Fixed Income

FLOT

iShares Floating Rate Bond ETF

Overview

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The interest payments of floating rate bonds adjust to reflect changes in interest rates. Explore the key benefits of investing in U.S. floating rate bonds with FLOT.
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Performance

Performance

Growth of Hypothetical 10,000

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Distributions

Ex-Date Total Distribution Income
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Premium/Discount

  1Y 3Y 5Y 10y Incept.
-0.69 0.67 1.34 1.23 1.16
Market Price (%) -1.31 0.48 1.22 1.15 1.11
Benchmark (%) -0.44 0.96 1.63 1.48 1.40
After Tax Pre-Liq. (%) -0.88 0.20 0.68 0.75 0.70
After Tax Post-Liq. (%) -0.41 0.31 0.74 0.74 0.69
  YTD 1m 3M 6M 1Y 3Y 5Y 10y Incept.
-0.68 -0.39 -0.44 -0.68 -0.69 2.03 6.90 13.05 13.56
Market Price (%) -1.35 -0.81 -1.01 -1.35 -1.31 1.45 6.23 12.09 12.96
Benchmark (%) -0.50 -0.33 -0.30 -0.50 -0.44 2.91 8.43 15.78 16.59
After Tax Pre-Liq. (%) -0.78 -0.42 -0.51 -0.78 -0.88 0.60 3.44 7.78 7.95
After Tax Post-Liq. (%) -0.40 -0.23 -0.26 -0.40 -0.41 0.95 3.77 7.62 7.88
  2017 2018 2019 2020 2021
Total Return (%) 1.83 1.57 3.80 0.91 0.29
Market Price (%) 1.77 1.34 3.99 0.87 0.45
Benchmark (%) 2.16 1.84 4.03 1.36 0.45
The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor's shares, when sold or redeemed, may be worth more or less than the original cost. Current performance may be lower or higher than the performance quoted.

Key Facts

Key Facts

Net Assets as of Oct 4, 2022 USD 9,260,580,773
Inception Date Jun 14, 2011
Exchange Cboe BZX formerly known as BATS
Asset Class Fixed Income
Benchmark Index Bloomberg US Floating Rate Note < 5 Years Index
Bloomberg Index Ticker BFU5TRUU
Shares Outstanding as of Oct 4, 2022 184,400,000
Number of Holdings as of Oct 4, 2022 393
Premium/Discount as of Oct 4, 2022 -0.02%
CUSIP 46429B655
Closing Market Price as of Oct 4, 2022 50.19
Mid-Point Market Price as of Oct 4, 2022 50.21
Premium/Discount as of Oct 4, 2022 -0.06
30 Day Avg. Volume as of Oct 4, 2022 1,600,647.00
30 Day Median Bid/Ask Spread as of Oct 4, 2022 0.02
Volume - 1d as of Oct 4, 2022 1,547,341.00

Portfolio Characteristics

Portfolio Characteristics

Equity Beta (3y) as of Aug 31, 2022 0.07
Standard Deviation (3y) as of Aug 31, 2022 2.42%
12m Trailing Yield as of Oct 3, 2022 1.04%
30 Day SEC Yield as of Oct 3, 2022 3.10%
Unsubsidized 30-Day SEC Yield as of Oct 3, 2022 3.10%
Weighted Avg Coupon as of Oct 3, 2022 3.61%
Effective Duration as of Oct 3, 2022 0.07 yrs
Weighted Avg Maturity as of Oct 3, 2022 1.75 yrs
Convexity as of Oct 3, 2022 0.00
Option Adjusted Spread as of Oct 3, 2022 97
Average Yield to Maturity as of Oct 3, 2022 4.25%

Sustainability Characteristics

Sustainability Characteristics

Sustainability Characteristics provide investors with specific non-traditional metrics. Alongside other metrics and information, these enable investors to evaluate funds on certain environmental, social and governance characteristics. Sustainability Characteristics do not provide an indication of current or future performance nor do they represent the potential risk and reward profile of a fund. They are provided for transparency and for information purposes only. Sustainability Characteristics should not be considered solely or in isolation, but instead are one type of information that investors may wish to consider when assessing a fund.


This fund does not seek to follow a sustainable, impact or ESG investment strategy. The metrics do not change the fund’s investment objective or constrain the fund’s investable universe, and there is no indication that a sustainable, impact or ESG investment strategy will be adopted by the fund. For more information regarding the fund's investment strategy, please see the fund's prospectus.


Review the MSCI methodologies behind Sustainability Characteristics using the links below.

MSCI ESG Fund Rating (AAA-CCC) as of Sep 21, 2022 AAA
MSCI ESG % Coverage as of Sep 21, 2022 96.56
MSCI ESG Quality Score (0-10) as of Sep 21, 2022 9.64
MSCI ESG Quality Score - Peer Percentile as of Sep 21, 2022 90.34
Fund Lipper Global Classification as of Sep 21, 2022 Bond USD Short Term
Funds in Peer Group as of Sep 21, 2022 145
MSCI Weighted Average Carbon Intensity (Tons CO2E/$M SALES) as of Sep 21, 2022 86.67
MSCI Weighted Average Carbon Intensity % Coverage as of Sep 21, 2022 95.50
MSCI Implied Temperature Rise (0-3.0+ °C) as of Sep 21, 2022 > 2.5° - 3.0° C
MSCI Implied Temperature Rise % Coverage as of Sep 21, 2022 72.33

What is the Implied Temperature Rise (ITR) metric? Learn what the metric means, how it is calculated, and about the assumptions and limitations for this forward-looking climate-related metric.

