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Northern Trust Credit-Scored US Long Corporate Bond Index

 
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Index Overview
The Northern Trust Credit-Scored US Long Corporate Bond Index is designed to measure the performance of a diversified universe of longer term 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: NTUCLCB
  • Total Return: NTUCLCBTR

Related Documents

 
Inception Date29-MAY-15
Index Value at Inception Date1,000
Hypothetical Inception Date31-DEC-03
Index Value at Hypothetical Inception Date448.11

Total Returns

As of 23-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
NTUCLCBTR
1.2616.502.279.426.4413.2510.5811.8818.427.0329-MAY-15
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Index Composition
 
Index Constituents787
Weighted Average Yield to Maturity4.03%
Weighted Average Coupon5.21%
Weighted Average Yield to Worst4.03%
22-NOV-17
Weighted Average Maturity23.65
Weighted Average Effective Duration14.27
Weighted Average Option Adjusted Spread143.17
Weighted Average NRSRO RatingA-
Index Characteristics

Top 10 Constituents Weights
View All

as of 22-NOV-17
Security NameWeight
GOLDMAN SACHS GROUP INC 6.7500 10/01/20371.39%
GE CAPITAL INTERNATIONAL FDG 4.4180 11/15/20350.84%
BRITISH TELECOMMUNICATIONS PLC 9.1250 12/15/20300.77%
VERIZON COMMUNICATIONS INC 5.0120 08/21/20540.74%
VERIZON COMMUNICATIONS INC 4.6720 03/15/20550.70%
DEUTSCHE TELEKOM INTL FIN B V 8.7500 06/15/20300.70%
VERIZON COMMUNICATIONS INC 4.5220 09/15/20480.65%
JPMORGAN CHASE & CO 6.4000 05/15/20380.63%
GOLDMAN SACHS GROUP INC 6.2500 02/01/20410.63%
VERIZON COMMUNICATIONS INC 4.8620 08/21/20460.62%
% of Index7.67%

Top 10 Issuers by Index Weight
View All

as of 22-NOV-17
Issuer Name# of IssuesWeight
VERIZON COMMUNICATIONS INC154.88%
GOLDMAN SACHS GROUP INC73.71%
MICROSOFT CORP183.01%
COMCAST CORP NEW222.97%
JPMORGAN CHASE & CO122.78%
CITIGROUP INC112.23%
TIME WARNER INC131.92%
GILEAD SCIENCES INC71.87%
BANK AMER CORP101.85%
GEORGIA PWR CO121.60%
% of Index26.82%

Key Rate Duration (KRD)
 

as of 22-NOV-17
MaturityKRD
3 Month0.01
1 Year0.02
2 Year0.04
3 Year0.09
5 Year0.17
7 Year0.30
10 Year0.90
15 Year1.87
20 Year3.10
25 Year4.25
30 Year3.46
YEARS14.21
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 MethodologyIndex HoldingsRebalance ScheduleIndex Performance since
Hypothetical Inception
Northern Trust Credit-Scored US Long Corporate Bond Index
NTUCLCBTR
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