The Markets in Review

Dear Shareholder,

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

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

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

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

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

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

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

Sincerely,

LOGO

Rob Kapito

President, BlackRock, Inc.

LOGO

Rob Kapito

President, BlackRock, Inc.


Total Returns as of October 31, 2021

	6-Month	12-Month
U.S. large cap equities (S&P 500^® Index)	10.91%	42.91%
U.S. small cap equities (Russell 2000^® Index)	1.85	50.80
International equities (MSCI Europe, Australasia, Far East Index)	4.14	34.18
Emerging market equities (MSCI Emerging Markets Index)	(4.87)	16.96
3-month Treasury bills (ICE BofA 3-Month U.S. Treasury Bill Index)	0.01	0.06
U.S. Treasury securities (ICE BofA 10-Year U.S. Treasury Index)	1.59	(4.77)
U.S. investment grade bonds (Bloomberg U.S. Aggregate Bond Index)	1.06	(0.48)
Tax-exempt municipal bonds (S&P Municipal Bond Index)	0.33	2.76
U.S. high yield bonds (Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index)	2.36	10.53
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

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

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

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

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

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

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

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

The iShares CMBS ETF (the “Fund”) seeks to track the investment results of an index composed of investment-grade commercial mortgage-backed securities, as represented by the Bloomberg U.S. CMBS (ERISA Only) Index (the “Index”) (formerly the Bloomberg Barclays U.S. CMBS (ERISA Only) Index). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

The inception date of the Fund was 2/14/12. The first day of secondary market trading was 2/16/12.

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 13 for more information.

Commercial mortgage-backed securities (“CMBS”) advanced modestly for the reporting period, as rising longer-term bond yields drove CMBS prices lower. However, the annual income from CMBS offset modest price declines.

From a supply and demand perspective, strong investor demand for yield supported CMBS, which have higher yields than U.S. Treasuries to compensate for the additional credit risk. Issuance was brisk during the first half of 2021, although the composition of issuance changed markedly. Bridge loans, which are loans intended to provide short-term financing for budget gaps, and single-asset, single-buyer loans drove issuance, while conduit loans, which pool borrowers to create securitized loans, became a much smaller portion of overall lending.

The credit environment improved significantly during the reporting period, as the commercial mortgage market continued to recover from the disruption of the coronavirus pandemic. The delinquency rate for CMBS loans declined sharply in every borrower segment, as policies like loan forbearance and pandemic relief for businesses early in the reporting period reduced credit distress, while the economic recovery helped restore the financial strength of many businesses.

The sectors hardest hit by the pandemic, including lodging and retail, continued to have the highest delinquency rates, but the rate of late payments also fell the most in those sectors. However, forbearance, loan modifications, and pandemic relief only forestalled credit stress, prompting Fed Chairman Jerome Powell to warn of the potential for loan defaults that could result from possible long-term shifts in demand for retail, lodging, and office space.

From a credit perspective, non-rated CMBS were the largest contributors to the Index’s return while the highest-rated lowest-yielding bonds detracted slightly from the Index’s performance. Intermediate-term bonds, which represented 90% of the Index on average, drove performance from a maturity perspective.

The iShares GNMA Bond ETF (the “Fund”) seeks to track the investment results of an index composed of mortgage-backed pass-through securities guaranteed by the Government National Mortgage Association (GNMA or Ginnie Mae), as represented by the Bloomberg U.S. GNMA Bond Index (the “Index”) (formerly the Bloomberg Barclays U.S. GNMA Bond Index). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

The inception date of the Fund was 2/14/12. The first day of secondary market trading was 2/16/12.

Mortgage-backed securities (“MBS”) guaranteed by the Government National Mortgage Association (“GNMA”) declined for the reporting period. During the reporting period, the 10-year U.S. Treasury bond yield, an important barometer for mortgage lending rates, increased from 0.88% to 1.55%. However, the average interest rate for a 30-year fixed-rate conforming mortgage increased by a smaller amount — from 2.81% at the beginning of the reporting period to 3.14% at the end of the reporting period. Rising interest rates typically lead to lower prices on fixed-rate bonds, including GNMA MBS, and this inverse relationship contributed to the Index’s overall decline.

GNMA issuance increased substantially during the reporting period amid strong growth in the mortgage market. The Fed’s mortgage purchasing program and elevated sales of new and existing homes were key sources of demand for MBS. COVID-19 relief policies, such as a moratorium on foreclosures and loan forbearance, also supported the mortgage market, in which loan delinquency fell sharply from a relatively high level.

Interest rates on mortgages began to increase in January 2021, which led to a surge in refinancing activity as homeowners sought to lock in historically low interest rates. Interest rates rose steadily before falling again during the summer, spurring another wave of refinancing until rising interest rates sharply curtailed mortgage refinancing. While the increase in interest rates decreased the price of existing MBS, it also decreased prepayment risk, which can negatively affect the value of the Index. Reflecting the decreased refinancing activity, the approximate weighted average life of the mortgages represented by the Index rose from 3.9 years to 4.4 years. Mortgages with a weighted average life between 3-7 years, which represented approximately 82% of the Index on average, detracted the most from the Index’s return.

The iShares Treasury Floating Rate Bond ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. Treasury floating rate bonds, as represented by the Bloomberg U.S. Treasury Floating Rate Bond Index (the “Index”) (formerly the Bloomberg Barclays U.S. Treasury Floating Rate Bond Index). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

The inception date of the Fund was 2/3/14. The first day of secondary market trading was 2/4/14.

Investment-grade floating-rate bonds posted a modestly positive performance for the reporting period. The Index is composed of U.S. dollar-denominated bonds with interest rates that reset periodically. As a consequence of this reset, floating-rate bonds typically advance in a rising interest rate environment, as their yields reset at higher levels. However, while yields rose for many bonds, particularly long- and intermediate-term bonds, most floating-rate bonds are benchmarked to short-term interest rates. The Fed kept short-term interest rates unchanged during the reporting period, and yields of U.S. Treasuries dated less than one year declined slightly, which supported the Index’s performance. Additionally, strong investor demand for fixed-income instruments with variable yields that rise with interest rates also benefited the Index’s return.

Measures that are commonly used as a reference for resetting the yields of floating-rate bonds, such as the London Interbank Offered Rate and the Secured Overnight Financing Rate, declined slightly. Consequently, the overall impact of the interest rate environment varied depending on the particular measures used to reset yields, and the majority of the Index’s return came from interest earned on the bonds in the Index rather than price appreciation.

Corporate and government-related bonds both contributed to the Index’s performance, with corporate bonds driving the majority of the gain. Among corporate bonds, banks, which represented approximately 51% of the Index on average for the reporting period, were the leading contributors to the Index’s return. Banks are typically the largest issuers of floating-rate corporate bonds because they help reduce sensitivity to changing interest rates. Strong balance sheets and diverse revenue streams led to improving balance sheets and robust investor demand for bank floating-rate bonds. Consumer cyclicals company bonds also advanced as automotive company debt gained despite production cuts due to a semiconductor shortage.

The iShares U.S. Treasury Bond ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. Treasury bonds, as represented by the ICE U.S. Treasury Core Bond Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

The inception date of the Fund was 2/14/12. The first day of secondary market trading was 2/16/12.

On 3/1/2021 the Fund began to track the 4pm pricing variant of the ICE U.S. Treasury Core Bond Index. Index data on and after 3/1/2021 is for the 4pm pricing variant of the ICE U.S. Treasury Core Bond Index. Historical index data from 7/1/2016 through 2/28/2021 is for the 3pm pricing variant of the ICE U.S. Treasury Core Bond Index. Historical index data prior to 7/1/2016 is for the Barclays U.S. Treasury Bond Index.

Intermediate- and long-term U.S. Treasury prices declined, and their yields rose, during the reporting period in response to rising inflation. Inflation, as measured by the Consumer Price Index, increased to a 31-year high of 6.2% year-over-year as of October 2021, as disruptions related to the coronavirus pandemic led to a combination of pent-up consumer demand and supply-chain shortages. Specifically, costs linked to shelter, food, new vehicles, and energy drove the majority of price increases. Likewise, labor shortages and job resignations drove wage growth to a 40-year high, which added to inflationary pressure.

In addition to concerns about the possibility of longer-term inflation, U.S. Treasury bond yields increased following the Fed’s announcement that it plans to begin scaling back its bond-buying program as early as November 2021, with the goal of winding down the program entirely by mid-year 2022. The monthly bond-buying program, which provides liquidity to markets, has been one of the Fed’s key initiatives for providing support to the U.S. economy during the pandemic. The Fed also signaled the possibility of raising interest rates in 2022.

Massive issuance of U.S. Treasuries to finance the second largest, annual federal budget deficit, following record issuance in 2020, raised concerns about the market’s ability to absorb monthly auctions of U.S. Treasuries without higher interest rates. Growing revenue from income tax late in the reporting period allowed the U.S. Treasury to set expectations for smaller but still substantial auctions. In this environment, intermediate- and long-term U.S. Treasury yields increased more than those of shorter-term maturities. In contrast, yields of two- to three-year U.S. Treasury bonds declined slightly during the reporting period.

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	Par (000)		Value

Collaterized Mortgage Obligations

Mortgage-Backed Securities — 68.5%
Banc of America Commercial Mortgage Trust
Series 2016-UB10, Class A4, 3.17%, 07/15/49 (Call 04/15/26)	$	800	$	849,000
Series 2016-UB10, Class B, 3.79%, 07/15/49 (Call 05/15/26)		250		265,855
Series 2017-BNK3, Class A3, 3.31%, 02/15/50 (Call 11/15/26)		1,365		1,452,887
Series 2017-BNK3, Class A4, 3.57%, 02/15/50 (Call 01/15/27)		1,000		1,088,194
Series 2017-BNK3, Class B, 3.88%, 02/15/50 (Call 01/15/27)^(a)		830		897,862
BANK
Series 2017-BNK4, Class AS, 3.78%, 05/15/50 (Call 03/15/27)		1,500		1,622,228
Series 2017-BNK4, Class ASB, 3.42%, 05/15/50 (Call 10/15/26)		300		316,977
Series 2017-BNK4, Class C, 4.37%, 05/15/50 (Call 03/15/27)^(a)		485		524,655
Series 2017-BNK5, Class A4, 3.13%, 06/15/60 (Call 05/15/27)		1,960		2,085,932
Series 2017-BNK7, Class A5, 3.44%, 09/15/60 (Call 09/15/27)		220		239,116
Series 2017-BNK7, Class B, 3.95%, 09/15/60 (Call 09/15/27)		500		539,227
Series 2017-BNK8, Class A3, 3.23%, 11/15/50 (Call 10/15/27)		1,000		1,069,197
Series 2017-BNK8, Class AS, 3.73%, 11/15/50 (Call 11/15/27)		1,000		1,089,656
Series 2018-BN10, Class A5, 3.69%, 02/15/61 (Call 01/15/28)		1,500		1,651,610
Series 2018-BN10, Class C, 4.16%, 02/15/61 (Call 02/15/28)^(a)		800		855,614
Series 2018-BN14, Class A3, 3.97%, 09/15/60 (Call 07/15/28)		600		666,346
Series 2018-BN14, Class AS, 4.48%, 09/15/60 (Call 09/15/28)^(a)		500		569,020
Series 2018-BN14, Class B, 4.58%, 09/15/60 (Call 09/15/28)^(a)		750		850,661
Series 2019-BN16, Class AS, 4.27%, 02/15/52 (Call 01/15/29)		262		296,999
Series 2019-BN18, Class A2, 3.47%, 05/15/62 (Call 05/15/24)		830		872,014
Series 2019-BN19, Class A3, 2.93%, 08/15/61 (Call 05/15/29)		3,000		3,147,205
Series 2019-BN19, Class A3, 3.18%, 08/15/61 (Call 07/15/29)		497		535,715
Series 2019-BN20, Class A2, 2.76%, 09/15/62		500		518,185
Series 2019-BN20, Class A3, 3.01%, 09/15/62		1,000		1,065,927
Series 2019-BN20, Class B, 3.40%, 09/15/62^(a)		1,000		1,073,521
Series 2019-BN21, Class A4, 2.60%, 10/17/52 (Call 08/15/29)		2,000		2,065,940
Series 2019-BN21, Class A5, 2.85%, 10/17/52 (Call 09/15/29)		1,500		1,581,920
Series 2019-BN21, Class B, 3.21%, 10/17/52 (Call 10/15/29)^(a)		1,000		1,054,047
Series 2019-BN22, Class A3, 2.73%, 11/15/62 (Call 09/15/29)		1,000		1,040,621


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Series 2019-BN22, Class A4, 2.98%, 11/15/62 (Call 10/15/29)	$	820	$	871,915
Series 2019-BN24, Class ASB, 2.93%, 11/15/62 (Call 03/15/29)		1,000		1,059,960
Series 2019-BNK16, Class A4, 4.01%, 02/15/52 (Call 01/15/29)		2,100		2,366,728
Series 2020, Class A5, 2.65%, 01/15/63 (Call 01/15/30)		1,000		1,039,512
Series 2020-BN25, Class A3, 2.39%, 01/15/63 (Call 01/15/27)		1,000		1,016,969
Series 2020-BN26, Class B, 2.91%, 03/15/63 (Call 03/15/30)^(a)		250		260,466
Series 2020-BN27, Class AS, 2.55%, 04/15/63 (Call 03/15/30)		1,000		1,026,205
Series 2020-BN28, Class A4, 1.84%, 03/15/63 (Call 09/15/30)		500		487,841
Series 2020-BN29, Class C, 3.03%, 11/15/53 (Call 12/15/30)^(a)		520		522,468
Series 2021-BN32, Class AS, 2.64%, 04/15/54		2,000		2,077,423
Series 2021-BN34, Class A5, 2.44%, 06/15/63 (Call 06/15/31)		244		249,158
Series 2021-BN35, Class B, 2.53%, 06/15/64 (Call 07/15/31)		1,000		998,366
Series2017-BNK4, Class A4, 3.63%, 05/15/50 (Call 03/15/27)		1,000		1,092,407
Serise BN23, Class C, 3.62%, 12/15/52 (Call 12/15/29)^(a)		500		532,636
Barclays Commercial Mortgage Trust
Series 2019-C3, Class A4, 3.58%, 05/15/52 (Call 04/15/29)		1,746		1,923,583
Series 2019-C4, Class A5, 2.92%, 08/15/52 (Call 07/15/29)		2,000		2,115,124
Series 2019-C5, Class A2, 3.04%, 11/15/52 (Call 10/15/24)		678		705,307
Series 2019-C5, Class A4, 3.06%, 11/15/52 (Call 10/15/29)		2,000		2,137,300
BBCMS Mortgage Trust
BBCMS 2020-C7, Class AS, 2.44%, 04/15/53 (Call 03/15/30)		300		301,971
Series 2017-C1, Class A2, 3.19%, 02/15/50 (Call 02/15/22)		882		886,871
Series 2017-C1, Class A4, 3.67%, 02/15/50 (Call 02/15/27)		2,000		2,180,405
Series 2018-C2, Class A5, 4.31%, 12/15/51 (Call 12/15/28)		2,250		2,576,397
Series 2018-C2, Class C, 4.97%, 12/15/51 (Call 12/15/28)^(a)		250		285,408
Series 2020-C6, Class A4, 2.64%, 02/15/53 (Call 01/15/30)		3,000		3,114,083
Series 2020-C8, Class A5, 2.04%, 10/15/53 (Call 10/15/30)		1,000		990,210
BBCMS Trust
Class C, 2.84%, 07/15/54 (Call 06/15/31)		500		495,364
Series 2021-C10, Class A5, 2.49%, 07/15/54 (Call 06/15/31)		3,000		3,075,576
Series 2021-C10, Class AS, 2.68%, 07/15/54 (Call 06/15/31)		1,000		1,024,112
Series 2021-C10, Class B, 2.49%, 07/15/54 (Call 06/15/31)		1,000		1,000,111
Benchmark Mortgage Trust
BMARK 2020-B18 AM, Class AM, 2.34%, 07/15/53 (Call 07/11/30)		430		429,210
Series 2018-B1, Class A2, 3.57%, 01/15/51 (Call 01/15/23)		1,250		1,283,971
Series 2018-B1, Class A5, 3.67%, 01/15/51 (Call 12/15/27)^(a)		1,000		1,099,736
Series 2018-B1, Class AM, 3.88%, 01/15/51 (Call 12/15/27)^(a)		500		548,924
Series 2018-B2, Class A2, 3.66%, 02/15/51 (Call 12/15/24)		600		614,592
Series 2018-B2, Class A4, 3.61%, 02/15/51 (Call 11/15/27)		1,350		1,473,623
Series 2018-B2, Class A5, 3.88%, 02/15/51 (Call 01/15/28)^(a)		1,750		1,947,297


