LOGO

  FEBRUARY 28, 2022

 

 

    

  

2022 Annual Report

 

 

iShares Trust

·  iShares 0-3 Month Treasury Bond ETF | SGOV | NYSE Arca

·  iShares 1-3 Year Treasury Bond ETF | SHY | NASDAQ

·  iShares 3-7 Year Treasury Bond ETF | IEI | NASDAQ

·  iShares 7-10 Year Treasury Bond ETF | IEF | NASDAQ

·  iShares 10-20 Year Treasury Bond ETF | TLH | NYSE Arca

·  iShares 20+ Year Treasury Bond ETF | TLT | NASDAQ

·  iShares 25+ Year Treasury STRIPS Bond ETF | GOVZ | Cboe BZX

·  iShares Short Treasury Bond ETF | SHV | NASDAQ


The Markets in Review

Dear Shareholder,

The 12-month reporting period as of February 28, 2022 saw a continuation of the resurgent growth that followed the initial coronavirus (or “COVID-19”) pandemic reopening, albeit at a slower pace. The global economy weathered the emergence of several variant strains and the resulting peaks and troughs in infections amid optimism that increasing vaccinations and economic adaptation could help contain the pandemic’s disruptions. However, rapid changes in consumer spending led to supply constraints and elevated inflation. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the invasion has presented challenges for both investors and policymakers.

Equity prices were mixed, as persistently high inflation drove investors’ expectations for higher interest rates, which particularly weighed on relatively high valuation growth stocks and economically sensitive small-capitalization stocks. Overall, small-capitalization U.S. stocks declined, while large-capitalization U.S. stocks posted a solid advance. International equities from developed markets gained slightly, although emerging market stocks declined, pressured by rising interest rates and a strengthening U.S. dollar.

The 10-year U.S. Treasury yield (which is inversely related to bond prices) rose during the reporting period as the economy expanded rapidly and inflation reached its highest annualized reading in decades. In the corporate bond market, the improving economy assuaged credit concerns and led to modest returns for high-yield corporate bonds, outpacing the negative return of investment-grade corporate bonds.

The U.S. Federal Reserve (the “Fed”) maintained accommodative monetary policy during the reporting period by keeping near-zero interest rates. However, the Fed’s tone shifted during the period, as it reduced its bond-buying program and raised the prospect of higher rates in 2022. Continued high inflation and the Fed’s new stance led many analysts to anticipate that the Fed will raise interest rates multiple times throughout the year.

Looking ahead, however, the horrific war in Ukraine has significantly clouded the outlook for the global economy. Sanctions on Russia and general wartime disruption are likely to drive already-high commodity prices even further upwards, and we have already seen spikes in energy and metal markets. While this will exacerbate inflationary pressure, it could also constrain economic growth, making the Fed’s way forward less clear. Its challenge will be combating inflation without stifling a recovery that is now facing additional supply shocks.

In this environment, we favor an overweight to equities, as we believe low interest rates and continued economic growth will support further gains, albeit likely more modest than what we saw in 2021. Sectors that are better poised to manage the transition to a lower-carbon world, such as technology and health care, are particularly attractive in the long term. U.S. and other developed market equities have room for further growth, while we believe Chinese equities stand to gain from a more accommodative monetary and fiscal environment. We are underweight long-term credit, but inflation-protected U.S. Treasuries, Asian fixed income, and emerging market local-currency bonds offer potential opportunities. We believe that international diversification and a focus on sustainability can help provide portfolio resilience, and the disruption created by the coronavirus appears to be accelerating the shift toward sustainable investments.

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

Sincerely,

 

LOGO

Rob Kapito

President, BlackRock, Inc.

LOGO

Rob Kapito

President, BlackRock, Inc.

 

Total Returns as of February 28, 2022

 

     
      6-Month        12-Month    
     

U.S. large cap equities

(S&P 500® Index)

  (2.62)%   16.39%
     

U.S. small cap equities

(Russell 2000® Index)

  (9.46)   (6.01)
     

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

  (6.78)   2.83
     

Emerging market equities

(MSCI Emerging Markets

Index)

  (9.81)   (10.69)
     

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

  0.02   0.04
     

U.S. Treasury securities

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

  (3.94)   (1.67)
     

U.S. investment grade bonds

(Bloomberg U.S. Aggregate Bond Index)

  (4.07)   (2.64)
     

Tax-exempt municipal bonds

(Bloomberg Municipal Bond Index)

  (3.09)   (0.66)
     

U.S. high yield bonds

(Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index)

  (3.07)   0.64
Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

 

2  

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


Table of Contents

 

      Page

The Markets in Review

   2

Market Overview

   4

Fund Summary

   5

About Fund Performance

   21

Shareholder Expenses

   21

Schedules of Investments

   22

Financial Statements

  

Statements of Assets and Liabilities

   34

Statements of Operations

   36

Statements of Changes in Net Assets

   38

Financial Highlights

   42

Notes to Financial Statements

   50

Report of Independent Registered Public Accounting Firm

   60

Important Tax Information (Unaudited)

   61

Statement Regarding Liquidity Risk Management Program

   62

Supplemental Information

   63

Trustee and Officer Information

   65

General Information

   68

Glossary of Terms Used in this Report

   69

 

 

 


Market Overview

 

iShares Trust

U.S. Treasury Bond Market Overview

The ICE U.S. Treasury Core Bond Index returned -1.68% for the 12 months ended February 28, 2022 (the “reporting period”), ahead of -2.64% return of the Bloomberg U.S. Aggregate Bond Index, a broad measure of U.S. taxable bond performance.

The market downturn reflected a shift from an environment dominated by the adverse economic effects of COVID-19 to one characterized by improving growth and rising inflation. As vaccines were rolled out and lockdowns related to the virus gradually eased, economic growth rebounded in kind. U.S. GDP rose nearly 6% in real (after-inflation) terms in 2021, up from -3.4% in 2020. However, the supply of goods and labor was insufficient to keep up with the increase in demand. These circumstances translated to a surge in inflation, with sharply rising prices for commodities, consumer products, housing costs and labor. Inflation, as measured by the U.S. Core Personal Consumption Index, moved north of 4% in October 2021 and exceeded 5% in January 2022 – well above its range of recent years.

The U.S. Federal Reserve (“Fed”) at first did not adjust its monetary policy in response to accelerating inflation, calling the uptrend “transitory.” As inflation in fact persisted, the Fed shifted gears in November 2021 by announcing it would taper the stimulative bond-buying program known as quantitative easing. It also stated its intention to begin raising interest rates. Investors, appearing to sense that the Fed had fallen behind the curve in fighting inflation, soon began to price in the possibility of as many as six to seven rate increases in 2022.

Late in the period, Russia’s invasion of Ukraine led to a large increase in uncertainty and somewhat dampened expectations regarding the likely extent of Fed tightening. At the same time, commodity prices surged in anticipation that the sanctions levied on Russia would further constrict the available supply of raw materials. Expectations for future inflation therefore remained elevated as of the end of February, limiting the typical “flight to quality” into higher-rated bonds.

Yields on U.S. Treasuries rose, as prices fell, in the annual period. Short-dated issues, which are most sensitive to Fed policy, were hardest hit in the downturn. The yield on the two-year note surged from 0.12% at the beginning of the period to 1.43% by February 28, 2022. The move above 1% in January 2022 represented the first time the two-year note traded above since the COVID-19 pandemic first emerged as a market risk in February 2020. Longer-dated bonds, where prices are driven more by longer-term growth expectations than the Fed, held up better on a relative basis. The 10-year yield moved from 1.4% to 1.83% over the 12-month interval, while the 30-year bond stayed even at 2.16%. The yield curve (a graphical representation of U.S. Treasury rates at different maturities) flattened as a result of these shifts.

 

 

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Fund Summary as of February 28, 2022     iShares® 0-3 Month Treasury Bond ETF

 

Investment Objective

The iShares 0-3 Month Treasury Bond ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. Treasury bonds with remaining maturities less than or equal to three months, as represented by the ICE 0-3 Month US Treasury Securities 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    

 

              Average Annual Total Returns               Cumulative Total Returns    
   

 

   

 

 

          1 Year      

Since   

Inception   

      1 Year    

Since   

Inception   

 

Fund NAV

                                         0.04%   0.05%       0.04   0.09%

Fund Market

    0.05      0.06          0.05     0.10   

Index

    0.04      0.06          0.04     0.10   

 

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

The inception date of the Fund was 5/26/20. The first day of secondary market trading was 5/28/20.

On 3/1/2021 the Fund began to track the 4pm pricing variant of the ICE 0-3 Month US Treasury Securities Index. Historical index data prior to 3/1/2021 is for the 3pm pricing variant of the ICE 0-3 Month US Treasury Securities Index. Index data on and after 3/1/2021 is for the 4pm pricing variant of the ICE 0-3 Month US Treasury Securities Index.

Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 21 for more information.

Expense Example

 

Actual     Hypothetical 5% Return        

 

 

   

 

 

   
 

Beginning

  Account Value

(09/01/21)

 

 

 

   

Ending

Account Value

(02/28/22)

 

 

 

    

Expenses

Paid During

the Period

 

 

(a)  

   

Beginning

Account Value

(09/01/21)

 

 

 

      

Ending

Account Value

(02/28/22)

 

 

 

    

Expenses

Paid During

the Period

 

 

(a)  

   

Annualized

Expense

Ratio

 

 

 

  $        1,000.00       $         1,000.20        $         0.15       $         1,000.00          $         1,024.60        $         0.15       0.03

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” for more information.

