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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 18-MAY-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
-0.60-7.01-0.78-3.10-2.30-4.55-2.64-6.738.242.2030-SEP-14
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Index Characteristics
 
Index Constituents1,406
Weighted Average Yield to Maturity3.77%
Weighted Average Coupon3.41%
Weighted Average Yield to Worst3.76%
18-MAY-18
Weighted Average Maturity5.35
Weighted Average Effective Duration4.71
Weighted Average Option Adjusted Spread89.17
Weighted Average NRSRO RatingA-
Index Composition

Top 10 Constituents Weights
View All

as of 18-MAY-18
Security NameWeight
CVS HEALTH CORP 4.3000 03/25/20280.62%
GOLDMAN SACHS GROUP INC 5.7500 01/24/20220.44%
VERIZON COMMUNICATIONS INC 5.1500 09/15/20230.43%
CVS HEALTH CORP 3.7000 03/09/20230.41%
BANK AMER CORP 3.3000 01/11/20230.38%
GOLDMAN SACHS GROUP INC 5.2500 07/27/20210.36%
AT&T INC 3.9000 08/14/20270.35%
CVS HEALTH CORP 4.1000 03/25/20250.35%
AT&T INC 3.4000 05/15/20250.33%
JPMORGAN CHASE & CO 4.5000 01/24/20220.30%
% of Index3.97%

Top 10 Issuers by Index Weight
View All

as of 18-MAY-18
Issuer Name# of IssuesWeight
JPMORGAN CHASE & CO324.99%
BANK AMER CORP344.67%
CITIGROUP INC314.33%
GOLDMAN SACHS GROUP INC253.81%
MORGAN STANLEY232.60%
CVS HEALTH CORP132.57%
APPLE INC272.48%
AT&T INC202.29%
WELLS FARGO CO MTN BE192.23%
SUMITOMO MITSUI FINL GROUP INC221.91%
% of Index31.88%

Key Rate Duration (KRD)
 

as of 18-MAY-18
MaturityKRD
3 Month0.00
1 Year0.01
2 Year0.22
3 Year0.83
5 Year1.10
7 Year1.59
10 Year0.94
15 Year0.00
20 Year0.00
25 Year0.00
30 Year0.00
YEARS4.69
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 MethodologyIndex HoldingsRebalance ScheduleIndex Performance since
Hypothetical Inception
Northern Trust Credit-Scored US Corporate Bond Index
NTUCCBTR
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