TCG BDC, INC. - FORM 10-Q

TCG BDC, INC. - FORM 10-Q - May 5, 2020

Attached files

Attached files

TCG BDC, INC. Reports

file	filename
EX-32.2 - EXHIBIT 32.2 - TCG BDC, INC.	cgbd_1q20x10-qxex322.htm
EX-32.1 - EXHIBIT 32.1 - TCG BDC, INC.	cgbd_1q20x10-qxex321.htm
EX-31.2 - EXHIBIT 31.2 - TCG BDC, INC.	cgbd_1q20x10-qxex312.htm
EX-31.1 - EXHIBIT 31.1 - TCG BDC, INC.	cgbd_1q20x10-qxex311.htm
EX-4.1 - EXHIBIT 4.1 - TCG BDC, INC.	cgbd_1q20x10-qxex41.htm
EX-3.1 - EXHIBIT 3.1 - TCG BDC, INC.	cgbd_1q20x10-qxex31.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q



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

For the quarterly period ended March 31, 2020



o	TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period to

Commission File No. 814-00995

TCG BDC, INC.

(Exact name of Registrant as specified in its charter)



Maryland		80-0789789
(State or other jurisdiction of incorporation or organization)		(I.R.S. Employer Identification Number)

520 Madison Avenue, 40th Floor, New York, NY 10022		(212) 813-4900
(Address of principal executive office) (Zip Code)		(Registrant’s telephone number, including area code)

N/A

(Former name, former address and former fiscal year, if changed since last report)

Securities registered pursuant to Section 12(b) of the Act:



Title of Each Class	Trading Symbol(s)	Name of Each Exchange on Which Registered
Common stock, $0.01 par value	CGBD	The Nasdaq Global Select Market

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 ☒ No ☐

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 ☐ No ☐

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 definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act. (Check one):

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. ☐

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). Yes ☐ No x

The number of shares of the registrant’s common stock, $0.01 par value per share, outstanding at May 5, 2020 was 56,308,616.

TCG BDC, INC.

INDEX




Part I.	Financial Information
Item 1.	Financial Statements
	Consolidated Statements of Assets and Liabilities as of March 31, 2020 (unaudited) and December 31, 2019	3
	Consolidated Statements of Operations for the three month periods ended March 31, 2020 and 2019 (unaudited)	4
	Consolidated Statements of Changes in Net Assets for the three month periods ended March 31, 2020 and 2019 (unaudited)	5
	Consolidated Statements of Cash Flows for the three month periods ended March 31, 2020 and 2019 (unaudited)	6
	Consolidated Schedules of Investments as of March 31, 2020 (unaudited) and December 31, 2019	7
	Notes to Consolidated Financial Statements (unaudited)	31
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	66
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	96
Item 4.	Controls and Procedures	96
Part II.	Other Information
Item 1.	Legal Proceedings	97
Item 1A.	Risk Factors	97
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	98
Item 3.	Defaults Upon Senior Securities	99
Item 4.	Mine Safety Disclosures	99
Item 5.	Other Information	99
Item 6.	Exhibits	99
	Signatures	100

TCG BDC, INC.

CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES

(dollar amounts in thousands, except per share data)



	March 31, 2020			December 31, 2019
ASSETS	(unaudited)
Investments, at fair value
Investments—non-controlled/non-affiliated, at fair value (amortized cost of $2,007,160 and $1,960,755, respectively)	$	1,826,422		$	1,897,057
Investments—controlled/affiliated, at fair value (amortized cost of $240,167 and $240,696, respectively)	197,855			226,907
Total investments, at fair value (amortized cost of $2,247,327 and $2,201,451, respectively)	2,024,277			2,123,964
Cash and cash equivalents	65,525			36,751
Receivable for investment sold	15,655			6,162
Deferred financing costs	4,026			4,032
Interest receivable from non-controlled/non-affiliated investments	10,406			9,462
Interest and dividend receivable from controlled/affiliated investments	6,350			6,845
Prepaid expenses and other assets	587			317
Total assets	$	2,126,826		$	2,187,533
LIABILITIES
Secured borrowings (Note 6)	$	701,609		$	616,543
2015-1 Notes payable, net of unamortized debt issuance costs of $2,849 and $2,911, respectively (Note 7)	446,351			446,289
Senior Notes (Note 7)	115,000			115,000
Payable for investments purchased	24,345			—
Interest and credit facility fees payable (Notes 6 and 7)	6,100			6,764
Dividend payable (Note 9)	20,824			31,760
Base management and incentive fees payable (Note 4)	12,333			13,236
Administrative service fees payable (Note 4)	98			77
Other accrued expenses and liabilities	1,632			1,393
Total liabilities	1,328,292			1,231,062
Commitments and contingencies (Notes 8 and 11)
EQUITY
NET ASSETS
Common stock, $0.01 par value; 200,000,000 shares authorized; 56,308,616 and 57,763,811 shares issued and outstanding at March 31, 2020 and December 31, 2019, respectively)	563			578
Paid-in capital in excess of par value	1,093,250			1,109,238
Offering costs	(1,633		)	(1,633		)
Total distributable earnings (loss)	(293,646		)	(151,712		)
Total net assets	$	798,534		$	956,471
NET ASSETS PER SHARE	$	14.18		$	16.56

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

TCG BDC, INC.

CONSOLIDATED STATEMENTS OF OPERATIONS

(dollar amounts in thousands, except per share data)

(unaudited)



	For the three month periods ended
	March 31, 2020			March 31, 2019
Investment income:
From non-controlled/non-affiliated investments:
Interest income	$	41,465		$	45,242
Other income	2,344			2,028
Total investment income from non-controlled/non-affiliated investments	43,809			47,270
From non-controlled/affiliated investments:
Interest income	—			379
Total investment income from non-controlled/affiliated investments	—			379
From controlled/affiliated investments:
Interest income	3,236			3,538
Dividend income	3,500			4,000
Total investment income from controlled/affiliated investments	6,736			7,538
Total investment income	50,545			55,187
Expenses:
Base management fees (Note 4)	7,386			7,685
Incentive fees (Note 4)	5,086			5,846
Professional fees	667			745
Administrative service fees (Note 4)	106			216
Interest expense (Notes 6 and 7)	12,179			11,991
Credit facility fees (Note 6)	590			568
Directors’ fees and expenses	96			93
Other general and administrative	411			421
Total expenses	26,521			27,565
Net investment income (loss) before taxes	24,024			27,622
Excise tax expense	52			60
Net investment income (loss)	23,972			27,562
Net realized gain (loss) and net change in unrealized appreciation (depreciation):
Net realized gain (loss) on investments:
Non-controlled/non-affiliated investments	(1,697		)	899
Controlled/affiliated investments	—			—
Currency gains (losses) on non-investment assets and liabilities	(150		)	—
Net change in unrealized appreciation (depreciation) on investments:
Non-controlled/non-affiliated investments	(117,042		)	2,473
Non-controlled/affiliated investments	—			2,296
Controlled/affiliated investments	(28,521		)	496
Net change in unrealized currency gains (losses) on non-investment assets and liabilities	2,338			—
Net realized gain (loss) and net change in unrealized appreciation (depreciation) on investments and non-investment assets and liabilities	(145,072		)	6,164
Net increase (decrease) in net assets resulting from operations	$	(121,100	)	$	33,726
Basic and diluted earnings per common share (Note 9)	$	(2.12	)	$	0.55
Weighted-average shares of common stock outstanding—Basic and Diluted (Note 9)	57,112,193			61,772,774

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

TCG BDC, INC.

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

(dollar amounts in thousands)

(unaudited)



	For the three month periods ended
	March 31, 2020			March 31, 2019
Net increase (decrease) in net assets resulting from operations:
Net investment income (loss)	$	23,972		$	27,562
Net realized gain (loss)	(1,847		)	899
Net change in unrealized appreciation (depreciation) on investments	(145,563		)	5,265
Net change in unrealized currency gains (losses) on non-investment assets and liabilities	2,338			—
Net increase (decrease) in net assets resulting from operations	(121,100		)	33,726
Capital transactions:
Repurchase of common stock	(16,003		)	(14,085		)
Dividends declared (Note 12)	(20,834		)	(22,672		)
Net increase (decrease) in net assets resulting from capital share transactions	(36,837		)	(36,757		)
Net increase (decrease) in net assets	(157,937		)	(3,031		)
Net Assets at beginning of period	956,471			1,063,218
Net Assets at end of period	$	798,534		$	1,060,187

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

TCG BDC, INC.

CONSOLIDATED STATEMENTS OF CASH FLOWS

(dollar amounts in thousands)

(unaudited)



	For the three month periods ended
	March 31, 2020			March 31, 2019
Cash flows from operating activities:
Net increase (decrease) in net assets resulting from operations	$	(121,100	)	$	33,726
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Amortization of deferred financing costs	305			298
Net accretion of discount on investments	(2,586		)	(2,161		)
Paid-in-kind interest	(179		)	(1,052		)
Net realized (gain) loss on investments	1,697			(899		)
Net realized currency (gain) loss on non-investment assets and liabilities	150			—
Net change in unrealized (appreciation) depreciation on investments	145,563			(5,265		)
Net change in unrealized currency (gains) losses on non-investment assets and liabilities	(2,338		)	—
Cost of investments purchased and change in payable for investments purchased	(307,148		)	(247,039		)
Proceeds from sales and repayments of investments and change in receivable for investments sold	277,451			79,554
Changes in operating assets:
Interest receivable	(949		)	(1,361		)
Dividend receivable	500			(300		)
Prepaid expenses and other assets	(270		)	121
Changes in operating liabilities:
Due to Investment Adviser	—			(67		)
Interest and credit facility fees payable	(664		)	494
Base management and incentive fees payable	(903		)	(303		)
Administrative service fees payable	21			45
Other accrued expenses and liabilities	239			698
Net cash provided by (used in) operating activities	(10,211		)	(143,511		)
Cash flows from financing activities:
Repurchase of common stock	(16,003		)	(14,085		)
Borrowings on SPV Credit Facility and Credit Facility	226,500			253,950
Repayments of SPV Credit Facility and Credit Facility	(139,443		)	(107,626		)
Debt issuance costs paid	(299		)	(355		)
Dividends paid in cash	(31,770		)	(35,488		)
Net cash provided by (used in) financing activities	38,985			96,396
Net increase (decrease) in cash and cash equivalents	28,774			(47,115		)
Cash and cash equivalents, beginning of period	36,751			87,186
Cash and cash equivalents, end of period	$	65,525		$	40,071
Supplemental disclosures:
Interest paid during the period	$	12,647		$	11,515
Taxes, including excise tax, paid during the period	$	387		$	225
Dividends declared during the period	$	20,834		$	22,672

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

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS

As of March 31, 2020

(dollar amounts in thousands)

(unaudited)



Investments—non-controlled/non-affiliated ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Acquisition Date	Maturity Date	Par/ Principal Amount **		Amortized Cost ⁽⁴⁾		Fair Value ⁽⁵⁾		% of Net Assets
Investments—non-controlled/non-affiliated ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Acquisition Date	Maturity Date	Par/ Principal Amount **		Amortized Cost ⁽⁴⁾		Fair Value ⁽⁵⁾		% of Net Assets
First Lien Debt (75.19% of fair value)
Airnov, Inc. (Clariant)	^*	(2) (3) (12)	Containers, Packaging & Glass	L + 5.25%	6.37%	12/20/2019	12/19/2025	$	12,813	$	12,610	$	12,396	1.55	%
Alpha Packaging Holdings, Inc.	+*	(2) (3)	Containers, Packaging & Glass	L + 6.00%	7.13%	6/26/2015	11/12/2021	2,829		2,828		2,770		0.35
Alpine SG, LLC	^*	(2) (3)	High Tech Industries	L + 5.75%	7.20%	2/2/2018	11/16/2022	15,301		15,196		14,996		1.88
American Physician Partners, LLC	^+*	(2) (3) (12)	Healthcare & Pharmaceuticals	L + 6.50%	7.95%	1/7/2019	12/21/2021	38,753		38,435		37,555		4.70
AMS Group HoldCo, LLC	^+*	(2) (3) (12)	Transportation: Cargo	L + 6.00%	7.77%	9/29/2017	9/29/2023	32,603		32,183		31,998		4.01
Analogic Corporation	^+*	(2) (3) (12)	Capital Equipment	L + 5.25%	6.25%	6/22/2018	6/22/2024	2,393		2,358		2,269		0.28
Anchor Hocking, LLC	^	(2) (3)	Durable Consumer Goods	L + 8.75%	10.51%	1/25/2019	1/25/2024	10,418		10,143		9,872		1.24
Apptio, Inc.	^	(2) (3) (12)	Software	L + 7.25%	8.25%	1/10/2019	1/10/2025	35,541		34,901		33,468		4.19
Aurora Lux FinCo S.Á.R.L. (Accelya) (Luxembourg)	^	(2) (3) (7)	Software	L + 6.00%	7.00%	12/24/2019	12/24/2026	37,500		36,589		35,104		4.40
Avenu Holdings, LLC	+*	(2) (3)	Sovereign & Public Finance	L + 5.25%	6.70%	9/28/2018	9/28/2024	38,567		38,060		35,293		4.42
Barnes & Noble, Inc.	^	(2) (3) (11)	Retail	L + 5.50%	9.18%	8/7/2019	8/7/2024	17,414		17,025		15,634		1.96
BMS Holdings III Corp.	^*	(2) (3) (12)	Construction & Building	L + 5.25%	6.70%	9/30/2019	9/30/2026	11,608		11,256		10,919		1.37
Brooks Equipment Company, LLC	+*	(2) (3)	Construction & Building	L + 5.00%	6.60%	6/26/2015	8/29/2020	2,406		2,403		2,383		0.30
Captive Resources Midco, LLC	^*	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 6.00%	7.00%	6/30/2015	5/31/2025	32,368		32,046		30,733		3.85
Central Security Group, Inc.	^*	(2) (3) (8)	Consumer Services	L + 5.63%	6.63%	6/26/2015	10/6/2021	18,449		18,012		8,117		1.02
Chartis Holding, LLC	^*	(2) (3) (12)	Business Services	L + 5.25%	6.63%	5/1/2019	5/1/2025	18,287		17,916		17,541		2.20
Chemical Computing Group ULC (Canada)	^*	(2) (3) (7) (12)	Software	L + 5.00%	6.00%	8/30/2018	8/30/2023	14,637		14,537		14,157		1.77
CircusTrix Holdings, LLC	^+*	(2) (3)	Hotel, Gaming & Leisure	L + 5.50% (100% PIK)	6.50%	2/2/2018	12/6/2021	9,397		9,346		7,800		0.98
Cobblestone Intermediate Holdco LLC	^	(2) (3) (12)	Consumer Services	L + 5.00%	6.77%	1/29/2020	1/29/2026	463		455		452		0.06
Comar Holding Company, LLC	^+*	(2) (3) (12)	Containers, Packaging & Glass	L + 5.75%	6.75%	6/18/2018	6/18/2024	31,807		31,304		31,157		3.90
Cority Software Inc. (Canada)	^	(2) (3) (7) (12)	Software	L + 5.75%	7.64%	7/2/2019	7/2/2026	31,970		31,325		31,271		3.92
Derm Growth Partners III, LLC (Dermatology Associates)	^	(2) (3) (8)	Healthcare & Pharmaceuticals	L + 6.25% (100% PIK)	7.70%	5/31/2016	5/31/2022	56,310		56,055		31,266		3.92
DermaRite Industries, LLC	^*	(2) (3) (12)	Healthcare & Pharmaceuticals	L + 7.00%	8.07%	3/3/2017	3/3/2022	21,788		21,648		19,769		2.48
Digicel Limited (Jamaica)	^	(7)	Telecommunications	6.00%	6.00%	7/23/2019	4/15/2021	250		210		134		0.02
Dimensional Dental Management, LLC	^	(2) (3) (8)	Healthcare & Pharmaceuticals	L + 5.75%	10.00%	2/12/2016	2/12/2021	1,272		1,247		1,272		0.16
Dimensional Dental Management, LLC	^	(2) (3) (8) (11)	Healthcare & Pharmaceuticals	L + 5.75%	8.20%	2/12/2016	7/22/2020	33,674		33,301		—		—
Direct Travel, Inc.	^+*	(2) (3)	Hotel, Gaming & Leisure	L + 6.50%	7.54%	10/14/2016	12/1/2021	36,711		36,458		33,653		4.21

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of March 31, 2020

(dollar amounts in thousands)

(unaudited)



Investments—non-controlled/non-affiliated ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Acquisition Date	Maturity Date	Par/ Principal Amount **		Amortized Cost ⁽⁴⁾		Fair Value ⁽⁵⁾		% of Net Assets
Investments—non-controlled/non-affiliated ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Acquisition Date	Maturity Date	Par/ Principal Amount **		Amortized Cost ⁽⁴⁾		Fair Value ⁽⁵⁾		% of Net Assets
DTI Holdco, Inc.	*	(2) (3)	High Tech Industries	L + 4.75%	6.53%	12/18/2018	9/30/2023	$	1,969	$	1,872	$	1,383	0.17	%
Emergency Communications Network, LLC	^+*	(2) (3)	Telecommunications	L + 6.25%	7.25%	6/1/2017	6/1/2023	24,313		24,180		20,418		2.56
Ensono, LP	*	(2) (3)	Telecommunications	L + 5.25%	6.24%	4/30/2018	6/27/2025	8,515		8,434		7,215		0.90
Ethos Veterinary Health LLC	^+	(2) (3) (12)	Consumer Services	L + 4.75%	5.74%	5/17/2019	5/15/2026	10,850		10,730		10,298		1.29
EvolveIP, LLC	^+*	(2) (3) (12)	Telecommunications	L + 5.75%	6.75%	11/26/2019	6/7/2023	34,922		34,836		34,035		4.26
Frontline Technologies Holdings, LLC	^+*	(2) (3)	Software	L + 5.75%	6.85%	9/18/2017	9/18/2023	48,125		47,851		47,378		5.93
FWR Holding Corporation	^+*	(2) (3) (12)	Beverage, Food & Tobacco	L + 5.50%	6.76%	8/21/2017	8/21/2023	47,823		47,185		43,878		5.49
Green Energy Partners/Stonewall, LLC	+*	(2) (3)	Energy: Electricity	L + 5.50%	6.95%	6/26/2015	11/10/2021	19,500		19,347		14,066		1.76
Hydrofarm, LLC	^	(2) (3)	Wholesale	L + 8.50%	9.50%	5/15/2017	5/12/2022	19,446		19,164		11,749		1.47
iCIMS, Inc.	^	(2) (3) (12)	Software	L + 6.50%	7.50%	9/12/2018	9/12/2024	23,930		23,525		22,762		2.85
Individual FoodService Holdings, LLC	^	(2) (3) (12)	Wholesale	L + 5.75%	6.75%	2/21/2020	11/22/2025	3,847		3,748		3,682		0.46
Innovative Business Services, LLC	^*	(2) (3)	High Tech Industries	L + 5.50%	7.25%	4/5/2018	4/5/2023	18,334		17,989		17,791		2.23
Integrity Marketing Acquisition, LLC	^	(2) (3) (12)	Banking, Finance, Insurance & Real Estate	L + 5.75%	7.26%	1/15/2020	8/27/2025	710		635		428		0.05
K2 Insurance Services, LLC	^+*	(2) (3) (12)	Banking, Finance, Insurance & Real Estate	L + 5.00%	6.42%	7/3/2019	7/1/2024	23,116		22,605		22,492		2.82
Kaseya Inc.	^	(2) (3) (12)	High Tech Industries	L + 5.50%, 1.00% PIK	7.95%	5/3/2019	5/2/2025	21,561		21,139		20,261		2.54
Legacy.com, Inc.	^	(2) (3) (11)	High Tech Industries	L + 6.00%	11.43%	3/20/2017	3/20/2023	17,066		16,834		15,357		1.92
Lifelong Learner Holdings, LLC	^*	(2) (3) (12)	Business Services	L + 5.75%	6.76%	10/18/2019	10/18/2026	24,943		24,409		23,073		2.89
Liqui-Box Holdings, Inc.	^	(2) (3) (12)	Containers, Packaging & Glass	L + 4.50%	5.69%	6/3/2019	6/3/2024	2,279		2,254		2,147		0.27
Mailgun Technologies, Inc.	^	(2) (3) (12)	High Tech Industries	L + 6.00%	7.19%	3/26/2019	3/26/2025	11,824		11,588		11,367		1.42
National Carwash Solutions, Inc.	^+	(2) (3) (12)	Automotive	L + 6.00%	7.54%	8/7/2018	4/28/2023	9,792		9,642		9,523		1.19
National Technical Systems, Inc.	^+*	(2) (3) (12)	Aerospace & Defense	L + 6.25%	7.78%	6/26/2015	6/12/2021	30,359		30,237		29,927		3.75
NES Global Talent Finance US, LLC (United Kingdom)	+*	(2) (3) (7)	Energy: Oil & Gas	L + 5.50%	7.28%	5/9/2018	5/11/2023	9,865		9,746		9,253		1.16
Nexus Technologies, LLC	*	(2) (3)	High Tech Industries	L + 5.50%, 1.50% PIK	8.45%	12/11/2018	12/5/2023	6,188		6,139		5,053		0.63
NMI AcquisitionCo, Inc.	^+*	(2) (3)	High Tech Industries	L + 5.50%	6.50%	9/6/2017	9/6/2022	51,219		50,676		50,718		6.35
Northland Telecommunications Corporation	^*	(2) (3) (12)	Media: Broadcasting & Subscription	L + 5.75%	6.96%	10/1/2018	10/1/2025	47,262		46,601		45,510		5.70
Paramit Corporation	+*	(2) (3)	Capital Equipment	L + 4.50%	5.50%	5/3/2019	5/3/2025	6,298		6,243		6,040		0.76
PF Growth Partners, LLC	^+*	(2) (3) (12)	Hotel, Gaming & Leisure	L + 5.00%	6.00%	7/1/2019	7/11/2025	7,349		7,238		6,865		0.86

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of March 31, 2020

(dollar amounts in thousands)

(unaudited)



Investments—non-controlled/non-affiliated ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Acquisition Date	Maturity Date	Par/ Principal Amount **		Amortized Cost ⁽⁴⁾		Fair Value ⁽⁵⁾		% of Net Assets
Investments—non-controlled/non-affiliated ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Acquisition Date	Maturity Date	Par/ Principal Amount **		Amortized Cost ⁽⁴⁾		Fair Value ⁽⁵⁾		% of Net Assets
Plano Molding Company, LLC	^	(2) (3)	Hotel, Gaming & Leisure	L + 7.50%	8.50%	5/1/2015	5/12/2021	$	14,715	$	14,626	$	12,881	1.61	%
PPC Flexible Packaging, LLC	^+*	(2) (3) (12)	Containers, Packaging & Glass	L + 5.25%	6.25%	11/23/2018	11/23/2024	15,025		14,878		14,640		1.83
PPT Management Holdings, LLC	^	(2) (3)	Healthcare & Pharmaceuticals	L + 1.00%, 5.75% PIK	8.20%	12/15/2016	12/16/2022	27,735		27,627		20,523		2.57
PricewaterhouseCoopers Public Sector LLP	^	(2) (3) (12)	Aerospace & Defense	L + 3.25%	4.70%	5/1/2018	5/1/2023	2,000		1,903		1,734		0.22
Product Quest Manufacturing, LLC	^	(2) (3) (8)	Containers, Packaging & Glass	L + 6.75%	9.00%	9/21/2017	3/31/2020	840		840		334		0.04
Propel Insurance Agency, LLC	^	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 4.25%	5.70%	6/1/2018	6/1/2024	2,357		2,342		2,298		0.29
QW Holding Corporation (Quala)	^+*	(2) (3) (12)	Environmental Industries	L + 6.25%	7.70%	8/31/2016	8/31/2022	43,467		42,969		42,423		5.31
Redwood Services Group, LLC	^*	(2) (3)	High Tech Industries	L + 6.00%	7.00%	11/13/2018	6/6/2023	8,406		8,347		8,217		1.03
Riveron Acquisition Holdings, Inc.	^+*	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 6.00%	7.45%	5/22/2019	5/22/2025	19,918		19,571		19,379		2.43
RSC Acquisition, Inc.	^	(2) (3) (12)	Banking, Finance, Insurance & Real Estate	L + 5.50%	7.26%	11/1/2019	11/1/2026	12,729		12,369		11,707		1.47
Sapphire Convention, Inc. (Smart City)	^+*	(2) (3) (12)	Telecommunications	L + 5.25%	6.92%	11/20/2018	11/20/2025	30,769		30,224		29,612		3.71
Smile Doctors, LLC	^+*	(2) (3) (12)	Healthcare & Pharmaceuticals	L + 6.25%	7.69%	10/6/2017	10/6/2022	23,541		23,457		22,645		2.84
Sovos Brands Intermediate, Inc.	+*	(2) (3)	Beverage, Food & Tobacco	L + 5.00%	6.59%	11/16/2018	11/20/2025	19,849		19,671		18,916		2.37
SPay, Inc.	^+*	(2) (3) (12)	Hotel, Gaming & Leisure	L + 5.75%	6.84%	6/15/2018	6/17/2024	20,512		20,194		15,558		1.95
Superior Health Linens, LLC	^+*	(2) (3) (12)	Business Services	L + 7.50%	8.95%	9/30/2016	9/30/2021	21,700		21,580		20,746		2.60
Surgical Information Systems, LLC	^+*	(2) (3) (11)	High Tech Industries	L + 4.50%	7.21%	4/24/2017	4/24/2023	26,168		26,018		25,417		3.18
T2 Systems, Inc.	^+*	(2) (3) (12)	Transportation: Consumer	L + 6.75%	8.34%	9/28/2016	9/28/2022	35,265		34,818		34,926		4.37
Tank Holding Corp.	^	(2) (3) (12)	Capital Equipment	L + 4.00%	5.45%	3/26/2019	3/26/2024	45		45		43		0.01
TCFI Aevex LLC	^	(2) (3) (12)	Aerospace & Defense	L + 6.00%	7.00%	3/18/2020	3/18/2026	8,325		8,126		8,125		1.02
The Leaders Romans Bidco Limited (United Kingdom) Term Loan B	^	(2) (3) (7)	Banking, Finance, Insurance & Real Estate	L + 6.75%, 3.50% PIK	11.02%	7/23/2019	6/30/2024	£	20,074	24,420		23,465		2.94
The Leaders Romans Bidco Limited (United Kingdom) Term Loan C	^	(2) (3) (7)	Banking, Finance, Insurance & Real Estate	L + 6.75%, 3.50% PIK	11.02%	7/23/2019	6/30/2024	£	3,922	4,809		4,617		0.58
Trump Card, LLC	^+*	(2) (3)	Transportation: Cargo	L + 5.50%	6.92%	6/26/2018	4/21/2022	8,287		8,254		8,064		1.01
TSB Purchaser, Inc. (Teaching Strategies, LLC)	^+*	(2) (3) (12)	Media: Advertising, Printing & Publishing	L + 6.00%	7.45%	5/14/2018	5/14/2024	28,224		27,685		27,465		3.44
Turbo Buyer, Inc. (Portfolio Holdings, Inc.)	^	(2) (3) (12)	Automotive	L + 6.00%	7.48%	12/2/2019	12/2/2025	29,978		29,146		29,105		3.64
Tweddle Group, Inc.	^	(2) (3)	Media: Advertising, Printing & Publishing	L + 4.50%	5.50%	9/17/2018	9/17/2023	1,825		1,804		1,730		0.22

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of March 31, 2020

(dollar amounts in thousands)

(unaudited)



Investments—non-controlled/non-affiliated ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Acquisition Date	Maturity Date	Par/ Principal Amount **		Amortized Cost ⁽⁴⁾		Fair Value ⁽⁵⁾		% of Net Assets
Investments—non-controlled/non-affiliated ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Acquisition Date	Maturity Date	Par/ Principal Amount **		Amortized Cost ⁽⁴⁾		Fair Value ⁽⁵⁾		% of Net Assets
U.S. Acute Care Solutions, LLC	*	(2) (3)	Healthcare & Pharmaceuticals	L + 5.00%	6.45%	2/21/2019	5/15/2021	$	4,258	$	4,232	$	3,755	0.47	%
USLS Acquisition, Inc.	^*	(2) (3) (12)	Business Services	L + 5.75%	6.82%	11/30/2018	11/30/2024	22,954		22,575		22,166		2.78
Unifrutti Financing PLC (Cyprus)	^	(7)	Beverage, Food & Tobacco	7.50%, 1.00% PIK	8.50%	9/15/2019	9/15/2026	€	4,553	4,778		4,571		0.57
VRC Companies, LLC	^+*	(2) (3) (12)	Business Services	L + 6.50%	7.99%	3/31/2017	3/31/2023	58,916		58,440		57,624		7.22
Westfall Technik, Inc.	^*	(2) (3) (12)	Chemicals, Plastics & Rubber	L + 5.75%	7.20%	9/13/2018	9/13/2024	28,341		27,824		25,520		3.20
WP CPP Holdings, LLC (CPP)	^	(2) (3)	Aerospace & Defense	L + 3.75%	5.53%	7/18/2019	4/30/2025	14,952		14,826		11,214		1.40
Zemax Software Holdings, LLC	^*	(2) (3) (12)	Software	L + 5.75%	7.20%	6/25/2018	6/25/2024	10,762		10,636		10,492		1.31
Zenith Merger Sub, Inc.	^+*	(2) (3) (12)	Business Services	L + 5.25%	6.70%	12/13/2017	12/13/2023	18,076		17,879		17,484		2.19
First Lien Debt Total										$	1,669,607	$	1,522,044	190.60	%

Second Lien Debt (13.59% of fair value)
Access CIG, LLC	*	(2) (3)	Business Services	L + 7.75%	9.53%	2/14/2018	2/27/2026	$	2,700	$	2,687	$	2,196	0.28	%
AI Convoy S.A.R.L (Cobham) (United Kingdom)	^	(2) (3) (7)	Aerospace & Defense	L + 8.25%	10.09%	1/17/2020	1/17/2028	30,327		29,659		27,470		3.44
Aimbridge Acquisition Co., Inc.	^*	(2) (3)	Hotel, Gaming & Leisure	L + 7.50%	9.08%	2/1/2019	2/1/2027	9,241		9,092		7,907		0.99
AQA Acquisition Holding, Inc.	^	(2) (3)	High Tech Industries	L + 8.00%	9.91%	10/1/2018	5/24/2024	40,000		39,685		37,440		4.69
Brave Parent Holdings, Inc.	^*	(2) (3)	Software	L + 7.50%	9.28%	10/3/2018	4/19/2026	19,062		18,672		17,323		2.17
Drilling Info Holdings, Inc.	^	(2) (3)	Energy: Oil & Gas	L + 8.25%	9.24%	2/11/2020	7/30/2026	18,600		18,098		17,307		2.17
Higginbotham Insurance Agency, Inc.	^	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 7.50%	8.50%	12/3/2019	12/19/2025	2,500		2,476		2,344		0.29
Jazz Acquisition, Inc.	^	(2) (3)	Aerospace & Defense	L + 8.00%	8.99%	6/13/2019	6/18/2027	23,450		23,124		18,760		2.35
Le Tote, Inc.	^	(2) (3)	Retail	L + 6.75%	8.33%	11/8/2019	11/8/2024	7,143		6,977		6,456		0.81
Outcomes Group Holdings, Inc.	^*	(2) (3)	Business Services	L + 7.50%	9.11%	10/23/2018	10/26/2026	4,500		4,490		4,184		0.52
Pharmalogic Holdings Corp.	^	(2) (3)	Healthcare & Pharmaceuticals	L + 8.00%	9.00%	6/7/2018	12/11/2023	800		797		777		0.10
Quartz Holding Company (QuickBase, Inc.)	^	(2) (3)	Software	L + 8.00%	8.86%	4/2/2019	4/2/2027	11,900		11,683		10,900		1.37
Reladyne, Inc.	^+*	(2) (3)	Wholesale	L + 9.50%	10.95%	4/19/2018	1/21/2023	12,242		12,092		11,643		1.46
Stonegate Pub Company Limited (United Kingdom)	^	(2) (3) (7)	Beverage, Food & Tobacco	L + 8.50%	9.23%	3/12/2020	3/12/2028	£	20,000	24,692		22,467		2.81
Tank Holding Corp.	^*	(2) (3)	Capital Equipment	L + 8.25%	9.17%	3/26/2019	3/26/2027	37,380		36,799		34,420		4.31
Ultimate Baked Goods MIDCO, LLC (Rise Baking)	^	(2) (3)	Beverage, Food & Tobacco	L + 8.00%	9.00%	8/9/2018	8/9/2026	8,333		8,191		7,913		0.99
Watchfire Enterprises, Inc.	^	(2) (3)	Media: Advertising, Printing & Publishing	L + 8.00%	9.06%	10/2/2013	10/2/2021	7,000		6,970		6,929		0.87
World 50, Inc.	^	(9)	Business Services	11.50%	11.50%	1/10/2020	1/9/2027	10,000		9,807		9,335		1.17

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of March 31, 2020

(dollar amounts in thousands)

(unaudited)

Investments—non-controlled/non-affiliated ⁽¹⁾

Footnotes

Industry

Reference Rate & Spread ⁽²⁾

Interest Rate ⁽²⁾

Acquisition Date

Maturity Date

Par/ Principal Amount **

Amortized Cost ⁽⁴⁾

Fair Value ⁽⁵⁾

% of Net Assets

WP CPP Holdings, LLC (CPP)

(2) (3)

Aerospace & Defense

L + 7.75%

9.53%

7/18/2019

4/30/2026

39,500

39,137

25,940

3.25

Zywave, Inc.