 

 

 

F U N D   S U M M A R Y

  5


Fund Summary as of February 28, 2022   (continued)    iShares® 0-3 Month Treasury Bond ETF

 

Portfolio Information

 

ALLOCATION BY MATURITY

 

   
Maturity   Percent of   
Total Investments(a)

0-1 Year

  100.0%

FIVE LARGEST HOLDINGS

 

   
Security   Percent of   
Total Investments(a)

U.S. Treasury Bill, 0.06%, 03/29/22

  15.2%

U.S. Treasury Note/Bond, 1.88%, 04/30/22

  14.8   

U.S. Treasury Note/Bond, 1.88%, 03/31/22

  14.0   

U.S. Treasury Note/Bond, 1.75%, 05/31/22

  13.7   

U.S. Treasury Bill, 0.15%, 04/19/22

  11.1   
  (a) 

Excludes money market funds.

 

 

 

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Fund Summary as of February 28, 2022     iShares® 1-3 Year Treasury Bond ETF

 

Investment Objective

The iShares 1-3 Year Treasury Bond ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. Treasury bonds with remaining maturities between one and three years, as represented by the ICE U.S. Treasury 1-3 Year Bond Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

 

    Average Annual Total Returns           Cumulative Total Returns  
     1 Year      5 Years      10 Years           1 Year      5 Years      10 Years  

Fund NAV

    (1.77 )%       1.21      0.85       (1.77 )%       6.19      8.80

Fund Market

    (1.79      1.21        0.85         (1.79      6.22        8.79  

Index

    (1.63      1.34        0.98               (1.63      6.89        10.25  

GROWTH OF $10,000 INVESTMENT

(AT NET ASSET VALUE)

 

LOGO

On 3/1/2021 the Fund began to track the 4pm pricing variant of the ICE U.S. Treasury 1-3 Year Bond Index. Index data on and after 3/1/2021 is for the 4pm pricing variant of the ICE U.S. Treasury 1-3 Year Bond Index. Historical index data from 2/28/2020 through 4/1/2016 is for the 3pm pricing variant of the ICE U.S. Treasury 1-3 Year Bond Index. Historical index data prior to 4/1/2016 is for the Barclays U.S. 1-3 Year Treasury Bond Index.

Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 21 for more information.

Expense Example

 

Actual        Hypothetical 5% Return           

 

 

      

 

 

      
 

Beginning
Account Value
(09/01/21)
 
 
 
      

Ending
Account Value
(02/28/22)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
      

Beginning
Account Value
(09/01/21)
 
 
 
      

Ending
Account Value
(02/28/22)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
  $      1,000.00          $         981.80          $        0.74          $      1,000.00          $      1,024.10          $        0.75          0.15

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” for more information.

 

 

 

F U N D   S U M M A R Y

  7


Fund Summary as of February 28, 2022   (continued)    iShares® 1-3 Year Treasury Bond ETF

 

Portfolio Information

 

ALLOCATION BY MATURITY

 

   
Maturity   Percent of     
Total Investments(a)

0-1 Year

  0.2%

1-2 Years

  61.8   

2-3 Years

  36.3   

3-4 Years

  1.7   

FIVE LARGEST HOLDINGS

 

   
Security   Percent of    Total Investments(a)

U.S. Treasury Note/Bond, 0.13%, 08/31/23

  9.2%

U.S. Treasury Note/Bond, 0.38%, 10/31/23

  9.0   

U.S. Treasury Note/Bond, 0.63%, 10/15/24

  6.9   

U.S. Treasury Note/Bond, 1.50%, 11/30/24

  6.7   

U.S. Treasury Note/Bond, 0.25%, 06/15/24

  4.7   
  (a) 

Excludes money market funds.

 

 

 

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Fund Summary as of February 28, 2022     iShares® 3-7 Year Treasury Bond ETF

 

Investment Objective

The iShares 3-7 Year Treasury Bond ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. Treasury bonds with remaining maturities between three and seven years, as represented by the ICE U.S. Treasury 3-7 Year Bond Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

 

    Average Annual Total Returns           Cumulative Total Returns  
     1 Year      5 Years      10 Years           1 Year      5 Years      10 Years  

Fund NAV

    (3.07 )%       1.96      1.63       (3.07 )%       10.19      17.58

Fund Market

    (3.05      1.98        1.64         (3.05      10.30        17.66  

Index

    (2.71      2.08        1.74               (2.71      10.86        18.86  

GROWTH OF $10,000 INVESTMENT

(AT NET ASSET VALUE)

 

LOGO

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

Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 21 for more information.

Expense Example

 

Actual     Hypothetical 5% Return           

 

 

   

 

 

      
 

Beginning
Account Value
(09/01/21)
 
 
 
      

Ending
Account Value
(02/28/22)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
   

Beginning
Account Value
(09/01/21)
 
 
 
      

Ending
Account Value
(02/28/22)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
  $      1,000.00          $         963.60          $        0.73       $      1,000.00          $      1,024.10          $        0.75          0.15

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” for more information.

 

 

 

F U N D   S U M M A R Y

  9


Fund Summary as of February 28, 2022   (continued)    iShares® 3-7 Year Treasury Bond ETF

 

Portfolio Information

 

ALLOCATION BY MATURITY

 

   
Maturity   Percent of   
Total Investments(a)

3-4 Years

  28.7%

4-5 Years

  26.5   

5-6 Years

  15.9   

6-7 Years

  28.9   

FIVE LARGEST HOLDINGS

 

   
Security   Percent of    Total Investments(a)

U.S. Treasury Note/Bond, 0.25%, 08/31/25

  8.0%

U.S. Treasury Note/Bond, 2.38%, 05/15/27

  7.4   

U.S. Treasury Note/Bond, 2.25%, 11/15/25

  7.4   

U.S. Treasury Note/Bond, 2.25%, 02/15/27

  7.0   

U.S. Treasury Note/Bond, 2.88%, 08/15/28

  6.4   
  (a) 

Excludes money market funds.

 

 

 

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Fund Summary as of February 28, 2022     iShares® 7-10 Year Treasury Bond ETF

 

Investment Objective

The iShares 7-10 Year Treasury Bond ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. Treasury bonds with remaining maturities between seven and ten years, as represented by the ICE U.S. Treasury 7-10 Year Bond Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

 

    Average Annual Total Returns           Cumulative Total Returns  
     1 Year      5 Years      10 Years           1 Year      5 Years      10 Years  

Fund NAV

    (2.38 )%       2.81      2.38       (2.38 )%       14.84      26.52

Fund Market

    (2.31      2.84        2.39         (2.31      15.01        26.68  

Index

    (1.86      2.91        2.47               (1.86      15.41        27.62  

GROWTH OF $10,000 INVESTMENT

(AT NET ASSET VALUE)

 

LOGO

On 3/1/2021 the Fund began to track the 4pm pricing variant of the ICE U.S. Treasury 7-10 Year Bond Index. Index data on and after 3/1/2021 is for the 4pm pricing variant of the ICE U.S. Treasury 7-10 Year Bond Index. Historical index data from 4/1/2016 through 2/28/2021 is for the 3pm pricing variant of the ICE U.S. Treasury 7-10 Year Bond Index. Historical index data prior to 4/1/2016 is for the Barclays U.S. 7-10 Year Treasury Bond Index.

Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 21 for more information.

Expense Example

 

Actual     Hypothetical 5% Return           

 

 

   

 

 

      
 

Beginning
Account Value
(09/01/21)
 
 
 
      

Ending
Account Value
(02/28/22)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
   

Beginning
Account Value
(09/01/21)
 
 
 
      

Ending
Account Value
(02/28/22)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
  $      1,000.00          $         960.40          $        0.73       $      1,000.00          $      1,024.10          $        0.75          0.15

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” for more information.

 

 

 

F U N D   S U M M A R Y

  11


Fund Summary as of February 28, 2022   (continued)    iShares® 7-10 Year Treasury Bond ETF

 

Portfolio Information

 

ALLOCATION BY MATURITY

 

   
Maturity   Percent of   
Total Investments(a)

6-7 Years

  10.0%

7-8 Years

  14.1   

8-9 Years

  31.1   

9-10 Years

  44.8   

FIVE LARGEST HOLDINGS

 

   
Security  

Percent of   

Total Investments(a)

U.S. Treasury Note/Bond, 0.63%, 08/15/30

  25.8%

U.S. Treasury Note/Bond, 1.38%, 11/15/31

  23.7   

U.S. Treasury Note/Bond, 1.25%, 08/15/31

  20.8   

U.S. Treasury Note/Bond, 2.63%, 02/15/29

  9.8   

U.S. Treasury Note/Bond, 2.38%, 05/15/29

  8.8   
  (a)

Excludes money market funds.

 

 

 

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Fund Summary as of February 28, 2022     iShares® 10-20 Year Treasury Bond ETF

 

Investment Objective

The iShares 10-20 Year Treasury Bond ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. Treasury bonds with remaining maturities between ten and twenty years, as represented by the ICE U.S. Treasury 10-20 Year Bond Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance

 

    Average Annual Total Returns           Cumulative Total Returns  
     1 Year     5 Years      10 Years           1 Year      5 Years      10 Years  

Fund NAV

    (1.64 )%(a)      3.16      2.89       (1.64 )%       16.82      33.02

Fund Market

    (1.38     3.19        2.92         (1.38      16.99        33.33  

Index

    (0.60     3.20        2.96               (0.60      17.07        33.93  

GROWTH OF $10,000 INVESTMENT

(AT NET ASSET VALUE)

 

LOGO

 

  (a) 

The NAV total return presented in the table for the one-year period differs from the same period return disclosed in the financial highlights. The total return in the financial highlights is calculated in the same manner but differs due to certain adjustments made for financial reporting purposes in accordance with U.S. generally accepted accounting principles.

