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 7.18% $6,145,721.51
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 5.85% $5,010,243.86
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 5.75% $4,919,200.50
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 5.69% $4,873,531.76
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.06% $4,329,798.23
VOYA PRIME RATE TRUST PPR 4.98% $4,262,478.42
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 4.95% $4,235,821.78
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 4.95% $4,241,261.75
THL CREDIT SENIOR LOAN FUND TSLF 4.80% $4,108,102.13
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.64% $3,975,948.11
PIONEER FLOATING RATE TRUST PHD 4.50% $3,848,785.22
INVESCO SENIOR INCOME TRUST VVR 4.48% $3,836,347.49
EATON VANCE SENIOR INCOME TRUST EVF 4.45% $3,808,148.70
EATON VANCE SENIOR FLOATING RATE FUND EFR 4.18% $3,578,829.17
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 4.13% $3,531,963.11
NUVEEN SENIOR INCOME FUND NSL 4.07% $3,482,310.42
NUVEEN FLOATING RATE INCOME FUND JFR 4.07% $3,486,774.34
FIRST TRUST SENIOR FLOATING RA FIV 3.48% $2,981,412.52
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.07% $2,626,170.32
HIGHLAND FLOATING RATE OPPORTUNITIES FUND HFRO 2.98% $2,554,702.95
BLACKROCK FLOATING RATE INCOME STRAT FRA 2.85% $2,439,893.59
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 2.06% $1,767,540.38
BLACKROCK FLOATING RATE INCOME TRUST BGT 1.82% $1,557,848.57

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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