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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 1,482.95 -0.37 -1.26 2.08 7.17 10.55 27.49 10.08 9.59 -0.01 5.25 9.64
NAV 1,374.90 0.04 -0.53 1.69 3.70 4.64 17.98 7.51 7.70 0.38 3.14 3.95
Difference 0.41 0.73 -0.39 -3.47 -5.91 -9.51 -2.56 -1.89 0.39 -2.10 -5.70
* 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 - - - - - - - - - - - - -
NAV 0.84 0.29 -0.35 0.78 1.78 0.96 - - - - - - - - - - - - -
Difference 0.44 -1.32 -2.47 -3.40 -1.09 -1.36 - - - - - - - - - - - - -
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
1.74%
1Yr Disc
-3.40%
3Yr Disc
-3.39%
5Yr Disc
-3.29%
Rel Disc Range (3yr)
82.37%
Mkt Yield
7.35%
Lev Adj NAV Yield
5.77%
After Tax Yield*
5.88%
Est Tax Friction*
1.47%
3Yr NAV Volatiliy
10.24
1 Yr RoC
25.13%
3 Yr Dest RoC
8.65%
Leverage
30.55%
Non Lev Exp Ratio
1.50%
Beta (2yr)
0.56
Equity Exposure
3.86%
Bond Exposure
91.58%
# Holdings
86
Cash Weighted Duration
4.60
Comp NAV TR
0.13%
Comp Discount
1.54%
Net Assets (M)
885
Liquidity - 90d (K)
3,142
* 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


86 Funds

Ticker Name Sponsor Allocation Discount Market Yield RoC(1yr) Leverage Net Assets Liquidity (90d)
BBN BR Taxable Muni BndTr BlackRock 3.81 -0.16 5.52 4.50 31.63 1,489 3,734
GBAB Gghm Taxable Muni Bnd & Inv Grd Dbt Guggenheim Funds 3.89 6.43 6.12 15.06 30.18 480 1,272
CHY Calamos Convt & Hi Incm Fd Calamos 1.61 2.16 7.46 0.00 32.06 1,153 3,216
CHI Calamos Convt Opp & Incm Calamos 1.57 0.74 7.59 0.00 32.00 1,058 3,331
NCZ Virtus AG Convt & Incm Fd II Virtus 1.57 -8.10 8.62 35.71 39.12 432 2,151
NCV Virtus AG Convt & Incm Fd Virtus 1.57 -6.00 8.57 33.51 38.63 572 2,331
CCD Calamos Dyn Convt & Incm Fd Calamos 1.44 2.05 7.59 0.00 30.96 741 2,466
EMD WA Emrg Mkt Dbt Fd Franklin Templeton 2.62 -6.01 7.75 37.86 28.18 900 2,119
EDD MS Emrg Mkt Dom Dbt Morgan Stanley 2.53 -10.60 6.17 0.00 19.05 455 1,116
TEI Tmp Emrg Mkt Incm Fd Franklin Templeton 2.66 -6.75 9.09 14.33 0.00 406 2,060
FAX Abd Asia-Pacific Incm Fd Aberdeen 1.57 -7.45 7.59 54.38 29.56 1,164 3,101
GIM Tmp Glbl Incm Fd Franklin Templeton 1.55 -4.30 7.94 32.28 0.00 779 1,762
MIN MFS Imd Incm Tr MFS 1.47 -1.86 8.73 55.24 0.00 436 1,667
PPT Putnam Prmr Incm Tr Putnam 1.46 -0.41 6.50 42.43 0.00 493 1,222
RCS PIMCO Stgc Incm Fd PIMCO 1.55 16.69 8.03 1.83 41.61 290 836
DHY CS Hi Yld Bnd Fd Credit Suisse 0.55 -2.71 7.41 0.00 28.03 267 3,143
DHF BNY Mellon Hi Yld Stgs Fd BNY Mellon 0.55 -3.31 8.04 0.00 28.59 241 2,560
CIK CS Ast Mgmt Incm Fd Credit Suisse 0.55 0.00 7.74 0.00 25.64 183 3,148
