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: 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
THL CREDIT SENIOR LOAN FUND TSLF 6.44% $5,785,552.38
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 6.39% $5,738,101.63
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 6.31% $5,664,541.95
HIGHLAND INCOME FUND HFRO 6.09% $5,469,765.75
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.86% $5,262,036.83
INVESCO SENIOR INCOME TRUST VVR 5.29% $4,749,040.85
NUVEEN CREDIT STRATEGIES INCOME FUND JQC 5.26% $4,720,781.33
EATON VANCE SENIOR FLOATING RATE FUND EFR 4.93% $4,428,703.59
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 4.70% $4,221,556.91
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.51% $4,052,354.64
NUVEEN FLOATING RATE INCOME FUND JFR 4.49% $4,030,493.17
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 4.46% $4,001,820.11
BLACKROCK FLOATING RATE INCOME TRUST BGT 4.35% $3,903,250.14
PIONEER FLOATING RATE TRUST PHD 4.12% $3,702,205.49
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 3.97% $3,568,100.97
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 3.88% $3,480,071.24
BLACKROCK FLOATING RATE INCOME STRAT FRA 3.85% $3,454,861.23
NUVEEN SENIOR INCOME FUND NSL 3.70% $3,323,816.09
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.33% $2,993,345.82
EATON VANCE SENIOR INCOME TRUST EVF 2.92% $2,618,047.32
VOYA PRIME RATE TRUST PPR 2.46% $2,210,279.00
FIRST TRUST SENIOR FLOATING RA FIV 1.52% $1,365,675.76
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 1.16% $1,042,567.18

Index Stats

Yield 7.73%
Avg. CEF Prem./Disc. -7.99%
Avg. CEF Leverage 34.05%

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