0001913724Qin's Buffalo, LLC2023-09-30

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

FORM 10-Q

(Mark One)


x			QUARTERLY REPORT PURSUANT TO SECTION 13 or 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended ~~June~~September 30, 2023


o			TRANSITION 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)


Delaware			88-6102187

(State or other jurisdiction of incorporation or organization)			(I.R.S. Employer Identification No.)

245 Park Avenue, 26th Floor, New York, NY			10167
(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 class

Trading
Symbol(s)

Name of each exchange
on which registered

None

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 filer

Accelerated filer

Non-accelerated filer

Smaller reporting company

Emerging growth company

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 23,183,428~~Registrant’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


PART I	FINANCIAL INFORMATION	2
Item 1.	Financial Statements	2
	Consolidated Statements of Assets and Liabilities as of ~~June~~September 30, 2023 (Unaudited) and December 31, 2022	2
	Consolidated Statements of Operations for the Three and ~~Six~~Nine Months Ended ~~June~~September 30, 2023 and for the Three Months Ended ~~June~~September 30, 2022 and for the Period January 27, 2022 (Inception) ~~through June~~to September 30, 2022 (Unaudited)	3
	Consolidated Statements of Changes in Net Assets for the Three and ~~Six~~Nine Months ended ~~June~~September 30, 2023 and for the Three Months Ended ~~June~~September 30, 2022 and for the period January 27, 2022 (Inception) ~~through June~~to September 30, 2022 (Unaudited)	4
	Consolidated Statements of Cash Flows for the SixNine Months Ended ~~June~~September 30, 2023 (Unaudited) and for the period January 27, 2022 (Inception) ~~through June~~to September 30, 2022 (Unaudited)	5
	Consolidated Schedules of Investments as of ~~June~~September 30, 2023 (Unaudited) and December 31, 2022	67
	Notes to Consolidated Financial Statements (Unaudited)	1932
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	4263
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	5985
Item 4.	Controls and Procedures	6086

PART II	OTHER INFORMATION	6187
Item 1.	Legal Proceedings	6187
Item 1A.	Risk Factors	6187
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	6187
Item 3.	Defaults Upon Senior Securities	6187
Item 4.	Mine Safety Disclosures	6187
Item 5.	Other Information	6187
Item 6.	Exhibits	6288
Signatures		6389

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, 2023		December 31, 2022			September 30, 2023		December 31, 2022
		(Unaudited)					(Unaudited)
Assets	Assets					Assets
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 contracts						Unrealized gain on foreign currency forward contracts	9		—
Cash	Cash	15,350		22,659		Cash	16,959		22,659
Restricted cash	Restricted cash	25,956		15,850		Restricted cash	29,508		15,850
Contributions receivable						Contributions receivable	10,100		—
Deferred financing costs	Deferred financing costs	7,175		7,892		Deferred financing costs	6,745		7,892
Interest receivable	Interest receivable	3,802		6,023		Interest receivable	4,734		6,023
Deferred offering costs	Deferred offering costs	1,086		459		Deferred offering costs	1,545		459
Prepaid expenses	Prepaid expenses	38		138		Prepaid expenses	463		138
Total assets	Total assets	$	1,037,749	$	877,508	Total assets	$	1,282,439	$	877,508
Liabilities	Liabilities					Liabilities
Debt (Note 5)	Debt (Note 5)	$	423,200	$	323,200	Debt (Note 5)	$	553,652	$	323,200
Interest payable	Interest payable	6,206		4,782		Interest payable	8,044		4,782
Dividend payable	Dividend payable	4,173		15,707		Dividend payable	5,472		15,707
Accrued expenses and other liabilities payable to affiliate						Accrued expenses and other liabilities payable to affiliate	2,367		1,064
Income incentive fee payable	Income incentive fee payable	1,915		1,412		Income incentive fee payable	2,205		1,412
Management fees payable	Management fees payable	1,770		1,397		Management fees payable	1,986		1,397
Accrued expenses and other liabilities payable to affiliate		1,390		1,064
Deferred tax liability	Deferred tax liability	924		—		Deferred tax liability	1,350		—
Deferred income						Deferred income	832		614
Capital gains incentive fee payable	Capital gains incentive fee payable	793		249		Capital gains incentive fee payable	615		249
Deferred income		509		614
Due to affiliate	Due to affiliate	—		188		Due to affiliate	—		188
Total liabilities	Total liabilities	440,880		348,613		Total liabilities	576,523		348,613
Commitments and contingencies (Note 7)
Commitments and contingencies (Note 8)						Commitments and contingencies (Note 8)
Net assets	Net assets					Net 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, respectively						Class 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-capital	Additional paid-in-capital	583,748		528,878		Additional paid-in-capital	690,569		528,878
Total distributable earnings (loss)	Total distributable earnings (loss)	13,098		(4)		Total distributable earnings (loss)	15,320		(4)
Total net assets	Total net assets	596,869		528,895		Total net assets	705,916		528,895
Total liabilities and net assets	Total liabilities and net assets	$	1,037,749	$	877,508	Total liabilities and net assets	$	1,282,439	$	877,508
Net asset value per share	Net 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.

Table of Contents

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, 2022			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
Investment income	Investment income									Investment 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:
Interest	Interest	$	28,312	$	297	$	52,451	$	297	Interest	$	34,963	$	6,997	$	87,414	$	7,294
Other	Other	331		418		1,259		418		Other	475		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 income	Total investment income	28,643		715		53,710		715		Total investment income	35,438		8,926		89,148		9,641
Expenses	Expenses									Expenses
Interest	Interest	$	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 costs	Offering costs	836		60		1,618		60		Offering costs	739		144		2,357		204
Other		357		38		643		38
Professional fees	Professional fees	721		16		1,273		16		Professional fees	136		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		—
Other										Other	275		340		917		378
Organizational costs	Organizational costs	—		61		528		381		Organizational costs	—		—		528		381
Accounting fees	Accounting fees	114		72		272		72		Accounting fees	174		129		446		201
Capital gains incentive fees(1)										Capital gains incentive fees(1)	(178)		46		365		46
Insurance fees	Insurance fees	23		82		112		82		Insurance fees	147		91		259		173
Trustees' fees	Trustees' fees	45		52		89		52		Trustees' fees	45		45		134		97
Total expenses	Total expenses	15,936		914		30,462		1,234		Total expenses	17,682		4,574		48,143		5,808
Net investment income (loss) before taxes	Net 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 taxes	Net 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 transactions	Net realized and unrealized gain (loss) on investment transactions									Net 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 investments	3		72		(15)		72
Non-controlled, affiliated investments										Non-controlled, affiliated investments	5		—		5		—
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 investments	Non-controlled, non-affiliated investments	29		(6)		199		(6)		Non-controlled, non-affiliated investments	(1,415)		301		(1,216)		295
Non-controlled, affiliated investments	Non-controlled, affiliated investments	1,644		—		4,165		—		Non-controlled, affiliated investments	(47)		—		4,118		—
Foreign currency forward contracts										Foreign currency forward contracts	9		—		9		—
Total net realized and unrealized gain (loss) on investment transactions	Total net realized and unrealized gain (loss) on investment transactions	1,673		(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 operations	Net 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 diluted		22,724,706		2,241,785		21,890,401		1,533,872

(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 corporation~~corporations for United States federal income tax purposes

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

Table of Contents

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, 2022			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
Increase (decrease) in net assets resulting from operations	Increase (decrease) in net assets resulting from operations									Increase (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)	8		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 operations	Net 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
Dividends	Dividends									Dividends
Dividends declared from earnings	Dividends declared from earnings	(12,295)		—		(16,120)		—		Dividends declared from earnings	(14,824)		—		(30,944)		—
Net increase (decrease) in net assets resulting from dividends	Net 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 transactions	Capital share transactions									Capital share transactions
Proceeds from shares sold	Proceeds from shares sold	49,325		174,998		57,140		175,000		Proceeds from shares sold	106,863		126,000		164,003		301,000
Distributions reinvested	Distributions reinvested	284		—		284		—		Distributions reinvested	734		—		1,017		—
Net increase (decrease) in net assets resulting from capital share transactions	Net increase (decrease) in net assets resulting from capital share transactions	49,609		174,998		57,424		175,000		Net increase (decrease) in net assets resulting from capital share transactions	107,597		126,000		165,020		301,000
Total increase (decreases) in net assets	Total increase (decreases) in net assets	51,348		174,793		67,974		174,475		Total increase (decreases) in net assets	109,047		130,725		177,021		305,200
Net assets, at beginning of period	Net assets, at beginning of period	545,521		(318)		528,895		—		Net assets, at beginning of period	596,869		174,475		528,895		—
Net assets, at end of period	Net 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.

Table of Contents

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, 2022			Nine Months Ended September 30, 2023		Period from January 27, 2022 (Inception) to September 30, 2022
Cash flows from operating activities	Cash flows from operating activities					Cash flows from operating activities
Net increase (decrease) in net assets resulting from operations	Net 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 investments	Net realized (gain) loss on investments	18		—		Net realized (gain) loss on investments	10		(72)
Net change in unrealized (appreciation) depreciation on investments	Net change in unrealized (appreciation) depreciation on investments	(4,364)		6		Net change in unrealized (appreciation) depreciation on investments	(2,902)		(295)
Net change in unrealized (appreciation) depreciation on foreign currency forward contracts						Net change in unrealized (appreciation) depreciation on foreign currency forward contracts	(9)		—
Net accretion on debt instruments	Net accretion on debt instruments	(2,186)		(25)		Net accretion on debt instruments	(3,539)		(377)
Net paydown gain on debt instruments	Net paydown gain on debt instruments	(359)		—		Net paydown gain on debt instruments	(936)		(167)
Interest received in-kind	Interest 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 investments	Proceeds from sales and paydowns of investments	100,849		—		Proceeds from sales and paydowns of investments	139,749		36,260
Amortization of deferred financing costs	Amortization of deferred financing costs	867		45		Amortization of deferred financing costs	1,370		297
Amortization of deferred offering costs	Amortization of deferred offering costs	1,618		60		Amortization of deferred offering costs	2,357		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 receivable	2,221		(243)		(Increase) decrease in interest receivable	1,289		(2,468)
(Increase) decrease in prepaid expenses	(Increase) decrease in prepaid expenses	100		—		(Increase) decrease in prepaid expenses	(325)		—
Increase (decrease) in interest payable	Increase (decrease) in interest payable	1,424		58		Increase (decrease) in interest payable	3,262		1,476
Increase (decrease) in accrued expenses and other liabilities payable to affiliate	Increase (decrease) in accrued expenses and other liabilities payable to affiliate	326		466		Increase (decrease) in accrued expenses and other liabilities payable to affiliate	1,303		634
Increase (decrease) in income incentive fees payable	Increase (decrease) in income incentive fees payable	503		—		Increase (decrease) in income incentive fees payable	793		649
Increase (decrease) in management fees payable	Increase (decrease) in management fees payable	373		174		Increase (decrease) in management fees payable	589		682
Increase (decrease) in deferred tax liability	Increase (decrease) in deferred tax liability	924		—		Increase (decrease) in deferred tax liability	1,350		—
Increase (decrease) in deferred income						Increase (decrease) in deferred income	218		501
Increase (decrease) in capital gains incentive fees payable	Increase (decrease) in capital gains incentive fees payable	544		—		Increase (decrease) in capital gains incentive fees payable	366		46
Increase (decrease) in deferred income		(105)		107
Increase (decrease) in due to affiliate	Increase (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 activities	Net cash used in operating activities	(124,578)		(85,134)		Net cash used in operating activities	(332,569)		(532,249)
Cash flows from financing activities	Cash flows from financing activities					Cash flows from financing activities
Dividends paid	Dividends paid	(27,370)		—		Dividends paid	(40,162)		—
Proceeds from issuance of common shares	Proceeds from issuance of common shares	57,140		173,512		Proceeds from issuance of common shares	153,903		301,000
Borrowings on debt	Borrowings on debt	230,400		1,000		Borrowings on debt	462,363		415,200
Payments on debt	Payments on debt	(130,400)		—		Payments on debt	(231,911)		(108,300)
Payments for deferred financing costs	Payments for deferred financing costs	(150)		(3,522)		Payments for deferred financing costs	(223)		(3,522)
Payments for deferred offering costs	Payments for deferred offering costs	(2,245)		(360)		Payments for deferred offering costs	(3,443)		(650)
Net cash provided by financing activities	Net cash provided by financing activities	127,375		170,630		Net cash provided by financing activities	340,527		603,728
Net change in cash	Net change in cash	2,797		85,496		Net change in cash	7,958		71,479
Cash
Cash, beginning of period		38,509		—
Cash, end of period		$	41,306	$	85,496
Cash and restricted cash						Cash and restricted cash
Cash and restricted cash, beginning of period						Cash and restricted cash, beginning of period	38,509		—
Cash and restricted cash, end of period						Cash and restricted cash, end of period	$	46,467	$	71,479
Supplemental and non-cash information	Supplemental and non-cash information					Supplemental and non-cash information
Contributions receivable		$	—	$	1,488
Distributions reinvested		$	284	$	—
Cash paid during the period for interest		$	15,026	$	1
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 cash		25,956		—
Total cash and restricted cash		$	41,306	$	85,496

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

Table of Contents


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 cash	29,508		—
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.

Table of Contents

AG Twin Brook Capital Income Fund

Consolidated Schedule of Investments

As of ~~June~~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
Investments
Non-controlled/non-affiliated senior secured debt
Air freight and logistics
Load One Purchaser Corporation (6) First lien senior secured delayed draw term loan S + 5.75% 11.25% 6/21/2028 $ 6,080 $ (94) $ (92) (0.02) %
Load One Purchaser Corporation First lien senior secured revolving loan S + 5.75% 11.25% 6/21/2028 3,482 291 296 0.05 %
Load One Purchaser Corporation First lien senior secured term loan S + 5.75% 11.25% 6/21/2028 13,410 13,175 13,200 2.21 %
Zipline Logistics, LLC (6) First lien senior secured delayed draw term loan S + 5.75% 10.97% 9/19/2027 4,527 (76) (70) (0.01) %
Zipline Logistics, LLC (6) First lien senior secured revolving loan S + 5.75% 10.97% 9/19/2027 1,687 (28) (26) 0.00 %
Zipline Logistics, LLC First lien senior secured term loan S + 5.75% 10.97% 9/19/2027 6,889 6,768 6,779 1.14 %
20,036 20,087 3.37 %
Auto components
Raneys, LLC First lien senior secured delayed draw term loan S + 6.00% 11.45% 6/7/2027 $ 4,855 $ 1,255 $ 1,270 0.21 %
Raneys, LLC (6) First lien senior secured revolving loan S + 6.00% 11.50% 6/7/2027 1,522 (29) (27) 0.00 %
Raneys, LLC First lien senior secured term loan S + 6.00% 11.50% 6/7/2027 8,894 8,715 8,735 1.46 %
A.P.A. Industries, LLC (6) First lien senior secured revolving loan S + 6.25% 11.75% 1/10/2028 1,523 (35) (33) (0.01) %
A.P.A. Industries, LLC First lien senior secured term loan S + 6.25% 11.75% 1/10/2028 10,065 9,836 9,849 1.65 %
19,742 19,794 3.31 %
Chemicals
Custom Agronomics Holdings, LLC (6) First lien senior secured revolving loan S + 6.50% 12.00% 8/30/2027 $ 2,312 $ (39) $ (35) (0.01) %
Custom Agronomics Holdings, LLC First lien senior secured term loan S + 6.50% 12.00% 8/30/2027 3,910 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 loan S + 6.25% 11.45% 8/5/2028 $ 2,537 $ (43) $ (39) (0.01) %
Industrial Air Flow Dynamics, Inc. First lien senior secured term loan S + 6.25% 11.45% 8/5/2028 17,668 17,353 17,390 2.91 %
QLS Buyer, Inc (6) First lien senior secured revolving loan S + 6.00% 11.23% 5/2/2028 1,591 (38) (38) (0.01) %
QLS Buyer, Inc First lien senior secured term loan S + 6.00% 11.23% 5/2/2028 12,434 12,132 12,132 2.03 %
29,404 29,445 4.92 %
Construction and engineering
Rose Paving, LLC First lien senior secured revolving loan S + 5.50% 10.94% 11/7/2028 $ 4,961 $ 2,285 $ 2,295 0.38 %
Rose Paving, LLC First lien senior secured term loan S + 5.50% 10.70% 11/7/2028 16,768 16,391 16,415 2.75 %
Ironhorse Purchaser, LLC First lien senior secured delayed draw term loan S + 6.50% 12.00% 9/30/2027 9,366 9,252 9,262 1.55 %
Ironhorse Purchaser, LLC (7) First lien senior secured revolving loan S + 6.50% 11.84% 9/30/2027 5,813 3,590 3,617 0.61 %
Ironhorse Purchaser, LLC First lien senior secured term loan S + 6.50% 12.00% 9/30/2027 30,452 30,043 30,099 5.04 %
61,561 61,688 10.33 %

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

~~Table of Contents~~

~~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 loan S + 6.75% 12.25% 11/15/2027 $ 1,748 $ (43) $ (41) (0.01) %
Bulk Lift International, LLC First lien senior secured term loan S + 6.75% 12.25% 11/15/2027 5,787 5,645 5,653 0.95 %
K-1 Packaging Group, LLC. (6) First lien senior secured revolving loan S + 6.00% 11.22% 10/6/2027 6,748 (144) (136) (0.02) %
K-1 Packaging Group, LLC. First lien senior secured term loan S + 6.00% 11.22% 10/6/2027 32,949 32,208 32,278 5.42 %
Sixarp, LLC (6) First lien senior secured delayed draw term loan S + 5.25% 10.75% 8/5/2027 3,180 (51) (48) (0.01) %
Sixarp, LLC (6) First lien senior secured revolving loan S + 5.25% 10.75% 8/5/2027 3,732 (61) (56) (0.01) %
Sixarp, LLC First lien senior secured term loan S + 5.25% 10.75% 8/5/2027 19,726 19,386 19,422 3.25 %
56,940 57,072 9.57 %
Diversified consumer services
ACES Intermediate, LLC (6) First lien senior secured revolving loan S + 5.50% 10.72% 7/27/2027 $ 6,964 $ (113) $ (104) (0.02) %
ACES Intermediate, LLC First lien senior secured term loan S + 5.50% 10.72% 7/27/2027 31,219 30,693 30,747 5.16 %
Yard-Nique, Inc First lien senior secured delayed draw term loan S + 6.00% 11.39% 4/30/2026 6,086 399 402 0.07 %
Yard-Nique, Inc (6) First lien senior secured revolving loan S + 6.00% 11.39% 4/30/2026 870 (10) (9) 0.00 %
Yard-Nique, Inc First lien senior secured term loan S + 6.00% 11.39% 4/30/2026 6,705 6,631 6,640 1.11 %
Esquire Deposition Solutions, LLC First lien senior secured delayed draw term loan S + 6.50% 11.90% 12/30/2027 3,842 2,331 2,332 0.39 %
Esquire Deposition Solutions, LLC First lien senior secured revolving loan S + 6.50% 11.89% 12/30/2027 2,162 590 592 0.10 %
Esquire Deposition Solutions, LLC First lien senior secured term loan S + 6.50% 11.89% 12/30/2027 13,391 13,026 13,041 2.18 %
CL Services Acquisition, LLC First lien senior secured delayed draw term loan S + 6.25% 11.65% 4/25/2028 7,090 3,658 3,658 0.61 %
CL Services Acquisition, LLC (6) First lien senior secured revolving loan S + 6.25% 11.47% 4/25/2028 1,591 (38) (38) (0.01) %
CL Services Acquisition, LLC First lien senior secured term loan S + 6.25% 11.47% 4/25/2028 9,891 9,651 9,648 1.62 %
66,818 66,909 11.21 %
Electrical equipment
WCI Volt Purchaser, LLC (6) First lien senior secured revolving loan S + 5.75% 11.25% 9/15/2028 $ 2,249 $ (39) $ (36) (0.01) %
WCI Volt Purchaser, LLC First lien senior secured term loan S + 5.75% 11.25% 9/15/2028 9,834 9,656 9,674 1.62 %
9,617 9,638 1.61 %
Electronic equipment, instruments and components
ITSavvy LLC First lien senior secured delayed draw term loan S + 5.25% 10.57% 8/8/2028 $ 2,428 $ 2,183 $ 2,184 0.37 %
ITSavvy LLC (6) First lien senior secured revolving loan S + 5.50% 11.05% 8/8/2028 1,741 (15) (12) 0.00 %
ITSavvy LLC First lien senior secured term loan S + 5.50% 11.05% 8/8/2028 11,188 11,092 11,114 1.86 %
13,260 13,286 2.23 %
Food and staples retailing
Universal Pure, LLC First lien senior secured delayed draw term loan S + 6.00% 11.34% 10/31/2028 $ 355 $ 36 $ 36 0.01 %
Universal Pure, LLC (8) First lien senior secured revolving loan S + 6.00% 11.36% 10/31/2028 6,992 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 loan	S +	5.25%	10.84%	12/6/2024	$	506	$	(6)	$	(5)	0.00	%
Mattco Forge, Inc.	First lien senior secured term loan	S +	5.25%	10.84%	12/6/2024	2,064		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 loan	S +	6.00%	11.65%	6/21/2028	$	6,230	$	(91)	$	(90)	(0.01)	%
Load One Purchaser Corporation	First lien senior secured revolving loan	S +	6.00%	11.65%	6/21/2028	3,557		123		127		0.02	%
Load One Purchaser Corporation	First lien senior secured term loan	S +	6.00%	11.65%	6/21/2028	14,180		13,949		13,968		1.98	%
Zipline Logistics, LLC (6)	First lien senior secured delayed draw term loan	S +	5.75%	11.18%	9/19/2027	4,527		(72)		(66)		(0.01)	%
Zipline Logistics, LLC (6)	First lien senior secured revolving loan	S +	5.75%	11.18%	9/19/2027	1,687		(27)		(25)		0.00	%
Zipline Logistics, LLC	First lien senior secured term loan	S +	5.75%	11.18%	9/19/2027	6,872		6,755		6,765		0.96	%
								20,637		20,679		2.94	%
Auto components
Raneys, LLC	First lien senior secured delayed draw term loan	S +	6.50%	12.15%	6/7/2027	$	4,852	$	1,259	$	1,272	0.18	%
Raneys, LLC (6)	First lien senior secured revolving loan	S +	6.50%	12.15%	6/7/2027	1,560		(28)		(26)		0.00	%
Raneys, LLC	First lien senior secured term loan	S +	6.50%	12.15%	6/7/2027	9,321		9,147		9,163		1.30	%
A.P.A. Industries, LLC (6)	First lien senior secured revolving loan	S +	6.00%	11.65%	1/10/2028	1,523		(33)		(31)		0.00	%
A.P.A. Industries, LLC	First lien senior secured term loan	S +	6.00%	11.65%	1/10/2028	9,704		9,492		9,503		1.35	%
AvCarb, LLC	First lien senior secured delayed draw term loan	S +	2.00% + 5.00% PIK	12.90%	11/12/2026	231		227		226		0.03	%
AvCarb, LLC (6)	First lien senior secured revolving loan	S +	2.00% + 5.00% PIK	12.90%	11/12/2026	38		—		(1)		0.00	%
AvCarb, LLC	First lien senior secured term loan	S +	2.00% + 5.00% PIK	12.90%	11/12/2026	493		488		486		0.07	%
CCG Acquisition, Inc. (6)	First lien senior secured revolving loan	S +	6.00%	11.65%	5/17/2027	19		—		—		0.00	%
CCG Acquisition, Inc.	First lien senior secured term loan	S +	6.00%	11.65%	5/17/2027	421		419		417		0.06	%
Vehicle Accessories, Inc. (6)	First lien senior secured revolving loan	S +	5.25%	10.90%	11/30/2026	38		—		—		0.00	%
Vehicle Accessories, Inc.	First lien senior secured term loan	S +	5.25%	10.90%	11/30/2026	1,654		1,654		1,648		0.23	%
								22,625		22,657		3.22	%
Chemicals
Custom Agronomics Holdings, LLC (6)	First lien senior secured revolving loan	S +	6.50%	12.15%	8/30/2027	$	2,357	$	(37)	$	(34)	0.00	%
Custom Agronomics Holdings, LLC	First lien senior secured term loan	S +	6.50%	12.15%	8/30/2027	4,134		4,066		4,071		0.58	%
AM Buyer, LLC	First lien senior secured revolving loan	S +	6.75%	12.38%	5/1/2025	111		31		31		0.00	%
AM Buyer, LLC	First lien senior secured term loan	S +	6.75%	12.40%	5/1/2025	466		465		463		0.07	%
Answer Acquisition, LLC	First lien senior secured revolving loan	S +	5.75%	11.29%	12/30/2026	38		19		19		0.00	%
Answer Acquisition, LLC	First lien senior secured term loan	S +	5.75%	11.29%	12/30/2026	1,686		1,672		1,664		0.24	%

