Cliffwater Direct Lending Index - 1st Quarter, 2024

Key takeaways:
1) The CDLI was up 3.02%, 12.49%, and 9.50% for Q1 2024, trailing four quarters, and from Sept. 2004 inception, respectively.
2) Near-record income levels (11.73% current yield, 11.86% YTM) continue to drive high returns.
3) Realized losses equaling 0.85% over last year (0.23% in Q1) remain below 1.03% historical average.
4) The Index showed modest improvement overall with non-accruals (as % of cost) falling modestly to 1.44%, from 1.56%, and remaining below average.
Our analysis relies upon the Cliffwater Direct Lending Index (“CDLI”) an asset-weighted index of approximately 15,600 directly originated middle market loan holdings totaling $337 billion as of March 31, 2024, up from $138 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.