|
iShares MBS ETF
ALTAR
Score™ |
5.3%  |
Median Credit
S&P/Moody's |
AA+/Aaa |
| |
Yield to
Maturity |
5.4% |
Current
Yield |
3.9% |
Macaulay
Duration |
8.8 yrs |
Modified
Duration |
8.8% |
|
- Description
- Performance
- Fundamentals
- Rate Sensitivity
- Rating
| iShares MBS ETF is an exchange-traded fund incorporated in the USA. The ETF seeks to track the investment results of an index composed of investment-grade mortgage-backed pass-through securities issued and/or guaranteed by U.S. government agencies. |
FUND BASICS
| Category |
Mortgage |
| Fund Sponsor |
BlackRock Fund Advisors |
| Website |
www.ishares.com |
| Inception date |
Mar 13, 2007 |
| Assets (mns) |
$36,073 |
| Currency |
USD |
| Expense ratio |
4 bp |
| Distributions |
Monthly |
FUND STRUCTURE
| Regulation |
Open-End Investment Company |
| Custodian |
State Street Bank & Trust Co |
| Weighting |
Market Cap |
| Index replication |
Full |
CONSTITUENT BREAKDOWN
| No. of constituents |
1032 |
| No of distinct issuers |
393 |
| Inflation protected |
0% |
| Variable/Fixed coupon |
9% /91% |
| Non-standard maturity (callable, etc.) |
100% |
TOP TEN HOLDINGS
| 0.0% /00/00 |
7.8 % |
| GNMA II TBA 30YR 4.0% 8/01/48 |
1.3 % |
| GNMA II 30YR POOL#MA4 3.5% 2/20/47 |
1.1 % |
| GNMA II TBA 30YR 4.5% 9/01/48 |
0.7 % |
| UMBS TBA 30YR 4.0% 8/01/48 |
0.7 % |
| FNMA 30YR POOL#BC1158 3.5% 2/01/46 |
0.7 % |
| GNMA II 30YR POOL#MA5 4.0% 3/20/48 |
0.7 % |
| FHLMC 30YR POOL#G0882 4.0% 7/01/48 |
0.7 % |
| FNMA 30YR POOL#MA2833 3.0% 12/01/46 |
0.7 % |
| UMBS TBA 30YR 4.5% 8/01/48 |
0.6 % |
| |
|
| TOTAL |
15.0 % |
TOP ISSUERS
| FANNIE MAE | 40.9% |
| FREDDIE MAC | 26.5% |
| GINNIE MAE | 23.6% |
TOP COUNTRY EXPOSURE
 |
UNITED STATES |
91.0 % |
Standardized Annual Returns (thru March 31)
| Year-to-date |
1 year |
5 years |
10 years |
Since Incep. |
| 2.3% |
4.1% |
-0.8% |
0.9% |
2.7% |
Market Correlations
| versus... |
Beta |
R-squared |
| Barclays Agg. Bond |
1.11 |
97% |
| S&P500 |
0.36 |
53% |
| MSCI EAFE |
0.40 |
65% |
| MSCI Emg. Mkts. |
0.36 |
52% |
Technical Indicators
| Recent close |
$92.61 |
| 30d moving avg. |
$93.05 |
| Annualized volatility |
8.6% |
| Short interest (ETF) |
0.3% |
| Relative strength (RSI) |
45 |
Liquidity measures
| Avg. volume (thou.) |
2,888 |
| Avg. daily value traded (mns) |
$267 |
| Turnover |
0.7% |
| Bid/Ask (% of price) |
0.01 |
| Calculation of ALTAR Score™ |
| Adj. Yield to Maturity |
536 |
bp |
| Less: Annual "default factor" |
4 |
bp |
| Less: Expense ratio |
4 |
bp |
| Equals: ALTAR Score |
5.28 |
% |
| |
| Average ALTAR Score™ by Category |
| Aggregate |
3.3% |
| Corporate |
4.4% |
| Emerging Market |
6.2% |
| Government |
7.2% |
| Inflation Protected |
2.5% |
| Mortgage |
5.1% |
| Municipals |
3.6% |
| |
| *Note: The iShares MBS ETF is classified as a Mortgage 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.