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

Table of Contents

AG Twin Brook Capital Income Fund

Consolidated Schedule of Investments

As of ~~June~~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
Universal Pure, LLC First lien senior secured term loan S + 6.00% 11.39% 10/31/2028 17,009 16,584 16,602 2.78 %
18,372 18,398 3.08 %
Food products
Sun Orchard, LLC (6) First lien senior secured revolving loan S + 5.25% 10.75% 7/8/2027 $ 5,223 $ (84) $ (77) (0.01) %
Sun Orchard, LLC First lien senior secured term loan S + 5.25% 10.75% 7/8/2027 9,408 9,252 9,268 1.55 %
BPCP WLF Intermedco LLC (6) First lien senior secured delayed draw term loan S + 6.00% 11.39% 8/19/2027 5,846 (97) (89) (0.01) %
BPCP WLF Intermedco LLC First lien senior secured revolving loan S + 6.00% 11.39% 8/19/2027 3,383 1,297 1,302 0.22 %
BPCP WLF Intermedco LLC First lien senior secured term loan S + 6.00% 11.39% 8/19/2027 23,209 22,815 22,852 3.83 %
Treat Planet Acquisition, LLC (6) First lien senior secured revolving loan S + 6.50% 12.00% 1/11/2028 1,965 (53) (52) (0.01) %
Treat Planet Acquisition, LLC First lien senior secured term loan S + 6.50% 12.00% 1/11/2028 7,264 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 loan S + 6.25% 11.75% 7/25/2028 $ 1,929 $ (41) $ (37) (0.01) %
Medical Technology Associates, Inc. First lien senior secured term loan S + 6.25% 11.75% 7/25/2028 14,286 13,970 14,010 2.35 %
Nasco Healthcare Inc. (9) First lien senior secured revolving loan S + 5.75% 11.13% 6/30/2025 3,322 800 803 0.13 %
Nasco Healthcare Inc. First lien senior secured term loan S + 5.75% 11.14% 6/30/2025 17,722 17,561 17,581 2.95 %
Surplus Solutions, LLC (6) First lien senior secured revolving loan S + 6.00% 11.50% 11/30/2027 1,771 (39) (37) (0.01) %
Surplus Solutions, LLC First lien senior secured term loan S + 6.00% 11.50% 11/30/2027 10,093 9,871 9,882 1.66 %
42,122 42,202 7.07 %
Health care providers and services
Benefit Plan Administrators of Eau Claire, LLC First lien senior secured delayed draw term loan S + 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 loan S + 5.50% 10.79% 6/7/2026 1,672 (20) (18) 0.00 %
Benefit Plan Administrators of Eau Claire, LLC First lien senior secured term loan S + 5.50% 10.79% 6/7/2026 12,897 12,730 12,748 2.14 %
Change Academy at Lake of the Ozarks, LLC First lien senior secured revolving loan S + 5.50% 11.00% 8/2/2027 5,786 1,255 1,263 0.21 %
Change Academy at Lake of the Ozarks, LLC First lien senior secured term loan S + 5.50% 10.89% 8/2/2027 29,547 29,051 29,098 4.88 %
Endodontic Practice Partners, LLC First lien senior secured delayed draw term loan S + 6.00% 11.66% 11/2/2027 16,642 12,780 12,801 2.14 %
Endodontic Practice Partners, LLC First lien senior secured revolving loan S + 6.00% 11.22% 11/2/2027 1,918 156 161 0.03 %
Endodontic Practice Partners, LLC First lien senior secured term loan S + 6.00% 11.46% 11/2/2027 14,846 14,568 14,610 2.45 %
IPC Pain Acquisition, LLC First lien senior secured delayed draw term loan S + 6.00% 11.22% 5/19/2027 10,830 9,680 9,683 1.62 %
IPC Pain Acquisition, LLC (6) First lien senior secured revolving loan S + 6.00% 11.22% 5/19/2027 1,115 (13) (11) 0.00 %
IPC Pain Acquisition, LLC First lien senior secured term loan S + 6.00% 11.22% 5/19/2027 2,771 2,737 2,742 0.46 %
NH Kronos Buyer, Inc. (6) First lien senior secured revolving loan S + 6.25% 11.64% 11/1/2028 12,443 (332) (292) (0.05) %
NH Kronos Buyer, Inc. First lien senior secured term loan S + 6.25% 11.64% 11/1/2028 51,746 50,345 50,497 8.46 %
Propio LS, LLC First lien senior secured revolving loan S + 5.50% 11.02% 8/2/2027 3,619 520 525 0.09 %
Propio LS, LLC First lien senior secured term loan S + 5.50% 10.96% 8/2/2027 19,741 19,405 19,442 3.26 %
Purpose Home Health Acquisition, LLC (6) First lien senior secured delayed draw term loan S + 6.25% 11.71% 11/3/2027 6,682 (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, LLC	First lien senior secured revolving loan	S +	6.00%	11.43%	11/15/2026	38		22		22		0.00	%
SASE Company, LLC	First lien senior secured term loan	S +	6.00%	11.43%	11/15/2026	1,603		1,590		1,584		0.22	%
Teel Plastics, LLC (6)	First lien senior secured revolving loan	S +	5.00%	10.43%	1/24/2025	324		(1)		(1)		0.00	%
Teel Plastics, LLC	First lien senior secured term loan	S +	5.00%	10.43%	1/24/2025	1,774		1,775		1,768		0.25	%
USALCO, LLC	First lien senior secured revolving loan	S +	6.00%	11.43%	10/19/2026	100		45		45		0.01	%
USALCO, LLC	First lien senior secured term loan	S +	6.00%	11.43%	10/19/2027	1,870		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 loan	S +	6.25%	11.77%	8/5/2028	$	2,537	$	(41)	$	(37)	(0.01)	%
Industrial Air Flow Dynamics, Inc.	First lien senior secured term loan	S +	6.25%	11.77%	8/5/2028	17,623		17,316		17,350		2.46	%
QLS Buyer, Inc (6)	First lien senior secured revolving loan	S +	6.00%	11.52%	5/2/2028	1,629		(37)		(35)		0.00	%
QLS Buyer, Inc	First lien senior secured term loan	S +	6.00%	11.52%	5/2/2028	12,882		12,580		12,599		1.78	%
Alliance Environmental Group, LLC	First lien senior secured delayed draw term loan	S +	6.00%	11.65%	12/30/2027	74		53		53		0.01	%
Alliance Environmental Group, LLC	First lien senior secured revolving loan	S +	6.00%	11.65%	12/30/2027	38		30		29		0.00	%
Alliance Environmental Group, LLC	First lien senior secured term loan	S +	6.00%	11.65%	12/30/2027	2,136		2,105		2,107		0.30	%
Edko Acquisition, LLC (6)(8)	First lien senior secured revolving loan	S +	5.75%	11.40%	6/25/2026	38		—		—		0.00	%
Edko Acquisition, LLC	First lien senior secured term loan	S +	5.75%	11.40%	6/25/2026	1,130		1,122		1,118		0.16	%
Franchise Fastlane, LLC (6)	First lien senior secured revolving loan	S +	5.50%	11.13%	5/2/2027	15		—		—		0.00	%
Franchise Fastlane, LLC	First lien senior secured term loan	S +	5.50%	11.13%	5/2/2027	1,161		1,148		1,144		0.16	%
Gold Medal Holdings, Inc. (9)	First lien senior secured revolving loan	S +	7.00%	12.58%	3/17/2027	50		45		44		0.01	%
Gold Medal Holdings, Inc.	First lien senior secured term loan	S +	7.00%	12.65%	3/17/2027	718		714		712		0.10	%
Green Monster Acquisition, LLC	First lien senior secured revolving loan	S +	5.50%	11.08%	12/28/2026	38		26		26		0.00	%
Green Monster Acquisition, LLC	First lien senior secured term loan	S +	5.50%	11.18%	12/28/2026	1,160		1,150		1,146		0.16	%
HLSG Intermediate, LLC	First lien senior secured delayed draw term loan	S +	6.25%	11.68%	3/31/2028	95		94		94		0.01	%
HLSG Intermediate, LLC	First lien senior secured revolving loan	S +	6.25%	11.68%	3/31/2028	60		19		19		0.00	%
HLSG Intermediate, LLC	First lien senior secured term loan	S +	6.25%	11.68%	3/31/2028	997		992		988		0.14	%
Nimlok Company, LLC (6)(10)	First lien senior secured revolving loan	S +	5.50%	11.15%	11/27/2024	320		(3)		(3)		0.00	%
Nimlok Company, LLC	First lien senior secured term loan	S +	5.50%	11.15%	11/27/2025	2,607		2,590		2,582		0.37	%
PRA Acquisition, LLC (6)	First lien senior secured revolving loan	S +	6.50%	12.04%	5/12/2028	56		(1)		(1)		0.00	%
PRA Acquisition, LLC	First lien senior secured term loan	S +	6.50%	12.04%	5/12/2028	637		622		621		0.09	%
Steel City Wash, LLC	First lien senior secured delayed draw term loan	S +	6.50%	12.15%	12/27/2026	142		140		140		0.02	%
Steel City Wash, LLC	First lien senior secured revolving loan	S +	6.50%	12.15%	12/27/2026	38		28		28		0.00	%
Steel City Wash, LLC	First lien senior secured term loan	S +	6.50%	12.15%	12/27/2026	788		781		778		0.11	%
								41,473		41,502		5.87	%
Construction and engineering
Rose Paving, LLC	First lien senior secured revolving loan	S +	5.50%	11.09%	11/7/2028	$	5,055	$	3,198	$	3,207	0.45	%
Rose Paving, LLC	First lien senior secured term loan	S +	5.50%	11.04%	11/7/2028	17,471		17,099		17,121		2.43	%
Ironhorse Purchaser, LLC	First lien senior secured delayed draw term loan	S +	6.50%	12.15%	9/30/2027	9,342		9,236		9,245		1.31	%

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

Table of Contents

AG Twin Brook Capital Income Fund

Consolidated Schedule of Investments

As of ~~June~~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
Purpose Home Health Acquisition, LLC (6) First lien senior secured revolving loan S + 6.25% 11.71% 11/3/2027 1,918 (37) (35) (0.01) %
Purpose Home Health Acquisition, LLC First lien senior secured term loan S + 6.25% 11.71% 11/3/2027 7,921 7,765 7,777 1.30 %
ADVI Health, LLC (6) First lien senior secured revolving loan S + 7.00% 12.50% 11/29/2027 1,062 (23) (22) 0.00 %
ADVI Health, LLC First lien senior secured term loan S + 7.00% 12.50% 11/29/2027 6,211 6,070 6,081 1.02 %
Spear Education Holdings, LLC (6) First lien senior secured revolving loan S + 7.50% 12.89% 12/15/2027 4,463 (109) (105) (0.02) %
Spear Education Holdings, LLC First lien senior secured term loan S + 7.50% 12.89% 12/15/2027 12,509 12,196 12,210 2.05 %
US Foot and Ankle Specialists, LLC First lien senior secured delayed draw term loan S + 5.75% 10.97% 9/15/2026 16,558 9,710 9,714 1.63 %
US Foot and Ankle Specialists, LLC First lien senior secured revolving loan S + 5.75% 10.97% 9/15/2026 2,699 637 640 0.11 %
US Foot and Ankle Specialists, LLC First lien senior secured term loan S + 5.75% 10.97% 9/15/2026 20,915 20,619 20,644 3.46 %
MWEC Management, LLC (6) First lien senior secured delayed draw term loan S + 6.00% 11.39% 2/14/2025 1,429 (32) (33) (0.01) %
MWEC Management, LLC First lien senior secured revolving loan S + 6.00% 11.39% 2/14/2028 1,924 111 114 0.02 %
MWEC Management, LLC First lien senior secured term loan S + 6.00% 11.39% 2/14/2028 11,684 11,377 11,399 1.91 %
Beghou Consulting, LLC (6) First lien senior secured revolving loan S + 6.00% 11.50% 5/1/2028 2,654 (71) (71) (0.01) %
Beghou Consulting, LLC First lien senior secured term loan S + 6.00% 11.50% 5/1/2028 14,897 14,499 14,499 2.43 %
BPCP EE Intermedco LLC First lien senior secured delayed draw term loan S + 6.25% 11.64% 4/3/2028 3,213 1,986 1,990 0.33 %
BPCP EE Intermedco LLC (6) First lien senior secured revolving loan S + 6.25% 11.64% 4/3/2028 2,244 (59) (56) (0.01) %
BPCP EE Intermedco LLC First lien senior secured term loan S + 6.25% 11.64% 4/3/2028 6,526 6,355 6,363 1.07 %
Flourish Research Acquisition, LLC (6) First lien senior secured delayed draw term loan S + 6.50% 11.81% 4/28/2025 2,162 (51) (51) (0.01) %
Flourish Research Acquisition, LLC (6) First lien senior secured revolving loan S + 6.50% 11.81% 4/28/2026 829 (20) (20) — %
Flourish Research Acquisition, LLC First lien senior secured term loan S + 6.50% 11.81% 4/28/2026 19,027 18,569 18,569 3.11 %
H2 Holdco, Inc. (6) First lien senior secured delayed draw term loan S + 5.25% + 2.25% PIK 11.01% 5/5/2028 7,061 (205) (205) (0.03) %
H2 Holdco, Inc. (6)(10) First lien senior secured revolving loan S + 5.25% + 2.25% PIK 11.01% 5/5/2028 2,488 (72) (72) (0.01) %
H2 Holdco, Inc. First lien senior secured term loan S + 5.25% + 2.25% PIK 11.01% 5/5/2028 17,292 16,785 16,787 2.81 %
280,376 280,892 47.09 %
Health care technology
AHR Intermediate, Inc First lien senior secured delayed draw term loan S + 5.25% 10.60% 7/29/2027 $ 5,202 $ 3,795 $ 3,782 0.63 %
AHR Intermediate, Inc First lien senior secured revolving loan S + 5.25% 10.75% 7/29/2027 7,708 645 705 0.12 %
AHR Intermediate, Inc First lien senior secured term loan S + 5.25% 10.75% 7/29/2027 24,169 23,939 23,964 4.01 %
28,379 28,451 4.76 %
Household durables
CPS Power Buyer, LLC First lien senior secured delayed draw term loan S + 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 loan S + 6.50% 12.00% 9/26/2027 1,687 (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 loan	S +	6.50%	12.15%	9/30/2027	5,813		3,596		3,621		0.51	%
Ironhorse Purchaser, LLC	First lien senior secured term loan	S +	6.50%	12.15%	9/30/2027	30,375		29,987		30,038		4.26	%
BCI Burke Holding Corp.	First lien senior secured delayed draw term loan	S +	5.50%	11.15%	12/14/2027	129		22		22		0.00	%
BCI Burke Holding Corp. (6)	First lien senior secured revolving loan	S +	5.50%	11.15%	12/14/2027	79		(1)		(1)		0.00	%
BCI Burke Holding Corp.	First lien senior secured term loan	S +	5.50%	11.15%	12/14/2027	827		823		820		0.12	%
CPS HVAC Group, LLC	First lien senior secured delayed draw term loan	S +	6.75%	12.40%	12/15/2026	150		31		26		0.00	%
CPS HVAC Group, LLC (11)	First lien senior secured revolving loan	S +	6.75%	12.40%	12/15/2026	38		10		8		0.00	%
CPS HVAC Group, LLC	First lien senior secured term loan	S +	6.75%	12.40%	12/15/2026	270		264		255		0.04	%
Domino Equipment Company, LLC (6)	First lien senior secured revolving loan	S +	6.25%	11.71%	4/1/2026	79		(1)		(2)		0.00	%
Domino Equipment Company, LLC	First lien senior secured term loan	S +	6.25% + 0.50% PIK	12.45%	4/1/2026	505		498		495		0.07	%
Highland Acquisition, Inc. (6)	First lien senior secured revolving loan	S +	5.50%	10.94%	3/9/2027	30		—		—		0.00	%
Highland Acquisition, Inc.	First lien senior secured term loan	S +	5.50%	10.94%	3/9/2027	871		862		859		0.12	%
								65,624		65,714		9.31	%
Containers and packaging
Bulk Lift International, LLC	First lien senior secured delayed draw term loan	S +	6.75%	12.40%	11/15/2027	$	128	$	125	$	125	0.02	%
Bulk Lift International, LLC (6)	First lien senior secured revolving loan	S +	6.75%	12.40%	11/15/2027	1,801		(41)		(40)		(0.01)	%
Bulk Lift International, LLC	First lien senior secured term loan	S +	6.75%	12.40%	11/15/2027	6,196		6,053		6,057		0.86	%
K-1 Packaging Group, LLC. (6)	First lien senior secured revolving loan	S +	6.00%	11.68%	10/6/2027	6,748		(135)		(128)		(0.02)	%
K-1 Packaging Group, LLC.	First lien senior secured term loan	S +	6.00%	11.68%	10/6/2027	31,486		30,798		30,857		4.37	%
Sixarp, LLC (6)	First lien senior secured delayed draw term loan	S +	5.25%	10.90%	8/5/2027	3,180		(48)		(45)		(0.01)	%
Sixarp, LLC (6)	First lien senior secured revolving loan	S +	5.25%	10.90%	8/5/2027	3,732		(57)		(53)		(0.01)	%
Sixarp, LLC	First lien senior secured term loan	S +	5.25%	10.90%	8/5/2027	19,676		19,354		19,385		2.75	%
Innovative FlexPak, LLC	First lien senior secured revolving loan	S +	7.00%	12.43%	1/23/2025	627		429		385		0.05	%
Innovative FlexPak, LLC	First lien senior secured term loan	S +	7.00%	12.43%	1/23/2025	2,981		2,172		1,980		0.28	%
Johns Byrne LLC (6)	First lien senior secured delayed draw term loan	S +	6.25%	11.67%	8/31/2029	2,578		(63)		(62)		(0.01)	%
Johns Byrne LLC	First lien senior secured revolving loan	S +	6.25%	11.67%	8/31/2029	1,460		476		476		0.07	%
Johns Byrne LLC	First lien senior secured term loan	S +	6.25%	11.67%	8/31/2029	9,668		9,430		9,436		1.34	%
MRC Keeler Acquisition, LLC	First lien senior secured delayed draw term loan	S +	5.75%	11.29%	12/4/2025	73		72		71		0.01	%
MRC Keeler Acquisition, LLC (6)	First lien senior secured revolving loan	S +	5.75%	11.29%	12/4/2025	150		(1)		(4)		0.00	%
MRC Keeler Acquisition, LLC	First lien senior secured term loan	S +	5.75%	11.29%	12/4/2025	904		899		880		0.12	%
Vanguard Packaging, LLC	First lien senior secured revolving loan	S +	5.00%	10.66%	8/9/2024	535		123		123		0.02	%
Vanguard Packaging, LLC	First lien senior secured term loan	S +	5.00%	10.43%	8/9/2024	1,096		1,095		1,091		0.15	%
								70,681		70,534		9.98	%
Distributors
RTP Acquisition, LLC	First lien senior secured revolving loan	S +	6.50%	11.93%	8/17/2026	$	38	$	11	$	11	0.00	%
RTP Acquisition, LLC	First lien senior secured term loan	S +	6.50%	11.93%	8/17/2026	1,030		1,018		1,013		0.14	%

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

Table of Contents

AG Twin Brook Capital Income Fund

Consolidated Schedule of Investments

As of ~~June~~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
CPS Power Buyer, LLC First lien senior secured term loan S + 6.50% 12.00% 9/26/2027 5,092 5,001 5,010 0.84 %
Kwalu, LLC (6) First lien senior secured revolving loan S + 5.75% 11.25% 9/23/2027 5,061 (86) (79) (0.01) %
Kwalu, LLC First lien senior secured term loan S + 5.75% 11.25% 9/23/2027 24,712 24,277 24,315 4.07 %
MacKenzie Childs Acquisition, Inc. First lien senior secured revolving loan S + 6.00% 11.11% 9/2/2027 3,374 2,882 2,887 0.48 %
MacKenzie Childs Acquisition, Inc. First lien senior secured term loan S + 6.00% 11.11% 9/2/2027 17,972 17,738 17,766 2.98 %
Renovation Systems, LLC First lien senior secured delayed draw term loan S + 6.00% 11.53% 1/23/2028 5,826 4,069 4,070 0.68 %
Renovation Systems, LLC First lien senior secured revolving loan S + 6.00% 11.50% 1/23/2028 1,965 437 439 0.07 %
Renovation Systems, LLC First lien senior secured term loan S + 6.00% 11.50% 1/23/2028 12,349 12,013 12,025 2.01 %
68,907 69,016 11.56 %
Industrial Conglomerates
Hultec Buyer, LLC First lien senior secured revolving loan S + 6.25% 11.45% 3/31/2029 $ 3,825 $ 273 $ 277 0.05 %
Hultec Buyer, LLC First lien senior secured term loan S + 6.25% 11.65% 3/31/2029 14,230 13,814 13,839 2.32 %
14,087 14,116 2.37 %
IT services
Icreon Holdings, LLC (6) First lien senior secured revolving loan S + 6.50% 12.00% 10/26/2027 1,049 $ (23) $ (21) — %
Icreon Holdings, LLC First lien senior secured term loan S + 6.50% 12.00% 10/26/2027 8,223 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 loan S + 6.00% 11.39% 6/21/2028 $ 1,969 $ (15) $ (13) 0.00 %
Double E Company, LLC First lien senior secured revolving loan S + 6.00% 11.32% 6/21/2028 3,044 1,294 1,299 0.22 %
Double E Company, LLC First lien senior secured term loan S + 6.00% 11.39% 6/21/2028 17,367 17,217 17,260 2.89 %
18,496 18,546 3.11 %
Media
Optimized Marketing Acquisition, LLC First lien senior secured revolving loan S + 5.75% 11.05% 8/19/2027 $ 3,383 $ 1,128 $ 1,133 0.19 %
Optimized Marketing Acquisition, LLC First lien senior secured term loan S + 5.75% 10.97% 8/19/2027 26,037 25,590 25,636 4.30 %
RKD Group, LLC (6) First lien senior secured revolving loan S + 6.00% 11.39% 8/17/2028 4,905 (63) (55) (0.01) %
RKD Group, LLC First lien senior secured term loan S + 6.00% 11.39% 8/17/2028 33,507 33,072 33,138 5.55 %
WTWH Buyer, LLC (6) First lien senior secured revolving loan S + 6.50% 12.00% 12/16/2027 1,638 (37) (35) (0.01) %
WTWH Buyer, LLC First lien senior secured term loan S + 6.50% 12.00% 12/16/2027 10,145 9,912 9,927 1.66 %
69,602 69,744 11.68 %
Professional services
Helpware, Inc. First lien senior secured revolving loan S + 5.75% 11.23% 9/8/2026 $ 5,061 $ 1,800 $ 1,807 0.30 %
Helpware, Inc. First lien senior secured term loan S + 5.75% 11.25% 9/8/2026 14,043 13,874 13,894 2.33 %
15,674 15,701 2.63 %
Software
Shasta Buyer, LLC First lien senior secured revolving loan S + 6.25% 11.75% 8/9/2028 $ 2,199 $ 250 $ 253 0.04 %
Shasta Buyer, LLC First lien senior secured term loan S + 6.25% 11.75% 8/9/2028 11,604 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, LLC	First lien senior secured revolving loan	S +	5.50%	10.94%	7/27/2027	$	7,114	$	603	$	611	0.09	%
ACES Intermediate, LLC	First lien senior secured term loan	S +	5.50%	10.93%	7/27/2027	32,058		31,549		31,586		4.48	%
Yard-Nique, Inc	First lien senior secured delayed draw term loan	S +	6.00%	11.54%	4/30/2026	6,235		413		416		0.06	%
Yard-Nique, Inc	First lien senior secured revolving loan	S +	5.00%	10.54%	4/30/2026	889		133		134		0.02	%
Yard-Nique, Inc	First lien senior secured term loan	S +	6.00%	11.54%	4/30/2026	7,090		7,019		7,025		1.00	%
Esquire Deposition Solutions, LLC	First lien senior secured delayed draw term loan	S +	6.50%	12.05%	12/30/2027	3,839		3,744		3,762		0.53	%
Esquire Deposition Solutions, LLC (6)	First lien senior secured delayed draw term loan	S +	6.50%	12.04%	12/30/2027	3,573		(71)		(71)		(0.01)	%
Esquire Deposition Solutions, LLC (6)	First lien senior secured revolving loan	S +	6.50%	12.02%	12/30/2027	2,162		(55)		(43)		(0.01)	%
Esquire Deposition Solutions, LLC	First lien senior secured term loan	S +	6.50%	12.04%	12/30/2027	15,935		15,537		15,617		2.21	%
CL Services Acquisition, LLC	First lien senior secured delayed draw term loan	S +	6.25%	11.82%	4/25/2028	7,268		3,755		3,763		0.53	%
CL Services Acquisition, LLC (6)	First lien senior secured revolving loan	S +	6.25%	11.77%	4/25/2028	1,629		(37)		(35)		0.00	%
CL Services Acquisition, LLC	First lien senior secured term loan	S +	6.25%	11.77%	4/25/2028	10,247		10,004		10,020		1.42	%
50Floor, LLC	First lien senior secured revolving loan	S +	7.75%	13.27%	12/31/2025	199		197		191		0.03	%
50Floor, LLC	First lien senior secured term loan	S +	7.75%	13.29%	12/31/2026	953		945		909		0.13	%
Home Brands Group Holdings, Inc. (6)	First lien senior secured revolving loan	S +	4.75%	10.32%	11/8/2026	48		(1)		(1)		0.00	%
Home Brands Group Holdings, Inc.	First lien senior secured term loan	S +	4.75%	10.32%	11/8/2026	1,743		1,729		1,723		0.24	%
ISSA, LLC	First lien senior secured revolving loan	S +	6.25%	11.91%	3/1/2027	131		25		25		0.00	%
ISSA, LLC	First lien senior secured term loan	S +	6.25%	11.90%	3/1/2027	915		906		903		0.13	%
Juniper Landscaping Holdings LLC	First lien senior secured delayed draw term loan	S +	6.00%	11.53%	12/29/2026	87		84		84		0.01	%
Juniper Landscaping Holdings LLC (13)	First lien senior secured revolving loan	S +	6.00%	11.80%	12/29/2026	44		24		24		0.00	%
Juniper Landscaping Holdings LLC	First lien senior secured term loan	S +	6.00%	11.65%	12/29/2026	1,304		1,295		1,290		0.18	%
Kalkomey Enterprises, LLC	First lien senior secured revolving loan	S +	6.75%	12.29%	4/24/2025	77		11		11		0.00	%
Kalkomey Enterprises, LLC	First lien senior secured term loan	S +	6.75%	12.29%	4/24/2026	1,039		1,033		1,029		0.15	%
PPW Acquisition, LLC	First lien senior secured revolving loan	S +	6.75%	12.40%	9/30/2026	38		8		8		0.00	%
PPW Acquisition, LLC	First lien senior secured term loan	S +	4.25% + 2.50% PIK	12.40%	9/30/2026	601		585		563		0.08	%
TSR Concrete Coatings, LLC (6)	First lien senior secured revolving loan	S +	6.25%	11.80%	9/22/2028	1,534		(38)		(38)		(0.01)	%
TSR Concrete Coatings, LLC	First lien senior secured term loan	S +	6.25%	11.80%	9/22/2028	6,226		6,071		6,070		0.86	%
United Land Services Opco Parent, LLC	First lien senior secured delayed draw term loan	S +	6.50%	12.15%	3/23/2026	1,437		1,201		1,198		0.17	%
United Land Services Opco Parent, LLC	First lien senior secured delayed draw term loan	S +	6.50%	12.14%	3/23/2026	187		185		184		0.03	%
United Land Services Opco Parent, LLC	First lien senior secured revolving loan	S +	6.50%	12.14%	3/23/2026	150		78		78		0.01	%
United Land Services Opco Parent, LLC	First lien senior secured term loan	S +	6.50%	12.15%	3/23/2026	357		352		351		0.05	%
								87,284		87,387		12.38	%
Electrical equipment