 

On 3/1/2021 the Fund began to track the 4pm pricing variant of the ICE U.S. Treasury 10-20 Year Bond Index. Index data on and after 3/1/2021 is for the 4pm pricing variant of the ICE U.S. Treasury 10-20 Year Bond Index. Historical index data from 7/1/2016 through 3/1/2021 is for the 3pm pricing variant of the ICE U.S. Treasury 10-20 Year Bond Index. Historical index data prior to 7/1/2016 is for the Barclays U.S. 10-20 Year Treasury Bond Index.

Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 21 for more information.

Expense Example

 

Actual     Hypothetical 5% Return           

 

 

   

 

 

      
 

Beginning
Account Value
(09/01/21)
 
 
 
      

Ending
Account Value
(02/28/22)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
   

Beginning
Account Value
(09/01/21)
 
 
 
      

Ending
Account Value
(02/28/22)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
  $      1,000.00          $         945.90          $        0.72       $      1,000.00          $      1,024.10          $        0.75          0.15

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” for more information.

 

 

 

F U N D   S U M M A R Y

  13


Fund Summary as of February 28, 2022   (continued)    iShares® 10-20 Year Treasury Bond ETF

 

Portfolio Information

 

ALLOCATION BY MATURITY

 

   
Maturity   Percent of   
Total Investments(a)

9-10 Years

  0.2%

13-14 Years

  0.1   

15-16 Years

  0.2   

16-17 Years

  0.2   

17-18 Years

  20.8   

18-19 Years

  56.0   

19-20 Years

  19.6   

20-21 Years

  2.9   

FIVE LARGEST HOLDINGS

 

   
Security   Percent of   
Total Investments(a)

U.S. Treasury Note/Bond, 1.88%, 02/15/41

  25.7%

U.S. Treasury Note/Bond, 2.25%, 05/15/41

  19.6   

U.S. Treasury Note/Bond, 4.38%, 11/15/39

  19.0   

U.S. Treasury Note/Bond, 1.38%, 11/15/40

  15.0   

U.S. Treasury Note/Bond, 1.13%, 08/15/40

  11.9   
  (a)

Excludes money market funds.

 

 

 

14  

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Fund Summary as of February 28, 2022     iShares® 20+ Year Treasury Bond ETF

 

Investment Objective

The iShares 20+ Year Treasury Bond ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. Treasury bonds with remaining maturities greater than twenty years, as represented by the ICE U.S. Treasury 20+ Year Bond Index (the “Index”). The Fund invests in a representative sample of securities included in the Index that collectively has an investment profile similar to the Index. Due to the use of representative sampling, the Fund may or may not hold all of the securities that are included in the Index.

Performance    

 

    Average Annual Total Returns         Cumulative Total Returns  
     1 Year      5 Years      10 Years          1 Year      5 Years      10 Years  

Fund NAV

    (0.72 )%       5.00      4.20       (0.72 )%       27.63      50.90

Fund Market

    (0.74      4.98        4.22         (0.74      27.51        51.25  

Index

    0.65        5.09        4.29           0.65        28.20        52.15  

GROWTH OF $10,000 INVESTMENT

(AT NET ASSET VALUE)

 

LOGO

On 3/1/2021 the Fund began to track the 4pm pricing variant of the ICE U.S. Treasury 20+ Year Bond Index. Index data on and after 3/1/2021 is for the 4pm pricing variant of the ICE U.S. Treasury 20+ Year Bond Index. Historical index data from 4/1/2016 through 2/28/2021 is for the 3pm pricing variant of the ICE U.S. Treasury 20+ Year Bond Index. Historical index data prior to 4/1/2016 is for the Barclays U.S. 20+ Year Treasury Bond Index.

Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 21 for more information.

Expense Example

 

Actual     Hypothetical 5% Return           

 

 

   

 

 

      
 

Beginning
Account Value
(09/01/21)
 
 
 
      

Ending
Account Value
(02/28/22)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
   

Beginning
Account Value
(09/01/21)
 
 
 
      

Ending
Account Value
(02/28/22)
 
 
 
      

Expenses
Paid During
the Period 
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
  $      1,000.00          $         946.80          $        0.72       $      1,000.00          $      1,024.10          $        0.75          0.15

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” for more information.

 

 

 

F U N D   S U M M A R Y

  15


Fund Summary as of February 28, 2022   (continued)    iShares® 20+ Year Treasury Bond ETF

 

Portfolio Information

 

ALLOCATION BY MATURITY

 

   
Maturity   Percent of   
Total Investments(a)

20-25 Years

  32.1%

25-30 Years

  67.9   

FIVE LARGEST HOLDINGS

 

   
Security   Percent of   
Total Investments(a)

U.S. Treasury Note/Bond, 1.88%, 02/15/51

  12.1%

U.S. Treasury Note/Bond, 3.00%, 02/15/49

  8.7   

U.S. Treasury Note/Bond, 3.00%, 08/15/48

  6.1   

U.S. Treasury Note/Bond, 2.88%, 05/15/43

  5.8   

U.S. Treasury Note/Bond, 2.00%, 08/15/51

  5.7   
  (a)

Excludes money market funds.    

 

 

 

16  

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Fund Summary as of February 28, 2022     iShares® 25+ Year Treasury STRIPS Bond ETF

 

Investment Objective

The iShares 25+ Year Treasury STRIPS Bond ETF (the “Fund”) seeks to track the investment results of an index composed of the principal payments of U.S. Treasury bonds (specifically principal “STRIPS”, also known as “Separate Trading of Registered Interest and Principal Securities”) with remaining maturities of at least 25 years, as represented by the ICE BofA Long US Treasury Principal STRIPS 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

 

              Average Annual Total Returns               Cumulative Total Returns    
   

 

   

 

 

          1 Year      Since  
Inception  
      1 Year    

Since  

Inception  

 

Fund NAV

                                         1.44%   (11.52)%       1.44   (16.14)%

Fund Market

    1.15      (11.52)          1.15     (16.14)   

Index

    3.30      (11.59)          3.30     (16.25)   

 

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

The inception date of the Fund was 9/22/20. The first day of secondary market trading was 9/24/20.

On 3/1/2021 the Fund began to track the 4pm pricing variant of the ICE BofA Long US Treasury Principal STRIPS Index. Historical index data prior to 3/1/2021 is for the 3pm pricing variant of the ICE BofA Long US Treasury Principal STRIPS Index. Index data on and after 3/1/2021 is for the 4pm pricing variant of the ICE BofA Long US Treasury Principal STRIPS Index.

Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 21 for more information.

Expense Example

 

Actual     Hypothetical 5% Return           

 

 

   

 

 

      
 


Beginning

Account Value
(09/01/21)

 


 

      


Ending

Account Value
(02/28/22)

 


 

      

Expenses

Paid During

the Period

 

 

 (a) 

   


Beginning

Account Value
(09/01/21)

 


 

      


Ending

Account Value
(02/28/22)

 


 

      

Expenses

Paid During

the Period 

 

 

(a) 

      

Annualized

Expense

Ratio

 

 

 

  $      1,000.00          $        945.70          $        0.19       $      1,000.00          $      1,024.60          $        0.20          0.04

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” for more information.

 

 

 

F U N D   S U M M A R Y

  17


Fund Summary as of February 28, 2022   (continued)    iShares® 25+ Year Treasury STRIPS Bond ETF

 

Portfolio Information

 

ALLOCATION BY MATURITY

 

   
Maturity   Percent of   
Total Investments(a)

20-25 Years

  1.2%

25-30 Years

  98.8   

FIVE LARGEST HOLDINGS

 

   
Security   Percent of   
Total Investments(a)

U.S. Treasury STRIPS, 2.19%, 02/15/51

  15.2%

U.S. Treasury STRIPS, 2.21%, 11/15/50

  12.9   

U.S. Treasury STRIPS, 2.28%, 11/15/47

  12.8   

U.S. Treasury STRIPS, 2.21%, 08/15/49

  12.6   

U.S. Treasury STRIPS, 2.20%, 02/15/49

  12.0   
  (a)

Excludes money market funds.

 

 

 

18  

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Fund Summary as of February 28, 2022    

iShares® Short Treasury Bond ETF

 

Investment Objective

The iShares Short Treasury Bond ETF (the “Fund”) seeks to track the investment results of an index composed of U.S. Treasury bonds with remaining maturities of one year or less, as represented by the ICE Short US Treasury Securities 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

 

    Average Annual Total Returns         Cumulative Total Returns  
     1 Year      5 Years      10 Years         1 Year     5 Years      10 Years  

Fund NAV

    (0.19 )%       1.05      0.58       (0.19 )%      5.34      5.96

Fund Market

    (0.21      1.04        0.58         (0.21     5.33        5.94  

Index

    (0.03      1.20        0.71           (0.03     6.13        7.37  

GROWTH OF $10,000 INVESTMENT

(AT NET ASSET VALUE)

 

LOGO

On 3/1/2021 the Fund began to track the 4pm pricing variant of the ICE Short US Treasury Securities Index. Index data on and after 3/1/2021 is for the 4pm pricing variant of the ICE Short US Treasury Securities Index. Historical index data from 5/1/2020 through 2/28/2021 is for the 3pm pricing variant of the ICE Short US Treasury Securities Index. Historical index data from 7/1/2016 through 4/30/2020 is for the ICE U.S. Treasury Short Bond Index. Historical index data prior to 7/1/2016 is for the Bloomberg Barclays U.S. Short Treasury Bond Index.

