Attached files
| file | filename |
|---|---|
| 8-K - 8-K - TCG BDC, INC. | cgbd_20191231x8-kxdocument.htm |
| EX-99.1 - EXHIBIT 99.1 - TCG BDC, INC. | cgbd_20191231x8-kxex991ear.htm |
R-0 R-43 G-101 Exhibit 99.2 G-131 B-179 B-35 R-145 R-156 G-213 G-226 B-242 B-146 R-61 R-163 G-175 G-143 B-46 B-187 U R-145 R-127 se G-229 G-127 co B-0 B-127 lo rs Quarterly Earnings Presentation in R-85 R-219 pr G-67 G-217 ef B-113 B-217 er December 31, 2019 re White d R-118 R-255 or G-92 de G-255 B-150 B-255 r fo Colors Text Dark Blue r R-0 be R-0 G-161 G-74 st B-224 B-136 re su Blue lts R-189 R-0 G-230 G-161 B-247 B-224 1
R-0 R-43 G-101 G-131 B-179 Disclaimer and Forward-Looking Statement B-35 R-145 This presentation (the “Presentation”) has been prepared by TCG BDC, Inc. (together with its consolidated subsidiaries, “we,” “us,” “our,” “TCG BDC” or the “Company”) R-156 G-213 (NASDAQ: CGBD) and may only be used for informational purposes only. This Presentation should be viewed in conjunction with the earnings conference call of the G-226 Company held on February 26, 2020 and the Company’s Annual Report on Form 10-K for the year ended December 31, 2019. The information contained herein may B-242 not be used, reproduced, referenced, quoted, linked by website, or distributed to others, in whole or in part, except as agreed in writing by the Company. B-146 This Presentation does not constitute a prospectus and should under no circumstances be understood as an offer to sell or the solicitation of an offer to buy our common stock or any other securities nor will there be any sale of the common stock or any other securities in any state or jurisdiction in which such offer, solicitation or sale R-61 would be unlawful prior to the registration or qualification under the securities laws of such state or jurisdiction. R-163 G-175 This Presentation provides limited information regarding the Company and is not intended to be taken by, and should not be taken by, any individual recipient as G-143 B-46 investment advice, a recommendation to buy, hold or sell, or an offer to sell or a solicitation of offers to purchase, our common stock or any other securities that may be B-187 issued by the Company, or as legal, accounting or tax advice. An investment in securities of the type described herein presents certain risks. U This Presentation may contain forward-looking statements that involve substantial risks and uncertainties. You can identify these statements by the use of forward- R-145 looking terminology such as “anticipates,” “believes,” “expects,” “intends,” “will,” “should,” “may,” “plans,” “continue,” “believes,” “seeks,” “estimates,” “would,” “could,” R-127 se G-229 “targets,” “projects,” “outlook,” “potential,” “predicts” and variations of these words and similar expressions to identify forward-looking statements, although not all G-127 co forward-looking statements include these words. You should read statements that contain these words carefully because they discuss our plans, strategies, prospects B-0 B-127 lo and expectations concerning our business, operating results, financial condition and other similar matters. We believe that it is important to communicate our future expectations to our investors. There may be events in the future, however, that we are not able to predict accurately or control. You should not place undue reliance on rs these forward-looking statements, which speak only as of the date on which we make them. Factors or events that could cause our actual results to differ, possibly in R-85 materially from our expectations, include, but are not limited to, the risks, uncertainties