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

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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 6.74% $4,229,204.96
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 6.61% $4,148,949.96
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 6.26% $3,927,610.91
APOLLO SENIOR FLOATING RATE FUND INC AFT 6.08% $3,815,147.32
HIGHLAND INCOME FUND HFRO 6.03% $3,782,662.68
INVESCO SENIOR INCOME TRUST VVR 5.61% $3,523,125.65
NUVEEN CREDIT STRATEGIES INCOME FUND JQC 5.19% $3,258,264.76
EATON VANCE SENIOR FLOATING RATE FUND EFR 4.85% $3,045,738.78
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 4.69% $2,946,251.08
NUVEEN FLOATING RATE INCOME FUND JFR 4.52% $2,835,979.98
BLACKROCK FLOATING RATE INCOME TRUST BGT 4.43% $2,781,251.24
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.42% $2,774,036.76
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 4.34% $2,726,783.67
PIONEER FLOATING RATE TRUST PHD 4.07% $2,553,245.17
BLACKROCK FLOATING RATE INCOME STRAT FRA 3.98% $2,500,564.26
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 3.75% $2,351,643.47
NUVEEN SENIOR INCOME FUND NSL 3.61% $2,266,984.94
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 3.54% $2,223,922.76
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.21% $2,018,254.68
EATON VANCE SENIOR INCOME TRUST EVF 2.77% $1,736,052.72
VOYA PRIME RATE TRUST PPR 2.51% $1,576,289.35
FIRST TRUST SENIOR FLOATING RA FIV 1.60% $1,004,820.51
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 1.20% $753,387.96

Index Stats

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

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