2021 SemiAnnual Re - PDF document

1 2021 Semi-Annual Re p ort i ted) i Share
2021 Semi-Annual Re p ort i ted) i Shares Trus t € iShares 0-5 Year TIPS Bond ETF | STIP NYSE Arc a € iShares TIPS Bond ETF | TIP | NYSE ArcaAPRIL 30 , 202 1 D ear hareholder he 12-month reportin g period as o f April 30, 2021 re f lected a remarkable period o f adaptation and r ecover , as the g lobal econom y dealt with the implications o f the coronavirus ( or “ CO VID-19” ) pandemic.As the period be g an, the response to the virus’s spread was well underwa y , and countries around the w orld elt the e ff ect o f economicall y disruptive countermeasures. S ta y -at-home orders and closures o f n on-essential businesses were imposed in man y parts o f the world, workers were laid o ff , and unemplo y- ment claims spiked, causin g a g As Ma y 2020 be g an, stocks had j ust be g un to recover f rom the lowest point f ollowin the onset o f the p andemic. This recover y continued throu g hout the reportin g period, as businesses continued re-openin g and overnments learned to adapt to li f e with the virus. Equit y prices rose throu g h the summer, f ed b y stron f iscal and monetar y support and improvin g economic indicators. The implementation o f mas s v accination campai g ns and passa g e of an additional $1.9 trillion of fiscal stimulus further boosted stocks , and man y equit y indices neared or surpassed all-time hi g hs late in the reportin g period. In the U nited tates, both lar g e- and small-capitalization stocks posted a si g ni icant advance. International g ained, as both developed countries and emer g in markets rebounded substantiall y . T he 10- y ear U. S . Treasur y y which is inversel y related to bond prices ) had f allen sharpl y prior to the b e g the reportin g period, which meant bonds were priced f or extreme risk avoidance and f doom and g loom, the econom y expanded rapidl y , stokin g i n f lation concerns late in the reportin g period, which led to hi g her ields and a ne g ative overall return f ormost U. S . Treasuries. In the corporate bond market, support f rom the U. S . Federal Reserve ( the “Fed” ) assua ed credit concerns and led to substantial returns f or hi g h- ield corporate bonds, althou g h i rade corporates declined sli g htl T he Fed remained committed to accommodative monetar y polic y b maintainin g near zero interest rate s and b y announcin g that in f lation could exceed its 2 % tar g et or a sustained period without tri gg erin a rate i ncrease. To stabilize credit markets, the Fed also continued purchasin g si g ni icant quantities o f bonds, a s d id other in f luential central banks around the world, includin g the European C entral Bank and the Bank o f J apan. ookin ahead, while coronavirus-related

2 disruptions have clearl y hindered wor
disruptions have clearl y hindered worldwide economic g rowth , w e believe that the g lobal expansion will continue to accelerate as vaccination e ff orts ramp up and p ent-up consumer demand leads to hi g her spendin g . While we expect in f lation to increase somewhat a s the expansion continues, we believe the recent uptick owes more to temporar y suppl y disruptions than a l astin chan g e in f undamentals. The chan g e in Fed polic y also means that moderate in f lation is less likel y to be f ollowed b y interest rate hikes that could threaten the economic expansion. O verall, we f avor a positive stance toward risk, with an overwei g ht in equities. We see U. S . and Asia n equities outside o f Japan bene f itin f rom structural g rowth trends in technolo gy , while emer g in market s should be particularl y helped b y a vaccine-led economic expansion. While we are underwei g ht overall o n c redit, g lobal hi g h- ield and Asian bonds present attractive opportunities. We believe that international d iversi ication and a f ocus on sustainabilit y can help provide port f olio resilience, and the disruptio n c reated b y the coronavirus appears to be acceleratin g In this environment, our view is that investors need to think g loball , extend their scope across a broa d arra y asset classes, and be nimble as market conditions chan g e. We encoura g e ou to talk with y our inancial advi s or and vi s it S hares.com f urther insi g ht about investin g in toda y ’s markets. S incerel Rob Kapit o President, BlackRock, Inc. otal Returns as o f A ril 30, 2021 6-Month12-Month U . S e cap equitie P 50 0  Index 28.85%45.98% S Russell 200 48.0674.91 MSCI Europe, Australasia , F ar East Index 28.8439.88 in market equitie I Emer g in Market Index 22.9548.71 3-month Treasur y bill C E Bo f A 3-Month U . S . Treasur y Bill Index 0.05 0.11 .S. Treasur y securitie C E Bo f A 10-Year U .S. Treasur y Index (6.26)(7.79) S rade bond Bloomber Barcla ys S . A gg re g (1.52)(0.27) P Municipal Bond Index 2.42 7.40 S h ield bond Bloomber Barcla ys S . C orporate Hi g h Yield 2 % Issuer apped Index 7.9819.57 ormance is not an indication o f Index per ormance is shown or illustrative purposes onl Y in an index. he Market s in Review Rob Kapit o President, BlackRock, Inc. 2 T H I S P A G E I S N P ART Y R F U O Pa T in Review ...................... 2 F und ummar ............................. 4 ormance .................... ...................... o Inve tment . ................... tatement tatement o and Liabilitie .......1 O .................12 C es in Net Assets .....1 hli hts ...................................................................................................................

3 ............ . .........................
............ . .........................14 s tatement ...............1 tatement Re g ardin Liquidit Risk Mana ement Pro ram ...................................................................................................................22 ormation ...................2 ormation .........................24 able o f C Investment O b j ectiv he S hares 5 Year TIP S Bond ETF ( ) seeks to track the investment results o f an index composed o f in f S . Treasur y bonds with remaini ng maturities of less than five y ears, as represented b y the Bloomber g Barcla y s U.S. Treasur y Inflation-Protected Securities ( TIP S ) 0-5 Years Index ( Series-L ) ( the "Index" ) . T he Fund invests in a representative sample o f securities included in the Index that collectivel y has an investment pro f ile si m i lar to the Index. Due to the use o f representative , the Fund ma or ma not hold all of the securities that are included in the Index. er ormanc e Avera e Annual Total Returns C umulative Total Return s 6 Months1 Year 5 Years1 0 Years1 Year 5 Years1 0 Year s F und NAV ............................................................................. 3.56 6.59 2.85 1.57 6.59 15.10 16.84 und Market 5 7 6 .7 0 71. 566 0 1 5 .1 8 1 6 .7 8 . 41. 636 1 5 . Past per f ormance is no g uarantee o f f uture results. Per f ormance results do not re f f taxes that a shareholde r would pa y on f und distributions or on the redemptio n o r sale o f ee “About Fund Per ormance” on pa e 6 or more in ormation. ense Exam p l e A ctualH pothetical 5 Retur n B eginnin Accou nt V ( 20 ndin Accou nt V ( 30 21 xpense aid Durin e ( a ) B Accou nt V ( 11/01/20 ndin Accou nt V ( xpense aid Durin g th e ( a ) A ua liz ed xpens o $ 1,000.00$ 1,035.60$ 0.25$ 1,000.00$ 1,024.50$ 0.250.05 % ( a ) E xpenses are calculated usin g the Fund’s annualized expense ratio ( as disclosed in the table ) , multiplied b y the avera g e accou n t value f or the period, multiplied b y the number o f d a y s in the period ( 181 da y s ) and divided b y the number o f da y s in the y ear 365 da y s ) . O ees, such as brokera g e commissi o n s and other f ees to f inancial intermediaries, ma y b e paid which are not re lected in the tables and examples above. ee “ hareholder Expenses” on pa e 6 or more in ormation. ort f olio In f ormatio n ATI N BY MAT U RIT Percent o otal Inve tment ) 0 -1 Year .................................................... 1 2.8 -2 Year s ................................................... 29 . 1 2 - 3 Year s ................................................... 15 .4 3 -4 Year s ................................................... 33 . 7 4 - 5 Year s . ...............................................

