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 |
|---|---|---|
| NUVEEN CREDIT STRATEGIES INCOME FUND | JQC | 6.94% |
| BLACKSTONE / GSO STRATEGIC CREDIT FUND | BGB | 5.93% |
| BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND | BGX | 5.88% |
| INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND | VTA | 5.72% |
| NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND | JSD | 5.21% |
| APOLLO SENIOR FLOATING RATE FUND INC | AFT | 5.15% |
| FIRST TRUST SENIOR FLOATING RATE INCOME FUND II | FCT | 4.98% |
| VOYA PRIME RATE TRUST | PPR | 4.89% |
| THL CREDIT SENIOR LOAN FUND | TSLF | 4.86% |
| EATON VANCE FLOATING-RATE INCOME TRUST | EFT | 4.70% |
| PIONEER FLOATING RATE TRUST | PHD | 4.45% |
| EATON VANCE SENIOR INCOME TRUST | EVF | 4.33% |
| INVESCO SENIOR INCOME TRUST | VVR | 4.32% |
| EATON VANCE SENIOR FLOATING RATE FUND | EFR | 4.21% |
| NUVEEN SENIOR INCOME FUND | NSL | 4.10% |
| NUVEEN FLOATING RATE INCOME FUND | JFR | 4.07% |
| NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF | JRO | 4.06% |
| FIRST TRUST SENIOR FLOATING RA | FIV | 3.42% |
| BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND | BSL | 3.04% |
| HIGHLAND FLOATING RATE OPPORTUNITIES FUND | HFRO | 3.02% |
| BLACKROCK FLOATING RATE INCOME STRAT | FRA | 2.93% |
| EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST | EFL | 1.99% |
| BLACKROCK FLOATING RATE INCOME TRUST | BGT | 1.79% |
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% |