摩根士丹利-私募信贷市场监测报告 2026 年第三季度 Private Credit Market Monitor - Q3 2026

MorganStanley

INVESTMENTMANAGEMENT

PrivateCreditMarketMonitor

NorthAmericaPrivateCreditTeam

Q32026

PrivateCreditMarketMonitor|Q320262

TableofContents

PrivateCreditMarketMonitorisanin-depthreviewofthedirectlendingmarketthroughclearandimpactfulcharts.Providingtimelyinformationacrossabroadarrayoftopicsrelatingtothisdistinctiveassetclass,

PortfolioApplications

18

ImportantDisclosures

31

PrivateCreditMarketMonitorprovidesconnectivitybetweenchangingmarketeventsandtheroleofdirectlendingwithininvestorportfolios.

MarketUpdate

3

AboutNorthAmerica

PrivateCredit

27

Ifyouareviewingthisbookonyourcomputerortablet,clickortaponthetitleboxtojumptothebeginningofeachsection.

MarketUpdate

PrivateCreditMarketMonitor|Q320264

PrivateCreditSupplyMutedAmidImprovingLendingEnvironment

SubduedBackdropHasEasedVolumesWhileWideningSpreadsCreateMoreAttractiveEntryPoints

SponsoredMiddleMarketDirectLendingVolume($Bn)1

2Q20

4Q20

2Q21

4Q21

2Q22

4Q22

2Q23

4Q23

2Q24

4Q24

2Q25

4Q25

2Q26

$50

$45

$40

$35

$30

$25

$20

$15

$10

$5

$0

LBO

DividendRecap

Add-OnAcquisition

MinimumUnitrancheSpreadThreshold

(%ofManagerOutlookSurveyResponses)1

80%

70%

60%

50%40%30%20%10%

0%

<450bps450-475500-525550-575600-625>=650

1Q262Q263Q26

1.Source:LSEGasofJune30,2026.

TheopinionsexpressedhereinarethoseoftheNAPCteamasofthedateofthepresentationandaresubjecttochangeduetochangesinmarketoreconomicconditions.Forwardlookingstatements,and

statementsregardingNAPC’sassessmentofthemarketarebytheirnatureinherentlyuncertaininsofarasactualrealizedreturnsorotherprojectedresultscanchangequicklybasedon,amongotherthings,unexpectedmarketmovements,changesininterestrates,legislativeorregulatorydevelopments,actsofGod,andotherdevelopments.Pastperformanceisnotindicativeoffutureresults.

PrivateCreditMarketMonitor|Q320265

PrivateCreditShareoftheLBOMarketandBSLTakeouts

DirectLendingandBSLMarketsRemainRelativelyBalanced,WithRefinancingsFlowinginBothDirections

LBOsFinancedbyBSLandDirectLending1

1,200

1,000

800

600

400

200

0

BroadlySyndicatedLoans

2020202120222023202420251H2026

DirectLending

DirectLendingandBSLTakeouts($Bn)1

$80

$70

$60

$50

$40

$30

$20

$10

$0

20222023202420251H2026

BSLRefinancedbyDL

DLRefinancedbyBSL

1.Source:MorganStanleyWealthManagementGIOandPitchBook.AsofJuly31,2026.

TheopinionsexpressedhereinarethoseoftheNAPCteamasofthedateofthepresentationandaresubjecttochangeduetochangesinmarketoreconomicconditions.Forwardlookingstatements,and

statementsregardingNAPC’sassessmentofthemarketarebytheirnatureinherentlyuncertaininsofarasactualrealizedreturnsorotherprojectedresultscanchangequicklybasedon,amongotherthings,unexpectedmarketmovements,changesininterestrates,legislativeorregulatorydevelopments,actsofGod,andotherdevelopments.Pastperformanceisnotindicativeoffutureresults.