4 ... 6 5 - 6 Year s . .................
... 6 5 - 6 Year s . .................................................. 1. 3 6 -7 Year s . .................................................. 1. 1 F IVE LAR G E S T H O LDIN Percent o otal Inve tment ) U . S . Treasur y In f lation-Indexed Bonds, 0.63 , 04 15 23......15.7 S . Treasur y In f lation-Indexed Bonds, 0.13 , 04 15 25......14. S . Treasur y In f lation-Indexed Bonds, 0.63 , 01 15 24...... 9. 6 U . S . Treasur y In f lation-Indexed Bonds, 0.13 , 04 15 22...... 8. 3 U . S . Treasur y In f lation-Indexed Bonds, 0.13 , 10 15 24...... 8.2 ( a ) E market unds. und ummar as o f April 30, 202 1 i S hares 0 - 5 Year TIP S Bond ETF 4 20 21 S U AL EP RT T O S H AREH LDER Investment O b j ectiv he S hares TIP S Bond ETF ( the “Fund” seeks to track the investment results o an index composed o in f S . Treasur y bonds, as represe ted b the B loomber Barcla y s U.S. Treasur y Inflation Protected Securities ( TIPS ) Index ( Series-L ( the "Index" ) . The Fund invests in a re p resentative sample of securities included i n the Index that collectivel y has an investment profile similar to the Index. Due to the use of representative samplin g , the Fund ma y or ma y not hold all of the securities that er ormanc e Avera e Annual Total Returns C umulative Total Return s 6 Months1 Year 5 Years1 0 Years1 Year 5 Years1 0 Year s F und NAV ............................................................................. 1 .88 5.69 3.92 3.18 5.69 21.18 36.80 und Market 035 . 893 . 963 .1 . 36 .74Index . 083 336 . 338 .74Past per f ormance is no g uarantee o f f uture results. Per f ormance results do not re f f taxes that a shareholde r would pa y on f und distributions or on the redemptio n o r sale o f ee “About Fund Per ormance” on pa e 6 or more in ormation. ense Exam p l e A ctualH pothetical 5 Retur n B eginnin Accou nt V ( 20 ndin Accou nt V ( 30 21 xpense aid Durin e ( a ) B Accou nt V ( 20 ndin Accou nt V ( 30 21 xpense aid Durin g th e ( a ) A ua liz ed xpens o $ 1,000.00$ 1,018.80$ 0.95$ 1,000.00$ 1,023.90$ 0.950.19 % ( a ) E xpenses are calculated usin g the Fund’s annualized expense ratio ( as disclosed in the table ) , multiplied b y the avera g e accou n t value f or the period, multiplied b y the number o f d a y s in the period ( 181 da y s ) and divided b y the number o f da y s in the y ear 365 da y s ) . O ees, such as brokera g e commissi o n s and other f ees to f inancial intermediaries, ma y b e paid which are not re lected in the tables and examples above. ee “ hareholder Expenses” on pa e 6 or more in ormation. ort f olio In f ormatio n ATI N BY MAT U RIT Percent o otal Inve tment ) 0 -1 Year .................................................... 5 .5 % 1

5 - 5 Year s ............................
- 5 Year s ................................................... 4 2. 0 Year s ................................................. 3 4. 15 0 Year s . ............................................... 1. 7 More than 2 Year s ......................................... 15 .2 F IVE LAR G E S T H O LDIN Percent o otal Inve tment ) U . S . Treasur y In f lation-Indexed Bonds, 0.50 , 04 15 24......8.1 S . Treasur y In f lation-Indexed Bonds, 0.63 , 01 15 26......6. S . Treasur y In f lation-Indexed Bonds, 0.13 , 01 15 30......6. S . Treasur y In f lation-Indexed Bonds, 0.13 , 04 15 25......6.2 S . Treasur y In f lation-Indexed Bonds, 0.13 , 01 15 23......4. ) E market unds. und ummar as o f April 30, 202 1 i S hares T IP S Bond ETF F U ND MMARY Past per f ormance is not an indication o f f uture results. Financial markets have experienced extreme volatilit y and tradin g in m an instruments has been disrupted. These c ircumstances ma y continue f or an extended period o f time and ma y continue to a ff ect adversel y the value and liquidit y o the f und's investments. As a result, current p er ormance ma y be lower or hi g her than the per f ormance data quoted. Per f ormance data current to the most recent month-end is a v ailable at i S hare .com. Per f ormance esults assume reinvestment o f all dividends and capital g ain distributions and do not re f lect the deduction o f taxes that a shareholder would pa y on f und distributions or o n the redemption or sale of fund shares. The investment return and principal value of shares will var y with chan g es in market c y l ess than their ori g inal cost when the y are redeemed or sold in the market. Per f ormance or certain f unds ma y re f lect a waiver of a portion o f investment advisor y f 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 valuin g mutual fund shares. Be g innin Au g ust 10 , 2 020, the price used to calculate market return ( "Market Price" ) is the closin g price. Prior to Au g ust 10, 2020, Market Price was determined b y usin g the midpoint betwee n the hi g hest bid and the lowest ask on the primar y stock exchan g e on which shares o f a f und are listed f or tradin g , as o f the time that s uch und’ NAV i s calculated. Marketand NAV returns assume that dividends and capital ain distributions have been reinvested at Market Price and NAV, respectivel An index is a statistical composite that tracks a specified financial market or sector. Unlike a fund, an index does not actual ly hold a portfolio of securities and therefore doe s n ot incur the expenses incurred b y a f und. These expen

6 ses ne g ativel impact f und per f orm
ses ne g ativel impact f und per f ormance. Also, market returns do not incl u d e brokera g e commissions that ma y be p a y market transactions. I brokera g e commissions were included, market returns would be lower. hareholder Expense s As a shareholder of y our Fund, y ou incur two t y pes of costs: ( 1 ) transaction costs, includin g brokera g e commissions on purchases and sales of fund shares and ( 2 ) on g oin osts, includin g mana g ement fees and other fund expenses. The expense example, which is based on an investment of $1,000 invested at the be g innin the period ( or rom the commencement o f operations i f less than 6 months ) and held throu g h the end o f the period, is intended to help y ou unde r stand our on g oin costs ( in dollars an d c ents of investin in our Fund and to compare these costs with the on oin costs of investin in other funds. – The table provides information about actual account values and actual expenses. Annualized expense ratios reflect contractual and voluntar y fe e w aivers, if an y . To estimate the expenses that y ou paid on y our account over the period, simpl y divide y our account value b y $ for example, an $8,600 account value d ivided b $1,000 = 8.6 , then multipl the result b the number under the headin g entitled “Expenses Paid Durin the Period.” pothetical Example f or – The table also provides in f ormation about h y pothetical account values and h y pothetical expenses based on y our und’s actual expense ratio and an assumed rate of return of 5% per y ear before expenses. You ma y use this information to compa r e the on g oin costs of investin g in y our und and other unds. To do so, compare this 5 h pothetical example with the 5 h pothetical examples that appear in the share older reports o the other Please note that the expenses shown in the table are meant to hi g hli ht our on g oin costs onl y and do not re f lect an y transact i onal costs, such as brokera g e commission s and other fees paid on purchases and sales of fund shares. Therefore, the h y pothetical examples are useful in comparin g on g oin costs onl y and will not help y ou determinethe relative total costs of ownin different funds. In addition, if these transactional costs were included, our costs would have been hi her. f ormance S U AL EP RT T O S H AREH LDER Securit 000 a l U . S . G overnment O bli g ation s U . S . G overnment O bli g ations — 99.0 % U . S . Treasur y In f lation-Indexed Bond .13 , 01 15 22 ..................................... ,722$ 216,002,43 1 0 .13 , 04 15 22 382,977 392,791,12 1 0 .13 , 07 15 22 ) 67,498 277,784,108 0 .13 , 01 15 23 344,094 360,491,168 0 .13 , 07 15 24 336,084 365,325,08 1

7 0 .13 , 10 15 24 358,468 390,485,0
0 .13 , 10 15 24 358,468 390,485,055 0 .13 , 04 15 25 648,557 707,349,61 7 0 .13 , 10 15 25 2 09,660 230,390,182 0 .13 , 04 15 26 1,808 56,828,52 6 0 .13 , 07 15 26 3,799 59,451,872 0 .25 , 01 15 25 1 24,529 136,228,79 7 0 .38 , 07 15 27 34,588 38,869,95 8 0 .50 , 04 15 24 2 52,514 274,702,282 0 .63 , 07 15 21 ..................................... 4 3,545 0 .63 , 04 15 23 698,975 743,148,614 0 .63 , 01 15 24 4 19,553 455,957,228 0 .63 , 01 15 26 2,424 25,181,76 9 U. . Treasur y Note / Bond .13 , 12 15 23 ..................................... 1 996 0 .25 , 03 15 24 ) . ................................... 36 35,94 , 10 31 25 ..................................... 1 9 7 8 0 , 11 / 30 25 ...................................... 1 983 0 .38 , 12 31 25 ..................................... 2 1 ,96 .38 , 01 31 26 ..................................... 2 1 ,96 .50 , 02 28 26 ..................................... 1 985 S ecurit ar hare 000 ue U . S . G overnment O bli g ations ( continued ) 0 , 03 31 26 ) . ................................... 2 .75 , 04 30 26 ... ................................... ,385 2,373,634 1 .25 , 04 30 28 ... ................................... 4,924 14,865,70 3 4,748,276,48 9 T otal U. S . G overnment O bli g ations — 99.0 % ( Cost: $ .......................................... 7 hort-Term Investment s Mone y Market Funds — 3.9 % B lackRock ash Funds: Treasur S L A g enc S .00 )( c )( d ) 1 90,039 190,038,798 T otal S hort-Term Investments — 3.9 % ( Cost: $ ........................................... 8 T otal Investments in S ecurities — 102.9 % ( Cost: $ .......................................... 1 5 ther Assets, Less Liabilities — ( 2.9 ........................... 4 et Assets — 100.0% . .............................................$ 8 ) this securit is on loan. ) A the Fund. ) y period-end. ) All or a portion o f this securit y was purchased with cash collateral received f rom loaned s ecuritie Affiliate s Investments in issuers considered to be affiliate ( s ) of the Fund durin g the six months ended April 30, 2021 for purposes of Section 2 ( a 3 ) of the Investment Compan y Act o f 1940, as amended, were as follows: ffili ssuer / 3 c h os f ale t R ea liz ed ain Loss Change in nrealized ppreciation Depreciation a l 0 30 /21 hare e l d 0 30 /21 000 Incom Capital Gain s tri ti o n s fr o m U ing Fund lackRock ash Funds: Treasur S LA g S 2,220,000$187,818,798 ) $ —$ —$ —$190,038,798190,039$40,86 0 ( b ) $ ) sold ( b ) All or a portion represents securities lendin