Past performance is no guarantee of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” on page 21 for more information.

Expense Example

 

Actual     Hypothetical 5% Return           

 

 

   

 

 

      
 

Beginning
Account Value
(09/01/21)
 
 
 
      

Ending

Account Value

(02/28/22)

 

 

 

      

Expenses

Paid During

the Period 

 

 

(a) 

   

Beginning

Account Value

(09/01/21)

 

 

 

      

Ending

Account Value

(02/28/22)

 

 

 

      

Expenses
Paid During
the Period 
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
  $      1,000.00          $         998.40          $        0.74       $      1,000.00          $      1,024.10          $        0.75          0.15

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period shown). Other fees, such as brokerage commissions and other fees to financial intermediaries, may be paid which are not reflected in the tables and examples above. See “Shareholder Expenses” for more information.

 

 

 

F U N D   S U M M A R Y

  19


Fund Summary as of February 28, 2022   (continued)   

iShares® Short Treasury Bond ETF

 

Portfolio Information

 

ALLOCATION BY INVESTMENT TYPE

 

   
Investment Type   Percent of   
Total Investments(a)

U. S. Government Obligations

  100.0%   

FIVE LARGEST HOLDINGS

 

   
Security  

Percent of   

Total Investments(a)

U.S. Treasury Bill, 0.13%, 04/14/22

  9.1%

U.S. Treasury Note/Bond, 2.13%, 05/15/22

  8.8   

United States Cash Management Bill, 0.45%, 06/14/22

  6.2   

U.S. Treasury Bill, 0.30%, 05/19/22

  5.6   

U.S. Treasury Note/Bond, 1.75%, 07/15/22

  5.2   
  (a)

Excludes money market funds.

 

 

 

20  

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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.

Shareholder 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 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 a 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.

 

 

A B O U T   F U N D   P E R F O R M A N C E

  21


Schedule of Investments

February 28, 2022

  

iShares® 0-3 Month Treasury Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

 

 

U.S. Government Obligations

   
U.S. Government Obligations — 98.0%            

U.S. Treasury Bill

   

0.04%, 03/22/22(a)

  $ 976     $ 975,977  

0.06%, 03/29/22(a)(b)

        277,170           277,157,064  

0.07%, 03/24/22(a)

    1,079       1,078,953  

0.07%, 03/31/22(a)

    20,253       20,251,798  

0.13%, 04/12/22(a)

    150,200       150,177,658  

0.13%, 04/14/22(a)

    56,050       56,041,266  

0.15%, 04/19/22(a)

    203,399       203,357,818  

0.18%, 04/21/22(a)

    13,844       13,840,470  

0.18%, 04/26/22(a)(b)

    133,197       133,158,668  

0.18%, 04/28/22(a)

    96,620       96,591,201  

0.30%, 05/19/22(a)

    46,625       46,593,862  

U.S. Treasury Note/Bond

   

1.75%, 05/31/22

    250,000       250,796,520  

1.88%, 03/31/22

    254,796       255,150,747  

1.88%, 04/30/22

    270,741       271,429,381  

2.25%, 04/15/22

    23,640       23,696,599  

United States Cash Management Bill, 0.29%, 05/17/22(a)

    27,688       27,671,033  
   

 

 

 
      1,827,969,015  
   

 

 

 

Total U.S. Government Obligations — 98.0%
(Cost: $1,828,017,066)

 

    1,827,969,015  
   

 

 

 
Security   Shares
(000)
    Value  

 

 

Short-Term Investments

   
Money Market Funds — 11.3%            

BlackRock Cash Funds: Treasury,
SL Agency Shares, 0.03%(c)(d)

        211,520     $ 211,520,000  
   

 

 

 

Total Short-Term Investments — 11.3%
(Cost: $211,520,000)

 

    211,520,000  
   

 

 

 

Total Investments in Securities — 109.3%
(Cost: $2,039,537,066)

 

    2,039,489,015  

Other Assets, Less Liabilities — (9.3)%

 

    (174,061,436
   

 

 

 

Net Assets — 100.0%

    $  1,865,427,579  
   

 

 

 

 

(a) 

Rates are discount rates or a range of discount rates as of period end.

(b) 

All or a portion of this security is on loan.

(c) 

Affiliate of the Fund.

(d) 

Annualized 7-day yield as of period end.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended February 28, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

   
       Affiliated Issuer   Value at
02/28/21
    

Purchases

at Cost

    Proceeds
from Sales
     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
02/28/22
     Shares
Held at
02/28/22
(000)
     Income     Capital Gain
Distributions from
Underlying Funds
        
 

 

   
 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 1,570,000      $ 209,950,000 (a)      $           —      $      $      $ 211,520,000        211,520      $ 30,169 (b)    $    
           

 

 

    

 

 

    

 

 

       

 

 

   

 

 

   

 

(a) 

Represents net amount purchased (sold).

(b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

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 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.

 

                                                                                                   

 

 
     Level 1      Level 2      Level 3      Total  

 

 

Investments

           

Assets

           

U.S. Government Obligations

   $      $ 1,827,969,015      $      $ 1,827,969,015  

Money Market Funds

     211,520,000                      211,520,000  
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 211,520,000      $ 1,827,969,015      $      $ 2,039,489,015  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

 

22  

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


Schedule of Investments  

February 28, 2022

  

iShares® 1-3 Year Treasury Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

 

Par

(000)

    Value  

 

 

U.S. Government Obligations

   
U.S. Government Obligations — 99.8%  

U.S. Treasury Note/Bond

 

0.13%, 12/31/22

  $ 166     $ 164,794  

0.13%, 01/31/23

    1,833       1,817,248  

0.13%, 02/28/23

    3,536       3,502,297  

0.13%, 03/31/23

    253,036       250,238,765  

0.13%, 04/30/23

    759,045       749,616,234  

0.13%, 05/15/23

    179       177,122  

0.13%, 05/31/23

    7,890       7,781,821  

0.13%, 07/15/23

    709,977       699,050,014  

0.13%, 07/31/23

    241,235       237,267,816  

0.13%, 08/15/23

    37,466       36,823,517  

0.13%, 08/31/23

        2,002,244           1,966,813,672  

0.13%, 10/15/23

    698,764       684,679,538  

0.13%, 12/15/23

    195,392       190,904,090  

0.13%, 01/15/24

    277,236       270,424,226  

0.25%, 04/15/23

    713,591       706,204,220  

0.25%, 06/15/23

    114,778       113,343,275  

0.25%, 09/30/23(a)

    55,408       54,449,477  

0.25%, 11/15/23

    462,074       453,103,268  

0.25%, 03/15/24

    252,451       246,129,864  

0.25%, 05/15/24

    50,264       48,867,996  

0.25%, 06/15/24

    1,029,459       999,379,495  

0.38%, 10/31/23

    1,964,711       1,931,249,516  

0.38%, 07/15/24(a)

    216,878       210,939,271  

0.38%, 08/15/24

    198,842       193,125,292  

0.63%, 10/15/24

    1,504,760       1,467,258,064  

0.75%, 12/31/23

    254,950       251,763,125  

0.75%, 11/15/24

    489,609       478,325,040  

0.88%, 01/31/24(a)

    823,291       814,382,736  

1.00%, 12/15/24

    670,000       658,746,090  

1.13%, 01/15/25

    249,878       246,344,570  

1.38%, 02/15/23

    1,557       1,561,318  

1.38%, 06/30/23

    281,051       281,490,142  

1.50%, 02/28/23

    9,133       9,168,063  

1.50%, 02/29/24(a)

    263,106       263,321,828  

1.50%, 11/30/24

    1,438,754       1,434,089,585  

1.50%, 02/15/25

    251,782       250,778,805  

1.63%, 04/30/23

    124,215       124,826,371  

1.63%, 05/31/23

    64,613       64,936,065  

1.75%, 01/31/23

    1,510       1,519,496  

1.75%, 05/15/23

    319,526       321,610,409  

2.00%, 10/31/22

    40       40,308  

2.00%, 11/30/22

    120       120,938  

2.00%, 02/15/23

    2,800       2,824,281  

2.00%, 04/30/24

    29,104       29,400,724  

2.00%, 05/31/24

    10,534       10,643,043  

2.00%, 02/15/25

    533,811       539,357,627  

2.13%, 12/31/22

    3,773       3,807,580  
Security  

Par/

Shares
(000)

    Value  

 

 
U.S. Government Obligations (continued)        

2.13%, 11/30/23

  $ 329,291     $ 333,278,510  

2.13%, 03/31/24

    46,118       46,707,086  

2.13%, 09/30/24

    59,824       60,627,885  

2.13%, 05/15/25

    350,000       354,867,187  

2.25%, 12/31/23

    172,938       175,464,517  

2.25%, 04/30/24

    139,542       141,711,443  

2.25%, 10/31/24

    122,216       124,278,395  

2.25%, 11/15/24

        560,513       570,059,237  

2.38%, 01/31/23

    1,601       1,620,137  

2.38%, 02/29/24

    196,743           200,209,059  

2.38%, 08/15/24

    6,153       6,270,772  

2.50%, 03/31/23

    115,998       117,670,002  

2.63%, 02/28/23

    8,419       8,545,285  

2.63%, 06/30/23

    153,439       156,178,126  

2.63%, 12/31/23(a)

