LOGO

  AUGUST 31, 2022

 

  

 

2022 Semi-Annual Report (Unaudited)

 

 

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 August 31, 2022 saw the emergence of significant challenges that disrupted the economic recovery and strong financial markets of 2021. The U.S. economy shrank in the first half of 2022, ending the run of robust growth that followed the reopening of global economies and the development of COVID-19 vaccines. Changes in consumer spending patterns and a tight labor market led to elevated inflation, which reached a 40-year high. Moreover, while the foremost effect of Russia’s invasion of Ukraine has been a severe humanitarian crisis, the ongoing war continued to present challenges for both investors and policymakers.

Equity prices fell as interest rates rose, particularly weighing on relatively high-valuation growth stocks and economically sensitive small-capitalization stocks. While both large- and small-capitalization U.S. stocks fell, declines for small-capitalization U.S. stocks were steeper. Both emerging market stocks and international equities from developed markets fell significantly, 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 notably during the reporting period as investors reacted to higher inflation and attempted to anticipate its impact on future interest rate changes. The corporate bond market also faced inflationary headwinds, and increasing uncertainty led to higher corporate bond spreads (the difference in yield between U.S. Treasuries and similarly-dated corporate bonds).

The U.S. Federal Reserve (the “Fed”), acknowledging that inflation is growing faster than expected, raised interest rates four times while indicating that additional rate hikes were likely. Furthermore, the Fed wound down its bond-buying programs and began to reduce its balance sheet. As investors attempted to assess the Fed’s future trajectory, the Fed’s statements late in the reporting period led markets to believe that additional tightening is likely in the near term.

The horrific war in Ukraine has significantly clouded the outlook for the global economy, leading to major volatility in energy and metals markets. Sanctions on Russia, Europe’s top energy supplier, and general wartime disruption have magnified supply problems for key commodities. We believe elevated energy prices will continue to exacerbate inflationary pressure while also constraining economic growth. Combating inflation without stifling a recovery, while buffering against ongoing supply and price shocks, will be an especially challenging environment for setting effective monetary policy. Despite the likelihood of more rate increases on the horizon, we believe the Fed will ultimately err on the side of protecting employment, even at the expense of higher inflation. In the meantime, however, we are likely to see a period of slowing growth paired with relatively high inflation.

In this environment, while we favor an overweight to equities in the long-term, the market’s concerns over excessive rate hikes from central banks moderate our outlook. Furthermore, the energy shock and a deteriorating economic backdrop in China and Europe are likely to challenge corporate earnings, so we are underweight equities overall in the near term. We take the opposite view on credit, where higher spreads provide near-term opportunities, while the likelihood of higher inflation leads us to take an underweight stance on credit in the long term. We believe that investment-grade corporates, U.K. gilts, local-currency emerging market debt, and inflation-protected bonds (particularly in Europe) offer strong opportunities for a six- to twelve-month horizon.

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.

 

LOGO

Rob Kapito

President, BlackRock, Inc.

LOGO

Rob Kapito

President, BlackRock, Inc.

 

Total Returns as of August 31, 2022

 

     
      6-Month     12-Month 
   

U.S. large cap equities
(S&P 500® Index)

  (8.84)%   (11.23)%
   

U.S. small cap equities
(Russell 2000® Index)

  (9.31)      (17.88)    
   

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

  (13.97)       (19.80)    
   

Emerging market equities
(MSCI Emerging Markets Index)

  (13.30)       (21.80)    
   

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

  0.36      0.39   
   

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

  (9.71)      (13.27)    
   

U.S. investment grade bonds
(Bloomberg U.S. Aggregate Bond Index)

  (7.76)      (11.52)    
   

Tax-exempt municipal bonds
(Bloomberg Municipal Bond Index)

  (5.72)      (8.63)   
   

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

  (7.78)      (10.61)    
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

Semi-Annual Report:

  

Fund Summary

   4

About Fund Performance

   12

Disclosure of Expenses

   12

Schedules of Investments

   13

Financial Statements

  

Statements of Assets and Liabilities

   25

Statements of Operations

   27

Statements of Changes in Net Assets

   29

Financial Highlights

   33

Notes to Financial Statements

   41

Board Review and Approval of Investment Advisory Contract

   49

Supplemental Information

   55

General Information

   56

Glossary of Terms Used in this Report

   57

 

 

      


Fund Summary  as of August 31, 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  
     6 Months     1 Year      Since
Inception
           1 Year     Since
Inception
 

Fund NAV

    0.44     0.47      0.24       0.47     0.54

Fund Market

    0.45       0.48        0.24         0.48       0.55  

Index

    0.32       0.35        0.19               0.35       0.43  

The inception date of the Fund was May 26, 2020. The first day of secondary market trading was May 28, 2020.

On March 01, 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 March 01, 2021 is for the 3pm pricing variant of the ICE 0-3 Month US Treasury Securities Index. Index data on and after March 01, 2021 is for the 4pm pricing variant of the ICE 0-3 Month US Treasury Securities Index.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

Actual        Hypothetical 5% Return           

 

 

      

 

 

      
 

Beginning    
Account Value    
(03/01/22)    
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Beginning
Account Value
(03/01/22)
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
   $        1,000.00                $      1,004.40          $        0.15            $        1,000.00            $        1,025.10          $        0.15          0.03

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (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 “Disclosure of Expenses” for more information.

 

Portfolio Information

 

MATURITY ALLOCATION  

 

 
Maturity  

Percent of   

Total Investments(a)

 

 

 

0-1 Year

    100.0%  

 

 
FIVE LARGEST HOLDINGS

 

 

 
Security  

Percent of   

Total Investments(a)

 

 

 

U.S. Treasury Bill, 0.00%, 10/04/22

    13.6%  

U.S. Treasury Bill, 0.00%, 09/27/22

    13.4     

U.S. Treasury Bill, 0.00%, 09/06/22

    13.4     

U.S. Treasury Bill, 0.00%, 09/13/22

    13.2     

U.S. Treasury Bill, 0.00%, 10/18/22

    11.7     

 

 

 

  (a) 

Excludes money market funds.

 

 

 

4  

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


Fund Summary  as of August 31, 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        
     6 Months     1 Year     5 Years     10 Years          1 Year     5 Years     10 Years  

Fund NAV

    (2.32 )%      (4.09 )%      0.62     0.58       (4.09 )%      3.14     5.94

Fund Market

    (2.29     (4.06     0.62       0.58         (4.06     3.16       5.96  

Index

    (2.29     (4.03     0.74       0.71           (4.03     3.78       7.31  

On March 01, 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 March 01, 2021 is for the 4pm pricing variant of the ICE U.S. Treasury 1-3 Year Bond Index. Historical index data from February 28, 2020 through April 01, 2016 is for the 3pm pricing variant of the ICE U.S. Treasury 1-3 Year Bond Index. Historical index data prior to April 01, 2016 is for the Barclays U.S. 1-3 Year Treasury Bond Index.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

Actual        Hypothetical 5% Return           

 

 

      

 

 

      
 

Beginning    
Account Value    
(03/01/22)    
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Beginning
Account Value
(03/01/22)
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
    $        1,000.00                $        976.80          $        0.75              $        1,000.00            $      1,024.40          $        0.77          0.15

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (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 “Disclosure of Expenses” for more information.

 

Portfolio Information

 

MATURITY ALLOCATION  

 

 
Maturity  

Percent of   

Total Investments(a)

 

 

 

0-1 Year

    1.9%  

1-2 Years

    47.8     

2-3 Years

    47.0     

3-4 Years

    3.3     

 

 
FIVE LARGEST HOLDINGS

 

 

 
Security  

Percent of   

Total Investments(a)

 

 

 

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

    9.1%  

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

    6.8     

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

    6.6     

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

    4.7     

U.S. Treasury Note/Bond, 0.88%, 01/31/24

    3.8     

 

 

 

  (a) 

Excludes money market funds.

