Cliffwater Direct Lending Index - 2nd Quarter, 2024

Key takeaways:
1) The CDLI was up 12.30% and 9.51% for the trailing four quarters and from Sept. 2004 inception, respectively.
2) Intertest income over those periods totaled 12.31% and 10.85%, respectively.
3) Realized losses equaled 0.66% over last year.
4) Non-Accruals ticked up to 1.6% but remain well below their 2.2% historical average.
Our analysis relies upon the Cliffwater Direct Lending Index (“CDLI”) an asset-weighted index of approximately 16,200 directly originated middle market loan holdings totaling $358 billion as of June 30, 2024, up from $146 billion three years ago.
The CDLI assists investors in better understanding private debt as an asset class and to benchmark lender performance. The CDLI is used globally by investors and lenders as the index of choice for understanding the return and risk characteristics of US middle market debt.
Launched in 2015, the CDLI was reconstructed back to 2004 using publicly available quarterly SEC filings required of business development companies, whose primary asset holdings are US middle market corporate loans. Importantly, SEC filing and transparency requirements eliminate common biases of survivorship and self-selection found in other industry universe and index benchmarks. And finally, loan assets in the CDLI are managed for total return by independent asset managers, unlike similar loans within insurance companies where statutory and other regulatory requirements can result in nonperformance objectives. See www.cliffwater...... for further information on the CDLI.