    110,248       112,620,916  

2.63%, 03/31/25

    16,006       16,474,301  

2.75%, 04/30/23

    348,235       354,423,825  

2.75%, 05/31/23

    319,521       325,561,944  

2.75%, 07/31/23

    2,635       2,689,244  

2.75%, 08/31/23

    44,830       45,768,628  

2.75%, 11/15/23

    110,032       112,529,210  

2.75%, 02/15/24

    4,637       4,752,563  

2.88%, 09/30/23

    204,400       209,246,516  

2.88%, 10/31/23

    494,638       506,540,227  

2.88%, 11/30/23

    71,352       73,149,736  

7.13%, 02/15/23

    2,775       2,934,563  
   

 

 

 
      21,376,548,350  
   

 

 

 

Total U.S. Government Obligations — 99.8%
(Cost: $21,698,646,306)

 

    21,376,548,350  
   

 

 

 

Short-Term Investments

   
Money Market Funds — 6.7%            

BlackRock Cash Funds: Treasury,
SL Agency Shares, 0.03%(b)(c)(d)

    1,442,791       1,442,791,352  
   

 

 

 

Total Short-Term Investments — 6.7%
(Cost: $1,442,791,352)

 

    1,442,791,352  
   

 

 

 

Total Investments in Securities — 106.5%
(Cost: $23,141,437,658)

 

    22,819,339,702  

Other Assets, Less Liabilities — (6.5)%

 

    (1,386,115,451
   

 

 

 

Net Assets — 100.0%

    $  21,433,224,251  
   

 

 

 

 

(a) 

All or a portion of this security is on loan.

(b) 

Affiliate of the Fund.

(c) 

Annualized 7-day yield as of period end.

(d) 

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

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  23


 

Schedule of Investments   (continued)

February 28, 2022

  

iShares® 1-3 Year Treasury Bond ETF

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended February 28, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

   
       Affiliated Issuer   Value at
02/28/21
    

Purchases

at Cost

    Proceeds
from Sales
     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
02/28/22
     Shares
Held at
02/28/22
(000)
     Income     Capital Gain
Distributions from
Underlying Funds
          
 

 

   
 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 298,018,000      $ 1,144,773,352 (a)      $          —      $      $      $ 1,442,791,352        1,442,791      $ 1,322,568 (b)    $    
           

 

 

    

 

 

    

 

 

       

 

 

   

 

 

   

 

(a) 

Represents net amount purchased (sold).

(b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

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 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.

 

                                                                                                           

 

 
     Level 1        Level 2        Level 3        Total  

 

 

Investments

                 

Assets

                 

U.S. Government Obligations

   $        $ 21,376,548,350        $        $ 21,376,548,350  

Money Market Funds

     1,442,791,352                            1,442,791,352  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 1,442,791,352        $ 21,376,548,350        $        $ 22,819,339,702  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

24  

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


Schedule of Investments

February 28, 2022

  

iShares® 3-7 Year Treasury Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

    

Par

(000)

    Value  

 

 

U.S. Government Obligations

   
U.S. Government Obligations — 99.4%            

U.S. Treasury Note/Bond

   

0.25%, 05/31/25

  $ 4,439     $ 4,238,551  

0.25%, 08/31/25

        873,927           830,606,169  

0.25%, 10/31/25

    210,353       199,383,419  

0.38%, 11/30/25

    206,088       196,025,110  

0.38%, 12/31/25

    4,865       4,623,270  

0.38%, 01/31/26

    26,757       25,379,432  

0.50%, 02/28/26

    275,423       262,286,615  

0.50%, 10/31/27

    112,276       104,500,010  

0.63%, 07/31/26

    174,644       166,307,477  

0.63%, 12/31/27

    130,205       121,787,076  

0.75%, 03/31/26

    171,316       164,657,429  

0.75%, 04/30/26

    144,194       138,437,504  

0.75%, 05/31/26

    194,525       186,592,027  

0.75%, 08/31/26

    522,625       500,127,624  

0.75%, 01/31/28

    96,160       90,484,306  

0.88%, 09/30/26

    128,044       123,097,301  

1.00%, 07/31/28

    317,320       301,515,596  

1.13%, 10/31/26

    84,503       82,113,150  

1.13%, 08/31/28

    349,335       334,324,512  

1.25%, 11/30/26

    91,112       89,051,303  

1.25%, 12/31/26(a)

    1,896       1,852,155  

1.25%, 03/31/28

    127,425       123,353,374  

1.25%, 04/30/28

    104,278       100,897,111  

1.25%, 05/31/28

    107,806       104,230,715  

1.25%, 06/30/28

    44,750       43,222,207  

1.25%, 09/30/28

    366,127       352,940,709  

1.38%, 10/31/28

    381,650       370,692,470  

1.38%, 12/31/28(a)

    209       202,538  

1.50%, 01/31/27

    205       202,582  

1.50%, 11/30/28

    34,836       34,106,621  

1.63%, 02/15/26

    325,928       324,502,065  

1.63%, 05/15/26

    351,280       349,509,581  

1.63%, 09/30/26

    49,235       48,961,999  

1.63%, 10/31/26

    191       189,948  

1.75%, 01/31/29

    5,536       5,507,455  

1.88%, 02/28/27

    47,172       47,485,251  

1.88%, 02/28/29

    10,012       10,046,416  

2.00%, 02/15/25

    1,714       1,731,708  

2.13%, 05/15/25

    39,259       39,804,945  

2.13%, 05/31/26

    129,960       131,950,520  

2.25%, 11/15/25

    754,607       768,962,221  

2.25%, 02/15/27

    717,682       734,614,810  

Security  

Par/

Shares
(000)

    Value  

 

 
U.S. Government Obligations (continued)        

2.25%, 08/15/27

  $     247,700     $ 253,824,769  

2.25%, 11/15/27

    44,261       45,350,236  

2.38%, 05/15/27

    749,567       772,258,972  

2.63%, 03/31/25

    1,448       1,490,365  

2.75%, 06/30/25

    58,362       60,368,194  

2.75%, 02/15/28

    250,772       264,280,383  

2.88%, 05/31/25

    97,840       101,490,306  

2.88%, 07/31/25

    25,330       26,325,390  

2.88%, 11/30/25

    31,995       33,331,041  

2.88%, 05/15/28

    189,129       200,860,908  

2.88%, 08/15/28

    622,001       661,823,644  

3.00%, 09/30/25

    37,470       39,150,295  

3.00%, 10/31/25

    66,729       69,750,156  

3.13%, 11/15/28

    286,793       310,195,756  

5.50%, 08/15/28

    11,636       14,242,282  

U.S. Treasury Strip Coupon

   

0.00%, 11/15/27(b)

    235       211,915  

0.00%, 11/15/28(b)

    22,004       19,435,094  

0.00%, 02/15/29(b)

    25,515       22,421,927  
   

 

 

 
      10,417,316,915  
   

 

 

 

Total U.S. Government Obligations — 99.4%
(Cost: $10,790,424,406)

 

    10,417,316,915  
   

 

 

 

Short-Term Investments

   
Money Market Funds — 0.2%            

BlackRock Cash Funds: Treasury,
SL Agency Shares, 0.03%(c)(d)(e)

    17,828       17,828,269  
   

 

 

 

Total Short-Term Investments — 0.2%
(Cost: $17,828,269)

 

    17,828,269  
   

 

 

 

Total Investments in Securities — 99.6%
(Cost: $10,808,252,675)

 

    10,435,145,184  

Other Assets, Less Liabilities — 0.4%

 

    40,414,311  
   

 

 

 

Net Assets — 100.0%

    $  10,475,559,495  
   

 

 

 

 

(a) 

All or a portion of this security is on loan.

(b) 

Zero-coupon bond.

(c) 

Affiliate of the Fund.

(d) 

Annualized 7-day yield as of period end.

(e) 

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

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended February 28, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

   
       Affiliated Issuer    Value at
02/28/21
     Purchases
at Cost
    

Proceeds

from Sales

    Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
02/28/22
     Shares
Held at
02/28/22
(000)
     Income     Capital Gain
Distributions from
Underlying Funds
        
 

 

   
 

BlackRock Cash Funds: Treasury, SL Agency Shares

   $ 367,876,065      $      $ (350,047,796 )(a)    $      $      $ 17,828,269        17,828      $ 156,440 (b)    $    
            

 

 

    

 

 

    

 

 

       

 

 

   

 

 

   

 

(a) 

Represents net amount purchased (sold).

(b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

 

S C H E D U L E    O F   I N V E S T M E N T S

  25


Schedule of Investments   (continued)

February 28, 2022

  

iShares® 3-7 Year Treasury Bond ETF

 

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 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.