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Series 2018-B2, Class AS, 4.08%, 02/15/51 (Call 01/15/28)^(a)	$	1,000	$	1,109,759
Series 2018-B2, Class C, 4.20%, 02/15/51 (Call 02/15/28)^(a)		500		541,505
Series 2018-B3, Class A5, 4.03%, 04/10/51 (Call 02/10/28)		1,000		1,122,011
Series 2018-B4, Class A2, 3.98%, 07/15/51		478		498,305
Series 2018-B4, Class A5, 4.12%, 07/15/51^(a)		2,023		2,285,925
Series 2018-B4, Class ASB, 4.06%, 07/15/51^(a)		464		510,862
Series 2018-B4, Class C, 4.55%, 07/15/51^(a)		400		438,912
Series 2018-B5, Class A4, 4.21%, 07/15/51 (Call 07/15/28)		2,500		2,842,586
Series 2018-B5, Class AS, 4.42%, 07/15/51 (Call 07/15/28)		1,000		1,131,971
Series 2018-B5, Class B, 4.57%, 07/15/51 (Call 07/15/28)		500		568,386
Series 2018-B7, Class A4, 4.51%, 05/15/53 (Call 10/15/28)^(a)		1,000		1,158,547
Series 2018-B7, Class B, 4.86%, 05/15/53 (Call 11/15/28)^(a)		400		461,861
Series 2018-B8, Class A4, 3.96%, 01/15/52 (Call 07/15/28)		1,000		1,103,440
Series 2018-B8, Class A5, 4.23%, 01/15/52 (Call 12/15/28)		1,000		1,140,354
Series 2018-B8, Class AS, 4.53%, 01/15/52 (Call 12/15/28)^(a)		1,563		1,788,725
Series 2019-B10, Class AM, 3.98%, 03/15/62		600		666,916
Series 2019-B11, Class A5, 3.54%, 05/15/52 (Call 05/15/29)		1,000		1,100,310
Series 2019-B11, Class AS, 3.78%, 05/15/52 (Call 05/15/29)		500		549,786
Series 2019-B11, Class B, 3.96%, 05/15/52 (Call 05/15/29)^(a)		500		554,239
Series 2019-B13, Class AM, 3.18%, 08/15/57 (Call 10/15/29)		1,000		1,059,538
Series 2019-B13, Class C, 3.84%, 08/15/57 (Call 10/15/29)^(a)		500		530,612
Series 2019-B14, Class A5, 3.05%, 12/15/62 (Call 11/15/29)		500		533,509
Series 2019-B9, Class A5, 4.02%, 03/15/52 (Call 01/15/29)		1,000		1,127,547
Series 2019-B9, Class C, 4.97%, 03/15/52 (Call 01/15/29)^(a)		250		284,448
Series 2020-B16, Class A5, 2.73%, 02/15/53 (Call 01/15/30)		1,990		2,077,904
Series 2020-B16, Class AM, 2.94%, 02/15/53 (Call 01/15/30)^(a)		1,000		1,041,852
Series 2020-B17, Class C, 3.37%, 03/15/53 (Call 03/15/30)^(a)		250		259,074
Series 2020-B19, Class B, 2.35%, 09/15/53 (Call 09/15/30)		450		446,094
Series 2020-B20, Class B, 2.53%, 10/15/53 (Call 10/15/30)		500		505,562
Series 2020-B21, Class A5, 2.25%, 12/17/53 (Call 12/15/30)		500		494,566
Series 2020-B22, Class A5, 1.97%, 01/15/54 (Call 12/15/30)		1,000		983,460
Series 2020-IG1, Class A3, 2.69%, 09/15/43 (Call 01/15/30)		1,750		1,812,216
Series 2021-B23, Class AS, 2.27%, 02/15/54 (Call 02/15/31)		500		495,332
Series 2021-B24, Class A4, 2.26%, 03/15/54 (Call 01/15/31)		3,000		3,032,760
Series 2021-B25, Class A5, 2.58%, 04/15/54 (Call 04/15/31)		2,000		2,065,479
Series 2021-B25, Class ASB, 2.27%, 04/15/54 (Call 03/15/31)		650		660,400
Series 2021-B26, Class A5, 2.61%, 06/15/54		2,500		2,588,907
Series 2021-B26, Class AM, 2.83%, 06/15/54		500		520,313
Series 2021-B28, Class AS, 2.43%, 08/15/54^(a)		500		501,498


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Series 2021-B29, Class A5, 2.39%, 09/15/54 (Call 08/15/31)	$	830	$	842,884
Serise 2020-B17, Class A2, 2.21%, 03/15/53 (Call 03/15/25)		1,000		1,016,497
Serise 2020-B17, Class A5, 2.29%, 03/15/53 (Call 02/15/30)		1,000		1,011,902
CCUBS Commercial Mortgage Trust, Series 2017-C1, Class A4, 3.54%, 11/15/50 (Call 11/15/27)^(a)		1,510		1,646,108
CD Mortgage Trust
Series 2017-CD3, Class A4, 3.63%, 02/10/50 (Call 01/10/27)		230		250,404
Series 2017-CD3, Class AS, 3.83%, 02/10/50 (Call 01/10/27)		750		808,676
Series 2017-CD3, Class C, 4.55%, 02/10/50 (Call 01/10/27)^(a)		300		302,385
Series 2017-CD4, Class A4, 3.51%, 05/10/50 (Call 04/10/27)^(a)		1,000		1,084,641
Series 2017-CD5, Class A4, 3.43%, 08/15/50 (Call 07/15/27)		750		813,856
Series 2017-CD6, Class C, 4.27%, 11/13/50 (Call 11/13/27)^(a)		500		539,932
Series 2018-CD7, Class ASB, 4.21%, 08/15/51 (Call 03/15/28)		550		608,492
Series 2019-CD8, Class A4, 2.91%, 08/15/57 (Call 08/15/29)		1,000		1,054,342
CFCRE Commercial Mortgage Trust
Series 2016-C3, Class A3, 3.87%, 01/10/48 (Call 12/10/25)		500		541,449
Series 2016-C4, Class A4, 3.28%, 05/10/58		1,650		1,756,169
Series 2017-C8, Class ASB, 3.37%, 06/15/50 (Call 07/15/26)		1,000		1,056,374
Series 2017-C8, Class B, 4.20%, 06/15/50 (Call 05/15/27)^(a)		750		815,012
Citigroup Commercial Mortgage Trust
Series 20116-P4, Class A4, 2.90%, 07/10/49 (Call 07/10/26)		1,729		1,822,286
Series 2013-GC11, Class A3, 2.82%, 04/10/46 (Call 01/10/23)		811		829,773
Series 2013-GC11, Class AS, 3.42%, 04/10/46 (Call 04/10/23)		100		102,890
Series 2013-GC15, Class A4, 4.37%, 09/10/46 (Call 09/10/23)^(a)		750		792,479
Series 2014-GC19, Class A4, 4.02%, 03/10/47 (Call 01/10/24)		500		530,724
Series 2014-GC21, Class A5, 3.86%, 05/10/47		2,085		2,214,765
Series 2014-GC23, Class A4, 3.62%, 07/10/47 (Call 07/10/24)		750		795,135
Series 2014-GC23, Class AS, 3.86%, 07/10/47 (Call 07/10/24)		250		265,873
Series 2014-GC23, Class C, 4.43%, 07/10/47 (Call 07/10/24)^(a)		250		263,237
Series 2014-GC25, Class A4, 3.64%, 10/10/47 (Call 09/10/24)		1,000		1,065,397
Series 2014-GC25, Class AS, 4.02%, 10/10/47 (Call 09/10/24)		953		1,014,471
Series 2014-GC25, Class B, 4.35%, 10/10/47 (Call 10/10/24)^(a)		100		106,328
Series 2015-GC27, Class A5, 3.14%, 02/10/48 (Call 12/10/24)		1,190		1,248,864
Series 2015-GC29, Class C, 4.15%, 04/10/48 (Call 04/10/25)^(a)		250		265,158


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Series 2015-GC31, Class A4, 3.76%, 06/10/48 (Call 06/10/25)	$	750	$	809,344
Series 2015-GC33, Class A4, 3.78%, 09/10/58 (Call 09/10/25)		1,500		1,619,276
Series 2015-GC35, Class AAB, 3.61%, 11/10/48 (Call 04/10/25)		428		447,354
Series 2015-P1, Class A5, 3.72%, 09/15/48 (Call 07/15/25)		356		384,527
Series 2016-C1, Class A4, 3.21%, 05/10/49 (Call 05/10/26)		2,374		2,530,543
Series 2016-C2, Class A4, 2.83%, 08/10/49 (Call 08/10/26)		1,000		1,051,018
Series 2016-C3, Class A4, 3.15%, 11/15/49 (Call 10/15/26)		1,466		1,567,004
Series 2016-GC36, Class A4, 3.35%, 02/10/49 (Call 11/10/25)		1,000		1,050,558
Series 2016-P3, Class A3, 3.06%, 04/15/49 (Call 01/15/26)		1,500		1,558,942
Series 2016-P3, Class A4, 3.33%, 04/15/49 (Call 02/15/26)		75		79,960
Series 2016-P6, Class AS, 4.03%, 12/10/49 (Call 11/10/26)^(a)		1,000		1,077,130
Series 2017-C4, Class A3, 3.21%, 10/12/50 (Call 08/12/27)		1,000		1,061,342
Series 2017-P8, Class A3, 3.20%, 09/15/50 (Call 07/15/27)		885		944,847
Series 2017-P8, Class AS, 3.79%, 09/15/50 (Call 09/15/27)^(a)		750		818,109
Series 2018-B2, Class A2, 3.79%, 03/10/51 (Call 03/10/23)		1,000		1,032,539
Series 2018-B2, Class A4, 4.01%, 03/10/51 (Call 02/10/28)		600		672,786
Series 2018-C5, Class A4, 4.23%, 06/10/51 (Call 05/10/28)^(a)		3,000		3,412,269
Series 2018-C6, Class A4, 4.41%, 11/10/51 (Call 11/10/28)		1,199		1,381,148
Series 2019-C7, Class A4, 3.10%, 12/15/72 (Call 12/15/29)		2,000		2,145,835
Series 2019-GC41, Class A5, 2.87%, 08/10/56 (Call 08/10/29)		2,500		2,636,269
Series 2019-GC41, Class AS, 3.02%, 08/10/56 (Call 08/10/29)		750		785,330
Series 2019-GC43, Class A2, 2.98%, 11/10/52 (Call 10/10/24)		863		897,378
Series 2019-GC43, Class A4, 3.04%, 11/10/52 (Call 10/10/29)		750		799,134
Series 2020-GC46, Class A5, 2.72%, 02/15/53 (Call 02/15/30)		2,000		2,083,142
Series 2020-GC46, Class AS, 2.92%, 02/15/53 (Call 02/15/30)^(a)		500		525,039
Series 2020-GC46, Class B, 3.15%, 02/15/53 (Call 02/15/30)^(a)		234		246,820
COMM Mortgage Trust
Series 2012-CR1, Class A3, 3.39%, 05/15/45 (Call 04/15/22)		175		175,749
Series 2013-CR11, Class AM, 4.72%, 08/10/50 (Call 09/10/23)^(a)		250		265,327
Series 2013-CR6, Class ASB, 2.62%, 03/10/46 (Call 12/10/22)		154		155,548
Series 2013-CR8, Class A5, 3.61%, 06/10/46 (Call 05/10/23)^(a)		1,605		1,665,469
Series 2013-CR9, Class A4, 4.25%, 07/10/45^(a)		1,200		1,256,661
Series 2013-LC13, Class A5, 4.21%, 08/10/46 (Call 08/10/23)		778		814,732
Series 2013-LC6, Class AM, 3.28%, 01/10/46 (Call 01/10/23)		100		102,209
Series 2013-LC6, Class ASB, 2.48%, 01/10/46 (Call 09/10/22)		60		60,697
Series 2013-LC6, Class B, 3.74%, 01/10/46 (Call 01/10/23)		430		440,523
Series 2014-CR14, Class C, 4.61%, 02/10/47 (Call 01/10/24)^(a)		200		208,118


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Series 2014-CR15, Class A4, 4.07%, 02/10/47 (Call 01/10/24)^(a)	$	400	$	423,843
Series 2014-CR16, Class A4, 4.05%, 04/10/47 (Call 03/10/24)		500		531,819
Series 2014-CR16, Class ASB, 3.65%, 04/10/47 (Call 01/10/24)		94		97,159
Series 2014-CR17, Class A5, 3.98%, 05/10/47 (Call 04/10/24)		500		532,322
Series 2014-CR17, Class B, 4.38%, 05/10/47 (Call 05/10/24)		292		306,868
Series 2014-CR18, Class AM, 4.10%, 07/15/47 (Call 06/15/24)		300		318,683
Series 2014-CR19, Class A5, 3.80%, 08/10/47 (Call 08/10/24)		438		466,998
Series 2014-CR19, Class B, 4.70%, 08/10/47 (Call 08/10/24)^(a)		850		915,721
Series 2014-CR20, Class AM, 3.94%, 11/10/47 (Call 10/10/24)		250		265,350
Series 2014-LC15, Class A4, 4.01%, 04/10/47		1,945		2,064,117
Series 2014-LC17, Class A5, 3.92%, 10/10/47 (Call 09/10/24)		675		722,612
Series 2014-UBS2, Class A5, 3.96%, 03/10/47 (Call 02/10/24)		1,521		1,612,213
Series 2014-UBS2, Class AM, 4.20%, 03/10/47 (Call 02/10/24)		425		450,040
Series 2014-UBS3, Class C, 4.74%, 06/10/47 (Call 05/10/24)^(a)		150		158,002
Series 2014-UBS4, Class A4, 3.42%, 08/10/47 (Call 06/10/24)		250		259,829
Series 2014-UBS4, Class A5, 3.69%, 08/10/47 (Call 07/10/24)		500		529,782
Series 2014-UBS4, Class AM, 3.97%, 08/10/47 (Call 07/10/24)		500		530,479
Series 2014-UBS4, Class B, 4.35%, 08/10/47 (Call 07/10/24)		250		262,802
Series 2014-UBS5, Class A4, 3.84%, 09/10/47 (Call 09/10/24)		730		778,441
Series 2014-UBS6, Class A4, 3.38%, 12/10/47 (Call 10/10/24)		1,000		1,052,468
Series 2014-UBS6, Class A5, 3.64%, 12/10/47 (Call 11/10/24)		500		531,141
Series 2015-CR22, Class A5, 3.31%, 03/10/48		500		529,121
Series 2015-CR22, Class AM, 3.60%, 03/10/48^(a)		200		211,996
Series 2015-CR22, Class ASB, 3.14%, 03/10/48		1,690		1,747,110
Series 2015-CR22, Class C, 4.11%, 03/10/48^(a)		300		314,599
Series 2015-CR23, Class A4, 3.50%, 05/10/48		500		533,217
Series 2015-CR24, Class B, 4.38%, 08/10/48 (Call 07/10/25)^(a)		750		802,857
Series 2015-CR24, Class D, 3.46%, 08/10/48 (Call 08/10/25)^(a)		200		185,869
Series 2015-CR25, Class A4, 3.76%, 08/10/48 (Call 08/10/25)		750		809,955
Series 2015-CR25, Class ASB, 3.54%, 08/10/48 (Call 04/10/25)		783		816,018
Series 2015-CR25, Class B, 4.53%, 08/10/48 (Call 08/10/25)^(a)		300		322,128
Series 2015-CR26, Class A4, 3.63%, 10/10/48 (Call 08/10/25)		2,398		2,579,797
Series 2015-DC1, Class A5, 3.35%, 02/10/48 (Call 01/10/25)		750		793,252