and other factors we identify in the sections entitled “Risk Factors” and R-219 pr “Cautionary Statement Regarding Forward-Looking Statements” in filings we make with the Securities and Exchange Commission (the “SEC”), and it is not possible for G-67 us to predict or identify all of them. We undertake no obligation to update or revise publicly any forward-looking statements, whether as a result of new information, G-217 ef B-113 future events or otherwise, except as required by law. B-217 er Information throughout the Presentation provided by sources other than the Company (including information relating to portfolio companies) has not been independently re verified and, accordingly, the Company makes no representation or warranty in respect of this information. White d R-118 The following slides contain summaries of certain financial and statistical information about the Company. The information contained in this Presentation is summary R-255 or G-92 information that is intended to be considered in the context of our SEC filings and other public announcements that we may make, by press release or otherwise, from de time to time. We undertake no duty or obligation to publicly update or revise the information contained in this Presentation. G-255 B-150 B-255 r TCG BDC is managed by Carlyle Global Credit Investment Management L.L.C. (the “Investment Adviser”), an SEC-registered investment adviser and a wholly owned fo subsidiary of The Carlyle Group Inc. (together with its affiliates, “Carlyle”). Colors Text Dark Blue r R-0 This Presentation contains information about the Company and certain of its affiliates and includes the Company’s historical performance. You should not view be information related to the past performance of the Company as indicative of the Company’s future results, the achievement of which is dependent on many factors, R-0 G-161 many of which are beyond the control of the Company and the Investment Adviser and cannot be assured. There can be no assurances that future dividends will match G-74 st B-224 or exceed historical rates or will be paid at all. Further, an investment in the Company is discrete from, and does not represent an interest in, any other Carlyle entity. B-136 re Nothing contained herein shall be relied upon as a promise or representation whether as to the past or future performance of the Company or any other Carlyle entity. su Blue lts R-189 R-0 G-230 2 G-161 B-247 B-224
Draft R-0 R-85 G-101 G-67 B-179 TCG BDC Highlights B-113 R-0 • Middle-market lending focused BDC externally managed by The Carlyle Group (1) R-118 G-161 G-92 (2) B-224 TCG BDC • Current market capitalization of $760 million (NASDAQ listed; ticker: CGBD) B-150 Overview • Track record of consistent dividend delivery to shareholders – LTM dividend yield on quarter-end net asset value ("NAV") of 10.5% R-145 R-163 G-213 G-143 B-242 B-187 • Directly originate private credit investments, with a focus on U.S. private equity finance R-189 Investment • Maintain appropriately diversified, defensively oriented portfolio of primarily senior secured debt R-154 G-230 instruments G-155 B-247 Strategy • Utilize Carlyle's extensive platform resources to generate differentiated results for TCG BDC B-156 shareholders R-43 R-219 G-131 G-217 B-35 • Founded in 1987, Carlyle is a leading global alternative asset manager with $224bn of AUM B-217 Benefits of • Carlyle’s Global Credit segment, with $49bn of AUM, has a 20-year track record successful credit investing R-61 Text G-175 Carlyle • Carlyle’s broad capabilities, scaled capital base and depth of expertise create sustainable Colors B-46 