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 6.19% $5,391,075.07
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 5.45% $4,748,782.83
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.44% $4,735,989.55
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 5.36% $4,669,772.36
INVESCO SENIOR INCOME TRUST VVR 5.27% $4,590,489.38
NUVEEN FLOATING RATE INCOME FUND JFR 5.05% $4,396,976.11
VOYA PRIME RATE TRUST PPR 5.03% $4,381,963.38
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 4.92% $4,283,061.37
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 4.55% $3,959,160.27
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 4.48% $3,905,449.82
NUVEEN SENIOR INCOME FUND NSL 4.45% $3,877,032.59
EATON VANCE SENIOR INCOME TRUST EVF 4.30% $3,746,732.57
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.24% $3,696,221.07
EATON VANCE FLOATING-RATE INCOME PLUS FUND EFF 4.19% $3,647,652.79
BLACKROCK FLOATING RATE INCOME TRUST BGT 4.15% $3,615,061.77
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 4.11% $3,580,439.85
THL CREDIT SENIOR LOAN FUND TSLF 3.93% $3,426,088.90
BLACKROCK FLOATING RATE INCOME STRAT FRA 3.77% $3,285,718.91
EATON VANCE SENIOR FLOATING RATE FUND EFR 3.70% $3,221,348.70
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.30% $2,874,919.05
HIGHLAND INCOME FUND HFRO 2.96% $2,581,664.49
NUVEEN CREDIT STRATEGIES INCOME FUND JQC 2.92% $2,544,284.12
FIRST TRUST SENIOR FLOATING RA FIV 1.33% $1,154,333.66
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 0.89% $773,171.07

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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