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 6.26% $5,401,314.53
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 5.53% $4,774,685.28
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.42% $4,675,638.24
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 5.33% $4,602,581.39
INVESCO SENIOR INCOME TRUST VVR 5.29% $4,568,681.83
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 5.08% $4,386,445.61
NUVEEN FLOATING RATE INCOME FUND JFR 4.99% $4,303,328.55
VOYA PRIME RATE TRUST PPR 4.95% $4,271,955.93
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 4.85% $4,188,343.65
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 4.46% $3,850,214.67
NUVEEN SENIOR INCOME FUND NSL 4.40% $3,797,639.43
EATON VANCE SENIOR INCOME TRUST EVF 4.31% $3,716,370.07
EATON VANCE FLOATING-RATE INCOME PLUS FUND EFF 4.28% $3,696,353.09
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.20% $3,625,139.90
BLACKROCK FLOATING RATE INCOME TRUST BGT 4.13% $3,562,753.80
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 3.99% $3,440,614.74
BLACKROCK FLOATING RATE INCOME STRAT FRA 3.72% $3,214,511.38
THL CREDIT SENIOR LOAN FUND TSLF 3.72% $3,212,371.46
EATON VANCE SENIOR FLOATING RATE FUND EFR 3.69% $3,182,242.80
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.32% $2,869,735.90
HIGHLAND INCOME FUND HFRO 3.01% $2,601,017.30
NUVEEN CREDIT STRATEGIES INCOME FUND JQC 2.85% $2,462,526.92
FIRST TRUST SENIOR FLOATING RA FIV 1.32% $1,140,273.73
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 0.88% $763,205.38

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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