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Series 2015-DC1, Class B, 4.04%, 02/10/48 (Call 01/10/25)^(a)	$	1,000	$	1,053,092
Series 2015-DC1, Class C, 4.31%, 02/10/48 (Call 01/10/25)^(a)		250		252,431
Series 2015-LC19, Class A4, 3.18%, 02/10/48 (Call 01/10/25)		1,000		1,055,397
Series 2015-LC21, Class A4, 3.71%, 07/10/48 (Call 05/10/25)		500		536,629
Series 2015-LC23, Class A4, 3.77%, 10/10/48		1,000		1,082,880
Series 2015-PC1, Class A5, 3.90%, 07/10/50 (Call 05/10/25)		1,533		1,651,328
Series 2015-PC1, Class ASB, 3.61%, 07/10/50 (Call 11/10/24)		143		148,978
Series 2016-CR28, Class A4, 3.76%, 02/10/49		2,000		2,164,466
Series 2016-CR28, Class C, 4.64%, 02/10/49^(a)		604		645,305
Series 2016-DC2, Class A4, 3.50%, 02/10/49 (Call 12/10/25)		418		443,976
Series 2016-DC2, Class AM, 4.24%, 02/10/49 (Call 02/10/26)		750		813,938
Series 2016-DC2, Class ASB, 3.55%, 02/10/49 (Call 08/10/25)		857		900,361
Series 2016-DC2, Class C, 4.67%, 02/10/49 (Call 02/10/26)^(a)		250		264,959
Series 2017-COR2, Class C, 4.56%, 09/10/50 (Call 08/10/27)^(a)		750		820,076
Series 2018-COR3, Class A3, 4.23%, 05/10/51 (Call 04/10/28)		750		845,489
Series 2018-COR3, Class B, 4.51%, 05/10/51 (Call 04/10/28)^(a)		500		566,722
Series 2018-COR3, Class C, 4.56%, 05/10/51 (Call 04/10/28)^(a)		500		540,757
Series 2019-GC44, Class A5, 2.95%, 08/15/57 (Call 11/15/29)		1,000		1,066,153
CSAIL Commercial Mortgage Trust
Series 2015-C1, Class A4, 3.51%, 04/15/50 (Call 01/15/25)		500		529,821
Series 2015-C1, Class AS, 3.79%, 04/15/50 (Call 01/15/25)^(a)		435		461,678
Series 2015-C2, Class A4, 3.50%, 06/15/57 (Call 04/15/25)		500		531,841
Series 2015-C2, Class AS, 3.85%, 06/15/57 (Call 04/15/25)^(a)		700		735,071
Series 2015-C3, Class A4, 3.72%, 08/15/48 (Call 07/15/25)		650		697,472
Series 2015-C4, Class A3, 3.54%, 11/15/48		1,489		1,588,587
Series 2015-C4, Class A4, 3.81%, 11/15/48		1,464		1,583,311
Series 2015-C4, Class D, 3.56%, 11/15/48^(a)		250		247,569
Series 2016-C5, Class C, 4.65%, 11/15/48 (Call 11/15/25)^(a)		750		793,692
Series 2016-C6, Class C, 4.92%, 01/15/49 (Call 04/15/26)^(a)		350		370,509
Series 2016-C7, Class A4, 3.21%, 11/15/49 (Call 07/15/26)		193		204,039
Series 2016-C7, Class AS, 3.96%, 11/15/49 (Call 10/15/26)^(a)		1,000		1,075,545
Series 2017-CX9, Class A5, 3.45%, 09/15/50		1,000		1,080,605
Series 2018-CX11, Class A5, 4.03%, 04/15/51 (Call 02/15/28)^(a)		1,000		1,116,054
Series 2019-C15, Class A2, 3.45%, 03/15/52		1,105		1,155,139
Series 2019-C15, Class A3, 3.78%, 03/15/52		1,000		1,094,082
Series 2019-C15, Class B, 4.48%, 03/15/52		1,000		1,111,911
Series 2019-C17, Class A5, 3.02%, 09/15/52		2,000		2,120,024
Series 2019-C18, Class ASB, 2.87%, 12/15/52		500		529,673
Series 2020-C19, Class A3, 2.56%, 03/15/53		500		514,260


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
DBGS Mortgage Trust, Series 2018-C1, Class A4, 4.47%, 10/15/51	$	1,400	$	1,611,871
DBJPM Mortgage Trust
Series 2016-C1, Class A4, 3.28%, 05/10/49 (Call 02/10/26)		1,000		1,061,948
Series 2016-C1, Class ASB, 3.04%, 05/10/49 (Call 12/10/25)		446		463,921
Series 2016-C1, Class B, 4.20%, 05/10/49 (Call 03/10/26)^(a)		1,160		1,229,115
Series 2016-C1, Class C, 3.33%, 05/10/49 (Call 03/10/26)^(a)		468		455,510
Series 2017-C6, Class A3, 3.27%, 06/10/50 (Call 06/10/24)		750		778,157
Federal National Mortgage Association
Series 2016-M1, Class A2, 2.94%, 01/25/26^(a)		937		994,123
Series 2016-M10, Class AV2, 3.00%, 11/25/45		500		542,684
Series 2016-M12, Class AV2, 2.31%, 10/25/23		493		501,562
Series 2016-M5, Class A2, 2.47%, 04/25/26		500		522,186
Series 2017-M1, Class A2, 2.41%, 10/25/26^(a)		856		896,650
Series 2017-M14, Class A2, 2.87%, 11/25/27^(a)		1,830		1,975,071
Series 2019-M1, Class A1, 3.36%, 09/25/28		766		821,454
Series 2020-M1, Class A1, 2.15%, 10/25/29		2,016		2,088,591
Series 2020-M1, Class A2, 2.44%, 10/25/29		4,530		4,804,316
Series 2020-M14, Class A2, 1.78%, 05/25/30		1,000		1,010,105
Series 2020-M20, Class A2, 1.44%, 10/25/29		250		246,615
Series 2020-M5, Class A3, 2.19%, 01/25/30		1,000		1,040,734
Series 2020-M8, Class A2, 1.82%, 02/25/30		100		101,214
Series 2021-M4, Class A2, 1.47%, 02/25/31^(a)		1,500		1,470,272
Series 2019-M6, Class A2, 3.45%, 01/01/29		1,000		1,123,658
Serise 2015-M15, Class A2, 2.92%, 10/25/25^(a)		944		993,577
Freddie Mac Multifamily Structured Pass Through Certificates
Series K039, Class A2, 3.30%, 07/25/24 (Call 07/25/24)		263		278,319
Series K056, Class A1, 2.20%, 07/25/25 (Call 05/25/25)		1,091		1,117,174
Series K057, Class A2, 2.57%, 07/25/26 (Call 07/25/26)		1,725		1,818,624
Series K070, Class A1, 3.03%, 04/25/27 (Call 04/25/27)		1,694		1,775,261
Series K078, Class A1, 3.67%, 01/25/28 (Call 01/25/28)		1,369		1,488,810
Series K089, Class A1, 3.34%, 10/25/28 (Call 10/25/28)		3,260		3,539,059
Series K095, Class A2, 2.79%, 06/25/29 (Call 06/25/29)		1,175		1,271,989
Series K098, Class A2, 2.43%, 08/25/29 (Call 08/25/29)		500		529,244
Series K099, Class A2, 2.60%, 09/25/29 (Call 09/25/29)		1,811		1,939,639
Series K104, Class A2, 2.25%, 01/25/30 (Call 01/25/30)		2,005		2,095,334
Series K106, Class A1, 1.78%, 10/25/29 (Call 10/25/29)		4,425		4,522,127
Series K107, Class A2, 1.64%, 01/25/30 (Call 01/25/30)		3,250		3,253,923
Series K109, Class A2, 1.56%, 04/25/30 (Call 04/25/30)		2,000		1,987,984
Series K110, Class A1, 1.02%, 09/25/29 (Call 09/25/29)		988		965,097
Series K114, Class A2, 1.37%, 06/25/30 (Call 06/25/30)		4,010		3,920,230
Series K118, Class A1, 0.79%, 03/25/30 (Call 03/25/30)		1,955		1,877,846
Series K118, Class A2, 1.49%, 09/25/30 (Call 09/25/30)		2,500		2,466,617
Series K119, Class A2, 1.57%, 09/25/30 (Call 09/25/30)		3,000		2,977,375
Series K120, Class A2, 1.50%, 10/25/30 (Call 10/25/30)		4,000		3,946,229
Series K121, Class A2, 1.55%, 10/25/30 (Call 10/25/30)		1,500		1,485,547
Series K123, Class A2, 1.62%, 12/25/30 (Call 12/25/30)		600		597,726
Series K124, Class A2, 1.66%, 12/25/30 (Call 12/25/30)		2,300		2,297,801
Series K126, Class A2, 2.07%, 01/25/31 (Call 01/25/31)		2,000		2,066,085
Series K127, Class A2, 2.11%, 01/25/31 (Call 01/25/31)		7,500		7,784,596
Series K128, Class A2, 2.02%, 03/25/31 (Call 03/25/31)		4,000		4,110,188
Series K131, Class A2, 1.85%, 07/25/31 (Call 07/25/31)		3,000		3,040,289
Series K132, Class A2, 2.02%, 08/25/31 (Call 08/25/31)		1,000		1,028,590
Series K-1511, Class A2, 3.47%, 03/25/31 (Call 03/25/31)		1,000		1,150,525
Series K-1516, Class A2, 1.72%, 05/25/35 (Call 05/25/35)		1,825		1,749,115
Series K-1517, Class A2, 1.72%, 07/25/35 (Call 07/25/35)		500		479,412
Series K-1518, Class A2, 1.86%, 10/25/35 (Call 10/25/35)		2,500		2,434,226


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Series K152, Class A1, 2.83%, 05/25/30 (Call 05/25/30)	$	1,218	$	1,307,014
Series K-1520, Class A2, 2.44%, 02/25/36 (Call 02/25/36)		2,000		2,079,959
Series K-1521, Class A2, 2.18%, 08/25/36 (Call 08/25/36)		1,000		1,010,900
Series K155, Class A1, 3.75%, 11/25/29 (Call 11/25/29)		494		549,778
Series K156, Class A3, 3.70%, 06/25/33 (Call 06/25/33)^(a)		500		584,087
Series K727, Class A2, 2.95%, 07/25/24 (Call 07/25/24)		1,000		1,040,191
Series K735, Class A2, 2.86%, 05/25/26 (Call 05/25/26)		2,000		2,124,451
Series K737, Class AM, 2.10%, 10/25/26 (Call 10/25/26)		300		309,966
Series K740, Class A2, 1.47%, 09/25/27 (Call 09/25/27)		2,000		2,005,975
Series K741, Class A2, 1.60%, 12/25/27 (Call 12/25/27)		1,120		1,130,819
Series K742, Class A2, 1.76%, 03/25/28 (Call 03/25/28)		2,550		2,596,800
Series K742, Class AM, 1.37%, 04/25/28 (Call 04/25/28)		1,400		1,386,217
Series K745, Class A2, 1.66%, 08/25/28 (Call 08/25/28)		3,000		3,033,991
GS Mortgage Securities Corp. II, Series 2013-GC10, Class A5, 2.94%, 02/10/46 (Call 01/10/23)		400		409,066
GS Mortgage Securities Trust
Series 2012-GCJ9, Class AS, 3.12%, 11/10/45 (Call 11/10/22)		200		203,792
Series 2013-GC12, Class AS, 3.38%, 06/10/46 (Call 05/10/23)		300		309,460
Series 2013-GC12, Class B, 3.78%, 06/10/46 (Call 05/10/23)^(a)		115		118,677
Series 2013-GC14, Class A5, 4.24%, 08/10/46 (Call 07/10/23)		550		578,346
Series 2013-GC16, Class A4, 4.27%, 11/10/46 (Call 10/10/23)		3,500		3,698,360
Series 2013-GC16, Class AS, 4.65%, 11/10/46 (Call 11/10/23)		150		158,904
Series 2013-GC16, Class C, 5.31%, 11/10/46 (Call 11/10/23)^(a)		100		103,110
Series 2014-GC18, Class AS, 4.38%, 01/10/47 (Call 01/10/24)		650		673,418
Series 2014-GC20, Class A5, 4.00%, 04/10/47		400		424,501
Series 2014-GC20, Class B, 4.53%, 04/10/47^(a)		250		256,106
Series 2014-GC22, Class A5, 3.86%, 06/10/47 (Call 05/10/24)		2,640		2,807,468
Series 2014-GC22, Class AS, 4.11%, 06/10/47 (Call 05/10/24)		250		264,541
Series 2014-GC24, Class AAB, 3.65%, 09/10/47 (Call 06/10/24)		340		352,890
Series 2014-GC26, Class A5, 3.63%, 11/10/47 (Call 11/10/24)		750		797,741
Series 2015-GC30, Class AAB, 3.12%, 05/10/50 (Call 10/10/24)		321		330,977
Series 2015-GC30, Class AS, 3.78%, 05/10/50 (Call 05/10/25)^(a)		500		534,156
Series 2015-GC32, Class A3, 3.50%, 07/10/48 (Call 06/10/25)		600		632,768
Series 2015-GC32, Class C, 4.42%, 07/10/48 (Call 07/10/25)^(a)		804		848,475
Series 2015-GC34, Class A4, 3.51%, 10/10/48 (Call 09/10/25)		2,500		2,676,044
Series 2016-GS2, Class A4, 3.05%, 05/10/49 (Call 02/10/26)		1,170		1,237,446
Series 2016-GS3, Class A3, 2.59%, 10/10/49 (Call 08/10/26)		1,291		1,338,783
Series 2016-GS3, Class A4, 2.85%, 10/10/49 (Call 09/10/26)		780		818,691
Series 2016-GS4, Class A4, 3.44%, 11/10/49^(a)		39		42,049


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Series 2017-GS7, Class A3, 3.17%, 08/10/50 (Call 05/10/27)	$	1,000	$	1,066,575
Series 2017-GS7, Class AAB, 3.20%, 08/10/50 (Call 03/10/27)		910		960,428
Series 2017-GS7, Class B, 3.88%, 08/10/50 (Call 07/10/27)		500		540,270
Series 2018-GS9, Class A4, 3.99%, 03/10/51 (Call 02/10/28)^(a)		1,000		1,117,321
Series 2019-GC38, Class A4, 3.97%, 02/10/52 (Call 01/10/29)		750		845,408
Series 2019-GC40, Class A4, 3.16%, 07/10/52 (Call 06/10/29)		1,131		1,215,995
Series 2019-GSA1, Class C, 3.80%, 11/10/52 (Call 10/10/29)^(a)		500		532,566
Series 2020-GC45, Class A4, 2.66%, 02/13/53 (Call 11/13/29)		775		803,872
JP Morgan Chase Commercial Mortgage Securities Trust
Series 2015-JP1, Class A4, 3.65%, 01/15/49 (Call 11/15/25)		1,000		1,074,456
Series 2015-JP1, Class AS, 4.12%, 01/15/49 (Call 12/15/25)^(a)		750		812,597
Series 2016-JP3, Class AS, 3.14%, 08/15/49 (Call 09/15/26)		1,000		1,047,437
Series 2016-JP3, Class B, 3.40%, 08/15/49 (Call 09/15/26)^(a)		108		110,890
JPMBB Commercial Mortgage Securities Trust
Series 2013-C12, Class AS, 4.04%, 07/15/45 (Call 05/15/23)^(a)		500		520,163
Series 2013-C14, Class A4, 4.13%, 08/15/46 (Call 07/15/23)^(a)		513		534,562
Series 2013-C14, Class AS, 4.41%, 08/15/46 (Call 07/15/23)^(a)		150		155,106
Series 2013-C14, Class B, 4.55%, 08/15/46 (Call 07/15/23)^(a)		500		510,016
Series 2013-C15, Class B, 4.93%, 11/15/45 (Call 10/15/23)^(a)		200		211,898
Series 2013-C15, Class C, 5.19%, 11/15/45 (Call 10/15/23)^(a)		110		116,723
Series 2013-C17, Class A4, 4.20%, 01/15/47 (Call 12/15/23)		490		519,848
Series 2013-C17, Class C, 4.89%, 01/15/47 (Call 12/15/23)^(a)		100		103,559
Series 2014-C18, Class A5, 4.08%, 02/15/47 (Call 02/15/24)		1,400		1,486,670
Series 2014-C18, Class AS, 4.44%, 02/15/47 (Call 02/15/24)^(a)		1,200		1,263,763
Series 2014-C18, Class ASB, 3.57%, 02/15/47 (Call 07/15/23)		618		634,788
Series 2014-C18, Class B, 4.80%, 02/15/47 (Call 02/15/24)^(a)		225		236,340
Series 2014-C19, Class C, 4.66%, 04/15/47 (Call 04/15/24)^(a)		200		211,349
Series 2014-C21, Class A4, 3.49%, 08/15/47 (Call 05/15/24)		646		672,042
Series 2014-C21, Class A5, 3.77%, 08/15/47 (Call 06/15/24)		2,835		3,008,146
Series 2014-C21, Class ASB, 3.43%, 08/15/47 (Call 02/15/24)		205		211,558
Series 2014-C22, Class A4, 3.80%, 09/15/47 (Call 08/15/24)		750		798,361
Series 2014-C22, Class C, 4.55%, 09/15/47 (Call 08/15/24)^(a)		200		195,007


