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 6.16% $5,339,877.77
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 5.43% $4,709,929.15
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 5.43% $4,708,167.20
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.40% $4,685,167.39
INVESCO SENIOR INCOME TRUST VVR 5.22% $4,525,066.73
NUVEEN FLOATING RATE INCOME FUND JFR 5.07% $4,392,516.70
VOYA PRIME RATE TRUST PPR 5.05% $4,381,963.38
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 4.94% $4,280,107.53
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 4.54% $3,938,566.45
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 4.50% $3,902,200.69
NUVEEN SENIOR INCOME FUND NSL 4.44% $3,850,568.20
EATON VANCE SENIOR INCOME TRUST EVF 4.31% $3,734,587.57
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.22% $3,657,946.59
EATON VANCE FLOATING-RATE INCOME PLUS FUND EFF 4.21% $3,650,087.80
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 4.16% $3,605,654.22
BLACKROCK FLOATING RATE INCOME TRUST BGT 4.11% $3,562,753.80
THL CREDIT SENIOR LOAN FUND TSLF 3.90% $3,382,023.45
BLACKROCK FLOATING RATE INCOME STRAT FRA 3.75% $3,252,658.27
EATON VANCE SENIOR FLOATING RATE FUND EFR 3.70% $3,206,683.99
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.29% $2,850,731.03
HIGHLAND FLOATING RATE OPPORTUNITIES FUND HFRO 3.05% $2,641,658.19
NUVEEN CREDIT STRATEGIES INCOME FUND JQC 2.93% $2,537,743.55
FIRST TRUST SENIOR FLOATING RA FIV 1.31% $1,138,983.82
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 0.88% $760,713.96

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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