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 6.85% $6,503,409.00
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 5.89% $5,590,377.36
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 5.75% $5,456,913.51
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 5.66% $5,376,375.27
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.18% $4,914,511.03
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 5.01% $4,755,134.77
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 4.99% $4,742,095.30
VOYA PRIME RATE TRUST PPR 4.90% $4,656,984.40
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.79% $4,552,956.45
THL CREDIT SENIOR LOAN FUND TSLF 4.77% $4,527,296.23
PIONEER FLOATING RATE TRUST PHD 4.52% $4,290,875.42
INVESCO SENIOR INCOME TRUST VVR 4.39% $4,164,641.29
EATON VANCE SENIOR INCOME TRUST EVF 4.38% $4,161,673.91
EATON VANCE SENIOR FLOATING RATE FUND EFR 4.21% $4,002,566.86
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 4.17% $3,955,652.59
NUVEEN SENIOR INCOME FUND NSL 4.16% $3,953,056.02
NUVEEN FLOATING RATE INCOME FUND JFR 4.13% $3,924,884.10
FIRST TRUST SENIOR FLOATING RA FIV 3.42% $3,246,809.93
HIGHLAND FLOATING RATE OPPORTUNITIES FUND HFRO 3.03% $2,879,224.15
BLACKROCK FLOATING RATE INCOME STRAT FRA 3.00% $2,844,912.01
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 2.97% $2,820,409.02
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 2.00% $1,895,218.24
BLACKROCK FLOATING RATE INCOME TRUST BGT 1.84% $1,745,556.55

Index Statistics

Yield 6.89% (as of December 11, 2017)
Estimated Modified Duration 0.425 years (as of March 31, 2018)

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