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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 11-DEC-18
 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
0.252.93-0.08-0.330.911.83-1.35-1.429.672.2230-SEP-14
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Index Characteristics
 
Index Constituents1,377
Weighted Average Yield to Maturity4.08%
Weighted Average Coupon3.50%
Weighted Average Yield to Worst4.08%
11-DEC-18
Weighted Average Maturity5.38
Weighted Average Effective Duration4.70
Weighted Average Option Adjusted Spread128.21
Weighted Average NRSRO RatingA-
Index Composition

Top 10 Constituents Weights
View All

as of 11-DEC-18
Security NameWeight
GOLDMAN SACHS GROUP INC 5.7500 01/24/20220.44%
VERIZON COMMUNICATIONS INC 5.1500 09/15/20230.42%
BANK AMER CORP 3.0040 12/20/20220.42%
GOLDMAN SACHS GROUP INC 5.2500 07/27/20210.36%
VERIZON COMMUNICATIONS INC 4.3290 09/21/20280.31%
BANK AMER CORP 3.3000 01/11/20230.30%
MORGAN STANLEY 2.6250 11/17/20210.29%
MORGAN STANLEY 2.7500 05/19/20220.29%
GOLDMAN SACHS GROUP 2.8760 10/31/20210.29%
COMCAST CORP NEW 4.1500 10/15/20280.29%
% of Index3.41%

Top 10 Issuers by Index Weight
View All

as of 11-DEC-18
Issuer Name# of IssuesWeight
JPMORGAN CHASE & CO345.18%
GOLDMAN SACHS GROUP INC254.97%
BANK AMER CORP344.80%
CITIGROUP INC314.51%
MORGAN STANLEY223.59%
WELLS FARGO CO MTN BE202.37%
APPLE INC242.25%
COMCAST CORP NEW202.00%
VERIZON COMMUNICATIONS INC151.84%
SUMITOMO MITSUI FINL GROUP INC241.82%
% of Index33.33%

Key Rate Duration (KRD)
 

as of 11-DEC-18
MaturityKRD
3 Month0.01
1 Year0.01
2 Year0.22
3 Year0.82
5 Year1.10
7 Year1.66
10 Year0.89
15 Year0.00
20 Year0.00
25 Year0.00
30 Year0.00
YEARS4.71
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 MethodologyIndex HoldingsRebalance ScheduleIndex Performance since
Hypothetical Inception
Northern Trust Credit-Scored US Corporate Bond Index
NTUCCBTR
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