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Northern Trust High Yield Value-Scored US Corporate Bond Index

 
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Index Overview
The Northern Trust High Yield Value-Scored US Corporate Bond Index is designed to measure the performance of a diversified universe of high yield, US-dollar denominated bonds of companies exhibiting favorable fundamental qualities, market valuations and liquidity, as defined by Northern Trust Investments, Inc.'s ("NTI") proprietary scoring models.
Index Construction
Optimized
Index Methodology
The construction of the Index begins with a securities screen to determine eligible securities (as described in the "Index Eligibility" section). Once all eligible securities have been identified, the securities are then optimized based on their exposure to quantitative factors such as:

  • Value-Score, Credit-Score, and Liquidity Score, as determined by NTI's Quantitative Research team’s proprietary scoring models

The primary objective of the optimization is to maximize exposure to the value-score factor relative to the eligible universe.

For more details on this methodology, please see the Index Documents tab.

Index Return Streams Available
  • Price Return: NTUHVCB
  • Total Return: NTUHVCBTR

Related Documents

 
Inception Date30-APR-18
Index Value at Inception Date1,000
Hypothetical Inception DateN/A
Index Value at Hypothetical Inception DateN/A

Total Returns

As of 15-FEB-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
NTUHVCBTR
2.3431.252.8711.901.543.086.2061.163.744.7130-APR-18
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Index Characteristics
 
Index Constituents1,017
Weighted Average Yield to Maturity8.37%
Weighted Average Coupon6.93%
Weighted Average Yield to Worst8.25%
15-FEB-19
Weighted Average Maturity5.76
Weighted Average Effective Duration3.74
Weighted Average Option Adjusted Spread568.29
Weighted Average NRSRO RatingB
Index Composition

Top 10 Constituents Weights
View All

as of 15-FEB-19
Security NameWeight
SPRINT CORP 7.8750 09/15/20230.76%
DISH DBS CORP 7.7500 07/01/20260.70%
PRIME SEC SVCS BORROWER LLC / 9.2500 05/15/20230.67%
FINANCIAL & RISK US HLDGS INC 8.2500 11/15/20260.63%
BANFF MERGER SUB INC 9.7500 09/01/20260.60%
ARGOS MERGER SUB INC 7.1250 03/15/20230.55%
HEXION U S FIN CORP 6.6250 04/15/20200.54%
AVANTOR INC 9.0000 10/01/20250.54%
DISH DBS CORP 5.0000 03/15/20230.53%
VRX ESCROW CORP 5.8750 05/15/20230.52%
% of Index6.04%

Top 10 Issuers by Index Weight
View All

as of 15-FEB-19
Issuer Name# of IssuesWeight
SPRINT CORP82.35%
BAUSCH HEALTH COMPANIES INC72.08%
INTELSAT JACKSON HLDGS LTD51.87%
DISH DBS CORP51.80%
T MOBILE USA INC91.27%
PETSMART INC31.17%
NAVIENT CORPORATION81.10%
CCO HLDGS LLC / CCO HLDGS CAP60.96%
CLEAR CHANNEL WW HLDGS INC50.89%
TENET HEALTHCARE CORP30.86%
% of Index14.35%

Key Rate Duration (KRD)
 

as of 15-FEB-19
MaturityKRD
3 Month0.02
1 Year0.07
2 Year0.21
3 Year0.74
5 Year1.34
7 Year1.01
10 Year0.18
15 Year0.07
20 Year0.04
25 Year0.03
30 Year0.00
YEARS3.71
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 MethodologyIndex HoldingsRebalance ScheduleIndex Performance since
Hypothetical Inception
Northern Trust High Yield Value-Scored US
Corporate Bond Index

NTUHVCBTR
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