Northern Trust Logo
 

Northern Trust Credit-Scored US Long Corporate Bond Index

 
.
 
 
 
.

Find a Fund

 
Search go
  • Snapshot
  • Performance
  • Characteristics
  • Index Documents
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 19-APR-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
3.4851.647.8235.699.7820.718.8633.2421.305.0929-MAY-15
.
Index Composition
 
Index Constituents885
Weighted Average Yield to Maturity4.31%
Weighted Average Coupon5.03%
Weighted Average Yield to Worst4.31%
18-APR-19
Weighted Average Maturity23.44
Weighted Average Effective Duration14.07
Weighted Average Option Adjusted Spread148.56
Weighted Average NRSRO RatingA-
Index Characteristics

Top 10 Constituents Weights
View All

as of 18-APR-19
Security NameWeight
GOLDMAN SACHS GROUP INC 6.7500 10/01/20371.21%
BRITISH TELECOMMUNICATIONS PLC 9.6250 12/15/20300.69%
VERIZON COMMUNICATIONS INC 5.0120 08/21/20540.67%
DEUTSCHE TELEKOM INTL FIN B V 8.7500 06/15/20300.61%
VERIZON COMMUNICATIONS INC 4.5220 09/15/20480.59%
VERIZON COMMUNICATIONS INC 4.6720 03/15/20550.59%
VERIZON COMMUNICATIONS INC 4.8620 08/21/20460.59%
JPMORGAN CHASE & CO 6.4000 05/15/20380.58%
GOLDMAN SACHS GROUP INC 6.2500 02/01/20410.55%
COMCAST CORP NEW 4.7000 10/15/20480.55%
% of Index6.63%

Top 10 Issuers by Index Weight
View All

as of 18-APR-19
Issuer Name# of IssuesWeight
VERIZON COMMUNICATIONS INC175.10%
COMCAST CORP NEW243.94%
GOLDMAN SACHS GROUP INC93.71%
JPMORGAN CHASE & CO123.00%
ORACLE CORP132.41%
CITIGROUP INC122.26%
BANK AMER CORP112.25%
MICROSOFT CORP182.17%
MORGAN STANLEY61.93%
AT&T INC71.88%
% of Index28.65%

Key Rate Duration (KRD)
 

as of 18-APR-19
MaturityKRD
3 Month0.01
1 Year0.02
2 Year0.03
3 Year0.08
5 Year0.15
7 Year0.27
10 Year0.85
15 Year1.99
20 Year3.05
25 Year4.15
30 Year3.44
YEARS14.04
.
.
 MethodologyIndex HoldingsRebalance ScheduleIndex Performance since
Hypothetical Inception
Northern Trust Credit-Scored US Long Corporate Bond Index
NTUCLCBTR
Download PDFDownload ExcelDownload PDFDownload Excel