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.  The index yield as of December 11, 2017 is 6.89%.

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 7.01% $6,568,443.09
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 5.94% $5,565,765.64
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 5.67% $5,316,942.55
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 5.60% $5,253,713.12
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.06% $4,742,020.75
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 5.01% $4,699,905.84
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 4.98% $4,671,901.81
VOYA PRIME RATE TRUST PPR 4.95% $4,643,380.74
THL CREDIT SENIOR LOAN FUND TSLF 4.74% $4,445,815.37
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.69% $4,393,678.11
PIONEER FLOATING RATE TRUST PHD 4.53% $4,246,294.90
INVESCO SENIOR INCOME TRUST VVR 4.40% $4,127,122.00
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 4.31% $4,036,007.49
EATON VANCE SENIOR INCOME TRUST EVF 4.31% $4,037,629.97
NUVEEN FLOATING RATE INCOME FUND JFR 4.24% $3,971,953.74
EATON VANCE SENIOR FLOATING RATE FUND EFR 4.17% $3,913,500.97
NUVEEN SENIOR INCOME FUND NSL 4.11% $3,850,457.62
FIRST TRUST SENIOR FLOATING RA FIV 3.42% $3,208,896.02
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.06% $2,869,363.48
BLACKROCK FLOATING RATE INCOME STRAT FRA 2.98% $2,794,040.13
HIGHLAND FLOATING RATE OPPORTUNITIES FUND HFRO 2.97% $2,785,473.58
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 1.97% $1,849,334.01
BLACKROCK FLOATING RATE INCOME TRUST BGT 1.87% $1,749,387.33

Index Statistics

Yield 6.89% (as of December 11, 2017)

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