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Northern Trust Credit-Scored US Corporate Bond Index

 
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Index Overview
The Northern Trust Credit-Scored US Corporate Bond Index is designed to measure the performance of a diversified universe of intermediate maturity, US-dollar denominated bonds of companies with investment grade credit quality, and enhanced short-term and long-term solvency.
Index Construction
Optimized
Index Methodology
The construction of the index begins with a securities screen to determine eligible securities. Once all eligible securities have been identified, the securities’ are then optimized based on their exposure to quantitative factors such as:

  • Credit-Score, as determined by Northern Trust’s Quantitative Research team’s proprietary scoring model
  • Option Adjusted Spread (OAS)
  • Effective Duration

The primary objective of the optimization is to maximize the index’s exposure to the credit-score factor, and maintain a similar Option Adjusted Spread and Effective Duration profile relative to our eligible universe.

For more details on this methodology, please see the Index Documents tab.
Index Return Streams Available
  • Price Return: NTUCCB
  • Total Return: NTUCCBTR

Related Documents

 
Inception Date30-SEP-14
Index Value at Inception Date1,000
Hypothetical Inception Date31-DEC-03
Index Value at Hypothetical Inception Date559.27

Total Returns

As of 21-JUN-19
 1 Month %1 Month Annualized %3 Month %3 Month Annualized %6 Month %6 Month Annualized %YTD %YTD Annualized %Since Inception %Since Inception Annualized %Inception Date
NTUCCBTR
2.3531.393.5915.047.9016.477.3816.3118.863.7230-SEP-14
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Index Characteristics
 
Index Constituents1,326
Weighted Average Yield to Maturity2.85%
Weighted Average Coupon3.57%
Weighted Average Yield to Worst2.83%
21-JUN-19
Weighted Average Maturity5.50
Weighted Average Effective Duration4.80
Weighted Average Option Adjusted Spread95.55
Weighted Average NRSRO RatingA-
Index Composition

Top 10 Constituents Weights
View All

as of 21-JUN-19
Security NameWeight
BANK AMER CORP 3.0040 12/20/20220.52%
GOLDMAN SACHS GROUP INC 5.7500 01/24/20220.43%
BANK AMER CORP 3.3000 01/11/20230.38%
AT&T INC 3.4000 05/15/20250.35%
GOLDMAN SACHS GROUP INC 4.2230 05/01/20280.33%
VERIZON COMMUNICATIONS INC 4.3290 09/21/20280.32%
VERIZON COMMUNICATIONS INC 4.1250 03/16/20270.31%
COMCAST CORP NEW 4.1500 10/15/20280.30%
APPLE INC 3.2500 02/23/20260.29%
MORGAN STANLEY 2.7500 05/19/20220.29%
% of Index3.52%

Top 10 Issuers by Index Weight
View All

as of 21-JUN-19
Issuer Name# of IssuesWeight
JPMORGAN CHASE & CO375.33%
BANK AMER CORP325.10%
GOLDMAN SACHS GROUP INC235.00%
MORGAN STANLEY214.57%
CITIGROUP INC324.22%
APPLE INC222.03%
HSBC HLDGS PLC181.76%
WELLS FARGO CO MTN BE181.70%
MITSUBISHI UFJ FINL GROUP INC171.62%
VERIZON COMMUNICATIONS INC111.52%
% of Index32.85%

Key Rate Duration (KRD)
 

as of 21-JUN-19
MaturityKRD
3 Month0.00
1 Year0.02
2 Year0.20
3 Year0.80
5 Year1.17
7 Year1.76
10 Year0.83
15 Year0.00
20 Year0.00
25 Year0.00
30 Year0.00
YEARS4.78
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 MethodologyIndex HoldingsRebalance ScheduleIndex Performance since
Hypothetical Inception
Northern Trust Credit-Scored US Corporate Bond Index
NTUCCBTR
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