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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 1,520.13 -0.44 -0.53 -0.01 2.13 9.33 24.05 10.23 9.00 -0.64 0.97 12.39
NAV 1,404.02 -0.12 -0.23 1.26 2.15 5.69 13.99 7.90 7.26 -0.03 1.43 6.15
Difference 0.31 0.30 1.27 0.03 -3.64 -10.05 -2.33 -1.74 0.60 0.47 -6.24
* Periods greater than 1 Year are annualized.      ** On Inception Date (12/30/16), Index Price was $1,000 and NAV was $1,000.00
2021 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2021
Price 0.40 1.61 2.12 4.18 2.87 2.32 1.51 6.85 11.32 0.94 0.67 - - - - - - - -
NAV 0.84 0.29 -0.35 0.78 1.78 0.96 1.05 3.84 4.65 0.62 0.84 - - - - - - - -
Difference 0.44 -1.32 -2.47 -3.40 -1.09 -1.36 -0.46 -3.01 -6.67 -0.31 0.17 - - - - - - - -
2020 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2020
Price 1.75 -6.93 -19.29 -23.58 8.18 6.27 1.77 16.99 -10.59 4.10 1.74 -1.74 4.07 -0.92 9.86 3.17 12.30 16.87 4.49
NAV 1.23 -1.20 -16.32 -16.31 5.10 3.68 2.77 11.99 -6.28 3.65 1.99 -0.55 5.13 0.17 5.17 2.60 8.08 13.62 6.49
Difference -0.52 5.73 2.97 7.26 -3.08 -2.58 1.00 -5.00 4.31 -0.45 0.25 1.18 1.06 1.09 -4.69 -0.57 -4.22 -3.24 2.00
2019 - Monthly Performance (%)
Jan Feb Mar Q1 Apr May Jun Q2 1H Jul Aug Sep Q3 Oct Nov Dec Q4 2H 2019
Price 8.77 2.17 0.80 12.02 1.75 -0.72 3.21 4.25 16.79 1.93 -0.77 1.29 2.45 0.96 0.78 2.23 4.02 6.57 24.46
NAV 4.22 1.21 0.93 6.46 1.28 -0.10 2.30 3.51 10.19 1.00 -0.28 0.38 1.10 0.59 0.29 1.98 2.88 4.01 14.62
Difference -4.55 -0.96 0.13 -5.57 -0.46 0.63 -0.91 -0.74 -6.59 -0.93 0.49 -0.91 -1.36 -0.37 -0.49 -0.24 -1.13 -2.56 -9.85
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 -0.82 2.03 -5.03 -0.47 -2.97 -8.28 -6.42 -6.32
NAV 0.93 -0.88 0.15 0.19 0.04 -0.23 -0.10 -0.28 -0.09 1.34 -0.08 0.52 1.78 -1.64 -0.61 -1.48 -3.69 -1.98 -2.06
Difference 1.09 0.41 -0.46 1.04 -0.76 -0.54 0.05 -1.24 -0.19 -0.65 -0.96 1.34 -0.25 3.38 -0.13 1.48 4.59 4.45 4.26
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 8.61 2.09 -0.63 0.97 2.44 -0.45 -1.08 1.33 -0.21 2.22 11.02
NAV 1.42 1.61 0.25 3.32 1.28 0.96 0.57 2.84 6.25 1.39 0.67 0.54 2.61 0.65 0.24 0.59 1.49 4.14 10.65
Difference -1.43 -0.55 0.57 -1.43 -0.92 0.34 -0.25 -0.85 -2.36 -0.70 1.29 -0.43 0.18 1.09 1.32 -0.74 1.70 1.92 -0.37
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 11.39 4.38 1.82 -0.67 5.58 -1.82 -1.42 2.74 -0.57 4.97 16.93
NAV -0.98 -0.69 3.41 1.69 2.45 0.54 1.27 4.31 6.07 2.61 1.17 0.85 4.70 0.16 -1.74 1.33 -0.27 4.42 10.77
Difference 0.50 -1.13 -2.92 -3.53 -0.34 -0.01 -1.16 -1.55 -5.32 -1.77 -0.65 1.52 -0.88 1.99 -0.31 -1.41 0.31 -0.55 -6.16
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 -0.92 -1.43 -2.33 -2.65 -6.29 4.69 -0.98 -0.73 2.90 -3.57 -4.46
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 -4.28 -2.40
Difference -0.51 -0.37 0.46 -0.41 -0.57 1.26 2.50 3.21 2.88 1.28 0.70 0.92 2.80 -2.92 0.50 -1.34 -3.72 -0.71 2.06