HYT BR Corp Hi Yld Fd BlackRock 0.55 0.08 7.67 13.98 30.90 1,484 4,125
DLY DbLin Yld Opp Fd Doubleline 0.54 -3.33 7.09 0.95 20.75 979 2,167
FTHY FT Hi Yld Opp 2027 Trm Fd First Trust 0.53 -6.21 7.25 0.00 28.35 774 1,840
DSU BR Dbt Stgs Fd BlackRock 0.55 -2.31 6.36 22.97 31.23 545 1,401
HIO WA Hi Incm Opp Fd Franklin Templeton 0.55 -4.92 6.90 12.43 0.00 522 969
GHY PGIM Glbl Hi Yld Fd Prudential 0.55 -6.81 8.08 4.42 27.40 685 1,999
ISD PGIM Hi Yld Bnd Fd Prudential 0.55 -5.41 7.75 10.26 24.11 571 1,581
EAD WF Incm Opp Fd Wells Fargo 0.55 -5.54 7.96 0.00 26.10 557 1,370
KIO KKR Incm Opp Fd KKR Credit 0.55 -3.26 7.73 0.93 36.97 343 1,061
SDHY PGIM Srt Dur Hi Yld Opp Fd Prudential 0.51 -6.74 6.99 0.00 12.60 491 1,512
JHB Nuv Corp Incm Nov 2021 Tgt Trm Nuveen 0.53 -0.53 1.85 0.00 0.00 528 1,166
PTY PIMCO Corp & Incm Opp Fd PIMCO 2.65 35.87 8.01 7.66 47.16 1,262 8,776
PCN PIMCO Corp & Incm Stgy Fd PIMCO 2.59 25.43 7.48 0.41 36.79 593 1,392
GDO WA Glbl Corp Dfin Opp Fd Franklin Templeton 2.57 -1.98 6.63 11.64 28.67 279 606
EVV EV Ltd Dur Incm Fd Eaton Vance 2.59 -3.39 9.16 34.00 33.29 1,575 5,379
BLW BR Ltd Dur Incm Tr BlackRock 2.52 0.29 6.88 15.22 34.18 608 1,463
FTF FrkTmp Ltd Dur Incm Tr Franklin Templeton 2.51 -1.18 10.13 44.47 33.16 282 1,288
JFR Nuv Flt Rt Incm Fd Nuveen 0.62 -7.19 7.19 0.44 36.11 594 3,133
JQC Nuv Cr Stgs Incm Fd Nuveen 0.64 -5.44 10.04 64.46 36.43 947 4,703
NSL Nuv Sr Incm Fd Nuveen 0.63 -6.84 7.13 0.91 36.00 237 2,600
JRO Nuv Flt Rt Incm Opp Fd Nuveen 0.62 -7.64 7.23 1.38 36.16 419 1,898
FRA BR Flt Rt Incm Stgc Fd BlackRock 0.62 -6.29 6.11 22.84 29.11 493 1,919
VTA Invsc Dyn Cr Opp Fd Invesco 0.63 -5.16 7.77 29.96 28.00 770 2,018
VVR Invsc Sr Incm Tr Invesco 0.64 -6.26 5.81 17.67 28.00 709 2,822
FCT FT Sr Flt Rt Incm Fd II First Trust 0.65 0.63 9.20 38.87 29.33 328 2,064
EFR EV Sr Flt-Rt Tr Eaton Vance 0.63 -1.73 6.89 0.00 37.00 531 1,657
BRW Saba Cap Incm & Opp Fd Saba Capital 0.62 -5.47 1.72 1.38 0.00 600 1,720
BGB Blackstone Stgc Cr Fd Blackstone 0.63 -7.39 6.33 0.00 37.20 658 1,694
EFT EV Flt-Rt Incm Tr Eaton Vance 0.63 -1.91 6.48 0.00 36.70 583 1,632
OPP RiverNorth DbLin Stgc Opp Fd RiverNorth 3.84 1.70 12.25 54.08 28.60 212 1,921
BKT BR Incm Tr BlackRock 3.80 4.83 6.56 21.89 24.86 383 1,532
PCI PIMCO Dyn Cr & Mortg Incm PIMCO 0.68 8.99 9.36 2.15 45.00 3,091 11,644
PDI PIMCO Dyn Incm Fd PIMCO 0.69 14.51 9.21 0.00 45.14 1,748 8,412
DSL DbLin Incm Solutions Fd Doubleline 0.67 -1.68 7.29 2.02 28.05 1,879 4,528
RA Brkf Real Ast Incm Fd Brookfield 0.71 6.34 11.03 67.25 29.68 897 6,459