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

Table of Contents

AG Twin Brook Capital Income Fund

Consolidated Schedule of Investments

As of ~~June~~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
Soccer Post Acquisition, LLC First lien senior secured delayed draw term loan S + 5.50% 11.00% 6/30/2027 $ 1,513 $ 1,416 $ 1,418 0.24 %
Soccer Post Acquisition, LLC First lien senior secured revolving loan S + 5.50% 11.00% 6/30/2027 1,741 185 187 0.03 %
Soccer Post Acquisition, LLC First lien senior secured term loan S + 5.50% 11.00% 6/30/2027 7,552 7,443 7,455 1.25 %
9,044 9,060 1.52 %
Trading companies and distributors
Ascent Lifting, Inc. First lien senior secured revolving loan S + 6.00% 11.20% 9/9/2027 $ 2,500 $ 605 $ 608 0.10 %
Ascent Lifting, Inc. First lien senior secured term loan S + 6.00% 11.20% 9/9/2027 17,280 16,840 16,862 2.83 %
NEFCO Holding Company, LLC First lien senior secured delayed draw term loan S + 6.50% 12.06% 8/5/2028 2,186 2,155 2,154 0.36 %
NEFCO Holding Company, LLC First lien senior secured delayed draw term loan S + 6.50% 12.09% 8/5/2024 2,192 25 28 0.00 %
NEFCO Holding Company, LLC First lien senior secured delayed draw term loan S + 6.50% 11.78% 8/5/2028 2,611 2,593 2,570 0.43 %
NEFCO Holding Company, LLC First lien senior secured revolving loan P + 5.50% 13.75% 8/5/2028 3,045 1,572 1,576 0.26 %
NEFCO Holding Company, LLC First lien senior secured term loan S + 6.50% 11.78% 8/5/2028 14,360 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 loan	S +	5.50%	11.15%	9/15/2028	$	2,249	$	(37)	$	(34)	0.00	%
WCI Volt Purchaser, LLC	First lien senior secured term loan	S +	5.50%	11.15%	9/15/2028	9,758		9,590		9,605		1.36	%
AEP Passion Intermediate Holdings, Inc.	First lien senior secured delayed draw term loan	S +	6.50%	11.92%	10/5/2027	71		70		69		0.01	%
AEP Passion Intermediate Holdings, Inc.	First lien senior secured revolving loan	S +	6.50%	11.92%	10/5/2027	48		17		17		0.00	%
AEP Passion Intermediate Holdings, Inc.	First lien senior secured term loan	S +	6.50%	12.07%	10/5/2027	1,271		1,247		1,242		0.18	%
								10,887		10,899		1.55	%
Electronic equipment, instruments and components
ITSavvy LLC	First lien senior secured delayed draw term loan	S +	5.25%	10.77%	8/8/2028	$	2,176	$	1,928	$	1,929	0.27	%
ITSavvy LLC (6)	First lien senior secured revolving loan	S +	5.25%	10.80%	8/8/2028	1,778		(14)		(11)		0.00	%
ITSavvy LLC	First lien senior secured term loan	S +	5.25%	10.80%	8/8/2028	11,831		11,734		11,753		1.66	%
Advanced Lighting Acquisition, LLC (6)	First lien senior secured revolving loan	S +	6.00%	11.43%	11/22/2025	324		—		—		0.00	%
Advanced Lighting Acquisition, LLC	First lien senior secured term loan	S +	6.00%	11.43%	11/22/2025	1,213		1,215		1,210		0.17	%
Nelson Name Plate Company	First lien senior secured delayed draw term loan	S +	5.50%	11.15%	10/18/2026	118		117		117		0.02	%
Nelson Name Plate Company (6)	First lien senior secured revolving loan	S +	5.50%	11.15%	10/18/2026	90		(1)		(1)		0.00	%
Nelson Name Plate Company	First lien senior secured term loan	S +	5.50%	11.15%	10/18/2026	894		887		882		0.12	%
								15,866		15,879		2.24	%
Food and staples retailing
Universal Pure, LLC	First lien senior secured delayed draw term loan	S +	6.00%	11.53%	10/31/2028	$	364	$	37	$	37	0.01	%
Universal Pure, LLC (16)	First lien senior secured revolving loan	S +	6.00%	11.54%	10/31/2028	7,142		2,155		2,162		0.31	%
Universal Pure, LLC	First lien senior secured term loan	S +	6.00%	11.54%	10/31/2028	17,720		17,297		17,310		2.45	%
Engelman Baking Co., LLC	First lien senior secured revolving loan	S +	5.50%	10.93%	2/28/2025	207		20		20		0.00	%
Engelman Baking Co., LLC	First lien senior secured term loan	S +	5.50%	10.93%	2/28/2025	707		705		703		0.10	%
Mad Rose Company, LLC (14)	First lien senior secured revolving loan	S +	6.50%	12.18%	5/7/2026	119		110		109		0.02	%
Mad Rose Company, LLC	First lien senior secured term loan	S +	6.50%	12.18%	5/7/2026	924		918		914		0.13	%
Main Street Gourmet, LLC	First lien senior secured delayed draw term loan	S +	5.25%	10.90%	11/10/2025	666		37		37		0.01	%
Main Street Gourmet, LLC (6)	First lien senior secured revolving loan	S +	5.25%	10.90%	11/10/2025	38		—		—		0.00	%
Main Street Gourmet, LLC	First lien senior secured term loan	S +	5.25%	10.90%	11/10/2025	1,112		1,108		1,104		0.16	%
NutriScience Innovations, LLC (6)(15)	First lien senior secured revolving loan	S +	7.00%	12.65%	4/21/2026	131		(2)		(2)		0.00	%
NutriScience Innovations, LLC	First lien senior secured term loan	S +	7.00%	12.65%	4/21/2026	390		387		385		0.05	%
Qin's Buffalo, LLC (6)	First lien senior secured delayed draw term loan	S +	6.00%	11.65%	5/5/2027	75		(1)		(1)		0.00	%
Qin's Buffalo, LLC (6)	First lien senior secured revolving loan	S +	6.00%	11.65%	5/5/2027	38		(1)		(1)		0.00	%
Qin's Buffalo, LLC	First lien senior secured term loan	S +	6.00%	11.65%	5/5/2027	532		526		524		0.07	%
SCP Beverage Buyer, LLC (6)	First lien senior secured revolving loan	S +	5.25%	10.68%	11/24/2026	38		(1)		(1)		0.00	%
SCP Beverage Buyer, LLC	First lien senior secured term loan	S +	5.25%	10.68%	11/24/2026	409		405		403		0.06	%
								23,700		23,703		3.37	%
Food products
Sun Orchard, LLC (6)	First lien senior secured revolving loan	S +	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.

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, LLC	First lien senior secured term loan	S +	5.00%	10.65%	7/8/2027	11,443		11,273		11,279		1.60	%
BPCP WLF Intermedco LLC (6)	First lien senior secured delayed draw term loan	S +	6.00%	11.54%	8/19/2027	5,846		(91)		(84)		(0.01)	%
BPCP WLF Intermedco LLC	First lien senior secured revolving loan	S +	6.00%	11.54%	8/19/2027	3,383		1,301		1,305		0.18	%
BPCP WLF Intermedco LLC	First lien senior secured term loan	S +	6.00%	11.54%	8/19/2027	23,150		22,776		22,808		3.23	%
Treat Planet Acquisition, LLC (6)	First lien senior secured revolving loan	S +	6.50%	12.15%	1/11/2028	1,965		(50)		(49)		(0.01)	%
Treat Planet Acquisition, LLC	First lien senior secured term loan	S +	6.50%	12.15%	1/11/2028	7,246		7,056		7,063		1.00	%
Icelandirect, LLC	First lien senior secured revolving loan	S +	6.50%	12.15%	7/30/2026	38		32		31		0.00	%
Icelandirect, LLC	First lien senior secured term loan	S +	6.50%	12.15%	7/30/2026	709		702		700		0.10	%
Starwest Botanicals Acquisition, LLC	First lien senior secured revolving loan	S +	5.25%	10.68%	4/30/2027	174		119		117		0.02	%
Starwest Botanicals Acquisition, LLC	First lien senior secured term loan	S +	5.25%	10.68%	4/30/2027	801		761		752		0.11	%
Westminster Cracker Company, Inc. (6)	First lien senior secured revolving loan	S +	6.25%	11.82%	8/30/2026	1,534		(25)		(26)		0.00	%
Westminster Cracker Company, Inc.	First lien senior secured term loan	S +	6.25%	11.82%	8/30/2026	9,745		9,579		9,577		1.36	%
								53,353		53,399		7.57	%
Gas utilities
Hydromax USA, LLC	First lien senior secured delayed draw term loan	S +	6.75%	12.17%	12/30/2026	$	111	$	107	$	109	0.02	%
Hydromax USA, LLC (6)	First lien senior secured revolving loan	S +	6.75%	12.17%	12/30/2026	228		(9)		(8)		0.00	%
Hydromax USA, LLC	First lien senior secured term loan	S +	6.75%	12.17%	12/30/2026	1,225		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 loan	S +	6.25%	11.90%	7/25/2028	$	1,966	$	(39)	$	(36)	(0.01)	%
Medical Technology Associates, Inc.	First lien senior secured term loan	S +	6.25%	11.90%	7/25/2028	14,622		14,315		14,357		2.03	%
Nasco Healthcare Inc. (17)	First lien senior secured revolving loan	S +	5.75%	11.29%	6/30/2025	3,322		637		641		0.09	%
Nasco Healthcare Inc.	First lien senior secured term loan	S +	5.75%	11.29%	6/30/2025	15,490		15,367		15,379		2.18	%
Surplus Solutions, LLC (6)	First lien senior secured revolving loan	S +	6.00%	11.65%	11/30/2027	1,771		(37)		(35)		0.00	%
Surplus Solutions, LLC	First lien senior secured term loan	S +	6.00%	11.65%	11/30/2027	10,067		9,858		9,869		1.40	%
626 Holdings Equity, LLC	First lien senior secured delayed draw term loan	S +	6.00%	11.65%	2/14/2028	313		184		183		0.03	%
626 Holdings Equity, LLC	First lien senior secured revolving loan	S +	6.00%	11.65%	2/14/2028	75		72		71		0.01	%
626 Holdings Equity, LLC	First lien senior secured term loan	S +	6.00%	11.65%	2/14/2028	877		868		864		0.12	%
EMSAR Acquisition LLC	First lien senior secured delayed draw term loan	S +	6.50%	12.15%	3/30/2026	214		213		212		0.03	%
EMSAR Acquisition LLC	First lien senior secured revolving loan	S +	6.50%	12.15%	3/30/2026	134		119		119		0.02	%
EMSAR Acquisition LLC	First lien senior secured term loan	S +	6.50%	12.15%	3/30/2026	633		628		626		0.09	%
Reliable Medical Supply LLC	First lien senior secured delayed draw term loan	S +	6.00%	11.65%	4/8/2025	67		66		66		0.01	%
Reliable Medical Supply LLC	First lien senior secured delayed draw term loan	S +	6.00%	11.66%	4/8/2025	75		18		18		0.00	%
Reliable Medical Supply LLC	First lien senior secured revolving loan	S +	6.00%	11.65%	4/8/2025	138		137		137		0.02	%
Reliable Medical Supply LLC	First lien senior secured term loan	S +	6.00%	11.65%	4/8/2025	925		920		917		0.13	%
SCA Buyer, LLC	First lien senior secured delayed draw term loan	S +	6.50%	11.96%	1/20/2026	279		274		274		0.04	%

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

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, LLC	First lien senior secured revolving loan	S +	6.50%	12.13%	1/20/2026	133		117		117		0.02	%
SCA Buyer, LLC	First lien senior secured term loan	S +	6.50%	11.96%	1/20/2026	751		738		736		0.10	%
Spectrum Solutions, LLC	First lien senior secured delayed draw term loan		15.00% PIK	15.00%	3/5/2026	96		92		76		0.01	%
Spectrum Solutions, LLC (6)	First lien senior secured revolving loan	S +	6.25%	8.38%	3/5/2026	267		(35)		(56)		(0.01)	%
Spectrum Solutions, LLC	First lien senior secured term loan	S +	6.25% + 3.50% PIK	11.88%	3/5/2026	479		418		381		0.05	%
								44,930		44,916		6.36	%
Health care providers and services
Benefit Plan Administrators of Eau Claire, LLC	First lien senior secured delayed draw term loan	S +	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 loan	S +	5.50%	11.40%	6/7/2026	1,710		(19)		(17)		0.00	%
Benefit Plan Administrators of Eau Claire, LLC	First lien senior secured term loan	S +	5.50%	11.40%	6/7/2026	13,682		13,520		13,533		1.92	%
Change Academy at Lake of the Ozarks, LLC	First lien senior secured revolving loan	S +	6.00%	11.78%	8/2/2027	5,898		3,252		3,259		0.46	%
Change Academy at Lake of the Ozarks, LLC	First lien senior secured term loan	S +	6.00%	11.54%	8/2/2027	31,320		30,828		30,864		4.37	%
Endodontic Practice Partners, LLC	First lien senior secured delayed draw term loan	S +	6.00%	11.73%	11/2/2027	16,982		13,053		13,051		1.85	%
Endodontic Practice Partners, LLC	First lien senior secured revolving loan	S +	6.00%	11.90%	11/2/2027	1,956		161		164		0.02	%
Endodontic Practice Partners, LLC	First lien senior secured term loan	S +	6.00%	11.46%	11/2/2027	15,471		15,200		15,219		2.16	%
IPC Pain Acquisition, LLC	First lien senior secured delayed draw term loan	S +	5.50%	10.93%	5/19/2027	11,082		9,909		9,911		1.40	%
IPC Pain Acquisition, LLC (6)	First lien senior secured revolving loan	S +	5.50%	10.93%	5/19/2027	1,140		(12)		(11)		0.00	%
IPC Pain Acquisition, LLC	First lien senior secured term loan	S +	5.50%	10.93%	5/19/2027	2,939		2,905		2,909		0.41	%
NH Kronos Buyer, Inc. (6)	First lien senior secured revolving loan	S +	6.25%	11.79%	11/1/2028	12,705		(322)		(285)		(0.04)	%
NH Kronos Buyer, Inc.	First lien senior secured term loan	S +	6.25%	11.79%	11/1/2028	53,406		52,023		52,153		7.39	%
Purpose Home Health Acquisition, LLC (6)	First lien senior secured delayed draw term loan	S +	6.25%	11.71%	11/3/2027	6,832		(126)		(118)		(0.02)	%
Purpose Home Health Acquisition, LLC (6)	First lien senior secured revolving loan	S +	6.25%	11.71%	11/3/2027	1,956		(36)		(34)		0.00	%
Purpose Home Health Acquisition, LLC	First lien senior secured term loan	S +	6.25%	11.71%	11/3/2027	8,251		8,097		8,108		1.15	%
ADVI Health, LLC (6)	First lien senior secured revolving loan	S +	7.00%	12.65%	11/29/2027	1,062		(22)		(21)		0.00	%
ADVI Health, LLC	First lien senior secured term loan	S +	7.00%	12.65%	11/29/2027	6,195		6,061		6,071		0.86	%
Spear Education Holdings, LLC (6)	First lien senior secured revolving loan	S +	7.50%	13.04%	12/15/2027	4,463		(103)		(99)		(0.01)	%
Spear Education Holdings, LLC	First lien senior secured term loan	S +	7.50%	13.04%	12/15/2027	12,478		12,182		12,193		1.73	%
US Foot and Ankle Specialists, LLC	First lien senior secured delayed draw term loan	S +	5.75%	11.40%	9/15/2026	16,533		14,741		14,745		2.09	%
US Foot and Ankle Specialists, LLC	First lien senior secured revolving loan	S +	5.75%	11.40%	9/15/2026	2,699		1,045		1,048		0.15	%
US Foot and Ankle Specialists, LLC	First lien senior secured term loan	S +	5.75%	11.40%	9/15/2026	20,862		20,580		20,604		2.92	%
MWEC Management, LLC (6)	First lien senior secured delayed draw term loan	S +	6.00%	11.63%	2/14/2025	1,429		(30)		(31)		0.00	%
MWEC Management, LLC	First lien senior secured revolving loan	S +	6.00%	11.63%	2/14/2028	1,924		338		340		0.05	%
MWEC Management, LLC	First lien senior secured term loan	S +	6.00%	11.63%	2/14/2028	11,655		11,360		11,377		1.61	%
Beghou Consulting, LLC (6)	First lien senior secured revolving loan	S +	6.00%	11.65%	5/1/2028	2,714		(68)		(65)		(0.01)	%

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

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, LLC	First lien senior secured term loan	S +	6.00%	11.65%	5/1/2028	15,429	15,035	15,051	2.13	%
BPCP EE Intermedco LLC	First lien senior secured delayed draw term loan	S +	5.75%	11.29%	4/3/2028	3,208	1,985	1,989	0.28	%
BPCP EE Intermedco LLC (6)	First lien senior secured revolving loan	S +	5.75%	11.29%	4/3/2028	2,244	(56)	(53)	(0.01)	%
BPCP EE Intermedco LLC	First lien senior secured term loan	S +	5.75%	11.29%	4/3/2028	6,510	6,344	6,355	0.90	%
Flourish Research Acquisition, LLC	First lien senior secured delayed draw term loan	S +	6.50%	12.13%	4/28/2025	2,218	1,771	1,772	0.25	%
Flourish Research Acquisition, LLC (6)	First lien senior secured revolving loan	S +	6.50%	11.93%	4/28/2026	848	(18)	(18)	0.00	%
Flourish Research Acquisition, LLC	First lien senior secured term loan	S +	6.50%	11.93%	4/28/2026	19,706	19,265	19,278	2.73	%
H2 Holdco, Inc. (6)	First lien senior secured delayed draw term loan	S +	5.25% + 2.25% PIK	13.26%	5/5/2028	7,245	(200)	(192)	(0.03)	%
H2 Holdco, Inc. (6)(19)	First lien senior secured revolving loan	S +	5.25% + 2.25% PIK	13.26%	5/5/2028	2,544	(70)	(68)	(0.01)	%
H2 Holdco, Inc.	First lien senior secured term loan	S +	5.25% + 2.25% PIK	13.26%	5/5/2028	18,012	17,501	17,528	2.48	%
Agility Intermediate, Inc.	First lien senior secured delayed draw term loan	S +	6.75%	12.38%	4/15/2026	110	107	105	0.01	%
Agility Intermediate, Inc.	First lien senior secured revolving loan	S +	6.75%	12.39%	4/15/2026	134	77	73	0.01	%
Agility Intermediate, Inc.	First lien senior secured term loan	S +	6.75%	12.40%	4/15/2026	240	234	228	0.03	%
Apex Dental Partners, LLC	First lien senior secured delayed draw term loan	S +	6.50%	11.96%	11/23/2025	554	455	453	0.06	%
Apex Dental Partners, LLC	First lien senior secured revolving loan	S +	6.50%	12.00%	11/23/2025	150	124	123	0.02	%
Apex Dental Partners, LLC	First lien senior secured term loan	S +	6.50%	11.96%	11/23/2025	617	614	612	0.09	%
ASC Ortho Management, LLC	First lien senior secured delayed draw term loan	S +	6.00%	11.65%	12/31/2026	357	321	320	0.05	%
ASC Ortho Management, LLC	First lien senior secured revolving loan	S +	6.00%	11.65%	12/31/2026	38	12	12	0.00	%
ASC Ortho Management, LLC	First lien senior secured term loan	S +	6.00%	11.65%	12/31/2026	515	509	508	0.07	%
ASP Global Acquisition, LLC	First lien senior secured delayed draw term loan	S +	6.50%	12.15%	1/21/2025	558	551	548	0.08	%
ASP Global Acquisition, LLC (6)	First lien senior secured revolving loan	S +	6.50%	12.15%	1/21/2026	485	(8)	(9)	0.00	%
ASP Global Acquisition, LLC	First lien senior secured term loan	S +	6.50%	12.15%	1/21/2025	2,410	2,381	2,367	0.34	%
Beacon Oral Specialists Management LLC	First lien senior secured delayed draw term loan	S +	6.25%	11.90%	12/14/2025	831	827	823	0.12	%
Beacon Oral Specialists Management LLC (6)	First lien senior secured revolving loan	S +	6.25%	11.90%	12/14/2025	188	(2)	(2)	0.00	%
Beacon Oral Specialists Management LLC	First lien senior secured term loan	S +	6.25%	11.90%	12/14/2025	929	924	920	0.13	%
Behavior Frontiers, LLC (6)(18)	First lien senior secured revolving loan	S +	6.25%	11.90%	5/21/2026	38	(2)	(1)	0.00	%
Behavior Frontiers, LLC	First lien senior secured term loan	S +	6.25%	11.90%	5/21/2026	577	554	562	0.08	%
Brightview, LLC	First lien senior secured delayed draw term loan	S +	6.00%	11.43%	12/14/2026	107	47	47	0.01	%
Brightview, LLC	First lien senior secured revolving loan	S +	6.00%	11.43%	12/14/2026	52	15	15	0.00	%

