A new filing from Amplify Exchange Traded Funds indicates the firm will be changing the focus of its Amplify YieldShares Prime 5 Dividend ETF (PFV) from dividend ETFs to senior-loan closed-end funds.
Currently, PFV invests in five U.S.-listed dividend-focused ETFs chosen for the underlying index based on their yield, level of volatility and expense ratio. The new version will track an index of closed-end funds that invest in senior loans.
The selection universe for the revamped fund’s index includes all U.S.-listed closed-end funds that pay dividends and invest primarily in floating-rate senior loans or other forms of floating-rate debt. Among other requirements, it screens out funds with a three-month average daily value traded of less than $1 million, less than $100 million in assets under management (AUM) and less than a year left before their liquidation date.
The funds remaining in the selection universe are then ranked based on distribution rate (40%), premium/discount rate (40%), total expense ratio (10%) and liquidity value (10%). The scores are used to determine a fund’s weighting in the index, with individual constituents capped at a weight of 15%, while all the components with less than $150 million in available float are capped at a combined weight of 30%.
The name and index change is expected to occur sometime around Aug. 29 of this year. PFV launched almost a year ago and has just $1.4 million in AUM.
Contact Heather Bell at [email protected]