 

                                                                                                           

 

 
     Level 1      Level 2      Level 3      Total  

 

 

Investments

           

Assets

           

U.S. Government Obligations

   $      $ 10,417,316,915      $      $ 10,417,316,915  

Money Market Funds

     17,828,269                      17,828,269  
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 17,828,269      $ 10,417,316,915      $      $ 10,435,145,184  
  

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

26  

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


Schedule of Investments

February 28, 2022

  

iShares® 7-10 Year Treasury Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

 

 

U.S. Government Obligations

   
U.S. Government Obligations — 99.7%        

U.S. Treasury Note/Bond
0.63%, 05/15/30

  $ 1,010,964     $ 918,713,899  

0.63%, 08/15/30

        4,953,877           4,489,257,170  

0.88%, 11/15/30

    151       139,862  

1.25%, 08/15/31

    3,798,969       3,607,239,783  

1.38%, 10/31/28

    6,200       6,021,992  

1.38%, 11/15/31

    4,295,817       4,117,943,040  

1.50%, 02/15/30

    943,983       922,079,356  

1.75%, 01/31/29

    1       995  

1.88%, 02/28/29

    270       270,928  

1.88%, 02/15/32

    50,000       50,187,500  

2.38%, 05/15/29

    1,472,106       1,527,137,770  

2.63%, 02/15/29

    1,610,803       1,695,244,743  

3.13%, 11/15/28

    26,015       28,137,648  
   

 

 

 
      17,362,374,686  
   

 

 

 

Total U.S. Government Obligations — 99.7%
(Cost: $18,044,142,640)

 

    17,362,374,686  
   

 

 

 
Security   Shares
(000)
    Value  

 

 

Short-Term Investments

   
Money Market Funds — 0.1%        

BlackRock Cash Funds: Treasury,
SL Agency Shares, 0.03%(a)(b)(c)

        16,339     $ 16,339,000  
   

 

 

 

Total Short-Term Investments — 0.1%
(Cost: $16,339,000)

 

    16,339,000  
   

 

 

 

Total Investments in Securities — 99.8%
(Cost: $18,060,481,640)

 

    17,378,713,686  

Other Assets, Less Liabilities — 0.2%

 

    35,036,270  
   

 

 

 

Net Assets — 100.0%

 

  $  17,413,749,956  
   

 

 

 

 

(a) 

Affiliate of the Fund.

(b) 

Annualized 7-day yield as of period end.

(c) 

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

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended February 28, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

   

 

   
           Affiliated Issuer    Value at
02/28/21
   Purchases
at Cost
    

Proceeds

from Sales

     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
02/28/22
     Shares
Held at
02/28/22
(000)
     Income     Capital Gain
Distributions from
Underlying Funds
        
   

 

   
   

BlackRock Cash Funds: Treasury, SL Agency Shares

  

$2,463,152,342

   $        $(2,446,813,342)(a)      $      $      $ 16,339,000        16,339      $ 1,741,964 (b)    $    
               

 

 

    

 

 

    

 

 

       

 

 

   

 

 

   

 

(a) 

Represents net amount purchased (sold).

 
(b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

 

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 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.

 

                                                                                                           

 

 
     Level 1      Level 2      Level 3      Total  

 

 

Investments

           

Assets

           

U.S. Government Obligations

   $      $ 17,362,374,686      $      $ 17,362,374,686  

Money Market Funds

     16,339,000                      16,339,000  
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 16,339,000      $ 17,362,374,686      $      $ 17,378,713,686  
  

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  27


Schedule of Investments

February 28, 2022

  

iShares® 10-20 Year Treasury Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

 

 

U.S. Government Obligations

   
U.S. Government Obligations — 97.6%        

U.S. Treasury Note/Bond
1.13%, 08/15/40

  $ 325,241     $ 269,466,917  

1.25%, 08/15/31

    423       401,652  

1.38%, 11/15/31

    1,278       1,225,466  

1.38%, 11/15/40

    393,524       340,275,284  

1.88%, 02/28/29

    200       200,688  

1.88%, 02/15/41

    619,692       582,558,890  

2.00%, 11/15/41

    216       207,073  

2.25%, 05/15/41

    446,531           445,118,149  

2.38%, 02/15/42

    530       541,180  

2.75%, 08/15/42

    62,000       66,763,828  

3.88%, 08/15/40

    62,742       78,790,227  

4.25%, 05/15/39

    6,160       8,097,994  

4.38%, 02/15/38

    195       258,300  

4.38%, 11/15/39

        322,502       430,615,224  

4.50%, 05/15/38

    2,732       3,673,900  

4.63%, 02/15/40

    25,144       34,522,908  

5.00%, 05/15/37

    2,728       3,819,307  

U.S. Treasury Strip Coupon

   

0.00%, 08/15/35(a)

    3,133       2,343,362  

0.00%, 08/15/36(a)

    1,163       849,428  
   

 

 

 
      2,269,729,777  
   

 

 

 

Total U.S. Government Obligations — 97.6%
(Cost: $2,355,664,771)

 

        2,269,729,777  
   

 

 

 
Security   Shares
(000)
    Value  

 

 

Short-Term Investments

   
Money Market Funds — 1.1%            

BlackRock Cash Funds: Treasury,
SL Agency Shares, 0.03%(b)(c)

        24,350     $ 24,350,000  
   

 

 

 

Total Short-Term Investments — 1.1%
(Cost: $24,350,000)

 

    24,350,000  
   

 

 

 

Total Investments in Securities — 98.7%
(Cost: $2,380,014,771)

 

        2,294,079,777  

Other Assets, Less Liabilities — 1.3%

 

    31,350,616  
   

 

 

 

Net Assets — 100.0%

 

  $ 2,325,430,393  
   

 

 

 

 

(a) 

Zero-coupon bond.

(b) 

Affiliate of the Fund.

(c) 

Annualized 7-day yield as of period end.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended February 28, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

   
       Affiliated Issuer   Value at
02/28/21
     Purchases
at Cost
    

Proceeds

from Sales

     Net Realized
Gain (Loss)
     Change in
Unrealized
Appreciation
(Depreciation)
     Value at
02/28/22
     Shares
Held at
02/28/22
(000)
     Income     Capital Gain
Distributions from
Underlying Funds
          
 

 

   
 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 130,032,268      $        $(105,682,268)(a)      $      $      $ 24,350,000        24,350      $ 35,721 (b)    $    
            

 

 

    

 

 

    

 

 

       

 

 

   

 

 

   

 

(a) 

Represents net amount purchased (sold).

(b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

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 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.

 

                                                                                                   

 

 
     Level 1      Level 2      Level 3      Total  

 

 

Investments

           

Assets

           

U.S. Government Obligations

   $      $ 2,269,729,777      $      $ 2,269,729,777  

Money Market Funds

     24,350,000                      24,350,000  
  

 

 

    

 

 

    

 

 

    

 

 

 
   $   24,350,000      $ 2,269,729,777      $      $ 2,294,079,777  
  

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

28  

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


Schedule of Investments

February 28, 2022

  

iShares® 20+ Year Treasury Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

    

Par

(000)

    Value  

 

 

U.S. Government Obligations

 

U.S. Government Obligations — 99.6%        

U.S. Treasury Note/Bond

   

1.13%, 08/15/40

  $ 280     $ 231,984  

1.38%, 11/15/40

    1,525       1,318,648  

1.38%, 08/15/50

    72,610       59,775,615  

1.63%, 11/15/50

    901,907       790,225,201  

1.88%, 02/15/51

        2,086,456       1,942,360,132  

1.88%, 11/15/51

    663,114       618,665,013  

2.00%, 11/15/41

    4       3,829  

2.00%, 02/15/50

    782,489       749,324,534  

2.00%, 08/15/51

    956,013       917,025,787  

2.25%, 08/15/49

    545,650       550,189,675  

2.25%, 02/15/52

    23,380       23,818,375  

2.38%, 02/15/42

    2,330       2,379,148  

2.38%, 11/15/49

    287,714       298,323,454  

2.50%, 02/15/45

    41,185       42,518,686  

2.50%, 02/15/46

    679,721       703,910,029  

2.50%, 05/15/46

    643,798       666,732,890  

2.75%, 08/15/42

    229,288       246,905,667  

2.75%, 11/15/42

    154,605       166,381,661  

2.75%, 08/15/47(a)

    222,634       243,697,703  

2.75%, 11/15/47

    258,854       283,789,138  

2.88%, 05/15/43

    845,668       927,130,157  

2.88%, 08/15/45

    309,565       341,488,670  

2.88%, 11/15/46

    231,006       256,362,961  

2.88%, 05/15/49

    205,180       233,111,276  

3.00%, 11/15/44

    4,620       5,185,248  

3.00%, 02/15/47

    157,430       178,806,156  

3.00%, 02/15/48

    748,817       861,460,964  

3.00%, 08/15/48

    852,910       984,111,542  
Security  

Par/

Shares

(000)

    Value  

 

 
U.S. Government Obligations (continued)  

3.00%, 02/15/49

  $   1,207,700     $ 1,401,545,398  

3.13%, 02/15/43

    338,238       385,102,689  

3.13%, 08/15/44

    613,367       701,394,631  

3.13%, 05/15/48

    634,890       748,302,067  

3.38%, 11/15/48

    149,263       184,304,450  

3.63%, 08/15/43

    304,269       373,014,287  

3.75%, 11/15/43

    124,887       156,035,074  
   

 

 

 
      16,044,932,739  
   

 

 

 

Total U.S. Government Obligations — 99.6%
(Cost: $17,964,471,563)

 

    16,044,932,739  
   

 

 

 

Short-Term Investments

   

Money Market Funds — 1.7%

   

BlackRock Cash Funds: Treasury, SL Agency Shares, 0.03%(b)(c)(d)

    277,967       277,966,875  
   

 

 

 

Total Short-Term Investments — 1.7%
(Cost: $277,966,875)

 

    277,966,875  
   

 

 

 

Total Investments in Securities — 101.3%
(Cost: $18,242,438,438)

 

    16,322,899,614  

Other Assets, Less Liabilities — (1.3)%

 

    (209,533,114
   

 

 

 

Net Assets — 100.0%

    $  16,113,366,500  
   

 

 

 

 

(a) 

All or a portion of this security is on loan.