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Series 2014-C23, Class A5, 3.93%, 09/15/47 (Call 09/15/24)	$	1,144	$	1,224,445
Series 2014-C23, Class ASB, 3.66%, 09/15/47 (Call 07/15/24)		206		213,956
Series 2014-C25, Class AS, 4.07%, 11/15/47 (Call 10/15/24)		222		237,875
Series 2014-C25, Class B, 4.35%, 11/15/47 (Call 11/15/24)^(a)		185		194,488
Series 2015-C27, Class AS, 3.63%, 02/15/48 (Call 01/15/25)		500		528,109
Series 2015-C28, Class A3, 2.91%, 10/15/48 (Call 01/15/25)		978		1,003,009
Series 2015-C28, Class ASB, 3.04%, 10/15/48 (Call 11/15/24)		347		357,743
Series 2015-C29, Class A4, 3.61%, 05/15/48 (Call 04/15/25)		2,500		2,673,550
Series 2015-C29, Class ASB, 3.30%, 05/15/48 (Call 11/15/24)		358		371,403
Series 2015-C29, Class B, 4.12%, 05/15/48 (Call 05/15/25)^(a)		250		259,770
Series 2015-C30, Class AS, 4.23%, 07/15/48 (Call 07/15/25)^(a)		635		687,669
Series 2015-C31, Class A3, 3.80%, 08/15/48 (Call 08/15/25)		1,085		1,163,238
Series 2015-C33, Class A4, 3.77%, 12/15/48 (Call 11/15/25)		1,000		1,086,458
Series 2016-C1, Class A5, 3.58%, 03/15/49 (Call 01/15/26)		822		884,005
Series 2016-C1, Class B, 4.73%, 03/15/49 (Call 02/15/26)^(a)		450		486,690
Series 2016-C1, Class C, 4.73%, 03/15/49 (Call 02/15/26)^(a)		400		421,410
JPMCC Commercial Mortgage Securities Trust
JPMCC 2017-JP5, Class ASB, 3.55%, 03/15/50		130		138,053
Series 2017-JP5, Class A3, 3.34%, 03/15/50		250		253,951
Series 2017-JP5, Class A5, 3.72%, 03/15/50		1,300		1,421,508
Series 2017-JP5, Class AS, 3.88%, 03/15/50^(a)		650		708,107
Series 2017-JP6, Class A5, 3.49%, 07/15/50 (Call 04/15/27)		300		325,272
Series 2017-JP6, Class AS, 3.74%, 07/15/50 (Call 05/15/27)		400		433,966
Series 2017-JP7, Class A5, 3.45%, 09/15/50 (Call 07/15/27)		1,000		1,082,461
Series 2019-COR4, Class ASB, 3.94%, 03/10/52 (Call 03/10/28)		1,000		1,096,629
Series 2019-COR5, Class A2, 3.15%, 06/13/52 (Call 05/13/24)		360		374,993
Series 2019-COR5, Class A4, 3.39%, 06/13/52 (Call 04/13/29)		1,200		1,298,847
JPMDB Commercial Mortgage Securities Trust
Series 2016-C2, Class A4, 3.14%, 06/15/49 (Call 04/15/26)		1,000		1,057,370
Series 2016-C2, Class B, 3.99%, 06/15/49 (Call 05/15/26)^(a)		750		768,177
Series 2017-C5, Class A5, 3.69%, 03/15/50 (Call 01/15/27)		2,100		2,285,940
Series 2017-C7, Class A3, 3.05%, 10/15/50 (Call 07/15/24)		1,200		1,244,748
Series 2017-C7, Class A5, 3.41%, 10/15/50 (Call 08/15/27)		3,050		3,305,118
Series 2019-COR6, Class A4, 3.06%, 11/13/52 (Call 10/13/29)		955		1,017,311
Series 2020-COR7, Class A5, 2.18%, 05/13/53 (Call 03/13/30)		539		540,609


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
JPMorgan Chase Commercial Mortgage Securities Trust
Series 2012-C8, Class ASB, 2.38%, 10/15/45 (Call 05/15/22)	$	45	$	44,852
Series 2013-C10, Class A5, 3.14%, 12/15/47 (Call 02/15/23)		589		602,909
Series 2013-C10, Class AS, 3.37%, 12/15/47 (Call 02/15/23)		1,100		1,128,707
Series 2013-C10, Class B, 3.67%, 12/15/47 (Call 02/15/23)^(a)		1,100		1,130,538
Series 2013-C10, Class C, 4.10%, 12/15/47 (Call 02/15/23)^(a)		200		202,053
Series 2013-C13, Class A4, 3.99%, 01/15/46 (Call 06/15/23)^(a)		205		214,132
Series 2013-C13, Class ASB, 3.41%, 01/15/46 (Call 03/15/23)		17		17,035
Series 2013-LC11, Class A5, 2.96%, 04/15/46 (Call 04/15/23)		500		513,207
Series 2014-C20, Class A5, 3.80%, 07/15/47 (Call 05/15/24)		500		529,912
Series 2014-C20, Class B, 4.40%, 07/15/47 (Call 06/15/24)^(a)		100		105,882
Series 2015-JP1, Class A5, 3.91%, 01/15/49 (Call 12/15/25)		2,462		2,677,594
Series 2016-JP2, Class A4, 2.82%, 08/15/49 (Call 07/15/26)		1,023		1,072,814
Series 2016-JP2, Class AS, 3.06%, 08/15/49 (Call 07/15/26)		700		717,921
Series 2016-JP4, Class A4, 3.65%, 12/15/49 (Call 11/15/26)^(a)		1,090		1,185,782
Morgan Stanley Bank of America Merrill Lynch Trust
Series 2012-C6, Class A4, 2.86%, 11/15/45 (Call 09/15/22)		1,131		1,143,895
Series 2012-C6, Class AS, 3.48%, 11/15/45 (Call 09/15/22)		500		509,814
Series 2013-C09, Class A4, 3.10%, 05/15/46 (Call 04/15/23)		1,500		1,537,159
Series 2013-C10, Class A4, 4.08%, 07/15/46 (Call 06/15/23)^(a)		1,000		1,041,661
Series 2013-C10, Class ASB, 3.91%, 07/15/46 (Call 01/15/23)^(a)		71		72,616
Series 2013-C11, Class A3, 3.96%, 08/15/46 (Call 05/15/23)		479		491,762
Series 2013-C11, Class A4, 4.15%, 08/15/46 (Call 07/15/23)^(a)		800		836,268
Series 2013-C13, Class A4, 4.04%, 11/15/46 (Call 11/15/23)		1,100		1,161,390
Series 2013-C13, Class C, 4.90%, 11/15/46 (Call 11/15/23)^(a)		230		231,014
Series 2013-C7, Class AAB, 2.47%, 02/15/46 (Call 11/15/22)		34		34,538
Series 2013-C7, Class AS, 3.21%, 02/15/46 (Call 01/15/23)		1,621		1,656,255
Series 2013-C7, Class B, 3.77%, 02/15/46 (Call 01/15/23)		200		201,374
Series 2013-C8, Class B, 3.53%, 12/15/48 (Call 02/15/23)^(a)		200		204,055
Series 2014-C14, Class A5, 4.06%, 02/15/47 (Call 12/15/23)		1,000		1,057,737
Series 2014-C14, Class AS, 4.38%, 02/15/47 (Call 01/15/24)^(a)		200		212,192
Series 2014-C14, Class B, 4.86%, 02/15/47 (Call 01/15/24)^(a)		200		213,846
Series 2014-C15, Class ASB, 3.65%, 04/15/47 (Call 12/15/23)		110		113,530


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Series 2014-C16, Class A5, 3.89%, 06/15/47 (Call 05/15/24)	$	500	$	530,101
Series 2014-C17, Class A5, 3.74%, 08/15/47 (Call 07/15/24)		2,220		2,355,127
Series 2014-C18, Class A3, 3.65%, 10/15/47		358		372,951
Series 2014-C18, Class A4, 3.92%, 10/15/47		1,150		1,228,821
Series 2014-C19, Class A4, 3.53%, 12/15/47 (Call 11/15/24)		1,275		1,352,485
Series 2015-C20, Class A4, 3.25%, 02/15/48 (Call 12/15/24)		3,500		3,690,832
Series 2015-C20, Class AS, 3.61%, 02/15/48 (Call 01/15/25)		500		529,087
Series 2015-C21, Class A4, 3.34%, 03/15/48 (Call 02/15/25)		901		949,008
Series 2015-C22, Class A4, 3.31%, 04/15/48 (Call 04/15/25)		1,000		1,056,633
Series 2015-C22, Class C, 4.21%, 04/15/48 (Call 04/15/25)^(a)		250		249,509
Series 2015-C23, Class A3, 3.45%, 07/15/50 (Call 05/15/25)		730		774,632
Series 2015-C24, Class A3, 3.48%, 05/15/48 (Call 05/15/25)		369		390,833
Series 2015-C24, Class A4, 3.73%, 05/15/48 (Call 07/15/25)		950		1,023,910
Series 2015-C25, Class ASB, 3.38%, 10/15/48 (Call 06/15/25)		514		533,775
Series 2015-C27, Class A4, 3.75%, 12/15/47 (Call 10/15/25)		1,373		1,480,344
Series 2016-C28, Class A4, 3.54%, 01/15/49 (Call 01/15/26)		2,900		3,106,918
Series 2016-C30, Class A5, 2.86%, 09/15/49 (Call 08/15/26)		500		524,640
Series 2016-C31, Class A5, 3.10%, 11/15/49 (Call 10/15/26)		2,250		2,383,456
Series 2016-C32, Class A4, 3.72%, 12/15/49 (Call 12/15/26)		1,000		1,091,114
Series 2016-C32, Class ASB, 3.51%, 12/15/49 (Call 07/15/26)		310		328,631
Series 2017-C33, Class A5, 3.60%, 05/15/50 (Call 04/15/27)		1,100		1,198,720
Series 2017-C34, Class A4, 3.54%, 11/15/52 (Call 09/15/27)		1,000		1,091,134
Series 2017-C34, Class AS, 3.86%, 11/15/52 (Call 10/15/27)		500		547,470
Morgan Stanley Capital I, Series 2017-HR2, Class A4, 3.59%, 12/15/50 (Call 12/15/27)		2,010		2,192,170
Morgan Stanley Capital I Trust
Series 2015-MS1, Class A4, 3.78%, 05/15/48 (Call 05/15/25)^(a)		500		536,140
Series 2015-UBS8, Class AS, 4.11%, 12/15/48		250		266,733
Series 2016-BNK2, Class A4, 3.05%, 11/15/49 (Call 10/15/26)		1,250		1,326,206
Series 2016-UB11, Class A4, 2.78%, 08/15/49 (Call 08/15/26)		1,000		1,045,015
Series 2017-H1, Class A5, 3.53%, 06/15/50 (Call 05/15/27)		1,000		1,085,815
Series 2018-H3, Class A4, 3.91%, 07/15/51 (Call 05/15/28)		500		553,375
Series 2019-H7, Class A4, 3.26%, 07/15/52		1,000		1,077,934
Series 2020-HR8, Class A4, 2.04%, 07/15/53 (Call 07/15/30)		1,120		1,108,692
Series 2020-L4, Class A3, 2.70%, 02/15/53 (Call 02/15/30)		1,500		1,561,394


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Series 2021-L6, Class A2, 2.13%, 06/15/54 (Call 07/15/26)	$	1,500	$	1,523,814
Series 2021-L7, Class A5, 2.57%, 10/15/54 (Call 09/15/31)		3,000		3,079,376
SG Commercial Mortgage Securities Trust, Series 2016-C5, Class A4, 3.06%, 10/10/48 (Call 06/10/26)		1,000		1,047,180
UBS Commercial Mortgage Trust
Series 2017-C2, Class A4, 3.49%, 08/15/50 (Call 07/15/27)		1,000		1,080,010
Series 2017-C6, Class AS, 3.93%, 12/15/50^(a)		500		546,873
Series 2017-C7, Class A4, 3.68%, 12/15/50 (Call 12/15/27)		1,000		1,095,027
Series 2018-C08, Class A4, 3.98%, 02/15/51 (Call 02/15/28)		1,325		1,472,335
Series 2018-C12, Class ASB, 4.19%, 08/15/51 (Call 01/15/28)		1,765		1,951,959
Series 2018-C15, Class B, 4.92%, 12/15/51 (Call 12/15/28)^(a)		750		863,114
Series 2019-C16, Class AS, 3.89%, 04/15/52 (Call 03/15/29)		1,334		1,469,950
Series 2019-C17, Class A4, 2.92%, 10/15/52 (Call 09/15/29)		1,000		1,051,502
UBS-Barclays Commercial Mortgage Trust
Series 2012-C4, Class AAB, 2.46%, 12/10/45 (Call 06/10/22)		47		47,725
Series 2013-C5, Class A4, 3.18%, 03/10/46 (Call 01/10/23)		1,222		1,246,847
Series 2013-C6, Class A4, 3.24%, 04/10/46 (Call 03/10/23)		677		694,737
Wells Fargo Commercial Mortgage Trust
Series 2013-LC12, Class A4, 4.22%, 07/15/46 (Call 06/15/23)^(a)		2,975		3,115,142
Series 2013-LC12, Class AS, 4.31%, 07/15/46 (Call 07/15/23)^(a)		473		489,068
Series 2014-LC16, Class ASB, 3.48%, 08/15/50 (Call 03/15/24)		728		750,895
Series 2015-C26, Class AS, 3.58%, 02/15/48 (Call 01/15/25)		820		864,868
Series 2015-C27, Class A5, 3.45%, 02/15/48 (Call 02/15/25)		1,000		1,062,350
Series 2015-C27, Class B, 4.14%, 02/15/48 (Call 03/15/25)^(a)		330		342,168
Series 2015-C28, Class A4, 3.54%, 05/15/48 (Call 04/15/25)		500		534,177
Series 2015-C28, Class AS, 3.87%, 05/15/48 (Call 04/15/25)^(a)		250		267,681
Series 2015-C30, Class A4, 3.66%, 09/15/58 (Call 07/15/25)		817		878,642
Series 2015-C30, Class ASB, 3.41%, 09/15/58 (Call 03/15/25)		372		386,628
Series 2015-C31, Class A4, 3.70%, 11/15/48 (Call 10/15/25)		500		539,389
Series 2015-C31, Class B, 4.48%, 11/15/48 (Call 10/15/25)^(a)		1,000		1,077,175
Series 2015-C31, Class C, 4.60%, 11/15/48 (Call 11/15/25)^(a)		450		470,442
Series 2015-LC20, Class A3, 3.09%, 04/15/50		600		601,204
Series 2015-LC20, Class B, 3.72%, 04/15/50		750		779,154
Series 2015-LC22, Class A4, 3.84%, 09/15/58 (Call 09/15/25)		1,000		1,082,207
Series 2015-NXS2, Class A5, 3.77%, 07/15/58 (Call 06/15/25)^(a)		750		808,155
Series 2016-C32, Class ASB, 3.32%, 01/15/59 (Call 06/15/25)		940		978,809
Series 2016-C34, Class A4, 3.10%, 06/15/49 (Call 04/15/26)		1,000		1,054,728