Performance Chart

Discount

Characteristics

PORTFOLIO
Weighted Average Data
Discount
2.03%
1Yr Disc
-1.15%
3Yr Disc
-2.96%
5Yr Disc
-2.99%
Rel Disc Range (3yr)
80.61%
Mkt Yield
7.35%
Lev Adj NAV Yield
5.82%
After Tax Yield*
5.89%
Est Tax Friction*
1.46%
3Yr NAV Volatiliy
9.92
1 Yr RoC
24.92%
3 Yr Dest RoC
9.60%
Leverage
29.68%
Non Lev Exp Ratio
1.48%
Beta (2yr)
0.55
Equity Exposure
3.72%
Bond Exposure
92.78%
# Holdings
83
Cash Weighted Duration
4.34
Comp NAV TR
0.53%
Comp Discount
1.50%
Net Assets (M)
897
Liquidity - 90d (K)
3,007
* 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


83 Funds

Ticker Name Sponsor Allocation Discount Market Yield RoC(1yr) Leverage Net Assets Liquidity (90d)
BBN BR Taxable Muni BndTr BlackRock 3.93 2.13 5.32 5.23 31.79 1,528 3,267
GBAB Gghm Taxable Muni Bnd & Inv Grd Dbt Guggenheim Funds 3.90 6.71 6.04 16.57 23.02 500 1,091
CHI Calamos Convt Opp & Incm Calamos 1.98 1.83 7.32 0.00 32.87 1,089 2,162
CHY Calamos Convt & Hi Incm Fd Calamos 1.93 1.18 7.34 0.00 32.85 1,188 1,966
NCZ Virtus AG Convt & Incm Fd II Virtus 1.94 -7.14 8.44 55.52 38.20 437 2,912
NCV Virtus AG Convt & Incm Fd Virtus 1.95 -3.59 8.27 53.01 37.71 578 2,243
TEI Tmp Emrg Mkt Incm Fd Franklin Templeton 2.58 -2.69 10.40 6.46 0.00 393 1,614
EMD WA Emrg Mkt Dbt Fd Franklin Templeton 2.57 -6.01 7.76 46.60 27.60 899 2,212
EDD MS Emrg Mkt Dom Dbt Morgan Stanley 2.58 -9.32 6.20 0.00 19.19 447 876
FAX Abd Asia-Pacific Incm Fd Aberdeen 1.45 -8.57 7.93 44.45 30.07 1,127 2,288
GIM Tmp Glbl Incm Fd Franklin Templeton 1.51 -3.01 7.88 13.09 0.00 758 2,974
MIN MFS Imd Incm Tr MFS 1.51 -1.35 8.72 60.66 0.00 429 1,284
PPT Putnam Prmr Incm Tr Putnam 1.51 -0.66 6.86 38.67 0.00 468 821
RCS PIMCO Stgc Incm Fd PIMCO 1.54 15.98 8.11 4.01 45.82 289 880
HYT BR Corp Hi Yld Fd BlackRock 0.65 0.82 7.56 14.57 30.71 1,496 3,813
CIK CS Ast Mgmt Incm Fd Credit Suisse 0.64 0.29 7.74 0.00 21.55 182 4,903
DHF BNY Mellon Hi Yld Stgs Fd BNY Mellon 0.58 -1.20 7.87 0.00 28.28 241 1,647
DHY CS Hi Yld Bnd Fd Credit Suisse 0.65 -1.95 7.38 0.31 22.20 266 2,967
ACP Abd Incm Cr Stgs Fd Aberdeen 0.66 3.76 10.61 21.07 38.24 253 1,770
GHY PGIM Glbl Hi Yld Fd Prudential 0.64 -5.78 7.97 6.17 27.40 686 2,345
DLY DbLin Yld Opp Fd Doubleline 0.63 -4.04 7.19 0.24 22.96 973 1,715
ISD PGIM Hi Yld Bnd Fd Prudential 0.65 -4.80 7.66 12.94 25.00 575 1,991
FTHY FT Hi Yld Opp 2027 Trm Fd First Trust 0.66 -1.48 8.70 0.00 25.77 768 1,960
SDHY PGIM Srt Dur Hi Yld Opp Fd Prudential 0.61 -5.53 6.90 7.46 12.60 491 1,314