PrivateCreditMarketMonitor|Q320266

IlliquidityPremiumIntactasSpreadsWidenOff2025Lows

LowerMiddleMarketPremiumIsBeingSqueezedOutasDeal-SizeSpreadsConverge

SpreadsFinancedInBSLvs.DirectLending1,2

700

600

188

500

400

300

200

100

0

20212022202320242025July2026Difference(right)BSLSingleBAvg.DLSpread

250

200

150

100

50

0

ComparisonofSpreadsAcrossDealSizes1

600

550

500

450

400

350

300

M

M

SingleB

Syndicated

EBITDA<EBITDA$20mEBITDA$50mEBITDA

M

M

M

$20mto<$50mto<$100m$100+

Loans

YE24YE25July2026

1.Source:MorganStanleyWealthManagementGIOandKBRADLD.AsofJuly31,2026.

2.Averageoflower,core,upper,andlarge-capdirectlendingasof12/31unlessspecifiedotherwise.

TheopinionsexpressedhereinarethoseoftheNAPCteamasofthedateofthepresentationandaresubjecttochangeduetochangesinmarketoreconomicconditions.Forwardlookingstatements,and

statementsregardingNAPC’sassessmentofthemarketarebytheirnatureinherentlyuncertaininsofarasactualrealizedreturnsorotherprojectedresultscanchangequicklybasedon,amongotherthings,unexpectedmarketmovements,changesininterestrates,legislativeorregulatorydevelopments,actsofGod,andotherdevelopments.Pastperformanceisnotindicativeoffutureresults.

PrivateCreditMarketMonitor|Q320267

LeverageHasRemainedStable,CoverageRatiosHaveImproved

CorporateFundamentalsRemainHealthyThoughHigherRatesAheadMayModeratethePositiveTrend

TotalLeverage:UnitrancheMiddleMarket1

6.5x

6.0x

5.5x

5.0x

1Q23

2Q23

3Q23

4Q23

1Q24

2Q24

3Q24

4Q24

1Q25

2Q25

3Q25

4Q25

1Q26

2Q26

4.5x

InterestCoverageRatio:AllMiddleMarket2

3.5x

3.0x

2.5x

2.0x

1.5x

1Q21

2Q21

3Q21

4Q21

1Q22

2Q22

3Q22

4Q22

1Q23

2Q23

3Q23

4Q23

1Q24

2Q24

3Q24

4Q24

1Q25

2Q25

3Q25

4Q25

1Q26

2Q26

1.0x

1.Source:KBRADLDResearchasofJune30,2026.Averagesarebasedona3-monthrollingbasis.Annualrecurringrevenuedealsareexcluded.Alltypesofproceedsincluded.

2.Source:KBRADLDResearchasofJune30,2026.Annualrecurringrevenuedealsareexcluded.

TheopinionsexpressedhereinarethoseoftheNAPCteamasofthedateofthepresentationandaresubjecttochangeduetochangesinmarketoreconomicconditions.Forwardlookingstatements,and

statementsregardingNAPC’sassessmentofthemarketarebytheirnatureinherentlyuncertaininsofarasactualrealizedreturnsorotherprojectedresultscanchangequicklybasedon,amongotherthings,unexpectedmarketmovements,changesininterestrates,legislativeorregulatorydevelopments,actsofGod,andotherdevelopments.Pastperformanceisnotindicativeoffutureresults.

PrivateCreditMarketMonitor|Q320268

PIKIncidenceRangeboundinBDCs,LimitedNear-TermMaturities

PIKLevelsRemainSteady,MaturityWallHasBeenExtendedMeaningfully

BDCPIKIncomeasShareofTotalIncome(%)1

10%

9%

8%

7%

6%

5%

4%

3%

2%

1%

0%

6.2%

1Q23

2Q23

3Q23

4Q23

1Q24

2Q24

3Q24

4Q24

1Q25

2Q25

3Q25

4Q25

1Q26

2Q26

Average

BDCBorrowerDebtbyMaturityYear(%)2

25%

20%

15%

10%

5%

0%

20262027202820292030203120322033+

Asof2Q25Asof2Q26

1.Source:BDCCollateralandMorganStanleyResearchasofJune30,2026.Payment-In-Kind(PIK)Incomeshownaspercentageoftotalinvestmentincome.Note:forBDCswithtotalassetsover$50million.

