CDLI final return is 3.25% for 2nd quarter 2020 and 1.91% for the trailing 4 quarters

CDLI Index

The Cliffwater Direct Lending Index (CDLI) seeks to measure the unlevered, gross of fee performance of U.S. middle market corporate loans, as represented by the asset-weighted performance of the underlying assets of Business Development Companies (BDCs), including both exchange-traded and unlisted BDCs, subject to certain eligibility requirements. The CDLI Total Return Index includes three components: Income Return, Realized Gain/Loss, and Unrealized Gain/Loss.

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Index Characteristics

  • Index Value (Jun 30, 2020): 3947.03
  • Assets (Fair Value): $113 Billion
  • Number of Loans: > 6,000
  • Yield: 8.80%

Asset Seniority

  • Senior Debt: 70.6%
  • Subordinate Debt: 17.9%
  • Equity: 6.7%
  • Other: 5.1%

2020 Q2 Report

Private Debt

Capital Market Assumptions

Performance (%) through June 30, 2020