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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 31-Jan-17
      Index Value at Hypothetical Inception Date756.55

      Total Returns

      As of 25-Oct-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
      		-0.33-3.973.0912.817.4915.507.609.299.402.81 30-Jul-21
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      Index Characteristics
       
      Index Constituents1,060
      Weighted Average Yield to Maturity7.32%
      Weighted Average Coupon6.03%
      Weighted Average Yield to Worst7.18%
      25-Oct-24
      Weighted Average Maturity4.57
      Weighted Average Effective Duration3.11
      Weighted Average Option Adjusted Spread286.00
      Weighted Average NRSRO Rating B+
      Index Composition

      Top 10 Constituents Weights
      View All

      as of 25-Oct-24
      Security NameWeight
      DIRECTV FINANCING LLC/DIRECTV FINANCING CO-OBLIGOR INC. 5.88 08/15/2027 0.69%
      CCO HOLDINGS LLC/ CCO HOLDINGS CAPITAL CORP. 5.13 05/01/2027 0.55%
      CLOUD SOFTWARE GROUP INC. 9 09/30/2029 0.53%
      1011778 B.C. UNLIMITED LIABILITY COMPANY / NEW RED FINANCE INC. 4 10/15/2030 0.50%
      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 0.46%
      RAKUTEN GROUP INC. 9.75 04/15/2029 0.41%
      VODAFONE GROUP PLC 7 04/04/2029 0.40%
      INTELSAT JACKSON HOLDINGS SA 6.5 03/15/2030 0.39%
      % of Index4.91%

      Top 10 Issuers by Index Weight
      View All

      as of 25-Oct-24
      Issuer Name# of IssuesWeight
      CCO HOLDINGS LLC/ CCO HOLDINGS CAPITAL CORP. 133.01%
      TENET HEALTHCARE CORPORATION 91.94%
      HILTON DOMESTIC OPERATING CO INC. 91.38%
      BAUSCH HEALTH COMPANIES INC. 161.36%
      1011778 B.C. UNLIMITED LIABILITY COMPANY / NEW RED FINANCE INC. 61.15%
      EQUITRANS MIDSTREAM CORPORATION 91.13%
      UNITED RENTALS (NORTH AMERICA) INC. 80.99%
      DAVITA INC 30.94%
      ORGANON & CO. / ORGANON FOREIGN DEBT CO-ISSUER BV 40.94%
      LEVEL 3 FINANCING INC. 100.93%
      % of Index13.77%
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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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