competitive advantages across market environments White R-255 G-255 R-145 • Well-diversified by issuer and industry: top 10 borrowers and top 3 industries 21% and 30% of B-255 G-229 exposure, respectively B-0 Defensively • Heavy portfolio tilt to 1st lien loans: historically 70% of portfolio, of which, >90% contain a financial Dark Blue Positioned Portfolio covenant (3) R-156 R-0 • Approximately half the exposure of broader markets to cyclical industries G-74 G-226 B-136 B-146 3 Source: The Carlyle Group. As of December 31, 2019 unless otherwise stated. (1) TCG BDC is externally managed by the Investment Adviser, which is a wholly-owned subsidiary of The Carlyle Group. (2) As of February 25, 2020. (3) LTM average of approximately 70% of fair value, and excludes loans categorized as first lien last out. Blue R-145 G-229 B-0
R-0 R-43 G-101 G-131 B-179 Stock and Dividend Information B-35 R-145 R-156 G-213 CGBD $760 Million Nasdaq G-226 B-242 B-146 Ticker Market Cap (2) Exchange R-61 R-163 G-175 $2.1 billion 136 70% 10.5% $78 Million G-143 B-46 Current Portfolio Size Unique Investments 1st Lien Debt (3) LTM Dividend Yield Inception-to-date B-187 Share Repurchases U R-145 R-127 se G-229 Historical Dividend Data G-127 co B-0 B-127 lo rs in R-85 R-219 pr G-67 G-217 ef B-113 B-217 er re White d R-118 R-255 or G-92 de G-255 B-150 B-255 r fo Colors Text Dark Blue r R-0 be R-0 G-161 G-74 st B-224 B-136 re su Blue lts R-189 R-0 G-230 Note: Historical dividend data for dividends declared prior to the period shown are available on the Company’s website at tcgbdc.com. There can be no assurance that the Company will continue to achieve comparable results. G-161 B-247 (1) Last-twelve-month ("LTM ") dividend yield is calculated by dividing the sum of the declared dividends for the most recent four quarters by the ending net asset value. (2) As of February 25, 4 2020 (3) LTM average of approximately 70% of fair value, and excludes loans categorized as first lien last out. B-224
Draft R-0 R-85 G-101 G-67 B-179 Q4 2019 Quarterly Results B-113 R-0 • Net investment income per share was $0.43, and has exceeded the regular $0.37 quarterly R-118 G-161 dividend each quarter since TCG BDC's IPO G-92 B-224 4th Quarter B-150 • Stable credit performance with net realized/unrealized gains of $1.5 million, or approximately $0.02 per share R-145 Results R-163 G-213 • NAV essentially flat at $16.56 (from $16.58 at 3Q19) G-143 B-242 B-187 R-189 R-154 G-230 • Total investments at fair value in-line with last quarter at $2.1 billion G-155 B-247 B-156 Portfolio & • Active origination quarter and strong new fundings of $290 million with a yield of 8.23% R-43 Investment • Heavy repayments led to $320 million of exits at a yield of 10.96% R-219 G-131 G-217 B-35 Activity • Effectively exited the Carlyle Unitranche Program ("CUP"), which had been an outsized driver of B-217 credit losses in recent periods R-61 Text G-175 • Paid Q4 regular dividend of $0.37 plus a special dividend of $0.18 per share, resulting in a LTM Colors B-46 dividend yield of 10.5% based on quarter-end NAV White R-255 Dividend & • Continued share repurchase pace with an additional 1.25 million shares, or $17 million, in the G-255 R-145 B-255 G-229 Capital quarter, which contributed $0.06 per share in NAV accretion B-0 Activity • Closed a private offering of $115 million in aggregate principal amount of 4.750% senior unsecured notes on December 30th; establishing capital structure flexibility to comfortably operate in full target Dark Blue R-156 R-0 leverage range of 1.0x - 1.4x G-74 G-226 B-136 B-146 5 Blue R-145 G-229 B-0
