the output lost from the pandemic.

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

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

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

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

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

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

Sincerely,

Trust

LOGO

Rob Kapito

President, BlackRock, Inc.

LOGO

Rob Kapito

President, BlackRock, Inc.


Total Returns as of September 30, 2021

	6-Month	12-Month

U.S. large cap equities (S&P 500^® Index)	9.18%	30.00%

U.S. small cap equities (Russell 2000^® Index)	(0.25)	47.68

International equities (MSCI Europe, Australasia, Far East Index)	4.70	25.73

Emerging market equities (MSCI Emerging Markets Index)	(3.45)	18.20

3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index)	0.01	0.07

U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index)	2.92	(6.22)

U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index)	1.88	(0.90)

Tax-exempt municipal bonds (S&P Municipal Bond Index)	1.24	2.71

U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index)	3.65	11.27
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

The iShares Factors US Growth Style ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. large- and mid-capitalization stocks with favorable exposure to target style factors subject to constraints, as represented by the Russell US Large Cap Factors Growth Style 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.

The inception date of the Fund was 1/14/20. The first day of secondary market trading was 1/16/20.

Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 7 for more information.

The iShares Factors US Value Style ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. large- and mid-capitalization stocks with favorable exposure to target style factors subject to constraints, as represented by the Russell US Large Cap Factors Value Style 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.

The inception date of the Fund was 1/14/20. The first day of secondary market trading was 1/16/20.

Certain sectors and markets performed exceptionally well based on market conditions during the one-year period. Achieving such exceptional returns involves the risk of volatility and investors should not expect that such exceptional returns will be repeated.

The iShares US Small Cap Value Factor ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. small-capitalization stocks with prominent value characteristics, as represented by the Russell 2000 Focused Value Select 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.

The inception date of the Fund was 10/27/20. The first day of secondary market trading was 10/29/20.

Certain sectors and markets performed exceptionally well based on market conditions since the Fund commenced operations. Achieving such exceptional returns involves the risk of volatility and investors should not expect that such exceptional returns will be repeated.

ALLOCATION BY SECTOR


Sector	Percent of Total Investments	^(a)
Financials	43.8	%
Industrials	20.2
Consumer Discretionary	11.0
Materials	7.4
Information Technology	5.4
Energy	3.8
Real Estate	3.8
Utilities	1.8
Health Care	1.3
Consumer Staples	1.1
Communication Services	0.4

^(a)

Excludes money market funds.

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 by using the midpoint between the highest bid and the lowest ask on the primary stock exchange on which shares of a fund are listed for trading, as of the time that such fund’s NAV is calculated. Since shares of a fund may not trade in the secondary market until after the fund’s inception, for the period from inception to the first day of secondary market trading in shares of the fund, the NAV of the fund is used as a proxy for the Market Price to calculate market returns. Market and NAV returns assume that dividends and capital gain distributions have been reinvested at Market Price and NAV, respectively.

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

As a shareholder of your Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of fund shares and (2) ongoing costs, including management fees and other fund expenses. The expense example, which is based on an investment of $1,000 invested at the beginning of the period (or from the commencement of operations if less than 6 months) and held through the end of the period, is intended to help you understand your ongoing costs (in dollars and cents) of investing in your Fund and to compare these costs with the ongoing costs of investing in other funds.

Actual Expenses – The table provides information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntary fee waivers, if any. To estimate the expenses that you paid on your account over the period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number under the heading entitled “Expenses Paid During the Period.”

Hypothetical Example for Comparison Purposes – The table also provides information about hypothetical account values and hypothetical expenses based on your Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions and other fees paid on purchases and sales of fund shares. Therefore, the hypothetical examples are useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.


Security	Shares		Value

Common Stocks

Air Freight & Logistics — 1.6%
Expeditors International of Washington Inc.		319	$	38,002
FedEx Corp.		85		18,640
United Parcel Service Inc., Class B		160		29,136

				85,778

Automobiles — 0.9%
Tesla Inc.^(a)		66		51,182


Beverages — 0.1%
PepsiCo Inc.		20		3,008


Biotechnology — 3.8%
AbbVie Inc.		1,066		114,989
Acceleron Pharma Inc.^(a)		34		5,851
Amgen Inc.		26		5,529
Moderna Inc.^(a)		168		64,657
Vertex Pharmaceuticals Inc.^(a)		64		11,609

				202,635

Building Products — 0.5%
Carrier Global Corp.		100		5,176
Trane Technologies PLC		57		9,841
Trex Co. Inc.^(a)		118		12,028

				27,045

Capital Markets — 4.0%
Goldman Sachs Group Inc. (The)		141		53,302
MSCI Inc.		159		96,726
S&P Global Inc.		150		63,734

				213,762

Chemicals — 1.4%
Chemours Co. (The)		562		16,332
Scotts Miracle-Gro Co. (The)		409		59,861

				76,193

Communications Equipment — 0.5%
Arista Networks Inc.^(a)		11		3,780
Ubiquiti Inc.		76		22,699

				26,479

Consumer Finance — 0.9%
Synchrony Financial		535		26,151
Upstart Holdings Inc.^(a)		63		19,936

				46,087

Containers & Packaging — 0.1%
Sealed Air Corp.		101		5,534


Distributors — 0.4%
Pool Corp.		51		22,155


Electrical Equipment — 0.0%
Generac Holdings Inc.^(a)		1		409


Electronic Equipment, Instruments & Components — 0.7%
Vontier Corp.		283		9,509
Zebra Technologies Corp., Class A^(a)		56		28,863

				38,372

Entertainment — 1.1%
Playtika Holding Corp.^(a)		1,750		48,353
Take-Two Interactive Software Inc.^(a)		59		9,090

				57,443

Food & Staples Retailing — 1.6%
Costco Wholesale Corp.		197		88,522


Security	Shares		Value

Food Products — 0.3%
Hershey Co. (The)		96	$	16,248


Health Care Equipment & Supplies — 0.9%
Align Technology Inc.^(a)		18		11,978
IDEXX Laboratories Inc.^(a)		61		37,936

				49,914

Health Care Providers & Services — 2.6%
Amedisys Inc.^(a)		78		11,630
Chemed Corp.		60		27,907
DaVita Inc.^(a)		279		32,437
HCA Healthcare Inc.		166		40,291
McKesson Corp.		80		15,950
Molina Healthcare Inc.^(a)		48		13,023

				141,238

Health Care Technology — 0.3%
Veeva Systems Inc., Class A^(a)		50		14,409


Hotels, Restaurants & Leisure — 1.5%
Domino’s Pizza Inc.		119		56,758
Yum! Brands Inc.		217		26,542

				83,300

Household Durables — 0.7%
Tempur Sealy International Inc.		296		13,737
TopBuild Corp.^(a)		121		24,782

				38,519

Household Products — 0.1%
Clorox Co. (The)		36		5,962


Interactive Media & Services — 5.9%
Alphabet Inc., Class A^(a)		35		93,573
Alphabet Inc., Class C, NVS^(a)		28		74,629
Facebook Inc., Class A^(a)		422		143,222
Match Group Inc.^(a)		34		5,338

				316,762

Internet & Direct Marketing Retail — 7.8%
Amazon.com Inc.^(a)		103		338,359
eBay Inc.		604		42,081
Wayfair Inc., Class A^(a)(b)		162		41,392

				421,832

IT Services — 0.4%
Mastercard Inc., Class A		22		7,649
PayPal Holdings Inc.^(a)		24		6,245
Visa Inc., Class A		30		6,683

				20,577

Life Sciences Tools & Services — 1.5%
Maravai LifeSciences Holdings Inc., Class A^(a)		224		10,994
Mettler-Toledo International Inc.^(a)		36		49,585
Sotera Health Co.^(a)		829		21,678

				82,257

Machinery — 0.5%
AGCO Corp.		194		23,771
Graco Inc.		12		839

				24,610

Multiline Retail — 2.1%
Dollar General Corp.		88		18,668
Nordstrom Inc.^(a)		352		9,310
Target Corp.		367		83,959

				111,937


Security	Shares		Value

Paper & Forest Products — 2.1%
Louisiana-Pacific Corp.		1,821	$	111,755


Personal Products — 1.1%
Estee Lauder Companies Inc. (The), Class A		19		5,699
Herbalife Nutrition Ltd.^(a)		1,251		53,017

				58,716

Pharmaceuticals — 1.7%
Eli Lilly & Co.		233		53,835
Royalty Pharma PLC, Class A		988		35,706
Zoetis Inc.		5		971

				90,512

Professional Services — 2.0%
Booz Allen Hamilton Holding Corp.		1,355		107,519


Road & Rail — 0.3%
Old Dominion Freight Line Inc.		64		18,303


Semiconductors & Semiconductor Equipment — 5.8%
Allegro MicroSystems Inc.^(a)		402		12,848
Applied Materials Inc.		110		14,160
Broadcom Inc.		4		1,940
KLA Corp.		48		16,056
NVIDIA Corp.		464		96,122
QUALCOMM Inc.		828		106,795
Teradyne Inc.		269		29,367
Texas Instruments Inc.		184		35,367