(b) 

Affiliate of the Fund.

(c) 

Annualized 7-day yield as of period end.

(d) 

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

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended February 28, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

   
       Affiliated Issuer  

Value at

02/28/21

    

Purchases

at Cost

    

Proceeds

from Sales

   

Net Realized

Gain (Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Value at

02/28/22

    

Shares

Held at

02/28/22

(000)

     Income    

Capital Gain

Distributions from

Underlying Funds

   

    

 

 

   
 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 376,413,618      $      $ (98,446,743 )(a)    $           —      $      $ 277,966,875        277,967      $ 488,573 (b)    $    
           

 

 

    

 

 

    

 

 

       

 

 

   

 

 

   

 

(a) 

Represents net amount purchased (sold).

(b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

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 Financial Statements.

 

 

S C H E D U L E    O F   I N V E S T M E N T S

  29


Schedule of Investments   (continued)

February 28, 2022

  

iShares® 20+ Year Treasury Bond ETF

 

Fair Value Hierarchy as of Period End (continued)

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.

 

                                                                                                           

 

 
     Level 1      Level 2      Level 3      Total  

 

 

Investments

           

Assets

           

U.S. Government Obligations

   $      $ 16,044,932,739      $      $ 16,044,932,739  

Money Market Funds

     277,966,875                      277,966,875  
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 277,966,875      $ 16,044,932,739      $      $ 16,322,899,614  
  

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

30  

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


Schedule of Investments

February 28, 2022

  

iShares® 25+ Year Treasury STRIPS Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

Par

(000)

    Value  

 

 

U.S. Government Obligations

   
U.S. Government Obligations — 99.8%            

U.S. Treasury STRIPS

   

2.19%, 11/15/49(a)

  $   24,043     $ 13,151,299  

2.19%, 02/15/51(a)

    92,382       49,110,417  

2.20%, 11/15/48(a)

    68,150       37,971,002  

2.20%, 02/15/49(a)

    70,180       38,890,188  

2.20%, 05/15/49(a)

    6,004       3,307,739  

2.20%, 02/15/50(a)

    21,772       11,805,995  

2.21%, 08/15/49(a)

    74,618       40,813,523  

2.21%, 08/15/50(a)

    24,080       12,864,016  

2.21%, 11/15/50(a)

    78,363       41,671,932  

2.28%, 08/15/47(a)

    50,821       28,519,472  

2.28%, 11/15/47(a)

    74,242       41,486,262  

2.32%, 02/15/47(a)

    2,821       1,585,667  

2.33%, 11/15/46(a)

    4,360       2,458,713  
   

 

 

 
          323,636,225  
   

 

 

 

Total U.S. Government Obligations — 99.8%
(Cost: $315,621,554)

      323,636,225  
   

 

 

 
Security  

Shares

(000)

    Value  

 

 

Short-Term Investments

   
Money Market Funds — 0.1%            

BlackRock Cash Funds: Treasury, SL Agency Shares, 0.03%(b)(c)

        240     $ 240,000  
   

 

 

 

Total Short-Term Investments — 0.1%
(Cost: $240,000)

      240,000  
   

 

 

 

Total Investments in Securities — 99.9%
(Cost: $315,861,554)

          323,876,225  

Other Assets, Less Liabilities — 0.1%

      319,929  
   

 

 

 

Net Assets — 100.0%

    $ 324,196,154  
   

 

 

 

 

(a) 

Rates are discount rates or a range of discount rates as of period end.

(b) 

Affiliate of the Fund.

(c) 

Annualized 7-day yield as of period end.

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended February 28, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

   
     Affiliated Issuer  

Value at

02/28/21

    

Purchases

at Cost

   

Proceeds

from Sales

    

Net Realized

Gain (Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Value at

02/28/22

    

Shares

Held at

02/28/22

(000)

     Income    

Capital Gain

Distributions from

Underlying Funds

   

    

 

 

   
 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 120,000      $ 120,000 (a)    $      $      $      $ 240,000        240      $ 26 (b)    $    
           

 

 

    

 

 

    

 

 

       

 

 

   

 

 

   

 

(a) 

Represents net amount purchased (sold).

(b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

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 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.

 

                                                                                       

 

 
     Level 1        Level 2        Level 3        Total  

 

 

Investments

                 

Assets

                 

U.S. Government Obligations

   $        $ 323,636,225        $        $ 323,636,225  

Money Market Funds

     240,000                            240,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 240,000        $ 323,636,225        $        $ 323,876,225  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

S C H E D U L E    O F   I N V E S T M E N T S

  31


Schedule of Investments

February 28, 2022

  

iShares® Short Treasury Bond ETF

(Percentages shown are based on Net Assets)

 

Security  

    

Par

(000)

    Value  

 

 

U.S. Government Obligations

 

U.S. Government Obligations — 97.6%  

U.S. Treasury Bill
0.00%, 03/01/22(a)(b)

  $ 218     $ 218,000  

0.03%, 03/10/22(a)

    481       480,996  

0.03%, 03/17/22(a)

    76       75,999  

0.04%, 03/22/22(a)

    414       413,990  

0.06%, 03/29/22(a)

    28       27,999  

0.07%, 03/31/22(a)

    912       911,946  

0.13%, 04/12/22(a)

    417,188       417,125,943  

0.13%, 04/14/22(a)

        1,395,863           1,395,645,483  

0.15%, 04/19/22(a)

    441,280       441,190,654  

0.18%, 04/21/22(a)

    74,885       74,865,904  

0.18%, 04/26/22(a)

    120,384       120,349,356  

0.18%, 04/28/22(a)

    459,728       459,590,973  

0.30%, 05/19/22(a)

    863,080       862,503,601  

0.41%, 06/16/22(a)

    209       208,749  

0.44%, 06/30/22(a)

    3,531       3,525,823  

0.45%, 06/23/22(a)

    2,289       2,285,773  

0.51%, 07/07/22(a)

    3,212       3,206,190  

0.53%, 07/14/22(a)

    2,992       2,986,067  

0.54%, 07/21/22(a)

    1,774       1,770,228  

0.58%, 07/28/22(a)

    3,390       3,382,002  

0.60%, 08/04/22(a)

    2,182       2,176,384  

0.63%, 08/11/22(a)

    2,366       2,359,302  

0.63%, 12/01/22(a)

    1,638       1,630,211  

0.66%, 09/08/22(a)(c)

    1,476       1,470,898  

0.71%, 10/06/22(a)

    3,608       3,592,581  

0.73%, 11/03/22(a)(c)

    2,281       2,269,771  

0.89%, 01/26/23(a)(c)

    2,726       2,704,132  

0.90%, 12/29/22(a)

    2,484       2,465,497  

U.S. Treasury Note/Bond

   

0.13%, 08/31/22

    8,672       8,646,933  

0.13%, 09/30/22

    210,131       209,367,634  

0.13%, 12/31/22

    211,570       210,032,813  

0.13%, 01/31/23

    178,276       176,750,904  

0.13%, 02/28/23

    205,776       203,830,775  

0.25%, 04/15/23

    158,324       156,685,100  

1.38%, 10/15/22

    360,404       361,727,360  

1.50%, 08/15/22

    2,198       2,206,843  

1.63%, 08/31/22

    167,155       167,912,421  

1.63%, 11/15/22

    3,105       3,121,617  

1.75%, 05/31/22

    415,433       416,756,603  

1.75%, 07/15/22

    792,042       795,569,066  

1.75%, 09/30/22

    133,973       134,737,065  

1.75%, 01/31/23

    182,808       183,971,973  

1.88%, 03/31/22

    1,396       1,397,944  
Security  

Par/

Shares

(000)

    Value  

 

 

U.S. Government Obligations (continued)

 

1.88%, 04/30/22

  $ 679,134     $ 680,860,753  

1.88%, 07/31/22

    436,313       438,613,870  

1.88%, 08/31/22(c)

    248,593       250,049,601  

1.88%, 09/30/22

    247,920       249,517,921  

1.88%, 10/31/22

    7,897       7,951,600  

2.00%, 10/31/22

    95,979       96,713,839  

2.00%, 11/30/22

    231,616       233,434,547  

2.00%, 02/15/23

    106,388       107,314,739  

2.13%, 05/15/22

        1,351,151       1,355,943,492  

2.13%, 06/30/22(c)

    587,709       590,833,085  

2.13%, 12/31/22

    740,626       747,482,575  

2.25%, 04/15/22

    603,323       604,767,470  

2.38%, 01/31/23

    261,656       264,793,828  

2.63%, 02/28/23

    384,881       390,684,286  

7.13%, 02/15/23

    152,840       161,664,123  

United States Cash Management Bill

   

0.26%, 05/10/22(a)

    237,360       237,242,310  

0.29%, 05/17/22(a)

    221,953       221,816,989  

0.31%, 05/24/22(a)

    292,260       292,045,870  

0.35%, 05/31/22(a)

    289,364       289,107,994  

0.40%, 06/07/22(a)

    391,667       391,248,516  

0.45%, 06/14/22(a)

    952,779       951,534,032  
   

 

 

 
      15,405,770,943  
   

 

 

 

Total U.S. Government Obligations — 97.6%
(Cost: $15,419,063,269)

 

    15,405,770,943  
   

 

 

 

Short-Term Investments

 

 
Money Market Funds — 5.7%            

BlackRock Cash Funds: Treasury, SL Agency Shares, 0.03%(d)(e)(f)

    890,549       890,548,750  
   

 

 

 

Total Short-Term Investments — 5.7%
(Cost: $890,548,750)

 

    890,548,750  
   

 

 

 

Total Investments in Securities — 103.3%
(Cost: $16,309,612,019)

 

        16,296,319,693  

Other Assets, Less Liabilities — (3.3)%

 

    (517,034,788
   

 

 

 

Net Assets — 100.0%

    $ 15,779,284,905  
   

 

 

 

 

(a) 

Rates are discount rates or a range of discount rates as of period end.