 

 

 

F U N D   S U M M A R Y

  5


Fund Summary  as of August 31, 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        
     6 Months     1 Year     5 Years     10 Years            1 Year     5 Years     10 Years  

Fund NAV

    (6.02 )%      (9.44 )%      0.31     0.80       (9.44 )%      1.55     8.32

Fund Market

    (6.07     (9.43     0.30       0.80         (9.43     1.53       8.29  

Index

    (5.93     (9.32     0.44       0.92               (9.32     2.19       9.55  

On March 01, 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 March 01, 2021 is for the 4pm pricing variant of the ICE U.S. Treasury 3-7 Year Bond Index. Historical index data prior from April 01, 2016 through February 28, 2021 is for the 3pm pricing variant of the ICE U.S. Treasury 3-7 Year Bond Index. Historical index data prior to April 01, 2016 is for the Barclays U.S. 3-7 Year Treasury Bond Index.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

Actual        Hypothetical 5% Return           

 

 

      

 

 

      
 

Beginning    
Account Value    
(03/01/22)    
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Beginning
Account Value
(03/01/22)
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
    $        1,000.00               $        939.80          $        0.73            $        1,000.00            $      1,024.40          $        0.77          0.15

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (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 “Disclosure of Expenses” for more information.

 

Portfolio Information

 

MATURITY ALLOCATION

 

 

 
Maturity  

Percent of   

Total Investments(a)

 

 

 

2-3 Years

    2.8%  

3-4 Years

    29.0     

4-5 Years

    22.3     

5-6 Years

    25.5     

6-7 Years

    20.4     

 

 
FIVE LARGEST HOLDINGS

 

 

 
Security  

Percent of   

Total Investments(a)

 

 

 

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

    7.8%  

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

    7.0     

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

    6.2     

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

    5.3     

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

    3.9     

 

 

 

  (a) 

Excludes money market funds.

 

 

6  

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


Fund Summary  as of August 31, 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        
     6 Months     1 Year     5 Years     10 Years          1 Year     5 Years     10 Years  

Fund NAV

    (9.23 )%      (12.83 )%      0.19     0.95       (12.83 )%      0.93     9.92

Fund Market

    (9.27     (12.77     0.19       0.95         (12.77     0.95       9.87  

Index

    (9.10     (12.68     0.31       1.04           (12.68     1.54       10.95  

On March 01, 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 March 01, 2021 is for the 4pm pricing variant of the ICE U.S. Treasury 7-10 Year Bond Index. Historical index data from April 01, 2016 through February 28, 2021 is for the 3pm pricing variant of the ICE U.S. Treasury 7-10 Year Bond Index. Historical index data prior to April 01, 2016 is for the Barclays U.S. 7-10 Year Treasury Bond Index.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

Actual        Hypothetical 5% Return           

 

 

      

 

 

      
 

Beginning    
Account Value    
(03/01/22)    
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Beginning
Account Value
(03/01/22)
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
    $        1,000.00               $          907.70          $        0.72              $        1,000.00            $      1,024.40          $        0.77          0.15

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (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 “Disclosure of Expenses” for more information.

 

Portfolio Information

 

MATURITY ALLOCATION

 

 

 
Maturity   Percent of   
Total Investments(a)
 

 

 

6-7 Years

    7.2%  

7-8 Years

    33.5     

8-9 Years

    15.8     

9-10 Years

    43.5     

 

 
FIVE LARGEST HOLDINGS

 

 

 
Security  

Percent of   

Total Investments(a)

 

 

 

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

    21.5%  

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

    20.3     

U.S. Treasury Note/Bond, 1.88%, 02/15/32

    15.6     

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

    14.7     

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

    10.1     

 

 

 

  (a) 

Excludes money market funds.

 

 

 

F U N D   S U M M A R Y

  7


Fund Summary  as of August 31, 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        
     6 Months     1 Year     5 Years     10 Years          1 Year     5 Years     10 Years  

Fund NAV

    (16.26 )%      (20.79 )%      (1.22 )%      0.47       (20.79 )%      (5.94 )%      4.83

Fund Market

    (16.32     (20.73     (1.21     0.47         (20.73     (5.90     4.77  

Index

    (16.04     (20.68     (1.14     0.56           (20.68     (5.55     5.77  

On March 01, 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 March 01, 2021 is for the 4pm pricing variant of the ICE U.S. Treasury 10-20 Year Bond Index. Historical index data from July 01, 2016 through March 01, 2021 is for the 3pm pricing variant of the ICE U.S. Treasury 10-20 Year Bond Index. Historical index data prior to July 01, 2016 is for the Barclays U.S. 10-20 Year Treasury Bond Index.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

Actual        Hypothetical 5% Return           

 

 

      

 

 

      
 

Beginning    
Account Value    
(03/01/22)    
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Beginning
Account Value
(03/01/22)
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
    $        1,000.00                $          837.40          $        0.69              $        1,000.00            $      1,024.40          $        0.77          0.15

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (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 “Disclosure of Expenses” for more information.

 

Portfolio Information

 

MATURITY ALLOCATION

 

 

 
Maturity  

Percent of   

Total Investments(a)

 

 

 

6-7 Years

    1.8%  

7-8 Years

    0.1     

9-10 Years

    2.3     

17-18 Years

    25.5     

18-19 Years

    58.0     

19-20 Years

    12.3     

 

 
FIVE LARGEST HOLDINGS

 

 

 
Security  

Percent of   

Total Investments(a)

 

 

 

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

    19.1%  

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

    18.2     

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

    16.5     

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

    10.4     

U.S. Treasury Note/Bond, 2.75%, 08/15/42

    8.7     

 

 

 

  (a) 

Excludes money market funds.

 

 

 

8  

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


Fund Summary  as of August 31, 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        
     6 Months     1 Year     5 Years     10 Years          1 Year     5 Years     10 Years  

Fund NAV

    (19.24 )%      (23.54 )%      (0.65 )%      1.07       (23.54 )%      (3.21 )%      11.19

Fund Market

    (19.20     (23.49     (0.65     1.04         (23.49     (3.21     10.92  

Index

    (19.18     (23.52     (0.56     1.15           (23.52     (2.75     12.12  

On March 01, 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 March 01, 2021 is for the 4pm pricing variant of the ICE U.S. Treasury 20+ Year Bond Index. Historical index data from April 01, 2016 through February 28, 2021 is for the 3pm pricing variant of the ICE U.S. Treasury 20+ Year Bond Index. Historical index data prior to April 01, 2016 is for the Barclays U.S. 20+ Year Treasury Bond Index.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

Actual        Hypothetical 5% Return           

 

 

      

 

 

      
 

Beginning    
Account Value    
(03/01/22)    
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Beginning
Account Value
(03/01/22)
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
    $        1,000.00                $        807.60          $        0.68              $        1,000.00          $      1,024.40          $        0.77          0.15

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (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 “Disclosure of Expenses” for more information.

 

Portfolio Information

 

MATURITY ALLOCATION

 

 

 
Maturity  

Percent of   

Total Investments(a)

 

 

 

15-20 Years

    0.4%  

20-25 Years

    30.0     

25-30 Years

    69.6     

 

 
FIVE LARGEST HOLDINGS

 

 

 
Security  

Percent of   

Total Investments(a)

 

 

 

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

    12.9%  

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

    7.4     

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

    7.3     

U.S. Treasury Note/Bond, 1.63%, 11/15/50

    7.0     

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

    6.1     

 

 

 

  (a) 

Excludes money market funds.

 

 

 

F U N D   S U M M A R Y

  9


Fund Summary  as of August 31, 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    
     6 Months     1 Year    

Since

Inception

         1 Year    

Since

Inception

 

Fund NAV

    (25.45 )%      (29.50 )%      (21.48 )%        (29.50 )%      (37.48 )% 

Fund Market

    (25.24     (29.46     (21.36       (29.46     (37.30

Index

    (25.64     (29.74     (21.67         (29.74     (37.72

The inception date of the Fund was September 22, 2020. The first day of secondary market trading was September 24, 2020.