Draft R-0 R-85 G-101 G-67 B-179 Portfolio Highlights B-113 R-0 Key Statistics (1) Portfolio Composition (1) R-118 G-161 G-92 B-224 B-150 Diversification by Borrower Total Investments and Commitments ($mm) $2,274 R-145 Unfunded Commitments (1) ($mm) $150 R-163 G-213 G-143 B-242 Investments at Fair Value ($mm) $2,124 B-187 Yield of Debt Investments at Cost (2) (%) 8.22% R-189 Yield of Debt Investments at Fair Value (2) (%) 8.50% R-154 G-230 Number of Investments 136 G-155 B-247 B-156 Number of Portfolio Companies 112 (3) R-43 Floating / Fixed (%) 99.7% / 0.3% R-219 G-131 G-217 Asset Mix B-35 Industry B-217 R-61 Text G-175 Colors B-46 White R-255 G-255 R-145 B-255 G-229 B-0 Dark Blue R-156 R-0 G-74 G-226 B-136 B-146 (1) Excludes the Company’s commitments to fund capital to Middle Market Credit Fund, LLC ("Credit Fund"), which is not consolidated with the Company. (2) Weighted average yields of the debt investments include the effect of accretion of discounts and amortization of premiums and are based on interest rates as of period end. Actual 6 yields earned over the life of each investment could differ materially from the yields presented above. Weighted average yields for TCG BDC do not include TCG BDC’s investment in Credit Fund. (3) % of fair value of first and second lien debt. Blue R-145 G-229 B-0
R-0 R-43 G-101 G-131 B-179 Financial Performance Summary B-35 R-145 R-156 (Dollar amounts in thousands, except per share data) Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 G-213 G-226 B-242 Net Investment Income Per Share $ 0.47 $ 0.45 $ 0.46 $0.45 $0.43 B-146 Net Realized & Unrealized Appreciation (Depreciation) Per Share (0.49) 0.09 (0.29) (0.60) 0.02 R-61 Net Income (Loss) Per Share (0.02) 0.54 0.16 (0.15) 0.46 R-163 G-175 Dividends Paid Per Share 0.57 0.37 0.45 0.37 0.55 G-143 B-46 Impact of Share Repurchases Per Share 0.02 0.04 0.04 0.04 0.06 B-187 Net Asset Value Per Share $ 17.09 $ 17.30 $17.06 $16.58 $16.56 U R-145 R-127 se G-229 G-127 co B-0 B-127 lo Weighted Average Shares Outstanding for the Period (in thousands) 62,496 61,773 60,596 59,588 58,785 rs Shares Outstanding at End of Period (in thousands) 62,230 61,272 60,182 59,013 57,764 in R-85 R-219 pr G-67 G-217 ef B-113 B-217 er Total Fair Value of Investments $ 1,972,157 $ 2,155,209 $ 2,075,614 $2,126,688 $2,123,964 re Number of Portfolio Companies 96 103 106 110 112 White d R-118 or Average Size of Investment in Portfolio Company (Notional) (1) $ 21,602 $ 21,880 $ 20,563 $20,828 $19,848 R-255 G-92 G-255 de Weighted Average all-in Yield on Investments at Amortized Cost (2) 9.54% 9.51% 8.97% 8.88% 8.22% B-150 B-255 r Weighted Average all-in Yield on Investments at Fair Value (2) 9.94% 9.85% 9.32% 9.33% 8.50% fo Colors Text Dark Blue r R-0 be R-0 G-161 G-74 st B-224 Net Assets $1,063,218 $1,060,187 $1,026,592 $978,601 $956,471 B-136 re Debt $960,678 $1,107,064 $1,095,563 $1,202,739 $1,177,832 su Debt To Equity at Quarter End 0.90x 1.04x 1.07x 1.23x 1.23x Blue lts R-189 Note: The net asset value per share and dividends declared per share are based on the shares outstanding at each respective quarter-end. Net investment income per share and net change R-0 G-230 in realized and unrealized appreciation (depreciation) per share are based on the weighted average number of shares outstanding for the period. G-161 (1) For equity investments with no stated par amount, includes total funded amount. (2) Weighted average yields include the effect of accretion of discounts and amortization of premiums 7 B-247 and are based on interest rates as of each respective period end. Actual yields earned over the life of each investment could differ materially from the yields presented above. B-224