Climate change is one of the greatest challenges in human history and will have profound implications for investors. To address climate change, many of the world's major countries have signed the Paris Agreement. The temperature goal of the Paris Agreement is to limit global warming to well below 2°C above pre-industrial levels, and ideally 1.5 °C, which will help us avoid the most severe impacts of climate change.


What is the ITR metric?

The ITR metric is used to provide an indication of alignment to the temperature goal of the Paris Agreement for a company or a portfolio. Scientific consensus suggests that reducing emissions until they reach net zero around mid-century (2050-2070) is how this goal could be met. A net zero emissions economy is one that balances emissions and removals.


How is the ITR metric calculated?

The ITR metric is calculated by looking at the current emissions intensity of companies within the fund's portfolio as well as the potential for those companies to reduce its emissions over time. If emissions in the global economy followed the same trend as the emissions of companies within the fund's portfolio, global temperatures would ultimately rise within this band.


Note, only corporate issuers are covered within the calculation. A summary explanation of MSCI’s methodology and assumptions for its ITR metric can be found here.


Because the ITR metric is calculated in part by considering the potential for a company within the fund’s portfolio to reduce its emissions over time, it is forward-looking and prone to limitations. As a result, BlackRock publishes MSCI’s ITR metric for its funds in temperature range bands. The bands help to underscore the underlying uncertainty in the calculations and the variability of the metric.

Thermometer-style chart of yellow to red temperature bands showing an investment’s position relative to the Paris Agreement temperature goals. Metric data source MSCI

What are the key assumptions and limitations of the ITR metric?

This forward-looking metric is calculated based on a model, which is dependent upon multiple assumptions. Also, there are limitations with the data inputs to the model. Importantly, an ITR metric may vary meaningfully across data providers for a variety of reasons due to methodological choices (e.g., differences in time horizons, the scope(s) of emissions included and portfolio aggregation calculations).

There is not a universally accepted way to calculate an ITR. There is not a universally agreed upon set of inputs for the calculation. At present, availability of input data varies across asset classes and markets. To the extent that data becomes more readily available and more accurate over time, we expect that ITR metric methodologies will evolve and may result in different outputs. Where data is not available, and / or if data changes, the estimation methods vary, particularly those related to a company’s future emissions.


The ITR metric estimates a fund’s alignment with the Paris Agreement temperature goal. However, there is no guarantee that these estimates will be reached. The ITR metric is not a real time estimate and may change over time, therefore it is prone to variance and may not always reflect a current estimate.


The ITR metric is not an indication or estimate of a fund’s performance or risk. Investors should not rely on this metric when making an investment decision and instead should refer to a fund’s prospectus and governing documents. This estimate and the associated information is not intended as a recommendation to invest in any fund, nor is it intended to indicate any correlation between a fund’s ITR metric and its future investment performance.

All data is from MSCI ESG Fund Ratings as of Sep 21, 2022, based on holdings as of Aug 31, 2022. As such, the fund’s sustainable characteristics may differ from MSCI ESG Fund Ratings from time to time.

To be included in MSCI ESG Fund Ratings, 65% of the fund’s gross weight must come from securities with ESG coverage by MSCI ESG Research (certain cash positions and other asset types deemed not relevant for ESG analysis by MSCI are removed prior to calculating a fund’s gross weight; the absolute values of short positions are included but treated as uncovered), the fund’s holdings date must be less than one year old, and the fund must have at least ten securities. For newly launched funds, Sustainability Characteristics are typically available 6 months after launch.

Business Involvement

Business Involvement

Business Involvement metrics can help investors gain a more comprehensive view of specific activities in which a fund may be exposed through its investments.


Business Involvement metrics are not indicative of a fund’s investment objective, and, unless otherwise stated in fund documentation and included within a fund’s investment objective, do not change a fund’s investment objective or constrain the fund’s investable universe. For more information regarding a fund's investment strategy, please see the fund's prospectus.


Review the MSCI methodology behind the Business Involvement metrics, using links below.

MSCI - Controversial Weapons as of Oct 3, 2022 0.00%
MSCI - UN Global Compact Violators as of Oct 3, 2022 0.00%
MSCI - Nuclear Weapons as of Oct 3, 2022 0.00%
MSCI - Thermal Coal as of Oct 3, 2022 0.00%
MSCI - Civilian Firearms as of Oct 3, 2022 0.00%
MSCI - Oil Sands as of Oct 3, 2022 0.00%
MSCI - Tobacco as of Oct 3, 2022 0.00%

Business Involvement Coverage as of Oct 3, 2022 94.30%
Percentage of Fund not covered as of Oct 3, 2022 5.70%
BlackRock business involvement exposures as shown above for Thermal Coal and Oil Sands are calculated and reported for companies that generate more than 5% of revenue from thermal coal or oil sands as defined by MSCI ESG Research. For the exposure to companies that generate any revenue from thermal coal or oil sands (at a 0% revenue threshold), as defined by MSCI ESG Research, it is as follows: Thermal Coal 0.23% and for Oil Sands 0.62%.

