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07. Taxable Bond & BDC Index

Data as of

About the Index

Funds need to have 90-day average trading dollar ($) liquidity over $500K and then ranked the top 50% of the constituent funds by their respective 90-day average trade liquidity (with a minimum of 2 funds per group; if needed, a lower average trading’s liquidity may be used) for the 13 groupings of CEFs according to CEFData.com: (1) Build America Bond (taxable municipals or BABs), (2) Convertible Bonds, (3) Emerging Market Income, (4) Global Income, (5) High Yield, (6) Investment Grade, (7) Limited Duration, (8) Senior Loan, (9) Mortgage, (10) Multi-Sector, (11) Preferred, (12) US Government Bonds, (13) Debt-Focused Business Development Companies (BDCs). We will combine levered and non-levered groupings to create one larger grouping. Each sector is then equal weighted into the index. The index constituents will be rebalanced each quarter.

Index Performance

Current($) Previous Day(%) 1 Week(%) 1 Month(%) 3 Month(%) 6 Month(%) 1 Year(%) 3 Year(%) 5 Year(%) MTD(%) QTD(%) YTD(%)
Price 1,131.40 -0.47 -1.05 -0.77 1.91 4.03 2.60 10.10 6.41 -1.04 1.81 1.92
NAV 1,120.17 0.10 0.22 0.09 1.33 1.67 3.10 6.78 5.56 0.07 1.33 1.24
Difference 0.57 1.27 0.86 -0.58 -2.36 0.50 -3.32 -0.84 1.11 -0.48 -0.68
* Periods greater than 1 Year are annualized.      ** On Inception Date (12/30/16), Index Price was $1,000 and NAV was $1,000.00
2018 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2018
Price -0.16 -1.29 0.62 -0.84 0.80 0.31 -0.15 0.96 0.11 1.98 0.88 - - - - - - - 2.96
NAV 0.93 -0.88 0.15 0.19 0.04 -0.23 -0.10 -0.28 -0.09 1.34 -0.08 - - - - - - - 1.17
Difference 1.09 0.41 -0.46 1.04 -0.76 -0.54 0.05 -1.24 -0.20 -0.65 -0.96 - - - - - - - -1.79
2017 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2017
Price 2.86 2.17 -0.32 4.75 2.20 0.62 0.83 3.68 8.43 2.09 -0.63 0.97 2.44 -0.45 -1.08 1.33 -0.21 2.22 10.66
NAV 1.42 1.61 0.25 3.32 1.28 0.96 0.57 2.84 6.16 1.39 0.67 0.54 2.61 0.65 0.24 0.59 1.49 4.10 10.26
Difference -1.43 -0.55 0.57 -1.43 -0.92 0.34 -0.25 -0.85 -2.28 -0.70 1.29 -0.43 0.18 1.09 1.32 -0.74 1.70 1.88 -0.40
2016 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2016
Price -1.47 0.44 6.33 5.23 2.79 0.55 2.43 5.86 11.08 4.38 1.82 -0.67 5.58 -1.82 -1.42 2.74 -0.57 5.00 16.09
NAV -0.98 -0.69 3.41 1.69 2.45 0.54 1.27 4.31 6.00 2.61 1.17 0.85 4.70 0.16 -1.74 1.33 -0.27 4.44 10.44
Difference 0.50 -1.13 -2.92 -3.53 -0.34 -0.01 -1.16 -1.55 -5.08 -1.77 -0.65 1.52 -0.88 1.99 -0.31 -1.41 0.31 -0.57 -5.65
2015 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2015
Price 1.59 1.51 -0.71 2.39 1.77 -1.19 -3.77 -3.23 -0.84 -1.43 -2.33 -2.65 -6.29 4.69 -0.98 -0.73 2.90 -3.39 -4.23
NAV 1.08 1.14 -0.25 1.98 1.20 0.07 -1.28 -0.02 1.96 -0.15 -1.63 -1.73 -3.48 1.77 -0.48 -2.07 -0.82 -4.31 -2.35
Difference -0.51 -0.37 0.46 -0.41 -0.57 1.26 2.50 3.21 2.80 1.28 0.70 0.92 2.80 -2.92 0.50 -1.34 -3.72 -0.92 1.89

