N-CSR 1 d314329dncsr.htm FORM N-CSR Form N-CSR
Table of Contents

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-09729

iShares Trust

(Exact name of registrant as specified in charter)

c/o: State Street Bank and Trust Company

200 Clarendon Street, Boston, MA 02116

(Address of principal executive offices) (Zip code)

The Corporation Trust Company

1209 Orange Street, Wilmington, DE 19801

(Name and address of agent for service)

Registrant’s telephone number, including area code:  (415) 670-2000

Date of fiscal year end:  February 29, 2012

Date of reporting period:  February 29, 2012


Table of Contents
Item 1.    Reports to Stockholders.  
LOGO    February 29, 2012

 

 

2012 Annual Report

 

 

 

iShares Trust

iShares Barclays Short Treasury Bond Fund  |  SHV  |  NYSE Arca

iShares Barclays 1-3 Year Treasury Bond Fund  |  SHY  |  NYSE Arca

iShares Barclays 3-7 Year Treasury Bond Fund  |  IEI  |  NYSE Arca

iShares Barclays 7-10 Year Treasury Bond Fund  |  IEF  |  NYSE Arca

iShares Barclays 10-20 Year Treasury Bond Fund  |  TLH  |  NYSE Arca

iShares Barclays 20+ Year Treasury Bond Fund  |  TLT  |  NYSE Arca

LOGO


Table of Contents

Table of Contents

 

Management’s Discussions of Fund Performance

     5   

Shareholder Expenses (Unaudited)

     13   

Schedules of Investments

     15   

iShares Barclays Short Treasury Bond Fund

     15   

iShares Barclays 1-3 Year Treasury Bond Fund

     16   

iShares Barclays 3-7 Year Treasury Bond Fund

     17   

iShares Barclays 7-10 Year Treasury Bond Fund

     18   

iShares Barclays 10-20 Year Treasury Bond Fund

     19   

iShares Barclays 20+ Year Treasury Bond Fund

     20   

Financial Statements

     21   

Financial Highlights

     28   

Notes to Financial Statements

     34   

Report of Independent Registered Public Accounting Firm

     43   

Tax Information (Unaudited)

     44   

Supplemental Information (Unaudited)

     45   

Trustee and Officer Information (Unaudited)

     48   


Table of Contents

Management’s Discussions of Fund Performance

iSHARES® BARCLAYS TREASURY BOND FUNDS

Performance as of February 29, 2012

 

     Average Annual Total Returns  
     Year Ended 2/29/12      Five Years Ended 2/29/12      Inception to 2/29/12  
iSHARES BOND FUND    NAV      MARKET      INDEX      NAV      MARKET      INDEX      NAV      MARKET      INDEX  

Barclays Short Treasury

     0.04%         0.05%         0.18%         1.49%         1.48%         1.61%         1.58%         1.59%         1.71%   

Barclays 1-3 Year Treasury

     1.34%         1.36%         1.46%         3.37%         3.37%         3.50%         2.92%         2.92%         3.05%   

Barclays 3-7 Year Treasury

     8.14%         8.13%         8.29%         6.77%         6.77%         6.91%         6.80%         6.80%         6.94%   

Barclays 7-10 Year Treasury

     15.62%         15.64%         15.76%         8.58%         8.58%         8.69%         6.54%         6.54%         6.58%   

Barclays 10-20 Year Treasury

     20.73%         20.65%         20.91%         9.31%         9.29%         9.36%         9.31%         9.29%         9.37%   

Barclays 20+ Year Treasury

     32.32%         32.04%         32.53%         9.91%         9.86%         10.02%         8.42%         8.39%         8.52%   
     Cumulative Total Returns  
     Year Ended 2/29/12      Five Years Ended 2/29/12      Inception to 2/29/12  
iSHARES BOND FUND    NAV      MARKET      INDEX      NAV      MARKET      INDEX      NAV      MARKET      INDEX  

Barclays Short Treasury

     0.04%         0.05%         0.18%         7.67%         7.62%         8.34%         8.44%         8.44%         9.13%   

Barclays 1-3 Year Treasury

     1.34%         1.36%         1.46%         18.01%         18.02%         18.76%         31.83%         31.84%         33.41%   

Barclays 3-7 Year Treasury

     8.14%         8.13%         8.29%         38.75%         38.77%         39.65%         40.38%         40.38%         41.31%   

Barclays 7-10 Year Treasury

     15.62%         15.64%         15.76%         50.94%         50.90%         51.71%         83.86%         83.81%         84.42%   

Barclays 10-20 Year Treasury

     20.73%         20.65%         20.91%         56.04%         55.93%         56.43%         58.23%         58.07%         58.64%   

Barclays 20+ Year Treasury

     32.32%         32.04%         32.53%         60.40%         60.03%         61.16%         117.43%         116.82%         119.32%   

Certain sectors and markets performed exceptionally well based on market conditions during the one-year period. Achieving such exceptional returns involves the risk of volatility and investors should not expect that such exceptional returns will be repeated.

Total returns for the periods since inception are calculated from the inception date of each Fund (1/5/07, 7/22/02, 1/5/07, 7/22/02, 1/5/07 and 7/22/02, respectively). “Average Annual Total Returns” represent the average annual change in value of an investment over the periods indicated. “Cumulative Total Returns” represent the total change in value of an investment over the periods indicated.

Each Fund’s per share net asset value or “NAV” is the value of one share of such Fund as calculated in accordance with the standard formula for valuing mutual fund shares. The NAV return is based on the NAV of each Fund and the market return is based on the market price per share of each Fund. The price used to calculate market return (“Market Price”) is determined by using the midpoint between the highest bid and the lowest offer on the primary stock exchange on which shares of each Fund are listed for trading, as of the time that such Fund’s NAV is calculated. Since shares of each Fund did not trade in the secondary market until after each Fund’s inception, for the period from inception to the first day of secondary market trading in shares of each Fund (1/11/07, 7/26/02, 1/11/07, 7/26/02, 1/11/07 and 7/26/02, respectively), the NAV of each 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 in each Fund at Market Price and NAV, respectively.

An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. 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. The performance shown above assumes reinvestment of all dividends and capital gain distributions and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption or sale of fund shares. The investment return and principal value of shares of each Fund will vary with changes in market conditions. Shares of each Fund may be worth more or less than their original cost when they are redeemed or sold in the market. Each Fund’s past performance is no guarantee of future results.

 

MANAGEMENTS DISCUSSIONS OF FUND PERFORMANCE

     5   


Table of Contents

Management’s Discussions of Fund Performance (Continued)

iSHARES® BARCLAYS TREASURY BOND FUNDS

 

iShares Barclays Short Treasury Bond Fund

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

iShares Barclays 1-3 Year Treasury Bond Fund

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

 

 

6    2012 iSHARES ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Management’s Discussions of Fund Performance (Continued)

iSHARES® BARCLAYS TREASURY BOND FUNDS

 

iShares Barclays 3-7 Year Treasury Bond Fund

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

iShares Barclays 7-10 Year Treasury Bond Fund

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

 

 

MANAGEMENTS DISCUSSIONS OF FUND PERFORMANCE

     7   


Table of Contents

Management’s Discussions of Fund Performance (Continued)

iSHARES® BARCLAYS TREASURY BOND FUNDS

 

iShares Barclays 10-20 Year Treasury Bond Fund

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

iShares Barclays 20+ Year Treasury Bond Fund

GROWTH OF $10,000 INVESTMENT

(SINCE INCEPTION AT NET ASSET VALUE)

 

LOGO

Performance figures 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 the redemption of fund shares. An index is a statistical composite that tracks a specified financial market or sector. Unlike each Fund, an index does not actually hold a portfolio of securities and therefore does not incur the expenses incurred by each Fund. These expenses negatively impact the performance of each Fund. Each Fund’s past performance is no guarantee of future results.

 

8    2012 iSHARES ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Management’s Discussions of Fund Performance (Continued)

iSHARES® BARCLAYS TREASURY BOND FUNDS

 

The iShares Barclays Short Treasury Bond Fund (the “Fund”) seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Barclays U.S. Short Treasury Bond Index (the “Index”). The Index measures the performance of public obligations of the U.S. Treasury that have a remaining maturity of between one and 12 months. 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. For the 12-month period ended February 29, 2012 (the “reporting period”), the total return for the Fund was 0.04%, net of fees, while the total return for the Index was 0.18%.

 

PORTFOLIO ALLOCATION

As of 2/29/12

 

Investment Type    Percentage of
Net Assets

U.S. Government Obligations

     99.70

Short-Term and Other Net Assets

     0.30   
  

 

 

 

TOTAL

     100.00
  

 

 

 

FIVE LARGEST FUND HOLDINGS

As of 2/29/12

 

Security    Percentage of
Net Assets

U.S. Treasury Bills, 0.00%, 05/10/12

     18.66

U.S. Treasury Notes, 0.75%, 05/31/12

     14.37   

U.S. Treasury Notes, 0.38%, 09/30/12

     12.76   

U.S. Treasury Notes, 1.38%, 09/15/12

     12.12   

U.S. Treasury Bills, 0.00%, 04/26/12

     11.11   
  

 

 

 

TOTAL

     69.02
  

 

 

 
 

 

The iShares Barclays 1-3 Year Treasury Bond Fund (the “Fund”) seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Barclays U.S. 1-3 Year Treasury Bond Index (the “Index”). The Index measures the performance of public obligations of the U.S. Treasury that have a remaining maturity of greater than or equal to one year and less than three years. 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. For the reporting period, the total return for the Fund was 1.34%, net of fees, while the total return for the Index was 1.46%.