8 g income earned from the reinvestment o
g income earned from the reinvestment of cash collateral from loaned securities, n et of fees and collateral investment expenses, and other p a y rom borrowers o securities. air Value Measurement s V arious inputs are used in determinin g the fair value of financial instruments. For description of the input levels and information about the Fund's polic y re g ardin valuatio n of f er to the Notes to Financial tatements. chedule o f Inve s tment ( April 30, 202 S hares 0 - 5 Year TIP S Bond ETF ( Percenta g es shown are based on Net Assets ) S C HED LE I TMENT F air Value Measurements ( continued ) T ollowin table summarizes the value o f the Fund's investments accordin g to the f air value hierarch y as o f April 30, 2021. T he breakdown o f the Fund' s inve s tment int o ma or cate ories is disclosed in the Schedule of Investments above. Level 1Level 2Level Total tment G bli ation — 4,748,276,489$ —$4,748,276,489 Market Fund 90,038,798 — — 190,038,798 $ 190,038,798$4,748,276,489$ —$4,938,315,28 7 S ee notes to inancial statements chedule o f Inve s tment ( ( April 30, 202 S hares 5 Year TIP S Bond ETF 8 20 21 S U AL EP RT T O S H AREH LDER Securit 000 a l U . S . G overnment O bli g ation s U . S . G overnment O bli g ations — 99.5 % U . S . Treasur y In f lation-Indexed Bond .13 , 01 15 22 .................................. 318,035$ 324,464,745 0 .13 , 04 15 22 1 ,109,150 1,137,572,535 0 .13 , 07 15 22 ) 96,420 307,817,75 9 0 .13 , 01 15 23 ,187,561 1,244,150,434 0 .13 , 07 15 24 71,514 295,137,09 1 0 .13 , 10 15 24 83,824 853,833,72 8 0 .13 , 04 15 25 ,527,103 1,665,537,90 6 0 .13 , 10 15 25 37,674 261,174,83 1 0 .13 , 04 15 26 53,752 168,652,25 3 0 .13 , 07 15 26 90,331 541,851,24 0 0 .13 , 01 15 30 ,610,933 1,765,376,20 1 0 .13 , 07 15 30 51,388 935,875,12 8 0 .13 , 01 15 31 67,706 838,113,16 0 0 .13 , 02 15 51 66,190 171,485,214 0 .25 , 01 15 25 75,855 629,957,31 3 0 .25 , 07 15 29 27,413 141,932,94 7 0 .25 , 02 15 50 1,719 23,159,44 0 0 .38 , 07 15 23 03,907 432,476,28 8 0 .38 , 07 15 25 5,792 84,132,01 0 0 .38 , 01 15 27 77,475 979,594,87 8 0 .38 , 07 15 27 695,912 782,054,08 9 0 .50 , 04 15 24 ,007,686 2,184,097,20 0 0 .50 , 01 15 28 385,639 434,525,20 7 0 .63 , 07 15 21 ,086 2,112,486 0 .63 , 04 15 23 ,095,628 1,164,869,695 0 .63 , 01 15 24 .................................. 1 1 8,672 128,968,86 6 0 .63 , 01 15 26 ,651,798 1,854,926,35 7 0 .63 , 02 15 43 .................................. 1 1 4,641 131,555,955 0 .75 , 07 15 28 354,684 409,108,72 3 0 .75 , 02 15 42 90,254 928,795,10 6 0 .75

9 , 02 15 45 07,443 1,069,339,904 0 .88
, 02 15 45 07,443 1,069,339,904 0 .88 , 01 15 29 630,871 732,332,03 9 0 .88 , 02 15 47 62,292 199,031,53 6 1 .00 , 02 15 46 336,701 419,768,09 9 1 .00 , 02 15 48 54,710 195,966,20 1 1 .00 , 02 15 49 8,077 125,022,138 1 .38 , 02 15 44 97,892 792,655,808 1 .75 , 01 15 28 64,017 685,611,284 S ecurit ar hare 000 ue U . S . G overnment O bli g ations ( continued ) 2 , 01 15 26 .. . ................................ 13,506$ 254,322,85 1 2 .13 , 02 15 40 .. ................................. 70,210 247,526,432 2 .13 , 02 15 41 .. ................................. 34,178 196,670,095 2 .50 , 01 15 29 .. ................................. 305,581 395,184,45 1 3.63 , 04 15 28 .. ................................. 67,812 227,781,97 7 3.88 , 04 15 29 .. ................................. 58,930 366,303,776 . Treasur y Note / Bon d 0 , 02 28 26 ) ,664 1,639,17 0 0 .75 , 03 31 26 ) . ................................ 880 6 .75 , 01 31 28 .. ................................. 3,199 3,092,03 , 02 29 28 ) . ................................ 98 1 , 02 15 1 ( a ) 0,112 9,655,38 0 1 .25 , 03 31 28 .. . ................................ 30 1 .25 , 04 30 28 .. ................................. 9,667 79,355,80 1 1 .88 , 02 15 41 .. ................................. 5,001 14,276,73 3 1 .88 , 02 15 1 ( a ) 9,256 17,522,96 0 26,857,641,20 3 T otal U. S . G overnment O bli g ations — 99.5 % ( Cost: $ ....................................... 1 hort-Term Investment s Mone y Market Funds — 2.2 % B lackRock ash Funds: Treasur S L A g enc S .00 )( c )( d ) 5 92,205 592,205,235 T otal S hort-Term Investments — 2.2 % ( Cost: $ .......................................... otal Investments in S ecurities — 101.7 % ( Cost: $ ....................................... 27 6 ther Assets, Less Liabilities — ( 1.7 466,729,427 et Assets — 100.0 % . ............................................ 26,983,117,01 1 ( a ) this securit is on loan. ) A the Fund. ) y ) All or a portion o f this securit y was purchased with cash collateral received f rom loaned s ecuritie AffiliatesInvestments in issuers considered to be a ff iliate ) the Fund durin g the six months ended April 30, 2021 f or purposes o f S ection 2 ( a 3 ) the Investment C ompan Act o f 1940, as amended, were as follows: Aff ili ssuer a l 1 / 2 0 r c h os f ale t R ea liz ed ain Loss hange in nrealized ppreciation Depreciation a l 0 4 hare e l d 0 4 000 Incom apital ain s tri ti o n s f r o m U ing Fund lackRock ash Funds: Treasur S LA g S 237,610,000$354,595,235 ) $ —$ —$ —$592,205,235592,205$1

10 89,62 3 ( b ) $ ) sold ( b ) All or a po
89,62 3 ( b ) $ ) sold ( b ) All or a portion represents securities lendin g income earned f rom the reinvestment o f cash collateral f rom loaned securities, n et o f f ees and collateral investment expenses, and other p a y rom borrowers o securities. chedule o f Inve s tment ( April 30, 202 S hares S Bond ETF ( Percenta g es shown are based on Net Assets ) S C HED LE I TMENT F air Value Measurement s V arious inputs are used in determinin g the f air value o f f inancial instruments. For description o f the input levels and in f ormation about the Fund's polic y re g ardin valuatio n o f financial instruments, refer to the Notes to Financial Statements. he ollowin table summarizes the value o f the Fund's investments accordin g to the f air value hierarch y as o f April 30, 2021. T he breakdown o f the Fund' s inve s tment int o ma or cate ories is disclosed in the Schedule of Investments above. Level 1Level 2Level Total tment G bli ation — 26,857,641,203$ —$26,857,641,20 3 Mone Market Fund 92,205,235 — — 592,205,235 $ 592,205,235$26,857,641,203$ —$27,449,846,438 S ee notes to inancial statements chedule o f Inve s tment ( ( April 30, 202 S hares S Bond ETF 10 20 21 S U AL EP RT T O S H AREH LDER iS hare s 0 - 5 Year TIP S B ond ETF iS hare IP Bond ETFA includin securities on loan ) : U naffiliate ) $ 4,748,276,489$26,857,641,20 ) . .......................................................................................................................... 1 90 ,038,798 592,205,235 C a s h 1 ,819 6,932 tment s 00,228,335 79,023,208 S ecurities lendin income—A iliated 1 5,245 34,378 C apital shares sold 5 26,606 — D ividend ........................................................................................................................... 5,779 s t 1 ,716,465 26,689,108 T otal a et . ........................................................................................................................... 5 , 0 40,804,747 27,555,605,84 3 LIABILITIE S C 1 82,658,798 291,485,235 Investments purchase 9,893,419 276,480,73 3 C apital shares redeeme ............................................................................................................ — 4 8 5 ,58 Investment advisor f 1 85,140 4,037,28 3 T otal liabilitie 2 42,737,357 572,488,832 SS ET $ 4,798,067,390$26,983,117,01 ET A SS ET N S I S T O F : 4,641,304,822$25,491,096,478 1 56,762,568 1,492,020,53 3 NET A SS ET 4,798,067,390$26,983,117,01 hares outstandin 5,150,000 212,700,00 0 Net a ss et value 126.8 6 S hare authorized U nlimited nlimitedPar value None None ( a ) S 1 56,168,030$ 255,117,809 ( b ) Investments, at cost—Una iliated 4,619,343,674$25,75

