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Northern Trust ESG & Climate High Yield U.S. Corporate Core Index

 
 
 
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  • Characteristics
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Index Overview
The Northern Trust ESG & Climate High Yield U.S. Corporate Core Index is designed to measure the performance of a diversified universe of high yield, US-dollar denominated bonds of companies that also possess environmental, social, and governance (ESG) characteristics.
Index Construction
Optimized
Index Methodology
The construction of the Index begins with a securities screen to determine eligible securities (defined in “Index Eligibility”). Once all eligible securities have been identified, the securities are then optimized based on their exposure to quantitative factors such as:

  • ESG Vector Score as determined by Northern Trust Investment’s proprietary methodology
  • Institutional Shareholder Services ESG© Data: Carbon Risk Rating and Carbon Intensity
  • Effective Duration
  • OAS


For more details on this methodology, please see the Index Documents tab.
Index Return Streams Available
  • Price Return: NTUHECB
  • Total Return: NTUHECBTR

Related Documents

 
      Inception Date 30-Jul-21
      Index Value at Inception Date1,000
      Hypothetical Inception Date
      Index Value at Hypothetical Inception Date

      Total Returns

      As of 26-Jul-24
       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
      NTUHECBTR
      		1.8024.264.0917.434.569.354.538.006.272.06 30-Jul-21
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      Index Characteristics
       
      Index Constituents1,135
      Weighted Average Yield to Maturity7.65%
      Weighted Average Coupon5.99%
      Weighted Average Yield to Worst7.51%
      26-Jul-24
      Weighted Average Maturity5.54
      Weighted Average Effective Duration3.13
      Weighted Average Option Adjusted Spread305.00
      Weighted Average NRSRO Rating B+
      Index Composition

      Top 10 Constituents Weights
      View All

      as of 26-Jul-24
      Security NameWeight
      CLOUD SOFTWARE GROUP INC. 9 09/30/2029 0.55%
      CCO HOLDINGS LLC/ CCO HOLDINGS CAPITAL CORP. 5.13 05/01/2027 0.54%
      1011778 B.C. UNLIMITED LIABILITY COMPANY / NEW RED FINANCE INC. 4 10/15/2030 0.51%
      DAVITA INC 4.63 06/01/2030 0.50%
      HUB INTERNATIONAL LTD. 7.25 06/15/2030 0.48%
      CCO HOLDINGS LLC/ CCO HOLDINGS CAPITAL CORP. 5 02/01/2028 0.48%
      DIRECTV FINANCING LLC/DIRECTV FINANCING CO-OBLIGOR INC. 5.88 08/15/2027 0.47%
      VODAFONE GROUP PLC 7 04/04/2029 0.41%
      RAKUTEN GROUP INC. 9.75 04/15/2029 0.41%
      INTELSAT JACKSON HOLDINGS SA 6.5 03/15/2030 0.40%
      % of Index4.75%

      Top 10 Issuers by Index Weight
      View All

      as of 26-Jul-24
      Issuer Name# of IssuesWeight
      CCO HOLDINGS LLC/ CCO HOLDINGS CAPITAL CORP. 133.03%
      TENET HEALTHCARE CORPORATION 91.99%
      BAUSCH HEALTH COMPANIES INC. 161.35%
      HILTON DOMESTIC OPERATING CO INC. 81.20%
      1011778 B.C. UNLIMITED LIABILITY COMPANY / NEW RED FINANCE INC. 51.16%
      UNITED RENTALS (NORTH AMERICA) INC. 81.01%
      CAESARS ENTERTAINMENT INC NEW 50.94%
      CLEAR CHANNEL OUTDOOR HOLDINGS INC NEW 50.94%
      ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC / (ALBERTSONS SAFEWAY LLC) 70.88%
      LEVEL 3 FINANCING INC. 110.87%
      % of Index13.37%
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         MethodologyIndex HoldingsRebalance ScheduleProforma Index HoldingsIndex Performance since
        Hypothetical Inception
        Northern Trust ESG & Climate High Yield U.S. Corporate Core Index
        NTUHECBTR        		Download PDFDownload ExcelDownload PDFDownload ExcelDownload Excel
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