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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 20-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
NTUCLCBTR
-3.34-32.09-2.44-9.35-0.91-1.77-5.01-29.8114.365.0329-MAY-15
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Index Composition
 
Index Constituents808
Weighted Average Yield to Maturity4.36%
Weighted Average Coupon5.14%
Weighted Average Yield to Worst4.36%
20-FEB-18
Weighted Average Maturity23.64
Weighted Average Effective Duration13.95
Weighted Average Option Adjusted Spread128.92
Weighted Average NRSRO RatingA-
Index Characteristics

Top 10 Constituents Weights
View All

as of 20-FEB-18
Security NameWeight
GOLDMAN SACHS GROUP INC 6.7500 10/01/20371.39%
VERIZON COMMUNICATIONS INC 5.0120 08/21/20540.76%
VERIZON COMMUNICATIONS INC 4.6720 03/15/20550.72%
UNITED TECHNOLOGIES CORP 4.5000 06/01/20420.72%
PACIFIC GAS & ELEC CO 6.0500 03/01/20340.71%
DEUTSCHE TELEKOM INTL FIN B V 8.7500 06/15/20300.70%
VERIZON COMMUNICATIONS INC 4.5220 09/15/20480.66%
VERIZON COMMUNICATIONS INC 4.8620 08/21/20460.63%
GOLDMAN SACHS GROUP INC 6.2500 02/01/20410.61%
VERIZON COMMUNICATIONS INC 5.0120 04/15/20490.57%
% of Index7.47%

Top 10 Issuers by Index Weight
View All

as of 20-FEB-18
Issuer Name# of IssuesWeight
VERIZON COMMUNICATIONS INC155.07%
GOLDMAN SACHS GROUP INC84.15%
JPMORGAN CHASE & CO123.43%
COMCAST CORP NEW223.19%
CITIGROUP INC112.68%
MICROSOFT CORP182.51%
BANK AMER CORP101.95%
ORACLE CORP131.85%
GILEAD SCIENCES INC71.83%
UNITED TECHNOLOGIES CORP91.82%
% of Index28.48%

Key Rate Duration (KRD)
 

as of 20-FEB-18
MaturityKRD
3 Month0.00
1 Year0.01
2 Year0.03
3 Year0.07
5 Year0.14
7 Year0.25
10 Year0.84
15 Year1.74
20 Year2.95
25 Year4.29
30 Year3.57
YEARS13.89
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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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