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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 22-OCT-20
 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
1.5820.983.3914.1316.7936.283.984.9317.936.8730-APR-18
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Index Characteristics
 
Index Constituents963
Weighted Average Yield to Maturity7.33%
Weighted Average Coupon6.79%
Weighted Average Yield to Worst6.92%
22-OCT-20
Weighted Average Maturity6.17
Weighted Average Effective Duration3.67
Weighted Average Option Adjusted Spread653.00
Weighted Average NRSRO RatingB
Index Composition

Top 10 Constituents Weights
View All

as of 22-OCT-20
Security NameWeight
DISH DBS CORPORATION 7.75 07/01/20260.76%
CONNECT FINCO SARL/CONNECT US FINCO LLC 6.75 10/01/20260.74%
PANTHER BF AGGREGATOR 2 LP / PANTHER FINANCE COMPANY INC 8.5 05/15/20270.73%
DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO 5.38 08/15/20260.66%
STAPLES INC. 7.5 04/15/20260.65%
CARNIVAL CORPORATION 11.5 04/01/20230.61%
NOVELIS CORPORATION 4.75 01/30/20300.57%
ROYAL CARIBBEAN GROUP 11.5 06/01/20250.57%
UNICREDIT S.P.A. 5.46 06/30/20300.54%
UNIVISION COMMMUNICATIONS INC. 6.63 06/01/20270.53%
% of Index6.36%

Top 10 Issuers by Index Weight
View All

as of 22-OCT-20
Issuer Name# of IssuesWeight
FORD MOTOR COMPANY202.27%
TRANSDIGM INC.81.88%
CCO HOLDINGS LLC/ CCO HOLDINGS CAPITAL CORP.81.80%
DISH DBS CORPORATION41.60%
BAUSCH HEALTH COMPANIES INC81.44%
POST HOLDINGS INC.51.10%
OCCIDENTAL PETROLEUM CORPORATION141.02%
HILTON DOMESTIC OPERATING CO INC.71.02%
PANTHER BF AGGREGATOR 2 LP / PANTHER FINANCE COMPANY INC30.95%
DIAMOND SPORTS GROUP LLC / DIAMOND SPORTS FINANCE CO20.95%
% of Index14.03%

Key Rate Duration (KRD)
 

as of 22-OCT-20
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
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