ISHARES COMM CURVE CARRY STR

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.

Principal investment strategies: The Fund seeks to track the investment results of the ICE BofA Commodity Enhanced Carry Total Return Index (the Underlying Index ), which measures the performance of the 10 commodity futures contracts representing the underlying commodities with the largest global production value, where more weight in the Underlying Index is given to those contracts having the highest degree of backwardation or lowest degree of contango ( i.e ., those with the highest positive carry, as explained below) among a universe of 22 futures contracts on physical agricultural, energy, precious metals, and industrial metals commodities listed on U.S. and non-U.S. futures exchanges, as determined by ICE Data Services, LLC ( IDI or the Index Provider ). The Underlying Index is rebalanced on a monthly basis and could contain more than 10 contracts during the rebalancing period. The Fund, through its Subsidiary (as defined below), invests in financial instruments that provide exposure to commodities, and not in the physical commodities themselves. The Fund seeks to achieve its investment objective primarily by investing in total return swaps on the Underlying Index. The Fund reserves the right to invest in a broad range of financial instruments and expects to obtain a substantial amount of its exposure to the investment results of the Underlying Index by entering into total return swaps that provide returns similar to the commodity futures contracts included in the Underlying Index. The Fund may invest in swaps on commodity futures contracts that are not included in the Underlying Index but that provide exposure to commodities from the same sectors as those found in the Underlying Index, as well as in futures, options and forwards that provide exposure to commodities from such sectors (collectively with total return swaps on the Underlying Index, the Commodity Investments ). The Fund invests in Commodity Investments solely through its Subsidiary. Investing in Commodity Investments may have a leveraging effect on the Fund. The Fund also seeks to generate interest income and capital appreciation on the cash balances arising from its investment in Commodity Investments through a cash management strategy consisting primarily of investments in cash and cash equivalents, short-term government obligations, and short-term fixed-income securities (collectively, Fixed-Income Investments ). The Fund invests in Fixed-Income Investments for investment purposes and to provide sufficient assets to account for (or cover ) mark-to-market changes and to collateralize the Subsidiarys investments in derivatives on a day-to-day basis. In order to maintain exposure to a futures contract on a particular commodity, an investor must sell the position in the expiring contract and buy a new position in a contract with a later delivery month, which is referred to as rolling. If the price for the new futures contract is less than the price of the expiring contract, then the market for the commodity is said to be in backwardation. In these markets, investors experience positive roll returns, which is referred to as positive carry. The term contango is used to describe a market in which the price for a new futures contract is more than the price of the expiring contract. In these markets, investors experience negative roll returns, which is referred to as negative carry. The Underlying Index seeks to employ a positive carry strategy that emphasizes commodities and futures contract months with the greatest degree of backwardation and lowest degree of contango, resulting in net gains through positive roll returns. The Fund is expected to establish new total return swap contracts on the Underlying Index on an ongoing basis and replace expiring contracts. Total return swaps subsequently acquired by the Fund may have terms that differ from the swaps the Fund previously held. The Fund generally expects to pay a fixed payment rate and swap-related fees to each counterparty and receive the total return of the Underlying Index, including, in the event of negative performance by the Underlying Index, a negative return ( i.e. , a payment from the Fund to the swap counterparty). As of October 31, 2024, the Underlying Index had 12 components. The Fund gains exposure to Commodity Investments by investing through a wholly owned subsidiary organized in the Cayman Islands (the Subsidiary ). The Subsidiary is advised by BFA and has the same investment objective as the Fund. Unlike the Fund, the Subsidiary is not an investment company registered under the Investment Company Act of 1940, as amended (the 1940 Act ) and, unless otherwise noted in this Prospectus, is not subject to the investor protections of the 1940 Act. The Subsidiary invests solely in Commodity Investments and cash and cash equivalents. In compliance with Subchapter M of the Internal Revenue Code of 1986, as amended (the Internal Revenue Code ), the Fund may invest up to 25% of its total assets in the Subsidiary. The Funds Commodity Investments held in the Subsidiary are intended to provide the Fund with exposure to broad commodities consistent with current U.S. federal income tax laws applicable to investment companies such as the Fund, which limit the ability of investment companies to invest directly in Commodity Investments. The remainder of the Funds assets are invested directly by the Fund, primarily in Fixed-Income Investments, including repurchase agreements, money market instruments, U.S. government and agency securities, sovereign debt obligations on non-U.S. countries (excluding emerging market countries), commercial paper, non-convertible corporate debt securities, and obligations of U.S. and non-U.S. banks and similar institutions. BFA uses an indexing approach to try to achieve the Funds investment objective. The Fund does not try to beat the index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. Indexing may eliminate the chance that the Fund will substantially outperform the Underlying Index but also may reduce some of the risks of active management, such as poor selection of securities and/or other instruments. Indexing seeks to achieve lower costs and better after-tax performance by aiming to keep portfolio turnover low in comparison to actively managed investment companies. BFA uses a representative sampling indexing strategy to manage the Fund. Representative sampling is an indexing strategy that involves investing in a representative sample of securities and/or other instruments that collectively has an investment profile similar to that of an applicable underlying index. The securities ? and/or other instruments selected are expected to have, in the aggregate, investment characteristics (based on factors such as market value and industry weightings), fundamental characteristics (such as return variability, duration, maturity, credit ratings and yield) and liquidity measures similar to those of an applicable underlying index. The Fund may or may not hold all of the securities ? and/or other instruments in the Underlying Index. The Commodity Futures Trading Commission ( CFTC ) has adopted certain requirements that subject registered investment companies and their advisers to regulation by the CFTC if a registered investment company invests more than a prescribed level of its net asset value in CFTC-regulated futures, options and swaps, or if a registered investment company markets itself as providing investment exposure to such instruments. Due to the Funds potential use of such instruments above the prescribed levels, it is considered a commodity pool under the Commodity Exchange Act ( CEA ). The Subsidiary is also deemed a commodity pool. BFA is considered a commodity pool operator ( CPO ) with respect to the Fund and the Subsidiary and is subject to regulation by the CFTC and the National Futures Association ( NFA ). The Underlying Index is sponsored by the Index Provider, which is ? independent of the Fund and BFA. The Index Provider determines the composition and relative weightings of the securities in the Underlying Index and publishes information regarding the market value of the Underlying Index. Continue reading...

Source: Fund prospectus, 485BPOS, filed 2025-02-25