				312,655

Software — 24.8%
Adobe Inc.^(a)		114		65,632
Aspen Technology Inc.^(a)		385		47,278
Atlassian Corp. PLC, Class A^(a)		225		88,070
Cadence Design Systems Inc.^(a)		410		62,090
Citrix Systems Inc.		284		30,493
Crowdstrike Holdings Inc., Class A^(a)		308		75,700
Dropbox Inc., Class A^(a)		440		12,857
Fair Isaac Corp.^(a)		136		54,118
Fortinet Inc.^(a)		248		72,426
HubSpot Inc.^(a)		87		58,820
Intuit Inc.		60		32,371
Manhattan Associates Inc.^(a)		361		55,244
McAfee Corp., Class A		753		16,649
Microsoft Corp.		2,132		601,053
NortonLifeLock Inc.		333		8,425
Oracle Corp.		186		16,206
ServiceNow Inc.^(a)		16		9,956
Synopsys Inc.^(a)		52		15,569
Teradata Corp.^(a)		36		2,065
Zoom Video Communications Inc., Class A^(a)		15		3,923


Security	Shares		Value

Software (continued)
Zscaler Inc.^(a)		41	$	10,751

				1,339,696

Specialty Retail — 5.2%
AutoZone Inc.^(a)		8		13,584
Bath & Body Works Inc.		27		1,702
Best Buy Co. Inc.		251		26,533
Home Depot Inc. (The)		247		81,080
Leslie’s Inc.^(a)		1,829		37,568
Lowe’s Companies Inc.		150		30,429
O’Reilly Automotive Inc.^(a)		3		1,833
Victoria’s Secret & Co.^(a)		796		43,987
Williams-Sonoma Inc.		262		46,460

				283,176

Technology Hardware, Storage & Peripherals — 12.5%
Apple Inc.		4,529		640,853
HP Inc.		988		27,032
NetApp Inc.		104		9,335

				677,220

Textiles, Apparel & Luxury Goods — 2.2%
Columbia Sportswear Co.		216		20,701
Deckers Outdoor Corp.^(a)		192		69,158
Nike Inc., Class B		202		29,337

				119,196


Total Common Stocks — 99.9% (Cost: $5,444,457)				5,390,917


Short-Term Investments

Money Market Funds — 0.4%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.05%^(c)(d)(e)		19,882		19,892


Total Short-Term Investments — 0.4% (Cost: $19,892)				19,892


Total Investments in Securities — 100.3% (Cost: $5,464,349)				5,410,809

Other Assets, Less Liabilities — (0.3)%				(13,724	)


Net Assets — 100.0%			$	5,397,085

^(a)	Non-income producing security.

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

^(c)	Affiliate of the Fund.

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

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

Investments in issuers considered to be affiliate(s) of the Fund during the six months ended September 30, 2021 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

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.


Security	Shares		Value

Common Stocks

Aerospace & Defense — 0.5%
Lockheed Martin Corp.		25	$	8,627
Northrop Grumman Corp.		84		30,253

				38,880

Air Freight & Logistics — 1.1%
Expeditors International of Washington Inc.		470		55,991
FedEx Corp.		91		19,955

				75,946

Banks — 1.4%
Popular Inc.		1,273		98,874
Regions Financial Corp.		129		2,749

				101,623

Biotechnology — 1.8%
Amgen Inc.		252		53,588
Biogen Inc.^(a)		92		26,035
Gilead Sciences Inc.		688		48,057

				127,680

Building Products — 1.3%
Lennox International Inc.		213		62,658
Masco Corp.		555		30,830
Trane Technologies PLC		9		1,554

				95,042

Capital Markets — 10.4%
Ameriprise Financial Inc.		53		13,998
Evercore Inc., Class A		1,091		145,834
Franklin Resources Inc.		667		19,823
Goldman Sachs Group Inc. (The)		234		88,459
Jefferies Financial Group Inc.		4,144		153,867
Lazard Ltd., Class A		2,594		118,805
Morgan Stanley		141		13,721
MSCI Inc.		46		27,984
Northern Trust Corp.		43		4,636
Raymond James Financial Inc.		295		27,222
State Street Corp.		469		39,734
Stifel Financial Corp.		668		45,397
Virtu Financial Inc., Class A		1,697		41,458

				740,938

Commercial Services & Supplies — 0.6%
ADT Inc.		157		1,270
Republic Services Inc.		152		18,249
Waste Management Inc.		172		25,690

				45,209

Communications Equipment — 2.5%
Ciena Corp.^(a)		30		1,541
Cisco Systems Inc.		1,243		67,656
Juniper Networks Inc.		153		4,211
Lumentum Holdings Inc.^(a)		8		668
Motorola Solutions Inc.		258		59,939
Ubiquiti Inc.		151		45,099

				179,114

Consumer Finance — 3.5%
Ally Financial Inc.		1,996		101,896
Capital One Financial Corp.		252		40,816
OneMain Holdings Inc.		1,101		60,918
Synchrony Financial		917		44,823

				248,453


Security	Shares		Value

Containers & Packaging — 1.5%
Amcor PLC		4,862	$	56,351
Avery Dennison Corp.		47		9,739
Graphic Packaging Holding Co.		289		5,502
Sealed Air Corp.		405		22,190
Silgan Holdings Inc.		414		15,881

				109,663

Diversified Consumer Services — 0.5%
H&R Block Inc.		1,409		35,225


Diversified Financial Services — 0.6%
Equitable Holdings Inc.		370		10,967
Voya Financial Inc.		517		31,738

				42,705

Diversified Telecommunication Services — 3.3%
AT&T Inc.		1,963		53,021
Lumen Technologies Inc.		3,859		47,813
Verizon Communications Inc.		2,499		134,971

				235,805

Electric Utilities — 2.1%
Duke Energy Corp.		129		12,589
Entergy Corp.		333		33,070
FirstEnergy Corp.		226		8,050
Hawaiian Electric Industries Inc.		1,299		53,038
IDACORP Inc.		62		6,410
NRG Energy Inc.		470		19,190
Pinnacle West Capital Corp.		198		14,328
Xcel Energy Inc.		6		375

				147,050

Electrical Equipment — 0.5%
nVent Electric PLC		1,197		38,699


Electronic Equipment, Instruments & Components — 0.7%
Avnet Inc.		505		18,670
Jabil Inc.		157		9,164
Vontier Corp.		578		19,421

				47,255

Entertainment — 0.3%
Activision Blizzard Inc.		10		774
Take-Two Interactive Software Inc.^(a)		110		16,948

				17,722

Equity Real Estate Investment Trusts (REITs) — 2.8%
Brixmor Property Group Inc.		464		10,259
Equity Residential		116		9,387
Public Storage		5		1,485
SBA Communications Corp.		72		23,801
SL Green Realty Corp.		1,190		84,300
VEREIT Inc.		1,517		68,614

				197,846

Food & Staples Retailing — 4.5%
Albertsons Companies Inc., Class A		3,122		97,188
Costco Wholesale Corp.		48		21,569
Kroger Co. (The)		1,764		71,319
Walgreens Boots Alliance Inc.		142		6,681
Walmart Inc.		864		120,424

				317,181

Food Products — 1.0%
Campbell Soup Co.		384		16,055
Flowers Foods Inc.		1,852		43,763
Hershey Co. (The)		9		1,523


Security	Shares		Value

Food Products (continued)
JM Smucker Co. (The)		102	$	12,243

				73,584

Gas Utilities — 0.0%
National Fuel Gas Co.		48		2,521


Health Care Equipment & Supplies — 0.6%
Abbott Laboratories		56		6,615
Danaher Corp.		45		13,700
DENTSPLY SIRONA Inc.		180		10,449
Hologic Inc.^(a)^(b)		71		5,241
Medtronic PLC		40		5,014

				41,019

Health Care Providers & Services — 2.8%
Amedisys Inc.^(a)		75		11,183
Cardinal Health Inc.		244		12,068
Chemed Corp.		18		8,372
CVS Health Corp.		659		55,923
DaVita Inc.^(a)		309		35,924
Molina Healthcare Inc.^(a)(b)		81		21,976
Signify Health Inc., Class A^(a)		2,006		35,847
UnitedHealth Group Inc.		46		17,974
Universal Health Services Inc., Class B		3		415

				199,682

Hotels, Restaurants & Leisure — 1.9%
Domino’s Pizza Inc.		94		44,835
McDonald’s Corp.		102		24,593
Yum! Brands Inc.		549		67,148

				136,576

Household Durables — 0.3%
Newell Brands Inc.		826		18,288


Household Products — 2.4%
Clorox Co. (The)		15		2,484
Colgate-Palmolive Co.		101		7,634
Kimberly-Clark Corp.		332		43,970
Procter & Gamble Co. (The)		858		119,948

				174,036

Independent Power and Renewable Electricity Producers — 0.7%
Vistra Corp.		2,819		48,205


Insurance — 7.9%
Aflac Inc.		681		35,501
Allstate Corp. (The)		560		71,294
American Financial Group Inc./OH		368		46,306
Assurant Inc.		95		14,986
Assured Guaranty Ltd.		485		22,703
Athene Holding Ltd., Class A^(a)		300		20,661
Brighthouse Financial Inc.^(a)		858		38,807
CNA Financial Corp.		516		21,651
Everest Re Group Ltd.		53		13,291
Hanover Insurance Group Inc. (The)		153		19,832
Hartford Financial Services Group Inc. (The)		441		30,980
Loews Corp.		301		16,233
Mercury General Corp.		832		46,318
MetLife Inc.		496		30,618
Old Republic International Corp.		263		6,083
Primerica Inc.		90		13,827
Principal Financial Group Inc.		261		16,808
Unum Group		1,462		36,638