11 8,286,029 ) Investments, at cost—A iliat
8,286,029 ) Investments, at cost—A iliated 1 90,038,798$ 592,205,235 S ee notes to inancial statements tatement and Liabilitie s ( April 30, 202 IAL ATEMENT iS hare 5 Year T IP S Bon d E TF IP Bon d E TF TMENT IN CO M E D —Affiliated 1 4 ,504$ 123,222 s naffiliate ) 34,093,429 226,846,652 S ecurities lendin income—A iliated—net 2 6,356 66,40 1 T otal inve tment income ............................................................................................................................ ,134,289 227,036,27 5 E XPEN S f 10,103 24,104,85 0 Mi cellaneou .... 17 3 17 3 T otal expense ...... 910,276 24,105,02 3 Net inve s tment income 33,224,013 202,931,252REALIZED AND UNREALIZED GAIN ( LOSS ain loss f Inve tment U iliate 4 ,711,260 44,327,975In-kind redemptions—Una iliated 0,605,138 343,876,145 ain . 15,316,398 388,204,12 0 Net chan e in unrealized appreciation depreciation on:Inve tment U iliate 7 5,044,173 134,686,421 Net chan e in unrealized appreciation depreciation 5,044,173 134,686,421 Net realized and unrealized ain 0,360,571 253,517,699 C REA E IN NET A SS ET RE SU LTIN G FR O M PERATI S $ 123,584,584$ 456,448,95 1 ( a ) lationar and de lationar ad ustments to income. ee Note 4 o the Notes to Financial tatements. ee notes to inancial statements tatements o f O unaudited ix Months Ended April 30, 202 S U AL EP RT T O S H AREH LDER iS hare 5 Year TIP S Bond ETF iS hare IP Bond ETF S ix Month s Ended 0 4 2 1 ( ear Ended 10/3 1 / 2 0 S ix Month s Ende d 0 4 2 1 ( ear Ended 10/3 1 / 2 0 IN C REA ) IN NET A SS ET PERATI S Net inve s tment income 33,224,013$ 37,892,068$ 202,931,252$ 273,038,955 ai 1 5,316,398 15,682,308 388,204,120 584,202,73 1 Net chan e in unrealized appreciation depreciation 7 5,044,173 45,424,971 ( 134,686,421 844,489,405 f 1 23,584,584 98,999,347 456,448,951 1,701,731,09 1 DI O N S S ) D f ( ( ( ( APITAL HARE TRAN S A C TI O N S rom capital share transactions 1 ,856,376,449 429,533,086 2,724,071,147 2,035,559,335 N ET A SS ET e in net a et ,956,838,725 497,367,615 3,026,780,016 3,520,274,48 9 B e g o perio 2 ,841,228,665 2,343,861,050 23,956,336,995 20,436,062,50 6 E nd o perio 4,798,067,390$2,841,228,665$26,983,117,011$23,956,336,995 ) D or annual periods determined in accordance with U. f ulations. ee notes to financial statements tatements o f C es in Net Asset s F INAN IAL ATEMENT iS hare 0 - 5 Year TIP S Bond ETF S ix Month s Ended 0 4 2 1 ( ear Ended 10/3 1 / 2 0 Y ear Ended 10/3 1 / 1 9 Y ear Ende d 10/3 1 / 1 8 Y ear Ende d 10/3 1 / 1 7 Y ear Ende d 10/3 1 / 1 6 N et asset value, be g innin g period . ........................................ 1 100.17 $ 98.21 $ 100.52 $ 101.05 $ 99.2 3 Net inve s tment income ) . ..................................

12 ................. 1. 6 2 2. 05 2. 6 1
................. 1. 6 2 2. 05 2. 6 1 1. 50 0 . ain loss ) . .67 2.85 2.02 ( 2.22 ( 1.9 3 Net increase rom investment operations 3 . 4.47 4. 0 7 0 . 2. 53 Distributions ( c ) F tment income 0.71 ( ( 2.11 ( ( 1.11 ( Return o f capital ........................................................... — — — — — ( 0 .15 otal di tribution ( ( ( 2.11 ( ( 1.11 ( et asset value, end o f p erio d . 103.32 $ 100.17 $ 98.21 $ 100.52 $ 101.05 T otal Retur n B a s et value 3.56 ) 4 4.17 % 0.39 % 0.58 % 2.56 % Ratios to Avera g e Net Assets T otal expense 0 ) 0 0.06 % 0.06 % 0.09 % 0.17 % T otal expenses a f 0 ) 0 0.06 % 0.06 % 0.09 % 0.10 % Net inve s tment income 1 ) 1 2.07 % 2.62 % 1.49 % 0.60 % S u pp lemental Dat a Net assets, end o period 000 4,798,067$2,841,229$2,343,861$2,199,887$1,326,873$788,179 ....................................................... 24 % ( d ) 7 2 % 58 % 40 % 27 % 42 % ( a ) B e shares outstandin ( b ) T or a share outstandin ma not accord with the chan e in a gg g ains and losses in securities or the iscal period due to the timin o capital sharetransactions in relation to the luctuatin market values o the Fund’s underl in securities. ) D ulations. ) ) f in-kind tran action S inancial Hi g hli ht For a share outstandin throu hout each period ) 1 4 21 S H U AL O RT T O S LDER iS hare TIP S Bond ETF S ix Month s Ende d 0 4 2 1 ( ear Ende d 10/3 1 / 2 0 Y ear Ended 10/3 1 / 1 9 Y ear Ended 10/3 1 / 1 8 Y ear Ende d 10/3 1 / 1 7 Y ear Ended 10/3 1 / 1 6 N et asset value, be g innin g perio d . ................................. 1 116.11 $ 108.83 $ 113.73 $ 115.74 $ 110.8 0 Net inve s tment income ) 0 . 1. 56 2.11 3 .14 2.14 1. 38 Net realized and unrealized ain loss ) . .36 8.87 7.41 ( 4.63 ( 4.99 decrease f .34 10.43 9.52 ( 1.49 ( 6.3 7 Distributions ( c ) F tment income ( ( ( ( ( ( 1.43 ) T tribution ( ( ( ( ( ( 1.43 ) N et asset value, end o f p erio d . 1 125.29 $ 116.11 $ 108.83 $ 113.73 $ 115.74 T otal Retur n B a s et value .88 ) 9 8.80 % ( ( 5.75 % Ratios to Avera g e Net Asset s T otal expense .19 ) 0 0.19 % 0.19 % 0.20 % 0.20 % Net inve s tment income 1 ) 1 1.87 % 2.80 % 1.88 % 1.21 % S u pp lemental Dat a Net assets, end o period 000 26,983,117$23,956,337$20,436,063$22,223,190$23,633,497$19,722,002 f . ................................................ 25 % ( d ) 5 3 % 17 % 21 % 32 % 24 % ( a ) B e shares outstandin ( b ) T or a share outstandin ma not accord with the chan e in a gg g ains and losses in securities or the iscal period due to the timin o capital sharetransactions in relation to the luctuatin market values o the Fund’s underl in securities. ) D or annual periods determined in accordance with

13 U. f ulations. ) ) f in-kind tran actio
U. f ulations. ) ) f in-kind tran action S inancial Hi g hli ht continued For a share outstandin throu hout each period ) F INAN IAL G HT 1 . O R G ANIZATI hares Trust ( the “Trust” ) is re g istered under the Investment C ompan Act o f 1940, as amended ( the “1940 Act” ) , as an open-en d mana g ement investment compan y . The T rust is or anized as a Delaware statutor trust and is authorized to have multiple series or port olios. hese inancial statements relate onl to the f ollowin f each, a “Fund,” and collectivel , the “Funds” i S iv s i f i ti o n C 5 Year TIP S Bond ......Diver f S Bon d ............................................................................................................................... . ...............Diver f S I G ANT A CCOU NTIN C IE S T he financial statements are prepared in conformit y with accountin g principles g enerall accepted in the United States of Ameri c a “U.S. GAAP” ) y require ement to make estimates and assumptions that a ff ect the reported amounts o f assets and liabilities in the f inancial state m ents, disclosure o f contin g ent assets an d l iabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations durin g the reportin g period. Actual r esults could differ from those estimates. Each Fund is considered an investment compan y under U.S. GAAP and follows the accou n tin and reportin g g uidance applicableto investment companies. Below is a summar o si g ni icant accountin g Investment Transactions and Income Reco g nition: F inancial reportin g purposes, investment transactions are recorded on the dates the transactions are executed. R ealized ains and losses on investment transactions are determined usin g the specific identification method. Dividend income a n d capital g ain distributions, if an y r ecorded on the ex-dividend date. Non-cash dividends, i f an y , are recorded on the ex-dividend date at f air value. Interest inc o me, includin g amortization and accretion o f p remiums and discounts on debt securities, is reco nized dail In-kind Redem p tions: For financial reporting purposes, in-kind redemptions are treated as sales of securities resulting in realized capital gains or s to the Fund s . r B ecause such g ains or losses are not taxable to the Funds and are not distributed to existin g Fund shareholders, the g ains or l oss e s are recla ss ified from accumulated net r ealized ain loss to paid-in capital at the end o the Funds' tax ear. These reclassi f ications have no e ect on net asset or net asset value "NAV" Distributions: D ividends and distributions paid b y each Fund are recorded on the ex-dividend dates. Distributions ar