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Series 2016-C35, Class A4, 2.93%, 07/15/48 (Call 06/15/26)	$	1,000	$	1,048,462
Series 2016-C36, Class AS, 3.42%, 11/15/59 (Call 10/15/26)		500		520,153
Series 2016-C37, Class ASB, 3.62%, 12/15/49 (Call 06/15/26)		1,000		1,058,215
Series 2016-LC24, Class A4, 2.94%, 10/15/49 (Call 08/15/26)		1,680		1,772,722
Series 2016-LC25, Class B, 4.35%, 12/15/59 (Call 11/15/26)^(a)		198		216,713
Series 2016-NXS4, Class A4, 3.72%, 12/15/48		1,000		1,080,237
Series 2016-NXS6, Class B, 3.81%, 11/15/49 (Call 09/15/26)		500		520,036
Series 2017-C38, Class A4, 3.19%, 07/15/50 (Call 05/15/27)		500		531,466
Series 2017-C38, Class A5, 3.45%, 07/15/50 (Call 06/15/27)		2,000		2,172,247
Series 2017-C39, Class A5, 3.42%, 09/15/50 (Call 07/15/27)		2,500		2,708,741
Series 2017-C39, Class ASB, 3.21%, 09/15/50 (Call 12/15/26)		1,000		1,054,373
Series 2017-C39, Class C, 4.12%, 09/15/50 (Call 08/15/27)		500		529,691
Series 2017-C42, Class A4, 3.59%, 12/15/50		1,250		1,368,110
Series 2017-C42, Class B, 4.00%, 12/15/50^(a)		500		540,811
Series 2018-C44, Class A5, 4.21%, 05/15/51 (Call 04/15/28)		1,000		1,128,622
Series 2018-C45, Class AS, 4.41%, 06/15/51 (Call 06/15/28)^(a)		350		394,435
Series 2018-C46, Class AS, 4.38%, 08/15/51		500		563,822
Series 2018-C47, Class A4, 4.44%, 09/15/61 (Call 09/15/28)		2,250		2,583,888
Series 2018-C48, Class A5, 4.30%, 01/15/52 (Call 12/15/28)		1,000		1,142,833
Series 2019-C49, Class A5, 4.02%, 03/15/52 (Call 02/15/29)		1,625		1,830,654
Series 2019-C49, Class C, 4.87%, 03/15/52 (Call 02/15/29)^(a)		665		746,703
Series 2019-C50, Class A5, 3.73%, 05/15/52 (Call 04/15/29)		750		831,793
Series 2019-C50, Class AS, 4.02%, 05/15/52 (Call 04/15/29)		1,000		1,109,638
Series 2019-C51, Class AS, 3.58%, 06/15/52 (Call 06/15/29)		492		532,779
Series 2019-C52, Class AS, 3.14%, 08/15/52 (Call 08/15/29)		1,074		1,132,891
Series 2019-C53, Class A4, 3.04%, 10/15/52 (Call 10/15/29)		1,400		1,492,686
Series 2020-C55, Class A5, 2.73%, 02/15/53 (Call 01/15/30)		1,000		1,042,919
Series 2020-C56, Class ASB, 2.42%, 06/15/53 (Call 11/15/29)		2,000		2,068,499
Series 2020-C56, Class B, 3.75%, 06/15/53 (Call 03/15/30)^(a)		345		380,884
Series 2020-C56, Class C, 3.75%, 06/15/53 (Call 04/15/30)^(a)		800		857,242
Series 2020-C57, Class A4, 2.12%, 08/15/53 (Call 08/15/30)		2,919		2,911,237
Series 2020-C58, Class A4, 2.09%, 07/15/53 (Call 11/15/30)		1,000		993,029


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Series 2021-C59, Class A5, 2.63%, 04/15/54 (Call 04/15/31)	$	1,000	$	1,034,863
Series 2021-C59, Class ASB, 2.30%, 04/15/54 (Call 01/15/30)		354		360,110
WFRBS Commercial Mortgage Trust
Series 2012-C10, Class A3, 2.88%, 12/15/45 (Call 12/15/22)		200		203,143
Series 2012-C10, Class AS, 3.24%, 12/15/45 (Call 12/15/22)		250		251,821
Series 2012-C6, Class AS, 3.84%, 04/15/45 (Call 02/15/22)		145		145,489
Series 2012-C8, Class ASB, 2.56%, 08/15/45 (Call 12/15/21)		10		9,851
Series 2013-C13, Class C, 3.91%, 05/15/45 (Call 05/15/23)^(a)		110		112,964
Series 2013-C14, Class B, 3.84%, 06/15/46 (Call 05/15/23)^(a)		500		514,075
Series 2013-C15, Class A4, 4.15%, 08/15/46 (Call 07/15/23)^(a)		2,000		2,095,614
Series 2013-C17, Class A3, 3.75%, 12/15/46 (Call 10/15/23)		756		789,576
Series 2013-C17, Class ASB, 3.56%, 12/15/46 (Call 08/15/23)		320		329,126
Series 2013-C18, Class A4, 3.90%, 12/15/46 (Call 12/15/23)		543		569,127
Series 2013-C18, Class A5, 4.16%, 12/15/46 (Call 12/15/23)^(a)		2,000		2,120,722
Series 2013-UBS1, Class A4, 4.08%, 03/15/46 (Call 11/15/23)^(a)		797		841,281
Series 2014-C19, Class A4, 3.83%, 03/15/47 (Call 02/15/24)		300		313,578
Series 2014-C19, Class B, 4.72%, 03/15/47 (Call 03/15/24)^(a)		300		316,630
Series 2014-C20, Class ASB, 3.64%, 05/15/47 (Call 01/15/24)		187		193,488
Series 2014-C22, Class A4, 3.49%, 09/15/57		4,070		4,252,713
Series 2014-C22, Class A5, 3.75%, 09/15/57		400		425,235
Series 2014-C22, Class AS, 4.07%, 09/15/57^(a)		480		511,491
Series 2014-C24, Class A5, 3.61%, 11/15/47 (Call 10/15/24)		100		106,096
Series 2014-C25, Class A5, 3.63%, 11/15/47 (Call 11/15/24)		1,050		1,119,578
Series 2014-LC14, Class A5, 4.05%, 03/15/47 (Call 01/15/24)		950		1,007,423


				561,691,167


Total Collaterized Mortgage Obligations — 68.5%
(Cost: $558,406,210)				561,691,167


U.S. Government & Agency Obligations

Mortgage-Backed Securities — 30.8%
Federal National Mortgage Association
Series 2012-M9, Class A2, 2.48%, 04/25/22		111		111,235
Series 2013-M12, Class APT, 2.41%, 03/25/23^(a)		402		407,994
Series 2013-M14, Class A2, 3.33%, 10/25/23^(a)		2,638		2,729,168
Series 2013-M6, Class 1A2, 3.30%, 02/25/43^(a)		332		364,570
Series 2013-M7, Class A2, 2.28%, 12/27/22		338		340,921
Series 2014-M11, Class 1A, 3.12%, 08/25/24^(a)		644		675,105
Series 2014-M11, Class 2A, 3.30%, 08/25/26^(a)		577		625,005
Series 2014-M13, Class A2, 3.02%, 08/25/24^(a)		138		144,089


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Series 2014-M3, Class A2, 3.49%, 01/25/24^(a)	$	573	$	597,971
Series 2014-M4, Class A2, 3.35%, 03/25/24^(a)		484		508,479
Series 2015-M1, Class A2, 2.53%, 09/25/24		667		688,546
Series 2015-M10, Class A2, 3.09%, 04/25/27^(a)		2,467		2,661,557
Series 2015-M11, Class A2, 2.82%, 04/25/25^(a)		800		837,666
Series 2015-M13, Class A2, 2.71%, 06/25/25^(a)		931		971,997
Series 2015-M2, Class A, 2.62%, 12/25/24		335		347,141
Series 2015-M8, Class A2, 2.90%, 01/25/25^(a)		1,250		1,305,319
Series 2016-M6, Class A2, 2.49%, 05/25/26		310		324,275
Series 2016-M9, Class A2, 2.29%, 06/25/26		2,000		2,074,648
Series 2017, Class A2, 2.96%, 09/25/27^(a)		1,000		1,081,577
Series 2017-M15, Class AV2, 2.62%, 11/25/24^(a)		977		1,011,907
Series 2017-M2, Class A2, 2.78%, 02/25/27^(a)		1,927		2,053,967
Series 2017-M3, Class A2, 2.47%, 12/25/26^(a)		839		881,476
Series 2017-M4, Class A2, 2.56%, 12/25/26^(a)		908		957,962
Series 2017-M7, Class A2, 2.96%, 02/25/27^(a)		1,038		1,108,857
Series 2017-M8, Class A2, 3.06%, 05/25/27^(a)		2,400		2,593,208
Series 2018-M1, Class A2, 2.99%, 12/25/27^(a)		919		991,663
Series 2018-M10, Class A2, 3.37%, 07/25/28^(a)		1,040		1,161,286
Series 2018-M13, Class A2, 3.70%, 09/25/30^(a)		100		115,123
Series 2018-M7, Class A2, 3.06%, 03/25/28^(a)		800		874,610
Series 2019-M1, Class A2, 3.55%, 09/25/28^(a)		3,000		3,392,118
Series 2019-M2, Class A2, 3.63%, 11/25/28^(a)		2,000		2,272,574
Series 2019-M5, Class A2, 3.27%, 02/25/29		2,450		2,715,973
Series 2019-M6, Class A1, 3.30%, 08/01/28		1,299		1,392,174
Series 2019-M7, Class A2, 3.14%, 04/25/29		1,300		1,437,261
Series 2019-M9, Class A2, 2.94%, 06/25/29		1,970		2,151,949
Series 2020-M5, Class A2, 2.21%, 01/25/30		2,600		2,707,579
Freddie Mac Multifamily Structured Pass Through Certificates
Series K027, Class A2, 2.64%, 01/25/23 (Call 01/25/23)		1,000		1,019,554
Series K028, Class A2, 3.11%, 02/25/23 (Call 02/25/23)		2,710		2,783,418
Series K029, Class A2, 3.32%, 02/25/23 (Call 02/25/23)^(a)		2,985		3,076,075
Series K031, Class A2, 3.30%, 04/25/23 (Call 04/25/23)^(a)		2,000		2,069,034
Series K032, Class A2, 3.31%, 05/25/23 (Call 05/25/23)^(a)		180		186,631
Series K033, Class A2, 3.06%, 07/25/23 (Call 07/25/23)^(a)		2,000		2,066,443
Series K034, Class A2, 3.53%, 07/25/23 (Call 07/25/23)^(a)		2,271		2,368,893
Series K035, Class A2, 3.46%, 08/25/23 (Call 08/25/23)^(a)		375		391,023
Series K036, Class A2, 3.53%, 10/25/23 (Call 10/25/23)^(a)		3,150		3,289,047
Series K037, Class A2, 3.49%, 01/25/24 (Call 01/25/24)		3,000		3,157,908
Series K038, Class A2, 3.39%, 03/25/24 (Call 03/25/24)		500		526,935
Series K040, Class A2, 3.24%, 09/25/24 (Call 09/25/24)		1,120		1,187,241
Series K041, Class A2, 3.17%, 10/25/24 (Call 10/25/24)		1,250		1,325,155
Series K043, Class A2, 3.06%, 12/25/24 (Call 12/25/24)		1,000		1,058,572
Series K044, Class A2, 2.81%, 01/25/25 (Call 01/25/25)		3,820		4,019,418
Series K046, Class A2, 3.21%, 03/25/25 (Call 03/25/25)		1,285		1,370,874
Series K048, Class A1, 2.69%, 12/25/24 (Call 10/25/24)		256		262,471
Series K049, Class A2, 3.01%, 07/25/25 (Call 07/25/25)		3,800		4,041,823
Series K050, Class A2, 3.33%, 08/25/25 (Call 08/25/25)^(a)		3,450		3,710,696
Series K051, Class A2, 3.31%, 09/25/25 (Call 09/25/25)		2,630		2,830,106
Series K052, Class A2, 3.15%, 11/25/25 (Call 11/25/25)		800		857,369
Series K053, Class A2, 3.00%, 12/25/25 (Call 12/25/25)		2,200		2,344,720
Series K054, Class A2, 2.75%, 01/25/26 (Call 01/25/26)		700		740,571
Series K056, Class A2, 2.53%, 05/25/26 (Call 05/25/26)		1,725		1,813,988
Series K057, Class A1, 2.21%, 06/25/25 (Call 04/25/25)		577		587,828
Series K058, Class A1, 2.34%, 07/25/26 (Call 06/25/26)		1,165		1,197,827
Series K058, Class A2, 2.65%, 08/25/26 (Call 08/25/26)		1,527		1,618,091
Series K059, Class A2, 3.12%, 09/25/26 (Call 09/25/26)^(a)		3,280		3,545,296
Series K060, Class A2, 3.30%, 10/25/26 (Call 10/25/26)		2,797		3,051,633
Series K061, Class A1, 3.01%, 08/25/26 (Call 12/25/25)		670		695,920
Series K061, Class A2, 3.35%, 11/25/26 (Call 11/25/26)^(a)		1,300		1,421,191


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Series K062, Class A2, 3.41%, 12/25/26 (Call 12/25/26)	$	1,000	$	1,098,329
Series K063, Class A2, 3.43%, 01/25/27 (Call 01/25/27)^(a)		1,345		1,478,317
Series K064, Class A1, 2.89%, 10/25/26 (Call 10/25/26)		786		818,017
Series K064, Class A2, 3.22%, 03/25/27 (Call 03/25/27)		325		354,201
Series K065, Class A1, 2.86%, 10/25/26 (Call 10/25/26)		1,845		1,919,365
Series K065, Class A2, 3.24%, 04/25/27 (Call 04/25/27)		2,570		2,808,268
Series K066, Class A2, 3.12%, 06/25/27 (Call 06/25/27)		1,610		1,751,671
Series K067, Class A1, 2.90%, 03/25/27 (Call 03/25/27)		871		908,176
Series K067, Class A2, 3.19%, 07/25/27 (Call 07/25/27)		1,600		1,749,269
Series K068, Class A2, 3.24%, 08/25/27 (Call 08/25/27)		1,000		1,096,751
Series K069, Class A2, 3.19%, 09/25/27 (Call 09/25/27)^(a)		1,960		2,145,990
Series K070, Class A2, 3.30%, 11/25/27 (Call 11/25/27)^(a)		5,541		6,110,602
Series K071, Class A2, 3.29%, 11/25/27 (Call 11/25/27)		1,500		1,653,978
Series K072, Class A2, 3.44%, 12/25/27 (Call 12/25/27)		3,450		3,837,619
Series K073, Class A2, 3.35%, 01/25/28 (Call 01/25/28)		3,937		4,361,154
Series K074, Class A1, 3.60%, 09/25/27 (Call 09/25/27)		924		998,254
Series K074, Class A2, 3.60%, 01/25/28 (Call 01/25/28)		3,000		3,367,805
Series K075, Class A2, 3.65%, 02/25/28 (Call 02/25/28)^(a)		1,000		1,125,361
Series K076, Class A1, 3.73%, 12/25/27 (Call 12/25/27)		1,024		1,116,108
Series K076, Class A2, 3.90%, 04/25/28 (Call 04/25/28)		3,525		4,023,247
Series K077, Class A2, 3.85%, 05/25/28 (Call 05/25/28)^(a)		1,000		1,139,095
Series K078, Class A2, 3.85%, 06/25/28 (Call 06/25/28)		1,000		1,141,827
Series K079, Class A2, 3.93%, 06/25/28 (Call 06/25/28)		2,000		2,293,613
Series K080, Class A2, 3.93%, 07/25/28 (Call 07/25/28)^(a)		700		803,184
Series K081, Class A2, 3.90%, 08/25/28 (Call 08/25/28)^(a)		1,500		1,720,139
Series K082, Class A2, 3.92%, 09/25/28 (Call 09/25/28)^(a)		2,000		2,297,344
Series K083, Class A2, 4.05%, 09/25/28 (Call 09/25/28)^(a)		1,195		1,382,738
Series K084, Class A2, 3.78%, 10/25/28 (Call 10/25/28)^(a)		1,000		1,134,600
Series K085, Class A2, 4.06%, 10/25/28 (Call 10/25/28)^(a)		1,000		1,153,844
Series K086, Class A2, 3.86%, 11/25/28 (Call 11/25/28)^(a)		1,725		1,978,919
Series K087, Class A2, 3.77%, 12/25/28 (Call 12/25/28)		4,571		5,219,154
Series K088, Class A1, 3.48%, 09/25/28 (Call 09/25/28)		342		372,423
Series K088, Class A2, 3.69%, 01/25/29 (Call 01/25/29)		2,010		2,286,878
Series K089, Class A2, 3.56%, 01/25/29 (Call 01/25/29)		2,400		2,713,115
Series K090, Class A2, 3.42%, 02/25/29 (Call 02/25/29)		2,500		2,807,914
Series K091, Class A2, 3.51%, 03/25/29 (Call 03/25/29)		6,517		7,354,468
Series K092, Class A2, 3.30%, 04/25/29 (Call 04/25/29)		3,010		3,358,317
Series K094, Class A2, 2.90%, 06/25/29 (Call 06/25/29)		1,420		1,549,285
Series K096, Class A2, 2.52%, 07/25/29 (Call 07/25/29)		1,215		1,293,925
Series K100, Class A2, 2.67%, 09/25/29 (Call 09/25/29)		1,000		1,076,980
Series K101, Class A2, 2.52%, 10/25/29 (Call 10/25/29)		250		266,574
Series K102, Class A1, 2.18%, 05/25/29 (Call 04/25/29)		971		1,010,089
Series K102, Class A2, 2.54%, 10/25/29 (Call 10/25/29)		2,000		2,134,275
Series K103, Class A2, 2.65%, 11/25/29 (Call 11/25/29)		2,720		2,924,570
Series K105, Class A2, 1.87%, 03/25/53 (Call 01/25/30)		2,060		2,095,241
Series K106, Class A2, 2.07%, 01/25/30 (Call 01/25/30)		3,500		3,612,067
Series K108, Class A2, 1.52%, 03/25/30 (Call 03/25/30)		4,153		4,117,572
Series K110, Class A2, 1.48%, 04/25/30 (Call 04/25/30)		4,640		4,584,236
Series K111, Class A2, 1.35%, 05/25/30 (Call 05/25/30)		1,500		1,466,058
Series K115, Class A2, 1.38%, 06/25/30 (Call 06/25/30)		1,000		979,065
Series K116, Class A2, 1.38%, 07/25/30 (Call 07/25/30)		2,000		1,956,659
Series K117, Class A2, 1.41%, 08/25/30 (Call 08/25/30)		1,500		1,470,074
Series K125, Class A2, 1.85%, 01/25/31 (Call 01/25/31)		2,000		2,027,609
Series K130, Class A2, 1.72%, 06/25/31 (Call 06/25/31)		2,500		2,503,759
Series K1510, Class A2, 3.72%, 01/25/31 (Call 01/25/31)		250		290,038
Series K1510, Class A3, 3.79%, 01/25/34 (Call 01/25/34)		500		586,198
Series K-1512, Class A2, 2.99%, 05/25/31 (Call 05/25/31)		1,230		1,343,349
Series K-1512, Class A3, 3.06%, 04/25/34 (Call 04/25/34)		1,450		1,594,830
Series K-1513, Class A3, 2.80%, 08/25/34 (Call 08/25/34)		1,015		1,091,806
Series K-1514, Class A2, 2.86%, 10/25/34 (Call 10/25/34)		1,000		1,083,549