Security	Shares		Value

Insurance (continued)
White Mountains Insurance Group Ltd.^(b)		58	$	62,037

				564,574

Internet & Direct Marketing Retail — 1.1%
Qurate Retail Inc., Series A		4,019		40,954
Wayfair Inc., Class A^(a)^(b)		140		35,771

				76,725

IT Services — 1.8%
Akamai Technologies Inc.^(a)		6		627
Concentrix Corp.^(a)		68		12,036
International Business Machines Corp.		15		2,084
Paychex Inc.		153		17,205
VeriSign Inc.^(a)		278		56,993
Western Union Co. (The)		1,818		36,760

				125,705

Leisure Products — 0.1%
Hasbro Inc.		102		9,100


Life Sciences Tools & Services — 0.4%
Thermo Fisher Scientific Inc.		52		29,709


Machinery — 2.9%
AGCO Corp.		93		11,395
Allison Transmission Holdings Inc.		854		30,163
Dover Corp.		89		13,840
Illinois Tool Works Inc.		55		11,365
Otis Worldwide Corp.		1,573		129,426
Pentair PLC		106		7,699

				203,888

Media — 0.7%
Altice USA Inc., Class A^(a)		285		5,905
Comcast Corp., Class A		576		32,216
News Corp., Class B		18		418
Omnicom Group Inc.		119		8,623
Sirius XM Holdings Inc.		120		732

				47,894

Metals & Mining — 1.3%
Alcoa Corp.^(a)		624		30,539
Reliance Steel & Aluminum Co.		441		62,807
Steel Dynamics Inc.		8		468

				93,814

Multi-Utilities — 0.6%
Ameren Corp.		381		30,861
CMS Energy Corp.		14		836
Consolidated Edison Inc.		52		3,775
DTE Energy Co.		49		5,474
WEC Energy Group Inc.		17		1,499

				42,445

Multiline Retail — 1.1%
Kohl’s Corp.		15		706
Target Corp.		327		74,808

				75,514

Oil, Gas & Consumable Fuels — 3.0%
Antero Midstream Corp.		6,301		65,656
Cabot Oil & Gas Corp.		89		1,937
Devon Energy Corp.		1,002		35,581
DTE Midstream LLC^(a)		2,353		108,803

				211,977


Security	Shares		Value

Paper & Forest Products — 1.7%
Louisiana-Pacific Corp.		1,982	$	121,635


Personal Products — 0.4%
Herbalife Nutrition Ltd.^(a)		690		29,242


Pharmaceuticals — 9.6%
Bristol-Myers Squibb Co.		1,765		104,435
Eli Lilly & Co.		182		42,051
Johnson & Johnson		1,216		196,384
Merck & Co. Inc.		2,610		196,037
Organon & Co.		1,010		33,118
Pfizer Inc.		2,339		100,601
Royalty Pharma PLC, Class A		338		12,215

				684,841

Professional Services — 1.7%
Dun & Bradstreet Holdings Inc.^(a)		1,988		33,418
FTI Consulting Inc.^(a)		476		64,117
Leidos Holdings Inc.		4		385
ManpowerGroup Inc.		37		4,006
Robert Half International Inc.		221		22,173

				124,099

Road & Rail — 0.2%
Schneider National Inc., Class B		557		12,666


Semiconductors & Semiconductor Equipment — 2.0%
Cirrus Logic Inc.^(a)		221		18,199
Intel Corp.		835		44,489
Qorvo Inc.^(a)		161		26,918
Texas Instruments Inc.		281		54,011

				143,617

Software — 3.7%
Citrix Systems Inc.		639		68,610
Manhattan Associates Inc.^(a)		204		31,218
McAfee Corp., Class A		1,919		42,429
N-Able Inc.^(a)		7,198		89,327
Oracle Corp.		89		7,755
Teradata Corp.^(a)		461		26,438

				265,777

Specialty Retail — 2.9%
AutoNation Inc.^(a)		124		15,098
AutoZone Inc.^(a)		9		15,282
Bath & Body Works Inc.		239		15,064
Best Buy Co. Inc.		371		39,219
Dick’s Sporting Goods Inc.		187		22,397
Foot Locker Inc.		26		1,187
Leslie’s Inc.^(a)		692		14,214
Victoria’s Secret & Co.^(a)		778		42,992
Williams-Sonoma Inc.		219		38,835

				204,288

Technology Hardware, Storage & Peripherals — 3.0%
Hewlett Packard Enterprise Co.		6,198		88,321


Security	Shares		Value

Technology Hardware, Storage & Peripherals (continued)
HP Inc.		1,505	$	41,177
NetApp Inc.		287		25,761
Xerox Holdings Corp.		2,852		57,525

				212,784

Textiles, Apparel & Luxury Goods — 1.4%
Carter’s Inc.		25		2,431
Columbia Sportswear Co.		225		21,564
Deckers Outdoor Corp.^(a)		159		57,272
Ralph Lauren Corp.		167		18,543

				99,810

Thrifts & Mortgage Finance — 0.2%
New York Community Bancorp. Inc.		560		7,207
UWM Holdings Corp.		659		4,580

				11,787

Tobacco — 1.9%
Altria Group Inc.		680		30,954
Philip Morris International Inc.		1,074		101,804

				132,758

Trading Companies & Distributors — 0.4%
MSC Industrial Direct Co. Inc., Class A		66		5,293
WW Grainger Inc.		55		21,618

				26,911


Total Common Stocks — 99.6% (Cost: $6,801,784)				7,087,507


Short-Term Investments

Money Market Funds — 1.9%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.05%^(c)(d)(e)		125,650		125,712
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.00%^(c)(d)		10,000		10,000

				135,712


Total Short-Term Investments — 1.9% (Cost: $135,712)				135,712


Total Investments in Securities — 101.5% (Cost: $6,937,496)				7,223,219

Other Assets, Less Liabilities — (1.5)%				(109,923	)


Net Assets — 100.0%			$	7,113,292

^(a)	Non-income producing security.

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

^(c)	Affiliate of the Fund.

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

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


Security	Shares		Value

Common Stocks

Aerospace & Defense — 0.4%
Ducommun Inc.^(a)		9,719	$	489,352


Air Freight & Logistics — 0.3%
Atlas Air Worldwide Holdings Inc.^(a)(b)		5,254		429,147


Auto Components — 0.9%
Dana Inc.		26,154		581,665
Modine Manufacturing Co.^(a)		46,390		525,599

				1,107,264

Banks — 30.3%
1st Source Corp.		10,428		492,619
Allegiance Bancshares Inc.		13,599		518,802
Atlantic Union Bankshares Corp.		14,968		551,571
Banc of California Inc.		31,439		581,307
BancFirst Corp.		6,939		417,173
BancorpSouth Bank		15,190		452,358
Bank of NT Butterfield & Son Ltd. (The)		14,592		518,162
BankUnited Inc.		13,964		583,974
Brookline Bancorp. Inc.		32,982		503,305
Bryn Mawr Bank Corp.		12,860		590,917
Cathay General Bancorp.		14,792		612,241
Central Pacific Financial Corp.		21,155		543,260
City Holding Co.		4,962		386,589
Columbia Banking System Inc.		12,867		488,817
Community Trust Bancorp. Inc.		11,628		489,539
ConnectOne Bancorp. Inc.		22,786		683,808
CrossFirst Bankshares Inc.^(a)		37,748		490,724
Customers Bancorp. Inc.^(a)		28,477		1,225,080
CVB Financial Corp.		18,715		381,225
Dime Community Bancshares Inc.		36,643		1,196,760
Enterprise Financial Services Corp.		11,729		531,089
First BanCorp./Puerto Rico		51,416		676,120
First Bancshares Inc. (The)		15,478		600,237
First Busey Corp.		20,134		495,900
First Financial Bancorp.		23,602		552,523
First Financial Corp./IN		10,194		428,658
First Foundation Inc.		24,544		645,507
First Merchants Corp.		13,810		577,810
Flushing Financial Corp.		30,469		688,599
Fulton Financial Corp.		34,284		523,859
German American Bancorp. Inc.		10,399		401,713
Great Southern Bancorp. Inc.		8,834		484,192
Hancock Whitney Corp.		16,992		800,663
Hanmi Financial Corp.		35,319		708,499
Heritage Commerce Corp.		48,060		558,938
Heritage Financial Corp./WA		16,794		428,247
Home BancShares Inc./AR		21,058		495,495
Hope Bancorp Inc.		37,856		546,641
Horizon Bancorp Inc./IN		31,698		575,953
Independent Bank Corp.		5,856		445,934
Independent Bank Corp./MI		25,445		546,559
Independent Bank Group Inc.		7,241		514,401
Investors Bancorp. Inc.		44,169		667,394
Lakeland Bancorp. Inc.		32,144		566,699
Midland States Bancorp. Inc.		25,396		628,043
NBT Bancorp. Inc.		11,523		416,211
Nicolet Bankshares Inc.^(a)		5,846		433,656
OFG Bancorp.		23,161		584,120
Old National Bancorp./IN		22,227		376,748