 

PORTFOLIO ALLOCATION

As of 2/29/12

 

Investment Type    Percentage of
Net Assets

U.S. Government Obligations

     99.64

Short-Term and Other Net Assets

     0.36   
  

 

 

 

TOTAL

     100.00
  

 

 

 

FIVE LARGEST FUND HOLDINGS

As of 2/29/12

 

Security    Percentage of
Net Assets

U.S. Treasury Notes, 1.25%, 02/15/14

     11.06

U.S. Treasury Notes, 0.25%, 09/15/14

     8.46   

U.S. Treasury Notes, 1.75%, 04/15/13

     7.05   

U.S. Treasury Notes, 0.75%, 03/31/13

     6.35   

U.S. Treasury Notes, 0.13%, 12/31/13

     5.13   
  

 

 

 

TOTAL

     38.05
  

 

 

 
 

 

MANAGEMENTS DISCUSSIONS OF FUND PERFORMANCE

     9   


Table of Contents

Management’s Discussions of Fund Performance (Continued)

iSHARES® BARCLAYS TREASURY BOND FUNDS

 

The iShares Barclays 3-7 Year Treasury Bond Fund (the “Fund”) seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Barclays U.S. 3-7 Year Treasury Bond Index (the “Index”). The Index measures the performance of public obligations of the U.S. Treasury that have a remaining maturity of greater than or equal to three years and less than seven years. 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. For the reporting period, the total return for the Fund was 8.14%, net of fees, while the total return for the Index was 8.29%.

 

PORTFOLIO ALLOCATION

As of 2/29/12

 

Investment Type    Percentage of
Net Assets

U.S. Government Obligations

     99.36

Short-Term and Other Net Assets

     0.64   
  

 

 

 

TOTAL

     100.00
  

 

 

 

FIVE LARGEST FUND HOLDINGS

As of 2/29/12

 

Security    Percentage of
Net Assets

U.S. Treasury Notes, 2.75%, 05/31/17

     6.53

U.S. Treasury Notes, 1.75%, 07/31/15

     6.44   

U.S. Treasury Notes, 3.13%, 04/30/17

     6.38   

U.S. Treasury Notes, 3.13%, 10/31/16

     5.47   

U.S. Treasury Notes, 2.75%, 11/30/16

     5.24   
  

 

 

 

TOTAL

     30.06
  

 

 

 
 

 

The iShares Barclays 7-10 Year Treasury Bond Fund (the “Fund”) seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Barclays U.S. 7-10 Year Treasury Bond Index (the “Index”). The Index measures the performance of public obligations of the U.S. Treasury that have a remaining maturity of greater than or equal to seven years and less than ten years. 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. For the reporting period, the total return for the Fund was 15.62%, net of fees, while the total return for the Index was 15.76%.

 

PORTFOLIO ALLOCATION

As of 2/29/12

 

Investment Type    Percentage of
Net Assets

U.S. Government Obligations

     99.41

Short-Term and Other Net Assets

     0.59   
  

 

 

 

TOTAL

     100.00
  

 

 

 

FIVE LARGEST FUND HOLDINGS

As of 2/29/12

 

Security    Percentage of
Net Assets

U.S. Treasury Notes, 2.63%, 08/15/20

     14.46

U.S. Treasury Notes, 2.13%, 08/15/21

     14.22   

U.S. Treasury Notes, 3.63%, 02/15/21

     10.92   

U.S. Treasury Notes, 3.13%, 05/15/21

     9.69   

U.S. Treasury Notes, 3.63%, 02/15/20

     9.61   
  

 

 

 

TOTAL

     58.90
  

 

 

 
 

 

10    2012 iSHARES ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Management’s Discussions of Fund Performance (Continued)

iSHARES® BARCLAYS TREASURY BOND FUNDS

 

The iShares Barclays 10-20 Year Treasury Bond Fund (the “Fund”) seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Barclays U.S. 10-20 Year Treasury Bond Index (the “Index”). The Index measures the performance of public obligations of the U.S. Treasury that have a remaining maturity of greater than or equal to ten years and less than 20 years. 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. For the reporting period, the total return for the Fund was 20.73%, net of fees, while the total return for the Index was 20.91%.

 

PORTFOLIO ALLOCATION

As of 2/29/12

 

Investment Type    Percentage of
Net Assets

U.S. Government Obligations

     99.25

Short-Term and Other Net Assets

     0.75   
  

 

 

 

TOTAL

     100.00
  

 

 

 

FIVE LARGEST FUND HOLDINGS

As of 2/29/12

 

Security    Percentage of
Net Assets

U.S. Treasury Bonds, 6.25%, 08/15/23

     10.32

U.S. Treasury Bonds, 6.13%, 11/15/27

     9.28   

U.S. Treasury Bonds, 5.38%, 02/15/31

     8.25   

U.S. Treasury Bonds, 6.25%, 05/15/30

     6.57   

U.S. Treasury Bonds, 6.00%, 02/15/26

     6.13   
  

 

 

 

TOTAL

     40.55
  

 

 

 
 

 

The iShares Barclays 20+ Year Treasury Bond Fund (the “Fund”) seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Barclays U.S. 20+ Year Treasury Bond Index (the “Index”). The Index measures the performance of public obligations of the U.S. Treasury that have a remaining maturity of 20 or more years. 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. For the reporting period, the total return for the Fund was 32.32%, net of fees, while the total return for the Index was 32.53%.

 

PORTFOLIO ALLOCATION

As of 2/29/12

 

Investment Type    Percentage of
Net Assets

U.S. Government Obligations

     99.26

Short-Term and Other Net Assets

     0.74   
  

 

 

 

TOTAL

     100.00
  

 

 

 

FIVE LARGEST FUND HOLDINGS

As of 2/29/12

 

Security    Percentage of
Net Assets

U.S. Treasury Bonds, 4.38%, 05/15/41

     8.56

U.S. Treasury Bonds, 4.63%, 02/15/40

     8.33   

U.S. Treasury Bonds, 4.25%, 11/15/40

     8.25   

U.S. Treasury Bonds, 4.38%, 05/15/40

     8.08   

U.S. Treasury Bonds, 4.75%, 02/15/41

     8.07   
  

 

 

 

TOTAL

     41.29
  

 

 

 
 

 

U.S. Treasury securities produced strong results during the reporting period, posting outsized gains as Treasury yields declined across the maturity spectrum. Although returns in the Treasury market were uniformly positive, longer-term Treasury securities generated the strongest overall gains, with some returning more than 30% for the reporting period.

As the reporting period began, economic conditions in the U.S. were steadily improving, driven in part by a second round of quantitative easing measures from the Federal Reserve (the U.S. central bank) and the extension of several expiring federal tax breaks in late 2010. As a result, Treasury yields had been on the rise throughout late 2010 and early 2011. However, Treasury yields reversed course in March 2011 as heightened political turmoil in the Middle East and North Africa, as well as a devastating earthquake and tsunami in Japan, led to a flight to quality, boosting demand for Treasury securities.

 

MANAGEMENTS DISCUSSIONS OF FUND PERFORMANCE

     11   


Table of Contents

Management’s Discussions of Fund Performance (Continued)

iSHARES® BARCLAYS TREASURY BOND FUNDS

 

The rally in the U.S. Treasury market accelerated during the spring and summer of 2011 as evidence of a slowdown in economic activity emerged. The U.S. economy grew at a 1.3% annual rate in the second quarter of 2011 and a 1.8% annual rate in the third quarter. Furthermore, an accumulation of global events — a worsening sovereign debt crisis in Europe, a credit rating downgrade on U.S. government debt (for the first time in the country’s history), and government infighting about the federal debt ceiling — led to greater demand for the relative safety and liquidity of Treasury securities.

Another factor impacting performance in the U.S. Treasury market during the reporting period was a Federal Reserve plan, announced in September 2011 and dubbed “Operation Twist,” to buy long-term U.S. Treasury bonds with the goal of stimulating more long-term borrowing and increasing economic activity. The immediate result was a sharp drop in long-term Treasury yields, which contributed to the overall outperformance of long-term Treasury securities.

After falling to historically low levels in late September and early October, Treasury yields fluctuated in a narrow range through the end of the reporting period. Treasury yields were relatively steady despite signs of improving economic growth, particularly in the employment market, where job growth consistently exceeded expectations and the unemployment rate fell to a three-year low of 8.3%.

For the reporting period, the 30-year Treasury bond yield declined from 4.49% to 3.08% after dipping as low as 2.76% in early October. The 10-year Treasury bond yield fell from 3.42% at the beginning of the reporting period to an all-time low of 1.70% in late September, before finishing the period at 1.98%. Short- and intermediate-term Treasury yields fell to a lesser degree — the five-year Treasury note yield declined from 2.13% to 0.87% (though it reached a record low of 0.71% in early February 2012), while the two-year Treasury note yield started the reporting period at 0.69%, tumbled to a record low of 0.16% in late September, and ended the period at 0.30%.

Even the shortest-term component of the U.S. Treasury market saw its yield decline; the three-month Treasury yield fell from 0.14% to 0.08% as the Federal Reserve indicated towards the end of the reporting period that it would maintain its near-zero interest rate policy through late 2014.

 

12    2012 iSHARES ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Shareholder Expenses (Unaudited)

iSHARES® TRUST

 

As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of Fund shares and (2) ongoing costs, including management fees and other Fund expenses. The following Example is intended to help you understand your ongoing costs (in dollars and cents) of investing in a Fund and to compare these costs with the ongoing costs of investing in other funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from September 1, 2011 to February 29, 2012.

ACTUAL EXPENSES

The first line under each Fund in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The second line under each Fund in the table below provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in your Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line under each Fund in the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

iShares Bond Fund    Beginning
Account Value
(9/1/11)
     Ending
Account Value
(2/29/12)
     Annualized
Expense Ratio
   

Expenses Paid
During  Period a

(9/1/11 to 2/29/12)

 

Barclays Short Treasury

          

Actual

   $ 1,000.00       $ 999.70         0.12   $ 0.60   

Hypothetical (5% return before expenses)

     1,000.00         1,024.30         0.12        0.60   

Barclays 1-3 Year Treasury

          

Actual

     1,000.00         999.60         0.15        0.75   

Hypothetical (5% return before expenses)

     1,000.00         1,024.10         0.15        0.75   

Barclays 3-7 Year Treasury

          

Actual

     1,000.00         1,011.70         0.15        0.75   

Hypothetical (5% return before expenses)

     1,000.00         1,024.10         0.15        0.75   

Barclays 7-10 Year Treasury

          

Actual

     1,000.00         1,032.00         0.15        0.76   

Hypothetical (5% return before expenses)

     1,000.00         1,024.10         0.15        0.75   

 

SHAREHOLDER EXPENSES

     13   


Table of Contents

Shareholder Expenses (Unaudited) (Continued)

iSHARES® TRUST

 

iShares Bond Fund    Beginning
Account Value
(9/1/11)
     Ending
Account Value
(2/29/12)
     Annualized
Expense Ratio
   

Expenses Paid
During  Period a

(9/1/11 to 2/29/12)

 

Barclays 10-20 Year Treasury

          

Actual

   $ 1,000.00       $ 1,055.50         0.15   $ 0.77   

Hypothetical (5% return before expenses)

     1,000.00         1,024.10         0.15        0.75   

Barclays 20+ Year Treasury

          

Actual

     1,000.00         1,113.30         0.15        0.79   

Hypothetical (5% return before expenses)

     1,000.00         1,024.10         0.15        0.75   

 

a 

Expenses are calculated using each Fund’s annualized expense ratio (as disclosed in the table), multiplied by the average account value for the period, multiplied by the number of days in the period (182 days) and divided by the number of days in the year (366 days).