(2) (3)

High Tech Industries

L + 9.00%

10.80%

11/18/2016

11/17/2023

3,468

3,435

3,344

0.42

Second Lien Debt Total

308,563

275,055

34.44



Investments—non-controlled/non-affiliated ⁽¹⁾		Footnotes	Industry	Acquisition Date	Shares/ Units	Cost		Fair Value ⁽⁵⁾		% of Net Assets
Equity Investments (1.45% of fair value)
ANLG Holdings, LLC	^	(6)	Healthcare & Pharmaceuticals	6/22/2018	880	$	880	$	757	0.09	%
Avenu Holdings, LLC	^	(6)	Sovereign & Public Finance	9/28/2018	172	172		74		0.01
Chartis Holding, LLC	^	(6)	Business Services	5/1/2019	433	433		599		0.08
CIP Revolution Holdings, LLC	^	(6)	Media: Advertising, Printing & Publishing	8/19/2016	318	318		344		0.04
Cority Software Inc. (Canada)	^	(6)	Software	7/2/2019	250	250		306		0.04
DecoPac, Inc.	^	(6)	Non-durable Consumer Goods	9/29/2017	1,500	1,500		2,800		0.35
Derm Growth Partners III, LLC (Dermatology Associates)	^	(6)	Healthcare & Pharmaceuticals	5/31/2016	1,000	1,000		0		—
GRO Sub Holdco, LLC (Grand Rapids)	^	(6)	Healthcare & Pharmaceuticals	3/29/2018	500	500		108		0.01
K2 Insurance Services, LLC	^	(6)	Banking, Finance, Insurance & Real Estate	7/3/2019	433	433		465		0.06
Legacy.com, Inc.	^	(6)	High Tech Industries	3/20/2017	1,500	1,500		615		0.08
Mailgun Technologies, Inc.	^	(6)	High Tech Industries	3/26/2019	424	424		447		0.06
North Haven Goldfinch Topco, LLC	^	(6)	Containers, Packaging & Glass	6/18/2018	2,315	2,315		2,359		0.30
Paramit Corporation	^	(6)	Capital Equipment	6/17/2019	150	500		202		0.03
PPC Flexible Packaging, LLC	^	(6)	Containers, Packaging & Glass	2/1/2019	965	965		1,112		0.14
Rough Country, LLC	^	(6)	Durable Consumer Goods	5/25/2017	755	755		1,278		0.16
SiteLock Group Holdings, LLC	^	(6)	High Tech Industries	4/5/2018	446	446		506		0.06
T2 Systems Parent Corporation	^	(6)	Transportation: Consumer	9/28/2016	556	555		706		0.09
Tailwind HMT Holdings Corp.	^	(6)	Energy: Oil & Gas	11/17/2017	20	1,334		2,173		0.27
Tank Holding Corp.	^	(6)	Capital Equipment	3/26/2019	850	850		944		0.12
Titan DI Preferred Holdings, Inc. (Drilling Info)	^	(6)	Energy: Oil & Gas	2/11/2020	10,000	9,700		9,100		1.14
Turbo Buyer, Inc. (Portfolio Holdings, Inc.)	^	(6)	Automotive	12/2/2019	1,925	1,925		1,925		0.24
Tweddle Holdings, Inc.	^	(6)	Media: Advertising, Printing & Publishing	9/17/2018	17	0		0		—

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of March 31, 2020

(dollar amounts in thousands)

(unaudited)



Investments—non-controlled/non-affiliated ⁽¹⁾		Footnotes	Industry	Acquisition Date	Shares/ Units	Cost		Fair Value ⁽⁵⁾		% of Net Assets
USLS Acquisition, Inc.	^	(6)	Business Services	11/30/2018	641	$	641	$	588	0.07	%
W50 Parent LLC	^	(6)	Business Services	1/10/2020	500	500		500		0.06
Zenith American Holding, Inc.	^	(6)	Business Services	12/13/2017	1,564	782		1,170		0.15
Zillow Topco LP	^	(6)	Software	6/25/2018	313	312		245		0.03
Equity Investments Total						$	28,990	$	29,323	3.67	%

Total investments—non-controlled/non-affiliated						$	2,007,160	$	1,826,422	228.7	%



Investments—controlled/affiliated		Footnotes	Industry	Reference Rate & Spread⁽²⁾	Interest Rate ⁽²⁾	Acquisition Date	Maturity Date	Par/ Principal Amount		Amortized Cost ⁽⁶⁾		Fair Value ⁽⁵⁾		% of Net Assets
First Lien Debt (0.63% of fair value)
SolAero Technologies Corp. (A1 Term Loan)	^	(2) (3) (8) (10)	Telecommunications	L + 8.00% (100% PIK)	9.45%	4/12/2019	44,846	$	3,166	$	3,166	$	834	0.10	%
SolAero Technologies Corp. (A2 Term Loan)	^	(2) (3) (8) (10)	Telecommunications	L + 8.00% (100% PIK)	9.45%	4/12/2019	44,846	8,707		8,707		2,293		0.29
SolAero Technologies Corp. (Priority Term Loan)	^	(2) (3) (10) (12)	Telecommunications	L + 6.00%	7.45%	4/12/2019	44,846	9,594		9,478		9,594		1.20
First Lien Debt Total										$	21,351	$	12,721	1.59	%



Investments—controlled/affiliated		Footnotes	Industry	Acquisition Date	Shares/ Units	Cost		Fair Value⁽⁵⁾		% of Net Assets
Equity Investments (0.00% of fair value)
SolAero Technologies Corp.	^	(6) (10)	Telecommunications	4/12/2019	3	$	2,815	$	—	—	%
Equity Investments Total						$	2,815	$	—	—	%

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of March 31, 2020

(dollar amounts in thousands)

(unaudited)



Investments—controlled/affiliated		Footnotes	Industry	Reference Rate & Spread (2)	Interest Rate (2)	Acquisition Date	Maturity Date	Par Amount/ LLC Interest		Cost		Fair Value ⁽⁷⁾		% of Net Assets
Investment Fund (9.15% of fair value)
Middle Market Credit Fund, Mezzanine Loan	^	(2) (7) (9) (10)	Investment Fund	L + 9.00%	10.97%	6/30/2016	3/22/2021	$	—	$	—	$	—	—	%
Middle Market Credit Fund, LLC, Subordinated Loan and Member's Interest	^	(7) (10)	Investment Fund	N/A		2/29/2016	3/1/2021	216,001		216,001		185,134		23.18
Investment Fund Total										$	216,001	$	185,134	23.18	%
Total investments—controlled/affiliated										$	240,167	$	197,855	24.78	%

Total Investments										$	2,247,327	$	2,024,277	253.50	%

^ Denotes that all or a portion of the assets are owned by TCG BDC, Inc. (together with its consolidated subsidiaries, “we,” “us,” “our,” “TCG BDC” or the “Company”). The Company has entered into a senior secured revolving credit facility (as amended, the “Credit Facility”). The lenders of the Credit Facility have a first lien security interest in substantially all of the portfolio investments held by the Company (see Note 6, Borrowings). Accordingly, such assets are not available to creditors of TCG BDC SPV LLC (the “SPV”) or Carlyle Direct Lending CLO 2015-1R LLC (formerly known as Carlyle GMS Finance MM CLO 2015-1 LLC) (the “2015-1 Issuer”).

+ Denotes that all or a portion of the assets are owned by the Company’s wholly owned subsidiary, the SPV. The SPV has entered into a senior secured revolving credit facility (as amended, the “SPV Credit Facility” and, together with the Credit Facility, the “Facilities”). The lenders of the SPV Credit Facility have a first lien security interest in substantially all of the assets of the SPV (see Note 6, Borrowings). Accordingly, such assets are not available to creditors of the Company or the 2015-1 Issuer.

* Denotes that all or a portion of the assets are owned by the Company's wholly owned subsidiary, the 2015-1 Issuer, and secure the notes issued in connection with a term debt securitization completed by the Company on June 26, 2015 (see Note 7, Notes Payable). Accordingly, such assets are not available to the creditors of the Company or the SPV.

** Par amount is denominated in USD ("$") unless otherwise noted, as denominated in Euro (“€”) or British Pound (“£”)

(1)

Unless otherwise indicated, issuers of debt and equity investments held by the Company are domiciled in the United States. Under the Investment Company Act of 1940, as amended (together with the rules and regulations promulgated thereunder, the “Investment Company Act”), the Company would be deemed to “control” a portfolio company if the Company owned more than 25% of its outstanding voting securities and/or held the power to exercise control over the management or policies of the portfolio company. As of March 31, 2020, the Company does not “control” any of these portfolio companies. Under the Investment Company Act, the Company would be deemed an “affiliated person” of a portfolio company if the Company owns 5% or more of the portfolio company’s outstanding voting securities. As of March 31, 2020, the Company is not an “affiliated person” of any of these portfolio companies. Certain portfolio company investments are subject to contractual restrictions on sales.

(2)

Variable rate loans to the portfolio companies bear interest at a rate that is determined by reference to either LIBOR (“L”) or an alternate base rate (commonly based on the Federal Funds Rate or the U.S. Prime Rate), which generally resets quarterly. For each such loan, the Company has indicated the reference rate used and provided the spread and the interest rate in effect as of March 31, 2020. As of March 31, 2020, the reference rates for our variable rate loans were the 30-day LIBOR at 0.99%, the 90-day LIBOR at 1.45% and the 180-day LIBOR at 1.18%.


(3)	Loan includes interest rate floor feature, which is generally 1.00%.


(4)	Amortized cost represents original cost, including origination fees and upfront fees received that are deemed to be an adjustment to yield, adjusted for the accretion/amortization of discounts/premiums, as applicable, on debt investments using the effective interest method.


(5)	Fair value is determined in good faith by or under the direction of the Board of Directors of the Company (see Note 2, Significant Accounting Policies, and Note 3, Fair Value Measurements), pursuant to the Company’s valuation policy. The fair value of all first lien and second lien debt investments, equity investments and the investment fund was determined using significant unobservable inputs.


(6)	Security acquired in transaction exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”), and may be deemed to be “restricted securities” under the Securities Act, unless otherwise noted. As of March 31, 2020, the aggregate fair value of these securities is $29,323, or 1.45% of the Company’s net assets .


(7)	The Company has determined the indicated investments are non-qualifying assets under Section 55(a) of the Investment Company Act. Under the Investment Company Act, the Company may not acquire any non-qualifying assets unless, at the time such acquisition is made, qualifying assets represent at least 70% of the Company’s total assets.


(8)	Loan was on non-accrual status as of March 31, 2020.


(9)	Represents a corporate mezzanine loan, which is subordinated to senior secured term loans of the portfolio company.

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of March 31, 2020

(dollar amounts in thousands)

(unaudited)

(10)

Under the Investment Company Act, the Company is deemed to be an “affiliated person” of and “control” this investment fund because the Company owns more than 25% of the investment fund’s outstanding voting securities and/or has the power to exercise control over management or policies of such investment fund. See Note 5, Middle Market Credit Fund, LLC, for more details. Transactions related to investments in controlled affiliates for the three month period ended March 31, 2020, were as follows:



Investments—controlled/affiliated	Fair Value as of December 31, 2019		Additions/Purchases		Reductions/Sales/ Paydowns			Net Realized Gain (Loss)		Net Change in Unrealized Appreciation (Depreciation)			Fair Value as of March 31, 2020		Dividend and Interest Income
Middle Market Credit Fund, LLC, Mezzanine Loan	$	93,000	$	63,500	$	(156,500	)	$	—	$	—		$	—	$	3,049
Middle Market Credit Fund, LLC, Subordinated Loan and Member’s Interest	111,596		92,500		—			—		(18,962		)	185,134		3,500
Total investments—controlled/affiliated	$	204,596	$	156,000	$	(156,500	)	$	—	$	(18,962	)	$	185,134	$	6,549



Investments—controlled/affiliated	Fair Value as of December 31, 2019		Additions/Purchases		Reductions/Sales/ Paydowns			Net Realized Gain (Loss)		Net Change in Unrealized Appreciation (Depreciation)			Fair Value as of March 31, 2020		Dividend and Interest Income
SolAero Technologies Corp. (Priority Term Loan)	$	9,612	$	—	$	(18	)	$	—	$	—		$	9,594	$	202
SolAero Technologies Corp. (A1 Term Loan)	3,166		—		—			—		(2,332		)	834		—
SolAero Technologies Corp. (A2 Term Loan)	8,707		—		—			—		(6,414		)	2,293		—
Solaero Technology Corp. (Equity)	826		—		—			—		(826		)	—		—
Total investments—controlled/affiliated	$	22,311	$	—	$	(18	)	$	—	$	(9,572	)	$	12,721	$	202

(11)

In addition to the interest earned based on the stated interest rate of this loan, which is the amount reflected in this schedule, the Company is entitled to receive additional interest as a result of an agreement among lenders as follows: Barnes & Noble, Inc. (1.83%), Dimensional Dental Management, LLC (4.87%), Legacy.com Inc. (3.93%), and Surgical Information Systems, LLC (1.13%). Pursuant to the agreement among lenders in respect of this loan, this investment represents a first lien/last out loan, which has a secondary priority behind the first lien/first out loan with respect to principal, interest and other payments.


(12)	As of March 31, 2020, the Company had the following unfunded commitments to fund delayed draw and revolving senior secured loans:



Investments—non-controlled/non-affiliated	Type	Unused Fee	Par/ Principal Amount		Fair Value
First and Second Lien Debt—unfunded delayed draw and revolving term loans commitments
Airnov, Inc.	Revolver	0.50%	$	1,250	$	(37	)
American Physician Partners, LLC	Revolver	0.50	550		(17		)
AMS Group HoldCo, LLC	Revolver	0.50	475		(9		)
Analogic Corporation	Revolver	0.50	154		(8		)
Apptio, Inc.	Revolver	0.50	2,367		(129		)
BMS Holdings III Corp.	Delayed Draw	2.63	3,333		(154		)
Chartis Holdings, LLC	Delayed Draw	0.50	6,402		(193		)
Chemical Computing Group ULC (Canada)	Revolver	0.50	903		(28		)

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of March 31, 2020

(dollar amounts in thousands)

(unaudited)



Investments—non-controlled/non-affiliated	Type	Unused Fee	Par/ Principal Amount		Fair Value
Cobblestone Intermediate Holdco LLC	Delayed Draw	1.00%	$	271	$	(4	)
Comar Holding Company, LLC	Revolver	0.50	2,201		(42		)
Cority Software Inc. (Canada)	Revolver	0.50	3,000		(60		)
DermaRite Industries, LLC	Revolver	0.50	393		(36		)
Ethos Veterinary Health LLC	Delayed Draw	1.00	2,696		(110		)
EvolveIP, LLC	Delayed Draw	1.00	3,922		(93		)
EvolveIP, LLC	Revolver	0.50	2,353		(56		)
FWR Holding Corporation	Revolver	0.50	1,444		(116		)
iCIMS, Inc.	Revolver	0.50	1,252		(58		)
Individual FoodService Holdings, LLC	Delayed Draw	1.00	745		(24		)
Individual FoodService Holdings, LLC	Revolver	0.50	400		(13		)
Integrity Marketing Acquisition, LLC	Delayed Draw	1.00	4,289		(242		)
K2 Insurance Services, LLC	Delayed Draw	1.00	5,344		(113		)
K2 Insurance Services, LLC	Revolver	0.50	1,145		(24		)
Kaseya Inc.	Delayed Draw	0.75	2,800		(149		)
Kaseya Inc.	Revolver	0.50	15		(1		)
Lifelong Learner Holdings, LLC	Delayed Draw	—	2,878		(191		)
Lifelong Learner Holdings, LLC	Revolver	0.50	422		(28		)
Liqui-Box Holdings, Inc.	Revolver	0.50	351		(18		)
Mailgun Technologies, Inc.	Revolver	0.50	1,342		(47		)
National Carwash Solutions, Inc.	Delayed Draw	1.00	1,111		(28		)
National Carwash Solutions, Inc.	Revolver	0.50	5		—
National Technical Systems, Inc.	Revolver	0.50	19		—
Northland Telecommunications Corporation	Revolver	0.50	2,199		(78		)
PF Growth Partners, LLC	Delayed Draw	1.00	823		(49		)
PPC Flexible Packaging, LLC	Revolver	0.50	489		(12		)
PricewaterhouseCoopers Public Sector LLP	Revolver	0.50	4,250		(181		)
QW Holding Corporation (Quala)	Delayed Draw	1.00	600		(14		)
RSC Acquisition, Inc.	Delayed Draw	1.00	6,593		(338		)
RSC Acquisition, Inc.	Revolver	0.50	608		(31		)
Sapphire Convention, Inc. (Smart City)	Revolver	0.50	2,264		(79		)
Smile Doctors, LLC	Delayed Draw	1.00	813		(30		)
Smile Doctors, LLC	Revolver	0.50	1		—
SolAero Technologies Corp. (Priority Term Loan)	Revolver	0.50	1,526		—
SPay, Inc.	Revolver	0.50	682		(159		)
Superior Health Linens, LLC	Revolver	0.50	693		(30		)
T2 Systems, Inc.	Revolver	0.50	2,346		(21		)
Tank Holding Corp.	Revolver	0.50	2		—

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of March 31, 2020

(dollar amounts in thousands)

(unaudited)



Investments—non-controlled/non-affiliated	Type	Unused Fee	Par/ Principal Amount		Fair Value
TCFI Aevex LLC	Delayed Draw	1.00%	$	1,722	$	(34	)
TSB Purchaser, Inc. (Teaching Strategies, LLC)	Revolver	0.50	1,342		(34		)
Turbo Buyer, Inc. (Portfolio Holdings, Inc.)	Delayed Draw	1.00	4,904		(123		)
USLS Acquisition, Inc.	Revolver	0.50	76		(3		)
VRC Companies, LLC	Delayed Draw	0.75	612		(13		)
Westfall Technik, Inc.	Delayed Draw	1.00	12,190		(848		)
Zemax Software Holdings, LLC	Revolver	0.50	642		(15		)
Zenith American Holding, Inc.	Delayed Draw	1.00	3,189		(83		)
Zenith American Holding, Inc.	Revolver	0.50	1,590		(41		)
Total unfunded commitments			$	103,988	$	(4,244	)

As of March 31, 2020, investments at fair value consisted of the following:



Type	Amortized Cost		Fair Value		% of Fair Value
First Lien Debt (excluding First Lien/Last Out)	$	1,597,780	$	1,478,357	73.02	%
First Lien/Last Out Unitranche	93,178		56,408		2.79
Second Lien Debt	308,563		275,055		13.59
Equity Investments	31,805		29,323		1.45
Investment Fund	216,001		185,134		9.15
Total	$	2,247,327	$	2,024,277	100.00	%

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of March 31, 2020

(dollar amounts in thousands)

(unaudited)

The rate type of debt investments at fair value as of March 31, 2020 was as follows:



Rate Type	Amortized Cost		Fair Value		% of Fair Value of First and Second Lien Debt
Floating Rate	$	1,984,726	$	1,795,780	99.22	%
Fixed Rate	14,795		14,040		0.78
Total	$	1,999,521	$	1,809,820	100.00	%

The industry composition of investments at fair value as of March 31, 2020 was as follows:



Industry	Amortized Cost		Fair Value		% of Fair Value
Aerospace & Defense	$	147,012	$	123,170	6.08	%
Automotive	40,713		40,553		2.00
Banking, Finance, Insurance & Real Estate	121,706		117,928		5.83
Beverage, Food & Tobacco	104,517		97,745		4.83
Business Services	182,139		177,206		8.75
Capital Equipment	46,795		43,918		2.17
Chemicals, Plastics & Rubber	27,824		25,520		1.26
Construction & Building	13,659		13,302		0.66
Consumer Services	29,197		18,867		0.93
Containers, Packaging & Glass	67,994		66,915		3.31
Durable Consumer Goods	10,898		11,150		0.55
Energy: Electricity	19,347		14,066		0.69
Energy: Oil & Gas	38,878		37,833		1.87
Environmental Industries	42,969		42,423		2.10
Healthcare & Pharmaceuticals	209,179		138,427		6.84
High Tech Industries	221,288		212,912		10.52
Hotel, Gaming & Leisure	96,954		84,664		4.18
Investment Fund	216,001		185,134		9.15
Media: Advertising, Printing & Publishing	36,777		36,468		1.80
Media: Broadcasting & Subscription	46,601		45,510		2.25
Non-durable Consumer Goods	1,500		2,800		0.14
Retail	24,002		22,090		1.09
Software	230,281		223,406		11.03
Sovereign & Public Finance	38,232		35,367		1.75
Telecommunications	122,050		104,135		5.14
Transportation: Cargo	40,437		40,062		1.98
Transportation: Consumer	35,373		35,632		1.76
Wholesale	35,004		27,074		1.34
Total	$	2,247,327	$	2,024,277	100.00	%

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of March 31, 2020

(dollar amounts in thousands)

(unaudited)

The geographical composition of investments at fair value as of March 31, 2020 was as follows:



Geography	Amortized Cost		Fair Value		% of Fair Value
Canada	$	46,112	$	45,734	2.26	%
Cyprus	4,778		4,571		0.23
Jamaica	210		134		0.01
Luxembourg	36,589		35,104		1.73
United Kingdom	93,326		87,272		4.31
United States	2,066,312		1,851,462		91.46
Total	$	2,247,327	$	2,024,277	100.00	%

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

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS

As of December 31, 2019

(dollar amounts in thousands)



Investments—non-controlled/non-affiliated ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Acquisition Date	Maturity Date	Par/ Principal Amount **		Amortized Cost ⁽⁴⁾		Fair Value⁽⁵⁾		% of Net Assets
First Lien Debt (77.29%)
Aero Operating, LLC (Dejana Industries, Inc.)	^+*	(2) (3) (13)	Business Services	L + 7.25%	9.16%	1/5/2018	12/29/2022	$	3,517	$	3,491	$	3,449	0.36	%
Airnov, Inc.	^	(2) (3) (13)	Containers, Packaging & Glass	L + 5.25%	7.16%	12/20/2019	12/19/2025	12,813		12,602		12,601		1.32
Alpha Packaging Holdings, Inc.	+*	(2) (3)	Containers, Packaging & Glass	L + 4.25%	6.35%	6/26/2015	5/12/2020	2,836		2,836		2,822		0.30
Alpine SG, LLC	^*	(2) (3)	High Tech Industries	L + 6.50%	8.43%	2/2/2018	11/16/2022	15,301		15,187		15,244		1.59
American Physician Partners, LLC	^+*	(2) (3) (13)	Healthcare & Pharmaceuticals	L + 6.50%	8.58%	1/7/2019	12/21/2021	38,235		37,868		38,110		3.98
AMS Group HoldCo, LLC	^+*	(2) (3) (13)	Transportation: Cargo	L + 6.00%	8.07%	9/29/2017	9/29/2023	30,808		30,361		30,457		3.18
Analogic Corporation	^+*	(2) (3) (13)	Healthcare & Pharmaceuticals	L + 6.00%	7.70%	6/22/2018	6/22/2024	34,784		34,190		34,784		3.64
Anchor Hocking, LLC	^	(2) (3)	Durable Consumer Goods	L + 8.75%	10.66%	1/25/2019	1/25/2024	10,707		10,410		10,359		1.08
Apptio, Inc.	^	(2) (3) (13)	Software	L + 7.25%	8.96%	1/10/2019	1/10/2025	35,541		34,874		35,237		3.68
Aurora Lux FinCo S.Á.R.L. (Luxembourg)	^	(2) (3) (7)	Software	L + 6.00%	7.93%	12/24/2019	12/24/2026	37,500		36,563		36,563		3.82
Avenu Holdings, LLC	+*	(2) (3)	Sovereign & Public Finance	L + 5.25%	7.35%	9/28/2018	9/28/2024	38,665		38,125		37,227		3.89
Barnes & Noble, Inc.	^	(2) (3) (11)	Retail	L + 5.50%	9.07%	8/7/2019	8/7/2024	17,637		17,225		17,196		1.80
BMS Holdings III Corp.	^*	(2) (3) (13)	Construction & Building	L + 5.25%	7.35%	9/30/2019	9/30/2026	11,638		11,274		11,591		1.21
Brooks Equipment Company, LLC	+*	(2) (3)	Construction & Building	L + 5.00%	6.91%	6/26/2015	8/29/2020	2,443		2,439		2,441		0.26
Capstone Logistics Acquisition, Inc.	+*	(2) (3)	Transportation: Cargo	L + 4.50%	6.20%	6/26/2015	10/7/2021	3,976		3,962		3,894		0.41
Captive Resources Midco, LLC	^*	(2) (3) (13)	Banking, Finance, Insurance & Real Estate	L + 6.00%	8.18%	6/30/2015	5/31/2025	30,301		29,814		30,158		3.15
Central Security Group, Inc.	+*	(2) (3)	Consumer Services	L + 5.63%	7.33%	6/26/2015	10/6/2021	22,634		22,531		19,466		2.04
Chartis Holding, LLC	^	(2) (3) (13)	Business Services	L + 5.25%	7.28%	5/1/2019	5/1/2025	15,926		15,538		15,723		1.64
Chemical Computing Group ULC (Canada)	^*	(2) (3) (7) (13)	Software	L + 5.25%	6.95%	8/30/2018	8/30/2023	14,674		14,567		14,539		1.52
CircusTrix Holdings, LLC	^+*	(2) (3)	Hotel, Gaming & Leisure	L + 5.50%	7.20%	2/2/2018	12/6/2021	9,397		9,342		9,242		0.97
Comar Holding Company, LLC	^+*	(2) (3) (13)	Containers, Packaging & Glass	L + 5.25%	6.96%	6/18/2018	6/18/2024	27,783		27,254		27,101		2.83
Cority Software Inc. (Canada)	^	(2) (3) (7) (13)	Software	L + 5.50%	7.57%	7/2/2019	7/2/2026	27,000		26,435		26,400		2.76
Dent Wizard International Corporation	+	(2) (3)	Automotive	L + 4.00%	5.70%	4/28/2015	4/7/2022	877		877		873		0.09
Derm Growth Partners III, LLC (Dermatology Associates)	^	(2) (3) (9)	Healthcare & Pharmaceuticals	L + 6.25% (100% PIK)	8.16%	5/31/2016	5/31/2022	56,310		56,026		39,716		4.15
DermaRite Industries, LLC	^*	(2) (3) (13)	Healthcare & Pharmaceuticals	L + 7.00%	8.70%	3/3/2017	3/3/2022	22,647		22,481		21,690		2.27
Digicel Limited (Jamaica)	^	(7)	Telecommunications	6.00%	6.00%	7/23/2019	4/15/2021	250		202		195		0.02
Dimensional Dental Management, LLC	^	(2) (3) (11) (13)	Healthcare & Pharmaceuticals	L + 5.75%	10.00%	2/12/2016	2/12/2021	1,224		1,199		1,224		0.13

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2019

(dollar amounts in thousands)



Investments—non-controlled/non-affiliated ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Acquisition Date	Maturity Date	Par/ Principal Amount **		Amortized Cost ⁽⁴⁾			Fair Value⁽⁵⁾			% of Net Assets
Dimensional Dental Management, LLC	^	(2) (3) (9) (11)	Healthcare & Pharmaceuticals	L + 5.75%	8.66%	2/12/2016	7/22/2020	$	33,674	$	33,301		$	—		—	%
Direct Travel, Inc.	^+*	(2) (3)	Hotel, Gaming & Leisure	L + 6.50%	8.41%	10/14/2016	12/1/2021	36,805		36,515			36,757			3.84
DTI Holdco, Inc.	*	(2) (3)	High Tech Industries	L + 4.75%	6.68%	12/18/2018	9/30/2023	1,974		1,871			1,841			0.19
Emergency Communications Network, LLC	^+*	(2) (3)	Telecommunications	L + 6.25%	8.14%	6/1/2017	6/1/2023	24,375		24,233			22,323			2.33
Ensono, LP	*	(2) (3)	Telecommunications	L + 5.25%	6.95%	4/30/2018	6/27/2025	8,537		8,452			8,537			0.89
Ethos Veterinary Health LLC	^+	(2) (3) (13)	Consumer Services	L + 4.75%	6.45%	5/17/2019	5/15/2026	10,869		10,744			10,807			1.13
EvolveIP, LLC	^+*	(2) (3)	Telecommunications	L + 5.75%	7.45%	11/26/2019	6/7/2023	34,420		33,923			34,420			3.60
Frontline Technologies Holdings, LLC	^*	(2) (3)	Software	L + 5.75%	7.85%	9/18/2017	9/18/2023	48,242		47,949			48,705			5.09
FWR Holding Corporation	^+*	(2) (3) (13)	Beverage, Food & Tobacco	L + 5.50%	7.29%	8/21/2017	8/21/2023	48,630		47,950			48,393			5.06
Green Energy Partners/Stonewall, LLC	+*	(2) (3)	Energy: Electricity	L + 5.50%	7.60%	6/26/2015	11/10/2021	19,550		19,374			18,034			1.89
GRO Sub Holdco, LLC (Grand Rapids)	^+*	(2) (3) (13)	Healthcare & Pharmaceuticals	L + 6.00%	8.10%	2/28/2018	2/22/2023	6,465		6,380			6,085			0.64
Hummel Station, LLC	+*	(2) (3)	Energy: Electricity	L + 6.00%	7.70%	2/3/2016	10/27/2022	14,641		14,169			12,896			1.35
Hydrofarm, LLC	^	(2) (3)	Wholesale	L+10.00% (30% Cash / 70% PIK)	11.91%	5/15/2017	5/12/2022	21,556		21,254			13,647			1.43
iCIMS, Inc.	^	(2) (3) (13)	Software	L + 6.50%	8.29%	9/12/2018	9/12/2024	23,930		23,507			23,927			2.50
Innovative Business Services, LLC	^*	(2) (3) (13)	High Tech Industries	L + 5.50%	7.53%	4/5/2018	4/5/2023	16,143		15,782			15,880			1.66
K2 Insurance Services, LLC	^+*	(2) (3) (13)	Banking, Finance, Insurance & Real Estate	L + 5.00%	7.19%	7/3/2019	7/1/2024	22,027		21,487			22,062			2.31
Kaseya Inc.	^	(2) (3) (13)	High Tech Industries	L + 5.50%, 1.00% PIK	8.41%	5/3/2019	5/2/2025	19,545		19,145			19,590			2.05
Legacy.com, Inc.	^	(2) (3) (11)	High Tech Industries	L + 9.98%	11.77%	3/20/2017	3/20/2023	17,080		16,832			16,325			1.71
Lifelong Learner Holdings, LLC	^*	(2) (3) (13)	Business Services	L + 5.75%	7.51%	10/18/2019	10/18/2026	23,523		22,971			23,240			2.43
Liqui-Box Holdings, Inc.	^	(2) (3) (13)	Containers, Packaging & Glass	L + 4.50%	6.41%	6/3/2019	6/3/2024	—		(26		)	(37		)	—
Mailgun Technologies, Inc.	^	(2) (3) (13)	High Tech Industries	L + 5.00%	7.10%	3/26/2019	3/26/2025	11,853		11,607			11,655			1.22
National Carwash Solutions, Inc.	^+	(2) (3) (13)	Automotive	L + 6.00%	7.69%	8/7/2018	4/28/2023	9,511		9,342			9,428			0.99
National Technical Systems, Inc.	^+*	(2) (3) (13)	Aerospace & Defense	L + 6.25%	7.94%	6/26/2015	6/12/2021	27,950		27,801			27,920			2.92
NES Global Talent Finance US, LLC (United Kingdom)	+*	(2) (3) (7)	Energy: Oil & Gas	L + 5.50%	7.43%	5/9/2018	5/11/2023	9,890		9,762			9,763			1.02
Nexus Technologies, LLC	*	(2) (3)	High Tech Industries	L + 5.50%, 1.50% PIK	8.91%	12/11/2018	12/5/2023	6,172		6,119			5,621			0.59
NMI AcquisitionCo, Inc.	^+*	(2) (3) (13)	High Tech Industries	L + 5.75%	7.45%	9/6/2017	9/6/2022	50,067		49,471			49,888			5.22

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2019

(dollar amounts in thousands)



Investments—non-controlled/non-affiliated ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Acquisition Date	Maturity Date	Par/ Principal Amount **		Amortized Cost ⁽⁴⁾			Fair Value⁽⁵⁾			% of Net Assets
Northland Telecommunications Corporation	^*	(2) (3) (13)	Media: Broadcast & Subscription	L + 5.75%	7.46%	10/1/2018	10/1/2025	$	46,603	$	45,916		$	46,529		4.86	%
Paramit Corporation	+*	(2) (3)	Capital Equipment	L + 4.50%	6.22%	5/3/2019	5/3/2025	6,298		6,241			6,268			0.66
PF Growth Partners, LLC	^+*	(2) (3) (13)	Hotel, Gaming & Leisure	L + 5.00%	6.70%	7/1/2019	7/11/2025	7,161		7,045			7,135			0.75
Plano Molding Company, LLC	^	(2) (3)	Hotel, Gaming & Leisure	L + 7.50%	9.20%	5/1/2015	5/12/2021	14,752		14,645			14,085			1.47
PPC Flexible Packaging, LLC	+*	(2) (3) (13)	Containers, Packaging & Glass	L + 5.50%	7.19%	11/23/2018	11/23/2024	13,591		13,404			13,464			1.41
PPT Management Holdings, LLC	^	(2) (3)	Healthcare & Pharmaceuticals	L + 6.00%, 0.75% PIK	8.66%	12/15/2016	12/16/2022	27,744		27,627			23,155			2.42
Pretium Packaging, LLC	^	(2) (3)	Containers, Packaging & Glass	L + 5.00%	6.91%	8/15/2019	11/14/2023	7,700		7,631			7,700			0.81
PricewaterhouseCoopers Public Sector LLP	^	(2) (3) (13)	Aerospace & Defense	L + 3.25%	5.16%	5/1/2018	5/1/2023	—		(105		)	(46		)	—
Product Quest Manufacturing, LLC	^	(2) (3) (9)	Containers, Packaging & Glass	L + 6.75%	5.75%	9/21/2017	3/31/2020	840		840			840			0.09
Propel Insurance Agency, LLC	^	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 4.25%	6.35%	6/1/2018	6/1/2024	2,363		2,347			2,353			0.25
QW Holding Corporation (Quala)	^+*	(2) (3) (13)	Environmental Industries	L + 5.75%	7.73%	8/31/2016	8/31/2022	43,358		42,802			43,106			4.51
Redwood Services Group, LLC	^	(2) (3)	High Tech Industries	L + 6.00%	7.91%	11/13/2018	6/6/2023	8,427		8,363			8,342			0.87
Riveron Acquisition Holdings, Inc.	^+*	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 6.00%	7.91%	5/22/2019	5/22/2025	19,968		19,605			19,587			2.05
RSC Acquisition, Inc.	^	(2) (3) (13)	Banking, Finance, Insurance & Real Estate	L + 5.50%	7.41%	11/1/2019	11/1/2026	11,594		11,222			11,449			1.20
Sapphire Convention, Inc. (Smart City)	*+^	(2) (3) (13)	Telecommunications	L + 5.25%	7.27%	11/20/2018	11/20/2025	28,577		28,009			28,329			2.96
Smile Doctors, LLC	^*+	(2) (3) (13)	Healthcare & Pharmaceuticals	L + 6.00%	8.07%	10/6/2017	10/6/2022	22,227		22,136			21,996			2.30
Sovos Brands Intermediate, Inc.	+*	(2) (3)	Beverage, Food & Tobacco	L + 5.00%	7.20%	11/16/2018	11/20/2025	19,899		19,714			19,750			2.06
SPay, Inc.	^+*	(2) (3) (13)	Hotel, Gaming & Leisure	L + 5.75%	7.46%	6/15/2018	6/17/2024	20,512		20,179			18,694			1.95
Superior Health Linens, LLC	^+*	(2) (3) (13)	Business Services	L + 7.50%, 0.50% PIK	9.91%	9/30/2016	9/30/2021	21,805		21,666			19,933			2.08
Surgical Information Systems, LLC	^+*	(2) (3) (11)	High Tech Industries	L + 4.50%	7.47%	4/24/2017	4/24/2023	26,168		26,007			25,715			2.69
T2 Systems, Inc.	^+*	(2) (3) (13)	Transportation: Consumer	L + 6.75%	8.85%	9/28/2016	9/28/2022	35,648		35,159			35,648			3.73
Tank Holding Corp.	^	(2) (3) (13)	Capital Equipment	L + 4.00%	5.76%	3/26/2019	3/26/2024	—		—			—			—
The Leaders Romans Bidco Limited (United Kingdom)	^	(2) (3) (7) (13)	Banking, Finance, Insurance & Real Estate	L + 6.75%, 3.50% PIK	11.01%	7/23/2019	6/30/2024	£	19,577	24,865			26,531			2.77
Transform SR Holdings, LLC	^	(2) (3)	Retail	L + 7.25%	9.18%	2/11/2019	2/12/2024	19,050		18,887			18,860			1.97
Trump Card, LLC	^+*	(2) (3) (13)	Transportation: Cargo	L + 5.50%	7.63%	6/26/2018	4/21/2022	7,918		7,881			7,869			0.82
TSB Purchaser, Inc. (Teaching Strategies, LLC)	^+*	(2) (3) (13)	Media: Advertising, Printing & Publishing	L + 6.00%	8.10%	5/14/2018	5/14/2024	28,294		27,726			28,105			2.94