On March 01, 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 March 01, 2021 is for the 3pm pricing variant of the ICE BofA Long US Treasury Principal STRIPS Index. Index data on and after March 01, 2021 is for the 4pm pricing variant of the ICE BofA Long US Treasury Principal STRIPS Index.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

Actual        Hypothetical 5% Return           

 

 

      

 

 

      
 

Beginning    
Account Value    
(03/01/22)    
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Beginning
Account Value
(03/01/22)
 
 
 
      

Ending
Account Value
(08/31/22)
 
 
 
      

Expenses
Paid During
the Period
 
 
(a) 
      

Annualized
Expense
Ratio
 
 
 
    $        1,000.00               $        745.50          $        0.18            $    1,000.00            $          1,025.00          $        0.20          0.04

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (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 “Disclosure of Expenses” for more information.

 

Portfolio Information

 

MATURITY ALLOCATION

 

 

 
Maturity  

Percent of   

Total Investments(a)

 

 

 

20-25 Years

    9.4%  

25-30 Years

    90.6     

 

 
FIVE LARGEST HOLDINGS

 

 

 
Security  

Percent of   

Total Investments(a)

 

 

 

U.S. Treasury STRIPS Principal, 0.00%, 11/15/50

    25.9%  

U.S. Treasury STRIPS Principal, 0.00%, 02/15/51

    16.1     

U.S. Treasury STRIPS Principal, 0.00%, 08/15/49

    12.9     

U.S. Treasury STRIPS Principal, 0.00%, 11/15/47

    12.9     

U.S. Treasury STRIPS Principal, 0.00%, 08/15/47

    8.9     

 

 

 

  (a) 

Excludes money market funds.

 

 

 

10  

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


Fund Summary  as of August 31, 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  
     6 Months     1 Year      5 Years     10 Years             1 Year      5 Years      10 Years  

Fund NAV

    0.11     (0.05 )%       1.01     0.59        (0.05 )%       5.14      6.06

Fund Market

    0.14       (0.02      1.01       0.59          (0.02      5.14        6.07  

Index

    0.17       0.11        1.15       0.72                0.11        5.90        7.46  

On March 01, 2021 the Fund began to track the 4pm pricing variant of the ICE Short US Treasury Securities Index. Index data on and after March 01, 2021 is for the 4pm pricing variant of the ICE Short US Treasury Securities Index. Historical index data from April 01, 2020 through February 28, 2021 is for the 3pm pricing variant of the ICE Short US Treasury Securities Index. Historical index data from July 01, 2016 through April 30, 2020 is for the ICE U.S. Treasury Short Bond Index. Historical index data prior to July 01, 2016 is for the Bloomberg Barclays U.S. Short Treasury Bond Index.

Past performance is not an indication of future results. Performance results do not reflect the deduction of taxes that a shareholder would pay on fund distributions or on the redemption or sale of fund shares. See “About Fund Performance” for more information.

Expense Example

 

Actual        Hypothetical 5% Return           

 

 

      

 

 

      
 

Beginning    

Account Value    

(03/01/22)    

 

 

 

      

Ending

Account Value

(08/31/22)

 

 

 

      

Expenses

Paid During

the Period

 

 

(a) 

      

Beginning

Account Value

(03/01/22)

 

 

 

      

Ending

Account Value

(08/31/22)

 

 

 

      

Expenses

Paid During

the Period

 

 

(a) 

      

Annualized

Expense

Ratio

 

 

 

    $      1,000.00               $    1,001.10          $      0.71           $ 1,000.00           $  1,024.50          $    0.71          0.14

 

  (a) 

Expenses are equal to the annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (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 “Disclosure of Expenses” for more information.

 

Portfolio Information

 

PORTFOLIO COMPOSITION

 

 

 

 
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, 0.00%, 09/27/22

    13.6%  

U.S. Treasury Bill, 0.00%, 10/18/22

    10.6     

U.S. Treasury Bill, 0.00%, 09/20/22

    10.2     

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

    6.6     

U.S. Treasury Bill, 0.00%, 09/13/22

    6.5     

 

 

 

  (a) 

Excludes money market funds.

 

 

 

F U N D   S U M M A R Y

  11


About Fund Performance

 

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

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

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

Disclosure of Expenses

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

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

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

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

 

 

12  

2 0 2 2   I S H A R E S   S E M I - 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 (unaudited)

August 31, 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 — 106.9%            

U.S. Cash Management Bill

   

0.00%, 10/25/22(a)

  $ 100,605     $ 100,214,904  

0.00%, 11/01/22(a)

      219,541       218,552,969  

0.00%, 11/08/22(a)(b)

    18,569       18,479,910  

U.S. Treasury Bill

   

0.00%, 09/06/22(a)(b)

    479,131       478,997,160  

0.00%, 09/13/22(a)

    472,472       472,131,584  

0.00%, 09/20/22(a)

    312,874       312,515,052  

0.00%, 09/27/22(a)

    479,921       479,130,728  

0.00%, 09/29/22(a)(b)

    23,635       23,595,937  

0.00%, 10/04/22(a)

    486,682       485,653,013  

0.00%, 10/11/22(a)

    345,892       344,975,386  

0.00%, 10/18/22(a)

    419,354       418,003,068  

U.S. Treasury Note/Bond

   

1.63%, 11/15/22

    5,000       4,988,567  

1.88%, 09/30/22

    207,107       207,044,644  

7.63%, 11/15/22

    4,000       4,039,101  
   

 

 

 
        3,568,322,023  
   

 

 

 

Total Long-Term Investments — 106.9%
(Cost: $3,568,565,601)

      3,568,322,023  
   

 

 

 
Security  

Shares

(000)

    Value  

 

 

Short-Term Securities

   
Money Market Funds — 9.5%            

BlackRock Cash Funds: Treasury, SL Agency Shares, 2.07%(c)(d)(e)

    315,626     $ 315,626,258  
   

 

 

 

Total Short-Term Securities — 9.5%
(Cost: $315,626,258)

      315,626,258  
   

 

 

 

Total Investments in Securities — 116.4%
(Cost: $3,884,191,859)

      3,883,948,281  

Liabilities in Excess of Other Assets — (16.4)%

 

    (547,637,938
   

 

 

 

Net Assets — 100.0%

    $   3,336,310,343  
   

 

 

 

 

(a) 

Zero-coupon bond.

(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.

(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 six months ended August 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer  

Value at

02/28/22

   

Purchases

at Cost

   

Proceeds

from Sale

   

Net Realized

Gain (Loss)

   

Change in

Unrealized

Appreciation

(Depreciation)

   

Value at

08/31/22

   

Shares

Held at

08/31/22

(000)

    Income    

Capital Gain

Distributions from

Underlying Funds

 

 

 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 211,520,000     $ 104,106,258 (a)    $     $     $     $ 315,626,258       315,626     $ 1,899,528 (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

   $        $ 3,568,322,023        $        $ 3,568,322,023  

Money Market Funds

     315,626,258                            315,626,258  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $ 315,626,258        $ 3,568,322,023        $        $ 3,883,948,281  
  

 

 

      

 

 

      

 

 

      

 

 

 

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

  13


Schedule of Investments (unaudited)

August 31, 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 — 99.5%        

U.S. Treasury Bonds, 3.13%, 08/15/25

  $ 266,980     $ 264,289,344  

U.S. Treasury Note/Bond

   

