0001913724Qin's Buffalo, LLC2023-09-30
Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM 10-Q
(Mark One)
xQUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the quarterly period ended JuneSeptember 30, 2023
OR
oTRANSITION REPORT PURSUANT TO SECTION 13 or 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from to

Commission File Number: 814-01520
AG Twin Brook Capital Income Fund
(Exact name of registrant as specified in its charter)
Delaware88-6102187
(State or other jurisdiction of incorporation or
organization)
(I.R.S. Employer Identification No.)
245 Park Avenue, 26th Floor, New York, NY10167
(Address of principal executive offices)(Zip Code)
(Registrant’s telephone number, including area code): (212) 692-2000

Securities registered pursuant to Section 12(b) of the Act:
Title of each classTrading
Symbol(s)
Name of each exchange
on which registered
NoneNoneNone
Securities registered pursuant to Section 12(g) of the Act:
Common Shares, par value $0.001 per share
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes x No o
Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes x No o
Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.
Large accelerated fileroAccelerated filero
Non-accelerated filerxSmaller reporting companyo
Emerging growth companyx
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. o
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).
Yes o No x
AsThe number of August 11, 2023,shares of the registrant had 23,183,428Registrant’s common shares of beneficial interest (“Common Shares”), $0.001 par value per share, outstanding.outstanding as of November 13, 2023 was 28,444,752, 19,380 and 0 of Class I, Class S and Class D Common Shares, respectively. Common Shares outstanding exclude July 3,November 1, 2023 subscriptions since the issuance price is not yet finalized at the date of this filing.


Table of Contents
TABLE OF CONTENTS
Consolidated Statements of Assets and Liabilities as of JuneSeptember 30, 2023 (Unaudited) and December 31, 2022
Consolidated Statements of Operations for the Three and SixNine Months Ended JuneSeptember 30, 2023 and for the Three Months Ended JuneSeptember 30, 2022 and for the Period January 27, 2022 (Inception) through Juneto September 30, 2022 (Unaudited)
Consolidated Statements of Changes in Net Assets for the Three and SixNine Months ended JuneSeptember 30, 2023 and for the Three Months Ended JuneSeptember 30, 2022 and for the period January 27, 2022 (Inception) through Juneto September 30, 2022 (Unaudited)
Consolidated Statements of Cash Flows for the SixNine Months Ended JuneSeptember 30, 2023 (Unaudited) and for the period January 27, 2022 (Inception) through Juneto September 30, 2022 (Unaudited)
Consolidated Schedules of Investments as of JuneSeptember 30, 2023 (Unaudited) and December 31, 2022


Table of Contents
PART I - FINANCIAL INFORMATION
ITEM 1. FINANCIAL STATEMENTS
AG Twin Brook Capital Income Fund
Consolidated Statements of Assets and Liabilities
(Amounts in thousands, except share and per share amounts)
June 30, 2023December 31, 2022September 30, 2023December 31, 2022
(Unaudited)(Unaudited)
AssetsAssetsAssets
Investments at fair value:Investments at fair value:Investments at fair value:
Non-controlled/non-affiliated investments at fair value (amortized cost of $943,989 and $795,429, respectively)$945,778 $797,019 
Non-controlled/affiliated investments at fair value (amortized cost of $34,165 and $27,234, respectively)38,564 27,468 
Non-controlled/non-affiliated investments at fair value (amortized cost of $1,163,387 and $795,429, respectively)Non-controlled/non-affiliated investments at fair value (amortized cost of $1,163,387 and $795,429, respectively)$1,163,761 $797,019 
Non-controlled/affiliated investments at fair value (amortized cost of $44,263 and $27,234, respectively)Non-controlled/affiliated investments at fair value (amortized cost of $44,263 and $27,234, respectively)48,615 27,468 
Unrealized gain on foreign currency forward contractsUnrealized gain on foreign currency forward contracts— 
CashCash15,350 22,659 Cash16,959 22,659 
Restricted cashRestricted cash25,956 15,850 Restricted cash29,508 15,850 
Contributions receivableContributions receivable10,100 — 
Deferred financing costsDeferred financing costs7,175 7,892 Deferred financing costs6,745 7,892 
Interest receivableInterest receivable3,802 6,023 Interest receivable4,734 6,023 
Deferred offering costsDeferred offering costs1,086 459 Deferred offering costs1,545 459 
Prepaid expensesPrepaid expenses38 138 Prepaid expenses463 138 
Total assetsTotal assets$1,037,749 $877,508 Total assets$1,282,439 $877,508 
LiabilitiesLiabilitiesLiabilities
Debt (Note 5)Debt (Note 5)$423,200 $323,200 Debt (Note 5)$553,652 $323,200 
Interest payableInterest payable6,206 4,782 Interest payable8,044 4,782 
Dividend payableDividend payable4,173 15,707 Dividend payable5,472 15,707 
Accrued expenses and other liabilities payable to affiliateAccrued expenses and other liabilities payable to affiliate2,367 1,064 
Income incentive fee payableIncome incentive fee payable1,915 1,412 Income incentive fee payable2,205 1,412 
Management fees payableManagement fees payable1,770 1,397 Management fees payable1,986 1,397 
Accrued expenses and other liabilities payable to affiliate1,390 1,064 
Deferred tax liabilityDeferred tax liability924 — Deferred tax liability1,350 — 
Deferred incomeDeferred income832 614 
Capital gains incentive fee payableCapital gains incentive fee payable793 249 Capital gains incentive fee payable615 249 
Deferred income509 614 
Due to affiliateDue to affiliate— 188 Due to affiliate— 188 
Total liabilitiesTotal liabilities440,880 348,613 Total liabilities576,523 348,613 
Commitments and contingencies (Note 7)
Commitments and contingencies (Note 8)Commitments and contingencies (Note 8)
Net assetsNet assetsNet assets
Class I common shares $0.001 par value, unlimited shares authorized; 23,183,428 and 20,943,030 shares issued and outstanding, respectively$23 $21 
Class I common shares $0.001 par value, unlimited shares authorized; 27,361,108 and 20,943,030 shares issued and outstanding, respectivelyClass I common shares $0.001 par value, unlimited shares authorized; 27,361,108 and 20,943,030 shares issued and outstanding, respectively$27 $21 
Additional paid-in-capitalAdditional paid-in-capital583,748 528,878 Additional paid-in-capital690,569 528,878 
Total distributable earnings (loss)Total distributable earnings (loss)13,098 (4)Total distributable earnings (loss)15,320 (4)
Total net assetsTotal net assets596,869 528,895 Total net assets705,916 528,895 
Total liabilities and net assetsTotal liabilities and net assets$1,037,749 $877,508 Total liabilities and net assets$1,282,439 $877,508 
Net asset value per shareNet asset value per share$25.75 $25.25 Net asset value per share$25.80 $25.25 
The accompanying notes are an integral part of these consolidated financial statements.
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AG Twin Brook Capital Income Fund
Consolidated Statements of Operations
(Amounts in thousands, except share and per share amounts)
(Unaudited)
Three Months
Ended
June 30,
2023
Three Months
Ended
June 30,
2022
Six Months Ended
June 30,
2023
Period from January 27, 2022 (Inception) to June 30, 2022Three Months
Ended
September 30,
2023
Three Months
Ended
September 30,
2022
Nine Months Ended
September 30,
2023
Period from January 27, 2022 (Inception) to September 30, 2022
Investment incomeInvestment incomeInvestment income
Investment income from non-controlled, non-affiliated investments:Investment income from non-controlled, non-affiliated investments:Investment income from non-controlled, non-affiliated investments:
InterestInterest$28,312 $297 $52,451 $297 Interest$34,963 $6,997 $87,414 $7,294 
OtherOther331 418 1,259 418 Other475 1,929 1,734 2,347 
Total investment income from non-controlled, non-affiliated investments:Total investment income from non-controlled, non-affiliated investments:28,643 715 53,710 715 Total investment income from non-controlled, non-affiliated investments:35,438 8,926 89,148 9,641 
Total investment incomeTotal investment income28,643 715 53,710 715 Total investment income35,438 8,926 89,148 9,641 
ExpensesExpensesExpenses
InterestInterest$9,625 $104 $17,317 $104 Interest$11,770 $2,015 $29,087 $2,119 
Income incentive fees(1)
Income incentive fees(1)
1,915 — 3,585 — 
Income incentive fees(1)
2,205 649 5,790 649 
Management fees(1)
Management fees(1)
1,770 174 3,410 174 
Management fees(1)
1,986 682 5,396 856 
Offering costsOffering costs836 60 1,618 60 Offering costs739 144 2,357 204 
Other357 38 643 38 
Professional feesProfessional fees721 16 1,273 16 Professional fees136 193 1,409 209 
Administrative fees(1)
Administrative fees(1)
321 255 1,072 255 
Administrative fees(1)
383 240 1,455 495 
Capital gains incentive fees(1)
209 — 543 — 
OtherOther275 340 917 378 
Organizational costsOrganizational costs— 61 528 381 Organizational costs— — 528 381 
Accounting feesAccounting fees114 72 272 72 Accounting fees174 129 446 201 
Capital gains incentive fees(1)
Capital gains incentive fees(1)
(178)46 365 46 
Insurance feesInsurance fees23 82 112 82 Insurance fees147 91 259 173 
Trustees' feesTrustees' fees45 52 89 52 Trustees' fees45 45 134 97 
Total expensesTotal expenses15,936 914 30,462 1,234 Total expenses17,682 4,574 48,143 5,808 
Net investment income (loss) before taxesNet investment income (loss) before taxes$12,707 $(199)$23,248 $(519)Net investment income (loss) before taxes$17,756 $4,352 $41,005 $3,833 
Deferred federal tax provision(2)
Deferred federal tax provision(2)
346 — 924 — 
Deferred federal tax provision(2)
37 — 961 — 
Net investment income (loss) after taxesNet investment income (loss) after taxes$12,361 $(199)$22,324 $(519)Net investment income (loss) after taxes$17,719 $4,352 $40,044 $3,833 
Net realized and unrealized gain (loss) on investment transactionsNet realized and unrealized gain (loss) on investment transactionsNet realized and unrealized gain (loss) on investment transactions
Net realized gain (loss) on investment transactions:Net realized gain (loss) on investment transactions:Net realized gain (loss) on investment transactions:
Non-controlled, non-affiliated investments Non-controlled, non-affiliated investments— — (18)— Non-controlled, non-affiliated investments72 (15)72 
Non-controlled, affiliated investmentsNon-controlled, affiliated investments— — 
Net change in unrealized gain (loss) on investment transactions:Net change in unrealized gain (loss) on investment transactions:Net change in unrealized gain (loss) on investment transactions:
Non-controlled, non-affiliated investmentsNon-controlled, non-affiliated investments29 (6)199 (6)Non-controlled, non-affiliated investments(1,415)301 (1,216)295 
Non-controlled, affiliated investmentsNon-controlled, affiliated investments1,644 — 4,165 — Non-controlled, affiliated investments(47)— 4,118 — 
Foreign currency forward contractsForeign currency forward contracts— — 
Total net realized and unrealized gain (loss) on investment transactionsTotal net realized and unrealized gain (loss) on investment transactions1,673 (6)4,346 $(6)Total net realized and unrealized gain (loss) on investment transactions(1,445)373 2,901 $367 
Net increase (decrease) in net assets resulting from operationsNet increase (decrease) in net assets resulting from operations$14,034 $(205)$26,670 $(525)Net increase (decrease) in net assets resulting from operations$16,274 $4,725 $42,945 $4,200 
Net investment income (loss) per share - basic and diluted$0.54 $(0.09)$1.02 $(0.34)
Earnings (loss) per share - basic and diluted$0.62 $(0.09)$1.22 $(0.34)
Weighted average shares outstanding - basic and diluted22,724,7062,241,78521,890,4011,533,872
(1)Refer to Note 6 - Agreements and Related Party Transactions
(2)Related to the Company’s wholly-owned, consolidated subsidiary,subsidiaries, Twin Brook Equity XVIII Corp. and Twin Brook Equity XXXIII Corp., which isare treated as a corporationcorporations for United States federal income tax purposes
The accompanying notes are an integral part of these consolidated financial statements.
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AG Twin Brook Capital Income Fund
Consolidated Statements of Changes in Net Assets
(Amounts in thousands, except share amounts)
(Unaudited)
Three Months Ended
June 30,
2023
Three Months Ended
June 30,
2022
Six Months Ended
June 30,
2023
Period from January 27, 2022 (Inception) to June 30, 2022Three Months Ended
September 30,
2023
Three Months Ended
September 30,
2022
Nine Months Ended
September 30,
2023
Period from January 27, 2022 (Inception) to September 30, 2022
Increase (decrease) in net assets resulting from operationsIncrease (decrease) in net assets resulting from operationsIncrease (decrease) in net assets resulting from operations
Net investment income (loss)Net investment income (loss)$12,361 $(199)$22,324 $(519)Net investment income (loss)$17,719 $4,352 $40,044 $3,833 
Net realized gain (loss)Net realized gain (loss)— — (18)— Net realized gain (loss)72 (10)72 
Net change in unrealized gain (loss)Net change in unrealized gain (loss)1,673 (6)4,364 (6)Net change in unrealized gain (loss)(1,453)301 2,911 295 
Net increase (decrease) in net assets resulting from operationsNet increase (decrease) in net assets resulting from operations14,034 (205)26,670 (525)Net increase (decrease) in net assets resulting from operations16,274 4,725 42,945 4,200 
DividendsDividendsDividends
Dividends declared from earningsDividends declared from earnings(12,295)— (16,120)— Dividends declared from earnings(14,824)— (30,944)— 
Net increase (decrease) in net assets resulting from dividendsNet increase (decrease) in net assets resulting from dividends(12,295)— (16,120)— Net increase (decrease) in net assets resulting from dividends(14,824)— (30,944)— 
Capital share transactionsCapital share transactionsCapital share transactions
Proceeds from shares soldProceeds from shares sold49,325 174,998 57,140 175,000 Proceeds from shares sold106,863 126,000 164,003 301,000 
Distributions reinvestedDistributions reinvested284 — 284 — Distributions reinvested734 — 1,017 — 
Net increase (decrease) in net assets resulting from capital share transactionsNet increase (decrease) in net assets resulting from capital share transactions49,609 174,998 57,424 175,000 Net increase (decrease) in net assets resulting from capital share transactions107,597 126,000 165,020 301,000 
Total increase (decreases) in net assetsTotal increase (decreases) in net assets51,348 174,793 67,974 174,475 Total increase (decreases) in net assets109,047 130,725 177,021 305,200 
Net assets, at beginning of periodNet assets, at beginning of period545,521 (318)528,895 — Net assets, at beginning of period596,869 174,475 528,895 — 
Net assets, at end of periodNet assets, at end of period$596,869 $174,475 $596,869 $174,475 Net assets, at end of period$705,916 $305,200 $705,916 $305,200 
The accompanying notes are an integral part of these consolidated financial statements.
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AG Twin Brook Capital Income Fund
Consolidated Statements of Cash Flows
(Amounts in thousands)
(Unaudited)
Six Months Ended
June 30,
2023
Period from January 27, 2022 (Inception) to June 30, 2022Nine Months Ended
September 30,
2023
Period from January 27, 2022 (Inception) to September 30, 2022
Cash flows from operating activitiesCash flows from operating activitiesCash flows from operating activities
Net increase (decrease) in net assets resulting from operationsNet increase (decrease) in net assets resulting from operations$26,670 $(525)Net increase (decrease) in net assets resulting from operations$42,945 $4,200 
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash used in operating activities:Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash used in operating activities:Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash used in operating activities:
Net realized (gain) loss on investmentsNet realized (gain) loss on investments18 — Net realized (gain) loss on investments10 (72)
Net change in unrealized (appreciation) depreciation on investmentsNet change in unrealized (appreciation) depreciation on investments(4,364)Net change in unrealized (appreciation) depreciation on investments(2,902)(295)
Net change in unrealized (appreciation) depreciation on foreign currency forward contractsNet change in unrealized (appreciation) depreciation on foreign currency forward contracts(9)— 
Net accretion on debt instrumentsNet accretion on debt instruments(2,186)(25)Net accretion on debt instruments(3,539)(377)
Net paydown gain on debt instrumentsNet paydown gain on debt instruments(359)— Net paydown gain on debt instruments(936)(167)
Interest received in-kindInterest received in-kind(59)— Interest received in-kind(283)— 
Purchases and drawdowns of investments(253,754)(85,995)
Purchases and drawdowns of investments(1)
Purchases and drawdowns of investments(1)
(519,988)(573,964)
Proceeds from sales and paydowns of investmentsProceeds from sales and paydowns of investments100,849 — Proceeds from sales and paydowns of investments139,749 36,260 
Amortization of deferred financing costsAmortization of deferred financing costs867 45 Amortization of deferred financing costs1,370 297 
Amortization of deferred offering costsAmortization of deferred offering costs1,618 60 Amortization of deferred offering costs2,357 204 
Change in operating assets and liabilities:Change in operating assets and liabilities:Change in operating assets and liabilities:
(Increase) decrease in interest receivable(Increase) decrease in interest receivable2,221 (243)(Increase) decrease in interest receivable1,289 (2,468)
(Increase) decrease in prepaid expenses(Increase) decrease in prepaid expenses100 — (Increase) decrease in prepaid expenses(325)— 
Increase (decrease) in interest payableIncrease (decrease) in interest payable1,424 58 Increase (decrease) in interest payable3,262 1,476 
Increase (decrease) in accrued expenses and other liabilities payable to affiliateIncrease (decrease) in accrued expenses and other liabilities payable to affiliate326 466 Increase (decrease) in accrued expenses and other liabilities payable to affiliate1,303 634 
Increase (decrease) in income incentive fees payableIncrease (decrease) in income incentive fees payable503 — Increase (decrease) in income incentive fees payable793 649 
Increase (decrease) in management fees payableIncrease (decrease) in management fees payable373 174 Increase (decrease) in management fees payable589 682 
Increase (decrease) in deferred tax liabilityIncrease (decrease) in deferred tax liability924 — Increase (decrease) in deferred tax liability1,350 — 
Increase (decrease) in deferred incomeIncrease (decrease) in deferred income218 501 
Increase (decrease) in capital gains incentive fees payableIncrease (decrease) in capital gains incentive fees payable544 — Increase (decrease) in capital gains incentive fees payable366 46 
Increase (decrease) in deferred income(105)107 
Increase (decrease) in due to affiliateIncrease (decrease) in due to affiliate(188)360 Increase (decrease) in due to affiliate(188)145 
Increase (decrease) in organizational costs payable to affiliate— 378 
Net cash used in operating activitiesNet cash used in operating activities(124,578)(85,134)Net cash used in operating activities(332,569)(532,249)
Cash flows from financing activitiesCash flows from financing activitiesCash flows from financing activities
Dividends paidDividends paid(27,370)— Dividends paid(40,162)— 
Proceeds from issuance of common sharesProceeds from issuance of common shares57,140 173,512 Proceeds from issuance of common shares153,903 301,000 
Borrowings on debtBorrowings on debt230,400 1,000 Borrowings on debt462,363 415,200 
Payments on debtPayments on debt(130,400)— Payments on debt(231,911)(108,300)
Payments for deferred financing costsPayments for deferred financing costs(150)(3,522)Payments for deferred financing costs(223)(3,522)
Payments for deferred offering costsPayments for deferred offering costs(2,245)(360)Payments for deferred offering costs(3,443)(650)
Net cash provided by financing activitiesNet cash provided by financing activities127,375 170,630 Net cash provided by financing activities340,527 603,728 
Net change in cashNet change in cash2,797 85,496 Net change in cash7,958 71,479 
Cash
Cash, beginning of period38,509 — 
Cash, end of period$41,306 $85,496 
Cash and restricted cashCash and restricted cash
Cash and restricted cash, beginning of periodCash and restricted cash, beginning of period38,509 — 
Cash and restricted cash, end of periodCash and restricted cash, end of period$46,467 $71,479 
Supplemental and non-cash informationSupplemental and non-cash informationSupplemental and non-cash information
Contributions receivable$— $1,488 
Distributions reinvested$284 $— 
Cash paid during the period for interest$15,026 $
Dividends payable$4,173 $— 
The following table provides a reconciliation of cash and restricted cash reported within the consolidated statements of assets and liabilities:
Cash$15,350 $85,496 
Restricted cash25,956 — 
Total cash and restricted cash$41,306 $85,496 
The accompanying notes are an integral part of these consolidated financial statements.
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Contributions receivable$10,100 $— 
Distributions reinvested$1,017 $— 
Cash paid during the period for interest$24,455 $346 
Dividends payable$5,472 $— 
The following table provides a reconciliation of cash and restricted cash reported within the consolidated statements of assets and liabilities:
Cash$16,959 $71,479 
Restricted cash29,508 — 
Total cash and restricted cash$46,467 $71,479 
(1) The period for the nine months ended September 30, 2023, includes investments acquired from the merger with AG Twin Brook BDC, Inc., including $186.3 million of investments and $0.8 million of associated transaction costs. See Note 10 for further details.
The accompanying notes are an integral part of these consolidated financial statements.
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Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of JuneSeptember 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Investments
Non-controlled/non-affiliated senior secured debt
Air freight and logistics
Load One Purchaser Corporation (6)First lien senior secured delayed draw term loanS +5.75%11.25%6/21/2028$6,080 $(94)$(92)(0.02)%
Load One Purchaser CorporationFirst lien senior secured revolving loanS +5.75%11.25%6/21/20283,482 291 296 0.05 %
Load One Purchaser CorporationFirst lien senior secured term loanS +5.75%11.25%6/21/202813,410 13,175 13,200 2.21 %
Zipline Logistics, LLC (6)First lien senior secured delayed draw term loanS +5.75%10.97%9/19/20274,527 (76)(70)(0.01)%
Zipline Logistics, LLC (6)First lien senior secured revolving loanS +5.75%10.97%9/19/20271,687 (28)(26)0.00 %
Zipline Logistics, LLCFirst lien senior secured term loanS +5.75%10.97%9/19/20276,889 6,768 6,779 1.14 %
20,036 20,087 3.37 %
Auto components
Raneys, LLCFirst lien senior secured delayed draw term loanS +6.00%11.45%6/7/2027$4,855 $1,255 $1,270 0.21 %
Raneys, LLC (6)First lien senior secured revolving loanS +6.00%11.50%6/7/20271,522 (29)(27)0.00 %
Raneys, LLCFirst lien senior secured term loanS +6.00%11.50%6/7/20278,894 8,715 8,735 1.46 %
 A.P.A. Industries, LLC (6)First lien senior secured revolving loanS +6.25%11.75%1/10/20281,523 (35)(33)(0.01)%
 A.P.A. Industries, LLCFirst lien senior secured term loanS +6.25%11.75%1/10/202810,065 9,836 9,849 1.65 %
19,742 19,794 3.31 %
Chemicals
Custom Agronomics Holdings, LLC (6)First lien senior secured revolving loanS +6.50%12.00%8/30/2027$2,312 $(39)$(35)(0.01)%
Custom Agronomics Holdings, LLCFirst lien senior secured term loanS +6.50%12.00%8/30/20273,910 3,843 3,849 0.64 %
3,804 3,814 0.63 %
Commercial services and supplies
Industrial Air Flow Dynamics, Inc. (6)First lien senior secured revolving loanS +6.25%11.45%8/5/2028$2,537 $(43)$(39)(0.01)%
Industrial Air Flow Dynamics, Inc.First lien senior secured term loanS +6.25%11.45%8/5/202817,668 17,353 17,390 2.91 %
QLS Buyer, Inc (6)First lien senior secured revolving loanS +6.00%11.23%5/2/20281,591 (38)(38)(0.01)%
QLS Buyer, IncFirst lien senior secured term loanS +6.00%11.23%5/2/202812,434 12,132 12,132 2.03 %
29,404 29,445 4.92 %
Construction and engineering
Rose Paving, LLCFirst lien senior secured revolving loanS +5.50%10.94%11/7/2028$4,961 $2,285 $2,295 0.38 %
Rose Paving, LLCFirst lien senior secured term loanS +5.50%10.70%11/7/202816,768 16,391 16,415 2.75 %
Ironhorse Purchaser, LLCFirst lien senior secured delayed draw term loanS +6.50%12.00%9/30/20279,366 9,252 9,262 1.55 %
Ironhorse Purchaser, LLC (7)First lien senior secured revolving loanS +6.50%11.84%9/30/20275,813 3,590 3,617 0.61 %
Ironhorse Purchaser, LLCFirst lien senior secured term loanS +6.50%12.00%9/30/202730,452 30,043 30,099 5.04 %
61,561 61,688 10.33 %
The accompanying notes are an integral part of these consolidated financial statements.
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AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of June 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Containers and packaging
Bulk Lift International, LLC (6)First lien senior secured revolving loanS +6.75%12.25%11/15/2027$1,748 $(43)$(41)(0.01)%
Bulk Lift International, LLCFirst lien senior secured term loanS +6.75%12.25%11/15/20275,787 5,645 5,653 0.95 %
K-1 Packaging Group, LLC. (6)First lien senior secured revolving loanS +6.00%11.22%10/6/20276,748 (144)(136)(0.02)%
K-1 Packaging Group, LLC.First lien senior secured term loanS +6.00%11.22%10/6/202732,949 32,208 32,278 5.42 %
Sixarp, LLC (6)First lien senior secured delayed draw term loanS +5.25%10.75%8/5/20273,180 (51)(48)(0.01)%
Sixarp, LLC (6)First lien senior secured revolving loanS +5.25%10.75%8/5/20273,732 (61)(56)(0.01)%
Sixarp, LLCFirst lien senior secured term loanS +5.25%10.75%8/5/202719,726 19,386 19,422 3.25 %
56,940 57,072 9.57 %
Diversified consumer services
ACES Intermediate, LLC (6)First lien senior secured revolving loanS +5.50%10.72%7/27/2027$6,964 $(113)$(104)(0.02)%
ACES Intermediate, LLCFirst lien senior secured term loanS +5.50%10.72%7/27/202731,219 30,693 30,747 5.16 %
Yard-Nique, IncFirst lien senior secured delayed draw term loanS +6.00%11.39%4/30/20266,086 399 402 0.07 %
Yard-Nique, Inc (6)First lien senior secured revolving loanS +6.00%11.39%4/30/2026870 (10)(9)0.00 %
Yard-Nique, IncFirst lien senior secured term loanS +6.00%11.39%4/30/20266,705 6,631 6,640 1.11 %
Esquire Deposition Solutions, LLCFirst lien senior secured delayed draw term loanS +6.50%11.90%12/30/20273,842 2,331 2,332 0.39 %
Esquire Deposition Solutions, LLCFirst lien senior secured revolving loanS +6.50%11.89%12/30/20272,162 590 592 0.10 %
Esquire Deposition Solutions, LLCFirst lien senior secured term loanS +6.50%11.89%12/30/202713,391 13,026 13,041 2.18 %
CL Services Acquisition, LLCFirst lien senior secured delayed draw term loanS +6.25%11.65%4/25/20287,090 3,658 3,658 0.61 %
CL Services Acquisition, LLC (6)First lien senior secured revolving loanS +6.25%11.47%4/25/20281,591 (38)(38)(0.01)%
CL Services Acquisition, LLCFirst lien senior secured term loanS +6.25%11.47%4/25/20289,891 9,651 9,648 1.62 %
66,818 66,909 11.21 %
Electrical equipment
WCI Volt Purchaser, LLC (6)First lien senior secured revolving loanS +5.75%11.25%9/15/2028$2,249 $(39)$(36)(0.01)%
WCI Volt Purchaser, LLCFirst lien senior secured term loanS +5.75%11.25%9/15/20289,834 9,656 9,674 1.62 %
9,617 9,638 1.61 %
Electronic equipment, instruments and components
ITSavvy LLCFirst lien senior secured delayed draw term loanS +5.25%10.57%8/8/2028$2,428 $2,183 $2,184 0.37 %
ITSavvy LLC (6)First lien senior secured revolving loanS +5.50%11.05%8/8/20281,741 (15)(12)0.00 %
ITSavvy LLCFirst lien senior secured term loanS +5.50%11.05%8/8/202811,188 11,092 11,114 1.86 %
13,260 13,286 2.23 %
Food and staples retailing
Universal Pure, LLCFirst lien senior secured delayed draw term loanS +6.00%11.34%10/31/2028$355 $36 $36 0.01 %
Universal Pure, LLC (8)First lien senior secured revolving loanS +6.00%11.36%10/31/20286,992 1,752 1,760 0.29 %
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Investments
Non-controlled/non-affiliated senior secured debt
Aerospace and defense
Mattco Forge, Inc. (6)First lien senior secured revolving loanS +5.25%10.84%12/6/2024$506 $(6)$(5)0.00 %
Mattco Forge, Inc.First lien senior secured term loanS +5.25%10.84%12/6/20242,064 2,046 2,043 0.29 %
2,040 2,038 0.29 %
Air freight and logistics
Load One Purchaser Corporation (6)First lien senior secured delayed draw term loanS +6.00%11.65%6/21/2028$6,230 $(91)$(90)(0.01)%
Load One Purchaser CorporationFirst lien senior secured revolving loanS +6.00%11.65%6/21/20283,557 123 127 0.02 %
Load One Purchaser CorporationFirst lien senior secured term loanS +6.00%11.65%6/21/202814,180 13,949 13,968 1.98 %
Zipline Logistics, LLC (6)First lien senior secured delayed draw term loanS +5.75%11.18%9/19/20274,527 (72)(66)(0.01)%
Zipline Logistics, LLC (6)First lien senior secured revolving loanS +5.75%11.18%9/19/20271,687 (27)(25)0.00 %
Zipline Logistics, LLCFirst lien senior secured term loanS +5.75%11.18%9/19/20276,872 6,755 6,765 0.96 %
20,637 20,679 2.94 %
Auto components
Raneys, LLCFirst lien senior secured delayed draw term loanS +6.50%12.15%6/7/2027$4,852 $1,259 $1,272 0.18 %
Raneys, LLC (6)First lien senior secured revolving loanS +6.50%12.15%6/7/20271,560 (28)(26)0.00 %
Raneys, LLCFirst lien senior secured term loanS +6.50%12.15%6/7/20279,321 9,147 9,163 1.30 %
A.P.A. Industries, LLC (6)First lien senior secured revolving loanS +6.00%11.65%1/10/20281,523 (33)(31)0.00 %
A.P.A. Industries, LLCFirst lien senior secured term loanS +6.00%11.65%1/10/20289,704 9,492 9,503 1.35 %
AvCarb, LLCFirst lien senior secured delayed draw term loanS +2.00% + 5.00% PIK12.90%11/12/2026231 227 226 0.03 %
AvCarb, LLC (6)First lien senior secured revolving loanS +2.00% + 5.00% PIK12.90%11/12/202638 — (1)0.00 %
AvCarb, LLCFirst lien senior secured term loanS +2.00% + 5.00% PIK12.90%11/12/2026493 488 486 0.07 %
CCG Acquisition, Inc. (6)First lien senior secured revolving loanS +6.00%11.65%5/17/202719 — — 0.00 %
CCG Acquisition, Inc.First lien senior secured term loanS +6.00%11.65%5/17/2027421 419 417 0.06 %
Vehicle Accessories, Inc. (6)First lien senior secured revolving loanS +5.25%10.90%11/30/202638 — — 0.00 %
Vehicle Accessories, Inc.First lien senior secured term loanS +5.25%10.90%11/30/20261,654 1,654 1,648 0.23 %
22,625 22,657 3.22 %
Chemicals
Custom Agronomics Holdings, LLC (6)First lien senior secured revolving loanS +6.50%12.15%8/30/2027$2,357 $(37)$(34)0.00 %
Custom Agronomics Holdings, LLCFirst lien senior secured term loanS +6.50%12.15%8/30/20274,134 4,066 4,071 0.58 %
AM Buyer, LLCFirst lien senior secured revolving loanS +6.75%12.38%5/1/2025111 31 31 0.00 %
AM Buyer, LLCFirst lien senior secured term loanS +6.75%12.40%5/1/2025466 465 463 0.07 %
Answer Acquisition, LLCFirst lien senior secured revolving loanS +5.75%11.29%12/30/202638 19 19 0.00 %
Answer Acquisition, LLCFirst lien senior secured term loanS +5.75%11.29%12/30/20261,686 1,672 1,664 0.24 %
The accompanying notes are an integral part of these consolidated financial statements.
7

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of JuneSeptember 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Universal Pure, LLCFirst lien senior secured term loanS +6.00%11.39%10/31/202817,009 16,584 16,602 2.78 %
18,372 18,398 3.08 %
Food products
Sun Orchard, LLC (6)First lien senior secured revolving loanS +5.25%10.75%7/8/2027$5,223 $(84)$(77)(0.01)%
Sun Orchard, LLCFirst lien senior secured term loanS +5.25%10.75%7/8/20279,408 9,252 9,268 1.55 %
BPCP WLF Intermedco LLC (6)First lien senior secured delayed draw term loanS +6.00%11.39%8/19/20275,846 (97)(89)(0.01)%
BPCP WLF Intermedco LLCFirst lien senior secured revolving loanS +6.00%11.39%8/19/20273,383 1,297 1,302 0.22 %
BPCP WLF Intermedco LLCFirst lien senior secured term loanS +6.00%11.39%8/19/202723,209 22,815 22,852 3.83 %
Treat Planet Acquisition, LLC (6)First lien senior secured revolving loanS +6.50%12.00%1/11/20281,965 (53)(52)(0.01)%
Treat Planet Acquisition, LLCFirst lien senior secured term loanS +6.50%12.00%1/11/20287,264 7,065 7,073 1.19 %
40,195 40,277 6.76 %
Health care equipment and supplies
Medical Technology Associates, Inc. (6)First lien senior secured revolving loanS +6.25%11.75%7/25/2028$1,929 $(41)$(37)(0.01)%
Medical Technology Associates, Inc.First lien senior secured term loanS +6.25%11.75%7/25/202814,286 13,970 14,010 2.35 %
Nasco Healthcare Inc. (9)First lien senior secured revolving loanS +5.75%11.13%6/30/20253,322 800 803 0.13 %
Nasco Healthcare Inc.First lien senior secured term loanS +5.75%11.14%6/30/202517,722 17,561 17,581 2.95 %
Surplus Solutions, LLC (6)First lien senior secured revolving loanS +6.00%11.50%11/30/20271,771 (39)(37)(0.01)%
Surplus Solutions, LLCFirst lien senior secured term loanS +6.00%11.50%11/30/202710,093 9,871 9,882 1.66 %
42,122 42,202 7.07 %
Health care providers and services
Benefit Plan Administrators of Eau Claire, LLCFirst lien senior secured delayed draw term loanS +5.50%11.00%6/7/2026$7,318 $1,645 $1,648 0.28 %
Benefit Plan Administrators of Eau Claire, LLC (6)First lien senior secured revolving loanS +5.50%10.79%6/7/20261,672 (20)(18)0.00 %
Benefit Plan Administrators of Eau Claire, LLCFirst lien senior secured term loanS +5.50%10.79%6/7/202612,897 12,730 12,748 2.14 %
Change Academy at Lake of the Ozarks, LLCFirst lien senior secured revolving loanS +5.50%11.00%8/2/20275,786 1,255 1,263 0.21 %
Change Academy at Lake of the Ozarks, LLCFirst lien senior secured term loanS +5.50%10.89%8/2/202729,547 29,051 29,098 4.88 %
Endodontic Practice Partners, LLCFirst lien senior secured delayed draw term loanS +6.00%11.66%11/2/202716,642 12,780 12,801 2.14 %
Endodontic Practice Partners, LLCFirst lien senior secured revolving loanS +6.00%11.22%11/2/20271,918 156 161 0.03 %
Endodontic Practice Partners, LLCFirst lien senior secured term loanS +6.00%11.46%11/2/202714,846 14,568 14,610 2.45 %
IPC Pain Acquisition, LLCFirst lien senior secured delayed draw term loanS +6.00%11.22%5/19/202710,830 9,680 9,683 1.62 %
IPC Pain Acquisition, LLC (6)First lien senior secured revolving loanS +6.00%11.22%5/19/20271,115 (13)(11)0.00 %
IPC Pain Acquisition, LLCFirst lien senior secured term loanS +6.00%11.22%5/19/20272,771 2,737 2,742 0.46 %
NH Kronos Buyer, Inc. (6)First lien senior secured revolving loanS +6.25%11.64%11/1/202812,443 (332)(292)(0.05)%
NH Kronos Buyer, Inc.First lien senior secured term loanS +6.25%11.64%11/1/202851,746 50,345 50,497 8.46 %
Propio LS, LLCFirst lien senior secured revolving loanS +5.50%11.02%8/2/20273,619 520 525 0.09 %
Propio LS, LLCFirst lien senior secured term loanS +5.50%10.96%8/2/202719,741 19,405 19,442 3.26 %
Purpose Home Health Acquisition, LLC (6)First lien senior secured delayed draw term loanS +6.25%11.71%11/3/20276,682 (131)(122)(0.02)%
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
SASE Company, LLCFirst lien senior secured revolving loanS +6.00%11.43%11/15/202638 22 22 0.00 %
SASE Company, LLCFirst lien senior secured term loanS +6.00%11.43%11/15/20261,603 1,590 1,584 0.22 %
Teel Plastics, LLC (6)First lien senior secured revolving loanS +5.00%10.43%1/24/2025324 (1)(1)0.00 %
Teel Plastics, LLCFirst lien senior secured term loanS +5.00%10.43%1/24/20251,774 1,775 1,768 0.25 %
USALCO, LLCFirst lien senior secured revolving loanS +6.00%11.43%10/19/2026100 45 45 0.01 %
USALCO, LLCFirst lien senior secured term loanS +6.00%11.43%10/19/20271,870 1,868 1,860 0.26 %
11,515 11,492 1.63 %
Commercial services and supplies
Industrial Air Flow Dynamics, Inc. (6)First lien senior secured revolving loanS +6.25%11.77%8/5/2028$2,537 $(41)$(37)(0.01)%
Industrial Air Flow Dynamics, Inc.First lien senior secured term loanS +6.25%11.77%8/5/202817,623 17,316 17,350 2.46 %
QLS Buyer, Inc (6)First lien senior secured revolving loanS +6.00%11.52%5/2/20281,629 (37)(35)0.00 %
QLS Buyer, IncFirst lien senior secured term loanS +6.00%11.52%5/2/202812,882 12,580 12,599 1.78 %
Alliance Environmental Group, LLCFirst lien senior secured delayed draw term loanS +6.00%11.65%12/30/202774 53 53 0.01 %
Alliance Environmental Group, LLCFirst lien senior secured revolving loanS +6.00%11.65%12/30/202738 30 29 0.00 %
Alliance Environmental Group, LLCFirst lien senior secured term loanS +6.00%11.65%12/30/20272,136 2,105 2,107 0.30 %
Edko Acquisition, LLC (6)(8)First lien senior secured revolving loanS +5.75%11.40%6/25/202638 — — 0.00 %
Edko Acquisition, LLCFirst lien senior secured term loanS +5.75%11.40%6/25/20261,130 1,122 1,118 0.16 %
Franchise Fastlane, LLC (6)First lien senior secured revolving loanS +5.50%11.13%5/2/202715 — — 0.00 %
Franchise Fastlane, LLCFirst lien senior secured term loanS +5.50%11.13%5/2/20271,161 1,148 1,144 0.16 %
Gold Medal Holdings, Inc. (9)First lien senior secured revolving loanS +7.00%12.58%3/17/202750 45 44 0.01 %
Gold Medal Holdings, Inc.First lien senior secured term loanS +7.00%12.65%3/17/2027718 714 712 0.10 %
Green Monster Acquisition, LLCFirst lien senior secured revolving loanS +5.50%11.08%12/28/202638 26 26 0.00 %
Green Monster Acquisition, LLCFirst lien senior secured term loanS +5.50%11.18%12/28/20261,160 1,150 1,146 0.16 %
HLSG Intermediate, LLCFirst lien senior secured delayed draw term loanS +6.25%11.68%3/31/202895 94 94 0.01 %
HLSG Intermediate, LLCFirst lien senior secured revolving loanS +6.25%11.68%3/31/202860 19 19 0.00 %
HLSG Intermediate, LLCFirst lien senior secured term loanS +6.25%11.68%3/31/2028997 992 988 0.14 %
Nimlok Company, LLC (6)(10)First lien senior secured revolving loanS +5.50%11.15%11/27/2024320 (3)(3)0.00 %
Nimlok Company, LLCFirst lien senior secured term loanS +5.50%11.15%11/27/20252,607 2,590 2,582 0.37 %
PRA Acquisition, LLC (6)First lien senior secured revolving loanS +6.50%12.04%5/12/202856 (1)(1)0.00 %
PRA Acquisition, LLCFirst lien senior secured term loanS +6.50%12.04%5/12/2028637 622 621 0.09 %
Steel City Wash, LLCFirst lien senior secured delayed draw term loanS +6.50%12.15%12/27/2026142 140 140 0.02 %
Steel City Wash, LLCFirst lien senior secured revolving loanS +6.50%12.15%12/27/202638 28 28 0.00 %
Steel City Wash, LLCFirst lien senior secured term loanS +6.50%12.15%12/27/2026788 781 778 0.11 %
41,473 41,502 5.87 %
Construction and engineering
Rose Paving, LLCFirst lien senior secured revolving loanS +5.50%11.09%11/7/2028$5,055 $3,198 $3,207 0.45 %
Rose Paving, LLCFirst lien senior secured term loanS +5.50%11.04%11/7/202817,471 17,099 17,121 2.43 %
Ironhorse Purchaser, LLCFirst lien senior secured delayed draw term loanS +6.50%12.15%9/30/20279,342 9,236 9,245 1.31 %
The accompanying notes are an integral part of these consolidated financial statements.
8

