Prime

Senior Loan & Income

Closed End Fund Index

The index is designed to benefit from a rising interest rate environment.  It seeks to achieve this by selecting senior loan and floating rate Closed-End Funds (“CEF’s”) that have a substantial allocation to floating rate senior loans or other floating rate instruments.  May 31, 2018 Index Yield: 6.32%

FACT SHEET

INDEX KEY FACTS

Base Date: February 03, 2017
Total number of holdings: 22
Launch date: February 06, 2017
Reconstitution: Annually (January)
Index calculation agent: Solactive AG
Weighting scheme: Factor-weighted by Prime Score™

INDEX SYMBOLS

Version Bloomberg Reuters ISIN
Prime Senior Loan and Income CEF Index GTR PFCEF Index .PFCEF DE000SLA2258
Prime Senior Loan and Income CEF Index NTR N/A .PFCEFN DE000SLA2266
Prime Senior Loan and Income CEF Index PR N/A .PFCEFP DE000SLA2274

INDEX COMPOSITION

Component Name Ticker Weight Market Cap
NUVEEN CREDIT STRATEGIES INCOME FUND JQC 6.94% $6,503,409.00
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 5.93% $5,562,249.68
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 5.88% $5,515,907.17
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 5.72% $5,358,088.28
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 5.21% $4,888,352.09
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.15% $4,823,880.55
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 4.98% $4,668,282.99
VOYA PRIME RATE TRUST PPR 4.89% $4,588,966.13
THL CREDIT SENIOR LOAN FUND TSLF 4.86% $4,553,495.86
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.70% $4,408,704.37
PIONEER FLOATING RATE TRUST PHD 4.45% $4,175,709.07
EATON VANCE SENIOR INCOME TRUST EVF 4.33% $4,062,438.76
INVESCO SENIOR INCOME TRUST VVR 4.32% $4,052,083.42
EATON VANCE SENIOR FLOATING RATE FUND EFR 4.21% $3,948,587.53
NUVEEN SENIOR INCOME FUND NSL 4.10% $3,844,422.42
NUVEEN FLOATING RATE INCOME FUND JFR 4.07% $3,816,261.85
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 4.06% $3,809,552.77
FIRST TRUST SENIOR FLOATING RA FIV 3.42% $3,208,896.02
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.04% $2,847,255.01
HIGHLAND FLOATING RATE OPPORTUNITIES FUND HFRO 3.02% $2,826,940.18
BLACKROCK FLOATING RATE INCOME STRAT FRA 2.93% $2,747,081.47
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 1.99% $1,863,298.78
BLACKROCK FLOATING RATE INCOME TRUST BGT 1.79% $1,676,602.60

Index Statistics (as of May 31, 2018)

Yield 6.32%
Est. Avg. Modified Duration 0.44 years
Avg. CEF Prem./Disc. -6.17%
Avg. CEF Leverage 32.33%

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