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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 31-Jan-17
      Index Value at Hypothetical Inception Date757.51

      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
      NTUIECBTR
      		-2.24-24.052.289.366.3713.113.223.92-6.64-2.10 30-Jul-21
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      Index Characteristics
       
      Index Constituents3,704
      Weighted Average Yield to Maturity5.15%
      Weighted Average Coupon4.25%
      Weighted Average Yield to Worst5.09%
      25-Oct-24
      Weighted Average Maturity10.57
      Weighted Average Effective Duration6.94
      Weighted Average Option Adjusted Spread82.00
      Weighted Average NRSRO Rating A-
      Index Composition

      Top 10 Constituents Weights
      View All

      as of 25-Oct-24
      Security NameWeight
      CASH 0 10/25/2024 0.23%
      GOLDMAN SACHS GROUP INC. 6.75 10/01/2037 0.22%
      PFIZER INVESTMENT ENTERPRISES PTE LTD. 5.3 05/19/2053 0.22%
      PFIZER INVESTMENT ENTERPRISES PTE LTD. 4.75 05/19/2033 0.18%
      CVS HEALTH CORP 5.05 03/25/2048 0.18%
      BANK OF AMERICA CORP. 3.42 12/20/2027 0.17%
      MICROSOFT CORP. 2.92 03/17/2052 0.16%
      BANK OF AMERICA CORP. 5.47 01/23/2034 0.15%
      MICROSOFT CORP. 2.53 06/01/2050 0.15%
      PFIZER INVESTMENT ENTERPRISES PTE LTD. 4.45 05/19/2028 0.15%
      % of Index1.81%

      Top 10 Issuers by Index Weight
      View All

      as of 25-Oct-24
      Issuer Name# of IssuesWeight
      CITIGROUP INC. 533.02%
      MORGAN STANLEY 523.01%
      BANK OF AMERICA CORP. 573.00%
      GOLDMAN SACHS GROUP INC. 423.00%
      JPMORGAN CHASE & CO. 432.79%
      VERIZON COMMUNICATIONS INC. 452.41%
      APPLE INC. 422.35%
      COMCAST CORPORATION 622.11%
      PFIZER INC. 291.87%
      ORACLE CORP. 341.82%
      % of Index25.38%

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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