0.13%, 05/31/23

    156       152,289  

0.13%, 07/15/23

    765       742,976  

0.13%, 07/31/23

    342       331,740  

0.13%, 08/15/23

    174       168,542  

0.13%, 08/31/23

    491,247       474,936,067  

0.13%, 10/15/23

    827,418       797,068,950  

0.13%, 12/15/23

    230,231       220,644,038  

0.13%, 01/15/24

    337,513       322,404,021  

0.25%, 06/15/23

    128       124,860  

0.25%, 11/15/23

    568,205       546,941,797  

0.25%, 03/15/24

    307,198       292,390,098  

0.25%, 05/15/24

    60,771       57,547,288  

0.25%, 06/15/24

      1,253,977       1,184,273,510  

0.25%, 07/31/25

    121,954       111,073,417  

0.25%, 08/31/25

    743,601       675,195,516  

0.25%, 10/31/25

    253,107       228,686,128  

0.38%, 10/31/23

    2,393,286           2,309,707,954  

0.38%, 04/15/24

    249,884       237,643,587  

0.38%, 07/15/24

    100       94,453  

0.38%, 08/15/24

    256,314       241,425,760  

0.38%, 09/15/24

    172,322       161,874,979  

0.50%, 03/31/25

    135,056       125,174,755  

0.63%, 10/15/24

    1,832,688       1,726,593,026  

0.75%, 12/31/23

    405,758       391,429,671  

0.75%, 11/15/24

    596,338       561,885,502  

0.88%, 01/31/24

    1,002,463       966,241,195  

1.00%, 12/15/24

    815,992       771,749,934  

1.13%, 01/15/25

    604,072       571,744,712  

1.13%, 02/28/25

    200,000       188,804,688  

1.38%, 06/30/23

    25       24,582  

1.50%, 11/30/24

    1,752,305       1,677,969,215  

1.50%, 02/15/25

    828,431       789,760,098  

1.63%, 04/30/23

    1       989  

1.63%, 05/31/23

    5       4,936  

1.75%, 05/15/23

    206       203,699  

1.75%, 03/15/25

    8,304       7,956,919  

2.00%, 04/30/24

    35,187       34,358,181  

2.00%, 05/31/24

    12,746       12,430,835  

2.00%, 02/15/25

    652,014       629,397,264  

2.00%, 08/15/25

    150,000       143,724,609  

2.13%, 11/30/23

    400,628       394,164,745  

2.13%, 02/29/24

    522,587       512,359,810  

2.13%, 03/31/24

    1,616       1,582,243  

2.13%, 07/31/24

    103,770       101,224,392  

2.13%, 09/30/24

    1       974  

2.13%, 05/15/25

    473,409       456,673,253  

2.25%, 12/31/23

    210,542       207,170,039  

2.25%, 03/31/24

    524,320       514,263,705  

2.25%, 04/30/24

    97,765       95,844,070  

2.25%, 10/31/24

    176,981       172,514,994  

2.25%, 11/15/24

    710,947       692,701,214  

2.25%, 11/15/25

    444,782       427,963,681  
Security  

Par/

Shares

(000)

    Value  
U.S. Government Obligations (continued)        

2.38%, 02/29/24

  $ 239,324     $ 235,472,379  

2.38%, 08/15/24

    146,783       143,767,067  

2.50%, 08/15/23

    26       25,756  

2.50%, 04/30/24

    874,063       860,200,903  

2.50%, 01/31/25

    28,221       27,578,311  

2.63%, 06/30/23

    2       1,989  

2.63%, 12/31/23

    2,694       2,665,061  

2.63%, 03/31/25

    652       637,732  

2.63%, 04/15/25

    453,684       443,830,551  

2.75%, 04/30/23

    2       1,494  

2.75%, 05/31/23

    5       4,979  

2.75%, 07/31/23

    1       994  

2.75%, 08/31/23

    693       687,884  

2.75%, 11/15/23

        133,811       132,666,288  

2.75%, 02/15/24

    5,190       5,136,275  

2.75%, 02/28/25

    43,221       42,452,814  

2.75%, 05/15/25

    702,731       689,197,940  

2.75%, 06/30/25

    64,452       63,180,584  

2.75%, 08/31/25

    24,000       23,492,813  

2.88%, 09/30/23

    96,042       95,449,240  

2.88%, 10/31/23

    619,899       615,830,714  

2.88%, 11/30/23

    86,836       86,208,474  

2.88%, 04/30/25

    24,000       23,614,687  

2.88%, 05/31/25

    24,021       23,625,967  

2.88%, 06/15/25

    644,694       634,016,256  

2.88%, 07/31/25

    52,051       51,170,606  

3.00%, 06/30/24

    301,192       298,580,099  

3.00%, 07/31/24(a)

    175,081       173,549,041  

3.00%, 07/15/25

    130,848       129,099,952  

3.00%, 09/30/25

    42,713       42,104,006  

3.00%, 10/31/25

    133,601       131,654,392  
   

 

 

 
      25,279,540,492  
   

 

 

 

Total Long-Term Investments — 99.5%
(Cost: $26,068,402,275)

      25,279,540,492  
   

 

 

 

Short-Term Securities

   
Money Market Funds — 0.5%            

BlackRock Cash Funds: Treasury, SL Agency Shares, 2.07%(b)(c)(d)

    129,165       129,165,000  
   

 

 

 

Total Short-Term Securities — 0.5%
(Cost: $129,165,000)

      129,165,000  
   

 

 

 

Total Investments in Securities — 100.0%
(Cost: $26,197,567,275)

 

    25,408,705,492  

Liabilities in Excess of Other Assets — (0.0)%

 

    (7,221,764
   

 

 

 

Net Assets — 100.0%

    $  25,401,483,728  
   

 

 

 

 

(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.

 

 

14  

2 0 2 2   I S H A R E S   S E M I - 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 (unaudited) (continued)

August 31, 2022

  

iShares® 1-3 Year Treasury Bond ETF

 

Affiliates

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

 

 

 
Affiliated Issuer  

Value at

02/28/22

   

Purchases

at Cost

   

Proceeds

from Sale

   

Net Realized

Gain (Loss)

   

Change in

Unrealized

Appreciation

(Depreciation)

   

Value at

08/31/22

   

Shares

Held at

08/31/22

(000)

    Income    

Capital Gain

Distributions from

Underlying Funds

 

 

 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 1,442,791,352     $     $ (1,313,626,352 )(a)    $     $     $ 129,165,000       129,165     $ 820,474 (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

  $      $ 25,279,540,492      $        $ 25,279,540,492  

Money Market Funds

    129,165,000                        129,165,000  
 

 

 

    

 

 

    

 

 

      

 

 

 
  $ 129,165,000      $ 25,279,540,492      $        $ 25,408,705,492  
 

 

 

    

 

 

    

 

 

      

 

 

 

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

  15


Schedule of Investments (unaudited)

August 31, 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 Bonds, 3.13%, 08/31/29

  $ 72,420     $ 71,707,116  

U.S. Treasury Note/Bond

   

0.25%, 08/31/25

    376,421           341,793,208  

0.25%, 10/31/25

    191       172,571  

0.38%, 11/30/25

      255,688       231,317,737  

0.38%, 12/31/25

    5,865       5,293,850  

0.38%, 01/31/26

    33,157       29,847,776  

0.50%, 02/28/26

    341,623       308,234,688  

0.50%, 05/31/27

    3,273       2,864,514  

0.50%, 08/31/27

    70,948       61,716,446  

0.50%, 10/31/27

    139,276       120,577,109  

0.63%, 07/31/26

    216,644       194,387,213  

0.63%, 12/31/27

    185,474       160,847,632  

0.75%, 03/31/26

    212,516       193,099,010  

0.75%, 04/30/26

    300,463       272,541,067  

0.75%, 05/31/26

    241,325       218,446,258  

0.75%, 08/31/26

    523,752       471,417,716  

0.75%, 01/31/28

    143,229       124,827,431  

0.88%, 09/30/26

    158,844       143,499,422  

1.00%, 07/31/28

    393,520       344,006,842  

1.13%, 10/31/26

    109,408       99,689,493  

1.13%, 02/29/28

    20,057       17,821,741  

1.13%, 08/31/28

    433,335       381,114,748  

1.25%, 11/30/26

    5       4,575  

1.25%, 12/31/26

    58,976       53,891,624  

1.25%, 03/31/28

    258,316       230,567,210  

1.25%, 04/30/28

    149,335       133,112,319  

1.25%, 05/31/28

    133,606       118,971,968  

1.25%, 06/30/28

    55,350       49,183,664  

1.25%, 09/30/28

    454,127       401,671,785  

1.38%, 10/31/28

    480,633       427,876,021  

1.50%, 08/15/26

    127,348       118,214,761  

1.50%, 11/30/28

    43,036       38,559,247  

1.63%, 02/15/26

    404,328       379,768,232  

1.63%, 05/15/26

    435,680       408,092,326  

1.63%, 09/30/26

    61,035       56,934,304  

1.75%, 01/31/29

    6,736       6,124,498  

2.00%, 11/15/26

    3,206       3,026,915  

2.13%, 05/31/26

    161,160       153,706,827  

2.25%, 11/15/25

    490,875       472,313,789  

2.25%, 02/15/27

    890,282       847,750,166  

2.25%, 08/15/27

    406,061       385,599,334  

2.25%, 11/15/27

    106,061       100,476,225  
Security   Par/
Shares
(000)
    Value  
U.S. Government Obligations (continued)            