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2019

(dollar amounts in thousands)



Investments—non-controlled/non-affiliated ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Acquisition Date	Maturity Date	Par/ Principal Amount **		Amortized Cost ⁽⁴⁾		Fair Value⁽⁵⁾		% of Net Assets
Turbo Buyer, Inc.	^	(2) (3) (13)	Automotive	L + 6.00%	7.69%	12/2/2019	12/2/2025	$	27,897	$	27,033	$	27,439	2.87	%
Tweddle Group, Inc.	^	(2) (3)	Media: Advertising, Printing & Publishing	L + 4.50%	6.20%	9/17/2018	9/17/2023	1,908		1,885		1,859		0.19
U.S. Acute Care Solutions, LLC	+*	(2) (3)	Healthcare & Pharmaceuticals	L + 5.00%	6.91%	2/21/2019	5/15/2021	4,265		4,230		4,053		0.42
Unifrutti Financing PLC (Cyprus)	^	(2) (3) (7)	Beverage, Food & Tobacco	7.50%, 1.00% PIK	8.50%	9/15/2019	9/15/2026	€	4,530	4,746		4,836		0.51
USLS Acquisition, Inc.	^*	(2) (3) (13)	Business Services	L + 5.75%	7.85%	11/30/2018	11/30/2024	22,139		21,741		21,674		2.27
VRC Companies, LLC	^+*	(2) (3) (13)	Business Services	L + 6.50%	8.21%	3/31/2017	3/31/2023	57,164		56,674		57,106		5.97
Westfall Technik, Inc.	^	(2) (3) (13)	Chemicals, Plastics & Rubber	L + 5.75%	7.66%	9/13/2018	9/13/2024	27,973		27,432		26,962		2.82
WP CPP Holdings, LLC (CPP)	^	(2) (3)	Aerospace & Defense	L + 3.75%	5.66%	7/18/2019	4/30/2025	20,000		19,817		19,826		2.07
Zemax Software Holdings, LLC	^*	(2) (3) (13)	Software	L + 5.75%	7.85%	6/25/2018	6/25/2024	10,146		10,013		10,087		1.05
Zenith Merger Sub, Inc.	^	(2) (3) (13)	Business Services	L + 5.25%	7.35%	12/13/2017	12/13/2023	16,530		16,321		16,405		1.72
First Lien Debt Total								$	1,725,479	$	1,707,292	$	1,641,653	171.66	%
Second Lien Debt (11.04%)
Access CIG, LLC	*	(2) (3)	Business Services	L + 7.75%	9.44%	2/14/2018	2/27/2026	$	2,700	$	2,687	$	2,681	0.28	%
Aimbridge Acquisition Co., Inc.	^*	(2) (3)	Hotel, Gaming & Leisure	L + 7.50%	9.19%	2/1/2019	2/1/2027	9,241		9,089		9,160		0.96
AQA Acquisition Holding, Inc.	^	(2) (3)	High Tech Industries	L + 8.00%	10.09%	10/1/2018	5/24/2024	40,000		39,670		39,740		4.15
Brave Parent Holdings, Inc.	^*	(2) (3)	Software	L + 7.50%	9.43%	10/3/2018	4/19/2026	19,062		18,660		18,261		1.91
Higginbotham Insurance Agency, Inc.	^	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 7.50%	9.20%	12/3/2019	12/19/2025	2,500		2,475		2,493		0.26
Jazz Acquisition, Inc.	^	(2) (3)	Aerospace & Defense	L + 8.00%	10.10%	6/13/2019	6/18/2027	23,450		23,117		23,225		2.43
Le Tote, Inc.	^	(2) (3)	Retail	L + 6.75%	8.66%	11/8/2019	11/8/2024	7,143		6,969		6,964		0.73
Outcomes Group Holdings, Inc.	^*	(2) (3)	Business Services	L + 7.50%	9.41%	10/23/2018	10/26/2026	4,500		4,490		4,487		0.47
Pathway Vet Alliance, LLC	^	(2) (3) (13)	Consumer Services	L + 8.50%	10.22%	11/14/2019	12/23/2025	8,050		7,814		8,074		0.84
Pharmalogic Holdings Corp.	^	(2) (3)	Healthcare & Pharmaceuticals	L + 8.00%	9.70%	6/7/2018	12/11/2023	800		797		796		0.08
Quartz Holding Company (QuickBase, Inc.)	^	(2) (3)	Software	L + 8.00%	9.71%	4/2/2019	4/2/2027	11,900		11,677		11,662		1.22
Reladyne, Inc.	^+*	(2) (3) (13)	Wholesale	L + 9.50%	11.60%	4/19/2018	1/21/2023	12,242		12,080		12,234		1.28
Tank Holding Corp.	^*	(2) (3)	Capital Equipment	L + 8.25%	11.04%	3/26/2019	3/26/2027	37,380		36,771		37,223		3.89
Ultimate Baked Goods MIDCO, LLC (Rise Baking)	^	(2) (3)	Beverage, Food & Tobacco	L + 8.00%	9.70%	8/9/2018	8/9/2026	8,333		8,187		8,243		0.86
Watchfire Enterprises, Inc.	^	(2) (3)	Media: Advertising, Printing & Publishing	L + 8.00%	9.95%	10/2/2013	10/2/2021	7,000		6,966		6,998		0.73
WP CPP Holdings, LLC (CPP)	^*	(2) (3)	Aerospace & Defense	L + 7.75%	9.68%	7/18/2019	4/30/2026	39,500		39,125		38,833		4.06
Zywave, Inc.	^	(2) (3)	High Tech Industries	L + 9.00%	10.94%	11/18/2016	11/17/2023	3,468		3,432		3,458		0.36
Second Lien Debt Total								$	237,269	$	234,006	$	234,532	24.51	%

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2019

(dollar amounts in thousands)



Investments—non-controlled/non-affiliated⁽¹⁾		Footnotes	Industry	Acquisition Date	Shares/ Units	Cost		Fair Value ⁽⁵⁾		% of Net Assets
Equity Investments (0.98%)
ANLG Holdings, LLC	^	(6)	Healthcare & Pharmaceuticals	6/22/2018	880	$	880	$	973	0.10	%
Avenu Holdings, LLC	^	(6)	Sovereign & Public Finance	9/28/2018	172	172		154		0.02
Chartis Holding, LLC	^	(6)	Business Services	5/1/2019	433	433		589		0.06
CIP Revolution Holdings, LLC	^	(6)	Media: Advertising, Printing & Publishing	8/19/2016	318	318		444		0.05
Cority Software Inc. (Canada)	^	(6)	Software	7/2/2019	250	250		306		0.03
DecoPac, Inc.	^	(6)	Non-durable Consumer Goods	9/29/2017	1,500	1,500		1,999		0.21
Derm Growth Partners III, LLC (Dermatology Associates)	^	(6)	Healthcare & Pharmaceuticals	5/31/2016	1,000	1,000		—		—
GRO Sub Holdco, LLC (Grand Rapids)	^	(6)	Healthcare & Pharmaceuticals	3/29/2018	500	500		137		0.01
K2 Insurance Services, LLC	^	(6)	Banking, Finance, Insurance & Real Estate	7/3/2019	433	433		486		0.05
Legacy.com, Inc.	^	(6)	High Tech Industries	3/20/2017	1,500	1,500		783		0.08
Mailgun Technologies, Inc.	^	(6)	High Tech Industries	3/26/2019	424	424		605		0.06
North Haven Goldfinch Topco, LLC	^	(6)	Containers, Packaging & Glass	6/18/2018	2,315	2,315		2,542		0.27
Paramit Corporation	^	(6)	Capital Equipment	6/17/2019	150	500		501		0.05
PPC Flexible Packaging, LLC	^	(6)	Containers, Packaging & Glass	2/1/2019	965	965		1,174		0.12
Rough Country, LLC	^	(6)	Durable Consumer Goods	5/25/2017	755	755		1,225		0.13
SiteLock Group Holdings, LLC	^	(6)	High Tech Industries	4/5/2018	446	446		587		0.06
T2 Systems Parent Corporation	^	(6)	Transportation: Consumer	9/28/2016	556	556		628		0.07
Tailwind HMT Holdings Corp.	^	(6)	Energy: Oil & Gas	11/17/2017	20	2,000		2,211		0.23
Tank Holding Corp.	^	(6)	Capital Equipment	3/26/2019	850	850		1,035		0.11
Turbo Buyer, Inc.	^	(6)	Automotive	12/2/2019	1,925	1,925		1,925		0.20
Tweddle Holdings, Inc.	^*	(6)	Media: Advertising, Printing & Publishing	9/17/2018	17	—		—		—
USLS Acquisition, Inc.	^	(6)	Business Services	11/30/2018	641	641		720		0.08
Zenith American Holding, Inc.	^	(6)	Business Services	12/13/2017	1,564	782		1,490		0.16
Zillow Topco LP	^	(6)	Software	6/25/2018	313	312		358		0.04
Equity Investments Total						$	19,457	$	20,872	2.19	%
Total investments—non-controlled/non-affiliated						$	1,960,755	$	1,897,057	198.36	%

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2019

(dollar amounts in thousands)



Investments—controlled/affiliated		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Acquisition Date	Maturity Date	Par/ Principal Amount **		Amortized Cost ⁽⁴⁾		Fair Value ⁽⁵⁾		% of Net Assets
First Lien Debt (1.01%)
SolAero Technologies Corp. (A1 Term Loan)	^	(2) (3) (9) (10)	Telecommunications	L + 8.00% (100% PIK)	9.91%	4/12/2019	10/12/2022	$	3,166	$	3,166	$	3,166	0.33	%
SolAero Technologies Corp. (A2 Term Loan)	^	(2) (3) (9) (10)	Telecommunications	L + 8.00% (100% PIK)	9.91%	4/12/2019	10/12/2022	8,707		8,707		8,707		0.91
SolAero Technologies Corp. (Priority Term Loan)	^	(2) (3) (10) (13)	Telecommunications	L + 6.00%	7.91%	4/12/2019	10/12/2022	9,612		9,507		9,612		1.00
First Lien Debt Total								$	21,485	$	21,380	$	21,485	2.24	%



Investments—controlled/affiliated		Footnotes	Industry	Acquisition Date	Shares/ Units	Cost		Fair Value ⁽⁵⁾		% of Net Assets
Equity Investments (—%)
SolAero Technologies Corp.	^	(6) (10)	Telecommunications	4/12/2019	3	$	2,815	$	826	0.09	%
Equity Investments Total						$	2,815	$	826	0.41	%



Investments—controlled/affiliated			Industry	Reference Rate & Spread⁽²⁾	Interest Rate⁽²⁾	Acquisition Date	Maturity Date	Par Amount/ LLC Interest		Cost		Fair Value⁽⁷⁾		% of Net Assets
Investments—controlled/affiliated			Industry	Reference Rate & Spread⁽²⁾	Interest Rate⁽²⁾	Acquisition Date	Maturity Date	Par Amount/ LLC Interest		Cost		Fair Value⁽⁷⁾		% of Net Assets
Investment Fund (9.63%)
Middle Market Credit Fund, Mezzanine Loan	^	(2) (7) (8) (10)	Investment Fund	L + 9.00%	10.97%	6/30/2016	5/18/2021	$	93,000	$	93,000	$	93,000	9.72	%
Middle Market Credit Fund, LLC, Subordinated Loan and Member's Interest	^	(7) (10)	Investment Fund	N/A	0.001%	2/29/2016	3/1/2021	123,500		123,501		111,596		11.67	%
Investment Fund Total								$	216,500	$	216,501	$	204,596	21.39	%
Total investments—controlled/affiliated								$	237,988	$	240,696	$	226,907	24.04	%
Total investments								$	2,201,002	$	2,201,451	$	2,123,964	222.4	%

** Par amount is denominated in USD ("$") unless otherwise noted, as denominated in Euro (“€”) or British Pound (“£”)

(1)

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2019

(dollar amounts in thousands)

Under the Investment Company Act, the Company would be deemed an “affiliated person” of a portfolio company if the Company owns 5% or more of the portfolio company’s outstanding voting securities. As of December 31, 2019, the Company is not an “affiliated person” of any of these portfolio companies. Certain portfolio company investments are subject to contractual restrictions on sales.

(2)

Variable rate loans to the portfolio companies bear interest at a rate that is determined by reference to either LIBOR (“L”) or an alternate base rate (commonly based on the Federal Funds Rate or the U.S. Prime Rate), which generally resets quarterly. For each such loan, the Company has indicated the reference rate used and provided the spread and the interest rate in effect as of December 31, 2019. As of December 31, 2019, the reference rates for our variable rate loans were the 30-day LIBOR at 1.75%, the 90-day LIBOR at 1.91% and the 180-day LIBOR at 1.91%.


(3)	Loan includes interest rate floor feature, which is generally 1.00%.


(4)	Amortized cost represents original cost, including origination fees and upfront fees received that are deemed to be an adjustment to yield, adjusted for the accretion/amortization of discounts/premiums, as applicable, on debt investments using the effective interest method.


(5)	Fair value is determined in good faith by or under the direction of the Board of Directors of the Company (see Note 2, Significant Accounting Policies, and Note 3, Fair Value Measurements), pursuant to the Company’s valuation policy. The fair value of all first lien and second lien debt investments, equity investments and the investment fund was determined using significant unobservable inputs.


(6)	Security acquired in transaction exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”), and may be deemed to be “restricted securities” under the Securities Act, unless otherwise noted. As of December 31, 2019, the aggregate fair value of these securities is $21,698, or 2.60% of the Company’s net assets .


(7)	The Company has determined the indicated investments are non-qualifying assets under Section 55(a) of the Investment Company Act. Under the Investment Company Act, the Company may not acquire any non-qualifying assets unless, at the time such acquisition is made, qualifying assets represent at least 70% of the Company’s total assets.


(8)	Represents a corporate mezzanine loan, which is subordinated to senior secured term loans of the portfolio company/investment fund.


(9)	Loan was on non-accrual status as of December 31, 2019.

(10)



Investments—controlled/affiliated	Fair Value as of December 31, 2018		Additions/Purchases		Reductions/Sales/ Paydowns			Net Realized Gain (Loss)		Net Change in Unrealized Appreciation (Depreciation)			Fair Value as of December 31, 2019		Dividend and Interest Income
Middle Market Credit Fund, LLC, Mezzanine Loan	$	112,000	$	126,200	$	(145,200	)	$	—	$	—		$	93,000	$	12,181
Middle Market Credit Fund, LLC, Subordinated Loan and Member’s Interest	110,295		5,500		—			—		(4,199		)	111,596		15,750
Total investments—controlled/affiliated	$	222,295	$	131,700	$	(145,200	)	$	—	$	(4,199	)	$	204,596	$	27,931



Investments—controlled/affiliated	Fair Value as of December 31, 2018		Additions/Purchases		Reductions/Sales/ Paydowns			Net Realized Gain (Loss)			Net Change in Unrealized Appreciation (Depreciation)			Fair Value as of December 31, 2019		Dividend and Interest Income
SolAero Technologies Corp.	$	17,968	$	—	$	(18,319	)	$	(9,091	)	$	9,442		$	—	$	—
SolAero Technologies Corp. (Priority Term Loan)	—		9,630		—			—			—			9,630		226
SolAero Technologies Corp. (A1 Term Loan)	—		3,166		—			—			—			3,166		—
SolAero Technologies Corp. (A2 Term Loan)	—		8,707		—			—			—			8,707		—
Solaero Technology Corp. (Equity)	—		2,815		—			—			(554		)	2,261		—
Total investments—controlled/affiliated	$	17,968	$	24,318	$	(18,319	)	$	(9,091	)	$	8,888		$	23,764	$	226

(11)

In addition to the interest earned based on the stated interest rate of this loan, which is the amount reflected in this schedule, the Company is entitled to receive additional interest as a result of an agreement among lenders as follows: Barnes & Noble, Inc. (1.83%), Dimensional Dental Management, LLC (4.87%), Legacy.com Inc. (3.73%) and Surgical Information Systems, LLC (1.13%). Pursuant to the agreement among lenders in respect of this loan, this investment represents a first lien/last out loan, which has a secondary priority behind the first lien/first out loan with respect to principal, interest and other payments.

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2019

(dollar amounts in thousands)


(12)	Under the Investment Company Act, the Company is deemed an “affiliated person” of this portfolio company because the Company owns 5% or more of the portfolio company’s outstanding voting securities. Transactions related to investments in non-controlled affiliates for the year ended December 31, 2019, were as follows:



Investments—non-controlled/affiliated	Fair Value as of December 31, 2018		Purchases/ Paid-in-kind interest		Sales/ Paydowns			Net Accretion of Discount		Net Realized Gain (Loss)		Net Change in Unrealized Appreciation (Depreciation)			Fair Value as of December 31, 2019		Interest Income
TwentyEighty, Inc. - Revolver	$	—	$	—	$	—		$	1	$	—	$	(1	)	$	—	$	—
TwentyEighty, Inc. - (Term A Loans)	316		—		(415		)	1		101		(1		)	—		19
TwentyEighty, Inc. - (Term B Loans)	6,855		230		(7,102		)	76		—		(59		)	—		498
TwentyEighty, Inc. - (Term C Loans)	6,981		489		(7,397		)	179		—		(252		)	—		692
TwentyEighty Investors LLC (Equity)	4,391		—		—			—		7,990		(4,391		)	—		—
Total investments—non-controlled/affiliated	$	18,543	$	719	$	(14,914	)	$	257	$	8,091	$	(4,704	)	$	—	$	1,209


(13)	As of December 31, 2019, the Company had the following unfunded commitments to fund delayed draw and revolving senior secured loans:



Investments—non-controlled/non-affiliated	Type	Unused Fee	Par/ Principal Amount		Fair Value
First and Second Lien Debt—unfunded delayed draw and revolving term loans commitments
Aero Operating, LLC (Dejana Industries, Inc.)	Revolver	1.00%	$	159	$	(3	)
Airnov, Inc.	Revolver	0.50	1,250		(19		)
American Physician Partners, LLC	Revolver	0.50	1,500		(5		)
AMS Group HoldCo, LLC	Revolver	0.50	2,315		(25		)
Analogic Corporation	Revolver	0.50	3,029		—
Apptio, Inc.	Revolver	0.50	2,367		(19		)
BMS Holdings III Corp.	Delayed Draw	1.00	3,333		(10		)
Captive Resources Midco, LLC	Revolver	0.50	2,143		(9		)
Chartis Group, LLC	Revolver	0.50	2,401		(20		)
Chartis Group, LLC	Delayed Draw	0.50	6,402		(52		)
Chemical Computing Group ULC (Canada)	Revolver	0.50	903		(8		)
Comar Holding Company, LLC	Delayed Draw	1.00	5,136		(103		)
Comar Holding Company, LLC	Revolver	0.50	1,168		(23		)
Cority Software, Inc. (Canada)	Revolver	0.50	3,000		(60		)
DermaRite Industries, LLC	Revolver	0.50	807		(33		)
Dimensional Dental Management, LLC	Revolver	0.50	48		—
Ethos Veterinary Health, LLC	Delayed Draw	1.00	2,696		(12		)
Evolve IP	Revolver	0.50	2,941		—
Evolve IP	Delayed Draw	1.00	3,922		—
FWR Holding Corporation	Delayed Draw	1.00	87		—
FWR Holding Corporation	Revolver	0.50	667		(3		)
GRO Sub Holdco, LLC (Grand Rapids)	Revolver	0.50	$	1,071	$	(54	)

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2019

(dollar amounts in thousands)



Investments—non-controlled/non-affiliated	Type	Unused Fee	Par/ Principal Amount		Fair Value
iCIMS, Inc.	Revolver	0.50%	$	1,252	—
Innovative Business Services, LLC	Revolver	0.50	2,232		(32	)
K2 Insurance Services, LLC	Revolver	0.50	2,290		3
K2 Insurance Services, LLC	Delayed Draw	1.00	5,344		6
Kaseya Inc.	Revolver	0.50	661		1
Kaseya Inc.	Delayed Draw	0.50	1,918		4
Lifelong Learner Holdings, LLC	Revolver	0.50	1,901		(19	)
Lifelong Learner Holdings, LLC	Delayed Draw	—	2,878		(29	)
Liqui-Box Holdings, Inc.	Revolver	0.50	2,630		(37	)
Mailgun Technologies, Inc.	Revolver	0.50	1,342		(20	)
National Car Wash Solutions, LP	Revolver	0.50	310		(2	)
National Car Wash Solutions, LP	Delayed Draw	1.00	1,111		(8	)
National Technical Systems, Inc.	Revolver	0.50	2,500		(2	)
NMI AcquisitionCo, Inc.	Revolver	0.50	1,280		(4	)
Northland Telecommunications Corporation	Revolver	0.50	2,960		(4	)
Pathway Vet Alliance, LLC	Delayed Draw	1.00	7,950		12
PF Growth Partners, LLC	Delayed Draw	1.00	1,028		(3	)
PPC Flexible Packaging, LLC	Revolver	0.50	1,957		(16	)
PricewaterhouseCoopers Public Sector LLP	Revolver	0.50	6,250		(46	)
QW Holding Corporation (Quala)	Delayed Draw	1.00	809		(5	)
RSC Acquisition, Inc.	Revolver	0.50	608		(4	)
RSC Acquisition, Inc.	Delayed Draw	1.00	7,757		(57	)
Sapphire Convention, Inc. (Smart City	Revolver	0.50	4,528		(34	)
Smile Doctors, LLC	Revolver	0.50	707		(7	)
Smile Doctors, LLC	Delayed Draw	1.00	1,477		(14	)
SolAero Technologies Corp. (Priority Term Loan)	Revolver	1.00	542		—
SPay, Inc.	Revolver	0.50	682		(58	)
Superior Health Linens, LLC	Revolver	0.50	693		(58	)
T2 Systems, Inc.	Revolver	0.50	2,053		—
Tank Holding Corp.	Revolver	0.50	47		—
TSB Purchaser, Inc. (Teaching Strategies, LLC)	Revolver	0.50	1,342		(9	)
The Leaders Romans Bidco Limited (United Kingdom)	Delayed Draw	1.69	£	3,533	(94	)
Trump Card, LLC	Revolver	0.50	369		(2	)
Turbo Buyer, Inc.	Revolver	0.50	2,151		(28	)
Turbo Buyer, Inc.	Delayed Draw	1.00	4,904		(64	)
USLS Acquisition, Inc.	Revolver	0.50	946		(19	)
VRC Companies, LLC	Delayed Draw	0.75	210		—
VRC Companies, LLC	Revolver	0.50	1,119		(1	)
Westfall Technik, Inc.	Revolver	0.50	431		(11	)

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2019

(dollar amounts in thousands)



Investments—non-controlled/non-affiliated	Type	Unused Fee	Par/ Principal Amount		Fair Value
Westfall Technik, Inc.	Delayed Draw	1.00%	$	12,190	$	(304	)
Zemax Software Holdings, LLC	Revolver	0.50	1,284		(7		)
Zenith American Holding, Inc.	Delayed Draw	1.00	3,189		(18		)
Zenith American Holding, Inc.	Revolver	0.50	3,180		(17		)
Total unfunded commitments			$	149,890	$	(1,465	)

As of December 31, 2019, investments at fair value consisted of the following:



Type	Amortized Cost		Fair Value		% of Fair Value
First Lien Debt (excluding First Lien/Last Out)	$	1,649,721	$	1,585,042	74.63	%
First Lien/Last Out Unitranche	78,951		78,096		3.68
Second Lien Debt	234,006		234,532		11.04
Equity Investments	22,272		21,698		1.02
Investment Fund	216,501		204,596		9.63
Total	$	2,201,451	$	2,123,964	100.00	%

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2019

(dollar amounts in thousands)

The rate type of debt investments at fair value as of December 31, 2019 was as follows:



Rate Type	Amortized Cost		Fair Value		% of Fair Value of First and Second Lien Debt
Floating Rate	$	1,957,730	$	1,892,639	99.73	%
Fixed Rate	4,948		5,031		0.27
Total	$	1,962,678	$	1,897,670	100.00	%

The industry composition of investments at fair value as of December 31, 2019 was as follows:



Industry	Amortized Cost		Fair Value		% of Fair Value
Aerospace & Defense	$	109,755	$	109,758	5.17	%
Automotive	39,177		39,665		1.87
Banking, Finance, Insurance & Real Estate	112,248		115,119		5.42
Beverage, Food & Tobacco	80,597		81,222		3.82
Business Services	167,435		167,497		7.89
Capital Equipment	44,362		45,027		2.12
Chemicals, Plastics & Rubber	27,432		26,962		1.27
Construction & Building	13,713		14,032		0.66
Consumer Services	41,089		38,347		1.81
Containers, Packaging & Glass	67,821		68,207		3.21
Durable Consumer Goods	11,165		11,584		0.55
Energy: Electricity	33,543		30,930		1.46
Energy: Oil & Gas	11,762		11,974		0.56
Environmental Industries	42,802		43,106		2.03
Healthcare & Pharmaceuticals	248,615		192,719		9.07
High Tech Industries	215,856		215,274		10.13
Hotel, Gaming & Leisure	96,815		95,073		4.48
Investment Fund	216,501		204,596		9.63
Media: Broadcast & Subscription	45,916		46,529		2.19
Media: Advertising, Printing & Publishing	36,895		37,406		1.76
Non-durable Consumer Goods	1,500		1,999		0.09
Retail	43,081		43,020		2.03
Software	224,807		226,045		10.63
Sovereign & Public Finance	38,297		37,381		1.76
Telecommunications	119,014		116,115		5.47
Transportation: Cargo	42,204		42,220		1.99
Transportation: Consumer	35,715		36,276		1.71
Wholesale	33,334		25,881		1.22
Total	$	2,201,451	$	2,123,964	100.00	%

TCG BDC, INC.

CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)

As of December 31, 2019

(dollar amounts in thousands)

The geographical composition of investments at fair value as of December 31, 2019 was as follows:



Geography	Amortized Cost		Fair Value		% of Fair Value
Canada	$	41,002	$	40,939	1.93	%
Cyprus	4,746		4,836		0.23
Jamaica	202		195		0.01
Luxembourg	36,563		36,563		1.72
United Kingdom	24,865		26,531		1.25
United States	2,094,073		2,014,900		94.86
Total	$	2,201,451	$	2,123,964	100.00	%

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

TCG BDC, INC.

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (unaudited)

As of March 31, 2020

(dollar amounts in thousands, except per share data)

1. ORGANIZATION

TCG BDC, Inc. (together with its consolidated subsidiaries, “we,” “us,” “our,” “TCG BDC” or the “Company”) is a Maryland corporation formed on February 8, 2012, and structured as an externally managed, non-diversified closed-end investment company. The Company is managed by its investment adviser, Carlyle Global Credit Investment Management L.L.C. (“CGCIM” or “Investment Adviser”), a wholly owned subsidiary of The Carlyle Group Inc. (formerly, The Carlyle Group L.P.). The Company has elected to be regulated as a business development company (“BDC”) under the Investment Company Act of 1940, as amended (together with the rules and regulations promulgated thereunder, the “Investment Company Act”). In addition, the Company has elected to be treated, and intends to continue to comply with the requirements to qualify annually, as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended (together with the rules and regulations promulgated thereunder, the “Code”).

The Company’s investment objective is to generate current income and capital appreciation primarily through debt investments. The Company's core investment strategy focuses on lending to U.S. middle market companies, which the Company defines as companies with approximately $25 million to $100 million of earnings before interest, taxes, depreciation and amortization (“EBITDA”), which the Company believes is a useful proxy for cash flow. The Company complements this core strategy with additive, diversifying assets including, but not limited to, specialty lending investments. The Company seeks to achieve its investment objective primarily through direct origination of secured debt instruments, including first lien senior secured loans (which may include stand-alone first lien loans, first lien/last out loans and “unitranche” loans) and second lien senior secured loans (collectively, “Middle Market Senior Loans”), with the balance of its assets invested in higher yielding investments (which may include unsecured debt, mezzanine debt and investments in equities). The Middle Market Senior Loans are generally made to private U.S. middle market companies that are, in many cases, controlled by private equity firms. Depending on market conditions, the Company expects that between 70% and 80% of the value of its assets will be invested in Middle Market Senior Loans. The Company expects that the composition of its portfolio will change over time given the Investment Adviser’s view on, among other things, the economic and credit environment (including with respect to interest rates) in which the Company is operating.

The Company invests primarily in loans to middle market companies whose debt, if rated, is rated below investment grade, and, if not rated, would likely be rated below investment grade if it were rated (that is, below BBB- or Baa3, which is often referred to as “junk”). Exposure to below investment grade instruments involves certain risks, including speculation with respect to the borrower’s capacity to pay interest and repay principal.

On May 2, 2013, the Company completed its initial closing of capital commitments (the “Initial Closing”) and subsequently commenced substantial investment operations. Effective March 15, 2017, the Company changed its name from “Carlyle GMS Finance, Inc.” to “TCG BDC, Inc.” On June 19, 2017, the Company closed its initial public offering (“IPO”), issuing 9,454,200 shares of its common stock (including shares issued pursuant to the exercise of the underwriters’ over-allotment option on July 5, 2017) at a public offering price of $18.50 per share. Net of underwriting costs, the Company received cash proceeds of $169,488. Shares of common stock of TCG BDC began trading on the Nasdaq Global Select Market under the symbol “CGBD” on June 14, 2017.

Until December 31, 2017, the Company was an “emerging growth company,” as that term is used in the Jumpstart Our Business Startups Act of 2012. As of June 30, 2017, the market value of the common stock held by non-affiliates exceeded $700,000. Accordingly, the Company ceased to be an emerging growth company as of December 31, 2017.

The Company is externally managed by the Investment Adviser, an investment adviser registered under the Investment Advisers Act of 1940, as amended. Carlyle Global Credit Administration L.L.C. (the “Administrator”) provides the administrative services necessary for the Company to operate. Both the Investment Adviser and the Administrator are wholly owned subsidiaries of Carlyle Investment Management L.L.C. (“CIM”), a subsidiary of The Carlyle Group Inc. “Carlyle” refers to The Carlyle Group Inc. and its affiliates and its consolidated subsidiaries (other than portfolio companies of its affiliated funds), a global investment firm publicly traded on the Nasdaq Global Select Market under the symbol “CG”. Refer to the sec.gov website for further information on Carlyle.

TCG BDC SPV LLC (the “SPV”) is a Delaware limited liability company that was formed on January 3, 2013. The SPV invests in first and second lien senior secured loans. The SPV is a wholly owned subsidiary of the Company and is

consolidated in these consolidated financial statements commencing from the date of its formation, January 3, 2013. Effective March 15, 2017, the SPV changed its name from “Carlyle GMS Finance SPV LLC” to “TCG BDC SPV LLC”.

On June 9, 2017, pursuant to the Agreement and Plan of Merger, dated May 3, 2017 (the “Agreement”), by and between the Company and NF Investment Corp. (“NFIC”), NFIC merged with and into the Company (the “NFIC Acquisition”), with the Company as the surviving entity. The NFIC Acquisition was accounted for as an asset acquisition. NFIC SPV LLC (the “NFIC SPV” and, together with the SPV, the “SPVs”) is a Delaware limited liability company that was formed on June 18, 2013. Upon the consummation of the NFIC Acquisition, the NFIC SPV became a wholly owned subsidiary of the Company and is consolidated in these consolidated financial statements commencing from the closing date of the NFIC Acquisition, June 9, 2017.

On June 26, 2015, the Company completed a $400,000 term debt securitization (the “2015-1 Debt Securitization”). The notes offered in the 2015-1 Debt Securitization (the “2015-1 Notes”) were issued by Carlyle Direct Lending CLO 2015-1R LLC (formerly known as Carlyle GMS Finance MM CLO 2015-1 LLC) (the “2015-1 Issuer”), a wholly owned and consolidated subsidiary of the Company. On August 30, 2018, the 2015-1 Issuer refinanced the 2015-1 Debt Securitization (the “2015-1 Debt Securitization Refinancing”) by redeeming in full the 2015-1 Notes and issuing new notes (the “2015-1R Notes”). The 2015-1R Notes are secured by a diversified portfolio of the 2015-1 Issuer consisting primarily of first and second lien senior secured loans. Refer to Note 7 for details. The 2015-1 Issuer is consolidated in these consolidated financial statements commencing from the date of its formation, May 8, 2015.

On February 29, 2016, the Company and Credit Partners USA LLC (“Credit Partners”) entered into an amended and restated limited liability company agreement, which was subsequently amended on June 24, 2016 (as amended, the “Limited Liability Company Agreement”) to co-manage Middle Market Credit Fund, LLC (“Credit Fund”). Credit Fund primarily invests in first lien loans of middle market companies. Credit Fund is managed by a six-member board of managers, on which the Company and Credit Partners each have equal representation. The Company and Credit Partners each have 50% economic ownership of Credit Fund and have commitments to fund, from time to time, capital of up to $400,000 each. Refer to Note 5, Middle Market Credit Fund, LLC, for details.

As a BDC, the Company is required to comply with certain regulatory requirements. As part of these requirements, the Company must not acquire any assets other than “qualifying assets” specified in the Investment Company Act unless, at the time the acquisition is made, at least 70% of its total assets are qualifying assets (with certain limited exceptions).

