iShares iBonds Dec 2020 Term Corporate
ALTAR
Score™
1.9% info Median Credit
S&P/Moody's
A-/A3
 
Yield to
Maturity
2.1% Current
Yield
3.1%
Macaulay
Duration
0.9 yrs Modified
Duration
0.9%


  • Description
  • Performance
  • Fundamentals
  • Rate Sensitivity
  • Rating
The iShares iBonds Dec 2020 Term Corporate ETF tracks a Barclays global index of USD denominated, investment-grade corporate bonds maturing between Dec 31, 2019 and Jan 1, 2021.

FUND BASICS
Category Corporate
Fund Sponsor BlackRock
Website www.ishares.com
Inception date Dec 02, 2014
Assets (mns) $1,193
Currency USD
Expense ratio 10 bp
Distributions Monthly

FUND STRUCTURE
Regulation Open-Ended Fund
Custodian
Weighting Market Value
Index replication

ISSUER TYPE BREAKDOWN

CONSTITUENT BREAKDOWN
No. of constituents 506
No of distinct issuers 347
Inflation protected 0%
Variable/Fixed coupon 4% /96%
Non-standard maturity (callable, etc.) 47%

TOP TEN HOLDINGS
0.0% /00/00 2.0 %
GE CAPITAL INTERNATIO 2.3% 11/15/20 1.3 %
CVS HEALTH CORPORATIO 2.8% 7/20/20 0.7 %
ABBVIE INC. 2.5% 5/14/20 0.7 %
VISA INC. 2.2% 12/14/20 0.7 %
WELLS FARGO & COMPANY 2.6% 7/22/20 0.7 %
CITIGROUP INC. 2.7% 1/26/20 0.6 %
HEWLETT PACKARD ENTER 3.6% 1/15/20 0.6 %
ALLERGAN FUNDING SCS 3.0% 3/12/20 0.6 %
JPMORGAN CHASE & CO. 4.3% 1/15/20 0.6 %
   
TOTAL 8.5 %

TOP ISSUERS
JPMORGAN CHASE & CO2.1%
MORGAN STANLEY1.9%
WELLS FARGO & COMPANY1.6%
GOLDMAN SACHS GROUP INC1.3%
AMERICAN EXPRESS CREDIT CORPORATION1.3%

TOP COUNTRY EXPOSURE
UNITED STATES 79.3 %
BRITAIN 3.4 %
CANADA 3.3 %
AUSTRALIA 1.9 %
IRELAND 1.6 %

 





HISTORICAL RETURNS info

  Custom date range Compare to  
  thru


Standardized Annual Returns (thru July 31)
Year-to-date 1 year 5 years 10 years Since Incep.
2.8% 3.8% -- -- 2.1%

Market Correlations
versus... Beta R-squared
Barclays Agg. Bond 0.34 62%
S&P500 0.01 1%
MSCI EAFE 0.03 6%
MSCI Emg. Mkts. 0.03 10%

Technical Indicators
Recent close $25.34
30d moving avg. $25.32
Annualized volatility 1.3%
Short interest (ETF) 0.1%
Relative strength (RSI) 60
Liquidity measures
Avg. volume (thou.) 166
Avg. daily value traded (mns) $4
Turnover 0.3%
Bid/Ask (% of price) 0.05

Distributions


Yield Comparison

*Fund Category: CORPORATE

CREDIT QUALITY: MOODY'S

DISTRIBUTION YIELD (TRAILING 12 MONTHS)
Macaulay Duration info
 
IBDL 0.9 yrs Category
Avg.*
4.7 yrs
 

Modified Duration info
 
IBDL 0.9% Category
Avg.*
4.6%

RATE SENSITIVITY ANALYSIS info
Change
in YTM
New
YTM
Est. Price
Change
Est. New
Price
+300 bp 5.10% -0.6% $25.18
+200 bp 4.10% -0.9% $25.12
+150 bp 3.60% -0.8% $25.14
+100 bp 3.10% -0.6% $25.18
+75 bp 2.85% -0.5% $25.21
+50 bp 2.60% -0.4% $25.24
+25 bp 2.35% -0.2% $25.29
0 bp 2.10% 0% $25.34
-25 bp 1.85% 0.2% $25.40
-50 bp 1.60% 0.5% $25.46
-75 bp 1.35% 0.8% $25.54
-100 bp 1.10% 1.1% $25.61
-150 bp 0.60% 1.8% $25.79
-200 bp 0.10% 2.6% $26.00
-300 bp -0.90% 4.6% $26.49

*Fund Category: CORPORATE

ALTAR Score™


Calculation of ALTAR Score™
Adj. Yield to Maturity info 210 bp
Less: Annual "default factor" info 9 bp
Less: Expense ratio 10 bp
Equals: ALTAR Score 1.91 %
 

Average ALTAR Score™ by Category
Aggregate 1.7%
Corporate 2.3%
Emerging Market 3.6%
Government 1.6%
Inflation Protected 1.7%
Mortgage 2.8%
Municipals 2.2%
 
*Note: The iShares iBonds Dec 2020 Term Corporate 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.