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Northern Trust High Yield Value-Scored US Corporate Bond Index

 
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  • Performance
  • Characteristics
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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 05-JUN-23
       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
      		0.617.441.224.823.326.774.9011.7724.464.3830-APR-18
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      Index Characteristics
       
      Index Constituents1,089
      Weighted Average Yield to Maturity10.36%
      Weighted Average Coupon6.33%
      Weighted Average Yield to Worst10.34%
      05-JUN-23
      Weighted Average Maturity5.02
      Weighted Average Effective Duration3.71
      Weighted Average Option Adjusted Spread623.00
      Weighted Average NRSRO RatingB
      Index Composition

      Top 10 Constituents Weights
      View All

      as of 05-JUN-23
      Security NameWeight
      STAPLES INC. 7.5 04/15/20260.70%
      UNITI GROUP LP/UNITI FIBER HOLDINGS INC/UNITI GROUP FINANCE 2019 INC/CSL CAPITAL LLC 10.5 02/15/20280.66%
      NEPTUNE BIDCO US INC. 9.29 04/15/20290.60%
      NEW FORTRESS ENERGY INC. 6.5 09/30/20260.57%
      DISH DBS CORPORATION 7.75 07/01/20260.52%
      MINERVA MERGER SUBORDINATED INC. 6.5 02/15/20300.51%
      WESCO AIRCRAFT HOLDINGS INC. 10.5 11/15/20260.51%
      BAUSCH HEALTH COMPANIES INC 11 09/30/20280.50%
      COMSTOCK RESOURCES INC. 6.75 03/01/20290.46%
      TIBCO SOFTWARE INC 6.5 03/31/20290.45%
      % of Index5.48%

      Top 10 Issuers by Index Weight
      View All

      as of 05-JUN-23
      Issuer Name# of IssuesWeight
      FORD MOTOR CREDIT COMPANY LLC222.18%
      DISH DBS CORPORATION72.09%
      BAUSCH HEALTH COMPANIES INC101.70%
      TRANSDIGM INC.61.38%
      ALTICE FRANCE S.A71.36%
      CCO HOLDINGS LLC/ CCO HOLDINGS CAPITAL CORP.101.09%
      STAPLES INC.20.95%
      ALLIED UNIVERSAL HOLDCO LLC / ALLIED UNIVERSAL FINANCE CORPORATION50.93%
      NEW FORTRESS ENERGY INC.20.86%
      LEVEL 3 FINANCING INC.70.75%
      % of Index13.29%

      Key Rate Duration (KRD)
       

      as of 05-JUN-23
      MaturityKRD
      3 Month
      1 Year
      2 Year
      3 Year
      5 Year
      7 Year
      10 Year
      15 Year
      20 Year
      25 Year
      30 Year
      YEARS0.00
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               MethodologyIndex HoldingsRebalance ScheduleProforma Index HoldingsIndex Performance since
              Hypothetical Inception
              Northern Trust High Yield Value-Scored US
              Corporate Bond Index
              NTUHVCBTR              		Download PDFDownload ExcelDownload PDFDownload ExcelDownload Excel