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

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, LLC	First lien senior secured term loan	S +	6.00%	11.43%	12/14/2026	687		685	682	0.10	%
Canadian Orthodontic Partners Corp. (6)(7)	First lien senior secured delayed draw term loan	C +	7.00%	12.51%	3/19/2026	C$	28	(1)	(1)	0.00	%
Canadian Orthodontic Partners Corp. (7)	First lien senior secured delayed draw term loan	C +	7.00%	12.51%	3/19/2026	C$	289	211	205	0.03	%
Canadian Orthodontic Partners Corp. (7)	First lien senior secured revolving loan	S +	7.00%	12.65%	3/19/2026	C$	114	111	111	0.02	%
Canadian Orthodontic Partners Corp. (7)	First lien senior secured revolving loan	C +	7.00%	12.51%	3/19/2026	C$	285	206	200	0.03	%
Canadian Orthodontic Partners Corp. (7)	First lien senior secured term loan	C +	7.00%	12.51%	3/19/2026	C$	238	174	169	0.02	%
Community Care Partners, LLC (6)	First lien senior secured delayed draw term loan	S +	6.00%	11.43%	6/10/2026	19		—	—	0.00	%
Community Care Partners, LLC	First lien senior secured delayed draw term loan	S +	6.00%	11.43%	6/10/2026	166		165	163	0.02	%
Community Care Partners, LLC	First lien senior secured revolving loan	S +	6.00%	11.43%	6/10/2026	75		64	62	0.01	%
Community Care Partners, LLC	First lien senior secured term loan	S +	6.00%	11.43%	6/10/2026	946		944	927	0.13	%
Dermatology Medical Partners OpCo, LLC	First lien senior secured delayed draw term loan	S +	6.50%	12.15%	10/29/2026	97		78	78	0.01	%
Dermatology Medical Partners OpCo, LLC	First lien senior secured revolving loan	S +	6.50%	12.14%	10/29/2026	38		28	28	0.00	%
Dermatology Medical Partners OpCo, LLC	First lien senior secured term loan	S +	6.50%	12.15%	10/29/2026	318		313	313	0.04	%
Varsity DuvaSawko Operating Corp. (6)	First lien senior secured delayed draw term loan	S +	6.50%	12.15%	11/27/2024	64		(1)	—	0.00	%
Varsity DuvaSawko Operating Corp. (6)	First lien senior secured revolving loan	S +	6.50%	12.15%	11/27/2024	474		(2)	(3)	0.00	%
Varsity DuvaSawko Operating Corp.	First lien senior secured term loan	S +	6.50%	12.15%	11/27/2024	2,534		2,532	2,518	0.36	%
Varsity Rejuvenate Partners, LLC	First lien senior secured revolving loan	S +	6.50%	12.06%	9/1/2028	920		126	126	0.02	%
Varsity Rejuvenate Partners, LLC	First lien senior secured term loan	S +	6.50%	12.06%	9/1/2028	2,707		2,627	2,626	0.37	%
EH Management Company, LLC	First lien senior secured revolving loan	S +	6.00%	11.65%	7/15/2026	38		11	11	0.00	%
EH Management Company, LLC	First lien senior secured term loan	S +	6.00%	11.65%	7/15/2026	963		956	952	0.13	%
Geriatric Medical and Surgical Supply, LLC	First lien senior secured revolving loan	S +	6.00%	11.63%	12/21/2025	300		50	50	0.01	%
Geriatric Medical and Surgical Supply, LLC	First lien senior secured term loan	S +	6.00%	11.65%	12/21/2025	910		903	900	0.13	%
Golden Bear PT Partners, LLC	First lien senior secured delayed draw term loan	S +	6.75% + 1.00% PIK	13.40%	10/22/2026	174		170	169	0.02	%
Golden Bear PT Partners, LLC	First lien senior secured revolving loan	S +	7.75%	13.40%	10/22/2026	38		14	14	0.00	%
Golden Bear PT Partners, LLC	First lien senior secured term loan	S +	6.75% + 1.00% PIK	13.40%	10/22/2026	1,495		1,460	1,455	0.21	%
Golden Bear PT Partners, LLC	First lien senior secured term loan	S +	12.00%	17.65%	10/22/2026	49		49	48	0.01	%
Guardian Dentistry Practice Management, LLC	First lien senior secured delayed draw term loan	S +	6.50%	12.15%	8/20/2026	495		492	491	0.07	%
Guardian Dentistry Practice Management, LLC	First lien senior secured revolving loan	S +	6.50%	12.15%	8/20/2026	23		19	19	0.00	%
Guardian Dentistry Practice Management, LLC	First lien senior secured term loan	S +	6.50%	12.15%	8/20/2026	517		514	512	0.07	%

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

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 loan	S +	6.25%	11.84%	6/30/2028	174	(5)	(4)	0.00	%
IMA Group Management Company, LLC (6)	First lien senior secured revolving loan	S +	6.25%	11.84%	6/30/2028	35	(1)	(1)	0.00	%
IMA Group Management Company, LLC	First lien senior secured term loan	S +	6.25%	11.84%	6/30/2028	866	846	844	0.12	%
Network Partners Acquisition, LLC (6)	First lien senior secured delayed draw term loan	S +	6.00%	11.65%	12/30/2026	113	(1)	(1)	0.00	%
Network Partners Acquisition, LLC (6)	First lien senior secured revolving loan	S +	6.00%	11.65%	12/30/2026	38	—	—	0.00	%
Network Partners Acquisition, LLC	First lien senior secured term loan	S +	6.00%	11.65%	12/30/2026	389	386	384	0.05	%
Peak Dental Services, LLC	First lien senior secured delayed draw term loan	S +	6.75%	12.40%	12/31/2025	520	517	515	0.07	%
Peak Dental Services, LLC	First lien senior secured delayed draw term loan	S +	6.75%	12.38%	12/31/2025	95	57	57	0.01	%
Peak Dental Services, LLC	First lien senior secured revolving loan	S +	6.75%	12.40%	12/31/2025	133	132	131	0.02	%
Peak Dental Services, LLC	First lien senior secured term loan	S +	6.75%	12.40%	12/31/2025	581	577	575	0.08	%
Peak Investment Holdings, LLC (6)	First lien senior secured delayed draw term loan	S +	7.00%	12.65%	12/31/2025	113	(1)	(1)	0.00	%
Peak Investment Holdings, LLC	First lien senior secured revolving loan	S +	7.00%	12.65%	12/31/2025	324	29	29	0.00	%
Peak Investment Holdings, LLC	First lien senior secured term loan	S +	7.00%	12.65%	12/31/2025	1,213	1,205	1,200	0.17	%
Pentec Acquisition Corp. (6)	First lien senior secured revolving loan	S +	6.00%	11.43%	10/8/2026	75	(1)	(1)	0.00	%
Pentec Acquisition Corp.	First lien senior secured term loan	S +	6.00%	11.43%	10/8/2026	988	985	981	0.14	%
Revival Animal Health, LLC	First lien senior secured revolving loan	S +	6.50%	12.15%	4/6/2026	131	43	43	0.01	%
Revival Animal Health, LLC	First lien senior secured term loan	S +	6.50%	12.15%	4/6/2026	4,794	4,716	4,748	0.67	%
RQM Buyer, Inc.	First lien senior secured delayed draw term loan	S +	5.75%	11.51%	8/12/2026	84	83	83	0.01	%
RQM Buyer, Inc.	First lien senior secured revolving loan	S +	5.75%	11.65%	8/12/2026	206	44	44	0.01	%
RQM Buyer, Inc.	First lien senior secured term loan	S +	5.75%	11.40%	8/12/2026	1,142	1,140	1,136	0.16	%
RQM Buyer, Inc.	First lien senior secured term loan	S +	5.75%	11.51%	8/12/2026	590	589	587	0.08	%
Sage Dental Management, LLC	First lien senior secured revolving loan	S +	5.75%	11.41%	4/1/2024	75	45	45	0.01	%
Sage Dental Management, LLC	First lien senior secured term loan	S +	5.75%	11.40%	4/1/2024	939	940	937	0.13	%
SAMGI Buyer, Inc. (6)	First lien senior secured revolving loan	S +	5.50%	11.15%	4/14/2025	138	(1)	(1)	0.00	%
SAMGI Buyer, Inc.	First lien senior secured term loan	S +	5.50%	11.15%	4/14/2025	651	649	646	0.09	%
SCP ENT and Allergy Services, LLC	First lien senior secured delayed draw term loan	S +	6.00%	11.64%	9/25/2025	157	110	110	0.02	%
SCP ENT and Allergy Services, LLC	First lien senior secured revolving loan	S +	6.00%	11.52%	9/25/2025	256	126	126	0.02	%
SCP ENT and Allergy Services, LLC	First lien senior secured term loan	S +	6.00%	11.43%	9/25/2025	2,761	2,745	2,735	0.39	%
Signature Dental Partners LLC	First lien senior secured delayed draw term loan	S +	6.25%	11.68%	10/29/2026	178	149	148	0.02	%
Signature Dental Partners LLC	First lien senior secured revolving loan	S +	6.25%	11.68%	10/29/2026	38	34	34	0.00	%
Signature Dental Partners LLC	First lien senior secured term loan	S +	6.25%	11.68%	10/29/2026	854	844	841	0.12	%
Silver Falls MSO, LLC	First lien senior secured revolving loan	S +	6.75%	12.40%	8/30/2025	235	126	124	0.02	%

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

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, LLC	First lien senior secured term loan	S +	4.25% + 2.50% PIK	12.40%	8/30/2025	1,298		1,215		1,213		0.17	%
SimiTree Acquisition LLC	First lien senior secured delayed draw term loan	S +	6.75%	12.38%	5/17/2026	884		872		868		0.12	%
SimiTree Acquisition LLC (6)	First lien senior secured revolving loan	S +	6.75%	12.38%	5/17/2026	178		(1)		(1)		0.00	%
SimiTree Acquisition LLC	First lien senior secured term loan	S +	6.75%	12.38%	5/17/2026	1,218		1,212		1,208		0.17	%
SIMKO Merger Sub, LLC	First lien senior secured delayed draw term loan	S +	6.50%	12.16%	4/7/2027	187		181		181		0.03	%
SIMKO Merger Sub, LLC (6)	First lien senior secured delayed draw term loan	S +	6.50%	12.15%	4/7/2025	6,768		(118)		(102)		(0.01)	%
SIMKO Merger Sub, LLC	First lien senior secured revolving loan	S +	6.50%	12.13%	4/7/2027	56		5		6		0.00	%
SIMKO Merger Sub, LLC	First lien senior secured term loan	S +	6.50%	12.15%	4/7/2027	653		644		643		0.09	%
Southeast Primary Care Partners, LLC	First lien senior secured delayed draw term loan	S +	6.25%	11.90%	12/30/2025	519		491		489		0.07	%
Southeast Primary Care Partners, LLC	First lien senior secured revolving loan	S +	6.25%	11.90%	12/30/2025	225		209		209		0.03	%
Southeast Primary Care Partners, LLC	First lien senior secured term loan	S +	6.25%	11.90%	12/30/2025	856		848		844		0.12	%
Southern Orthodontic Partners Management, LLC	First lien senior secured delayed draw term loan	S +	6.25%	11.90%	1/27/2026	78		78		77		0.01	%
Southern Orthodontic Partners Management, LLC	First lien senior secured delayed draw term loan	S +	6.25%	11.90%	5/25/2024	112		112		112		0.02	%
Southern Orthodontic Partners Management, LLC (6)	First lien senior secured revolving loan	S +	6.25%	11.90%	1/27/2026	171		—		(1)		0.00	%
Southern Orthodontic Partners Management, LLC	First lien senior secured term loan	S +	6.25%	11.90%	1/27/2026	1,344		1,343		1,338		0.19	%
Southern Sports Medicine Partners, LLC	First lien senior secured revolving loan	S +	6.00%	11.65%	2/23/2027	60		23		23		0.00	%
Southern Sports Medicine Partners, LLC	First lien senior secured term loan	S +	6.00% + 2.00% PIK	13.39%	2/23/2027	670		646		644		0.09	%
Vital Care Buyer, LLC (6)	First lien senior secured revolving loan	S +	5.25%	10.90%	10/19/2025	580		(4)		(4)		0.00	%
Vital Care Buyer, LLC	First lien senior secured term loan	S +	5.25%	10.90%	10/19/2025	793		791		788		0.11	%
Western Veterinary Partners, LLC	First lien senior secured delayed draw term loan	S +	6.00%	11.65%	10/29/2026	504		501		499		0.07	%
Western Veterinary Partners, LLC (6)	First lien senior secured revolving loan	S +	6.00%	11.65%	10/29/2026	24		—		—		0.00	%
Western Veterinary Partners, LLC	First lien senior secured term loan	S +	6.00%	11.65%	10/29/2026	1,305		1,296		1,291		0.18	%
								325,853		326,151		46.21	%
Health care technology
AHR Intermediate, Inc	First lien senior secured delayed draw term loan	S +	5.25%	10.90%	7/29/2027	$	5,310	$	5,248	$	5,235	0.74	%
AHR Intermediate, Inc	First lien senior secured revolving loan	S +	5.25%	10.90%	7/29/2027	7,858		667		723		0.10	%

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

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, Inc	First lien senior secured term loan	S +	5.25%	10.90%	7/29/2027	25,555		25,330		25,346		3.59	%
Millennia Patient Services, LLC	First lien senior secured revolving loan	S +	6.50%	11.93%	3/8/2026	134		66		66		0.01	%
Millennia Patient Services, LLC	First lien senior secured term loan	S +	6.50%	11.93%	3/8/2026	983		976		973		0.14	%
								32,287		32,343		4.58	%
Household durables
CPS Power Buyer, LLC	First lien senior secured delayed draw term loan	S +	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 loan	S +	6.00%	11.65%	9/26/2027	1,687		(27)		(25)		0.00	%
CPS Power Buyer, LLC	First lien senior secured term loan	S +	6.00%	11.65%	9/26/2027	5,079		4,994		5,000		0.71	%
Kwalu, LLC (6)	First lien senior secured revolving loan	S +	5.75%	11.40%	9/23/2027	5,061		(81)		(74)		(0.01)	%
Kwalu, LLC	First lien senior secured term loan	S +	5.75%	11.40%	9/23/2027	24,650		24,241		24,274		3.44	%
MacKenzie Childs Acquisition, Inc.	First lien senior secured revolving loan	S +	6.00%	11.54%	9/2/2027	3,374		2,884		2,889		0.41	%
MacKenzie Childs Acquisition, Inc.	First lien senior secured term loan	S +	6.00%	11.54%	9/2/2027	17,927		17,725		17,730		2.51	%
Renovation Systems, LLC	First lien senior secured delayed draw term loan	S +	5.75%	11.40%	1/23/2028	5,815		5,670		5,670		0.80	%
Renovation Systems, LLC	First lien senior secured revolving loan	S +	5.75%	11.40%	1/23/2028	1,965		440		442		0.06	%
Renovation Systems, LLC	First lien senior secured term loan	S +	5.75%	11.40%	1/23/2028	12,318		12,000		12,009		1.70	%
Storm Smart Buyer LLC	First lien senior secured revolving loan	S +	6.00%	11.84%	4/5/2026	131		25		25		0.00	%
Storm Smart Buyer LLC	First lien senior secured term loan	S +	6.00%	11.65%	4/5/2026	901		895		892		0.13	%
Trademark Global, LLC	First lien senior secured revolving loan	S +	7.50% + 1.75% PIK	12.93%	7/30/2024	112		75		74		0.01	%
Trademark Global, LLC	First lien senior secured revolving loan	S +	7.50% + 1.75% PIK	12.93%	7/30/2024	4		4		4		0.00	%
Trademark Global, LLC	First lien senior secured term loan	S +	5.75%	11.18%	7/30/2024	1,872		1,788		1,775		0.25	%
								73,234		73,290		10.38	%
Industrial Conglomerates
Hultec Buyer, LLC (6)	First lien senior secured revolving loan	S +	6.25%	11.82%	3/31/2029	$	3,915	$	(107)	$	(103)	(0.01)	%
Hultec Buyer, LLC	First lien senior secured term loan	S +	6.25%	11.81%	3/31/2029	14,601		14,192		14,212		2.01	%
								14,085		14,109		2.00	%
Internet and direct marketing retail
Aquatic Sales Solutions, LLC	First lien senior secured revolving loan	S +	7.00%	12.58%	12/18/2025	$	188	$	95	$	94	0.01	%
Aquatic Sales Solutions, LLC	First lien senior secured term loan	S +	3.00% + 4.00% PIK	12.54%	12/18/2025	2,521		2,483		2,463		0.35	%
DealerOn Inc. (6)	First lien senior secured revolving loan	S +	5.50%	10.93%	11/19/2024	314		(1)		(1)		0.00	%
DealerOn Inc.	First lien senior secured term loan	S +	5.50%	10.93%	11/19/2024	1,553		1,553		1,547		0.22	%
								4,130		4,103		0.58	%
IT services
Icreon Holdings, LLC (6)	First lien senior secured revolving loan	S +	6.50%	12.15%	10/26/2027	$	1,071	$	(22)	$	(21)	0.00	%
Icreon Holdings, LLC	First lien senior secured term loan	S +	6.50%	12.15%	10/26/2027	8,567		8,387		8,400		1.19	%
E-Phoenix Acquisition Co. Inc. (6)	First lien senior secured revolving loan	S +	5.75%	11.27%	6/23/2027	75		—		—		0.00	%

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

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 loan	S +	5.75%	11.29%	6/23/2027	1,419		1,415		1,410		0.20	%
FreshAddress, LLC (6)	First lien senior secured revolving loan	S +	5.50%	11.04%	10/5/2025	30		—		—		0.00	%
FreshAddress, LLC	First lien senior secured term loan	S +	5.50%	11.04%	10/5/2025	1,676		1,671		1,664		0.24	%
P and R Dental Strategies, LLC (6)	First lien senior secured revolving loan	S +	6.00%	11.43%	12/22/2026	23		—		—		0.00	%
P and R Dental Strategies, LLC	First lien senior secured term loan	S +	6.00%	11.43%	12/22/2026	629		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 loan	S +	6.25%	11.90%	4/22/2026	$	409	$	363	$	362	0.05	%
MacNeill Pride Group Corp. (6)	First lien senior secured revolving loan	S +	6.25%	11.90%	4/22/2026	287		(1)		(1)		0.00	%
MacNeill Pride Group Corp.	First lien senior secured term loan	S +	6.25%	11.90%	4/22/2026	832		832		829		0.12	%
Champion Motorsports Group, LLC (6)	First lien senior secured revolving loan	S +	6.25%	11.88%	10/8/2026	56		(1)		(1)		0.00	%
Champion Motorsports Group, LLC	First lien senior secured term loan	S +	6.25%	11.90%	10/8/2026	1,675		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 loan	S +	6.00%	11.65%	5/27/2027	$	113	$	37	$	37	0.01	%
PHGP MB Purchaser, Inc.	First lien senior secured revolving loan	S +	6.00%	11.65%	5/20/2027	75		18		18		0.00	%
PHGP MB Purchaser, Inc.	First lien senior secured term loan	S +	6.00%	11.65%	5/20/2027	1,095		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 loan	S +	5.25%	10.90%	5/3/2026	$	267	$	(3)	$	(3)	0.00	%
Aptitude Health Holdings, LLC	First lien senior secured term loan	S +	5.25%	10.90%	5/3/2026	1,095		1,082		1,083		0.15	%
CR Services Intermediate, LLC (6)	First lien senior secured delayed draw term loan	S +	6.25%	11.88%	7/28/2028	188		(4)		(5)		0.00	%
CR Services Intermediate, LLC (6)	First lien senior secured revolving loan	S +	6.25%	11.88%	7/28/2028	38		(1)		(1)		0.00	%
CR Services Intermediate, LLC	First lien senior secured term loan	S +	6.25%	11.88%	7/28/2028	456		445		445		0.06	%
								1,519		1,519		0.21	%
Machinery
Double E Company, LLC (6)	First lien senior secured delayed draw term loan	S +	6.00%	11.54%	6/21/2028	$	2,017	$	(15)	$	(12)	0.00	%
Double E Company, LLC	First lien senior secured revolving loan	S +	6.00%	11.46%	6/21/2028	3,110		1,438		1,444		0.20	%
Double E Company, LLC	First lien senior secured term loan	S +	6.00%	11.54%	6/21/2028	18,365		18,222		18,259		2.59	%
Abrasive Technology Intermediate, LLC	First lien senior secured revolving loan	S +	5.75%	11.41%	4/30/2026	173		172		171		0.02	%
Abrasive Technology Intermediate, LLC	First lien senior secured term loan	S +	5.75%	11.63%	4/30/2026	928		922		918		0.13	%
DNS IMI Acquisition Corp (6)	First lien senior secured delayed draw term loan	S +	5.50%	11.04%	11/23/2026	75		(1)		(1)		0.00	%
DNS IMI Acquisition Corp	First lien senior secured revolving loan	P +	4.50%	13.00%	11/23/2026	56		10		10		0.00	%
DNS IMI Acquisition Corp	First lien senior secured term loan	S +	5.50%	11.04%	11/23/2026	1,636		1,622		1,616		0.23	%
								22,370		22,405		3.17	%
Media
Optimized Marketing Acquisition, LLC	First lien senior secured revolving loan	S +	5.75%	11.18%	8/19/2027	$	3,383	$	1,470	$	1,474	0.21	%
Optimized Marketing Acquisition, LLC	First lien senior secured term loan	S +	5.75%	11.18%	8/19/2027	25,971		25,541		25,581		3.62	%

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

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, LLC	First lien senior secured revolving loan	S +	6.00%	11.50%	8/17/2028	4,905		921		929		0.13	%
RKD Group, LLC	First lien senior secured term loan	S +	6.00%	11.54%	8/17/2028	33,423		33,006		33,067		4.68	%
WTWH Buyer, LLC (6)	First lien senior secured revolving loan	S +	6.50%	12.15%	12/16/2027	1,638		(36)		(35)		0.00	%
WTWH Buyer, LLC	First lien senior secured term loan	S +	6.50%	12.15%	12/16/2027	10,119		9,887		9,900		1.40	%
ALM Media, LLC (6)(20)	First lien senior secured revolving loan	S +	6.00%	11.54%	11/25/2024	971		(3)		(3)		0.00	%
ALM Media, LLC	First lien senior secured term loan	S +	6.00%	11.54%	11/25/2024	2,362		2,361		2,353		0.33	%
Barkley, LLC (6)	First lien senior secured revolving loan	S +	6.00%	11.42%	9/29/2028	2,300		(58)		(58)		(0.01)	%
Barkley, LLC	First lien senior secured term loan	S +	6.00%	11.42%	9/29/2028	18,949		18,475		18,475		2.62	%
Exclusive Concepts, LLC	First lien senior secured delayed draw term loan	S +	6.50%	12.40%	12/9/2026	223		219		219		0.03	%
Exclusive Concepts, LLC (6)	First lien senior secured revolving loan	S +	6.50%	12.40%	12/9/2026	23		—		—		0.00	%
Exclusive Concepts, LLC	First lien senior secured term loan	S +	6.50%	12.40%	12/9/2026	622		611		609		0.09	%
Infolinks Media Buyco, LLC	First lien senior secured delayed draw term loan	S +	5.75%	11.17%	11/1/2026	39		23		23		0.00	%
Infolinks Media Buyco, LLC (6)	First lien senior secured revolving loan	S +	5.75%	11.17%	11/1/2026	38		—		—		0.00	%
Infolinks Media Buyco, LLC	First lien senior secured term loan	S +	5.75%	11.17%	11/1/2026	1,143		1,134		1,129		0.16	%
The Channel Company, LLC	First lien senior secured revolving loan	S +	6.25%	11.90%	11/1/2027	62		58		58		0.01	%
The Channel Company, LLC	First lien senior secured term loan	S +	6.25%	11.90%	11/1/2027	2,330		2,316		2,307		0.33	%
								95,925		96,028		13.60	%
Metals and mining
Copperweld Group, Inc.	First lien senior secured revolving loan	S +	6.00%	11.64%	9/27/2024	$	462	$	122	$	121	0.02	%
Copperweld Group, Inc.	First lien senior secured term loan	S +	6.00%	11.65%	9/27/2024	2,267		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 loan	C +	5.75%	11.26%	7/23/2026	$	30	$	—	$	—	0.00	%
Bio Agri Mix Holdings Inc. (6)(7)	First lien senior secured revolving loan	C +	5.75%	11.26%	7/23/2026	C$	75	(1)		(1)		0.00	%
Bio Agri Mix Holdings Inc. (7)	First lien senior secured term loan	C +	5.75%	11.26%	7/23/2026	C$	1,235	922		899		0.13	%
Formulated Buyer, LLC	First lien senior secured delayed draw term loan	S +	5.25%	11.06%	9/22/2026	298		204		203		0.03	%
Formulated Buyer, LLC	First lien senior secured revolving loan	S +	5.25%	11.06%	9/22/2026	188		28		28		0.00	%
Formulated Buyer, LLC	First lien senior secured term loan	S +	5.25%	11.15%	9/22/2026	457		453		452		0.06	%
								1,606		1,581		0.22	%
Personal products
Cosmetic Solutions, LLC	First lien senior secured delayed draw term loan	S +	5.75% + 0.75% PIK	11.82%	10/17/2025	$	362	$	352	$	348	0.05	%
Cosmetic Solutions, LLC (6)	First lien senior secured revolving loan	S +	5.75%	11.18%	10/17/2025	344		(11)		(13)		0.00	%
Cosmetic Solutions, LLC	First lien senior secured term loan	S +	5.75%	11.18%	10/17/2025	2,772		2,694		2,664		0.38	%
								3,035		2,999		0.43	%
Professional services
Helpware, Inc.	First lien senior secured revolving loan	S +	5.75%	11.65%	9/8/2026	$	5,061	$	1,805	$	1,736	0.25	%
Helpware, Inc.	First lien senior secured term loan	S +	5.75%	11.65%	9/8/2026	14,007		13,853		13,677		1.94	%
Stax Holding Company, LLC (6)(21)	First lien senior secured revolving loan	S +	5.25%	10.90%	10/29/2026	60		—		—		0.00	%