To qualify as a RIC, the Company must, among other things, meet certain source-of-income and asset diversification requirements and timely distribute to its stockholders generally at least 90% of its investment company taxable income, as defined by the Code, for each year. Pursuant to this election, the Company generally does not have to pay corporate level taxes on any income that it distributes to stockholders, provided that the Company satisfies those requirements.

2. SIGNIFICANT ACCOUNTING POLICIES

Basis of Presentation

The consolidated financial statements have been prepared on the accrual basis of accounting in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”). The Company is an investment company for the purposes of accounting and financial reporting in accordance with Financial Accounting Standards Board ("FASB") Accounting Standards Codification (“ASC”) Topic 946, Financial Services—Investment Companies (“ASC 946”). The consolidated financial statements include the accounts of the Company and its wholly owned subsidiaries, the SPVs and the 2015-1 Issuer. All significant intercompany balances and transactions have been eliminated. U.S. GAAP for an investment company requires investments to be recorded at fair value. The carrying value for all other assets and liabilities approximates their fair value.

The interim 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 and 10 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 considered necessary for the fair presentation of consolidated financial statements for the interim periods presented have been included. These adjustments are of a normal, recurring nature. This Form 10-Q should be read in conjunction with the Company’s annual report on Form 10-K for the year ended December 31, 2019. The results of operations for the three month period ended March 31, 2020 are not necessarily indicative of the operating results to be expected for the full year.

Use of Estimates

The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make assumptions and estimates that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Management’s estimates are based on historical experiences and other factors, including expectations of future events that management believes to be reasonable under the circumstances. It also requires management to exercise judgment in the process of applying the Company’s accounting policies. Assumptions and estimates regarding the valuation of investments and their resulting impact on base management and incentive fees involve a higher degree of judgment and complexity and these assumptions and estimates may be significant to the consolidated financial statements. Actual results could differ from these estimates and such differences could be material.

Investments

Investment transactions are recorded on the trade date. Realized gains or losses are measured by the difference between the net proceeds from the repayment or sale and the amortized cost basis of the investment using the specific identification method without regard to unrealized appreciation or depreciation previously recognized, and includes investments charged off during the period, net of recoveries. Net change in unrealized appreciation or depreciation on investments as presented in the accompanying Consolidated Statements of Operations reflects the net change in the fair value of investments, including the reversal of previously recorded unrealized appreciation or depreciation when gains or losses are realized. See Note 3 for further information about fair value measurements.

Cash and Cash Equivalents

Cash and cash equivalents consist of demand deposits and highly liquid investments (e.g., money market funds, U.S. treasury notes) with original maturities of three months or less. Cash equivalents are carried at amortized cost, which approximates fair value. The Company’s cash and cash equivalents are held with two large financial institutions and cash held in such financial institutions may, at times, exceed the Federal Deposit Insurance Corporation insured limit.

Revenue Recognition

Interest from Investments and Realized Gain/Loss on Investments

Interest income is recorded on an accrual basis and includes the accretion of discounts and amortization of premiums. Discounts from and premiums to par value on debt investments purchased are accreted/amortized into interest income over the life of the respective security using the effective interest method. The amortized cost of debt investments represents the original cost, including origination fees and upfront fees received that are deemed to be an adjustment to yield, adjusted for the accretion of discounts and amortization of premiums, if any. At time of exit, the realized gain or loss on an investment is the difference between the amortized cost at time of exit and the cash received at exit using the specific identification method.

The Company has loans in its portfolio that contain payment-in-kind (“PIK”) provisions. PIK represents interest that is accrued and recorded as interest income at the contractual rates, increases the loan principal on the respective capitalization dates, and is generally due at maturity. Such income is included in interest income in the Consolidated Statements of Operations. As of March 31, 2020 and December 31, 2019, the fair value of the loans in the portfolio with PIK provisions was $120,683 and $164,902, respectively, which represents approximately 6.0% and 7.8% of total investments at fair value, respectively. For the three month period ended March 31, 2020, the Company earned $643 in PIK income. For the three month period ended March 31, 2019, the Company earned $1,150 in PIK income.

Dividend Income

Dividend income from the investment fund is recorded on the record date for the investment fund to the extent that such amounts are payable by the investment fund and are expected to be collected.

Other Income

Other income may include income such as consent, waiver, amendment, unused, underwriting, arranger and prepayment fees associated with the Company’s investment activities as well as any fees for managerial assistance services rendered by the Company to the portfolio companies. Such fees are recognized as income when earned or the services are rendered. The Company may receive fees for guaranteeing the outstanding debt of a portfolio company. Such fees are amortized into other income over the life of the guarantee. The unamortized amount, if any, is included in other assets in the

accompanying Consolidated Statements of Assets and Liabilities.For the three month period ended March 31, 2020, the Company earned $2,344 in other income, primarily from underwriting and prepayment fees. For the three month period ended March 31, 2019, the Company earned $2,028 in other income, primarily from amendment and arranger fees.

Non-Accrual Income

Loans are generally placed on non-accrual status when principal or interest payments are past due 30 days or more or when there is reasonable doubt that principal or interest will be collected in full. Accrued and unpaid 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 management’s judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest are paid current and, in management’s judgment, are likely to remain current. Management may determine not to place a loan on non-accrual status if the loan has sufficient collateral value and is in the process of collection. As of March 31, 2020 and December 31, 2019, the fair value of the loans in the portfolio on non-accrual status was $44,116 and $52,429, respectively. The remaining first and second lien debt investments were performing and current on their interest payments as of March 31, 2020 and December 31, 2019.

The Facilities, Senior Notes, and 2015-1R Notes – Related Costs, Expenses and Deferred Financing Costs

Interest expense and unused commitment fees on the Facilities are recorded on an accrual basis. Unused commitment fees are included in credit facility fees in the accompanying Consolidated Statements of Operations.

The Facilities and the Senior Notes are recorded at carrying value, which approximates fair value.

Deferred financing costs include capitalized expenses related to the closing or amendments of the Facilities. Amortization of deferred financing costs for each credit facility is computed on the straight-line basis over the respective term of each credit facility. The unamortized balance of such costs is included in deferred financing costs in the accompanying Consolidated Statements of Assets and Liabilities. The amortization of such costs is included in credit facility fees in the accompanying Consolidated Statements of Operations.

Debt issuance costs include capitalized expenses including structuring and arrangement fees related to the offering of the 2015-1R Notes and Senior Notes. Amortization of debt issuance costs for the notes is computed on the effective yield method over the term of the notes. The unamortized balance of such costs is presented as a direct deduction to the carrying amount of the notes in the accompanying Consolidated Statements of Assets and Liabilities. The amortization of such costs is included in interest expense in the accompanying Consolidated Statements of Operations.

The notes are recorded at carrying value, which approximates fair value.

Income Taxes

For federal income tax purposes, the Company has elected to be treated as a RIC under the Code, and intends to make the required distributions to its stockholders as specified therein. In order to qualify as a RIC, the Company must meet certain minimum distribution, source-of-income and asset diversification requirements. If such requirements are met, then the Company is generally required to pay income taxes only on the portion of its taxable income and gains it does not distribute.

The minimum distribution requirements applicable to RICs require the Company to distribute to its stockholders at least 90% of its investment company taxable income (“ICTI”), as defined by the Code, each year, although depending on the level of ICTI earned in a tax year, the Company may choose to carry forward ICTI in excess of current year distributions into the next tax year. Any such carryover ICTI must be distributed before the end of that next tax year through a dividend declared prior to filing the final tax return related to the year which generated such ICTI.

In addition, based on the excise distribution requirements, the Company is subject to a 4% nondeductible federal excise tax on undistributed income unless the Company distributes in a timely manner an amount at least equal to the sum of (1) 98% of its ordinary income for each calendar year, (2) 98.2% of capital gain net income (both long-term and short-term) for the one-year period ending October 31 in that calendar year and (3) any income realized, but not distributed, in the preceding year. For this purpose, however, any ordinary income or capital gain net income retained by the Company that is subject to corporate income tax is considered to have been distributed. The Company intends to make sufficient distributions each taxable year to satisfy the excise distribution requirements.

The Company evaluates tax positions taken or expected to be taken in the course of preparing its consolidated financial statements to determine whether the tax positions are “more likely than not” to be sustained by the applicable tax authority. The SPVs and the 2015-1 Issuer are disregarded entities for tax purposes and are consolidated with the tax return of the Company. All penalties and interest associated with income taxes, if any, are included in income tax expense. For the three month period ended March 31, 2020, the Company incurred $52 in excise tax expense. For the three month period ended March 31, 2019, the Company incurred $60 in excise tax expense.

Dividends and Distributions to Common Stockholders

To the extent that the Company has taxable income available, the Company intends to make quarterly distributions to its common stockholders. Dividends and distributions to common stockholders are recorded on the record date. The amount to be distributed is determined by the Board of Directors each quarter and is generally based upon the taxable earnings estimated by management and available cash. Net realized capital gains, if any, are generally distributed at least annually, although the Company may decide to retain such capital gains for investment.

Prior to July 5, 2017, the Company had an “opt in” dividend reinvestment plan. Effective on July 5, 2017, the Company converted the “opt in” dividend reinvestment plan to an “opt out” dividend reinvestment plan that provides for reinvestment of dividends and other distributions on behalf of the stockholders, other than those stockholders who have “opted out” of the plan. As a result of adopting the plan, if the Board of Directors authorizes, and the Company declares, a cash dividend or distribution, the stockholders who have not elected to “opt out” of the dividend reinvestment plan will have their cash dividends or distributions automatically reinvested in additional shares of the Company’s common stock, rather than receiving cash. Each registered stockholder may elect to have such stockholder’s dividends and distributions distributed in cash rather than participate in the plan. For any registered stockholder that does not so elect, distributions on such stockholder’s shares will be reinvested by State Street Bank and Trust Company, the Company’s plan administrator, in additional shares. The number of shares to be issued to the stockholder will be determined based on the total dollar amount of the cash distribution payable, net of applicable withholding taxes. The Company intends to use primarily newly issued shares to implement the plan so long as the market value per share is equal to or greater than the net asset value per share on the relevant valuation date. If the market value per share is less than the net asset value per share on the relevant valuation date, the plan administrator would implement the plan through the purchase of common stock on behalf of participants in the open market, unless the Company instructs the plan administrator otherwise.

Functional Translations

The functional currency of the Company is the U.S. Dollar. Investments are generally made in the local currency of the country in which the investments are domiciled and are translated into U.S. Dollars with foreign currency translation gains or losses recorded within net change in unrealized appreciation (depreciation) on investments in the accompanying Consolidated Statements of Operations. Foreign currency translation gains and losses on non-investment assets and liabilities are separately reflected in the accompanying Consolidated Statements of Operations.

Recent Accounting Standards Updates

On June 16, 2016, the FASB issued ASU 2016-13, Financial Instruments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments. This ASU is intended to introduce new guidance for the accounting for credit losses on instruments within scope based on an estimate of current expected credit losses. The guidance was effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. The Company adopted the new requirement within Form 10-Q filings starting with the quarter that began January 1, 2020, which did not have a material impact on the Company's consolidated financial statements.

3. FAIR VALUE MEASUREMENTS

The Company applies fair value accounting in accordance with the terms of FASB ASC Topic 820, Fair Value Measurement (“ASC 820”). ASC 820 defines fair value as the amount that would be exchanged to sell an asset or transfer a liability in an orderly transfer between market participants at the measurement date. The Company values securities/instruments traded in active markets on the measurement date by multiplying the closing price of such traded securities/instruments by the quantity of shares or amount of the instrument held. The Company may also obtain quotes with respect to certain of its investments, such as its securities/instruments traded in active markets and its liquid securities/instruments that are not traded in active markets, from pricing services, brokers, or counterparties (i.e., “consensus pricing”). When doing so, the Company determines whether the quote obtained is sufficient according to U.S. GAAP to determine the fair value of the security. The

Company may use the quote obtained or alternative pricing sources may be utilized including valuation techniques typically utilized for illiquid securities/instruments.

Securities/instruments that are illiquid or for which the pricing source does not provide a valuation or methodology or provides a valuation or methodology that, in the judgment of the Investment Adviser or the Company’s Board of Directors, does not represent fair value shall each be valued as of the measurement date using all techniques appropriate under the circumstances and for which sufficient data is available. These valuation techniques may vary by investment and include comparable public market valuations, comparable precedent transaction valuations and/or discounted cash flow analyses. The process generally used to determine the applicable value is as follows: (i) the value of each portfolio company or investment is initially reviewed by the investment professionals responsible for such portfolio company or investment and, for non-traded investments, a standardized template designed to approximate fair market value based on observable market inputs, updated credit statistics and unobservable inputs is used to determine a preliminary value, which is also reviewed alongside consensus pricing, where available; (ii) preliminary valuation conclusions are documented and reviewed by a valuation committee comprised of members of senior management; (iii) the Board of Directors engages a third-party valuation firm to provide positive assurance on portions of the Middle Market Senior Loans and equity investments portfolio each quarter (such that each non-traded investment other than Credit Fund is reviewed by a third-party valuation firm at least once on a rolling twelve month basis) including a review of management’s preliminary valuation and conclusion on fair value; (iv) the Audit Committee of the Board of Directors (the “Audit Committee”) reviews the assessments of the Investment Adviser and the third-party valuation firm and provides the Board of Directors with any recommendations with respect to changes to the fair value of each investment in the portfolio; and (v) the Board of Directors discusses the valuation recommendations of the Audit Committee and determines the fair value of each investment in the portfolio in good faith based on the input of the Investment Adviser and, where applicable, the third-party valuation firm.

All factors that might materially impact the value of an investment are considered, including, but not limited to the assessment of the following factors, as relevant:


•	the nature and realizable value of any collateral;


•	call features, put features and other relevant terms of debt;


•	the portfolio company’s leverage and ability to make payments;


•	the portfolio company’s public or private credit rating;


•	the portfolio company’s actual and expected earnings and discounted cash flow;


•	prevailing interest rates and spreads for similar securities and expected volatility in future interest rates;


•	the markets in which the portfolio company does business and recent economic and/or market events; and


•	comparisons to comparable transactions and publicly traded securities.

Investment performance data utilized are the most recently available financial statements and compliance certificate received from the portfolio companies as of the measurement date which in many cases may reflect a lag in information.

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Company’s investments may fluctuate from period to period. Because of the inherent uncertainty of valuation, these estimated values may differ significantly from the values that would have been reported had a ready market for the investments existed, and it is reasonably possible that the difference could be material.

In addition, changes in the market environment and other events that may occur over the life of the investments may cause the realized gains or losses on investments to be different from the net change in unrealized appreciation or depreciation currently reflected in the consolidated financial statements as of March 31, 2020 and December 31, 2019.

U.S. GAAP establishes a hierarchical disclosure framework which ranks the level of observability of market price inputs used in measuring investments at fair value. The observability of inputs is impacted by a number of factors, including the type of investment and the characteristics specific to the investment and state of the marketplace, including the existence and transparency of transactions between market participants. Investments with readily available quoted prices or for which fair value can be measured from quoted prices in active markets generally have a higher degree of market price observability and a lesser degree of judgment applied in determining fair value.

Investments measured and reported at fair value are classified and disclosed based on the observability of inputs used in determination of fair values, as follows:

•

Level 1—inputs to the valuation methodology are quoted prices available in active markets for identical investments as of the reporting date. Financial instruments in in this category generally include unrestricted securities, including equities and derivatives, listed in active markets. The Company does not adjust the quoted price for these investments, even in situations where the Company holds a large position and a sale could reasonably impact the quoted price.

•

Level 2—inputs to the valuation methodology are either directly or indirectly observable as of the reporting date and are those other than quoted prices in active markets. Financial instruments in this category generally include less liquid and restricted securities listed in active markets, securities traded in other than active markets, government and agency securities, and certain over-the-counter derivatives where the fair value is based on observable inputs.

•

Level 3—inputs to the valuation methodology are unobservable and significant to overall fair value measurement. The inputs into the determination of fair value require significant management judgment or estimation. Financial instruments in this category generally include investments in privately-held entities, collateralized loan obligations, and certain over-the-counter derivatives where the fair value is based on unobservable inputs.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the overall fair value measurement. The Investment Adviser’s assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment.

Transfers between levels, if any, are recognized at the beginning of the quarter in which the transfers occur. For the three month periods ended March 31, 2020 and 2019, there were no transfers between levels.

The following tables summarize the Company’s investments measured at fair value on a recurring basis by the above fair value hierarchy levels as of March 31, 2020 and December 31, 2019:



	March 31, 2020
	Level 1		Level 2		Level 3		Total
Assets
First Lien Debt	$	—	$	—	$	1,534,765	$	1,534,765
Second Lien Debt	—		—		275,055		275,055
Equity Investments	—		—		29,323		29,323
Investment Fund
Mezzanine Loan	—		—		—		—
Subordinated Loan and Member's Interest	—		—		185,134		185,134
Total	$	—	$	—	$	2,024,277	$	2,024,277



	December 31, 2019
	Level 1		Level 2		Level 3		Total
Assets
First Lien Debt	$	—	$	—	$	1,663,138	$	1,663,138
Second Lien Debt	—		—		234,532		234,532
Equity Investments	—		—		21,698		21,698
Investment Fund
Mezzanine Loan	—		—		93,000		93,000
Subordinated Loan and Member's Interest	—		—		111,596		111,596
Total	$	—	$	—	$	2,123,964	$	2,123,964

The changes in the Company’s investments at fair value for which the Company has used Level 3 inputs to determine fair value and net change in unrealized appreciation (depreciation) included in earnings for Level 3 investments still held are as follows:



	Financial Assets
	For the three month period ended March 31, 2020
	First Lien Debt			Second Lien Debt			Equity Investments			Investment Fund - Mezzanine Loan			Investment Fund - Subordinated Loan and Member's Interest			Total
Balance, beginning of period	$	1,663,138		$	234,532		$	21,698		$	93,000		$	111,596		$	2,123,964
Purchases	76,323			89,409			10,200			63,500			92,500			331,932
Sales	(44,060		)	—			—			(156,500		)	—			(200,560		)
Paydowns	(70,129		)	(15,232		)	(1,024		)	—			—			(86,385		)
Accretion of discount	2,206			380			—			—			—			2,586
Net realized gains (losses)	(2,054		)	—			357			—			—			(1,697		)
Net change in unrealized appreciation (depreciation)	(90,659		)	(34,034		)	(1,908		)	—			(18,962		)	(145,563		)
Balance, end of period	$	1,534,765		$	275,055		$	29,323		$	—		$	185,134		$	2,024,277
Net change in unrealized appreciation (depreciation) included in earnings related to investments still held at the reporting date included in net change in unrealized appreciation (depreciation) on investments on the Consolidated Statements of Operations	$	(92,299	)	$	(33,774	)	$	(1,908	)	$	—		$	(18,962	)	$	(146,943	)



	Financial Assets
	For the three month period ended March 31, 2019
	First Lien Debt			Second Lien Debt		Equity Investments			Investment Fund - Mezzanine Loan			Investment Fund - Subordinated Loan and Member's Interest		Total
Balance, beginning of period	$	1,546,271		$	178,958	$	24,633		$	112,000		$	110,295	$	1,972,157
Purchases	165,076			48,405		2,240			30,500			—		246,221
Sales	(6,815		)	—		(1,738		)	—			—		(8,553		)
Paydowns	(44,241		)	—		—			(18,700		)	—		(62,941		)
Accretion of discount	2,092			69		—			—			—		2,161
Net realized gains (losses)	(60		)	—		959			—			—		899
Net change in unrealized appreciation (depreciation)	978			1,419		2,372			—			496		5,265
Balance, end of period	$	1,663,301		$	228,851	$	28,466		$	123,800		$	110,791	$	2,155,209
Net change in unrealized appreciation (depreciation) included in earnings related to investments still held at the reporting date included in net change in unrealized appreciation (depreciation) on investments on the Consolidated Statements of Operations	$	1,242		$	1,419	$	2,648		$	—		$	496	$	5,805

The Company generally uses the following framework when determining the fair value of investments that are categorized as Level 3:

Investments in debt securities are initially evaluated to determine whether the enterprise value of the portfolio company is greater than the applicable debt. The enterprise value of the portfolio company is estimated using a market approach and an income approach. The market approach utilizes market value (EBITDA) multiples of publicly traded comparable companies and available precedent sales transactions of comparable companies. The Company carefully considers

numerous factors when selecting the appropriate companies whose multiples are used to value its portfolio companies. These factors include, but are not limited to, the type of organization, similarity to the business being valued, relevant risk factors, as well as size, profitability and growth expectations. The income approach typically uses a discounted cash flow analysis of the portfolio company.

Investments in debt securities that do not have sufficient coverage through the enterprise value analysis are valued based on an expected probability of default and discount recovery analysis.

Investments in debt securities with sufficient coverage through the enterprise value analysis are generally valued using a discounted cash flow analysis of the underlying security. Projected cash flows in the discounted cash flow typically represent the relevant security’s contractual interest, fees and principal payments plus the assumption of full principal recovery at the security’s expected maturity date. The discount rate to be used is determined using an average of two market-based methodologies. Investments in debt securities may also be valued using consensus pricing.

Investments in equities are generally valued using a market approach and/or an income approach. The market approach utilizes market value (EBITDA) multiples of publicly traded comparable companies and available precedent sales transactions of comparable companies. The income approach typically uses a discounted cash flow analysis of the portfolio company.

Investments in Credit Fund’s mezzanine loan are valued using collateral analysis with the expected recovery rate of principal and interest. Investments in Credit Fund’s subordinated loan and member’s interest are valued using discounted cash flow analysis with the expected discount rate, default rate and recovery rate of principal and interest.

The following tables summarize the quantitative information related to the significant unobservable inputs for Level 3 instruments which are carried at fair value as of March 31, 2020 and December 31, 2019:



	Fair Value as of March 31, 2020		Valuation Techniques	Significant Unobservable Inputs	Range
	Fair Value as of March 31, 2020		Valuation Techniques	Significant Unobservable Inputs	Low		High		Weighted Average
Investments in First Lien Debt	$	1,384,548	Discounted Cash Flow	Discount Rate	6.24	%	25.03	%	9.77	%
	115,824		Consensus Pricing	Indicative Quotes	44.00		100.00		86.37
	34,393		Income Approach	Discount Rate	12.22	%	19.32	%	16.06	%
			Market Approach	Comparable Multiple	7.89x		8.55x		8.49x
Total First Lien Debt	1,534,765
Investments in Second Lien Debt	221,704		Discounted Cash Flow	Discount Rate	9.52	%	13.87	%	11.64	%
	53,351		Consensus Pricing	Indicative Quotes	65.67		90.38		74.34
Total Second Lien Debt	275,055
Investments in Equity	29,323		Income Approach	Discount Rate	7.93	%	16.28	%	9.71	%
			Market Approach	Comparable Multiple	6.05x		16.40x		9.49x
Total Equity Investments	29,323
Investments in Investment Fund
Mezzanine Loan	—		Collateral Analysis	Recovery Rate	100.00	%	100.00	%	100.00	%
Subordinated Loan and Member's Interest	185,134		Discounted Cash Flow	Discount Rate	11.00	%	11.00	%	11.00	%
			Discounted Cash Flow	Default Rate	3.00	%	3.00	%	3.00	%
			Discounted Cash Flow	Recovery Rate	65.00	%	65.00	%	65.00	%
Total Investments in Investment Fund	185,134
Total Level 3 Investments	$	2,024,277



	Fair Value as of December 31, 2019		Valuation Techniques	Significant Unobservable Inputs	Range
	Fair Value as of December 31, 2019		Valuation Techniques	Significant Unobservable Inputs	Low		High		Weighted Average
Investments in First Lien Debt	$	1,332,584	Discounted Cash Flow	Discount Rate	3.64	%	24.45	%	8.13	%
	318,681		Consensus Pricing	Indicative Quotes	77.94		100.00		96.96
	11,873		Income Approach	Discount Rate	12.22	%	19.32	%	13.16	%
			Market Approach	Comparable Multiple	7.89x		8.38x		8.49x
Total First Lien Debt	1,663,138
Investments in Second Lien Debt	188,736		Discounted Cash Flow	Discount Rate	7.40	%	10.66	%	8.85	%
	45,796		Consensus Pricing	Indicative Quotes	97.50		98.31		98.19
Total Second Lien Debt	234,532
Investments in Equity	21,698		Income Approach	Discount Rate	7.76	%	15.31	%	8.84	%
			Market Approach	Comparable Multiple	6.37x		16.65x		9.24x
Total Equity Investments	21,698
Investment in Investment Fund
Mezzanine Loan	93,000		Collateral Analysis	Recovery Rate	100.00	%	100.00	%	100.00	%
Subordinated Loan and Member's Interest	111,596		Discounted Cash Flow	Discount Rate	10.00	%	10.00	%	10.00	%
			Discounted Cash Flow	Default Rate	2.00	%	2.00	%	2.00	%
			Discounted Cash Flow	Recovery Rate	75.00	%	75.00	%	75.00	%
Total Investments in Investment Fund	204,596
Total Level 3 Investments	$	2,123,964

The significant unobservable inputs used in the fair value measurement of the Company’s investments in first and second lien debt securities are discount rates, indicative quotes and comparable EBITDA multiples. Significant increases in discount rates in isolation would result in a significantly lower fair value measurement. Significant decreases in indicative quotes or comparable EBITDA multiples in isolation may result in a significantly lower fair value measurement.

The significant unobservable inputs used in the fair value measurement of the Company’s investments in equities are discount rates and comparable EBITDA multiples. Significant increases in discount rates in isolation would result in a significantly lower fair value measurement. Significant decreases in comparable EBITDA multiples in isolation would result in a significantly lower fair value measurement.

The significant unobservable input used in the fair value measurement of the Company’s investment in the mezzanine loan of Credit Fund is the recovery rate of principal and interest. A significant decrease in the recovery rate would result in a significantly lower fair value measurement.

The significant unobservable inputs used in the fair value measurement of the Company’s investments in the subordinated loan and member’s interest of Credit Fund are the discount rate, default rate and recovery rate. Significant increases in the discount rate or default rate in isolation would result in a significantly lower fair value measurement. A significant decrease in the recovery rate in isolation would result in a significantly lower fair value measurement.

Financial instruments disclosed but not carried at fair value

The following table presents the carrying value and fair value of the Company’s secured borrowings and senior unsecured notes disclosed but not carried at fair value as of March 31, 2020 and December 31, 2019:



	March 31, 2020				December 31, 2019
	Carrying Value		Fair Value		Carrying Value		Fair Value
Secured borrowings	$	701,609	$	701,609	$	616,543	$	616,543
Senior unsecured notes	$	115,000	$	115,000	$	115,000	$	115,000
Total	$	816,609	$	816,609	$	731,543	$	731,543

The carrying values of the secured borrowings and senior unsecured notes approximate their respective fair values and are categorized as Level 3 within the hierarchy. Secured borrowings are valued generally using discounted cash flow analysis. The significant unobservable inputs used in the fair value measurement of the Company’s secured borrowings and senior

unsecured notes are discount rates. Significant increases in discount rates would result in a significantly lower fair value measurement.

The following table represents the carrying values (before debt issuance costs) and fair values of the Company’s 2015-1R Notes disclosed but not carried at fair value as of March 31, 2020 and December 31, 2019:



	March 31, 2020				December 31, 2019
	Carrying Value		Fair Value		Carrying Value		Fair Value
Aaa/AAA Class A-1-1-R Notes	$	234,800	$	212,996	$	234,800	$	233,053
Aaa/AAA Class A-1-2-R Notes	50,000		45,773		50,000		49,908
Aaa/AAA Class A-1-3-R Notes	25,000		24,045		25,000		25,163
AA Class A-2-R Notes	66,000		66,000		66,000		66,000
A Class B Notes	46,400		37,370		46,400		46,400
BBB- Class C Notes	27,000		27,000		27,000		27,000
Total	$	449,200	$	413,184	$	449,200	$	447,524

The fair value determination of the Company’s notes payable was based on the market quotation(s) received from broker/dealer(s). These fair value measurements were based on significant inputs not observable and thus represent Level 3 measurements as defined in the accounting guidance for fair value measurement.

The carrying value of other financial assets and liabilities approximates their fair value based on the short term nature of these items.

4. RELATED PARTY TRANSACTIONS

Investment Advisory Agreement

On April 3, 2013, the Company’s Board of Directors, including a majority of the directors who are not “interested persons” as defined in Section 2(a)(19) of the Investment Company Act (the “Independent Directors”), approved an investment advisory agreement (the “Original Investment Advisory Agreement”) between the Company and the Investment Adviser in accordance with, and on the basis of an evaluation satisfactory to such directors as required by, Section 15(c) of the Investment Company Act.

The Original Investment Advisory Agreement was amended on September 15, 2017 (as amended, the “First Amended and Restated Investment Advisory Agreement”) after the approval of the Company’s Board of Directors, including a majority of the Independent Directors, at an in-person meeting of the Board of Directors held on May 30, 2017 and the approval of the Company’s stockholders at a special meeting of stockholders held on September 15, 2017. On August 6, 2018, the First Amended and Restated Investment Advisory Agreement was further amended (as amended, the “Investment Advisory Agreement”) after the approval of the Company’s Board of Directors, including a majority of the Independent Directors, at an in-person meeting of the Board of Directors held on August 6, 2018. On May 6, 2019, the Company’s Board of Directors, including a majority of the Independent Directors, approved at an in-person meeting the continuance of the Company’s Investment Advisory Agreement with the Adviser for an additional one year term.

Effective September 15, 2017, the base management fee has been calculated and payable quarterly in arrears at an annual rate of 1.50% of the average value of the gross assets at the end of the two most recently completed fiscal quarters; provided, however, effective July 1, 2018, the base management fee has been calculated at an annual rate of 1.00% of the average value of the gross assets as of the end of the two most recently completed calendar quarters that exceeds the product of (A) 200% and (B) the average value of the Company’s net asset value at the end of the two most recently completed calendar quarters. The base management fee will be appropriately adjusted for any share issuances or repurchases during such fiscal quarter and the base management fees for any partial month or quarter will be pro-rated. The Company’s gross assets exclude any cash and cash equivalents and include assets acquired through the incurrence of debt from the use of leverage.

The incentive fee has two parts. The first part is calculated and payable quarterly in arrears based on the pre-incentive fee net investment income for the immediately preceding calendar quarter. The second part is determined and payable in arrears based on capital gains as of the end of each calendar year.

Effective September 15, 2017, pre-incentive fee net investment income, expressed as a rate of return on the value of the Company’s net assets at the end of the immediately preceding calendar quarter, has been compared to a “hurdle rate” of 1.50% per quarter (6% annualized) or a “catch-up rate” of 1.82% per quarter (7.28% annualized), as applicable.

Pursuant to the Investment Advisory Agreement, the Company pays its Investment Adviser an incentive fee with respect to its pre-incentive fee net investment income in each calendar quarter as follows:


•	no incentive fee based on pre-incentive fee net investment income in any calendar quarter in which its pre-incentive fee net investment income does not exceed the hurdle rate of 1.50%;

•

100% of pre-incentive fee net investment income with respect to that portion of such pre-incentive fee net investment income, if any, that exceeds the hurdle rate but is less than 1.82% in any calendar quarter (7.28% annualized). The Company refers to this portion of the pre-incentive fee net investment income (which exceeds the hurdle rate but is less than 1.82%) as the “catch-up.” The “catch-up” is meant to provide the Investment Adviser with approximately 17.5% of the Company’s pre-incentive fee net investment income as if a hurdle rate did not apply if this net investment income exceeds 1.82% in any calendar quarter; and


•	17.5% of the amount of pre-incentive fee net investment income, if any, that exceeds 1.82% in any calendar quarter (7.28% annualized) will be payable to the Investment Adviser. This reflects that once the hurdle rate is reached and the catch-up is achieved, 17.5% of all pre-incentive fee net investment income thereafter is allocated to the Investment Adviser.

The second part of the incentive fee is determined and payable in arrears as of the end of each calendar year (or upon termination of the Investment Advisory Agreement, as of the termination date), and equals 17.5% of realized capital gains, if any, on a cumulative basis from inception through the date of determination, computed net of all realized capital losses on a cumulative basis and unrealized capital depreciation, less the aggregate amount of any previously paid capital gain incentive fees, provided that, the incentive fee determined at the end of the first calendar year of operations may be calculated for a period of shorter than twelve calendar months to take into account any realized capital gains computed net of all realized capital losses on a cumulative basis and unrealized capital depreciation.

Below is a summary of the base management fees and incentive fees incurred during the three month periods ended March 31, 2020 and 2019.



	For the three month periods ended
	March 31, 2020		March 31, 2019
Base management fees	$	7,386	$	7,685
Incentive fees on pre-incentive fee net investment income	5,086		5,846
Realized capital gains incentive fees	—		—
Accrued capital gains incentive fees	—		—
Total capital gains incentive fees	—		—
Total incentive fees	5,086		5,846
Total base management fees and incentive fees	$	12,472	$	13,531

Accrued capital gains incentive fees are based upon the cumulative net realized and unrealized appreciation (depreciation) from inception. Accordingly, the accrual for any capital gains incentive fee under U.S. GAAP in a given period may result in an additional expense if such cumulative amount is greater than in the prior period or a reduction of previously recorded expense if such cumulative amount is less than in the prior period. If such cumulative amount is negative, then there is no accrual.

As of March 31, 2020 and December 31, 2019, $12,333 and $13,236, respectively, was included in base management and incentive fees payable in the accompanying Consolidated Statements of Assets and Liabilities.

On April 3, 2013, the Investment Adviser entered into a personnel agreement with The Carlyle Group Employee Co., L.L.C. (“Carlyle Employee Co.”), an affiliate of the Investment Adviser, pursuant to which Carlyle Employee Co. provides the Investment Adviser with access to investment professionals.

Administration Agreement

Pursuant to the Administration Agreement, the Administrator provides services and receives reimbursements equal to an amount that reimburses the Administrator for its costs and expenses and the Company’s allocable portion of overhead incurred by the Administrator in performing its obligations under the Administration Agreement, including the Company’s allocable portion of the compensation paid to or compensatory distributions received by the Company’s officers (including the Chief Compliance Officer and Treasurer) and respective staff who provide services to the Company, operations staff who provide services to the Company, and any internal audit staff, to the extent internal audit performs a role in the Company’s Sarbanes-Oxley Act of 2002, as amended (the “Sarbanes-Oxley Act”), internal control assessment. Reimbursement under the Administration Agreement occurs quarterly in arrears.

Unless terminated earlier, the Administration Agreement will renew automatically for successive annual periods, provided that such continuance is specifically approved at least annually by (i) the vote of the Board of Directors or by a majority vote of the outstanding voting securities of the Company and (ii) the vote of a majority of the Company’s Independent Directors. On May 6, 2019, the Company's Board of Directors, including a majority of the Independent Directors, approved the continuance of the Administration Agreement for a one-year period. The Administration Agreement may not be assigned by a party without the consent of the other party and may be terminated by either party without penalty upon at least 60 days’ written notice to the other party.