Security	Shares		Value

Banks (continued)
Pacific Premier Bancorp. Inc.		14,511	$	601,336
Peoples Bancorp. Inc./OH		16,756		529,657
Preferred Bank/Los Angeles CA		3,154		210,309
S&T Bancorp. Inc.		17,392		512,542
Sandy Spring Bancorp. Inc.		13,855		634,836
Seacoast Banking Corp. of Florida		16,000		540,960
Simmons First National Corp., Class A		17,689		522,887
South State Corp.		6,821		509,324
Texas Capital Bancshares Inc.^(a)		9,367		562,207
Tompkins Financial Corp.		5,784		467,983
Towne Bank/Portsmouth VA		19,501		606,676
TriCo Bancshares		13,035		565,719
TriState Capital Holdings Inc.^(a)		21,612		457,094
Triumph Bancorp. Inc.^(a)		10,252		1,026,533
Trustmark Corp.		14,550		468,801
United Bankshares Inc./WV		15,189		552,576
United Community Banks Inc./GA		16,639		546,092
Valley National Bancorp.		47,131		627,314
Washington Trust Bancorp. Inc.		10,466		554,489

				38,105,974

Biotechnology — 0.4%
Vanda Pharmaceuticals Inc.^(a)		33,110		567,505


Building Products — 1.4%
American Woodmark Corp.^(a)		3,283		214,610
Apogee Enterprises Inc.		15,562		587,621
Insteel Industries Inc.		17,529		666,978
Quanex Building Products Corp.		15,870		339,777

				1,808,986

Capital Markets — 2.0%
BGC Partners Inc., Class A		134,348		699,953
Cowen Inc., Class A		19,652		674,260
Federated Hermes Inc.		14,925		485,062
Piper Sandler Cos.		4,393		608,255

				2,467,530

Chemicals — 2.2%
AdvanSix Inc.^(a)		25,088		997,248
Avient Corp.		12,347		572,283
Ecovyst Inc.		26,722		311,579
HB Fuller Co.		7,028		453,728
Minerals Technologies Inc.		6,428		448,931

				2,783,769

Commercial Services & Supplies — 4.0%
ABM Industries Inc.		8,796		395,908
ACCO Brands Corp.		55,164		473,859
BrightView Holdings Inc.^(a)		28,912		426,741
Herman Miller Inc.		19,317		727,478
HNI Corp.		10,727		393,896
Interface Inc.		52,227		791,239
KAR Auction Services Inc.^(a)		23,848		390,869
Matthews International Corp., Class A		14,277		495,269
SP Plus Corp.^(a)		17,981		551,477
Steelcase Inc., Class A		31,678		401,677

				5,048,413

Communications Equipment — 0.8%
Comtech Telecommunications Corp.		22,844		585,035
NetScout Systems Inc.^(a)		15,124		407,592

				992,627


Security	Shares		Value

Construction & Engineering — 2.5%
Arcosa Inc.		6,213	$	311,706
EMCOR Group Inc.		4,916		567,208
Great Lakes Dredge & Dock Corp.^(a)(b)		33,773		509,635
MYR Group Inc.^(a)		8,743		869,929
Primoris Services Corp.		15,562		381,113
Sterling Construction Co. Inc.^(a)		23,176		525,400

				3,164,991

Construction Materials — 0.5%
Summit Materials Inc., Class A^(a)		19,544		624,822


Consumer Finance — 0.8%
EZCORP Inc., Class A, NVS^(a)		63,466		480,438
World Acceptance Corp.^(a)		3,042		576,702

				1,057,140

Distributors — 0.8%
Funko Inc., Class A^(a)		55,194		1,005,083


Diversified Consumer Services — 0.3%
Laureate Education Inc., Class A^(a)		24,308		412,993


Electrical Equipment — 1.1%
Encore Wire Corp.		6,913		655,560
Powell Industries Inc.		11,150		273,955
Thermon Group Holdings Inc.^(a)		28,470		492,816

				1,422,331

Electronic Equipment, Instruments & Components — 2.5%
Benchmark Electronics Inc.		15,843		423,167
Insight Enterprises Inc.^(a)		5,766		519,401
Knowles Corp.^(a)		21,593		404,653
Methode Electronics Inc.		11,325		476,216
Sanmina Corp.^(a)		12,161		468,685
TTM Technologies Inc.^(a)		29,391		369,445
Vishay Intertechnology Inc.		21,103		423,959

				3,085,526

Energy Equipment & Services — 1.3%
National Energy Services Reunited Corp.^(a)		50,436		631,459
RPC Inc.^(a)		120,922		587,681
Solaris Oilfield Infrastructure Inc., Class A		49,571		413,422

				1,632,562

Equity Real Estate Investment Trusts (REITs) — 3.5%
Acadia Realty Trust		30,392		620,301
Columbia Property Trust Inc.		29,317		557,609
Kite Realty Group Trust		27,696		563,891
Piedmont Office Realty Trust Inc., Class A		23,528		410,093
Sabra Health Care REIT Inc.		19,617		288,762
SITE Centers Corp.		44,508		687,203
Summit Hotel Properties Inc.^(a)		61,733		594,489
Xenia Hotels & Resorts Inc.^(a)		36,021		639,013

				4,361,361

Food & Staples Retailing — 0.8%
Andersons Inc. (The)		16,753		516,495
SpartanNash Co.		19,572		428,627

				945,122

Food Products — 0.4%
Fresh Del Monte Produce Inc.		14,036		452,240


Gas Utilities — 0.5%
Southwest Gas Holdings Inc.		5,457		364,964


Security	Shares		Value

Gas Utilities (continued)
Spire Inc.		5,147	$	314,893

				679,857

Health Care Providers & Services — 0.4%
Select Medical Holdings Corp.		15,521		561,394


Household Durables — 2.7%
Century Communities Inc.		7,542		463,456
Ethan Allen Interiors Inc.		25,237		598,117
Hooker Furniture Corp.		10,444		281,884
KB Home		8,595		334,517
La-Z-Boy Inc.		8,546		275,438
M/I Homes Inc.^(a)		6,953		401,883
Meritage Homes Corp.^(a)		2,992		290,224
Taylor Morrison Home Corp.^(a)		13,473		347,334
TRI Pointe Homes Inc.^(a)		18,068		379,789

				3,372,642

Insurance — 4.3%
American Equity Investment Life Holding Co.		14,226		420,663
CNO Financial Group Inc.		20,234		476,308
Employers Holdings Inc.		9,371		370,061
Enstar Group Ltd.^(a)		1,993		467,817
HCI Group Inc.		6,501		720,116
Heritage Insurance Holdings Inc.		30,614		208,481
Horace Mann Educators Corp.		8,448		336,146
ProAssurance Corp.		18,329		435,864
Selective Insurance Group Inc.		6,240		471,307
SiriusPoint Ltd.^(a)		47,339		438,359
Stewart Information Services Corp.		6,997		442,630
United Fire Group Inc.		15,025		347,078
Universal Insurance Holdings Inc.		22,852		297,990

				5,432,820

Machinery — 3.3%
Altra Industrial Motion Corp.		8,872		491,065
Barnes Group Inc.		7,683		320,612
Columbus McKinnon Corp./NY		9,667		467,399
EnPro Industries Inc.		5,671		494,057
Greenbrier Companies Inc. (The)		11,837		508,873
Meritor Inc.^(a)		12,821		273,215
Mueller Industries Inc.		11,976		492,214
REV Group Inc.		40,460		694,294
Wabash National Corp.		23,253		351,818

				4,093,547

Marine — 0.5%
Matson Inc.		8,008		646,326


Media — 0.4%
Scholastic Corp.		15,240		543,306


Metals & Mining — 3.6%
Allegheny Technologies Inc.^(a)(b)		33,388		555,242
Carpenter Technology Corp.		15,940		521,876
Commercial Metals Co.		16,013		487,756
Haynes International Inc.		18,983		707,117
Kaiser Aluminum Corp.		6,035		657,573
Schnitzer Steel Industries Inc., Class A		16,744		733,555
Warrior Met Coal Inc.		20,141		468,681
Worthington Industries Inc.		6,846		360,784

				4,492,584

Mortgage Real Estate Investment — 0.3%
Broadmark Realty Capital Inc.		35,164		346,717


Security	Shares		Value

Multi-Utilities — 1.2%
Avista Corp.		8,672	$	339,249
Black Hills Corp.		6,147		385,786
NorthWestern Corp.		6,752		386,889
Unitil Corp.		8,513		364,186

				1,476,110

Oil, Gas & Consumable Fuels — 2.5%
Clean Energy Fuels Corp.^(a)		121,662		991,545
CNX Resources Corp.^(a)		33,817		426,770
DHT Holdings Inc.		64,342		420,153
Dorian LPG Ltd.		40,904		507,619
Nordic American Tankers Ltd.		96,544		247,153
World Fuel Services Corp.		15,098		507,595

				3,100,835

Paper & Forest Products — 1.0%
Clearwater Paper Corp.^(a)		8,833		338,569
Domtar Corp.^(a)		12,078		658,734
Glatfelter Corp.		19,642		276,952