2.Source:LSEGbasedonBDCCollateraldatabasedoffthemostrecentBDCfilingsasofAugust24,2026.

TheopinionsexpressedhereinarethoseoftheNAPCteamasofthedateofthepresentationandaresubjecttochangeduetochangesinmarketoreconomicconditions.Forwardlookingstatements,and

statementsregardingNAPC’sassessmentofthemarketarebytheirnatureinherentlyuncertaininsofarasactualrealizedreturnsorotherprojectedresultscanchangequicklybasedon,amongotherthings,unexpectedmarketmovements,changesininterestrates,legislativeorregulatorydevelopments,actsofGod,andotherdevelopments.Pastperformanceisnotindicativeoffutureresults.

PrivateCreditMarketMonitor|Q320269

DefaultMeasuresGenerallyStableAcrossIndustryTrackers

DirectLendingDefaultRatesHaveDeclinedFromPrior-YearLevelsDespiteQuarterlyNoise

DefaultSummarybyDataProvider(%)1

Q1

2026

Q2

2026

DEFAULT

DEFINITION

DATA

METHODOLOGY

DATAPROVIDER/SAMPLESIZE

S&P/

2500CreditEstimates

Bankruptcies,

paymentdefaults,

distressedexchanges

Trailing12-monthdefaultrate(issuerweighted)

4.8%

3.9%

KBRA/

2400companieswithseniorsecurednon-syndicatedtermloans

Bankruptcies,

paymentdefaults,

distressedexchanges

Trailing12-monthdefaultrate(issuerweighted)

1.6%

2.0%

Fitch/

Over1000Companies

Bankruptcies,

paymentdefaults,

distressedexchanges

Annualizeddefaultrate(issuer

weighted)

5.7%

6.0%

LincolnInt’l/

~1000companies

Covenantdefault

(onceresolved,nolongerdeemedasindefault)

Quarterlydefault

index(sizeweighted)

3.1%

2.7%

Proskauer/

1000ActiveLoans

Bankruptcies,

paymentdefaults,

distressedexchanges,covenantdefault,

othermaterial

defaults,etc.(once

thecovenantbreachisresolved,nolonger

deemedasindefault)

Quarterlydefaultindex(facilitycountweighted)

2.7%

2.5%

TTMDefaultRates(%)2

10%

8%

6%

4%

2%

0%

2Q18

2Q19

2Q20

2Q21

2Q22

2Q23

2Q24

2Q25

2Q26

3.9%

2.8%

DirectLendingDefaultsBSLDefaults

1.Source:Fitch,S&P,KBRADLD,LincolnInternationalVOG,Proskauer,andMorganStanleyResearch.Dataasof2Q26.

2.Source:S&P,PitchBook|LCD,andMorganStanleyResearch.Dataasof2Q26.

TheopinionsexpressedhereinarethoseoftheNAPCteamasofthedateofthepresentationandaresubjecttochangeduetochangesinmarketoreconomicconditions.Forwardlookingstatements,and

statementsregardingNAPC’sassessmentofthemarketarebytheirnatureinherentlyuncertaininsofarasactualrealizedreturnsorotherprojectedresultscanchangequicklybasedon,amongotherthings,unexpectedmarketmovements,changesininterestrates,legislativeorregulatorydevelopments,actsofGod,andotherdevelopments.Pastperformanceisnotindicativeoffutureresults.