2.38%, 05/15/27

  $ 989,814     $ 946,471,167  

2.38%, 03/31/29

    60,203       56,767,196  

2.38%, 05/15/29

    323,984       305,519,442  

2.50%, 03/31/27

    2,280       2,195,391  

2.63%, 05/31/27

    2       1,937  

2.63%, 02/15/29

      672,532       645,000,221  

2.63%, 07/31/29

    57,165       54,798,012  

2.75%, 04/30/27

    7,952       7,739,843  

2.75%, 07/31/27

    85,581       83,287,696  

2.75%, 02/15/28

    310,972       301,254,125  

2.88%, 11/30/25

    39,595       38,857,234  

2.88%, 05/15/28

    234,529       228,482,549  

2.88%, 08/15/28

    771,601       751,135,487  

2.88%, 04/30/29

    7,376       7,172,584  

3.00%, 10/31/25

    816       804,209  

3.13%, 11/15/28

    358,131       353,584,416  

3.25%, 06/30/27

    2       1,990  

3.25%, 06/30/29

    52,400       52,187,125  

5.50%, 08/15/28

    11,894       13,246,013  

U.S. Treasury STRIPS

   

0.00%, 11/15/27(a)

    235       197,055  

0.00%, 11/15/28(a)

    27,204       22,072,955  

0.00%, 02/15/29(a)

    31,515       25,406,067  
   

 

 

 
      12,077,252,092  
   

 

 

 

Total Long-Term Investments — 99.4%
(Cost: $13,019,090,182)

      12,077,252,092  
   

 

 

 

Short-Term Securities

   
Money Market Funds — 0.1%            

BlackRock Cash Funds: Treasury, SL Agency Shares, 2.07%(b)(c)

    8,020       8,020,000  
   

 

 

 

Total Short-Term Securities — 0.1%
(Cost: $8,020,000)

      8,020,000  
   

 

 

 

Total Investments in Securities — 99.5%
(Cost: $13,027,110,182)

      12,085,272,092  

Other Assets Less Liabilities — 0.5%

      65,576,973  
   

 

 

 

Net Assets — 100.0%

    $   12,150,849,065  
   

 

 

 

 

(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 six months ended August 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

 
Affiliated Issuer  

Value at

02/28/22

   

Purchases

at Cost

   

Proceeds

from Sale

   

Net Realized

Gain (Loss)

   

Change in

Unrealized

Appreciation

(Depreciation)

   

Value at

08/31/22

   

Shares

Held at

08/31/22

(000)

    Income    

Capital Gain

Distributions from

Underlying Funds

 

 

 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 17,828,269     $     $ (9,808,269 )(a)    $     $     $ 8,020,000       8,020     $ 119,399 (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.

 

16  

2 0 2 2   I S H A R E S   S E M I - 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 (unaudited) (continued)

August 31, 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

   $        $ 12,077,252,092        $        $ 12,077,252,092  

Money Market Funds

     8,020,000                            8,020,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $      8,020,000        $ 12,077,252,092        $                 —        $ 12,085,272,092  
  

 

 

      

 

 

      

 

 

      

 

 

 

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

  17


Schedule of Investments (unaudited)

August 31, 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 — 99.5%            

U.S. Treasury Bonds

   

2.75%, 08/15/32

  $ 196,120     $ 189,194,513  

3.13%, 08/31/29

    140,000       138,621,875  

U.S. Treasury Note/Bond

   

0.63%, 05/15/30

    2,792,110       2,301,527,891  

0.63%, 08/15/30

      5,676,003       4,656,317,587  

1.25%, 08/15/31

    3,949,504       3,361,552,438  

1.38%, 11/15/31

    5,743,705       4,920,066,406  

1.50%, 02/15/30

    811,851       720,137,207  

1.63%, 05/15/31

    296,363       261,806,612  

1.88%, 02/15/32

    3,999,195       3,575,530,280  

2.38%, 03/31/29

    131       123,524  

2.38%, 05/15/29

    867,329       817,898,304  

2.63%, 02/15/29

    531,875       510,101,751  

2.63%, 07/31/29

    190,808       182,907,356  

2.88%, 04/30/29

    109       105,994  

2.88%, 05/15/32

    1,295,592       1,262,797,327  
   

 

 

 
      22,898,689,065  
   

 

 

 

Total Long-Term Investments — 99.5%
(Cost: $24,638,986,924)

        22,898,689,065  
   

 

 

 
Security  

Shares

(000)

    Value  

Short-Term Securities

   
Money Market Funds — 0.3%            

BlackRock Cash Funds: Treasury, SL Agency Shares, 2.07%(a)(b)

    61,140     $ 61,140,000  
   

 

 

 

Total Short-Term Securities — 0.3%
(Cost: $61,140,000)

      61,140,000  
   

 

 

 

Total Investments in Securities — 99.8%
(Cost: $24,700,126,924)

      22,959,829,065  

Other Assets Less Liabilities — 0.2%

      56,755,378  
   

 

 

 

Net Assets — 100.0%

    $  23,016,584,443  
   

 

 

 

 

(a) 

Affiliate of the Fund.

(b) 

Annualized 7-day yield as of period end.

Affiliates

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

 

 

 
Affiliated Issuer  

Value at

02/28/22

   

Purchases

at Cost

   

Proceeds

from Sale

   

Net Realized

Gain (Loss)

   

Change in

Unrealized

Appreciation

(Depreciation)

   

Value at

08/31/22

   

Shares

Held at

08/31/22

(000)

    Income    

Capital Gain

Distributions from

Underlying Funds

 

 

 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 16,339,000     $ 44,801,000 (a)    $     $     $     $ 61,140,000       61,140     $ 294,164 (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

   $        $ 22,898,689,065        $        $ 22,898,689,065  

Money Market Funds

     61,140,000                            61,140,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $     61,140,000        $ 22,898,689,065        $                 —        $ 22,959,829,065  
  

 

 

      

 

 

      

 

 

      

 

 

 

See notes to financial statements.