				1,274,255

Pharmaceuticals — 0.4%
Prestige Consumer Healthcare Inc.^(a)		8,826		495,227


Professional Services — 1.7%
Heidrick & Struggles International Inc.		16,290		727,022
Kelly Services Inc., Class A, NVS		20,034		378,242
Resources Connection Inc.		27,873		439,836
TrueBlue Inc.^(a)		20,700		560,556

				2,105,656

Real Estate Management & Development — 0.2%
RE/MAX Holdings Inc., Class A		9,696		302,127


Road & Rail — 1.4%
ArcBest Corp.		10,278		840,432
Covenant Logistics Group Inc., Class A^(a)		18,290		505,718
U.S. Xpress Enterprises Inc., Class A^(a)		41,773		360,501

				1,706,651

Semiconductors & Semiconductor Equipment — 1.6%
Alpha & Omega Semiconductor Ltd.^(a)		24,901		781,144
Amkor Technology Inc.		28,543		712,148
SMART Global Holdings Inc.^(a)(b)		11,701		520,695

				2,013,987

Software — 0.4%
Xperi Holding Corp.		28,326		533,662


Specialty Retail — 4.2%
Abercrombie & Fitch Co., Class A^(a)		23,081		868,538
Hibbett Inc.		8,181		578,724
MarineMax Inc.^(a)(b)		12,397		601,502
ODP Corp. (The)^(a)		16,523		663,564
Rent-A-Center Inc./TX		10,680		600,323
Sportsman’s Warehouse Holdings Inc.^(a)		22,525		396,440
Tilly’s Inc., Class A		53,368		747,686
Urban Outfitters Inc.^(a)		13,630		404,675
Zumiez Inc.^(a)		11,502		457,319

				5,318,771


Security	Shares		Value

Textiles, Apparel & Luxury Goods — 1.9%
Movado Group Inc.		32,208	$	1,014,230
Superior Group of Companies Inc.		14,312		333,326
Unifi Inc.^(a)		22,461		492,570
Vera Bradley Inc.^(a)		53,125		499,906

				2,340,032

Thrifts & Mortgage Finance — 5.3%
HomeStreet Inc.		10,877		447,589
Kearny Financial Corp./MD		44,520		553,384
Meridian Bancorp. Inc.		31,019		643,954
Meta Financial Group Inc.		16,165		848,339
NMI Holdings Inc., Class A^(a)		18,553		419,483
Northfield Bancorp. Inc.		35,003		600,651
Premier Financial Corp.		20,496		652,593
Provident Financial Services Inc.		25,534		599,283
Radian Group Inc.		21,978		499,340
TrustCo Bank Corp. NY		11,050		353,269
Washington Federal Inc.		15,477		531,016
WSFS Financial Corp.		11,259		577,699

				6,726,600

Trading Companies & Distributors — 3.2%
Beacon Roofing Supply Inc.^(a)		10,296		491,737
Boise Cascade Co.		7,997		431,678
DXP Enterprises Inc./TX^(a)		19,828		586,314
GMS Inc.^(a)		13,499		591,256
Rush Enterprises Inc., Class A		9,558		431,640
Titan Machinery Inc.^(a)		24,266		628,732
WESCO International Inc.^(a)		7,260		837,223

				3,998,580


Total Common Stocks — 98.2% (Cost: $116,939,921)				123,526,424


Short-Term Investments

Money Market Funds — 3.0%
BlackRock Cash Funds: Institutional, SL Agency Shares, 0.05%^(c)(d)(e)		1,348,863		1,349,538
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.00%^(c)(d)		2,460,000		2,460,000

				3,809,538


Total Short-Term Investments — 3.0% (Cost: $3,809,538)				3,809,538


Total Investments in Securities — 101.2% (Cost: $120,749,459)				127,335,962

Other Assets, Less Liabilities — (1.2)%				(1,491,698	)


Net Assets — 100.0%			$	125,844,264

^(a)	Non-income producing security.

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

^(c)	Affiliate of the Fund.

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

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

The following are the specified benchmarks (plus or minus a range) used in determining the variable rate of interest:

The following table represents the individual long positions and related values of the equity securities underlying the total return swap with Goldman Sachs Bank USA as of September 30, 2021 expiration 2/27/2023.


	Shares		Value		% of Basket Value

Reference Entity — Long

Banks
Banc of California Inc.		276	$	5,103		0.7	%
Brookline Bancorp. Inc.		282		4,303		0.6
Columbia Banking System Inc.		518		19,679		2.7
CVB Financial Corp.		1,876		38,214		5.2
First BanCorp./Puerto Rico		9,740		128,081		17.3
Independent Bank Corp.		71		5,407		0.7
Old National Bancorp./IN		1,507		25,544		3.4
Pacific Premier Bancorp. Inc.		778		32,240		4.4
Preferred Bank/Los Angeles CA		3,609		240,648		32.5
S&T Bancorp. Inc.		91		2,682		0.4
Seacoast Banking Corp. of Florida		553		18,697		2.5
Simmons First National Corp.		1,460		43,158		5.8


				563,756


Insurance
Employers Holdings Inc.		394		15,559		2.1
Heritage Insurance Holdings Inc.		2,695		18,353		2.5
Horace Mann Educators Corp.		40		1,592		0.2
ProAssurance Corp.		2,082		49,510		6.7
Universal Insurance Holdings Inc.		2,051		26,745		3.6


				111,759


Multi-Utilities
Avista Corp.		285		11,149		1.5


Thrifts & Mortgage Finance
HomeStreet Inc.		818		33,661		4.5
Provident Financial Services Inc.		633		14,857		2.0
WSFS Financial Corp.		96		4,926		0.7


				53,444


Total Reference Entity — Long				740,108


Net Value of Reference Entity — Goldman Sachs Bank USA			$	740,108

The following table represents the individual long positions and related values of the equity securities underlying the total return swap with HSBC Bank PLC as of September 30, 2021 expiration 2/10/2023.


	Shares		Value		% of Basket Value

Reference Entity — Long

Banks
Allegiance Bancshares Inc.		60	$	2,289		0.3	%
BancorpSouth Bank		1,021		30,405		3.4
BankUnited Inc.		606		25,343		2.8
Brookline Bancorp. Inc.		3,567		54,432		6.1
Central Pacific Financial Corp.		1,016		26,091		2.9
City Holding Co.		136		10,596		1.2
Customers Bancorp. Inc.^(a)		25		1,076		0.1
First Financial Bancorp.		2,308		54,030		6.1
Hanmi Financial Corp.		1,728		34,664		3.9
Heritage Financial Corp./WA		529		13,490		1.5
Hope Bancorp Inc.		1,778		25,674		2.9


	Shares		Value		% of Basket Value
Independent Bank Corp.		168	$	12,793		1.4
Investors Bancorp. Inc.		164		2,478		0.3
NBT Bancorp. Inc.		380		13,726		1.5
OFG Bancorp.		1,363		34,375		3.9
Old National Bancorp./IN		989		16,764		1.9
Pacific Premier Bancorp. Inc.		465		19,270		2.2
Preferred Bank/Los Angeles CA		1,901		126,759		14.2
S&T Bancorp. Inc.		563		16,592		1.9
Seacoast Banking Corp. of Florida		899		30,395		3.4
Simmons First National Corp.		986		29,146		3.3
Trustmark Corp.		360		11,599		1.3
United Community Banks Inc./GA		1,958		64,262		7.2


				656,249


Insurance
American Equity Investment Life Holding Co.		288		8,516		1.0
Heritage Insurance Holdings Inc.		3,291		22,412		2.5
Horace Mann Educators Corp.		1,730		68,837		7.7
Stewart Information Services Corp.		303		19,168		2.2


				118,933


Paper & Forest Products
Domtar Corp.^(a)		47		2,563		0.3


Real Estate Management & Development
RE/MAX Holdings Inc.		957		29,820		3.3


Specialty Retail
MarineMax Inc.^(a)		100		4,852		0.5


Thrifts & Mortgage Finance
HomeStreet Inc.		568		23,373		2.6
Meta Financial Group Inc.		444		23,301		2.6
TrustCo Bank Corp. NY		655		20,940		2.4
WSFS Financial Corp.		214		10,980		1.2


				78,594


Total Reference Entity — Long				891,011


Net Value of Reference Entity — HSBC Bank PLC			$	891,011

^(a)	Non-income producing security

The following table represents the individual long positions and related values of the equity securities underlying the total return swap with JPMorgan Chase Bank NA as of September 30, 2021 expiration 2/8/2023.


