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 6.17% $5,396,194.80
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 5.46% $4,770,368.21
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.45% $4,761,400.62
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 5.30% $4,636,176.87
INVESCO SENIOR INCOME TRUST VVR 5.29% $4,623,200.71
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 5.09% $4,451,429.99
VOYA PRIME RATE TRUST PPR 5.01% $4,381,963.38
NUVEEN FLOATING RATE INCOME FUND JFR 4.96% $4,339,003.81
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 4.71% $4,118,762.30
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 4.52% $3,950,937.59
NUVEEN SENIOR INCOME FUND NSL 4.43% $3,877,032.59
EATON VANCE SENIOR INCOME TRUST EVF 4.35% $3,801,385.07
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.18% $3,657,946.59
EATON VANCE FLOATING-RATE INCOME PLUS FUND EFF 4.18% $3,657,392.85
BLACKROCK FLOATING RATE INCOME TRUST BGT 4.14% $3,617,967.77
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 4.01% $3,507,088.97
THL CREDIT SENIOR LOAN FUND TSLF 3.81% $3,331,348.18
BLACKROCK FLOATING RATE INCOME STRAT FRA 3.71% $3,242,485.77
EATON VANCE SENIOR FLOATING RATE FUND EFR 3.67% $3,204,239.87
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.39% $2,964,760.27
HIGHLAND INCOME FUND HFRO 3.03% $2,647,464.03
NUVEEN CREDIT STRATEGIES INCOME FUND JQC 2.90% $2,534,473.26
FIRST TRUST SENIOR FLOATING RA FIV 1.34% $1,171,231.38
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 0.89% $779,814.86

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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