R-0 R-43 G-101 G-131 B-179 Origination Activity Detail B-35 R-145 R-156 G-213 (Dollar amounts in thousands and based on par/principal) Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 G-226 B-242 B-146 TCG BDC Originations and Net Investment Activity Investment Fundings $ 328,112 $ 249,713 $ 231,361 $ 237,004 $ 289,763 R-61 R-163 Unfunded Commitments, Net Change (28,104) (6,772) 24,789 719 (23,963) G-175 G-143 B-46 Sales and Repayments (343,420) (69,866) (305,398) (165,672) (319,882) B-187 Net Investment Activity $ (43,412) $ 173,075 $ (49,248) $ 72,051 $ (54,082) U R-145 R-127 se G-229 G-127 co TCG BDC Originations by Asset Type B-0 B-127 lo First Lien Debt 63.67% 65.58% 74.65% 68.10% 87.80% rs First Lien, Last-out Unitranche Debt 2.64% 10.89% 7.64% 12.25% 3.50% in R-85 R-219 pr G-67 Second Lien Debt 33.44% 22.51% 17.43% 19.32% 7.92% G-217 ef B-113 Equity Investments 0.25% 1.02% 0.29% 0.33% 0.78% B-217 er re White d R-118 TCG BDC Total Investment Portfolio at Fair Value (1) R-255 or G-92 de First Lien Debt 68.12% 67.84% 69.51% 68.05% 74.63% G-255 B-150 B-255 r First Lien, Last-out Unitranche Debt 10.29% 9.34% 10.08% 10.04% 3.68% fo Colors Text Second Lien Debt 9.07% 10.62% 9.79% 10.92% 11.04% Dark Blue r R-0 be Equity Investments 1.25% 1.32% 1.40% 1.44% 1.02% R-0 G-161 G-74 st B-224 Investment Fund / Credit Fund 11.27% 10.88% 9.22% 9.55% 9.63% B-136 re su Blue lts R-189 Please refer to the Company’s Form 10-K for the year ended December 31, 2019 (“Form 10-K”) for more information. No assurance is given that the Company will continue to achieve R-0 G-230 comparable results. G-161 (1) At quarter end. 8 B-247 B-224
R-0 R-43 G-101 G-131 B-179 Quarterly Operating Results Detail B-35 R-145 (Dollar amounts in thousands) Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 R-156 G-213 Investment Income G-226 B-242 B-146 Interest Income $44,545 $44,471 $45,468 $45,168 44,248 Payment-In-Kind Interest Income 1,332 1,150 2,140 2,396 910 R-61 R-163 G-175 Income From Credit Fund 7,710 7,538 6,993 6,459 7,028 G-143 B-46 Other Income 2,724 2,028 2,266 1,756 1,279 B-187 Total Investment Income $56,311 $55,187 $56,867 $55,779 $53,465 U R-145 R-127 se G-229 (Dollar amounts in thousands) Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 G-127 co B-0 B-127 lo Expenses rs Management Fees (1) 7,595 7,685 7,913 8,016 7,702 in R-85 R-219 Incentive Fees (2) 6,239 5,846 5,933 5,710 5,383 pr G-67 G-217 ef B-113 Interest Expense & Credit Facility Fees 11,511 12,559 13,703 14,083 13,321 B-217 er re Other Expenses 1,395 1,475 1,287 1,166 1,447 White d R-118 Excise Tax Expense 160 60 60 49 235 R-255 or G-92 de Net Expenses 26,900 27,625 28,896 29,024 28,088 G-255 B-150 B-255 r fo Colors Text Net Investment Income 29,411 27,562 27,971 26,755 25,377 Dark Blue r R-0 be Net Realized and Change in Unrealized Gains (Losses) (30,571) 6,164 (18,214) (35,744) 1,459 R-0 G-161 G-74 st B-224 Net Income (Loss) $(1,160) $33,726 $9,757 $(8,989) $26,836 B-136 re (1) Beginning October 1, 2017, the base management fee is calculated at an annual rate of 1.50% of the Company’s gross assets, excluding cash and cash equivalents but including assets acquired su through the use of leverage. In addition, on August 6, 2018, the Company's Board of Directors approved a one-third (0.50%) reduction in the 1.50% annual base management fee rate charged by the Investment Adviser on assets financed using leverage in excess of 1.0x debt to equity. Effective July 1, 2018, the reduced annual fee of 1.00% applies to the average value of the Company's gross Blue lts R-189 assets as of the end of the