	Shares		Value		% of Basket Value

Reference Entity — Long

Banks
BancorpSouth Bank		261	$	7,773		1.8	%
Brookline Bancorp. Inc.		96		1,465		0.3
Central Pacific Financial Corp.		1,354		34,771		8.1
City Holding Co.		443		34,514		8.0
CVB Financial Corp.		679		13,831		3.2
First Financial Bancorp.		682		15,966		3.7
Hanmi Financial Corp.		1,836		36,830		8.6
Hope Bancorp Inc.		2,453		35,421		8.2
OFG Bancorp.		1,097		27,666		6.4
Old National Bancorp./IN		694		11,763		2.7
Pacific Premier Bancorp. Inc.		97		4,020		0.9


	Shares		Value		% of Basket Value
Preferred Bank/Los Angeles CA		1,275	$	85,017		19.7
Seacoast Banking Corp. of Florida		254		8,588		2.0
United Community Banks Inc./GA		259		8,500		2.0


				326,125


Equity Real Estate Investment Trusts (REITs)
Xenia Hotels & Resorts Inc.^(a)		338		5,996		1.4


Insurance
American Equity Investment Life Holding Co.		365		10,793		2.5
Employers Holdings Inc.		788		31,118		7.2
Horace Mann Educators Corp.		33		1,313		0.3


				43,224


Multi-Utilities
Avista Corp.		474		18,543		4.3


	Shares	Value		% of Basket Value

Paper & Forest Products
Domtar Corp.^(a)	26	$	1,418	0.3


Thrifts & Mortgage Finance
HomeStreet Inc.	130		5,350	1.3
TrustCo Bank Corp. NY	526		16,816	3.9
WSFS Financial Corp.	268		13,751	3.2


			35,917


Total Reference Entity — Long			431,223


Net Value of Reference Entity — JPMorgan Chase Bank NA		$	431,223

^(a)	Non-income producing security

Balances Reported in the Statements of Assets and Liabilities for Total Return Swaps

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

For the period ended September 30, 2021, the effect of derivative financial instruments in the Statements of Operations was as follows:

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

The following table presents the Fund’s derivative assets by counterparty net of amounts available for offset under an MNA and net of the related collateral received by the Fund:

^(a) The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to an MNA.

^(b) Net amount represents the net amount receivable from the counterparty in the event of default.

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”):

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.

Foreign Taxes: The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, capital gains on investments, or certain foreign currency transactions. All foreign taxes are recorded in accordance with the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which each Fund invests. These foreign taxes, if any, are paid by each Fund and are reflected in its Statements of Operations as follows: foreign taxes withheld at source are presented as a reduction of income, foreign taxes on securities lending income are presented as a reduction of securities lending income, foreign taxes on stock dividends are presented as “Other foreign taxes”, and foreign taxes on capital gains from sales of investments and foreign taxes on foreign currency transactions are included in their respective net realized gain (loss) categories. Foreign taxes payable or deferred as of September 30, 2021, if any, are disclosed in the Statements of Assets and Liabilities.

The Funds file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. The Funds may record a reclaim receivable based on collectability, which includes factors such as the jurisdiction’s applicable laws, payment history and market convention. The Statements of Operations includes tax reclaims recorded as well as professional and other fees, if any, associated with recovery of foreign withholding taxes.

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., futures contracts and swaps) 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.

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:

Generally, trading in foreign instruments is substantially completed each day at various times prior to the close of trading on the New York Stock Exchange (“NYSE”). Each business day, the Funds use current market factors supplied by independent pricing services to value certain foreign instruments (“Systematic Fair Value Price”). The Systematic Fair Value Price is designed to value such foreign securities at fair value as of the close of trading on the NYSE, which follows the close of the local markets.

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:

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.

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:

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.

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.

Swaps: Swap contracts are entered into to manage exposure to issuers, markets and securities. Such contracts are agreements between the Funds and a counterparty to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the OTC market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). Total return swaps are entered into by the iShares US Small Cap Value Factor ETF to obtain exposure to a security or market without owning such security or investing directly in such market or to exchange the risk/return of one security or market (e.g., fixed-income) with another security or market (e.g., equity or commodity prices) (equity risk, commodity price risk and/or interest rate risk).

Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments based on the total return (distributions plus capital gains/losses) of an underlying instrument, or basket or underlying instruments, in exchange for fixed or floating rate interest payments. If the total return of the instruments or index underlying the transaction exceeds or falls short of the offsetting fixed or floating interest rate obligation, the Fund receives payment from or makes a payment to the counterparty.

Certain total return swaps are designed to function as a portfolio of direct investments in long and short equity positions. This means that the Fund has the ability to trade in and out of these long and short positions within the swap and will receive the economic benefits and risks equivalent to direct investment in these positions, subject to certain adjustments due to events related to the counterparty. Benefits and risks include capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in the swap’s market value. The market value also includes interest charges and credits (“financing fees”) related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on a specified benchmark rate plus or minus a specified spread determined based upon the country and/or currency of the positions in the portfolio.

Positions within the swap and financing fees are reset periodically. During a reset, any unrealized appreciation (depreciation) on positions and accrued financing fees become available for cash settlement between the Fund and the counterparty. The amounts that are available for cash settlement are recorded as realized gains or losses in the Statements of Operations. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement. Certain swaps have no stated expiration and can be terminated by either party at any time.

Swap transactions involve, to varying degrees, elements of interest rate, credit and market risks in excess of the amounts recognized in the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.

Master Netting Arrangements: In order to define its contractual rights and to secure rights that will help mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement, and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty.

Cash collateral that has been pledged to cover obligations of the Funds and cash collateral received from the counterparty, if any, is reported separately in the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty is subject to a certain minimum transfer amount threshold before a transfer is required, which is determined at the close of business of the Funds. Any additional required collateral is delivered to/pledged by the Funds on the next business day. Typically, the counterparty is not permitted to sell, re-pledge or use cash and non-cash collateral it receives. A Fund generally agrees not to use non-cash collateral that it receives but may, absent default or certain other circumstances defined in the underlying ISDA Master Agreement, be permitted to use cash collateral received. In such cases, interest may be paid pursuant to the collateral arrangement with the counterparty. To the extent amounts due to the Funds from the counterparty are not fully collateralized, each Fund bears the risk of loss from counterparty non-performance. Likewise, to the extent the Funds have delivered collateral to a counterparty and stand ready to perform under the terms of their agreement with such counterparty, each Fund bears the risk of loss from a counterparty in the amount of the value of the collateral in the event the counterparty fails to return such collateral. Based on the terms of agreements, collateral may not be required for all derivative contracts.

For financial reporting purposes, each Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements, if any, in the Statements of Assets and Liabilities.

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 of the following Funds, 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:

Expense Waivers: The total of the investment advisory fee and any fund other expenses are a fund’s total annual operating expenses. For the iShares US Small Cap Value Factor ETF, BFA has contractually agreed to waive a portion of its management fee so that the Fund’s total annual fund operating expenses after the fee waiver will not exceed 0.20% through March 31, 2023.

This amount is included in investment advisory fees waived in the Statements of Operations. For the six months ended September 30, 2021, the amounts waived in investment advisory fees pursuant to this arrangement were as follows:

Distributor: BlackRock Investments, LLC, an affiliate of BFA, is the distributor for each Fund. Pursuant to the distribution agreement, BFA is responsible for any fees or expenses for distribution services provided to 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. 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 77% 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 81% 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 six months ended September 30, 2021, the Funds paid BTC the following amounts for securities lending agent services:

Officers and Trustees: Certain officers and/or trustees of the Trust are officers and/or trustees of BlackRock or its affiliates.

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

For the six months ended September 30, 2021, transactions executed by the Funds pursuant to Rule 17a-7 under the 1940 Act were as follows:

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.

For the six months ended September 30, 2021, purchases and sales of investments, excluding short-term investments and in-kind transactions, were as follows:

For the six months ended September 30, 2021, in-kind transactions were as follows:

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 September 30, 2021, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

As of March 31, 2021, the Funds had non-expiring capital loss carryforwards available to offset future realized capital gains as follows:

As of September 30, 2021, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

In the normal course of business, 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: An outbreak of respiratory disease caused by a novel coronavirus has developed into a global pandemic and has resulted in closing borders, quarantines, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this pandemic, and other global health crises that may arise in the future, could affect the economies of many nations, individual companies and the market in general in ways that cannot necessarily be foreseen at the present time.

This pandemic may result in substantial market volatility and may adversely impact the prices and liquidity of a fund’s investments. The duration of this pandemic and its effects cannot be determined with certainty.

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

Counterparty Credit Risk: The 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 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 securities within a single or limited number of market sectors. When a Fund concentrates its investments in this manner, it assumes the risk that economic, regulatory, political and social conditions affecting such sectors may have a significant impact on the fund and could affect the income from, or the value or liquidity of, the fund’s portfolio. Investment percentages in specific sectors are presented in the Schedule of Investments.

LIBOR Transition Risk: The United Kingdom’s Financial Conduct Authority announced a phase out of the London Interbank Offered Rate (“LIBOR”). Although many LIBOR rates will be phased out by the end of 2021, a selection of widely used USD LIBOR rates will continue to be published through June 2023 in order to assist with the transition. The 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.

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.

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.

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.

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

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

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

In addition, to the extent that any of the comparison funds included in the Peer Group, excluding iShares funds, track the same index as the Fund, Broadridge also provided, and the Board reviewed, a comparison of the Fund’s performance for the one-year, three-year, five-year, ten-year, and since inception periods, as applicable, and for the quarter ended December 31, 2020, to that of relevant comparison fund(s) for the same periods. The Board noted that the Fund seeks to track its specified underlying index and that, during the year, the Board received periodic reports on the Fund’s short- and longer-term performance in comparison with its underlying index. Such periodic comparative performance information, including additional detailed information as requested by the Board, was also considered. The Board noted that the Fund generally performed in line with its underlying index over the relevant periods.

