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Northern Trust ESG & Climate Investment Grade U.S. Corporate Core Index

 
 
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Index Overview
The Northern Trust ESG & Climate Investment Grade U.S. Corporate Core Index is designed to measure the performance of a diversified universe of US-dollar denominated bonds of companies with investment grade credit quality, 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: NTUIECB
  • Total Return: NTUIECBTR

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 19-Jun-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
NTUIECBTR
1.4617.381.726.991.182.380.781.65-8.85-3.15 30-Jul-21
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Index Characteristics
 
Index Constituents3,678
Weighted Average Yield to Maturity5.39%
Weighted Average Coupon4.19%
Weighted Average Yield to Worst5.34%
19-Jun-24
Weighted Average Maturity11.26
Weighted Average Effective Duration6.99
Weighted Average Option Adjusted Spread92.00
Weighted Average NRSRO Rating A-
Index Composition

Top 10 Constituents Weights
View All

as of 19-Jun-24
Security NameWeight
GOLDMAN SACHS GROUP INC. 6.75 10/01/2037 0.22%
PFIZER INVESTMENT ENTERPRISES PTE LTD. 5.3 05/19/2053 0.22%
CASH 0 06/19/2024 0.19%
CVS HEALTH CORP 5.05 03/25/2048 0.19%
PFIZER INVESTMENT ENTERPRISES PTE LTD. 4.75 05/19/2033 0.18%
BANK OF AMERICA CORP. 3.42 12/20/2027 0.17%
MICROSOFT CORPORATION 2.92 03/17/2052 0.16%
VERIZON COMMUNICATIONS INC. 4.33 09/21/2028 0.15%
MICROSOFT CORPORATION 2.53 06/01/2050 0.15%
BANK OF AMERICA CORP. 5.47 01/23/2034 0.15%
% of Index1.78%

Top 10 Issuers by Index Weight
View All

as of 19-Jun-24
Issuer Name# of IssuesWeight
MORGAN STANLEY 532.99%
BANK OF AMERICA CORP. 602.99%
GOLDMAN SACHS GROUP INC. 432.98%
CITIGROUP INC. 512.98%
VERIZON COMMUNICATIONS INC. 452.58%
COMCAST CORPORATION 602.11%
APPLE INC. 431.96%
PFIZER INC. 291.91%
HSBC HOLDINGS PLC 431.82%
AMGEN INC. 361.50%
% of Index23.82%

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 MethodologyIndex HoldingsRebalance ScheduleProforma Index HoldingsIndex Performance since
Hypothetical Inception
Northern Trust ESG & Climate Investment Grade U.S. Corporate Core Index
NTUIECBTR
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