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of JuneSeptember 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Purpose Home Health Acquisition, LLC (6)First lien senior secured revolving loanS +6.25%11.71%11/3/20271,918 (37)(35)(0.01)%
Purpose Home Health Acquisition, LLCFirst lien senior secured term loanS +6.25%11.71%11/3/20277,921 7,765 7,777 1.30 %
ADVI Health, LLC (6)First lien senior secured revolving loanS +7.00%12.50%11/29/20271,062 (23)(22)0.00 %
ADVI Health, LLCFirst lien senior secured term loanS +7.00%12.50%11/29/20276,211 6,070 6,081 1.02 %
Spear Education Holdings, LLC (6)First lien senior secured revolving loanS +7.50%12.89%12/15/20274,463 (109)(105)(0.02)%
Spear Education Holdings, LLCFirst lien senior secured term loanS +7.50%12.89%12/15/202712,509 12,196 12,210 2.05 %
US Foot and Ankle Specialists, LLCFirst lien senior secured delayed draw term loanS +5.75%10.97%9/15/202616,558 9,710 9,714 1.63 %
US Foot and Ankle Specialists, LLCFirst lien senior secured revolving loanS +5.75%10.97%9/15/20262,699 637 640 0.11 %
US Foot and Ankle Specialists, LLCFirst lien senior secured term loanS +5.75%10.97%9/15/202620,915 20,619 20,644 3.46 %
MWEC Management, LLC (6)First lien senior secured delayed draw term loanS +6.00%11.39%2/14/20251,429 (32)(33)(0.01)%
MWEC Management, LLCFirst lien senior secured revolving loanS +6.00%11.39%2/14/20281,924 111 114 0.02 %
MWEC Management, LLCFirst lien senior secured term loanS +6.00%11.39%2/14/202811,684 11,377 11,399 1.91 %
Beghou Consulting, LLC (6)First lien senior secured revolving loanS +6.00%11.50%5/1/20282,654 (71)(71)(0.01)%
Beghou Consulting, LLCFirst lien senior secured term loanS +6.00%11.50%5/1/202814,897 14,499 14,499 2.43 %
BPCP EE Intermedco LLCFirst lien senior secured delayed draw term loanS +6.25%11.64%4/3/20283,213 1,986 1,990 0.33 %
BPCP EE Intermedco LLC (6)First lien senior secured revolving loanS +6.25%11.64%4/3/20282,244 (59)(56)(0.01)%
BPCP EE Intermedco LLCFirst lien senior secured term loanS +6.25%11.64%4/3/20286,526 6,355 6,363 1.07 %
Flourish Research Acquisition, LLC (6)First lien senior secured delayed draw term loanS +6.50%11.81%4/28/20252,162 (51)(51)(0.01)%
Flourish Research Acquisition, LLC (6)First lien senior secured revolving loanS +6.50%11.81%4/28/2026829 (20)(20)— %
Flourish Research Acquisition, LLCFirst lien senior secured term loanS +6.50%11.81%4/28/202619,027 18,569 18,569 3.11 %
H2 Holdco, Inc. (6)First lien senior secured delayed draw term loanS + 5.25% + 2.25% PIK11.01%5/5/20287,061 (205)(205)(0.03)%
H2 Holdco, Inc. (6)(10)First lien senior secured revolving loanS + 5.25% + 2.25% PIK11.01%5/5/20282,488 (72)(72)(0.01)%
H2 Holdco, Inc.First lien senior secured term loanS + 5.25% + 2.25% PIK11.01%5/5/202817,292 16,785 16,787 2.81 %
280,376 280,892 47.09 %
Health care technology
AHR Intermediate, IncFirst lien senior secured delayed draw term loanS +5.25%10.60%7/29/2027$5,202 $3,795 $3,782 0.63 %
AHR Intermediate, IncFirst lien senior secured revolving loanS +5.25%10.75%7/29/20277,708 645 705 0.12 %
AHR Intermediate, IncFirst lien senior secured term loanS +5.25%10.75%7/29/202724,169 23,939 23,964 4.01 %
28,379 28,451 4.76 %
Household durables
CPS Power Buyer, LLCFirst lien senior secured delayed draw term loanS +6.50%11.72%9/26/2027$3,018 $2,605 $2,609 0.44 %
CPS Power Buyer, LLC (6)First lien senior secured revolving loanS +6.50%12.00%9/26/20271,687 (29)(26)0.00 %
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Ironhorse Purchaser, LLC (12)First lien senior secured revolving loanS +6.50%12.15%9/30/20275,813 3,596 3,621 0.51 %
Ironhorse Purchaser, LLCFirst lien senior secured term loanS +6.50%12.15%9/30/202730,375 29,987 30,038 4.26 %
BCI Burke Holding Corp.First lien senior secured delayed draw term loanS +5.50%11.15%12/14/2027129 22 22 0.00 %
BCI Burke Holding Corp. (6)First lien senior secured revolving loanS +5.50%11.15%12/14/202779 (1)(1)0.00 %
BCI Burke Holding Corp.First lien senior secured term loanS +5.50%11.15%12/14/2027827 823 820 0.12 %
CPS HVAC Group, LLCFirst lien senior secured delayed draw term loanS +6.75%12.40%12/15/2026150 31 26 0.00 %
CPS HVAC Group, LLC (11)First lien senior secured revolving loanS +6.75%12.40%12/15/202638 10 0.00 %
CPS HVAC Group, LLCFirst lien senior secured term loanS +6.75%12.40%12/15/2026270 264 255 0.04 %
Domino Equipment Company, LLC (6)First lien senior secured revolving loanS +6.25%11.71%4/1/202679 (1)(2)0.00 %
Domino Equipment Company, LLCFirst lien senior secured term loanS +6.25% + 0.50% PIK12.45%4/1/2026505 498 495 0.07 %
Highland Acquisition, Inc. (6)First lien senior secured revolving loanS +5.50%10.94%3/9/202730 — — 0.00 %
Highland Acquisition, Inc.First lien senior secured term loanS +5.50%10.94%3/9/2027871 862 859 0.12 %
65,624 65,714 9.31 %
Containers and packaging
Bulk Lift International, LLCFirst lien senior secured delayed draw term loanS +6.75%12.40%11/15/2027$128 $125 $125 0.02 %
Bulk Lift International, LLC (6)First lien senior secured revolving loanS +6.75%12.40%11/15/20271,801 (41)(40)(0.01)%
Bulk Lift International, LLCFirst lien senior secured term loanS +6.75%12.40%11/15/20276,196 6,053 6,057 0.86 %
K-1 Packaging Group, LLC. (6)First lien senior secured revolving loanS +6.00%11.68%10/6/20276,748 (135)(128)(0.02)%
K-1 Packaging Group, LLC.First lien senior secured term loanS +6.00%11.68%10/6/202731,486 30,798 30,857 4.37 %
Sixarp, LLC (6)First lien senior secured delayed draw term loanS +5.25%10.90%8/5/20273,180 (48)(45)(0.01)%
Sixarp, LLC (6)First lien senior secured revolving loanS +5.25%10.90%8/5/20273,732 (57)(53)(0.01)%
Sixarp, LLCFirst lien senior secured term loanS +5.25%10.90%8/5/202719,676 19,354 19,385 2.75 %
Innovative FlexPak, LLCFirst lien senior secured revolving loanS +7.00%12.43%1/23/2025627 429 385 0.05 %
Innovative FlexPak, LLCFirst lien senior secured term loanS +7.00%12.43%1/23/20252,981 2,172 1,980 0.28 %
Johns Byrne LLC (6)First lien senior secured delayed draw term loanS +6.25%11.67%8/31/20292,578 (63)(62)(0.01)%
Johns Byrne LLCFirst lien senior secured revolving loanS +6.25%11.67%8/31/20291,460 476 476 0.07 %
Johns Byrne LLCFirst lien senior secured term loanS +6.25%11.67%8/31/20299,668 9,430 9,436 1.34 %
MRC Keeler Acquisition, LLCFirst lien senior secured delayed draw term loanS +5.75%11.29%12/4/202573 72 71 0.01 %
MRC Keeler Acquisition, LLC (6)First lien senior secured revolving loanS +5.75%11.29%12/4/2025150 (1)(4)0.00 %
MRC Keeler Acquisition, LLCFirst lien senior secured term loanS +5.75%11.29%12/4/2025904 899 880 0.12 %
Vanguard Packaging, LLCFirst lien senior secured revolving loanS +5.00%10.66%8/9/2024535 123 123 0.02 %
Vanguard Packaging, LLCFirst lien senior secured term loanS +5.00%10.43%8/9/20241,096 1,095 1,091 0.15 %
70,681 70,534 9.98 %
Distributors
RTP Acquisition, LLCFirst lien senior secured revolving loanS +6.50%11.93%8/17/2026$38 $11 $11 0.00 %
RTP Acquisition, LLCFirst lien senior secured term loanS +6.50%11.93%8/17/20261,030 1,018 1,013 0.14 %
The accompanying notes are an integral part of these consolidated financial statements.
9

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of JuneSeptember 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
CPS Power Buyer, LLCFirst lien senior secured term loanS +6.50%12.00%9/26/20275,092 5,001 5,010 0.84 %
Kwalu, LLC (6)First lien senior secured revolving loanS +5.75%11.25%9/23/20275,061 (86)(79)(0.01)%
Kwalu, LLCFirst lien senior secured term loanS +5.75%11.25%9/23/202724,712 24,277 24,315 4.07 %
MacKenzie Childs Acquisition, Inc.First lien senior secured revolving loanS +6.00%11.11%9/2/20273,374 2,882 2,887 0.48 %
MacKenzie Childs Acquisition, Inc.First lien senior secured term loanS +6.00%11.11%9/2/202717,972 17,738 17,766 2.98 %
Renovation Systems, LLCFirst lien senior secured delayed draw term loanS +6.00%11.53%1/23/20285,826 4,069 4,070 0.68 %
Renovation Systems, LLCFirst lien senior secured revolving loanS +6.00%11.50%1/23/20281,965 437 439 0.07 %
Renovation Systems, LLCFirst lien senior secured term loanS +6.00%11.50%1/23/202812,349 12,013 12,025 2.01 %
68,907 69,016 11.56 %
Industrial Conglomerates
Hultec Buyer, LLCFirst lien senior secured revolving loanS +6.25%11.45%3/31/2029$3,825 $273 $277 0.05 %
Hultec Buyer, LLCFirst lien senior secured term loanS +6.25%11.65%3/31/202914,230 13,814 13,839 2.32 %
14,087 14,116 2.37 %
IT services
Icreon Holdings, LLC (6)First lien senior secured revolving loanS +6.50%12.00%10/26/20271,049 $(23)$(21)— %
Icreon Holdings, LLCFirst lien senior secured term loanS +6.50%12.00%10/26/20278,223 8,040 8,056 1.35 %
8,017 8,035 1.35 %
Machinery
Double E Company, LLC (6)First lien senior secured delayed draw term loanS +6.00%11.39%6/21/2028$1,969 $(15)$(13)0.00 %
Double E Company, LLCFirst lien senior secured revolving loanS +6.00%11.32%6/21/20283,044 1,294 1,299 0.22 %
Double E Company, LLCFirst lien senior secured term loanS +6.00%11.39%6/21/202817,367 17,217 17,260 2.89 %
18,496 18,546 3.11 %
Media
Optimized Marketing Acquisition, LLCFirst lien senior secured revolving loanS +5.75%11.05%8/19/2027$3,383 $1,128 $1,133 0.19 %
Optimized Marketing Acquisition, LLCFirst lien senior secured term loanS +5.75%10.97%8/19/202726,037 25,590 25,636 4.30 %
RKD Group, LLC (6)First lien senior secured revolving loanS +6.00%11.39%8/17/20284,905 (63)(55)(0.01)%
RKD Group, LLCFirst lien senior secured term loanS +6.00%11.39%8/17/202833,507 33,072 33,138 5.55 %
WTWH Buyer, LLC (6)First lien senior secured revolving loanS +6.50%12.00%12/16/20271,638 (37)(35)(0.01)%
WTWH Buyer, LLCFirst lien senior secured term loanS +6.50%12.00%12/16/202710,145 9,912 9,927 1.66 %
69,602 69,744 11.68 %
Professional services
Helpware, Inc.First lien senior secured revolving loanS +5.75%11.23%9/8/2026$5,061 $1,800 $1,807 0.30 %
Helpware, Inc.First lien senior secured term loanS +5.75%11.25%9/8/202614,043 13,874 13,894 2.33 %
15,674 15,701 2.63 %
Software
Shasta Buyer, LLCFirst lien senior secured revolving loanS +6.25%11.75%8/9/2028$2,199 $250 $253 0.04 %
Shasta Buyer, LLCFirst lien senior secured term loanS +6.25%11.75%8/9/202811,604 11,399 11,422 1.91 %
11,649 11,675 1.95 %
Specialty retail
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
1,029 1,024 0.14 %
Diversified consumer services
ACES Intermediate, LLCFirst lien senior secured revolving loanS +5.50%10.94%7/27/2027$7,114 $603 $611 0.09 %
ACES Intermediate, LLCFirst lien senior secured term loanS +5.50%10.93%7/27/202732,058 31,549 31,586 4.48 %
Yard-Nique, IncFirst lien senior secured delayed draw term loanS +6.00%11.54%4/30/20266,235 413 416 0.06 %
Yard-Nique, IncFirst lien senior secured revolving loanS +5.00%10.54%4/30/2026889 133 134 0.02 %
Yard-Nique, IncFirst lien senior secured term loanS +6.00%11.54%4/30/20267,090 7,019 7,025 1.00 %
Esquire Deposition Solutions, LLCFirst lien senior secured delayed draw term loanS +6.50%12.05%12/30/20273,839 3,744 3,762 0.53 %
Esquire Deposition Solutions, LLC (6)First lien senior secured delayed draw term loanS +6.50%12.04%12/30/20273,573 (71)(71)(0.01)%
Esquire Deposition Solutions, LLC (6)First lien senior secured revolving loanS +6.50%12.02%12/30/20272,162 (55)(43)(0.01)%
Esquire Deposition Solutions, LLCFirst lien senior secured term loanS +6.50%12.04%12/30/202715,935 15,537 15,617 2.21 %
CL Services Acquisition, LLCFirst lien senior secured delayed draw term loanS +6.25%11.82%4/25/20287,268 3,755 3,763 0.53 %
CL Services Acquisition, LLC (6)First lien senior secured revolving loanS +6.25%11.77%4/25/20281,629 (37)(35)0.00 %
CL Services Acquisition, LLCFirst lien senior secured term loanS +6.25%11.77%4/25/202810,247 10,004 10,020 1.42 %
50Floor, LLCFirst lien senior secured revolving loanS +7.75%13.27%12/31/2025199 197 191 0.03 %
50Floor, LLCFirst lien senior secured term loanS +7.75%13.29%12/31/2026953 945 909 0.13 %
Home Brands Group Holdings, Inc. (6)First lien senior secured revolving loanS +4.75%10.32%11/8/202648 (1)(1)0.00 %
Home Brands Group Holdings, Inc.First lien senior secured term loanS +4.75%10.32%11/8/20261,743 1,729 1,723 0.24 %
ISSA, LLCFirst lien senior secured revolving loanS +6.25%11.91%3/1/2027131 25 25 0.00 %
ISSA, LLCFirst lien senior secured term loanS +6.25%11.90%3/1/2027915 906 903 0.13 %
Juniper Landscaping Holdings LLCFirst lien senior secured delayed draw term loanS +6.00%11.53%12/29/202687 84 84 0.01 %
Juniper Landscaping Holdings LLC (13)First lien senior secured revolving loanS +6.00%11.80%12/29/202644 24 24 0.00 %
Juniper Landscaping Holdings LLCFirst lien senior secured term loanS +6.00%11.65%12/29/20261,304 1,295 1,290 0.18 %
Kalkomey Enterprises, LLCFirst lien senior secured revolving loanS +6.75%12.29%4/24/202577 11 11 0.00 %
Kalkomey Enterprises, LLCFirst lien senior secured term loanS +6.75%12.29%4/24/20261,039 1,033 1,029 0.15 %
PPW Acquisition, LLCFirst lien senior secured revolving loanS +6.75%12.40%9/30/202638 0.00 %
PPW Acquisition, LLCFirst lien senior secured term loanS +4.25% + 2.50% PIK12.40%9/30/2026601 585 563 0.08 %
TSR Concrete Coatings, LLC (6)First lien senior secured revolving loanS +6.25%11.80%9/22/20281,534 (38)(38)(0.01)%
TSR Concrete Coatings, LLCFirst lien senior secured term loanS +6.25%11.80%9/22/20286,226 6,071 6,070 0.86 %
United Land Services Opco Parent, LLCFirst lien senior secured delayed draw term loanS +6.50%12.15%3/23/20261,437 1,201 1,198 0.17 %
United Land Services Opco Parent, LLCFirst lien senior secured delayed draw term loanS +6.50%12.14%3/23/2026187 185 184 0.03 %
United Land Services Opco Parent, LLCFirst lien senior secured revolving loanS +6.50%12.14%3/23/2026150 78 78 0.01 %
United Land Services Opco Parent, LLCFirst lien senior secured term loanS +6.50%12.15%3/23/2026357 352 351 0.05 %
87,284 87,387 12.38 %
Electrical equipment
The accompanying notes are an integral part of these consolidated financial statements.
10

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of JuneSeptember 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Soccer Post Acquisition, LLCFirst lien senior secured delayed draw term loanS +5.50%11.00%6/30/2027$1,513 $1,416 $1,418 0.24 %
Soccer Post Acquisition, LLCFirst lien senior secured revolving loanS +5.50%11.00%6/30/20271,741 185 187 0.03 %
Soccer Post Acquisition, LLCFirst lien senior secured term loanS +5.50%11.00%6/30/20277,552 7,443 7,455 1.25 %
9,044 9,060 1.52 %
Trading companies and distributors
Ascent Lifting, Inc.First lien senior secured revolving loanS +6.00%11.20%9/9/2027$2,500 $605 $608 0.10 %
Ascent Lifting, Inc.First lien senior secured term loanS +6.00%11.20%9/9/202717,280 16,840 16,862 2.83 %
NEFCO Holding Company, LLCFirst lien senior secured delayed draw term loanS +6.50%12.06%8/5/20282,186 2,155 2,154 0.36 %
NEFCO Holding Company, LLCFirst lien senior secured delayed draw term loanS +6.50%12.09%8/5/20242,192 25 28 0.00 %
NEFCO Holding Company, LLCFirst lien senior secured delayed draw term loanS +6.50%11.78%8/5/20282,611 2,593 2,570 0.43 %
NEFCO Holding Company, LLCFirst lien senior secured revolving loanP +5.50%13.75%8/5/20283,045 1,572 1,576 0.26 %
NEFCO Holding Company, LLCFirst lien senior secured term loanS +6.50%11.78%8/5/202814,360 14,097 14,134 2.37 %
37,887 37,932 6.35 %
Total non-controlled/non-affiliated senior secured debt$943,989 $945,778 158.46 %
Non-controlled/affiliated investments
Multisector holdings
Twin Brook Equity Holdings, LLC (11) (12) (13)Equity 7.03% membership interest$34,165 $38,564 6.46 %
Total non-controlled/affiliated investments$34,165 $38,564 6.46 %
Total investments$978,154 $984,342 164.92 %
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
WCI Volt Purchaser, LLC (6)First lien senior secured revolving loanS +5.50%11.15%9/15/2028$2,249 $(37)$(34)0.00 %
WCI Volt Purchaser, LLCFirst lien senior secured term loanS +5.50%11.15%9/15/20289,758 9,590 9,605 1.36 %
AEP Passion Intermediate Holdings, Inc.First lien senior secured delayed draw term loanS +6.50%11.92%10/5/202771 70 69 0.01 %
AEP Passion Intermediate Holdings, Inc.First lien senior secured revolving loanS +6.50%11.92%10/5/202748 17 17 0.00 %
AEP Passion Intermediate Holdings, Inc.First lien senior secured term loanS +6.50%12.07%10/5/20271,271 1,247 1,242 0.18 %
10,887 10,899 1.55 %
Electronic equipment, instruments and components
ITSavvy LLCFirst lien senior secured delayed draw term loanS +5.25%10.77%8/8/2028$2,176 $1,928 $1,929 0.27 %
ITSavvy LLC (6)First lien senior secured revolving loanS +5.25%10.80%8/8/20281,778 (14)(11)0.00 %
ITSavvy LLCFirst lien senior secured term loanS +5.25%10.80%8/8/202811,831 11,734 11,753 1.66 %
Advanced Lighting Acquisition, LLC (6)First lien senior secured revolving loanS +6.00%11.43%11/22/2025324 — — 0.00 %
Advanced Lighting Acquisition, LLCFirst lien senior secured term loanS +6.00%11.43%11/22/20251,213 1,215 1,210 0.17 %
Nelson Name Plate CompanyFirst lien senior secured delayed draw term loanS +5.50%11.15%10/18/2026118 117 117 0.02 %
Nelson Name Plate Company (6)First lien senior secured revolving loanS +5.50%11.15%10/18/202690 (1)(1)0.00 %
Nelson Name Plate CompanyFirst lien senior secured term loanS +5.50%11.15%10/18/2026894 887 882 0.12 %
15,866 15,879 2.24 %
Food and staples retailing
Universal Pure, LLCFirst lien senior secured delayed draw term loanS +6.00%11.53%10/31/2028$364 $37 $37 0.01 %
Universal Pure, LLC (16)First lien senior secured revolving loanS +6.00%11.54%10/31/20287,142 2,155 2,162 0.31 %
Universal Pure, LLCFirst lien senior secured term loanS +6.00%11.54%10/31/202817,720 17,297 17,310 2.45 %
Engelman Baking Co., LLCFirst lien senior secured revolving loanS +5.50%10.93%2/28/2025207 20 20 0.00 %
Engelman Baking Co., LLCFirst lien senior secured term loanS +5.50%10.93%2/28/2025707 705 703 0.10 %
Mad Rose Company, LLC (14)First lien senior secured revolving loanS +6.50%12.18%5/7/2026119 110 109 0.02 %
Mad Rose Company, LLCFirst lien senior secured term loanS +6.50%12.18%5/7/2026924 918 914 0.13 %
Main Street Gourmet, LLCFirst lien senior secured delayed draw term loanS +5.25%10.90%11/10/2025666 37 37 0.01 %
Main Street Gourmet, LLC (6)First lien senior secured revolving loanS +5.25%10.90%11/10/202538 — — 0.00 %
Main Street Gourmet, LLCFirst lien senior secured term loanS +5.25%10.90%11/10/20251,112 1,108 1,104 0.16 %
NutriScience Innovations, LLC (6)(15)First lien senior secured revolving loanS +7.00%12.65%4/21/2026131 (2)(2)0.00 %
NutriScience Innovations, LLCFirst lien senior secured term loanS +7.00%12.65%4/21/2026390 387 385 0.05 %
Qin's Buffalo, LLC (6)First lien senior secured delayed draw term loanS +6.00%11.65%5/5/202775 (1)(1)0.00 %
Qin's Buffalo, LLC (6)First lien senior secured revolving loanS +6.00%11.65%5/5/202738 (1)(1)0.00 %
Qin's Buffalo, LLCFirst lien senior secured term loanS +6.00%11.65%5/5/2027532 526 524 0.07 %
SCP Beverage Buyer, LLC (6)First lien senior secured revolving loanS +5.25%10.68%11/24/202638 (1)(1)0.00 %
SCP Beverage Buyer, LLCFirst lien senior secured term loanS +5.25%10.68%11/24/2026409 405 403 0.06 %
23,700 23,703 3.37 %
Food products
Sun Orchard, LLC (6)First lien senior secured revolving loanS +5.00%10.65%7/8/2027$5,336 $(80)$(74)(0.01)%
The accompanying notes are an integral part of these consolidated financial statements.
11

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of September 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Sun Orchard, LLCFirst lien senior secured term loanS +5.00%10.65%7/8/202711,443 11,273 11,279 1.60 %
BPCP WLF Intermedco LLC (6)First lien senior secured delayed draw term loanS +6.00%11.54%8/19/20275,846 (91)(84)(0.01)%
BPCP WLF Intermedco LLCFirst lien senior secured revolving loanS +6.00%11.54%8/19/20273,383 1,301 1,305 0.18 %
BPCP WLF Intermedco LLCFirst lien senior secured term loanS +6.00%11.54%8/19/202723,150 22,776 22,808 3.23 %
Treat Planet Acquisition, LLC (6)First lien senior secured revolving loanS +6.50%12.15%1/11/20281,965 (50)(49)(0.01)%
Treat Planet Acquisition, LLCFirst lien senior secured term loanS +6.50%12.15%1/11/20287,246 7,056 7,063 1.00 %
Icelandirect, LLCFirst lien senior secured revolving loanS +6.50%12.15%7/30/202638 32 31 0.00 %
Icelandirect, LLCFirst lien senior secured term loanS +6.50%12.15%7/30/2026709 702 700 0.10 %
Starwest Botanicals Acquisition, LLCFirst lien senior secured revolving loanS +5.25%10.68%4/30/2027174 119 117 0.02 %
Starwest Botanicals Acquisition, LLCFirst lien senior secured term loanS +5.25%10.68%4/30/2027801 761 752 0.11 %
Westminster Cracker Company, Inc. (6)First lien senior secured revolving loanS +6.25%11.82%8/30/20261,534 (25)(26)0.00 %
Westminster Cracker Company, Inc.First lien senior secured term loanS +6.25%11.82%8/30/20269,745 9,579 9,577 1.36 %
53,353 53,399 7.57 %
Gas utilities
Hydromax USA, LLCFirst lien senior secured delayed draw term loanS +6.75%12.17%12/30/2026$111 $107 $109 0.02 %
Hydromax USA, LLC (6)First lien senior secured revolving loanS +6.75%12.17%12/30/2026228 (9)(8)0.00 %
Hydromax USA, LLCFirst lien senior secured term loanS +6.75%12.17%12/30/20261,225 1,182 1,199 0.17 %
1,280 1,300 0.19 %
Health care equipment and supplies
Medical Technology Associates, Inc. (6)First lien senior secured revolving loanS +6.25%11.90%7/25/2028$1,966 $(39)$(36)(0.01)%
Medical Technology Associates, Inc.First lien senior secured term loanS +6.25%11.90%7/25/202814,622 14,315 14,357 2.03 %
Nasco Healthcare Inc. (17)First lien senior secured revolving loanS +5.75%11.29%6/30/20253,322 637 641 0.09 %
Nasco Healthcare Inc.First lien senior secured term loanS +5.75%11.29%6/30/202515,490 15,367 15,379 2.18 %
Surplus Solutions, LLC (6)First lien senior secured revolving loanS +6.00%11.65%11/30/20271,771 (37)(35)0.00 %
Surplus Solutions, LLCFirst lien senior secured term loanS +6.00%11.65%11/30/202710,067 9,858 9,869 1.40 %
626 Holdings Equity, LLCFirst lien senior secured delayed draw term loanS +6.00%11.65%2/14/2028313 184 183 0.03 %
626 Holdings Equity, LLCFirst lien senior secured revolving loanS +6.00%11.65%2/14/202875 72 71 0.01 %
626 Holdings Equity, LLCFirst lien senior secured term loanS +6.00%11.65%2/14/2028877 868 864 0.12 %
EMSAR Acquisition LLCFirst lien senior secured delayed draw term loanS +6.50%12.15%3/30/2026214 213 212 0.03 %
EMSAR Acquisition LLCFirst lien senior secured revolving loanS +6.50%12.15%3/30/2026134 119 119 0.02 %
EMSAR Acquisition LLCFirst lien senior secured term loanS +6.50%12.15%3/30/2026633 628 626 0.09 %
Reliable Medical Supply LLCFirst lien senior secured delayed draw term loanS +6.00%11.65%4/8/202567 66 66 0.01 %
Reliable Medical Supply LLCFirst lien senior secured delayed draw term loanS +6.00%11.66%4/8/202575 18 18 0.00 %
Reliable Medical Supply LLCFirst lien senior secured revolving loanS +6.00%11.65%4/8/2025138 137 137 0.02 %
Reliable Medical Supply LLCFirst lien senior secured term loanS +6.00%11.65%4/8/2025925 920 917 0.13 %
SCA Buyer, LLCFirst lien senior secured delayed draw term loanS +6.50%11.96%1/20/2026279 274 274 0.04 %
The accompanying notes are an integral part of these consolidated financial statements.
12

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of September 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
SCA Buyer, LLCFirst lien senior secured revolving loanS +6.50%12.13%1/20/2026133 117 117 0.02 %
SCA Buyer, LLCFirst lien senior secured term loanS +6.50%11.96%1/20/2026751 738 736 0.10 %
Spectrum Solutions, LLCFirst lien senior secured delayed draw term loan15.00% PIK15.00%3/5/202696 92 76 0.01 %
Spectrum Solutions, LLC (6)First lien senior secured revolving loanS +6.25%8.38%3/5/2026267 (35)(56)(0.01)%
Spectrum Solutions, LLCFirst lien senior secured term loanS +6.25% + 3.50% PIK11.88%3/5/2026479 418 381 0.05 %
44,930 44,916 6.36 %
Health care providers and services
Benefit Plan Administrators of Eau Claire, LLCFirst lien senior secured delayed draw term loanS +5.50%11.40%6/7/2026$7,501 $1,690 $1,693 0.24 %
Benefit Plan Administrators of Eau Claire, LLC (6)First lien senior secured revolving loanS +5.50%11.40%6/7/20261,710 (19)(17)0.00 %
Benefit Plan Administrators of Eau Claire, LLCFirst lien senior secured term loanS +5.50%11.40%6/7/202613,682 13,520 13,533 1.92 %
Change Academy at Lake of the Ozarks, LLCFirst lien senior secured revolving loanS +6.00%11.78%8/2/20275,898 3,252 3,259 0.46 %
Change Academy at Lake of the Ozarks, LLCFirst lien senior secured term loanS +6.00%11.54%8/2/202731,320 30,828 30,864 4.37 %
Endodontic Practice Partners, LLCFirst lien senior secured delayed draw term loanS +6.00%11.73%11/2/202716,982 13,053 13,051 1.85 %
Endodontic Practice Partners, LLCFirst lien senior secured revolving loanS +6.00%11.90%11/2/20271,956 161 164 0.02 %
Endodontic Practice Partners, LLCFirst lien senior secured term loanS +6.00%11.46%11/2/202715,471 15,200 15,219 2.16 %
IPC Pain Acquisition, LLCFirst lien senior secured delayed draw term loanS +5.50%10.93%5/19/202711,082 9,909 9,911 1.40 %
IPC Pain Acquisition, LLC (6)First lien senior secured revolving loanS +5.50%10.93%5/19/20271,140 (12)(11)0.00 %
IPC Pain Acquisition, LLCFirst lien senior secured term loanS +5.50%10.93%5/19/20272,939 2,905 2,909 0.41 %
NH Kronos Buyer, Inc. (6)First lien senior secured revolving loanS +6.25%11.79%11/1/202812,705 (322)(285)(0.04)%
NH Kronos Buyer, Inc.First lien senior secured term loanS +6.25%11.79%11/1/202853,406 52,023 52,153 7.39 %
Purpose Home Health Acquisition, LLC (6)First lien senior secured delayed draw term loanS +6.25%11.71%11/3/20276,832 (126)(118)(0.02)%
Purpose Home Health Acquisition, LLC (6)First lien senior secured revolving loanS +6.25%11.71%11/3/20271,956 (36)(34)0.00 %
Purpose Home Health Acquisition, LLCFirst lien senior secured term loanS +6.25%11.71%11/3/20278,251 8,097 8,108 1.15 %
ADVI Health, LLC (6)First lien senior secured revolving loanS +7.00%12.65%11/29/20271,062 (22)(21)0.00 %
ADVI Health, LLCFirst lien senior secured term loanS +7.00%12.65%11/29/20276,195 6,061 6,071 0.86 %
Spear Education Holdings, LLC (6)First lien senior secured revolving loanS +7.50%13.04%12/15/20274,463 (103)(99)(0.01)%
Spear Education Holdings, LLCFirst lien senior secured term loanS +7.50%13.04%12/15/202712,478 12,182 12,193 1.73 %
US Foot and Ankle Specialists, LLCFirst lien senior secured delayed draw term loanS +5.75%11.40%9/15/202616,533 14,741 14,745 2.09 %
US Foot and Ankle Specialists, LLCFirst lien senior secured revolving loanS +5.75%11.40%9/15/20262,699 1,045 1,048 0.15 %
US Foot and Ankle Specialists, LLCFirst lien senior secured term loanS +5.75%11.40%9/15/202620,862 20,580 20,604 2.92 %
MWEC Management, LLC (6)First lien senior secured delayed draw term loanS +6.00%11.63%2/14/20251,429 (30)(31)0.00 %
MWEC Management, LLCFirst lien senior secured revolving loanS +6.00%11.63%2/14/20281,924 338 340 0.05 %
MWEC Management, LLCFirst lien senior secured term loanS +6.00%11.63%2/14/202811,655 11,360 11,377 1.61 %
Beghou Consulting, LLC (6)First lien senior secured revolving loanS +6.00%11.65%5/1/20282,714 (68)(65)(0.01)%
The accompanying notes are an integral part of these consolidated financial statements.
13

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of September 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Beghou Consulting, LLCFirst lien senior secured term loanS +6.00%11.65%5/1/202815,429 15,035 15,051 2.13 %
BPCP EE Intermedco LLCFirst lien senior secured delayed draw term loanS +5.75%11.29%4/3/20283,208 1,985 1,989 0.28 %
BPCP EE Intermedco LLC (6)First lien senior secured revolving loanS +5.75%11.29%4/3/20282,244 (56)(53)(0.01)%
BPCP EE Intermedco LLCFirst lien senior secured term loanS +5.75%11.29%4/3/20286,510 6,344 6,355 0.90 %
Flourish Research Acquisition, LLCFirst lien senior secured delayed draw term loanS +6.50%12.13%4/28/20252,218 1,771 1,772 0.25 %
Flourish Research Acquisition, LLC (6)First lien senior secured revolving loanS +6.50%11.93%4/28/2026848 (18)(18)0.00 %
Flourish Research Acquisition, LLCFirst lien senior secured term loanS +6.50%11.93%4/28/202619,706 19,265 19,278 2.73 %
H2 Holdco, Inc. (6)First lien senior secured delayed draw term loanS +5.25% + 2.25% PIK13.26%5/5/20287,245 (200)(192)(0.03)%
H2 Holdco, Inc. (6)(19)First lien senior secured revolving loanS +5.25% + 2.25% PIK13.26%5/5/20282,544 (70)(68)(0.01)%
H2 Holdco, Inc.First lien senior secured term loanS +5.25% + 2.25% PIK13.26%5/5/202818,012 17,501 17,528 2.48 %
Agility Intermediate, Inc.First lien senior secured delayed draw term loanS +6.75%12.38%4/15/2026110 107 105 0.01 %
Agility Intermediate, Inc.First lien senior secured revolving loanS +6.75%12.39%4/15/2026134 77 73 0.01 %
Agility Intermediate, Inc.First lien senior secured term loanS +6.75%12.40%4/15/2026240 234 228 0.03 %
Apex Dental Partners, LLCFirst lien senior secured delayed draw term loanS +6.50%11.96%11/23/2025554 455 453 0.06 %
Apex Dental Partners, LLCFirst lien senior secured revolving loanS +6.50%12.00%11/23/2025150 124 123 0.02 %
Apex Dental Partners, LLCFirst lien senior secured term loanS +6.50%11.96%11/23/2025617 614 612 0.09 %
ASC Ortho Management, LLCFirst lien senior secured delayed draw term loanS +6.00%11.65%12/31/2026357 321 320 0.05 %
ASC Ortho Management, LLCFirst lien senior secured revolving loanS +6.00%11.65%12/31/202638 12 12 0.00 %
ASC Ortho Management, LLCFirst lien senior secured term loanS +6.00%11.65%12/31/2026515 509 508 0.07 %
ASP Global Acquisition, LLCFirst lien senior secured delayed draw term loanS +6.50%12.15%1/21/2025558 551 548 0.08 %
ASP Global Acquisition, LLC (6)First lien senior secured revolving loanS +6.50%12.15%1/21/2026485 (8)(9)0.00 %
ASP Global Acquisition, LLCFirst lien senior secured term loanS +6.50%12.15%1/21/20252,410 2,381 2,367 0.34 %
Beacon Oral Specialists Management LLCFirst lien senior secured delayed draw term loanS +6.25%11.90%12/14/2025831 827 823 0.12 %
Beacon Oral Specialists Management LLC (6)First lien senior secured revolving loanS +6.25%11.90%12/14/2025188 (2)(2)0.00 %
Beacon Oral Specialists Management LLCFirst lien senior secured term loanS +6.25%11.90%12/14/2025929 924 920 0.13 %
Behavior Frontiers, LLC (6)(18)First lien senior secured revolving loanS +6.25%11.90%5/21/202638 (2)(1)0.00 %
Behavior Frontiers, LLCFirst lien senior secured term loanS +6.25%11.90%5/21/2026577 554 562 0.08 %
Brightview, LLCFirst lien senior secured delayed draw term loanS +6.00%11.43%12/14/2026107 47 47 0.01 %
Brightview, LLCFirst lien senior secured revolving loanS +6.00%11.43%12/14/202652 15 15 0.00 %
The accompanying notes are an integral part of these consolidated financial statements.
14

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of September 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Brightview, LLCFirst lien senior secured term loanS +6.00%11.43%12/14/2026687 685 682 0.10 %
Canadian Orthodontic Partners Corp. (6)(7)First lien senior secured delayed draw term loanC +7.00%12.51%3/19/2026C$28 (1)(1)0.00 %
Canadian Orthodontic Partners Corp. (7)First lien senior secured delayed draw term loanC +7.00%12.51%3/19/2026C$289 211 205 0.03 %
Canadian Orthodontic Partners Corp. (7)First lien senior secured revolving loanS +7.00%12.65%3/19/2026C$114 111 111 0.02 %
Canadian Orthodontic Partners Corp. (7)First lien senior secured revolving loanC +7.00%12.51%3/19/2026C$285 206 200 0.03 %
Canadian Orthodontic Partners Corp. (7)First lien senior secured term loanC +7.00%12.51%3/19/2026C$238 174 169 0.02 %
Community Care Partners, LLC (6)First lien senior secured delayed draw term loanS +6.00%11.43%6/10/202619 — — 0.00 %
Community Care Partners, LLCFirst lien senior secured delayed draw term loanS +6.00%11.43%6/10/2026166 165 163 0.02 %
Community Care Partners, LLCFirst lien senior secured revolving loanS +6.00%11.43%6/10/202675 64 62 0.01 %
Community Care Partners, LLCFirst lien senior secured term loanS +6.00%11.43%6/10/2026946 944 927 0.13 %
Dermatology Medical Partners OpCo, LLCFirst lien senior secured delayed draw term loanS +6.50%12.15%10/29/202697 78 78 0.01 %
Dermatology Medical Partners OpCo, LLCFirst lien senior secured revolving loanS +6.50%12.14%10/29/202638 28 28 0.00 %
Dermatology Medical Partners OpCo, LLCFirst lien senior secured term loanS +6.50%12.15%10/29/2026318 313 313 0.04 %
Varsity DuvaSawko Operating Corp. (6)First lien senior secured delayed draw term loanS +6.50%12.15%11/27/202464 (1)— 0.00 %
Varsity DuvaSawko Operating Corp. (6)First lien senior secured revolving loanS +6.50%12.15%11/27/2024474 (2)(3)0.00 %
Varsity DuvaSawko Operating Corp.First lien senior secured term loanS +6.50%12.15%11/27/20242,534 2,532 2,518 0.36 %
Varsity Rejuvenate Partners, LLCFirst lien senior secured revolving loanS +6.50%12.06%9/1/2028920 126 126 0.02 %
Varsity Rejuvenate Partners, LLCFirst lien senior secured term loanS +6.50%12.06%9/1/20282,707 2,627 2,626 0.37 %
EH Management Company, LLCFirst lien senior secured revolving loanS +6.00%11.65%7/15/202638 11 11 0.00 %
EH Management Company, LLCFirst lien senior secured term loanS +6.00%11.65%7/15/2026963 956 952 0.13 %
Geriatric Medical and Surgical Supply, LLCFirst lien senior secured revolving loanS +6.00%11.63%12/21/2025300 50 50 0.01 %
Geriatric Medical and Surgical Supply, LLCFirst lien senior secured term loanS +6.00%11.65%12/21/2025910 903 900 0.13 %
Golden Bear PT Partners, LLCFirst lien senior secured delayed draw term loanS +6.75% + 1.00% PIK13.40%10/22/2026174 170 169 0.02 %
Golden Bear PT Partners, LLCFirst lien senior secured revolving loanS +7.75%13.40%10/22/202638 14 14 0.00 %
Golden Bear PT Partners, LLCFirst lien senior secured term loanS +6.75% + 1.00% PIK13.40%10/22/20261,495 1,460 1,455 0.21 %
Golden Bear PT Partners, LLCFirst lien senior secured term loanS +12.00%17.65%10/22/202649 49 48 0.01 %
Guardian Dentistry Practice Management, LLCFirst lien senior secured delayed draw term loanS +6.50%12.15%8/20/2026495 492 491 0.07 %
Guardian Dentistry Practice Management, LLCFirst lien senior secured revolving loanS +6.50%12.15%8/20/202623 19 19 0.00 %
Guardian Dentistry Practice Management, LLCFirst lien senior secured term loanS +6.50%12.15%8/20/2026517 514 512 0.07 %
The accompanying notes are an integral part of these consolidated financial statements.
15