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
Series K152, Class A2, 3.08%, 01/25/31 (Call 01/25/31)	$	250	$	274,846
Series K153, Class A3, 3.12%, 10/25/31 (Call 10/25/31)^(a)		500		558,183
Series K154, Class A2, 3.42%, 04/25/32 (Call 11/25/31)		1,500		1,689,214
Series K154, Class A3, 3.46%, 11/25/32 (Call 11/25/32)		1,345		1,545,014
Series K157, Class A2, 3.99%, 05/25/33 (Call 05/25/33)^(a)		1,076		1,250,992
Series K159, Class A1, 3.95%, 12/25/29 (Call 12/25/29)		1,552		1,742,573
Series K159, Class A2, 3.95%, 11/25/30 (Call 11/25/30)^(a)		833		966,665
Series K159, Class A3, 3.95%, 11/25/33 (Call 11/25/33)^(a)		2,000		2,375,116
Series K720, Class A2, 2.72%, 06/25/22 (Call 06/25/22)		742		747,530
Series K723, Class A2, 2.45%, 08/25/23 (Call 08/25/23)		439		449,428
Series K724, Class A2, 3.06%, 11/25/23 (Call 11/25/23)^(a)		1,400		1,443,920
Series K725, Class A2, 3.00%, 01/25/24 (Call 01/25/24)		1,010		1,050,740
Series K728, Class A2, 3.06%, 08/25/24 (Call 08/25/24)^(a)		2,000		2,094,994
Series K729, Class A1, 2.95%, 02/25/24 (Call 02/25/24)		369		376,053
Series K730, Class A2, 3.59%, 01/25/25 (Call 01/25/25)^(a)		2,000		2,130,195
Series K731, Class A2, 3.60%, 02/25/25 (Call 02/25/25)^(a)		1,000		1,060,103
Series K733, Class A2, 3.75%, 08/25/25 (Call 08/25/25)		1,000		1,079,444
Series K734, Class A2, 3.21%, 02/25/26 (Call 02/25/26)		2,455		2,628,559
Series K739, Class A2, 1.34%, 09/25/27 (Call 09/25/27)		2,150		2,142,985
Series KS03, Class A4, 3.16%, 05/25/25 (Call 05/25/25)^(a)		1,000		1,054,934


				252,832,051

U.S. Government Obligations — 0.2%
U.S. Treasury Note/Bond, 1.25%, 08/15/31		1,500		1,457,578


Total U.S. Government & Agency Obligations — 31.0%

(Cost: $249,151,841)				254,289,629


Security	Shares (000)		Value

Short-Term Investments

Money Market Funds — 0.7%
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.00%^(b)(c)		6,210	$	6,210,000


Total Short-Term Investments — 0.7% (Cost: $6,210,000)				6,210,000


Total Investments in Securities — 100.2% (Cost: $813,768,051)				822,190,796

Other Assets, Less Liabilities — (0.2)%				(1,804,880	)


Net Assets — 100.0%			$	820,385,916

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

^(b)	Affiliate of the Fund.

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

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

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	Par (000)		Value

U.S. Government Agency Obligations

Mortgage-Backed Securities — 100.8%
Government National Mortgage Association
1.50%, 11/18/21^(a)	$	1,575	$	1,543,838
2.00%, 04/20/51		48,859		49,523,401
2.00%, 10/20/51		2,320		2,351,542
2.00%, 11/18/51^(a)		59,680		60,434,159
2.50%, 01/15/28		5		4,756
2.50%, 02/20/28		8		8,611
2.50%, 01/20/31		126		130,663
2.50%, 07/20/35		1,840		1,915,202
2.50%, 04/20/43		18		18,518
2.50%, 12/20/46		1,702		1,761,016
2.50%, 01/20/47		163		168,147
2.50%, 08/20/50		18,575		19,093,309
2.50%, 09/20/50		5,333		5,481,196
2.50%, 01/20/51		4,627		4,756,283
2.50%, 02/20/51		5,367		5,521,135
2.50%, 05/20/51		7,253		7,461,913
2.50%, 07/20/51		21,724		22,349,114
2.50%, 08/20/51		29,651		30,503,505
2.50%, 11/18/51^(a)		18,446		18,961,551
3.00%, 11/18/21^(a)		6,925		7,190,639
3.00%, 07/15/27		5		5,319
3.00%, 09/15/27		8		8,137
3.00%, 01/20/31		166		174,781
3.00%, 07/20/31		272		285,706
3.00%, 02/20/32		205		215,463
3.00%, 09/15/42		5		5,629
3.00%, 10/15/42		41		43,002
3.00%, 01/20/43		421		445,437
3.00%, 07/15/43		73		76,848
3.00%, 09/20/43		882		933,141
3.00%, 01/15/44		2,126		2,245,779
3.00%, 08/20/44		508		537,764
3.00%, 05/20/45		376		395,830
3.00%, 07/20/45		102		107,320
3.00%, 10/20/45		165		173,185
3.00%, 11/20/45		2,567		2,701,233
3.00%, 12/20/45		2,036		2,143,147
3.00%, 01/20/46		677		712,043
3.00%, 02/20/46		688		723,897
3.00%, 03/20/46		2,626		2,750,966
3.00%, 04/20/46		1,743		1,825,896
3.00%, 05/20/46		2,196		2,301,233
3.00%, 06/20/46		781		817,904
3.00%, 07/20/46		796		833,825
3.00%, 08/20/46		5,096		5,339,427
3.00%, 09/20/46		3,401		3,563,233
3.00%, 12/15/46		176		185,754
3.00%, 12/20/46		583		611,350
3.00%, 02/15/47		200		210,935
3.00%, 02/20/47		648		679,123
3.00%, 06/20/47		77		80,727
3.00%, 07/20/47		1,359		1,419,363
3.00%, 10/20/47		446		465,460
3.00%, 12/20/47		850		887,484
3.00%, 01/20/48		1,204		1,257,628
3.00%, 02/20/48		63		65,860
3.00%, 04/20/49		2,763		2,885,997


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
3.00%, 07/20/49	$	595	$	618,315
3.00%, 09/20/49		46		48,213
3.00%, 10/15/49		1,124		1,172,338
3.00%, 11/20/49		1,784		1,852,273
3.00%, 01/20/50		4,479		4,647,776
3.00%, 02/15/50		808		843,017
3.00%, 02/20/50		1,877		1,947,252
3.00%, 04/20/50		13,635		14,142,623
3.00%, 07/20/50		17,304		17,950,114
3.00%, 08/20/50		1,828		1,896,391
3.00%, 01/20/51		11,694		12,132,935
3.50%, 02/15/26		3		3,270
3.50%, 11/15/26		2		2,452
3.50%, 02/20/27		7		7,348
3.50%, 01/20/31		54		57,822
3.50%, 07/20/32		148		157,904
3.50%, 09/15/41		5		5,859
3.50%, 06/20/42		3,496		3,684,937
3.50%, 09/15/42		15		16,730
3.50%, 09/20/42		150		161,230
3.50%, 10/15/42		6		6,329
3.50%, 10/20/42		351		378,613
3.50%, 11/15/42		28		29,741
3.50%, 11/20/42		1,166		1,256,749
3.50%, 12/20/42		124		133,283
3.50%, 02/20/43		975		1,054,431
3.50%, 03/15/43		584		632,155
3.50%, 05/15/43		41		43,882
3.50%, 06/15/43		137		148,203
3.50%, 04/20/45		370		393,590
3.50%, 09/20/45		4,070		4,326,478
3.50%, 11/20/45		15		15,605
3.50%, 12/20/45		101		107,708
3.50%, 03/20/46		525		555,907
3.50%, 04/20/46		83		87,809
3.50%, 06/20/46		815		862,748
3.50%, 07/20/46		4,817		5,100,791
3.50%, 11/20/46		15		15,354
3.50%, 12/20/46		197		209,074
3.50%, 01/20/47		72		76,004
3.50%, 02/20/47		176		186,393
3.50%, 03/20/47		366		385,730
3.50%, 04/20/47		1,549		1,634,548
3.50%, 08/20/47		640		688,950
3.50%, 09/20/47		1,419		1,495,410
3.50%, 10/20/47		10,558		11,136,607
3.50%, 11/20/47		1,375		1,449,033
3.50%, 12/15/47		528		569,904
3.50%, 12/20/47		615		662,482
3.50%, 01/20/48		455		479,595
3.50%, 02/20/48		1,959		2,064,812
3.50%, 04/20/48		138		149,303
3.50%, 11/20/48		996		1,049,146
3.50%, 01/20/50		4,482		4,685,140
3.50%, 03/20/50		3,827		3,998,273
3.50%, 04/20/50		14,503		15,147,300
3.50%, 05/20/50		9,457		9,876,503
3.50%, 06/20/50		912		953,596
3.50%, 08/20/50		3,989		4,170,045
3.50%, 11/19/50^(a)		920		962,334


Security	Par (000)		Value

Mortgage-Backed Securities (continued)
3.50%, 05/20/51	$	2,675	$	2,812,548
4.00%, 03/20/26		2		2,387
4.00%, 07/20/26		2		1,900
4.00%, 02/15/41		8		8,837
4.00%, 03/15/41		8		9,287
4.00%, 04/15/41		36		38,744
4.00%, 05/15/41		8		8,266
4.00%, 12/15/41		9		9,893
4.00%, 01/15/42		5		5,558
4.00%, 02/15/42		20		22,265
4.00%, 03/15/42		53		58,435
4.00%, 05/15/42		9		9,761
4.00%, 08/15/42		10		11,173
4.00%, 09/20/42		250		273,770
4.00%, 04/15/44		45		48,327
4.00%, 05/15/44		52		56,094
4.00%, 08/20/44		33		35,580
4.00%, 10/20/44		356		387,883
4.00%, 03/20/45		1,403		1,526,308
4.00%, 08/15/45		3,305		3,610,813
4.00%, 08/20/45		585		635,390
4.00%, 09/20/45		804		873,671
4.00%, 10/20/45		7		7,846
4.00%, 01/20/46		12		13,377
4.00%, 03/20/46		144		156,264
4.00%, 07/20/46		14		15,172
4.00%, 09/20/46		409		441,993
4.00%, 11/20/46		165		178,835
4.00%, 12/15/46		27		28,812
4.00%, 06/20/47		2,494		2,678,842
4.00%, 07/20/47		522		560,755
4.00%, 08/20/47		10		10,373
4.00%, 11/20/47		153		163,869
4.00%, 03/20/48		1,484		1,585,063
4.00%, 04/20/48		622		673,078
4.00%, 05/20/48		3,502		3,791,282
4.00%, 07/20/48		559		596,352
4.00%, 09/20/48		2,641		2,813,070
4.00%, 10/20/48		1,881		2,004,257
4.00%, 11/20/48		11,324		12,088,736
4.00%, 09/15/49		301		324,686
4.00%, 01/20/50		802		850,525
4.00%, 02/20/50		17		18,392
4.00%, 09/20/50		519		550,893
4.00%, 11/18/51^(a)		3,055		3,237,703
4.50%, 11/18/21^(a)		1,500		1,599,785
4.50%, 07/20/24		1		1,381
4.50%, 08/15/39		113		125,701
4.50%, 07/15/40		26		29,314
4.50%, 08/15/40		44		49,535
4.50%, 11/20/45		256		283,708
4.50%, 08/20/46		460		510,746
4.50%, 09/20/46		68		76,083
4.50%, 10/20/46		78		87,008
4.50%, 11/20/46		80		89,215
4.50%, 04/20/47		8		8,969
4.50%, 06/20/47		10		10,474
4.50%, 07/20/47		3,517		3,814,139
4.50%, 02/20/48		532		574,943
4.50%, 06/20/48		34		36,202


Security	Par/ Shares (000)			Value

Mortgage-Backed Securities (continued)
4.50%, 07/20/48	$	216		$	231,520
4.50%, 08/20/48		180			192,631
4.50%, 09/20/48		5,185			5,543,687
4.50%, 10/20/48		176			187,715
4.50%, 12/20/48		1,568			1,674,180
4.50%, 01/20/49		1,061			1,131,206
4.50%, 03/20/49		27			28,481
4.50%, 06/20/49		1,028			1,095,000
4.50%, 08/20/49		318			338,934
4.50%, 10/20/49		235			250,936
4.50%, 01/20/50		1,269			1,351,852
5.00%, 07/15/39		25			28,497
5.00%, 07/20/42		137			156,911
5.00%, 07/20/46		53			61,118
5.00%, 04/20/48		72			78,000
5.00%, 05/20/48		383			415,703
5.00%, 11/20/48		95			102,006
5.00%, 12/20/48		90			96,767
5.00%, 01/20/49		266			287,131
5.00%, 04/20/49		17			18,195
5.00%, 09/20/50		328			358,735
5.00%, 11/18/51^(a)		6,037			6,524,953
5.50%, 10/15/38		16			18,239
5.50%, 07/20/40		231			264,917
5.50%, 11/18/51^(a)		625			692,969
6.00%, 09/20/38		22			25,478
6.00%, 11/18/51^(a)		200			223,906


					487,736,616


Total U.S. Government Agency Obligations — 100.8%

(Cost: $489,482,502)					487,736,616


Short-Term Investments

Money Market Funds — 20.0%
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.00%^(b)(c)		96,704			96,704,000


Total Short-Term Investments — 20.0% (Cost: $96,704,000)					96,704,000


Total Investments Before TBA Sales Commitments — 120.8%
(Cost: $586,186,502)					584,440,616


TBA Sales Commitments^(a)

Mortgage-Backed Securities — (1.4)%
Government National Mortgage Association
1.50%, 11/18/51		(75	)		(73,516	)
2.00%, 11/18/51		(2,550	)		(2,582,224	)
2.50%, 11/18/51		(1,300	)		(1,336,334	)
3.00%, 11/18/51		(1,550	)		(1,609,457	)


Security	Par (000)		Value

U.S. Government Obligations

U.S. Government Obligations — 97.1%
U.S. Treasury Floating Rate Note
0.08%, 07/31/23,
(3 mo.Treasury money market yield + 0.029%)^(a)	$	54,943	$	54,941,929
0.09%, 04/30/23,
(3 mo.Treasury money market yield + 0.034%)^(a)		23,604		23,606,367
0.10%, 01/31/23,
(3 mo.Treasury money market yield + 0.049%)^(a)		42,988		43,000,880
0.11%, 07/31/22,
(3 mo.Treasury money market yield + 0.055%)^(a)		877		877,038
0.11%, 10/31/22,
(3 mo.Treasury money market yield + 0.055%)^(a)		129,624		129,677,833
0.17%, 04/30/22,
(3 mo.Treasury money market yield + 0.114%)^(a)		920		920,291
0.21%, 01/31/22,
(3 mo.Treasury money market yield + 0.154%)^(a)		808		808,299


				253,832,637


Total U.S. Government Obligations — 97.1% (Cost: $253,820,527)				253,832,637


Security	Shares (000)		Value

Short-Term Investments

Money Market Funds — 0.1%
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.00%^(b)(c)		200	$	200,000


Total Short-Term Investments — 0.1% (Cost: $200,000)				200,000


Total Investments in Securities — 97.2% (Cost: $254,020,527)				254,032,637

Other Assets, Less Liabilities — 2.8%				7,331,496


Net Assets — 100.0%			$	261,364,133

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

^(b)	Affiliate of the Fund.