FSD FT Hi Incm Lng/Srt Fd First Trust 0.66 -2.67 8.22 28.74 26.31 552 1,774
EAD WF Incm Opp Fd Wells Fargo 0.66 -2.38 7.92 0.00 25.70 559 1,713
PTY PIMCO Corp & Incm Opp Fd PIMCO 2.50 32.06 7.48 7.59 46.73 1,272 11,232
PCN PIMCO Corp & Incm Stgy Fd PIMCO 2.57 26.89 7.26 0.00 43.07 613 1,522
VBF Invsc Bnd Fd Invesco 2.62 0.47 3.18 0.59 0.00 242 566
EVV EV Ltd Dur Incm Fd Eaton Vance 2.60 -0.89 8.98 37.92 37.40 1,567 5,651
BLW BR Ltd Dur Incm Tr BlackRock 2.59 1.24 6.85 14.41 34.59 606 1,282
FTF FrkTmp Ltd Dur Incm Tr Franklin Templeton 2.62 0.11 10.05 42.31 33.35 279 1,279
JQC Nuv Cr Stgs Incm Fd Nuveen 0.68 -6.76 7.83 63.52 36.71 942 5,613
JFR Nuv Flt Rt Incm Fd Nuveen 0.70 -4.94 6.96 2.79 36.47 599 3,024
VVR Invsc Sr Incm Tr Invesco 0.69 -6.40 5.74 15.97 24.00 718 3,407
NSL Nuv Sr Incm Fd Nuveen 0.70 -5.17 6.95 2.59 36.35 239 2,461
VTA Invsc Dyn Cr Opp Fd Invesco 0.69 -6.83 7.77 38.23 22.00 783 3,914
FCT FT Sr Flt Rt Incm Fd II First Trust 0.70 1.20 8.52 45.92 27.40 324 1,304
JRO Nuv Flt Rt Incm Opp Fd Nuveen 0.72 -4.89 6.96 4.05 36.52 423 2,103
FRA BR Flt Rt Incm Stgc Fd BlackRock 0.71 -4.01 5.98 19.18 30.62 491 1,525
XFLT XAI Octgn Flt Rt & Alt Incm Trm XA Investments 0.64 5.17 10.25 0.00 38.01 212 2,196
BGB Blackstone Stgc Cr Fd Blackstone 0.71 -4.95 6.16 0.00 36.25 659 1,865
EFT EV Flt-Rt Incm Tr Eaton Vance 0.74 3.48 6.13 2.67 35.80 437 2,066
OPP RiverNorth DbLin Stgc Opp Fd RiverNorth 3.65 -1.61 12.99 59.77 26.60 220 2,432
BKT BR Incm Tr BlackRock 3.90 8.81 6.43 22.31 22.29 377 1,308
PCI PIMCO Dyn Cr & Mortg Incm PIMCO 0.67 3.45 9.82 1.71 45.01 3,152 10,388
PDI PIMCO Dyn Incm Fd PIMCO 0.65 5.40 9.96 0.00 43.07 1,797 8,376
GOF Gghm Stgc Opp Fd Guggenheim Funds 0.69 24.12 10.33 54.75 24.05 922 5,324
PDO PIMCO Dyn Incm Opp Fd PIMCO 0.64 2.39 6.76 0.00 47.51 2,234 5,168
RA Brkf Real Ast Incm Fd Brookfield 0.71 8.47 10.90 48.22 30.07 942 4,883
HFRO Highland Incm Fd Highland Capital 0.69 -22.80 8.58 17.50 12.99 996 4,423
NPCT Nuv Core Plus Impact Fd Nuveen 0.70 -4.35 6.39 90.07 1.27 581 1,094
DSL DbLin Incm Solutions Fd Doubleline 0.69 -3.73 7.42 1.77 28.16 1,885 4,957
BTZ BR Cr Alloc Incm Tr BlackRock 0.70 -0.89 6.49 15.67 28.68 1,464 3,196
PFN PIMCO Incm Stgy Fd II PIMCO 0.65 6.79 8.56 4.32 39.31 725 3,656
PHK PIMCO Hi Incm Fd PIMCO 0.66 7.90 8.97 0.00 41.02 797 2,893
JPS Nuv Pref & Incm Sec Fd Nuveen 1.11 0.80 6.04 0.00 36.15 2,039 3,077
FPF FT Imd Dur Pref & Incm Fd First Trust 1.14 2.14 5.93 3.10 30.45 1,535 2,539
