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

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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 6.20% $5,319,398.86
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 5.49% $4,705,612.08
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.40% $4,634,345.24
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 5.35% $4,583,383.97
INVESCO SENIOR INCOME TRUST VVR 5.29% $4,535,970.51
VOYA PRIME RATE TRUST PPR 4.99% $4,281,123.22
NUVEEN FLOATING RATE INCOME FUND JFR 4.99% $4,276,572.10
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 4.95% $4,244,661.51
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 4.83% $4,141,930.34
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 4.47% $3,831,597.18
NUVEEN SENIOR INCOME FUND NSL 4.41% $3,784,407.24
EATON VANCE SENIOR INCOME TRUST EVF 4.32% $3,704,225.07
EATON VANCE FLOATING-RATE INCOME PLUS FUND EFF 4.31% $3,698,788.11
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.20% $3,597,800.98
BLACKROCK FLOATING RATE INCOME TRUST BGT 4.17% $3,571,471.80
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 4.06% $3,481,874.61
THL CREDIT SENIOR LOAN FUND TSLF 3.77% $3,236,607.46
BLACKROCK FLOATING RATE INCOME STRAT FRA 3.73% $3,199,252.62
EATON VANCE SENIOR FLOATING RATE FUND EFR 3.67% $3,150,469.25
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.35% $2,873,191.33
HIGHLAND INCOME FUND HFRO 2.96% $2,541,023.59
NUVEEN CREDIT STRATEGIES INCOME FUND JQC 2.84% $2,436,364.62
FIRST TRUST SENIOR FLOATING RA FIV 1.33% $1,140,273.73
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 0.90% $771,510.12

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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