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


Security	Par (000)		Value

U.S. Government Obligations

U.S. Government Obligations — 99.2%
U.S. Treasury Note/Bond
0.13%, 08/31/22	$	163	$	163,000
0.13%, 09/30/22		4,807		4,806,249
0.13%, 10/31/22^(a)		254		253,921
0.13%, 12/31/22		2,618		2,614,625
0.13%, 01/31/23		1,808		1,804,822
0.13%, 02/28/23		483		481,906
0.13%, 03/31/23		1,244		1,240,453
0.13%, 04/30/23		760		757,269
0.13%, 07/15/23		1,354		1,347,494
0.13%, 07/31/23		367		365,079
0.13%, 08/15/23		486,408		483,709,953
0.13%, 08/31/23		1,059		1,052,919
0.13%, 09/15/23		1,662		1,651,418
0.13%, 10/15/23		1,233		1,224,282
0.13%, 12/15/23		299,850		297,156,034
0.13%, 01/15/24		13,994		13,855,700
0.25%, 04/15/23		131,000		130,836,250
0.25%, 09/30/23^(a)		110		109,553
0.25%, 11/15/23		22,383		22,191,095
0.25%, 05/15/24		965,028		954,887,669
0.25%, 06/15/24		6,089		6,018,358
0.25%, 05/31/25		64,480		62,895,706
0.25%, 07/31/25		10,673		10,385,746
0.25%, 08/31/25		78,303		76,060,965
0.25%, 10/31/25		310,390		300,702,436
0.38%, 10/31/23		901		898,853
0.38%, 04/15/24		605,377		601,238,679
0.38%, 07/15/24^(a)		215,876		213,944,922
0.38%, 08/15/24		864,842		856,734,106
0.38%, 09/15/24		456		451,369
0.38%, 11/30/25		321,898		312,970,164
0.50%, 02/28/26		226,317		220,482,265
0.63%, 10/15/24		456		454,254
0.63%, 07/31/26		39,562		38,559,042
0.63%, 11/30/27		483		462,171
0.63%, 12/31/27		1,630		1,557,032
0.63%, 08/15/30		302,426		280,252,032
0.75%, 03/31/26		82,237		80,900,649
0.75%, 04/30/26		27,792		27,321,924
0.75%, 05/31/26		43,038		42,279,791
0.75%, 08/31/26		268,286		262,899,321
0.88%, 06/30/26		80,610		79,551,994
0.88%, 09/30/26^(a)		2,219		2,186,582
1.00%, 07/31/28		89,265		86,677,709
1.13%, 02/28/25		72,980		73,592,918
1.13%, 10/31/26		1,988		1,981,477
1.13%, 08/31/28		10,781		10,546,850
1.13%, 08/15/40		114,242		98,694,378
1.25%, 08/31/24		1,973		2,001,670
1.25%, 03/31/28		125,966		124,730,942
1.25%, 06/30/28		135,781		134,110,257
1.25%, 09/30/28		40,186		39,627,163
1.25%, 08/15/31^(a)		53,684		52,165,944
1.38%, 10/15/22		4,264		4,313,969
1.38%, 02/15/23		1,848		1,874,060
1.38%, 06/30/23		2,615		2,657,800
1.38%, 11/15/40		183,897		165,952,676


Security	Par (000)		Value

U.S. Government Obligations (continued)
1.38%, 08/15/50	$	2,431	$	2,119,813
1.50%, 02/28/23		528		536,477
1.50%, 02/15/30^(a)		109,279		109,389,485
1.63%, 08/31/22		10		10,124
1.63%, 11/15/22		10		10,152
1.63%, 05/31/23		32		32,632
1.63%, 02/15/26		109,074		111,498,340
1.63%, 05/15/26		356,740		364,446,141
1.63%, 08/15/29		2,240		2,265,219
1.63%, 05/15/31		482,316		485,707,284
1.63%, 11/15/50		291		269,717
1.75%, 07/15/22		160		161,844
1.75%, 09/30/22		1,625		1,649,007
1.75%, 01/31/23		1,682		1,713,012
1.75%, 08/15/41		364		350,407
1.88%, 07/31/22		2,871		2,908,906
1.88%, 08/31/22		3,476		3,526,105
1.88%, 09/30/22		1,424		1,446,361
1.88%, 10/31/22		144		146,464
1.88%, 02/15/51		801,624		788,597,610
2.00%, 10/31/22		100		101,840
2.00%, 11/30/22		100		101,973
2.00%, 04/30/24		4,000		4,133,594
2.00%, 05/31/24		21,691		22,423,918
2.00%, 02/15/25		317,744		329,659,400
2.00%, 08/15/25		251,051		260,553,568
2.00%, 11/15/26		197,956		205,673,192
2.00%, 02/15/50		3,394		3,432,308
2.00%, 08/15/51		113		114,607
2.13%, 12/31/22		4,899		5,006,766
2.13%, 11/30/23		1,063		1,097,963
2.13%, 03/31/24		5,000		5,177,148
2.13%, 09/30/24		1,696		1,762,846
2.13%, 05/15/25		214,203		223,081,126
2.25%, 12/31/23		261		270,431
2.25%, 04/30/24		1,867		1,940,586
2.25%, 10/31/24		262		273,514
2.25%, 11/15/24		5,744		5,997,992
2.25%, 11/15/25		16,877		17,689,970
2.25%, 02/15/27		320,078		336,519,613
2.25%, 08/15/27		330,904		348,043,479
2.25%, 11/15/27		191,221		201,208,341
2.25%, 05/15/41		2		2,088
2.25%, 08/15/49		46,031		49,061,094
2.38%, 02/29/24		324,838		338,097,988
2.38%, 08/15/24		500,060		522,875,447
2.38%, 05/15/27		168,974		178,848,947
2.38%, 05/15/29		17,836		18,975,997
2.38%, 11/15/49		351		384,043
2.50%, 02/15/46		4,943		5,441,409
2.50%, 05/15/46		180,738		199,214,224
2.63%, 02/28/23		2,082		2,146,087
2.63%, 06/30/23		90		93,312
2.63%, 12/31/23		150,557		157,202,679
2.63%, 02/15/29		14,816		16,003,232
2.75%, 07/31/23		170,550		177,445,284
2.75%, 08/31/23		29		30,209
2.75%, 02/15/24		169,916		178,259,141
2.75%, 06/30/25		97,142		103,406,900
2.75%, 02/15/28		359,771		389,424,002


Security	Par (000)		Value

U.S. Government Obligations (continued)
2.75%, 11/15/42	$	357,530	$	404,037,282
2.88%, 11/30/23		410		429,811
2.88%, 04/30/25		2,896		3,090,607
2.88%, 05/31/25		193,740		207,029,353
2.88%, 11/30/25		23,741		25,476,133
2.88%, 05/15/28		270,337		295,078,954
2.88%, 08/15/28		14,280		15,616,530
2.88%, 05/15/43		28,684		33,129,015
2.88%, 08/15/45		63,998		74,937,892
2.88%, 11/15/46		170,915		202,300,602
2.88%, 05/15/49		8,610		10,333,009
3.00%, 10/31/25		19,066		20,537,657
3.00%, 11/15/44		6,737		8,001,767
3.00%, 02/15/47		3,000		3,636,445
3.00%, 02/15/48		89,356		108,783,950
3.00%, 08/15/48		12,509		15,263,912
3.00%, 02/15/49		14,237		17,443,662
3.13%, 11/15/28		540,089		600,616,942
3.13%, 11/15/41		20,338		24,256,720
3.13%, 02/15/43		62,881		75,329,114
3.13%, 05/15/48		3,296		4,107,511
3.38%, 05/15/44		39,150		49,082,156
3.63%, 08/15/43		2,345		3,027,432
3.75%, 11/15/43		584,252		768,929,879
3.88%, 08/15/40		60,553		79,463,986
4.38%, 11/15/39		36,325		50,365,464
4.50%, 05/15/38		241		336,214
5.50%, 08/15/28		219		276,761
7.13%, 02/15/23		747		812,734


Security	Par/ Shares (000)		Value

U.S. Government Obligations (continued)
U.S. Treasury STRIPS 0.00%, 05/15/26^(b)	$	96	$	91,318
0.00%, 02/15/27^(b)		2		1,867
0.00%, 08/15/36^(b)		142		107,927
0.00%, 05/15/37^(b)		61,766		45,993,540


				15,534,533,369


Total U.S. Government Obligations — 99.2% (Cost: $15,634,620,021)				15,534,533,369


Short-Term Investments

Money Market Funds — 2.7%
BlackRock Cash Funds: Treasury, SL Agency Shares, 0.00%^(c)(d)(e)		426,475		426,474,749


Total Short-Term Investments — 2.7% (Cost: $426,474,749)				426,474,749


Total Investments in Securities — 101.9% (Cost: $16,061,094,770)				15,961,008,118

Other Assets, Less Liabilities — (1.9)%				(295,826,721	)


Net Assets — 100.0%			$	15,665,181,397

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

^(b)	Zero-coupon bond.

^(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.

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 (the “trade dates”). Realized gains and losses on investment transactions are determined using the specific identification method. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend date. Non-cash dividends, if any, are recorded on the ex-dividend date at fair value. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on an accrual basis.

Segregation and Collateralization: In cases where a Fund enters into certain investments (e.g., dollar rolls and TBA sale commitments ) 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:

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.

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

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

Non-agency mortgage-backed securities are securities issued by non-governmental issuers and have no direct or indirect government guarantees of payment and are subject to various risks. Non-agency mortgage loans are obligations of the borrowers thereunder only and are not typically insured or guaranteed by any other person or entity. The ability of a borrower to repay a loan is dependent upon the income or assets of the borrower. A number of factors, including a general economic downturn, acts of God, terrorism, social unrest and civil disturbances, may impair a borrower’s ability to repay its loans.

Stripped Bonds: A stripped bond is a bond that has had its coupon payments and principal repayment stripped into two separate components then selling the separate parts as a zero-coupon bond and an interest paying coupon bond. Once stripped, each component trades as a separate security. Stripped bonds have a greater sensitivity to changes in interest rates than similar maturity debt obligations which provide for regular interest payments.

Zero-Coupon Bonds: Zero-coupon bonds are normally issued at a significant discount from face value and do not provide for periodic interest payments. These bonds may experience greater volatility in market value than other debt obligations of similar maturity which provide for regular interest payments.

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

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

Securities Lending: Each Fund may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Fund collateral consisting of cash, an irrevocable letter of credit issued by an approved bank, or securities issued or guaranteed by the U.S. government. The initial collateral received by each Fund is required to have a value of at least 102% of the current market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Fund and any additional required collateral is delivered to the Fund or excess collateral is returned by the Fund, on the next business day. During the term of the loan, each Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

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

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

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

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.

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:

Effective October 20, 2021, for its investment advisory services to the iShares GNMA Bond ETF, BFA is entitled to an annual investment advisory fee of 0.10%, accrued daily and paid monthly by the Fund, based on the average daily net assets of the Fund. Prior to October 20, 2021, BFA was entitled to an annual investment advisory fee of 0.15%, accrued daily and paid monthly by the Fund, based on the average daily net assets of the Fund.

Effective April 1, 2021, for its investment advisory services to the iShares U.S. Treasury Bond ETF, BFA is entitled to an annual investment advisory fee of 0.05%, accrued daily and paid monthly by the Fund, based on the average daily net assets of the Fund. Prior to April 1, 2021, BFA was entitled to an annual investment advisory fee of 0.15%, accrued daily and paid monthly by the Fund, based on the average daily net assets of the Fund.

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

For the iShares GNMA Bond ETF, BFA has contractually agreed to waive a portion of its investment advisory fees for the Fund through February 29, 2024 in an amount equal to the acquired fund fees and expenses, if any, attributable to the Fund’s investments in other registered investment companies.

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

Distributor: BlackRock Investments, LLC, an affiliate of BFA, is the distributor for 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 82% of securities lending income (which excludes collateral investment fees), and the amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

In addition, commencing the business day following the date that the aggregate securities lending income plus the collateral investment fees generated across all 1940 Act iShares exchange-traded funds (the “iShares ETF Complex”) in that calendar year exceeds a specified threshold, each Fund, pursuant to the securities lending agreement, will retain for the remainder of that calendar year 85% of securities lending income (which excludes collateral investment fees) and the amount retained can never be less than 70% of the total of securities lending income plus the collateral investment fees.

The share of securities lending income earned by each Fund is shown as securities lending income – affiliated – net in its Statements of Operations. For the year ended October 31, 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 year ended October 31, 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 year ended October 31, 2021, purchases and sales of investments, including mortgage dollar rolls and excluding short-term investments and in-kind transactions, were as follows:

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 October 31, 2021, inclusive of the open tax return years, and does not believe that there are any uncertain tax positions that require recognition of a tax liability in the Funds’ financial statements.

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

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

For the year ended October 31, 2021, the Funds listed below utilized the following amounts of their respective capital loss carryforwards:

As of October 31, 2021, gross unrealized appreciation and depreciation based on cost of investments (including short positions and derivatives, if any) for U.S. federal income tax purposes were as follows:

In the normal course of business, 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.

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

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

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

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.

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

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

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.

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of iShares CMBS ETF, iShares GNMA Bond ETF, iShares Treasury Floating Rate Bond ETF and iShares U.S. Treasury Bond ETF (four of the funds constituting iShares Trust, hereafter collectively referred to as the “Funds”) as of October 31, 2021, the related statements of operations for the year ended October 31, 2021, the statements of changes in net assets for each of the two years in the period ended October 31, 2021, including the related notes, and the financial highlights for each of the five years in the period ended October 31, 2021 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended October 31, 2021 and each of the financial highlights for each of the five years in the period ended October 31, 2021 in conformity with accounting principles generally accepted in the United States of America.

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

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

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

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

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

The Funds hereby designate the following amounts, or maximum amounts allowable by law, as interest-related dividends and qualified short-term capital gains eligible for exemption from U.S. withholding tax for nonresident aliens and foreign corporations for the fiscal year ended October 31, 2021:

The Funds hereby designate the following amounts, or maximum amounts allowable by law, of distributions from direct federal obligation interest for the fiscal year ended October 31, 2021:

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

The Funds hereby designate the following amounts, or maximum amounts allowable by law, as capital gain dividends, subject to a long-term capital gains tax rate of not greater than 20%, for the fiscal year ended October 31, 2021:

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

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

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

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

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).

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

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.

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

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

The 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.

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

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

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

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

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

The 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 Bloomberg Index Services Limited or Interactive Data Pricing and Reference Data LLC, nor do these companies make any representation regarding the advisability of investing in the iShares Funds. BlackRock is not affiliated with the companies listed above.


