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 6.22% $5,432,032.90
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 5.53% $4,826,490.19
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.40% $4,713,754.85
INVESCO SENIOR INCOME TRUST VVR 5.36% $4,677,719.58
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 5.33% $4,650,574.94
VOYA PRIME RATE TRUST PPR 5.02% $4,381,963.38
NUVEEN FLOATING RATE INCOME FUND JFR 5.01% $4,374,679.07
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 4.94% $4,315,553.56
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 4.63% $4,038,961.28
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 4.48% $3,908,698.95
NUVEEN SENIOR INCOME FUND NSL 4.46% $3,896,880.88
EATON VANCE SENIOR INCOME TRUST EVF 4.29% $3,746,732.57
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.24% $3,704,422.75
EATON VANCE FLOATING-RATE INCOME PLUS FUND EFF 4.22% $3,679,307.98
BLACKROCK FLOATING RATE INCOME TRUST BGT 4.11% $3,588,907.79
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 4.05% $3,534,595.55
THL CREDIT SENIOR LOAN FUND TSLF 3.83% $3,344,567.81
BLACKROCK FLOATING RATE INCOME STRAT FRA 3.74% $3,260,287.65
EATON VANCE SENIOR FLOATING RATE FUND EFR 3.70% $3,233,569.29
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.31% $2,887,013.06
HIGHLAND INCOME FUND HFRO 2.98% $2,602,952.58
NUVEEN CREDIT STRATEGIES INCOME FUND JQC 2.93% $2,557,365.27
FIRST TRUST SENIOR FLOATING RA FIV 1.31% $1,142,853.53
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 0.89% $778,153.91

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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