For the three month period ended March 31, 2020, the Company incurred $106 in fees under the Administration Agreement. For the three month period ended March 31, 2019, the Company incurred $216 in fees under the Administration Agreement. These fees are included in administrative service fees in the accompanying Consolidated Statements of Operations. As of March 31, 2020 and December 31, 2019, $98 and $77, respectively, was unpaid and included in administrative service fees payable in the accompanying Consolidated Statements of Assets and Liabilities.

Sub-Administration Agreements

On April 3, 2013, the Administrator entered into a sub-administration agreement with Carlyle Employee Co. (the “Carlyle Sub-Administration Agreement”). Pursuant to the Carlyle Sub-Administration Agreement, Carlyle Employee Co. provides the Administrator with access to personnel.

On April 3, 2013, the Administrator entered into a sub-administration agreement with State Street Bank and Trust Company (“State Street” and, such agreement, the “State Street Sub-Administration Agreement” and, together with the Carlyle Sub-Administration Agreement, the “Sub-Administration Agreements”). On March 11, 2015, the Company's Board of Directors, including a majority of the Independent Directors, approved an amendment to the State Street Sub-Administration Agreement. The initial term of the State Street Sub-Administration Agreement ends on April 1, 2017, and unless terminated earlier, the State Street Sub-Administration Agreement will renew automatically for successive annual periods, provided that such continuance is specifically approved at least annually by (i) the vote of the Board of Directors or by the vote of a majority of the outstanding voting securities of the Company and (ii) the vote of a majority of the Company’s Independent Directors. On May 6, 2019, the Company's Board of Directors, including a majority of the Independent Directors, approved the continuance of the State Street Sub-Administration Agreement for a one-year period. The State Street Sub-Administration Agreement may be terminated upon at least 60 days’ written notice and without penalty by the vote of a majority of the outstanding securities of the Company, or by the vote of the Board of Directors or by either party to the State Street Sub-Administration Agreement.

For the three month period ended March 31, 2020, fees incurred in connection with the State Street Sub-Administration Agreement, which amounted to $193 were included in other general and administrative in the accompanying Consolidated Statements of Operations. For the three month period ended March 31, 2019, fees incurred in connection with the State Street Sub-Administration Agreement, which amounted to $189 were included in other general and administrative in the accompanying Consolidated Statements of Operations. As of March 31, 2020 and December 31, 2019, $572 and $380, respectively, was unpaid and included in other accrued expenses and liabilities in the accompanying Consolidated Statements of Assets and Liabilities.

License Agreement

The Company has entered into a royalty free license agreement with CIM, which wholly owns our Adviser and is a wholly owned subsidiary of Carlyle, pursuant to which CIM has granted the Company a non-exclusive, revocable and non-transferable license to use the name and mark “Carlyle.”

Board of Directors

The Company’s Board of Directors currently consists of five members, three of whom are Independent Directors. The Board of Directors has established an Audit Committee, a Pricing Committee, a Nominating and Governance Committee and a Compensation Committee, the members of each of which consist entirely of the Company’s Independent Directors. The Board of Directors may establish additional committees in the future. For the three month period ended March 31, 2020, the Company incurred $96, and for the three month period ended March 31, 2019, the Company incurred $93 in fees and expenses associated with its Independent Directors' services on the Company's Board of Directors and its committees. As of March 31, 2020 and December 31, 2019, $10 and $0, respectively, in fees or expenses associated with its Independent Directors were payable.

Transactions with Credit Fund

For the three month period ended March 31, 2020, the Company sold 1 investment to Credit Fund for proceeds of $19,119 and realized gains (losses) of $264. For the three month period ended March 31, 2019, the Company sold no investments to Credit Fund. See Note 5, Middle Market Credit Fund, LLC, for further information about Credit Fund.

5. MIDDLE MARKET CREDIT FUND, LLC

Overview

On February 29, 2016, the Company and Credit Partners entered into the Limited Liability Company Agreement to co-manage Credit Fund, a Delaware limited liability company that is not consolidated in the Company’s consolidated financial statements. Credit Fund commenced operations in May 2016 and primarily invests in first lien loans of middle market companies. Credit Fund is managed by a six-member board of managers, on which the Company and Credit Partners each have equal representation. Establishing a quorum for Credit Fund’s board of managers requires at least four members to be present at a meeting, including at least two of the Company’s representatives and two of Credit Partners’ representatives. The Company and Credit Partners each have 50% economic ownership of Credit Fund and have commitments to fund, from time to time, capital of up to $400,000 each. Funding of such commitments generally requires the approval of the board of Credit Fund, including the board members appointed by the Company. By virtue of its membership interest, the Company and Credit Partners each indirectly bear an allocable share of all expenses and other obligations of Credit Fund.

Together with Credit Partners, the Company co-invests through Credit Fund. Investment opportunities for Credit Fund are sourced primarily by the Company and its affiliates. Portfolio and investment decisions with respect to Credit Fund must be unanimously approved by a quorum of Credit Fund’s investment committee consisting of an equal number of representatives of the Company and Credit Partners. Therefore, although the Company owns more than 25% of the voting securities of Credit Fund, the Company does not believe that it has control over Credit Fund (other than for purposes of the Investment Company Act). Middle Market Credit Fund SPV, LLC (the “Credit Fund Sub”), MMCF CLO 2017-1 LLC (the “2017-1 Issuer”), MMCF CLO 2019-2, LLC (the "2019-2 Issuer", formerly known as MMCF Warehouse, LLC (the "Credit Fund Warehouse")) and MMCF Warehouse II, LLC (the "Credit Fund Warehouse II"), each a Delaware limited liability company, were formed on April 5, 2016, October 6, 2017, November 26, 2018 and August 16, 2019, respectively. Credit Fund Sub, the 2017-1 Issuer, the 2019-2 Issuer and Credit Fund Warehouse II are wholly owned subsidiaries of Credit Fund and are consolidated in Credit Fund’s consolidated financial statements commencing from the date of their respective formations. Credit Fund Sub, the 2017-1 Issuer, the 2019-2 Issuer and Credit Fund Warehouse II primarily invest in first lien loans of middle market companies. Credit Fund and its wholly owned subsidiaries follow the same Internal Risk Rating System as the Company. Refer to "Debt" below for discussions regarding the credit facilities entered into and then notes issued by such wholly-owned subsidiaries.

Credit Fund, the Company and Credit Partners entered into an administration agreement with Carlyle Global Credit Administration L.L.C., the administrative agent of Credit Fund (in such capacity, the “Administrative Agent”), pursuant to which the Administrative Agent is delegated certain administrative and non-discretionary functions, is authorized to enter into sub-administration agreements at the expense of Credit Fund with the approval of the board of managers of Credit Fund, and is reimbursed by Credit Fund for its costs and expenses and Credit Fund’s allocable portion of overhead incurred by the Administrative Agent in performing its obligations thereunder.

Selected Financial Data

Since inception of Credit Fund and through March 31, 2020 and December 31, 2019, the Company and Credit Partners each made capital contributions of $1 and $1 in members’ equity, respectively, and $216,000 and $123,500 in subordinated loans, respectively, to Credit Fund. Below is certain summarized consolidated financial information for Credit Fund as of March 31, 2020 and December 31, 2019.



	As of
	March 31, 2020		December 31, 2019
	(unaudited)
Selected Consolidated Balance Sheet Information
ASSETS
Investments, at fair value (amortized cost of $1,296,794 and $1,258,157, respectively)	$	1,199,183	$	1,246,839
Cash and cash equivalents	79,802		64,787
Other assets	47,437		9,369
Total assets	$	1,326,422	$	1,320,995
LIABILITIES AND MEMBERS’ EQUITY
Secured borrowings	$	462,421	$	441,077
Notes payable, net of unamortized debt issuance costs of $3,320 and $3,441, respectively	487,066		528,407
Mezzanine loans ⁽¹⁾	—		93,000
Other Short-Term Borrowings	8,802		—
Other liabilities	43,135		32,383
Subordinated loans and members’ equity (1)	324,998		226,128
Liabilities and members’ equity	$	1,326,422	$	1,320,995

⁽¹⁾ As of March 31, 2020 and December 31, 2019, the Company's ownership interest in the subordinated loans and members’ equity was $185,134 and $111,596, respectively, and $0 and $93,000, respectively, in the mezzanine loans.



	For the three month periods ended
	March 31, 2020			March 31, 2019
	(unaudited)
Selected Consolidated Statement of Operations Information:
Total investment income	$	21,592		$	22,606
Expenses
Interest and credit facility expenses	13,927			14,730
Other expenses	503			441
Total expenses	14,430			15,171
Net investment income (loss)	7,162			7,435
Net realized gain (loss) on investments	—			(8,285		)
Net change in unrealized appreciation (depreciation) on investments	(86,293		)	17,778
Net increase (decrease) resulting from operations	$	(79,131	)	$	16,928

Below is a summary of Credit Fund’s portfolio, followed by a listing of the loans in Credit Fund’s portfolio as of March 31, 2020 and December 31, 2019:



	As of
	March 31, 2020			December 31, 2019
Senior secured loans ⁽¹⁾	$	1,299,438		$	1,260,582
Weighted average yields of senior secured loans based on amortized cost ⁽²⁾	6.01		%	6.51		%
Weighted average yields of senior secured loans based on fair value ⁽²⁾	6.48		%	6.55		%
Number of portfolio companies in Credit Fund	63			61
Average amount per portfolio company ⁽¹⁾	$	20,626		$	20,665
Number of loans on non-accrual status	1			1
Fair value of loans on non-accrual status	$	21,150		$	21,150
Percentage of portfolio at floating interest rates ⁽³⁾⁽⁴⁾	98.2		%	98.3		%
Percentage of portfolio at fixed interest rates ⁽⁴⁾	1.8		%	1.7		%
Fair value of loans with PIK provisions	$	21,150		$	21,150
Percentage of portfolio with PIK provisions ⁽⁴⁾	1.8		%	1.7		%


(1)	At par/principal amount.

(2)

Weighted average yields include the effect of accretion of discounts and amortization of premiums and are based on interest rates as of March 31, 2020 and December 31, 2019. Weighted average yield on debt and income producing securities at fair value is computed as (a) the annual stated interest rate or yield earned plus the net annual amortization of original issue discount ("OID") and market discount earned on accruing debt included in such securities, divided by (b) total first lien and second lien debt at fair value included in such securities. Weighted average yield on debt and income producing securities at amortized cost is computed as (a) the annual stated interest rate or yield earned plus the net annual amortization of OID and market discount earned on accruing debt included in such securities, divided by (b) total first lien and second lien debt at amortized cost included in such securities. Actual yields earned over the life of each investment could differ materially from the yields presented above.


(3)	Floating rate debt investments are generally subject to interest rate floors.


(4)	Percentages based on fair value.



Consolidated Schedule of Investments as of March 31, 2020
Investments ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Maturity Date	Par/ Principal Amount		Amortized Cost ⁽⁴⁾		Fair Value ⁽⁵⁾
First Lien Debt (98.17% of fair value)
Achilles Acquisition, LLC	+\#	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 4.00%	5.00%	10/13/2025	$	29,805	$	29,690	$	25,931
Acrisure, LLC	+\	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 3.50%	5.21%	2/15/2027	25,828		25,796		22,486
Advanced Instruments, LLC	+*\	(2) (3)	Healthcare & Pharmaceuticals	L + 5.25%	6.26%	10/31/2022	36,087		36,019		35,405
Alku, LLC	+#	(2) (3)	Business Services	L + 5.50%	7.31%	7/29/2026	25,000		24,758		23,900
Alpha Packaging Holdings, Inc.	+*\	(2) (3)	Containers, Packaging & Glass	L + 6.00%	7.13%	11/12/2021	16,639		16,637		16,296
AmeriLife Holdings LLC	#	(2) (3) (7)	Banking, Finance, Insurance & Real Estate	L + 4.00%	5.45%	3/18/2027	8,864		8,839		8,286
Analogic Corporation	^+	(2) (3) (7)	Capital Equipment	L + 5.25%	6.25%	6/22/2024	19,169		19,144		18,143
Anchor Packaging, Inc.	^+#	(2) (3) (7)	Containers, Packaging & Glass	L + 4.00%	4.99%	7/18/2026	20,410		20,315		19,056
API Technologies Corp.	+\	(2) (3)	Aerospace & Defense	L + 4.25%	5.24%	5/9/2026	14,888		14,818		12,887
Aptean, Inc.	+ \	(2) (3)	Software	L + 4.25%	5.24%	4/23/2026	12,375		12,313		10,271
AQA Acquisition Holding, Inc.	^*\	(2) (3) (7)	High Tech Industries	L + 4.25%	5.65%	5/24/2023	21,323		21,299		20,741
Astra Acquisition Corp.	+#	(2) (3)	Software	L + 5.50%	6.50%	3/1/2027	29,000		28,567		26,822
Avalign Technologies, Inc.	+\	(2) (3)	Healthcare & Pharmaceuticals	L + 4.50%	5.57%	12/22/2025	14,704		14,578		13,893
Big Ass Fans, LLC	+*\	(2) (3)	Capital Equipment	L + 3.75%	5.20%	5/21/2024	13,873		13,809		13,515
BK Medical Holding Company, Inc.	^+	(2) (3) (7)	Healthcare & Pharmaceuticals	L + 5.25%	6.25%	6/22/2024	24,348		24,089		23,456
Brooks Equipment Company, LLC	+*	(2) (3)	Construction & Building	L + 5.00%	6.60%	8/29/2020	5,066		5,064		5,019
Clarity Telecom LLC.	+	(2) (3)	Media: Broadcasting & Subscription	L + 4.25%	5.24%	8/30/2026	14,925		14,880		14,058
Clearent Newco, LLC	^+\	(2) (3) (7)	High Tech Industries	L + 5.50%	6.87%	3/20/2025	29,675		29,386		27,402
Datto, Inc.	+\	(2) (3)	High Tech Industries	L + 4.25%	5.24%	4/2/2026	12,406		12,345		11,720
DecoPac, Inc.	^+ *\	(2) (3) (7)	Non-durable Consumer Goods	L + 4.25%	5.27%	9/29/2024	13,622		13,524		13,622
DTI Holdco, Inc.	+*\	(2) (3)	High Tech Industries	L + 4.75%	6.53%	9/30/2023	18,836		18,729		13,233
Eliassen Group, LLC	+\	(2) (3)	Business Services	L + 4.50%	5.49%	11/5/2024	7,571		7,540		7,376
EvolveIP, LLC	^+	(2) (3) (7)	Telecommunications	L + 5.75%	6.75%	6/7/2023	19,948		19,895		19,388
Exactech, Inc.	+\#	(2) (3)	Healthcare & Pharmaceuticals	L + 3.75%	4.75%	2/14/2025	21,694		21,563		17,084
Excel Fitness Holdings, Inc.	+#	(2) (3)	Hotel, Gaming & Leisure	L + 5.25%	6.25%	10/7/2025	24,938		24,705		22,539
Golden West Packaging Group LLC	+*\	(2) (3)	Containers, Packaging & Glass	L + 5.75%	6.75%	6/20/2023	29,252		29,103		28,333
HMT Holding Inc.	^ +*\	(2) (3) (7)	Energy: Oil & Gas	L + 5.00%	6.02%	11/17/2023	37,305		36,855		36,630
Jensen Hughes, Inc.	^+*\	(2) (3) (7)	Utilities: Electric	L + 4.50%	5.57%	3/22/2024	34,871		34,726		33,326
KAMC Holdings, Inc.	+#	(2) (3)	Energy: Electricity	L + 4.00%	5.61%	8/14/2026	13,930		13,866		13,083
Lionbridge Technologies, Inc.	+	(2) (3)	Business Services	L + 6.25%	7.32%	12/29/2025	24,938		24,938		23,583
MAG DS Corp.	+\	(2) (3) (7)	Aerospace & Defense	L + 4.75%	6.20%	6/6/2025	27,632		27,413		27,632
Maravai Intermediate Holdings, LLC	+\#	(2) (3)	Healthcare & Pharmaceuticals	L + 4.25%	5.75%	8/2/2025	29,550		29,313		28,040
Marco Technologies, LLC	^+\	(2) (3) (7)	Media: Advertising, Printing & Publishing	L + 4.25%	5.78%	10/30/2023	7,444		7,394		6,979



Consolidated Schedule of Investments as of March 31, 2020
Investments ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Maturity Date	Par/ Principal Amount		Amortized Cost ⁽⁴⁾		Fair Value ⁽⁵⁾
Mold-Rite Plastics, LLC	+\	(2) (3)	Chemicals, Plastics & Rubber	L + 4.25%	5.32%	12/14/2021	$	14,557	$	14,524	$	14,288
MSHC, Inc.	^+*\	(2) (3) (7)	Construction & Building	L + 4.25%	5.25%	12/31/2024	42,477		42,340		40,467
Newport Group Holdings II, Inc.	+\#	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 3.75%	5.20%	9/13/2025	23,655		23,436		22,626
Odyssey Logistics & Technology Corp.	+*\#	(2) (3)	Transportation: Cargo	L + 4.00%	5.07%	10/12/2024	39,013		38,866		27,309
Output Services Group	^+\	(2) (3)	Media: Advertising, Printing & Publishing	L + 4.50%	6.11%	3/27/2024	19,571		19,523		18,432
PAI Holdco, Inc.	+*\	(2) (3)	Automotive	L + 4.25%	5.39%	1/5/2025	19,486		19,415		18,956
Park Place Technologies, Inc.	+\#	(2) (3)	High Tech Industries	L + 4.00%	5.00%	3/28/2025	22,502		22,429		21,827
Pasternack Enterprises, Inc.	+\	(2) (3)	Capital Equipment	L + 4.00%	5.00%	7/2/2025	22,697		22,684		21,955
Pharmalogic Holdings Corp.	+\	(2) (3)	Healthcare & Pharmaceuticals	L + 4.00%	5.00%	6/11/2023	11,292		11,269		11,091
Premise Health Holding Corp.	^+\#	(2) (3) (7)	Healthcare & Pharmaceuticals	L + 3.50%	4.95%	7/10/2025	13,689		13,632		13,081
Propel Insurance Agency, LLC	^+\	(2) (3) (7)	Banking, Finance, Insurance & Real Estate	L + 4.25%	5.70%	6/1/2024	22,475		22,024		21,678
Q Holding Company	+*\#	(2) (3)	Automotive	L + 5.00%	6.45%	12/31/2023	21,900		21,732		20,560
QW Holding Corporation (Quala)	^+*	(2) (3) (7)	Environmental Industries	L + 6.25%	7.70%	8/31/2022	16,305		16,144		15,895
Radiology Partners, Inc.	+\#	(2) (3)	Healthcare & Pharmaceuticals	L + 4.25%	5.98%	7/9/2025	27,686		27,566		22,149
RevSpring Inc.	*\#	(2) (3)	Media: Advertising, Printing & Publishing	L + 4.00%	5.45%	10/11/2025	29,688		29,476		25,012
Situs Group Holdings Corporation	^+\	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 4.75%	5.81%	6/28/2025	14,897		14,790		13,954
Surgical Information Systems, LLC	+*\	(2) (3) (6)	High Tech Industries	L + 4.75%	7.21%	4/24/2023	26,168		26,016		25,417
Systems Maintenance Services Holding, Inc.	^*	(2) (3) (9)	High Tech Industries	L + 5.00%	6.45%	10/30/2023	23,735		23,647		16,837
T2 Systems, Inc.	^+*	(2) (3) (7)	Transportation: Consumer	L + 6.75%	8.34%	9/28/2022	17,804		17,570		17,630
The Original Cakerie, Ltd. (Canada)	^+*\	(2) (3)	Beverage, Food & Tobacco	L + 5.00%	6.62%	7/20/2022	8,906		8,879		8,723
The Original Cakerie, Ltd. (Canada)	^+*\	(2) (3)	Beverage, Food & Tobacco	L + 4.50%	5.95%	7/20/2022	8,009		7,988		7,858
Thoughtworks, Inc.	*\#	(2) (3)	Business Services	L + 3.75%	5.20%	10/11/2024	11,794		11,769		10,202
U.S. Acute Care Solutions, LLC	+*\	(2) (3)	Healthcare & Pharmaceuticals	L + 5.00%	6.45%	5/15/2021	31,299		31,217		27,624
U.S. TelePacific Holdings Corp.	+*\	(2) (3)	Telecommunications	L + 5.00%	6.07%	5/2/2023	26,660		26,510		20,195
Valet Waste Holdings, Inc.	+\#	(2) (3)	Construction & Building	L + 3.75%	4.74%	9/28/2025	18,058		17,967		17,383
VRC Companies, LLC	^+	(2) (3) (7)	Business Services	L + 6.50%	7.99%	3/31/2023	5,548		5,321		5,295
Welocalize, Inc.	^+	(2) (3) (7)	Business Services	L + 4.50%	5.50%	12/2/2024	23,804		23,563		23,113
WRE Holding Corp.	^+*	(2) (3) (7)	Environmental Industries	L + 5.00%	6.45%	1/3/2023	7,854		7,800		7,718
Zywave, Inc.	^+*\	(2) (3)	High Tech Industries	L + 5.00%	6.72%	11/17/2022	20,177		20,066		19,870
First Lien Debt Total									$	1,270,073	$	1,177,280
Second Lien Debt (1.82% of fair value)
DBI Holding, LLC	^*	(8)	Transportation: Cargo	8.00% PIK	8.00%	2/1/2026	$	21,150	$	20,697	$	21,150
Zywave, Inc.	*	(2) (3)	High Tech Industries	L + 9.00%	10.8%	11/17/2023	666		660		642
Second Lien Debt Total									$	21,357	$	21,792



Investments ⁽¹⁾		Footnotes	Industry	Type	Shares/Units	Cost		Fair Value ⁽⁶⁾
Equity Investments (0.01% of fair value)
DBI Holding, LLC	^*		Transportation: Cargo	Common stock	16,957	$	5,364	$	111
Equity Investments Total						$	5,364	$	111
Total Investments						$	1,296,794	$	1,199,183

^ Denotes that all or a portion of the assets are owned by Credit Fund. Credit Fund has entered into a revolving credit facility with the Company (the "Credit Fund Facility"). Accordingly, such assets are not available to creditors of Credit Fund Sub, the 2017-1 Issuer, the 2019-2 Issuer or Credit Fund Warehouse II.

+ Denotes that all or a portion of the assets are owned by Credit Fund Sub. Credit Fund Sub has entered into a revolving credit facility (the “Credit Fund Sub Facility”). The lenders of the Credit Fund Sub Facility have a first lien security interest in substantially all of the assets of Credit Fund Sub. Accordingly, such assets are not available to creditors of Credit Fund, the 2017-1 Issuer, the 2019-2 Issuer or Credit Fund Warehouse II.

* Denotes that all or a portion of the assets are owned by the 2017-1 Issuer and secure the notes issued in connection with a $399,900 term debt securitization completed by Credit Fund on December 19, 2017 (the “2017-1 Debt Securitization”). Accordingly, such assets are not available to creditors of Credit Fund, Credit Fund Sub, the 2019-2 Issuer or Credit Fund Warehouse II.

\ Denotes that all or a portion of the assets are owned by the 2019-2 Issuer and secure the notes issued in connection with a $399,900 term debt securitization completed by Credit Fund on May 21, 2019 (the “2019-2 Debt Securitization”). Accordingly, such assets are not available to creditors of Credit Fund, Credit Fund Sub, the 2017-1 Issuer or Credit Fund Warehouse II.

# Denotes that all or a portion of the assets are owned by the Credit Fund Warehouse II. Credit Fund Warehouse II has entered into a revolving credit facility (the "Credit Fund Warehouse II Facility"). The lenders of the Credit Fund Warehouse II Facility have a first lien security interest in substantially all of the assets of the Credit Fund Warehouse II. Accordingly, such assets are not available to creditors of Credit Fund, Credit Fund Sub, the 2017-1 Issuer or the 2019-2 Issuer.


(1)	Unless otherwise indicated, issuers of investments held by Credit Fund are domiciled in the United States. As of March 31, 2020, the geographical composition of investments as a percentage of fair value was 1.40% in Canada and 98.60% in the United States. Certain portfolio company investments are subject to contractual restrictions on sales.

(2)

Variable rate loans to the portfolio companies bear interest at a rate that is determined by reference to either LIBOR or an alternate base rate (commonly based on the Federal Funds Rate or the U.S. Prime Rate), which generally resets quarterly. For each such loan, Credit Fund has indicated the reference rate used and provided the spread and the interest rate in effect as of March 31, 2020. As of March 31, 2020, the reference rates for Credit Fund’s variable rate loans were the 30-day LIBOR at 0.99%, the 90-day LIBOR at 1.45% and the 180-day LIBOR at 1.18%.


(3)	Loan includes interest rate floor feature, which is generally 1.00%.


(4)	Amortized cost represents original cost, including origination fees and upfront fees received that are deemed to be an adjustment to yield, adjusted for the accretion/amortization of discounts/premiums, as applicable, on debt investments using the effective interest method.


(5)	Fair value is determined in good faith by or under the direction of the board of managers of Credit Fund, pursuant to Credit Fund’s valuation policy, with the fair value of all investments determined using significant unobservable inputs, which is substantially similar to the valuation policy of the Company provided in Note 3, Fair Value Measurements.

(6)

In addition to the interest earned based on the stated interest rate of this loan, which is the amount reflected in this schedule, Credit Fund Sub and the 2017-1 Issuer is entitled to receive additional interest as a result of an agreement among lenders as follows: Surgical Information Systems, LLC (1.13%). Pursuant to the agreement among lenders in respect of these loans, these investments represent a first lien/last out loan, which has a secondary priority behind the first lien/first out loan with respect to principal, interest and other payments.


(7)	As of March 31, 2020, Credit Fund and Credit Fund Sub had the following unfunded commitments to fund delayed draw and revolving senior secured loans:



First Lien Debt – unfunded delayed draw and revolving term loans commitments	Type	Unused Fee	Par/ Principal Amount		Fair Value
AmeriLife Holdings LLC	Delayed Draw	1.00%	$	1,136	$	(66	)
Analogic Corporation	Revolver	0.50	1,806		(88		)
Anchor Packaging, Inc.	Delayed Draw	1.00	4,487		(244		)
AQA Acquisition Holding, Inc.	Revolver	0.50	42		(1		)
BK Medical Holding Company, Inc.	Revolver	0.50	2,609		(86		)
Clearent Newco, LLC	Delayed Draw	1.00	6,636		(415		)
DecoPac, Inc.	Revolver	0.50	857		—
EvolveIP, LLC	Delayed Draw	1.00	2,240		(53		)
EvolveIP, LLC	Revolver	0.50	1,344		(32		)
HMT Holding Inc.	Revolver	0.50	1,940		(33		)
Jensen Hughes, Inc.	Revolver	0.50	91		(4		)
Jensen Hughes, Inc.	Delayed Draw	1.00	2,365		(98		)
MAG DS Corp.	Revolver	0.50	2,965		—
Marco Technologies, LLC	Delayed Draw	1.00	7,500		(233		)
MSHC, Inc.	Delayed Draw	1.00	747		(35		)
Premise Health Holding Corp.	Delayed Draw	1.00	1,103		(45		)
Propel Insurance Agency, LLC	Revolver	0.50	2,381		(59		)
Propel Insurance Agency, LLC	Delayed Draw	0.50	7,143		(178		)
QW Holding Corporation (Quala)	Revolver	0.50	852		(20		)
QW Holding Corporation (Quala)	Delayed Draw	1.00	161		(4		)
T2 Systems, Inc.	Revolver	0.50	1,564		(14		)
VRC Companies, LLC	Delayed Draw	0.75	6,091		(132		)
Welocalize, Inc.	Revolver	0.50	1,238		(34		)
WRE Holding Corp.	Delayed Draw	1.00	1,981		(27		)
Total unfunded commitments			$	59,279	$	(1,901	)


(8)	Loan was on non-accrual status as of March 31, 2020.


(9)	The sale of a portion of this loan does not qualify for sale accounting under ASC Topic 860 - Transfers and Servicing ("ASC Topic 860"), and therefore, the asset remains in the Consolidated Schedule of Investments



Consolidated Schedule of Investments as of December 31, 2019
Investments ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Maturity Date	Par/ Principal Amount		Amortized Cost ⁽⁵⁾		Fair Value ⁽⁶⁾
First Lien Debt (98.11% of fair value)
Achilles Acquisition, LLC	+\#	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 4.00%	5.75%	10/13/2025	$	17,865	$	17,776	$	17,763
Acrisure, LLC	+\	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 3.75%	5.85%	11/22/2023	11,820		11,810		11,805
Acrisure, LLC	+\#	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 4.25%	6.35%	11/22/2023	20,674		20,639		20,674
Advanced Instruments, LLC	^+*\	(2) (3) (7)	Healthcare & Pharmaceuticals	L + 5.25%	6.99%	10/31/2022	35,610		35,536		35,466
Alku, LLC	+#	(2) (3)	Business Services	L + 5.50%	7.44%	7/29/2026	25,000		24,754		24,624
Alpha Packaging Holdings, Inc.	+*\	(2) (3)	Containers, Packaging & Glass	L + 4.25%	6.35%	5/12/2020	16,684		16,676		16,601
AmeriLife Group, LLC	^#	(2) (3) (7)	Banking, Finance, Insurance & Real Estate	L + 4.50%	6.20%	6/5/2026	16,627		16,557		16,558
Anchor Packaging, Inc.	^#	(2) (3) (7)	Containers, Packaging & Glass	L + 4.00%	5.70%	7/18/2026	20,462		20,363		20,457
API Technologies Corp.	+\	(2) (3)	Aerospace & Defense	L + 4.25%	5.95%	5/9/2026	14,925		14,853		14,807
Aptean, Inc.	+\	(2) (3)	Software	L + 4.25%	6.34%	4/23/2026	12,406		12,344		12,385
AQA Acquisition Holding, Inc.	^*\	(2) (3) (7)	High Tech Industries	L + 4.25%	6.16%	5/24/2023	18,954		18,922		18,860
Avalign Technologies, Inc.	+\	(2) (3)	Healthcare & Pharmaceuticals	L + 4.50%	6.70%	12/22/2025	14,741		14,610		14,626
Big Ass Fans, LLC	+*\	(2) (3)	Capital Equipment	L + 3.75%	5.85%	5/21/2024	13,909		13,841		13,903
Borchers, Inc.	+*\	(2) (3) (7)	Chemicals, Plastics & Rubber	L + 4.50%	6.60%	11/1/2024	15,116		15,072		15,085
Brooks Equipment Company, LLC	*		Construction & Building	L + 5.00%	6.91%	8/29/2020	5,144		5,141		5,141
Clarity Telecom LLC.	+	(2) (3)	Media: Broadcasting & Subscription	L + 4.50%	6.20%	8/30/2026	14,963		14,915		14,902
Clearent Newco, LLC	^+\	(2) (3) (7)	High Tech Industries	L + 5.50%	7.44%	3/20/2025	29,738		29,436		29,134
Datto, Inc.	+\	(2) (3)	High Tech Industries	L + 4.25%	5.95%	4/2/2026	12,438		12,375		12,420
DecoPac, Inc.	+*\	(2) (3) (7)	Non-durable Consumer Goods	L + 4.25%	6.01%	9/29/2024	12,336		12,233		12,292
Dent Wizard International Corporation	+\	(2) (3)	Automotive	L + 4.00%	5.70%	4/7/2020	36,880		36,843		36,717
DTI Holdco, Inc.	+*\	(2) (3)	High Tech Industries	L + 4.75%	6.68%	9/30/2023	18,885		18,771		17,611
Eliassen Group, LLC	+\	(2) (3)	Business Services	L + 4.50%	6.20%	11/5/2024	7,581		7,548		7,579
EIP Merger Sub, LLC (Evolve IP)	^+	(2) (3) (7)	Telecommunications	L + 5.75%	7.45%	6/7/2023	19,661		19,605		19,661
Exactech, Inc.	+\#	(2) (3)	Healthcare & Pharmaceuticals	L + 3.75%	5.45%	2/14/2025	21,772		21,634		21,751
Excel Fitness Holdings, Inc.	+#	(2) (3)	Hotel, Gaming & Leisure	L + 5.25%	6.95%	10/7/2025	25,000		24,758		24,875
Golden West Packaging Group LLC	+*\	(2) (3)	Containers, Packaging & Glass	L + 5.75%	7.45%	6/20/2023	29,464		29,303		29,072
HMT Holding Inc.	^+*\	(2) (3) (7)	Energy: Oil & Gas	L + 5.00%	6.74%	11/17/2023	33,157		32,678		32,972
Jensen Hughes, Inc.	^+*\	(2) (3) (7)	Utilities: Electric	L + 4.50%	6.24%	3/22/2024	33,909		33,757		33,550
KAMC Holdings, Inc.	+#	(2) (3)	Energy: Electricity	L + 4.00%	5.91%	8/14/2026	13,965		13,899		13,881
MAG DS Corp.	^+\	(2) (3) (7)	Aerospace & Defense	L + 4.75%	6.46%	6/6/2025	28,471		28,242		28,286
Maravai Intermediate Holdings, LLC	+\#	(2) (3)	Healthcare & Pharmaceuticals	L + 4.25%	6.00%	8/2/2025	29,625		29,378		29,400
Marco Technologies, LLC	^+\	(2) (3) (7)	Media: Advertising, Printing & Publishing	L + 4.25%	6.16%	10/30/2023	7,463		7,410		7,463



Consolidated Schedule of Investments as of December 31, 2019
Investments ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Maturity Date	Par/ Principal Amount		Amortized Cost ⁽⁵⁾		Fair Value ⁽⁶⁾
Mold-Rite Plastics, LLC	+\	(2) (3)	Chemicals, Plastics & Rubber	L + 4.25%	5.95%	12/14/2021	$	14,557	$	14,519	$	14,524
MSHC, Inc.	^+*\	(2) (3) (7)	Construction & Building	L + 4.25%	5.95%	12/31/2024	38,251		38,138		38,166
Newport Group Holdings II, Inc.	+\#	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 3.75%	5.65%	9/13/2025	23,715		23,487		23,663
Odyssey Logistics & Technology Corp.	+*\#	(2) (3)	Transportation: Cargo	L + 4.00%	5.70%	10/12/2024	39,013		38,859		38,763
Output Services Group	^+\	(2) (3) (7)	Media: Advertising, Printing & Publishing	L + 4.50%	6.20%	3/27/2024	19,621		19,570		19,469
PAI Holdco, Inc.	+*\	(2) (3)	Automotive	L + 4.25%	6.35%	1/5/2025	19,532		19,458		19,532
Park Place Technologies, Inc.	+\#	(2) (3)	High Tech Industries	L + 4.00%	5.70%	3/28/2025	22,566		22,489		22,566
Pasternack Enterprises, Inc.	+\	(2) (3)	Capital Equipment	L + 4.00%	5.70%	7/2/2025	22,755		22,742		22,653
Pathway Vet Alliance LLC	+\	(2) (3) (7)	Consumer Services	L + 4.50%	6.21%	12/20/2024	19,085		18,708		19,217
Pharmalogic Holdings Corp.	+\	(2) (3)	Healthcare & Pharmaceuticals	L + 4.00%	5.70%	6/11/2023	11,320		11,296		11,302
Premise Health Holding Corp.	^+\#	(2) (3) (7)	Healthcare & Pharmaceuticals	L + 3.50%	5.60%	7/10/2025	13,723		13,665		13,501
Propel Insurance Agency, LLC	^+\	(2) (3) (7)	Banking, Finance, Insurance & Real Estate	L + 4.25%	6.35%	6/1/2024	22,532		22,056		22,395
Q Holding Company	+*\#	(2) (3)	Automotive	L + 5.00%	6.70%	12/31/2023	21,955		21,777		21,922
QW Holding Corporation (Quala)	^+*	(2) (3) (7)	Environmental Industries	L + 5.75%	7.73%	8/31/2022	11,630		11,449		11,531
Radiology Partners, Inc.	+\#	(2) (3)	Healthcare & Pharmaceuticals	L + 4.75%	6.66%	7/9/2025	28,719		28,590		28,768
RevSpring Inc.	+*\#	(2) (3)	Media: Advertising, Printing & Publishing	L + 4.00%	5.95%	10/11/2025	24,750		24,631		24,608
Situs Group Holdings Corporation	^+\	(2) (3) (7)	Banking, Finance, Insurance & Real Estate	L + 4.75%	6.45%	6/28/2025	13,715		13,621		13,697
Systems Maintenance Services Holding, Inc.	+*	(2) (3)	High Tech Industries	L + 5.00%	6.70%	10/30/2023	23,765		23,672		18,180
Surgical Information Systems, LLC	+*\	(2) (3) (6)	High Tech Industries	L + 4.75%	7.47%	4/24/2023	26,168		26,005		25,715
T2 Systems, Inc.	^+*	(2) (3) (7)	Transportation: Consumer	L + 6.75%	8.85%	9/28/2022	18,045		17,789		18,045
The Original Cakerie, Ltd. (Canada)	+*	(2) (3) (7)	Beverage, Food & Tobacco	L + 5.00%	6.84%	7/20/2022	8,928		8,897		8,887
The Original Cakerie, Ltd. (Canada)	^*	(2) (3) (7)	Beverage, Food & Tobacco	L + 4.50%	6.34%	7/20/2022	6,826		6,801		6,790
ThoughtWorks, Inc.	+*\	(2) (3)	Business Services	L + 4.00%	5.70%	10/11/2024	11,824		11,794		11,824
U.S. Acute Care Solutions, LLC	+*\	(2) (3)	Healthcare & Pharmaceuticals	L + 5.00%	6.91%	5/15/2021	31,431		31,331		29,869
U.S. TelePacific Holdings Corp.	+*\	(2) (3)	Telecommunications	L + 5.00%	7.10%	5/2/2023	26,660		26,499		25,430
Valet Waste Holdings, Inc.	+\	(2) (3)	Construction & Building	L + 3.75%	5.70%	9/28/2025	11,850		11,825		11,688
Welocalize, Inc.	+^	(2) (3) (7)	Business Services	L + 4.50%	6.21%	12/2/2024	23,038		22,788		22,787
WIRB - Copernicus Group, Inc.	+*\	(2) (3) (7)	Healthcare & Pharmaceuticals	L + 4.25%	5.95%	8/15/2022	20,888		20,822		20,887
WRE Holding Corp.	^+*	(2) (3) (7)	Environmental Industries	L + 5.00%	6.91%	1/3/2023	7,431		7,372		7,304
Zywave, Inc.	+*\	(2) (3) (7)	High Tech Industries	L + 5.00%	6.93%	11/17/2022	19,228		19,107		19,211
First Lien Debt Total									$	1,231,436	$	1,223,215
Second Lien Debt (1.75% of fair value)
DBI Holding, LLC	^*	(2) (3) (8)	Transportation: Cargo	8.00% PIK	8.00%	2/1/2026	$	21,150	$	20,697	$	21,150



Consolidated Schedule of Investments as of December 31, 2019
Investments ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Maturity Date	Par/ Principal Amount		Amortized Cost ⁽⁵⁾		Fair Value ⁽⁶⁾
Zywave, Inc.	*	(2) (3)	High Tech Industries	L + 9.00%	10.94%	11/17/2023	$	666	660		664
Second Lien Debt Total									$	21,357	$	21,814
Equity Investments (0.15%of fair value)
DBI Holding, LLC	^		Transportation: Cargo				$	16,957	$	5,364	$	1,810
Equity Investments Total									$	5,364	$	1,810
Total Investments									$	1,258,157	$	1,246,839

^ Denotes that all or a portion of the assets are owned by Credit Fund. Credit Fund has entered into the Credit Fund Facility. Accordingly, such assets are not available to creditors of Credit Fund Sub, the 2017-1 Issuer, the 2019-2 Issuer or Credit Fund Warehouse II.