GOF Gghm Stgc Opp Fd Guggenheim Funds 0.68 24.08 10.34 57.17 29.57 881 7,921
PDO PIMCO Dyn Incm Opp Fd PIMCO 0.72 4.42 6.69 0.00 46.62 2,209 6,497
BTZ BR Cr Alloc Incm Tr BlackRock 0.69 -3.14 6.65 14.84 29.29 1,460 3,018
PHK PIMCO Hi Incm Fd PIMCO 0.69 15.84 8.47 0.00 38.61 785 2,973
HFRO Highland Incm Fd Highland Capital 0.65 -23.21 8.60 4.34 13.60 999 3,695
PFN PIMCO Incm Stgy Fd II PIMCO 0.71 13.98 8.99 4.38 36.14 719 2,840
AWF AB Glbl Hi Incm Fd AllianceBernstein 0.70 -5.68 6.40 0.00 30.16 1,123 1,993
JPS Nuv Pref & Incm Sec Fd Nuveen 0.94 -0.10 6.16 0.00 36.16 2,009 3,288
JPC Nuv Pref & Incm Opp Fd Nuveen 0.97 0.61 6.42 0.00 36.48 1,018 2,289
FPF FT Imd Dur Pref & Incm Fd First Trust 0.97 0.52 6.12 5.27 30.88 1,510 2,782
FFC F&C Pref Sec Incm Fd Flaherty & Crumrine 0.88 4.44 6.79 0.00 32.80 969 1,907
PDT JH Prm Div Fd John Hancock 1.04 14.85 6.97 4.74 34.09 711 1,942
PTA Tx-Adv Pref Sec Pref Sec & Incm Fd Cohen & Steers 0.93 -3.58 6.22 40.22 32.80 1,301 2,397
HPI JH Pref Incm Fd John Hancock 0.95 3.05 6.97 3.98 31.65 541 1,157
HPF JH Pref Incm Fd II John Hancock 0.95 4.57 6.96 7.63 31.93 435 1,436
WIW WA Inf-Lnk Opp & Incm Fd Franklin Templeton 7.83 -9.57 3.34 49.58 32.03 876 1,502
ARCC Ares Capital Corp Ares 0.41 8.88 8.42 0.00 49.97 7,632 38,857
PSEC Prospect Capital Corp Prospect Capital 0.46 -10.23 8.55 9.08 35.60 3,637 20,598
ORCC Owl Rock Capital Corp Owl Rock 0.43 -4.25 8.74 0.00 47.86 5,801 18,643
MAIN Main Street Cap Corp Main Street Capital 0.43 80.09 6.03 0.00 44.69 1,545 13,231
FSK FS KKR Capital Corp FS/KKR 0.92 -15.87 10.96 0.00 52.17 3,221 13,078
HTGC Hercules Capital Hercules 0.44 50.79 7.47 0.00 47.65 1,315 11,416
TSLX Sixth St Splty Lending Sixth St Splty Lending 0.45 31.09 7.60 0.00 44.28 1,196 8,042
GBDC Golub Capital BDC Golub Capital 0.42 2.22 7.64 1.39 45.30 2,500 8,443
GSBD Goldman Sachs BDC Goldman Sachs 0.43 24.19 9.06 0.00 48.42 1,627 8,718
AINV Apollo Inv Corp Apollo 0.41 -14.74 9.16 0.00 57.74 1,036 4,549
NMFC New Mountain Fin Corp New Mountain Capital 0.42 -0.31 9.37 8.15 56.62 1,244 4,916
NEWT Newtek Biz Serv Corp Newtek 0.51 106.33 8.34 0.00 50.70 366 6,280
TCPC BR TCP Capital Corp BlackRock 0.40 1.33 8.73 7.39 54.98 783 3,789
OCSL Oaktree Splty Lending Oaktree Capital 0.43 -7.05 7.89 0.00 45.61 1,279 6,341
BCSF Bain Cap Splty Fin BCSF Advisors 0.43 -7.55 8.81 0.00 53.86 1,078 2,643
CSWC Cap Southwest Corp Capital Southwest 0.45 53.72 8.61 0.00 51.84 336 3,651
BBDC Barings BDC Barings 0.43 -7.27 7.74 0.00 57.05 728 2,602

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 %