iShares U.S. ETF Trust

Table of Contents

Market Overview

iShares U.S. ETF Trust

Global Market Overview

Commodities posted solid gains for the 12 months ended October 31, 2022 (the “reporting period”). The S&P GSCI Index, a broad measure of commodity market performance, returned 24.7% in U.S. dollar terms for the reporting period. The strong showing for commodities stands in start contrast to the sizable declines for the global equity and fixed-income markets.

The gain for the index largely reflected the favorable supply-and-demand trends that were in place through the end of May 2022. On the demand side, the reopening of the world economy, together with economic growth that remained in positive territory across much of the globe, provided firm support for prices. With respect to supply, two key factors acted as tailwinds for the market. First, Russia’s invasion of Ukraine in February 2022 led to extreme uncertainty about supply for a wide range of commodities. The conflict also put additional stress on global supply chains, further complicating the outlook. Second, producers continued to exhibit discipline by emphasizing shareholder returns rather than focusing primarily on growth.

These developments helped fuel robust gains for commodities in the first seven months of the period, with prices moving steadily higher from early December 2021 through mid-June 2022. However, the market began to trend lower in the summer as investors gained clarity regarding the outlook for Russian energy supplies. In addition, the aggressive interest-rate increases by global central banks raised the prospect of slowing growth and a possible slowdown in demand. The index declined sharply through June and early July in response, before trading sideways in a fairly narrow range over the final four months of the period.

Energy was the primary driver of the index’s gain, with crude oil and natural gas each delivering positive returns but finishing October well off of their previous highs. Late in the period, however, OPEC+ announced plans to cut oil production by two million barrels per day in an effort to keep prices stable ahead of a possible global recession.

Industrial metals lost ground on the year. After performing well in late 2021 and gaining further strength following the Ukraine invasion, the category subsequently weakened on concerns that China’s slowing economy—together with its continued pursuit of a zero-COVID policy—would crimp demand. The growing odds of a global growth slowdown was an added headwind for performance.

Gold also lagged, due in part to the unusual rally in the U.S. Dollar. Since gold is traded in Dollars worldwide, the currency’s increasing value made the metal more expensive for non-U.S. buyers. Rising real (after-inflation) interest rates were an additional challenge since gold is a non- interest-bearing asset. Other precious metals—silver, platinum, and palladium—generally tracked the decline in industrial metals.

Agricultural commodities were largely flat as a group, with rising demand post-COVID offset by higher-than-expected supply.

Investment Objective

The iShares Bloomberg Roll Select Commodity Strategy ETF (the “Fund”) seeks to track the investment results of an index composed of a broad range of commodity exposures with enhanced roll selection, on a total return basis, as represented by the Bloomberg Roll Select Commodity Total Return Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was April 3, 2018. The first day of secondary market trading was April 5, 2018.

Past performance is not an indication 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” for more information.

Expense Example

Portfolio Management Commentary

The Fund finished the reporting period in positive territory, reflecting higher prices for many commodities against a backdrop of historically high inflation. The Fund uses a mix of commodities futures designed to provide total returns consistent with investment in a broad variety of commodities.

Significant portfolio shifts during the period included increased exposures to soybeans and gold, along with reduced exposure to coffee, West Texas Intermediate crude oil, and aluminum. At the end of the period, the largest exposures were to gold, natural gas, West Texas Intermediate crude oil, and Brent crude oil.

Entering the period, U.S. inflation was already running well above the 2% target of the U.S. Federal Reserve. Inflation would spike in the wake of Russia’s late-February invasion of Ukraine and subsequent sanctions imposed on Russia’s energy sector which reduced natural gas imports to Europe from Russia via pipelines. The failure of U.S. production to keep up with demand and OPECs announcement of supply cuts also bolstered energy prices. The conflict in Ukraine also exacerbated ongoing supply-chain pressures and led to sharply higher prices for a range of commodities. To illustrate, U.S. consumer price inflation rose by at least 7.5% on a year-over-year basis in each of the first nine months of 2022, hitting a peak of 9.1% in June.

Energy futures such as natural gas, Brent crude oil and gasoil were the largest positive contributors to performance. Exposure to metals detracted the most from return, as concerns about global consumption and economic activity weighed on prices of industrial metals such as copper and aluminum, while the price of gold was pressure by rising interest rates and the strengthening U.S. dollar.