+ Denotes that all or a portion of the assets are owned by Credit Fund Sub. Credit Fund Sub has entered into the Credit Fund Sub Facility. The lenders of the Credit Fund Sub Facility have a first lien security interest in substantially all of the assets of Credit Fund Sub. Accordingly, such assets are not available to creditors of Credit Fund, the 2017-1 Issuer, the 2019-2 Issuer or Credit Fund Warehouse II.

* Denotes that all or a portion of the assets are owned by the 2017-1 Issuer and secure the notes issued in connection with the 2017-1 Debt Securitization. Accordingly, such assets are not available to creditors of Credit Fund, Credit Fund Sub, the 2019-2 Issuer or Credit Fund Warehouse II.

\ Denotes that all or a portion of the assets are owned by the 2019-2 Issuer and secure the notes issued in connection with the 2019-2 Debt Securitization. Accordingly, such assets are not available to creditors of Credit Fund, Credit Fund Sub, the 2017-1 Issuer or Credit Fund Warehouse II.

# Denotes that all or a portion of the assets are owned by the Credit Fund Warehouse II. Credit Fund Warehouse II has entered into the Credit Fund Warehouse II Facility. The lenders of the Credit Fund Warehouse II Facility have a first lien security interest in substantially all of the assets of the Credit Fund Warehouse II. Accordingly, such assets are not available to creditors of Credit Fund, Credit Fund Sub, the 2017-1 Issuer or the 2019-2 Issuer.


(1)	Unless otherwise indicated, issuers of investments held by Credit Fund are domiciled in the United States. As of December 31, 2019, the geographical composition of investments as a percentage of fair value was 1.26% in Canada and 98.74% in the United States. Certain portfolio company investments are subject to contractual restrictions on sales.

(2)

Variable rate loans to the portfolio companies bear interest at a rate that is determined by reference to either LIBOR or an alternate base rate (commonly based on the Federal Funds Rate or the U.S. Prime Rate), which generally resets quarterly. For each such loan, Credit Fund has indicated the reference rate used and provided the spread and the interest rate in effect as of December 31, 2019. As of December 31, 2019, the reference rates for Credit Fund's variable rate loans were the 30-day LIBOR at 1.75%, the 90-day LIBOR at 1.91% and the 180-day LIBOR at 1.91%.


(3)	Loan includes interest rate floor feature, which is generally 1.00%.


(4)	Amortized cost represents original cost, including origination fees and upfront fees received that are deemed to be an adjustment to yield, adjusted for the accretion/amortization of discounts/premiums, as applicable, on debt investments using the effective interest method.


(5)	Fair value is determined in good faith by or under the direction of the board of managers of Credit Fund, pursuant to Credit Fund’s valuation policy, with the fair value of all investments determined using significant unobservable inputs, which is substantially similar to the valuation policy of the Company provided in Note 3, Fair Value Measurements, to these consolidated financial statements.

(6)

In addition to the interest earned based on the stated interest rate of this loan, which is the amount reflected in this schedule, Credit Fund is entitled to receive additional interest as a result of an agreement among lenders as follows: Surgical Information Systems, LLC (0.89%). Pursuant to the agreement among lenders in respect of these loans, these investments represent a first lien/last out loan, which has a secondary priority behind the first lien/first out loan with respect to principal, interest and other payments.


(7)	As of December 31, 2019, Credit Fund and Credit Fund Sub had the following unfunded commitments to fund delayed draw and revolving senior secured loans:



First Lien Debt—unfunded delayed draw and revolving term loans commitments	Type	Unused Fee		Par/ Principal Amount		Fair Value
Advanced Instruments, LLC	Revolver	0.50	%	$	563	$	(2	)
AmeriLife Group, LLC	Delayed Draw	1.00		298		(1		)
Anchor Packaging, Inc.	Delayed Draw	1.00		4,487		(1		)
AQA Acquisition Holding, Inc.	Revolver	0.50		2,459		(11		)
Borchers, Inc.	Revolver	0.50		1,935		(3		)
Clearent Newco, LLC	Delayed Draw	1.00		6,636		(110		)
DecoPac, Inc.	Revolver	0.50		2,143		(7		)
EIP Merger Sub, LLC (Evolve IP)	Revolver	0.50		1,680		—
EIP Merger Sub, LLC (Evolve IP)	Delayed Draw	1.00		2,240		—
HMT Holding Inc.	Revolver	0.50		6,173		(29		)
Jensen Hughes, Inc.	Revolver	0.50		1,136		(11		)
Jensen Hughes, Inc.	Delayed Draw	1.00		2,365		(23		)
MAG DS Corp.	Revolver	0.50		2,188		(13		)
Marco Technologies, LLC	Delayed Draw	1.00		7,500		—
MSHC, Inc.	Delayed Draw	1.00		1,913		(4		)
Output Services Group	Delayed Draw	4.25		116		(1		)
Pathway Vet Alliance LLC	Delayed Draw	1.00		19,867		68
Premise Health Holding Corp.	Delayed Draw	1.00		1,103		(17		)
Propel Insurance Agency, LLC	Revolver	0.50		2,381		(10		)
Propel Insurance Agency, LLC	Delayed Draw	0.50		7,143		(31		)
QW Holding Corporation (Quala)	Revolver	0.50		5,498		(31		)
QW Holding Corporation (Quala)	Delayed Draw	1.00		217		(1		)
Situs Group Holdings Corporation	Delayed Draw	1.00		1,216		(1		)
T2 Systems, Inc.	Revolver	0.50		1,369		—
The Original Cakerie, Ltd. (Canada)	Revolver	0.50		1,199		(5		)
Welocalize, Inc.	Revolver	0.50		2,057		(21		)
WIRB - Copernicus Group, Inc.	Revolver	0.50		1,000		—
WIRB - Copernicus Group, Inc.	Delayed Draw	1.00		2,592		—
WRE Holding Corp.	Revolver	0.50		441		(6		)
WRE Holding Corp.	Delayed Draw	1.00		1,981		(25		)
Zywave, Inc.	Revolver	0.50		998		(1		)
Total unfunded commitments				$	92,894	$	(297	)


(8)	Loan was on non-accrual status as of December 31, 2019.

Debt

Credit Fund Facilities

The Credit Fund, Credit Fund Sub and Credit Fund Warehouse II are party to separate credit facilities as described below. In addition, until May 15, 2019, the 2019-2 Issuer (formerly known as the Credit Fund Warehouse) was party to the Credit Fund Warehouse Facility. As of March 31, 2020 and December 31, 2019, Credit Fund, Credit Fund Sub and Credit Fund Warehouse II were in compliance with all covenants and other requirements of their respective credit facility agreements. Below is a summary of the borrowings and repayments under the credit facilities for the three month periods ended 2020 and 2019, and the outstanding balances under the credit facilities for the respective periods.



	Credit Fund Facility						Credit Fund Sub Facility						Credit Fund Warehouse Facility			Credit Fund Warehouse II Facility
	2020			2019			2020			2019			2020	2019		2020			2019
Three Month Periods Ended March 31,
Outstanding balance, beginning of period	$	93,000		$	112,000		$	343,506		$	471,134		N/A	$	101,044	$	97,571		N/A
Borrowings	63,500			30,500			57,000			60,020			N/A	12,873		19,794			N/A
Repayments	(156,500		)	(18,700		)	(33,500		)	(20,404		)	N/A	—		(21,950		)	N/A
Outstanding balance, end of period	$	—		$	123,800		$	367,006		$	510,750		N/A	$	113,917	$	95,415		N/A

Credit Fund Facility. On June 24, 2016, Credit Fund entered into the Credit Fund Facility with the Company, which was subsequently amended on June 5, 2017, October 2, 2017, November 3, 2017, June 22, 2018, June 29, 2018, February 21, 2019 and March 20, 2020, pursuant to which Credit Fund may from time to time request mezzanine loans from the Company. The maximum principal amount of the Credit Fund Facility is $175,000. The maturity date of the Credit Fund Facility is March 22, 2021. Amounts borrowed under the Credit Fund Facility bear interest at a rate of LIBOR plus 9.00%.

Credit Fund Sub Facility. On June 24, 2016, Credit Fund Sub closed on the Credit Fund Sub Facility with lenders, which was subsequently amended on May 31, 2017, October 27, 2017, August 24, 2018, December 12, 2019 and March 11, 2020. The Credit Fund Sub Facility provides for secured borrowings during the applicable revolving period up to an amount equal to $640,000. The facility is secured by a first lien security interest in substantially all of the portfolio investments held by Credit Fund Sub. The maturity date of the Credit Fund Sub Facility is May 22, 2024. Amounts borrowed under the Credit Fund Sub Facility bear interest at a rate of LIBOR plus 2.25%.

Credit Fund Warehouse Facility. On November 26, 2018, Credit Fund Warehouse closed on the Credit Fund Warehouse Facility with lenders. The Credit Fund Warehouse Facility provided for secured borrowings during the applicable revolving period up to an amount equal to $150,000. The Credit Fund Warehouse Facility was secured by a first lien security interest in substantially all of the portfolio investments held by the Credit Fund Warehouse. The maturity date of the Credit Fund Warehouse Facility was November 26, 2019. Amounts borrowed under the Credit Fund Warehouse Facility bore interest at a rate of LIBOR plus 1.05%. Effective May 15, 2019, the Warehouse Facility changed its name from “MMCF Warehouse, LLC” to “MMCF CLO 2019-2, LLC” and secured borrowings outstanding were repaid in connection with the 2019-2 Debt Securitization.

Credit Fund Warehouse II Facility. On August 16, 2019, Credit Fund Warehouse II closed on a revolving credit facility (the "Credit Fund Warehouse II Facility") with lenders. The Credit Fund Warehouse II Facility provides for secured borrowings during the applicable revolving period up to an amount equal to $150,000. The Credit Fund Warehouse II Facility is secured by a first lien security interest in substantially all of the portfolio investments held by the Credit Fund Warehouse II Facility. The maturity date of the Credit Fund Warehouse II Facility is August 16, 2022. Amounts borrowed under the Credit Fund Warehouse II Facility bear interest at a rate of LIBOR plus 1.05% for the first 12 months, LIBOR plus 1.15% for the next 12 months, and LIBOR plus 1.50% in the final 12 months.

2017-1 Notes

On December 19, 2017, Credit Fund completed the 2017-1 Debt Securitization. The notes offered in the 2017-1 Debt Securitization (the “2017-1 Notes”) were issued by the 2017-1 Issuer, a wholly owned and consolidated subsidiary of Credit Fund, and are secured by a diversified portfolio of the 2017-1 Issuer consisting primarily of first and second lien senior secured loans. The 2017-1 Debt Securitization was executed through a private placement of the 2017-1 Notes, consisting of:


•	$231,700 of Aaa/AAA Class A-1 Notes, which bear interest at the three-month LIBOR plus 1.17%;


•	$48,300 of Aa2/AA Class A-2 Notes, which bear interest at the three-month LIBOR plus 1.50%;


•	$15,000 of A2/A Class B-1 Notes, which bear interest at the three-month LIBOR plus 2.25%;


•	$9,000 of A2/A Class B-2 Notes which bear interest at 4.30%;


•	$22,900 of Baa2/BBB Class C Notes which bear interest at the three-month LIBOR plus 3.20%; and


•	$25,100 of Ba2/BB Class D Notes which bear interest at the three-month LIBOR plus 6.38%.

The 2017-1 Notes are scheduled to mature on January 15, 2028. Credit Fund received 100% of the preferred interests issued by the 2017-1 Issuer (the “2017-1 Issuer Preferred Interests”) on the closing date of the 2017-1 Debt Securitization in

exchange for Credit Fund’s contribution to the 2017-1 Issuer of the initial closing date loan portfolio. The 2017-1 Issuer Preferred Interests do not bear interest and had a nominal value of $47,900 at closing.

As of March 31, 2020 and December 31, 2019, the 2017-1 Issuer was in compliance with all covenants and other requirements of the indenture.

2019-2 Notes

On May 21, 2019, Credit Fund completed the 2019-2 Debt Securitization. The notes offered in the 2019-2 Debt Securitization (the “2019-2 Notes”) were issued by the 2019-2 Issuer, a wholly owned and consolidated subsidiary of Credit Fund, and are secured by a diversified portfolio of the 2019-2 Issuer consisting primarily of first and second lien senior secured loans. The 2019-2 Debt Securitization was executed through a private placement of the 2019-2 Notes, consisting of:


•	$233,000 of Aaa/AAA Class A-1 Notes, which bear interest at the three-month LIBOR plus 1.50%;


•	$48,000 of Aa2/AA Class A-2 Notes, which bear interest at the three-month LIBOR plus 2.40%;


•	$23,000 of A2/A Class B Notes, which bear interest at the three-month LIBOR plus 3.45%;


•	$27,000 of Baa2/BBB- Class C Notes which bear interest at the three-month LIBOR plus 4.55%; and


•	$21,000 of Ba2/BB- Class D Notes which bear interest at the three-month LIBOR plus 8.03%.

The 2019-2 Notes are scheduled to mature on April 15, 2029. Credit Fund received 100% of the preferred interests issued by the 2019-2 Issuer (the “2019-2 Issuer Preferred Interests”) on the closing date of the 2019-2 Debt Securitization in exchange for Credit Fund’s contribution to the 2019-2 Issuer of the initial closing date loan portfolio. The 2019-2 Issuer Preferred Interests do not bear interest and had a nominal value of $48,300 at closing.

As of March 31, 2020 and December 31, 2019, the 2019-2 Issuer was in compliance with all covenants and other requirements of the indenture.

Other Short-Term Borrowings

Borrowings with original maturities of less than one year are classified as short-term. Credit Fund’s short-term borrowings are the result of investments that were sold under repurchase agreements. Investments sold under repurchase agreements are accounted for as collateralized borrowings as the sale of the investment does not qualify for sale accounting under ASC Topic 860 and remains as an investment on the Consolidated Statements of Financial Condition.

6. BORROWINGS

The Company and the SPV are party to facilities as described below. In accordance with the Investment Company Act, the Company is currently only allowed to borrow amounts such that its asset coverage, as defined in the Investment Company Act, is at least 150% after such borrowing. As of March 31, 2020 and December 31, 2019, asset coverage was 163.08% and 181.01%, respectively. As of March 31, 2020 and December 31, 2019, the Company and the SPV were in compliance with all covenants and other requirements of their respective credit facility agreements. Below is a summary of the borrowings and repayments under the credit facilities for the three month periods ended 2020 and 2019, and the outstanding balances under the Facilities for the respective periods.



	For the three month periods ended
	March 31, 2020			March 31, 2019
Outstanding Borrowing, beginning of period	$	616,543		$	514,635
Borrowings	226,500			253,950
Repayments	(139,443		)	(107,626		)
Foreign currency translation	(1,991		)	—
Outstanding balance, end of period	$	701,609		$	660,959

SPV Credit Facility

The SPV closed on the SPV Credit Facility on May 24, 2013, which was subsequently amended on June 30, 2014, June 19, 2015, June 9, 2016, May 26, 2017 and August 9, 2018. The SPV Credit Facility provides for secured borrowings during the applicable revolving period up to an amount equal to the lesser of $275,000 (the borrowing base as calculated pursuant to the terms of the SPV Credit Facility) and the amount of net cash proceeds and unpledged capital commitments the Company has received, with an accordion feature that can, subject to certain conditions, increase the aggregate maximum credit commitment up to an amount not to exceed $750,000, subject to restrictions imposed on borrowings under the Investment Company Act and certain restrictions and conditions set forth in the SPV Credit Facility, including adequate collateral to support such borrowings. The SPV Credit Facility has a revolving period through May 21, 2021 and a maturity date of May 23, 2023. Borrowings under the SPV Credit Facility bear interest initially at the applicable commercial paper rate (if the lender is a conduit lender) or LIBOR (or, if applicable, a rate based on the prime rate or federal funds rate) plus 2.00% per year through May 21, 2021, with pre-determined future interest rate increases of 0.875%-1.75% following the end of the revolving period. The SPV is also required to pay an undrawn commitment fee of between 0.50% and 0.75% per year depending on the drawings under the SPV Credit Facility. Payments under the SPV Credit Facility are made quarterly. The lenders have a first lien security interest on substantially all of the assets of the SPV.

As part of the SPV Credit Facility, the SPV is subject to limitations as to how borrowed funds may be used and the types of loans that are eligible to be acquired by the SPV including, but not limited to, restrictions on sector and geographic concentrations, loan size, payment frequency, tenor and minimum investment ratings (or estimated ratings). In addition, borrowed funds are intended to be used primarily to purchase first lien loan assets, and the SPV is limited in its ability to purchase certain other assets (including, but not limited to, second lien loans, covenant-lite loans, revolving and delayed draw loans and discount loans) and other assets are not permitted to be purchased (including, but not limited to paid-in-kind loans). The SPV Credit Facility has certain requirements relating to asset coverage, interest coverage, collateral quality and portfolio performance, including limitations on delinquencies and charge offs, certain violations of which could result in the immediate acceleration of the amounts due under the SPV Credit Facility. The SPV Credit Facility is also subject to a borrowing base that applies different advance rates to assets held by the SPV based generally on the fair market value of such assets. Under certain circumstances as set forth in the SPV Credit Facility, the Company could be obliged to repurchase loans from the SPV.

Credit Facility

The Company closed on the Credit Facility on March 21, 2014, which was subsequently amended on January 8, 2015, May 25, 2016, March 22, 2017, September 25, 2018 and June 14, 2019. The maximum principal amount of the Credit Facility is $688,000, subject to availability under the Credit Facility, which is based on certain advance rates multiplied by the value of the Company’s portfolio investments (subject to certain concentration limitations) net of certain other indebtedness that the Company may incur in accordance with the terms of the Credit Facility. Proceeds of the Credit Facility may be used for general corporate purposes, including the funding of portfolio investments. Maximum capacity under the Credit Facility may be increased to $900,000 through the exercise by the Company of an uncommitted accordion feature through which existing and new lenders may, at their option, agree to provide additional financing. The Credit Facility includes a $50,000 limit for swingline loans and a $20,000 limit for letters of credit. The Company may borrow amounts in U.S. dollars or certain other permitted currencies. Amounts drawn under the Credit Facility, including amounts drawn in respect of letters of credit, bear interest at either LIBOR plus an applicable spread of 2.25%, or an “alternative base rate” (which is the highest of a prime rate, the federal funds effective rate plus 0.50%, or one month LIBOR plus 1.00%) plus an applicable spread of 1.25%. The Company may elect either the LIBOR or the “alternative base rate” at the time of drawdown, and loans may be converted from one rate to another at any time, subject to certain conditions. The Company also pays a fee of 0.375% on undrawn amounts under the Credit Facility and, in respect of each undrawn letter of credit, a fee and interest rate equal to the then-applicable margin under the Credit Facility while the letter of credit is outstanding. The availability period under the Credit Facility will terminate on June 14, 2023 and the Credit Facility will mature on June 14, 2024. During the period from June 14, 2023 to June 14, 2024, the Company will be obligated to make mandatory prepayments under the Credit Facility out of the proceeds of certain asset sales, other recovery events and equity and debt issuances.

Subject to certain exceptions, the Credit Facility is secured by a first lien security interest in substantially all of the portfolio investments held by the Company. The Credit Facility includes customary covenants, including certain financial covenants related to asset coverage, shareholders’ equity and liquidity, certain limitations on the incurrence of additional indebtedness and liens, and other maintenance covenants, as well as usual and customary events of default for senior secured revolving credit facilities of this nature.

Summary of Facilities

The Facilities consisted of the following as of March 31, 2020 and December 31, 2019:



	March 31, 2020
	Total Facility		Borrowings Outstanding		Unused Portion ⁽¹⁾		Amount Available ⁽²⁾
SPV Credit Facility	$	275,000	$	201,026	$	73,974	$	4,497
Credit Facility	688,000		500,583		187,417		122,832
Total	$	963,000	$	701,609	$	261,391	$	127,329

	December 31, 2019
	Total Facility		Borrowings Outstanding		Unused Portion ⁽¹⁾		Amount Available ⁽²⁾
SPV Credit Facility	$	275,000	$	232,469	$	42,531	$	4,225
Credit Facility	688,000		384,074		303,926		264,198
Total	$	963,000	$	616,543	$	346,457	$	268,423


(1)	The unused portion is the amount upon which commitment fees are based.


(2)	Available for borrowing based on the computation of collateral to support the borrowings and subject to compliance with applicable covenants and financial ratios.

For the three month periods ended March 31, 2020 and 2019, the components of interest expense and credit facility fees were as follows:



	For the three month periods ended
	March 31, 2020			March 31, 2019
Interest expense	$	6,373		$	6,653
Facility unused commitment fee	318			303
Amortization of deferred financing costs	244			236
Other fees	29			29
Total interest expense and credit facility fees	$	6,964		$	7,221
Cash paid for interest expense	$	6,688		$	6,449

Average principal debt outstanding	$	672,263		$	568,519
Weighted average interest rate	3.75		%	4.68		%

As of March 31, 2020 and December 31, 2019, the components of interest and credit facilities payable were as follows:



	As of
	March 31, 2020			December 31, 2019
Interest expense payable	$	2,093		$	2,201
Unused commitment fees payable	295			187
Other credit facility fees payable	22			30
Interest and credit facilities payable	$	2,410		$	2,418

Weighted average interest rate (based on floating LIBOR rates)	3.11		%	3.88		%

7. NOTES PAYABLE

4.750% Senior Unsecured Notes

On December 30, 2019, the Company closed a private offering of $115.0 million in aggregate principal amount of 4.750% Senior Unsecured Notes due December 31, 2024 (the "Senior Notes"). Interest is payable quarterly, beginning March

31, 2020. This interest rate is subject to increase (up to 5.75%) in the event that, subject to certain exceptions, the Senior Notes cease to have an investment grade rating. The Company is obligated to offer to repay the notes at par if certain change in control events occur. The Senior Notes are general unsecured obligations of the Company that rank pari passu with all outstanding and future unsecured unsubordinated indebtedness issued by the Company. Interest expense incurred and paid on the Senior Notes was $1.4 million for the three months ended March 31, 2020.

The note purchase agreement for the Senior Notes contains customary terms and conditions for senior unsecured notes issued in a private placement, including, without limitation, affirmative and negative covenants such as information reporting, maintenance of the Company’s status as a business development company within the meaning of the Investment Company Act and a regulated investment company under the Code, minimum asset coverage ratio and interest coverage ratio, and prohibitions on certain fundamental changes at the Company or any subsidiary guarantor, as well as customary events of default with customary cure and notice, including, without limitation, nonpayment, breach of covenant, material breach of representation or warranty under the note purchase agreement, cross-acceleration under other indebtedness of the Company or certain significant subsidiaries, certain judgments and orders, and certain events of bankruptcy. As of March 31, 2020, the Company was in compliance with these terms and conditions.

2015-1R Notes

On June 26, 2015, the Company completed the 2015-1 Debt Securitization. The 2015-1 Notes were issued by the 2015-1 Issuer, a wholly-owned and consolidated subsidiary of the Company. The 2015-1 Debt Securitization was executed through a private placement of the 2015-1 Notes, consisting of:


•	$160,000 of Aaa/AAA Class A-1A Notes;


•	$40,000 of Aaa/AAA Class A-1B Notes;


•	$27,000 of Aaa/AAA Class A-1C Notes; and


•	$46,000 of Aa2 Class A-2 Notes.

The 2015-1 Notes were issued at par and were scheduled to mature on July 15, 2027. The Company received 100% of the preferred interests issued by the 2015-1 Issuer (the “2015-1 Issuer Preferred Interests”) on the closing date of the 2015-1 Debt Securitization in exchange for the Company’s contribution to the 2015-1 Issuer of the initial closing date loan portfolio. The 2015-1 Issuer Preferred Interests do not bear interest and had a nominal value of $125,900 at closing. In connection with the contribution, the Company made customary representations, warranties and covenants to the 2015-1 Issuer in the purchase agreement. The Class A-1A, Class A-1B and Class A-1C and Class A-2 Notes are included in these consolidated financial statements. The 2015-1 Issuer Preferred Interests were eliminated in consolidation.

On the closing date of the 2015-1 Debt Securitization, the 2015-1 Issuer effected a one-time distribution to the Company of a substantial portion of the proceeds of the private placement of the 2015-1 Notes, net of expenses, which distribution was used to repay a portion of certain amounts outstanding under the SPV Credit Facility and the Credit Facility. As part of the 2015-1 Debt Securitization, certain first and second lien senior secured loans were distributed by the SPV to the Company pursuant to a distribution and contribution agreement.

On August 30, 2018, the Company and the 2015-1 Issuer closed the 2015-1 Debt Securitization Refinancing. On the closing date of the 2015-1 Debt Securitization Refinancing, the 2015-1 Issuer, among other things:

(a) refinanced the issued Class A-1A Notes by redeeming in full the Class A-1A Notes and issuing new AAA Class A-1-1-R Notes in an aggregate principal amount of $234,800 which bear interest at the three-month LIBOR plus 1.55%;

(b) refinanced the issued Class A-1B Notes by redeeming in full the Class A-1B Notes and issuing new AAA Class A-1-2-R Notes in an aggregate principal amount of $50,000 which bear interest at the three-month LIBOR plus 1.48% for the first 24 months and the three-month LIBOR plus 1.78% thereafter;

(c) refinanced the issued Class A-1C Notes by redeeming in full the Class A-1C Notes and issuing new AAA Class A-1-3-R Notes in an aggregate principal amount of $25,000 which bear interest at 4.56%;

(d) refinanced the issued Class A-2 Notes by redeeming in full the Class A-2 Notes and issuing new Class A-2-R Notes in an aggregate principal amount of $66,000 which bear interest at the three-month LIBOR plus 2.20%;

(e) issued new single-A Class B Notes and BBB- Class C Notes in aggregate principal amounts of $46,400 and $27,000, respectively, which bear interest at the three-month LIBOR plus 3.15% and the three-month LIBOR plus 4.00%, respectively;

(f) reduced the 2015-1 Issuer Preferred Interests by approximately $21,375 from a nominal value of $125,900 to approximately $104,525 at close; and

(g) extended the reinvestment period end date and maturity date applicable to the 2015-1 Issuer to October 15, 2023 and October 15, 2031, respectively.

Following the 2015-1 Debt Securitization Refinancing, the Company retained the 2015-1 Issuer Preferred Interests. The 2015-1R Notes in the 2015-1 Debt Securitization Refinancing were issued by the 2015-1 Issuer and are secured by a diversified portfolio of the 2015-1 Issuer consisting primarily of first and second lien senior secured loans.

On the closing date of the 2015-1 Debt Securitization Refinancing, the 2015-1 Issuer effected a one-time distribution to the Company of a substantial portion of the proceeds of the private placement of the 2015-1R Notes, net of expenses, which distribution was used to repay a portion of certain amounts outstanding under the SPV Credit Facility and the Credit Facility. As part of the 2015-1 Debt Securitization Refinancing, certain first and second lien senior secured loans were distributed by the SPV to the Company pursuant to a distribution and contribution agreement. The Company contributed the loans that comprised the initial closing date loan portfolio (including the loans distributed to the Company from the SPV) to the 2015-1 Issuer pursuant to a contribution agreement. Future loan transfers from the Company to the 2015-1 Issuer will be made pursuant to a sale agreement and are subject to the approval of the Company’s Board of Directors. Assets of the 2015-1 Issuer are not available to the creditors of the SPV or the Company. In connection with the issuance and sale of the 2015-1R Notes, the Company made customary representations, warranties and covenants in the purchase agreement.

During the reinvestment period, pursuant to the indenture governing the 2015-1R Notes, all principal collections received on the underlying collateral may be used by the 2015-1 Issuer to purchase new collateral under the direction of Investment Adviser in its capacity as collateral manager of the 2015-1 Issuer and in accordance with the Company’s investment strategy.

The Investment Adviser serves as collateral manager to the 2015-1 Issuer under a collateral management agreement (the “Collateral Management Agreement”). Pursuant to the Collateral Management Agreement, the 2015-1 Issuer pays management fees (comprised of base management fees, subordinated management fees and incentive management fees) to the Investment Adviser for rendering collateral management services. As per the Collateral Management Agreement, for the period the Company retains all of the 2015-1 Issuer Preferred Interests, the Investment Adviser does not earn management fees for providing such collateral management services. The Company currently retains all of the 2015-1 Issuer Preferred Interests, thus the Investment Adviser did not earn any management fees from the 2015-1 Issuer for the three month periods ended March 31, 2020 and 2019. Any such waived fees may not be recaptured by the Investment Adviser.

Pursuant to an undertaking by the Company in connection with the 2015-1 Debt Securitization Refinancing, the Company has agreed to hold on an ongoing basis the 2015-1 Issuer Preferred Interests with an aggregate dollar purchase price at least equal to 5% of the aggregate outstanding amount of all collateral obligations by the 2015-1 Issuer for so long as any securities of the 2015-1 Issuer remain outstanding. As of March 31, 2020, the Company was in compliance with its undertaking.

The 2015-1 Issuer pays ongoing administrative expenses to the trustee, independent accountants, legal counsel, rating agencies and independent managers in connection with developing and maintaining reports, and providing required services in connection with the administration of the 2015-1 Issuer.

As of March 31, 2020, the 2015-1R Notes were secured by 60 first lien and second lien senior secured loans with a total fair value of approximately $513,314 and cash of $5,724. The pool of loans in the securitization must meet certain requirements, including asset mix and concentration, term, agency rating, collateral coverage, minimum coupon, minimum spread and sector diversity requirements in the indenture governing the 2015-1R Notes.

For the three month periods ended March 31, 2020 and 2019, the weighted average interest rate, the effective annualized weighted average interest rates, which include amortization of debt issuance costs on the 2015-1R Notes, were 3.92% and 4.75%, respectively, based on floating LIBOR rates. As of March 31, 2020 and December 31, 2019 the weighted average interest rates were 3.85% and 4.75% respectively, based on floating LIBOR rates.