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

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, LLC	First lien senior secured term loan	S +	5.25%	10.90%	10/29/2026	728		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 loan	S +	6.75%	12.18%	1/8/2026	$	233	$	154	$	153	0.02	%
BBG Intermediate Holdings, Inc.	First lien senior secured term loan	S +	5.50% + 1.25% PIK	12.07%	1/8/2026	1,874		1,736		1,730		0.25	%
MetaSource, LLC (6)	First lien senior secured delayed draw term loan	S +	6.25%	11.68%	5/17/2027	49		—		—		0.00	%
MetaSource, LLC	First lien senior secured revolving loan	S +	6.75%	12.18%	5/17/2027	75		30		30		0.00	%
MetaSource, LLC	First lien senior secured term loan	S +	6.25% + 0.50% PIK	12.07%	5/17/2027	929		927		924		0.13	%
								2,847		2,837		0.40	%
Semiconductors and semiconductor equipment
Altamira Material Solutions, LP (6)	First lien senior secured revolving loan	S +	5.75%	11.34%	9/2/2026	$	45	$	(1)	$	(1)	0.00	%
Altamira Material Solutions, LP	First lien senior secured term loan	S +	5.75%	11.34%	9/2/2026	1,031		1,021		1,018		0.14	%
								1,020		1,017		0.14	%
Software
Shasta Buyer, LLC	First lien senior secured revolving loan	S +	6.25%	11.90%	8/9/2028	$	2,199	$	83	$	86	0.01	%
Shasta Buyer, LLC	First lien senior secured term loan	S +	6.25%	11.90%	8/9/2028	11,575		11,379		11,399		1.61	%
Affinitiv, Inc. (6)	First lien senior secured revolving loan	S +	6.00%	11.65%	8/26/2024	248		(1)		(1)		0.00	%
Affinitiv, Inc.	First lien senior secured term loan	S +	6.00%	11.65%	8/26/2024	2,248		2,247		2,240		0.32	%
ShiftKey, LLC (6)	First lien senior secured revolving loan	S +	5.75%	11.40%	6/21/2027	110		(1)		(1)		0.00	%
ShiftKey, LLC	First lien senior secured term loan	S +	5.75%	11.40%	6/21/2027	3,712		3,696		3,682		0.52	%
								17,403		17,405		2.46	%
Specialty retail
Soccer Post Acquisition, LLC	First lien senior secured delayed draw term loan	S +	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 loan	S +	5.25%	10.90%	6/30/2027	1,779		(23)		(21)		0.00	%
Soccer Post Acquisition, LLC	First lien senior secured term loan	S +	5.25%	10.90%	6/30/2027	7,941		7,838		7,846		1.11	%
Dykstra's Auto, LLC (6)	First lien senior secured delayed draw term loan	S +	6.00%	11.63%	10/22/2026	150		(3)		(2)		0.00	%
Dykstra's Auto, LLC	First lien senior secured delayed draw term loan	S +	6.00%	11.65%	10/22/2026	185		183		182		0.03	%
Dykstra's Auto, LLC	First lien senior secured revolving loan	S +	6.00%	11.65%	10/22/2026	38		5		5		0.00	%
Dykstra's Auto, LLC	First lien senior secured term loan	S +	6.00%	11.63%	10/22/2026	628		622		618		0.09	%
Kaizen Auto Care, LLC	First lien senior secured delayed draw term loan	S +	6.00% + 0.50% PIK	11.82%	12/22/2026	223		221		216		0.03	%
Kaizen Auto Care, LLC	First lien senior secured delayed draw term loan	S +	6.00% + 0.50% PIK	11.82%	12/22/2023	224		222		218		0.03	%
Kaizen Auto Care, LLC	First lien senior secured revolving loan	S +	6.50%	12.20%	12/22/2026	38		37		36		0.01	%

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

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, LLC	First lien senior secured term loan	S +	6.00%	11.43%	12/22/2026	28		27		27		0.00	%
Kaizen Auto Care, LLC	First lien senior secured term loan	S +	6.00% + 0.50% PIK	11.82%	12/22/2026	857		849		833		0.12	%
Leonard Group, Inc. (6)	First lien senior secured revolving loan	S +	6.50%	12.15%	2/26/2026	234		(1)		(1)		0.00	%
Leonard Group, Inc.	First lien senior secured term loan	S +	6.50%	12.15%	2/26/2026	1,559		1,557		1,551		0.22	%
Pink Lily Holdings, LLC (6)	First lien senior secured revolving loan	S +	3.50%	8.92%	11/16/2027	63		(1)		(1)		0.00	%
Pink Lily Holdings, LLC	First lien senior secured term loan	S +	3.50% + 3.50% PIK	12.42%	11/16/2027	1,250		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 loan	S +	6.00%	11.57%	9/9/2027	$	2,500	$	(58)	$	(56)	(0.01)	%
Ascent Lifting, Inc.	First lien senior secured term loan	S +	6.00%	11.57%	9/9/2027	17,237		16,815		16,842		2.39	%
NEFCO Holding Company, LLC	First lien senior secured delayed draw term loan	S +	6.50%	12.09%	8/5/2028	2,186		2,157		2,156		0.31	%
NEFCO Holding Company, LLC	First lien senior secured delayed draw term loan	S +	6.50%	12.09%	8/5/2024	2,192		27		29		0.00	%
NEFCO Holding Company, LLC	First lien senior secured delayed draw term loan	S +	6.50%	12.19%	8/5/2028	2,611		2,594		2,572		0.36	%
NEFCO Holding Company, LLC	First lien senior secured revolving loan	P +	5.50%	14.00%	8/5/2028	3,045		1,270		1,274		0.18	%
NEFCO Holding Company, LLC	First lien senior secured term loan	S +	6.50%	11.78%	8/5/2028	14,360		14,096		14,134		2.00	%
AFC Industries, Inc.	First lien senior secured delayed draw term loan	S +	6.25%	11.77%	4/9/2027	349		342		342		0.05	%
AFC Industries, Inc.	First lien senior secured delayed draw term loan	S +	6.25%	11.75%	4/9/2027	127		125		124		0.02	%
AFC Industries, Inc.	First lien senior secured delayed draw term loan	S +	6.25%	11.73%	4/9/2027	105		103		103		0.01	%
AFC Industries, Inc.	First lien senior secured delayed draw term loan	S +	6.25%	11.67%	4/9/2027	106		84		84		0.01	%
AFC Industries, Inc. (23)	First lien senior secured revolving loan	S +	6.25%	11.77%	10/9/2026	156		46		46		0.01	%
AFC Industries, Inc.	First lien senior secured term loan	S +	6.25%	11.68%	4/9/2027	855		839		837		0.12	%
American Equipment Systems LLC	First lien senior secured delayed draw term loan	S +	6.00%	11.72%	11/5/2026	38		37		37		0.01	%
American Equipment Systems LLC	First lien senior secured term loan	S +	6.00%	11.82%	11/5/2026	71		69		69		0.01	%
American Equipment Systems LLC	First lien senior secured term loan	S +	6.00%	11.50%	11/5/2026	321		315		313		0.04	%
Banner Buyer, LLC	First lien senior secured delayed draw term loan	S +	5.75%	11.17%	10/31/2025	565		566		564		0.08	%
Banner Buyer, LLC (6)	First lien senior secured revolving loan	S +	5.75%	11.17%	10/31/2025	370		(1)		(2)		0.00	%
Banner Buyer, LLC	First lien senior secured term loan	S +	5.75%	11.17%	10/31/2025	1,361		1,359		1,354		0.19	%
Empire Equipment Company, LLC	First lien senior secured revolving loan	S +	5.50%	10.93%	1/17/2025	439		29		27		0.00	%
Empire Equipment Company, LLC	First lien senior secured term loan	S +	5.50%	10.93%	1/17/2025	1,720		1,716		1,703		0.24	%
Montway LLC	First lien senior secured delayed draw term loan	S +	6.25%	12.15%	11/4/2025	670		665		663		0.09	%

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

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 loan	S +	6.25%	12.01%	11/4/2025	150		(2)		(2)		0.00	%
Montway LLC	First lien senior secured term loan	S +	6.25%	12.01%	11/4/2025	710		704		702		0.10	%
Triad Technologies, LLC (6)	First lien senior secured revolving loan	S +	6.00%	11.54%	6/8/2026	332		(5)		(5)		0.00	%
Triad Technologies, LLC	First lien senior secured term loan	S +	6.00%	11.54%	6/8/2026	1,345		1,331		1,326		0.19	%
								45,223		45,236		6.40	%
Water utilities
Diamondback Buyer, LLC	First lien senior secured revolving loan	S +	5.50%	10.93%	7/22/2026	$	75	$	29	$	29	0.00	%
Diamondback Buyer, LLC	First lien senior secured term loan	S +	5.50%	11.16%	7/22/2026	1,191		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, LLC	Sponsor subordinated note		12.50% + 7.00% PIK		7/17/2025	$	12	$	12	$	12	0.00	%
Total non-controlled/non-affiliated sponsor subordinated notes								12		12		0.00	%
Total non-controlled/non-affiliated investments								1,163,387		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 interest							19		18		0.00	%
Total non-controlled/affiliated investments								44,263		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 ~~June~~September 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 ~~June~~September 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 letter~~Represents investments that the Company has determined are not “qualifying assets” under Section 55(a) of ~~credit~~the 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 ~~$82,358~~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 ~~which~~an 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.

1123

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AG Twin Brook Capital Income Fund

Consolidated Schedule of Investments

As of ~~June~~September 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 ~~June~~September 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 ~~was~~and 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

Counterparty

Currency Purchased

Currency Sold

Settlement

Unrealized Appreciation/
(Depreciation)

Wells Fargo Bank, National Association

USD 1,427

CAD 1,926

10/13/2023

Total

Currency Abbreviations:

USD - U.S. Dollar

CAD - Canadian Dollar

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

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 loan	S +	6.00%	10.84	%	6/21/2028	$	6,080	$	(103)	$	(101)	(0.02)	%
Load One Purchaser Corporation	First lien senior secured revolving loan	S +	6.00%	10.84	%	6/21/2028	3,482		285		291		0.06	%
Load One Purchaser Corporation	First lien senior secured term loan	S +	6.00%	10.84	%	6/21/2028	13,477		13,225		13,252		2.51	%
Zipline Logistics, LLC (6)	First lien senior secured delayed draw term loan	S +	5.75%	10.59	%	9/19/2027	4,527		(85)		(79)		(0.01)	%
Zipline Logistics, LLC (6)	First lien senior secured revolving loan	S +	5.75%	10.59	%	9/19/2027	1,687		(32)		(29)		(0.01)	%
Zipline Logistics, LLC	First lien senior secured term loan	S +	5.75%	10.59	%	9/19/2027	6,924		6,792		6,804		1.29	%
									20,082		20,138		3.82	%
Auto components
Raneys, LLC (6)	First lien senior secured revolving loan	S +	5.75%	10.59	%	6/7/2027	$	1,522	$	(27)	$	(25)	0.00	%
Raneys, LLC	First lien senior secured term loan	S +	5.75%	10.59	%	6/7/2027	7,364		7,231		7,243		1.37	%
									7,204		7,218		1.37	%
Chemicals
Custom Agronomics Holdings, LLC (6)	First lien senior secured revolving loan	S +	6.50%	11.34	%	8/26/2027	$	2,312	$	(43)	$	(40)	(0.01)	%
Custom Agronomics Holdings, LLC	First lien senior secured term loan	S +	6.50%	11.34	%	8/26/2027	3,930		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 loan	P +	5.25%	12.75	%	8/5/2028	$	2,537	$	376	$	380	0.07	%
Industrial Air Flow Dynamics, Inc.	First lien senior secured term loan	S +	5.25%	10.67	%	8/5/2028	17,757		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 loan	S +	6.50%	11.34	%	9/30/2027	$	9,413	$	(82)	$	(70)	(0.01)	%
Ironhorse Purchaser, LLC	First lien senior secured revolving loan	S +	6.50%	11.33	%	9/30/2027	4,210		1,960		1,968		0.37	%
Ironhorse Purchaser, LLC	First lien senior secured term loan	S +	6.50%	11.34	%	9/30/2027	30,605		30,312		30,376		5.74	%
Rose Paving, LLC	First lien senior secured revolving loan	S +	5.75%	10.57	%	11/7/2028	4,560		2,442		2,442		0.46	%
Rose Paving, LLC	First lien senior secured term loan	S +	5.75%	10.55	%	11/7/2028	16,853		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 loan	S +	6.75%	11.28	%	11/15/2027	$	1,748	$	(43)	$	(43)	(0.01)	%
Bulk Lift International, LLC	First lien senior secured term loan	S +	6.75%	11.28	%	11/15/2027	5,816		5,673		5,673		1.07	%
K-1 Packaging Group, LLC (6)	First lien senior secured revolving loan	S +	6.00%	10.84	%	10/6/2027	6,748		(161)		(152)		(0.03)	%
K-1 Packaging Group, LLC	First lien senior secured term loan	S +	6.00%	10.84	%	10/6/2027	33,115		32,317		32,370		6.12	%
Sixarp, LLC (6)	First lien senior secured delayed draw term loan	S +	5.50%	10.34	%	8/5/2027	3,180		(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 loan	S +	5.50%	10.34	%	8/5/2027	3,732		(69)		(63)		(0.01)	%
Sixarp, LLC	First lien senior secured term loan	S +	5.50%	10.34	%	8/5/2027	19,825		19,443		19,482		3.68	%
									57,103		57,213		10.81	%
Diversified consumer services
ACES Intermediate, LLC (6)	First lien senior secured revolving loan	S +	5.75%	10.63	%	7/27/2027	$	6,964	$	(127)	$	(117)	(0.02)	%
ACES Intermediate, LLC	First lien senior secured term loan	S +	5.75%	10.63	%	7/27/2027	31,376		30,789		30,859		5.83	%
Esquire Deposition Solutions, LLC (6)	First lien senior secured delayed draw term loan	S +	6.50%	10.92	%	12/30/2027	3,845		(115)		(115)		(0.02)	%
Esquire Deposition Solutions, LLC (6)	First lien senior secured revolving loan	S +	6.50%	10.92	%	12/30/2027	2,162		(65)		(65)		(0.01)	%
Esquire Deposition Solutions, LLC	First lien senior secured term loan	S +	6.50%	10.92	%	12/30/2027	13,458		13,054		13,054		2.47	%
Yard-Nique, Inc (6)	First lien senior secured delayed draw term loan	S +	6.00%	9.71	%	4/30/2026	6,086		(72)		(68)		(0.01)	%
Yard-Nique, Inc	First lien senior secured revolving loan	S +	5.00%	8.71	%	4/30/2026	870		250		251		0.05	%
Yard-Nique, Inc	First lien senior secured term loan	S +	6.00%	9.71	%	4/30/2026	6,739		6,651		6,661		1.26	%
									50,365		50,460		9.55	%
Electrical equipment
WCI Volt Purchaser, LLC (6)	First lien senior secured revolving loan	S +	5.75%	10.59	%	9/15/2028	$	2,249	$	(43)	$	(39)	(0.01)	%
WCI Volt Purchaser, LLC	First lien senior secured term loan	S +	5.75%	10.59	%	9/15/2028	10,035		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 loan	S +	5.25%	8.76	%	8/8/2028	$	3,043	$	(25)	$	(22)	0.00	%
ITSavvy LLC (6)	First lien senior secured revolving loan	S +	5.25%	9.68	%	8/8/2028	1,741		(16)		(13)		0.00	%
ITSavvy LLC	First lien senior secured term loan	S +	5.25%	8.76	%	8/8/2028	11,244		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 loan	S +	6.00%	10.24	%	10/31/2028	$	5,236	$	(140)	$	(140)	(0.03)	%
Universal Pure, LLC (6)(8)	First lien senior secured revolving loan	S +	6.00%	10.24	%	10/31/2028	6,992		(187)		(187)		(0.04)	%
Universal Pure, LLC	First lien senior secured term loan	S +	6.00%	10.24	%	10/31/2028	29,898		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 loan	S +	6.00%	10.73	%	8/19/2027	$	5,846	$	(108)	$	(100)	(0.02)	%
BPCP WLF Intermedco LLC	First lien senior secured revolving loan	S +	6.00%	10.75	%	8/19/2027	3,383		1,291		1,295		0.24	%
BPCP WLF Intermedco LLC	First lien senior secured term loan	S +	6.00%	10.73	%	8/19/2027	23,326		22,883		22,923		4.33	%
Sun Orchard, LLC	First lien senior secured revolving loan	S +	5.25%	9.69	%	7/8/2027	5,223		254		261		0.05	%
Sun Orchard, LLC	First lien senior secured term loan	S +	5.25%	10.09	%	7/8/2027	9,456		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 loan	S +	6.00%	10.84	%	7/25/2028	$	1,929	$	(36)	$	(33)	(0.01)	%
Medical Technology Associates, Inc.	First lien senior secured term loan	S +	6.00%	10.84	%	7/25/2028	6,713		6,585		6,599		1.25	%
Nasco Healthcare Inc. (6)(7)	First lien senior secured revolving loan	S +	5.75%	10.48	%	6/30/2025	3,322		(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 loan	S +	5.75%	10.48	%	6/30/2025	17,811		17,605		17,605		3.33	%	Nasco Healthcare Inc.	First lien senior secured term loan	S +	5.75%	10.48	%	6/30/2025	17,811		17,605		17,605		3.33	%
Surplus Solutions, LLC (6)	Surplus Solutions, LLC (6)	First lien senior secured revolving loan	S +	6.00%	10.66	%	11/30/2027	1,771		(44)		(44)		(0.01)	%	Surplus Solutions, LLC (6)	First lien senior secured revolving loan	S +	6.00%	10.66	%	11/30/2027	1,771		(44)		(44)		(0.01)	%
Surplus Solutions, LLC	Surplus Solutions, LLC	First lien senior secured term loan	S +	6.00%	10.66	%	11/30/2027	10,143		9,894		9,894		1.87	%	Surplus Solutions, LLC	First lien senior secured term loan	S +	6.00%	10.66	%	11/30/2027	10,143		9,894		9,894		1.87	%
										33,966		33,983		6.42	%										33,966		33,983		6.42	%
Health care providers and services	Health care providers and services															Health care providers and services
ADVI Health, LLC (6)	ADVI Health, LLC (6)	First lien senior secured revolving loan	S +	7.00%	11.67	%	11/29/2027	$	1,062	$	(26)	$	(26)	0.00	%	ADVI Health, LLC (6)	First lien senior secured revolving loan	S +	7.00%	11.67	%	11/29/2027	$	1,062	$	(26)	$	(26)	0.00	%
ADVI Health, LLC	ADVI Health, LLC	First lien senior secured term loan	S +	7.00%	11.67	%	11/29/2027	6,242		6,089		6,089		1.15	%	ADVI Health, LLC	First lien senior secured term loan	S +	7.00%	11.67	%	11/29/2027	6,242		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 loan	S +	5.50%	9.19	%	6/7/2026	7,318		(96)		(92)		(0.02)	%	Benefit Plan Administrators of Eau Claire, LLC (6)	First lien senior secured delayed draw term loan	S +	5.50%	9.19	%	6/7/2026	7,318		(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 loan	S +	5.50%	9.19	%	6/7/2026	1,672		(23)		(21)		0.00	%	Benefit Plan Administrators of Eau Claire, LLC (6)	First lien senior secured revolving loan	S +	5.50%	9.19	%	6/7/2026	1,672		(23)		(21)		0.00	%
Benefit Plan Administrators of Eau Claire, LLC	Benefit Plan Administrators of Eau Claire, LLC	First lien senior secured term loan	S +	5.50%	9.19	%	6/7/2026	12,962		12,779		12,800		2.42	%	Benefit Plan Administrators of Eau Claire, LLC	First lien senior secured term loan	S +	5.50%	9.19	%	6/7/2026	12,962		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 loan	S +	5.25%	9.98	%	8/2/2027	5,786		(106)		(98)		(0.02)	%	Change Academy at Lake of the Ozarks, LLC (6)	First lien senior secured revolving loan	S +	5.25%	9.98	%	8/2/2027	5,786		(106)		(98)		(0.02)	%
Change Academy at Lake of the Ozarks, LLC	Change Academy at Lake of the Ozarks, LLC	First lien senior secured term loan	S +	5.25%	9.98	%	8/2/2027	29,547		28,992		29,043		5.49	%	Change Academy at Lake of the Ozarks, LLC	First lien senior secured term loan	S +	5.25%	9.98	%	8/2/2027	29,547		28,992		29,043		5.49	%
Endodontic Practice Partners, LLC	Endodontic Practice Partners, LLC	First lien senior secured delayed draw term loan	S +	5.75%	10.90	%	11/2/2027	16,705		11,621		11,621		2.20	%	Endodontic Practice Partners, LLC	First lien senior secured delayed draw term loan	S +	5.75%	10.90	%	11/2/2027	16,705		11,621		11,621		2.20	%
Endodontic Practice Partners, LLC (6)	Endodontic Practice Partners, LLC (6)	First lien senior secured revolving loan	S +	5.75%	10.64	%	11/2/2027	1,918		(37)		(37)		(0.01)	%	Endodontic Practice Partners, LLC (6)	First lien senior secured revolving loan	S +	5.75%	10.64	%	11/2/2027	1,918		(37)		(37)		(0.01)	%
Endodontic Practice Partners, LLC	Endodontic Practice Partners, LLC	First lien senior secured term loan	S +	5.75%	10.64	%	11/2/2027	14,927		14,636		14,636		2.77	%	Endodontic Practice Partners, LLC	First lien senior secured term loan	S +	5.75%	10.64	%	11/2/2027	14,927		14,636		14,636		2.77	%
IPC Pain Acquistion, LLC (6)		First lien senior secured delayed draw term loan	S +	6.00%	10.44	%	5/19/2027	10,830		(112)		(107)		(0.02)	%
IPC Pain Acquistion, LLC (6)		First lien senior secured revolving loan	S +	6.00%	10.44	%	5/19/2027	1,115		(15)		(13)		0.00	%
IPC Pain Acquistion, LLC		First lien senior secured term loan	S +	6.00%	10.44	%	5/19/2027	2,785		2,745		2,751		0.52	%
IPC Pain Acquisition, LLC (6)																IPC Pain Acquisition, LLC (6)	First lien senior secured delayed draw term loan	S +	6.00%	10.44	%	5/19/2027	10,830		(112)		(107)		(0.02)	%
IPC Pain Acquisition, LLC (6)																IPC Pain Acquisition, LLC (6)	First lien senior secured revolving loan	S +	6.00%	10.44	%	5/19/2027	1,115		(15)		(13)		0.00	%
IPC Pain Acquisition, LLC																IPC Pain Acquisition, LLC	First lien senior secured term loan	S +	6.00%	10.44	%	5/19/2027	2,785		2,745		2,751		0.52	%
NH Kronos Buyer, Inc. (6)	NH Kronos Buyer, Inc. (6)	First lien senior secured revolving loan	S +	10.00%	14.24	%	11/1/2028	12,443		(363)		(363)		(0.07)	%	NH Kronos Buyer, Inc. (6)	First lien senior secured revolving loan	S +	10.00%	14.24	%	11/1/2028	12,443		(363)		(363)		(0.07)	%
NH Kronos Buyer, Inc.	NH Kronos Buyer, Inc.	First lien senior secured term loan	S +	6.25%	10.49	%	11/1/2028	68,063		66,054		66,365		12.55	%	NH Kronos Buyer, Inc.	First lien senior secured term loan	S +	6.25%	10.49	%	11/1/2028	68,063		66,054		66,365		12.55	%
Propio LS, LLC	Propio LS, LLC	First lien senior secured revolving loan	S +	5.50%	10.46	%	8/2/2027	3,619		2,648		2,653		0.50	%	Propio LS, LLC	First lien senior secured revolving loan	S +	5.50%	10.46	%	8/2/2027	3,619		2,648		2,653		0.50	%
Propio LS, LLC	Propio LS, LLC	First lien senior secured term loan	S +	5.50%	10.38	%	8/2/2027	19,840		19,470		19,503		3.69	%	Propio LS, LLC	First lien senior secured term loan	S +	5.50%	10.38	%	8/2/2027	19,840		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 loan	S +	6.25%	11.19	%	11/3/2027	6,682		(145)		(145)		(0.03)	%	Purpose Home Health Acquisition, LLC (6)	First lien senior secured delayed draw term loan	S +	6.25%	11.19	%	11/3/2027	6,682		(145)		(145)		(0.03)	%
Purpose Home Health Acquisition, LLC (6)	Purpose Home Health Acquisition, LLC (6)	First lien senior secured revolving loan	S +	6.25%	11.19	%	11/3/2027	1,918		(42)		(42)		(0.01)	%	Purpose Home Health Acquisition, LLC (6)	First lien senior secured revolving loan	S +	6.25%	11.19	%	11/3/2027	1,918		(42)		(42)		(0.01)	%
Purpose Home Health Acquisition, LLC	Purpose Home Health Acquisition, LLC	First lien senior secured term loan	S +	6.25%	11.19	%	11/3/2027	7,961		7,788		7,786		1.47	%	Purpose Home Health Acquisition, LLC	First lien senior secured term loan	S +	6.25%	11.19	%	11/3/2027	7,961		7,788		7,786		1.47	%
Spear Education Holdings, LLC (6)	Spear Education Holdings, LLC (6)	First lien senior secured revolving loan	S +	7.50%	11.94	%	12/15/2027	4,463		(122)		(122)		(0.02)	%	Spear Education Holdings, LLC (6)	First lien senior secured revolving loan	S +	7.50%	11.94	%	12/15/2027	4,463		(122)		(122)		(0.02)	%
Spear Education Holdings, LLC	Spear Education Holdings, LLC	First lien senior secured term loan	S +	7.50%	11.94	%	12/15/2027	18,858		18,340		18,339		3.47	%	Spear Education Holdings, LLC	First lien senior secured term loan	S +	7.50%	11.94	%	12/15/2027	18,858		18,340		18,339		3.47	%
US Foot and Ankle Specialists, LLC	US Foot and Ankle Specialists, LLC	First lien senior secured delayed draw term loan	S +	5.25%	9.69	%	9/15/2026	16,598		5,908		5,913		1.12	%	US Foot and Ankle Specialists, LLC	First lien senior secured delayed draw term loan	S +	5.25%	9.69	%	9/15/2026	16,598		5,908		5,913		1.12	%
US Foot and Ankle Specialists, LLC	US Foot and Ankle Specialists, LLC	First lien senior secured revolving loan	S +	5.25%	9.69	%	9/15/2026	2,699		631		635		0.12	%	US Foot and Ankle Specialists, LLC	First lien senior secured revolving loan	S +	5.25%	9.69	%	9/15/2026	2,699		631		635		0.12	%
US Foot and Ankle Specialists, LLC	US Foot and Ankle Specialists, LLC	First lien senior secured term loan	S +	5.25%	9.69	%	9/15/2026	21,020		20,672		20,705		3.91	%	US Foot and Ankle Specialists, LLC	First lien senior secured term loan	S +	5.25%	9.69	%	9/15/2026	21,020		20,672		20,705		3.91	%
										217,286		217,773		41.18	%										217,286		217,773		41.18	%
Health care technology	Health care technology															Health care technology
AHR Intermediate, Inc (6)	AHR Intermediate, Inc (6)	First lien senior secured delayed draw term loan	S +	5.75%	10.19	%	7/29/2027	$	5,202	$	(31)	$	(47)	(0.01)	%	AHR Intermediate, Inc (6)	First lien senior secured delayed draw term loan	S +	5.75%	10.19	%	7/29/2027	$	5,202	$	(31)	$	(47)	(0.01)	%
AHR Intermediate, Inc	AHR Intermediate, Inc	First lien senior secured revolving loan	S +	5.75%	10.19	%	7/29/2027	7,708		630		697		0.13	%	AHR Intermediate, Inc	First lien senior secured revolving loan	S +	5.75%	10.19	%	7/29/2027	7,708		630		697		0.13	%
AHR Intermediate, Inc	AHR Intermediate, Inc	First lien senior secured term loan	S +	5.75%	10.19	%	7/29/2027	24,292		24,012		24,050		4.55	%	AHR Intermediate, Inc	First lien senior secured term loan	S +	5.75%	10.19	%	7/29/2027	24,292		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 loan	S +	6.50%	10.89	%	9/26/2027	$	3,018	$	(57)	$	(53)	(0.01)	%
CPS Power Buyer, LLC (6)	First lien senior secured revolving loan	S +	6.50%	10.89	%	9/26/2027	1,687		(32)		(29)		(0.01)	%
CPS Power Buyer, LLC	First lien senior secured term loan	S +	6.50%	10.89	%	9/26/2027	5,118		5,019		5,028		0.95	%
Kwalu, LLC (6)	First lien senior secured revolving loan	S +	6.00%	10.84	%	9/23/2027	5,061		(96)		(88)		(0.02)	%
Kwalu, LLC	First lien senior secured term loan	S +	6.00%	10.84	%	9/23/2027	24,836		24,363		24,405		4.61	%
MacKenzie Childs Acquisition, Inc.	First lien senior secured revolving loan	S +	6.00%	10.73	%	9/2/2027	3,374		2,877		2,883		0.55	%
MacKenzie Childs Acquisition, Inc.	First lien senior secured term loan	S +	6.00%	10.73	%	9/2/2027	18,063		17,807		17,842		3.37	%
									49,881		49,988		9.44	%
IT services
ARC Healthcare Technologies, LLC	First lien senior secured delayed draw term loan	S +	5.25%	10.09	%	6/22/2025	$	7,340	$	661	$	668	0.13	%
ARC Healthcare Technologies, LLC (6)	First lien senior secured revolving loan	S +	5.25%	10.09	%	6/22/2025	3,341		(34)		(30)		(0.01)	%
ARC Healthcare Technologies, LLC	First lien senior secured term loan	S +	5.25%	10.09	%	6/22/2025	23,421		23,173		23,210		4.39	%
Icreon Holdings, LLC (6)	First lien senior secured revolving loan	S +	6.50%	10.94	%	10/26/2027	1,049		(25)		(25)		0.00	%
Icreon Holdings, LLC	First lien senior secured term loan	S +	6.50%	10.94	%	10/26/2027	8,265		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 loan	S +	6.00%	10.55	%	6/21/2028	$	1,969	$	(17)	$	(14)	0.00	%
Double E Company, LLC	First lien senior secured revolving loan	P +	5.00%	12.50	%	6/21/2028	3,044		671		677		0.13	%
Double E Company, LLC	First lien senior secured term loan	S +	6.00%	10.55	%	6/21/2028	17,455		17,290		17,337		3.28	%
									17,944		18,000		3.41	%
Media
Optimized Marketing Acquisition, LLC	First lien senior secured revolving loan	S +	5.75%	10.97	%	8/19/2027	$	3,383	$	1,460	$	1,465	0.28	%
Optimized Marketing Acquisition, LLC	First lien senior secured term loan	S +	5.75%	10.97	%	8/19/2027	26,168		25,664		25,717		4.86	%
RKD Group, LLC (6)	First lien senior secured revolving loan	S +	6.00%	10.73	%	8/17/2028	4,905		(69)		(60)		(0.01)	%
RKD Group, LLC	First lien senior secured term loan	S +	6.00%	10.73	%	8/17/2028	33,676		33,191		33,260		6.29	%
WTWH Buyer, LLC (6)	First lien senior secured revolving loan	S +	6.50%	11.26	%	12/16/2027	1,638		(41)		(41)		(0.01)	%
WTWH Buyer, LLC	First lien senior secured term loan	S +	6.50%	11.26	%	12/16/2027	10,196		9,942		9,941		1.88	%
									70,147		70,282		13.29	%
Professional services
Helpware, Inc.	First lien senior secured revolving loan	S +	5.75%	10.59	%	9/8/2026	$	5,061	$	1,792	$	1,800	0.34	%
Helpware, Inc.	First lien senior secured term loan	S +	5.75%	10.41	%	9/8/2026	14,114		13,934		13,956		2.64	%
									15,726		15,756		2.98	%
Software
Shasta Buyer, LLC	First lien senior secured revolving loan	S +	6.25%	11.09	%	8/9/2028	$	2,199	$	196	$	199	0.04	%
Shasta Buyer, LLC	First lien senior secured term loan	S +	6.25%	11.09	%	8/9/2028	11,663		11,436		11,462		2.17	%
									11,632		11,661		2.21	%

