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 6.32% $5,447,392.09
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.46% $4,710,578.47
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 5.46% $4,709,929.15
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 5.35% $4,616,979.45
INVESCO SENIOR INCOME TRUST VVR 5.20% $4,481,451.63
VOYA PRIME RATE TRUST PPR 5.19% $4,473,636.26
NUVEEN FLOATING RATE INCOME FUND JFR 5.02% $4,330,084.99
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 4.80% $4,141,277.27
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 4.58% $3,950,937.59
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 4.53% $3,902,527.28
EATON VANCE FLOATING-RATE INCOME PLUS FUND EFF 4.42% $3,810,798.81
NUVEEN SENIOR INCOME FUND NSL 4.41% $3,804,255.53
EATON VANCE SENIOR INCOME TRUST EVF 4.37% $3,771,022.57
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.27% $3,679,817.72
BLACKROCK FLOATING RATE INCOME TRUST BGT 4.26% $3,670,275.74
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 3.93% $3,387,893.79
BLACKROCK FLOATING RATE INCOME STRAT FRA 3.88% $3,346,753.94
THL CREDIT SENIOR LOAN FUND TSLF 3.79% $3,267,453.27
EATON VANCE SENIOR FLOATING RATE FUND EFR 3.71% $3,201,795.75
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.26% $2,814,449.00
NUVEEN CREDIT STRATEGIES INCOME FUND JQC 2.86% $2,469,067.50
HIGHLAND INCOME FUND HFRO 2.65% $2,285,566.54
FIRST TRUST SENIOR FLOATING RA FIV 1.37% $1,184,130.41
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 0.90% $775,662.49

Index Stats

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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