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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 Date30-JUL-21
      Index Value at Inception Date1,000
      Hypothetical Inception Date
      Index Value at Hypothetical Inception Date

      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
      NTUIECBTR
      		-0.95-10.591.957.781.392.822.876.80-14.27-7.9930-JUL-21
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      Index Characteristics
       
      Index Constituents3,609
      Weighted Average Yield to Maturity5.43%
      Weighted Average Coupon3.93%
      Weighted Average Yield to Worst5.40%
      05-JUN-23
      Weighted Average Maturity10.96
      Weighted Average Effective Duration7.14
      Weighted Average Option Adjusted Spread134.00
      Weighted Average NRSRO RatingA-
      Index Composition

      Top 10 Constituents Weights
      View All

      as of 05-JUN-23
      Security NameWeight
      CVS HEALTH CORP 5.05 03/25/20480.21%
      PFIZER INVESTMENT ENTERPRISES PTE LTD. 5.3 05/19/20530.20%
      GOLDMAN SACHS GROUP INC. 6.75 10/01/20370.19%
      MICROSOFT CORPORATION 2.92 03/17/20520.19%
      CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL CORP. 4.91 07/23/20250.18%
      BANK OF AMERICA CORPORATION 3.42 12/20/20270.18%
      MICROSOFT CORPORATION 2.53 06/01/20500.17%
      VERIZON COMMUNICATIONS INC. 4.33 09/21/20280.16%
      PFIZER INVESTMENT ENTERPRISES PTE LTD. 4.75 05/19/20330.16%
      MICROSOFT CORPORATION 3.3 02/06/20270.16%
      % of Index1.80%

      Top 10 Issuers by Index Weight
      View All

      as of 05-JUN-23
      Issuer Name# of IssuesWeight
      BANK OF AMERICA CORPORATION663.00%
      MORGAN STANLEY523.00%
      JPMORGAN CHASE & CO.652.99%
      CITIGROUP INC.472.99%
      GOLDMAN SACHS GROUP INC.432.97%
      HSBC HOLDINGS PLC462.91%
      VERIZON COMMUNICATIONS INC.462.80%
      APPLE INC.492.42%
      COMCAST CORPORATION582.12%
      PFIZER INC.311.78%
      % of Index26.98%

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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              		Download PDFDownload ExcelDownload PDFDownload ExcelDownload Excel