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 6.23% $5,457,631.55
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 5.53% $4,843,758.49
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.45% $4,777,282.55
INVESCO SENIOR INCOME TRUST VVR 5.37% $4,710,430.91
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 5.35% $4,693,769.13
VOYA PRIME RATE TRUST PPR 5.03% $4,409,465.24
NUVEEN FLOATING RATE INCOME FUND JFR 5.00% $4,383,597.89
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 4.81% $4,221,030.83
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 4.49% $3,937,941.08
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 4.48% $3,928,269.55
NUVEEN SENIOR INCOME FUND NSL 4.42% $3,877,032.59
EATON VANCE SENIOR INCOME TRUST EVF 4.39% $3,849,965.07
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.24% $3,712,624.42
EATON VANCE FLOATING-RATE INCOME PLUS FUND EFF 4.18% $3,667,132.91
BLACKROCK FLOATING RATE INCOME TRUST BGT 4.17% $3,658,651.74
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 4.11% $3,603,362.00
THL CREDIT SENIOR LOAN FUND TSLF 3.88% $3,401,852.90
BLACKROCK FLOATING RATE INCOME STRAT FRA 3.74% $3,280,632.66
EATON VANCE SENIOR FLOATING RATE FUND EFR 3.71% $3,250,678.13
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.27% $2,862,825.04
HIGHLAND FLOATING RATE OPPORTUNITIES FUND HFRO 2.99% $2,618,434.82
NUVEEN CREDIT STRATEGIES INCOME FUND JQC 2.98% $2,609,689.88
FIRST TRUST SENIOR FLOATING RA FIV 1.30% $1,138,983.82
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 0.88% $769,849.17

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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