two most recently completed calendar quarters that exceeds the product of (i) 200% and (ii) the average value of the Company's net asset value at the end of the two most R-0 G-230 recently completed calendar quarters. (2) Effective October 1, 2017, the Investment Adviser agreed to charge 17.5% instead of 20% with respect to the entire calculation of the incentive fee. G-161 B-247 Note: There can be no assurance that we will continue to earn income at this rate and our income may decline. If our income declines, we may reduce the dividend we pay and the yield you earn may 9 decline. Refer to the consolidated financial statements included in Part II, Item 8 of the Company’s Form 10-K for additional details. B-224
R-0 R-43 G-101 G-131 B-179 Quarterly Balance Sheet Detail B-35 (Dollar amounts in thousands, except per share data) Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 R-145 Assets R-156 G-213 Investments—non-controlled/non-affiliated, at fair value $1,731,319 $1,899,537 $1,840,979 $1,893,216 $1,897,057 G-226 B-242 B-146 Investments—non-controlled/affiliated, at fair value 18,543 21,081 20,925 6,607 — Investments—controlled/affiliated, at fair value 222,295 234,591 213,710 226,865 226,907 R-61 Total investments, at fair value 1,972,157 2,155,209 2,075,614 2,126,688 2,123,964 R-163 G-175 Cash and cash equivalents 87,186 40,071 62,324 70,281 36,751 G-143 B-46 Receivable for investment sold 8,060 — 14,854 5,725 6,162 B-187 Deferred financing costs 3,950 4,069 4,869 4,687 4,032 U Interest Receivable from Non-Controlled/Non-Affiliated/Affiliated Investments 5,856 7,666 8,300 11,561 9,462 R-145 R-127 se Interest and Dividend Receivable from Controlled/Affiliated Investments 7,405 7,256 6,652 6,951 6,845 G-229 G-127 co Prepaid expenses and other assets 129 8 143 97 317 B-0 B-127 lo Total assets $2,084,743 $2,214,279 $2,172,756 $2,225,990 $2,187,533 rs in R-85 Liabilities R-219 pr G-67 Payable for investments purchased $1,870 $— $— $11 $— G-217 ef B-113 Secured borrowings 514,635 660,959 649,397 756,511 616,543 B-217 er 2015-1 Notes payable, net of unamortized debt issuance costs 446,043 446,105 446,166 446,228 446,289 re Senior Notes — — — — 115,000 White d R-118 Due to Investment Adviser 236 169 228 142 — R-255 or G-92 de Interest and credit facility fees payable 7,500 7,994 7,563 7,680 6,764 G-255 B-150 B-255 r Dividend payable 35,497 22,681 27,082 21,825 31,760 fo Base management and incentive fees payable 13,834 13,531 13,846 13,726 13,236 Colors Text Dark Blue r R-0 Administrative service fees payable 94 139 128 66 77 R-0 be Other accrued expenses and liabilities 1,816 2,514 1,754 1,200 1,393 G-161 G-74 st Total liabilities 1,021,525 1,154,092 1,146,164 1,247,389 1,231,062 B-224 B-136 re Net assets 1,063,218 1,060,187 1,026,592 978,601 956,471 su Total liabilities & net assets $2,084,743 $2,214,279 $2,172,756 $2,225,990 $2,187,533 Blue lts R-189 Net Asset Value Per Share $17.09 $17.30 $17.06 $16.58 $16.56 R-0 G-230 G-161 Please refer to the Company’s Form 10-K for more information. 10 B-247 B-224
Draft R-0 R-85 G-101 G-67 B-179 Credit Fund Update (10% of TCG BDC Portfolio) B-113 R-0 Credit Fund Key Statistics Portfolio Composition R-118 G-161 G-92 B-224 B-150 Diversification by Industry Total Investments and Commitments ($mm) $1,340 Borrower R-145 Unfunded Commitments ($mm) $93 R-163 G-213 G-143 B-242 Investments at Fair Value ($mm) $1,247 B-187 Yield of Debt Investments (%) (1) 6.51% R-189 Number of Investments 65 R-154 G-230 First Lien Exposure (%) (2) 96% G-155 B-247 B-156 Floating / Fixed (%) (3) 98.3% / 1.7% R-43 Dividend Yield to TCG BDC 13% R-219 G-131 G-217 B-35 