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: 23
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 7.02% $6,357,082.30
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 6.04% $5,470,834.70
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 5.81% $5,260,267.98
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 5.68% $5,143,216.14
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 5.25% $4,747,720.56
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.04% $4,560,759.79
VOYA PRIME RATE TRUST PPR 4.92% $4,452,929.58
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 4.90% $4,433,059.43
THL CREDIT SENIOR LOAN FUND TSLF 4.85% $4,385,818.22
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.72% $4,270,462.78
INVESCO SENIOR INCOME TRUST VVR 4.40% $3,986,424.66
PIONEER FLOATING RATE TRUST PHD 4.38% $3,963,951.58
EATON VANCE SENIOR INCOME TRUST EVF 4.33% $3,919,788.24
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 4.12% $3,725,545.37
EATON VANCE SENIOR FLOATING RATE FUND EFR 4.12% $3,732,670.24
NUVEEN SENIOR INCOME FUND NSL 4.07% $3,681,472.02
NUVEEN FLOATING RATE INCOME FUND JFR 4.06% $3,675,052.92
FIRST TRUST SENIOR FLOATING RA FIV 3.44% $3,112,387.87
HIGHLAND FLOATING RATE OPPORTUNITIES FUND HFRO 3.07% $2,774,656.21
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.02% $2,735,133.49
BLACKROCK FLOATING RATE INCOME STRAT FRA 2.92% $2,641,424.49
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 2.02% $1,825,394.41
BLACKROCK FLOATING RATE INCOME TRUST BGT 1.82% $1,651,064.10

Index Stats (as of 9/7/2018)

Yield 6.44%
Est. Avg. Modified Duration 0.44 years
Avg. CEF Prem./Disc. -8.55%
Avg. CEF Leverage 32.44%

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