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 6.33% $5,426,913.17
INVESCO DYNAMIC CREDIT OPPORTUNITIES FUND VTA 5.61% $4,809,221.88
APOLLO SENIOR FLOATING RATE FUND INC AFT 5.46% $4,681,991.01
NUVEEN FLOATING RATE INCOME OPPORTUNITY FUND ETF JRO 5.33% $4,568,985.91
INVESCO SENIOR INCOME TRUST VVR 5.31% $4,546,874.28
VOYA PRIME RATE TRUST PPR 5.13% $4,400,297.96
NUVEEN FLOATING RATE INCOME FUND JFR 4.97% $4,258,734.47
BLACKSTONE / GSO STRATEGIC CREDIT FUND BGB 4.82% $4,132,415.76
BLACKSTONE/GSO LONG-SHORT CREDIT INCOME FUND BGX 4.66% $3,992,625.21
FIRST TRUST SENIOR FLOATING RATE INCOME FUND II FCT 4.56% $3,911,948.07
EATON VANCE FLOATING-RATE INCOME PLUS FUND EFF 4.44% $3,805,928.78
EATON VANCE SENIOR INCOME TRUST EVF 4.43% $3,795,312.57
NUVEEN SENIOR INCOME FUND NSL 4.37% $3,744,710.66
EATON VANCE FLOATING-RATE INCOME TRUST EFT 4.24% $3,636,075.46
BLACKROCK FLOATING RATE INCOME TRUST BGT 4.22% $3,617,967.77
NUVEEN SHORT DURATION CREDIT OPPORTUNITIES FUND JSD 3.91% $3,348,926.14
BLACKROCK FLOATING RATE INCOME STRAT FRA 3.80% $3,255,201.40
THL CREDIT SENIOR LOAN FUND TSLF 3.71% $3,177,119.10
EATON VANCE SENIOR FLOATING RATE FUND EFR 3.70% $3,172,466.32
BLACKSTONE / GSO SENIOR FLOATING RATE TERM FUND BSL 3.26% $2,792,161.46
NUVEEN CREDIT STRATEGIES INCOME FUND JQC 2.83% $2,423,283.46
HIGHLAND INCOME FUND HFRO 2.65% $2,270,084.29
FIRST TRUST SENIOR FLOATING RA FIV 1.36% $1,163,491.97
EATON VANCE FLOATING-RATE 2022 TARGET TERM TRUST EFL 0.90% $768,188.23

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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