1 Source: Bloomberg, BlackRock, Markit, and Morningstar as of February 28, 2023.
2 Source: Data is as of June 30, 2023, for all regions. All $ values are in USD. Global ETF flows and assets are sourced using Bloomberg and Markit, as well as BlackRock internal sources.
3 Source: BlackRock, GBI, Bloomberg as of June 30, 2023.
4 Source: Bloomberg, BlackRock, Markit, and Morningstar as of February 28, 2023.
5 For more detail on the indexing process and fixed income rebalances, see, “Market Insights: All About Index Investing.”.
6 As of August 25, 2023, the Bloomberg U.S. Aggregate Bond Index held 13,285 securities and the iShares Core U.S. Aggregate Bond ETF (AGG) held 9,538 securities. Source: Bloomberg, BlackRock.
7 Source: Bloomberg, BlackRock. Effective Duration as of August 25, 2023. Effective duration calculates the expected price decline of a bond when interest rates rise by 1%. for bonds that have embedded options.
8 BlackRock and Bloomberg, as of March 31, 2020. There can be no assurance that an active trading market for shares of an ETF will develop or be maintained. FLOT is the ticker for iShares Floating Rate Bond ETF; LQD is the ticker for iShares iBoxx $ Investment Grade Corporate Bond ETF; MUB is the ticker for iShares National Muni Bond ETF; HYG is the ticker for iShares iBoxx $ High Yield Corporate Bond ETF; and TLT is the ticker for iShares 20+ Year Treasury Bond ETF.
9 “Custom basket”: refers to a tailored selection of securities delivered by an AP to an ETF in exchange for ETF shares as part of the ETF creation process, and vice versa for a redemption. For more detail on the role of authorized participants, see, “iShares Investigates: The Authorized Participant and Market Maker Ecosystem”.
10 “In-kind”: an ETF may deliver specified portfolio securities to APs who are redeeming baskets that closely reflect the fund characteristics instead of selling portfolio securities.
11 The ICE BofA MOVE Index is a well-recognized measure of U.S. interest rate volatility that tracks the movement in U.S. Treasury yield volatility implied by current prices of one-month over-the-counter options on 2-year, 5-year, 10-year and 30-year Treasuries. Source: Bloomberg, Markit. As of March 31, 2023. TLT is the ticker for iShares 20+ Year Treasury Bond ETF. LQD is the ticker for iShares iBoxx $ Investment Grade Corporate Bond ETF. HYG is the ticker for iShares iBoxx $ High Yield Corporate Bond ETF.
12 Table explanation: ‘STP’ or secondary to primary market trading ratios are calculated as the total secondary gross trading volumes divided by the total gross primary market activity over various historical time periods and during volatile market periods (represented by the 03/13/2023 – 03/17/2023 time period of data). The positive ratios show how the amount of secondary market activity is far greater than primary activity, which means that most ETF trading takes place on an exchange between buyers and sellers and does not impact the underlying securities of the ETF, even in times of market stress. Source: Bloomberg, Markit. As of March 31, 2023. TLT is the ticker for iShares 20+ Year Treasury Bond ETF. LQD is the ticker for iShares iBoxx $ Investment Grade Corporate Bond ETF. HYG is the ticker for iShares iBoxx $ High Yield Corporate Bond ETF.
13 Bid/Ask: A measure of the average cost to buy and sell securities on an exchange. Spreads are the difference between the bid price of the trade (what the buyer is willing to pay) and the ask price (what the seller is willing to accept). MMs may also take advantage of differences between the NAV and the trading price of iShares ETF shares by seeking arbitrage opportunities through an AP.
14 Source: BlackRock, Bloomberg as of June 30, 2023.
15 The Securities and Exchange Commission’s Division of Economic and Risk Analysis found that “ETFs generally functioned as expected, allowing investors to transfer diversified bond risk on the secondary market without transacting directly in the underlying bonds.” The report is available here. Source: Bloomberg, Markit. As of March 31, 2020.
16 Volumes are based on 20D ADV. “HY Cash” includes 144A securities. Source: BlackRock, Bloomberg, TRACE as of June 30, 2023. There can be no assurance that an active trading market for shares of an ETF will develop or be maintained.
17 Source: BlackRock analysis of SEC Rule 605 data. As of June 30, 2023. For more detail on the role of authorized participants, see, “Market Insights: Three things to know about individual investor ETF activity.”.