 

18  

2 0 2 2   I S H A R E S   S E M I - 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 (unaudited)

August 31, 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 — 98.1%        

U.S. Treasury Bonds, 3.13%, 08/31/29

  $ 76,156     $ 75,406,339  

U.S. Treasury Note/Bond

   

0.63%, 08/15/30

    8,000       6,562,813  

1.13%, 08/15/40

    702,306       473,672,203  

1.38%, 11/15/31

    101,245       86,726,968  

1.38%, 11/15/40

    1,069,720       752,564,729  

1.75%, 08/15/41

    255,434       189,779,480  

1.88%, 02/15/32

    463       413,951  

1.88%, 02/15/41

    1,139,838       873,267,290  

2.00%, 11/15/41

    175,284       136,160,064  

2.25%, 05/15/41

    1,019,560       831,419,319  

2.38%, 02/15/42

    13,432       11,133,869  

2.75%, 08/15/42

    451,605       396,742,047  

2.88%, 04/30/29

    6,408       6,231,279  

2.88%, 05/15/32

    12,898       12,571,519  

3.25%, 05/15/42

    20,304       19,422,045  

3.38%, 08/15/42

    1       976  

3.88%, 08/15/40

    269,316       285,064,673  

4.38%, 11/15/39

    295,424       335,859,705  

4.63%, 02/15/40

    60,640       71,031,706  
   

 

 

 
      4,564,030,975  
   

 

 

 

Total Long-Term Investments — 98.1%
(Cost: $4,976,936,390)

        4,564,030,975  
   

 

 

 
Security  

Shares

(000)

    Value  

 

 

Short-Term Securities

   
Money Market Funds — 2.0%            

BlackRock Cash Funds: Treasury, SL Agency Shares, 2.07%(a)(b)

    95,080     $ 95,080,000  
   

 

 

 

Total Short-Term Securities — 2.0%
(Cost: $95,080,000)

      95,080,000  
   

 

 

 

Total Investments in Securities — 100.1%
(Cost: $5,072,016,390)

      4,659,110,975  

Liabilities in Excess of Other Assets — (0.1)%

 

    (5,875,231
   

 

 

 

Net Assets — 100.0%

    $   4,653,235,744  
   

 

 

 

 

(a) 

Affiliate of the Fund.

(b) 

Annualized 7-day yield as of period end.

Affiliates

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

 

 

 
Affiliated Issuer   Value at
02/28/22
    Purchases
at Cost
    Proceeds
from Sale
    Net Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
08/31/22
    Shares
Held at
08/31/22
(000)
    Income    

Capital Gain

Distributions from
Underlying Funds

 

 

 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 24,350,000     $ 70,730,000 (a)    $     $     $     $ 95,080,000       95,080     $ 360,154 (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

   $        $ 4,564,030,975        $        $ 4,564,030,975  

Money Market Funds

     95,080,000                            95,080,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $     95,080,000        $ 4,564,030,975        $                 —        $ 4,659,110,975  
  

 

 

      

 

 

      

 

 

      

 

 

 

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

  19


Schedule of Investments (unaudited)

August 31, 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 — 99.0%  

U.S. Treasury Note/Bond

   

1.25%, 05/15/50

  $ 320,282     $ 198,036,865  

1.38%, 08/15/50

    757,821       484,591,003  

1.63%, 11/15/50

      2,560,180       1,751,622,885  

1.88%, 02/15/51

    4,454,515         3,250,229,921  

1.88%, 11/15/51

    1,431,539       1,042,451,457  

2.00%, 02/15/50

    1,542,290       1,166,597,493  

2.00%, 08/15/51

    2,468,862       1,854,732,728  

2.25%, 08/15/49

    1,074,937       860,873,139  

2.25%, 02/15/52

    224,195       179,075,756  

2.38%, 11/15/49

    10,360       8,537,692  

2.50%, 02/15/45

    80,350       66,420,574  

2.50%, 02/15/46

    1,339,931       1,104,553,693  

2.50%, 05/15/46

    1,225,090       1,009,502,546  

2.75%, 08/15/42

    100,995       88,725,773  

2.75%, 11/15/42

    304,551       266,993,764  

2.75%, 08/15/47

    1,956       1,699,831  

2.75%, 11/15/47

    494,446       430,399,966  

2.88%, 05/15/43

    1,502,621       1,339,211,412  

2.88%, 08/15/45

    609,457       538,869,324  

2.88%, 11/15/46

    454,806       403,107,701  

2.88%, 05/15/49

    2,806       2,551,562  

2.88%, 05/15/52

    162,336       149,602,770  

3.00%, 11/15/44

    9,096       8,225,937  

3.00%, 02/15/47

    409,245       371,198,095  

3.00%, 02/15/48

    1,476,167       1,352,018,778  

3.00%, 08/15/48

    1,661,398       1,530,368,208  
Security  

Par/

Shares

(000)

    Value  

 

 
U.S. Government Obligations (continued)  

3.00%, 02/15/49

  $   1,985,114     $ 1,845,535,765  

3.00%, 08/15/52

    277,000       262,587,344  

3.13%, 02/15/43

    666,105       619,113,556  

3.13%, 08/15/44

    1,208,675       1,117,693,782  

3.13%, 05/15/48

    1,216,459       1,144,659,311  

3.63%, 08/15/43

    523,391       525,925,773  

3.75%, 11/15/43

    175,056       179,240,523  
   

 

 

 
      25,154,954,927  
   

 

 

 

Total Long-Term Investments — 99.0%
(Cost: $30,926,767,153)

      25,154,954,927  
   

 

 

 

Short-Term Securities

   
Money Market Funds — 1.3%            

BlackRock Cash Funds: Treasury,
SL Agency Shares, 2.07%(a)(b)

    319,500       319,500,000  
   

 

 

 

Total Short-Term Securities — 1.3%
(Cost: $319,500,000)

 

    319,500,000  
   

 

 

 

Total Investments in Securities — 100.3%
(Cost: $31,246,267,153)

 

    25,474,454,927  

Liabilities in Excess of Other Assets — (0.3)%

 

    (78,331,404
   

 

 

 

Net Assets — 100.0%

    $   25,396,123,523  
   

 

 

 

 

(a) 

Affiliate of the Fund.

(b) 

Annualized 7-day yield as of period end.

Affiliates

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

 

 

 
Affiliated Issuer   Value at
02/28/22
   

Purchases

at Cost

    Proceeds
from Sale
    Net Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Value at
08/31/22
    Shares
Held at
08/31/22
(000)
    Income     Capital Gain
Distributions from
Underlying Funds
 

 

 

BlackRock Cash Funds: Treasury, SL Agency Shares

  $ 277,966,875     $ 41,533,125 (a)    $     $     $     $ 319,500,000       319,500     $ 402,039 (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

   $        $ 25,154,954,927        $        $ 25,154,954,927  

Money Market Funds

     319,500,000                            319,500,000  
  

 

 

      

 

 

      

 

 

      

 

 

 
   $     319,500,000        $ 25,154,954,927        $                 —        $ 25,474,454,927  
  

 

 

      

 

 

      

 

 

      

 

 

 

 

20  

2 0 2 2   I S H A R E S   S E M I - 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 (unaudited) (continued)

August 31, 2022

  

iShares® 20+ Year Treasury Bond ETF

 

Fair Value Hierarchy as of Period End (continued)

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

  21


Schedule of Investments (unaudited)

August 31, 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 — 99.9%            

U.S. Treasury STRIPS Coupon,
0.00%, 05/15/52(a)

  $ 1     $ 389  

U.S. Treasury STRIPS Principal

   

0.00%, 11/15/46(a)

    1,632       685,958  

0.00%, 02/15/47(a)

    2,465       1,030,814  

0.00%, 08/15/47(a)

    69,061       28,633,903  

0.00%, 11/15/47(a)

    100,918       41,720,689  

0.00%, 11/15/48(a)

    84       34,943  

0.00%, 02/15/49(a)

    49,125       20,435,743  

0.00%, 05/15/49(a)

    19       7,875  

0.00%, 08/15/49(a)

    101,522       41,781,586  

0.00%, 11/15/49(a)

    259       106,257  

0.00%, 02/15/50(a)

    29,524       11,986,928  

0.00%, 08/15/50(a)

    37,745       14,947,171  

0.00%, 11/15/50(a)

    212,522       83,892,773  

0.00%, 02/15/51(a)

    132,758       52,270,215  

0.00%, 08/15/51(a)

    52,950       20,589,496  

0.00%, 11/15/51(a)

    15,034       5,812,642  

0.00%, 05/15/52(a)

    19       7,440  
   

 

 

 
          323,944,822  
   

 

 

 