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of September 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
IMA Group Management Company, LLC (6)First lien senior secured delayed draw term loanS +6.25%11.84%6/30/2028174 (5)(4)0.00 %
IMA Group Management Company, LLC (6)First lien senior secured revolving loanS +6.25%11.84%6/30/202835 (1)(1)0.00 %
IMA Group Management Company, LLCFirst lien senior secured term loanS +6.25%11.84%6/30/2028866 846 844 0.12 %
Network Partners Acquisition, LLC (6)First lien senior secured delayed draw term loanS +6.00%11.65%12/30/2026113 (1)(1)0.00 %
Network Partners Acquisition, LLC (6)First lien senior secured revolving loanS +6.00%11.65%12/30/202638 — — 0.00 %
Network Partners Acquisition, LLCFirst lien senior secured term loanS +6.00%11.65%12/30/2026389 386 384 0.05 %
Peak Dental Services, LLCFirst lien senior secured delayed draw term loanS +6.75%12.40%12/31/2025520 517 515 0.07 %
Peak Dental Services, LLCFirst lien senior secured delayed draw term loanS +6.75%12.38%12/31/202595 57 57 0.01 %
Peak Dental Services, LLCFirst lien senior secured revolving loanS +6.75%12.40%12/31/2025133 132 131 0.02 %
Peak Dental Services, LLCFirst lien senior secured term loanS +6.75%12.40%12/31/2025581 577 575 0.08 %
Peak Investment Holdings, LLC (6)First lien senior secured delayed draw term loanS +7.00%12.65%12/31/2025113 (1)(1)0.00 %
Peak Investment Holdings, LLCFirst lien senior secured revolving loanS +7.00%12.65%12/31/2025324 29 29 0.00 %
Peak Investment Holdings, LLCFirst lien senior secured term loanS +7.00%12.65%12/31/20251,213 1,205 1,200 0.17 %
Pentec Acquisition Corp. (6)First lien senior secured revolving loanS +6.00%11.43%10/8/202675 (1)(1)0.00 %
Pentec Acquisition Corp.First lien senior secured term loanS +6.00%11.43%10/8/2026988 985 981 0.14 %
Revival Animal Health, LLCFirst lien senior secured revolving loanS +6.50%12.15%4/6/2026131 43 43 0.01 %
Revival Animal Health, LLCFirst lien senior secured term loanS +6.50%12.15%4/6/20264,794 4,716 4,748 0.67 %
RQM Buyer, Inc.First lien senior secured delayed draw term loanS +5.75%11.51%8/12/202684 83 83 0.01 %
RQM Buyer, Inc.First lien senior secured revolving loanS +5.75%11.65%8/12/2026206 44 44 0.01 %
RQM Buyer, Inc.First lien senior secured term loanS +5.75%11.40%8/12/20261,142 1,140 1,136 0.16 %
RQM Buyer, Inc.First lien senior secured term loanS +5.75%11.51%8/12/2026590 589 587 0.08 %
Sage Dental Management, LLCFirst lien senior secured revolving loanS +5.75%11.41%4/1/202475 45 45 0.01 %
Sage Dental Management, LLCFirst lien senior secured term loanS +5.75%11.40%4/1/2024939 940 937 0.13 %
SAMGI Buyer, Inc. (6)First lien senior secured revolving loanS +5.50%11.15%4/14/2025138 (1)(1)0.00 %
SAMGI Buyer, Inc.First lien senior secured term loanS +5.50%11.15%4/14/2025651 649 646 0.09 %
SCP ENT and Allergy Services, LLCFirst lien senior secured delayed draw term loanS +6.00%11.64%9/25/2025157 110 110 0.02 %
SCP ENT and Allergy Services, LLCFirst lien senior secured revolving loanS +6.00%11.52%9/25/2025256 126 126 0.02 %
SCP ENT and Allergy Services, LLCFirst lien senior secured term loanS +6.00%11.43%9/25/20252,761 2,745 2,735 0.39 %
Signature Dental Partners LLCFirst lien senior secured delayed draw term loanS +6.25%11.68%10/29/2026178 149 148 0.02 %
Signature Dental Partners LLCFirst lien senior secured revolving loanS +6.25%11.68%10/29/202638 34 34 0.00 %
Signature Dental Partners LLCFirst lien senior secured term loanS +6.25%11.68%10/29/2026854 844 841 0.12 %
Silver Falls MSO, LLCFirst lien senior secured revolving loanS +6.75%12.40%8/30/2025235 126 124 0.02 %
The accompanying notes are an integral part of these consolidated financial statements.
16

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of September 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Silver Falls MSO, LLCFirst lien senior secured term loanS +4.25% + 2.50% PIK12.40%8/30/20251,298 1,215 1,213 0.17 %
SimiTree Acquisition LLCFirst lien senior secured delayed draw term loanS +6.75%12.38%5/17/2026884 872 868 0.12 %
SimiTree Acquisition LLC (6)First lien senior secured revolving loanS +6.75%12.38%5/17/2026178 (1)(1)0.00 %
SimiTree Acquisition LLCFirst lien senior secured term loanS +6.75%12.38%5/17/20261,218 1,212 1,208 0.17 %
SIMKO Merger Sub, LLCFirst lien senior secured delayed draw term loanS +6.50%12.16%4/7/2027187 181 181 0.03 %
SIMKO Merger Sub, LLC (6)First lien senior secured delayed draw term loanS +6.50%12.15%4/7/20256,768 (118)(102)(0.01)%
SIMKO Merger Sub, LLCFirst lien senior secured revolving loanS +6.50%12.13%4/7/202756 0.00 %
SIMKO Merger Sub, LLCFirst lien senior secured term loanS +6.50%12.15%4/7/2027653 644 643 0.09 %
Southeast Primary Care Partners, LLCFirst lien senior secured delayed draw term loanS +6.25%11.90%12/30/2025519 491 489 0.07 %
Southeast Primary Care Partners, LLCFirst lien senior secured revolving loanS +6.25%11.90%12/30/2025225 209 209 0.03 %
Southeast Primary Care Partners, LLCFirst lien senior secured term loanS +6.25%11.90%12/30/2025856 848 844 0.12 %
Southern Orthodontic Partners Management, LLCFirst lien senior secured delayed draw term loanS +6.25%11.90%1/27/202678 78 77 0.01 %
Southern Orthodontic Partners Management, LLCFirst lien senior secured delayed draw term loanS +6.25%11.90%5/25/2024112 112 112 0.02 %
Southern Orthodontic Partners Management, LLC (6)First lien senior secured revolving loanS +6.25%11.90%1/27/2026171 — (1)0.00 %
Southern Orthodontic Partners Management, LLCFirst lien senior secured term loanS +6.25%11.90%1/27/20261,344 1,343 1,338 0.19 %
Southern Sports Medicine Partners, LLCFirst lien senior secured revolving loanS +6.00%11.65%2/23/202760 23 23 0.00 %
Southern Sports Medicine Partners, LLCFirst lien senior secured term loanS +6.00% + 2.00% PIK13.39%2/23/2027670 646 644 0.09 %
Vital Care Buyer, LLC (6)First lien senior secured revolving loanS +5.25%10.90%10/19/2025580 (4)(4)0.00 %
Vital Care Buyer, LLCFirst lien senior secured term loanS +5.25%10.90%10/19/2025793 791 788 0.11 %
Western Veterinary Partners, LLCFirst lien senior secured delayed draw term loanS +6.00%11.65%10/29/2026504 501 499 0.07 %
Western Veterinary Partners, LLC (6)First lien senior secured revolving loanS +6.00%11.65%10/29/202624 — — 0.00 %
Western Veterinary Partners, LLCFirst lien senior secured term loanS +6.00%11.65%10/29/20261,305 1,296 1,291 0.18 %
325,853 326,151 46.21 %
Health care technology
AHR Intermediate, IncFirst lien senior secured delayed draw term loanS +5.25%10.90%7/29/2027$5,310 $5,248 $5,235 0.74 %
AHR Intermediate, IncFirst lien senior secured revolving loanS +5.25%10.90%7/29/20277,858 667 723 0.10 %
The accompanying notes are an integral part of these consolidated financial statements.
17

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of September 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
AHR Intermediate, IncFirst lien senior secured term loanS +5.25%10.90%7/29/202725,555 25,330 25,346 3.59 %
Millennia Patient Services, LLCFirst lien senior secured revolving loanS +6.50%11.93%3/8/2026134 66 66 0.01 %
Millennia Patient Services, LLCFirst lien senior secured term loanS +6.50%11.93%3/8/2026983 976 973 0.14 %
32,287 32,343 4.58 %
Household durables
CPS Power Buyer, LLCFirst lien senior secured delayed draw term loanS +6.00%11.63%9/26/2027$3,011 $2,601 $2,605 0.37 %
CPS Power Buyer, LLC (6)First lien senior secured revolving loanS +6.00%11.65%9/26/20271,687 (27)(25)0.00 %
CPS Power Buyer, LLCFirst lien senior secured term loanS +6.00%11.65%9/26/20275,079 4,994 5,000 0.71 %
Kwalu, LLC (6)First lien senior secured revolving loanS +5.75%11.40%9/23/20275,061 (81)(74)(0.01)%
Kwalu, LLCFirst lien senior secured term loanS +5.75%11.40%9/23/202724,650 24,241 24,274 3.44 %
MacKenzie Childs Acquisition, Inc.First lien senior secured revolving loanS +6.00%11.54%9/2/20273,374 2,884 2,889 0.41 %
MacKenzie Childs Acquisition, Inc.First lien senior secured term loanS +6.00%11.54%9/2/202717,927 17,725 17,730 2.51 %
Renovation Systems, LLCFirst lien senior secured delayed draw term loanS +5.75%11.40%1/23/20285,815 5,670 5,670 0.80 %
Renovation Systems, LLCFirst lien senior secured revolving loanS +5.75%11.40%1/23/20281,965 440 442 0.06 %
Renovation Systems, LLCFirst lien senior secured term loanS +5.75%11.40%1/23/202812,318 12,000 12,009 1.70 %
Storm Smart Buyer LLCFirst lien senior secured revolving loanS +6.00%11.84%4/5/2026131 25 25 0.00 %
Storm Smart Buyer LLCFirst lien senior secured term loanS +6.00%11.65%4/5/2026901 895 892 0.13 %
Trademark Global, LLCFirst lien senior secured revolving loanS +7.50% + 1.75% PIK12.93%7/30/2024112 75 74 0.01 %
Trademark Global, LLCFirst lien senior secured revolving loanS +7.50% + 1.75% PIK12.93%7/30/20240.00 %
Trademark Global, LLCFirst lien senior secured term loanS +5.75%11.18%7/30/20241,872 1,788 1,775 0.25 %
73,234 73,290 10.38 %
Industrial Conglomerates
Hultec Buyer, LLC (6)First lien senior secured revolving loanS +6.25%11.82%3/31/2029$3,915 $(107)$(103)(0.01)%
Hultec Buyer, LLCFirst lien senior secured term loanS +6.25%11.81%3/31/202914,601 14,192 14,212 2.01 %
14,085 14,109 2.00 %
Internet and direct marketing retail
Aquatic Sales Solutions, LLCFirst lien senior secured revolving loanS +7.00%12.58%12/18/2025$188 $95 $94 0.01 %
Aquatic Sales Solutions, LLCFirst lien senior secured term loanS +3.00% + 4.00% PIK12.54%12/18/20252,521 2,483 2,463 0.35 %
DealerOn Inc. (6)First lien senior secured revolving loanS +5.50%10.93%11/19/2024314 (1)(1)0.00 %
DealerOn Inc.First lien senior secured term loanS +5.50%10.93%11/19/20241,553 1,553 1,547 0.22 %
4,130 4,103 0.58 %
IT services
Icreon Holdings, LLC (6)First lien senior secured revolving loanS +6.50%12.15%10/26/2027$1,071 $(22)$(21)0.00 %
Icreon Holdings, LLCFirst lien senior secured term loanS +6.50%12.15%10/26/20278,567 8,387 8,400 1.19 %
E-Phoenix Acquisition Co. Inc. (6)First lien senior secured revolving loanS +5.75%11.27%6/23/202775 — — 0.00 %
The accompanying notes are an integral part of these consolidated financial statements.
18

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of September 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
E-Phoenix Acquisition Co. Inc.First lien senior secured term loanS +5.75%11.29%6/23/20271,419 1,415 1,410 0.20 %
FreshAddress, LLC (6)First lien senior secured revolving loanS +5.50%11.04%10/5/202530 — — 0.00 %
FreshAddress, LLCFirst lien senior secured term loanS +5.50%11.04%10/5/20251,676 1,671 1,664 0.24 %
P and R Dental Strategies, LLC (6)First lien senior secured revolving loanS +6.00%11.43%12/22/202623 — — 0.00 %
P and R Dental Strategies, LLCFirst lien senior secured term loanS +6.00%11.43%12/22/2026629 624 621 0.09 %
12,075 12,074 1.72 %
Leisure equipment and products
MacNeill Pride Group Corp.First lien senior secured delayed draw term loanS +6.25%11.90%4/22/2026$409 $363 $362 0.05 %
MacNeill Pride Group Corp. (6)First lien senior secured revolving loanS +6.25%11.90%4/22/2026287 (1)(1)0.00 %
MacNeill Pride Group Corp.First lien senior secured term loanS +6.25%11.90%4/22/2026832 832 829 0.12 %
Champion Motorsports Group, LLC (6)First lien senior secured revolving loanS +6.25%11.88%10/8/202656 (1)(1)0.00 %
Champion Motorsports Group, LLCFirst lien senior secured term loanS +6.25%11.90%10/8/20261,675 1,658 1,648 0.23 %
2,851 2,837 0.40 %
Leisure products
PHGP MB Purchaser, Inc.First lien senior secured delayed draw term loanS +6.00%11.65%5/27/2027$113 $37 $37 0.01 %
PHGP MB Purchaser, Inc.First lien senior secured revolving loanS +6.00%11.65%5/20/202775 18 18 0.00 %
PHGP MB Purchaser, Inc.First lien senior secured term loanS +6.00%11.65%5/20/20271,095 1,083 1,079 0.15 %
1,138 1,134 0.16 %
Life sciences tools and services
Aptitude Health Holdings, LLC (6)First lien senior secured revolving loanS +5.25%10.90%5/3/2026$267 $(3)$(3)0.00 %
Aptitude Health Holdings, LLCFirst lien senior secured term loanS +5.25%10.90%5/3/20261,095 1,082 1,083 0.15 %
CR Services Intermediate, LLC (6)First lien senior secured delayed draw term loanS +6.25%11.88%7/28/2028188 (4)(5)0.00 %
CR Services Intermediate, LLC (6)First lien senior secured revolving loanS +6.25%11.88%7/28/202838 (1)(1)0.00 %
CR Services Intermediate, LLCFirst lien senior secured term loanS +6.25%11.88%7/28/2028456 445 445 0.06 %
1,519 1,519 0.21 %
Machinery
Double E Company, LLC (6)First lien senior secured delayed draw term loanS +6.00%11.54%6/21/2028$2,017 $(15)$(12)0.00 %
Double E Company, LLCFirst lien senior secured revolving loanS +6.00%11.46%6/21/20283,110 1,438 1,444 0.20 %
Double E Company, LLCFirst lien senior secured term loanS +6.00%11.54%6/21/202818,365 18,222 18,259 2.59 %
Abrasive Technology Intermediate, LLCFirst lien senior secured revolving loanS +5.75%11.41%4/30/2026173 172 171 0.02 %
Abrasive Technology Intermediate, LLCFirst lien senior secured term loanS +5.75%11.63%4/30/2026928 922 918 0.13 %
DNS IMI Acquisition Corp (6)First lien senior secured delayed draw term loanS +5.50%11.04%11/23/202675 (1)(1)0.00 %
DNS IMI Acquisition CorpFirst lien senior secured revolving loanP +4.50%13.00%11/23/202656 10 10 0.00 %
DNS IMI Acquisition CorpFirst lien senior secured term loanS +5.50%11.04%11/23/20261,636 1,622 1,616 0.23 %
22,370 22,405 3.17 %
Media
Optimized Marketing Acquisition, LLCFirst lien senior secured revolving loanS +5.75%11.18%8/19/2027$3,383 $1,470 $1,474 0.21 %
Optimized Marketing Acquisition, LLCFirst lien senior secured term loanS +5.75%11.18%8/19/202725,971 25,541 25,581 3.62 %
The accompanying notes are an integral part of these consolidated financial statements.
19

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of September 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
RKD Group, LLCFirst lien senior secured revolving loanS +6.00%11.50%8/17/20284,905 921 929 0.13 %
RKD Group, LLCFirst lien senior secured term loanS +6.00%11.54%8/17/202833,423 33,006 33,067 4.68 %
WTWH Buyer, LLC (6)First lien senior secured revolving loanS +6.50%12.15%12/16/20271,638 (36)(35)0.00 %
WTWH Buyer, LLCFirst lien senior secured term loanS +6.50%12.15%12/16/202710,119 9,887 9,900 1.40 %
ALM Media, LLC (6)(20)First lien senior secured revolving loanS +6.00%11.54%11/25/2024971 (3)(3)0.00 %
ALM Media, LLCFirst lien senior secured term loanS +6.00%11.54%11/25/20242,362 2,361 2,353 0.33 %
Barkley, LLC (6)First lien senior secured revolving loanS +6.00%11.42%9/29/20282,300 (58)(58)(0.01)%
Barkley, LLCFirst lien senior secured term loanS +6.00%11.42%9/29/202818,949 18,475 18,475 2.62 %
Exclusive Concepts, LLCFirst lien senior secured delayed draw term loanS +6.50%12.40%12/9/2026223 219 219 0.03 %
Exclusive Concepts, LLC (6)First lien senior secured revolving loanS +6.50%12.40%12/9/202623 — — 0.00 %
Exclusive Concepts, LLCFirst lien senior secured term loanS +6.50%12.40%12/9/2026622 611 609 0.09 %
Infolinks Media Buyco, LLCFirst lien senior secured delayed draw term loanS +5.75%11.17%11/1/202639 23 23 0.00 %
Infolinks Media Buyco, LLC (6)First lien senior secured revolving loanS +5.75%11.17%11/1/202638 — — 0.00 %
Infolinks Media Buyco, LLCFirst lien senior secured term loanS +5.75%11.17%11/1/20261,143 1,134 1,129 0.16 %
The Channel Company, LLCFirst lien senior secured revolving loanS +6.25%11.90%11/1/202762 58 58 0.01 %
The Channel Company, LLCFirst lien senior secured term loanS +6.25%11.90%11/1/20272,330 2,316 2,307 0.33 %
95,925 96,028 13.60 %
Metals and mining
Copperweld Group, Inc.First lien senior secured revolving loanS +6.00%11.64%9/27/2024$462 $122 $121 0.02 %
Copperweld Group, Inc.First lien senior secured term loanS +6.00%11.65%9/27/20242,267 2,263 2,254 0.32 %
2,385 2,375 0.34 %
Pharmaceuticals
Bio Agri Mix Holdings Inc. (6)(7)First lien senior secured revolving loanC +5.75%11.26%7/23/2026$30 $— $— 0.00 %
Bio Agri Mix Holdings Inc. (6)(7)First lien senior secured revolving loanC +5.75%11.26%7/23/2026C$75 (1)(1)0.00 %
Bio Agri Mix Holdings Inc. (7)First lien senior secured term loanC +5.75%11.26%7/23/2026C$1,235 922 899 0.13 %
Formulated Buyer, LLCFirst lien senior secured delayed draw term loanS +5.25%11.06%9/22/2026298 204 203 0.03 %
Formulated Buyer, LLCFirst lien senior secured revolving loanS +5.25%11.06%9/22/2026188 28 28 0.00 %
Formulated Buyer, LLCFirst lien senior secured term loanS +5.25%11.15%9/22/2026457 453 452 0.06 %
1,606 1,581 0.22 %
Personal products
Cosmetic Solutions, LLCFirst lien senior secured delayed draw term loanS +5.75% + 0.75% PIK11.82%10/17/2025$362 $352 $348 0.05 %
Cosmetic Solutions, LLC (6)First lien senior secured revolving loanS +5.75%11.18%10/17/2025344 (11)(13)0.00 %
Cosmetic Solutions, LLCFirst lien senior secured term loanS +5.75%11.18%10/17/20252,772 2,694 2,664 0.38 %
3,035 2,999 0.43 %
Professional services
Helpware, Inc.First lien senior secured revolving loanS +5.75%11.65%9/8/2026$5,061 $1,805 $1,736 0.25 %
Helpware, Inc.First lien senior secured term loanS +5.75%11.65%9/8/202614,007 13,853 13,677 1.94 %
Stax Holding Company, LLC (6)(21)First lien senior secured revolving loanS +5.25%10.90%10/29/202660 — — 0.00 %
The accompanying notes are an integral part of these consolidated financial statements.
20

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of September 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Stax Holding Company, LLCFirst lien senior secured term loanS +5.25%10.90%10/29/2026728 725 722 0.10 %
16,383 16,135 2.29 %
Real estate management and development
BBG Intermediate Holdings, Inc. (22)First lien senior secured revolving loanS +6.75%12.18%1/8/2026$233 $154 $153 0.02 %
BBG Intermediate Holdings, Inc.First lien senior secured term loanS +5.50% + 1.25% PIK12.07%1/8/20261,874 1,736 1,730 0.25 %
MetaSource, LLC (6)First lien senior secured delayed draw term loanS +6.25%11.68%5/17/202749 — — 0.00 %
MetaSource, LLCFirst lien senior secured revolving loanS +6.75%12.18%5/17/202775 30 30 0.00 %
MetaSource, LLCFirst lien senior secured term loanS +6.25% + 0.50% PIK12.07%5/17/2027929 927 924 0.13 %
2,847 2,837 0.40 %
Semiconductors and semiconductor equipment
Altamira Material Solutions, LP (6)First lien senior secured revolving loanS +5.75%11.34%9/2/2026$45 $(1)$(1)0.00 %
Altamira Material Solutions, LPFirst lien senior secured term loanS +5.75%11.34%9/2/20261,031 1,021 1,018 0.14 %
1,020 1,017 0.14 %
Software
Shasta Buyer, LLCFirst lien senior secured revolving loanS +6.25%11.90%8/9/2028$2,199 $83 $86 0.01 %
Shasta Buyer, LLCFirst lien senior secured term loanS +6.25%11.90%8/9/202811,575 11,379 11,399 1.61 %
Affinitiv, Inc. (6)First lien senior secured revolving loanS +6.00%11.65%8/26/2024248 (1)(1)0.00 %
Affinitiv, Inc.First lien senior secured term loanS +6.00%11.65%8/26/20242,248 2,247 2,240 0.32 %
ShiftKey, LLC (6)First lien senior secured revolving loanS +5.75%11.40%6/21/2027110 (1)(1)0.00 %
ShiftKey, LLCFirst lien senior secured term loanS +5.75%11.40%6/21/20273,712 3,696 3,682 0.52 %
17,403 17,405 2.46 %
Specialty retail
Soccer Post Acquisition, LLCFirst lien senior secured delayed draw term loanS +5.25%10.90%6/30/2027$1,203 $1,110 $1,111 0.16 %
Soccer Post Acquisition, LLC (6)First lien senior secured revolving loanS +5.25%10.90%6/30/20271,779 (23)(21)0.00 %
Soccer Post Acquisition, LLCFirst lien senior secured term loanS +5.25%10.90%6/30/20277,941 7,838 7,846 1.11 %
Dykstra's Auto, LLC (6)First lien senior secured delayed draw term loanS +6.00%11.63%10/22/2026150 (3)(2)0.00 %
Dykstra's Auto, LLCFirst lien senior secured delayed draw term loanS +6.00%11.65%10/22/2026185 183 182 0.03 %
Dykstra's Auto, LLCFirst lien senior secured revolving loanS +6.00%11.65%10/22/202638 0.00 %
Dykstra's Auto, LLCFirst lien senior secured term loanS +6.00%11.63%10/22/2026628 622 618 0.09 %
Kaizen Auto Care, LLCFirst lien senior secured delayed draw term loanS +6.00% + 0.50% PIK11.82%12/22/2026223 221 216 0.03 %
Kaizen Auto Care, LLCFirst lien senior secured delayed draw term loanS +6.00% + 0.50% PIK11.82%12/22/2023224 222 218 0.03 %
Kaizen Auto Care, LLCFirst lien senior secured revolving loanS +6.50%12.20%12/22/202638 37 36 0.01 %
The accompanying notes are an integral part of these consolidated financial statements.
21

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of September 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Kaizen Auto Care, LLCFirst lien senior secured term loanS +6.00%11.43%12/22/202628 27 27 0.00 %
Kaizen Auto Care, LLCFirst lien senior secured term loanS +6.00% + 0.50% PIK11.82%12/22/2026857 849 833 0.12 %
Leonard Group, Inc. (6)First lien senior secured revolving loanS +6.50%12.15%2/26/2026234 (1)(1)0.00 %
Leonard Group, Inc.First lien senior secured term loanS +6.50%12.15%2/26/20261,559 1,557 1,551 0.22 %
Pink Lily Holdings, LLC (6)First lien senior secured revolving loanS +3.50%8.92%11/16/202763 (1)(1)0.00 %
Pink Lily Holdings, LLCFirst lien senior secured term loanS +3.50% + 3.50% PIK12.42%11/16/20271,250 1,225 1,221 0.17 %
13,868 13,839 1.97 %
Trading companies and distributors
Ascent Lifting, Inc. (6)First lien senior secured revolving loanS +6.00%11.57%9/9/2027$2,500 $(58)$(56)(0.01)%
Ascent Lifting, Inc.First lien senior secured term loanS +6.00%11.57%9/9/202717,237 16,815 16,842 2.39 %
NEFCO Holding Company, LLCFirst lien senior secured delayed draw term loanS +6.50%12.09%8/5/20282,186 2,157 2,156 0.31 %
NEFCO Holding Company, LLCFirst lien senior secured delayed draw term loanS +6.50%12.09%8/5/20242,192 27 29 0.00 %
NEFCO Holding Company, LLCFirst lien senior secured delayed draw term loanS +6.50%12.19%8/5/20282,611 2,594 2,572 0.36 %
NEFCO Holding Company, LLCFirst lien senior secured revolving loanP +5.50%14.00%8/5/20283,045 1,270 1,274 0.18 %
NEFCO Holding Company, LLCFirst lien senior secured term loanS +6.50%11.78%8/5/202814,360 14,096 14,134 2.00 %
AFC Industries, Inc.First lien senior secured delayed draw term loanS +6.25%11.77%4/9/2027349 342 342 0.05 %
AFC Industries, Inc.First lien senior secured delayed draw term loanS +6.25%11.75%4/9/2027127 125 124 0.02 %
AFC Industries, Inc.First lien senior secured delayed draw term loanS +6.25%11.73%4/9/2027105 103 103 0.01 %
AFC Industries, Inc.First lien senior secured delayed draw term loanS +6.25%11.67%4/9/2027106 84 84 0.01 %
AFC Industries, Inc. (23)First lien senior secured revolving loanS +6.25%11.77%10/9/2026156 46 46 0.01 %
AFC Industries, Inc.First lien senior secured term loanS +6.25%11.68%4/9/2027855 839 837 0.12 %
American Equipment Systems LLCFirst lien senior secured delayed draw term loanS +6.00%11.72%11/5/202638 37 37 0.01 %
American Equipment Systems LLCFirst lien senior secured term loanS +6.00%11.82%11/5/202671 69 69 0.01 %
American Equipment Systems LLCFirst lien senior secured term loanS +6.00%11.50%11/5/2026321 315 313 0.04 %
Banner Buyer, LLCFirst lien senior secured delayed draw term loanS +5.75%11.17%10/31/2025565 566 564 0.08 %
Banner Buyer, LLC (6)First lien senior secured revolving loanS +5.75%11.17%10/31/2025370 (1)(2)0.00 %
Banner Buyer, LLCFirst lien senior secured term loanS +5.75%11.17%10/31/20251,361 1,359 1,354 0.19 %
Empire Equipment Company, LLCFirst lien senior secured revolving loanS +5.50%10.93%1/17/2025439 29 27 0.00 %
Empire Equipment Company, LLCFirst lien senior secured term loanS +5.50%10.93%1/17/20251,720 1,716 1,703 0.24 %
Montway LLCFirst lien senior secured delayed draw term loanS +6.25%12.15%11/4/2025670 665 663 0.09 %
The accompanying notes are an integral part of these consolidated financial statements.
22

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of September 30, 2023
(Amounts in thousands)
(Unaudited)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Montway LLC (6)First lien senior secured revolving loanS +6.25%12.01%11/4/2025150 (2)(2)0.00 %
Montway LLCFirst lien senior secured term loanS +6.25%12.01%11/4/2025710 704 702 0.10 %
Triad Technologies, LLC (6)First lien senior secured revolving loanS +6.00%11.54%6/8/2026332 (5)(5)0.00 %
Triad Technologies, LLCFirst lien senior secured term loanS +6.00%11.54%6/8/20261,345 1,331 1,326 0.19 %
45,223 45,236 6.40 %
Water utilities
Diamondback Buyer, LLCFirst lien senior secured revolving loanS +5.50%10.93%7/22/2026$75 $29 $29 0.00 %
Diamondback Buyer, LLCFirst lien senior secured term loanS +5.50%11.16%7/22/20261,191 1,185 1,180 0.17 %
1,214 1,209 0.17 %
Total non-controlled/non-affiliated senior secured debt$1,163,375 $1,163,749 164.86 %
Non-controlled/non-affiliated sponsor subordinated notes
Trading companies and distributors
Empire Equipment Company, LLCSponsor subordinated note12.50% + 7.00% PIK7/17/2025$12 $12 $12 0.00 %
Total non-controlled/non-affiliated sponsor subordinated notes12 12 0.00 %
Total non-controlled/non-affiliated investments1,163,387 1,163,761 164.86 %
Non-controlled/affiliated investments
Multisector holdings
Twin Brook Equity Holdings, LLC (24) (25) (26)Equity - 8.83% membership interest$44,244 $48,597 6.88 %
Twin Brook Segregated Equity Holdings, LLC (24) (25) (26)Equity- 2.11% membership interest19 18 0.00 %
Total non-controlled/affiliated investments44,263 48,615 6.88 %
Total investments$1,207,650 $1,212,376 171.75 %
(1)Unless otherwise indicated, all investments are considered Level 3 investments. Under section 55(a) of the Investment Company Act of 1940, as amended (the “1940 Act”), we may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of our total assets. The status of these assets under the 1940 Act is subject to change. The Company monitors the status of these assets on an ongoing basis. As of June 30, 2023, there were no non-qualifying assets.
(2)Unless otherwise indicated, all investments represent co-investments made with the Company’s affiliates in accordance with the terms of the exemptive relief that the Company received from the U.S. Securities and Exchange Commission. Refer to Note 6 for further information.
(3)Principal/par amount is denominated in U.S. Dollars (“$”) unless otherwise noted.noted,Canadian Dollars (“C$”)
(4)The amortized cost represents the original cost adjusted for the amortization of discounts and premiums, as applicable, on debt investments using the effective interest method.
(5)Unless otherwise indicated, the interest rate on the principal balance outstanding for all floating rate loans is indexed to the Term Secured Overnight Financing Rate (“Term SOFR” or “S”) and/or an alternate base rate (e.g. prime rate (“P”)), which typically resets semiannually, quarterly, or monthly at the borrower’s option. The applicable base rate may be subject to a floor. The borrower may also elect to have multiple interest reset periods for each loan. For each of these loans, the applicable margin has been provided over Term SOFR based on each respective credit agreement. As of JuneSeptember 30, 2023, the reference rates for the floating rate loans were the Term SOFR of 5.09%5.32% and the Prime Rate of 8.25%8.50%.
(6)Represents revolvers and delayed draw term loans where the entire balance is unfunded as of JuneSeptember 30, 2023. The negative fair value is a result of the commitment being valued below par. Refer to Note 78 for further information.
(7)Principal balance includes reserve for letterRepresents investments that the Company has determined are not “qualifying assets” under Section 55(a) of creditthe 1940 Act. Under the 1940 Act, we may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of $82,358our total assets. The status of these assets under the 1940 Act is subject to change. The Company monitors the status of these assets on whichan ongoing basis. As of September 30, 2023, non-qualifying assets represented approximately 2.95% of the borrower pays 6.50%.total assets of the Company.
(8)Principal balance includes reserve for letter of credit of $160,279 on which the borrower pays 6.00%.
(9)Principal balance includes reserve for letter of credit of $265,760$1,875 on which the borrower pays 5.75%.
The accompanying notes are an integral part of these consolidated financial statements.
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AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of JuneSeptember 30, 2023
(Amounts in thousands)
(Unaudited)
(9)Principal balance includes reserve for letter of credit of $190 on which the borrower pays 7.00%.
(10)Principal balance includes reserve for letter of credit of $213,947$10,663 on which the borrower pays 5.50%.
(11)Principal balance includes reserve for letter of credit of $2,145 on which the borrower pays 6.75%.
(12)Principal balance includes reserve for letter of credit of $208,317 on which the borrower pays 6.50%.
(13)Principal balance includes reserve for letter of credit of $15,267 on which the borrower pays 6.00%.
(14)Principal balance includes reserve for letter of credit of $2,851 on which the borrower pays 6.50%.
(15)Principal balance includes reserve for letter of credit of $3,930 on which the borrower pays 7.00%.
(16)Principal balance includes reserve for letter of credit of $163,717 on which the borrower pays 6.00%.
(17)Principal balance includes reserve for letter of credit of $265,760 on which the borrower pays 5.75%.
(18)Principal balance includes reserve for letter of credit of $5,410 on which the borrower pays 6.25%.
(19)Principal balance includes reserve for letter of credit of $218,784 on which the borrower pays 5.25%.
(11)(20)Principal balance includes reserve for letter of credit of $141,677 on which the borrower pays 6.00%.
(21)Principal balance includes reserve for letter of credit of $2,248 on which the borrower pays 5.25%.
(22)Principal balance includes reserve for letter of credit of $3,517 on which the borrower pays 6.75%.
(23)Principal balance includes reserve for letter of credit of $6,240 on which the borrower pays 6.25%.
(24)As a practical expedient, the Company uses net asset value (“NAV”) to determine the fair value of this investment. Consistent with FASB guidance under ASC 820, these investments are excluded from the hierarchical levels. This represents an investment in an affiliated fund.
(12)(25)Securities exempt from registration under the Securities Act of 1933 (the “Securities Act”), and may be deemed to be “restricted securities” under the Securities Act. As of JuneSeptember 30, 2023, the aggregate fair value of these securities is $38,564$48,615 or 6.46%6.88% of the Company's net assets. The “restricted security”,securities,” Twin Brook Equity Holdings, LLC wasand Twin Brook Segregated Equity Holdings, LLC, were purchased on May 19, 2022.2022 and July 28, 2023, respectively.
(13)(26)Non-income producing investment.

The accompanying notes are an integral part of these consolidated financial statements.
1224

Table of Contents
AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of September 30, 2023
(Amounts in thousands)
(Unaudited)

Foreign currency forward contracts
CounterpartyCurrency PurchasedCurrency SoldSettlementUnrealized Appreciation/
(Depreciation)
Wells Fargo Bank, National AssociationUSD 1,427CAD 1,92610/13/2023$
Total$9
Currency Abbreviations:
USD - U.S. Dollar
CAD - Canadian Dollar
The accompanying notes are an integral part of these consolidated financial statements.
25

AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of December 31, 2022
(Amounts in thousands)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Investments
     Non-controlled/non-affiliated senior secured debt
Air freight and logistics
Load One Purchaser Corporation (6)First lien senior secured delayed draw term loanS +6.00%10.84 %6/21/2028$6,080 $(103)$(101)(0.02)%
Load One Purchaser CorporationFirst lien senior secured revolving loanS +6.00%10.84 %6/21/20283,482 285 291 0.06 %
Load One Purchaser CorporationFirst lien senior secured term loanS +6.00%10.84 %6/21/202813,477 13,225 13,252 2.51 %
Zipline Logistics, LLC (6)First lien senior secured delayed draw term loanS +5.75%10.59 %9/19/20274,527 (85)(79)(0.01)%
Zipline Logistics, LLC (6)First lien senior secured revolving loanS +5.75%10.59 %9/19/20271,687 (32)(29)(0.01)%
Zipline Logistics, LLCFirst lien senior secured term loanS +5.75%10.59 %9/19/20276,924 6,792 6,804 1.29 %
20,082 20,138 3.82 %
Auto components
Raneys, LLC (6)First lien senior secured revolving loanS +5.75%10.59 %6/7/2027$1,522 $(27)$(25)0.00 %
Raneys, LLCFirst lien senior secured term loanS +5.75%10.59 %6/7/20277,364 7,231 7,243 1.37 %
7,204 7,218 1.37 %
Chemicals
Custom Agronomics Holdings, LLC (6)First lien senior secured revolving loanS +6.50%11.34 %8/26/2027$2,312 $(43)$(40)(0.01)%
Custom Agronomics Holdings, LLCFirst lien senior secured term loanS +6.50%11.34 %8/26/20273,930 3,853 3,863 0.73 %
3,810 3,823 0.72 %
Commercial services and supplies
Industrial Air Flow Dynamics, Inc.First lien senior secured revolving loanP +5.25%12.75 %8/5/2028$2,537 $376 $380 0.07 %
Industrial Air Flow Dynamics, Inc.First lien senior secured term loanS +5.25%10.67 %8/5/202817,757 17,412 17,452 3.30 %
17,788 17,832 3.37 %
Construction and engineering
Ironhorse Purchaser, LLC (6)First lien senior secured delayed draw term loanS +6.50%11.34 %9/30/2027$9,413 $(82)$(70)(0.01)%
Ironhorse Purchaser, LLCFirst lien senior secured revolving loanS +6.50%11.33 %9/30/20274,210 1,960 1,968 0.37 %
Ironhorse Purchaser, LLCFirst lien senior secured term loanS +6.50%11.34 %9/30/202730,605 30,312 30,376 5.74 %
Rose Paving, LLCFirst lien senior secured revolving loanS +5.75%10.57 %11/7/20284,560 2,442 2,442 0.46 %
Rose Paving, LLCFirst lien senior secured term loanS +5.75%10.55 %11/7/202816,853 16,439 16,439 3.11 %
51,071 51,155 9.67 %
Containers and packaging
Bulk Lift International, LLC (6)First lien senior secured revolving loanS +6.75%11.28 %11/15/2027$1,748 $(43)$(43)(0.01)%
Bulk Lift International, LLCFirst lien senior secured term loanS +6.75%11.28 %11/15/20275,816 5,673 5,673 1.07 %
K-1 Packaging Group, LLC (6)First lien senior secured revolving loanS +6.00%10.84 %10/6/20276,748 (161)(152)(0.03)%
K-1 Packaging Group, LLCFirst lien senior secured term loanS +6.00%10.84 %10/6/202733,115 32,317 32,370 6.12 %
Sixarp, LLC (6)First lien senior secured delayed draw term loanS +5.50%10.34 %8/5/20273,180 (57)(54)(0.01)%
The accompanying notes are an integral part of these consolidated financial statements.
1326

AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of December 31, 2022
(Amounts in thousands)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Sixarp, LLC (6)First lien senior secured revolving loanS +5.50%10.34 %8/5/20273,732 (69)(63)(0.01)%
Sixarp, LLCFirst lien senior secured term loanS +5.50%10.34 %8/5/202719,825 19,443 19,482 3.68 %
57,103 57,213 10.81 %
Diversified consumer services
ACES Intermediate, LLC (6)First lien senior secured revolving loanS +5.75%10.63 %7/27/2027$6,964 $(127)$(117)(0.02)%
ACES Intermediate, LLCFirst lien senior secured term loanS +5.75%10.63 %7/27/202731,376 30,789 30,859 5.83 %
Esquire Deposition Solutions, LLC (6)First lien senior secured delayed draw term loanS +6.50%10.92 %12/30/20273,845 (115)(115)(0.02)%
Esquire Deposition Solutions, LLC (6)First lien senior secured revolving loanS +6.50%10.92 %12/30/20272,162 (65)(65)(0.01)%
Esquire Deposition Solutions, LLCFirst lien senior secured term loanS +6.50%10.92 %12/30/202713,458 13,054 13,054 2.47 %
Yard-Nique, Inc (6)First lien senior secured delayed draw term loanS +6.00%9.71 %4/30/20266,086 (72)(68)(0.01)%
Yard-Nique, IncFirst lien senior secured revolving loanS +5.00%8.71 %4/30/2026870 250 251 0.05 %
Yard-Nique, IncFirst lien senior secured term loanS +6.00%9.71 %4/30/20266,739 6,651 6,661 1.26 %
50,365 50,460 9.55 %
Electrical equipment
WCI Volt Purchaser, LLC (6)First lien senior secured revolving loanS +5.75%10.59 %9/15/2028$2,249 $(43)$(39)(0.01)%
WCI Volt Purchaser, LLCFirst lien senior secured term loanS +5.75%10.59 %9/15/202810,035 9,841 9,859 1.86 %
9,798 9,820 1.85 %
Electronic equipment, instruments and components
ITSavvy LLC (6)First lien senior secured delayed draw term loanS +5.25%8.76 %8/8/2028$3,043 $(25)$(22)0.00 %
ITSavvy LLC (6)First lien senior secured revolving loanS +5.25%9.68 %8/8/20281,741 (16)(13)0.00 %
ITSavvy LLCFirst lien senior secured term loanS +5.25%8.76 %8/8/202811,244 11,138 11,162 2.11 %
11,097 11,127 2.11 %
Food and staples retailing
Universal Pure, LLC (6)First lien senior secured delayed draw term loanS +6.00%10.24 %10/31/2028$5,236 $(140)$(140)(0.03)%
Universal Pure, LLC (6)(8)First lien senior secured revolving loanS +6.00%10.24 %10/31/20286,992 (187)(187)(0.04)%
Universal Pure, LLCFirst lien senior secured term loanS +6.00%10.24 %10/31/202829,898 29,088 29,088 5.50 %
28,761 28,761 5.43 %
Food products
BPCP WLF Intermedco LLC (6)First lien senior secured delayed draw term loanS +6.00%10.73 %8/19/2027$5,846 $(108)$(100)(0.02)%
BPCP WLF Intermedco LLCFirst lien senior secured revolving loanS +6.00%10.75 %8/19/20273,383 1,291 1,295 0.24 %
BPCP WLF Intermedco LLCFirst lien senior secured term loanS +6.00%10.73 %8/19/202723,326 22,883 22,923 4.33 %
Sun Orchard, LLCFirst lien senior secured revolving loanS +5.25%9.69 %7/8/20275,223 254 261 0.05 %
Sun Orchard, LLCFirst lien senior secured term loanS +5.25%10.09 %7/8/20279,456 9,279 9,297 1.76 %
33,599 33,676 6.36 %
Health care equipment and supplies
Medical Technology Associates, Inc. (6)First lien senior secured revolving loanS +6.00%10.84 %7/25/2028$1,929 $(36)$(33)(0.01)%
Medical Technology Associates, Inc.First lien senior secured term loanS +6.00%10.84 %7/25/20286,713 6,585 6,599 1.25 %
Nasco Healthcare Inc. (6)(7)First lien senior secured revolving loanS +5.75%10.48 %6/30/20253,322 (38)(38)(0.01)%
The accompanying notes are an integral part of these consolidated financial statements.
1427

AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of December 31, 2022
(Amounts in thousands)
Company(1)(2)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Nasco Healthcare Inc.Nasco Healthcare Inc.First lien senior secured term loanS +5.75%10.48 %6/30/202517,811 17,605 17,605 3.33 %Nasco Healthcare Inc.First lien senior secured term loanS +5.75%10.48 %6/30/202517,811 17,605 17,605 3.33 %
Surplus Solutions, LLC (6)Surplus Solutions, LLC (6)First lien senior secured revolving loanS +6.00%10.66 %11/30/20271,771 (44)(44)(0.01)%Surplus Solutions, LLC (6)First lien senior secured revolving loanS +6.00%10.66 %11/30/20271,771 (44)(44)(0.01)%
Surplus Solutions, LLCSurplus Solutions, LLCFirst lien senior secured term loanS +6.00%10.66 %11/30/202710,143 9,894 9,894 1.87 %Surplus Solutions, LLCFirst lien senior secured term loanS +6.00%10.66 %11/30/202710,143 9,894 9,894 1.87 %
33,966 33,983 6.42 %33,966 33,983 6.42 %
Health care providers and servicesHealth care providers and servicesHealth care providers and services
ADVI Health, LLC (6)ADVI Health, LLC (6)First lien senior secured revolving loanS +7.00%11.67 %11/29/2027$1,062 $(26)$(26)0.00 %ADVI Health, LLC (6)First lien senior secured revolving loanS +7.00%11.67 %11/29/2027$1,062 $(26)$(26)0.00 %
ADVI Health, LLCADVI Health, LLCFirst lien senior secured term loanS +7.00%11.67 %11/29/20276,242 6,089 6,089 1.15 %ADVI Health, LLCFirst lien senior secured term loanS +7.00%11.67 %11/29/20276,242 6,089 6,089 1.15 %
Benefit Plan Administrators of Eau Claire, LLC (6)Benefit Plan Administrators of Eau Claire, LLC (6)First lien senior secured delayed draw term loanS +5.50%9.19 %6/7/20267,318 (96)(92)(0.02)%Benefit Plan Administrators of Eau Claire, LLC (6)First lien senior secured delayed draw term loanS +5.50%9.19 %6/7/20267,318 (96)(92)(0.02)%
Benefit Plan Administrators of Eau Claire, LLC (6)Benefit Plan Administrators of Eau Claire, LLC (6)First lien senior secured revolving loanS +5.50%9.19 %6/7/20261,672 (23)(21)0.00 %Benefit Plan Administrators of Eau Claire, LLC (6)First lien senior secured revolving loanS +5.50%9.19 %6/7/20261,672 (23)(21)0.00 %
Benefit Plan Administrators of Eau Claire, LLCBenefit Plan Administrators of Eau Claire, LLCFirst lien senior secured term loanS +5.50%9.19 %6/7/202612,962 12,779 12,800 2.42 %Benefit Plan Administrators of Eau Claire, LLCFirst lien senior secured term loanS +5.50%9.19 %6/7/202612,962 12,779 12,800 2.42 %
Change Academy at Lake of the Ozarks, LLC (6)Change Academy at Lake of the Ozarks, LLC (6)First lien senior secured revolving loanS +5.25%9.98 %8/2/20275,786 (106)(98)(0.02)%Change Academy at Lake of the Ozarks, LLC (6)First lien senior secured revolving loanS +5.25%9.98 %8/2/20275,786 (106)(98)(0.02)%
Change Academy at Lake of the Ozarks, LLCChange Academy at Lake of the Ozarks, LLCFirst lien senior secured term loanS +5.25%9.98 %8/2/202729,547 28,992 29,043 5.49 %Change Academy at Lake of the Ozarks, LLCFirst lien senior secured term loanS +5.25%9.98 %8/2/202729,547 28,992 29,043 5.49 %
Endodontic Practice Partners, LLCEndodontic Practice Partners, LLCFirst lien senior secured delayed draw term loanS +5.75%10.90 %11/2/202716,705 11,621 11,621 2.20 %Endodontic Practice Partners, LLCFirst lien senior secured delayed draw term loanS +5.75%10.90 %11/2/202716,705 11,621 11,621 2.20 %
Endodontic Practice Partners, LLC (6)Endodontic Practice Partners, LLC (6)First lien senior secured revolving loanS +5.75%10.64 %11/2/20271,918 (37)(37)(0.01)%Endodontic Practice Partners, LLC (6)First lien senior secured revolving loanS +5.75%10.64 %11/2/20271,918 (37)(37)(0.01)%
Endodontic Practice Partners, LLCEndodontic Practice Partners, LLCFirst lien senior secured term loanS +5.75%10.64 %11/2/202714,927 14,636 14,636 2.77 %Endodontic Practice Partners, LLCFirst lien senior secured term loanS +5.75%10.64 %11/2/202714,927 14,636 14,636 2.77 %
IPC Pain Acquistion, LLC (6)First lien senior secured delayed draw term loanS +6.00%10.44 %5/19/202710,830 (112)(107)(0.02)%
IPC Pain Acquistion, LLC (6)First lien senior secured revolving loanS +6.00%10.44 %5/19/20271,115 (15)(13)0.00 %
IPC Pain Acquistion, LLCFirst lien senior secured term loanS +6.00%10.44 %5/19/20272,785 2,745 2,751 0.52 %
IPC Pain Acquisition, LLC (6)IPC Pain Acquisition, LLC (6)First lien senior secured delayed draw term loanS +6.00%10.44 %5/19/202710,830 (112)(107)(0.02)%
IPC Pain Acquisition, LLC (6)IPC Pain Acquisition, LLC (6)First lien senior secured revolving loanS +6.00%10.44 %5/19/20271,115 (15)(13)0.00 %
IPC Pain Acquisition, LLCIPC Pain Acquisition, LLCFirst lien senior secured term loanS +6.00%10.44 %5/19/20272,785 2,745 2,751 0.52 %
NH Kronos Buyer, Inc. (6)NH Kronos Buyer, Inc. (6)First lien senior secured revolving loanS +10.00%14.24 %11/1/202812,443 (363)(363)(0.07)%NH Kronos Buyer, Inc. (6)First lien senior secured revolving loanS +10.00%14.24 %11/1/202812,443 (363)(363)(0.07)%
NH Kronos Buyer, Inc.NH Kronos Buyer, Inc.First lien senior secured term loanS +6.25%10.49 %11/1/202868,063 66,054 66,365 12.55 %NH Kronos Buyer, Inc.First lien senior secured term loanS +6.25%10.49 %11/1/202868,063 66,054 66,365 12.55 %
Propio LS, LLCPropio LS, LLCFirst lien senior secured revolving loanS +5.50%10.46 %8/2/20273,619 2,648 2,653 0.50 %Propio LS, LLCFirst lien senior secured revolving loanS +5.50%10.46 %8/2/20273,619 2,648 2,653 0.50 %
Propio LS, LLCPropio LS, LLCFirst lien senior secured term loanS +5.50%10.38 %8/2/202719,840 19,470 19,503 3.69 %Propio LS, LLCFirst lien senior secured term loanS +5.50%10.38 %8/2/202719,840 19,470 19,503 3.69 %
Purpose Home Health Acquisition, LLC (6)Purpose Home Health Acquisition, LLC (6)First lien senior secured delayed draw term loanS +6.25%11.19 %11/3/20276,682 (145)(145)(0.03)%Purpose Home Health Acquisition, LLC (6)First lien senior secured delayed draw term loanS +6.25%11.19 %11/3/20276,682 (145)(145)(0.03)%
Purpose Home Health Acquisition, LLC (6)Purpose Home Health Acquisition, LLC (6)First lien senior secured revolving loanS +6.25%11.19 %11/3/20271,918 (42)(42)(0.01)%Purpose Home Health Acquisition, LLC (6)First lien senior secured revolving loanS +6.25%11.19 %11/3/20271,918 (42)(42)(0.01)%
Purpose Home Health Acquisition, LLCPurpose Home Health Acquisition, LLCFirst lien senior secured term loanS +6.25%11.19 %11/3/20277,961 7,788 7,786 1.47 %Purpose Home Health Acquisition, LLCFirst lien senior secured term loanS +6.25%11.19 %11/3/20277,961 7,788 7,786 1.47 %
Spear Education Holdings, LLC (6)Spear Education Holdings, LLC (6)First lien senior secured revolving loanS +7.50%11.94 %12/15/20274,463 (122)(122)(0.02)%Spear Education Holdings, LLC (6)First lien senior secured revolving loanS +7.50%11.94 %12/15/20274,463 (122)(122)(0.02)%
Spear Education Holdings, LLCSpear Education Holdings, LLCFirst lien senior secured term loanS +7.50%11.94 %12/15/202718,858 18,340 18,339 3.47 %Spear Education Holdings, LLCFirst lien senior secured term loanS +7.50%11.94 %12/15/202718,858 18,340 18,339 3.47 %
US Foot and Ankle Specialists, LLCUS Foot and Ankle Specialists, LLCFirst lien senior secured delayed draw term loanS +5.25%9.69 %9/15/202616,598 5,908 5,913 1.12 %US Foot and Ankle Specialists, LLCFirst lien senior secured delayed draw term loanS +5.25%9.69 %9/15/202616,598 5,908 5,913 1.12 %
US Foot and Ankle Specialists, LLCUS Foot and Ankle Specialists, LLCFirst lien senior secured revolving loanS +5.25%9.69 %9/15/20262,699 631 635 0.12 %US Foot and Ankle Specialists, LLCFirst lien senior secured revolving loanS +5.25%9.69 %9/15/20262,699 631 635 0.12 %
US Foot and Ankle Specialists, LLCUS Foot and Ankle Specialists, LLCFirst lien senior secured term loanS +5.25%9.69 %9/15/202621,020 20,672 20,705 3.91 %US Foot and Ankle Specialists, LLCFirst lien senior secured term loanS +5.25%9.69 %9/15/202621,020 20,672 20,705 3.91 %
217,286 217,773 41.18 %217,286 217,773 41.18 %
Health care technologyHealth care technologyHealth care technology
AHR Intermediate, Inc (6)AHR Intermediate, Inc (6)First lien senior secured delayed draw term loanS +5.75%10.19 %7/29/2027$5,202 $(31)$(47)(0.01)%AHR Intermediate, Inc (6)First lien senior secured delayed draw term loanS +5.75%10.19 %7/29/2027$5,202 $(31)$(47)(0.01)%
AHR Intermediate, IncAHR Intermediate, IncFirst lien senior secured revolving loanS +5.75%10.19 %7/29/20277,708 630 697 0.13 %AHR Intermediate, IncFirst lien senior secured revolving loanS +5.75%10.19 %7/29/20277,708 630 697 0.13 %
AHR Intermediate, IncAHR Intermediate, IncFirst lien senior secured term loanS +5.75%10.19 %7/29/202724,292 24,012 24,050 4.55 %AHR Intermediate, IncFirst lien senior secured term loanS +5.75%10.19 %7/29/202724,292 24,012 24,050 4.55 %
24,611 24,700 4.67 %24,611 24,700 4.67 %
The accompanying notes are an integral part of these consolidated financial statements.
1528

AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of December 31, 2022
(Amounts in thousands)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Household durables
CPS Power Buyer, LLC (6)First lien senior secured delayed draw term loanS +6.50%10.89 %9/26/2027$3,018 $(57)$(53)(0.01)%
CPS Power Buyer, LLC (6)First lien senior secured revolving loanS +6.50%10.89 %9/26/20271,687 (32)(29)(0.01)%
CPS Power Buyer, LLCFirst lien senior secured term loanS +6.50%10.89 %9/26/20275,118 5,019 5,028 0.95 %
Kwalu, LLC (6)First lien senior secured revolving loanS +6.00%10.84 %9/23/20275,061 (96)(88)(0.02)%
Kwalu, LLCFirst lien senior secured term loanS +6.00%10.84 %9/23/202724,836 24,363 24,405 4.61 %
MacKenzie Childs Acquisition, Inc.First lien senior secured revolving loanS +6.00%10.73 %9/2/20273,374 2,877 2,883 0.55 %
MacKenzie Childs Acquisition, Inc.First lien senior secured term loanS +6.00%10.73 %9/2/202718,063 17,807 17,842 3.37 %
49,881 49,988 9.44 %
IT services
ARC Healthcare Technologies, LLCFirst lien senior secured delayed draw term loanS +5.25%10.09 %6/22/2025$7,340 $661 $668 0.13 %
ARC Healthcare Technologies, LLC (6)First lien senior secured revolving loanS +5.25%10.09 %6/22/20253,341 (34)(30)(0.01)%
ARC Healthcare Technologies, LLCFirst lien senior secured term loanS +5.25%10.09 %6/22/202523,421 23,173 23,210 4.39 %
Icreon Holdings, LLC (6)First lien senior secured revolving loanS +6.50%10.94 %10/26/20271,049 (25)(25)0.00 %
Icreon Holdings, LLCFirst lien senior secured term loanS +6.50%10.94 %10/26/20278,265 8,063 8,063 1.52 %
31,838 31,886 6.03 %
Machinery
Double E Company, LLC (6)First lien senior secured delayed draw term loanS +6.00%10.55 %6/21/2028$1,969 $(17)$(14)0.00 %
Double E Company, LLCFirst lien senior secured revolving loanP +5.00%12.50 %6/21/20283,044 671 677 0.13 %
Double E Company, LLCFirst lien senior secured term loanS +6.00%10.55 %6/21/202817,455 17,290 17,337 3.28 %
17,944 18,000 3.41 %
Media
Optimized Marketing Acquisition, LLCFirst lien senior secured revolving loanS +5.75%10.97 %8/19/2027$3,383 $1,460 $1,465 0.28 %
Optimized Marketing Acquisition, LLCFirst lien senior secured term loanS +5.75%10.97 %8/19/202726,168 25,664 25,717 4.86 %
RKD Group, LLC (6)First lien senior secured revolving loanS +6.00%10.73 %8/17/20284,905 (69)(60)(0.01)%
RKD Group, LLCFirst lien senior secured term loanS +6.00%10.73 %8/17/202833,676 33,191 33,260 6.29 %
WTWH Buyer, LLC (6)First lien senior secured revolving loanS +6.50%11.26 %12/16/20271,638 (41)(41)(0.01)%
WTWH Buyer, LLCFirst lien senior secured term loanS +6.50%11.26 %12/16/202710,196 9,942 9,941 1.88 %
70,147 70,282 13.29 %
Professional services
Helpware, Inc.First lien senior secured revolving loanS +5.75%10.59 %9/8/2026$5,061 $1,792 $1,800 0.34 %
Helpware, Inc.First lien senior secured term loanS +5.75%10.41 %9/8/202614,114 13,934 13,956 2.64 %
15,726 15,756 2.98 %
Software
Shasta Buyer, LLCFirst lien senior secured revolving loanS +6.25%11.09 %8/9/2028$2,199 $196 $199 0.04 %
Shasta Buyer, LLCFirst lien senior secured term loanS +6.25%11.09 %8/9/202811,663 11,436 11,462 2.17 %
11,632 11,661 2.21 %
The accompanying notes are an integral part of these consolidated financial statements.
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AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of December 31, 2022
(Amounts in thousands)
Company(1)(2)
Investment
Reference
Rate and Spread (5)
Interest
Rate
Maturity
Date
Principal/ Par Amount(3)
Amortized Cost(4)
Fair
Value
Percentage
of Net Assets
Specialty retail
Soccer Post Acquisition, LLCFirst lien senior secured delayed draw term loanS +5.75%10.91 %6/30/2027$1,520 $1,420 $1,422 0.27 %
Soccer Post Acquisition, LLCFirst lien senior secured revolving loanS +5.75%10.59 %6/30/20271,741 1,017 1,020 0.19 %
Soccer Post Acquisition, LLCFirst lien senior secured term loanS +5.75%10.59 %6/30/20277,590 7,465 7,480 1.41 %
9,902 9,922 1.87 %
Trading companies and distributors
Ascent Lifting, Inc. (6)First lien senior secured revolving loanS +6.50%10.17 %9/9/2027$1,350 $(25)$(23)0.00 %
Ascent Lifting, Inc.First lien senior secured term loanS +6.50%10.17 %9/9/20275,118 5,019 5,029 0.95 %
NEFCO Holding Company, LLCFirst lien senior secured delayed draw term loanS +6.50%9.87 %8/5/20282,631 2,611 2,585 0.49 %
NEFCO Holding Company, LLCFirst lien senior secured delayed draw term loanS +6.50%9.87 %8/5/20282,192 124 122 0.02 %
NEFCO Holding Company, LLC (6)First lien senior secured delayed draw term loanS +6.50%11.30 %8/5/20242,192 (40)(38)(0.01)%
NEFCO Holding Company, LLC (6)First lien senior secured revolving loanS +6.50%11.30 %8/5/20283,045 (57)(52)(0.01)%
NEFCO Holding Company, LLCFirst lien senior secured term loanS +6.50%11.30 %8/5/202814,469 14,186 14,222 2.69 %
21,818 21,845 4.13 %
Total non-controlled/non-affiliated senior secured debt$795,429 $797,019 150.70 %
Non-controlled/affiliated investments
Multisector holdings
Twin Brook Equity Holdings, LLC(9)(10)(11)Equity - 5.09% membership interest$27,234 $27,468 5.19 %
Total non-controlled/affiliated investments$27,234 $27,468 5.19 %
Total investments$822,663 $824,487 155.89 %
(1)Unless otherwise indicated, all investments are considered Level 3 investments. Under section 55(a) of the 1940 Act, we may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of our total assets. The status of these assets under the 1940 Act is subject to change. The Company monitors the status of these assets on an ongoing basis. As of December 31, 2022, there were no non-qualifying assets.
(2)Unless otherwise indicated, all investments represent co-investments made with the Company’s affiliates in accordance with the terms of the exemptive relief that the Company received from the U.S. Securities and Exchange Commission. Refer to Note 6 for further information.
(3)Principal/par amount is denominated in U.S. Dollars (“$”) unless otherwise noted.
(4)The amortized cost represents the original cost adjusted for the amortization of discounts and premiums, as applicable, on debt investments using the effective interest method.
(5)Unless otherwise indicated, the interest rate on the principal balance outstanding for all floating rate loans is indexed to the Term Secured Overnight Financing Rate (“Term SOFR” or “S”) and/or an alternate base rate (e.g. prime rate (“P”)), which typically resets semiannually, quarterly, or monthly at the borrower’s option. The applicable base rate may be subject to a floor. The borrower may also elect to have multiple interest reset periods for each loan. For each of these loans, the applicable margin has been provided over
The accompanying notes are an integral part of these consolidated financial statements.
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AG Twin Brook Capital Income Fund
Consolidated Schedule of Investments
As of December 31, 2022
(Amounts in thousands)
Term SOFR based on each respective credit agreement. As of December 31, 2022, the reference rates for the floating rate loans were the Term SOFR of 4.30% and the Prime Rate of 7.50%.
(6)Represents revolvers and delayed draw term loans where the entire balance is unfunded as of December 31, 2022. The negative fair value is a result of the commitment being valued below par. Refer to Note 7 for further information.
(7)Principal balance includes reserve for letter of credit of $265,760 on which the borrower pays 5.75%.
(8)Principal balance includes reserve for letter of credit of $155,534 on which the borrower pays 6.00%.
(9)As a practical expedient, the Company uses net asset value (“NAV”) to determine the fair value of this investment. Consistent with FASB guidance under ASC 820, these investments are excluded from the hierarchical levels. This represents an investment in an affiliated fund.
(10)Securities exempt from registration under the Securities Act of 1933 (the “Securities Act”), and may be deemed to be “restricted securities” under the Securities Act. As of December 31, 2022, the aggregate fair value of these securities is $27,468 or 5.19% of the Company's net assets.
(11)Non-income producing investment.
The accompanying notes are an integral part of these consolidated financial statements.
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited)
Note 1.  Organization

AG Twin Brook Capital Income Fund (“TCAP” or the “Company”) is a Delaware statutory trust which was formed on January 27, 2022 (date of inception). AGTB Fund Manager, LLC (the “Adviser”), a wholly-owned subsidiary of Angelo, Gordon & Co., L.P. (“Angelo Gordon”), a diversified credit and real estate investing platform within TPG Inc. (“TPG”) (Nasdaq: TPG), a leading global alternative investment firm, serves as the investment adviser of the Company. The Adviser is registered as an investment adviser with the U.S. Securities and Exchange Commission (the “SEC”) under the Investment Advisers Act of 1940. The Company has elected to be regulated as a business development company (“BDC”) under the Investment Company Act of 1940, as amended (“1940 Act”). The Company intends to elect to be treated for federal income tax purposes, and intends to qualify annually thereafter, as a regulated investment company (“RIC”) as defined under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”).

There were no operations other than those related to the Company’s organization and preparation for its public, ongoing offering prior to December 31, 2022. As of December 31, 2022, the Adviser contributed $50,000 of capital to the Company. In exchange for this contribution, the Adviser had received 2,000 Class I shares of the Company.

On December 15, 2022, the Company’s registration statement on Form N-2, registering the continuous offer and sale (the “Offering”) of up to $5 billion in the Company’s common shares of beneficial interest, was declared effective by the SEC.

The Company’s investment objective is to seek to generate attractive, consistent total returns, predominantly in the form of current income and, to a lesser extent, capital appreciation, by targeting investment opportunities with favorable risk-adjusted returns.

TPG Angelo Gordon

On November 1, 2023, TPG completed its previously announced acquisition of Angelo Gordon and its subsidiaries, including the Adviser and the Company’s administrator (the “TPG Transaction”).

In connection with the TPG Transaction, on November 1, 2023, the Company entered into an amended and restated investment management agreement (the “New A&R Investment Management Agreement”) with the Adviser. Under applicable law, the TPG Transaction resulted in an assignment and automatic termination of the amended and restated investment management agreement, dated September 6, 2023, between the Company and the Adviser (the “Prior Investment Management Agreement”). The New A&R Investment Management Agreement became effective upon closing of the TPG Transaction and the terms of the New A&R Investment Management Agreement are identical to the Prior Investment Management Agreement. The Company’s shareholders approved the New A&R Investment Management Agreement at a special meeting of shareholders of the Company held on September 26, 2023. The Company’s investment objective will remain unchanged as a result of the entry into the New A&R Investment Management Agreement.

The Merger with AGTB Private BDC

On January 1, 2023, the Company completed its merger (the “Merger”) with AGTB Private BDC (“Private BDC”), with TCAP continuing as the surviving company and Private BDC continuing as the accounting survivor. Therefore, all comparative consolidated financial statements prior to the Merger are those of the Private BDC.

Pursuant to the Merger Agreement, TCAP and Private BDC caused the Merger to be consummated by filing a certificate of merger (the “Certificate of Merger”) with the Secretary of State of the State of Delaware on December 30, 2022. The Merger became effective on January 1, 2023 (the “Effective Time”), as agreed to by the parties and specified in the Certificate of Merger. At the Effective Time, common shares of beneficial interest, par value $0.001 per share, of Private BDC outstanding immediately prior to the Effective Time were converted into a number of Class I shares of beneficial interest, par value $0.001 per share, of TCAP (the “TCAP Common Shares”) equal to a ratio of one to one. As a result, TCAP issued an aggregate of approximately 20.9 million TCAP Common Shares to former Private BDC shareholders. The TCAP Common Shares issued and outstanding immediately prior to the Effective Time remained outstanding upon the
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
Effective Time and were unaffected by the Merger. As a result, immediately following the Merger, TCAP had approximately 20,945,030 Class I shares outstanding, and no Class S or D shares outstanding.

The Merger with AG Twin Brook BDC, Inc.

On July 28, 2023, the Company completed its previously announced acquisition of AG Twin Brook BDC, Inc., a Delaware corporation (“AGTB” and, together with the Company, the “Parties”), via merger, with the Company continuing as the surviving company (the “Transaction”“AGTB Transaction”). The AGTB Transaction was completed pursuant to an Agreement and Plan of Merger (the “Merger Agreement”), dated May 19, 2023, by and between the Parties. Prior to the AGTB Transaction closing, AGTB was an affiliated business BDC managed by AG Twin Brook Manager, LLC, a wholly-owned subsidiary of Angelo Gordon. The Company is a public, non-exchange traded BDC, managed by AGTB Fund Manager, LLC, which is also a wholly-owned subsidiary of Angelo Gordon. The Company is the accounting survivor of the merger. For further information, see Note 10 “Merger with AG Twin Brook BDC, Inc.”
Note 2.  Significant Accounting Policies
Basis of Accounting
The Company’s consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”).  The Company is an investment company and accordingly
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification (“ASC”) Topic 946, Financial Services – Investment Companies. These consolidated financial statements reflect adjustments that in the opinion of management are necessary for the fair statement of the financial position and results of operations for the periods presented herein. On January 1, 2023, the Company completed the Merger with Private BDC and commenced operations as the surviving company, with its fiscal year end on December 31.
The interim consolidated financial statements have been prepared in accordance with U.S. GAAP for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Articles 6, 10 and 12 of Regulation S-X. Accordingly, certain disclosures accompanying the annual consolidated financial statements prepared in accordance with U.S. GAAP are omitted. In the opinion of management, all adjustments, consisting solely of normal recurring accruals considered necessary for the fair presentation of financial statements for the interim period presented, have been included. The current period’s results of operations will not necessarily be indicative of results that ultimately may be achieved for the fiscal year ending December 31, 2023.

Certain prior period information has been reclassified to conform to the current period presentation.
Principles of ConsolidationConsolidation
The Company conducts certain of its activities through its wholly-owned subsidiaries Twin Brook Capital Funding XXXIII, LLC, Twin Brook Equity XVIII Corp., Twin Brook Equity XXXIII Corp., Twin Brook Capital Funding XXXIII MSPV, LLC, and Twin Brook Capital Funding XXXIII ASPV, LLC. The Company consolidates wholly-owned subsidiaries that are controlled by the Company. All intercompany balances and transactions have been eliminated in consolidation.
Use of Estimates
The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the consolidated financial statements, and the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.
Cash
Cash is comprised of cash on deposit with major financial institutions. The Company places its cash with high credit quality institutions to minimize credit risk exposure.
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued

Restricted Cash
Restricted cash represents cash held through certain of the Company’s wholly-owned subsidiaries that may only be used to purchase additional collateral loans, pay accrued interest on advances, fund certain expenses, and prepay outstanding advances in connection with the Company’s asset facilities.
Investment Related Transactions, Revenue Recognition and Expenses
Investment transactions and the related revenue and expenses are recorded on a trade-date basis. Realized gains and losses on investment transactions are determined using the specific identification method. All costs associated with consummated investments are included in the cost of such investments. Broken deal expenses incurred in connection with investment transactions which are not successfully consummated are expensed as a component of “Other” expense on the consolidated statements of operations.
Interest income and interest expense are recognized on an accrual basis. Interest income on debt instruments is accrued and recognized for those issuers who are currently paying in full or expected to pay in full. For those issuers who are in default or expected to default, interest is not accrued and is only recognized when received. Interest income and expense include discounts accreted and premiums amortized on certain debt instruments as determined in good faith by the Company and calculated using the effective interest method. Loan origination fees, original issue discounts and market discounts or premiums are capitalized as part of the underlying cost of the investments and accreted or amortized over the life of the investment as interest income.
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
Upon prepayment of investments in debt instruments, any prepayment premiums, unamortized upfront loan origination fees and unamortized discounts are recorded as “Interest” income on the consolidated statements of operations. Interest received in-kind, computed at the contractual rate specified in each investment agreement, is added to the principal balance of the investment and reported as “Interest” income on the consolidated statements of operations. The Company records dividend income from private securities pursuant to the terms of the respective investments.
The Company may earn various fees during the life of the loans. Such fees include, but are not limited to, syndication, commitment, administration, prepayment and amendment fees, some of which are paid to the Company on an ongoing basis. These fees and any other income are recognized as earned as a component of "Other" income on the consolidated statement of operations.
Investments at Fair Value
The Company applies Financial Accounting Standards Board Accounting Standards Codification Topic 820, Fair Value Measurements (“ASC 820”), as amended, which establishes a framework for measuring fair value in accordance with U.S. GAAP and required disclosures of fair value measurements. ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date. In accordance with ASC 820, the Company discloses the fair value of its investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The hierarchy gives the highest priority to valuations based upon unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to valuations based upon unobservable inputs that are significant to the valuation (Level 3 measurements). ASC 820 establishes three levels of the fair value hierarchy as follows:
Level 1Inputs that reflect unadjusted quoted prices in active markets for identical assets or liabilities that the Company has the ability to access at the measurement date;
Level 2Inputs other than quoted prices that are observable for the asset or liability either directly or indirectly, including inputs in markets that are not considered to be active; and
Level 3Inputs that are unobservable.
Inputs are used in applying the various valuation techniques and broadly refer to the assumptions that market participants use to make valuation decisions, including assumptions about risk. Inputs may include price information, volatility statistics, interest rates, specific and broad credit data, liquidity statistics, and other factors. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input that is significant to the fair value measurement;
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Notes to Consolidated Financial Statements (Unaudited) - Continued
however, the determination of what constitutes “observable” requires significant judgment by the Company. The Company considers observable data to be market data which is readily available, regularly distributed or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively involved in the relevant market. The categorization of a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Company’s perceived risk of that instrument.
The availability of observable inputs can vary from product to product and is affected by a wide variety of factors, including for example, the type of product, whether the product is new and not yet established in the marketplace, the liquidity of markets and other characteristics particular to the transaction. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by the Company, the Board, and the Adviser in determining fair value is greatest for instruments categorized in Level 3. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy.
Investments in investment funds include vehicles structured for the purpose of investing in privately held common and preferred equity interests. Fair values are generally determined utilizing the net asset value (“NAV”) supplied by, or on behalf of, management of each investment fund, which is net of management and incentive fees or allocations charged by the investment fund, if applicable, and is in accordance with the “practical expedient”, as defined by FASB Accounting Standards Update (“ASU”) 2009-12, Investments in Certain Entities that Calculate NAV per Share. NAVs received by, or on behalf of, management of each investment fund are based on the fair value of the investment funds’ underlying investments in accordance with policies established by management of each investment fund, as described in each of their financial statements and offering memorandum. Withdrawals and distributions from investments in investment funds are at
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
the discretion of the Adviser and may depend on the liquidation of underlying assets. Investments which are valued using NAV as a practical expedient are excluded from the above hierarchy.

The Board has designated the Adviser as its “valuation designee” pursuant to Rule 2a-5 under the 1940 Act (“Rule 2a-5”), and in that role, the Adviser is responsible for performing fair value determinations relating to all of the Company’s investments, including periodically assessing and managing any material valuation risks and establishing and applying fair value methodologies, in accordance with valuation policies and procedures that have been approved by the Board. Even though the Board designated the Adviser as “valuation designee,” the Board is ultimately responsible for fair value determinations under the 1940 Act.
Under the valuation policies and procedures that have been approved by the Board, the Adviser conducts a multi-step valuation process, which includes, among other procedures, the following:
The valuation process begins with each investment being initially valued by using certain inputs provided by, among other inputs, the investment professionals responsible for the portfolio investment in conjunction with the portfolio management team.
The Adviser’s management reviews the preliminary valuations with the investment professionals.
The Adviser determines the fair value of each investment; valuations that are not based on readily available market quotations are valued in good faith, based on, among other things, the input of the Adviser and, where applicable, other third parties. Valuation determinations are presented to the Board.
When determining the fair value of Level 3 investments, the Adviser may take into account the following factors, where relevant: recent transactions, the enterprise value of the underlying company, the nature and realizable value of any collateral, the underlying company’s ability to make payments and its earnings and discounted cash flows, the markets in which the underlying company does business, financial covenants, the seniority of the financial instrument in the capital structure of the company, comparisons to publicly traded securities, and changes in the interest rate environment and the credit markets generally that may affect the price at which similar investments may be made and other relevant factors. The primary method for determining enterprise value uses a multiple analysis whereby appropriate multiples are applied to the portfolio company’s net income before net interest expense, income tax expense, depreciation and amortization (“EBITDA”). The enterprise value analysis is performed to determine the value of equity investments and to determine if debt investments are credit impaired. If debt investments are credit impaired, the Adviser will use the enterprise value analysis or a liquidation basis analysis to determine fair value. For debt investments that are not determined to be credit impaired, the Adviser uses a market interest rate yield analysis to determine fair value.
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
The Company’s investments trade infrequently and when they are traded, the price may be unobservable, and as a result, multiple external pricing sources may not be available. In such instances, the Adviser may use an internal pricing model as either a corroborating or sole data point in determining the price. Pricing models take into account the contractual terms of the financial instrument, as well as relevant inputs, including where applicable, equity prices, interest rate yield curves, credit curves, correlation, and the creditworthiness of the counterparty. The Adviser generally engages third party firm(s) to assist in validating certain financial instruments where multiple external prices cannot be obtained. The third party firm(s) either independently determine prices or assess the reasonableness of the Adviser’s prices. The analyses provided by such third party firm(s) are reviewed and considered by the Adviser. As part of the risk management process, the Adviser reviews and analyzes the prices obtained from external pricing sources to evaluate their reliability and accuracy, which includes identifying and excluding vendor prices and broker quotations that the Adviser believes does not reflect fair value. In addition, the Adviser’s valuation committee meets regularly and engages in ongoing reviews of the valuation processes and procedures including reviews of methodology, ongoing accuracy, source quality and independence. Such reviews include, but are not limited to, comparison of current vendor prices and broker quotations against ongoing daily trading activity, vendor due diligence, and back testing.
Fair value is a market-based measure considered from the perspective of a market participant rather than an entity-specific measure. Therefore, even when market assumptions are not readily available, the assumptions are set to reflect those that the Company believes market participants would use in pricing the asset or liability at the measurement date.
Foreign Currency Translation
Amounts denominated in foreign currencies are translated into USD on the following basis: (i) investments and other assets and liabilities denominated in foreign currencies are translated into USD based upon currency exchange rates effective on the last business day of the period; and (ii) purchases and sales of investments, borrowings and repayments of such borrowings, income, and expenses denominated in foreign currencies are translated into USD based upon currency exchange rates prevailing on the transaction dates.
The Company does not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included within net realized and unrealized gain (loss) on investments on the consolidated statements of operations. Unrealized gains and losses on foreign currency holdings and non-investment assets and liabilities attributable to the changes in foreign currency exchange rates are included in the net change in unrealized gain (loss) on foreign currency translation on the consolidated statements of operations. Net realized gains and losses on foreign currency holdings and non-investment assets and liabilities attributable to changes in foreign currency exchange rates are included in net realized gain (loss) on foreign currency transactions on the consolidated statements of operations.
Foreign security and currency translations may involve certain considerations and risks not typically associated with investing in U.S. companies and U.S. government securities. These risks include, but are not limited to, currency fluctuations and revaluations and future adverse political, social and economic developments, which could cause investments in foreign markets to be less liquid and prices more volatile than those of comparable U.S. companies or U.S. government securities.
Foreign Currency Forward Contracts
The Company may enter into foreign currency forward contracts to reduce the Company’s exposure to foreign currency exchange rate fluctuations in the value of foreign currencies. In a foreign currency forward contract, the Company agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. Forward foreign currency contracts are marked-to-market at the applicable forward rate. Unrealized gain (loss) on foreign currency forward contracts are recorded on the consolidated statements of assets and liabilities on a gross basis, not taking into account collateral posted which is recorded separately, if applicable. Notional amounts of foreign currency forward contract assets and liabilities are presented separately on the consolidated schedules of investments. Purchases and settlements of foreign currency forward contracts having the same settlement date and counterparty are generally settled net and any realized gains or losses are recognized on the settlement date.
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
The Company does not utilize hedge accounting and as such, the Company recognizes its derivatives at fair value with changes in the net unrealized gain (loss) on foreign currency forward contracts recorded on the consolidated statements of operations.
Organizational Costs
Organizational costs to establish the Company are charged to expense as incurred. These expenses consist primarily of legal fees and other costs of organizing the Company.
Offering Costs
Offering costs in connection with the offering of common shares of the Company are capitalized as a deferred charge and amortized to expense on a straight-line basis over a 12-month period. These expenses consist primarily of legal fees and other costs incurred with the Company’s share offerings, the preparation of the Company’s registration statement, and registration fees.
Deferred Financing Costs
Deferred financing costs consist of financing costs incurred in connection with obtaining the Company’s financing facilities.  Such financing costs are capitalized and amortized over the life of the facility utilizing the straight-line method.  For the three and sixnine months ended JuneSeptember 30, 2023, the Company paid approximately $150,000$73,000 and $223,000 of financing costs. For the three and sixnine months ended JuneSeptember 30, 2023, the Company amortized approximately $429,000$503,000 and $867,000$1,370,000 respectively of financing costs which have been included in “Interest” expense on the consolidated statements of operations. For the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022, the Company paid approximately $0 and $3.5 million respectively of financing costs. For the three months ended September 30, 2022 and for the period from January 27, 2022 (Inception) to September 30, 2022, the Company amortized approximately $252,000 and $297,000 respectively of financing costs of which $45,000 were amortized and have been included in “Interest” expense on the consolidated statements of operations.
Deferred Income
Deferred income consists of annual administrative agent fees received in connection with the servicing of certain loan investments. Such fees are deferred when received and recognized as earned over the applicable period.  For the three and sixnine months ended JuneSeptember 30, 2023, the Company received approximately $311,000$777,000 and $449,000$1,226,000 respectively of agent fees. During the three and sixnine months ended JuneSeptember 30, 2023, approximately $302,000$454,000 and $554,000$1,008,000 respectively of agent fees have been recognized as earned and included in “Other” income on the consolidated statements of operations. For the three months ended June 30, 2022 and for the period from January 27, 2022 (Inception) through June 30, 2022, the Company received approximately $119,000 of agent fees. During the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022, the Company received approximately $496,000 and $615,000 of agent fees respectively. During the three months ended September 30, 2022 and for the period from January 27, 2022 (Inception) to September 30, 2022, approximately $12,000$102,000 and $114,000 respectively of agent fees have been recognized as earned and included in “Other” income on the consolidated statements of operations.
Income Taxes
The Company has elected to be regulated as a BDC under the 1940 Act. The Company also intends to be treated as a RIC under Subchapter M of the Internal Revenue Code of 1986, as amended. As a RIC, the Company generally will not have to pay corporate-level U.S. federal income taxes on any ordinary income or capital gains that it distributes timely to its shareholders as dividends. To the extent the Company qualifies as a RIC, any tax liability related to income earned and distributed by the Company represents obligations of the Company’s investors and will not be reflected in the consolidated financial statements of the Company.
To qualify as a RIC, the Company must, among other things, meet certain source-of-income and asset diversification requirements. In addition, to qualify for RIC tax treatment, the Company must distribute to its shareholders, for each taxable year, at least 90% of its “investment company taxable income” for that year, which is generally its ordinary income plus the excess of its realized net short-term capital gains over its realized net long-term capital losses. The Company will generally be subject to a 4% non-deductible U.S. federal excise tax on certain undistributed income or gains in respect of
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
any calendar year, unless it distributes annually an amount at least equal to the sum of (i) 98% of its net ordinary income (taking into account certain deferrals and elections) for the calendar year, (ii) 98.2% of its capital gain net income (adjusted for certain ordinary losses) for the one-year period ending on October 31 in such calendar year and (iii) any net ordinary income and capital gain net income recognized, but not distributed, in preceding years. The Company, at its discretion, may carry forward taxable income for distribution in the following taxable year and pay the applicable U.S. federal excise tax. For the three and sixnine months ended JuneSeptember 30, 2023 the Company did not accrue U.S. federal excise tax.
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
The Company conducts certain of its activities through its wholly-owned subsidiary,subsidiaries, Twin Brook Equity XVIII Corp., and Twin Brook Equity XXXIII Corp., aboth of which are Delaware corporation. Twin Brook Equity XXXIII Corp. iscorporations. They are treated as a corporationcorporations for United States federal income tax purposes and isare subject to U.S. federal, state or local income tax. For the three and sixnine months ended JuneSeptember 30, 2023, the Company accrued $0 current federal tax. For the three and sixnine months ended JuneSeptember 30, 2023 the companyCompany accrued approximately $346,000$37,000 and $924,000$961,000 of deferred federal tax related to the corporations, which is included in “deferred federal tax provision” on the consolidated statements of operations. For the three months ended September 30, 2022 and for the period from January 27, 2022 (Inception) to September 30, 2022, the Company accrued $186,389 of U.S. federal tax expense related to Twin Brook Equity XXXIII Corp., which iswas included in “deferred tax provision”“Other” expense on the consolidated statementsstatement of operations.
The Company evaluates tax positions taken or expected to be taken in the course of preparing its financial statements to determine whether the tax positions are “more-likely-than-not” to be sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are reserved and recorded as a tax benefit or expense in the current year. All penalties and interest associated with income taxes are included in income tax expense. Conclusions regarding tax positions are subject to review and may be adjusted at a later date based on factors including, but not limited to, on-going analyses of tax laws, regulations and interpretations thereof. There were no tax penalties, and no interest associated with income taxes incurred through JuneSeptember 30, 2023.
Loan Syndications and Participations
The Company may originate certain loans and then syndicate all or a portion of those loans to a third party. For the three and sixnine months ended JuneSeptember 30, 2023, the Company earned approximately $29,000$21,000 and $705,000$726,000 respectively of syndication and other origination fee income, which is included in “Other” income on the consolidated statements of operations. For the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022, the Company earned approximately $406,000$1.8 million and $2.2 million respectively of syndication and other origination fee income, which is included in “Other” income on the consolidated statements of operations.
The Company follows the guidance in Accounting Standards Codification (“ASC”) Topic 860 Transfers and Servicing when accounting for loan participations and other partial loan sales. Such guidance requires a participation or other partial loan sale to meet the definition of a “participating interest,” as defined in the guidance, in order for sale treatment to be allowed. Participations or other partial loan sales that do not meet the definition of a participating interest remain on the consolidated statements of assets and liabilities and the proceeds are recorded as a secured borrowing until the definition is met. Secured borrowings are carried at fair value to correspond with the related investments, which are carried at fair value. There were no participations that were accounted for as secured borrowings during the period.
Distributions
Distributions to common shareholders are recorded on the record date. The amount to be distributed, if any, is determined by the Board each month. The Company intends to distribute net capital gains (i.e., net long-term capital gains in excess of net short-term capital losses), if any, at least annually out of the assets legally available for such distributions. However, the Company may decide in the future to retain such capital gains for investment, incur a corporate-level tax on such capital gains, and elect to treat such capital gains as deemed distributions to stockholders.shareholders.
Note 3.  Investments
Under the 1940 Act, the Company is required to separately identify non-controlled investments where it owns 5% or more of a portfolio company’s outstanding voting securities and/or had the power to exercise control over the management or policies of such portfolio company as investments in “affiliated” companies. In addition, under the 1940 Act, the Company is required to separately identify investments where it owns more than 25% of a portfolio company’s outstanding voting
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
securities and/or had the power to exercise control over the management or policies of such portfolio company as investments in “controlled” companies. Under the 1940 Act, "non-affiliated investments" are defined as investments that are neither controlled investments nor affiliated investments. Detailed information with respect to the Company’s non-controlled, non-affiliated; non-controlled, affiliated; and controlled affiliated investments is contained in the consolidated financial statements, including the consolidated schedules of investments. The information in the tables below is presented on an aggregate portfolio basis, without regard to whether they are non-controlled, non-affiliated; non-controlled, affiliated; or controlled affiliated investments.
Investments at fair value and amortized cost consisted of the following as of September 30, 2023 and December 31, 2022:
September 30, 2023December 31, 2022
(Amounts in thousands)Amortized CostFair ValueAmortized CostFair Value
First lien senior secured debt$1,163,375 $1,163,749 $795,429 $797,019 
Sponsor subordinated note12 12 — — 
Investment in affiliated funds44,263 48,615 27,234 27,468 
Total investments$1,207,650 $1,212,376 $822,663 $824,487 
24
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
Investments at fair value and amortized cost consisted of the following as of June 30, 2023 and December 31, 2022:
June 30, 2023December 31, 2022
(Amounts in thousands)Amortized CostFair ValueAmortized CostFair Value
First lien senior secured debt$943,989 $945,778 $795,429 $797,019 
Investment in affiliated funds34,165 38,564 27,234 27,468 
Total investments$978,154 $984,342 $822,663 $824,487 
The industry composition of investments based on fair value as of JuneSeptember 30, 2023 and December 31, 2022 was as follows:
June 30, 2023December 31, 2022September 30, 2023December 31, 2022
Aerospace and defenseAerospace and defense0.2 %— %
Air freight and logisticsAir freight and logistics2.0 %2.4 %Air freight and logistics1.7 %2.4 %
Auto componentsAuto components2.0 %0.9 %Auto components1.9 %0.9 %
ChemicalsChemicals0.4 %0.5 %Chemicals0.9 %0.5 %
Commercial services and suppliesCommercial services and supplies3.0 %2.2 %Commercial services and supplies3.4 %2.2 %
Construction and engineeringConstruction and engineering6.3 %6.2 %Construction and engineering5.4 %6.2 %
Containers and packagingContainers and packaging5.8 %6.9 %Containers and packaging5.8 %6.9 %
DistributorsDistributors0.1 %— %
Diversified consumer servicesDiversified consumer services6.8 %6.1 %Diversified consumer services7.2 %6.1 %
Electrical equipmentElectrical equipment1.0 %1.2 %Electrical equipment0.9 %1.2 %
Electronic equipment, instruments and componentsElectronic equipment, instruments and components1.3 %1.3 %Electronic equipment, instruments and components1.3 %1.3 %
Food and staples retailingFood and staples retailing1.9 %3.5 %Food and staples retailing2.0 %3.5 %
Food productsFood products4.1 %4.1 %Food products4.4 %4.1 %
Gas utilitiesGas utilities0.1 %— %
Health care equipment and suppliesHealth care equipment and supplies4.3 %4.1 %Health care equipment and supplies3.7 %4.1 %
Health care providers and servicesHealth care providers and services28.6 %26.4 %Health care providers and services27.1 %26.4 %
Health care technologyHealth care technology2.8 %3.0 %Health care technology2.6 %3.0 %
Household durablesHousehold durables7.0 %6.1 %Household durables6.1 %6.1 %
Industrial ConglomeratesIndustrial Conglomerates1.4 %— %Industrial Conglomerates1.2 %— %
Internet and direct marketing retailInternet and direct marketing retail0.3 %— %
IT servicesIT services0.8 %3.9 %IT services1.0 %3.9 %
Leisure equipment and productsLeisure equipment and products0.2 %— %
Leisure productsLeisure products0.1 %— %
Life sciences tools and servicesLife sciences tools and services0.1 %— %
MachineryMachinery1.9 %2.2 %Machinery1.8 %2.2 %
MediaMedia7.1 %8.5 %Media8.0 %8.5 %
Metals and miningMetals and mining0.2 %— %
Multisector holdingsMultisector holdings3.9 %3.3 %Multisector holdings4.0 %3.3 %
PharmaceuticalsPharmaceuticals0.1 %— %
Personal productsPersonal products0.2 %— %
Professional servicesProfessional services1.6 %1.9 %Professional services1.3 %1.9 %
Real estate management and developmentReal estate management and development0.2 %— %
Semiconductors and semiconductor equipmentSemiconductors and semiconductor equipment0.1 %— %
SoftwareSoftware1.2 %1.4 %Software1.4 %1.4 %
Specialty retailSpecialty retail0.9 %1.2 %Specialty retail1.1 %1.2 %
Trading companies and distributorsTrading companies and distributors3.9 %2.7 %Trading companies and distributors3.8 %2.7 %
Water utilitiesWater utilities0.1 %— %
TotalTotal100.0 %100.0 %Total100.0 %100.0 %
As of JuneSeptember 30, 2023, and December 31, 2022, 100%99.9% of investments held were based in the United States and 0.1% were based in Canada. All investments held as of December 31, 2022 were based in the United States.
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
Note 4.  Fair Value of Investments
Fair Value Disclosures
The following table presents the fair value hierarchy of financial instruments as of JuneSeptember 30, 2023 and December 31, 2022:
Assets at Fair Value as of June 30, 2023
(Amounts in thousands)Level 1Level 2Level 3Total
First lien senior secured debt$— $— $945,778 $945,778 
Total$— $— $945,778 $945,778 
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
Investments measured at net asset value(1)
$38,564 
Total financial instruments, at fair value$984,342 
Assets at Fair Value as of September 30, 2023
(Amounts in thousands)Level 1Level 2Level 3Total
First lien senior secured debt$— $— $1,163,749 $1,163,749 
Sponsor subordinated note— — 12 12 
Foreign currency forward contracts— — 
Total$— $$1,163,761 $1,163,770 
Investments measured at net asset value(1)
$48,615 
Total financial instruments, at fair value$1,212,385 
(1)Certain investments that are measured at fair value using NAV have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Consolidated Statements of Assets and Liabilities.

