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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-FEB-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
-1.26-13.13-1.69-6.55-1.80-3.55-2.08-13.228.862.5330-SEP-14
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Index Characteristics
 
Index Constituents1,345
Weighted Average Yield to Maturity3.43%
Weighted Average Coupon3.36%
Weighted Average Yield to Worst3.43%
21-FEB-18
Weighted Average Maturity5.45
Weighted Average Effective Duration4.82
Weighted Average Option Adjusted Spread76.09
Weighted Average NRSRO RatingA-
Index Composition

Top 10 Constituents Weights
View All

as of 21-FEB-18
Security NameWeight
ANHEUSER BUSCH INBEV FIN INC 2.6500 02/01/20210.52%
GOLDMAN SACHS GROUP INC 5.7500 01/24/20220.45%
VERIZON COMMUNICATIONS INC 5.1500 09/15/20230.45%
MICROSOFT CORP 3.3000 02/06/20270.37%
GOLDMAN SACHS GROUP INC 5.2500 07/27/20210.36%
VISA INC 3.1500 12/14/20250.36%
ABBVIE INC 2.5000 05/14/20200.35%
MICROSOFT CORP 2.4000 08/08/20260.34%
JPMORGAN CHASE & CO 4.5000 01/24/20220.31%
BANK AMER CORP 3.3000 01/11/20230.30%
% of Index3.81%

Top 10 Issuers by Index Weight
View All

as of 21-FEB-18
Issuer Name# of IssuesWeight
JPMORGAN CHASE & CO325.32%
GOLDMAN SACHS GROUP INC275.27%
CITIGROUP INC304.36%
BANK AMER CORP314.11%
APPLE INC292.92%
MORGAN STANLEY222.69%
WELLS FARGO CO MTN BE202.08%
SUMITOMO MITSUI FINL GROUP INC211.95%
ORACLE CORP131.50%
MICROSOFT CORP171.49%
% of Index31.69%

Key Rate Duration (KRD)
 

as of 21-FEB-18
MaturityKRD
3 Month0.00
1 Year0.01
2 Year0.21
3 Year0.82
5 Year1.10
7 Year1.65
10 Year1.02
15 Year0.00
20 Year0.00
25 Year0.00
30 Year0.00
YEARS4.81
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 MethodologyIndex HoldingsRebalance ScheduleIndex Performance since
Hypothetical Inception
Northern Trust Credit-Scored US Corporate Bond Index
NTUCCBTR
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