 

 

14    2012 iSHARES ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Schedule of Investments

iSHARES® BARCLAYS SHORT TREASURY BOND FUND

February 29, 2012

 

Security  

Principal

(000s)

or Shares

    Value  

U.S. GOVERNMENT OBLIGATIONS — 99.70%

  

U.S. Treasury Bills

   

0.00%, 04/26/12

  $ 270,496      $ 270,468,655   

0.00%, 05/10/12

    454,496        454,425,299   

U.S. Treasury Notes

   

0.38%, 09/30/12

    310,474        310,849,658   

0.50%, 11/30/12

    146,905        147,248,749   

0.63%, 06/30/12

    5,023        5,031,538   

0.75%, 05/31/12

    349,463        349,994,184   

1.38%, 05/15/12

    96,448        96,692,976   

1.38%, 09/15/12

    293,200        295,099,921   

1.38%, 10/15/12

    164,032        165,249,112   

1.38%, 02/15/13

    200,000        202,229,996   

1.50%, 07/15/12

    23,403        23,522,824   

1.75%, 08/15/12

    106,088        106,862,446   
   

 

 

 

TOTAL U.S. GOVERNMENT OBLIGATIONS

  

 

(Cost: $2,428,053,523)

  

    2,427,675,358   

SHORT-TERM INVESTMENTS — 8.54%

  

MONEY MARKET FUNDS — 8.54%

  

BlackRock Cash Funds: Treasury,
SL Agency Shares

   

 

0.02%a,b

    208,050,301        208,050,301   
   

 

 

 
      208,050,301   
   

 

 

 

TOTAL SHORT-TERM INVESTMENTS

  

(Cost: $208,050,301)

  

    208,050,301   
   

 

 

 

TOTAL INVESTMENTS
IN SECURITIES — 108.24%

   

 

(Cost: $2,636,103,824)

  

    2,635,725,659   

Other Assets, Less Liabilities — (8.24)%

  

    (200,674,771
   

 

 

 

NET ASSETS — 100.00%

  

  $ 2,435,050,888   
   

 

 

 

 

a 

Affiliated issuer. See Note 2.

b 

The rate quoted is the annualized seven-day yield of the fund at period end.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS

     15   


Table of Contents

Schedule of Investments

iSHARES® BARCLAYS 1-3 YEAR TREASURY BOND FUND

February 29, 2012

 

Security  

 

Principal
(000s)

    Value  

U.S. GOVERNMENT OBLIGATIONS — 99.64%

  

U.S. Treasury Notes

   

0.13%, 09/30/13

  $ 323,819      $ 323,061,260   

0.13%, 12/31/13

    548,264        546,542,435   

0.25%, 11/30/13

    1,654        1,653,024   

0.25%, 09/15/14

    903,948        900,874,613   

0.25%, 12/15/14

    68,149        67,850,505   

0.38%, 06/30/13

    662        663,139   

0.38%, 11/15/14

    268,672        268,473,191   

0.50%, 05/31/13

    114,795        115,181,848   

0.50%, 10/15/13

    228,552        229,381,660   

0.50%, 11/15/13

    78,861        79,153,576   

0.63%, 02/28/13

    5,690        5,713,557   

0.63%, 07/15/14

    157,593        158,565,331   

0.75%, 03/31/13

    672,951        676,853,827   

0.75%, 08/15/13

    6,074        6,117,125   

0.75%, 12/15/13

    18,587        18,737,556   

0.75%, 06/15/14

    372,440        375,903,692   

1.00%, 07/15/13

    493,370        498,451,741   

1.00%, 01/15/14

    72,243        73,182,884   

1.00%, 05/15/14

    14,244        14,451,249   

1.13%, 12/15/12

    16,224        16,342,436   

1.25%, 02/15/14

      1,156,465        1,177,743,910   

1.25%, 03/15/14

    68,315        69,613,674   

1.25%, 04/15/14

    5,048        5,145,678   

1.38%, 09/15/12

    115,740        116,489,989   

1.38%, 10/15/12

    114,210             115,057,435   

1.38%, 01/15/13

    30,956        31,272,683   

1.38%, 03/15/13

    52,839        53,476,771   

1.38%, 05/15/13

    6,313        6,399,867   

1.50%, 07/15/12

    19,672        19,772,721   

1.75%, 08/15/12

    87,511        88,149,833   

1.75%, 04/15/13

    738,331        751,000,782   

1.75%, 01/31/14

    266,716        274,050,690   

1.75%, 03/31/14

    196,869        202,690,418   

1.88%, 02/28/14

    68,315        70,438,914   

1.88%, 04/30/14

    111,616        115,318,304   

2.00%, 11/30/13

    21,593        22,234,960   

2.13%, 11/30/14

    156,794        164,081,790   

2.25%, 05/31/14

    456,715        476,198,457   

2.25%, 01/31/15

    1,212        1,275,533   

2.38%, 08/31/14

    294,888        309,470,232   
Security  

Principal
(000s)

or Shares

    Value  

2.38%, 09/30/14

  $ 87,438      $ 91,895,589   

2.38%, 10/31/14

    223,218        234,796,414   

2.50%, 03/31/13

    54,280        55,616,915   

2.63%, 06/30/14

    137,063        144,312,169   

2.63%, 07/31/14

    245,750        259,104,050   

2.63%, 12/31/14

    275,953        292,918,599   

2.75%, 10/31/13

    2,294        2,387,848   

3.13%, 08/31/13

    147,189        153,475,448   

3.13%, 09/30/13

    99,874        104,378,312   

3.38%, 11/30/12

    31,870        32,628,187   

3.50%, 05/31/13

    262,571        273,247,142   

3.63%, 12/31/12

    80,709        83,007,598   

3.63%, 05/15/13

    146,393        152,373,164   

4.00%, 11/15/12

    22,102        22,695,882   

4.00%, 02/15/15

    10,000        11,043,800   

4.25%, 09/30/12

    9,951        10,186,938   

4.25%, 11/15/14

    110,618        122,008,332   

4.63%, 07/31/12

    24,227        24,679,317   

4.75%, 05/15/14

    84,125        92,290,167   

11.25%, 02/15/15

    2,934        3,863,667   
   

 

 

 

TOTAL U.S. GOVERNMENT OBLIGATIONS

  

 

(Cost: $10,577,523,374)

  

    10,613,946,828   

SHORT-TERM INVESTMENTS — 0.11%

  

MONEY MARKET FUNDS — 0.11%

  

 

BlackRock Cash Funds: Treasury,
SL Agency Shares

   

 

0.02%a,b

    11,455,756        11,455,756   
   

 

 

 
      11,455,756   
   

 

 

 

TOTAL SHORT-TERM INVESTMENTS

  

(Cost: $11,455,756)

  

    11,455,756   
   

 

 

 

TOTAL INVESTMENTS
IN SECURITIES — 99.75%

   

 

(Cost: $10,588,979,130)

  

    10,625,402,584   

Other Assets, Less Liabilities — 0.25%

  

    26,324,729   
   

 

 

 

NET ASSETS — 100.00%

  

  $ 10,651,727,313   
   

 

 

 

 

a 

Affiliated issuer. See Note 2.

b 

The rate quoted is the annualized seven-day yield of the fund at period end.

See notes to financial statements.

 

 

16    2012 iSHARES ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Schedule of Investments

iSHARES® BARCLAYS 3-7 YEAR TREASURY BOND FUND

February 29, 2012

 

Security  

Principal

(000s)

    Value  

U.S. GOVERNMENT OBLIGATIONS — 99.36%

  

U.S. Treasury Notes

   

1.00%, 08/31/16

  $ 24,725      $ 24,978,591   

1.00%, 09/30/16

    14,684        14,826,141   

1.25%, 09/30/15

    40,190        41,160,990   

1.25%, 01/31/19a

    30,994        30,730,861   

1.38%, 09/30/18

             32,932             33,088,426   

1.38%, 11/30/18a

    66,899        67,066,911   

1.38%, 12/31/18a

    22,434        22,462,489   

1.38%, 02/28/19

    10,500        10,482,780   

1.50%, 06/30/16

    36,495        37,685,518   

1.50%, 07/31/16

    53,070        54,792,650   

1.50%, 08/31/18

    44,800        45,427,645   

1.75%, 07/31/15

    139,518        145,269,049   

1.75%, 05/31/16

    4,392        4,582,618   

1.75%, 10/31/18

    50,022        51,413,611   

1.88%, 06/30/15

    38,391        40,130,499   

2.00%, 01/31/16

    21,361        22,490,781   

2.13%, 05/31/15

    38,391        40,401,920   

2.13%, 02/29/16a

    42,180        44,633,405   

2.25%, 03/31/16

    3,056        3,251,156   

2.25%, 11/30/17

    11,636        12,403,676   

2.25%, 07/31/18

    16,717        17,754,122   

2.38%, 08/31/14a

    3,938        4,133,049   

2.38%, 09/30/14

    7,462        7,842,728   

2.38%, 10/31/14a

    23,315        24,524,348   

2.38%, 03/31/16

    10,162        10,861,451   

2.38%, 07/31/17a

    24,875        26,699,086   

2.38%, 05/31/18

    42,265        45,260,528   

2.38%, 06/30/18

    12,012        12,855,483   

2.50%, 04/30/15a

    38,744        41,200,365   

2.50%, 06/30/17a

    14,639        15,809,681   

2.63%, 07/31/14

    28,183        29,714,147   

2.63%, 12/31/14

    12,609        13,384,202   

2.63%, 04/30/16a

    76,592        82,650,430   

2.63%, 01/31/18a

    67,034        72,888,081   

2.75%, 11/30/16

    108,388        118,087,631   

2.75%, 05/31/17a

    134,694        147,196,284   

2.75%, 12/31/17a

    19,358        21,182,879   

2.75%, 02/28/18a

    27,263        29,844,422   

2.88%, 03/31/18a

    41,706        45,961,791   

3.13%, 10/31/16

    111,468        123,307,019   

3.13%, 04/30/17a

    129,508        143,936,485   
Security  

Principal

(000s)
or Shares

    Value  

3.25%, 06/30/16

  $ 46,154      $ 51,088,325   

3.25%, 07/31/16

    60,705        67,301,811   

3.25%, 12/31/16a

    32,800        36,542,479   

3.50%, 02/15/18

    2,614        2,972,824   

4.00%, 02/15/15a

    31,892        35,220,888   

4.13%, 05/15/15

    12,395        13,828,234   

4.25%, 11/15/14

    5,766        6,359,394   

4.25%, 08/15/15a

    72,437        81,608,975   

4.50%, 02/15/16

    20,918        24,066,996   

4.50%, 05/15/17a

    45,550        53,822,333   

4.63%, 11/15/16

    24,061        28,285,873   

5.13%, 05/15/16a

    35,472        41,974,373   

7.50%, 11/15/16

    12,195        15,964,108   
   

 