For the for the three month periods ended March 31, 2020 and 2019, the components of interest expense on the 2015-1R Notes were as follows:



	For the three month periods ended
	March 31, 2020		March 31, 2019
Interest expense	$	4,393	$	5,276
Amortization of deferred financing costs	62		62
Total interest expense and credit facility fees	$	4,455	$	5,338
Cash paid for interest expense	$	4,594	$	5,066

As of March 31, 2020 and December 31, 2019, $3,690 and $3,891, respectively, of interest expense was included in interest and credit facility fees payable.

8. COMMITMENTS AND CONTINGENCIES

A summary of significant contractual payment obligations was as follows as of March 31, 2020 and December 31, 2019:



Payment Due by Period	March 31, 2020		December 31, 2019
Less than 1 Year	$	—	$	—
1-3 Years	—		—
3-5 Years	816,609		731,543
More than 5 Years	449,200		449,200
Total	$	1,265,809	$	1,180,743

In the ordinary course of its business, the Company enters into contracts or agreements that contain indemnification or warranties. Future events could occur that lead to the execution of these provisions against the Company. The Company believes that the likelihood of such an event is remote; however, the maximum potential exposure is unknown. No accrual has been made in the consolidated financial statements as of March 31, 2020 and December 31, 2019 for any such exposure.

We have in the past, currently are and may in the future become obligated to fund commitments such as revolving credit facilities, bridge financing commitments, or delayed draw commitments.

The Company had the following unfunded commitments to fund delayed draw and revolving senior secured loans as of the indicated dates:



	Par Value as of
	March 31, 2020		December 31, 2019
Unfunded delayed draw commitments	$	65,237	$	75,874
Unfunded revolving term loan commitments	38,751		74,016
Total unfunded commitments	$	103,988	$	149,890

9. NET ASSETS

The Company has the authority to issue 200,000,000 shares of common stock, $0.01 per share par value.

On November 5, 2018, the Company’s Board of Directors approved a $100,000 stock repurchase program (the “Company Stock Repurchase Program”). The Company Stock Repurchase Program was to be in effect until November 5, 2019, or until the approved dollar amount had been used to repurchase shares. On November 4, 2019, the Company's Board of Directors approved the continuation of the Company Stock Repurchase Program until November 5, 2020, or until the approved dollar amount has been used to repurchase shares. This program, which is temporarily suspended, may be resumed, extended, modified or discontinued by the Company at any time, subject to applicable law. Since the inception of the Company Stock Repurchase Program through March 31, 2020, the Company has repurchased 6,260,043 shares of the Company's common stock at an average cost of $13.67 per share, or $85,597 in the aggregate, resulting in accretion to net assets per share of $0.34.

For the three month period ended March 31, 2020, the Company repurchased and extinguished 1,455,195 shares for $16,003. The following table summarizes capital activity during the for the three month period ended March 31, 2020:



	Common Stock					Capital in Excess of Par Value			Offering Costs			Accumulated Net Investment Income (Loss)			Accumulated Net Realized Gain (Loss)			Accumulated Net Unrealized Appreciation (Depreciation)			Total Net Assets
	Shares		Amount			Capital in Excess of Par Value			Offering Costs			Accumulated Net Investment Income (Loss)			Accumulated Net Realized Gain (Loss)			Accumulated Net Unrealized Appreciation (Depreciation)			Total Net Assets
Balance, beginning of period	57,763,811		$	578		$	1,109,238		$	(1,633	)	$	10,368		$	(82,654	)	$	(79,426	)	$	956,471
Repurchase of common stock	(1,455,195	)	(15		)	(15,988		)	—			—			—			—			(16,003		)
Net investment income (loss)	—		—			—			—			23,972			—			—			23,972
Net realized gain (loss)	—		—			—			—			—			(1,847		)	—			(1,847		)
Net change in unrealized appreciation (depreciation)	—		—			—			—			—			—			(143,225		)	(143,225		)
Dividends declared	—		—			—			—			(20,834		)	—			—			(20,834		)
Balance, end of period	56,308,616		$	563		$	1,093,250		$	(1,633	)	$	13,506		$	(84,501	)	$	(222,651	)	$	798,534

For the three month period ended March 31, 2019, the Company repurchased and extinguished 958,182 shares for $14,085. The following table summarizes capital activity for the three month period ended March 31, 2019:



	Common Stock					Capital in Excess of Par Value			Offering Costs			Accumulated Net Investment Income (Loss)			Accumulated Net Realized Gain (Loss)			Accumulated Net Unrealized Appreciation (Depreciation)			Total Net Assets
	Shares		Amount			Capital in Excess of Par Value			Offering Costs			Accumulated Net Investment Income (Loss)			Accumulated Net Realized Gain (Loss)			Accumulated Net Unrealized Appreciation (Depreciation)			Total Net Assets
Balance, beginning of period	62,230,251		$	622		$	1,174,334		$	(1,633	)	$	5,901		$	(44,572	)	$	(71,434	)	$	1,063,218
Repurchase of common stock	(958,182	)	(9		)	(14,076		)	—			—			—			—			(14,085		)
Net investment income (loss)	—		—			—			—			27,562			—			—			27,562
Net realized gain (loss)	—		—			—			—			—			899			—			899
Net change in unrealized appreciation (depreciation)	—		—			—			—			—			—			5,265			5,265
Dividends declared	—		—			—			—			(22,672		)	—			—			(22,672		)
Balance, end of period	61,272,069		$	613		$	1,160,258		$	(1,633	)	$	10,791		$	(43,673	)	$	(66,169	)	$	1,060,187

The Company computes earnings per common share in accordance with ASC 260, Earnings Per Share. Basic earnings per common share were calculated by dividing net increase (decrease) in net assets resulting from operations attributable to the Company by the weighted-average number of common shares outstanding for the period.

Basic and diluted earnings per common share were as follows:



	For the three month periods ended
	March 31, 2020			March 31, 2019
Net increase (decrease) in net assets resulting from operations	$	(121,100	)	$	33,726
Weighted-average common shares outstanding	57,112,193			61,772,774
Basic and diluted earnings per common share	$	(2.12	)	$	0.55

The following table summarizes the Company’s dividends declared during the two most recent fiscal years and the current fiscal year to-date:



Date Declared	Record Date	Payment Date	Per Share Amount
February 26, 2018	March 29, 2018	April 17, 2018	$	0.37
May 2, 2018	June 29, 2018	July 17, 2018	$	0.37
August 6, 2018	September 28, 2018	October 17, 2018	$	0.37
November 5, 2018	December 28, 2018	January 17, 2019	$	0.37
December 12, 2018	December 28, 2018	January 17, 2019	$	0.20	⁽¹⁾
February 22, 2019	March 29, 2019	April 17, 2019	$	0.37
May 6, 2019	June 28, 2019	July 17, 2019	$	0.37
June 17, 2019	June 28, 2019	July 17, 2019	$	0.08	⁽¹⁾
August 5, 2019	September 30, 2019	October 17, 2019	$	0.37
November 4, 2019	December 31, 2019	January 17, 2020	$	0.37
December 12, 2019	December 31, 2019	January 17, 2020	$	0.18	⁽¹⁾
February 24, 2020	March 31, 2020	April 17, 2020	$	0.37


⁽¹⁾	Represents a special dividend.

10. CONSOLIDATED FINANCIAL HIGHLIGHTS

The following is a schedule of consolidated financial highlights for the three month periods ended March 31, 2020 and 2019:



	For the three month periods ended
	March 31, 2020			March 31, 2019
Per Share Data:
Net asset value per share, beginning of period	$	16.56		$	17.09
Net investment income (loss) ⁽¹⁾	0.42			0.45
Net realized gain (loss) and net change in unrealized appreciation (depreciation) on investments and non-investment assets and liabilities	(2.57		)	0.09
Net increase (decrease) in net assets resulting from operations	(2.15		)	0.54
Dividends declared ⁽²⁾	(0.37		)	(0.37		)
Accretion due to share repurchases	0.14			0.04
Net asset value per share, end of period	$	14.18		$	17.30
Market price per share, end of period	$	5.22		$	14.48

Number of shares outstanding, end of period	56,308,616			61,272,069
Total return based on net asset value ⁽³⁾	(12.14		)%	3.39		%
Total return based on market price ⁽⁴⁾	(58.22		)%	19.76		%
Net assets, end of period	$	798,534		$	1,060,187
Ratio to average net assets (5):
Expenses before incentive fees	2.38		%	2.03		%
Expenses after incentive fees	2.94		%	2.58		%
Net investment income (loss)	2.66		%	2.58		%
Interest expense and credit facility fees	1.41		%	1.18		%
Ratios/Supplemental Data:
Asset coverage, end of period	163.08		%	195.50		%
Portfolio turnover	3.11		%	3.45		%
Weighted-average shares outstanding	57,112,193			61,772,774


(1)	Net investment income (loss) per share was calculated as net investment income (loss) for the period divided by the weighted average number of shares outstanding for the period.


(2)	Dividends declared per share was calculated as the sum of dividends declared during the period divided by the number of shares outstanding at each respective quarter-end date (refer to Note 9, Net Assets).


(3)	Total return based on net asset value (not annualized) is based on the change in net asset value per share during the period plus the declared dividends, assuming reinvestment of dividends in accordance with the dividend reinvestment plan, divided by the beginning net asset value for the period.


(4)	Total return based on market value (not annualized) is calculated as the change in market value per share during the period plus the declared dividends, assuming reinvestment of dividends in accordance with the dividend reinvestment plan, divided by the beginning market price for the period.


(5)	These ratios to average net assets have not been annualized.

11. LITIGATION

The Company may become party to certain lawsuits in the ordinary course of business. The Company does not believe that the outcome of current matters, if any, will materially impact the Company or its consolidated financial statements. As of March 31, 2020 and December 31, 2019, the Company was not subject to any material legal proceedings, nor, to the Company’s knowledge, is any material legal proceeding threatened against the Company.

In addition, portfolio investments of the Company could be the subject of litigation or regulatory investigations in the ordinary course of business. The Company does not believe that the outcome of any current contingent liabilities of its portfolio investments, if any, will materially affect the Company or these consolidated financial statements.

12. TAX

The Company has not recorded a liability for any uncertain tax positions pursuant to the provisions of ASC 740, Income Taxes, as of March 31, 2020 and December 31, 2019.

In the normal course of business, the Company is subject to examination by federal and certain state, local and foreign tax regulators. As of March 31, 2020 and December 31, 2019, the Company had filed tax returns and therefore is subject to examination.

The Company’s taxable income for each period is an estimate and will not be finally determined until the Company files its tax return for each year. Therefore, the final taxable income, and the taxable income earned in each period and carried forward for distribution in the following period, may be different than this estimate. The estimated tax character of dividends declared for three month periods ended March 31, 2020 and 2019 was as follows:



	For the three month periods ended
	March 31, 2020		March 31, 2019
Ordinary income	$	20,834	$	22,672
Tax return of capital	$	—	$	—

13. SUBSEQUENT EVENTS

Subsequent events have been evaluated through the date the consolidated financial statements were issued. There have been no subsequent events that require recognition or disclosure through the date the consolidated financial statements were issued, except as disclosed below.

Subsequent to March 31, 2020, the Company borrowed $24,792 under the Credit Facility and the SPV Credit Facility. The Company also voluntarily repaid $86,000 under the Credit Facility and SPV Credit Facility.

On May 4, 2020, the Board of Directors declared a quarterly dividend of $0.37, which is payable on July 17, 2020 to stockholders of record on June 30, 2020.

On May 5, 2020, the Company issued and sold 2,000,000 shares of cumulative convertible preferred stock, par value $0.01, to Carlyle in a private placement at a price of $25 per share (the “Preferred Stock”). The Company intends to use the total proceeds to the Company of $50.0 million from the offering to repay certain indebtedness under the Facilities and for general corporate purposes, which includes investing in portfolio companies in accordance with its investment objective.

The Preferred Stock ranks senior to the Company’s common stock with respect to the payment of dividends and distribution of assets upon liquidation. The Preferred Stock has a liquidation preference equal to $25 per share (the “Liquidation Preference”) plus any accumulated but unpaid dividends up to but excluding the date of distribution. Additional information regarding the terms of the Preferred Stock is included under "Other" in Part II, Item 5 of this Form 10-Q.

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.

(dollar amounts in thousands, except per share data, unless otherwise indicated)

CAUTIONARY STATEMENT REGARDING FORWARD-LOOKING STATEMENTS

We have included or incorporated by reference in this Form 10-Q, and from time to time our management may make, “forward-looking statements”. These forward-looking statements are not historical facts, but instead relate to future events or the future performance or financial condition of TCG BDC, Inc. (together with its consolidated subsidiaries, “we,” “us,” “our,” “TCG BDC” or the “Company”). These statements are based on current expectations, estimates and projections about us, our current or prospective portfolio investments, our industry, our beliefs, and our assumptions. The forward-looking statements contained in this Form 10-Q involve a number of risks and uncertainties, including statements concerning:


•	our, or our portfolio companies’, future business, operations, operating results or prospects, including our and their ability to achieve our respective objectives as a result of the current COVID-19 pandemic;


•	the return or impact of current and future investments;


•	the general economy and its impact on the industries in which we invest and the impact of the COVID-19 pandemic thereon;


•	the impact of any protracted decline in the liquidity of credit markets on our business and the impact of the COVID-19 pandemic thereon;


•	the impact of fluctuations in interest rates on our business;


•	our future operating results and the impact of the COVID-19 pandemic thereon;


•	the impact of changes in laws, policies or regulations (including the interpretation thereof) affecting our operations or the operations of our portfolio companies;


•	the valuation of our investments in portfolio companies, particularly those having no liquid trading market, and the impact of the COVID-19 pandemic thereon;


•	our ability to recover unrealized losses;


•	market conditions and our ability to access alternative debt markets and additional debt and equity capital, and the impact of the COVID-19 pandemic thereon;


•	our contractual arrangements and relationships with third parties;


•	uncertainty surrounding the financial stability of the United States, Europe and China;


•	the social, geopolitical, financial, trade and legal implications of Brexit;


•	the financial condition of and ability of our current and prospective portfolio companies to achieve their objectives and the impact of the COVID-19 pandemic thereon;


•	competition with other entities and our affiliates for investment opportunities;


•	the speculative and illiquid nature of our investments;


•	the use of borrowed money to finance a portion of our investments;


•	our expected financings and investments;


•	the adequacy of our cash resources and working capital;


•	the timing, form and amount of any dividend distributions;


•	the timing of cash flows, if any, from the operations of our portfolio companies and the impact of the COVID-19 pandemic thereon;


•	the ability to consummate acquisitions;


•	the ability of our investment adviser to locate suitable investments for us and to monitor and administer our investments;


•	currency fluctuations could adversely affect the results of our investments in foreign companies, particularly to the extent that we receive payments denominated in foreign currency rather than U.S. dollars;


•	the ability of The Carlyle Group Employee Co., L.L.C. to attract and retain highly talented professionals that can provide services to our investment adviser and administrator;


•	our ability to maintain our status as a business development company; and


•	our intent to satisfy the requirements of a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended.

We use words such as “anticipates,” “believes,” “expects,” “intends,” “will,” “should,” “may,” “plans,” “continue,” “believes,” “seeks,” “estimates,” “would,” “could,” “targets,” “projects,” “outlook,” “potential,” “predicts” and variations of these words and similar expressions to identify forward-looking statements, although not all forward-looking statements include these words. Our actual results and condition could differ materially from those implied or expressed in the forward-looking statements for any reason, including the factors set forth in “Risk Factors” in Part II, Item 1A of and elsewhere in this Form 10-Q.

We have based the forward-looking statements included in this Form 10-Q on information available to us on the date of this Form 10-Q, and we assume no obligation to update any such forward-looking statements. Although we undertake no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, you are advised to consult any additional disclosures that we may make directly to you or through reports that we have filed or in the future may file with the Securities and Exchange Commission (the “SEC”), including our annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K.

OVERVIEW

The following discussion and analysis of our financial condition and results of operations should be read in conjunction with Part I, Item 1 of this Form 10-Q “Financial Statements.” This discussion contains forward-looking statements and involves numerous risks and uncertainties, including, but not limited to those described in “Risk Factors” in Part I, Item 1A of our annual report on Form 10-K for the year ended December 31, 2019 and Part II, Item 1A of this Form 10-Q. Our actual results could differ materially from those anticipated by such forward-looking statements due to factors discussed under “Risk Factors” and “Cautionary Statements Regarding Forward-Looking Statements” appearing elsewhere in this Form 10-Q.

We are a Maryland corporation formed on February 8, 2012, and structured as an externally managed, non-diversified closed-end investment company. We have elected to be regulated as a BDC under the Investment Company Act. We have elected to be treated, and intend to continue to comply with the requirements to qualify annually, as a RIC under Subchapter M of the Code.

Our investment objective is to generate current income and capital appreciation primarily through debt investments in U.S. middle market companies. Our core investment strategy focuses on lending to U.S. middle market companies, which we define as companies with approximately $25 million to $100 million of EBITDA, which we believe is a useful proxy for cash flow. We complement this core strategy with additive, diversifying assets including, but not limited to, specialty lending investments. We seek to achieve our investment objective primarily through direct origination of Middle Market Senior Loans, with the balance of our assets invested in higher yielding investments (which may include unsecured debt, mezzanine debt and investments in equities). We generally make Middle Market Senior Loans to private U.S. middle market companies that are, in many cases, controlled by private equity firms. Depending on market conditions, we expect that between 70% and 80% of the value of our assets will be invested in Middle Market Senior Loans. We expect that the composition of our portfolio will change over time given our Investment Adviser’s view on, among other things, the economic and credit environment (including with respect to interest rates) in which we are operating.

On June 19, 2017, we closed our IPO, issuing 9,454,200 shares of our common stock (including shares issued pursuant to the exercise of the underwriters’ over-allotment option on July 5, 2017) at a public offering price of $18.50 per share. Net of underwriting costs, we received cash proceeds of $169,488. Shares of common stock of TCG BDC began trading on the Nasdaq Global Select Market under the symbol “CGBD” on June 14, 2017.

On June 9, 2017, we acquired NF Investment Corp. (“NFIC”), a BDC managed by our Investment Advisor (the “NFIC Acquisition”). As a result, we issued 434,233 shares of common stock to the NFIC stockholders and approximately $145,602 in cash, and acquired approximately $153,648 in net assets.

We are externally managed by our Investment Adviser, an investment adviser registered under the Advisers Act. Our Administrator provides the administrative services necessary for us to operate. Both our Investment Adviser and our Administrator are wholly owned subsidiaries of Carlyle Investment Management L.L.C., a subsidiary of Carlyle. Our Investment Adviser’s five-person investment committee is responsible for reviewing and approving our investment opportunities. The members of the investment committee have experience investing through different credit cycles. As of March 31, 2020, our Investment Adviser’s investment team included a team of more than 150 investment professionals across

the Carlyle Global Credit segment. The five members of our Investment Adviser’s investment committee have an average of over 25 years of industry experience. In addition, our Investment Adviser and its investment team are supported by a team of finance, operations and administrative professionals currently employed by Carlyle Employee Co., a wholly owned subsidiary of Carlyle.

In conducting our investment activities, we believe that we benefit from the significant scale, relationships and resources of Carlyle, including our Investment Adviser and its affiliates. We have operated our business as a BDC since we began our investment activities in May 2013.

KEY COMPONENTS OF OUR RESULTS OF OPERATIONS

Investments

Our level of investment activity can and does vary substantially from period to period depending on many factors, including the amount of debt available to middle market companies, the general economic environment and the competitive environment for the type of investments we make.

Revenue

We generate revenue primarily in the form of interest income on debt investments we hold. In addition, we generate income from dividends on direct equity investments, capital gains on the sales of loans and debt and equity securities and various loan origination and other fees. Our debt investments generally have a stated term of five to eight years and generally bear interest at a floating rate usually determined on the basis of a benchmark such as LIBOR. Interest on these debt investments is generally paid quarterly. In some instances, we receive payments on our debt investments based on scheduled amortization of the outstanding balances. In addition, we receive repayments of some of our debt investments prior to their scheduled maturity date. The frequency or volume of these repayments fluctuates significantly from period to period. Our portfolio activity also reflects the proceeds of sales of securities. We may also generate revenue in the form of commitment, origination, amendment, structuring or due diligence fees, fees for providing managerial assistance and consulting fees.

Expenses

Our primary operating expenses include the payment of: (i) investment advisory fees, including base management fees and incentive fees, to our Investment Adviser pursuant to the Investment Advisory Agreement between us and our Investment Adviser; (ii) costs and other expenses and our allocable portion of overhead incurred by our Administrator in performing its administrative obligations under the Administration Agreement between us and our Administrator; and (iii) other operating expenses as detailed below:


•	administration fees payable under our Administration Agreement and Sub-Administration Agreements, including related expenses;


•	the costs of any offerings of our common stock and other securities, if any;


•	calculating individual asset values and our net asset value (including the cost and expenses of any independent valuation firms);


•	expenses, including travel expenses, incurred by our Investment Adviser, or members of our Investment Adviser team managing our investments, or payable to third parties, performing due diligence on prospective portfolio companies and, if necessary, expenses of enforcing our rights;


•	certain costs and expenses relating to distributions paid on our shares;


•	debt service and other costs of borrowings or other financing arrangements;


•	the allocated costs incurred by our Investment Adviser in providing managerial assistance to those portfolio companies that request it;


•	amounts payable to third parties relating to, or associated with, making or holding investments;


•	the costs associated with subscriptions to data service, research-related subscriptions and expenses and quotation equipment and services used in making or holding investments;


•	transfer agent and custodial fees;


•	costs of hedging;


•	commissions and other compensation payable to brokers or dealers;


•	federal and state registration fees;


•	any U.S. federal, state and local taxes, including any excise taxes;


•	independent director fees and expenses;

•

costs of preparing financial statements and maintaining books and records, costs of preparing tax returns, costs of Sarbanes-Oxley Act compliance and attestation and costs of filing reports or other documents with the SEC (or other regulatory bodies), and other reporting and compliance costs, including registration and listing fees, and the compensation of professionals responsible for the preparation or review of the foregoing;


•	the costs of any reports, proxy statements or other notices to our stockholders (including printing and mailing costs), the costs of any stockholders’ meetings and the compensation of investor relations personnel responsible for the preparation of the foregoing and related matters;


•	the costs of specialty and custom software for monitoring risk, compliance and overall portfolio, including any development costs incurred prior to the filing of our election to be regulated as a BDC;


•	our fidelity bond;


•	directors and officers/errors and omissions liability insurance, and any other insurance premiums;


•	indemnification payments;


•	direct fees and expenses associated with independent audits, agency, consulting and legal costs; and


•	all other expenses incurred by us or our Administrator in connection with administering our business, including our allocable share of certain officers and their staff compensation.

We expect our general and administrative expenses to be relatively stable or to decline as a percentage of total assets during periods of asset growth and to increase during periods of asset declines.

PORTFOLIO AND INVESTMENT ACTIVITY

Below is a summary of certain characteristics of our investment portfolio as of March 31, 2020 and December 31, 2019.



	As of
	March 31, 2020			December 31, 2019
Fair value of investments	$	2,024,277		$	2,123,964
Count of investments	138			136
Count of portfolio companies / investment fund	110			112
Count of industries	28			28
Count of sponsors	63			63
Percentage of total investment fair value:
First lien debt	73.0		%	74.6		%
First lien/last out loans	2.8		%	3.7		%
Second lien debt	13.6		%	11.0		%
Total secured debt	89.4		%	89.3		%
Credit Fund	9.2		%	9.6		%
Equity investments	1.5		%	1.0		%

Percentage of debt investment fair value:
Floating rate ⁽¹⁾	99.2		%	99.7		%
Fixed interest rate	0.8		%	0.3		%

⁽¹⁾ Primarily subject to interest rate floors.

Our investment activity for the three month periods ended March 31, 2020 and 2019 is presented below (information presented herein is at amortized cost unless otherwise indicated):



	For the three month periods ended
	March 31, 2020			March 31, 2019
Investments:
Total investments, beginning of period	$	2,201,451		$	2,043,591
New investments purchased	331,932			246,221
Net accretion of discount on investments	2,586			2,161
Net realized gain (loss) on investments	(1,697		)	899
Investments sold or repaid	(286,945		)	(71,494		)
Total Investments, end of period	$	2,247,327		$	2,221,378
Principal amount of investments funded:
First Lien Debt (excluding First Lien/Last Out)	$	75,510		$	143,749
First Lien/Last Out Unitranche	—			23,879
Second Lien Debt	86,109			49,344
Equity Investments	10,500			2,241
Investment Fund	156,000			30,500
Total	$	328,119		$	249,713
Principal amount of investments sold or repaid:
First Lien Debt (excluding First Lien/Last Out)	$	(97,185	)	$	(25,902	)
First Lien/Last Out Unitranche	(19,273		)	(25,264		)
Second Lien Debt	(15,232		)	—
Equity Investments	—			—
Investment Fund	(156,500		)	(18,700		)
Total	$	(288,190	)	$	(69,866	)
Number of new funded investments	10			12
Average amount of new funded investments	$	10,277		$	20,518
Percentage of new funded debt investments at floating interest rates	90		%	100		%
Percentage of new funded debt investments at fixed interest rates	10		%	—		%

As of March 31, 2020 and December 31, 2019, investments consisted of the following:



	March 31, 2020				December 31, 2019
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
First Lien Debt (excluding First Lien/Last Out)	$	1,597,780	$	1,478,357	$	1,649,721	$	1,585,042
First Lien/Last Out Unitranche	93,178		56,408		78,951		78,096
Second Lien Debt	308,563		275,055		234,006		234,532
Equity Investments	31,805		29,323		22,272		21,698
Investment Fund	216,001		185,134		216,501		204,596
Total	$	2,247,327	$	2,024,277	$	2,201,451	$	2,123,964

The weighted average yields ⁽¹⁾ for our first and second lien debt, based on the amortized cost and fair value as of March 31, 2020 and December 31, 2019, were as follows:



	March 31, 2020				December 31, 2019
	Amortized Cost		Fair Value		Amortized Cost		Fair Value
First Lien Debt (excluding First Lien/Last Out)	7.42	%	8.02	%	8.00	%	8.17	%
First Lien/Last Out Unitranche	6.06	%	10.02	%	6.63	%	9.53	%
First Lien Debt Total	7.35	%	8.10	%	7.91	%	8.23	%
Second Lien Debt	9.92	%	11.13	%	10.44	%	10.42	%
First and Second Lien Debt Total	7.74	%	8.56	%	8.22	%	8.50	%

(1)

Weighted average yields include the effect of accretion of discounts and amortization of premiums and are based on interest rates as of March 31, 2020 and December 31, 2019. Weighted average yield on debt and income producing securities at fair value is computed as (a) the annual stated interest rate or yield earned plus the net annual amortization of OID and market discount earned on accruing debt included in such securities, divided by (b) total first lien and second lien debt at fair value included in such securities. Weighted average yield on debt and income producing securities at amortized cost is computed as (a) the annual stated interest rate or yield earned plus the net annual amortization of OID and market discount earned on accruing debt included in such securities, divided by (b) total first lien and second lien debt at amortized cost included in such securities. Actual yields earned over the life of each investment could differ materially from the yields presented above.

Total weighted average yields (which includes the effect of accretion of discount and amortization of premiums) of our first and second lien debt investments as measured on an amortized cost basis decreased from 8.22% to 7.74% from December 31, 2019 to March 31, 2020. The decrease in weighted average yields was primarily due to a decrease in the effective LIBOR rate applicable to loans in the portfolio.

The following table summarizes the fair value of our performing and non-accrual/non-performing investments as of March 31, 2020 and December 31, 2019:



	March 31, 2020				December 31, 2019
	Fair Value		Percentage		Fair Value		Percentage
Performing	$	1,980,161	97.82	%	$	2,071,535	97.53	%
Non-accrual ⁽¹⁾	44,116		2.18		52,429		2.47
Total	$	2,024,277	100.00	%	$	2,123,964	100.00	%


⁽¹⁾	For information regarding our non-accrual policy, see Note 2 to the consolidated financial statements included in Part I, Item 1 of this Form 10-Q.

See the Consolidated Schedules of Investments as of March 31, 2020 and December 31, 2019 in our consolidated financial statements in Part I, Item 1 of this Form 10-Q for more information on these investments, including a list of companies and type and amount of investments.

As part of the monitoring process, our Investment Adviser has developed risk policies pursuant to which it regularly assesses the risk profile of each of our debt investments and rates each of them based on the following categories, which we refer to as “Internal Risk Ratings”:

Internal Risk Ratings Definitions



Rating		Definition
1		Performing—Low Risk: Borrower is operating more than 10% ahead of the base case.

2		Performing—Stable Risk: Borrower is operating within 10% of the base case (above or below). This is the initial rating assigned to all new borrowers.

3		Performing—Management Notice: Borrower is operating more than 10% below the base case. A financial covenant default may have occurred, but there is a low risk of payment default.

4		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 occurred. Payments are current although subject to greater uncertainty, and there is moderate to high risk of payment default.

5		Watch List—Possible Loss: Borrower is operating more than 30% below the base case. At the current level of operations and financial condition, the borrower does not have the ability to service and ultimately repay or refinance all outstanding debt on current terms. Payment default is very likely or may have occurred. Loss of principal is possible.

6		Watch List—Probable Loss: Borrower is operating more than 40% below the base case, and at the current level of operations and financial condition, the borrower does not have the ability to service and ultimately repay or refinance all outstanding debt on current terms. Payment default is very likely or may have already occurred. Additionally, the prospects for improvement in the borrower’s situation are sufficiently negative that impairment of some or all principal is probable.

Our Investment Adviser’s risk rating model is based on evaluating portfolio company performance in comparison to the base case when considering certain credit metrics including, but not limited to, adjusted EBITDA and net senior leverage as well as specific events including, but not limited to, default and impairment.

Our Investment Adviser monitors and, when appropriate, changes the investment ratings assigned to each debt investment in our portfolio. In connection with our quarterly valuation process, our Investment Adviser reviews our investment ratings on a regular basis. The following table summarizes the Internal Risk Ratings as of March 31, 2020 and December 31, 2019:



	March 31, 2020				December 31, 2019
	Fair Value		% of Fair Value		Fair Value		% of Fair Value
(dollar amounts in millions)
Internal Risk Rating 1	$	38.6	2.13	%	$	39.2	2.06	%
Internal Risk Rating 2	1,392.5		76.94		1,501.4		79.12
Internal Risk Rating 3	205.8		11.37		132.9		7.00
Internal Risk Rating 4	96.6		5.34		159.0		8.38
Internal Risk Rating 5	32.6		1.80		65.2		3.44
Internal Risk Rating 6	43.8		2.42		—		—
Total	$	1,809.8	100.00	%	$	1,897.7	100.00	%

As of March 31, 2020 and December 31, 2019, the weighted average Internal Risk Rating of our debt investment portfolio was 2.3 and 2.3, respectively. As of March 31, 2020 and December 31, 2019, 18 and 18 of our debt investments, with an aggregate fair value of $172.9 million and $224.3 million, respectively, were assigned an Internal Risk Rating of 4-6 (“Watch List”). As of March 31, 2020 and December 31, 2019, seven and five first lien debt investments, respectively, were on non-accrual status. The fair values of debt investments in the portfolio on non-accrual status were $44.1 million and $52.4 million, respectively, which represented approximately 2.18% and 2.47%, respectively, of total investments at fair value. The remaining first and second lien debt investments were performing and current on their interest payments as of March 31, 2020 and December 31, 2019.

During the three month period ended March 31, 2020, two investments with fair value of $17.4 million were downgraded to the Watch List due to changes in financial condition and performance of the respective portfolio companies, one investment

with fair value of $20.7 million was upgraded and removed from the Watch List due to improved performance of the portfolio company and one investment on the Watch List with fair value of $6.1 million was repaid in full.

CONSOLIDATED RESULTS OF OPERATIONS

For the three month periods ended March 31, 2020 and 2019

The net increase or decrease in net assets from operations may vary substantially from period to period as a result of various factors, including the recognition of realized gains and losses and net change in unrealized appreciation and depreciation. As a result, quarterly comparisons may not be meaningful.

Investment Income

Investment income for the three month periods ended March 31, 2020 and 2019 was as follows:



	For the three month periods ended
	March 31, 2020		March 31, 2019
Investment income
First Lien Debt	$	35,650	$	41,574
Second Lien Debt	8,126		5,746
Equity Investments	185		247
Investment Fund	6,549		7,538
Cash	35		82
Total investment income	$	50,545	$	55,187

The decrease in investment income for the three month period ended March 31, 2020 from the comparable period in 2019 was primarily driven by the decrease in LIBOR, loans placed on non-accrual, and lower interest and dividend income from Credit Fund. As of March 31, 2020, the size of our portfolio increased to $2,247,327 from $2,221,378 as of March 31, 2019, at amortized cost, and total principal amount of investments outstanding increased to 2,259,466 from $2,253,682 as of March 31, 2019. As of March 31, 2020, the weighted average yield of our first and second lien debt investments decreased to 7.74% from 9.51% as of March 31, 2019 on amortized cost, primarily due to the decrease in LIBOR and loans placed on non-accrual status.

Interest income on our first and second lien debt investments is dependent on the composition and credit quality of the portfolio. Generally, we expect the portfolio to generate predictable quarterly interest income based on the terms stated in each loan’s credit agreement. As of March 31, 2020 and 2019, seven and three first lien debt investments, respectively, were on non-accrual status. Non-accrual investments had a fair value of $44,116 and $17,482 respectively, which represented approximately 2.18% and 0.81% of total investments at fair value, respectively. The remaining first and second lien debt investments were performing and current on their interest payments as of March 31, 2020 and 2019.

For the three month periods ended March 31, 2020 and 2019, the Company earned $2,344 and $2,028, respectively, in other income.

Our total dividend and interest income from investments in Credit Fund totaled $6,736 and $7,538 for the three month periods ended March 31, 2020 and 2019, respectively. The decrease for the three month period ended March 31, 2020 from the comparable period in 2019, was primarily driven by the lower dividend from Credit Fund and the decrease in LIBOR on the Mezzanine Loan.

