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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 24-NOV-17
 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
-0.06-0.740.120.481.422.843.874.3010.953.3530-SEP-14
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Index Characteristics
 
Index Constituents1,361
Weighted Average Yield to Maturity2.85%
Weighted Average Coupon3.40%
Weighted Average Yield to Worst2.84%
24-NOV-17
Weighted Average Maturity5.48
Weighted Average Effective Duration4.85
Weighted Average Option Adjusted Spread77.63
Weighted Average NRSRO RatingA-
Index Composition

Top 10 Constituents Weights
View All

as of 24-NOV-17
Security NameWeight
GOLDMAN SACHS GROUP INC 5.7500 01/24/20220.45%
VISA INC 3.1500 12/14/20250.37%
GOLDMAN SACHS GROUP INC 5.2500 07/27/20210.37%
JPMORGAN CHASE & CO 4.5000 01/24/20220.31%
BANK AMER CORP 3.3000 01/11/20230.30%
APPLE INC 3.2500 02/23/20260.29%
BANK AMER CORP 5.6250 07/01/20200.29%
GOLDMAN SACHS GROUP INC 3.0000 04/26/20220.29%
JPMORGAN CHASE & CO 4.3500 08/15/20210.28%
GOLDMAN SACHS GROUP INC 4.0000 03/03/20240.28%
% of Index3.23%

Top 10 Issuers by Index Weight
View All

as of 24-NOV-17
Issuer Name# of IssuesWeight
JPMORGAN CHASE & CO325.56%
GOLDMAN SACHS GROUP INC264.83%
BANK AMER CORP304.75%
CITIGROUP INC294.29%
MORGAN STANLEY232.82%
APPLE INC252.22%
WELLS FARGO CO MTN BE212.07%
SUMITOMO MITSUI FINL GROUP INC211.95%
HSBC HLDGS PLC201.47%
BP CAP MKTS P L C191.29%
% of Index31.25%

Key Rate Duration (KRD)
 

as of 24-NOV-17
MaturityKRD
3 Month0.00
1 Year0.01
2 Year0.21
3 Year0.84
5 Year1.13
7 Year1.58
10 Year1.05
15 Year0.00
20 Year0.00
25 Year0.00
30 Year0.00
YEARS4.82
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 MethodologyIndex HoldingsRebalance ScheduleIndex Performance since
Hypothetical Inception
Northern Trust Credit-Scored US Corporate Bond Index
NTUCCBTR
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