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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 1,226.09 0.29 -0.57 -0.27 3.55 7.24 7.59 6.70 5.69 -0.96 0.95 17.23
NAV 1,196.87 0.11 -0.19 -0.26 2.93 5.49 7.19 6.48 4.80 -0.76 0.23 10.20
Difference -0.19 0.38 0.02 -0.62 -1.75 -0.41 -0.23 -0.88 0.20 -0.72 -7.03
* Periods greater than 1 Year are annualized.      ** On Inception Date (12/30/16), Index Price was $1,000 and NAV was $1,000.00
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 16.28 1.93 - - - - - - - - 18.19
NAV 4.22 1.21 0.93 6.46 1.28 -0.10 2.30 3.51 9.97 1.00 - - - - - - - - 10.96
Difference -4.55 -0.96 0.13 -5.57 -0.46 0.63 -0.91 -0.74 -6.31 -0.93 - - - - - - - - -7.23
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 -6.25 -6.14
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 -1.91 -2.00
Difference 1.09 0.41 -0.46 1.04 -0.76 -0.54 0.05 -1.24 -0.20 -0.65 -0.96 1.34 -0.25 3.38 -0.13 1.48 4.59 4.34 4.14
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
-1.37%
1Yr Disc
-3.40%
3Yr Disc
-3.08%
5Yr Disc
-4.60%
Rel Disc Range (3yr)
63.74%
Mkt Yield
8.06%
Lev Adj NAV Yield
6.31%
After Tax Yield*
6.38%
Est Tax Friction*
1.68%
3Yr NAV Volatiliy
5.05
1 Yr RoC
12.97%
3 Yr Dest RoC
7.97%
Leverage
30.28%
Non Lev Exp Ratio
1.50%
Beta (2yr)
0.17
Equity Exposure
2.38%
Bond Exposure
94.77%
# Holdings
79
Cash Weighted Duration
4.17
Comp NAV TR
0.15%
Comp Discount
1.87%
Net Assets (M)
850
Liquidity - 90d (K)
2,442
* 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 4.05 -1.26 5.35 4.32 36.97 1,451 3,878
NBB Nuv Taxable Muni Incm Fd Nuveen 4.03 -2.79 5.55 0.00 36.66 627 1,741
CHY Calamos Convt & Hi Incm Fd Calamos 1.97 0.18 9.10 27.10 33.14 819 1,943
CHI Calamos Convt Opp & Incm Calamos 1.93 -1.69 9.18 27.25 32.93 754 1,896
NCV AG Convt & Incm Fd Allianz 1.95 2.53 11.11 32.84 41.09 497 1,566
NCZ AG Convt & Incm Fd II Allianz 1.93 1.21 10.76 40.56 41.55 376 1,070
EMD WA Emrg Mkt Dbt Fd Legg Mason 2.48 -11.89 8.71 16.60 28.78 950 2,179
EDF SH Emrg Mkt Incm Fd Stone Harbor 2.39 38.04 16.63 60.66 0.00 153 1,655
EDD MS Emrg Mkt Dom Dbt Morgan Stanley 2.48 -12.45 9.08 16.67 26.17 499 1,468
FAX Abd Asia-Pacific Incm Fd Aberdeen 1.52 -15.02 7.99 45.03 31.74 1,209 2,834
GIM Tmp Glbl Incm Fd Franklin 1.48 -9.57 6.25 8.27 0.00 911 1,904
RCS PIMCO Stgc Incm Fd PIMCO 1.51 40.06 7.72 22.82 41.64 295 958
PPT Putnam Prmr Incm Tr Putnam 1.58 -2.42 8.00 0.13 17.08 556 1,294
MIN MFS Imd Incm Tr MFS 1.52 -6.13 9.01 69.51 0.00 477 903