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

1629

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, LLC	First lien senior secured delayed draw term loan	S +	5.75%	10.91	%	6/30/2027	$	1,520	$	1,420	$	1,422	0.27	%
Soccer Post Acquisition, LLC	First lien senior secured revolving loan	S +	5.75%	10.59	%	6/30/2027	1,741		1,017		1,020		0.19	%
Soccer Post Acquisition, LLC	First lien senior secured term loan	S +	5.75%	10.59	%	6/30/2027	7,590		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 loan	S +	6.50%	10.17	%	9/9/2027	$	1,350	$	(25)	$	(23)	0.00	%
Ascent Lifting, Inc.	First lien senior secured term loan	S +	6.50%	10.17	%	9/9/2027	5,118		5,019		5,029		0.95	%
NEFCO Holding Company, LLC	First lien senior secured delayed draw term loan	S +	6.50%	9.87	%	8/5/2028	2,631		2,611		2,585		0.49	%
NEFCO Holding Company, LLC	First lien senior secured delayed draw term loan	S +	6.50%	9.87	%	8/5/2028	2,192		124		122		0.02	%
NEFCO Holding Company, LLC (6)	First lien senior secured delayed draw term loan	S +	6.50%	11.30	%	8/5/2024	2,192		(40)		(38)		(0.01)	%
NEFCO Holding Company, LLC (6)	First lien senior secured revolving loan	S +	6.50%	11.30	%	8/5/2028	3,045		(57)		(52)		(0.01)	%
NEFCO Holding Company, LLC	First lien senior secured term loan	S +	6.50%	11.30	%	8/5/2028	14,469		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.

(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.

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 ~~Consolidation~~Consolidation

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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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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~~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 ~~six~~nine months ended ~~June~~September 30, 2023, the Company paid approximately ~~$150,000~~$73,000 and $223,000 of financing costs. For the three and ~~six~~nine months ended ~~June~~September 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 ~~June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 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 ~~six~~nine months ended ~~June~~September 30, 2023, the Company received approximately ~~$311,000~~$777,000 and ~~$449,000~~$1,226,000 respectively of agent fees. During the three and ~~six~~nine months ended ~~June~~September 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 June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 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 ~~six~~nine months ended ~~June~~September 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. is~~corporations. They are treated as ~~a corporation~~corporations for United States federal income tax purposes and isare subject to U.S. federal, state or local income tax. For the three and ~~six~~nine months ended ~~June~~September 30, 2023, the Company accrued $0 current federal tax. For the three and ~~six~~nine months ended ~~June~~September 30, 2023 the ~~company~~Company 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 ~~statements~~statement 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 ~~June~~September 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 ~~six~~nine months ended ~~June~~September 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 ~~June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 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, 2023				December 31, 2022
(Amounts in thousands)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
First lien senior secured debt	$	1,163,375	$	1,163,749	$	795,429	$	797,019
Sponsor subordinated note	12		12		—		—
Investment in affiliated funds	44,263		48,615		27,234		27,468
Total investments	$	1,207,650	$	1,212,376	$	822,663	$	824,487

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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, 2023 December 31, 2022
(Amounts in thousands) Amortized Cost Fair Value Amortized Cost Fair Value
First lien senior secured debt $ 943,989 $ 945,778 $ 795,429 $ 797,019
Investment in affiliated funds 34,165 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 ~~June~~September 30, 2023 and December 31, 2022 was as follows:


		June 30, 2023		December 31, 2022			September 30, 2023		December 31, 2022
Aerospace and defense						Aerospace and defense	0.2	%	—	%
Air freight and logistics	Air freight and logistics	2.0	%	2.4	%	Air freight and logistics	1.7	%	2.4	%
Auto components	Auto components	2.0	%	0.9	%	Auto components	1.9	%	0.9	%
Chemicals	Chemicals	0.4	%	0.5	%	Chemicals	0.9	%	0.5	%
Commercial services and supplies	Commercial services and supplies	3.0	%	2.2	%	Commercial services and supplies	3.4	%	2.2	%
Construction and engineering	Construction and engineering	6.3	%	6.2	%	Construction and engineering	5.4	%	6.2	%
Containers and packaging	Containers and packaging	5.8	%	6.9	%	Containers and packaging	5.8	%	6.9	%
Distributors						Distributors	0.1	%	—	%
Diversified consumer services	Diversified consumer services	6.8	%	6.1	%	Diversified consumer services	7.2	%	6.1	%
Electrical equipment	Electrical equipment	1.0	%	1.2	%	Electrical equipment	0.9	%	1.2	%
Electronic equipment, instruments and components	Electronic equipment, instruments and components	1.3	%	1.3	%	Electronic equipment, instruments and components	1.3	%	1.3	%
Food and staples retailing	Food and staples retailing	1.9	%	3.5	%	Food and staples retailing	2.0	%	3.5	%
Food products	Food products	4.1	%	4.1	%	Food products	4.4	%	4.1	%
Gas utilities						Gas utilities	0.1	%	—	%
Health care equipment and supplies	Health care equipment and supplies	4.3	%	4.1	%	Health care equipment and supplies	3.7	%	4.1	%
Health care providers and services	Health care providers and services	28.6	%	26.4	%	Health care providers and services	27.1	%	26.4	%
Health care technology	Health care technology	2.8	%	3.0	%	Health care technology	2.6	%	3.0	%
Household durables	Household durables	7.0	%	6.1	%	Household durables	6.1	%	6.1	%
Industrial Conglomerates	Industrial Conglomerates	1.4	%	—	%	Industrial Conglomerates	1.2	%	—	%
Internet and direct marketing retail						Internet and direct marketing retail	0.3	%	—	%
IT services	IT services	0.8	%	3.9	%	IT services	1.0	%	3.9	%
Leisure equipment and products						Leisure equipment and products	0.2	%	—	%
Leisure products						Leisure products	0.1	%	—	%
Life sciences tools and services						Life sciences tools and services	0.1	%	—	%
Machinery	Machinery	1.9	%	2.2	%	Machinery	1.8	%	2.2	%
Media	Media	7.1	%	8.5	%	Media	8.0	%	8.5	%
Metals and mining						Metals and mining	0.2	%	—	%
Multisector holdings	Multisector holdings	3.9	%	3.3	%	Multisector holdings	4.0	%	3.3	%
Pharmaceuticals						Pharmaceuticals	0.1	%	—	%
Personal products						Personal products	0.2	%	—	%
Professional services	Professional services	1.6	%	1.9	%	Professional services	1.3	%	1.9	%
Real estate management and development						Real estate management and development	0.2	%	—	%
Semiconductors and semiconductor equipment						Semiconductors and semiconductor equipment	0.1	%	—	%
Software	Software	1.2	%	1.4	%	Software	1.4	%	1.4	%
Specialty retail	Specialty retail	0.9	%	1.2	%	Specialty retail	1.1	%	1.2	%
Trading companies and distributors	Trading companies and distributors	3.9	%	2.7	%	Trading companies and distributors	3.8	%	2.7	%
Water utilities						Water utilities	0.1	%	—	%
Total	Total	100.0	%	100.0	%	Total	100.0	%	100.0	%

As of ~~June~~September 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 ~~June~~September 30, 2023 and December 31, 2022:

Assets at Fair Value as of June 30, 2023
(Amounts in thousands) Level 1 Level 2 Level 3 Total
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 1		Level 2		Level 3		Total
First lien senior secured debt	$	—	$	—	$	1,163,749	$	1,163,749
Sponsor subordinated note	—		—		12		12
Foreign currency forward contracts	—		9		—		9
Total	$	—	$	9	$	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 1		Level 2		Level 3		Total
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

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 ~~six~~nine months ended ~~June~~September 30, 2023 and for the three months ended ~~June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 30, 2022:

Level 3 Assets at Fair Value for the Three Months Ended June 30, 2023*
(Amounts in thousands) Balance 4/1/2023 Purchases and Drawdowns Sales and Paydowns Other** 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 1/1/2023 Purchases and Drawdowns Sales and Paydowns Other** 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 4/1/2022		Purchases and Drawdowns		Sales and Paydowns		Other**		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 Paydowns		Other**		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 debt	First lien senior secured debt	$	—	$	83,747	$	—	$	25	$	—	$	(6)	$	83,766	$	(6)	First lien senior secured debt	$	945,778	$	256,112	$	(38,883)	$	2,154	$	3	$	(1,415)	$	1,163,749	$	(1,415)
Sponsor subordinated note																		Sponsor subordinated note	—		12		—		—		—		—		12		—
Total	Total	$	—	$	83,747	$	—	$	25	$	—	$	(6)	$	83,766	$	(6)	Total	$	945,778	$	256,124	$	(38,883)	$	2,154	$	3	$	(1,415)	$	1,163,761	$	(1,415)

2641

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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 1/27/2022		Purchases and Drawdowns		Sales and Paydowns		Other**		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 Paydowns		Other**		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 debt	First 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 note																		Sponsor subordinated note	—		12		—		—		—		—		12		—
Total	Total	$	—	$	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 7/1/2022		Purchases and Drawdowns		Sales and Paydowns		Other**		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 1/27/2022		Purchases and Drawdowns		Sales and Paydowns		Other**		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 ~~June~~September 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 Class Fair 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 flow Yield 10.3% - 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 Class

Fair 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 flow

Yield

10.8% - 25.1%

12.0

Decrease

2,365

Market comparable

Forward EBITDA multiple

42.1x

Increase

Sponsor subordinated note

Market comparable

LTM EBITDA multiple

7.6x

Increase

1,119,084

Asset Class

Fair Value as of 12/31/22

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

529,200

Discounted cash flow

Yield

9.7% - 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, 2022			Nine Months Ended September 30, 2023			January 27, 2022 (Inception) to September 30, 2022
Interest expense	$	11,267		$	1,763		$	27,717		$	1,822
Amortization of deferred financing costs	503			252			1,370			297
Total interest expense	$	11,770		$	2,015		$	29,087		$	2,119
Average interest rate	7.97		%	4.72		%	7.56		%	4.72		%
Average daily borrowings	$	495,756		$	126,133		$	423,551		$	47,009

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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 ~~June~~September 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 ~~June~~September 30, 2023 and December 31, 2022, the ASPV Borrower was in compliance with all such covenants.

As of ~~June~~September 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 debt~~Credit 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 ~~June~~September 30, 2023:

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Notes to Consolidated Financial Statements (Unaudited) - Continued


		As of June 30, 2023											As 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 Facility	ASPV 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 Facility	MSPV 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 facilities												Total 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 obligations~~Credit facilities consisted of the following as of December 31, 2022:


		As of December 31, 2022											As 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 Facility	ASPV 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 Facility	MSPV 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 facilities												Total 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.

~~For~~Short-Term Debt

In order to finance certain investment transactions, the ~~three~~Company 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 June~~interest to the third party and receives the original investment transferred.

As of September 30, 2023 and December 31, 2022, respectively, the ~~components~~Company 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 costs 429 45 867 45
Total interest expense $ 9,625 $ 104 $ 17,317 $ 104
Average interest rate 7.46 % 2.26 % 7.30 % 2.26 %
Average daily borrowings $ 414,790 $ 88 $ 386,850 $ 52

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AG Twin Brook Capital Income Fund

Notes to Consolidated Financial Statements (Unaudited) - Continued

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, 2024~~September 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 ~~six~~nine months ended ~~June~~September 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 ~~June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 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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AG Twin Brook Capital Income Fund

Notes to Consolidated Financial Statements (Unaudited) - Continued

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, 2024~~November 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 ~~June~~September 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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~~AG Twin Brook Capital Income Fund~~

~~Notes to Consolidated Financial Statements (Unaudited) - Continued~~

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 ~~six~~nine months ended ~~June~~September 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 ~~June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 30, 2022, the Company accrued approximately ~~$174,000~~$682,000 and $856,000 of base management fees payable to the Adviser. As of ~~June~~September 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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AG Twin Brook Capital Income Fund

Notes to Consolidated Financial Statements (Unaudited) - Continued

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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~~AG Twin Brook Capital Income Fund~~

~~Notes to Consolidated Financial Statements (Unaudited) - Continued~~

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 ~~six~~nine months ended ~~June~~September 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 for~~For the three months ended ~~June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 30, ~~2022.~~2022, the Company accrued approximately $0.6 million of income incentive fees. As of ~~June~~September 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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AG Twin Brook Capital Income Fund

Notes to Consolidated Financial Statements (Unaudited) - Continued

As of ~~June~~September 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 six~~nine months ended ~~June~~September 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 ~~six~~nine months ended ~~June~~September 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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~~Notes to Consolidated Financial Statements (Unaudited) - Continued~~

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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AG Twin Brook Capital Income Fund

Notes to Consolidated Financial Statements (Unaudited) - Continued

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 ~~was~~and 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 ~~June~~September 30, 2023 and 2022 and transactions for the three and ~~six~~nine months ended ~~June~~September 30, 2023, and transactions for the three months ended ~~June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 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, 2023															Investment 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, 2023		Gross Additions		Gross Reductions		Net 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, 2023		Gross Additions		Gross Reductions		Net 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 investments	Non-controlled/affiliated investments															Non-controlled/affiliated investments
Twin Brook Equity Holdings, LLC	Twin Brook Equity Holdings, LLC	$	33,380	$	3,542	$	(2)	$	—	$	1,644	$	38,564	$	—	Twin Brook Equity Holdings, LLC	$	38,564	$	10,091	$	(17)	$	5	$	(46)	$	48,597	$	—
Twin Brook Segregated Equity Holdings, LLC																Twin Brook Segregated Equity Holdings, LLC	—		19		—		—		(1)		18
Total non-controlled/affiliated investments	Total non-controlled/affiliated investments	$	33,380	$	3,542	$	(2)	$	—	$	1,644	$	38,564	$	—	Total non-controlled/affiliated investments	$	38,564	$	10,110	$	(17)	$	5	$	(47)	$	48,615	$	—

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		Investment in Affiliated Funds at Fair Value for the Six Months Ended June 30, 2023															Investment 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, 2023		Gross Additions		Gross Reductions		Net 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, 2023		Gross Additions		Gross Reductions		Net 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 investments	Non-controlled/affiliated investments															Non-controlled/affiliated investments
Twin Brook Equity Holdings, LLC	Twin Brook Equity Holdings, LLC	$	27,468	$	6,933	$	(2)	$	—	$	4,165	$	38,564	$	—	Twin Brook Equity Holdings, LLC	$	27,468	$	17,024	$	(19)	$	5	$	4,119	$	48,597	$	—
Twin Brook Segregated Equity Holdings, LLC																Twin Brook Segregated Equity Holdings, LLC	—		19		—		—		(1)		18		—
Total non-controlled/affiliated investments	Total non-controlled/affiliated investments	$	27,468	$	6,933	$	(2)	$	—	$	4,165	$	38,564	$	—	Total non-controlled/affiliated investments	$	27,468	$	17,043	$	(19)	$	5	$	4,118	$	48,615	$	—


		Investment in Affiliated Funds at Fair Value for the Three Months Ended June 30, 2022															Investment 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, 2022		Gross Additions		Gross Reductions		Net 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, 2022		Gross Additions		Gross Reductions		Net 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 investments	Non-controlled/affiliated investments															Non-controlled/affiliated investments
Twin Brook Equity Holdings, LLC	Twin Brook Equity Holdings, LLC	$	—	$	2,248	$	—	$	—	$	—	$	2,248	$	—	Twin Brook Equity Holdings, LLC	$	2,248	$	15,537	$	—	$	—	$	—	$	17,785	$	—
Total non-controlled/affiliated investments	Total 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, 2022															Investment 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 Additions		Gross Reductions		Net 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 Additions		Gross Reductions		Net 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 investments	Non-controlled/affiliated investments															Non-controlled/affiliated investments
Twin Brook Equity Holdings, LLC	Twin Brook Equity Holdings, LLC	$	—	$	2,248	$	—	$	—	$	—	$	2,248	$	—	Twin Brook Equity Holdings, LLC	$	—	$	17,785	$	—	$	—	$	—	$	17,785	$	—
Total non-controlled/affiliated investments	Total 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:


Counterparty	Gross Amount of Assets	Gross Amount of Liabilities	Net Amount of Assets/(Liabilities)		Collateral Received/Pledged(1)		Net Amounts(2)
Wells Fargo Bank, National Association	9	—	$	9	$	—	$	9

(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, 2023		Nine Months Ended September 30, 2023
Net change in unrealized gain (loss) on foreign currency forward contracts	$	9	$	9

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 Company June 30, 2023 December 31, 2022
First lien senior secured debt (Amounts in thousands) (Amounts in thousands)
A.P.A. Industries, LLC $ 1,523 $ —
ACES Intermediate, LLC 6,964 6,964
ADVI Health, LLC 1,062 1,062
AHR Intermediate, Inc 8,290 12,139
ARC Healthcare Technologies, LLC — 9,947
Ascent Lifting, Inc. 1,834 1,345
Beghou Consulting, LLC 2,654 —
Benefit Plan Administrators of Eau Claire, LLC 7,263 8,990
BPCP EE Intermedco LLC 3,387 —
BPCP WLF Intermedco LLC 7,876 7,876
Bulk Lift International, LLC 1,748 1,748
Change Academy at Lake of the Ozarks, LLC 4,436 5,786
CL Services Acquisition, LLC 4,852 —
CPS Power Buyer, LLC 2,049 4,705
Custom Agronomics Holdings, LLC 2,312 2,312
Double E Company, LLC 3,694 4,314
Endodontic Practice Partners, LLC 5,301 6,696
Esquire Deposition Solutions, LLC 2,923 6,007
Flourish Research Acquisition, LLC 2,991 —
H2 Holdco, Inc. 9,549 —
Helpware, Inc. 3,205 3,205
Hultec Buyer, LLC 3,442 —
Icreon Holdings, LLC 1,049 1,049
Industrial Air Flow Dynamics, Inc. 2,537 2,114
IPC Pain Acquistion, LLC 2,188 11,945
Ironhorse Purchaser, LLC 2,132 11,624
ITSavvy LLC 1,969 4,784
K-1 Packaging Group, LLC. 6,748 6,748
Kwalu, LLC 5,061 5,061
Load One Purchaser Corporation 9,214 9,214
MacKenzie Childs Acquisition, Inc. 450 445