PTA Tx-Adv Pref Sec Pref Sec & Incm Fd Cohen&Steers 1.10 -3.40 6.16 36.15 32.30 1,449 2,064
JPC Nuv Pref & Incm Opp Fd Nuveen 1.11 0.80 6.34 0.00 36.20 1,033 1,816
FFC F&C Pref Sec Incm Fd Flaherty & Crumrine 1.11 6.05 6.61 0.00 32.90 1,005 1,973
PDT JH Prm Div Fd John Hancock 1.09 14.40 6.98 6.43 33.91 714 1,183
DFP F&C Dyn Pref & Incm Fd Flaherty & Crumrine 1.09 3.57 6.70 0.00 32.90 558 1,292
WIW WA Inf-Lnk Opp & Incm Fd Franklin Templeton 7.86 -8.32 3.21 24.02 31.15 898 1,307
ARCC Ares Capital Corp Ares 0.41 9.58 8.24 0.00 51.22 8,097 41,709
PSEC Prospect Capital Corp Prospect Capital 0.38 -19.78 9.15 0.00 37.60 3,817 14,603
ORCC Owl Rock Capital Corp Owl Rock 0.41 -3.15 8.59 0.00 50.52 5,844 16,500
FSK FS KKR Capital Corp FS/KKR 0.43 -16.24 11.57 0.00 49.23 7,653 24,110
MAIN Main Street Cap Corp Main Street Capital 0.41 76.47 6.10 0.00 45.78 1,607 10,197
HTGC Hercules Capital Hercules 0.40 43.30 7.63 0.00 45.60 1,356 10,617
GSBD Goldman Sachs BDC Goldman Sachs 0.39 16.76 9.61 0.00 47.85 1,633 8,972
GBDC Golub Capital BDC Golub Capital 0.40 1.99 7.55 0.00 45.40 2,547 6,087
TSLX Sixth St Splty Lending Sixth St Splty Lending 0.40 28.13 7.60 0.00 50.03 1,227 7,061
OCSL Oaktree Splty Lending Oaktree Capital 0.43 -1.66 8.17 0.00 44.83 1,302 5,444
NEWT Newtek Biz Serv Corp Newtek 0.31 64.65 13.35 0.00 47.26 369 8,341
NMFC New Mountain Fin Corp New Mountain Capital 0.40 -2.40 9.22 4.08 57.85 1,292 4,520
AINV Apollo Inv Corp Apollo 0.41 -16.23 9.24 0.00 57.72 1,042 3,345
TCPC BR TCP Capital Corp BlackRock 0.39 -4.71 8.86 3.69 53.01 821 2,654
CSWC Cap Southwest Corp Capital Southwest 0.45 56.63 8.32 0.00 54.01 368 4,008
HRZN Horizon Tech Fin Corp Horizon Tech Fin 0.40 49.46 7.17 0.00 49.16 224 1,720
SLRC SLR Inv Corp SLR Capital 0.43 -3.70 8.39 9.87 33.55 857 2,390
PFLT PennantPark Flt Rt Cap PennantPark 0.41 -0.31 8.93 0.00 51.33 497 2,482
BBDC Barings BDC Barings 0.42 -5.62 7.81 0.00 57.72 744 2,263

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, 2019. 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.

© Closed-End Fund Advisors Inc.(CEFadvisors) and CEFdata.com 2019. All rights reserved. Any copying, republication or redistribution of CEFadvisors, CEFdata.com, content, including by caching, framing or similar means, is expressly prohibited without the prior written consent of CEFAdvisors. CEFAdvisors shall not be liable for any errors or delays in the content, or for any actions taken in reliance thereon.

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