Assets at Fair Value as of December 31, 2022
(Amounts in thousands)Level 1Level 2Level 3Total
First lien senior secured debt$— $— $797,019 $797,019 
Total$— $— $797,019 $797,019 
Investments measured at net asset value(1)
$27,468 
Total financial instruments, at fair value$824,487 
(1)Certain investments that are measured at fair value using NAV have not been categorized in the fair value hierarchy. The fair value amounts presented in the table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Consolidated Statements of Assets and Liabilities.

The following table presents changes in the fair value of investments for which Level 3 inputs were used to determine the fair value for the three and sixnine months ended JuneSeptember 30, 2023 and for the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022:
Level 3 Assets at Fair Value for the Three Months Ended June 30, 2023*
(Amounts in thousands)Balance 4/1/2023Purchases and DrawdownsSales and PaydownsOther**Realized Gains/ (Losses)Change in Unrealized
Appreciation/(Depreciation)
Balance
6/30/2023
Change in
Unrealized
Appreciation/
(Depreciation)
for Level 3
Assets Still
Held as of
6/30/2023
First lien senior secured debt$851,253 $138,578 $(45,480)$1,398 $— $29 $945,778 $29 
Total$851,253 $138,578 $(45,480)$1,398 $— $29 $945,778 $29 
Level 3 Assets at Fair Value for the Six Months Ended June 30, 2023*
(Amounts in thousands)Balance 1/1/2023Purchases and DrawdownsSales and PaydownsOther**Realized Gains/ (Losses)Change in Unrealized
Appreciation/(Depreciation)
Balance
6/30/2023
Change in
Unrealized
Appreciation/
(Depreciation)
for Level 3
Assets Still
Held as of
6/30/2023
First lien senior secured debt$797,019 $246,821 $(100,847)$2,604 $(18)$199 $945,778 $199 
Total$797,019 $246,821 $(100,847)$2,604 $(18)$199 $945,778 $199 
Level 3 Assets at Fair Value for the Three Months Ended June 30, 2022*Level 3 Assets at Fair Value for the Three Months Ended September 30, 2023*
(Amounts in thousands)(Amounts in thousands)Balance 4/1/2022Purchases and DrawdownsSales and PaydownsOther**Realized Gains/ (Losses)Change in Unrealized
Appreciation/(Depreciation)
Balance
6/30/2022
Change in
Unrealized
Appreciation/
(Depreciation)
for Level 3
Assets Still
Held as of
6/30/2022
(Amounts in thousands)Balance 7/1/2023
Purchases and Drawdowns(1)
Sales and PaydownsOther**Realized Gains/ (Losses)Change in Unrealized
Appreciation/(Depreciation)
Balance
9/30/2023
Change in
Unrealized
Appreciation/
(Depreciation)
for Level 3
Assets Still
Held as of
9/30/2023
First lien senior secured debtFirst lien senior secured debt$— $83,747 $— $25 $— $(6)$83,766 $(6)First lien senior secured debt$945,778 $256,112 $(38,883)$2,154 $$(1,415)$1,163,749 $(1,415)
Sponsor subordinated noteSponsor subordinated note— 12 — — — — 12 — 
TotalTotal$— $83,747 $— $25 $— $(6)$83,766 $(6)Total$945,778 $256,124 $(38,883)$2,154 $$(1,415)$1,163,761 $(1,415)
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
Level 3 Assets at Fair Value for the period from January 27, 2022 (Inception) to
June 30, 2022*
Level 3 Assets at Fair Value for the Nine Months Ended September 30, 2023*
(Amounts in thousands)(Amounts in thousands)Balance 1/27/2022Purchases and DrawdownsSales and PaydownsOther**Realized Gains/ (Losses)Change in Unrealized
Appreciation/(Depreciation)
Balance
6/30/2022
Change in
Unrealized
Appreciation/
(Depreciation)
for Level 3
Assets Still
Held as of
6/30/2022
(Amounts in thousands)Balance 1/1/2023
Purchases and Drawdowns(1)
Sales and PaydownsOther**Realized Gains/ (Losses)Change in Unrealized
Appreciation/(Depreciation)
Balance
9/30/2023
Change in
Unrealized
Appreciation/
(Depreciation)
for Level 3
Assets Still
Held as of
9/30/2023
First lien senior secured debtFirst lien senior secured debt$— $83,747 $— $25 $— $(6)$83,766 $(6)First lien senior secured debt$797,019 $502,933 $(139,730)$4,758 $(15)$(1,216)$1,163,749 $(1,216)
Sponsor subordinated noteSponsor subordinated note— 12 — — — — 12 — 
TotalTotal$— $83,747 $— $25 $— $(6)$83,766 $(6)Total$797,019 $502,945 $(139,730)$4,758 $(15)$(1,216)$1,163,761 $(1,216)
Level 3 Assets at Fair Value for the Three Months Ended September 30, 2022*
(Amounts in thousands)Balance 7/1/2022Purchases and DrawdownsSales and PaydownsOther**Realized Gains/ (Losses)Change in Unrealized
Appreciation/(Depreciation)
Balance
9/30/2022
Change in
Unrealized
Appreciation/
(Depreciation)
for Level 3
Assets Still
Held as of
9/30/2022
First lien senior secured debt$83,766 $472,432 $(36,260)$519 $72 $301 $520,830 $301 
Total$83,766 $472,432 $(36,260)$519 $72 $301 $520,830 $301 
Level 3 Assets at Fair Value for the period from January 27, 2022 (Inception) to
September 30, 2022*
(Amounts in thousands)Balance 1/27/2022Purchases and DrawdownsSales and PaydownsOther**Realized Gains/ (Losses)Change in Unrealized
Appreciation/(Depreciation)
Balance
9/30/2022
Change in
Unrealized
Appreciation/
(Depreciation)
for Level 3
Assets Still
Held as of
9/30/2022
First lien senior secured debt$— $556,179 $(36,260)$544 $72 $295 $520,830 $295 
Total$— $556,179 $(36,260)$544 $72 $295 $520,830 $295 

*Gains and losses are included in their respective captions in the consolidated statements of operations.
**Includes accretion, paydown gains/(losses) and interest received in-kind on debt instruments, where applicable.
(1) The periods for the three and nine months ended September 30, 2023 include $186.3 million of investments acquired in connection with the AGTB Transaction.
Significant Unobservable Inputs
In accordance with ASC 820, the following tables provide quantitative information about the significant unobservable inputs of the Company’s Level 3 investments as of JuneSeptember 30, 2023 and December 31, 2022. The table is not intended to be all-inclusive but instead capture the significant unobservable inputs relevant to the Company’s determination of fair value.
Asset ClassFair Value
as of
6/30/23
Valuation
Techniques
Significant
Unobservable Inputs
Input Ranges
Weighted
Average (1)
Impact to Valuation
from an Increase
in Input
(Amounts in thousands)
First lien senior secured debt$862,686 Discounted cash flowYield10.3% - 13.3%11.3 %Decrease
$862,686 
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
Asset ClassFair Value
as of
9/30/23
Valuation
Techniques
Significant
Unobservable Inputs
Input Ranges
Weighted
Average (1)
Impact to Valuation
from an Increase
in Input
(Amounts in thousands)
First lien senior secured debt$1,116,707 Discounted cash flowYield10.8% - 25.1%12.0 %Decrease
2,365 Market comparableForward EBITDA multiple42.1x42.1xIncrease
Sponsor subordinated note12 Market comparableLTM EBITDA multiple7.6x7.6xIncrease
$1,119,084 
Asset ClassFair Value as of 12/31/22Valuation
Techniques
Significant
Unobservable Inputs
Input Ranges
Weighted
Average (1)
Impact to Valuation
from an Increase
in Input
(Amounts in thousands)
First lien senior secured debt$529,200 Discounted cash flowYield9.7% - 13.0%10.7 %Decrease
$529,200 
(1)Weighted average is calculated by weighing the significant unobservable input by the relative fair value of each investment in the category.
The Company’s other Level 3 investments have been valued primarily using recent transactions. The significant unobservable input used in the discounted cash flow is the yield. The yield is used to discount the estimated future cash flows expected to be received from the underlying investment. The Company considers the portfolio company performance since close, the leverage used by the portfolio company relative to its total enterprise value and other risks associated with an investment in determining the yield. Pricing models take into account the contractual terms of the financial instrument, as well as relevant inputs, including where applicable, equity prices, interest rate yield curves, credit curves, correlation, and the creditworthiness of the counterparty.
Note 5.  Debt
In accordance with the 1940 Act, the Company can borrow amounts such that its asset coverage, as defined in the 1940 Act, is at least 150% after such borrowings, subject to certain limitations.
The carrying values of borrowings outstanding under the debt facilities approximate fair value. As of September 30, 2023 and December 31, 2022, the asset coverage ratio was 227.5% and 263.6%, respectively.
For the three and nine months ended September 30, 2023 and three months ended September 30, 2022 and for the period from January 27, 2022 (Inception) to September 30, 2022 the components of interest expense were as follows:
(Amounts in thousands)Three Months Ended
September 30, 2023
Three Months Ended September 30, 2022Nine Months Ended September 30, 2023January 27, 2022 (Inception) to September 30, 2022
Interest expense$11,267 $1,763 $27,717 $1,822 
Amortization of deferred financing costs503 252 1,370 297 
Total interest expense$11,770 $2,015 $29,087 $2,119 
Average interest rate7.97 %4.72 %7.56 %4.72 %
Average daily borrowings$495,756 $126,133 $423,551 $47,009 
27
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
Credit Facilities

On June 17, 2022, Twin Brook Capital Funding XXXIII MSPV, LLC, as borrower (the “MSPV Borrower”), an indirect, wholly-owned subsidiary of the Company, entered into a new loan and servicing agreement (as amended, supplemented or otherwise modified from time to time, the “MSPV Credit Facility”) with Twin Brook Capital Funding XXXIII, LLC, as the transferor (the “Transferor”), AGTB Fund Manager, LLC, as the servicer, Morgan Stanley Asset Funding, Inc., as administrative agent, the lenders from time to time party thereto and The Bank of New York Mellon Trust Company, National Association, as the collateral agent, account bank and collateral custodian.
From time to time, the Transferor expects to sell and/or contribute certain investments to the MSPV Borrower. Proceeds from the MSPV Credit Facility will be used to finance the origination and acquisition of loans by the MSPV Borrower, including the purchase of such assets from the Transferor. The Company retains a residual interest in assets contributed to or acquired by the MSPV Borrower through its ownership of the MSPV Borrower. The MSPV Borrower is subject to meet certain covenants under the MSPV Credit Facility agreement. As of JuneSeptember 30, 2023 and December 31, 2022, the MSPV Borrower was in compliance with all such covenants.
The MSPV Credit Facility has a maximum principal amount of $500 million, subject to availability under a borrowing base which consists primarily of commercial loans acquired by the MSPV Borrower from the Transferor, a wholly-owned subsidiary of the Company. The MSPV Borrower may, subject to the applicable prepayment premium, prepay the loans and/or terminate or reduce the revolving commitments under the MSPV Credit Facility at any time without penalty. The obligation of the lenders to make revolving commitments under the MSPV Credit Facility will terminate on June 17, 2025 (the “Reinvestment Period”) with a scheduled final maturity date of June 17, 2027. The revolving loans are subject to an interest rate, during the Reinvestment Period, of Term SOFR plus 2.50% per annum and thereafter, Term SOFR plus 3.00% per annum.

On December 13, 2022, Twin Brook Capital Funding XXXIII ASPV, LLC, as borrower (the “ASPV Borrower”), an indirect, wholly-owned subsidiary of the Company, entered into a new Loan, Security and Collateral Management Agreement (as amended, supplemented or otherwise modified from time to time, the “ASPV Credit Facility”), with the Transferor, AGTB Fund Manager, LLC, as the collateral manager, Ally Bank, as administrative agent and arranger, Computershare Trust Company, National Association, as the collateral custodian, and the lenders from time to time party thereto. On September 19, 2023 the ASPV Credit Facility was amended to appoint Western Alliance Trust Company, N.A., as the successor collateral custodian, and Computershare Trust Company, N.A. resigned as collateral custodian.

From time to time, the Transferor expects to sell and/or contribute certain investments to the ASPV Borrower. Proceeds from the ASPV Credit Facility will be used to finance the origination and acquisition of loans by the ASPV Borrower, including the purchase of such assets from the Transferor. The Company retains a residual interest in assets contributed to or acquired by the ASPV Borrower through its ownership of the ASPV Borrower.

The ASPV Credit Facility created a revolving loan facility with an initial maximum principal amount of $300 million, subject to availability under a borrowing base which consists primarily of commercial loans acquired by the ASPV Borrower from the Transferor, a wholly-owned subsidiary of the Company. The ASPV Borrower may, subject to the applicable prepayment premium, prepay the loans and/or terminate or reduce the revolving commitments under the ASPV Credit Facility at any time without penalty. The obligation of the lenders to make revolving commitments under the ASPV Credit Facility will terminate on December 12, 2025 (the “Reinvestment Period”) with a scheduled final maturity date of December 12, 2027. The revolving loans will be subject to an interest rate of daily simple SOFR plus 2.875% per annum.

The ASPV Credit Facility is secured by all of the assets of the ASPV Borrower and a pledge of equity interests in the ASPV Borrower. The ASPV Borrower is subject to meet certain covenants under the ASPV Credit Facility agreement. As of JuneSeptember 30, 2023 and December 31, 2022, the ASPV Borrower was in compliance with all such covenants.

As of JuneSeptember 30, 2023, there are approximately $91.4$117.0 million in borrowings outstanding on the ASPV Credit Facility, and $331.8$351.8 million borrowings outstanding on the MSPV Credit Facility. Borrowings under the Company’s facilities are considered the Company’s borrowings for purposes of complying with the asset coverage requirements under the 1940 Act.

The carrying values of borrowings outstanding under the debtCredit facilities approximate fair value. As of June 30, 2023 and December 31, 2022, the asset coverage ratio was 241.0% and 263.6%, respectively. Debt obligations consisted of the following as of JuneSeptember 30, 2023:
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
As of June 30, 2023As of September 30, 2023
(Amounts in thousands)(Amounts in thousands)Maximum Principal Amount
Committed
Principal Amount Outstanding
Principal Amount Available(1)
Carrying Value
Assets Pledged as Collateral(2)
(Amounts in thousands)Maximum Principal Amount
Committed
Principal Amount Outstanding
Principal Amount Available(1)
Carrying Value
Assets Pledged as Collateral(2)
ASPV Credit FacilityASPV Credit Facility$300,000 $91,400 $44,073 $91,400 $229,779 ASPV Credit Facility$300,000 $117,000 $54,628 $117,000 $264,739 
MSPV Credit FacilityMSPV Credit Facility$500,000 $331,800 $92,215 $331,800 $664,825 MSPV Credit Facility$500,000 $351,800 $53,042 $351,800 $638,499 
Total debt$800,000 $423,200 $136,288 $423,200 $894,604 
Total credit facilitiesTotal credit facilities$800,000 $468,800 $107,670 $468,800 $903,238 
(1)The amount available reflects any limitations related to the facilities borrowing bases.
(2)Fair market value of the assets held as collateral in the respective credit facility.

Debt obligationsCredit facilities consisted of the following as of December 31, 2022:

As of December 31, 2022As of December 31, 2022
(Amounts in thousands)(Amounts in thousands)Maximum Principal Amount
Committed
Principal Amount Outstanding
Principal Amount Available(1)
Carrying Value
Assets Pledged as Collateral(2)
(Amounts in thousands)Maximum Principal Amount
Committed
Principal Amount Outstanding
Principal Amount Available(1)
Carrying Value
Assets Pledged as Collateral(2)
ASPV Credit FacilityASPV Credit Facility$300,000 $20,000 $311 $20,000 $62,932 ASPV Credit Facility$300,000 $20,000 $311 $20,000 $63,592 
MSPV Credit FacilityMSPV Credit Facility$500,000 $303,200 $130,417 $303,200 $677,575 MSPV Credit Facility$500,000 $303,200 $130,417 $303,200 $677,575 
Total debt$800,000 $323,200 $130,728 $323,200 $740,507 
Total credit facilitiesTotal credit facilities$800,000 $323,200 $130,728 $323,200 $741,167 
(1)The amount available reflects any limitations related to the facilities borrowing bases.
(2)Fair market value of the assets held as collateral in the respective credit facility.
ForShort-Term Debt

In order to finance certain investment transactions, the threeCompany may, from time to time, enter into financing agreements, whereby the Company transfers to a third party an investment that it holds in exchange for cash for a period of time, generally not to exceed 180-days from the date it was transferred (each a “Short Term Financing Transaction”). At the expiration of the agreement, the Company returns the cash and six months ended Juneinterest to the third party and receives the original investment transferred.

As of September 30, 2023 and December 31, 2022, respectively, the componentsCompany had $84.9 million and $0 million of borrowings under Short Term Financing Transactions with a third party. Certain of the Company’s investments serve as collateral for the Company’s obligations under the Short Term Financing Transactions and the carrying value of the pledged investments was $132.5 million and $0 million as of September 30, 2023 and December 31, 2022, respectively.

Short-term debt under Short Term Financing Transactions bore interest at an applicable margin of 8.95% as of September 30, 2023.

In accordance with ASC 860, Transfer and Servicing, the Short Term Financing Transactions meet the criteria for secured borrowings. Accordingly, the investment financed by these agreements remains on the Company’s Consolidated Statements of Assets and Liabilities as an asset, and the Company records a liability to reflect its obligation to a third party which is reported as debt on the Company’s Consolidated Statements of Assets and Liabilities. The obligation is secured by the respective investment that is the subject of the agreement. Interest expense were as follows:associated with the Short Term Financing Transactions is reported on the Company’s Consolidated Statements of Operations within Interest expense.
(Amounts in thousands)Three Months Ended
June 30, 2023
Three Months Ended
June 30, 2022
Six Months Ended
June 30, 2023
Period from January 27, 2022 (Inception) to June 30, 2022
Interest expense$9,196 $59 $16,450 $59 
Amortization of deferred financing costs429 45 867 45 
Total interest expense$9,625 $104 $17,317 $104 
Average interest rate7.46 %2.26 %7.30 %2.26 %
Average daily borrowings$414,790 $88 $386,850 $52 


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Note 6.  Agreements and Related Party Transactions
Administration Agreement
On October 25, 2022, the Company entered into an Administration Agreement (the “Administration“Original Administration Agreement”) with AGTB Fund Manager, LLC (the “Administrator”). Under the terms of the Original Administration Agreement, the Administrator performs, or oversees the performance of, required administrative services, which include providing office space, equipment and office services, maintaining financial records, preparing reports to shareholders and reports filed with the SEC, and managing the payment of expenses and the performance of administrative and professional services rendered by others.

On September 6, 2023, the Company entered into an amended and restated administration agreement (the “A&R Administration Agreement”) with the Administrator. The A&R Administration Agreement amended and restated the Original Administration Agreement in response to comments issued by certain state securities regulators in connection with their review of the Company’s continuous offering of Common Shares. The terms and conditions of the A&R Administration Agreement are unchanged from those of the Original Administration Agreement, under which the Administrator has provided administrative services to the Company since its inception, except to (i) remove overhead expenses (including rent, office equipment and utilities) from the description of costs and expenses of the Administrator that are to be borne by the Company and (ii) clarify certain types of costs and expenses related to the Company’s operations, administration and transactions that are to be borne by the Company.
The Company reimburses the Administrator for services performed for it pursuant to the terms of the A&R Administration Agreement. In addition, pursuant to the terms of the A&R Administration Agreement, the Administrator may delegate its obligations under the A&R Administration Agreement to an affiliate or to a third party and the Company will reimburse the Administrator for any services performed for it by such affiliate or third party.
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Unless earlier terminated as described below, the A&R Administration Agreement will remain in effect until October 25, 2024September 6, 2025 and from year to year thereafter if approved annually by the vote of the board of trustees of the Company (the “Board of Trustees”) and the vote of a majority of the Company’s independent trustees (the “Independent Trustees”). The A&R Administration Agreement may be terminated by either party without penalty upon not less than 60 days’ written notice to the other.
No person who is an officer, trustee, or employee of the Administrator or its affiliates and who serves as a trustee of the Company receives any compensation from the Company for his or her services as a trustee. However, the Company reimburses the Administrator (or its affiliates) for an allocable portion of the compensation paid by the Administrator or its affiliates to the Company’s officers who provide operational and administrative services, as well as their respective staffs and other professionals who provide services to the Company, who assist with the preparation, coordination and administration of the foregoing or provide other “back office” or “middle office”, financial or operational services to the Company (based on the percentage of time those individuals devote, on an estimated basis, to the business and affairs of the Company). Trustees who are not affiliated with the Administrator receive compensation for their services and reimbursement of expenses incurred to attend meetings.

For the three and sixnine months ended JuneSeptember 30, 2023, the Administrator charged approximately $321,000$383,000 and $1,072,000,$1.5 million, respectively, for certain costs and expenses allocable to the Company under the terms of the A&R Administration Agreement. For the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022, the Administrator charged approximately $255,000$240,000 and $495,000 for certain costs and expenses allocable to the Company under the terms of the A&R Administration Agreement.

Investment Management Agreement
On October 25, 2022, the Company entered into an Investment Management Agreement (the “Investment“Original Investment Management Agreement”) with the Adviser. Under the terms of the Original Investment Management Agreement, the Adviser is responsible for originating prospective investments, conducting research and due diligence investigations on potential investments, analyzing investment opportunities, negotiating and structuring the Company’s investments and monitoring the Company’s investments and portfolio companies on an ongoing basis.

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On September 6, 2023, the Company entered into an amended and restated investment management agreement (the “A&R Investment Management Agreement”) with its Adviser, in response to comments issued by certain state securities regulators in connection with their review of the Company’s continuous offering of Common Shares. The terms of the A&R Investment Management Agreement were unchanged from those of the Original Investment Management Agreement, except to (i) remove conditional language that sunsets certain provisions if the Company’s securities become “covered securities,” as defined in Section 18 of the Securities Act of 1933, as amended; (ii) remove overhead expenses (including rent, office equipment and utilities) from the costs and expenses of the Administrator that are to be borne by the Company; (iii) clarify certain types of costs and expenses related to the Company’s operations, administration and transactions that are to be borne by the Company; and (iv) clarify the Adviser’s indemnification standard is consistent with the NASAA Omnibus Guidelines.

In connection with the TPG Transaction closing on November 1, 2023, the Company entered into the New A&R Investment Management Agreement with its Adviser. Under applicable law, the TPG Transaction resulted in an assignment and automatic termination of the A&R Investment Management Agreement. The New A&R Investment Management Agreement became effective upon the closing of the TPG Transaction and the terms of the New A&R Investment Management Agreement are identical to the A&R Investment Management Agreement. On September 26, 2023, the Company’s shareholders approved the New A&R Investment Management Agreement.
Unless earlier terminated as described below, the New A&R Investment Management Agreement will remain in effect until October 25, 2024November 1, 2025 and from year to year thereafter if approved annually by the vote of the Board of Trustees of the Company or by the vote of a majority of the outstanding voting securities of the Company, and the vote of a majority of the Company’s Independent Trustees. The New A&R Investment Management Agreement will automatically terminate in the event of assignment. The New A&R Investment Management Agreement may be terminated by (1) the Company without penalty on 60 days’ written notice, (2) by the vote of a majority of the outstanding voting securities of the Company or by the vote of the Company’s trustees, or (3) the Adviser on 120 days’ written notice.
From time to time, the Adviser may pay amounts owed by the Company to third-party providers of goods or services, including the Board, and the Company will subsequently reimburse the Adviser for such amounts paid on its behalf. Amounts payable to the Adviser are settled in the normal course of business without formal payment terms.
The New A&R Investment Management Agreement also provides that the Company reimburses the Adviser for certain organizational costs incurred prior to the commencement of the Company’s operations, and for certain offering costs.

As of JuneSeptember 30, 2023 and December 31, 2022, the Company has approximately $1.4$2.4 million and $1.3 million, respectively, payable to the Adviser for organizational, offering and operating costs, which is included in “accrued expenses and other liabilities payable to affiliate” and “due to affiliate” on the statements of assets and liabilities.
Under the terms of the New A&R Investment Management Agreement, the Company will pay the Adviser a base management fee and may also pay to it certain incentive fees. The cost of both the base management fee and the incentive fee will ultimately be borne by the Company’s shareholders.
The base management fee is calculated at an annual rate of 1.25% of the Company’s net assets. For services rendered under the New A&R Investment Management Agreement, the base management fee is payable monthly in arrears. The base management fee is calculated based on the Company’s net assets at the first business day of the applicable month. For the
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first calendar month in which the Company has operations, net assets will be measured as the beginning net assets as of the date on which the Company begins operations. Base management fees for any partial month or quarter will be appropriately pro-rated.
For the three and sixnine months ended JuneSeptember 30, 2023, the Company accrued approximately $1.8$2.0 million and $3.4$5.4 million, respectively, of base management fees payable to the Adviser. For the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022, the Company accrued approximately $174,000$682,000 and $856,000 of base management fees payable to the Adviser. As of JuneSeptember 30, 2023 and December 31, 2022, base management fees payable by the Company to the Adviser were approximately $1.8$2.0 million and $1.4 million, respectively.
Pursuant to the New A&R Investment Management Agreement, the Adviser is entitled to an incentive fee (“Incentive Fee”), which consists of two components; an incentive fee based on income and an incentive fee based on capital gains.
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The portion based on the Company’s income is based on Pre-Incentive Fee Net Investment Income Returns. “Pre-Incentive Fee Net Investment Income Returns” means, as the context requires, either the dollar value of, or percentage rate of return on the value of the Company’s net assets at the end of the immediate preceding quarter from, interest income, dividend income and any other income (including any other fees, such as commitment, origination, structuring, diligence and consulting fees or other fees that the Company receives from portfolio companies) accrued during the calendar quarter, minus the Company’s operating expenses accrued for the quarter (including the management fee, expenses payable under the A&R Administration Agreement entered into between the Company and the Administrator, and any interest expense or fees on any credit facilities or outstanding debt and dividends paid on any issued and outstanding preferred shares, but excluding the incentive fee and any shareholder servicing and/or distribution fees).
Pre-Incentive Fee Net Investment Income Returns include, in the case of investments with a deferred interest feature (such as original issue discount (“OID”), debt instruments with payment-in-kind (“PIK”) interest and zero coupon securities), accrued income that the Company has not yet received in cash. Pre-Incentive Fee Net Investment Income Returns do not include any realized capital gains, realized capital losses or unrealized capital appreciation or depreciation. The impact of expense support payments and recoupments are also excluded from Pre-Incentive Fee Net Investment Income Returns.
Pre-Incentive Fee Net Investment Income Returns, expressed as a rate of return on the value of the Company’s net assets at the end of the immediate preceding quarter, is compared to a “hurdle rate” of return of 1.25% per quarter (5.0% annualized).
The Company will pay the Adviser an incentive fee quarterly in arrears with respect to the Company’s Pre-Incentive Fee Net Investment Income Returns in each calendar quarter as follows:
No incentive fee based on Pre-Incentive Fee Net Investment Income Returns in any calendar quarter in which the Company’s Pre-Incentive Fee Net Investment Income Returns do not exceed the hurdle rate of 1.25% per quarter (5.0% annualized) (the “hurdle rate” or “Hurdle”);
100% of the dollar amount of the Company’s Pre-Incentive Fee Net Investment Income Returns with respect to that portion of such Pre-Incentive Fee Net Investment Income Returns, if any, that exceeds the Hurdle but is less than a rate of return of 1.43% (5.72% annualized). The Company refers to this portion of its Pre-Incentive Fee Net Investment Income Returns (which exceeds the hurdle rate but is less than 1.43%) as the “catch-up.” The “catch-up” is meant to provide the Adviser with approximately 12.5% of the Company’s Pre-Incentive Fee Net Investment Income Returns as if a hurdle rate did not apply if this net investment income exceeds 1.43% in any calendar quarter; and 12.5% of the dollar amount of the Company’s Pre-Incentive Fee Net Investment Income Returns, if any, that exceed a rate of return of 1.43% (5.72% annualized). This reflects that once the Hurdle is reached and the catch-up is achieved, 12.5% of all Pre-Incentive Fee Net Investment Income Returns thereafter are allocated to the Adviser.
These calculations are pro-rated for any period of less than three months and adjusted for any share issuances or repurchases during the relevant quarter.
The second component of the incentive fee, the capital gains incentive fee, is payable at the end of each calendar year in arrears. The amount payable equals 12.5% of cumulative realized capital gains from inception through the end of such calendar year, computed net of all realized capital losses and unrealized capital depreciation on a cumulative basis, less the
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aggregate amount of any previously paid incentive fee on capital gains as calculated in accordance with GAAP. The Company will accrue, but will not pay, a capital gains incentive fee with respect to unrealized appreciation because a capital gains incentive fee would be owed to the Adviser if the Company were to sell the relevant investment and realize a capital gain.
For the three and sixnine months ended JuneSeptember 30, 2023, the Company accrued approximately $1.9$2.2 million and $3.6$5.8 million, respectively, of income incentive fees. The Company did not accrue income incentive fees forFor the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022.2022, the Company accrued approximately $0.6 million of income incentive fees. As of JuneSeptember 30, 2023 and December 31, 2022, the Company had approximately $1.9$2.2 million and $1.4 million of income incentive fees payable, respectively.
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As of JuneSeptember 30, 2023, the Company had approximately $0.8$0.6 million of accrued capital gains incentive fees, of which none were paid or payable to the Adviser, representing a decrease in accrued capital gains incentive fees of $0.2 million for the three months ended September 30, 2023, and an increase in accrued capital gains incentive fees of $0.2$0.4 million and $0.6 million, respectively, for the three and sixnine months ended JuneSeptember 30, 2023. As of December 31, 2022, the Company had approximately $0.2 million of capital gains incentive fees payable.



Expense Support and Conditional Reimbursement Agreement

The Company entered into an expense support and conditional reimbursement agreement (the “Expense Support Agreement”) with the Adviser on October 25, 2022. The Adviser may elect to pay certain expenses (each, an “Expense Payment”), provided that no portion of the payment will be used to pay any interest or distributions and/or shareholder servicing fees of the Company. Any Expense Payment that the Adviser has committed to pay must be paid by the Adviser to the Company in any combination of cash or other immediately available funds no later than forty-five days after such commitment was made in writing, and/or offset against amounts due from the Company to the Adviser or its affiliates.

Following any calendar month in which Available Operating Funds (as defined below) exceed the cumulative distributions accrued to the Company’s shareholders based on distributions declared with respect to record dates occurring in such calendar month (the amount of such excess being hereinafter referred to as “Excess Operating Funds”), the Company shall pay such Excess Operating Funds, or a portion thereof, to the Adviser until such time as all Expense Payments made by the Adviser to the Company within three years prior to the last business day of such calendar month have been reimbursed. Any payments required to be made by the Company shall be referred to herein as a “Reimbursement Payment”. “Available Operating Funds” means the sum of (i) net investment company taxable income (including net short-term capital gains reduced by net long-term capital losses), (ii) net capital gains (including the excess of net long-term capital gains over net short-term capital losses) and (iii) dividends and other distributions paid on account of investments in portfolio companies (to the extent such amounts listed in clause (iii) are not included under clauses (i) and (ii) above).

No Reimbursement Payment for any month will be made if: (1) the “Effective Rate of Distributions Per Share” (as defined below) declared by the Company at the time of such Reimbursement Payment is less than the Effective Rate of Distributions Per Share at the time the Expense Payment was made to which such Reimbursement Payment relates, or (2) the “Operating Expense Ratio” (as defined below) at the time of such Reimbursement Payment is greater than the Operating Expense Ratio at the time the Expense Payment was made to which such Reimbursement Payment relates. Pursuant to the Expense Support Agreement, “Effective Rate of Distributions Per Share” means the annualized rate (based on a 365 day year) of regular cash distributions per share exclusive of returns of capital, distribution rate reductions due to distribution and shareholder fees, and declared special dividends or special distributions, if any. The “Operating Expense Ratio” is calculated by dividing operating expenses, less organizational and offering expenses, base management and incentive fees owed to Adviser, and interest expense, by net assets.

The Company’s obligation to make a Reimbursement Payment shall automatically become a liability of the Company on the last business day of the applicable calendar month, except to the extent the Adviser has waived its right to receive such payment for the applicable month.

