Gross IRR at the fund level is calculated across both realized and unrealized loans based on interest charged, any associated fees (including amendment, penalty, restructuring, servicing, monitoring and similar fees paid to the fund or managed account) and, in most cases, original issue discounts ("OID") assessed. Net IRR is calculated across both realized and unrealized loans and based on quarterly management fees of 1.5% on invested capital (all such fees assessed as of December 31, 2024) and carried interest of 20% over a preferred return to investors of 12%, with a full catch-up.

Gross IRR and Net IRR are net of both estimated deal expenses as well as estimated fund expenses, such as organizational, administrative, audit, legal, and other related expenses, most of which were not actually incurred (other than in the case of Fund III) but are reflected here to replicate a pooled vehicle. SMAs are treated as a synthetic fund for performance calculation purposes.

The Gross and Net IRR in the above table are calculated in accordance with the Gross and Net IRR definitions included in the Disclosures on slide 36. Realized principal & interest is calculated in accordance with the Realized Principal & Interest definition included in the Disclosure on slide 36. Returns exclude three fully realized loans each with invested capital less than $1M and totaling $1.6M, including short-term warehouse loans; additional data is available upon request.

*Fund III return is unlevered: it is calculated as if all investments were made with investors' capital contributions but subtracts interest expense related to the leverage. Fund III borrowed $5M in December 2024.

Peer group includes all private credit funds with performance data in Preqin's database for the respective vintage year. Preqin collects performance data (NAV and cash flows) from limited partner quarterly reports, FOIA requests, self-reported general partner data, and listed firm financial reports, public filings, and annual reports. Refer to disclosure on slide 36 and definitions on slide 37 for more information.

Inner Quartile Range includes all funds between the 75th and 25th percentile. Preqin Private Debt Benchmark contains 74 constituents in 2019 and 86 constituents in 2020.