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.  July 31, 2018 Index Yield: 6.35%

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 6.97% $6,438,374.91
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 6.11% $5,646,632.73
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 5.89% $5,443,803.81
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 5.63% $5,202,648.86
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.10% $4,706,937.99
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 5.07% $4,685,842.68
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 5.01% $4,624,857.10
VOYA PRIME RATE TRUST PPR 4.85% $4,480,136.89
THL CREDIT SENIOR LOAN FUND TSLF 4.82% $4,453,937.26
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.79% $4,426,735.88
PIONEER FLOATING RATE TRUST PHD 4.43% $4,090,263.06
INVESCO SENIOR INCOME TRUST VVR 4.35% $4,014,564.13
EATON VANCE SENIOR INCOME TRUST EVF 4.32% $3,988,012.40
EATON VANCE SENIOR FLOATING RATE FUND EFR 4.14% $3,821,736.12
NUVEEN FLOATING RATE INCOME FUND JFR 4.06% $3,747,467.75
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 4.06% $3,747,460.35
NUVEEN SENIOR INCOME FUND NSL 4.01% $3,705,612.82
FIRST TRUST SENIOR FLOATING RA FIV 3.47% $3,202,002.58
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.09% $2,853,571.72
HIGHLAND FLOATING RATE OPPORTUNITIES FUND HFRO 3.08% $2,841,363.34
BLACKROCK FLOATING RATE INCOME STRAT FRA 2.94% $2,711,862.48
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 2.02% $1,867,288.71
BLACKROCK FLOATING RATE INCOME TRUST BGT 1.82% $1,679,156.45

Index Stats (as of 7/31/2018)

Yield 6.35%
Est. Avg. Modified Duration 0.44 years
Avg. CEF Prem./Disc. -8.24%
Avg. CEF Leverage 32.37%

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