HYT BR Corp Hi Yld Fd BlackRock 0.68 -10.10 8.23 0.00 27.51 1,424 3,717
DSU BR Dbt Stgs Fd BlackRock 0.70 -11.29 7.64 0.80 31.32 603 1,312
EAD WF Incm Opp Fd Wells Fargo 0.69 -9.21 8.77 8.83 28.66 561 1,484
KIO KKR Incm Opp Fd KKR Credit 0.69 -2.89 9.69 0.00 29.85 324 1,589
GHY PGIM Glbl Hi Yld Fd Prudential 0.68 -12.43 8.47 2.27 29.45 662 1,467
ISD PGIM Hi Yld Bnd Fd Prudential 0.68 -13.01 8.34 0.00 24.53 550 1,470
HIX WA Hi Incm Fd II Legg Mason 0.67 -7.57 8.39 4.64 28.90 619 1,589
HIO WA Hi Incm Opp Fd Legg Mason 0.69 -7.29 7.07 0.00 0.00 702 1,294
BGH Barings Glbl Srt Dur Hi Yld Fd Barings 0.71 -1.71 9.97 0.00 29.05 364 1,163
ACP Abd Incm Cr Stgs Fd Aberdeen 0.68 -3.13 11.92 0.00 31.21 163 995
FSD FT Hi Incm Lng/Srt Fd First Trust 0.69 -12.33 8.92 23.01 22.78 580 1,178
PTY PIMCO Corp & Incm Opp Fd PIMCO 2.52 26.71 8.70 2.13 36.83 1,246 5,431
PCN PIMCO Corp & Incm Stgy Fd PIMCO 2.63 21.50 7.66 0.00 24.11 575 1,731
PIM Putnam Mstr Imd Incm Tr Putnam 2.57 -4.55 7.81 23.69 7.96 257 625
EVV EV Ltd Dur Incm Fd Eaton Vance 3.80 -13.12 6.71 0.00 35.23 1,674 3,535
BLW BR Ltd Dur Incm Tr BlackRock 3.92 -9.32 6.21 0.00 24.24 607 1,358
JQC Nuv Cr Stgs Incm Fd Nuveen 0.61 -11.26 16.76 45.17 37.52 1,132 5,148
VVR Invsc Sr Incm Tr Invesco 0.62 -11.86 6.63 0.00 32.00 850 2,047
VTA Invsc Dyn Cr Opp Fd Invesco 0.62 -12.43 7.14 8.94 33.00 924 2,064
BGB B/GSO Stgc Cr Fd GSO / Blackstone 0.63 -6.52 9.45 0.00 37.17 692 2,113
FRA BR Flt Rt Incm Stgc Fd BlackRock 0.63 -12.86 6.62 0.00 29.65 525 1,547
HFRO Highland Incm Fd Highland Capital 0.60 -8.61 7.14 24.96 31.12 1,018 1,489
EFT EV Flt-Rt Incm Tr Eaton Vance 0.63 -12.31 6.88 0.00 34.10 602 1,154
JFR Nuv Flt Rt Incm Fd Nuveen 0.63 -12.04 7.71 0.00 37.75 619 1,402
EFR EV Sr Flt-Rt Tr Eaton Vance 0.63 -11.92 7.01 0.00 34.50 544 1,610
PPR Voya Prime Rt Tr Voya 0.63 -13.12 7.02 0.00 26.91 800 1,516
JRO Nuv Flt Rt Incm Opp Fd Nuveen 0.63 -12.04 7.89 0.00 37.24 438 1,124
ARDC Ares Dyn Cr Alloc Fd Ares 0.63 -11.01 8.58 0.00 30.46 387 1,177
OPP RiverNorth DbLin Stgc Opp Fd RiverNorth 3.95 -2.67 12.57 49.13 27.10 198 918
BKT BR Incm Tr BlackRock 3.88 -5.12 6.75 30.21 30.92 411 916
PCI PIMCO Dyn Cr & Mortg Incm PIMCO 0.77 6.26 8.66 0.00 45.13 3,126 12,896
PHK PIMCO Hi Incm Fd PIMCO 0.76 26.33 9.41 20.43 26.89 811 3,191
DSL DbLin Incm Solutions Fd Doubleline 0.76 2.12 9.10 2.34 30.34 1,964 7,981
PDI PIMCO Dyn Incm Fd PIMCO 0.76 17.30 8.31 0.00 41.10 1,541 6,255
GOF Gghm Stgc Opp Fd Guggenheim Funds 0.77 16.15 10.70 30.55 0.00 658 2,971
