Indices - Cliffwater LLC

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 (Sep 30, 2020)	4086.28
▪ Assets (Fair Value)	$115.1 Billion
▪ Yield	8.76%
▪ Number of Loans	> 6,000

CWBDC Index

The Cliffwater BDC Index (CWBDC) measures the performance of lending-oriented, exchange-traded Business Development Companies, subject to certain eligibility criteria regarding portfolio composition, market capitalization, and dividend history. The CWBDC is a capitalization-weighted index that is calculated on a daily basis using publicly-available closing share prices and reported dividend payouts. The CWBDC Total Return Index includes two components: 1) Income Return and 2) Price Return.

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Index Characteristics

▪ Close (Jun 10, 2019)	2795.12
▪ Number of Companies	41
▪ Index Yield	9.32%
▪ Market Capitalization	$33.3 Billion
▪ NAV Premium/Discount	-3.19%
▪ Launch Date	January 1, 2015

Overview	The Cliffwater BDC Index ("CWBDC") measures the performance of lending-oriented, exchange-traded Business Development Companies ("BDCs"), subject to certain Eligibility Criteria. The CWBDC is a capitalization-weighted index that is calculated on a daily basis using publicly-available closing share prices and reported dividend payouts.
Valuation Dates	Daily (i.e., days on which U.S. stock markets are open)
Weighting Methodology	Capitalization-weighted
Index Reconstitution	Quarterly based on the Eligibility Criteria The CWBDC will be reconstituted typically within 75 calendar days, but no later than 90 calendar days, following each calendar quarter end.
Eligibility Criteria	▪ Regulated by the SEC as a BDC under the Investment Company Act of 1940; ▪ Substantial majority (approximately 75%) of reported total assets are represented by direct loans made to corporate borrowers, as categorized by each BDC and subject to Cliffwater's discretion; ▪ File SEC form 10-Q (or 10-K, as applicable) within 75 (or 90) calendar days following each calendar quarter end; ▪ Common stock listed on the NYSE or NASDAQ, and meets all the listing requirements of the applicable exchange; ▪ Paid a dividend within the past 180 days; and ▪ Market capitalization of at least $50 million.
Index Returns and Components	Total Return Income Return Price Return
Availability	Index returns generally will be published daily.
Launch Date	January 1, 2015
Base Date	September 30, 2004
Base Value	1000

Overview	The Cliffwater Direct Lending Index ("CDLI") seeks to measure the unlevered, gross of fees performance of U.S. middle market corporate loans, as represented by the underlying assets of Business Development Companies ("BDCs"), including both exchange-traded and unlisted BDCs, subject to certain Eligibility Criteria. The CDLI is an asset-weighted index that is calculated on a quarterly basis using financial statements and other information contained in the U.S. Securities and Exchange Commission ("SEC") filings of all eligible BDCs.
Valuation Dates	Calendar quarter-end
Weighting Methodology	Asset-weighted
Index Reconstitution	Quarterly based on the Eligibility Criteria The CDLI will be reconstituted typically within 75 calendar days, but no later than 90 calendar days, following the current Valuation Date. If a BDC meets the eligibility criteria, but has not filed its report on Form 10-K or 10-Q with the SEC at the time the index is reconstituted, asset information from its report will be included in the index at the time of the next reconstitution.
Eligibility Criteria	All assets held by BDCs that meet the following criteria: ▪ Regulated by the SEC as a BDC under the Investment Company Act of 1940 ▪ Substantial majority (approximately 75%) of reported total assets are represented by direct loans made to corporate borrowers, as categorized by each BDC and subject to Cliffwater's discretion and ▪ File SEC form 10-Q (or 10-K, as applicable) within 75 (or 90) calendar days following the current Valuation Date.
Index Returns and Components	Total Return Income Return Net Realized Gain / Loss Net Unrealized Gain / Loss
Availability	Index returns generally will be published 75 days after calendar quarter-end.
Launch Date	September 30, 2015
Base Date	September 30, 2004
Base Value	1000

Date	Blockchain Record	Fingerprint
2019-03-31	CDLI at 3787.78 on 2019-03-31	dd912997fccba0ef4b0ba43812efff37f63597b2d5683961946527a408d72b99
2018-12-31	CDLI at 3685.34 on 2018-12-31	9e4f70611f41820f7c33f0c2aeb921574dbe4d9313414cccb54a998202ee3660
2018-09-30	CDLI at 3654.68 on 2018-09-30	0a0a77b77acbf8ea0081030c40660bda5bae70333180a67e5911d28bf242ec20
2018-06-30	CDLI at 3569.63 on 2018-06-30	cce7ddaa794609b57832ee0d849cd64f3bf5bdf5879ded7fa88e73b45b0687f0
2018-03-31	CDLI at 3484.56 on 2018-03-31	92d8b3c73d41df53394c3aed51730aeefbde3ddc1748b135b36ac3171a1d03eb
2017-12-31	CDLI at 3410.03 on 2017-12-31	dc35f79dbf2f3268348c22b46eb0dcc545ab7271bc4c5022df45f0d9a535234e
2017-09-30	CDLI at 3342.44 on 2017-09-30	d5c6dbc1948f33c6cfb7954827e0e6ab243b6f5381436bbdefca1f7c73ed1f15
2017-06-30	CDLI at 3277.83 on 2017-06-30	c9a6025993c12a8a802e3b976f4ee076150fa609c2534a63232f3057aff13c7f
2017-03-31	CDLI at 3213.40 on 2017-03-31	dad54a479bda7a507e768f8ec155e6d6ff9d0ef9a7a576ca0aea39c852945771
2016-12-31	CDLI at 3139.28 on 2016-12-31	847625cf1cbf8faf271f0cad52c8d265ae0a5b7e670c04625fbb13f317784cdb
2016-09-30	CDLI at 3059.35 on 2016-09-30	b1f444b8d5d5b63204b588561fe76322209aaa53675eb5dd7008d27f664f356b
2016-06-30	CDLI at 2968.71 on 2016-06-30	5c67fcb3dcf8df6282948a57c0d188d17aa72221d5d58e0ebfb3853a476136d4
2016-03-31	CDLI at 2864.99 on 2016-03-31	3f638c1868ab78629d4327d582c8421f3d75f0861950ebbcfb7885f29c702de1

Cliffwater Login

CDLI INDEX

Index Characteristics

CWBDC Index

Index Characteristics

CWBDC % Premium/Discount on NAV

The Cliffwater BDC Index

Index Construction Methodology and Definitions

Last updated December 11, 2017

The Cliffwater Direct Lending Index

Index Construction Methodology and Definitions

Last updated December 11, 2017

CDLI Index

CWBDC Index