Total Long-Term Investments — 99.9%
(Cost: $401,100,041)

      323,944,822  
   

 

 

 
Security   Shares
(000)
    Value  

 

 

Short-Term Securities

   
Money Market Funds — 0.1%            

BlackRock Cash Funds: Treasury, SL Agency Shares, 2.07%(b)(c)

    420     $ 420,000  
   

 

 

 

Total Short-Term Securities — 0.1%
(Cost: $420,000)

      420,000  
   

 

 

 

Total Investments in Securities — 100.0%
(Cost: $401,520,041)

      324,364,822  

Liabilities in Excess of Other Assets — (0.0)%

      (10,150
   

 

 

 

Net Assets — 100.0%

    $     324,354,672  
   

 

 

 

 

(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 six months ended August 31, 2022 for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

                   
Affiliated Issuer    Value at
02/28/22
     Purchases
at Cost
   

Proceeds

from Sale

   

Net Realized

Gain (Loss)

    Change in
Unrealized
Appreciation
(Depreciation)
   

Value at

08/31/22

   

Shares

Held at

08/31/22

(000)

    Income    

Capital Gain

Distributions from

Underlying Funds

 

BlackRock Cash Funds: Treasury, SL Agency Shares

   $ 240,000        $180,000 (a)    $     $     $     $ 420,000       420     $ 1,454 (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

   $      $ 323,944,822      $      $ 323,944,822  

Money Market Funds

     420,000                      420,000  
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 420,000      $ 323,944,822      $             —      $ 324,364,822  
  

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

22  

2 0 2 2   I S H A R E S   S E M I - 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 (unaudited)

August 31, 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 — 94.5%  

U.S. Cash Management Bill

    

0.00%, 10/25/22(a)

  $ 5,100      $ 5,080,225  

0.00%, 11/01/22(a)

    118,518        117,984,617  

0.00%, 11/08/22(a)(b)

    705,946        702,559,026  

U.S. Treasury Bill

    

0.00%, 09/01/22(a)

    100        100,000  

0.00%, 09/06/22(a)(b)

    566,236        566,077,828  

0.00%, 09/08/22(a)

    100        99,960  

0.00%, 09/13/22(a)

    1,270,886        1,269,970,327  

0.00%, 09/15/22(a)

    100        99,916  

0.00%, 09/20/22(a)

    2,004,188        2,001,888,675  

0.00%, 09/22/22(a)

    100        99,879  

0.00%, 09/27/22(a)

    2,676,088        2,671,681,366  

0.00%, 09/29/22(a)(b)

    2,930        2,925,157  

0.00%, 10/04/22(a)

    105,650        105,426,625  

0.00%, 10/06/22(a)

    100        99,784  

0.00%, 10/11/22(a)

    100        99,735  

0.00%, 10/13/22(a)

    100        99,729  

0.00%, 10/18/22(a)

    2,083,530        2,076,817,991  

0.00%, 10/20/22(a)

    5,100        5,082,906  

0.00%, 10/27/22(a)

    100        99,605  

0.00%, 11/03/22(a)

    100        99,540  

0.00%, 11/10/22(a)

    100        99,499  

0.00%, 11/17/22(a)

    100        99,432  

0.00%, 11/25/22(a)

    100        99,338  

0.00%, 12/01/22(a)

    100        99,275  

0.00%, 12/08/22(a)

    100        99,239  

0.00%, 12/15/22(a)

    100        99,190  

0.00%, 12/22/22(a)

    100        99,074  

0.00%, 12/29/22(a)

    100        99,013  

0.00%, 01/19/23(a)

    1,000        988,255  

0.00%, 01/26/23(a)

    100        98,759  

0.00%, 02/23/23(a)

    1,100        1,082,861  

0.00%, 03/23/23(a)

    1,010        993,519  

0.00%, 04/20/23(a)

    10        9,805  

0.00%, 05/18/23(a)

    1,010        987,865  

0.00%, 06/15/23(a)

    100        97,457  

0.00%, 07/13/23(a)

    1,000        971,285  

U.S. Treasury Note/Bond

    

0.13%, 09/30/22

    120,055        119,769,991  

0.13%, 10/31/22

    10        9,959  

0.13%, 11/30/22

    100        99,342  

0.13%, 12/31/22

    204,576        202,274,223  

0.13%, 01/31/23

    483,216        477,295,600  

0.13%, 02/28/23

    247,282        243,503,728  

0.13%, 03/31/23

    322,771        317,090,771  

0.13%, 04/30/23

    952,925        933,211,779  

0.13%, 05/15/23

    100        97,793  

0.13%, 05/31/23

    9,100        8,884,230  

0.13%, 06/30/23

    10        9,734  

0.13%, 07/15/23

    559,593        543,624,733  

0.13%, 07/31/23

    5,855        5,679,350  

0.13%, 08/15/23

    298,992        289,717,083  

0.13%, 08/31/23

    1,344,398        1,301,098,058  

0.13%, 10/15/23

    26,403        24,093,750  

0.25%, 04/15/23

    1,062,915        1,041,208,677  

0.25%, 06/15/23

    1,610        1,571,071  
Security  

Par/

Shares

(000)

     Value  

 

 
U.S. Government Obligations (continued)  

0.50%, 03/15/23

  $ 100      $ 98,582  

0.75%, 12/31/23

    50,000        48,234,375  

1.38%, 10/15/22

    122,447        121,651,687  

1.38%, 02/15/23

    1,600        1,586,750  

1.38%, 06/30/23

    324,488        319,215,633  

1.50%, 09/15/22

    100        99,974  

1.50%, 01/15/23

    100        99,438  

1.50%, 02/28/23

    300        297,527  

1.50%, 03/31/23

    100        99,039  

1.63%, 11/15/22

    205        5,193,120  

1.63%, 12/15/22(b)

    100        99,657  

1.63%, 04/30/23

    15,170        14,997,275  

1.63%, 05/31/23

    8,597        8,488,120  

1.75%, 09/30/22

    377        376,850  

1.75%, 01/31/23

    239,112        237,718,321  

1.75%, 05/15/23

    406,274        401,823,473  

1.88%, 09/30/22

    179,508        179,453,602  

1.88%, 10/31/22

    47        46,939  

2.00%, 10/31/22

    125        124,864  

2.00%, 11/30/22

    184,844        184,467,131  

2.00%, 02/15/23

    4,867        4,841,524  

2.13%, 12/31/22

    876,286        873,731,910  

2.38%, 01/31/23

    340,462        339,382,785  

2.50%, 03/31/23

    147,812        147,230,773  

2.50%, 08/15/23

    5,000        4,955,469  

2.63%, 02/28/23

    516,322        514,941,642  

2.75%, 04/30/23

    440,442        438,687,116  

2.75%, 05/31/23

    373,103        371,568,530  

2.75%, 07/31/23

    73,588        68,988,743  

2.75%, 08/31/23

    57,256        52,698,879  

2.88%, 09/30/23

    166,112        165,080,727  

7.13%, 02/15/23

    82,440        78,250,519  

7.63%, 11/15/22

    100        4,140,095  
    

 

 

 
       19,630,327,698  
    

 

 

 

Total Long-Term Investments — 94.5%
(Cost: $19,688,706,077)

 

     19,630,327,698  
    

 

 

 

Short-Term Securities

    
Money Market Funds — 10.5%             

BlackRock Cash Funds: Treasury, SL Agency Shares, 2.07%(c)(d)(e)

    2,181,981        2,181,980,879  
    

 

 

 

Total Short-Term Securities — 10.5%
(Cost: $2,181,980,879)

 

     2,181,980,879  
    

 

 

 

Total Investments in Securities — 105.0%
(Cost: $21,870,686,956)

 

     21,812,308,577  

Liabilities in Excess of Other Assets — (5.0)%

 

     (1,032,981,165
    

 

 

 

Net Assets — 100.0%

     $ 20,779,327,412  
    

 

 

 

 

(a) 

Zero-coupon bond.