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

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

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

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

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

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

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

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

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

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

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

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

providers; risk management and oversight; legal and compliance services; and ability to meet applicable legal and regulatory requirements. The Independent Board Members requested, and BFA provided, such information as the Independent Board Members, with advice from independent counsel, deemed reasonably necessary to evaluate the Advisory Agreement. At meetings on May 7, 2021 and May 14, 2021, a committee composed of all of the Independent Board Members (the “15(c) Committee”), with independent counsel, met with management and reviewed and discussed information provided in response to initial requests of the 15(c) Committee and/or its independent counsel, and requested certain additional information, which management agreed to provide. At a meeting held on June 15-16, 2021, the Board, including the Independent Board Members, reviewed the additional information provided by management in response to these requests.

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

Costs of Services Provided to the Fund and Profits Realized by BFA and its Affiliates: The Board reviewed information about the estimated profitability to BlackRock in managing the Fund, based on the fees payable to BFA and its affiliates (including fees under the Advisory Agreement), and other sources of revenue and expense to BFA and its affiliates from the Fund’s operations for the last calendar year. The Board reviewed BlackRock’s methodology for calculating estimated profitability of the iShares funds, noting that the 15(c) Committee and the Board had focused on the methodology and profitability presentation. The Board recognized that profitability may be affected by numerous factors, including, among other things, fee waivers by BFA, the types of funds managed, expense allocations and business mix. The Board thus recognized that calculating and comparing profitability at individual fund levels is challenging. The Board discussed with management the sources of direct and ancillary revenue,

including the revenues to BTC, a BlackRock affiliate, from securities lending by the Fund. The Board also discussed BFA’s estimated profit margin as reflected in the Fund’s profitability analysis and reviewed information regarding potential economies of scale (as discussed below).

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

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.

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

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

The 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.

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

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

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

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

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


				Average Annual Total Returns						Cumulative Total Returns
	6 Months			1 Year			Since Inception			1 Year			Since Inception
Fund NAV		11.66	%		27.52	%		24.91	%		27.52	%		46.44	%
Fund Market		11.68			27.40			24.97			27.40			46.57
Index		11.78			27.75			25.14			27.75			46.82


Actual							Hypothetical 5% Return

	Beginning Account Value (04/01/21)		Ending Account Value (09/30/21)		Expenses Paid During the Period	^(a)		Beginning Account Value (04/01/21)		Ending Account Value (09/30/21)		Expenses Paid During the Period	^(a)	Annualized Expense Ratio
$	1,000.00	$	1,116.60	$	1.33		$	1,000.00	$	1,023.80	$	1.27		0.25	%


				Average Annual Total Returns						Cumulative Total Returns
	6 Months			1 Year			Since Inception			1 Year			Since Inception
Fund NAV		4.95	%		38.24	%		10.51	%		38.24	%		18.70	%
Fund Market		4.87			38.23			10.60			38.23			18.86
Index		5.01			38.56			10.70			38.56			19.00


Actual							Hypothetical 5% Return

	Beginning Account Value (04/01/21)		Ending Account Value (09/30/21)		Expenses Paid During the Period	^(a)		Beginning Account Value (04/01/21)		Ending Account Value (09/30/21)		Expenses Paid During the Period	^(a)	Annualized Expense Ratio
$	1,000.00	$	1,049.50	$	1.28		$	1,000.00	$	1,023.80	$	1.27		0.25	%


				Cumulative Total Returns
	6 Months			Since Inception
Fund NAV		(0.68	)%		55.98	%
Fund Market		(0.85	)		56.08
Index		(0.55	)		56.77


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


	Page
The Markets in Review		2
Fund Summary		4
About Fund Performance		7
Shareholder Expenses		7
Schedules of Investments		8
Financial Statements
Statements of Assets and Liabilities		22
Statements of Operations		23
Statements of Changes in Net Assets		24
Financial Highlights		26
Notes to Financial Statements		29
Board Review and Approval of Investment Advisory Contract		37
Supplemental Information		41
General Information		42
Glossary of Terms Used in this Report		43


Fund Summary as of September 30, 2021		iShares^® Factors US Growth Style ETF


Security	Percent of Total Investments	^(a)
Apple Inc.	11.9	%
Microsoft Corp.	11.1
Amazon.com Inc.	6.3
Facebook Inc., Class A	2.7
AbbVie Inc.	2.1
Louisiana-Pacific Corp.	2.1
Booz Allen Hamilton Holding Corp.	2.0
QUALCOMM Inc.	2.0
MSCI Inc.	1.8
NVIDIA Corp.	1.8


4		2 0 2 1 I S H A R E S S E M I - 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 September 30, 2021		iShares^® Factors US Value Style ETF


Fund Summary as of September 30, 2021		iShares^® US Small Cap Value Factor ETF


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


Affiliated Issuer	Value at 03/31/21		Purchases at Cost		Proceeds from Sales			Net Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Value at 09/30/21		Shares Held at 09/30/21		Income			Capital Gain Distributions from Underlying Funds
BlackRock Cash Funds: Institutional, SL Agency Shares	$	127,035	$	—	$	(107,144	)^(a)	$	1	$	—	$	19,892		19,882	$	736	^(b)	$	—


	Level 1		Level 2		Level 3		Total
Investments
Assets
Common Stocks	$	5,390,917	$	—	$	—	$	5,390,917
Money Market Funds		19,892		—		—		19,892

	$	5,410,809	$	—	$	—	$	5,410,809


Description	Number of Contracts		Expiration Date		Notional Amount (000)		Value/ Unrealized Appreciation (Depreciation)
Long Contracts
E-Mini Financial Select Sector Index		1		12/17/21	$	116	$	(2,115	)
Russell 2000 E-Mini Index		2		12/17/21		220		(4,500	)

							$	(6,615	)


Reference Entity	Payment Frequency	Counterparty^(a)		Termination Date		Net Notional		Accrued Unrealized Appreciation (Depreciation)			Net Value of Reference Entity		Gross Notional Amount Net Asset Percentage
Equity Securities Long	Monthly		Goldman Sachs Bank USA^(b)		02/27/23	$	699,041	$	49,891	^(c)	$	740,108		0.6	%
	Monthly		HSBC Bank PLC^(d)		02/10/23		869,763		46,238	^(e)		891,011		0.7
	Monthly		JPMorgan Chase Bank NA^(f)		02/08/23		409,341		35,150	^(g)		431,223		0.3

								$	131,279		$	2,062,342


	(b)	(d)	(f)
Range:	65 basis points	65 basis points	65 basis points
Benchmarks:	USD - 1D Overnight Fed Funds Effective Rate	USD - 1D Overnight Bank Funding Rate	USD - 1D Overnight Bank Funding Rate
	(FEDL01)	(OBFR01)	(OBFR01)


	Premiums Paid		Premiums Received		Unrealized Appreciation		Unrealized Depreciation
Total Return Swaps		$—		$—		$131,279		$—


	Equity Contracts
Assets — Derivative Financial Instruments
Swaps — OTC
Unrealized appreciation on OTC swaps; Swap premiums paid	$	131,279

Liabilities — Derivative Financial Instruments
Futures contracts
Unrealized depreciation on futures contracts^(a)	$	6,615


	Equity Contracts
Net Realized Gain (Loss) from:
Futures contracts	$	8,447
Swaps		(138,638	)

	$	(130,191	)

Net Change in Unrealized Appreciation (Depreciation) on:
Futures contracts	$	(6,615)
Swaps		448,582

	$	441,967


Futures contracts:
Average notional value of contracts — long	$	187,911
Total return swaps:
Average notional value	$	4,629,489


	Assets		Liabilities
Derivative Financial Instruments:
Futures contracts	. $	—	$	6,615
Swaps - OTC^(a)		131,279		—

Total derivative assets and liabilities in the Statement of Assets and Liabilities		131,279		6,615
Derivatives not subject to a Master Netting Agreement or similar agreement (“MNA”)		—		(6,615	)

Total derivative assets and liabilities subject to an MNA		131,279		—


Counterparty		Derivative Assets Subject to an MNA by Counterparty		Derivatives Available for Offset	^(a)		Non-Cash Collateral Received		Cash Collateral Received		Net Amount of Derivative Assets	^(b)
Goldman Sachs Bank USA	$	49,891	$	—		$	—	$	—	$	49,891
HSBC Bank PLC		46,238		—			—		—		46,238
JPMorgan Chase Bank NA		35,150		—			—		—		35,150

	$	131,279	$	—		$	—	$	—	$	131,279


	iShares Factors US Growth Style ETF		iShares Factors US Value Style ETF		iShares US Small Cap Value Factor ETF

ASSETS
Investments in securities, at value (including securities on loan)^(a):
Unaffiliated^(b)	$	5,390,917	$	7,087,507	$	123,526,424
Affiliated^(c)		19,892		135,712		3,809,538
Cash		6,612		2,087		70
Cash pledged:
Futures contracts		—		—		22,000
Receivables:
Investments sold		—		—		845,051
Securities lending income — Affiliated		9		21		221
Capital shares sold		—		—		252,858
Dividends		762		15,288		106,553
Unrealized appreciation on:
OTC swaps		—		—		131,279