PrivateCreditMarketMonitor|Q3202610

CreditStressConcentratedintheLowerMiddleMarket

LargerBorrowersShowLowerDefaultRatesasMulti-CovenantDealsDeclineintheLowerMiddleMarket

SizeWeightedQuarterlyDefaultRates1CovenantsPerDealbyMarketSize2

30%

25%

20%

15%

10%

5%

0%

<$10M

$10-30M

$30-50M$50-100M>=$100M

EBITDA

EBITDA

EBITDAEBITDAEBITDA

4Q251Q262Q26

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

0%

EBITDA<$50MEBITDA$50M+

20222023202420251H2620222023202420251H26

Cov-lite1Covenant2+Covenants

1.Source:LincolnInternationalandMorganStanleyResearchasof2Q26.

2.Source:MorganStanleyWealthManagementGIOandKBRADLD.AsofJune30,2026.

TheopinionsexpressedhereinarethoseoftheNAPCteamasofthedateofthepresentationandaresubjecttochangeduetochangesinmarketoreconomicconditions.Forwardlookingstatements,and

statementsregardingNAPC’sassessmentofthemarketarebytheirnatureinherentlyuncertaininsofarasactualrealizedreturnsorotherprojectedresultscanchangequicklybasedon,amongotherthings,unexpectedmarketmovements,changesininterestrates,legislativeorregulatorydevelopments,actsofGod,andotherdevelopments.Pastperformanceisnotindicativeoffutureresults.

PrivateCreditMarketMonitor|Q3202611

CreditQualityRemainsRelativelyStable

VastMajorityofDirectLendingisPerforming,WithRealizedLossesContinuingtoTrendLower

CreditHealthBarometer(CDLI)1

3Q24

4Q24

1Q25

2Q25

3Q25

4Q25

1Q26

2Q26

Non-Accruals%ofCost

1.33%

1.33%

1.26%

1.20%

1.35%

1.27%

1.85%

1.73%

PIKIncome%ofInv.Income

7.03%

8.13%

6.92%

7.16%

7.30%

7.31%

6.83%

6.92%

%ofLoansMarked<90(Cost)

5.17%

5.52%

6.65%

5.72%

5.92%

6.12%

7.25%

7.45%

Implied

RecoveryRate

47.47%

46.35%

48.04%

52.15%

48.79%

52.99%

53.08%

48.73%

Trailing4Q

UnrealizedGains/

(Losses)%

0.22%

0.15%

(0.40%)

(0.17%)

(0.20%)

(0.38%)

(1.22%)

(1.59%)

Trailing4QRealized

Losses%

(0.66%)

(0.69%)

(0.63%)

(0.75%)

(0.61%)

(0.64%)

(0.58%)

(0.47%)

HistoricalRiskRatingDistribution(CDLI)2

2Q19

4Q19

2Q20

4Q20

2Q21

4Q21

2Q22

4Q22

2Q23

4Q23

2Q24

4Q24

2Q25

4Q25

2Q26

100%90%80%70%60%50%40%30%20%10%0%

Level1Level2Level3Level4

1.Source:CliffwaterDirectLendingIndexasofJune30,2026.

2.Source:CliffwaterDirectLendingIndexasofJune30,2026.RepresentspercentofportfolioatFV.Level1:ExceedingExpectation.Level2:Performing.Level3:MonitorClosely.Level4:RiskofLoss.

TheopinionsexpressedhereinarethoseoftheNAPCteamasofthedateofthepresentationandaresubjecttochangeduetochangesinmarketoreconomicconditions.Forwardlookingstatements,and

statementsregardingNAPC’sassessmentofthemarketarebytheirnatureinherentlyuncertaininsofarasactualrealizedreturnsorotherprojectedresultscanchangequicklybasedon,amongotherthings,unexpectedmarketmovements,changesininterestrates,legislativeorregulatorydevelopments,actsofGod,andotherdevelopments.Pastperformanceisnotindicativeoffutureresults.