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Portfolio Company June 30, 2023 December 31, 2022
Medical Technology Associates, Inc. 1,929 1,929
MWEC Management, LLC 3,192 —
Nasco Healthcare Inc. 2,492 3,322
NEFCO Holding Company, LLC 3,551 7,270
NH Kronos Buyer, Inc. 12,443 12,443
Optimized Marketing Acquisition, LLC 2,199 1,861
Propio LS, LLC 3,040 905
Purpose Home Health Acquisition, LLC 8,600 8,600
QLS Buyer, Inc 1,591 —
Raneys, LLC 5,022 1,522
Renovation Systems, LLC 3,076 —
RKD Group, LLC 4,905 4,905
Rose Paving, LLC 2,562 2,006
Shasta Buyer, LLC 1,911 1,962
Sixarp, LLC 6,912 6,912
Soccer Post Acquisition, LLC 1,608 772
Spear Education Holdings, LLC 4,463 4,463
Sun Orchard, LLC 5,223 4,875
Surplus Solutions, LLC 1,771 1,771
Treat Planet Acquisition, LLC 1,965 —
Universal Pure, LLC 5,380 12,228
US Foot and Ankle Specialists, LLC 8,664 12,467
WCI Volt Purchaser, LLC 2,249 2,249
WTWH Buyer, LLC 1,638 1,638
Yard-Nique, Inc 6,500 6,695
Zipline Logistics, LLC 6,214 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 Company	September 30, 2023		December 31, 2022
First lien senior secured debt	(Amounts in thousands)		(Amounts in thousands)
626 Holdings Equity, LLC	$	129	$	—
A.P.A Industries, LLC	1,523		$	—
ACES Intermediate, LLC	6,403		6,964
Advanced Lighting Acquisition, LLC	324		—
ADVI Health, LLC	1,062		1,062
AEP Passion Intermediate Holdings, Inc.	30		—
AFC Industries, Inc.	126		—
Affinitiv, Inc.	248		—
Agility Intermediate, Inc.	53		—
AHR Intermediate, Inc	7,072		12,139
ARC Healthcare Technologies, LLC	—		9,947
Alliance Environmental Group, LLC	28		—
ALM Media, LLC	971		—
Altamira Material Solutions, LP	45		—
AM Buyer, LLC	79		—
Answer Acquisition, LLC	18		—
Apex Dental Partners, LLC	122		—
Aptitude Health Holdings, LLC	267		—
Aquatic Sales Solutions, LLC	89		—
ASC Ortho Management, LLC	57		—
Ascent Lifting, Inc.	2,500		1,345
ASP Global Acquisition, LLC	485		—
AvCarb, LLC	38		—
Banner Buyer, LLC	370		—
Barkley, LLC	2,300		—
BBG Intermediate Holdings, Inc.	62		—
BCI Burke Holding Corp.	185		—
Beacon Oral Specialists Management LLC	188		—
Beghou Consulting, LLC	2,714		—
Behavior Frontiers, LLC	38		—
Benefit Plan Administrators of Eau Claire, LLC	7,443		8,990
Bio Agri Mix Holdings Inc.	85		—
BPCP EE Intermedco LLC	3,387		—
BPCP WLF Intermedco LLC	7,876		7,876
Brightview, LLC	96		—
Bulk Lift International, LLC	1,801		1,748
Canadian Orthodontic Partners Corp.	23		—
CCG Acquisition, Inc.	19		—
Champion Motorsports Group, LLC	56		—
Change Academy at Lake of the Ozarks, LLC	2,556		5,786
CL Services Acquisition, LLC	4,976		—

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Portfolio Company	September 30, 2023	December 31, 2022
Community Care Partners, LLC	31	—
Copperweld Group, Inc.	339	—
Cosmetic Solutions, LLC	344	—
CPS HVAC Group, LLC	143	—
CPS Power Buyer, LLC	2,049	4,705
CR Services Intermediate, LLC	225	—
Custom Agronomics Holdings, LLC	2,357	2,312
DealerOn Inc.	314	—
Dermatology Medical Partners OpCo, LLC	26	—
Diamondback Buyer, LLC	45	—
DNS IMI Acquisition Corp	121	—
Domino Equipment Company, LLC	79	—
Double E Company, LLC	3,664	4,314
Dykstra's Auto, LLC	182	—
Edko Acquisition, LLC	38	—
EH Management Company, LLC	26	—
Empire Equipment Company, LLC	408	—
EMSAR Acquisition LLC	13	—
Endodontic Practice Partners, LLC	5,415	6,696
Engelman Baking Co., LLC	186	—
E-Phoenix Acquisition Co. Inc.	75	—
Esquire Deposition Solutions, LLC	5,735	6,007
Exclusive Concepts, LLC	23	—
Flourish Research Acquisition, LLC	1,247	—
Formulated Buyer, LLC	249	—
Franchise Fastlane, LLC	15	—
FreshAddress, LLC	30	—
Geriatric Medical and Surgical Supply, LLC	248	—
Gold Medal Holdings, Inc.	5	—
Golden Bear PT Partners, LLC	22	—
Green Monster Acquisition, LLC	11	—
Guardian Dentistry Practice Management, LLC	4	—
H2 Holdco, Inc.	9,789	—
Helpware, Inc.	3,205	3,205
Highland Acquisition, Inc.	30	—
HLSG Intermediate, LLC	40	—
Home Brands Group Holdings, Inc.	48	—
Hultec Buyer, LLC	3,915	—
Hydromax USA, LLC	228	—
Icelandirect, LLC	6	—
Icreon Holdings, LLC	1,071	1,049
IMA Group Management Company, LLC	209	—
Industrial Air Flow Dynamics, Inc.	2,537	2,114
Infolinks Media Buyco, LLC	53	—
Innovative FlexPak, LLC	31	—

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Portfolio Company	September 30, 2023	December 31, 2022
IPC Pain Acquisition, LLC	2,240	11,945
Ironhorse Purchaser, LLC	2,132	11,624
ISSA, LLC	105	—
ITSavvy LLC	2,012	4,784
Johns Byrne LLC	3,527	—
Juniper Landscaping Holdings LLC	22	—
K-1 Packaging Group, LLC.	6,748	6,748
Kalkomey Enterprises, LLC	66	—
Kwalu, LLC	5,061	5,061
Leonard Group, Inc.	234	—
Load One Purchaser Corporation	9,609	9,214
MacKenzie Childs Acquisition, Inc.	450	445
MacNeill Pride Group Corp.	332	—
Mad Rose Company, LLC	8	—
Main Street Gourmet, LLC	662	—
Mattco Forge, Inc.	506	—
Medical Technology Associates, Inc.	1,966	1,929
MetaSource, LLC	94	—
Millennia Patient Services, LLC	67	—
Montway LLC	150	—
MRC Keeler Acquisition, LLC	150	—
MWEC Management, LLC	2,967	—
Nasco Healthcare Inc.	2,658	3,322
NEFCO Holding Company, LLC	3,855	7,270
Nelson Name Plate Company	90	—
Network Partners Acquisition, LLC	150	—
NH Kronos Buyer, Inc.	12,705	12,443
Nimlok Company, LLC	320	—
NutriScience Innovations, LLC	131	—
Optimized Marketing Acquisition, LLC	1,861	1,861
P and R Dental Strategies, LLC	23	—
Peak Dental Services, LLC	38	—
Peak Investment Holdings, LLC	404	—
Pentec Acquisition Corp.	75	—
PHGP MB Purchaser, Inc.	130	—
Pink Lily Holdings, LLC	63	—
PPW Acquisition, LLC	28	—
PRA Acquisition, LLC	56	—
Propio LS, LLC	—	905
Purpose Home Health Acquisition, LLC	8,788	8,600
Qin's Buffalo, LLC	113	—
QLS Buyer, Inc	1,629	—
Raneys, LLC	5,059	1,522
Reliable Medical Supply LLC	57	—
Renovation Systems, LLC	1,474	—

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Portfolio Company	September 30, 2023	December 31, 2022
Revival Animal Health, LLC	86	—
RKD Group, LLC	3,924	4,905
Rose Paving, LLC	1,746	2,006
RQM Buyer, Inc.	161	—
RTP Acquisition, LLC	26	—
Sage Dental Management, LLC	30	—
SAMGI Buyer, Inc.	138	—
SASE Company, LLC	15	—
SCA Buyer, LLC	13	—
SCP Beverage Buyer, LLC	38	—
SCP ENT and Allergy Services, LLC	174	—
Shasta Buyer, LLC	2,081	1,962
ShiftKey, LLC	110	—
Signature Dental Partners LLC	30	—
Silver Falls MSO, LLC	95	—
SimiTree Acquisition LLC	186	—
SIMKO Merger Sub, LLC	6,820	—
Sixarp, LLC	6,912	6,912
Soccer Post Acquisition, LLC	1,856	772
Southeast Primary Care Partners, LLC	36	—
Southern Orthodontic Partners Management, LLC	171	—
Southern Sports Medicine Partners, LLC	35	—
Spear Education Holdings, LLC	4,463	4,463
Spectrum Solutions, LLC	267	—
Starwest Botanicals Acquisition, LLC	47	—
Stax Holding Company, LLC	60	—
Steel City Wash, LLC	9	—
Storm Smart Buyer LLC	105	—
Sun Orchard, LLC	5,336	4,875
Surplus Solutions, LLC	1,771	1,771
Teel Plastics, LLC	324	—
The Channel Company, LLC	3	—
Trademark Global, LLC	32	—
Treat Planet Acquisition, LLC	1,965	—
Triad Technologies, LLC	332	—
TSR Concrete Coatings, LLC	1,534	—
United Land Services Opco Parent, LLC	289	—
Universal Pure, LLC	5,139	12,228
US Foot and Ankle Specialists, LLC	3,219	12,467
USALCO, LLC	55	—
Vanguard Packaging, LLC	410	—
Varsity DuvaSawko Operating Corp.	537	—
Varsity Rejuvenate Partners, LLC	767	—
Vehicle Accessories, Inc.	38	—
Vital Care Buyer, LLC	580	—

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Portfolio Company	September 30, 2023		December 31, 2022
WCI Volt Purchaser, LLC	2,249		2,249
Western Veterinary Partners, LLC	24		—
Westminster Cracker Company, Inc.	1,534		—
WTWH Buyer, LLC	1,638		1,638
Yard-Nique, Inc	6,515		6,695
Zipline Logistics, LLC	6,214		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 ~~June~~September 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 ~~June~~September 30, 2023, the Company had ~~23,183,428~~27,361,108 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
	Shares	Amount in Thousands
Class I:
Proceeds from shares sold	4,149,208	$	106,863
Distributions reinvested	28,472	734
Net increase (decrease)	4,177,680	$	107,597


	Nine Months Ended September 30, 2023
	Shares	Amount in Thousands
Class I:
Proceeds from shares sold	6,376,443	$	164,003
Distributions reinvested	39,635	1,017
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
Shares Amount in Thousands
Class I:
Proceeds from shares sold 1,921,844 $ 49,325
Distributions reinvested 11,162 284
Net increase (decrease) 1,933,006 $ 49,609

Six Months Ended June 30, 2023
Shares Amount in Thousands
Class I:
Proceeds from shares sold 2,227,236 $ 57,140
Distributions reinvested 11,162 284
Net increase (decrease) 2,238,398 $ 57,424

~~The following tables summarize transactions in common shares during the three months ended June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 30, 2022 (excluding the shares issued in connection with the Merger):


		Three Months Ended June 30, 2022				Three Months Ended September 30, 2022
		Shares	Amount in Thousands			Shares	Amount in Thousands
Class I:	Class I:				Class I:
Proceeds from shares sold	Proceeds from shares sold	6,999,940	$	174,998	Proceeds from shares sold	5,012,698	$	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, 2022				For the period from January 27, 2022 (Inception) to September 30, 2022
		Shares	Amount in Thousands			Shares	Amount in Thousands
Class I:	Class I:				Class I:
Proceeds from shares sold	Proceeds from shares sold	7,000,000	$	175,000	Proceeds from shares sold	12,012,698	$	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 ~~six~~nine months ended ~~June~~September 30, 2023.

For the Six Months Ended June 30, 2023
Class I
Date Declared Record Date Payment Date Dividend per Share Amount in Thousands
March 27, 2023 March 31, 2023 April 28, 2023 $ 0.18 $ 3,825
April 26, 2023 April 28, 2023 May 31, 2023 $ 0.18 $ 4,019
May 25, 2023 May 31, 2023 June 30, 2023 $ 0.18 $ 4,103
June 27, 2023 June 30, 2023 July 28, 2023 $ 0.18 $ 4,173

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For the Nine Months Ended September 30, 2023
			Class I
Date Declared	Record Date	Payment Date	Dividend per Share		Amount in Thousands
March 27, 2023	March 31, 2023	April 28, 2023	$	0.18	$	3,825
April 26, 2023	April 28, 2023	May 31, 2023	$	0.18	$	4,019
May 25, 2023	May 31, 2023	June 30, 2023	$	0.18	$	4,103
June 27, 2023	June 30, 2023	July 28, 2023	$	0.18	$	4,173
July 25, 2023	July 28, 2023	August 31, 2023	$	0.18	$	4,234
August 28, 2023	August 31, 2023	September 30, 2023	$	0.19	$	5,117
September 26, 2023	September 30, 2023	October 31, 2023	$	0.20	$	5,473

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

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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 ~~six~~nine months ended ~~June~~September 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 present~~table presents the sources of cash distributions on a U.S. GAAP basis that the Company has declared on its ~~shares~~Common Shares during the nine months ended September 30, 2023:


	Class I
Source of Distribution	Per Share		Amounts (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, ~~during~~par 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 Distribution Per Share Amounts
(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 forth~~summarizes the ~~computation~~allocation of ~~basic~~the purchase price to the assets acquired and ~~diluted earnings (loss) per common share~~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
Cash	15,567
Accrued interest receivable	2,396
Other assets(1)	2,164
Total assets acquired	206,391
Liabilities assumed:
Distribution payable	9,726
Other liabilities	3,216
Total liabilities assumed	12,942
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 diluted 22,724,706 21,890,401 2,241,785 1,533,872
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 ~~six~~nine months ended ~~June~~September 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 ~~six~~nine months ended ~~June~~September 30, 2023 and for the period from January 27, 2022 (Inception) to ~~June~~September 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, 2023		Period 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 period	Net asset value, beginning of period	$	25.25	$	25.00	Net 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)	1.72		0.84
Net realized and unrealized gain (loss)(2)	Net realized and unrealized gain (loss)(2)	0.20		0.27		Net realized and unrealized gain (loss)(2)	0.12		(0.43)
Total from operations	Total from operations	1.22		(0.07)		Total from operations	1.84		0.41
Dividends declared	Dividends declared	(0.72)		0.00		Dividends declared	(1.29)		—
Total increase (decrease) in net assets	Total increase (decrease) in net assets	0.50		(0.07)		Total increase (decrease) in net assets	0.55		0.41
Net asset value, end of period	Net asset value, end of period	$	25.75	$	24.93	Net asset value, end of period	$	25.80	$	25.41
Shares outstanding, end of period	Shares outstanding, end of period	23,183,428		7,000,000		Shares outstanding, end of period	27,361,108		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 data	Ratios / supplemental data					Ratios / 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 period	Net assets, end of period	$	596,869	$	174,475	Net assets, end of period	$	705,916	$	305,200
Weighted average shares outstanding	Weighted average shares outstanding	21,890,401		1,533,872		Weighted average shares outstanding	23,231,467		4,578,943
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 ~~net~~total 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 ~~BDC~~Company itself but are taxes to a consolidated subsidiary to the ~~fund~~Company 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 ~~BDC~~Company itself, but are taxes to a consolidated subsidiary to the ~~fund~~Company 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 ~~August~~November 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 ~~August~~November 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 ~~July~~October 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.

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 ~~June~~September 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 market~~connection 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 ~~June~~September 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 ~~six~~nine months ended ~~June~~September 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 ~~June~~September 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 ~~June~~September 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 ~~June~~September 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, 2023			Three Months Ended June 30, 2022			(Amounts in thousands)	Three Months Ended September 30, 2023			Three 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 investments	First lien senior secured debt investments	$	126,498		$	135,729		First lien senior secured debt investments	$	279,526		$	629,658
Sponsor subordinated note								Sponsor subordinated note	12			—
Investment in affiliated funds	Investment in affiliated funds	3,542			2,248			Investment in affiliated funds	10,110			15,537
Total principal amount of investments committed	Total 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 investments	First 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 repaid	Total 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 commitments	New 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)	6			7			Number of new commitments in new portfolio companies(2)	129			25
Average new commitment amount	Average 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 rates	Percentage of new commitments at floating rates	100.0		%	100.0		%	Percentage of new commitments at floating rates	100.0		%	100.0		%
Percentage of new commitments at fixed rates	Percentage 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 ~~June~~September 30, 2023 and December 31, 2022 our investments consisted of the following:


		June 30, 2023				December 31, 2022					September 30, 2023				December 31, 2022
(Amounts in thousands)	(Amounts in thousands)	Amortized Cost		Fair Value		Amortized Cost		Fair Value		(Amounts in thousands)	Amortized Cost		Fair Value		Amortized Cost		Fair Value
First lien senior secured debt	First 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 note										Sponsor subordinated note	12		12		—		—
Investment in affiliated funds	Investment in affiliated funds	34,165		38,564		27,234		27,468		Investment in affiliated funds	44,263		48,615		27,234		27,468
Total investments	Total 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 ~~June~~September 30, 2023 and December 31, 2022 :


		June 30, 2023		December 31, 2022			September 30, 2023		December 31, 2022
Aerospace and defense						Aerospace and defense	0.2	%	—	%
Air freight and logistics	Air freight and logistics	2.0	%	2.4	%	Air freight and logistics	1.7	%	2.4	%
Auto components	Auto components	2.0	%	0.9	%	Auto components	1.9	%	0.9	%
Chemicals	Chemicals	0.4	%	0.5	%	Chemicals	0.9	%	0.5	%
Commercial services and supplies	Commercial services and supplies	3.0	%	2.2	%	Commercial services and supplies	3.4	%	2.2	%
Construction and engineering	Construction and engineering	6.3	%	6.2	%	Construction and engineering	5.4	%	6.2	%
Containers and packaging	Containers and packaging	5.8	%	6.9	%	Containers and packaging	5.8	%	6.9	%
Distributors						Distributors	0.1	%	—	%
Diversified consumer services	Diversified consumer services	6.8	%	6.1	%	Diversified consumer services	7.2	%	6.1	%
Electrical equipment	Electrical equipment	1.0	%	1.2	%	Electrical equipment	0.9	%	1.2	%
Electronic equipment, instruments and components	Electronic equipment, instruments and components	1.3	%	1.3	%	Electronic equipment, instruments and components	1.3	%	1.3	%
Food and staples retailing	Food and staples retailing	1.9	%	3.5	%	Food and staples retailing	2.0	%	3.5	%
Food products	Food products	4.1	%	4.1	%	Food products	4.4	%	4.1	%
Gas utilities						Gas utilities	0.1	%	—	%
Health care equipment and supplies	Health care equipment and supplies	4.3	%	4.1	%	Health care equipment and supplies	3.7	%	4.1	%
Health care providers and services	Health care providers and services	28.6	%	26.4	%	Health care providers and services	27.1	%	26.4	%
Health care technology	Health care technology	2.8	%	3.0	%	Health care technology	2.6	%	3.0	%
Household durables	Household durables	7.0	%	6.1	%	Household durables	6.1	%	6.1	%
Industrial Conglomerates	Industrial Conglomerates	1.4	%	—	%	Industrial Conglomerates	1.2	%	—	%
Internet and direct marketing retail						Internet and direct marketing retail	0.3	%	—	%
IT services	IT services	0.8	%	3.9	%	IT services	1.0	%	3.9	%
Leisure equipment and products						Leisure equipment and products	0.2	%	—	%
Leisure products						Leisure products	0.1	%	—	%
Life sciences tools and services						Life sciences tools and services	0.1	%	—	%
Machinery	Machinery	1.9	%	2.2	%	Machinery	1.8	%	2.2	%
Media	Media	7.1	%	8.5	%	Media	8.0	%	8.5	%
Metals and mining						Metals and mining	0.2	%	—	%
Multisector holdings	Multisector holdings	3.9	%	3.3	%	Multisector holdings	4.0	%	3.3	%
Pharmaceuticals						Pharmaceuticals	0.1	%	—	%
Personal products						Personal products	0.2	%	—	%
Professional services	Professional services	1.6	%	1.9	%	Professional services	1.3	%	1.9	%
Real estate management and development						Real estate management and development	0.2	%	—	%
Semiconductors and semiconductor equipment						Semiconductors and semiconductor equipment	0.1	%	—	%
Software	Software	1.2	%	1.4	%	Software	1.4	%	1.4	%
Specialty retail	Specialty retail	0.9	%	1.2	%	Specialty retail	1.1	%	1.2	%
Trading companies and distributors	Trading companies and distributors	3.9	%	2.7	%	Trading companies and distributors	3.8	%	2.7	%
Water utilities						Water utilities	0.1	%	—	%
Total	Total	100.0	%	100.0	%	Total	100.0	%	100.0	%

As of ~~June~~September 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 ~~June~~September 30, 2023 and December 31, 2022 were as follows:


		June 30, 2023		December 31, 2022			September 30, 2023		December 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 investments	Weighted average spread over reference rates of all floating rate funded debt investments	6.0	%	5.9	%	Weighted average spread over reference rates of all floating rate funded debt investments	6.0	%	5.9	%

(1)Calculated using actual interest rates in effect as of ~~June~~September 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 Rating						Description
A						A loan supported by exceptional financial strength, stability and liquidity;
B						As 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;
C						A 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”;
D						A loan that has a well-defined weakness that jeopardizes the repayment of the debt or the ongoing enterprise value of the borrower;
E						A loan that has an uncured payment default; and
F						An 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 ~~June~~September 30, 2023 and December 31, 2022:


		June 30, 2023				December 31, 2022					September 30, 2023				December 31, 2022
Investment Rating	Investment Rating	Investments at Fair Value		Percentage of Total Debt Investments		Investments at Fair Value		Percentage of Total Debt Investments		Investment Rating	Investments 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)
A	A	$	—	—		$	—	—		A	$	—	—		$	—	—
B	B	945,778		100.0	%	797,019		100.0	%	B	1,127,234		96.9	%	797,019		100.0	%
C	C	—		—		—		—		C	33,749		2.9	%	—		—
D	D	—		—		—		—		D	401		0.0	%	—		—
E	E	—		—		—		—		E	2,365		0.2	%	—		—
F	F	—		—		—		—		F	—		—		—		—
Total	Total	$	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 ~~June~~September 30, 2023 and December 31, 2022:


		June 30, 2023				December 31, 2022					September 30, 2023				December 31, 2022
(Amounts in thousands)	(Amounts in thousands)	Amortized Cost		Percentage		Amortized Cost		Percentage		(Amounts in thousands)	Amortized Cost		Percentage		Amortized Cost		Percentage
Performing	Performing	$	943,989	100.0	%	$	795,429	100.0	%	Performing	$	1,163,387	100.0	%	$	795,429	100.0	%
Non-accrual	Non-accrual	—		—		—		—		Non-accrual	—		—		—		—
Total	Total	$	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.

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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.

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
Cash	15,567
Accrued interest receivable	2,396
Other assets(1)	2,164
Total assets acquired	206,391
Liabilities assumed:
Distribution payable	9,726
Other liabilities	3,216
Total liabilities assumed	12,942
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 ~~six~~nine months ended ~~June~~September 30, 2023, and for the three months ended ~~June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 30, 2022:

(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
Total investment income $ 28,643 $ 715 $ 53,710 $ 715
Less: expenses and taxes 16,282 914 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, 2022		Nine Months Ended September 30, 2023		Period from January 27, 2022 (Inception) to September 30, 2022
Total investment income	$	35,438	$	8,926	$	89,148	$	9,641
Less: expenses and taxes	17,719		4,574		49,104		5,808
Net investment income (loss)	17,719		4,352		40,044		3,833
Net realized gain (loss)	8		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 ~~six~~nine months ended ~~June~~September 30, 2023, and for the three months ended ~~June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 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
Interest	Interest	$	28,312	$	297	$	52,451	$	297	Interest	$	34,963	$	6,997	$	87,414	$	7,294
Other	Other	331		418		1,259		418		Other	475		1,929		1,734		2,347
Total investment income	Total 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 ~~June~~September 30, 2023 were ~~$984~~$1,212 million as compared to ~~$86~~$539 million as of ~~June~~September 30, 2022.