 

 

TOTAL U.S. GOVERNMENT OBLIGATIONS

  

 

(Cost: $2,201,188,882)

  

    2,241,410,542   

SHORT-TERM INVESTMENTS — 29.64%

  

MONEY MARKET FUNDS — 29.64%

  

 

BlackRock Cash Funds: Institutional,
SL Agency Shares

   

 

0.22%b,c,d

    610,733,812        610,733,812   

BlackRock Cash Funds: Prime,
SL Agency Shares

   

 

0.23%b,c,d

    55,806,461        55,806,461   

BlackRock Cash Funds: Treasury,
SL Agency Shares

   

 

0.02%b,c

    1,970,628        1,970,628   
   

 

 

 
      668,510,901   
   

 

 

 

TOTAL SHORT-TERM INVESTMENTS

  

 

(Cost: $668,510,901)

      668,510,901   
   

 

 

 

TOTAL INVESTMENTS
IN SECURITIES — 129.00%

   

(Cost: $2,869,699,783)

      2,909,921,443   

Other Assets, Less Liabilities — (29.00)%

  

    (654,156,363
   

 

 

 

NET ASSETS — 100.00%

    $ 2,255,765,080   
   

 

 

 

 

a 

All or a portion of this security represents a security on loan. See Note 5.

b 

Affiliated issuer. See Note 2.

c 

The rate quoted is the annualized seven-day yield of the fund at period end.

d 

All or a portion of this security represents an investment of securities lending collateral. See Note 5.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS

     17   


Table of Contents

Schedule of Investments

iSHARES® BARCLAYS 7-10 YEAR TREASURY BOND FUND

February 29, 2012

 

Security

 

Principal
(000s)

or Shares

    Value  

U.S. GOVERNMENT OBLIGATIONS — 99.41%

  

U.S. Treasury Notes

   

2.00%, 11/15/21a

  $ 200,575      $ 201,567,551   

2.13%, 08/15/21a

    646,363        659,219,249   

2.63%, 08/15/20

    624,528        670,656,080   

2.63%, 11/15/20a

    403,449        432,292,006   

2.75%, 02/15/19

    18,897        20,636,230   

3.13%, 05/15/19a

    246,123        274,836,044   

3.13%, 05/15/21a

    404,907        449,531,373   

3.38%, 11/15/19

    58,529        66,422,566   

3.50%, 05/15/20a

    323,783        370,760,888   

3.63%, 08/15/19a

    187,976        216,675,580   

3.63%, 02/15/20a

    386,054        445,560,021   

3.63%, 02/15/21a

    438,786        506,358,476   

7.88%, 02/15/21

    23,215        35,165,456   

8.00%, 11/15/21

    23,524        36,491,536   

8.13%, 08/15/19a

    25,146        37,156,336   

8.13%, 05/15/21

    21,715        33,535,595   

8.13%, 08/15/21a

    27,541        42,776,062   

8.50%, 02/15/20

    19,312        29,487,765   

8.75%, 05/15/20

    18,489        28,764,292   

8.75%, 08/15/20a

    31,391        49,164,113   

8.88%, 02/15/19

    1,939        2,919,420   
   

 

 

 

TOTAL U.S. GOVERNMENT OBLIGATIONS

  

 

(Cost: $4,444,720,539)

      4,609,976,639   

SHORT-TERM INVESTMENTS — 30.98%

  

MONEY MARKET FUNDS — 30.98%

  

BlackRock Cash Funds: Institutional,
SL Agency Shares

   

 

0.22%b,c,d

    1,271,491,434        1,271,491,434   

BlackRock Cash Funds: Prime,
SL Agency Shares

   

 

0.23%b,c,d

    116,183,902        116,183,902   

BlackRock Cash Funds: Treasury,
SL Agency Shares

   

 

0.02%b,c

    49,250,900        49,250,900   
   

 

 

 
      1,436,926,236   
   

 

 

 

TOTAL SHORT-TERM INVESTMENTS

  

(Cost: $1,436,926,236)

  

    1,436,926,236   
   

 

 

 
          Value  

TOTAL INVESTMENTS
IN SECURITIES — 130.39%

 

(Cost: $5,881,646,775)

  $ 6,046,902,875   

Other Assets, Less Liabilities — (30.39)%

    (1,409,491,119
   

 

 

 

NET ASSETS — 100.00%

    $ 4,637,411,756   
   

 

 

 

 

a 

All or a portion of this security represents a security on loan. See Note 5.

b 

Affiliated issuer. See Note 2.

c 

The rate quoted is the annualized seven-day yield of the fund at period end.

d 

All or a portion of this security represents an investment of securities lending collateral. See Note 5.

See notes to financial statements.

 

 

18    2012 iSHARES ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Schedule of Investments

iSHARES® BARCLAYS 10-20 YEAR TREASURY BOND FUND

February 29, 2012

 

Security  

Principal

(000s)

or Shares

    Value  

U.S. GOVERNMENT OBLIGATIONS — 99.25%

  

U.S. Treasury Bonds

   

5.25%, 11/15/28a

  $ 18,943      $ 25,603,439   

5.25%, 02/15/29a

    19,151        25,933,000   

5.38%, 02/15/31a

    30,352        42,309,382   

5.50%, 08/15/28

    15,709        21,745,258   

6.00%, 02/15/26

    22,139        31,457,036   

6.13%, 11/15/27a

    32,650        47,642,733   

6.13%, 08/15/29a

    13,386        19,870,849   

6.25%, 08/15/23

    37,307        52,964,799   

6.25%, 05/15/30

    22,247        33,688,792   

6.38%, 08/15/27a

    12,240        18,224,461   

6.50%, 11/15/26

    14,565        21,741,161   

6.63%, 02/15/27

    12,478        18,881,907   

6.75%, 08/15/26

    9,667        14,699,475   

6.88%, 08/15/25

    16,929        25,729,861   

7.13%, 02/15/23a

    17,488        26,250,462   

7.25%, 08/15/22a

    16,710        25,098,738   

7.50%, 11/15/24

    13,432        21,202,483   

7.63%, 11/15/22a

    9,355        14,453,976   

7.63%, 02/15/25

    13,625        21,766,939   
   

 

 

 

TOTAL U.S. GOVERNMENT OBLIGATIONS

  

 

(Cost: $493,858,166)

      509,264,751   

SHORT-TERM INVESTMENTS — 40.00%

  

MONEY MARKET FUNDS — 40.00%

  

BlackRock Cash Funds: Institutional,
SL Agency Shares

   

 

0.22%b,c,d

    181,276,533        181,276,533   

BlackRock Cash Funds: Prime,
SL Agency Shares

   

 

0.23%b,c,d

    16,564,339        16,564,339   

BlackRock Cash Funds: Treasury,
SL Agency Shares

   

 

0.02%b,c

    7,423,493        7,423,493   
   

 

 

 
      205,264,365   
   

 

 

 

TOTAL SHORT-TERM INVESTMENTS

  

(Cost: $205,264,365)

      205,264,365   
   

 

 

 
          Value  

TOTAL INVESTMENTS
IN SECURITIES — 139.25%

   

(Cost: $699,122,531)

    $ 714,529,116   

Other Assets, Less Liabilities — (39.25)%

    (201,402,901
   

 

 

 

NET ASSETS — 100.00%

    $ 513,126,215   
   

 

 

 

 

a 

All or a portion of this security represents a security on loan. See Note 5.

b 

Affiliated issuer. See Note 2.

c 

The rate quoted is the annualized seven-day yield of the fund at period end.

d 

All or a portion of this security represents an investment of securities lending collateral. See Note 5.

See notes to financial statements.