PrivateCreditMarketMonitor|Q3202612

Amended("Bad")PIKRemainsaSmallShareofPortfolios

RealizedLossesHaveRemainedContained,WithMostAmendedLoansAvoidingNon-Accrual

Trailing4QDefault&AmendedPIK%1

12%

11%

10%

9%

8%

7%

6%

5%

4%

3%

2%

1%

0%

(1%)

Trailing4QAmendedPIKRate%Trailing4QDefaultRate%

2Q15

2Q16

2Q17

2Q18

2Q19

2Q20

2Q21

2Q22

2Q23

2Q24

2Q25

2Q26

Trailing4QRealizedLosses%

AmendedPIKOutcomes8QuartersLater2

45%

40%

35%

30%

25%

20%

15%

10%

5%

0%

39.2%

29.4%

27.5%

3.9%

Ultimatelywent

onnon-accrual

Returnedto

cashpay

StillrelyingonExitedPIK

1.Source:CliffwaterDirectLendingIndexasofJune30,2026.AmendedPIKisdefinedasaloanwherethemajorityofmanagersholdingtheloanpermittheinterestratetoflipfromcashpaytoincludePIK;furthermore,thetermloanisalsomarkedbelow96.Theloanisnotyetonnon-accrualstatus.

2.Source:CliffwaterLLCasofJune30,2026.

TheopinionsexpressedhereinarethoseoftheNAPCteamasofthedateofthepresentationandaresubjecttochangeduetochangesinmarketoreconomicconditions.Forwardlookingstatements,and

statementsregardingNAPC’sassessmentofthemarketarebytheirnatureinherentlyuncertaininsofarasactualrealizedreturnsorotherprojectedresultscanchangequicklybasedon,amongotherthings,unexpectedmarketmovements,changesininterestrates,legislativeorregulatorydevelopments,actsofGod,andotherdevelopments.Pastperformanceisnotindicativeoffutureresults.

PrivateCreditMarketMonitor|Q3202613

StrongCaseforGreaterDemandforPrivateCreditCapitalAhead

PrivateEquityFinancingNeedsSignificantlyExceedPrivateCreditDryPowder

PrivateCreditAUM2017–2030Forecast($Tn)1

$5.0

$4.5

$4.5

$4.0

$3.5

$3.0

$2.5

$2.0

$1.5

$1.0

$0.5

2017

2018

2019

2020

2021

2022

2023

2024

2025

2026F

2027F

2028F

2029F

2030F

$0.0

BuyoutFinancingGap2

$1,200

$1,000

$800

$600

$400

$200

$0

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

2022

2023

2024

2025

2026

DirectLendingDryPowderBuyoutDryPowder

1.Source:MorganStanleyWealthManagementGIO,Cobalt,HamiltonLane,Pantheon,andPreqin.AsofDecember31,2025.2026F–2030Frepresentestimatedforecasts.

2.Source:MorganStanleyWealthManagementGIO,Cobalt,HamiltonLane,Pantheon,andPreqin.AsofMarch31,2026.

TheopinionsexpressedhereinarethoseoftheNAPCteamasofthedateofthepresentationandaresubjecttochangeduetochangesinmarketoreconomicconditions.Forwardlookingstatements,and

statementsregardingNAPC’sassessmentofthemarketarebytheirnatureinherentlyuncertaininsofarasactualrealizedreturnsorotherprojectedresultscanchangequicklybasedon,amongotherthings,unexpectedmarketmovements,changesininterestrates,legislativeorregulatorydevelopments,actsofGod,andotherdevelopments.Pastperformanceisnotindicativeoffutureresults.

PrivateCreditMarketMonitor|Q3202614

DirectLendingLeadsCapitalRaisingShareDespiteRecentReset

DirectLendingRemainstheLargestStrategyasFundraisingBroadensAcrossCreditTypes

GlobalPrivateCreditCapitalRaisedbyType($Bn)1

$350

$300

$250

$200

$150

$100

$50

$0

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

2022

2023

2024

2025

1H2026

DirectlendingOpportunisticCreditRealestatedebtGeneraldebt

InfrastructuredebtVenturedebt

GlobalPrivateCreditCapitalRaisedbyType(%)1

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

2022

2023

2024

2025

1H2026

0%

Directlending

Realestatedebt

Infrastructuredebt

OpportunisticCreditGeneraldebt

Venturedebt

1.Source:PitchbookLCDasofJune30,2026.OpportunisticCreditincludesDistressedDebt+CreditSpecialSituations+Mezzanine+BridgeFinancing.

