Cliffwater Direct Lending Index - 3rd Quarter, 2024

Private Debt - Q3 CDLI report on Direct Lending - Highlights:
1) Continuation of a quiet year and attractive private debt environment.
2) Realized losses (-0.66% over the trailing four quarters) inching upward from historically low levels. The historical average is 1.02%.
3) Total return over the last year have been better than the historical average since inception of the CDLI.
4) Increased liquidity with effective life dropping (4.04 yrs) from historically high levels.
5) Loan quality improving as non-accruals fall (1.3% of cost value) from already historically low levels and is well-below the historical average of 2.2%. Recovery rates moved upward over the quarter.
6) PIK income fell to 7.0% of total income, a 3-year low, falling, from 8.6% last quarter.
Cliffwater also announced the addition of two new subindices to its CDLI suite--the Cliffwater Upper Middle Market (CDLI-UMM) and Lower Middle Market (CDLI-LMM) indices, which examine the relative investment merits of upper versus lower middle market lending (read our findings here: cliffwater.com....
Private debt is a rapidly growing asset class across all investors, individual and institutional alike, a trend that is expected to continue. This report focuses on the third quarter 2024 and long-term performance for one of the largest segments of private debt, US middle market corporate lending.
Our analysis relies upon the Cliffwater Direct Lending Index (“CDLI”) an asset-weighted index of approximately 17,000 directly originated middle market loan holdings totaling $393 billion as of September 30, 2024, up from $176 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 September 30, 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 non-performance objectives.
See cliffwaterdirec... for further information
on the CDLI.
Cliffwater Corporate Lending Fund (CCLFX), Cliffwater Enhanced Lending Fund (CELFX), and Cascade Capital Funds (CPEFX) are SEC-registered interval funds focused on the US corporate middle market.