 

 

SCHEDULES OF INVESTMENTS

     19   


Table of Contents

Schedule of Investments

iSHARES® BARCLAYS 20+ YEAR TREASURY BOND FUND

February 29, 2012

 

Security  

Principal
(000s)

or Shares

    Value  

U.S. GOVERNMENT OBLIGATIONS — 99.26%

  

U.S. Treasury Bonds

   

3.13%, 11/15/41a

  $ 134,121      $ 135,263,909   

3.13%, 02/15/42

    19,992        20,145,140   

3.50%, 02/15/39

    117,506        127,860,406   

3.75%, 08/15/41a

    207,086        235,005,665   

3.88%, 08/15/40a

    205,748        238,579,558   

4.25%, 05/15/39

    139,487        171,934,221   

4.25%, 11/15/40a

    203,104        250,615,991   

4.38%, 02/15/38a

    68,949        86,498,152   

4.38%, 11/15/39a

    190,719        239,764,555   

4.38%, 05/15/40

    195,158        245,515,140   

4.38%, 05/15/41

    206,404        259,986,871   

4.50%, 02/15/36

    35,795        45,537,178   

4.50%, 05/15/38a

    84,681        108,324,445   

4.50%, 08/15/39a

    141,936        181,830,073   

4.63%, 02/15/40a

    193,679        253,076,082   

4.75%, 02/15/37a

    58,676        77,466,325   

4.75%, 02/15/41a

    183,762        245,129,727   

5.00%, 05/15/37a

    68,127        93,139,697   
   

 

 

 

TOTAL U.S. GOVERNMENT OBLIGATIONS

  

 

(Cost: $3,049,154,752)

  

    3,015,673,135   

SHORT-TERM INVESTMENTS — 36.01%

  

MONEY MARKET FUNDS — 36.01%

  

BlackRock Cash Funds: Institutional,
SL Agency Shares

   

 

0.22%b,c,d

    975,484,499        975,484,499   

BlackRock Cash Funds: Prime,
SL Agency Shares

   

 

0.23%b,c,d

    89,135,949        89,135,949   

BlackRock Cash Funds: Treasury,
SL Agency Shares

   

 

0.02%b,c

    29,391,751        29,391,751   
   

 

 

 
      1,094,012,199   
   

 

 

 

TOTAL SHORT-TERM INVESTMENTS

  

(Cost: $1,094,012,199)

  

    1,094,012,199   
   

 

 

 
          Value  

TOTAL INVESTMENTS
IN SECURITIES — 135.27%

   

(Cost: $4,143,166,951)

    $ 4,109,685,334   

Other Assets, Less Liabilities — (35.27)%

    (1,071,419,860
   

 

 

 

NET ASSETS — 100.00%

    $ 3,038,265,474   
   

 

 

 

 

a 

All or a portion of this security represents a security on loan. See Note 5.

b 

Affiliated issuer. See Note 2.

c 

The rate quoted is the annualized seven-day yield of the fund at period end.

d 

All or a portion of this security represents an investment of securities lending collateral. See Note 5.

See notes to financial statements.

 

 

20    2012 iSHARES ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Statements of Assets and Liabilities

iSHARES® TRUST

February 29, 2012

 

      iShares Barclays
Short Treasury
Bond Fund
    iShares Barclays
1-3 Year Treasury
Bond Fund
    iShares Barclays
3-7 Year Treasury
Bond Fund
 

ASSETS

      

Investments, at cost:

      

Unaffiliated

   $ 2,428,053,523      $ 10,577,523,374      $ 2,201,188,882   

Affiliated (Note 2)

     208,050,301        11,455,756        668,510,901   
  

 

 

   

 

 

   

 

 

 

Total cost of investments

   $ 2,636,103,824      $ 10,588,979,130      $ 2,869,699,783   
  

 

 

   

 

 

   

 

 

 

Investments in securities, at fair value (including securities on loana) (Note 1):

      

Unaffiliated

   $ 2,427,675,358      $ 10,613,946,828      $ 2,241,410,542   

Affiliated (Note 2)

     208,050,301        11,455,756        668,510,901   
  

 

 

   

 

 

   

 

 

 

Total fair value of investments

     2,635,725,659        10,625,402,584        2,909,921,443   

Cash

                   856,164   

Receivables:

      

Investment securities sold

                   8,673,516   

Interest

     4,671,408        34,453,111        11,607,366   
  

 

 

   

 

 

   

 

 

 

Total Assets

     2,640,397,067        10,659,855,695        2,931,058,489   
  

 

 

   

 

 

   

 

 

 

LIABILITIES

      

Payables:

      

Investment securities purchased

     202,363,994               8,481,426   

Collateral for securities on loan (Note 5)

                   666,540,273   

Capital shares redeemed

     2,802,839        6,847,802          

Investment advisory fees (Note 2)

     179,346        1,280,580        271,710   
  

 

 

   

 

 

   

 

 

 

Total Liabilities

     205,346,179        8,128,382        675,293,409   
  

 

 

   

 

 

   

 

 

 

NET ASSETS

   $ 2,435,050,888      $ 10,651,727,313      $ 2,255,765,080   
  

 

 

   

 

 

   

 

 

 

Net assets consist of:

      

Paid-in capital

   $ 2,435,958,301      $ 10,611,833,153      $ 2,215,113,418   

Undistributed (distributions in excess of) net investment income

     (325,079     4,071,690        2,147,443   

Accumulated net realized loss

     (204,169     (600,984     (1,717,441

Net unrealized appreciation (depreciation)

     (378,165     36,423,454        40,221,660   
  

 

 

   

 

 

   

 

 

 

NET ASSETS

   $ 2,435,050,888      $ 10,651,727,313      $ 2,255,765,080   
  

 

 

   

 

 

   

 

 

 

Shares outstandingb

     22,100,000        126,200,000        18,500,000   
  

 

 

   

 

 

   

 

 

 

Net asset value per share

   $ 110.18      $ 84.40      $ 121.93   
  

 

 

   

 

 

   

 

 

 

 

a 

Securities on loan with values of $  –, $  – and $648,562,052, respectively. See Note 5.

b 

No par value, unlimited number of shares authorized.

See notes to financial statements.

 

FINANCIAL STATEMENTS

     21   


Table of Contents

Statements of Assets and Liabilities (Continued)

iSHARES® TRUST

February 29, 2012

 

      iShares Barclays
7-10 Year Treasury
Bond Fund
    iShares Barclays
10-20 Year Treasury
Bond Fund
    iShares Barclays
20+ Year Treasury
Bond Fund
 

ASSETS

      

Investments, at cost:

      

Unaffiliated

   $ 4,444,720,539      $ 493,858,166      $ 3,049,154,752   

Affiliated (Note 2)

     1,436,926,236        205,264,365        1,094,012,199   
  

 

 

   

 

 

   

 

 

 

Total cost of investments

   $ 5,881,646,775      $ 699,122,531      $ 4,143,166,951   
  

 

 

   

 

 

   

 

 

 

Investments in securities, at fair value (including securities on loana)(Note 1):

      

Unaffiliated

   $ 4,609,976,639      $ 509,264,751      $ 3,015,673,135   

Affiliated (Note 2)

     1,436,926,236        205,264,365        1,094,012,199   
  

 

 

   

 

 

   

 

 

 

Total fair value of investments

     6,046,902,875        714,529,116        4,109,685,334   

Receivables:

      

Interest

     19,110,582        2,706,652        17,404,062   

Capital shares sold

     189,935,527                 
  

 

 

   

 

 

   

 

 

 

Total Assets

     6,255,948,984        717,235,768        4,127,089,396   
  

 

 

   

 

 

   

 

 

 

LIABILITIES

      

Payables:

      

Investment securities purchased

     226,720,262        6,209,311        20,180,180   

Collateral for securities on loan (Note 5)

     1,387,675,336        197,840,872        1,064,620,448   

Capital shares redeemed

     3,567,930               3,640,118   

Investment advisory fees (Note 2)

     573,700        59,370        383,176   
  

 

 

   

 

 

   

 

 

 

Total Liabilities

     1,618,537,228        204,109,553        1,088,823,922   
  

 

 

   

 

 

   

 

 

 

NET ASSETS

   $ 4,637,411,756      $ 513,126,215      $ 3,038,265,474   
  

 

 

   

 

 

   

 

 

 

Net assets consist of:

      

Paid-in capital

   $ 4,478,421,264      $ 497,373,256      $ 3,088,397,981   

Undistributed net investment income

     7,246,586        1,051,071        6,914,948   

Accumulated net realized loss

     (13,512,194     (704,697     (23,565,838

Net unrealized appreciation (depreciation)

     165,256,100        15,406,585        (33,481,617
  

 

 

   

 

 

   

 

 

 

NET ASSETS

   $ 4,637,411,756      $ 513,126,215      $ 3,038,265,474   
  

 

 

   

 

 

   

 

 

 

Shares outstandingb

     44,100,000        3,900,000        25,800,000   
  

 

 

   

 

 

   

 

 

 

Net asset value per share

   $ 105.16      $ 131.57      $ 117.76   
  

 

 

   

 

 

   

 

 

 

 

a 

Securities on loan with values of $1,348,844,346, $191,834,496 and $1,030,739,630, respectively. See Note 5.

b 

No par value, unlimited number of shares authorized.

See notes to financial statements.

 

22    2012 iSHARES ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Statements of Operations

iSHARES® TRUST

Year ended February 29, 2012

 

     

iShares Barclays
Short Treasury

Bond Fund

    iShares Barclays
1-3 Year Treasury
Bond Fund
    iShares Barclays
3-7 Year Treasury
Bond Fund
 

NET INVESTMENT INCOME

      

Interest — unaffiliated

   $ 7,116,973      $ 79,558,597      $ 33,038,888   

Interest — affiliated (Note 2)

     13,583        12,719        1,352   

Securities lending income — affiliated (Note 2)

            26,694        960,094   
  

 

 

   

 

 

   

 

 

 

Total investment income

     7,130,556        79,598,010        34,000,334   
  

 

 

   

 

 

   

 

 

 

EXPENSES

      

Investment advisory fees (Note 2)

     5,587,283        13,763,270        2,958,869   
  

 

 

   

 

 

   

 

 

 

Total expenses

     5,587,283        13,763,270        2,958,869   

Less investment advisory fees waived (Note 2)

     (434,646              
  

 

 

   

 

 

   

 

 

 

Net expenses

     5,152,637        13,763,270        2,958,869   
  

 

 

   

 

 

   

 

 

 

Net investment income

     1,977,919        65,834,740        31,041,465   
  

 

 

   

 

 

   

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS)

      

Net realized gain (loss) from:

      

Investments — unaffiliated

     (71,198     1,602,035        7,439,014   

In-kind redemptions — unaffiliated

     1,283,868        58,818,359        62,119,780   
  

 

 

   

 

 

   

 

 

 

Net realized gain

     1,212,670        60,420,394        69,558,794   
  

 

 

   

 

 

   

 

 

 

Net change in unrealized appreciation/depreciation

     (1,023,056     (18,190,040     33,899,586   
  

 

 

   

 

 

   

 

 

 

Net realized and unrealized gain

     189,614        42,230,354        103,458,380   
  

 

 

   

 

 

   

