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.  

FACT SHEET

Prime Senior Loan & Income CEF Index Factsheet

PDF

INDEX KEY FACTS

Base Date: February 03, 2017
Total number of holdings: 24
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
PIONEER FLOATING RATE TRUST PHD 6.29% $5,329,638.31
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 5.54% $4,692,660.85
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.46% $4,631,168.85
INVESCO SENIOR INCOME TRUST VVR 5.30% $4,492,355.41
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 5.27% $4,468,199.45
VOYA PRIME RATE TRUST PPR 5.06% $4,290,290.51
NUVEEN FLOATING RATE INCOME FUND JFR 4.95% $4,196,302.76
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 4.93% $4,179,677.13
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 4.69% $3,972,031.40
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 4.56% $3,863,211.18
NUVEEN SENIOR INCOME FUND NSL 4.43% $3,751,326.76
EATON VANCE FLOATING-RATE INCOME PLUS FUND EFF 4.40% $3,730,443.30
EATON VANCE SENIOR INCOME TRUST EVF 4.38% $3,716,370.07
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.23% $3,589,599.31
BLACKROCK FLOATING RATE INCOME TRUST BGT 4.19% $3,554,035.81
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 3.99% $3,381,017.15
BLACKROCK FLOATING RATE INCOME STRAT FRA 3.74% $3,168,735.11
THL CREDIT SENIOR LOAN FUND TSLF 3.74% $3,172,712.55
EATON VANCE SENIOR FLOATING RATE FUND EFR 3.72% $3,152,913.37
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.30% $2,798,899.56
NUVEEN CREDIT STRATEGIES INCOME FUND JQC 2.80% $2,377,499.43
HIGHLAND INCOME FUND HFRO 2.78% $2,359,107.21
FIRST TRUST SENIOR FLOATING RA FIV 1.34% $1,135,114.12
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 0.91% $767,357.75

Index Stats (as of 10/29/2018)

Yield 6.70%
Est. Avg. Modified Duration 0.43 years
Avg. CEF Prem./Disc. -8.78%
Avg. CEF Leverage 32.41%

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