Performance Chart

Discount

Characteristics

PORTFOLIO
Weighted Average Data
Discount
-1.30%
1Yr Disc
-1.84%
3Yr Disc
-3.25%
5Yr Disc
-3.83%
Rel Disc Range (3yr)
57.99%
Mkt Yield
7.91%
Lev Adj NAV Yield
6.09%
After Tax Yield*
6.12%
Est Tax Friction*
1.79%
3Yr NAV Volatiliy
5.80
1 Yr RoC
6.30%
3 Yr Dest RoC
3.99%
Leverage
30.21%
Non Lev Exp Ratio
1.59%
Beta (2yr)
0.18
Equity Exposure
2.47%
Bond Exposure
95.24%
# Holdings
79
Cash Weighted Duration
4.55
Comp NAV TR
1.21%
Comp Discount
3.37%
Net Assets (M)
844
Liquidity - 90d (K)
2,323
* Based on marginal tax rates of 25% and long-term capital gains rates of 15%.

Asset Allocation

Asset Allocation as reported by each fund's sponsor as of the last reporting period.

Constituents


79 Funds

Ticker Name Sponsor Allocation Discount Market Yield RoC(1yr) Leverage Net Assets Liquidity (90d)
BBN BR Taxable Muni BndTr BlackRock 3.68 -5.84 6.70 0.00 36.64 1,291 2,515
NBB Nuv Bld Amrc Bnd Fd Nuveen 3.77 -3.89 6.10 0.00 13.67 558 988
CHY Calamos Convt & Hi Incm Fd Calamos 2.00 10.93 9.10 27.09 32.70 869 2,353
CHI Calamos Convt Opp & Incm Calamos 1.98 7.46 9.42 16.79 32.55 798 2,658
NCV AG Convt & Incm Fd Allianz 1.93 10.51 11.24 16.56 38.81 560 1,486
ACV AG Divr Incm & Convt Fd Allianz 2.06 0.70 8.18 0.00 30.32 250 947
EMD WA Emrg Mkt Dbt Fd Legg Mason 2.62 -11.53 8.88 9.77 29.30 928 2,583
EDD MS Emrg Mkt Dom Dbt Morgan Stanley 2.56 -10.48 9.01 25.00 31.32 494 1,234
EDF SH Emrg Mkt Incm Fd Stone Harbor 2.58 17.61 16.41 48.77 29.01 180 1,272
FAX Abd Asia-Pacific Incm Fd Aberdeen 1.45 -13.71 10.27 46.37 32.38 1,194 2,917
GIM Tmp Glbl Incm Fd Franklin 1.50 -13.24 7.06 0.00 0.00 932 1,811
PPT Putnam Prmr Incm Tr Putnam 1.52 -5.99 6.02 0.00 12.60 589 1,140
RCS PIMCO Stgc Incm Fd PIMCO 1.50 30.87 9.22 8.63 39.06 308 1,192
JGH Nuv Glbl Hi Incm Fd Nuveen 1.57 -12.00 8.18 1.79 29.65 414 1,043
HYT BR Corp Hi Yld Fd BlackRock 0.70 -11.20 8.19 0.00 30.31 1,480 2,927
GHY Pru Glbl Srt Dur Hi Yld Fd Prudential 0.70 -14.61 7.18 4.67 28.51 661 2,021
ISD Pru Srt Dur Hi Yld Fd Prudential 0.70 -13.46 7.21 0.00 25.88 543 1,435
DSU BR Dbt Stgs Fd BlackRock 0.70 -10.64 7.31 0.96 31.49 665 1,340
KIO KKR Incm Opp Fd KKR Credit 0.70 -5.82 9.08 1.77 28.80 357 1,374
HIX WA Hi Incm Fd II Legg Mason 0.69 -12.55 8.61 3.89 25.62 625 1,224
FSD FT Hi Incm Lng/Srt Fd First Trust 0.70 -13.31 8.53 28.26 17.92 607 1,747
EAD WF Incm Opp Fd Wells Fargo 0.70 -11.01 7.80 0.00 27.10 620 1,031
HIO WA Hi Incm Opp Fd Legg Mason 0.69 -11.97 6.65 1.96 0.00 701 1,133
BGH Barings Glbl Srt Dur Hi Yld Fd Barings 0.73 -5.52 9.11 2.93 28.26 414 1,613
EHI WA Glbl Hi Incm Fd Legg Mason 0.70 -13.59 8.05 4.54 26.30 473 835
PTY PIMCO Corp & Incm Opp Fd PIMCO 3.92 20.56 8.78 5.27 42.73 1,229 4,652
PCN PIMCO Corp & Incm Stgy Fd PIMCO 4.04 24.49 7.34 7.01 21.77 582 1,408
EVV EV Ltd Dur Incm Fd Eaton Vance 2.59 -12.91 6.31 10.53 36.10 1,700 3,453
ERC WF Mlt-Sctr Incm Fd Wells Fargo 2.55 -8.41 10.35 3.59 29.70 440 1,451
BLW BR Ltd Dur Incm Tr BlackRock 2.55 -11.06 6.41 0.00 27.53 613 1,254
JQC Nuv Cr Stgs Incm Fd Nuveen 0.64 -13.22 5.82 0.00 36.25 1,242 3,598
FRA BR Flt Rt Incm Stgc Fd BlackRock 0.63 -7.64 5.61 0.00 29.43 556 1,570
HFRO Highland Flt Rt Opp Fd Highland Capital 0.63 2.52 5.98 16.34 1.63 1,082 1,615
BGB B/GSO Stgc Cr Fd Blackstone 0.64 -5.81 7.93 0.00 36.85 753 1,633