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

     $  2,167,533      $ 108,065,094      $ 134,499,845   
  

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

FINANCIAL STATEMENTS

     23   


Table of Contents

Statements of Operations (Continued)

iSHARES® TRUST

Year ended February 29, 2012

 

      iShares Barclays
7-10 Year Treasury
Bond Fund
     iShares Barclays
10-20 Year Treasury
Bond Fund
     iShares Barclays
20+ Year Treasury
Bond Fund
 

NET INVESTMENT INCOME

        

Interest — unaffiliated

   $ 100,335,811       $ 10,003,559       $ 110,471,485   

Interest — affiliated (Note 2)

     4,725         429         2,735   

Securities lending income — affiliated (Note 2)

     1,966,904         160,065         1,529,064   
  

 

 

    

 

 

    

 

 

 

Total investment income

     102,307,440         10,164,053         112,003,284   
  

 

 

    

 

 

    

 

 

 

EXPENSES

        

Investment advisory fees (Note 2)

     5,693,271         504,023         4,600,801   
  

 

 

    

 

 

    

 

 

 

Total expenses

     5,693,271         504,023         4,600,801   
  

 

 

    

 

 

    

 

 

 

Net investment income

     96,614,169         9,660,030         107,402,483   
  

 

 

    

 

 

    

 

 

 

NET REALIZED AND UNREALIZED GAIN (LOSS)

        

Net realized gain (loss) from:

        

Investments — unaffiliated

     32,391,872         1,411,683         (54,553,994

In-kind redemptions — unaffiliated

     204,091,174         14,598,044         521,968,885   
  

 

 

    

 

 

    

 

 

 

Net realized gain

     236,483,046         16,009,727         467,414,891   
  

 

 

    

 

 

    

 

 

 

Net change in unrealized appreciation/depreciation

     160,404,027         23,832,974         234,511,252   
  

 

 

    

 

 

    

 

 

 

Net realized and unrealized gain

     396,887,073         39,842,701         701,926,143   
  

 

 

    

 

 

    

 

 

 

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

   $ 493,501,242       $ 49,502,731       $ 809,328,626   
  

 

 

    

 

 

    

 

 

 

See notes to financial statements.

 

24    2012 iSHARES ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Statements of Changes in Net Assets

iSHARES® TRUST

 

     iShares Barclays
Short Treasury
Bond Fund
    iShares Barclays
1-3 Year Treasury
Bond Fund
 
     

Year ended

February 29, 2012

   

Year ended

February 28, 2011

   

Year ended

February 29, 2012

   

Year ended

February 28, 2011

 

INCREASE (DECREASE) IN NET ASSETS

        

OPERATIONS:

        

Net investment income

   $ 1,977,919      $ 3,400,189      $ 65,834,740      $ 83,723,334   

Net realized gain

     1,212,670        677,510        60,420,394        45,113,927   

Net change in unrealized appreciation/depreciation

     (1,023,056 )      382,705        (18,190,040     (14,377,356
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase in net assets resulting from operations

     2,167,533        4,460,404        108,065,094        114,459,905   
  

 

 

   

 

 

   

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

        

From net investment income

     (2,644,620 )      (3,260,208 )      (67,602,412     (84,447,671
  

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions to shareholders

     (2,644,620     (3,260,208     (67,602,412     (84,447,671
  

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS:

        

Proceeds from shares sold

     2,237,729,542        3,658,499,115        9,180,805,919        3,749,153,397   

Cost of shares redeemed

     (3,946,181,303 )      (1,443,859,577 )      (6,517,725,648     (4,179,465,677
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from capital share transactions

     (1,708,451,761     2,214,639,538        2,663,080,271        (430,312,280
  

 

 

   

 

 

   

 

 

   

 

 

 

INCREASE (DECREASE) IN NET ASSETS

     (1,708,928,848     2,215,839,734        2,703,542,953        (400,300,046

NET ASSETS

        

Beginning of year

     4,143,979,736        1,928,140,002        7,948,184,360        8,348,484,406   
  

 

 

   

 

 

   

 

 

   

 

 

 

End of year

   $ 2,435,050,888      $ 4,143,979,736      $ 10,651,727,313      $ 7,948,184,360   
  

 

 

   

 

 

   

 

 

   

 

 

 

Undistributed (distributions in excess of) net investment income included in net assets at end of year

   $ (325,079 )    $ 341,622      $ 4,071,690      $ 5,828,200   
  

 

 

   

 

 

   

 

 

   

 

 

 

SHARES ISSUED AND REDEEMED

        

Shares sold

     20,300,000        33,200,000        108,700,000        44,700,000   

Shares redeemed

     (35,800,000 )      (13,100,000 )      (77,200,000     (49,800,000
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in shares outstanding

     (15,500,000     20,100,000        31,500,000        (5,100,000
  

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

FINANCIAL STATEMENTS

     25   


Table of Contents

Statements of Changes in Net Assets (Continued)

iSHARES® TRUST

 

     iShares Barclays
3-7 Year Treasury
Bond Fund
    iShares Barclays
7-10 Year Treasury
Bond Fund
 
     

Year ended

February 29, 2012

   

Year ended

February 28, 2011

   

Year ended

February 29, 2012

   

Year ended

February 28, 2011

 

INCREASE (DECREASE) IN NET ASSETS

        

OPERATIONS:

        

Net investment income

   $ 31,041,465      $ 26,467,560      $ 96,614,169      $ 97,602,993   

Net realized gain

     69,558,794        26,711,851        236,483,046        133,452,181   

Net change in unrealized appreciation/depreciation

     33,899,586        (7,611,012 )      160,404,027        (38,680,165
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase in net assets resulting from operations

     134,499,845        45,568,399        493,501,242        192,375,009   
  

 

 

   

 

 

   

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

        

From net investment income

     (30,853,523 )      (26,169,320 )      (96,301,838 )      (98,684,886
  

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions to shareholders

     (30,853,523     (26,169,320     (96,301,838     (98,684,886
  

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS:

        

Proceeds from shares sold

     1,984,775,067        1,169,551,422        4,255,888,169        2,453,350,981   

Cost of shares redeemed

     (1,105,231,689 )      (826,467,616 )      (2,789,999,924 )      (2,490,019,648
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from capital share transactions

     879,543,378        343,083,806        1,465,888,245        (36,668,667
  

 

 

   

 

 

   

 

 

   

 

 

 

INCREASE IN NET ASSETS

     983,189,700        362,482,885        1,863,087,649        57,021,456   

NET ASSETS

        

Beginning of year

     1,272,575,380        910,092,495        2,774,324,107        2,717,302,651   
  

 

 

   

 

 

   

 

 

   

 

 

 

End of year

   $ 2,255,765,080      $ 1,272,575,380      $ 4,637,411,756      $ 2,774,324,107   
  

 

 

   

 

 

   

 

 

   

 

 

 

Undistributed net investment income included in net assets at end of year

   $ 2,147,443      $ 1,959,576      $ 7,246,586      $ 6,865,959   
  

 

 

   

 

 

   

 

 

   

 

 

 

SHARES ISSUED AND REDEEMED

        

Shares sold

     16,500,000        10,100,000        42,000,000        25,800,000   

Shares redeemed

     (9,100,000 )      (7,100,000 )      (27,600,000 )      (26,000,000
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in shares outstanding

     7,400,000        3,000,000        14,400,000        (200,000
  

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

26    2012 iSHARES ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Statements of Changes in Net Assets (Continued)

iSHARES® TRUST

 

     iShares Barclays
10-20 Year Treasury
Bond Fund
    iShares Barclays
20+ Year Treasury
Bond Fund
 
     

Year ended

February 29, 2012

   

Year ended

February 28, 2011

   

Year ended

February 29, 2012

   

Year ended

February 28, 2011

 

INCREASE (DECREASE) IN NET ASSETS

        

OPERATIONS:

        

Net investment income

   $ 9,660,030      $ 10,510,685      $ 107,402,483      $ 114,070,897   

Net realized gain

     16,009,727        7,019,142        467,414,891        177,659,369   

Net change in unrealized appreciation/depreciation

     23,832,974        (7,200,392 )      234,511,252        (114,750,981
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase in net assets resulting from operations

     49,502,731        10,329,435        809,328,626        176,979,285   
  

 

 

   

 

 

   

 

 

   

 

 

 

DISTRIBUTIONS TO SHAREHOLDERS:

        

From net investment income

     (9,176,180 )      (10,656,511 )      (109,140,945 )      (113,290,377
  

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions to shareholders

     (9,176,180     (10,656,511     (109,140,945     (113,290,377
  

 

 

   

 

 

   

 

 

   

 

 

 

CAPITAL SHARE TRANSACTIONS:

        

Proceeds from shares sold

     434,022,673        225,638,722        10,598,540,638        9,330,930,541   

Cost of shares redeemed

     (152,117,288 )      (297,267,329 )      (10,941,462,077     (9,097,497,642
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in net assets from capital share transactions

     281,905,385        (71,628,607     (342,921,439     233,432,899   
  

 

 

   

 

 

   

 

 

   

 

 

 

INCREASE (DECREASE) IN NET ASSETS

     322,231,936        (71,955,683     357,266,242        297,121,807   

NET ASSETS

        

Beginning of year

     190,894,279        262,849,962        2,680,999,232        2,383,877,425   
  

 

 

   

 

 

   

 

 

   

 

 

 

End of year

   $ 513,126,215      $ 190,894,279      $ 3,038,265,474      $ 2,680,999,232   
  

 

 

   

 

 

   

 

 

   

 

 

 

Undistributed net investment income included in net assets at end of year

   $ 1,051,071      $ 567,413      $ 6,914,948      $ 8,652,272   
  

 

 

   

 

 

   

 

 

   

 

 

 

SHARES ISSUED AND REDEEMED

        

Shares sold

     3,400,000        1,900,000        100,800,000        95,900,000   

Shares redeemed

     (1,200,000 )      (2,600,000 )      (104,000,000 )      (92,800,000
  

 

 

   

 

 

   

 

 

   

 

 

 

Net increase (decrease) in shares outstanding

     2,200,000        (700,000     (3,200,000     3,100,000   
  

 

 

   

 

 

   

 

 

   

 

 

 

See notes to financial statements.