(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.

(e) 

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 (unaudited) (continued)

August 31, 2022

  

iShares® Short Treasury Bond ETF

 

Affiliates

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

 

 

 

   
       Affiliated Issuer    Value at
02/28/22
   

Purchases

at Cost

    Proceeds
from Sale
   

Net Realized

Gain (Loss)

   

Change in

Unrealized

Appreciation

(Depreciation)

   

Value at

08/31/22

   

Shares

Held at

08/31/22

(000)

    Income    

Capital Gain

Distributions from

Underlying Funds

        
 

 

   
 

BlackRock Cash Funds: Treasury, SL Agency Shares

   $ 890,548,750     $ 1,291,432,129 (a)    $     $     $     $ 2,181,980,879       2,181,981     $ 10,512,218 (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

   $      $ 19,630,327,698      $      $ 19,630,327,698  

Money Market Funds

     2,181,980,879                      2,181,980,879  
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 2,181,980,879      $ 19,630,327,698      $                 —      $ 21,812,308,577  
  

 

 

    

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

 

24  

2 0 2 2   I S H A R E S   S E M I - 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 (unaudited)

August 31, 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, at value — unaffiliated(a)(b)

  $ 3,568,322,023      $ 25,279,540,492     $ 12,077,252,092     $ 22,898,689,065  

Investments, at value — affiliated(c)

    315,626,258        129,165,000       8,020,000       61,140,000  

Cash

    207,211,789        4,376       8,988       2,661  

Receivables:

        

Investments sold

           1,525,531,338       387,777,089       752,803,070  

Securities lending income — affiliated

    40,077        30,976              

Capital shares sold

    11,046,232        580,050       114,102        

Dividends — affiliated

    585,634        109,005       40,690       148,232  

Interest — unaffiliated

    3,688,162        81,533,133       39,279,047       56,651,161  
 

 

 

    

 

 

   

 

 

   

 

 

 

Total assets

    4,106,520,175        27,016,494,370       12,512,492,008       23,769,434,189  
 

 

 

    

 

 

   

 

 

   

 

 

 

LIABILITIES

        

Collateral on securities loaned, at value

    124,406,258        112,665,000              

Payables:

        

Investments purchased

    642,525,499        1,497,914,446       360,088,528       749,941,788  

Capital shares redeemed

    3,161,756        1,134,115              

Investment advisory fees

    116,319        3,297,081       1,554,415       2,907,958  
 

 

 

    

 

 

   

 

 

   

 

 

 

Total liabilities

    770,209,832        1,615,010,642       361,642,943       752,849,746  
 

 

 

    

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 3,336,310,343      $ 25,401,483,728     $ 12,150,849,065     $ 23,016,584,443  
 

 

 

    

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF

        

Paid-in capital

  $ 3,330,983,285      $ 26,392,809,075     $ 13,286,036,731     $ 26,082,483,792  

Accumulated earnings (loss)

    5,327,058        (991,325,347     (1,135,187,666     (3,065,899,349
 

 

 

    

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 3,336,310,343      $ 25,401,483,728     $ 12,150,849,065     $ 23,016,584,443  
 

 

 

    

 

 

   

 

 

   

 

 

 

NET ASSET VALUE

        

Shares outstanding

    33,300,000        308,800,000       103,100,000       228,200,000  
 

 

 

    

 

 

   

 

 

   

 

 

 

Net asset value

  $ 100.19      $ 82.26     $ 117.85     $ 100.86  
 

 

 

    

 

 

   

 

 

   

 

 

 

Shares authorized

    Unlimited        Unlimited       Unlimited       Unlimited  
 

 

 

    

 

 

   

 

 

   

 

 

 

Par value

    None        None       None       None  
 

 

 

    

 

 

   

 

 

   

 

 

 

(a)   Investments, at cost — unaffiliated

  $ 3,568,565,601      $ 26,068,402,275     $ 13,019,090,182     $ 24,638,986,924  

(b)   Securities loaned, at value

  $ 121,902,994      $ 110,028,750     $     $  

(c)   Investments, at cost — affiliated

  $ 315,626,258      $ 129,165,000     $ 8,020,000     $ 61,140,000  

See notes to financial statements.

 

 

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

  25


Statements of Assets and Liabilities (unaudited) (continued)

August 31, 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, at value — unaffiliated(a)(b)

  $ 4,564,030,975     $ 25,154,954,927     $ 323,944,822     $ 19,630,327,698  

Investments, at value — affiliated(c)

    95,080,000       319,500,000       420,000       2,181,980,879  

Cash

    6,643       773       213       3,476  

Receivables:

       

Investments sold

    195,623,577       261,141,049             693,139,124  

Securities lending income — affiliated

                      155,994  

Capital shares sold

    6,979,539       1,946,598       15,945,606        

Dividends — affiliated

    193,502       306,166       670       3,256,572  

Interest — unaffiliated

    19,672,966       93,127,963             22,615,209  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    4,881,587,202       25,830,977,476       340,311,311       22,531,478,952  
 

 

 

   

 

 

   

 

 

   

 

 

 

LIABILITIES

       

Collateral on securities loaned, at value

                      394,120,879  

Payables:

       

Investments purchased

    227,750,001       431,051,904       15,945,606       110,441,654  

Capital shares redeemed

          598,558             1,245,267,358  

Investment advisory fees

    601,457       3,203,491       11,033       2,321,649  
 

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    228,351,458       434,853,953       15,956,639       1,752,151,540  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 4,653,235,744     $ 25,396,123,523     $ 324,354,672     $ 20,779,327,412  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS CONSIST OF

       

Paid-in capital

  $ 5,311,752,008     $ 32,416,439,855     $ 411,133,052     $ 20,829,852,596  

Accumulated loss

    (658,516,264     (7,020,316,332     (86,778,380     (50,525,184
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSETS

  $ 4,653,235,744     $ 25,396,123,523     $ 324,354,672     $ 20,779,327,412  
 

 

 

   

 

 

   

 

 

   

 

 

 

NET ASSET VALUE

       

Shares outstanding

    39,600,000       227,100,000       21,500,000       188,730,000  
 

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value

  $ 117.51     $ 111.83     $ 15.09     $ 110.10  
 

 

 

   

 

 

   

 

 

   

 

 

 

Shares authorized

    Unlimited       Unlimited       Unlimited       Unlimited  
 

 

 

   

 

 

   

 

 

   

 

 

 

Par value

    None       None       None       None  
 

 

 

   

 

 

   

 

 

   

 

 

 

(a)   Investments, at cost — unaffiliated

  $ 4,976,936,390     $ 30,926,767,153     $ 401,100,041     $ 19,688,706,077  

(b)   Securities loaned, at value

  $     $     $     $ 386,416,727  

(c)   Investments, at cost — affiliated

  $ 95,080,000     $ 319,500,000     $ 420,000     $ 2,181,980,879  

See notes to financial statements.

 

 

26  

2 0 2 2   I S H A R E S   S E M I - 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 Operations (unaudited)

Six Months Ended August 31, 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.

  $ 1,664,237              $ 422,820              $ 99,038              $ 241,542  

Interest — unaffiliated

    12,999,724          142,982,289          75,176,552          183,971,672  

Securities lending income — affiliated — net

    235,291          397,654          20,361          52,622  
 

 

 

      

 

 

      

 

 

      

 

 

 

Total investment income

    14,899,252          143,802,763          75,295,951          184,265,836  
 

 

 

      

 

 

      

 

 

      

 

 

 

EXPENSES

                

Investment advisory fees

    1,701,988          18,331,044          8,271,393          14,506,926  

Commitment fees

    21,969                             
 

 

 

      

 

 

      

 

 

      

 

 

 

Total expenses

    1,723,957          18,331,044          8,271,393          14,506,926  

Less:

                

Investment advisory fees waived

    (1,282,607                           
 

 

 

      

 

 

      

 

 

      

 

 

 

Tot