14 e determined on a tax basis and ma y di
e determined on a tax basis and ma y differ from net i nvestment income and net realized capital g ains for financial reportin g purposes. Dividends and distributions are paid in U.S. dollars and cannot be automaticall y reinveste d i n additional shares of the Funds. The character and timin g of distributions are determined in accordance with U.S. federal inc o me tax re g ulations, which ma y differ fro m U . S . G AAP. f ications: In the normal course o f business, each Fund enters into contracts that contain a variet y o representations that provide g enera indemni f ication. The F unds' maximum exposure under these arran g ements is unknown because it involves f uture potential claims a g ainst the Funds, whic h cannot be predicted with an y c ertaint 3 . TMENT VAL U ATI N AND FAIR VAL U E MEA SU REMENT Investment Valuation Policies: E ach Fund’s investments are valued at f air value ( also re f erred to as “market value” within the f inancial statements ) each da y that the F und’s listin g exchan g e is open and, for financial reportin g purposes, as of the report date. U.S. GAAP defines fair value as t h e price a fund would receive to sell an asset o r pa y to transfer a liabilit y in an orderl y transaction between market participants at the measurement date. Each Fund determi n e s the fair value s of it s financial in s trument usin various independent dealers or pricin g services under policies approved b y the Board o f Trustees o f the Trust ( the “Boar d ”) f a securit y ’s market price is not readil y available or does not otherwise accuratel y represent the fair value of the securit y , the securit y will be valued in accordance w ith a polic y approved b y the Board as reflectin g f air value. The BlackRock G lobal Valuation Methodolo g ies ommittee the “ G lobal Valuation C ommittee” is the committee f ormed b y mana g ement to develop g lobal pricin g p olicies and procedures and to oversee the pricin f or all f inancial instruments. F air Value Inputs and Methodolo g ies: he ollowin methods and inputs are used to establish the air value o each Fund’s assets and liabilities: F ixed-income investments for which market quotations are readil y available are g enerall valued usin g the last available bid pr i ce or current market quotation s p rovided b y independent dealers or third-part y pricin g services. Pricin g services g enerall value f ixed income securities assu m i n g orderl y transactions o f a nstitutional round lot size, but a fund ma y hold or transact in such securities in smaller, odd lot sizes. O dd lots ma y tradeat lower prices than institutional round lots. T he pricin g services ma y use matrix pricin g or valuation mod

15 els that utilize certain inputs and assu
els that utilize certain inputs and assumptions to derive values, i n cludin transaction data ( e. ., recent r epresentative bids and o ff ers , market data, credit qualit y in f ormation, perceived market movements, news, and other relevant i n f ertain ixed-incomesecurities, includin g asset-backed and mort g a g e related securities ma y be valued based on valuation models that consider the e s timated ca s h flow s of each tranche of the entit y , establish a benchmark y ield and develop an estimated tranche speci f ic spread to the benchmark y ield based on the unique attributes o f the tranche. Th e amortized cost method of valuation ma y be used with respect to debt obli g ations with sixt y da y s or less remainin g to maturit y u n less the Mana g er determines such Investments in open-end U. . mutual unds includin mone market unds are valued at that da ’s published NAV. f events ( e. ., a market closure, market volatilit y , compan y announcement or a natural disaster ) occur that are expected to materiall y a ect the value o f such investment , o r in the event that application of these methods of valuation results in a price for an investment that is deemed not to be re p resentative of the market value of such s to Financial S tatement unaudited 16 S U AL EP RT T O S H AREH LDER i nvestment, or i f a price is not available, the investment will be valued b y the G lobal Valuation C ommittee, in accordance with a polic y approved b y the Board as re f lectin air value ( “Fair Valued Investments” ) . The f air valuation approaches that ma y be used b y the G lobal Valuation C ommittee include market approach, income approach and c ost approach. Valuation techniques such as discounted cash f low, use o f market comparables and matrix pricin g are t y pes o f valuation approaches and are t y picall use d i n determinin g f air value. When determinin g the price f or Fair Valued Investments, the G lobal Valuation C ommittee, or its dele g ate, seeks to determine the price that each F und mi g ht reasonabl y expect to receive or pa y from the current sale or purchase of that asset or liabilit y in an arm’s-len g thtran s action. Fair value determination s s hall be b ased upon all available f actors that the G lobal Valuation C ommittee, or its dele g ate, deems relevant and consistent with the p r inciples o f f air value measurement. The p ricin of all Fair Valued Investments is subsequentl reported to the Board or a committee thereof on a quarterl basis. air value pricin g could result in a di ff erence between the prices used to calculate a f und’s NAV and the prices used b y the fu n d’s underl y in index, which in turn could result i n a difference

16 between the fund’s performance and the
between the fund’s performance and the performance of the fund’s underl in index. air Value Hier a rch arious inputs are used in determinin g the fair value of financial instruments. These inputs to valuation techniques are cate go r ized into a fair value h ierarch consistin o three broad levels or inancial reportin g purposes as ollows: L usted price quotations in active markets/exchan es for identical assets or liabilities that each Fund has the ab lit to access L evel 2 – O ther observable inputs ( includin , but not limited to, quoted prices f or similar assets or liabilities in markets that are active, quoted prices f similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable f or the assets or liabilities ( such as interest rates, y ield urves, volatilities, prepa ment speeds, loss severities, credit risks and default rates or other market-corroborated inputs and L evel 3 – Unobservable inputs based on the best in f ormation available in the circumstances, to the extent observable inputs are not available, ( includin the G lobal aluation Committee’s assumptions used in determinin the fair value of financial instruments T he hierarch y g ives the hi g hest priorit y to unad j usted quoted prices in active markets f or identical assets or liabilities ( Level 1 measurements ) and the lowest priorit y t unobservable inputs ( Level 3 measurements ) . Accordin g l y , the de g ree of j ud ment exercised in determinin g fair value is g reatest for instruments cate g orized in Level 3. The i nputs used to measure f air value ma y f all into di ff erent levels o f the f air value hierarch y . In such cases, f or disclosure pur p oses, the f air value hierarch y classi f ication i s d etermined based on the lowest level input that is si g nificant to the fair value measurement in its entiret y . Investments clas s i fied within Level 3 have si g nificant unobservable i nputs used b y the G lobal Valuation C ommittee in determinin g the price f or Fair Valued Investments. Level 3 investments include equit y or debt issued b y privatel y hel d c ompanies or funds that ma y not have a secondar y market and/or ma y have a limited number of investors. The cate g orization of a v alue determined for financial in s trument s based on the pricin transparenc of the financial instruments and is not necessaril an indication of the risks associated ith investin g in those securities. S E RITIE S AND O THER INVE S TMENT f lation-Indexed Bonds: f lation-indexed bonds are f ixed-income securities whose principal value is periodicall y ad j usted accordin g to the rate o f in f l ation. I f the index in f lation rises or f alls,

17 the principal value o f in f lation-in
the principal value o f in f lation-indexed bonds will be ad j usted upward or downward, and co n sequentl the interest pa y able on thesesecurities calculated with respect to a lar g er or smaller principal amount ) will be increased or reduced, respectivel y . An y up w ard or downward ad j ustment in the principalamount o f an in f lation-indexed bond is included as interest income in the statement o f operations, even thou g h investors do not receive their principal until maturit y .Repa y inal bond principal upon maturit ( usted for inflation uaranteed in the case of U.S. Treasur i flation-indexed bond s . S ecurities Lendin g : E ach Fund ma y lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrowe r pled g maintains with the Fund collateral consistin g of cash, an irrevocable letter of credit issued b y an approved bank, or securities issued or g uaranteed b y the U.S. g overnment. he initial collateral received b y each Fund is required to have a value o f at least 102 % o the current market value o f the l o aned ecuritie f ecuritie traded on U . S . es and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least of the current value of the securitie s o n loan. The market value o f the loaned securities is determined at the close o f each business da y o the Fund and an y additio n al required collateral is delivered to the Fund o r excess collateral is returned b y the Fund, on the next business da y . Durin g the term of the loan, each Fund is entitled to a l l distributions made on or in respect of the loanedsecurities but does not receive interest income on securities received as collateral. Loans of securities are terminable at an y time and the borrower, after notice, is required or settlement o f As o f period end, an y securities on loan were collateralized b y cash and / or U. S . G overnment obli g ations. ash collateral invested in mone y market f unds mana g ed b y B lackRock Fund Advisors ( “BFA” , the Funds' investment adviser, or its affiliates is disclosed in the schedules of investments. An y non-cash collateral received cannot besold, re-invested or pled g ed b y the Fund, except in the event o f borrower de f ault. The securities on loan, i f an y , are also di s c lo ed in each Fund' s s chedule o f inve s tment T securities on loan and the value of an related cash collateral are disclosed in the statements of asset and liabilitie S ecurities lendin g transactions are entered into b y the Funds under Master S ecurities Lendin g A each, an “M S LA” ) whic h provide the ri g ht, in the event o f de f ault includin bankruptc y