For the three and sixnine months ended JuneSeptember 30, 2023, no such Expense Payments were made by the Adviser. For the avoidance of doubt, pursuant to the Merger Agreement, the Expense Support Agreement terminated at the Effective Time of the Merger.
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Affiliated Transactions
The Company may be prohibited under the 1940 Act from participating in certain transactions with its affiliates without prior approval of the Company’s Independent Trustees, and in some cases, the prior approval of the SEC. The Company intends to rely on exemptive relief that has been granted by the SEC to the Company, the Adviser, and Angelo Gordon to permit the Company to co-invest with other funds managed by the Adviser or Angelo Gordon, in a manner consistent with the Company’s investment objective, positions, policies, strategies and restrictions as well as regulatory requirements and other pertinent factors.
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Pursuant to such exemptive relief, the Company is generally permitted to co-invest with certain of its affiliates if a “required majority” (as defined in Section 57(o) of the 1940 Act) of the Board make certain conclusions in connection with a co-investment transaction, including that (1) the terms of the transaction, including the consideration to be paid, are reasonable and fair to the Company and its shareholders and do not involve overreaching of the Company or its shareholders on the part of any person concerned, (2) the transaction is consistent with the interests of the Company’s shareholders and is consistent with its investment objective and strategies, and (3) the investment by its affiliates would not disadvantage the Company, and the Company’s participation would not be on a basis different from or less advantageous than that on which its affiliates are investing. In certain situations where co-investment with one or more funds managed by Angelo Gordon is not permitted or appropriate, Angelo Gordon will need to decide which funds will proceed with the investment. Angelo Gordon will make these determinations based on its policies and procedures, which are designed to reasonably ensure that investment opportunities are allocated fairly and equitably among affiliated funds over time and in a manner that is consistent with applicable laws, rules and regulations.
Investment in Affiliated Funds
The Company holds equity investments through its interest in the affiliated fund, Twin Brook Equity Holdings, LLC.funds, Twin Brook Equity Holdings, LLC wasand Twin Brook Segregated Holdings, LLC. These were created to hold equity interest that are purchased alongside the underlying portfolio companies’ debt.

Fair value as of JuneSeptember 30, 2023 and 2022 and transactions for the three and sixnine months ended JuneSeptember 30, 2023, and transactions for the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022, of the Company’s investments in affiliates were as follows:
Investment in Affiliated Funds at Fair Value for the Three Months Ended June 30, 2023Investment in Affiliated Funds at Fair Value for the Three Months Ended September 30, 2023
(Amounts in thousands)(Amounts in thousands)Fair Value as of April 1, 2023Gross AdditionsGross ReductionsNet Realized Gain (Loss)Net Change in Unrealized
Appreciation (Depreciation)
Fair Value as of
June 30, 2023
Dividend, Interest, PIK and Other
Income
(Amounts in thousands)Fair Value as of July 1, 2023Gross AdditionsGross ReductionsNet Realized Gain (Loss)Net Change in Unrealized
Appreciation (Depreciation)
Fair Value as of
September 30, 2023
Dividend, Interest, PIK and Other
Income
Non-controlled/affiliated investmentsNon-controlled/affiliated investmentsNon-controlled/affiliated investments
Twin Brook Equity Holdings, LLCTwin Brook Equity Holdings, LLC$33,380 $3,542 $(2)$— $1,644 $38,564 $— Twin Brook Equity Holdings, LLC$38,564 $10,091 $(17)$$(46)$48,597 $— 
Twin Brook Segregated Equity Holdings, LLCTwin Brook Segregated Equity Holdings, LLC— 19 — — (1)18 
Total non-controlled/affiliated investmentsTotal non-controlled/affiliated investments$33,380 $3,542 $(2)$— $1,644 $38,564 $— Total non-controlled/affiliated investments$38,564 $10,110 $(17)$$(47)$48,615 $— 

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Investment in Affiliated Funds at Fair Value for the Six Months Ended June 30, 2023Investment in Affiliated Funds at Fair Value for the Nine Months Ended September 30, 2023
(Amounts in thousands)(Amounts in thousands)Fair Value as of January 1, 2023Gross AdditionsGross ReductionsNet Realized Gain (Loss)Net Change in Unrealized
Appreciation (Depreciation)
Fair Value as of
June 30, 2023
Dividend, Interest, PIK and Other
Income
(Amounts in thousands)Fair Value as of January 1, 2023Gross AdditionsGross ReductionsNet Realized Gain (Loss)Net Change in Unrealized
Appreciation (Depreciation)
Fair Value as of
September 30, 2023
Dividend, Interest, PIK and Other
Income
Non-controlled/affiliated investmentsNon-controlled/affiliated investmentsNon-controlled/affiliated investments
Twin Brook Equity Holdings, LLCTwin Brook Equity Holdings, LLC$27,468 $6,933 $(2)$— $4,165 $38,564 $— Twin Brook Equity Holdings, LLC$27,468 $17,024 $(19)$$4,119 $48,597 $— 
Twin Brook Segregated Equity Holdings, LLCTwin Brook Segregated Equity Holdings, LLC— 19 — — (1)18 — 
Total non-controlled/affiliated investmentsTotal non-controlled/affiliated investments$27,468 $6,933 $(2)$— $4,165 $38,564 $— Total non-controlled/affiliated investments$27,468 $17,043 $(19)$$4,118 $48,615 $— 
Investment in Affiliated Funds at Fair Value for the Three Months Ended June 30, 2022Investment in Affiliated Funds at Fair Value for the Three Months Ended September 30, 2022
(Amounts in thousands)(Amounts in thousands)Fair Value as of April 1, 2022Gross AdditionsGross ReductionsNet Realized Gain (Loss)Net Change in Unrealized
Appreciation (Depreciation)
Fair Value as of
June 30, 2022
Dividend, Interest, PIK and Other
Income
(Amounts in thousands)Fair Value as of July 1, 2022Gross AdditionsGross ReductionsNet Realized Gain (Loss)Net Change in Unrealized
Appreciation (Depreciation)
Fair Value as of
September 30, 2022
Dividend, Interest, PIK and Other
Income
Non-controlled/affiliated investmentsNon-controlled/affiliated investmentsNon-controlled/affiliated investments
Twin Brook Equity Holdings, LLCTwin Brook Equity Holdings, LLC$— $2,248 $— $— $— $2,248 $— Twin Brook Equity Holdings, LLC$2,248 $15,537 $— $— $— $17,785 $— 
Total non-controlled/affiliated investmentsTotal non-controlled/affiliated investments$— $2,248 $— $— $— $2,248 $— Total non-controlled/affiliated investments$2,248 $15,537 $— $— $— $17,785 $— 
Investment in Affiliated Funds at Fair Value for the Period from January 27, 2022 (Inception) to June 30, 2022Investment in Affiliated Funds at Fair Value for the Period from January 27, 2022 (Inception) to September 30, 2022
(Amounts in thousands)(Amounts in thousands)Fair Value as of January 27, 2022 (Inception)Gross AdditionsGross ReductionsNet Realized Gain (Loss)Net Change in Unrealized
Appreciation (Depreciation)
Fair Value as of
June 30, 2022
Dividend, Interest, PIK and Other
Income
(Amounts in thousands)Fair Value as of January 27, 2022 (Inception)Gross AdditionsGross ReductionsNet Realized Gain (Loss)Net Change in Unrealized
Appreciation (Depreciation)
Fair Value as of
September 30, 2022
Dividend, Interest, PIK and Other
Income
Non-controlled/affiliated investmentsNon-controlled/affiliated investmentsNon-controlled/affiliated investments
Twin Brook Equity Holdings, LLCTwin Brook Equity Holdings, LLC$— $2,248 $— $— $— $2,248 $— Twin Brook Equity Holdings, LLC$— $17,785 $— $— $— $17,785 $— 
Total non-controlled/affiliated investmentsTotal non-controlled/affiliated investments$— $2,248 $— $— $— $2,248 $— Total non-controlled/affiliated investments$— $17,785 $— $— $— $17,785 $— 
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Note 7.  Derivatives
The Company may enter into foreign currency forward contracts from time to time to help mitigate the impact that an adverse change in foreign exchange rates would have on the value of the Company’s investments denominated in foreign currencies.
In order to better define its contractual rights and to secure rights that will help the Company mitigate its counterparty risk, the Company may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or a similar agreement with its derivative counterparties. An ISDA Master Agreement is a bilateral agreement between the Company and a counterparty that governs OTC derivatives, including foreign currency forward contracts, and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty. The Company minimizes counterparty credit risk by only entering into agreements with counterparties that it believes to be of good standing and by monitoring the financial stability of those counterparties.
For the three and nine months ended September 30, 2023, the Company’s monthly average USD notional exposure to foreign currency forward contracts was approximately $1,427,000 and $476,000, respectively.
The following table presents both gross and net information about derivative instruments eligible for offset in the consolidated statements of assets and liabilities as of September 30, 2023:
CounterpartyGross Amount of AssetsGross Amount of LiabilitiesNet Amount of Assets/(Liabilities)
Collateral Received/Pledged(1)
Net Amounts(2)
Wells Fargo Bank, National Association— $$— $
(1)Amount excludes excess cash collateral paid.
(2)Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual setoff rights under the agreement. Net amount excludes any over-collateralized amounts, if applicable.
The effect of transactions in derivative instruments on the consolidated statement of operations during the three and nine months ended September 30, 2023 was as follows:
Three Months Ended September 30, 2023Nine Months Ended September 30, 2023
Net change in unrealized gain (loss) on foreign currency forward contracts$$
There were no derivative transactions entered in to or outstanding for the period from January 27, 2022 (Inception) to September 30, 2022.
Note 8.  Commitments and Contingencies
Commitments
The Company’s investment portfolio contains debt investments that are in the form of revolving lines of credit and unfunded delayed draw commitments, which require the Company to provide funding when requested by portfolio companies in accordance with the terms of the underlying loan agreements.
Unfunded portfolio company commitments and funded debt investments are presented on the consolidated schedule of investments and are fair valued. Unrealized appreciation or depreciation, if any, is included in the consolidated statements of assets and liabilities and consolidated statements of operations.
As of June 30, 2023 and December 31, 2022, the Company had the following outstanding commitments to fund investments in current portfolio companies:
Portfolio CompanyJune 30, 2023December 31, 2022
First lien senior secured debt(Amounts in thousands)(Amounts in thousands)
 A.P.A. Industries, LLC$1,523 $— 
ACES Intermediate, LLC6,964 6,964 
ADVI Health, LLC1,062 1,062 
AHR Intermediate, Inc8,290 12,139 
ARC Healthcare Technologies, LLC— 9,947 
Ascent Lifting, Inc.1,834 1,345 
Beghou Consulting, LLC2,654 — 
Benefit Plan Administrators of Eau Claire, LLC7,263 8,990 
BPCP EE Intermedco LLC3,387 — 
BPCP WLF Intermedco LLC7,876 7,876 
Bulk Lift International, LLC1,748 1,748 
Change Academy at Lake of the Ozarks, LLC4,436 5,786 
CL Services Acquisition, LLC4,852 — 
CPS Power Buyer, LLC2,049 4,705 
Custom Agronomics Holdings, LLC2,312 2,312 
Double E Company, LLC3,694 4,314 
Endodontic Practice Partners, LLC5,301 6,696 
Esquire Deposition Solutions, LLC2,923 6,007 
Flourish Research Acquisition, LLC2,991 — 
H2 Holdco, Inc.9,549 — 
Helpware, Inc.3,205 3,205 
Hultec Buyer, LLC3,442 — 
Icreon Holdings, LLC1,049 1,049 
Industrial Air Flow Dynamics, Inc.2,537 2,114 
IPC Pain Acquistion, LLC2,188 11,945 
Ironhorse Purchaser, LLC2,132 11,624 
ITSavvy LLC1,969 4,784 
K-1 Packaging Group, LLC.6,748 6,748 
Kwalu, LLC5,061 5,061 
Load One Purchaser Corporation9,214 9,214 
MacKenzie Childs Acquisition, Inc.450 445 
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Notes to Consolidated Financial Statements (Unaudited) - Continued
Portfolio CompanyJune 30, 2023December 31, 2022
Medical Technology Associates, Inc.1,929 1,929 
MWEC Management, LLC3,192 — 
Nasco Healthcare Inc.2,492 3,322 
NEFCO Holding Company, LLC3,551 7,270 
NH Kronos Buyer, Inc.12,443 12,443 
Optimized Marketing Acquisition, LLC2,199 1,861 
Propio LS, LLC3,040 905 
Purpose Home Health Acquisition, LLC8,600 8,600 
QLS Buyer, Inc1,591 — 
Raneys, LLC5,022 1,522 
Renovation Systems, LLC3,076 — 
RKD Group, LLC4,905 4,905 
Rose Paving, LLC2,562 2,006 
Shasta Buyer, LLC1,911 1,962 
Sixarp, LLC6,912 6,912 
Soccer Post Acquisition, LLC1,608 772 
Spear Education Holdings, LLC4,463 4,463 
Sun Orchard, LLC5,223 4,875 
Surplus Solutions, LLC1,771 1,771 
Treat Planet Acquisition, LLC1,965 — 
Universal Pure, LLC5,380 12,228 
US Foot and Ankle Specialists, LLC8,664 12,467 
WCI Volt Purchaser, LLC2,249 2,249 
WTWH Buyer, LLC1,638 1,638 
Yard-Nique, Inc6,500 6,695 
Zipline Logistics, LLC6,214 6,214 
Total unfunded portfolio company commitments$227,803 $243,089 
As of September 30, 2023 and December 31, 2022, the Company had the following outstanding commitments to fund investments in current portfolio companies:
Portfolio CompanySeptember 30, 2023December 31, 2022
First lien senior secured debt(Amounts in thousands)(Amounts in thousands)
626 Holdings Equity, LLC$129 $— 
A.P.A Industries, LLC1,523 $— 
ACES Intermediate, LLC6,403 6,964 
Advanced Lighting Acquisition, LLC324 — 
ADVI Health, LLC1,062 1,062 
AEP Passion Intermediate Holdings, Inc.30 — 
AFC Industries, Inc.126 — 
Affinitiv, Inc.248 — 
Agility Intermediate, Inc.53 — 
AHR Intermediate, Inc7,072 12,139 
ARC Healthcare Technologies, LLC— 9,947 
Alliance Environmental Group, LLC28 — 
ALM Media, LLC971 — 
Altamira Material Solutions, LP45 — 
AM Buyer, LLC79 — 
Answer Acquisition, LLC18 — 
Apex Dental Partners, LLC122 — 
Aptitude Health Holdings, LLC267 — 
Aquatic Sales Solutions, LLC89 — 
ASC Ortho Management, LLC57 — 
Ascent Lifting, Inc.2,500 1,345 
ASP Global Acquisition, LLC485 — 
AvCarb, LLC38 — 
Banner Buyer, LLC370 — 
Barkley, LLC2,300 — 
BBG Intermediate Holdings, Inc.62 — 
BCI Burke Holding Corp.185 — 
Beacon Oral Specialists Management LLC188 — 
Beghou Consulting, LLC2,714 — 
Behavior Frontiers, LLC38 — 
Benefit Plan Administrators of Eau Claire, LLC7,443 8,990 
Bio Agri Mix Holdings Inc.85 — 
BPCP EE Intermedco LLC3,387 — 
BPCP WLF Intermedco LLC7,876 7,876 
Brightview, LLC96 — 
Bulk Lift International, LLC1,801 1,748 
Canadian Orthodontic Partners Corp.23 — 
CCG Acquisition, Inc.19 — 
Champion Motorsports Group, LLC56 — 
Change Academy at Lake of the Ozarks, LLC2,556 5,786 
CL Services Acquisition, LLC4,976 — 
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Notes to Consolidated Financial Statements (Unaudited) - Continued
Portfolio CompanySeptember 30, 2023December 31, 2022
Community Care Partners, LLC31 — 
Copperweld Group, Inc.339 — 
Cosmetic Solutions, LLC344 — 
CPS HVAC Group, LLC143 — 
CPS Power Buyer, LLC2,049 4,705 
CR Services Intermediate, LLC225 — 
Custom Agronomics Holdings, LLC2,357 2,312 
DealerOn Inc.314 — 
Dermatology Medical Partners OpCo, LLC26 — 
Diamondback Buyer, LLC45 — 
DNS IMI Acquisition Corp121 — 
Domino Equipment Company, LLC79 — 
Double E Company, LLC3,664 4,314 
Dykstra's Auto, LLC182 — 
Edko Acquisition, LLC38 — 
EH Management Company, LLC26 — 
Empire Equipment Company, LLC408 — 
EMSAR Acquisition LLC13 — 
Endodontic Practice Partners, LLC5,415 6,696 
Engelman Baking Co., LLC186 — 
E-Phoenix Acquisition Co. Inc.75 — 
Esquire Deposition Solutions, LLC5,735 6,007 
Exclusive Concepts, LLC23 — 
Flourish Research Acquisition, LLC1,247 — 
Formulated Buyer, LLC249 — 
Franchise Fastlane, LLC15 — 
FreshAddress, LLC30 — 
Geriatric Medical and Surgical Supply, LLC248 — 
Gold Medal Holdings, Inc.— 
Golden Bear PT Partners, LLC22 — 
Green Monster Acquisition, LLC11 — 
Guardian Dentistry Practice Management, LLC— 
H2 Holdco, Inc.9,789 — 
Helpware, Inc.3,205 3,205 
Highland Acquisition, Inc.30 — 
HLSG Intermediate, LLC40 — 
Home Brands Group Holdings, Inc.48 — 
Hultec Buyer, LLC3,915 — 
Hydromax USA, LLC228 — 
Icelandirect, LLC— 
Icreon Holdings, LLC1,071 1,049 
IMA Group Management Company, LLC209 — 
Industrial Air Flow Dynamics, Inc.2,537 2,114 
Infolinks Media Buyco, LLC53 — 
Innovative FlexPak, LLC31 — 
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
Portfolio CompanySeptember 30, 2023December 31, 2022
IPC Pain Acquisition, LLC2,240 11,945 
Ironhorse Purchaser, LLC2,132 11,624 
ISSA, LLC105 — 
ITSavvy LLC2,012 4,784 
Johns Byrne LLC3,527 — 
Juniper Landscaping Holdings LLC22 — 
K-1 Packaging Group, LLC.6,748 6,748 
Kalkomey Enterprises, LLC66 — 
Kwalu, LLC5,061 5,061 
Leonard Group, Inc.234 — 
Load One Purchaser Corporation9,609 9,214 
MacKenzie Childs Acquisition, Inc.450 445 
MacNeill Pride Group Corp.332 — 
Mad Rose Company, LLC— 
Main Street Gourmet, LLC662 — 
Mattco Forge, Inc.506 — 
Medical Technology Associates, Inc.1,966 1,929 
MetaSource, LLC94 — 
Millennia Patient Services, LLC67 — 
Montway LLC150 — 
MRC Keeler Acquisition, LLC150 — 
MWEC Management, LLC2,967 — 
Nasco Healthcare Inc.2,658 3,322 
NEFCO Holding Company, LLC3,855 7,270 
Nelson Name Plate Company90 — 
Network Partners Acquisition, LLC150 — 
NH Kronos Buyer, Inc.12,705 12,443 
Nimlok Company, LLC320 — 
NutriScience Innovations, LLC131 — 
Optimized Marketing Acquisition, LLC1,861 1,861 
P and R Dental Strategies, LLC23 — 
Peak Dental Services, LLC38 — 
Peak Investment Holdings, LLC404 — 
Pentec Acquisition Corp.75 — 
PHGP MB Purchaser, Inc.130 — 
Pink Lily Holdings, LLC63 — 
PPW Acquisition, LLC28 — 
PRA Acquisition, LLC56 — 
Propio LS, LLC— 905 
Purpose Home Health Acquisition, LLC8,788 8,600 
Qin's Buffalo, LLC113 — 
QLS Buyer, Inc1,629 — 
Raneys, LLC5,059 1,522 
Reliable Medical Supply LLC57 — 
Renovation Systems, LLC1,474 — 
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Portfolio CompanySeptember 30, 2023December 31, 2022
Revival Animal Health, LLC86 — 
RKD Group, LLC3,924 4,905 
Rose Paving, LLC1,746 2,006 
RQM Buyer, Inc.161 — 
RTP Acquisition, LLC26 — 
Sage Dental Management, LLC30 — 
SAMGI Buyer, Inc.138 — 
SASE Company, LLC15 — 
SCA Buyer, LLC13 — 
SCP Beverage Buyer, LLC38 — 
SCP ENT and Allergy Services, LLC174 — 
Shasta Buyer, LLC2,081 1,962 
ShiftKey, LLC110 — 
Signature Dental Partners LLC30 — 
Silver Falls MSO, LLC95 — 
SimiTree Acquisition LLC186 — 
SIMKO Merger Sub, LLC6,820 — 
Sixarp, LLC6,912 6,912 
Soccer Post Acquisition, LLC1,856 772 
Southeast Primary Care Partners, LLC36 — 
Southern Orthodontic Partners Management, LLC171 — 
Southern Sports Medicine Partners, LLC35 — 
Spear Education Holdings, LLC4,463 4,463 
Spectrum Solutions, LLC267 — 
Starwest Botanicals Acquisition, LLC47 — 
Stax Holding Company, LLC60 — 
Steel City Wash, LLC— 
Storm Smart Buyer LLC105 — 
Sun Orchard, LLC5,336 4,875 
Surplus Solutions, LLC1,771 1,771 
Teel Plastics, LLC324 — 
The Channel Company, LLC— 
Trademark Global, LLC32 — 
Treat Planet Acquisition, LLC1,965 — 
Triad Technologies, LLC332 — 
TSR Concrete Coatings, LLC1,534 — 
United Land Services Opco Parent, LLC289 — 
Universal Pure, LLC5,139 12,228 
US Foot and Ankle Specialists, LLC3,219 12,467 
USALCO, LLC55 — 
Vanguard Packaging, LLC410 — 
Varsity DuvaSawko Operating Corp.537 — 
Varsity Rejuvenate Partners, LLC767 — 
Vehicle Accessories, Inc.38 — 
Vital Care Buyer, LLC580 — 
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Notes to Consolidated Financial Statements (Unaudited) - Continued
Portfolio CompanySeptember 30, 2023December 31, 2022
WCI Volt Purchaser, LLC2,249 2,249 
Western Veterinary Partners, LLC24 — 
Westminster Cracker Company, Inc.1,534 — 
WTWH Buyer, LLC1,638 1,638 
Yard-Nique, Inc6,515 6,695 
Zipline Logistics, LLC6,214 6,214 
Total unfunded portfolio company commitments$249,629 $243,089 
Other Commitments and Contingencies
From time to time, the Company may become a party to certain legal proceedings during the normal course of business. As of JuneSeptember 30, 2023, management was not aware of any material pending or threatened litigation.
Note 8.9.  Net Assets
Equity Issuances
At the Effective Time of the Merger, common shares of beneficial interest, par value $0.001 per share, of Private BDC outstanding immediately prior to the Effective Time were converted into a number of Class I shares of beneficial interest, par value $0.001 per share, of TCAP (the “TCAP Common Shares”) equal to a ratio of one to one. As a result, TCAP issued an aggregate of approximately 20.9 million TCAP Common Shares to former Private BDC shareholders. The TCAP Common Shares issued and outstanding immediately prior to the Effective Time remained outstanding upon the Effective Time and were unaffected by the Merger. As a result, immediately following the Merger, TCAP had approximately 20,945,030 Class I shares outstanding, and no Class S or D shares outstanding.

As of JuneSeptember 30, 2023, the Company had 23,183,42827,361,108 shares issued and outstanding with a par value of $0.001 per share.
The following tables summarize transactions in common shares during the three and nine months ended September 30, 2023 (excluding the shares issued in connection with the Merger):
Three Months Ended September 30, 2023
SharesAmount in Thousands
Class I:
Proceeds from shares sold4,149,208$106,863 
Distributions reinvested28,472734 
Net increase (decrease)4,177,680$107,597 
Nine Months Ended September 30, 2023
SharesAmount in Thousands
Class I:
Proceeds from shares sold6,376,443$164,003 
Distributions reinvested39,6351,017
Net increase (decrease)6,416,078$165,020 
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The following tables summarize transactions in common shares during the three and six months ended June 30, 2023 (excluding the shares issued in connection with the Merger):
Three Months Ended June 30, 2023
SharesAmount in Thousands
Class I:
Proceeds from shares sold1,921,844$49,325 
Distributions reinvested11,162284 
Net increase (decrease)1,933,006$49,609 
Six Months Ended June 30, 2023
SharesAmount in Thousands
Class I:
Proceeds from shares sold2,227,236$57,140 
Distributions reinvested11,162284
Net increase (decrease)2,238,398$57,424 
The following tables summarize transactions in common shares during the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022 (excluding the shares issued in connection with the Merger):


Three Months Ended June 30, 2022Three Months Ended September 30, 2022
SharesAmount in ThousandsSharesAmount in Thousands
Class I:Class I:Class I:
Proceeds from shares soldProceeds from shares sold6,999,940$174,998 Proceeds from shares sold5,012,698$126,000 
Net increase (decrease)Net increase (decrease)6,999,940$174,998 Net increase (decrease)5,012,698$126,000 

For the period from January 27, 2022 (Inception) to June 30, 2022For the period from January 27, 2022 (Inception) to September 30, 2022
SharesAmount in ThousandsSharesAmount in Thousands
Class I:Class I:Class I:
Proceeds from shares soldProceeds from shares sold7,000,000$175,000 Proceeds from shares sold12,012,698$301,000 
Net increase (decrease)Net increase (decrease)7,000,000$175,000 Net increase (decrease)12,012,698$301,000 

Dividends
The following table reflects dividends declared on common shares during the sixnine months ended JuneSeptember 30, 2023.

For the Six Months Ended June 30, 2023
Class I
Date DeclaredRecord DatePayment DateDividend per ShareAmount in Thousands
March 27, 2023March 31, 2023April 28, 2023$0.18 $3,825 
April 26, 2023April 28, 2023May 31, 2023$0.18 $4,019 
May 25, 2023May 31, 2023June 30, 2023$0.18 $4,103 
June 27, 2023June 30, 2023July 28, 2023$0.18 $4,173 
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For the Nine Months Ended September 30, 2023
Class I
Date DeclaredRecord DatePayment DateDividend per ShareAmount in Thousands
March 27, 2023March 31, 2023April 28, 2023$0.18 $3,825 
April 26, 2023April 28, 2023May 31, 2023$0.18 $4,019 
May 25, 2023May 31, 2023June 30, 2023$0.18 $4,103 
June 27, 2023June 30, 2023July 28, 2023$0.18 $4,173 
July 25, 2023July 28, 2023August 31, 2023$0.18 $4,234 
August 28, 2023August 31, 2023September 30, 2023$0.19 $5,117 
September 26, 2023September 30, 2023October 31, 2023$0.20 $5,473 
There were no dividends declared for the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022.

Distribution Reinvestment Plan

The Company has adopted a distribution reinvestment plan, pursuant to which it reinvests all cash dividends declared by the Board on behalf of its shareholders who do not elect to receive their dividends in cash. As a result, if the Board authorizes, and the Company declares, a cash dividend or other distribution, then shareholders who have not opted out of our Company’s distribution reinvestment plan will have their cash distributions automatically reinvested in additional shares as described below, rather than receiving the cash dividend or other distribution. Distributions on fractional shares will be credited to each participating shareholder’s account to three decimal places.

Share Repurchase Plan

The Company has implemented a share repurchase program under which, at the discretion of the Board, the Company may repurchase, in each quarter, up to 5% of the NAV of the Company’s Common Shares outstanding (either by number of shares or aggregate NAV) as of the close of the previous calendar quarter. For the avoidance of doubt, such target amount is assessed each calendar quarter. The Board may amend or suspend the share repurchase program at any time (including to offer to purchase fewer shares) if in its reasonable judgment it deems such action to be in the best interest of shareholders,
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such as when a repurchase offer would place an undue burden on the Company’s liquidity, adversely affect the Company’s operations or risk having an adverse impact on the Company that would outweigh the benefit of the repurchase offer. As a result, share repurchases may not be available each quarter, or may only be available in an amount less than 5% of our Common Shares outstanding.

The Company intends to conduct such repurchase offers in accordance with the requirements of Rule 13e-4 promulgated under the Securities Exchange Act of 1934, as amended, and the 1940 Act. All shares purchased pursuant to the terms of each tender offer will be retired and thereafter will be authorized and unissued shares.

Under the share repurchase plan, to the extent the Company offers to repurchase shares in any particular quarter, it is expected to repurchase shares pursuant to tender offers using a purchase price equal to the NAV per share as of the last calendar day of the applicable quarter, except that shares that have not been outstanding for at least one year will be repurchased at 98% of such NAV (an “Early Repurchase Deduction”). The one-year holding period is measured as of the subscription closing date immediately following the prospective repurchase date. The Early Repurchase Deduction may be waived in the case of repurchase requests arising from the death, divorce or qualified disability of the holder; in the event that a shareholder’s shares are repurchased because the shareholder has failed to maintain the $500 minimum account balance; due to trade or operational error; and repurchases of shares submitted by discretionary model portfolio management programs (and similar arrangements) as approved by the Company. The Early Repurchase Deduction will be retained by the Company for the benefit of remaining shareholders.

During the three and sixnine months ended JuneSeptember 30, 2023, no shares were repurchased.

Character of Distributions
The Company may fund its cash distributions to shareholders from any source of funds available to the Company, including but not limited to offering proceeds, net investment income from operations, capital gains proceeds from the sale of assets, dividends or other distributions paid to it on account of preferred and common equity investments in portfolio companies and expense support from the Adviser, which is subject to recoupment.

Sources of distributions, other than net investment income and realized gains on a U.S. GAAP basis, include required adjustments to U.S. GAAP net investment income in the current period to determine taxable income available for distributions. The following tables presenttable presents the sources of cash distributions on a U.S. GAAP basis that the Company has declared on its sharesCommon Shares during the nine months ended September 30, 2023:
Class I
Source of DistributionPer ShareAmounts
(in thousands)
Net investment income$1.29 $30,944 
Net realized gains— — 
Total$1.29 $30,944 

Note 10.  Merger with AG Twin Brook BDC, Inc.

On July 28, 2023, the Company completed its previously announced acquisition of AGTB via merger, with the Company continuing as the surviving company. As of the effective time, each share of AGTB’s common stock, duringpar value $0.001 per share, outstanding immediately prior to the six months ended June 30, 2023:effective time was converted into the right to receive $20.00 per share in cash, without interest (the “Per Share Consideration”), subject to any applicable withholding taxes. The Company paid cash consideration in connection with the AGTB Transaction of approximately $193 million and had transaction costs of approximately $0.8 million. The Company acquired $186 million of investments at amortized cost and fair value, with $7 million in other assets net of other liabilities.

The AGTB Transaction was accounted for as an asset acquisition of AGTB by the Company in accordance with the asset acquisition method of accounting as detailed in ASC 805-50, Business Combinations-Related Issues, with the fair value of total consideration paid and transaction costs allocated to the assets acquired and liabilities assumed based on their relative fair values as of the date of the AGTB Transaction. Generally, under asset acquisition accounting, acquiring assets in
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Class I
Source of DistributionPer ShareAmounts
(in thousands)
Net investment income$0.72 $16,120 
Net realized gains— — 
Total$0.72 $16,120 
groups not only requires ascertaining the cost of the asset (or net assets), but also allocating that cost to the individual assets (or individual assets and liabilities) that make up the group. The cost of the group of assets acquired in an asset acquisition is allocated to the individual assets acquired or liabilities assumed based on their relative fair values of net identifiable assets acquired other than certain “non-qualifying” assets (for example cash) and does not give rise to goodwill.

Immediately following the AGTB Transaction, the investments were marked to their respective fair values and, as a result, the purchase premium (transaction costs) allocated to the cost basis of the investments acquired was immediately recognized as unrealized depreciation in the Consolidated Statements of Operations. The purchase premium allocated to the loan investments acquired will amortize over the life of each respective loan as an offset to interest income with a corresponding adjustment recorded as unrealized appreciation on such loans acquired through their ultimate disposition. The purchase premium allocated to equity investments acquired will not amortize over the life of such investments through interest income and, assuming no subsequent change to the fair value of the equity investments acquired and disposition of such equity investments at fair value, the Company will recognize a realized loss with a corresponding reversal of the unrealized depreciation on disposition of such equity investments acquired.

Note 9.  Earnings Per Share
The following table sets forthsummarizes the computationallocation of basicthe purchase price to the assets acquired and diluted earnings (loss) per common shareliabilities assumed as a result of the AGTB Transaction:

Amounts (in thousands)
Total purchase price:$194,199
Assets acquired:
Investments, at fair value (amortized cost of $185,876)186,264 
Cash15,567 
Accrued interest receivable2,396 
Other assets(1)
2,164 
Total assets acquired206,391 
Liabilities assumed:
Distribution payable9,726 
Other liabilities3,216 
Total liabilities assumed12,942 
Net assets acquired$193,449
Total purchase premium (transaction costs)$750
(1)Other assets include a $2 million waiver receivable from the Advisor for the three and six months ended June 30, 2023 and for the three months ended June 30, 2022 and for the period from January 27, 2022 (Inception) to June 30, 2022:
(Amounts in thousands, except share and per share amounts)Three Months
Ended
June 30, 2023
Six Months
Ended
June 30, 2023
Three Months
Ended
June 30, 2022
Period from January 27, 2022 (Inception) to June 30, 2022
Net increase (decrease) in net assets resulting from operations$14,034 $26,670 $(205)$(525)
Weighted average shares of common stock outstanding - basic and diluted22,724,70621,890,4012,241,7851,533,872
Earnings (loss) per common share - basic and diluted$0.62 $1.22 $(0.09)$(0.34)
operating expenses.
Note 10.11.  Income Taxes
Taxable income generally differs from net increase (decrease) in net assets resulting from operations due to temporary and permanent differences in the recognition of income and expenses, and generally excludes net unrealized gains or losses, as unrealized gains or losses are generally not included in taxable income until they are realized.
The Company makes certain adjustments to the classification of net assets as a result of permanent book-to-tax differences, which include differences in the book and tax basis of certain assets and liabilities, and nondeductible federal taxes or losses among other items. To the extent these differences are permanent, they are charged or credited to additional paid in capital or total distributable earnings (losses), as appropriate. There were $1,186,000$770,700 and $2,552,000$3,322,700 of permanent differences for the three and sixnine months ended JuneSeptember 30, 2023.2023, respectively.
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Note 11.12.  Financial Highlights
The following are financial highlights for a common share outstanding for the sixnine months ended JuneSeptember 30, 2023 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022.
(Amounts in thousands, except share and per share amounts)(Amounts in thousands, except share and per share amounts)Six Months Ended June 30, 2023Period from January 27, 2022 (Inception) to June 30, 2022(Amounts in thousands, except share and per share amounts)Nine Months Ended
September 30, 2023
Period from January 27, 2022 (Inception) to September 30, 2022
Per share data:Per share data:Per share data:
Net asset value, beginning of periodNet asset value, beginning of period$25.25$25.00Net asset value, beginning of period$25.25$25.00
Net investment income (loss)(1)
Net investment income (loss)(1)
1.02(0.34)
Net investment income (loss)(1)
1.720.84
Net realized and unrealized gain (loss)(2)
Net realized and unrealized gain (loss)(2)
0.200.27
Net realized and unrealized gain (loss)(2)
0.12(0.43)
Total from operationsTotal from operations1.22(0.07)Total from operations1.840.41
Dividends declaredDividends declared(0.72)0.00Dividends declared(1.29)
Total increase (decrease) in net assetsTotal increase (decrease) in net assets0.50(0.07)Total increase (decrease) in net assets0.550.41
Net asset value, end of periodNet asset value, end of period$25.75$24.93Net asset value, end of period$25.80$25.41
Shares outstanding, end of periodShares outstanding, end of period23,183,428 7,000,000 Shares outstanding, end of period27,361,108 12,012,698 
Total return(3)(4)
Total return(3)(4)
4.9%(0.3)%
Total return(3)(4)
7.4%1.6%
Ratios / supplemental dataRatios / supplemental dataRatios / supplemental data
Ratio of total expenses to average net assets(4)(5)(6)
Ratio of total expenses to average net assets(4)(5)(6)
5.6%1.2%
Ratio of total expenses to average net assets(4)(5)(6)
8.3%3.3%
Ratio of total net operating expenses less interest and tax expense to average net assets(4)(5)(7)
0.6%0.5%
Ratio of total net operating expenses to average net assets(4)(5)(7)
Ratio of total net operating expenses to average net assets(4)(5)(7)
0.8%0.9%
Ratio of net investment income (loss) before taxes to average net assets(4)(5)(8)
Ratio of net investment income (loss) before taxes to average net assets(4)(5)(8)
4.2%(0.5)%
Ratio of net investment income (loss) before taxes to average net assets(4)(5)(8)
7.0%2.2%
Ratio of net investment income (loss) after taxes to average net assets(4)(5)(9)
Ratio of net investment income (loss) after taxes to average net assets(4)(5)(9)
4.0%(0.5)%
Ratio of net investment income (loss) after taxes to average net assets(4)(5)(9)
6.8%2.2%
Net assets, end of periodNet assets, end of period$596,869$174,475Net assets, end of period$705,916$305,200
Weighted average shares outstandingWeighted average shares outstanding21,890,4011,533,872Weighted average shares outstanding23,231,4674,578,943
Portfolio turnover rate(10)
Portfolio turnover rate(10)
11.2%0.0%
Portfolio turnover rate(10)
13.7%6.7%
Asset coverage ratio(11)
Asset coverage ratio(11)
241.0%17,547.5%
Asset coverage ratio(11)
227.5%199.4%
(1)The per share data was derived using the weighted average shares outstanding during the period.
(2)The amount shown at this caption includes the balancing amount derived from other figures in the schedule. The amount shown does not correspond with the aggregate amount for the period due to the effect of the timing of capital transactions.
(3)Total return is calculated as the change in net asset value ("NAV")NAV per share during the period, assuming dividends and distributions, if any, are reinvested in accordance with the Company’s distribution reinvestment plan, divided by the opening NAV per share. Total return does not include upfront transaction fee, if any.
(4)Not annualized.
(5)Average net assets are computed using the average balance of net assets at the end of each month of the reporting period.
(6)Ratio of nettotal expenses to average net assets is computed using total expenses net of waivers from the Administrator, if applicable. Included in total expenses are incentive fees of 1.0% and 1.4%, respectively, as a percent of average net assets for the nine months ended September 30, 2023 and for the period from January 27, 2022 (Inception) to September 30, 2022.
(7)Ratio of net operating expenses less interest and taxes to average net assets is computed using total operating expenses net of interest expense, tax expense, organizational expense, offering expense, management fees, incentive fees, and waivers from the Administrator, if applicable.
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
(8)Ratio of net investment income (loss) before taxes to average net assets does not include applicable tax expenses that are not attributable to the BDCCompany itself but are taxes to a consolidated subsidiary to the fundCompany and thus shown on the Consolidated Statements of Operations
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AG Twin Brook Capital Income Fund
Notes to Consolidated Financial Statements (Unaudited) - Continued
(9)Ratio of net investment income (loss) after taxes to average net assets includes applicable tax expenses that are not attributable to the BDCCompany itself, but are taxes to a consolidated subsidiary to the fundCompany and thus shown on the Consolidated Statements of Operations.
(10)Portfolio turnover rate is calculated using the lesser of total sales or total purchases over the average of the investments at fair value for the periods reported.
(11)Asset coverage ratio is equal to (i) the sum of (A) net assets at the end of the period and (B) total debt outstanding at the end of the period, divided by (ii) total debt outstanding at the end of the period.



Note 12.13.  Subsequent Events
The Company’s management evaluated subsequent events through the date of issuance of these consolidated financial statements. There have been no subsequent events that occurred that would require disclosure in, or would be required to be recognized in, these consolidated financial statements, except as discussed below:

Subsequent Subscriptions and Dividend Declarations

The Company received approximately $8.7$28 million of net proceeds, inclusive of distributions reinvested through the Company’s distribution reinvestment plan, relating to the issuance of Class I shares for subscriptions effective July 1,October 2, 2023 and $0.5 million of net proceeds relating to the issuance of Class S shares for subscriptions effective October 2, 2023. Additionally, the Company received approximately $79.7$32.4 million of net proceeds relating to the issuance of Class I shares for subscriptions effective AugustNovember 1, 2023 and $12.2 million of net proceeds relating to the issuance of Class S shares for subscriptions effective November 1, 2023. The issuance price for AugustNovember share issuances is not yet finalized at the date of this filing.

The Adviser has voluntarily agreed to pay up to 0.60% of the shareholder servicing and/or distribution fee for a one-year period beginning October 1, 2023, on Class S shares sold.

On July 27,October 31, 2023, the Company’s Board declared net distributions of $0.18$0.22 and $0.215 per Class I share and Class S share, respectively, payable on August 31,November 30, 2023 to shareholders of record as of JulyOctober 31, 2023.

The Merger with AG Twin Brook BDC, Inc.

On July 28, 2023, the Company completed its previously announced acquisition of AG Twin Brook BDC, Inc., a Delaware corporation (“AGTB” and, together with the Company, the “Parties”), with the Company continuing as the surviving company (the “Transaction”). The Transaction was completed pursuant to the Merger Agreement, dated May 19, 2023, by and between the Parties. Prior to the Transaction closing, AGTB was an affiliated BDC managed by AG Twin Brook Manager, LLC, a wholly-owned subsidiary of Angelo Gordon The Company is a public, non-exchange traded BDC, managed by AGTB Fund Manager, LLC, which is also a wholly-owned subsidiary of Angelo Gordon. The Company is the accounting survivor of the Transaction.

As of the effective time, each share of AGTB’s common stock, par value $0.001 per share, outstanding immediately prior to the effective time was converted into the right to receive $20 per share in cash, without interest (the “Per Share Consideration”), subject to any applicable withholding taxes. The Company paid cash consideration in connection with the Transaction of approximately $193 million and had transaction costs of approximately $0.8 million. The Company acquired $186 million of investments at amortized cost and fair value, with $7 million in other assets net of other liabilities.

The Transaction will be accounted for as an asset acquisition of AGTB by the Company in accordance with the asset acquisition method of accounting as detailed in ASC 805-50, Business Combinations-Related Issues, with the fair value of total consideration paid in conjunction with the Transaction allocated to the assets acquired and liabilities assumed based on their relative fair values as of the date of the Transaction. Generally, under asset acquisition accounting, acquiring assets in groups not only requires ascertaining the cost of the asset (or net assets), but also allocating that cost to the individual assets (or individual assets and liabilities) that make up the group. The cost of the group of assets acquired in an asset acquisition is allocated to the individual assets acquired or liabilities assumed based on their relative fair values of net identifiable assets acquired other than certain “non-qualifying” assets (for example cash) and does not give rise to goodwill.