VTA Invsc Dyn Cr Opp Fd Invesco 0.63 -13.40 6.52 17.26 31.35 984 1,698
EFT EV Flt-Rt Incm Tr Eaton Vance 0.64 -6.62 5.48 0.00 35.40 627 1,306
PPR Voya Prime Rt Tr Voya 0.63 -12.17 6.02 15.55 28.50 838 2,196
JFR Nuv Flt Rt Incm Fd Nuveen 0.63 -10.42 6.98 0.00 36.65 656 1,990
JRO Nuv Flt Rt Incm Opp Fd Nuveen 0.63 -10.93 7.12 0.00 36.15 464 1,585
VVR Invsc Sr Incm Tr Invesco 0.64 -12.35 5.40 6.46 29.41 889 2,169
AFT Apollo Sr Flt Rt Fd Apollo Credit 0.63 -9.22 7.33 0.00 33.88 275 1,166
EFR EV Sr Flt-Rt Tr Eaton Vance 0.62 -8.75 5.97 0.00 35.71 569 1,580
DMO WA Mortg Dfin Opp Fd Legg Mason 3.80 7.21 10.09 0.00 31.50 220 1,363
JLS Nuv Mortg Opp Trm Fd Nuveen 3.89 -1.89 5.70 0.00 27.60 387 1,307
PCI PIMCO Dyn Cr & Mortg Incm PIMCO 0.88 1.56 8.15 0.00 46.44 3,264 10,668
PDI PIMCO Dyn Incm Fd PIMCO 0.89 14.18 7.99 0.00 40.14 1,624 6,886
DSL DbLin Incm Solutions Fd Doubleline 0.86 -0.93 8.93 2.34 29.18 2,062 5,614
PHK PIMCO Hi Incm Fd PIMCO 0.83 25.00 12.10 20.10 23.78 830 4,821
GOF Gghm Stgc Opp Fd Guggenheim 0.83 12.24 10.27 3.35 0.29 563 3,343
PKO PIMCO Incm Opp Fd PIMCO 0.86 9.48 8.33 0.00 33.01 382 1,367
AWF AB Glbl Hi Incm Fd AllianceBernstein 0.86 -12.02 7.21 0.00 35.25 1,141 2,132
RA Brkf Real Ast Incm Fd Brookfield 0.87 -4.10 10.32 27.14 23.48 880 2,234
BTZ BR Cr Alloc Incm Tr BlackRock 0.87 -11.88 6.49 1.16 31.57 1,482 2,938
FPF FT Imd Dur Pref & Incm Fd First Trust 1.28 -8.19 7.94 0.00 30.78 1,425 3,632
JPS Nuv Pref & Incm Sec Fd Nuveen 1.27 -9.82 7.71 0.00 34.56 1,971 4,661
JPC Nuv Pref & Incm Opp Fd Nuveen 1.27 -9.27 7.96 0.00 34.81 1,048 2,312
FFC F&C Pref Sec Incm Fd Flaherty & Crumrine 1.25 -3.39 7.38 0.00 34.50 849 1,666
DFP F&C Dyn Pref and Incm Fd Flaherty & Crumrine 1.29 -3.42 7.49 0.00 34.80 471 1,190
LDP C&S Ltd Dur Pref & Incm Fd Cohen & Steers 1.20 -6.14 7.80 6.88 29.90 737 1,514
WIW WA Inf-Lnk Opp & Incm Fd Western Asset 7.39 -11.65 3.99 0.00 28.00 751 949
ARCC Ares Capital Corp Ares 0.42 1.64 9.00 0.00 36.94 7,268 26,965
PSEC Prospect Capital Corp Prospect Capital 0.45 -21.07 9.76 0.00 39.59 3,412 11,209
MAIN Main Street Cap Corp Main Street Capital 0.42 64.32 5.94 0.00 38.67 1,452 7,556
FSIC FS Investment Corp FB Income 0.40 -19.39 10.63 0.00 41.94 2,124 8,187
HTGC Hercules Capital Hercules 0.43 30.04 9.33 0.00 44.84 979 6,278
CCT Corporate Capital Tr KKR Credit 0.42 -18.79 10.11 0.00 41.09 2,430 5,309
TSLX TPG Specialty Lending TSL Advisers 0.47 26.59 7.53 0.00 43.38 1,065 5,703
BBDC Barings BDC Barings 0.40 -26.06 1.18 0.00 38.47 703 4,270
AINV Apollo Inv Corp Apollo Investment 0.40 -14.99 10.91 0.00 43.28 1,390 4,124
TCPC BR TCP Capital Corp Tennenbaum Capital 0.40 -1.64 10.02 0.00 48.08 859 3,058
NMFC New Mountain Fin Corp New Mountain Capital 0.40 -0.15 10.04 7.13 49.59 1,033 3,175
GBDC Golub Capital BDC Golub Capital 0.41 16.53 6.80 0.00 47.16 969 2,825
GSBD Goldman Sachs BDC Goldman Sachs 0.45 24.45 8.00 0.00 39.95 727 2,310
CGBD TCG BDC Carlyle 0.41 -4.07 8.60 0.00 42.16 1,122 2,302
NEWT Newtek Biz Serv Corp Newtek 0.43 43.03 8.91 0.00 44.67 283 2,539
PNNT PennantPark Inv Corp PennantPark 0.44 -16.61 9.50 0.00 40.83 636 1,559
GAIN Gladstone Inv Corp Gladstone 0.40 0.17 6.94 0.00 38.15 380 1,544
BKCC BR Cap Inv Corp BlackRock 0.42 -20.24 11.94 0.00 30.19 537 1,666
PFLT PennantPark Flt Rt Cap PennantPark 0.40 -3.26 8.53 0.00 41.49 536 1,464