	Average Annual Total Returns									Cumulative Total Returns
	1 Year			5 Years			Since Inception			1 Year			5 Years			Since Inception
Fund NAV		0.29	%		3.11	%		3.22	%		0.29	%		16.53	%		36.10	%
Fund Market		0.15			3.15			3.23			0.15			16.75			36.20
Index		0.59			3.38			3.57			0.59			18.09			40.62


Actual							Hypothetical 5% Return

	Beginning Account Value (05/01/21)		Ending Account Value (10/31/21)		Expenses Paid During the Period	^(a)		Beginning Account Value (05/01/21)		Ending Account Value (10/31/21)		Expenses Paid During the Period	^(a)	Annualized Expense Ratio
$	1,000.00	$	1,003.40	$	1.26		$	1,000.00	$	1,023.90	$	1.28		0.25	%


ALLOCATION BY CREDIT QUALITY
Moody’s Credit Rating^*	Percent of Total Investments	^(a)
Aaa	75.9	%
Aa	4.0
A	0.6
Baa	0.1
Not Rated	19.4


ALLOCATION BY MATURITY
Maturity	Percent of Total Investments	^(a)
0-1 Year	0.1	%
1-5 Years	11.9
5-10 Years	29.7
10-15 Years	2.4
20-25 Years	3.8
25-30 Years	32.2
30-35 Years	14.2
35-40 Years	3.9
More than 40 Years	1.8


	Average Annual Total Returns									Cumulative Total Returns
	1 Year			5 Years			Since Inception			1 Year			5 Years			Since Inception
Fund NAV		(1.14	)%		1.71	%		1.69	%		(1.14	)%		8.83	%		17.73	%
Fund Market		(1.33	)		1.66			1.68			(1.33	)		8.60			17.59
Index		(0.96	)		1.87			2.00			(0.96	)		9.70			21.17


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


	Page
The Markets in Review		2
Market Overview		4
Fund Summary		5
About Fund Performance		13
Shareholder Expenses		13
Schedules of Investments		14
Financial Statements
Statements of Assets and Liabilities		31
Statements of Operations		32
Statements of Changes in Net Assets		33
Financial Highlights		35
Notes to Financial Statements		39
Report of Independent Registered Public Accounting Firm		47
Important Tax Information (Unaudited)		48
Board Review and Approval of Investment Advisory Contract		49
Supplemental Information		55
Trustee and Officer Information		56
General Information		58
Glossary of Terms Used in this Report		59


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


Fund Summary as of October 31, 2021		iShares^® CMBS ETF


Fund Summary as of October 31, 2021 (continued)		iShares^® CMBS ETF


Fund Summary as of October 31, 2021		iShares^® GNMA Bond ETF


Actual							Hypothetical 5% Return

	Beginning Account Value (05/01/21)		Ending Account Value (10/31/21)		Expenses Paid During the Period	^(a)		Beginning Account Value (05/01/21)		Ending Account Value (10/31/21)		Expenses Paid During the Period	^(a)	Annualized Expense Ratio
$	1,000.00	$	991.20	$	0.65		$	1,000.00	$	1,024.60	$	0.66		0.13	%


ALLOCATION BY MATURITY
Maturity	Percent of Total Investments	^(a)
0-1 Year	2.1	%
5-10 Years	1.5
10-15 Years	0.5
15-20 Years	0.1
20-25 Years	11.7
25-30 Years	66.8
30-35 Years	17.3


FIVE LARGEST HOLDINGS
Security	Percent of Total Investments	^(a)
Government National Mortgage Association, 2.00%, 11/18/51	12.6	%
Government National Mortgage Association, 2.00%, 04/20/51	10.3
Government National Mortgage Association, 2.50%, 08/20/51	6.3
Government National Mortgage Association, 2.50%, 07/20/51	4.7
Government National Mortgage Association, 2.50%, 11/18/51	3.9


Fund Summary as of October 31, 2021		iShares^® Treasury Floating Rate Bond ETF



		2021 Annual Report


Fund Summary as of October 31, 2021		iShares^® U.S. Treasury Bond 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		13


Affiliated Issuer	Value at 10/31/20		Purchases at Cost			Proceeds from Sales		Net Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)		Value at 10/31/21		Shares Held at 10/31/21 (000)		Income		Capital Gain Distributions from Underlying Funds
BlackRock Cash Funds: Treasury, SL Agency Shares	$	3,540,000	$	2,670,000	^(a)	$	—	$	—	$	—	$	6,210,000		6,210	$	833	$	—



	Level 1		Level 2		Level 3		Total

Investments
Assets
Collaterized Mortgage Obligations	$	—	$	561,691,167	$	—	$	561,691,167
U.S. Government & Agency Obligations		—		254,289,629		—		254,289,629
Money Market Funds		6,210,000		—		—		6,210,000


	$	6,210,000	$	815,980,796	$	—	$	822,190,796


	iShares CMBS ETF		iShares GNMA Bond ETF			iShares Treasury Floating Rate Bond ETF			iShares U.S. Treasury Bond ETF


ASSETS
Investments in securities, at value (including securities on loan)^(a):
Unaffiliated^(b)	$	815,980,796	$	487,736,616		$	253,832,637		$	15,534,533,369
Affiliated^(c)		6,210,000		96,704,000			200,000			426,474,749
Cash		9,671		389			1,343			2,717
Receivables:
Investments sold		10,264,610		7,712			7,297,100			832,019,014
Securities lending income — Affiliated		—		—			50			84,777
TBA sales commitments		—		6,538,355			—			—
Dividends		19		427			—			1,781
Interest		2,041,199		1,038,107			67,231			80,508,108

Total assets		834,506,295		592,025,606			261,398,361			16,873,624,515


LIABILITIES
Collateral on securities loaned, at value		—		—			—			153,589,749
TBA sales commitments, at value^(d)		—		6,563,865			—			—
Payables:
Investments purchased		13,947,570		101,564,475			—			1,054,188,683
Investment advisory fees		172,809		49,984			34,228			664,686

Total liabilities		14,120,379		108,178,324			34,228			1,208,443,118


NET ASSETS	$	820,385,916	$	483,847,282		$	261,364,133		$	15,665,181,397


NET ASSETS CONSIST OF:
Paid-in capital	$	808,648,854	$	489,565,888		$	261,437,612		$	15,883,083,206
Accumulated earnings (loss)		11,737,062		(5,718,606	)		(73,479	)		(217,901,809	)

NET ASSETS	$	820,385,916	$	483,847,282		$	261,364,133		$	15,665,181,397


Shares outstanding		15,300,000		9,700,000			5,200,000			592,100,000

Net asset value	$	53.62	$	49.88		$	50.26		$	26.46

Shares authorized		Unlimited		Unlimited			Unlimited			Unlimited

Par value		None		None			None			None


^(a) Securities loaned, at value	$	—	$	—		$	—		$	150,110,605
^(b) Investments, at cost — Unaffiliated	$	807,558,051	$	489,482,502		$	253,820,527		$	15,634,620,021
^(c) Investments, at cost — Affiliated	$	6,210,000	$	96,704,000		$	200,000		$	426,474,749
^(d) Proceeds from TBA sales commitments	$	—	$	6,538,355		$	—		$	—


	iShares CMBS ETF			iShares GNMA Bond ETF			iShares Treasury Floating Rate Bond ETF			iShares U.S. Treasury Bond ETF


INVESTMENT INCOME
Dividends — Affiliated	$	833		$	31,589		$	5,228		$	63,044
Interest — Unaffiliated		16,006,190			1,017,230			425,139			159,294,251
Securities lending income — Affiliated — net		—			—			8,994			494,338


Total investment income		16,007,023			1,048,819			439,361			159,851,633


EXPENSES
Investment advisory fees		1,592,431			745,546			494,120			13,705,632
Miscellaneous		173			173			173			173


Total expenses		1,592,604			745,719			494,293			13,705,805

Less:
Investment advisory fees waived		—			(82,659	)		—			—

Total expenses after fees waived		1,592,604			663,060			494,293			13,705,805

Net investment income (loss)		14,414,419			385,759			(54,932	)		146,145,828


REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) from:
Investments — Unaffiliated		2,035,608			(1,301,515	)		43,117			(126,707,461	)
In-kind redemptions — Unaffiliated		—			—			148,484			184,251,977

Net realized gain (loss)		2,035,608			(1,301,515	)		191,601			57,544,516

Net change in unrealized appreciation (depreciation) on:
Investments — Unaffiliated		(16,946,499	)		(4,933,632	)		(231,479	)		(549,141,099	)

Net change in unrealized appreciation (depreciation)		(16,946,499	)		(4,933,632	)		(231,479	)		(549,141,099	)

Net realized and unrealized loss		(14,910,891	)		(6,235,147	)		(39,878	)		(491,596,583	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(496,472	)	$	(5,849,388	)	$	(94,810	)	$	(345,450,755	)


	iShares CMBS ETF						iShares GNMA Bond ETF

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


INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income	$	14,414,419		$	11,438,349		$	385,759		$	4,637,731
Net realized gain (loss)		2,035,608			3,283,936			(1,301,515	)		1,401,127
Net change in unrealized appreciation (depreciation)		(16,946,499	)		9,268,077			(4,933,632	)		(16,364	)

Net increase (decrease) in net assets resulting from operations		(496,472	)		23,990,362			(5,849,388	)		6,022,494


DISTRIBUTIONS TO SHAREHOLDERS^(a)
From net investment income and net realized gain		(15,800,694	)		(11,396,821	)		(590,997	)		(4,719,036	)
Return of capital		—			—			(4,165,344	)		(1,059,609	)

Decrease in net assets resulting from distributions to shareholders		(15,800,694	)		(11,396,821	)		(4,756,341	)		(5,778,645	)


CAPITAL SHARE TRANSACTIONS
Net increase in net assets derived from capital share transactions		345,487,641			56,577,750			13,169,725			302,286,876


NET ASSETS
Total increase in net assets		329,190,475			69,171,291			2,563,996			302,530,725
Beginning of year		491,195,441			422,024,150			481,283,286			178,752,561

End of year	$	820,385,916		$	491,195,441		$	483,847,282		$	481,283,286


	iShares Treasury Floating Rate Bond ETF						iShares U.S. Treasury Bond ETF

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


INCREASE (DECREASE) IN NET ASSETS

OPERATIONS
Net investment income (loss)	$	(54,932	)	$	2,922,918		$	146,145,828		$	218,424,996
Net realized gain		191,601			279,190			57,544,516			914,519,738
Net change in unrealized appreciation (depreciation)		(231,479	)		621,247			(549,141,099	)		5,624,404

Net increase (decrease) in net assets resulting from operations		(94,810	)		3,823,355			(345,450,755	)		1,138,569,138


DISTRIBUTIONS TO SHAREHOLDERS^(a)
Decrease in net assets resulting from distributions to shareholders		(77,549	)		(3,673,140	)		(270,729,481	)		(229,963,044	)


CAPITAL SHARE TRANSACTIONS
Net increase (decrease) in net assets derived from capital share transactions		(145,814,606	)		(100,629,285	)		1,243,723,778			(1,090,179,532	)


NET ASSETS
Total increase (decrease) in net assets		(145,986,965	)		(100,479,070	)		627,543,542			(181,573,438	)
Beginning of year		407,351,098			507,830,168			15,037,637,855			15,219,211,293

End of year	$	261,364,133		$	407,351,098		$	15,665,181,397		$	15,037,637,855


	iShares CMBS ETF

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

Net asset value, beginning of year	$	54.88		$	53.42		$	49.36		$	51.60		$	52.43

Net investment income^(a)		1.23			1.39			1.45			1.37			1.28
Net realized and unrealized gain (loss)^(b)		(1.06	)		1.47			4.04			(2.26	)		(0.88	)


Net increase (decrease) from investment operations		0.17			2.86			5.49			(0.89	)		0.40


Distributions^(c)
From net investment income		(1.22	)		(1.40	)		(1.43	)		(1.35	)		(1.23	)
From net realized gain		(0.21	)		—			—			—			—


Total distributions		(1.43	)		(1.40	)		(1.43	)		(1.35	)		(1.23	)


Net asset value, end of year	$	53.62		$	54.88		$	53.42		$	49.36		$	51.60


Total Return^(d)
Based on net asset value		0.29	%		5.42	%		11.27	%		(1.74	)%		0.80	%


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


Net investment income		2.26	%		2.58	%		2.81	%		2.72	%		2.49	%


Supplemental Data
Net assets, end of year (000)	$	820,386		$	491,195		$	422,024		$	310,990		$	250,247


Portfolio turnover rate^(e)		13	%		26	%		21	%		13	%		19	%


	iShares GNMA Bond ETF

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

Net asset value, beginning of year	$	50.93		$	50.35		$	47.67		$	49.74		$	50.83

Net investment income^(a)		0.04			0.77			1.34			1.12			0.80
Net realized and unrealized gain (loss)^(b)		(0.61	)		0.82			2.69			(2.05	)		(0.72	)


Net increase (decrease) from investment operations		(0.57	)		1.59			4.03			(0.93	)		0.08


Distributions^(c)
From net investment income		(0.06	)		(0.82	)		(1.35	)		(1.14	)		(0.79	)
From net realized gain		—			—			—			—			(0.26	)
Return of capital		(0.42	)		(0.19	)		—			(0.00	)^(d)		(0.12	)


Total distributions		(0.48	)		(1.01	)		(1.35	)		(1.14	)		(1.17	)


Net asset value, end of year	$	49.88		$	50.93		$	50.35		$	47.67		$	49.74


Total Return^(e)
Based on net asset value		(1.14	)%		3.18	%		8.55	%		(1.90	)%		0.18	%


Ratios to Average Net Assets
Total expenses		0.15	%		0.15	%		0.15	%		0.15	%		0.15	%


Total expenses after fees waived		0.13	%		0.12	%		0.13	%		0.12	%		0.12	%


Net investment income		0.08	%		1.51	%		2.71	%		2.31	%		1.60	%


Supplemental Data
Net assets, end of year (000)	$	483,847		$	481,283		$	178,753		$	102,483		$	126,827


Portfolio turnover rate^(f)(g)		498	%		699	%		529	%		834	%		917	%


	iShares Treasury Floating Rate Bond ETF

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


Net asset value, beginning of year	$	50.29		$	50.28		$	50.31		$	50.24		$	50.14

Net investment income (loss)^(a)		(0.01	)		0.31			1.08			0.92			0.39
Net realized and unrealized gain (loss)^(b)		(0.01	)		0.08			(0.04	)		(0.07	)		0.01


Net increase (decrease) from investment operations		(0.02	)		0.39			1.04			0.85			0.40


Distributions^(c)
From net investment income		(0.01	)		(0.38	)		(1.07	)		(0.78	)		(0.30	)
From net realized gain		(0.00	)^(d)		—			—			—			—


Total distributions		(0.01	)		(0.38	)		(1.07	)		(0.78	)		(0.30	)


Net asset value, end of year	$	50.26		$	50.29		$	50.28		$	50.31		$	50.24


Total Return^(e)
Based on net asset value		(0.04	)%		0.78	%		2.09	%		1.70	%		0.80	%


Ratios to Average Net Assets
Total expenses		0.15	%		0.15	%		0.15	%		0.15	%		0.15	%


Net investment income (loss)		(0.02	)%		0.62	%		2.15	%		1.83	%		0.77	%


Supplemental Data
Net assets, end of year (000)	$	261,364		$	407,351		$	507,830		$	306,913		$	25,122


Portfolio turnover rate^(f)		74	%		44	%		20	%		17	%		68	%


	iShares U.S. Treasury Bond ETF
	Year Ended 10/31/21			Year Ended 10/31/20			Year Ended 10/31/19			Year Ended 10/31/18			Year Ended 10/31/17

Net asset value, beginning of year	$	27.66		$	26.28		$	24.17		$	25.16		$	25.74

Net investment income^(a)		0.25			0.39			0.53			0.48			0.40
Net realized and unrealized gain (loss)^(b)		(0.96	)		1.40			2.10			(1.00	)		(0.61	)


Net increase (decrease) from investment operations		(0.71	)		1.79			2.63			(0.52	)		(0.21	)


Distributions^(c)
From net investment income		(0.25	)		(0.41	)		(0.52	)		(0.47	)		(0.37	)
From net realized gain		(0.24	)		—			—			—			—


Total distributions		(0.49	)		(0.41	)		(0.52	)		(0.47	)		(0.37	)


Net asset value, end of year	$	26.46		$	27.66		$	26.28		$	24.17		$	25.16


Total Return^(d)
Based on net asset value		(2.58	)%		6.84	%		10.99	%		(2.10	)%		(0.82	)%


Ratios to Average Net Assets
Total expenses		0.09	%		0.15	%		0.15	%		0.15	%		0.15	%

Net investment income		0.95	%		1.43	%		2.09	%		1.95	%		1.58	%


Supplemental Data
Net assets, end of year (000)	$	15,665,181		$	15,037,638		$	15,219,211		$	6,747,196		$	5,211,634

Portfolio turnover rate^(e)		128	%		91	%		22	%		27	%		47	%



iShares ETF	Diversification Classification

CMBS		Diversified
GNMA Bond		Diversified
Treasury Floating Rate Bond		Diversified
U.S. Treasury Bond		Diversified




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


U.S. Treasury Bond
Barclays Capital, Inc.	$	50,050,781	$	50,050,781		$	—	$	—
BofA Securities, Inc.		108,458		108,458			—		—
Credit Suisse AG		48,949,331		48,949,331			—		—
J.P. Morgan Securities LLC		51,002,035		51,002,035			—		—


	$	150,110,605	$	150,110,605		$	—	$	—



iShares ETF	Investment Advisory Fee

CMBS		0.25	%
GNMA Bond		0.10
Treasury Floating Rate Bond		0.15
U.S. Treasury Bond		0.05



iShares ETF	Fees Paid to BTC

Treasury Floating Rate Bond	$	3,852
U.S. Treasury Bond		208,745



iShares ETF	Purchases		Sales		Net Realized Gain (Loss)

U.S. Treasury Bond	$	9,111,235,783	$	11,140,571,545	$	(23,389,777	)



	U.S. Government Securities				Other Securities


iShares ETF	Purchases		Sales		Purchases		Sales

CMBS	$	197,797,301	$	39,635,178	$	210,674,239	$	45,769,387
GNMA Bond		2,500,100,350		2,479,499,506		—		—
Treasury Floating Rate Bond		303,064,305		221,321,886		—		—
U.S. Treasury Bond		19,660,191,258		19,408,423,407		—		—



iShares ETF	In-kind Purchases		In-kind Sales

CMBS	$	22,390,434	$	—
Treasury Floating Rate Bond		154,172,027		295,445,069
U.S. Treasury Bond		5,640,591,090		4,434,889,440




iShares ETF	Paid-in Capital		Accumulated Earnings (Loss)


CMBS	$	116,576	$	(116,576)
Treasury Floating Rate Bond		148,484		(148,484)
U.S. Treasury Bond		183,220,406		(183,220,406)