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Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.
In this quarterly report on Form 10-Q, or this "report," we refer to AG Twin Brook Capital Income Fund and its consolidated subsidiaries as "we," "us," the "Company," "TCAP," or "our," unless we specifically state otherwise or the context indicates otherwise. We refer to our investment Adviser, AGTB Fund Manager, LLC, as our "Adviser," and we refer to the direct parent company of our Adviser, Angelo, Gordon & Co., L.P., as "Angelo Gordon." The Adviser serves as the Company’s Administrator and may also be referred to herein as "Administrator". On January 1, 2023, we completed the Merger with AGTB Private BDC, which we refer to as the “Private BDC” and commenced operations as the surviving company. Since the Private BDC is the Company’s accounting predecessor, the following section contains information on the results of operations and financial condition of the Private BDC as of December 31, 2022, and for the period from January 27, 2022 (date of inception) through December 31,September 30, 2022.
Forward-Looking Statements
The information contained in this section should be read in conjunction with “Item 1. Financial Statements.” This discussion contains forward-looking statements, which relate to future events our future performance or financial condition and involves numerous risks and uncertainties, including, but not limited to, those set forth in "Risk Factors" in Part I, Item 1A of our annual report on Form 10-K for the year ended December 31, 2022 and Part II, Item 1A of and elsewhere in this Form 10-Q. Actual results could differ materially from those implied or expressed in any forward-looking statements.

These forward-looking statements are not historical facts, but rather are based on current expectations, estimates and projections about TCAP, our current and prospective portfolio investments, our industry, our beliefs and opinions, and our assumptions. Words such as “anticipates,” “expects,” “intends,” “plans,” “will,” “may,” “continue,” “believes,” “seeks,” “estimates,” “would,” “could,” “should,” “targets,” “projects,” “outlook,” “potential,” “predicts” and variations of these words and similar expressions are intended to identify forward-looking statements. These statements are not guarantees of future performance and are subject to risks, uncertainties and other factors, some of which are beyond our control and difficult to predict and could cause actual results to differ materially from those expressed or forecasted in the forward-looking statements.

Although we believe that the assumptions on which these forward-looking statements are based are reasonable, any of those assumptions could prove to be inaccurate, and as a result, the forward-looking statements based on those assumptions also could be inaccurate. In light of these and other uncertainties, the inclusion of a projection or forward-looking statements in this report should not be regarded as a representation by us that our plans and objectives will be achieved. These risks and uncertainties include those described or identified in the section entitled “Item 1A. Risk Factors” and elsewhere in this report. These forward-looking statements apply only as of the date of this report. Moreover, we assume no duty and do not undertake to update the forward-looking statements, except as required by applicable law. You are advised to consult any additional disclosures that we make directly to you or through reports that we have filed or in the future file with the U.S. Securities and Exchange Commission (the “SEC”) including annual reports on Form 10-K, registration statements on Form N-2, quarterly reports on Form 10-Q and current reports on Form 8-K. This quarterly report on 10-Q contains statistics and other data that have been obtained from or compiled from information made available by third-party service providers. We have not independently verified such statistics or data. Because we are an investment company, the forward-looking statements and projections contained in this report are excluded from the safe harbor protection provided by Section 21E of the U.S. Securities Exchange Act of 1934 Act, as amended (the “1934 Act”).
Overview
We are an externally managed, non-diversified closed-end management investment company that has elected to be treated as a BDC under the Investment Company Act of 1940, as amended (the “1940 Act”). Formed as a Delaware statutory trust on January 27, 2022, we are externally managed by the Adviser, a wholly-owned subsidiary of Angelo Gordon.Gordon, a diversified credit and real estate investing platform within TPG Inc. (“TPG”) (Nasdaq: TPG), a leading global alternative investment firm. Our Adviser is registered as an investment adviser with the SEC. We also intend to elect to be treated, and intend to qualify annually thereafter, as a RIC under the Code.
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On November 1, 2023, TPG completed the previously announced acquisition of Angelo Gordon pursuant to which Angelo Gordon, including our Adviser (which also serves as our Administrator), became indirect subsidiaries of TPG. In connection with the closing of the TPG Transaction, on November 1, 2023, the Company entered into an amended and restated investment management agreement (our “New A&R Investment Management Agreement”) with the Adviser. Under applicable law, the TPG Transaction resulted in an assignment and automatic termination of the prior investment management agreement (the “Prior Investment Management Agreement”). Our shareholders approved the New A&R Investment Management Agreement at a special meeting of our shareholders held on September 26, 2023. All material terms in the New A&R Investment Management Agreement are unchanged from the Prior Investment Management Agreement.

Pursuant to our New A&R Investment Management Agreement, subject to the overall supervision of our board of trustees (the “Board”), our Adviser manages our day-to-day operations, and provides investment advisory and management services to us. Our Adviser is responsible for originating prospective investments, conducting research and due diligence investigations on potential investments, analyzing investment opportunities, negotiating and structuring our investments, and monitoring our investments and portfolio companies on an ongoing basis.

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Under our New A&R Investment Management Agreement, we have agreed to pay the Adviser an annual management fee as well as an incentive fee based on our investment performance. Also, under the A&R Administration Agreement, we have agreed to reimburse the Administrator for the allocable portion of overhead and other expenses incurred by the Administrator in performing its obligations under the A&R Administration Agreement, including our allocable portion of the costs of compensation and related expenses of our chief compliance officer, chief financial officer, general counsel and their respective staffs.

On May 15, 2023, Angelo Gordon announced that it and certain of its affiliated entities entered into a transaction agreement with TPG Inc. (“TPG”) and certain of its affiliated entities pursuant to which TPG has agreed to acquire Angelo Gordon on the terms and subject to the conditions set forth in the transaction agreement (the “TPG Transaction”). Following the TPG Transaction, Angelo Gordon and the Adviser (which also serves as our Administrator) will be indirect subsidiaries of TPG. Our investment strategy and team remains unchanged, and the TPG Transaction is not expected to have a material impact on our operations.

The TPG Transaction is expected to close in the fourth quarter of 2023, subject to customary closing conditions, including Hart-Scott-Rodino Act filings, international regulatory approvals, and other client and third-party consents. The closing of the TPG Transaction will result in a change of control of the Adviser under the 1940 Act, which will further result in the assignment of our current Investment Management Agreement (“Current Agreement”) under the 1940 Act and the immediate termination of the Current Agreement. Since the Current Agreement will terminate upon completion of the TPG Transaction, our shareholders will be asked to approve a new investment management agreement between us and the Adviser (“New Agreement”) at an upcoming special shareholder meeting. The New Agreement will replace the Current Agreement upon the consummation of the TPG Transaction. All material terms in the New Agreement will remain unchanged from the Current Agreement, and the New Agreement, if approved by our shareholders, will become effective upon the closing of the TPG Transaction.
As a BDC, we must invest at least 70% of our assets in “eligible portfolio companies,” generally, U.S. private operating companies (or small U.S. public operating companies with a market capitalization of less than $250 million). As a BDC, we may also invest up to 30% of our portfolio in non-eligible portfolio company investments, such as investments in non-U.S. companies, which may include investments in a “passive foreign investment company” (a “PFIC”). Because we have elected to be regulated as a BDC, and we intend to continue to qualify as a RIC under the Code, our portfolio will also be subject to the diversification and other requirements under the Code.
Investments
We invest principally in privately originated senior secured loans to U.S. middle market companies, which we believe have consistent capital needs and have not only been underserved in recent years by traditional providers of capital such as banks and the public debt markets, but also for a variety of reasons may prefer working with experienced non-bank lenders. Our origination strategy focuses on the middle market private equity community. This financing is utilized for a variety of purposes, including to fund organic growth, acquisitions, recapitalizations, management buyouts and leveraged buyouts for companies with revenue generally under $500 million. In describing our business, we generally use the term “middle market” to refer to companies with EBITDA of between $3 million and $50 million annually; however, we typically invest in companies with EBITDA of less than $25 million. Notwithstanding the foregoing, the Adviser may determine whether companies qualify as “middle market” in its sole discretion, and we may from time to time invest in larger or smaller companies.

By investing predominantly in senior secured debt, we expect to reduce our risk of principal loss and deliver more stable returns over time as compared with investments in bonds, unsecured loans, mezzanine investments and public, private and project equity. However, we may also invest opportunistically in other parts of the capital structure, including senior secured stretch and unitranche facilities, second lien loans, mezzanine and mezzanine-related loans, and equity investments, as well as select other subordinated instruments either directly or through acquisitions in the secondary market.

The level of our investment activity depends on many factors, including the amount of debt and equity capital available to prospective portfolio companies, the level of merger, acquisition and refinancing activity for such companies, the availability of credit to finance transactions, the general economic environment and the competitive environment for the types of investments we make.

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As a BDC, we must invest at least 70% of our assets in “eligible portfolio companies,” generally, U.S. private operating companies (or small U.S. public operating companies with a market capitalization of less than $250 million). As a BDC, we may also invest up to 30% of our portfolio in non-eligible portfolio company investments, such as investments in non-U.S. companies, which may include investments in a “passive foreign investment company.” Because we have elected to be regulated as a BDC, and we intend to elect to be treated, and intend to qualify annually thereafter, as a RIC, our portfolio will also be subject to the diversification and other requirements under the Code. Subject to the limitations of the 1940 Act, we may invest in loans or other securities, the proceeds of which may refinance or otherwise repay debt or securities of companies whose debt is owned by other Angelo Gordon funds. From time to time, we may co-invest with other Angelo Gordon funds.
Revenues
We generate revenues primarily through the receipt of interest income from the investments we hold. In addition, we generate income from various loan origination and other fees and from dividends on direct equity investments. In addition, we may generate revenue in the form of commitment, origination, administration, amendment, and loan servicing fees. Loan origination fees, original issue discount and market discount or premium are capitalized as part of the underlying cost of the investments and accreted or amortized over the life of the investment as interest income. We record contractual prepayment premiums on loans and debt securities as interest income.
Our debt investment portfolio consists of primarily floating rate loans. As of JuneSeptember 30, 2023, 100% of our debt investments, based on fair value, bore interest at floating rates, which may be subject to interest rate floors. Variable-rate investments subject to a floor generally reset periodically to the applicable floor, only if the floor exceeds the index. Trends in base interest rates, such as Term SOFR, may affect our net investment income over the long term. In addition, our results may vary from period to period depending on the interest rates of new investments made during the period compared to investments that were sold or repaid during the period; these results reflect the characteristics of the particular portfolio companies that we invested in or exited during the period and not necessarily any trends in our business or macroeconomic trends.
Dividend income that we receive from our ownership of private securities is recorded pursuant to the terms of the respective investments.
Expenses
Our primary operating expenses include the payment of fees to the Adviser under the Investment Management Agreement, our allocable portion of overhead expenses under the Administration Agreement, interest expense related to borrowings outstanding, and other operating costs described below.
We are responsible for all costs and expenses incurred in connection with the operations of the Company and locating, structuring, evaluating, consummating, maintaining and disposing of investments and potential investments (whether or not the acquisition is consummated), including but not limited to legal, regulatory, accounting and other professional or third-party costs or disbursements including travel, rent or lodging, out-of-pocket expenses of the Adviser, the fees and expenses of any independent counsel engaged by the Adviser and out-of-pocket expenses related to third-party service providers (including loan servicer fees), placement agent fees and expenses, advertising expenses, litigation expenses, brokerage commissions, clearing and settlement charges and other transaction costs, custody fees, interest expenses, financing charges, initial and variation margin, broken deal expenses, compensation (which may include fees or performance-based compensation) of Advisers, consultants and finders, joint venture partners, or other professionals relating to the Company’s operations and investments or potential investments (whether or not completed), which may include costs incurred to attend or sponsor networking and other similar events hosted by both for-profit and not-for-profit organizations (which may include organizations affiliated with current or prospective investors), specific expenses incurred in obtaining, developing or maintaining marketconnection with the Company’s information and data technology systems, research and other information and information service subscriptions utilized with respect to the Company’s investment program including fees to third party providers of research, portfolio risk management services (including the costs of risk management software or database packages), fees of pricing and valuation services, appraisal costs and brokerage expenses. We will also bear all commitment fees and any transfer or recording taxes, registration fees and other expenses in connection with acquisitions and dispositions of investments, and all expenses relating to the ownership and operation of investments, including taxes, interest, insurance, and other fees and expenses. Travel expenses may include first-class airfare and limited use of private or charter aircraft, as well as premium accommodations, in accordance with our Adviser’s policies related thereto.
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In addition, we will bear all costs of the administration of the Company, including but not limited to accounting expenses (including accounting systems) and expenses relating to audit, legal and regulatory expenses (including filings with U.S.
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and non-U.S. regulators and compliance obligations), costs associated with our reporting and compliance obligations under the 1940 Act and other applicable U.S. federal and state securities laws, fees and expenses of any administrators in connection with the administration of the Company, expenses relating to the maintenance of registered offices of the Company to the extent provided by unaffiliated service providers, temporary office space of non-employee consultants or auditors, blue sky and corporate filing fees and expenses, corporate licensing expenses, indemnification expenses, costs of holding any meetings or conferences of investors or their delegates or Advisers (including meetings of the Adviser and related activities), Independent Trustees’ fees and expenses, costs of any litigation or threatened litigation or costs of any investigation or legal inquiries involving Company activities (including regulatory sweeps), the cost of any liability insurance or fidelity coverage for the Company, including any trustees’ and officers’ liability insurance and key-person life insurance policies, maintained with respect to liabilities arising in connection with the activities of our trustees and officers conducted on behalf of the Company, costs associated with reporting and providing information to existing and prospective investors, including printing and mailing costs, wind-up and liquidation expenses, and any extraordinary expenses arising in connection with the operations of the Company.
From time to time, the Adviser, the Administrator or their affiliates may pay third-party providers of goods or services. We will reimburse the Adviser, the Administrator or such affiliates thereof for any such amounts paid on our behalf. From time to time, the Adviser or the Administrator may defer or waive fees and/or rights to be reimbursed for expenses. All of the foregoing expenses will ultimately be borne by our shareholders, subject to the cap on organization and offering expenses described above.
Leverage
In accordance with the 1940 Act, we can borrow amounts such that our asset coverage, as defined in the 1940 Act, is at least 150% after such borrowings, subject to certain limitations. We may from time to time increase the size of our existing credit facilities or enter into new credit facilities. Any such incurrence would be subject to prevailing market conditions, our liquidity requirements, contractual and regulatory restrictions and other factors.
As of JuneSeptember 30, 2023, we had borrowings of $423.2$553.7 million outstanding at an average all-in rate of 7.53%8.06%, which is included in debt on the consolidated statements of assets and liabilities. As of December 31, 2022, the Company had borrowings of $323.2 million outstanding at an average all-in rate of 4.71%6.28%. We incurred approximately $9.2$11.3 million and $16.5$27.7 million of interest and unused commitment fees for the three and sixnine months ended JuneSeptember 30, 2023, respectively, which is included in interest expense on the consolidated statements of operations. The carrying values of borrowings outstanding under the debt facilities approximate fair value.
Portfolio and Investment Activity
As of JuneSeptember 30, 2023, based on fair value, our portfolio consisted of 96.08%95.99% first lien senior secured debt investments and 3.92%4.01% investments in affiliated funds, that hold our equity co-investments. As of December 31, 2022, based on fair value, our portfolio consisted of 96.67% first lien senior secured debt investments and 3.33% investments in affiliated funds.
As of JuneSeptember 30, 2023, we had investments in 56184 portfolio companies with an aggregate fair value of $984.3$1,212.4 million. As of December 31, 2022, we had investments in 46 portfolio companies with an aggregate fair value of $824.5 million.
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Our investment activity for the three months ended JuneSeptember 30, 2023 and 2022 is presented below (information presented herein is at par value unless otherwise indicated).
(Amounts in thousands)(Amounts in thousands)Three Months Ended June 30, 2023Three Months Ended June 30, 2022(Amounts in thousands)Three Months Ended September 30, 2023Three Months Ended September 30, 2022
Principal amount of investments committed (including add-ons):Principal amount of investments committed (including add-ons):Principal amount of investments committed (including add-ons):
First lien senior secured debt investmentsFirst lien senior secured debt investments$126,498 $135,729 First lien senior secured debt investments$279,526 $629,658 
Sponsor subordinated noteSponsor subordinated note12 — 
Investment in affiliated fundsInvestment in affiliated funds3,542 2,248 Investment in affiliated funds10,110 15,537 
Total principal amount of investments committedTotal principal amount of investments committed$130,040 $137,977 Total principal amount of investments committed$289,648 $645,195 
Principal amount of investments sold or repaid:Principal amount of investments sold or repaid:Principal amount of investments sold or repaid:
First lien senior secured debt investmentsFirst lien senior secured debt investments$(46,651)$— First lien senior secured debt investments$(33,597)$(43,831)
Investment in affiliated funds(2)
Total principal amount of investments sold or repaidTotal principal amount of investments sold or repaid$(46,653)$— Total principal amount of investments sold or repaid$(33,614)$(43,831)
New debt investments(1):
New debt investments(1):
New debt investments(1):
New commitmentsNew commitments$110,983 $135,729 New commitments$247,673 $629,658 
Number of new commitments in new portfolio companies(2)
Number of new commitments in new portfolio companies(2)
67
Number of new commitments in new portfolio companies(2)
12925
Average new commitment amountAverage new commitment amount$18,497 $19,390 Average new commitment amount$1,920 $25,186 
Weighted average term for new commitments (in years)Weighted average term for new commitments (in years)4.6 4.0 Weighted average term for new commitments (in years)3.4 4.9 
Percentage of new commitments at floating ratesPercentage of new commitments at floating rates100.0 %100.0 %Percentage of new commitments at floating rates100.0 %100.0 %
Percentage of new commitments at fixed ratesPercentage of new commitments at fixed rates— %— %Percentage of new commitments at fixed rates— %— %
(1)Amounts shown exclude add-on transactions to existing portfolio companies during the period.
(2)Number of new debt investment commitments represent commitments to a particular portfolio company.
As of JuneSeptember 30, 2023 and December 31, 2022 our investments consisted of the following:


June 30, 2023December 31, 2022September 30, 2023December 31, 2022
(Amounts in thousands)(Amounts in thousands)Amortized CostFair ValueAmortized CostFair Value(Amounts in thousands)Amortized CostFair ValueAmortized CostFair Value
First lien senior secured debtFirst lien senior secured debt$943,989 $945,778 $795,429 $797,019 First lien senior secured debt$1,163,375 $1,163,749 $795,429 $797,019 
Sponsor subordinated noteSponsor subordinated note12 12 — — 
Investment in affiliated fundsInvestment in affiliated funds34,165 38,564 27,234 27,468 Investment in affiliated funds44,263 48,615 27,234 27,468 
Total investmentsTotal investments$978,154 $984,342 $822,663 $824,487 Total investments$1,207,650 $1,212,376 $822,663 $824,487 
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The table below describes investments by industry composition based on fair value as of JuneSeptember 30, 2023 and December 31, 2022 :
June 30, 2023December 31, 2022September 30, 2023December 31, 2022
Aerospace and defenseAerospace and defense0.2 %— %
Air freight and logisticsAir freight and logistics2.0 %2.4 %Air freight and logistics1.7 %2.4 %
Auto componentsAuto components2.0 %0.9 %Auto components1.9 %0.9 %
ChemicalsChemicals0.4 %0.5 %Chemicals0.9 %0.5 %
Commercial services and suppliesCommercial services and supplies3.0 %2.2 %Commercial services and supplies3.4 %2.2 %
Construction and engineeringConstruction and engineering6.3 %6.2 %Construction and engineering5.4 %6.2 %
Containers and packagingContainers and packaging5.8 %6.9 %Containers and packaging5.8 %6.9 %
DistributorsDistributors0.1 %— %
Diversified consumer servicesDiversified consumer services6.8 %6.1 %Diversified consumer services7.2 %6.1 %
Electrical equipmentElectrical equipment1.0 %1.2 %Electrical equipment0.9 %1.2 %
Electronic equipment, instruments and componentsElectronic equipment, instruments and components1.3 %1.3 %Electronic equipment, instruments and components1.3 %1.3 %
Food and staples retailingFood and staples retailing1.9 %3.5 %Food and staples retailing2.0 %3.5 %
Food productsFood products4.1 %4.1 %Food products4.4 %4.1 %
Gas utilitiesGas utilities0.1 %— %
Health care equipment and suppliesHealth care equipment and supplies4.3 %4.1 %Health care equipment and supplies3.7 %4.1 %
Health care providers and servicesHealth care providers and services28.6 %26.4 %Health care providers and services27.1 %26.4 %
Health care technologyHealth care technology2.8 %3.0 %Health care technology2.6 %3.0 %
Household durablesHousehold durables7.0 %6.1 %Household durables6.1 %6.1 %
Industrial ConglomeratesIndustrial Conglomerates1.4 %— %Industrial Conglomerates1.2 %— %
Internet and direct marketing retailInternet and direct marketing retail0.3 %— %
IT servicesIT services0.8 %3.9 %IT services1.0 %3.9 %
Leisure equipment and productsLeisure equipment and products0.2 %— %
Leisure productsLeisure products0.1 %— %
Life sciences tools and servicesLife sciences tools and services0.1 %— %
MachineryMachinery1.9 %2.2 %Machinery1.8 %2.2 %
MediaMedia7.1 %8.5 %Media8.0 %8.5 %
Metals and miningMetals and mining0.2 %— %
Multisector holdingsMultisector holdings3.9 %3.3 %Multisector holdings4.0 %3.3 %
PharmaceuticalsPharmaceuticals0.1 %— %
Personal productsPersonal products0.2 %— %
Professional servicesProfessional services1.6 %1.9 %Professional services1.3 %1.9 %
Real estate management and developmentReal estate management and development0.2 %— %
Semiconductors and semiconductor equipmentSemiconductors and semiconductor equipment0.1 %— %
SoftwareSoftware1.2 %1.4 %Software1.4 %1.4 %
Specialty retailSpecialty retail0.9 %1.2 %Specialty retail1.1 %1.2 %
Trading companies and distributorsTrading companies and distributors3.9 %2.7 %Trading companies and distributors3.8 %2.7 %
Water utilitiesWater utilities0.1 %— %
TotalTotal100.0 %100.0 %Total100.0 %100.0 %
As of JuneSeptember 30, 2023, 99.9% of our investments were based in the United States and 0.1% were based in Canada. As of December 31, 2022, 100% of our investments were based in the United States.
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The weighted average yields and interest rates of our funded debt investments as of JuneSeptember 30, 2023 and December 31, 2022 were as follows:
June 30, 2023December 31, 2022September 30, 2023December 31, 2022
Weighted average total yield of funded debt investments at cost(1)Weighted average total yield of funded debt investments at cost(1)11.4 %10.9 %Weighted average total yield of funded debt investments at cost(1)11.6 %10.9 %
Weighted average total yield of funded debt investments at fair value(1)Weighted average total yield of funded debt investments at fair value(1)11.4 %10.9 %Weighted average total yield of funded debt investments at fair value(1)11.6 %10.9 %
Weighted average interest rate of funded debt investments (1)
11.4 %10.6 %
Weighted average spread over reference rates of all floating rate funded debt investmentsWeighted average spread over reference rates of all floating rate funded debt investments6.0 %5.9 %Weighted average spread over reference rates of all floating rate funded debt investments6.0 %5.9 %
(1)Calculated using actual interest rates in effect as of JuneSeptember 30, 2023 and December 31, 2022 based on borrower elections.
The weighted average yield of our funded debt investments is not the same as a return on investment for our shareholders but, rather, relates to a portion of our investment portfolio and is calculated before the payment of all of our and our subsidiaries’ fees and expenses. The weighted average yield was computed using the effective interest rates of each investment as of each respective date, including accretion of original issue discount, but excluding investments on non-accrual status, if any. There can be no assurance that the weighted average yield will remain at its current level.
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Our Adviser monitors our portfolio companies on an ongoing basis. It monitors the financial trends of each portfolio company to determine if they are meeting their respective business plans and to assess the appropriate course of action with respect to each portfolio company. Our Adviser has several methods of evaluating and monitoring the performance and fair value of our investments, which may include the following:
assessment of success of the portfolio company in adhering to its business plan and compliance with covenants;
periodic and regular contact with portfolio company management and, if appropriate, the financial or strategic sponsor, to discuss financial position, requirements and accomplishments;
comparisons to other companies in the portfolio company’s industry; and
review of monthly or quarterly financial statements and financial projections for portfolio companies.
As part of the monitoring process, our Adviser employs an investment rating system to categorize our investments. In addition to various risk management and monitoring tools, our Adviser rates the credit risk of all debt investments on a scale of A to F. This system is intended primarily to reflect the underlying risk of a portfolio investment relative to our initial cost basis in respect of such portfolio investment (i.e., at the time of origination or acquisition), although it may also take into account the performance of the portfolio company’s business, the collateral coverage of the investment and other relevant factors. The rating system is as follows:
Investment RatingDescription
AA loan supported by exceptional financial strength, stability and liquidity;
BAs a general rule, a new transaction will be risk rated a “B” loan. Overtime, a “B” loan is supported by good financial strength, stability and liquidity;
CA loan that is exhibiting deteriorating trends, which if not corrected could jeopardize repayment of the debt. In general, a default by the borrower of one of its financial performance covenants (leverage or coverage ratios) would warrant a downgrade of a loan to a risk rating of “C”;
DA loan that has a well-defined weakness that jeopardizes the repayment of the debt or the ongoing enterprise value of the borrower;
EA loan that has an uncured payment default; and
FAn asset that is considered uncollectible or of such little value that its continuance as a booked asset is unwarranted.
Our Adviser rates the investments in our portfolio at least quarterly and it is possible that the rating of a portfolio investment may be reduced or increased over time. For investments rated C through F, our Adviser enhances its level of scrutiny over the monitoring of such portfolio company.
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The following table shows the composition of our debt investments on the A to F rating scale as of JuneSeptember 30, 2023 and December 31, 2022:
June 30, 2023December 31, 2022September 30, 2023December 31, 2022
Investment RatingInvestment RatingInvestments
at Fair Value
Percentage of
Total
Debt Investments
Investments
at Fair Value
Percentage of
Total
Debt Investments
Investment RatingInvestments
at Fair Value
Percentage of
Total
Debt Investments
Investments
at Fair Value
Percentage of
Total
Debt Investments
(Amounts in thousands)(Amounts in thousands)(Amounts in thousands)
AA$— — $— — A$— — $— — 
BB945,778 100.0 %797,019 100.0 %B1,127,234 96.9 %797,019 100.0 %
CC— — — — C33,749 2.9 %— — 
DD— — — — D401 0.0 %— — 
EE— — — — E2,365 0.2 %— — 
FF— — — — F— — — — 
TotalTotal$945,778 100.0 %$797,019 100.0 %Total$1,163,749 100.0 %$797,019 100.0 %
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The following table shows the amortized cost of our performing and non-accrual debt investments as of JuneSeptember 30, 2023 and December 31, 2022:
June 30, 2023December 31, 2022September 30, 2023December 31, 2022
(Amounts in thousands)(Amounts in thousands)Amortized CostPercentageAmortized CostPercentage(Amounts in thousands)Amortized CostPercentageAmortized CostPercentage
PerformingPerforming$943,989 100.0 %$795,429 100.0 %Performing$1,163,387 100.0 %$795,429 100.0 %
Non-accrualNon-accrual— — — — Non-accrual— — — — 
TotalTotal$943,989 100.0 %$795,429 100.0 %Total$1,163,387 100.0 %$795,429 100.0 %
Loans are generally placed on non-accrual status when there is reasonable doubt that principal or interest will be collected in full. Accrued interest is generally reversed when a loan is placed on non-accrual status. Interest payments received on non-accrual loans may be recognized as income or applied to principal depending upon the Adviser’s judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest is paid current and, in the Adviser’s judgment, are likely to remain current. Management may make exceptions to this treatment and determine to not place a loan on non-accrual status if the loan has sufficient collateral value and is in the process of collection.

Merger with AG Twin Brook BDC, Inc.

On July 28, 2023, we completed the previously announced acquisition of AGTB via merger, with the Company continuing as the surviving company. As of the effective time, each share of AGTB’s common stock, par value $0.001 per share, outstanding immediately prior to the effective time was converted into the right to receive $20.00 per share in cash, without interest (the “Per Share Consideration”), subject to any applicable withholding taxes. We paid cash consideration in connection with the AGTB Transaction of approximately $193 million and had transaction costs of approximately $0.8 million. We acquired $186 million of investments at amortized cost and fair value, with $7 million in other assets net of other liabilities.

The AGTB Transaction was accounted for as an asset acquisition of AGTB by the Company in accordance with the asset acquisition method of accounting as detailed in ASC 805-50, Business Combinations-Related Issues, with the fair value of total consideration paid and transaction costs allocated to the assets acquired and liabilities assumed based on their relative fair values as of the date of the AGTB Transaction. Generally, under asset acquisition accounting, acquiring assets in groups not only requires ascertaining the cost of the asset (or net assets), but also allocating that cost to the individual assets
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(or individual assets and liabilities) that make up the group. The cost of the group of assets acquired in an asset acquisition is allocated to the individual assets acquired or liabilities assumed based on their relative fair values of net identifiable assets acquired other than certain “non-qualifying” assets (for example cash) and does not give rise to goodwill.

Immediately following the AGTB Transaction, the investments were marked to their respective fair values and, as a result, the purchase premium (transaction costs) allocated to the cost basis of the investments acquired was immediately recognized as unrealized depreciation in the Consolidated Statements of Operations. The purchase premium allocated to the loan investments acquired will amortize over the life of each respective loan as an offset to interest income with a corresponding adjustment recorded as unrealized appreciation on such loans acquired through their ultimate disposition. The purchase premium allocated to equity investments acquired will not amortize over the life of such investments through interest income and, assuming no subsequent change to the fair value of the equity investments acquired and disposition of such equity investments at fair value, the Company will recognize a realized loss with a corresponding reversal of the unrealized depreciation on disposition of such equity investments acquired.

The following table summarizes the allocation of the purchase price to the assets acquired and liabilities assumed as a result of the AGTB Transaction:

Amounts (in thousands)
Total purchase price:$194,199
Assets acquired:
Investments, at fair value (amortized cost of 185,876)186,264 
Cash15,567 
Accrued interest receivable2,396 
Other assets(1)
2,164 
Total assets acquired206,391 
Liabilities assumed:
Distribution payable9,726 
Other liabilities3,216 
Total liabilities assumed12,942 
Net assets acquired$193,449
Total purchase premium (transaction costs)$750
(1)Other assets include a $2 million waiver receivable from the Advisor for operating expenses.
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Results of Operations
The following table represents the operating results for the three and sixnine months ended JuneSeptember 30, 2023, and for the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022:

(Amounts in thousands)Three Months Ended
June 30, 2023
Three Months Ended June 30, 2022Six Months Ended June 30, 2023Period from January 27, 2022 (Inception) to June 30, 2022
Total investment income$28,643 $715 $53,710 $715 
Less: expenses and taxes16,282 914 31,386 1,234 
Net investment income (loss)12,361 (199)22,324 (519)
Net realized gain (loss)— — (18)— 
Net change in unrealized gain (loss)1,673 (6)4,364 (6)
Net increase (decrease) in net assets resulting from operations$14,034 $(205)$26,670 $(525)

(Amounts in thousands)Three Months Ended
September 30, 2023
Three Months Ended September 30, 2022Nine Months Ended September 30, 2023Period from January 27, 2022 (Inception) to September 30, 2022
Total investment income$35,438 $8,926 $89,148 $9,641 
Less: expenses and taxes17,719 4,574 49,104 5,808 
Net investment income (loss)17,719 4,352 40,044 3,833 
Net realized gain (loss)72 (10)72 
Net change in unrealized gain (loss)(1,453)301 2,911 295 
Net increase (decrease) in net assets resulting from operations$16,274 $4,725 $42,945 $4,200 
Net increase (decrease) in net assets resulting from operations can vary from period to period as a result of various factors, including the level of new investment commitments, expenses, the recognition of realized gains and losses and changes in unrealized appreciation and depreciation on the investment portfolio.

Investment Income
Investment income for the three and sixnine months ended JuneSeptember 30, 2023, and for the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022, were as follows:
(Amounts in thousands)(Amounts in thousands)Three Months
Ended
June 30,
2023
Three Months
Ended
June 30,
2022
Six Months Ended
June 30,
2023
Period from January 27, 2022 (Inception) to June 30, 2022(Amounts in thousands)Three Months
Ended
September 30,
2023
Three Months
Ended
September 30,
2022
Nine Months Ended
September 30,
2023
Period from January 27, 2022 (Inception) to September 30, 2022
InterestInterest$28,312 $297 $52,451 $297 Interest$34,963 $6,997 $87,414 $7,294 
OtherOther331 418 1,259 418 Other475 1,929 1,734 2,347 
Total investment incomeTotal investment income$28,643 $715 $53,710 $715 Total investment income$35,438 $8,926 $89,148 $9,641 
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Increases in interest and other investment income were driven by deployment of capital, rising interest rates and an increase in investment activity. Total investments as of JuneSeptember 30, 2023 were $984$1,212 million as compared to $86$539 million as of JuneSeptember 30, 2022.

Expenses
Expenses for the three and sixnine months ended JuneSeptember 30, 2023, and for the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022, were as follows:
(Amounts in thousands)(Amounts in thousands)Three Months
Ended
June 30,
2023
Three Months
Ended
June 30,
2022
Six Months Ended
June 30,
2023
Period from January 27, 2022 (Inception) to June 30, 2022(Amounts in thousands)
Three Months
Ended
September 30,
2023
Three Months
Ended
September 30,
2022
Nine Months Ended
September 30,
2023
Period from January 27, 2022 (Inception) to September 30, 2022
InterestInterest$9,625 $104 $17,317 $104 Interest$11,770 $2,015 $29,087 $2,119 
Income incentive feesIncome incentive fees1,915 — 3,585 — Income incentive fees2,205 649 5,790 649 
Management feesManagement fees1,770 174 3,410 174 Management fees1,986 682 5,396 856 
Offering costsOffering costs836 60 1,618 60 Offering costs739 144 2,357 204 
Professional feesProfessional fees721 16 1,273 16 Professional fees136 193 1,409 209 
Administrative feesAdministrative fees383 240 1,455 495 
OtherOther357 38 643 38 Other275 340 917 378 
Administrative fees321 255 1,072 255 
Capital gains incentive fees209 — 543 — 
Organizational costsOrganizational costs— 61 528 381 Organizational costs— — 528 381 
Accounting feesAccounting fees114 72 272 72 Accounting fees174 129 446 201 
Capital gains incentive feesCapital gains incentive fees(178)46 365 46 
Insurance feesInsurance fees23 82 112 82 Insurance fees147 91 259 173 
Trustees' feesTrustees' fees45 52 89 52 Trustees' fees45 45 134 97 
Total expensesTotal expenses$15,936 $914 $30,462 $1,234 Total expenses$17,682 $4,574 $48,143 $5,808 
Increases in interest and other expenses were driven by the Company’s continued deployment of capital, rising interest rates and an increase in investment activity and leverage.
Increases in incentive fees are correlated to an increase in net assetsresults from operations. For the three and nine months ended JuneSeptember 30, 2023, there were net increases in net assets resulting from operations of $16.3 million and $42.9 million, respectively, driving the increase in incentive fees, compared to the three months ended September 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022, there were net decreases in net assets resulting from operations, therefore there were no fees accrued. For the three and six months ended June 30, 2023, there were increases in net assets resulting from operations of $14.0$4.7 million and $26.7$4.2 million, respectively, driving the increase in fees.respectively. Increases in management fees are correlated to anwere driven by the increase in net assets during the net asset value, which increased from $174.5 million as of June 30, 2022, to $596.9 million as of June 30, 2023.periods presented.

Under the terms of the Administration Agreement and Investment Management Agreement, we reimburse the Administrator and Adviser, respectively, for services performed for us. In addition, pursuant to the terms of these agreements, the Administrator and Adviser may delegate its obligations under these agreements to an affiliate or to a third party and we reimburse the Administrator and Adviser for any services performed for us by such affiliate or third party.
For the three and sixnine months ended JuneSeptember 30, 2023, the Administrator charged approximately $321,000$383,000 and $1,072,000,$1,455,000, respectively, for certain costs and expenses allocable to the Company under the terms of the Administration Agreement. For the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022, the Administrator charged approximately $255,000$240,000 and $495,000, respectively, for certain costs and expenses allocable to the Company under the terms of the Administration Agreement.
Income Taxes, including Excise Taxes
We intend to elect to be treated as a RIC under Subchapter M of the Code, and we intend to operate in a manner so as to continue to qualify for the tax treatment applicable to RICs. To continue to qualify for tax treatment as a RIC, we must, among other things, distribute to our shareholders in each taxable year generally at least 90% of our investment company taxable income, as defined by the Code, and net tax-exempt income for that taxable year. To maintain our tax treatment as
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a RIC, we, among other things, intend to make the requisite distributions to our shareholders, which generally relieves us from corporate-level U.S. federal income taxes.
Depending on the level of taxable income earned in a tax year, we can be expected to carry forward taxable income (including net capital gains, if any) in excess of current year dividend distributions from the current tax year into the next tax year and pay a nondeductible 4% U.S. federal excise tax on such taxable income, as required. To the extent that we determine that our estimated current year annual taxable income will be in excess of estimated current year dividend distributions from such income, we will accrue excise tax on estimated excess taxable income. For the three and sixnine months ended JuneSeptember 30, 2023, we did not accrue U.S. federal excise tax.
We conduct certain activities through our wholly-owned subsidiary,subsidiaries, Twin Brook Equity XVIII Corp., and Twin Brook Equity XXXIII Corp., aboth of which are Delaware corporation. Twin Brook Equity XXXIII Corp. iscorporations. They are treated as a corporationcorporations for United States federal income tax purposes and isare subject to U.S. federal, state or local income tax. For the three and sixnine months ended JuneSeptember 30, 2023, the Company accrued $0 current federal tax. For the three and sixnine months ended JuneSeptember 30, 2023 the company accrued $346,000approximately $37,000 and $924,000$961,000, respectively, of deferred federal tax related to Twin Brook Equity XXXIII Corp.,the corporations, which is included as "deferred federalin “deferred tax provision” on the Statementsconsolidated statements of Operations.operations.
Net Change in Unrealized Gains (Losses) on Investment Transactions
We fair value our portfolio investments quarterly and any changes in fair value are recorded as unrealized gains or losses. During the three and sixnine months ended JuneSeptember 30, 2023, and during the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022, net unrealized gains (losses) on our investment transactions were as follows:
(Amounts in thousands)(Amounts in thousands)Three Months Ended
June 30, 2023
Three Months Ended
June 30, 2022
Six Months Ended June 30, 2023Period from January 27, 2022 (Inception) to June 30, 2022(Amounts in thousands)Three Months
Ended
September 30,
2023
Three Months
Ended
September 30,
2022
Nine Months Ended
September 30,
2023
Period from January 27, 2022 (Inception) to September 30, 2022
Non-controlled, non-affiliated investmentsNon-controlled, non-affiliated investments$29 $(6)$(6)$199 $(6)Non-controlled, non-affiliated investments$(1,415)$301 $301 $(1,216)$295 
Non-controlled, affiliated investmentsNon-controlled, affiliated investments1,644 — — 4,165 — Non-controlled, affiliated investments(47)— — 4,118 — 
Foreign currency forward contractsForeign currency forward contracts— — 
Net change in unrealized gain (loss) on investment transactionsNet change in unrealized gain (loss) on investment transactions$1,673 $(6)$(6)$4,364 $(6)Net change in unrealized gain (loss) on investment transactions$(1,453)$301 $373 $2,911 $295 
For the three and sixnine months ended JuneSeptember 30, 2023, the net unrealized losses from non-affiliated investments were primarily driven by increased market volatility and credit spreads widening. Unrealized losses were also driven by costs of the AGTB Transaction of $750,000. In accordance with ASC 805-50, those transaction costs were allocated to the assets acquired and immediately resulted in an unrealized loss since the fair value was below the total purchase price when including transaction costs. In accordance with ASC 805-50, those transaction costs were allocated to the assets acquired and immediately resulted in an unrealized loss since the fair value was below the total purchase price when including transaction costs. For the nine months ended September 30, 2023, the net unrealized gains on affiliated investments were primarily driven by an increase in the fair valuestrong performance of our investments driven primarily by strong financial results ofunderlying portfolio companies. TheFor the three months ended September 30, 2023, the unrealized gainslosses on affiliated investments were alsoprimarily driven by improved performance of equity investments that increased our net asset value in the affiliated fund for the three and six months ended June 30, 2023.aforementioned transaction costs.
For the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022, the net unrealized lossgain was primarily driven by a decreasean increase in the fair value of our investments.

