Crescent Capital BDC, Inc. (CCAP)

Trade Timeline

Risk Factors

• •Quality and Long-Term Scores are both low (25/100), indicating underlying business and dividend risk that could manifest as larger-than-expected price drops.
• •14-day ATR (volatility) is 2.39%, which is elevated relative to the expected 2.15% capture return, meaning normal price swings can easily overwhelm the statistical edge.
• •Forward yield at 11.41% reflects market-implied risk; any negative credit or macro news could cause outsized drawdowns around the ex-dividend period.
• •Historical sample size is modest (36 observations), so the 66.7% win rate and 97.2% gap-fill rate may not fully capture tail-risk events.
• •Average recovery time is 22.3 days, so if the trade moves against you, capital could be tied up longer than the 1-day planned hold to get back to breakeven.

Action Checklist

• 1.Confirm latest financials and dividend announcements for CCAP to ensure the $0.42 dividend and dates are unchanged.
• 2.Decide if this will be a tactical trade only; avoid sizing it as a core long-term dividend position given the 25/100 Quality and Long-Term Scores.
• 3.If executing the capture, plan entry approximately 7 trading days before the 2025-12-31 ex-dividend date, watching for the 5-day momentum to remain positive.
• 4.Predefine exit 1 trading day after ex-dividend, regardless of short-term noise, unless there is a clear, preplanned reason to extend holding toward the 22.3-day average recovery window.
• 5.Set position size assuming high volatility (14-day ATR 2.39%) so that a normal price swing does not exceed your risk limits.
• 6.Use limit orders to avoid poor fills in a potentially thinly traded BDC.
• 7.Monitor for credit or macro news that could disproportionately impact BDCs, and be prepared to cut the trade early if adverse conditions emerge.
• 8.Review post-trade performance vs. the expected 2.15% capture return and 66.7% win rate to refine future CCAP capture decisions.