iShares Floating Rate Bond
ALTAR
Score™
0.7% info Median Credit
S&P/Moody's
A/A1
 
Yield to
Maturity
1.0% Current
Yield
1.2%
Macaulay
Duration
2.0 yrs Modified
Duration
2.0%


  • Description
  • Performance
  • Fundamentals
  • Rate Sensitivity
  • Rating
iShares Floating Rate Bond ETF is an exchange-traded fund incorporated in the USA. The ETF seeks to track the performance of the Barclays Capital US Floating Rate Note < 5 Years Index.

FUND BASICS
Category Corporate
Fund Sponsor BlackRock Fund Advisors
Website www.ishares.com
Inception date Jun 17, 2011
Assets (mns) $5,768
Currency USD
Expense ratio 20 bp
Distributions Monthly

FUND STRUCTURE
Regulation Open-End Investment Company
Custodian State Street Bank & Trust Co
Weighting Market Cap
Index replication Full

ISSUER TYPE BREAKDOWN

CONSTITUENT BREAKDOWN
No. of constituents 450
No of distinct issuers 176
Inflation protected 0%
Variable/Fixed coupon 98% /2%
Non-standard maturity (callable, etc.) 13%

TOP TEN HOLDINGS
GOLDMAN SACHS GROUP I 1.3% 11/15/18 0.9 %
NEDERLANDSE WATERSCHA 0.5% 2/14/18 0.8 %
MORGAN STANLEY 1.8% 2/14/20 0.8 %
CREDIT SUISSE (NEW YO 0.0% 1/29/18 0.7 %
JPMORGAN CHASE & CO 1.1% 1/25/18 0.7 %
MORGAN STANLEY 2.3% 1/20/22 0.7 %
APPLE INC 0.5% 5/03/18 0.7 %
CITIGROUP INC 1.0% 4/27/18 0.7 %
INTERNATIONAL FINANCE 1.3% 12/15/21 0.7 %
WELLS FARGO BANK, N.A 1.4% 1/22/18 0.7 %
   
TOTAL 7.3 %

TOP ISSUERS
MORGAN STANLEY3.3%
CITIGROUP INC.2.8%
INTER-AMERICAN DEVELOPMENT BANK2.4%
WELLS FARGO & COMPANY2.4%
GOLDMAN SACHS GROUP, INC.2.3%

TOP COUNTRY EXPOSURE
UNITED STATES 60.0 %
CANADA 5.3 %
JAPAN 4.6 %
AUSTRALIA 3.9 %
NETHERLANDS 3.6 %

 





HISTORICAL RETURNS info

  Custom date range Compare to  
  thru


Standardized Annual Returns (thru May 31)
Year-to-date 1 year 5 years 10 years Since Incep.
0.7% 1.9% 1.1% -- 1.0%

Market Correlations
versus... Beta R-squared
Barclays Agg. Bond -0.02 1%
S&P500 0.02 12%
MSCI EAFE 0.02 28%
MSCI Emg. Mkts. 0.02 28%

Technical Indicators
Recent close $50.89
Tracking Error 0.00
Avg. Premium/Discount 0.00%
Annualized volatility n/a %
Relative strength (RSI) 57
Liquidity measures
Avg. volume (thou.) 1,003
Avg. daily value traded (mns) $51
Turnover 0.9%
Bid/Ask (% of price) 0.04

Distributions


Yield Comparison

*Fund Category: CORPORATE

CREDIT QUALITY: MOODY'S

DISTRIBUTION YIELD (TRAILING 12 MONTHS)
Macaulay Duration info
 
FLOT 2.0 yrs Category
Avg.*
4.4 yrs
 

Modified Duration info
 
FLOT 2.0% Category
Avg.*
4.3%

RATE SENSITIVITY ANALYSIS info
Change
in YTM
New
YTM
Est. Price
Change
Est. New
Price
+300 bp 3.98% -5.1% $48.30
+200 bp 2.98% -3.6% $49.06
+150 bp 2.48% -2.8% $49.48
+100 bp 1.98% -1.9% $49.92
+75 bp 1.73% -1.4% $50.15
+50 bp 1.48% -1.0% $50.39
+25 bp 1.23% -0.5% $50.64
0 bp 0.98% 0% $50.89
-25 bp 0.73% 0.5% $51.15
-50 bp 0.48% 1.0% $51.41
-75 bp 0.23% 1.6% $51.69
-100 bp -0.02% 2.1% $51.97
-150 bp -0.52% 3.2% $52.54
-200 bp -1.02% 4.4% $53.15
-300 bp -2.02% 7.0% $54.43

*Fund Category: CORPORATE

ALTAR Score™


Calculation of ALTAR Score™
Adj. Yield to Maturity info 98 bp
Less: Annual "default factor" info 7 bp
Less: Expense ratio 20 bp
Equals: ALTAR Score 0.71 %
 

Average ALTAR Score™ by Category
Aggregate 1.5%
Corporate 1.8%
Emerging Market 3.8%
Government 1.4%
Inflation Protected 1.6%
Mortgage 2.7%
Municipals 2.5%
 
*Note: The iShares Floating Rate Bond is classified as a Corporate fund.

 

Our estimate of the impact of potential defaults on investor returns, based on historical default and recovery rates for bonds of similar credit rating and maturities.
See RATING tab for calculations of ALTAR Score™
Estimate of fund sensitivity to interest rate changes based on modified duration and convexity adjustment applied to underlying bonds. Note: Less meaningful for inflation-indexed bonds.
Adds expected inflation to real YTM for inflation-linked bonds so that all instruments are compared on a nominal basis
Weighted-average term to maturity of the cash flows from a bond. All else being equal, bonds of longer duration are more sensitive to changes in interest rates than bonds of shorter duration.
Approximation of the change in bond prices given a 100 basis point shift in interest rates. A better estimate, particularly for larger moves in interest rates, is provided by the Rate Sensitivity Analysis below.