TheopinionsexpressedhereinarethoseoftheNAPCteamasofthedateofthepresentationandaresubjecttochangeduetochangesinmarketoreconomicconditions.Forwardlookingstatements,and

statementsregardingNAPC’sassessmentofthemarketarebytheirnatureinherentlyuncertaininsofarasactualrealizedreturnsorotherprojectedresultscanchangequicklybasedon,amongotherthings,unexpectedmarketmovements,changesininterestrates,legislativeorregulatorydevelopments,actsofGod,andotherdevelopments.Pastperformanceisnotindicativeoffutureresults.

PrivateCreditMarketMonitor|Q3202615

GrowthinNon-TradedBDCsasAlternativesAllocationExpands

ExpandingBDCAdoptionisIncreasingAccessasPrivateWealthDeepensAlternativesAllocations

GlobalPrivateCreditFundAUM($Bn)1

TotalAUM%Deployed

$2,000

$1,800

$1,600

$1,400

$1,200

$1,000

$800

$600

$400

$200

$0

2008

2009

2010

2011

2012

2013

2014

2015

2016

2017

2018

2019

2020

2021

2022

2023

2024

2025

80%

70%

60%

50%

40%

30%

20%

10%

0%

TotalAUM($B)%Deployed

BDCAssetGrowthbyVehicleType($Bn)2

$600

$500

$400

$300

$200

$100

$0

1Q21

2Q21

3Q21

4Q21

1Q22

2Q22

3Q22

4Q22

1Q23

2Q23

3Q23

4Q23

1Q24

2Q24

3Q24

4Q24

1Q25

2Q25

3Q25

4Q25

1Q26

2Q26

PerpetualNon-TradedBDCs

Unlisted/PrivateBDCs(ExcludesPerpetuals)PubliclyListedBDCs

1.Source:PitchBook|LCDandMorganStanleyResearchasofDecember31,2025.

2.Source:BDCCollateralandMorganStanleyResearchasofJune30,2026.

Note:Assumes2.2%middlemarketlendingexposurewithininsurersbasedonaMoody’sreport,and2%exposurewithinpensionfundsbasedon.

TheopinionsexpressedhereinarethoseoftheNAPCteamasofthedateofthepresentationandaresubjecttochangeduetochangesinmarketoreconomicconditions.Forwardlookingstatements,and

statementsregardingNAPC’sassessmentofthemarketarebytheirnatureinherentlyuncertaininsofarasactualrealizedreturnsorotherprojectedresultscanchangequicklybasedon,amongotherthings,unexpectedmarketmovements,changesininterestrates,legislativeorregulatorydevelopments,actsofGod,andotherdevelopments.Pastperformanceisnotindicativeoffutureresults.

PrivateCreditMarketMonitor|Q3202616

NaturalPortfolioLiquiditySupportsPerpetualBDCStructures

LoanRepaymentsProvideaNaturalSourceofLiquidityasSubscriptionsModerateFromRecordLevels

Inflowsvs.Redemptions:PerpetualBDCs($Bn)1

$20

$15

$10

$5

$0

($5)

($10)

2Q21

4Q21

2Q22

4Q22

2Q23

4Q23

2Q24

4Q24

2Q25

4Q25

2Q26

GrossSubscriptionsGrossRedemptionsNetFlows

LoanMaturities,Prepayments,andSales2

50%

45%

40%

35%

30%

25%

20%

15%

10%

5%

0%

2005

2008

2011

2014

2017

2020

2023

2026

27%

1.Source:CliffwaterDirectLendingIndexasofJune30,2026.Grosssubscriptionsincludedividendreinvestment.