B-217 R-61 Text G-175 (Dollar amounts in thousands and based on par/principal) Q4 2018 Q1 2019 Q2 2019 Q3 2019 Q4 2019 Colors B-46 Credit Fund Originations and Net Investment Activity White R-255 Investment Fundings $ 122,735 $ 137,478 $ 121,117 $ 93,821 $ 139,134 G-255 R-145 Unfunded Commitments, Net Change (11,771) 13,655 (16,635) 1,429 11,101 B-255 G-229 B-0 Sales and Repayments (122,197) (58,312) (43,351) (154,969) (165,292) Net Investment Activity $ (11,233) $ 92,821 $61,131 $ (59,719) $ (15,057) Dark Blue R-156 R-0 G-74 G-226 B-136 B-146 (1) Weighted average yields at cost of the debt investments include the effect of accretion of discounts and amortization of premiums and are based on interest rates as of period end. Actual yields earned over the life of each investment could differ materially from the yields presented above. (2) First lien, excluding loans categorized as first lien last out, as a % of fair value. (3) % of 11 fair value of first and second lien debt. Blue R-145 G-229 B-0
R-0 R-43 G-101 G-131 B-179 Net Asset Value Per Share Bridge B-35 R-145 R-156 G-213 Fourth Quarter 2019 Full Year 2019 G-226 B-242 B-146 R-61 R-163 G-175 G-143 B-46 B-187 U R-145 R-127 se G-229 G-127 co B-0 B-127 lo rs in R-85 R-219 pr G-67 G-217 ef B-113 B-217 er re White d R-118 R-255 or G-92 de G-255 B-150 B-255 r fo Colors Text Dark Blue r R-0 be R-0 G-161 G-74 st B-224 B-136 re su Blue lts R-189 R-0 G-230 Note: The net asset value per share and dividends declared per share are based on the shares outstanding at each respective quarter-end. Net investment income per share and net change in realized and unrealized appreciation (depreciation) per share are based on the weighted average number of shares outstanding for the period. The sum of the individual numbers may not G-161 add up due to rounding. 12 B-247 B-224
R-0 R-43 G-101 G-131 B-179 Risk Rating Distribution B-35 R-145 • As of December 31, 2019, 4 borrowers were on non-accrual status, representing 2.5% of total investments at fair value and 4.6% at amortized cost R-156 G-213 Portfolio Risk Ratings G-226 B-242 B-146 (Dollar amounts in millions) June 30, 2019 September 30, 2019 December 31, 2019 Internal Risk Rating Fair Value % of Fair Value Fair Value % of Fair Value Fair Value % of Fair Value R-61 1 $49.7 2.68% $92.5 4.89% $39.2 2.07% R-163 G-175 G-143 B-46 2 1,431.2 77.15% 1,402.9 74.11% 1,501.4 79.12% B-187 3 123.1 6.64% 184.4 9.74% 132.9 7.00% U 4 197.2 10.63% 187.6 9.91% 159.0 8.38% R-145 R-127 se G-229 5 46.3 2.50% 24.5 1.29% 65.2 3.43% G-127 co B-0 6 7.6 0.41% 1.0 0.05% — —% B-127 lo rs Total $1,855.1 100.00% $1,892.9 100.00% $1,897.7 100.00% in R-85 Rating Definition R-219 pr G-67 G-217 1 Performing – Low Risk: Borrower is operating more than 10% ahead of the Base Case ef B-113 B-217 er Performing – Stable Risk: Borrower is operating within 10% of the Base Case (above or below). This is the initial rating assigned to all 2 re new borrowers d White R-118 Performing – Management Notice: Borrower is operating more than 10% below the Base Case. A financial covenant default may have or 3 R-255 G-92 occurred, but there is a low risk of payment default G-255 de B-150 Watch List: Borrower is operating more than 20% below the Base Case and there is a high risk of covenant default, or it may have already B-255 r 4 fo occurred. Payments are current although subject to greater uncertainty, and there is moderate to high risk of payment default Colors Text Dark Blue r R-0 Watch List – Possible Loss: Borrower is operating more than 30% below the Base Case. At the current level of operations and financial be R-0 G-161 5 condition, the