Northern Trust Logo
 

Northern Trust Credit-Scored US Corporate Bond Index

 
.
 
 
 
.

Find a Fund

 
Search go
  • Snapshot
  • Performance
  • Characteristics
  • Index Documents
Index Overview
The Northern Trust Credit-Scored US Corporate Bond Index is designed to measure the performance of a diversified universe of intermediate 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: NTUCCB
  • Total Return: NTUCCBTR

Related Documents

 
Inception Date30-SEP-14
Index Value at Inception Date1,000
Hypothetical Inception Date31-DEC-03
Index Value at Hypothetical Inception Date559.27

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
NTUCCBTR
1.0313.343.8416.505.7311.884.3315.4215.493.2230-SEP-14
.
Index Characteristics
 
Index Constituents1,399
Weighted Average Yield to Maturity3.31%
Weighted Average Coupon3.56%
Weighted Average Yield to Worst3.30%
18-APR-19
Weighted Average Maturity5.50
Weighted Average Effective Duration4.80
Weighted Average Option Adjusted Spread87.46
Weighted Average NRSRO RatingA-
Index Composition

Top 10 Constituents Weights
View All

as of 18-APR-19
Security NameWeight
BANK AMER CORP 3.0040 12/20/20220.54%
GOLDMAN SACHS GROUP INC 5.7500 01/24/20220.42%
GOLDMAN SACHS GROUP INC 5.2500 07/27/20210.34%
GOLDMAN SACHS GROUP INC 4.2230 05/01/20280.32%
GOLDMAN SACHS GROUP 2.8760 10/31/20210.29%
GOLDMAN SACHS GROUP INC 3.0000 04/26/20220.28%
MORGAN STANLEY 3.8750 04/29/20240.28%
MORGAN STANLEY 2.7500 05/19/20220.28%
MORGAN STANLEY 3.7000 10/23/20240.28%
MORGAN STANLEY 4.0000 07/23/20250.28%
% of Index3.31%

Top 10 Issuers by Index Weight
View All

as of 18-APR-19
Issuer Name# of IssuesWeight
JPMORGAN CHASE & CO365.29%
GOLDMAN SACHS GROUP INC245.15%
BANK AMER CORP334.99%
MORGAN STANLEY224.45%
CITIGROUP INC313.86%
APPLE INC231.90%
HSBC HLDGS PLC191.82%
MITSUBISHI UFJ FINL GROUP INC171.80%
CAPITAL ONE FINL CORP181.69%
SUMITOMO MITSUI FINL GROUP INC231.66%
% of Index32.61%

Key Rate Duration (KRD)
 

as of 18-APR-19
MaturityKRD
3 Month0.00
1 Year0.01
2 Year0.20
3 Year0.77
5 Year1.17
7 Year1.76
10 Year0.87
15 Year0.00
20 Year0.00
25 Year0.00
30 Year0.00
YEARS4.78
.
 MethodologyIndex HoldingsRebalance ScheduleIndex Performance since
Hypothetical Inception
Northern Trust Credit-Scored US Corporate Bond Index
NTUCCBTR
Download PDFDownload ExcelDownload PDFDownload Excel
.