2.Source:CliffwaterDirectLendingIndexasofJune30,2026.RepresentstrailingfourquartersendingJune2026.Cashinflowsfrommaturingloans,prepayments,andsales,dividedbytotalinvestmentsatcost.Excludesinterest.

TheopinionsexpressedhereinarethoseoftheNAPCteamasofthedateofthepresentationandaresubjecttochangeduetochangesinmarketoreconomicconditions.Forwardlookingstatements,and

statementsregardingNAPC’sassessmentofthemarketarebytheirnatureinherentlyuncertaininsofarasactualrealizedreturnsorotherprojectedresultscanchangequicklybasedon,amongotherthings,unexpectedmarketmovements,changesininterestrates,legislativeorregulatorydevelopments,actsofGod,andotherdevelopments.Pastperformanceisnotindicativeoffutureresults.

PrivateCreditMarketMonitor|Q3202617

SectorMixReflectsDirectLending’sStability-OrientedProfile

DefensiveSectorMixwithLimitedCyclicalExposureandaFocusonResilientEndMarkets

BDCAssetsbySecurityType(%)1BDCAssetsbySector(%)1

100%

90%

80%

70%

60%

50%

40%

30%

20%

10%

1stLien2ndLienSub-debtEquityOther

0%

1Q21

2Q21

3Q21

4Q21

1Q22

2Q22

3Q22

4Q22

1Q23

2Q23

3Q23

4Q23

1Q24

2Q24

3Q24

4Q24

2Q25

3Q25

4Q25

1Q26

2Q26

Technology

Services

Healthcare

FinancialServices

Manufacturing

BusinessServices

Media

Transportation

Retail&Supermarkets

Beverage/Food

0%10%20%

3Q254Q251Q262Q26

1.Source:BDCCollateralandWellsFargoSecuritiesasofJune30,2026.

TheopinionsexpressedhereinarethoseoftheNAPCteamasofthedateofthepresentationandaresubjecttochangeduetochangesinmarketoreconomicconditions.Forwardlookingstatements,and

statementsregardingNAPC’sassessmentofthemarketarebytheirnatureinherentlyuncertaininsofarasactualrealizedreturnsorotherprojectedresultscanchangequicklybasedon,amongotherthings,unexpectedmarketmovements,changesininterestrates,legislativeorregulatorydevelopments,actsofGod,andotherdevelopments.Pastperformanceisnotindicativeoffutureresults.

PortfolioApplications

PrivateCreditMarketMonitor|Q3202619

YieldsHaveStabilizedWhileMaintainingEdgeOverFixedIncome

YieldsRemainDurableandContinuetoOfferaMeaningfulIncomeEnhancementandRateHedge

AverageFirstLienMiddleMarketYield(3-YrTerm)1

14%

12%

10%

8%

6%

4%

2%

0%

Jan-22

Apr-22

Jul-22

Oct-22

Jan-23

Apr-23

Jul-23

Oct-23

Jan-24

Apr-24

Jul-24

Oct-24

Jan-25

Apr-25

Jul-25

Oct-25

Jan-26

Apr-26

Jul-26

10.3%

InterestRate/FloorOID(3-year)SpreadAverage

YieldsandDurationAcrossFixedIncome2

Duration

Yield

(Years)

8.0

10%

9%

8%

7%

6%

5%

4%

3%

2%

1%

0%

U.S.MBSU.S.IGU.S.HYEM

Corporate

4.0

0.0

U.S.

Treasury

DirectLending

YieldDuration

1.Source:MorganStanleyWealthManagementGIO,ChathamFinancial,KBRADLD,MS&Co.,PitchBook,andFederalReserveBankofNewYork.AsofJuly31,2026.

2.Bloomberg&ICEBofADataIndicesasofJune30,2026.Whencomparingassetclasses,keepinmindthateachassetclasshasdifferences.Fixed-incomesecuritiesaresubjecttocreditri