Portfolio Information

Investment Objective

The iShares Commodity Curve Carry Strategy ETF (the “Fund”) seeks to track the investment results of an index composed of commodities with the top ten highest ranking roll yields, on a total return basis, selected from a broad commodity universe, as represented by the ICE BofA Commodity Enhanced Carry Total Return Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was September 1, 2020. The first day of secondary market trading was September 3, 2020.

Past performance is not an indication 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” for more information.

Expense Example

Portfolio Management Commentary

The Fund finished the reporting period in positive territory, reflecting higher prices for many commodities against a backdrop of historically high inflation. The Fund gains exposure to a concentrated mix of commodities futures exhibiting positive carry (the difference between the price of an expiring futures contract and its replacement) by investing in commodity total return swaps. During the reporting period, the Fund decreased its exposure to industrial metals such as nickel and aluminum, while increasing exposure to soft commodities such as wheat, corn and soybeans. At the end of the reporting period, the Fund’s largest exposures included Brent crude oil, copper, and corn.

Entering the period, U.S. inflation was already running well above the 2% target of the U.S. Federal Reserve. Inflation would spike in the wake of Russia’s late-February invasion of Ukraine and subsequent sanctions imposed on Russia’s energy sector which reduced natural gas imports to Europe from Russia via pipelines. The failure of U.S. production to keep up with demand and OPECs announcement of supply cuts also bolstered energy prices. The conflict in Ukraine also exacerbated ongoing supply-chain pressures and led to sharply higher prices for a range of commodities. To illustrate, U.S. consumer price inflation rose by at least 7.5% on a year-over-year basis in each of the first nine months of 2022, hitting a peak of 9.1% in June.

Exposure via energy futures to commodities such as Brent crude oil and gasoil were the largest contributors to the Fund’s performance over the 12 months. On the downside, copper prices experienced declines driven by weakened demand from China, new supply projects in the pipeline, and the strengthening dollar.

Portfolio Information

Investment Objective

The iShares Gold Strategy ETF (the “Fund”) seeks to track the investment results of an index that provides exposure, on a total return basis, to the price performance of gold, as represented by the Bloomberg Composite Gold Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was June 6, 2018. The first day of secondary market trading was June 8, 2018.

Past performance is not an indication 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” for more information.

Expense Example

Portfolio Management Commentary

The Fund finished the reporting period in negative territory, reflecting the decline in the price of gold. The Fund’s performance was approximately in line with the broader gold market, as represented by the Bloomberg Composite Gold Index, due to its composition as a mix of gold futures and exchange-traded products linked to or backed by gold.

Entering the period, U.S. inflation was already running well above the 2% target of the U.S. Federal Reserve (Fed). Inflation would spike in the wake of Russia’s late-February invasion of Ukraine, which exacerbated ongoing supply-chain pressures and led to sharply higher commodity prices. Consumer price inflation rose by at least 7.5% on a year-over-year basis in each of the first nine months of 2022, hitting a peak of 9.1% in June. In response, the Fed aggressively raised its benchmark overnight lending rate, bringing the Fed funds target to a range of 3.0% to 3.25%, as compared to 0% to 0.25% at the start of 2022. In addition, the market anticipated significant further rate increases from the Fed in the coming months.

The U.S. Treasury yield curve moved dramatically higher in response to the Fed’s policy tightening, with the two-year yield moving from 0.28% to 4.22% over the 12 months, an increase of 394 basis points. Longer-term Treasury yields, which are less directly influenced by changes in Fed funds, rose to a more moderate degree, as reflected in the bellwether 10-year note yield which increased from 1.52% to 3.83%, or 231 basis points.

Rising yields on U.S. bonds over the period reduced gold’s relative attractiveness as an investment. Because gold does not pay interest, its appeal decreases when yields rise as the metal’s carrying cost relative to bonds increases. Continued strength in the U.S. dollar also pressured gold prices. As gold is priced in U.S. dollars, strength in the currency makes it more expensive for foreign investors to purchase gold.

From November 2021 through March 8, 2022, gold prices climbed more than 14% to near their all-time high. In mid-March, as the Fed began tightening monetary policy, gold prices began to fall. Gold weakened further as central banks continued to tighten over the period, and the price of the metal finished the period more than 20% below its March high.