 

FINANCIAL STATEMENTS

     27   


Table of Contents

Financial Highlights

iSHARES® TRUST

(For a share outstanding throughout each period)

 

     iShares Barclays Short Treasury Bond Fund  
     

Year ended

Feb. 29, 2012

   

Year ended

Feb. 28, 2011

   

Year ended

Feb. 28, 2010

   

Year ended

Feb. 28, 2009

   

Year ended

Feb. 29, 2008

 

Net asset value, beginning of year

   $ 110.21      $ 110.18      $ 110.20      $ 110.25      $ 109.03   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from investment operations:

          

Net investment incomea

     0.06        0.10        0.28        1.82        4.67   

Net realized and unrealized gain (loss)b

     (0.02     0.02        0.05        0.16        0.96   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment operations

     0.04        0.12        0.33        1.98        5.63   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less distributions from:

          

Net investment income

     (0.07     (0.09     (0.35     (2.02     (4.39

Net realized gain

                   (0.00 )c      (0.01     (0.02
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

     (0.07     (0.09     (0.35     (2.03     (4.41
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

   $ 110.18      $ 110.21      $ 110.18      $ 110.20      $ 110.25   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

     0.04     0.16     0.27     1.81     5.29
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios/Supplemental data:

          

Net assets, end of year (000s)

   $ 2,435,051      $ 4,143,980      $ 1,928,140      $ 1,542,806      $ 749,727   

Ratio of expenses to average net assets

     0.14     0.15     0.15     0.15     0.15

Ratio of expenses to average net assets prior to waived fees

     0.15     n/a        n/a        n/a        n/a   

Ratio of net investment income to average net assets

     0.05     0.09     0.25     1.65     4.26

Portfolio turnover rated

     316     172     185     219     176

 

a 

Based on average shares outstanding throughout each period.

b 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

c 

Rounds to less than $0.01.

d 

Portfolio turnover rates exclude portfolio securities received or delivered as a result of processing capital share transactions in Creation Units.

See notes to financial statements.

 

28    2012 iSHARES ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Financial Highlights (Continued)

iSHARES® TRUST

(For a share outstanding throughout each period)

 

     iShares Barclays 1-3 Year Treasury Bond Fund  
     

Year ended

Feb. 29, 2012

   

Year ended

Feb. 28, 2011

   

Year ended

Feb. 28, 2010

   

Year ended

Feb. 28, 2009

   

Year ended

Feb. 29, 2008

 

Net asset value, beginning of year

   $ 83.93      $ 83.65      $ 83.99      $ 84.13      $ 80.38   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from investment operations:

          

Net investment incomea

     0.61        0.84        1.24        2.54        3.60   

Net realized and unrealized gainb

     0.51        0.29        0.36        0.12        3.58   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment operations

     1.12        1.13        1.60        2.66        7.18   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less distributions from:

          

Net investment income

     (0.65     (0.85     (1.34     (2.80     (3.43

Net realized gain

                   (0.60              
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

     (0.65     (0.85     (1.94     (2.80     (3.43
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

   $ 84.40      $ 83.93      $ 83.65      $ 83.99      $ 84.13   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

     1.34     1.35     1.94     3.22     9.20
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios/Supplemental data:

          

Net assets, end of year (000s)

   $ 10,651,727      $ 7,948,184      $ 8,348,484      $ 7,323,761      $ 9,901,733   

Ratio of expenses to average net assets

     0.15     0.15     0.15     0.15     0.15

Ratio of net investment income to average net assets

     0.72     1.00     1.48     3.05     4.43

Portfolio turnover ratec

     72     85     62     37     76

 

a 

Based on average shares outstanding throughout each period.

b 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

c 

Portfolio turnover rates exclude portfolio securities received or delivered as a result of processing capital share transactions in Creation Units.

See notes to financial statements.

 

FINANCIAL HIGHLIGHTS

     29   


Table of Contents

Financial Highlights (Continued)

iSHARES® TRUST

(For a share outstanding throughout each period)

 

     iShares Barclays 3-7 Year Treasury Bond Fund  
      Year ended
Feb. 29, 2012
   

Year ended

Feb. 28, 2011

   

Year ended

Feb. 28, 2010

    Year ended
Feb. 28, 2009
   

Year ended

Feb. 29, 2008

 

Net asset value, beginning of year

   $ 114.65      $ 112.36      $ 112.99      $ 109.90      $ 101.03   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from investment operations:

          

Net investment incomea

     1.89        2.41        2.60        3.29        4.21   

Net realized and unrealized gainb

     7.37        2.29        0.19        3.02        8.95   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment operations

     9.26        4.70        2.79        6.31        13.16   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less distributions from:

          

Net investment income

     (1.98     (2.41     (2.61     (3.22     (4.29

Net realized gain

                   (0.81              
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

     (1.98     (2.41     (3.42     (3.22     (4.29
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

   $ 121.93      $ 114.65      $ 112.36      $ 112.99      $ 109.90   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

     8.14     4.23     2.52     5.84     13.46
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios/Supplemental data:

          

Net assets, end of year (000s)

   $ 2,255,765      $ 1,272,575      $ 910,092      $ 847,401      $ 450,588   

Ratio of expenses to average net assets

     0.15     0.15     0.15     0.15     0.15

Ratio of net investment income to average net assets

     1.57     2.09     2.33     2.98     4.04

Portfolio turnover ratec

     38     89     89     55     41

 

a 

Based on average shares outstanding throughout each period.

b 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

c 

Portfolio turnover rates exclude portfolio securities received or delivered as a result of processing capital share transactions in Creation Units.

See notes to financial statements.

 

30    2012 iSHARES ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Financial Highlights (Continued)

iSHARES® TRUST

(For a share outstanding throughout each period)

 

     iShares Barclays 7-10 Year Treasury Bond Fund  
      Year ended
Feb. 29, 2012
   

Year ended

Feb. 28, 2011

   

Year ended

Feb. 28, 2010

    Year ended
Feb. 28, 2009
   

Year ended

Feb. 29, 2008

 

Net asset value, beginning of year

   $ 93.41      $ 90.88      $ 93.63      $ 90.66      $ 83.49   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from investment operations:

          

Net investment incomea

     2.57        2.90        3.09        3.57        3.82   

Net realized and unrealized gain (loss)b

     11.83        2.60        (2.30     3.04        7.06   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment operations

     14.40        5.50        0.79        6.61        10.88   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less distributions from:

          

Net investment income

     (2.65     (2.97     (3.03     (3.64     (3.71

Net realized gain

                   (0.51              
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

     (2.65     (2.97     (3.54     (3.64     (3.71
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

   $ 105.16      $ 93.41      $ 90.88      $ 93.63      $ 90.66   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

     15.62     6.12     0.87     7.46     13.51
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios/Supplemental data:

          

Net assets, end of year (000s)

   $ 4,637,412      $ 2,774,324      $ 2,717,303      $ 2,612,147      $ 2,728,892   

Ratio of expenses to average net assets

     0.15     0.15     0.15     0.15     0.15

Ratio of net investment income to average net assets

     2.55     3.06     3.37     3.93     4.53

Portfolio turnover ratec

     65     108     157     38     40

 

a 

Based on average shares outstanding throughout each period.

b 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

c 

Portfolio turnover rates exclude portfolio securities received or delivered as a result of processing capital share transactions in Creation Units.

See notes to financial statements.

 

FINANCIAL HIGHLIGHTS

     31   


Table of Contents

Financial Highlights (Continued)

iSHARES® TRUST

(For a share outstanding throughout each period)

 

     iShares Barclays 10-20 Year Treasury Bond Fund  
      Year ended
Feb. 29, 2012
   

Year ended

Feb. 28, 2011

   

Year ended

Feb. 28, 2010

    Year ended
Feb. 28, 2009
   

Year ended

Feb. 29, 2008

 

Net asset value, beginning of year

   $ 112.29      $ 109.52      $ 111.68      $ 108.18      $ 101.92   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from investment operations:

          

Net investment incomea

     3.61        4.08        4.21        4.56        4.68   

Net realized and unrealized gain (loss)b

     19.32        2.74        (2.25     3.33        6.29   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment operations

     22.93        6.82        1.96        7.89        10.97   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less distributions from:

          

Net investment income

     (3.65     (4.05     (4.12     (4.39     (4.71
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

     (3.65     (4.05     (4.12     (4.39     (4.71
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

   $ 131.57      $ 112.29      $ 109.52      $ 111.68      $ 108.18   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

     20.73     6.27     1.76     7.48     11.19
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios/Supplemental data:

          

Net assets, end of year (000s)

   $ 513,126      $ 190,894      $ 262,850      $ 167,526      $ 119,003   

Ratio of expenses to average net assets

     0.15     0.15     0.15     0.15     0.15

Ratio of net investment income to average net assets

     2.87     3.54     3.83     4.17     4.53

Portfolio turnover ratec

     18     56     55     22     22

 

a 

Based on average shares outstanding throughout each period.

b 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

c 

Portfolio turnover rates exclude portfolio securities received or delivered as a result of processing capital share transactions in Creation Units.

See Notes to financial statements.

 

32    2012 iSHARES ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Financial Highlights (Continued)

iSHARES® TRUST

(For a share outstanding throughout each period)

 

     iShares Barclays 20+ Year Treasury Bond Fund  
      Year ended
Feb. 29, 2012
   

Year ended

Feb. 28, 2011

   

Year ended

Feb. 28, 2010

    Year ended
Feb. 28, 2009
   

Year ended

Feb. 29, 2008

 

Net asset value, beginning of year

   $ 92.45      $ 92.04      $ 101.55      $ 94.33      $ 90.22   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Income from investment operations:

          

Net investment incomea

     3.71        3.80        3.69        4.08        4.17   

Net realized and unrealized gain (loss)b

     25.57        0.53        (9.52     7.27        4.10   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total from investment operations

     29.28        4.33        (5.83     11.35        8.27   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less distributions from:

          

Net investment income

     (3.97     (3.92     (3.68     (4.13     (4.16
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total distributions

     (3.97     (3.92     (3.68     (4.13     (4.16
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value, end of year

   $ 117.76      $ 92.45      $ 92.04      $ 101.55      $ 94.33   
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total return

     32.32     4.64     (5.85 )%      12.30     9.54
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Ratios/Supplemental data:

          

Net assets, end of year (000s)

   $ 3,038,265      $ 2,680,999      $ 2,383,877      $ 1,584,150      $ 1,707,364   

Ratio of expenses to average net assets

     0.15     0.15     0.15     0.15     0.15

Ratio of net investment income to average net assets

     3.50     3.93     3.90     4.18     4.69

Portfolio turnover ratec

     26     48     65     41     26

 

a

Based on average shares outstanding throughout each period.

b 

The amounts reported for a share outstanding may not accord with the change in aggregate gains and losses in securities for the fiscal period due to the timing of capital share transactions in relation to the fluctuating market values of the Fund’s underlying securities.

c 

Portfolio turnover rates exclude portfolio securities received or delivered as a result of processing capital share transactions in Creation Units.

