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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 21-JAN-19
 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
0.587.821.827.52-0.24-0.470.9721.6212.513.2929-MAY-15
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Index Composition
 
Index Constituents922
Weighted Average Yield to Maturity4.80%
Weighted Average Coupon5.03%
Weighted Average Yield to Worst4.80%
18-JAN-19
Weighted Average Maturity23.47
Weighted Average Effective Duration13.67
Weighted Average Option Adjusted Spread180.79
Weighted Average NRSRO RatingA-
Index Characteristics

Top 10 Constituents Weights
View All

as of 18-JAN-19
Security NameWeight
GOLDMAN SACHS GROUP INC 6.7500 10/01/20371.27%
COMCAST CORP NEW 4.7000 10/15/20480.80%
CONOCOPHILLIPS 6.5000 02/01/20390.68%
VERIZON COMMUNICATIONS INC 5.0120 08/21/20540.65%
DEUTSCHE TELEKOM INTL FIN B V 8.7500 06/15/20300.63%
VERIZON COMMUNICATIONS INC 4.5220 09/15/20480.61%
VERIZON COMMUNICATIONS INC 4.8620 08/21/20460.60%
JPMORGAN CHASE & CO 6.4000 05/15/20380.59%
VERIZON COMMUNICATIONS INC 4.6720 03/15/20550.58%
GOLDMAN SACHS GROUP INC 6.2500 02/01/20410.57%
% of Index6.98%

Top 10 Issuers by Index Weight
View All

as of 18-JAN-19
Issuer Name# of IssuesWeight
COMCAST CORP NEW285.09%
VERIZON COMMUNICATIONS INC175.02%
JPMORGAN CHASE & CO123.97%
GOLDMAN SACHS GROUP INC93.77%
CITIGROUP INC122.42%
AT&T INC102.32%
MICROSOFT CORP182.27%
BANK AMER CORP101.99%
ORACLE CORP131.55%
UNITED TECHNOLOGIES CORP111.54%
% of Index29.94%

Key Rate Duration (KRD)
 

as of 18-JAN-19
MaturityKRD
3 Month0.01
1 Year0.02
2 Year0.04
3 Year0.08
5 Year0.16
7 Year0.28
10 Year0.85
15 Year1.90
20 Year2.85
25 Year4.09
30 Year3.37
YEARS13.65
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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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