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Index
Cover
Table of Contents
Introduction
NOTE
Acknowledgments
CHAPTER 1: Overview of US Middle Market Corporate Direct Lending
THE RISE OF NONBANK LENDING
DIRECT LENDING INVESTORS
NOTES
CHAPTER 2: The Historical Performance of US Middle Market Direct Loans
THE CLIFFWATER DIRECT LENDING INDEX (CDLI)
US MIDDLE MARKET DIRECT LOAN PERFORMANCE
YIELD ON DIRECT LOANS
NET GAINS (LOSSES)
NET REALIZED GAINS (LOSSES)
NET UNREALIZED GAINS (LOSSES)
TOTAL RETURN
NOTES
CHAPTER 3: Performance Comparisons to Other Asset Classes
RETURN
RISK AND MAXIMUM DRAWDOWN
CHAPTER 4: Current Yield or Yield to Maturity?
CURRENT YIELD
CHAPTER 5: Comparative Credit Loss Rates
CHAPTER 6: How Liquid Are Direct Loans?
CHAPTER 7: Credit as a Separate Asset Class
WHAT IS AN ASSET CLASS?
CREDIT AND ASSET ALLOCATION
PRIVATE CREDIT OPPORTUNITIES
NOTES
CHAPTER 8: Loans and the Theory of Credit
THE MERTON MODEL
VOLATILITY
RISK‐FREE RATE
TIME TO MATURITY
ESTIMATING LOAN RISK
ESTIMATING LOAN PORTFOLIO RISK
TESTING THE MERTON MODEL
MERTON MODEL WITH COVENANTS
NOTES
CHAPTER 9: Risk Premiums in US Middle Market Lending
METHODOLOGY
CHAPTER 10: Covenants and the Loan Agreement
CHAPTER 11: Should Direct Loan Portfolios Be Leveraged?
SIMULATED DIRECT LOAN PORTFOLIOS WITH LEVERAGE
DETERMINANTS OF FINANCING COSTS
CHAPTER 12: Business Development Companies
WHAT IS A BDC?
PRIVATE BDCS
PUBLICLY TRADED BDCS
BDC MARKET INDICES
BDC DIVIDEND YIELD
BDC TOTAL RETURN
NOTE
CHAPTER 13: Selecting Direct Lending Managers
SELECTION MATTERS
MANAGER DIRECT LOAN YIELD
CREDIT LOSSES ACROSS DIRECT LENDERS
TOTAL RETURN
DIRECT LENDING MANAGERS
ORGANIZATION
INVESTMENT STRATEGY
ORIGINATION
UNDERWRITING
LOAN CONSTRUCTION AND MONITORING
WORKOUT
PORTFOLIO CONSTRUCTION
LEVERAGE FINANCING
FEES AND EXPENSES
TRACK RECORD
CHAPTER 14: Loan Valuation
NOTE
CHAPTER 15: Investment Fees
DIRECT LENDING FEE STRUCTURES
COMPARISONS TO PRIVATE EQUITY
COMPARISONS TO BDCs
FEES AND ALPHA
NOTE
CHAPTER 16: Direct Lending and J‐curve Mitigation
CHAPTER 17: Portfolio Construction
DIRECT LENDING BENCHMARKS
THE IMPORTANCE OF A BENCHMARK
THE CDLI AS A PRIVATE DEBT BENCHMARK
DIVERSIFICATION
NOTES
CHAPTER 18: Expected Returns and Risks from Direct Lending
EXPECTED RETURN
EXPECTED RISKS
CHAPTER 19: Asset Allocation
CHAPTER 20: European Middle Market Direct Lending
KEY CHARACTERISTICS OF THE EUROPEAN DIRECT LENDING MARKET
EVOLUTION OF THE EUROPEAN DIRECT LENDING MARKET
CAPITAL STRUCTURE OF EUROPEAN DIRECT LOANS
RISK FACTORS
NOTE
CHAPTER 21: The Borrower's Perspective
US BORROWERS
EUROPEAN BORROWERS
CHAPTER 22: Other Private Debt Opportunities
REAL ESTATE DEBT
MEZZANINE DEBT
COLLATERIZED LOAN OBLIGATIONS (CLOs)
ASSET‐BASED LENDING
INFRASTRUCTURE DEBT
CONSUMER/MARKETPLACE LENDING
ROYALTIES
VENTURE DEBT
RESCUE FINANCING
REINSURANCE
LITIGATION FINANCE
NOTES
Conclusion
Glossary
List of Exhibits
Index
End User License Agreement
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