Total assets		5,418,192		7,240,615		128,693,994


LIABILITIES
Collateral on securities loaned, at value		19,910		125,780		1,349,732
Payables:
Investments purchased		—		—		1,475,893
Variation margin on futures contracts		—		—		3,947
Investment advisory fees		1,197		1,539		20,158

Total liabilities		21,107		127,319		2,849,730


NET ASSETS	$	5,397,085	$	7,113,296	$	125,844,264


NET ASSETS CONSIST OF:
Paid-in capital	$	3,850,364	$	5,734,809	$	116,882,696
Accumulated earnings		1,546,721		1,378,487		8,961,568

NET ASSETS	$	5,397,085	$	7,113,296	$	125,844,264


Shares outstanding		150,000		250,000		4,200,000

Net asset value	$	35.98	$	28.45	$	29.96

Shares authorized		Unlimited		Unlimited		Unlimited

Par value		None		None		None


^(a) Securities loaned, at value	$	18,397	$	119,526	$	1,293,270
^(b) Investments, at cost — Unaffiliated	$	5,444,457	$	6,801,784	$	116,939,921
^(c) Investments, at cost — Affiliated	$	19,892	$	135,712	$	3,809,538


		iShares Factors US Growth Style ETF			iShares Factors US Value Style ETF			iShares US Small Cap Value Factor ETF


INVESTMENT INCOME
Dividends — Unaffiliated	$	27,031		$	106,873		$	1,191,462
Dividends — Affiliated		—			—			256
Securities lending income — Affiliated — net		736			765			1,281
Foreign taxes withheld		—			(101	)		(937	)

Total investment income		27,767			107,537			1,192,062


EXPENSES
Investment advisory fees		6,822			9,176			183,282

Total expenses		6,822			9,176			183,282

Less:
Investment advisory fees waived		—			—			(62,983	)

Total expenses after fees waived		6,822			9,176			120,299

Net investment income		20,945			98,361			1,071,763


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — Unaffiliated		98,274			311,407			(457,994	)
Investments — Affiliated		1			4			(194	)
In-kind redemptions — Unaffiliated		1,521,872			1,143,204			2,477,831
Futures contracts		—			—			8,447
Swaps		—			—			(138,638	)

Net realized gain		1,620,147			1,454,615			1,889,452

Net change in unrealized appreciation (depreciation) on:
Investments — Unaffiliated		(1,055,390	)		(1,215,933	)		(4,515,167	)
Futures contracts		—			—			(6,615	)
Swaps		—			—			448,582

Net change in unrealized appreciation (depreciation)		(1,055,390	)		(1,215,933	)		(4,073,200	)

Net realized and unrealized gain (loss)		564,757			238,682			(2,183,748	)

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS	$	585,702		$	337,043		$	(1,111,985	)


	iShares Factors US Growth Style ETF						iShares Factors US Value Style ETF
	Six Months Ended 09/30/21 (unaudited)			Year Ended 03/31/21			Six Months Ended 09/30/21 (unaudited)			Year Ended 03/31/21

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	20,945		$	42,898		$	98,361		$	139,344
Net realized gain (loss)		1,620,147			338,458			1,454,615			(168,124	)
Net change in unrealized appreciation (depreciation)		(1,055,390	)		1,876,990			(1,215,933	)		2,943,489

Net increase in net assets resulting from operations		585,702			2,258,346			337,043			2,914,709


DISTRIBUTIONS TO SHAREHOLDERS^(a)
Decrease in net assets resulting from distributions to shareholders		(23,394	)		(43,655	)		(91,828	)		(158,652	)


CAPITAL SHARE TRANSACTIONS
Net increase (decrease) in net assets derived from capital share transactions		(17,022	)		(1,416,764	)		4,659			614,979


NET ASSETS
Total increase in net assets		545,286			797,927			249,874			3,371,036
Beginning of period		4,851,799			4,053,872			6,863,422			3,492,386

End of period	$	5,397,085		$	4,851,799		$	7,113,296		$	6,863,422


	iShares US Small Cap Value Factor ETF
		Six Months Ended 09/30/21 (unaudited)			Period From 10/27/20 to 03/31/21	^(a)

INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	1,071,763		$	374,760
Net realized gain		1,889,452			5,494,147
Net change in unrealized appreciation (depreciation)		(4,073,200	)		10,784,367

Net increase (decrease) in net assets resulting from operations		(1,111,985	)		16,653,274


DISTRIBUTIONS TO SHAREHOLDERS^(b)
Decrease in net assets resulting from distributions to shareholders		(1,635,804	)		(394,188	)


CAPITAL SHARE TRANSACTIONS
Net increase in net assets derived from capital share transactions		15,531,721			96,801,246


NET ASSETS
Total increase in net assets		12,783,932			113,060,332
Beginning of period		113,060,332			—

End of period	$	125,844,264		$	113,060,332


	iShares Factors US Growth Style ETF
		Six Months Ended 09/30/21 (unaudited)			Year Ended 03/31/21			Period From 01/14/20 to 03/31/20	^(a)


Net asset value, beginning of period	$	32.35		$	20.27		$	24.96

Net investment income^(b)		0.14			0.25			0.06
Net realized and unrealized gain (loss)^(c)		3.63			12.08			(4.69	)

Net increase (decrease) from investment operations		3.77			12.33			(4.63	)


Distributions^(d)
From net investment income		(0.14	)		(0.25	)		(0.06	)
Return of capital		—			—			(0.00	)^(e)

Total distributions		(0.14	)		(0.25	)		(0.06	)


Net asset value, end of period	$	35.98		$	32.35		$	20.27


Total Return^(f)
Based on net asset value		11.66	%^(g)		61.00	%		(18.54	)%^(g)


Ratios to Average Net Assets
Total expenses		0.25	%^(h)		0.25	%		0.25	%^(h)

Net investment income		0.77	%^(h)		0.88	%		1.20	%^(h)


Supplemental Data
Net assets, end of period (000)	$	5,397		$	4,852		$	4,054

Portfolio turnover rate⁽ⁱ⁾		43	%^(g)		103	%		13	%^(g)


	iShares Factors US Value Style ETF
		Six Months Ended 09/30/21 (unaudited)			Year Ended 03/31/21			Period From 01/14/20 to 03/31/20	^(a)


Net asset value, beginning of period	$	27.45		$	17.46		$	25.09

Net investment income^(b)		0.39			0.51			0.15
Net realized and unrealized gain (loss)^(c)		0.98			10.06			(7.65	)

Net increase (decrease) from investment operations		1.37			10.57			(7.50	)


Distributions^(d)
From net investment income		(0.37	)		(0.58	)		(0.13	)

Total distributions		(0.37	)		(0.58	)		(0.13	)


Net asset value, end of period	$	28.45		$	27.45		$	17.46


Total Return^(e)
Based on net asset value		4.95	%^(f)		61.25	%		(29.87	)%^(f)


Ratios to Average Net Assets
Total expenses		0.25	%^(g)		0.25	%		0.25	%^(g)

Net investment income		2.68	%^(g)		2.29	%		3.09	%^(g)


Supplemental Data
Net assets, end of period (000)	$	7,113		$	6,863		$	3,492

Portfolio turnover rate^(h)		60	%^(f)		148	%		16	%^(f)


	iShares US Small Cap Value Factor ETF
		Six Months Ended 09/30/21 (unaudited	)		Period From 10/27/20 to 03/31/21	^(a)


Net asset value, beginning of period	$	30.56		$	19.56

Net investment income^(b)		0.27			0.20
Net realized and unrealized gain (loss)^(c)		(0.47	)		10.94

Net increase (decrease) from investment operations		(0.20	)		11.14


Distributions^(d)
From net investment income		(0.40	)		(0.14	)

Total distributions		(0.40	)		(0.14	)


Net asset value, end of period	$	29.96		$	30.56


Total Return^(e)
Based on net asset value		(0.68	)%^(f)		57.05	%^(f)


Ratios to Average Net Assets
Total expenses		0.30	%^(g)		0.30	%^(g)

Total expenses after fees waived		0.20	%^(g⁾		0.20	%^(g)

Net investment income		1.75	%^(g)		1.74	%^(g)


Supplemental Data
Net assets, end of period (000)	$	125,844		$	113,060

Portfolio turnover rate^(h)		10	%^(f)		14	%^(f)


iShares ETF		Diversification Classification
Factors US Growth Style		Non-diversified
Factors US Value Style		Non-diversified
US Small Cap Value Factor		Diversified



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

Factors US Growth Style
J.P. Morgan Securities LLC	$	18,397	$	18,397		$	—	$	—

Factors US Value Style
Citigroup Global Markets, Inc.	$	60,968	$	60,968		$	—	$	—
J.P. Morgan Securities LLC		35,260		35,260			—		—
UBS AG		23,298		23,298			—		—

	$	119,526	$	119,526		$	—	$	—

US Small Cap Value Factor
BNP Paribas SA	$	902,863	$	902,863		$	—	$	—
Citigroup Global Markets, Inc.		328,538		328,538			—		—
Goldman Sachs & Co. LLC		61,869		61,869			—		—

	$	1,293,270	$	1,293,270		$	—	$	—


iShares ETF	Investment Advisory Fee
Factors US Growth Style	0.25	%
Factors US Value Style	0.25
US Small Cap Value Factor	0.30


iShares ETF	Amounts waived
US Small Cap Value Factor	$	62,983