Portfolio Information

Investment Objective

The iShares GSCI Commodity Dynamic Roll Strategy ETF (the “Fund”) seeks to track the investment results of an index composed of a broad range of commodity exposures with enhanced roll selection, on a total return basis, as represented by the S&P GSCI Dynamic Roll (USD) Total Return Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

The inception date of the Fund was October 15, 2014. The first day of secondary market trading was October 16, 2014.

Index performance through January 30, 2020 reflects the performance of the S&P GSCI Dynamic Roll Reduced Energy 70/30 Futures/Equity Blend Total Return Index. Index performance beginning on January 31, 2020 reflects the performance of the S&P GSCI Dynamic Roll (USD) Total Return Index.

Past performance is not an indication 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” for more information.

Expense Example

Portfolio Management Commentary

The Fund finished the reporting period in positive territory, reflecting higher prices for many commodities against a backdrop of historically high inflation. The Fund uses a mix of commodities futures designed to provide total returns consistent with investment in a broad variety of commodities.

Entering the period, U.S. inflation was already running well above the 2% target of the U.S. Federal Reserve. Inflation would spike in the wake of Russia’s late-February invasion of Ukraine and subsequent sanctions imposed on Russia’s energy sector which reduced natural gas imports to Europe from Russia via pipelines. The failure of U.S. production to keep up with demand and OPEC’s announcement of supply cuts also bolstered energy prices. The conflict in Ukraine exacerbated ongoing supply-chain pressures and led to sharply higher prices for a range of commodities. To illustrate, U.S. consumer price inflation rose by at least 7.5% on a year-over-year basis in each of the first nine months of 2022, hitting a peak of 9.1% in June.

Exposure via energy futures to commodities such as Brent crude oil, gasoil, West Texas Intermediate crude oil, and heating oil were the largest contributors to the Fund’s performance over the 12 months. Outside of energy, the Fund had notable exposure to corn, which also added to return. Prices for industrial metals such as copper and aluminum declined over the period as recession fears increased, while rising yields on U.S. bonds and strength in the U.S. dollar pressured the price of gold.

Portfolio Information

About Fund Performance

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

Net asset value or “NAV” is the value of one share of a fund as calculated in accordance with the standard formula for valuing mutual fund shares. Beginning August 10, 2020, the price used to calculate market return (“Market Price”) is the closing price. Prior to August 10, 2020, Market Price was determined using the midpoint between the highest bid and the lowest ask on the primary stock exchange on which shares of a fund are listed for trading, as of the time that such fund’s NAV is calculated. Since shares of a fund may not trade in the secondary market until after the fund’s inception, for the period from inception to the first day of secondary market trading in shares of the fund, the NAV of the fund is used as a proxy for the Market Price to calculate market returns. Market and NAV returns assume that dividends and capital gain distributions have been reinvested at Market Price and NAV, respectively.

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

Disclosure of Expenses

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

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

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

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

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended October 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts

Derivative Financial Instruments Categorized by Risk Exposure

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

For the period ended October 31, 2022, the effect of derivative financial instruments in the Consolidated Statements of Operations was as follows:

Average Quarterly Balances of Outstanding Derivative Financial Instruments

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

Fair Value Hierarchy as of Period End

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

See notes to Consolidated Financial Statements

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended October 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

OTC Total Return Swaps

Reference Entity

The ICE BofA Commodity Enhanced Carry Total Return Index consists of futures contracts under each counterparty. The following table represents the individual long positions and related weighting of the future contracts underlying the ICE BofA Commodity Enhanced Carry Total Return Index as of October 31, 2022.

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

Derivative Financial Instruments Categorized by Risk Exposure

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

For the period ended October 31, 2022, the effect of derivative financial instruments in the Consolidated Statements of Operations was as follows:

Derivative Financial Instruments Categorized by Risk Exposure (continued)

Average Quarterly Balances of Outstanding Derivative Financial Instruments

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

Derivative Financial Instruments - Offsetting as of Period End

The Fund’s derivative assets and liabilities (by type) were as follows:

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

Fair Value Hierarchy as of Period End

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

See notes to Consolidated Financial Statements