Expenses

Expenses for the three and ~~six~~nine months ended ~~June~~September 30, 2023, and for the three months ended ~~June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 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
Interest	Interest	$	9,625	$	104	$	17,317	$	104	Interest	$	11,770	$	2,015	$	29,087	$	2,119
Income incentive fees	Income incentive fees	1,915		—		3,585		—		Income incentive fees	2,205		649		5,790		649
Management fees	Management fees	1,770		174		3,410		174		Management fees	1,986		682		5,396		856
Offering costs	Offering costs	836		60		1,618		60		Offering costs	739		144		2,357		204
Professional fees	Professional fees	721		16		1,273		16		Professional fees	136		193		1,409		209
Administrative fees										Administrative fees	383		240		1,455		495
Other	Other	357		38		643		38		Other	275		340		917		378
Administrative fees		321		255		1,072		255
Capital gains incentive fees		209		—		543		—
Organizational costs	Organizational costs	—		61		528		381		Organizational costs	—		—		528		381
Accounting fees	Accounting fees	114		72		272		72		Accounting fees	174		129		446		201
Capital gains incentive fees										Capital gains incentive fees	(178)		46		365		46
Insurance fees	Insurance fees	23		82		112		82		Insurance fees	147		91		259		173
Trustees' fees	Trustees' fees	45		52		89		52		Trustees' fees	45		45		134		97
Total expenses	Total 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 assets~~results from operations. For the three and nine months ended ~~June~~September 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 ~~June~~September 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 an~~were 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 ~~six~~nine months ended ~~June~~September 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 ~~June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 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 ~~six~~nine months ended ~~June~~September 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. is~~corporations. They are treated as ~~a corporation~~corporations for United States federal income tax purposes and isare subject to U.S. federal, state or local income tax. For the three and ~~six~~nine months ended ~~June~~September 30, 2023, the Company accrued $0 current federal tax. For the three and ~~six~~nine months ended ~~June~~September 30, 2023 the company accrued ~~$346,000~~approximately $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 federal~~in “deferred tax provision” on the ~~Statements~~consolidated 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 ~~six~~nine months ended ~~June~~September 30, 2023, and during the three months ended ~~June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 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, 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
Non-controlled, non-affiliated investments	Non-controlled, non-affiliated investments	$	29	$	(6)	$	(6)	$	199	$	(6)	Non-controlled, non-affiliated investments	$	(1,415)	$	301	$	301	$	(1,216)	$	295
Non-controlled, affiliated investments	Non-controlled, affiliated investments	1,644		—		—		4,165		—		Non-controlled, affiliated investments	(47)		—		—		4,118		—
Foreign currency forward contracts												Foreign currency forward contracts	9		—				9		—
Net change in unrealized gain (loss) on investment transactions	Net 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 ~~six~~nine months ended ~~June~~September 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 value~~strong performance of ~~our investments driven primarily by strong financial results of~~underlying portfolio companies. ~~The~~For the three months ended September 30, 2023, the unrealized ~~gains~~losses on affiliated investments were ~~also~~primarily 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 ~~June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 30, 2022, the net unrealized ~~loss~~gain was primarily driven by ~~a decrease~~an 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 ~~six~~nine months ended ~~June~~September 30, 2023, and during the three months ended ~~June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 30, 2022, were as follows:

~~(Amounts in thousands)~~

Three Months Ended
June 30, 2023

~~Six Months Ended June 30, 2023~~

~~Period 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	$	8	$	72	$	(10)	$	72
Net realized gain (loss) on investments	$	8	$	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 $~~423.2~~553.7 million outstanding borrowings as of ~~June~~September 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 ~~June~~September 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 ~~June~~September 30, 2023 we had ~~$41.3~~$46.5 million in cash. During the ~~six~~nine months ended ~~June~~September 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

As of ~~June~~September 30, 2023, the Company had ~~23,183,428~~27,361,108 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 ~~six~~nine months ended ~~June~~September 30, 2023, and the three months ended ~~June~~September 30, 2022 and for the period from January 27, 2022 (Inception) to ~~June~~September 30, 2022:

5275

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Three Months Ended June 30, 2023
Three Months Ended September 30, 2023					Three Months Ended September 30, 2023
		Shares	Amount in Thousands			Shares	Amount in Thousands
Class I:	Class I:				Class I:
Proceeds from shares sold	Proceeds from shares sold	1,921,844	$	49,325	Proceeds from shares sold	4,149,208	$	106,863
Distributions reinvested	Distributions reinvested	11,162	$	284	Distributions reinvested	28,472	$	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, 2023					Nine Months Ended September 30, 2023
		Shares	Amount in Thousands			Shares	Amount in Thousands
Class I:	Class I:				Class I:
Proceeds from shares sold	Proceeds from shares sold	2,227,236	$	57,140	Proceeds from shares sold	6,376,443	$	164,003
Distributions reinvested	Distributions reinvested	11,162	$	284	Distributions reinvested	39,635	$	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, 2022					Three Months Ended September 30, 2022
		Shares	Amount in Thousands			Shares	Amount in Thousands
Common Shares	Common Shares				Common Shares
Proceeds from shares sold	Proceeds from shares sold	6,999,940	$	174,998	Proceeds from shares sold	5,012,698	$	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, 2022					Period from January 27, 2022 (Inception) to September 30, 2022
		Shares	Amount in Thousands			Shares	Amount in Thousands
Common Shares	Common Shares				Common Shares
Proceeds from shares sold	Proceeds from shares sold	7,000,000	$	175,000	Proceeds from shares sold	12,012,698	$	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 ~~six~~nine months ended ~~June~~September 30, 2023:


	NAV Per Share
For the Months Ended	Class 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 ~~six~~nine months ended ~~June~~September 30, 2023:

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For the Six Months Ended June 30, 2023
For the Nine Months Ended September 30, 2023								For the Nine Months Ended September 30, 2023
Date Declared	Date Declared	Record Date	Payment Date	Dividend per Share		Amount in Thousands		Date Declared	Record Date	Payment Date	Dividend per Share		Amount in Thousands
March 27, 2023	March 27, 2023	March 31, 2023	April 28, 2023	$	0.18	$	3,825	March 27, 2023	March 31, 2023	April 28, 2023	$	0.18	$	3,825
April 26, 2023	April 26, 2023	April 28, 2023	May 31, 2023	$	0.18	$	4,019	April 26, 2023	April 28, 2023	May 31, 2023	$	0.18	$	4,019
May 25, 2023	May 25, 2023	May 31, 2023	June 30, 2023	$	0.18	$	4,103	May 25, 2023	May 31, 2023	June 30, 2023	$	0.18	$	4,103
June 27, 2023	June 27, 2023	June 30, 2023	July 28, 2023	$	0.18	$	4,173	June 27, 2023	June 30, 2023	July 28, 2023	$	0.18	$	4,173
July 25, 2023								July 25, 2023	July 28, 2023	August 31, 2023	$	0.18	$	4,234
August 28, 2023								August 28, 2023	August 31, 2023	September 30, 2023	$	0.19	$	5,117
September 26, 2023								September 26, 2023	September 30, 2023	October 31, 2023	$	0.20	$	5,473

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

Distribution Reinvestment Plan

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.

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During the three and ~~six~~nine months ended ~~June~~September 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 stock~~Common Shares during the three and ~~six~~nine months ended ~~June~~September 30, 2023:


For the Three Months Ended June 30, 2023
For the Three Months Ended September 30, 2023						For the Three Months Ended September 30, 2023
		Class I					Class I
Source of Distribution	Source of Distribution	Per Share		Amounts (in thousands)		Source of Distribution	Per Share		Amounts (in thousands)
Net investment income	Net investment income	$	0.54	(12,295)		Net investment income	$	0.57	(14,824)
Net realized gains	Net realized gains	—		—		Net realized gains	—		—
Total	Total	$	0.54	$	(12,295)	Total	$	0.57	$	(14,824)


For the Six Months Ended June 30, 2023
For the Nine Months Ended September 30, 2023						For the Nine Months Ended September 30, 2023
		Class I					Class I
Source of Distribution	Source of Distribution	Per Share		Amounts (in thousands)		Source of Distribution	Per Share		Amounts (in thousands)
Net investment income	Net investment income	$	0.72	(16,120)		Net investment income	$	1.29	$	(30,944)
Net realized gains	Net realized gains	—		—		Net realized gains	—		—
Total	Total	$	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, 2022			Nine Months Ended September 30, 2023			January 27, 2022 (Inception) to September 30, 2022
Interest expense	$	11,267		$	1,763		$	27,717		$	1,822
Amortization of deferred financing costs	503			252			1,370			297
Total interest expense	$	11,770		$	2,015		$	29,087		$	2,119
Average interest rate	7.97		%	4.72		%	7.56		%	4.72		%
Average daily borrowings	$	495,756		$	126,133		$	423,551		$	47,009

Credit Facilities

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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.

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The carrying values of borrowings outstanding under the debt facilities approximate fair value. As of ~~June~~September 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 ~~June~~September 30, 2023:

~~Debt~~

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Credit facility obligations consisted of the following as of ~~June~~September 30, 2023:


		As of June 30, 2023											As 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 Facility	ASPV 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 Facility	MSPV 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 facilities												Total 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 obligations~~Credit facility consisted of the following as of December 31, 2022:


		As of December 31, 2022											As 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 Facility	ASPV 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 Facility	MSPV 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 facilities												Total 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.

~~For~~Short-Term Debt

In order to finance certain investment transactions, the ~~three~~Company 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 June~~interest 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 June~~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 ~~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 ~~components~~Company’s Consolidated Statements of ~~interest~~Assets 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, 2023 Period from January 27, 2022 (Inception) to June 30, 2022
Interest expense $ 9,196 $ 59 $ 16,450 $ 59
Amortization of deferred financing costs 429 45 867 45
Total interest expense $ 9,625 $ 104 $ 17,317 $ 104

~~Table~~associated with the Short Term Financing Transactions is reported on the Company’s Consolidated Statements of ~~Contents~~Operations within Interest expense.

Average interest rate 7.46 % 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 ~~June~~September 30, 2023 and December 31, 2022, the Company had the following outstanding commitments to fund investments in current portfolio companies:


Portfolio Company	September 30, 2023		December 31, 2022
First lien senior secured debt	(Amounts in thousands)		(Amounts in thousands)
626 Holdings Equity, LLC	$	129	$	—
A.P.A Industries, LLC	1,523		—
ACES Intermediate, LLC	6,403		6,964
Advanced Lighting Acquisition, LLC	324		—
ADVI Health, LLC	1,062		1,062
AEP Passion Intermediate Holdings, Inc.	30		—
AFC Industries, Inc.	126		—
Affinitiv, Inc.	248		—
Agility Intermediate, Inc.	53		—
AHR Intermediate, Inc	7,072		12,139
ARC Healthcare Technologies, LLC	—		9,947
Alliance Environmental Group, LLC	28		—
ALM Media, LLC	971		—
Altamira Material Solutions, LP	45		—
AM Buyer, LLC	79		—
Answer Acquisition, LLC	18		—
Apex Dental Partners, LLC	122		—
Aptitude Health Holdings, LLC	267		—
Aquatic Sales Solutions, LLC	89		—
ASC Ortho Management, LLC	57		—
Ascent Lifting, Inc.	2,500		1,345
ASP Global Acquisition, LLC	485		—
AvCarb, LLC	38		—
Banner Buyer, LLC	370		—
Barkley, LLC	2,300		—
BBG Intermediate Holdings, Inc.	62		—
BCI Burke Holding Corp.	185		—
Beacon Oral Specialists Management LLC	188		—
Beghou Consulting, LLC	2,714		—
Behavior Frontiers, LLC	38		—
Benefit Plan Administrators of Eau Claire, LLC	7,443		8,990
Bio Agri Mix Holdings Inc.	85		—
BPCP EE Intermedco LLC	3,387		—
BPCP WLF Intermedco LLC	7,876		7,876
Brightview, LLC	96		—
Bulk Lift International, LLC	1,801		1,748
Canadian Orthodontic Partners Corp.	23		—
CCG Acquisition, Inc.	19		—
Champion Motorsports Group, LLC	56		—
Change Academy at Lake of the Ozarks, LLC	2,556		5,786

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Portfolio Company June 30, 2023 December 31, 2022
MWEC Management, LLC 3,192 —
Nasco Healthcare Inc. 2,492 3,322
NEFCO Holding Company, LLC 3,551 7,270
NH Kronos Buyer, Inc. 12,443 12,443
Optimized Marketing Acquisition, LLC 2,199 1,861
Propio LS, LLC 3,040 905
Purpose Home Health Acquisition, LLC 8,600 8,600
QLS Buyer, Inc 1,591 —
Raneys, LLC 5,022 1,522
Renovation Systems, LLC 3,076 —
RKD Group, LLC 4,905 4,905
Rose Paving, LLC 2,562 2,006
Shasta Buyer, LLC 1,911 1,962
Sixarp, LLC 6,912 6,912
Soccer Post Acquisition, LLC 1,608 772
Spear Education Holdings, LLC 4,463 4,463
Sun Orchard, LLC 5,223 4,875
Surplus Solutions, LLC 1,771 1,771
Treat Planet Acquisition, LLC 1,965 —
Universal Pure, LLC 5,380 12,228
US Foot and Ankle Specialists, LLC 8,664 12,467
WCI Volt Purchaser, LLC 2,249 2,249
WTWH Buyer, LLC 1,638 1,638
Yard-Nique, Inc 6,500 6,695
Zipline Logistics, LLC 6,214 6,214
Total unfunded portfolio company commitments $ 227,803 $ 243,089


Portfolio Company	September 30, 2023	December 31, 2022
CL Services Acquisition, LLC	4,976	—
Community Care Partners, LLC	31	—
Copperweld Group, Inc.	339	—
Cosmetic Solutions, LLC	344	—
CPS HVAC Group, LLC	143	—
CPS Power Buyer, LLC	2,049	4,705
CR Services Intermediate, LLC	225	—
Custom Agronomics Holdings, LLC	2,357	2,312
DealerOn Inc.	314	—
Dermatology Medical Partners OpCo, LLC	26	—
Diamondback Buyer, LLC	45	—
DNS IMI Acquisition Corp	121	—
Domino Equipment Company, LLC	79	—
Double E Company, LLC	3,664	4,314
Dykstra's Auto, LLC	182	—
Edko Acquisition, LLC	38	—
EH Management Company, LLC	26	—
Empire Equipment Company, LLC	408	—
EMSAR Acquisition LLC	13	—
Endodontic Practice Partners, LLC	5,415	6,696
Engelman Baking Co., LLC	186	—
E-Phoenix Acquisition Co. Inc.	75	—
Esquire Deposition Solutions, LLC	5,735	6,007
Exclusive Concepts, LLC	23	—
Flourish Research Acquisition, LLC	1,247	—
Formulated Buyer, LLC	249	—
Franchise Fastlane, LLC	15	—
FreshAddress, LLC	30	—
Geriatric Medical and Surgical Supply, LLC	248	—
Gold Medal Holdings, Inc.	5	—
Golden Bear PT Partners, LLC	22	—
Green Monster Acquisition, LLC	11	—
Guardian Dentistry Practice Management, LLC	4	—
H2 Holdco, Inc.	9,789	—
Helpware, Inc.	3,205	3,205
Highland Acquisition, Inc.	30	—
HLSG Intermediate, LLC	40	—
Home Brands Group Holdings, Inc.	48	—
Hultec Buyer, LLC	3,915	—
Hydromax USA, LLC	228	—
Icelandirect, LLC	6	—
Icreon Holdings, LLC	1,071	1,049
IMA Group Management Company, LLC	209	—
Industrial Air Flow Dynamics, Inc.	2,537	2,114
Infolinks Media Buyco, LLC	53	—
Innovative FlexPak, LLC	31	—
IPC Pain Acquisition, LLC	2,240	11,945

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Portfolio Company	September 30, 2023	December 31, 2022
Ironhorse Purchaser, LLC	2,132	11,624
ISSA, LLC	105	—
ITSavvy LLC	2,012	4,784
Johns Byrne LLC	3,527	—
Juniper Landscaping Holdings LLC	22	—
K-1 Packaging Group, LLC.	6,748	6,748
Kalkomey Enterprises, LLC	66	—
Kwalu, LLC	5,061	5,061
Leonard Group, Inc.	234	—
Load One Purchaser Corporation	9,609	9,214
MacKenzie Childs Acquisition, Inc.	450	445
MacNeill Pride Group Corp.	332	—
Mad Rose Company, LLC	8	—
Main Street Gourmet, LLC	662	—
Mattco Forge, Inc.	506	—
Medical Technology Associates, Inc.	1,966	1,929
MetaSource, LLC	94	—
Millennia Patient Services, LLC	67	—
Montway LLC	150	—
MRC Keeler Acquisition, LLC	150	—
MWEC Management, LLC	2,967	—
Nasco Healthcare Inc.	2,658	3,322
NEFCO Holding Company, LLC	3,855	7,270
Nelson Name Plate Company	90	—
Network Partners Acquisition, LLC	150	—
NH Kronos Buyer, Inc.	12,705	12,443
Nimlok Company, LLC	320	—
NutriScience Innovations, LLC	131	—
Optimized Marketing Acquisition, LLC	1,861	1,861
P and R Dental Strategies, LLC	23	—
Peak Dental Services, LLC	38	—
Peak Investment Holdings, LLC	404	—
Pentec Acquisition Corp.	75	—
PHGP MB Purchaser, Inc.	130	—
Pink Lily Holdings, LLC	63	—
PPW Acquisition, LLC	28	—
PRA Acquisition, LLC	56	—
Propio LS, LLC	—	905
Purpose Home Health Acquisition, LLC	8,788	8,600
Qin's Buffalo, LLC	113	—
QLS Buyer, Inc	1,629	—
Raneys, LLC	5,059	1,522
Reliable Medical Supply LLC	57	—
Renovation Systems, LLC	1,474	—
Revival Animal Health, LLC	86	—
RKD Group, LLC	3,924	4,905
Rose Paving, LLC	1,746	2,006

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Portfolio Company	September 30, 2023	December 31, 2022
RQM Buyer, Inc.	161	—
RTP Acquisition, LLC	26	—
Sage Dental Management, LLC	30	—
SAMGI Buyer, Inc.	138	—
SASE Company, LLC	15	—
SCA Buyer, LLC	13	—
SCP Beverage Buyer, LLC	38	—
SCP ENT and Allergy Services, LLC	174	—
Shasta Buyer, LLC	2,081	1,962
ShiftKey, LLC	110	—
Signature Dental Partners LLC	30	—
Silver Falls MSO, LLC	95	—
SimiTree Acquisition LLC	186	—
SIMKO Merger Sub, LLC	6,820	—
Sixarp, LLC	6,912	6,912
Soccer Post Acquisition, LLC	1,856	772
Southeast Primary Care Partners, LLC	36	—
Southern Orthodontic Partners Management, LLC	171	—
Southern Sports Medicine Partners, LLC	35	—
Spear Education Holdings, LLC	4,463	4,463
Spectrum Solutions, LLC	267	—
Starwest Botanicals Acquisition, LLC	47	—
Stax Holding Company, LLC	60	—
Steel City Wash, LLC	9	—
Storm Smart Buyer LLC	105	—
Sun Orchard, LLC	5,336	4,875
Surplus Solutions, LLC	1,771	1,771
Teel Plastics, LLC	324	—
The Channel Company, LLC	3	—
Trademark Global, LLC	32	—
Treat Planet Acquisition, LLC	1,965	—
Triad Technologies, LLC	332	—
TSR Concrete Coatings, LLC	1,534	—
United Land Services Opco Parent, LLC	289	—
Universal Pure, LLC	5,139	12,228
US Foot and Ankle Specialists, LLC	3,219	12,467
USALCO, LLC	55	—
Vanguard Packaging, LLC	410	—
Varsity DuvaSawko Operating Corp.	537	—
Varsity Rejuvenate Partners, LLC	767	—
Vehicle Accessories, Inc.	38	—
Vital Care Buyer, LLC	580	—
WCI Volt Purchaser, LLC	2,249	2,249
Western Veterinary Partners, LLC	24	—
Westminster Cracker Company, Inc.	1,534	—
WTWH Buyer, LLC	1,638	1,638
Yard-Nique, Inc	6,515	6,695

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Portfolio Company	September 30, 2023		December 31, 2022
Zipline Logistics, LLC	6,214		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 facilities~~borrowing arrangements as of ~~June~~September 30, 2023 is as follows:


		Payment Due by Period											Payment Due by Period
(Amounts in millions)	(Amounts in millions)	Total		Less than 1 year		1-3		3-5		More than 5 years		(Amounts in millions)	Total		Less than 1 year		1-3		3-5		More than 5 years
ASPV Credit Facility	ASPV Credit Facility	$	91.4	$	—	$	—	$	91.4	$	—	ASPV Credit Facility	$	117.0	$	—	$	—	$	117.0	$	—
MSPV Credit Facility	MSPV Credit Facility	$	331.8	$	—	$	—	$	331.8	$	—	MSPV Credit Facility	$	351.8	$	—	$	—	$	351.8	$	—
Short-Term Financing Facility												Short-Term Financing Facility	$	84.9	$	84.9	$	—	$	—	$	—
Total	Total	$	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 ~~June~~September 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 ~~June~~September 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 Income		Interest Expense		Net Income		(Amounts in millions)	Interest Income		Interest Expense		Net Income
Up 200 basis points	Up 200 basis points	$	19.3	$	8.5	$	10.8	Up 200 basis points	$	23.7	$	9.4	$	14.3
Up 100 basis points	Up 100 basis points	$	9.7	$	4.2	$	5.5	Up 100 basis points	$	11.8	$	4.7	$	7.1
Down 100 basis points	Down 100 basis points	$	(9.7)	$	(4.2)	$	(5.5)	Down 100 basis points	$	(11.8)	$	(4.7)	$	(7.1)
Down 200 basis points	Down 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 ~~June~~September 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 ~~Report~~Reports 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 ~~June~~September 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
~~2.1~~						Agreement and Plan of Merger among AG Twin Brook Capital Income Fund and AG Twin Brook BDC, Inc., dated as of May 19, 2023 (incorporated by reference to Exhibit 2.1 to the Company’s Current Report on Form 8-K, filed with the SEC on May 19, 2023)
3.1						~~Second~~Third Amended and Restated Agreement and Declaration of Trust, dated ~~January 1,~~September 6 , 2023 (incorporated by reference to Exhibit 3.1 to the Company’s Current Report on Form 8-K, filed with the SEC on ~~January 5,~~September 8 , 2023)
3.2						Second Amended and Restated By-laws, dated ~~January 1,~~September 6 , 2023 (incorporated by reference to Exhibit 3.2 to the Company’s Current Report on Form 8-K, filed with the SEC on ~~January 5,~~ September 8 , 2023)
10.1						A mended and Restated Investment Management A greement, dated September 6, 2023 , by and between AG Twin Brook Capital Income Fund and AGTB Fund Manager , LLC (incorporated by reference to Exhibit 10.1 to the Company ’s Current Report on Form 8-K, filed with the SEC on September 8, 2023)
10.2						Amended and Restated Investment Management Agreement, dated November 1, 2023, by and between AG Twin Brook Capital Income Fund and AGT B F und Manager, LLC (incorporated by reference to Exhibit 10.1 to the Company ’s Current Report on Form 8-K, filed with the SEC on November 2, 2023)
10.3						A me nd ed and Resta ted Administration Agreement, dated September 6, 2023 ,by and between AG Twin Brook Capital Income Fund and AGTB Fund Manager, LLC (incorpora ted by reference to Exhibit 10.2 to the Company ’s Current Report on Form 8-K, filed with the S EC on September 8, 2023)
31.1*						Certification of Trevor Clark pursuant to Securities Exchange Act Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
31.2*						Certification of Terrence Walters pursuant to Securities Exchange Act Rule 13a-14(a), as adopted pursuant to Section 302 of the Sarbanes-Oxley Act of 2002
32.1*						Certification of Trevor Clark pursuant to Securities Exchange Act Rule 13a-14(b) and 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
32.2*						Certification of Terrence Walters pursuant to Securities Exchange Act Rule 13a-14(b) and 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002
99*						U ~~naudited Financial Statements of AG Twin Brook BDC, Inc.~~

___________________

*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, 2023	By:	/s/ Trevor Clark
		Trevor Clark
		Chief Executive Officer
		(Principal Executive Officer)

~~August 11,~~November 13, 2023	By:	/s/ Terrence Walters
		Terrence Walters
		Chief Financial Officer and Treasurer
		(Principal Financial Officer and Principal Accounting Officer)

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	Level 3 Assets at Fair Value for the Three Months Ended June 30, 2023*
(Amounts in thousands)	Balance 4/1/2023		Purchases and Drawdowns		Sales and Paydowns		Other**		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


(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 diluted	22,724,706		21,890,401		2,241,785		1,533,872
Earnings (loss) per common share - basic and diluted	$	0.62	$	1.22	$	(0.09)	$	(0.34)


Average interest rate	7.46		%	2.26		%	7.30		%	2.26		%
Average daily borrowings	$	414,790		$	88		$	386,850		$	52