DISCLOSURES:

These indexes were created and developed by Closed-End Fund Advisors, Inc. CEF Advisors launched these indexes in January 2017 based on December 31, 2016 data and began pricing on January 1, 2017. CEF Advisors does not guarantee the accuracy or the completeness of the index or any data included therein and CEF Advisors shall have no liability for any errors, omissions or interruptions therein. CEF Advisors makes no warranty, express or implied, as to results to be obtained by any person or entity from the use of the index or any data included therein. CEF Advisors makes no express or implied warranties, and expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data included therein. Without limiting any of the foregoing, in no event shall CEF Advisors have any liability for any special, punitive, direct, indirect or consequential damages (including lost profits) arising out of matters relating to the use of the index, even if notified of the possibility of such damages.

The historical values above have not been verified by an independent third party. The historical performance data is for illustrative purposes only and does not represent the actual performance of any investment product. No representation is being made that any investment will achieve performance similar to that shown. The index does not charge management fees or brokerage expenses, and no such fees or expenses were deducted from the historical performance shown. The index is unmanaged and an investor cannot invest directly in the index.

Performance information for the index is for illustrative purposes only and does not represent the performance of any actual investment. The historical performance of the price and NAV of the index should not be taken as an indication of future performance, and no assurance can be given as to the index's value on any date. The data for the historical performance of the index was calculated on materially the same basis on which the performance of the index is now calculated. Discounts are the result of a closed-end fund’s market price deviating from its Net Asset Value (NAV).

In case any constituents of the index experience a liquidation, merger, open-ending or are no longer a closed-end fund, we will remove them as of their last day of existence. For mergers, if the merged fund is in the same sub-grouping inside CEFdata.com, then we will replace the merged fund with it's replacement in equal dollar terms. If a fund is liquidated, open-ended, etc, we will remove the fund and its allocation from the index. In this case, for example. If a fund was 2% of the index then future pricing would assume a full allocation was 98%. The 2% is adsorbed on a pro-rata basis by all surviving funds.

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Class E Units       8% PIK             8.00 %   11/6/2021     4,055,099       4,055,099       4,055,099       2.32 %