18 or insolvenc y) for the non-defaultin
or insolvenc y) for the non-defaultin g part y to liquidate the collateral and calculate a net exposure to t h e defaultin g part y or request additional collateral.In the event that a borrower de f aults, the Funds, as lender, would o ff set the market value o f the collateral received a g ainst t h e market value o f the s ecuritie loaned. Whe n the value of the collateral is g reater than that of the market value of the securities loaned, the lender is left with a net a m o unt pa y able to the defaultin g part y , b ankruptc or insolvenc y laws of a particular j urisdiction ma y impose restrictions on or prohibitions a g ainst such a ri g ht of o ffset in the event of an MSLA counterpart y ’ s b or insolvenc y . Under the M S LA, absent an event o f de f ault, the borrower can resell or re-pled g e the loaned securities, and the Funds can reinvest cash collateral r eceived in connection with loaned securities. Upon an event of default, the parties’ obli g ations to return the securities or c o llateral to the other part y are extin g uished, an d the parties can resell or re-pled g e the loaned securities or the collateral received in connection with the loaned securities i n order to satis fy the de f aultin part y ’s net pa y ment bli ation for all transactions under the MSLA. The defaultin part y remains liable for an deficienc Note s to Financial S tatement unaudited ( F IAL ATEMENT As o period end, the ollowin table is a summar o the securities on loan b counterpart which are sub ect to o set under an M i S ounterpart Ma e t V a l S ash ollateral Rece iv ed ) N ash ollateral Rece iv ed e t Am ou n t 0 - 5 Year TIP S Bond ofA Securities, Inc. . ................................................................. 332,094$ 332,094$ —$ — D eut che Bank ecuritie Inc. 55,778,740 155,778,740 — — J PMor an Securities LLC 7,196 57,196 — — $ 156,168,030$ 156,168,030$ —$ — T IP S g 7,861,943$ 17,861,943$ —$ — D eut che Bank ecuritie Inc. ....................................................... 2 1 1 ,800,558 211,800,558 — — 2 5,123,967 25,123,967 — — J PMor an ecurities LL 331,341 331,341 — — $ 255,117,809$ 255,117,809$ —$ — ( a ) C ollateral received in excess o f the market value o f securities on loan is not presented in this table. The total cash collateral received b y each Fund is disclosed in the Fund's statement of a et and liabilitie T he risks of securities lendin g include the risk that the borrower ma y not provide additional collateral when required or ma y n o t return the securities when due. To miti g these risks, each Fund bene f its rom a borrower de f ault indemnit y provided b y BlackRock, Inc. ( “BlackRock” . BlackRock’s ind

19 em n i t y allows f or ull replacemen
em n i t y allows f or ull replacement o f the s ecuritie loaned to the extent the collateral received doe s not cover the value of the s ecuritie loaned in the event of borr o w er default. Each Fund could incur a lo ss if the v alue o f an investment purchased with cash collateral f alls below the market value o f the loaned securities or i f the value o f an investment purchased with cash collateral inal cash collateral received. Such losses are borne entirel b each Fund. TMENT ADVI SO RY A G REEMENT AND O THER TRAN S A C TI O N S WITH AFFILIATE S Investment Advisor y Fees:Pursuant to an Investment Advisor y A reement with the Trust, BFA mana g es the investment o f each Fund’s assets. BFA is a C ali or ia orporation indirectl y owned b y BlackRock. Under the Investment Advisor y A reement, BFA is responsible f or substantiall y all ex p enses o f the Funds, except ( i ) interestand taxes; ( ii brokera g e commissions and other expenses connected with the execution of portfolio transactions; ( iii distrib u tion fees; ( iv the advisor y fee pa y able to BFA ; and ) liti g ation expenses and an extraordinar expenses in each case as determined b a ma orit o the independent trustees F or its investment advisor y services to the i S hares 0-5 Year TIP S Bond ETF, BFA is entitled to an annual investment advisor y f ee o f 0.05 % , accrued dail y and paid monthl y by the Fund, based on the avera g e dail y net assets of the Fund. Prior to December 17, 2020, for its investment advisor y services to the Fund, BFA was entitled to an annual i nvestment advisor fee of 0.06%, accrued dail and paid monthl e dail net assets of the Fund or its investment advisor y services to the iShares TIPS Bond ETF, BFA is entitled to an annual investment advisor y fee, accrue d dail y and paid monthl y b the Fund, base d o n the Fund’s allocable portion o the a gg g the avera e dail net assets o f the Fund and certain other i hares unds, a s f A ggregate Average Dail y Net Asset s Inv es e n t A Fe e F irst 121 billio % O $181 billio O $231 billio O $281 billio 5 O 281 billio 630 E ach reduced investment advisor y f ee level re f lects a 5 % reduction ( rounded to the f ourth decimal place ) f rom the investment ad v isor f ee at the prior a gg re g ate avera g e dail y net asset l Distributor: B lackRock Investments, LLC, an affiliate of BFA, is the distributor for each Fund. Pursuant to the distribution a g reement, BF A i s responsible for an y fees orexpenses or distribution services provided to the Funds. ecurities Lendin g : T he U. S . S ecurities and Exchan g e ommission the “ S E C ” ) has issued an exemptive order which permits BlackRock Institutional Tr u

20 st ompan “BTC” , an affiliate of BFA,
st ompan “BTC” , an affiliate of BFA, to serve as securities lendin g a ent for the Funds, sub j ect to applicable conditions. As securities lendin g a ent, BTC bears all operational c osts directl y related to securities lendin g . Each Fund is responsible f or ees in connection with the investment o f cash collateral received f or securities on loan ( the“collateral investment f ees” . The cash collateral is invested in a mone y market f und, BlackRock C ash Funds: Institutional or B l ackRock ash Funds: Treasur y , mana g e d by BFA, or its affiliates. However, BTC has agreed to reduce the amount of securities lending income it receives in order to ef fectively limit the collateral investment fees f each Fund bears to an annual rate o f 0.04 % . The S L A enc S hares o f such mone y market f und will not be sub j ect to a sales load , distribution ee or service f ee. The mone y Note s to Financial S tatement unaudited ( 18 S U AL EP RT T O S H AREH LDER market und in which the cash collateral has been invested ma y , under certain circumstances, impose a liquidit y f ee o f up to 2 % o the value redeemed or temporaril y restrict r edemptions or up to 10 business da s durin g a 90 da period, in the event that the mone market und’s weekl liquid assets all below certain thre hold S ecurities lendin g income is equal to the total o f income earned f rom the reinvestment o f cash collateral, net o f f ees and othe r pa y ments to and f rom borrowers o f securities , and less the collateral investment fees. Each Fund retains a portion of securities lendin g income and remits the remainin g port i on to BTC as compensation for its service s as securities lendin a Pursuant to the current securities lendin g a reement, each Fund retains 82 % o securities lendin g income ( which excludes collateral investment f ees , and the amount r etained can never be less than 70% of the total of securities lendin In addition, commencin g the business da y f the date that the a gg re g ate securities lendin g income plus the collateral i n v estment ees enerated across all 1940 Act i Shares exchan g e-traded funds ( the “iShares ETF Complex” ) in that calendar y ear exceeds a specified threshold, each Fund, purs u ant to the securities lendin g a ill retain f or the remainder o f that calendar y ear 85 % o securities lendin g income ( which excludes collateral investment f ee and the amount retained can never be les s than 70% of the total of securities lendin income plus the collateral investment fees. T he share of securities lendin g income earned b y each Fund is shown as securities lendin g income – affiliated – net in its statement of operations. For the six months

21 ended amounts for securities lendin S F
ended amounts for securities lendin S Fees P d to BT C 0 - 5 Year TIP S Bond S Bon d ............................................................................................................................... . ................... 7 O fficers and Trustees: ertain officer and or tru s tee of the Tru s t are officer s and / s tee of BlackRock or it affiliate O ther Transactions: g is the bu y in or sellin g of portfolio securities between funds to which BFA ( or an affiliate ) serves as investme n t adviser. At its re g ularl scheduled quarterl y meetin g s, 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. or the six months ended April 30, 2021, transactions executed b the Funds pursuant to Rule 17a-7 under the 1940 Act were as llow i S urchases ale t R ea liz ed ain Loss 5 Year TIP S Bond 65,412,167$ 498,276,918$ 2,050,18 0 T IP S 22,336,718 230,270,194 462,29 3 E ach Fund ma y invest its positive cash balances in certain mone y market funds mana g ed b y BFA or an affiliate. The income earned on these temporar y cash investment s i s shown as dividends – affiliated in the statement of operations.A fund, in order to improve its portfolio liquidit y and its abilit y to track its underl y in index, ma y invest in shares of othe r i fund s that inve s t in s ecuritie in the fund’ s underl in index. R C S AND S ALE or the six months ended April 30, 2021, purchases and sales o investments, excludin short-term investments and in-kind tran actions, were as ollows: S . G ecuritie S Purchases S ale 5 Year TIP S Bon d . ............................................................................................................... ,056,720,214$ 814,554,629 T IP S 6,890,281,304 6,234,517,132 F or the six months ended April 30, 2021, in-kind transactions were as follows: S In-kin c h ale 5 Year TIP S Bond ...............................................................................................................$ ,901,727,622$ 234,503,998 T IP S 6,447,925,851 3,776,554,904 s to Financial S tatement unaudited ( F IAL ATEMENT 7 . IN ME TAX INF O RMATI E ach Fund is treated as an entit y separate f rom the Trust's other f unds or ederal income tax purposes. It is each Fund’s poli cy to compl y with the requirements o f the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies, and to distribute substantially all of it taxable income to it s s f T Mana ement has anal y zed tax laws and re g ulations and their application to the Funds as o f April 30, 2021, inclusive o f the ope n tax return y ears, and does not believe that un