borrower does not have the ability to service and ultimately repay or refinance all outstanding debt on current terms. Payment G-74 st B-224 default is very likely or may have occurred. Loss of principal is possible B-136 re Watch List – Probable Loss: Borrower is operating more than 40% below the Base Case, and at the current level of operations and su financial condition, the borrower does not have the ability to service and ultimately repay or refinance all outstanding debt on current terms. Blue lts R-189 6 Payment default is very likely or may have already occurred. Additionally, the prospects for improvement in the borrower’s situation are R-0 G-230 G-161 sufficiently negative that impairment of some or all principal is probable 13 B-247 B-224
R-0 R-43 G-101 G-131 B-179 Funding and Liability Management Overview B-35 R-145 Overview of Financing Facilities Debt on Company’s Balance Sheet R-156 G-213 (dollar amounts in thousands) G-226 B-242 B-146 Senior Credit SPV Credit 2015-1R Unsecured Facility (1) Facility (1) Notes (1) (5) Notes R-61 R-163 G-175 G-143 B-46 Size $688 million $275 million $449 million $115 million B-187 5 years (4 year 5 years (3 years U Original Tenor / R-145 revolving); maturity revolving); maturity 10/15/2031 12/31/2024 R-127 se Maturity Date G-229 date 6/14/2024 date 5/23/2023 G-127 co B-0 B-127 lo L +200bps / L + 225 bps / 37.5 475 bps Pricing 50-75bps unused 401 bps (2) rs bps unused fee Fixed in fee R-85 Mark to Market vs. Non-Mark to Market Debt R-219 pr G-67 Credit Fund G-217 ef B-113 Credit Fund Sub 2017-1 2019-2 Warehouse II B-217 er Facility (1) (3) Notes (3) Notes (4) Facility (6) re $211 million $322 million White d R-118 Size $640 million outstanding ($352 outstanding ($352 $150 million R-255 or G-92 million at closing) million at closing) de G-255 B-150 6 years (3 years 3 years (2 years Original Tenor / B-255 r revolving); maturity 1/15/2028 4/15/2029 revolving); maturity Maturity Date Colors Text fo date 5/22/2024 date 8/16/2022 Dark Blue r R-0 be L + 225 bps / R-0 G-161 (2) (2) G-74 st Pricing 50-75 bps unused 421 bps 445 bps L + 105 bps B-224 fee B-136 re su (1) Size represents maximum principal amount of the facility and is subject to availability under the facility, which is based on certain advance rates multiplied by the value of certain portfolio investments of the Company or Credit Fund (subject to certain concentration limitations) and may be net of certain other indebtedness that the Company or Credit Fund may incur in accordance with Blue lts R-189 the terms of the facility. Middle Market Credit Fund SPV, LLC (the “Credit Fund Sub”), a Delaware limited liability company, was formed on April 5, 2016. Credit Fund Sub is a wholly-owned subsidiary of Credit Fund and is consolidated in Credit Fund’s consolidated financial statements commencing from the date of its formation. (2) Weighted average interest rate, including amortization R-0 G-230 of debt issuance costs on the 2015-1R Notes, 2017-1 Notes and 2019-2 Notes, respectively, for the quarter ended December 31, 2019. (3) MMCF CLO 2017-1 LLC, the issuer, is a wholly-owned G-161 and consolidated subsidiary of Credit Fund. (4) MMCF CLO 2019-2 LLC, the issuer, is a wholly-owned and consolidated subsidiary of Credit Fund. (5) Carlyle Direct Lending CLO 2015-1R LLC, the 14 B-247 issuer, is a wholly-owned and consolidated subsidiary of the Company. (6) MMCF Warehouse II, LLC, is a wholly-owned and consolidated subsidiary of Credit Fund. Refer to Notes 6 and 7 to the consolidated financial statements included in Part II, Item 8 of the Company's Form 10-K for additional details. B-224