Private Debt

List of Exhibits

Exhibit 1.1  Breakdown of the $10 trillion US corporate debt market.

Exhibit 1.2  Capital structure of a $40 million EBITDA company.

Exhibit 2.1  Cliffwater Direct Lending Index performance.

Exhibit 2.2  Components of direct lending returns, September 2004 to December 2017.

Exhibit 2.3  Direct loan income as percent of loan asset value, rolling four quarters.

Exhibit 2.4  Net realized gains (losses) as a percentage of loan assets, rolling four quarters and cumulative returns.

Exhibit 2.5  Net unrealized gains (losses) as a percentage of loan assets, rolling four quarters and cumulative returns.

Exhibit 2.6  Direct loan total return as a percentage of loan asset value, rolling four‐quarter returns.

Exhibit 3.1  Asset class return and risk, September 2004 to December 2017.

Exhibit 3.2  Asset class cumulative returns (growth of $1.00), September 2004 to December 2017.

Exhibit 3.3  Direct lending drawdown during the global financial crisis, June 30, 2008 to December 31, 2010.

Exhibit 4.1  Direct loan fair value versus par (principal) value.

Exhibit 4.2  Current yield and yield‐to‐three‐year‐takeout for the Cliffwater Direct Lending Index.

Exhibit 4.3  Yields and yield spreads for direct loans and high‐yield bonds.

Exhibit 4.4  Yields and yield spreads for direct loans, high‐yield bonds, and leveraged loans.

Exhibit 5.1  Credit losses from high‐yield bonds, bank loans, and middle market loans, 2005–2017.

Exhibit 6.1  Liquidity measurement for US middle market direct ...