22 certain tax positions that require reco
certain tax positions that require reco nition of a tax liabilit y in the Funds' financial statements.As of ctober 31, 2020, the Funds had non-expirin capital loss carr forwards available to offset future realized capital ain follow s : i S on-Expirin 5 Year TIP S Bond .......$ 5, S ............... As of April 30, 2021, g ross unrealized appreciation and depreciation based on cost of investments ( includin short positions a n d derivatives, if an y) for U.S. federal income ollows: S hares ETFTax os ross nrealized ppreciation ross nrealized epreciation et nrealized ppreciation Depreciation 5 Year TIP S Bond ,809,621,556$ 128,935,314$ ( 241,583 $ 128,693,73 1 T IP S 2 6,359,906,954 1,125,649,746 ( 35,710,262 1,089,939,484 8 . P IPAL RI S K S In the normal course o f business, each Fund invests in securities or other instruments and ma y enter into certain transactions , and such activities sub j ect the Fund to variou s r isks, includin g , amon g others, fluctuations in the market ( market risk ) or failure of an issuer to meet all of its obli g ation The value of securities or other instruments ma y also be affected b y various factors, includin g , without limitation: ( i ) the g eneral econom y ; ( the overall market as well a s local, re g ional or g lobal political and/or social i nstabilit ( re g ulation, taxation or international tax treaties between various countries; or ( iv currenc y , interest rate or price f luctuations. Local, re g ional or g lobal event s such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events co u l d have a si g nificant impact on the Funds and the risks to which the Fund is sub ect. FA uses a “passive” or index approach to tr y to achieve each Fund’s investment ob j ective ollowin the securities included in i ts underl y in index durin g upturns as wellas downturns. BFA does not take steps to reduce market exposure or to lessen the e ff ects o f a declinin g market. Diver g ence m the underl y in index and the compositio n o f the portfolio is monitored b BFA.Market Risk: E y be exposed to prepa y ment risk, which is the risk that borrowers ma y exercise their option to prepa y principal ear l ier than scheduled durin g p eriods o f declinin g interest rates, which would f orce each Fund to reinvest in lower y ieldin securities. Each Fund ma y also be exposed to reinvestment risk, which is the r isk that income from each Fund’s portfolio will decline if each Fund invests the proceeds from matured, traded or called fixe d - income ecuritie at market intere s t rate s that s rate.An outbreak of respirator y disease caused b y a novel coronavirus has developed

23 into a g lobal pandemic and has resulte
into a g lobal pandemic and has resulted in closi ng borders, quarantines, disruptions t o suppl chains and customer activit y , as well as g eneral concern and uncertaint y . The impact o f this pandemic, and other g lobal ealth crises that ma y arise in the f uture ould affect the economies of man y nations, individual companies and the market in g y s that cannot necessaril y be f o reseen at the present time. This pandemic result in substantial market volatilit y and ma y adversel y impact the prices and liquidit y of a fund's investments. The duration of this pandemic and its effects cannot be d etermined with certaint C ounterpart y C redit Risk: T he Funds ma y be exposed to counterpart y credit risk, or the risk that an entit y ma y f ail to or be unable to per f orm on its co m mitment relate d to unsettled or open transactions, includin g makin g timel y interest and/or principal pa y ments or otherwise honorin g its obli g at ons. The Funds mana g e counterpart y credit r isk b y enterin g into transactions onl y with counterparties that the Mana g er believes have the f inancial resources to honor the i r obli g ations and b y monitorin g the f inancialstabilit of those counterparties. Financial assets, which potentiall y expose the Funds to market, issuer and counterpart y cre d i t risks, consist principall y of financial i nstruments and receivables due from counterparties. The extent of the Funds' exposure to market, issuer and counterpart y credit risks with respect to these financial asset s i s approximatel their value recorded in the statement o assets and liabilities, less an collateral held b the Funds. oncentration Risk: f ied port f olio, where this is appropriate and consistent with a f und’s ob j ectives, minimizes the risk that a price cha ng e o f a particular i nvestment will have a material impact on the NAV of a fund. The investment concentrations within each Fund’s portfolio are di lo ed in it s tment T he Funds invest a si g nificant portion of their assets in fixed-income securities and/or use derivatives tied to the fixed-inc o me markets. Chan g es in market interest rate s or economic conditions may affect the value and/or liquidity of such investments. Interest rate risk is the risk that prices of bond and other fixed-income s ecuritie will f i ncrease as interest rates f all and decrease as interest rates rise. The Funds ma y be sub j ect to a g reater risk o f risin g interest rates due to the current period o f historicall y l ow rate s .Note s to Financial S tatement unaudited ( 20 S U AL EP RT T O S H AREH LDER LIB O R Transition Risk: T he United Kin g dom’s Financial C onduct Authorit y announced a phase out o f the London I

24 nterbank Off ered Rate ( “LIB O . Alth
nterbank Off ered Rate ( “LIB O . Althou gh man y LIB OR r ates will be phased out b y the end o f 2021, a selection o f widel y used U S D LIB O R rates will continue to be published throu g h June 2 0 2 3 in order to a ss i s t with the tran s ition. he Funds ma y be exposed to f inancial instruments tied to LIB O R to determine pa y ment obli g ations, inancin terms, hed g in strate g ies or investment value. The transitio n p rocess awa y f rom LIB O R mi g ht lead to increased volatilit y and illiquidit y in markets f or, and reduce the e ff ectiveness o f new h ed es placed a g ainst, instruments whoseterms currentl include LIB O R. The ultimate effect of the LIB R transition process on the Funds is uncertain. C APITAL HARE TRAN S A C TI O N S C apital shares are issued and redeemed b y each Fund onl y in a gg re g ations o f a speci f ied number o f shares or multiples thereo f ( “ C reation Units” ) at NAV. Except whe n a re g ransactions in capital shares were as follows: ix Months Ended Yea r En ded 10/3 1 / 2 0 i S haresAmount haresAmoun 5 Year TIP S Bon d S hare s 2 0,000,000$ 2,102,138,701 10,750,000$ 1,098,627,05 3 S hare redeeme ( ( Net increa s e 1 7,650,000$ 1,856,376,449 4,100,000$ 429,533,08 6 T IP S Bon d S hare s 5 2,400,000$ 6,617,214,097 81,000,000$ 9,911,228,592 S hare redeeme 30,900,000 ( 65,800,000 ( Net increa s e 2 1,500,000$ 2,724,071,147 15,200,000$ 2,035,559,335 T he consideration f or the purchase o f C reation Units o f a f und in the Trust g enerall consists o f the in-kind deposit o f a desi g nated port f olio o f securities and a speci f amount of cash. Certain funds in the Trust ma y be offered in Creation Units solel y or partiall y for cash in U.S. dollars. Inve s tors purchasin g and redeemin g Creation Unit s ma pa y a purchase transaction f ee and a redemption transaction f ee directl y to S tate treet Bank and Trust C ompan , the Trust's administrator, to o ff set trans f er and othertransaction costs associated with the issuance and redemption o f C reation Units, includin g C reation Units f or cash. Investors t r ansactin in C reation Units f or cash ma y als o p a y an additional variable char g e to compensate the relevant fund for certain transaction costs ( i.e., stamp taxes, taxes on c u r renc or other financial transactions, and b rokera e costs and market impact expenses relatin to investin g in port f olio securities. S uch variable char es, i an , are i cluded in s hare s rom time to time, settlement o f securities related to in-kind contributions or in-kind redemptions ma y be dela y ed. In such ca s es, securities related to in-kind transaction s are reflected as a receivable or a pa able in the st