Business Involvement metrics are calculated by BlackRock using data from MSCI ESG Research which provides a profile of each company’s specific business involvement. BlackRock leverages this data to provide a summed up view across holdings and translates it to a fund's market value exposure to the listed Business Involvement areas above.


Business Involvement metrics are designed only to identify companies where MSCI has conducted research and identified as having involvement in the covered activity. As a result, it is possible there is additional involvement in these covered activities where MSCI does not have coverage. This information should not be used to produce comprehensive lists of companies without involvement. Business Involvement metrics are only displayed if at least 1% of the fund’s gross weight includes securities covered by MSCI ESG Research.

Fees

Fees

as of current prospectus
Management Fee 0.15
Acquired Fund Fees and Expenses 0.00
Foreign Taxes and Other Expenses 0.00
Expense Ratio 0.15

Holdings

Holdings

as of Oct 3, 2022
Issuer Weight (%)
GOLDMAN SACHS GROUP INC/THE 4.13
INTERNATIONAL BANK FOR RECONSTRUCTION AND DEVELOPMENT 4.05
JPMORGAN CHASE & CO 3.58
BANK OF AMERICA CORP 2.75
MORGAN STANLEY 2.68
Issuer Weight (%)
TORONTO-DOMINION BANK/THE 2.31
CITIGROUP INC 2.20
BANK OF MONTREAL 2.16
ROYAL BANK OF CANADA 2.13
INTER-AMERICAN DEVELOPMENT BANK 1.96
as of Oct 4, 2022
ISIN Name Sector SEDOL Market Value Weight (%) Price Maturity Coupon (%) Duration Notional Value YTM (%) Yield to Call (%) Yield to Worst (%) Par Value
Name Asset Class Weight (%) Price Market Value Notional Value Sector SEDOL ISIN Coupon (%) Maturity YTM (%) Yield to Call (%) Yield to Worst (%) Duration Par Value
Holdings are subject to change

The values shown for “market value,” “weight,” and “notional value” (the “calculated values”) are based off of a price provided by a third-party pricing vendor for the portfolio holding and do not reflect the impact of systematic fair valuation (“the vendor price”). The vendor price is not necessarily the price at which the Fund values the portfolio holding for the purposes of determining its net asset value (the “valuation price”). Additionally, where applicable, foreign currency exchange rates with respect to the portfolio holdings denominated in non-U.S. currencies for the valuation price will be generally determined as of the close of business on the New York Stock Exchange, whereas for the vendor price will be generally determined as of 4 p.m. London. The calculated values may have been different if the valuation price were to have been used to calculate such values. The vendor price is as of the most recent date for which a price is available and may not necessarily be as of the date shown above.

Please see the “Determination of Net Asset Value” section of each Fund’s prospectus for additional information on the Fund’s valuation policies and procedures.

Exposure Breakdowns

Exposure Breakdowns

as of Oct 3, 2022

% of Market Value

Type Fund
as of Oct 3, 2022

% of Market Value

Type Fund
The maturity breakdown above is based on Weighted Average Life (WAL). WAL is the average length of time to the repayment of principal for the securities in the fund. This metric considers the likelihood that bonds will be called or prepaid before the scheduled maturity date.

as of Oct 3, 2022

% of Market Value

Type Fund
Credit quality ratings on underlying securities of the fund are received from S&P, Moody’s and Fitch and converted to the equivalent S&P major rating category. This breakdown is provided by BlackRock and takes the median rating of the three agencies when all three agencies rate a security, the lower of the two ratings if only two agencies rate a security, and one rating if that is all that is provided. Unrated securities do not necessarily indicate low quality. Below investment-grade is represented by a rating of BB and below. Ratings and portfolio credit quality may change over time.
Allocations are subject to change.

Price Yield Calculator

Price Yield Calculator

The calculator provides clients with an indication of an ETF's yield and duration for a given market price. The ACF Yield is the discount rate that equates the ETF's aggregate cash flows (i.e., the sum of the cash flows of the ETF's holdings) to a given ETF price. The cash flows are based on the yield to worst methodology in which a bond's cash flows are assumed to occur at the call date (if applicable) or maturity, whichever results in the lowest yield for that bond holding. For a given ETF price, this calculator will estimate the corresponding ACF Yield and spread to the relevant government reference security yield. Note that the ACF Yield will differ from the ETF's "Weighted Avg YTM For more information on Aggregate Cash Flow Yield, see info here.

Oct 4, 2022
Price 50.19
4.47
Modified Duration 1.62

Spread of ACF Yield (4.47) over 2.00 yr Treasury Yield (4.12) Oct 4, 2022 is 35.26

Results generated are for illustrative purposes only and are not representative of any specific investments outcome. For standardized performance, please click the ‘returns’ tab above.

Literature

Literature