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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 24-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
NTUCLCBTR
-0.35-4.18-2.03-7.98-5.36-10.51-7.06-16.7211.893.8329-MAY-15
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Index Composition
 
Index Constituents793
Weighted Average Yield to Maturity4.60%
Weighted Average Coupon5.07%
Weighted Average Yield to Worst4.60%
24-MAY-18
Weighted Average Maturity23.50
Weighted Average Effective Duration13.78
Weighted Average Option Adjusted Spread152.00
Weighted Average NRSRO RatingA-
Index Characteristics

Top 10 Constituents Weights
View All

as of 24-MAY-18
Security NameWeight
CVS HEALTH CORP 5.0500 03/25/20481.13%
DEUTSCHE TELEKOM INTL FIN B V 8.7500 06/15/20300.97%
GOLDMAN SACHS GROUP INC 6.7500 10/01/20370.79%
BRITISH TELECOMMUNICATIONS PLC 9.1250 12/15/20300.76%
CVS HEALTH CORP 4.7800 03/25/20380.68%
PFIZER INC 7.2000 03/15/20390.65%
MEDTRONIC INC 4.6250 03/15/20450.62%
VERIZON COMMUNICATIONS INC 4.8620 08/21/20460.61%
VERIZON COMMUNICATIONS INC 4.5220 09/15/20480.61%
JPMORGAN CHASE & CO 6.4000 05/15/20380.60%
% of Index7.42%

Top 10 Issuers by Index Weight
View All

as of 24-MAY-18
Issuer Name# of IssuesWeight
JPMORGAN CHASE & CO134.24%
VERIZON COMMUNICATIONS INC143.99%
COMCAST CORP NEW253.62%
GOLDMAN SACHS GROUP INC92.89%
MICROSOFT CORP182.82%
CITIGROUP INC122.73%
CVS HEALTH CORP62.68%
ORACLE CORP132.49%
BANK AMER CORP112.40%
APPLE INC101.94%
% of Index29.80%

Key Rate Duration (KRD)
 

as of 24-MAY-18
MaturityKRD
3 Month0.01
1 Year0.02
2 Year0.03
3 Year0.08
5 Year0.15
7 Year0.26
10 Year0.78
15 Year1.79
20 Year3.09
25 Year4.12
30 Year3.40
YEARS13.73
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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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