25 atement of assets and liabilities. 10 S
atement of assets and liabilities. 10 S Q UENT EVENT S Mana ement has evaluated the impact of all subsequent events on the Funds throu g h the date the financial statements were availa b le to be i ss ued and ha s determined ad j ustment or additional disclosure in the inancial statements. s to Financial S tatement unaudited ( F IAL ATEMENT In compliance with Rule 22e-4 under the Investment C ompan Act o f 1940, as amended ( the “Liquidit y Rule” ) , i S hares Trust ( the rust” has adopted and implemented a l iquidit risk mana g ement pro g ram the “Pro g ram” f or i S hares 0-5 Year TIP S Bond ETF and i S hares TIP S Bond ETF ( the “Funds” or “ETFs” ) , each a series o f the Trust , w hich is reasonabl desi ned to assess and mana e each Fund’s liquidit y risk. he Board of Trustees ( the “Board” ) of the Trust, on behalf of the Funds, met on December 2, 2020 ( the “Meetin g ” ) to review the Pro g ram. The Board previousl y appointed B lackRock Fund Advisors ( “BlackRock” , the investment adviser to the Funds, as the pro g ram administrator f or each Fund’s Pro g ram. BlackRock also previousl y dele g ate versi ht of the Pro g ram to the 40 Act Liquidit y Risk Mana g ement Committee ( the “Committee” ) . At the Meetin g , the Committee, o n behalf of BlackRock, provided the Boar d w ith a report that addressed the operation o f the Pro g ram and assessed its adequac y and e ff ectiveness o f implementation, inclu d i n g the mana g ement o f each Fund’s Hi g hl iquid Investment Minimum ( “HLIM” ) where applicable, and an y material chan g es to the Pro g ram the “Report” ) . The Report covere d the period f rom ctober 1, 2019 h September 30, 2020 the “Pro g ram Reportin g Period” T he Report described the Pro g ram’s liquidit y classification methodolo gy for cate g orizin a Fund’s investments ( includin derivative transactions ) into one of four liquidit y b uckets. It also re f erenced the methodolo gy used b y BlackRock to establish a Fund’s HLIM and noted that the C ommittee reviews a n d rati f ies the HLIM assi g ned to each F und no less frequentl y than annuall y . The Report also discussed notable events affectin g liquidit y over the Pro g ram Reportin g Period, includin g extended market holida ys and closures in certain countries and the impact o the coronavirus outbreak on the Funds and the overall market. he Report noted that the Pro g ram complied with the ke y factors for consideration under the Liquidit y Rule for assessin g , mana g i n g and periodicall y reviewin g a Fund’ s l iquidit risk, as ollows: ) The Fund’s investment strate gy and liquidit y o port f olio investments durin g both normal and reasonabl y f oreseeable stressed c o n

26 d i t i o n s . D the ram Reportin g P
d i t i o n s . D the ram Reportin g Period, the Committee reviewed whether each Fund’s strate gy is appropriate for an open-end fund structure, with a focu s on Fund s with more nificant and consistent holdin g s of less liquid and illiquid assets. The Committee factored a Fund’s concentration in an is s uer into the liquidit y classificatio n methodolo gy takin g issuer position sizes into account. Derivative exposure was also considered in the calculation of a Fund’s liquidit y bucketin g . Finall y , a factorfor consideration under the Liquidit Rule is a Fund’s use of borrowin s for investment purposes. However, the Funds do not bor ow for investment purposes. b) S hort-term and lon g -term cash flow pro j ections durin g both normal and reasonabl y foreseeable stressed conditions. D urin the Pro g ram Reportin g Period , the ommittee reviewed historical redemption activit y and used this in f ormation as a component to establish each ETF’s reasonab ly anticipated tradin g size ( “RAT ) . T he Committee ma y also take into consideration a Fund’s shareholder ownership concentration ( which, dependin g on product t y pe a n d distribution channel, ma y or not be available , a Fund’s distribution channels, and the de ree of certaint y associated with a Fund’s short-term and lon term cash flow pro ections. H oldin g s of cash and cash equivalents, as well as borrowin g arran g ements. he Committee considered that ETFs g enerall do not hold more than de minimi s amounts o f cash. While the ETFs g enerall do not en g a g e in borrowin g , certain o f the ETFs have the f lexibilit to draw on a li n e o f credit to meet redemption request s o r facilitate ettlement The relationship between an ETF’s portfolio liquidit y and the wa y in which, and the prices and spreads at which, ETF shares tra d e, includin g the efficienc y o f the arbitra g e function and the level of active participation b y market participants, includin g authorized participants. T he ommittee monitored the p revailin bid ask spread and the ETF price premium or discount ) to NAV f or all ETFs and reviewed an persistent deviations o m lon g -term avera es. ) The e ff ect o f the composition o f baskets on the overall liquidit y o an ETF’s port f In reviewin g the linka g e between the composition o f custom basket s accepted b y an ETF and an y si g nificant chan g e in the liquidit y profile of such ETF, the Committee reviewed chan g es in the prop o r tion of each ETF’s portfolio comprised o f less liquid and illiquid holdin s to determine if applicable thresholds were met requirin enhanced review.As part of BlackRock’s continuous review of the effectiveness of the Pro g ram, the Committee made the followi

27 n g enhancements to the Pro g ram: )
n g enhancements to the Pro g ram: ) certain sin g le countr y emer in market ETFs were added to a $300 million credit a g reement with State Street Bank and Trust Compan y ; and ( 2 ) certain up d ate were made to the RAT S and HLI M c alculation methodolo gy . The Report provided to the Board stated that the Committee concluded that based on the operation of the functions, as describ , the Pro g ram is operatin as intended and is e ective in implementin the requirements o the Liquidit Rule. tatement Re g ardin Liquidit y Risk Mana g ement Pro g ram unaudited S U AL EP RT T O S H AREH LDER S ection 19 ( a ) Notices T he amounts and sources o f distributions reported are estimates and are bein g provided pursuant to re g ulator requirements andare not bein g provided f or tax reportin g p urposes. The actual amounts and sources for tax reportin g purposes will depend upon each Fund's investment experience durin g t ear and ma y be sub j ect to chan g e s b ased on tax re g ulations. Shareholders will receive a Form 1099-DIV each calendar y ear that will inform them how to report the s e di s tribution for federal income tax p u .A p T umulative Distribution r th e Fi sca l Y ea r-t o -D a t e % the Total umulative s tri ti o n s fo r th e Fi sca l Y ea r-t o e i S Inv es e n t In m e t R ea liz ed apital ain u of apital a er hare Inv es e n t In m e t R ea liz ed apital ain u of apital a er hare 5 Year TIP S Bond ) . 0.003107 $ 0.711287100%—%0 % ( b ) 1 S ) 1 — 0 . 1 0 .77 393 0 ( b ) ( a ) T he Fund estimates that it has distributed more than its net investment income and net realized capital g ains; there f ore, a portion o f the distribution ma y be a return o f capital. A retur n of capital ma y occur, f or example, when some or all o f the shareholder's investment in the Fund is returned to the shareholder. A return o f capital does not necessaril y re f lect the F und's investment per f ormance and should not be con f used with " y ield" or "income". When distributions exceed total return per fo r mance, the di ff erence will incrementall y reduce the F und's net asset value per share. ) S upplemental In f ormation unaudited PPLEMENTAL RMATI Electronic Deliver y S hareholders can si g n up f or email noti f ications announcin g that the shareholder report or prospectus has been posted on the i S h ares website at i S hares.com. nce u h ou will no lon er receive prospectuses and shareholder reports in the mail. o enroll in electronic deliver € .com. I f y e irm is not listed, electronic deliver ma y not be available. Please contact y our broker-dealer or inancial advi s or. g Householding is an option available to certain fund investors. Householding is a met

28 hod of delivery, based on the preference
hod of delivery, based on the preference of the individual investor, in which a single copy f 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 r n ames. Please contact y our broker-dealer if y ou are interested in enrollin g in householdin g and receivin g a sin g le cop y of pro s p ectuses and other shareholder documents , o r i f y enrolled in householdin and wish to chan e our householdin Availabilit y Q uarterl y S chedule o f Investments T he Funds file their complete schedule of portfolio holdin g s with the SEC for the first and third quarters of each fiscal y ear as an exhibit to their reports on Form N-P O RT. The Funds' Forms N-PORT are available on the SEC’s website at sec.gov. Additionally, each Fund makes its portfolio holdings for irst and third quarters o f each f iscal ear available at ishares.com Availabilit y Prox y Votin g Policies and Prox y Votin g Record s A description o f the policies and procedures that the i S hares Funds use to determine how to vote proxies relatin g to port f olio ecuritie and in f ormation about how the i Shares Funds voted proxies relatin g to portfolio securities durin g the most recent twelve-month period endin g June 30 is available without char g e, upon request ( 1 ) toll-free 1-800-474-2737; ) ) ov.A description of the Compan y ’s policies and procedures with respect to the disclosure of the Fund’s portfolio securities is ava i lable in the Fund Prospectus. The Fund d iscloses its port olio holdin s dail and provides in ormation re g ardin its top holdin s in Fund act sheets at i hares.com. eneral In f ormatio S U AL EP RT T O S H AREH LDER T HI PA G E INTENTI O NALLY LEFT BLANK. T HI PA G E INTENTI O NALLY LEFT BLANK. T HI PA G E INTENTI O NALLY LEFT BLANK. Wan to kn o w m o r i Shares.com | 1-800-474-273 7 This report is intended for the Funds' shareholders. It ma y not be distributed to prospective investors unless it i s preceded or accompanied b y the current prospectus Investing involves risk, including possible loss o f principal . T he iShares Funds are distributed by BlackRock Investments, LLC (together with its affiliates,  BlackRockŽ) . T he iShares Funds are not sponsored, endorsed, issued, sold or promoted b Bloomber Index Services Limited, nor does y make an y representation re g ardin g the advisabilit y of investin g in the iShares Funds. BlackRock is no t affiliated with the compan y listed above . © 202 1 BlackRock, Inc. All rights reserved. i SHARES a n d BLA KR K re registered trademarks o subsidiaries. All other marks are the property o f their respective owners.i S - S AR-1 00 1- 0