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
THL CREDIT SENIOR LOAN FUND TSLF 6.47% $5,823,145.31
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 6.30% $5,670,382.10
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 6.24% $5,620,630.77
HIGHLAND INCOME FUND HFRO 6.23% $5,611,837.58
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.90% $5,313,223.96
INVESCO SENIOR INCOME TRUST VVR 5.30% $4,771,129.41
NUVEEN CREDIT STRATEGIES INCOME FUND JQC 5.20% $4,683,755.59
EATON VANCE SENIOR FLOATING RATE FUND EFR 4.87% $4,383,676.83
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 4.67% $4,204,721.18
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.51% $4,061,050.68
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 4.50% $4,053,474.04
NUVEEN FLOATING RATE INCOME FUND JFR 4.50% $4,054,225.22
BLACKROCK FLOATING RATE INCOME TRUST BGT 4.32% $3,891,377.14
PIONEER FLOATING RATE TRUST PHD 4.17% $3,755,958.02
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 4.06% $3,655,182.28
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 3.88% $3,495,869.23
BLACKROCK FLOATING RATE INCOME STRAT FRA 3.83% $3,444,654.84
NUVEEN SENIOR INCOME FUND NSL 3.65% $3,285,485.43
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.33% $2,997,025.41
EATON VANCE SENIOR INCOME TRUST EVF 2.90% $2,614,056.39
VOYA PRIME RATE TRUST PPR 2.49% $2,240,675.77
FIRST TRUST SENIOR FLOATING RA FIV 1.51% $1,359,808.19
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 1.16% $1,040,392.90

Index Stats

Yield 7.73%
Avg. CEF Prem./Disc. -7.99%
Avg. CEF Leverage 34.05%

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