BTZ BR Cr Alloc Incm Tr BlackRock 0.80 -9.16 5.96 0.00 29.98 1,541 3,442
RA Brkf Real Ast Incm Fd Brookfield 0.79 -4.92 10.74 40.19 23.54 853 2,771
AWF AB Glbl Hi Incm Fd AllianceBernstein 0.77 -9.95 6.68 10.95 41.62 1,126 1,900
BIT BR Mlt-Sctr Incm Tr BlackRock 0.75 -6.24 8.18 10.14 35.37 685 1,964
PFN PIMCO Incm Stgy Fd II PIMCO 0.76 7.94 9.29 0.00 24.23 611 2,072
JPS Nuv Pref & Incm Sec Fd Nuveen 1.12 -0.72 6.97 0.00 35.93 1,979 4,650
FPF FT Imd Dur Pref & Incm Fd First Trust 1.12 -2.37 7.41 1.93 30.71 1,437 3,429
FFC F&C Pref Sec Incm Fd Flaherty & Crumrine 1.13 2.24 6.55 0.00 33.60 890 2,679
JPC Nuv Pref & Incm Opp Fd Nuveen 1.08 -2.50 7.52 0.00 36.33 1,032 2,298
HPI JH Pref Incm Fd John Hancock 1.14 13.54 6.96 16.21 35.01 553 1,547
DFP F&C Dyn Pref and Incm Fd Flaherty & Crumrine 1.12 -0.43 6.68 0.00 33.90 494 1,413
LDP C&S Ltd Dur Pref & Incm Fd Cohen & Steers 1.10 -1.42 7.48 11.34 30.20 732 1,535
WIW WA Inf-Lnk Opp & Incm Fd Legg Mason 7.63 -13.29 3.87 0.00 30.33 787 810
ARCC Ares Capital Corp Ares 0.47 9.50 8.46 0.00 43.51 7,369 31,898
PSEC Prospect Capital Corp Prospect Capital 0.46 -26.87 10.84 0.00 40.71 3,332 9,881
FSK FS KKR Capital Corp FS/KKR 0.45 -26.78 13.17 0.00 44.56 4,086 10,204
MAIN Main Street Cap Corp Main Street Capital 0.48 80.68 5.63 0.00 39.58 1,526 10,303
HTGC Hercules Capital Hercules 0.47 23.23 9.81 0.00 50.66 1,107 7,408
CGBD TCG BDC Carlyle 0.43 -16.47 10.39 0.00 50.42 1,019 5,399
AINV Apollo Inv Corp Apollo 0.47 -13.79 10.99 0.00 50.34 1,288 5,552
TSLX TPG Specialty Lending TSL Advisers 0.49 25.60 7.45 0.00 44.50 1,105 4,220
NMFC New Mountain Fin Corp New Mountain Capital 0.44 2.24 9.92 8.09 57.46 1,174 6,667
GBDC Golub Capital BDC Golub Capital 0.47 17.55 6.83 0.00 51.46 968 3,089
BCSF Bain Cap Splty Fin BCSF Advisors 0.45 -8.35 9.05 0.00 58.12 1,021 2,786
TCPC BR TCP Capital Corp Tennenbaum Capital 0.43 -0.66 10.63 0.00 52.43 802 3,673
GSBD Goldman Sachs BDC Goldman Sachs 0.46 16.33 8.99 0.00 53.76 694 2,597
NEWT Newtek Biz Serv Corp Newtek 0.42 46.12 8.21 0.00 52.72 294 2,220
PFLT PennantPark Flt Rt Cap PennantPark 0.46 -11.25 9.83 0.00 49.79 507 1,834
TPVG TP Vntr Gwth BDC Corp TriplePoint Capital 0.52 15.79 8.76 0.00 30.27 353 3,684
OCSL Oaktree Splty Lending Oaktree Capital 0.43 -20.45 7.24 11.87 36.18 930 1,883

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.

© Closed-End Fund Advisors Inc.(CEFadvisors) and CEFdata.com 2017. 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 %