See Notes to financial statements.

 

FINANCIAL HIGHLIGHTS

     33   


Table of Contents

Notes to Financial Statements

iSHARES® TRUST

 

iShares Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Delaware statutory trust pursuant to an Agreement and Declaration of Trust dated December 16, 1999.

These financial statements relate only to the following funds (each, a “Fund,” and collectively, the “Funds”):

 

iShares Bond Fund   

Diversification

Classification

Barclays Short Treasury

   Non-diversified

Barclays 1-3 Year Treasury

   Diversified

Barclays 3-7 Year Treasury

   Non-diversified

Barclays 7-10 Year Treasury

   Diversified

Barclays 10-20 Year Treasury

   Non-diversified

Barclays 20+ Year Treasury

   Diversified

Non-diversified funds generally hold securities of fewer issuers than diversified funds and may be more susceptible to the risks associated with these particular issuers, or to a single economic, political or regulatory occurrence affecting these issuers.

The investment objective of each Fund is to seek investment results that correspond generally to the price and yield performance, before fees and expenses, of its underlying index. The investment adviser uses a “passive” or index approach to try to achieve each Fund’s investment objective.

Pursuant to the Trust’s organizational documents, the Funds’ officers and trustees are indemnified against certain liabilities that may arise out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts with service providers that contain general indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred.

 

1. SIGNIFICANT ACCOUNTING POLICIES

The following significant accounting policies are consistently followed by the Funds in the preparation of their financial statements in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

SECURITY VALUATION

U.S. GAAP defines fair value as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The securities and other assets of each Fund are valued at fair value pursuant to the policies and procedures approved by the Board of Trustees of the Trust (the “Board”).

 

   

Fixed income investments are valued at the last available bid price received from independent pricing services. In determining the value of a fixed income investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments and calculated yield measures.

 

34    2012 iSHARES ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Notes to Financial Statements (Continued)

iSHARES® TRUST

 

   

Open-end U.S. mutual funds are valued at that day’s published net asset value (NAV).

In the event that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the fair value of such investment or if a price is not available, the investment will be valued based upon other available factors in accordance with policies approved by the Board. Such valuations are reported to the Board.

Fair value pricing could result in a difference between the prices used to calculate a Fund’s net asset value and the prices used by the Fund’s underlying index, which in turn could result in a difference between the Fund’s performance and the performance of the Fund’s underlying index.

Various inputs are used in determining the fair value of investments. Inputs may be based on independent market data (“observable inputs”) or they may be internally developed (“unobservable inputs”). These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes. The level of a value determined for an investment within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement in its entirety. The three levels of the fair value hierarchy are as follows:

 

   

Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities;

 

   

Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability, and inputs that are derived principally from or corroborated by observable market data by correlation or other means; and

 

   

Level 3 — Unobservable inputs for the asset or liability, including the Funds’ assumptions used in determining the fair value of investments.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Funds’ perceived risk of that instrument.

The following table summarizes the value of each of the Funds’ investments according to the fair value hierarchy as of February 29, 2012. The breakdown of each Fund’s investments into major categories is disclosed in its respective Schedule of Investments.

 

iShares Bond Fund and
Investment Type

 

   Investments  
   Level 1      Level 2      Level 3      Total  

Barclays Short Treasury

           

Assets:

           

U.S. Government Obligations

   $       $ 2,427,675,358       $       $ 2,427,675,358   

Short-Term Investments

     208,050,301                         208,050,301   
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 208,050,301       $ 2,427,675,358       $       $ 2,635,725,659   
  

 

 

    

 

 

    

 

 

    

 

 

 
                                     

 

NOTES TO FINANCIAL STATEMENTS

     35   


Table of Contents

Notes to Financial Statements (Continued)

iSHARES® TRUST

 

iShares Bond Fund and
Investment Type

 

   Investments  
   Level 1      Level 2      Level 3      Total  

Barclays 1-3 Year Treasury

           

Assets:

           

U.S. Government Obligations

   $       $ 10,613,946,828       $       $ 10,613,946,828   

Short-Term Investments

     11,455,756                         11,455,756   
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 11,455,756       $ 10,613,946,828       $       $ 10,625,402,584   
  

 

 

    

 

 

    

 

 

    

 

 

 

Barclays 3-7 Year Treasury

           

Assets:

           

U.S. Government Obligations

   $       $ 2,241,410,542       $       $ 2,241,410,542   

Short-Term Investments

     668,510,901                         668,510,901   
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 668,510,901       $ 2,241,410,542       $       $ 2,909,921,443   
  

 

 

    

 

 

    

 

 

    

 

 

 

Barclays 7-10 Year Treasury

  

Assets:

           

U.S. Government Obligations

   $       $ 4,609,976,639       $       $ 4,609,976,639   

Short-Term Investments

     1,436,926,236                         1,436,926,236   
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 1,436,926,236       $ 4,609,976,639       $       $ 6,046,902,875   
  

 

 

    

 

 

    

 

 

    

 

 

 

Barclays 10-20 Year Treasury

  

Assets:

           

U.S. Government Obligations

   $       $ 509,264,751       $       $ 509,264,751   

Short-Term Investments

     205,264,365                         205,264,365   
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 205,264,365       $ 509,264,751       $       $ 714,529,116   
  

 

 

    

 

 

    

 

 

    

 

 

 

Barclays 20+ Year Treasury

           

Assets:

           

U.S. Government Obligations

   $       $ 3,015,673,135       $       $ 3,015,673,135   

Short-Term Investments

     1,094,012,199                         1,094,012,199   
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 1,094,012,199       $ 3,015,673,135       $       $ 4,109,685,334   
  

 

 

    

 

 

    

 

 

    

 

 

 
                                     

SECURITY TRANSACTIONS AND INCOME RECOGNITION

Security transactions are accounted for on trade date. Realized gains and losses on investment transactions are determined using the specific identification method. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized daily on the accrual basis.

DISTRIBUTIONS TO SHAREHOLDERS

Dividends and distributions paid by each Fund are recorded on the ex-dividend dates. Distributions are determined on a tax basis and may differ from net investment income and net realized capital gains for financial reporting purposes. Dividends and distributions are paid in U.S. dollars and cannot be automatically reinvested in additional shares of the Funds.

 

36    2012 iSHARES ANNUAL REPORT TO SHAREHOLDERS


Table of Contents

Notes to Financial Statements (Continued)

iSHARES® TRUST

 

FEDERAL INCOME TAXES

Each Fund is treated as an entity separate from the Trust’s other funds for federal income tax purposes. It is the policy of each Fund to qualify as a regulated investment company by complying with the provisions applicable to regulated investment companies, as defined under Subchapter M of the Internal Revenue Code of 1986, as amended, and to annually distribute substantially all of its ordinary income and any net capital gains (taking into account any capital loss carryforwards) sufficient to relieve it from all, or substantially all, federal income and excise taxes. Accordingly, no provision for federal income taxes is required.

RECENT ACCOUNTING STANDARD

In May 2011, the Financial Accounting Standards Board issued amended guidance to improve disclosure about fair value measurements which will require the following disclosures for fair value measurements categorized as Level 3: quantitative information about the unobservable inputs and assumptions used in the fair value measurement, a description of the valuation policies and procedures and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. In addition, the amounts and reasons for all transfers in and out of Level 1 and Level 2 will be required to be disclosed. The amended guidance is effective for financial statements for fiscal years beginning after December 15, 2011, and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Funds’ financial statements and disclosures.

 

2. INVESTMENT ADVISORY AGREEMENT AND OTHER TRANSACTIONS WITH AFFILIATES

Pursuant to an Investment Advisory Agreement with the Trust, BlackRock Fund Advisors (“BFA”) manages the investment of each Fund’s assets. BFA is a California corporation indirectly owned by BlackRock, Inc. (“BlackRock”). Under the Investment Advisory Agreement, BFA is responsible for substantially all expenses of the Funds, except interest, taxes, brokerage commissions and other expenses connected with the execution of portfolio transactions, distribution fees, litigation expenses and any extraordinary expenses.

For its investment advisory services to each Fund, BFA is entitled to an annual investment advisory fee of 0.15% based on the average daily net assets of each Fund.

BFA has voluntarily waived a portion of its investment advisory fees for the iShares Barclays Short Treasury Bond Fund in the amount of $434,646.

The U.S. Securities and Exchange Commission has issued an exemptive order which permits BlackRock Institutional Trust Company, N.A. (“BTC”) to serve as securities lending agent for the Funds, subject to applicable conditions. BTC is an affiliate of BFA. Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, and any fees or other payments to and from borrowers of securities. Each Fund retains 65% of securities lending income and pays a fee to BTC equal to 35% of such income. As securities lending agent, BTC is responsible for all transaction fees and all other operational costs relating to securities lending activities, other than extraordinary expenses. BTC is also responsible for fees and expenses incurred by each Fund as a result of the investment of cash collateral received for securities on loan in a money market fund managed by BFA or an affiliate.

 

NOTES TO FINANCIAL STATEMENTS

     37   


Table of Contents

Notes to Financial Statements (Continued)

iSHARES® TRUST

 

For the year ended February 29, 2012, BTC earned securities lending agent fees from certain Funds as follows:

 

iShares Bond Fund    Securities Lending
Agent Fees
 

Barclays 1-3 Year Treasury

   $ 14,374   

Barclays 3-7 Year Treasury

     516,974   

Barclays 7-10 Year Treasury

     1,059,102   

Barclays 10-20 Year Treasury

     86,189   

Barclays 20+ Year Treasury

     823,342