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Net Realized Gains (Losses) on Investment Transactions
The realized gains and losses on fully and partially exited portfolio companies during the three and sixnine months ended JuneSeptember 30, 2023, and during the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022, were as follows:

(Amounts in thousands)Three Months Ended
June 30, 2023
Three Months Ended
June 30, 2023
Six Months Ended June 30, 2023Period from January 27, 2022 (Inception) to June 30, 2022
Net realized gain (loss) on investments$— $— $(18)$— 
Net realized gain (loss) on investments$— $— $(18)$— 
(Amounts in thousands)Three Months
Ended
September 30,
2023
Three Months
Ended
September 30,
2022
Nine Months Ended
September 30,
2023
Period from January 27, 2022 (Inception) to September 30, 2022
Net realized gain (loss) on investments$$72 $(10)$72 
Net realized gain (loss) on investments$$72 $(10)$72 
Financial Condition, Liquidity, and Capital Resources
Our liquidity and capital resources are generated primarily from the net proceeds of our continuous offering of common shares, cash flows from interest, dividends and fees earned from our investments and principal repayments, and credit facilities. The primary uses of our cash are (1) investments in portfolio companies and other investments to comply with certain portfolio diversification requirements, (2) the cost of operations (including paying our Adviser and Administrator or its affiliates), (3) debt service of any borrowings and (4) cash distributions to the holders of our stock.
We may from time to time increase the size of our existing credit facilities. Any such incurrence would be subject to prevailing market conditions, our liquidity requirements, contractual and regulatory restrictions and other factors. In accordance with the 1940 Act, with certain limited exceptions, we are only allowed to incur borrowings, issue debt securities or issue preferred stock, if immediately after the borrowing or issuance, the ratio of total assets (less total liabilities other than indebtedness) to total indebtedness plus preferred stock, is at least 150%. There were $423.2553.7 million outstanding borrowings as of JuneSeptember 30, 2023. We seek to carefully consider our unfunded commitments for the purpose of planning our ongoing financial leverage. Further, we maintain sufficient borrowing capacity within the 150% asset coverage limitation to cover any outstanding unfunded commitments we are required to fund.
Cash as of JuneSeptember 30, 2023, taken together with our available debt capacity of $136.3$107.7 million, is expected to be sufficient for our investing activities and to conduct our operations.
As of JuneSeptember 30, 2023 we had $41.3$46.5 million in cash. During the sixnine months ended JuneSeptember 30, 2023, we used $124.6$332.6 million in cash for operating activities, primarily as a result of funding portfolio investments of $253.8$520.0 million and partially offset by other operating activities of $129.2$187.4 million. Cash provided by financing activities was $127.4$340.5 million during the period, primarily the result of proceeds from the issuance of common shares and debt borrowings.
As of June 30, 2022, we had $85.5 million in cash. For the three months ended June 30, 2022 and for the period from January 27, 2022 (Inception) to June 30, 2022, we used $85.1 million in cash for operating activities, primarily as a result of funding portfolio investments of $86 million and partially offset by other operating activities of $0.9 million. Cash used for financing activities was $170.6 million during the period, primarily the result of proceeds from the issuance of common shares.
Equity
At the Effective Time of the Merger, common shares of beneficial interest, par value $0.001 per share, of Private BDC outstanding immediately prior to the Effective Time were converted into a number of Class I shares of beneficial interest, par value $0.001 per share, of TCAP (the “TCAP Common Shares”) equal to a ratio of one to one. As a result, TCAP issued an aggregate of approximately 20.9 million TCAP Common Shares to former Private BDC shareholders. The TCAP Common Shares issued and outstanding immediately prior to the Effective Time remained outstanding upon the Effective Time and were unaffected by the Merger. As a result, immediately following the Merger, TCAP had approximately 20,945,030 Class I shares outstanding, and no Class S or D shares outstanding.
As of JuneSeptember 30, 2023, the Company had 23,183,42827,361,108 shares issued and outstanding with a par value of $0.001 per share.
The following tables summarize transactions in common shares during the three and sixnine months ended JuneSeptember 30, 2023, and the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022:
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Three Months Ended June 30, 2023
Three Months Ended September 30, 2023Three Months Ended September 30, 2023
SharesAmount in ThousandsSharesAmount in Thousands
Class I:Class I:Class I:
Proceeds from shares soldProceeds from shares sold1,921,844$49,325 Proceeds from shares sold4,149,208$106,863 
Distributions reinvestedDistributions reinvested11,162$284 Distributions reinvested28,472$734 
Net increase (decrease)Net increase (decrease)1,933,006$49,609 Net increase (decrease)4,177,680$107,597 

Six Months Ended June 30, 2023
Nine Months Ended September 30, 2023Nine Months Ended September 30, 2023
SharesAmount in ThousandsSharesAmount in Thousands
Class I:Class I:Class I:
Proceeds from shares soldProceeds from shares sold2,227,236$57,140 Proceeds from shares sold6,376,443$164,003 
Distributions reinvestedDistributions reinvested11,162$284 Distributions reinvested39,635$1,017 
Net increase (decrease)Net increase (decrease)2,238,398$57,424 Net increase (decrease)6,416,078$165,020 

Three Months Ended June 30, 2022
Three Months Ended September 30, 2022Three Months Ended September 30, 2022
SharesAmount in ThousandsSharesAmount in Thousands
Common SharesCommon SharesCommon Shares
Proceeds from shares soldProceeds from shares sold6,999,940$174,998 Proceeds from shares sold5,012,698$126,000 
Net increase (decrease)Net increase (decrease)6,999,940$174,998 Net increase (decrease)5,012,698$126,000 

Period from January 27, 2022 (Inception) to June 30, 2022
Period from January 27, 2022 (Inception) to September 30, 2022Period from January 27, 2022 (Inception) to September 30, 2022
SharesAmount in ThousandsSharesAmount in Thousands
Common SharesCommon SharesCommon Shares
Proceeds from shares soldProceeds from shares sold7,000,000$175,000 Proceeds from shares sold12,012,698$301,000 
Net increase (decrease)Net increase (decrease)7,000,000$175,000 Net increase (decrease)12,012,698$301,000 

Net Asset Value per Share and Offering Price
The Company determines NAV for each class of shares as of the last day of each calendar month. Share issuances related to monthly subscriptions are effective the first calendar day of each month. Shares are issued at an offering price equivalent to the most recent NAV per share available for each share class, which will be the prior calendar day NAV per share (i.e. the prior month-end NAV). The following table presents each month-end NAV per share for the common shares during the sixnine months ended JuneSeptember 30, 2023:

NAV Per Share
For the Months EndedClass I
January 31, 2023$25.39 
February 28, 2023$25.59 
March 31, 2023$25.67 
April 30, 2023$25.65 
May 31, 2023$25.67 
June 30, 2023$25.75 
July 31, 2023$25.75 
August 31, 2023$25.79 
September 30, 2023$25.80 
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Dividends
We plan to make monthly dividends at the Board’s discretion, starting with the first monthly distribution declared in March 2023. The following table reflects dividends declared on common shares during the sixnine months ended JuneSeptember 30, 2023:

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For the Six Months Ended June 30, 2023
For the Nine Months Ended September 30, 2023For the Nine Months Ended September 30, 2023
Date DeclaredDate DeclaredRecord DatePayment DateDividend per ShareAmount in ThousandsDate DeclaredRecord DatePayment DateDividend per ShareAmount in Thousands
March 27, 2023March 27, 2023March 31, 2023April 28, 2023$0.18 $3,825 March 27, 2023March 31, 2023April 28, 2023$0.18 $3,825 
April 26, 2023April 26, 2023April 28, 2023May 31, 2023$0.18 $4,019 April 26, 2023April 28, 2023May 31, 2023$0.18 $4,019 
May 25, 2023May 25, 2023May 31, 2023June 30, 2023$0.18 $4,103 May 25, 2023May 31, 2023June 30, 2023$0.18 $4,103 
June 27, 2023June 27, 2023June 30, 2023July 28, 2023$0.18 $4,173 June 27, 2023June 30, 2023July 28, 2023$0.18 $4,173 
July 25, 2023July 25, 2023July 28, 2023August 31, 2023$0.18 $4,234 
August 28, 2023August 28, 2023August 31, 2023September 30, 2023$0.19 $5,117 
September 26, 2023September 26, 2023September 30, 2023October 31, 2023$0.20 $5,473 

There were no dividends declared for the three months ended JuneSeptember 30, 2022 and for the period from January 27, 2022 (Inception) to JuneSeptember 30, 2022.

Distribution Reinvestment Plan

The Company has adopted a distribution reinvestment plan, pursuant to which it reinvests all cash dividends declared by the Board on behalf of its shareholders who do not elect to receive their dividends in cash. As a result, if the Board authorizes, and the Company declares, a cash dividend or other distribution, then shareholders who have not opted out of our Company’s distribution reinvestment plan will have their cash distributions automatically reinvested in additional shares as described below, rather than receiving the cash dividend or other distribution. Distributions on fractional shares will be credited to each participating shareholder’s account to three decimal places.

Share Repurchase Plan
The Company has implemented a share repurchase program under which, at the discretion of the Board, the Company may repurchase, in each quarter, up to 5% of the NAV of the Company’s Common Shares outstanding (either by number of shares or aggregate NAV) as of the close of the previous calendar quarter. For the avoidance of doubt, such target amount is assessed each calendar quarter. The Board may amend or suspend the share repurchase program at any time (including to offer to purchase fewer shares) if in its reasonable judgment it deems such action to be in the best interest of shareholders, such as when a repurchase offer would place an undue burden on the Company’s liquidity, adversely affect the Company’s operations or risk having an adverse impact on the Company that would outweigh the benefit of the repurchase offer. As a result, share repurchases may not be available each quarter, or may only be available in an amount less than 5% of our Common Shares outstanding.

The Company intends to conduct such repurchase offers in accordance with the requirements of Rule 13e-4 promulgated under the Securities Exchange Act of 1934, as amended, and the 1940 Act. All shares purchased pursuant to the terms of each tender offer will be retired and thereafter will be authorized and unissued shares.

Under the share repurchase plan, to the extent the Company offers to repurchase shares in any particular quarter, it is expected to repurchase shares pursuant to tender offers using a purchase price equal to the NAV per share as of the last calendar day of the applicable quarter, except that shares that have not been outstanding for at least one year will be repurchased at 98% of such NAV (an “Early Repurchase Deduction”). The one-year holding period is measured as of the subscription closing date immediately following the prospective repurchase date. The Early Repurchase Deduction may be waived in the case of repurchase requests arising from the death, divorce or qualified disability of the holder; in the event that a shareholder’s shares are repurchased because the shareholder has failed to maintain the $500 minimum account balance; due to trade or operational error; and repurchases of shares submitted by discretionary model portfolio management programs (and similar arrangements) as approved by the Company. The Early Repurchase Deduction will be retained by the Company for the benefit of remaining shareholders.

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During the three and sixnine months ended JuneSeptember 30, 2023, no shares were repurchased.

Character of Distributions
The Company may fund its cash distributions to shareholders from any source of funds available to the Company, including but not limited to offering proceeds, borrowings, net investment income from operations, capital gains proceeds from the sale of assets, non-capital gains proceeds from the sale of assets, dividends or other distributions paid to it on account of preferred and common equity investments in portfolio companies and fee and expense reimbursement waivers from the Adviser, which is subject to recoupment, or the Administrator, if any.

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Sources of distributions, other than net investment income and realized gains on a U.S. GAAP basis, include required adjustments to U.S. GAAP net investment income in the current period to determine taxable income available for distributions. The following tables present the sources of cash distributions on a U.S. GAAP basis that the Company has declared on its shares of common stockCommon Shares during the three and sixnine months ended JuneSeptember 30, 2023:

For the Three Months Ended June 30, 2023
For the Three Months Ended September 30, 2023For the Three Months Ended September 30, 2023
Class IClass I
Source of DistributionSource of DistributionPer ShareAmounts
(in thousands)
Source of DistributionPer ShareAmounts
(in thousands)
Net investment incomeNet investment income$0.54 (12,295)Net investment income$0.57 (14,824)
Net realized gainsNet realized gains— — Net realized gains— — 
TotalTotal$0.54 $(12,295)Total$0.57 $(14,824)

For the Six Months Ended June 30, 2023
For the Nine Months Ended September 30, 2023For the Nine Months Ended September 30, 2023
Class IClass I
Source of DistributionSource of DistributionPer ShareAmounts
(in thousands)
Source of DistributionPer ShareAmounts
(in thousands)
Net investment incomeNet investment income$0.72 (16,120)Net investment income$1.29 $(30,944)
Net realized gainsNet realized gains— — Net realized gains— — 
TotalTotal$0.72 $(16,120)Total$1.29 $(30,944)

Debt
In accordance with the 1940 Act, we can borrow amounts such that our asset coverage, as defined in the 1940 Act, is at least 150% after such borrowings, subject to certain limitations.
For the three and nine months ended September 30, 2023, and for the three months ended September 30, 2022 and for the period from January 27, 2022 (Inception) to September 30, 2022, the components of interest expense were as follows:
(Amounts in thousands)Three Months Ended
September 30, 2023
Three Months Ended September 30, 2022Nine Months Ended September 30, 2023January 27, 2022 (Inception) to September 30, 2022
Interest expense$11,267 $1,763 $27,717 $1,822 
Amortization of deferred financing costs503 252 1,370 297 
Total interest expense$11,770 $2,015 $29,087 $2,119 
Average interest rate7.97 %4.72 %7.56 %4.72 %
Average daily borrowings$495,756 $126,133 $423,551 $47,009 

Credit Facilities

On June 17, 2022, Twin Brook Capital Funding XXXIII MSPV, LLC, as borrower (the “MSPV Borrower”), an indirect, wholly-owned subsidiary of the Company, entered into a new loan and servicing agreement (as amended, supplemented or otherwise modified from time to time, the “MSPV Credit Facility”) with Twin Brook Capital Funding XXXIII, LLC, as the
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transferor (the “Transferor”), AGTB Fund Manager, LLC, as the servicer, Morgan Stanley Asset Funding, Inc., as administrative agent, the lenders from time to time party thereto and The Bank of New York Mellon Trust Company, National Association, as the collateral agent, account bank and collateral custodian.
From time to time, the Transferor expects to sell and/or contribute certain investments to the MSPV Borrower. Proceeds from the MSPV Credit Facility will be used to finance the origination and acquisition of loans by the MSPV Borrower, including the purchase of such assets from the Transferor. The Company retains a residual interest in assets contributed to or acquired by the MSPV Borrower through its ownership of the MSPV Borrower. The MSPV Borrower is subject to meet certain covenants under the MSPV Credit Facility agreement. As of JuneSeptember 30, 2023 and December 31, 2022, the MSPV Borrower was in compliance with all such covenants.
The MSPV Credit Facility has a maximum principal amount of $500 million, subject to availability under a borrowing base which consists primarily of commercial loans acquired by the MSPV Borrower from the Transferor, a wholly-owned subsidiary of the Company. The MSPV Borrower may, subject to the applicable prepayment premium, prepay the loans and/or terminate or reduce the revolving commitments under the MSPV Credit Facility at any time without penalty. The obligation of the lenders to make revolving commitments under the MSPV Credit Facility will terminate on June 17, 2025 (the “Reinvestment Period”) with a scheduled final maturity date of June 17, 2027. The revolving loans are subject to an interest rate, during the Reinvestment Period, of Term SOFR plus 2.50% per annum and thereafter, Term SOFR plus 3.00% per annum.

On December 13, 2022, Twin Brook Capital Funding XXXIII ASPV, LLC, as borrower (the “ASPV Borrower”), an indirect, wholly-owned subsidiary of the Company, entered into a new Loan, Security and Collateral Management Agreement (as amended, supplemented or otherwise modified from time to time, the “ASPV Credit Facility”), with the Transferor, AGTB Fund Manager, LLC, as the collateral manager, Ally Bank, as administrative agent and arranger, Computershare Trust Company, National Association, as the collateral custodian, and the lenders from time to time party thereto. On September 19, 2023 the ASPV Credit Facility was amended to appoint Western Alliance Trust Company, N.A., as the successor collateral custodian, and Computershare Trust Company, N.A. resigned as collateral custodian.

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From time to time, the Transferor expects to sell and/or contribute certain investments to the ASPV Borrower. Proceeds from the ASPV Credit Facility will be used to finance the origination and acquisition of loans by the ASPV Borrower, including the purchase of such assets from the Transferor. The Company retains a residual interest in assets contributed to or acquired by the ASPV Borrower through its ownership of the ASPV Borrower.

The ASPV Credit Facility created a revolving loan facility with an initial maximum principal amount of $300 million, subject to availability under a borrowing base which consists primarily of commercial loans acquired by the ASPV Borrower from the Transferor, a wholly-owned subsidiary of the Company. The ASPV Borrower may, subject to the applicable prepayment premium, prepay the loans and/or terminate or reduce the revolving commitments under the ASPV Credit Facility at any time without penalty. The obligation of the lenders to make revolving commitments under the ASPV Credit Facility will terminate on December 12, 2025 (the “Reinvestment Period”) with a scheduled final maturity date of December 12, 2027. The revolving loans will be subject to an interest rate of daily simple SOFR plus 2.875% per annum.

The ASPV Credit Facility is secured by all of the assets of the ASPV Borrower and a pledge of equity interests in the ASPV Borrower. The ASPV Borrower is subject to meet certain covenants under the ASPV Credit Facility agreement. As of JuneSeptember 30, 2023 and December 31, 2022, the ASPV Borrower was in compliance with all such covenants.

The carrying values of borrowings outstanding under the debt facilities approximate fair value. As of JuneSeptember 30, 2023 and December 31, 2022, the asset coverage ratio was 241.0%227.5% and 263.6%, respectively. Debt obligations consisted of the following as of JuneSeptember 30, 2023:
Debt
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Credit facility obligations consisted of the following as of JuneSeptember 30, 2023:
As of June 30, 2023As of September 30, 2023
(Amounts in thousands)(Amounts in thousands)Maximum Principal Amount
Committed
Principal Amount Outstanding
Principal Amount Available(1)
Carrying Value
Assets Pledged as Collateral(2)
(Amounts in thousands)Maximum Principal Amount
Committed
Principal Amount Outstanding
Principal Amount Available(1)
Carrying Value
Assets Pledged as Collateral(2)
ASPV Credit FacilityASPV Credit Facility$300,000 $91,400 $44,073 $91,400 $229,779 ASPV Credit Facility$300,000 $117,000 $54,628 $117,000 $264,739 
MSPV Credit FacilityMSPV Credit Facility$500,000 $331,800 $92,215 $331,800 $664,825 MSPV Credit Facility$500,000 $351,800 $53,042 $351,800 $638,499 
Total debt$800,000 $423,200 $136,288 $423,200 $894,604 
Total credit facilitiesTotal credit facilities$800,000 $468,800 $107,670 $468,800 $903,238 
(1)The amount available reflects any limitations related to the facilities borrowing bases.

Debt obligationsCredit facility consisted of the following as of December 31, 2022:

As of December 31, 2022As of December 31, 2022
(Amounts in thousands)(Amounts in thousands)Maximum Principal Amount
Committed
Principal Amount Outstanding
Principal Amount Available(1)
Carrying Value
Assets Pledged as Collateral(2)
(Amounts in thousands)Maximum Principal Amount
Committed
Principal Amount Outstanding
Principal Amount Available(1)
Carrying Value
Assets Pledged as Collateral(2)
ASPV Credit FacilityASPV Credit Facility$300,000 $20,000 $311 $20,000 $62,932 ASPV Credit Facility$300,000 $20,000 $311 $20,000 $63,592 
MSPV Credit FacilityMSPV Credit Facility$500,000 $303,200 $130,417 $303,200 $677,575 MSPV Credit Facility$500,000 $303,200 $130,417 $303,200 $677,575 
Total debt$800,000 $323,200 $130,728 $323,200 $740,507 
Total credit facilitiesTotal credit facilities$800,000 $323,200 $130,728 $323,200 $741,167 
(1)The amount available reflects any limitations related to the facilities borrowing bases.
ForShort-Term Debt

In order to finance certain investment transactions, the threeCompany may, from time to time, enter into financing agreements, whereby the Company transfers to a third party an investment that it holds in exchange for cash for a period of time, generally not to exceed 180 days from the date it was transferred (each, a “Short Term Financing Transaction”). At the expiration of the agreement, the Company returns the cash and six months ended Juneinterest to the third party and receives the original investment transferred.

As of September 30, 2023 and December 31, 2022, respectively, the Company had $84.9 million and $0 million, respectively,of borrowings under Short Term Financing Transactions with a third party. Certain of the Company’s investments serve as collateral for the three months ended JuneCompany’s obligations under the Short Term Financing Transactions and the carrying value of the pledged investments was $132.5 million and $0 million as of September 30, 2023 and December 31, 2022, respectively.

Short-term debt under Short Term Financing Transactions bore interest at an applicable margin of 8.95% as of September 30, 2023.

In accordance with ASC 860, Transfer and Servicing, the Short Term Financing Transactions meet the criteria for secured borrowings. Accordingly, the period from January 27, 2022 (Inception)investment financed by these agreements remains on the Company’s Consolidated Statements of Assets and Liabilities as an asset, and the Company records a liability to June 30, 2022,reflect its obligation to a third party which is reported as debt on the componentsCompany’s Consolidated Statements of interestAssets and Liabilities. The obligation is secured by the respective investment that is the subject of the agreement. Interest expense were as follows:
(Amounts in thousands)Three Months Ended
June 30, 2023
Three Months Ended
June 30, 2022
Six Months Ended June 30, 2023Period from January 27, 2022 (Inception) to June 30, 2022
Interest expense$9,196 $59 $16,450 $59 
Amortization of deferred financing costs429 45 867 45 
Total interest expense$9,625 $104 $17,317 $104 
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Tableassociated with the Short Term Financing Transactions is reported on the Company’s Consolidated Statements of ContentsOperations within Interest expense.
Average interest rate7.46 %2.26 %7.30 %2.26 %
Average daily borrowings$414,790 $88 $386,850 $52 
Off-Balance Sheet Arrangements
Portfolio Company Commitments
Our investment portfolio may contain debt investments that are in the form of revolving lines of credit and unfunded delayed draw commitments, which require us to provide funding when requested by portfolio companies in accordance with the terms of the underlying loan agreements. Unfunded portfolio company commitments and funded debt investments
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are presented on the consolidated schedule of investments at fair value. Unrealized appreciation or depreciation, if any, is included in the consolidated statements of assets and liabilities and consolidated statements of operations.
As of JuneSeptember 30, 2023 and December 31, 2022, the Company had the following outstanding commitments to fund investments in current portfolio companies:
Portfolio CompanyJune 30, 2023December 31, 2022
First lien senior secured debt(Amounts in thousands)(Amounts in thousands)
 A.P.A. Industries, LLC$1,523 $— 
ACES Intermediate, LLC6,964 6,964 
ADVI Health, LLC1,062 1,062 
AHR Intermediate, Inc8,290 12,139 
ARC Healthcare Technologies, LLC— 9,947 
Ascent Lifting, Inc.1,834 1,345 
Beghou Consulting, LLC2,654 — 
Benefit Plan Administrators of Eau Claire, LLC7,263 8,990 
BPCP EE Intermedco LLC3,387 — 
BPCP WLF Intermedco LLC7,876 7,876 
Bulk Lift International, LLC1,748 1,748 
Change Academy at Lake of the Ozarks, LLC4,436 5,786 
CL Services Acquisition, LLC4,852 — 
CPS Power Buyer, LLC2,049 4,705 
Custom Agronomics Holdings, LLC2,312 2,312 
Double E Company, LLC3,694 4,314 
Endodontic Practice Partners, LLC5,301 6,696 
Esquire Deposition Solutions, LLC2,923 6,007 
Flourish Research Acquisition, LLC2,991 — 
H2 Holdco, Inc.9,549 — 
Helpware, Inc.3,205 3,205 
Hultec Buyer, LLC3,442 — 
Icreon Holdings, LLC1,049 1,049 
Industrial Air Flow Dynamics, Inc.2,537 2,114 
IPC Pain Acquistion, LLC2,188 11,945 
Ironhorse Purchaser, LLC2,132 11,624 
ITSavvy LLC1,969 4,784 
K-1 Packaging Group, LLC.6,748 6,748 
Kwalu, LLC5,061 5,061 
Load One Purchaser Corporation9,214 9,214 
MacKenzie Childs Acquisition, Inc.450 445 
Medical Technology Associates, Inc.1,929 1,929 
Portfolio CompanySeptember 30, 2023December 31, 2022
First lien senior secured debt(Amounts in thousands)(Amounts in thousands)
626 Holdings Equity, LLC$129 $— 
A.P.A Industries, LLC1,523 — 
ACES Intermediate, LLC6,403 6,964 
Advanced Lighting Acquisition, LLC324 — 
ADVI Health, LLC1,062 1,062 
AEP Passion Intermediate Holdings, Inc.30 — 
AFC Industries, Inc.126 — 
Affinitiv, Inc.248 — 
Agility Intermediate, Inc.53 — 
AHR Intermediate, Inc7,072 12,139 
ARC Healthcare Technologies, LLC— 9,947 
Alliance Environmental Group, LLC28 — 
ALM Media, LLC971 — 
Altamira Material Solutions, LP45 — 
AM Buyer, LLC79 — 
Answer Acquisition, LLC18 — 
Apex Dental Partners, LLC122 — 
Aptitude Health Holdings, LLC267 — 
Aquatic Sales Solutions, LLC89 — 
ASC Ortho Management, LLC57 — 
Ascent Lifting, Inc.2,500 1,345 
ASP Global Acquisition, LLC485 — 
AvCarb, LLC38 — 
Banner Buyer, LLC370 — 
Barkley, LLC2,300 — 
BBG Intermediate Holdings, Inc.62 — 
BCI Burke Holding Corp.185 — 
Beacon Oral Specialists Management LLC188 — 
Beghou Consulting, LLC2,714 — 
Behavior Frontiers, LLC38 — 
Benefit Plan Administrators of Eau Claire, LLC7,443 8,990 
Bio Agri Mix Holdings Inc.85 — 
BPCP EE Intermedco LLC3,387 — 
BPCP WLF Intermedco LLC7,876 7,876 
Brightview, LLC96 — 
Bulk Lift International, LLC1,801 1,748 
Canadian Orthodontic Partners Corp.23 — 
CCG Acquisition, Inc.19 — 
Champion Motorsports Group, LLC56 — 
Change Academy at Lake of the Ozarks, LLC2,556 5,786 
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Portfolio CompanyJune 30, 2023December 31, 2022
MWEC Management, LLC3,192 — 
Nasco Healthcare Inc.2,492 3,322 
NEFCO Holding Company, LLC3,551 7,270 
NH Kronos Buyer, Inc.12,443 12,443 
Optimized Marketing Acquisition, LLC2,199 1,861 
Propio LS, LLC3,040 905 
Purpose Home Health Acquisition, LLC8,600 8,600 
QLS Buyer, Inc1,591 — 
Raneys, LLC5,022 1,522 
Renovation Systems, LLC3,076 — 
RKD Group, LLC4,905 4,905 
Rose Paving, LLC2,562 2,006 
Shasta Buyer, LLC1,911 1,962 
Sixarp, LLC6,912 6,912 
Soccer Post Acquisition, LLC1,608 772 
Spear Education Holdings, LLC4,463 4,463 
Sun Orchard, LLC5,223 4,875 
Surplus Solutions, LLC1,771 1,771 
Treat Planet Acquisition, LLC1,965 — 
Universal Pure, LLC5,380 12,228 
US Foot and Ankle Specialists, LLC8,664 12,467 
WCI Volt Purchaser, LLC2,249 2,249 
WTWH Buyer, LLC1,638 1,638 
Yard-Nique, Inc6,500 6,695 
Zipline Logistics, LLC6,214 6,214 
Total unfunded portfolio company commitments$227,803 $243,089 
Portfolio CompanySeptember 30, 2023December 31, 2022
CL Services Acquisition, LLC4,976 — 
Community Care Partners, LLC31 — 
Copperweld Group, Inc.339 — 
Cosmetic Solutions, LLC344 — 
CPS HVAC Group, LLC143 — 
CPS Power Buyer, LLC2,049 4,705 
CR Services Intermediate, LLC225 — 
Custom Agronomics Holdings, LLC2,357 2,312 
DealerOn Inc.314 — 
Dermatology Medical Partners OpCo, LLC26 — 
Diamondback Buyer, LLC45 — 
DNS IMI Acquisition Corp121 — 
Domino Equipment Company, LLC79 — 
Double E Company, LLC3,664 4,314 
Dykstra's Auto, LLC182 — 
Edko Acquisition, LLC38 — 
EH Management Company, LLC26 — 
Empire Equipment Company, LLC408 — 
EMSAR Acquisition LLC13 — 
Endodontic Practice Partners, LLC5,415 6,696 
Engelman Baking Co., LLC186 — 
E-Phoenix Acquisition Co. Inc.75 — 
Esquire Deposition Solutions, LLC5,735 6,007 
Exclusive Concepts, LLC23 — 
Flourish Research Acquisition, LLC1,247 — 
Formulated Buyer, LLC249 — 
Franchise Fastlane, LLC15 — 
FreshAddress, LLC30 — 
Geriatric Medical and Surgical Supply, LLC248 — 
Gold Medal Holdings, Inc.— 
Golden Bear PT Partners, LLC22 — 
Green Monster Acquisition, LLC11 — 
Guardian Dentistry Practice Management, LLC— 
H2 Holdco, Inc.9,789 — 
Helpware, Inc.3,205 3,205 
Highland Acquisition, Inc.30 — 
HLSG Intermediate, LLC40 — 
Home Brands Group Holdings, Inc.48 — 
Hultec Buyer, LLC3,915 — 
Hydromax USA, LLC228 — 
Icelandirect, LLC— 
Icreon Holdings, LLC1,071 1,049 
IMA Group Management Company, LLC209 — 
Industrial Air Flow Dynamics, Inc.2,537 2,114 
Infolinks Media Buyco, LLC53 — 
Innovative FlexPak, LLC31 — 
IPC Pain Acquisition, LLC2,240 11,945 
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Portfolio CompanySeptember 30, 2023December 31, 2022
Ironhorse Purchaser, LLC2,132 11,624 
ISSA, LLC105 — 
ITSavvy LLC2,012 4,784 
Johns Byrne LLC3,527 — 
Juniper Landscaping Holdings LLC22 — 
K-1 Packaging Group, LLC.6,748 6,748 
Kalkomey Enterprises, LLC66 — 
Kwalu, LLC5,061 5,061 
Leonard Group, Inc.234 — 
Load One Purchaser Corporation9,609 9,214 
MacKenzie Childs Acquisition, Inc.450 445 
MacNeill Pride Group Corp.332 — 
Mad Rose Company, LLC— 
Main Street Gourmet, LLC662 — 
Mattco Forge, Inc.506 — 
Medical Technology Associates, Inc.1,966 1,929 
MetaSource, LLC94 — 
Millennia Patient Services, LLC67 — 
Montway LLC150 — 
MRC Keeler Acquisition, LLC150 — 
MWEC Management, LLC2,967 — 
Nasco Healthcare Inc.2,658 3,322 
NEFCO Holding Company, LLC3,855 7,270 
Nelson Name Plate Company90 — 
Network Partners Acquisition, LLC150 — 
NH Kronos Buyer, Inc.12,705 12,443 
Nimlok Company, LLC320 — 
NutriScience Innovations, LLC131 — 
Optimized Marketing Acquisition, LLC1,861 1,861 
P and R Dental Strategies, LLC23 — 
Peak Dental Services, LLC38 — 
Peak Investment Holdings, LLC404 — 
Pentec Acquisition Corp.75 — 
PHGP MB Purchaser, Inc.130 — 
Pink Lily Holdings, LLC63 — 
PPW Acquisition, LLC28 — 
PRA Acquisition, LLC56 — 
Propio LS, LLC— 905 
Purpose Home Health Acquisition, LLC8,788 8,600 
Qin's Buffalo, LLC113 — 
QLS Buyer, Inc1,629 — 
Raneys, LLC5,059 1,522 
Reliable Medical Supply LLC57 — 
Renovation Systems, LLC1,474 — 
Revival Animal Health, LLC86 — 
RKD Group, LLC3,924 4,905 
Rose Paving, LLC1,746 2,006 
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Portfolio CompanySeptember 30, 2023December 31, 2022
RQM Buyer, Inc.161 — 
RTP Acquisition, LLC26 — 
Sage Dental Management, LLC30 — 
SAMGI Buyer, Inc.138 — 
SASE Company, LLC15 — 
SCA Buyer, LLC13 — 
SCP Beverage Buyer, LLC38 — 
SCP ENT and Allergy Services, LLC174 — 
Shasta Buyer, LLC2,081 1,962 
ShiftKey, LLC110 — 
Signature Dental Partners LLC30 — 
Silver Falls MSO, LLC95 — 
SimiTree Acquisition LLC186 — 
SIMKO Merger Sub, LLC6,820 — 
Sixarp, LLC6,912 6,912 
Soccer Post Acquisition, LLC1,856 772 
Southeast Primary Care Partners, LLC36 — 
Southern Orthodontic Partners Management, LLC171 — 
Southern Sports Medicine Partners, LLC35 — 
Spear Education Holdings, LLC4,463 4,463 
Spectrum Solutions, LLC267 — 
Starwest Botanicals Acquisition, LLC47 — 
Stax Holding Company, LLC60 — 
Steel City Wash, LLC— 
Storm Smart Buyer LLC105 — 
Sun Orchard, LLC5,336 4,875 
Surplus Solutions, LLC1,771 1,771 
Teel Plastics, LLC324 — 
The Channel Company, LLC— 
Trademark Global, LLC32 — 
Treat Planet Acquisition, LLC1,965 — 
Triad Technologies, LLC332 — 
TSR Concrete Coatings, LLC1,534 — 
United Land Services Opco Parent, LLC289 — 
Universal Pure, LLC5,139 12,228 
US Foot and Ankle Specialists, LLC3,219 12,467 
USALCO, LLC55 — 
Vanguard Packaging, LLC410 — 
Varsity DuvaSawko Operating Corp.537 — 
Varsity Rejuvenate Partners, LLC767 — 
Vehicle Accessories, Inc.38 — 
Vital Care Buyer, LLC580 — 
WCI Volt Purchaser, LLC2,249 2,249 
Western Veterinary Partners, LLC24 — 
Westminster Cracker Company, Inc.1,534 — 
WTWH Buyer, LLC1,638 1,638 
Yard-Nique, Inc6,515 6,695 
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Portfolio CompanySeptember 30, 2023December 31, 2022
Zipline Logistics, LLC6,214 6,214 
Total unfunded portfolio company commitments$249,629 $243,089 
We seek to carefully manage our unfunded portfolio company commitments for purposes of planning our ongoing financial leverage. Further, we maintain sufficient borrowing capacity within the 150% asset coverage ratio, to cover any outstanding portfolio company unfunded commitments we are required to fund.
Contractual Obligations
A summary of our contractual payment obligations under our credit facilitiesborrowing arrangements as of JuneSeptember 30, 2023 is as follows:

Payment Due by PeriodPayment Due by Period
(Amounts in millions)(Amounts in millions)TotalLess than 1 year1-33-5More than 5 years(Amounts in millions)TotalLess than 1 year1-33-5More than 5 years
ASPV Credit FacilityASPV Credit Facility$91.4 $— $— $91.4 $— ASPV Credit Facility$117.0 $— $— $117.0 $— 
MSPV Credit FacilityMSPV Credit Facility$331.8 $— $— $331.8 $— MSPV Credit Facility$351.8 $— $— $351.8 $— 
Short-Term Financing FacilityShort-Term Financing Facility$84.9 $84.9 $— $— $— 
TotalTotal$423.2 $— $— $423.2 $— Total$553.7 $84.9 $— $468.8 $— 
Related Party Transactions
We have entered into a number of business relationships with affiliated or related parties, including the New A&R Investment Management Agreement, the A&R Administration Agreement, Expense Support and Conditional Reimbursement Agreement and the Resource Sharing Agreement.
In addition to the aforementioned agreements, we intend to rely on exemptive relief that has been granted to us, our Adviser, and Angelo Gordon to permit us to co-invest with other funds managed by Angelo Gordon in a manner consistent
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with our investment objective, positions, policies, strategies and restrictions as well as any regulatory requirements and other pertinent factors. See “Item 1. – Notes to Consolidated Financial Statements – Note 6. Agreements and Related Party Transactions” for further description of our related party transactions.
Critical Accounting Policies
The preparation of our consolidated financial statements requires us to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenues and expenses. Changes in the economic environment, financial markets, and any other parameters used in determining such estimates could cause actual results to differ. Our critical accounting policies, including those relating to the valuation of our investment portfolio, are described in our Annual Report on Form 10-K for the year ended December 31, 2022, filed with the SEC on March 17, 2023, and elsewhere in our filings with the SEC. There have been no significant changes this quarter in our critical accounting policies and practices.
Item 3. Quantitative and Qualitative Disclosures About Market Risk.
Uncertainty with respect to the economic effects of rising interest rates in response to inflation, the Israel-Hamas war, the war in Russia and Ukraine and the ongoing COVID-19 pandemic has introduced significant volatility in the financial markets, and the effect of the volatility could materially impact our market risks, including those listed below. We are subject to financial market risks, including valuation risk and interest rate risk.
Valuation Risk
We have invested, and plan to continue to invest, primarily in illiquid debt and equity securities of private companies. Most of our investments will not have a readily available market price, and therefore, we will value these investments at fair value as determined in good faith by Adviser, pursuant to Rule 2a-5, based on, among other things, the input of independent third party valuation firm(s) engaged by the Adviser, and in accordance with our valuation policy. There is no
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single standard for determining fair value. As a result, determining fair value requires that judgment be applied to the specific facts and circumstances of each portfolio investment while employing a consistently applied valuation process for the types of investments we make. If we were required to liquidate a portfolio investment in a forced or liquidation sale, we may realize amounts that are different from the amounts presented and such differences could be material.
Interest Rate Risk
Interest rate sensitivity refers to the change in earnings that may result from changes in the level of interest rates. We may fund portions of our investments with borrowings on a short term basis, and at such time, our net investment income will be affected by the difference between the rate at which we invest and the rate at which we borrow. Accordingly, we cannot assure you that a significant change in market interest rates will not have a material adverse effect on our net investment income.
As of JuneSeptember 30, 2023, 100% of our debt investments based on fair value in our portfolio were at floating rates.
Based on our Consolidated Statements of Assets and Liabilities as of JuneSeptember 30, 2023, the following table shows the annualized impact on net income of hypothetical base rate changes in interest rates on our debt investments and leverage (considering interest rate floors for floating rate instruments) assuming each floating rate investment is subject to Term SOFR and there are no changes in our investment and borrowing structure:
(Amounts in millions)(Amounts in millions)Interest IncomeInterest ExpenseNet Income(Amounts in millions)Interest IncomeInterest ExpenseNet Income
Up 200 basis pointsUp 200 basis points$19.3 $8.5 $10.8 Up 200 basis points$23.7 $9.4 $14.3 
Up 100 basis pointsUp 100 basis points$9.7 $4.2 $5.5 Up 100 basis points$11.8 $4.7 $7.1 
Down 100 basis pointsDown 100 basis points$(9.7)$(4.2)$(5.5)Down 100 basis points$(11.8)$(4.7)$(7.1)
Down 200 basis pointsDown 200 basis points$(19.3)$(8.5)$(10.8)Down 200 basis points$(23.7)$(9.4)$(14.3)
To a limited extent, we may in the future hedge against interest rate fluctuations by using hedging instruments such as futures, options, swaps and forward contracts, and credit hedging contracts, such as credit default swaps. However, no assurance can be given that such hedging transactions will be entered into or, if they are, that they will be effective.
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Item 4. Controls and Procedures.
Evaluation of Disclosure Controls and Procedures
In accordance with Rules 13a-15(b) and 15d-15(b) of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), we, under the supervision and with the participation of our Chief Executive Officer and Chief Financial Officer, carried out an evaluation of the effectiveness of our disclosure controls and procedures (as defined in Rule 13a-15(e) and Rule 15d-15(e) of the Exchange Act) as of the end of the period covered by this Quarterly Report on Form 10-Q and determined that our disclosure controls and procedures are effective as of the end of the period covered by the Quarterly Report on Form 10-Q.
Changes in Internal Controls over Financial Reporting
There have been no changes in our internal control over financial reporting that occurred during the period ended JuneSeptember 30, 2023 that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.
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PART II – OTHER INFORMATION
Item 1. Legal Proceedings.
We are not currently subject to any material legal proceedings, nor, to our knowledge, are any material legal proceedings threatened against us. From time to time, we may be a party to certain legal proceedings in the ordinary course of business, including proceedings relating to the enforcement of our rights under contracts with our portfolio companies. Our business is also subject to extensive regulation, which may result in regulatory proceedings against us. While the outcome of any such future legal or regulatory proceedings cannot be predicted with certainty, we do not expect that any such future proceedings will have a material effect upon our financial condition or results of operations.
Item 1A. Risk Factors.
In addition to the other information set forth in this report, you should carefully consider the factors discussed in Part I, “Item 1A. Risk Factors” in our Annual Report on Form 10-K for the year ended December 31, 2022 and our Quarterly ReportReports on Form 10-Q for the quarter ended March 31 and June 30, 2023, filed with the SEC on March 17, 2023, and May 12, 2023, and August 11, 2023 respectively, which could materially affect our business, financial condition and/or operating results. The risks are not the only risks we face. Additional risks and uncertainties are not currently known to us or that we currently deem to be immaterial also may materially adversely affect our business, financial condition and/or operating results.


Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.
We did not sell any securities during the period covered by this Quarterly Report on Form 10-Q that were not registered under the Securities Act.
Item 3. Defaults Upon Senior Securities.
None.
Item 4. Mine Safety Disclosures.
Not applicable.
Item 5. Other Information.
During the fiscal quarter ended JuneSeptember 30, 2023, none of our trustees or executive officers adopted or terminated any contract, instruction or written plan for the purchase or sale of our securities to satisfy the affirmative defense conditions of Rule 10b5-1(c) or any “non-Rule 10b5-1 trading arrangement”.
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Item 6. Exhibits.

Exhibit No.Description
___________________
*Filed herewith
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused his report to be signed on its behalf by the undersigned thereunto duly authorized.
AG Twin Brook Capital Income Fund
August 11,November 13, 2023By:/s/ Trevor Clark
Trevor Clark
Chief Executive Officer
(Principal Executive Officer)
August 11,November 13, 2023By:/s/ Terrence Walters
Terrence Walters
Chief Financial Officer and Treasurer
(Principal Financial Officer and Principal Accounting Officer)
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