(b) 

Zero-coupon bond.

(c) 

All or a portion of this security is on loan.

(d) 

Affiliate of the Fund.

(e) 

Annualized 7-day yield as of period end.

(f) 

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

 

 

32  

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


Schedule of Investments   (continued)

February 28, 2022

  

iShares® Short Treasury Bond ETF

 

Affiliates

Investments in issuers considered to be affiliate(s) of the Fund during the year ended February 28, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 

   
       Affiliated Issuer  

Value at

02/28/21

    

Purchases

at Cost

   

Proceeds

from Sales

    

Net Realized

Gain (Loss)

    

Change in

Unrealized

Appreciation

(Depreciation)

    

Value at

02/28/22

    

Shares

Held at

02/28/22
(000)

     Income    

Capital Gain

Distributions from

Underlying Funds

   

    

 

 

   
 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 25,760,000      $ 864,788,750 (a)    $      $      $      $ 890,548,750        890,549      $ 205,992 (b)    $    
           

 

 

    

 

 

    

 

 

       

 

 

   

 

 

   

 

(a) 

Represents net amount purchased (sold).

(b) 

All or a portion represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities.

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 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.

 

                                                                                                           

 

 
     Level 1        Level 2        Level 3        Total  

 

 

Investments

                 

Assets

                 

U.S. Government Obligations

   $        $ 15,405,770,943        $        $ 15,405,770,943  

Money Market Funds

     890,548,750                            890,548,750  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 890,548,750        $ 15,405,770,943        $        $ 16,296,319,693  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

 

S C H E D U L E   O F   I N V E S T M E N T S

  33


 

Statements of Assets and Liabilities

February 28, 2022

 

   

iShares

0-3 Month

Treasury Bond

ETF

    

iShares

1-3 Year Treasury

Bond ETF

    

iShares

3-7 Year Treasury

Bond ETF

    

iShares

7-10 Year Treasury

Bond ETF

 

 

 

ASSETS

          

Investments in securities, at value (including securities on loan)(a):

          

Unaffiliated(b)

  $ 1,827,969,015      $ 21,376,548,350      $ 10,417,316,915      $ 17,362,374,686  

Affiliated(c)

    211,520,000        1,442,791,352        17,828,269        16,339,000  

Cash

    3,182        2,311        6,884        337  

Receivables:

          

Investments sold

    38,998,906        345,079,829        370,304,120        1,111,544,648  

Securities lending income — Affiliated

    16,331        202,379        783        28,723  

Capital shares sold

    2,270,139        2,070,893        44,972        11,198,375  

Dividends

    1,601        799        1,084        1,582  

Interest

    4,985,717        49,356,431        30,888,388        34,903,854  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total assets

    2,085,764,891        23,216,052,344        10,836,391,415        18,536,391,205  
 

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

          

Collateral on securities loaned, at value

    138,720,000        1,420,991,352        28,269         

Payables:

          

Investments purchased

    81,584,172        359,234,792        359,615,531        1,120,776,188  

Capital shares redeemed

           148,278                

Investment advisory fees

    33,140        2,453,671        1,188,120        1,865,061  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total liabilities

    220,337,312        1,782,828,093        360,831,920        1,122,641,249  
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS

  $ 1,865,427,579      $ 21,433,224,251      $ 10,475,559,495      $ 17,413,749,956  
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS CONSIST OF:

          

Paid-in capital

  $ 1,865,328,117      $ 21,790,633,426      $ 10,885,440,018      $ 18,494,400,866  

Accumulated earnings (loss)

    99,462        (357,409,175      (409,880,523      (1,080,650,910
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS

  $ 1,865,427,579      $ 21,433,224,251      $ 10,475,559,495      $ 17,413,749,956  
 

 

 

    

 

 

    

 

 

    

 

 

 

Shares outstanding

    18,650,000        253,500,000        83,100,000        155,500,000  
 

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value

  $ 100.02      $ 84.55      $ 126.06      $ 111.99  
 

 

 

    

 

 

    

 

 

    

 

 

 

Shares authorized

    Unlimited        Unlimited        Unlimited        Unlimited  
 

 

 

    

 

 

    

 

 

    

 

 

 

Par value

    None        None        None        None  
 

 

 

    

 

 

    

 

 

    

 

 

 

(a)   Securities loaned, at value

  $ 135,981,839      $ 1,394,526,583      $ 27,866      $  

(b)   Investments, at cost — Unaffiliated

  $ 1,828,017,066      $ 21,698,646,306      $ 10,790,424,406      $ 18,044,142,640  

(c)   Investments, at cost — Affiliated

  $ 211,520,000      $ 1,442,791,352      $ 17,828,269      $ 16,339,000  

See notes to financial statements.

 

 

34  

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


 

Statements of Assets and Liabilities  (continued)

February 28, 2022

 

   

iShares

10-20 Year

Treasury Bond

ETF

    

iShares

20+ Year Treasury

Bond ETF

    

iShares

25+ Year

Treasury

STRIPS

Bond ETF

    

iShares

Short Treasury Bond

ETF

 

 

 

ASSETS

          

Investments in securities, at value (including securities on loan)(a):

          

Unaffiliated(b)

  $ 2,269,729,777      $ 16,044,932,739      $ 323,636,225      $ 15,405,770,943  

Affiliated(c)

    24,350,000        277,966,875        240,000        890,548,750  

Cash

    3,234        1,181        7,052        7,024  

Receivables:

          

Investments sold

    111,374,228        111,315,522        342,804        5,999,702  

Securities lending income — Affiliated

           2,796               38,907  

Capital shares sold

    30,194        2,932,531               42,070,683  

Dividends

    1,031        218        7        9,785  

Interest

    9,613,695        47,453,104               34,945,088  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total assets

    2,415,102,159        16,484,604,966        324,226,088        16,379,390,882  
 

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

          

Collateral on securities loaned, at value

           196,376,875               103,808,750  

Payables:

          

Investments purchased

    89,409,450        172,418,033               494,663,632  

Capital shares redeemed

           675,449        20,031         

Investment advisory fees

    262,316        1,768,109        9,903        1,633,595  
 

 

 

    

 

 

    

 

 

    

 

 

 

Total liabilities

    89,671,766        371,238,466        29,934        600,105,977  
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS

  $ 2,325,430,393      $ 16,113,366,500      $ 324,196,154      $ 15,779,284,905  
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS CONSIST OF:

          

Paid-in capital

  $ 2,506,927,014      $ 18,699,461,582      $ 316,061,504      $ 15,800,639,615  

Accumulated earnings (loss)

    (181,496,621      (2,586,095,082      8,134,650        (21,354,710
 

 

 

    

 

 

    

 

 

    

 

 

 

NET ASSETS

  $ 2,325,430,393      $ 16,113,366,500      $ 324,196,154      $ 15,779,284,905  
 

 

 

    

 

 

    

 

 

    

 

 

 

Shares outstanding

    16,400,000        115,200,000        15,800,000        143,070,000  
 

 

 

    

 

 

    

 

 

    

 

 

 

Net asset value

  $ 141.79      $ 139.87      $ 20.52      $ 110.29  
 

 

 

    

 

 

    

 

 

    

 

 

 

Shares authorized

    Unlimited        Unlimited        Unlimited        Unlimited  
 

 

 

    

 

 

    

 

 

    

 

 

 

Par value

    None        None        None        None  
 

 

 

    

 

 

    

 

 

    

 

 

 

(a) Securities loaned, at value

  $      $ 196,756,036      $      $ 100,998,818  

(b) Investments, at cost — Unaffiliated

  $ 2,355,664,771      $ 17,964,471,563      $ 315,621,554      $ 15,419,063,269  

(c)  Investments, at cost — Affiliated

  $ 24,350,000      $ 277,966,875      $ 240,000      $ 890,548,750  

See notes to financial statements.

 

 

F I N A N C I A L   S T A T E M E N T S

  35


 

Statements of Operations

Year Ended February 28, 2022

 

   

iShares

0-3 Month

Treasury

Bond ETF

   

iShares

1-3 Year

Treasury

Bond ETF

   

iShares

3-7 Year

Treasury

Bond ETF

   

iShares

7-10 Year

Treasury

Bond ETF

 

 

 

INVESTMENT INCOME

       

Dividends — Affiliated

  $ 3,918     $ 15,255     $ 3,797     $ 4,383  

Interest — Unaffiliated

    551,205       76,116,249       94,475,108       159,162,805  

Securities lending income — Affiliated — net

    26,251       1,307,313       152,643       1,737,581  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

    581,374       77,438,817       94,631,548       160,904,769  
 

 

 

   

 

 

   

 

 

   

 

 

 

EXPENSES

       

Investment advisory fees

    987,833       29,945,144       16,244,679       22,158,598  

Commitment fees

    6,372                    

Professional fees

          217       217       217  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

    994,205       29,945,361       16,244,896       22,158,815  

Less:

       

Investment advisory fees waived

    (768,551                  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses after fees waived

    225,654       29,945,361       16,244,896       22,158,815