Net investment income (loss) for the three month periods ended March 31, 2020 and 2019 was as follows:



	For the three month periods ended
	March 31, 2020			March 31, 2019
Total investment income	$	50,545		$	55,187
Net expenses (including excise tax expense)	(26,573		)	(27,625		)
Net investment income (loss)	$	23,972		$	27,562

Expenses



	For the three month periods ended
	March 31, 2020		March 31, 2019
Base management fees	$	7,386	$	7,685
Incentive fees	5,086		5,846
Professional fees	667		745
Administrative service fees	106		216
Interest expense	12,179		11,991
Credit facility fees	590		568
Directors’ fees and expenses	96		93
Other general and administrative	411		421
Excise tax expense	52		60
Net expenses	$	26,573	$	27,625

Interest expense and credit facility fees for the three month periods ended March 31, 2020 and 2019 were comprised of the following:



	For the three month periods ended
	March 31, 2020			March 31, 2019
Interest expense	$	12,179		$	11,991
Facility unused commitment fee	318			303
Amortization of deferred financing costs	243			236
Other fees	29			29
Total interest expense and credit facility fees	$	12,769		$	12,559
Cash paid for interest expense	$	12,647		$	11,515

Average principal debt outstanding	$	1,236,463		$	1,017,719
Weighted average interest rate	3.91		%	4.71		%

The increase in interest expense for the three month periods ended March 31, 2020 compared to the comparable period in 2019 was primarily driven by higher borrowings outstanding, partially offset by lower LIBOR.

Below is a summary of the base management fees and incentive fees incurred during the three month periods ended March 31, 2020 and 2019.



	For the three month periods ended
	March 31, 2020		March 31, 2019
Base management fees	$	7,386	$	7,685
Incentive fees on pre-incentive fee net investment income	5,086		5,846
Realized capital gains incentive fees	—		—
Accrued capital gains incentive fees	—		—
Total capital gains incentive fees	—		—
Total incentive fees	5,086		5,846
Total base management fees and incentive fees	$	12,472	$	13,531

The decrease in base management fees and incentive fees related to pre-incentive fee net investment income for the three month period ended March 31, 2020 from the comparable period in 2019 was driven by lower investment fair value and lower pre-incentive fee net investment income, respectively.

For the three month periods ended March 31, 2020 and 2019, there were no accrued capital gains incentive fees based upon the cumulative net realized and unrealized appreciation (depreciation) as of March 31, 2020 and 2019. The accrual for

any capital gains incentive fee under accounting principles generally accepted in the United States (“U.S. GAAP”) in a given period may result in an additional expense if such cumulative amount is greater than in the prior period or a reduction of previously recorded expense if such cumulative amount is less than in the prior period. If such cumulative amount is negative, then there is no accrual. See Note 4 to the consolidated financial statements included in Part I, Item 1 of this Form 10-Q for more information on the incentive and base management fees.

Professional fees include legal, rating agencies, audit, tax, valuation, technology and other professional fees incurred related to the management of the Company. Administrative service fees represent fees paid to the Administrator for our allocable portion of overhead and other expenses incurred by the Administrator in performing its obligations under the administration agreement, including our allocable portion of the cost of certain of our executive officers and their respective staff. Other general and administrative expenses include insurance, filing, research, subscriptions and other costs.

Net Realized Gain (Loss) and Net Change in Unrealized Appreciation (Depreciation) on Investments

During the three month periods ended March 31, 2020 and 2019, we had realized gains on 4 and 2 investments, respectively, totaling approximately $627 and $959, respectively, which was offset by realized losses on 3 and 1 investments, respectively, totaling approximately $2,324 and $60, respectively. During the three month periods ended March 31, 2020 and 2019, we had unrealized appreciation on 15 and 70 investments, respectively, totaling approximately $4,389 and $16,195, respectively, which was offset by unrealized depreciation on 122 and 37 investments, respectively, totaling approximately $149,952 and $10,930, respectively.

Net realized gain (loss) and net change in unrealized appreciation (depreciation) by the type of investments for the three month periods ended March 31, 2020 and 2019 were as follows:



	For the three month periods ended
	March 31, 2020			March 31, 2019
Net realized gain (loss) on investments	$	(1,697	)	$	899
Net change in unrealized appreciation (depreciation) on investments	(145,563		)	5,265
Net realized gain (loss) and net change in unrealized appreciation (depreciation) on investments	$	(147,260	)	$	6,164

Net realized gain (loss) and net change in unrealized appreciation (depreciation) by the type of investments for the three month periods ended March 31, 2020 and 2019 were as follows:



	For the three month periods ended
	March 31, 2020						March 31, 2019
Type	Net realized gain (loss)			Net change in unrealized appreciation (depreciation)			Net realized gain (loss)			Net change in unrealized appreciation (depreciation)
First Lien Debt	$	(2,054	)	$	(90,659	)	$	(60	)	$	978
Second Lien Debt	—			(34,034		)	—			1,419
Equity Investments	357			(1,908		)	959			2,372
Investment Fund	—			(18,962		)	—			496
Total	$	(1,697	)	$	(145,563	)	$	899		$	5,265

Net change in unrealized appreciation in our investments for the three month periods ended March 31, 2020 compared to the comparable period in 2019 was primarily due to higher market spreads related to the COVID-19 pandemic, as well as to changes in other inputs utilized under our valuation methodology, including, but not limited to, enterprise value multiples, leverage multiples and borrower ratings, and the impact of exits.

MIDDLE MARKET CREDIT FUND, LLC

Overview

member board of managers, on which the Company and Credit Partners each have equal representation. Establishing a quorum for Credit Fund’s board of managers requires at least four members to be present at a meeting, including at least two of the Company’s representatives and two of Credit Partners’ representatives. The Company and Credit Partners each have 50% economic ownership of Credit Fund and have commitments to fund, from time to time, capital of up to $400,000 each. Funding of such commitments generally requires the approval of the board of Credit Fund, including the board members appointed by the Company. By virtue of its membership interest, the Company and Credit Partners each indirectly bear an allocable share of all expenses and other obligations of Credit Fund.

Together with Credit Partners, the Company co-invests through Credit Fund. Investment opportunities for Credit Fund are sourced primarily by the Company and its affiliates. Portfolio and investment decisions with respect to Credit Fund must be unanimously approved by a quorum of Credit Fund’s investment committee consisting of an equal number of representatives of the Company and Credit Partners. Therefore, although the Company owns more than 25% of the voting securities of Credit Fund, the Company does not believe that it has control over Credit Fund (other than for purposes of the Investment Company Act). Middle Market Credit Fund SPV, LLC (the “Credit Fund Sub”), MMCF CLO 2017-1 LLC (the “2017-1 Issuer”), MMCF CLO 2019-2, LLC (the "2019-2 Issuer", formerly known as MMCF Credit Warehouse, LLC (the "Credit Fund Warehouse")) and MMCF Warehouse II, LLC (the "Credit Fund Warehouse II"), each a Delaware limited liability company, were formed on April 5, 2016, October 6, 2017 November 26, 2018 and August 16, 2019, respectively. Credit Fund Sub, the 2017-1 Issuer, the 2019-2 Issuer, and Credit Fund Warehouse II are wholly owned subsidiaries of Credit Fund and are consolidated in Credit Fund’s consolidated financial statements commencing from the date of their respective formations. Credit Fund Sub, the 2017-1 Issuer, the 2019-2 Issuer and Credit Fund Warehouse II primarily invest in first lien loans of middle market companies. Credit Fund and its wholly owned subsidiaries follow the same Internal Risk Rating System as the Company. Refer to "Debt" below for discussions regarding the credit facilities entered into and the notes issued by such wholly-owned subsidiaries.

Selected Financial Data



	March 31, 2020		December 31, 2019
	(unaudited)
Selected Consolidated Balance Sheet Information
ASSETS
Investments, at fair value (amortized cost of $1,296,794 and $1,258,157, respectively)	$	1,199,183	$	1,246,839
Cash and cash equivalents	79,802		64,787
Other assets	47,437		9,369
Total assets	$	1,326,422	$	1,320,995
LIABILITIES AND MEMBERS’ EQUITY
Secured borrowings	$	462,421	$	441,077
Notes payable, net of unamortized debt issuance costs of $3,320 and $3,441, respectively	487,066		528,407
Mezzanine loans⁽¹⁾	—		93,000
Other Short-Term Borrowings	8,802		—
Other liabilities	43,135		32,383
Subordinated loans and members’ equity⁽¹⁾	324,998		226,128
Liabilities and members’ equity	$	1,326,422	$	1,320,995

⁽¹⁾ As of March 31, 2020 and December 31, 2019, the Company’s ownership interest in the subordinated loans and members’ equity was $185,134 and $111,596, respectively, and $0 and $93,000, respectively, in the mezzanine loans.



	For the three month periods ended
	March 31, 2020			March 31, 2019
	(unaudited)
Selected Consolidated Statement of Operations Information:
Total investment income	$	21,592		$	22,606
Expenses
Interest and credit facility expenses	13,927			14,730
Other expenses	503			441
Total expenses	14,430			15,171
Net investment income (loss)	7,162			7,435
Net realized gain (loss) on investments	—			(8,285		)
Net change in unrealized appreciation (depreciation) on investments	(86,293		)	17,778
Net increase (decrease) resulting from operations	$	(79,131	)	$	16,928

Below is a summary of Credit Fund’s portfolio, followed by a listing of the loans in Credit Fund's portfolio, as of March 31, 2020 and December 31, 2019:



	As of
	March 31, 2020			December 31, 2019
Senior secured loans ⁽¹⁾	$	1,299,438		$	1,260,582
Weighted average yields of senior secured loans based on amortized cost ⁽²⁾	6.01		%	6.51		%
Weighted average yields of senior secured loans based on fair value ⁽²⁾	6.48		%	6.55		%
Number of portfolio companies in Credit Fund	63			61
Average amount per portfolio company ⁽¹⁾	$	20,626		$	20,665
Number of loans on non-accrual status	1			1
Fair value of loans on non-accrual status	$	21,150		$	21,150
Percentage of portfolio at floating interest rates ⁽³⁾⁽⁴⁾	98.2		%	98.3		%
Percentage of portfolio at fixed interest rates ⁽⁴⁾	1.8		%	1.7		%
Fair value of loans with PIK provisions	$	21,150		$	21,150
Percentage of portfolio with PIK provisions ⁽⁴⁾	1.8		%	1.7		%


(1)	At par/principal amount.

(2)

Weighted average yields include the effect of accretion of discounts and amortization of premiums and are based on interest rates as of March 31, 2020 and December 31, 2019. Weighted average yield on debt and income producing securities at fair value is computed as (a) the annual stated interest rate or yield earned plus the net annual amortization of OID and market discount earned on accruing debt included in such securities, divided by (b) total first lien and second lien debt at fair value included in such securities. Weighted average yield on debt and income producing securities at amortized cost is computed as (a) the annual stated interest rate or yield earned plus the net annual amortization of OID and market discount earned on accruing debt included in such securities, divided by (b) total first lien and second lien debt at amortized cost included in such securities. Actual yields earned over the life of each investment could differ materially from the yields presented above.


(3)	Floating rate debt investments are primarily subject to interest rate floors.


(4)	Percentages based on fair value.



Consolidated Schedule of Investments as of March 31, 2020
Investments ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Maturity Date	Par/ Principal Amount		Amortized Cost ⁽⁵⁾		Fair Value ⁽⁶⁾
First Lien Debt (98.17% of fair value)
Achilles Acquisition, LLC	+\#	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 4.00%	5.00%	10/13/2025	$	29,805	$	29,690	$	25,931
Acrisure, LLC	+\	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 3.50%	5.21%	2/15/2027	25,828		25,796		22,486
Advanced Instruments, LLC	+*\	(2) (3)	Healthcare & Pharmaceuticals	L + 5.25%	6.26%	10/31/2022	36,087		36,019		35,405
Alku, LLC	+#	(2) (3)	Business Services	L + 5.50%	7.31%	7/29/2026	25,000		24,758		23,900
Alpha Packaging Holdings, Inc.	+*\	(2) (3)	Containers, Packaging & Glass	L + 6.00%	7.13%	11/12/2021	16,639		16,637		16,296
AmeriLife Holdings LLC	#	(2) (3) (7)	Banking, Finance, Insurance & Real Estate	L + 4.00%	5.45%	3/18/2027	8,864		8,839		8,286
Analogic Corporation	^+	(2) (3) (7)	Capital Equipment	L + 5.25%	6.25%	6/22/2024	19,169		19,144		18,143
Anchor Packaging, Inc.		(2) (3) (7)	Containers, Packaging & Glass	L + 4.00%	4.99%	7/18/2026	20,410		20,315		19,056
API Technologies Corp.	+\	(2) (3)	Aerospace & Defense	L + 4.25%	5.24%	5/9/2026	14,888		14,818		12,887
Aptean, Inc.	+ \	(2) (3)	Software	L + 4.25%	5.24%	4/23/2026	12,375		12,313		10,271
AQA Acquisition Holding, Inc.	^*\	(2) (3) (7)	High Tech Industries	L + 4.25%	5.65%	5/24/2023	21,323		21,299		20,741
Astra Acquisition Corp.	+#	(2) (3)	Software	L + 5.50%	6.50%	3/1/2027	29,000		28,567		26,822
Avalign Technologies, Inc.	+\	(2) (3)	Healthcare & Pharmaceuticals	L + 4.50%	5.57%	12/22/2025	14,704		14,578		13,893
Big Ass Fans, LLC	+*\	(2) (3)	Capital Equipment	L + 3.75%	5.20%	5/21/2024	13,873		13,809		13,515
BK Medical Holding Company, Inc.	^+	(2) (3) (7)	Healthcare & Pharmaceuticals	L + 5.25%	6.25%	6/22/2024	24,348		24,089		23,456
Brooks Equipment Company, LLC	+*	(2) (3)	Construction & Building	L + 5.00%	6.60%	8/29/2020	5,066		5,064		5,019
Clarity Telecom LLC.	+	(2) (3)	Media: Broadcasting & Subscription	L + 4.25%	5.24%	8/30/2026	14,925		14,880		14,058
Clearent Newco, LLC	^+\	(2) (3) (7)	High Tech Industries	L + 5.50%	6.87%	3/20/2025	29,675		29,386		27,402
Datto, Inc.	+\	(2) (3)	High Tech Industries	L + 4.25%	5.24%	4/2/2026	12,406		12,345		11,720
DecoPac, Inc.	^+ *\	(2) (3) (7)	Non-durable Consumer Goods	L + 4.25%	5.27%	9/29/2024	13,622		13,524		13,622
DTI Holdco, Inc.	+*\	(2) (3)	High Tech Industries	L + 4.75%	6.53%	9/30/2023	18,836		18,729		13,233
Eliassen Group, LLC	+\	(2) (3)	Business Services	L + 4.50%	5.49%	11/5/2024	7,571		7,540		7,376
EvolveIP, LLC	^+	(2) (3) (7)	Telecommunications	L + 5.75%	6.75%	6/7/2023	19,948		19,895		19,388
Exactech, Inc.	+\#	(2) (3)	Healthcare & Pharmaceuticals	L + 3.75%	4.75%	2/14/2025	21,694		21,563		17,084
Excel Fitness Holdings, Inc.	+#	(2) (3)	Hotel, Gaming & Leisure	L + 5.25%	6.25%	10/7/2025	24,938		24,705		22,539
Golden West Packaging Group LLC	+*\	(2) (3)	Containers, Packaging & Glass	L + 5.75%	6.75%	6/20/2023	29,252		29,103		28,333
HMT Holding Inc.	^ +*\	(2) (3) (7)	Energy: Oil & Gas	L + 5.00%	6.02%	11/17/2023	37,305		36,855		36,630
Jensen Hughes, Inc.	^+*\	(2) (3) (7)	Utilities: Electric	L + 4.50%	5.57%	3/22/2024	34,871		34,726		33,326
KAMC Holdings, Inc.	+#	(2) (3)	Energy: Electricity	L + 4.00%	5.61%	8/14/2026	13,930		13,866		13,083
Lionbridge Technologies, Inc.		(2) (3)	Business Services	L + 6.25%	7.32%	12/29/2025	24,938		24,938		23,583
MAG DS Corp.	+\	(2) (3) (7)	Aerospace & Defense	L + 4.75%	6.20%	6/6/2025	27,632		27,413		27,632
Maravai Intermediate Holdings, LLC	+\#	(2) (3)	Healthcare & Pharmaceuticals	L + 4.25%	5.75%	8/2/2025	29,550		29,313		28,040
Marco Technologies, LLC	^+\	(2) (3) (7)	Media: Advertising, Printing & Publishing	L + 4.25%	5.78%	10/30/2023	7,444		7,394		6,979



Consolidated Schedule of Investments as of March 31, 2020
Investments ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Maturity Date	Par/ Principal Amount		Amortized Cost ⁽⁵⁾		Fair Value ⁽⁶⁾
Mold-Rite Plastics, LLC	+\	(2) (3)	Chemicals, Plastics & Rubber	L + 4.25%	5.32%	12/14/2021	$	14,557	$	14,524	$	14,288
MSHC, Inc.	^+*\	(2) (3) (7)	Construction & Building	L + 4.25%	5.25%	12/31/2024	42,477		42,340		40,467
Newport Group Holdings II, Inc.	+\#	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 3.75%	5.20%	9/13/2025	23,655		23,436		22,626
Odyssey Logistics & Technology Corp.	+*\#	(2) (3)	Transportation: Cargo	L + 4.00%	5.07%	10/12/2024	39,013		38,866		27,309
Output Services Group	^+\	(2) (3)	Media: Advertising, Printing & Publishing	L + 4.50%	6.11%	3/27/2024	19,571		19,523		18,432
PAI Holdco, Inc.	+*\	(2) (3)	Automotive	L + 4.25%	5.39%	1/5/2025	19,486		19,415		18,956
Park Place Technologies, Inc.	+\#	(2) (3)	High Tech Industries	L + 4.00%	5.00%	3/28/2025	22,502		22,429		21,827
Pasternack Enterprises, Inc.	+\	(2) (3)	Capital Equipment	L + 4.00%	5.00%	7/2/2025	22,697		22,684		21,955
Pharmalogic Holdings Corp.	+\	(2) (3)	Healthcare & Pharmaceuticals	L + 4.00%	5.00%	6/11/2023	11,292		11,269		11,091
Premise Health Holding Corp.	^+\#	(2) (3) (7)	Healthcare & Pharmaceuticals	L + 3.50%	4.95%	7/10/2025	13,689		13,632		13,081
Propel Insurance Agency, LLC	^+\	(2) (3) (7)	Banking, Finance, Insurance & Real Estate	L + 4.25%	5.70%	6/1/2024	22,475		22,024		21,678
Q Holding Company	+*\#	(2) (3)	Automotive	L + 5.00%	6.45%	12/31/2023	21,900		21,732		20,560
QW Holding Corporation (Quala)	^+*	(2) (3) (7)	Environmental Industries	L + 6.25%	7.70%	8/31/2022	16,305		16,144		15,895
Radiology Partners, Inc.	+\#	(2) (3)	Healthcare & Pharmaceuticals	L + 4.25%	5.98%	7/9/2025	27,686		27,566		22,149
RevSpring Inc.	*\#	(2) (3)	Media: Advertising, Printing & Publishing	L + 4.00%	5.45%	10/11/2025	29,688		29,476		25,012
Situs Group Holdings Corporation	^+\	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 4.75%	5.81%	6/28/2025	14,897		14,790		13,954
Surgical Information Systems, LLC	+*\	(2) (3) (6)	High Tech Industries	L + 4.75%	7.21%	4/24/2023	26,168		26,016		25,417
Systems Maintenance Services Holding, Inc.	^*	(2) (3) (9)	High Tech Industries	L + 5.00%	6.45%	10/30/2023	23,735		23,647		16,837
T2 Systems, Inc.	^+*	(2) (3) (7)	Transportation: Consumer	L + 6.75%	8.34%	9/28/2022	17,804		17,570		17,630
The Original Cakerie, Ltd. (Canada)	^+*\	(2) (3)	Beverage, Food & Tobacco	L + 5.00%	6.62%	7/20/2022	8,906		8,879		8,723
The Original Cakerie, Ltd. (Canada)	^+*\	(2) (3)	Beverage, Food & Tobacco	L + 4.50%	5.95%	7/20/2022	8,009		7,988		7,858
Thoughtworks, Inc.	*\#	(2) (3)	Business Services	L + 3.75%	5.20%	10/11/2024	11,794		11,769		10,202
U.S. Acute Care Solutions, LLC	+*\	(2) (3)	Healthcare & Pharmaceuticals	L + 5.00%	6.45%	5/15/2021	31,299		31,217		27,624
U.S. TelePacific Holdings Corp.	+*\	(2) (3)	Telecommunications	L + 5.00%	6.07%	5/2/2023	26,660		26,510		20,195
Valet Waste Holdings, Inc.	+\#	(2) (3)	Construction & Building	L + 3.75%	4.74%	9/28/2025	18,058		17,967		17,383
VRC Companies, LLC	^+	(2) (3) (7)	Business Services	L + 6.50%	7.99%	3/31/2023	5,548		5,321		5,295
Welocalize, Inc.	^+	(2) (3) (7)	Business Services	L + 4.50%	5.50%	12/2/2024	23,804		23,563		23,113
WRE Holding Corp.	^+*	(2) (3) (7)	Environmental Industries	L + 5.00%	6.45%	1/3/2023	7,854		7,800		7,718
Zywave, Inc.	^+*\	(2) (3)	High Tech Industries	L + 5.00%	6.72%	11/17/2022	20,177		20,066		19,870
First Lien Debt Total									$	1,270,073	$	1,177,280
Second Lien Debt (1.82% of fair value)
DBI Holding, LLC	^*	(8)	Transportation: Cargo	8.00% PIK	8.00%	2/1/2026	$	21,150	$	20,697	$	21,150
Zywave, Inc.	*	(2) (3)	High Tech Industries	L + 9.00%	10.8%	11/17/2023	666		660		642
Second Lien Debt Total									$	21,364	$	21,764



Investments ⁽¹⁾		Footnotes	Industry	Type	Shares/Units	Cost		Fair Value ⁽⁶⁾
Equity Investments (0.01% of fair value)
DBI Holding, LLC	^*		Transportation: Cargo	Common stock	16,957	$	5,364	$	111
Equity Investments Total						$	5,364	$	111
Total Investments						$	1,296,794	$	1,199,183


(1)	Unless otherwise indicated, issuers of investments held by Credit Fund are domiciled in the United States. As of March 31, 2020, the geographical composition of investments as a percentage of fair value was 1.40% in Canada and 98.60% in the United States. Certain portfolio company investments are subject to contractual restrictions on sales.

(2)


(3)	Loan includes interest rate floor feature, which is generally 1.00%.


(4)	Amortized cost represents original cost, including origination fees and upfront fees received that are deemed to be an adjustment to yield, adjusted for the accretion/amortization of discounts/premiums, as applicable, on debt investments using the effective interest method.

(5)

Fair value is determined in good faith by or under the direction of the board of managers of Credit Fund, pursuant to Credit Fund’s valuation policy, with the fair value of all investments determined using significant unobservable inputs, which is substantially similar to the valuation policy of the Company provided in Note 3, Fair Value Measurements to the Consolidated Financial Statements in Part I, Item 1 of this Form 10-Q.

(6)


(7)	As of March 31, 2020, Credit Fund and Credit Fund Sub had the following unfunded commitments to fund delayed draw and revolving senior secured loans:



First Lien Debt – unfunded delayed draw and revolving term loans commitments	Type	Unused Fee	Par/ Principal Amount		Fair Value
AmeriLife Holdings LLC	Delayed Draw	1.00%	$	1,136	$	(66	)
Analogic Corporation	Revolver	0.50	1,806		(88		)
Anchor Packaging, Inc.	Delayed Draw	1.00	4,487		(244		)
AQA Acquisition Holding, Inc.	Revolver	0.50	42		(1		)
BK Medical Holding Company, Inc.	Revolver	0.50	2,609		(86		)
Clearent Newco, LLC	Delayed Draw	1.00	6,636		(415		)
DecoPac, Inc.	Revolver	0.50	857		—
EvolveIP, LLC	Delayed Draw	1.00	2,240		(53		)
EvolveIP, LLC	Revolver	0.50	1,344		(32		)
HMT Holding Inc.	Revolver	0.50	1,940		(33		)
Jensen Hughes, Inc.	Revolver	0.50	91		(4		)
Jensen Hughes, Inc.	Delayed Draw	1.00	2,365		(98		)
MAG DS Corp.	Revolver	0.50	2,965		—
Marco Technologies, LLC	Delayed Draw	1.00	7,500		(233		)
MSHC, Inc.	Delayed Draw	1.00	747		(35		)
Premise Health Holding Corp.	Delayed Draw	1.00	1,103		(45		)
Propel Insurance Agency, LLC	Revolver	0.50	2,381		(59		)
Propel Insurance Agency, LLC	Delayed Draw	0.50	7,143		(178		)
QW Holding Corporation (Quala)	Revolver	0.50	852		(20		)
QW Holding Corporation (Quala)	Delayed Draw	1.00	161		(4		)
T2 Systems, Inc.	Revolver	0.50	1,564		(14		)
VRC Companies, LLC	Delayed Draw	0.75	6,091		(132		)
Welocalize, Inc.	Revolver	0.50	1,238		(34		)
WRE Holding Corp.	Delayed Draw	1.00	1,981		(27		)
Total unfunded commitments			$	59,279	$	(1,901	)


(8)	Loan was on non-accrual status as of March 31, 2020.


(9)	The sale of a portion of this loan does not qualify for sale accounting under ASC Topic 860 - Transfers and Servicing ("ASC Topic 860"), and therefore, the asset remains in the Consolidated Schedule of Investments.



Consolidated Schedule of Investments as of December 31, 2019
Investments ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Maturity Date	Par/ Principal Amount		Amortized Cost ⁽⁵⁾		Fair Value ⁽⁶⁾
First Lien Debt (98.11% of fair value)
Achilles Acquisition, LLC	+\#	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 4.00%	5.75%	10/13/2025	$	17,865	$	17,776	$	17,763
Acrisure, LLC	+\	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 3.75%	5.85%	11/22/2023	11,820		11,810		11,805
Acrisure, LLC	+\#	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 4.25%	6.35%	11/22/2023	20,674		20,639		20,674
Advanced Instruments, LLC	^+*\	(2) (3) (7)	Healthcare & Pharmaceuticals	L + 5.25%	6.99%	10/31/2022	35,610		35,536		35,466
Alku, LLC	+#	(2) (3)	Business Services	L + 5.50%	7.44%	7/29/2026	25,000		24,754		24,624
Alpha Packaging Holdings, Inc.	+*\	(2) (3)	Containers, Packaging & Glass	L + 4.25%	6.35%	5/12/2020	16,684		16,676		16,601
AmeriLife Group, LLC	^#	(2) (3) (7)	Banking, Finance, Insurance & Real Estate	L + 4.50%	6.20%	6/5/2026	16,627		16,557		16,558
Anchor Packaging, Inc.	^#	(2) (3) (7)	Containers, Packaging & Glass	L + 4.00%	5.70%	7/18/2026	20,462		20,363		20,457
API Technologies Corp.	+\	(2) (3)	Aerospace & Defense	L + 4.25%	5.95%	5/9/2026	14,925		14,853		14,807
Aptean, Inc.	+\	(2) (3)	Software	L + 4.25%	6.34%	4/23/2026	12,406		12,344		12,385
AQA Acquisition Holding, Inc.	^*\	(2) (3) (7)	High Tech Industries	L + 4.25%	6.16%	5/24/2023	18,954		18,922		18,860
Avalign Technologies, Inc.	+\	(2) (3)	Healthcare & Pharmaceuticals	L + 4.50%	6.70%	12/22/2025	14,741		14,610		14,626
Big Ass Fans, LLC	+*\	(2) (3)	Capital Equipment	L + 3.75%	5.85%	5/21/2024	13,909		13,841		13,903
Borchers, Inc.	+*\	(2) (3) (7)	Chemicals, Plastics & Rubber	L + 4.50%	6.60%	11/1/2024	15,116		15,072		15,085
Brooks Equipment Company, LLC	*		Construction & Building	L + 5.00%	6.91%	8/29/2020	5,144		5,141		5,141
Clarity Telecom LLC.	+	(2) (3)	Media: Broadcasting & Subscription	L + 4.50%	6.20%	8/30/2026	14,963		14,915		14,902
Clearent Newco, LLC	^+\	(2) (3) (7)	High Tech Industries	L + 5.50%	7.44%	3/20/2025	29,738		29,436		29,134
Datto, Inc.	+\	(2) (3)	High Tech Industries	L + 4.25%	5.95%	4/2/2026	12,438		12,375		12,420
DecoPac, Inc.	+*\	(2) (3) (7)	Non-durable Consumer Goods	L + 4.25%	6.01%	9/29/2024	12,336		12,233		12,292
Dent Wizard International Corporation	+\	(2) (3)	Automotive	L + 4.00%	5.70%	4/7/2020	36,880		36,843		36,717
DTI Holdco, Inc.	+*\	(2) (3)	High Tech Industries	L + 4.75%	6.68%	9/30/2023	18,885		18,771		17,611
Eliassen Group, LLC	+\	(2) (3)	Business Services	L + 4.50%	6.20%	11/5/2024	7,581		7,548		7,579
EIP Merger Sub, LLC (Evolve IP)	^+	(2) (3) (7)	Telecommunications	L + 5.75%	7.45%	6/7/2023	19,661		19,605		19,661
Exactech, Inc.	+\#	(2) (3)	Healthcare & Pharmaceuticals	L + 3.75%	5.45%	2/14/2025	21,772		21,634		21,751
Excel Fitness Holdings, Inc.	+#	(2) (3)	Hotel, Gaming & Leisure	L + 5.25%	6.95%	10/7/2025	25,000		24,758		24,875
Golden West Packaging Group LLC	+*\	(2) (3)	Containers, Packaging & Glass	L + 5.75%	7.45%	6/20/2023	29,464		29,303		29,072
HMT Holding Inc.	^+*\	(2) (3) (7)	Energy: Oil & Gas	L + 5.00%	6.74%	11/17/2023	33,157		32,678		32,972
Jensen Hughes, Inc.	^+*\	(2) (3) (7)	Utilities: Electric	L + 4.50%	6.24%	3/22/2024	33,909		33,757		33,550
KAMC Holdings, Inc.	+#	(2) (3)	Energy: Electricity	L + 4.00%	5.91%	8/14/2026	13,965		13,899		13,881
MAG DS Corp.	^+\	(2) (3) (7)	Aerospace & Defense	L + 4.75%	6.46%	6/6/2025	28,471		28,242		28,286
Maravai Intermediate Holdings, LLC	+\#	(2) (3)	Healthcare & Pharmaceuticals	L + 4.25%	6.00%	8/2/2025	29,625		29,378		29,400
Marco Technologies, LLC	^+\	(2) (3) (7)	Media: Advertising, Printing & Publishing	L + 4.25%	6.16%	10/30/2023	7,463		7,410		7,463



Consolidated Schedule of Investments as of December 31, 2019
Investments ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Maturity Date	Par/ Principal Amount		Amortized Cost ⁽⁵⁾		Fair Value ⁽⁶⁾
Mold-Rite Plastics, LLC	+\	(2) (3)	Chemicals, Plastics & Rubber	L + 4.25%	5.95%	12/14/2021	$	14,557	$	14,519	$	14,524
MSHC, Inc.	^+*\	(2) (3) (7)	Construction & Building	L + 4.25%	5.95%	12/31/2024	38,251		38,138		38,166
Newport Group Holdings II, Inc.	+\#	(2) (3)	Banking, Finance, Insurance & Real Estate	L + 3.75%	5.65%	9/13/2025	23,715		23,487		23,663
Odyssey Logistics & Technology Corp.	+*\#	(2) (3)	Transportation: Cargo	L + 4.00%	5.70%	10/12/2024	39,013		38,859		38,763
Output Services Group	^+\	(2) (3) (7)	Media: Advertising, Printing & Publishing	L + 4.50%	6.20%	3/27/2024	19,621		19,570		19,469
PAI Holdco, Inc.	+*\	(2) (3)	Automotive	L + 4.25%	6.35%	1/5/2025	19,532		19,458		19,532
Park Place Technologies, Inc.	+\#	(2) (3)	High Tech Industries	L + 4.00%	5.70%	3/28/2025	22,566		22,489		22,566
Pasternack Enterprises, Inc.	+\	(2) (3)	Capital Equipment	L + 4.00%	5.70%	7/2/2025	22,755		22,742		22,653
Pathway Vet Alliance LLC	+\	(2) (3) (7)	Consumer Services	L + 4.50%	6.21%	12/20/2024	19,085		18,708		19,217
Pharmalogic Holdings Corp.	+\	(2) (3)	Healthcare & Pharmaceuticals	L + 4.00%	5.70%	6/11/2023	11,320		11,296		11,302
Premise Health Holding Corp.	^+\#	(2) (3) (7)	Healthcare & Pharmaceuticals	L + 3.50%	5.60%	7/10/2025	13,723		13,665		13,501
Propel Insurance Agency, LLC	^+\	(2) (3) (7)	Banking, Finance, Insurance & Real Estate	L + 4.25%	6.35%	6/1/2024	22,532		22,056		22,395
Q Holding Company	+*\#	(2) (3)	Automotive	L + 5.00%	6.70%	12/31/2023	21,955		21,777		21,922
QW Holding Corporation (Quala)	^+*	(2) (3) (7)	Environmental Industries	L + 5.75%	7.73%	8/31/2022	11,630		11,449		11,531
Radiology Partners, Inc.	+\#	(2) (3)	Healthcare & Pharmaceuticals	L + 4.75%	6.66%	7/9/2025	28,719		28,590		28,768
RevSpring Inc.	+*\#	(2) (3)	Media: Advertising, Printing & Publishing	L + 4.00%	5.95%	10/11/2025	24,750		24,631		24,608
Situs Group Holdings Corporation	^+\	(2) (3) (7)	Banking, Finance, Insurance & Real Estate	L + 4.75%	6.45%	6/28/2025	13,715		13,621		13,697
Systems Maintenance Services Holding, Inc.	+*	(2) (3)	High Tech Industries	L + 5.00%	6.70%	10/30/2023	23,765		23,672		18,180
Surgical Information Systems, LLC	+*\	(2) (3) (6)	High Tech Industries	L + 4.75%	7.47%	4/24/2023	26,168		26,005		25,715
T2 Systems, Inc.	^+*	(2) (3) (7)	Transportation: Consumer	L + 6.75%	8.85%	9/28/2022	18,045		17,789		18,045
The Original Cakerie, Ltd. (Canada)	+*	(2) (3) (7)	Beverage, Food & Tobacco	L + 5.00%	6.84%	7/20/2022	8,928		8,897		8,887
The Original Cakerie, Ltd. (Canada)	^*	(2) (3) (7)	Beverage, Food & Tobacco	L + 4.50%	6.34%	7/20/2022	6,826		6,801		6,790
ThoughtWorks, Inc.	+*\	(2) (3)	Business Services	L + 4.00%	5.70%	10/11/2024	11,824		11,794		11,824
U.S. Acute Care Solutions, LLC	+*\	(2) (3)	Healthcare & Pharmaceuticals	L + 5.00%	6.91%	5/15/2021	31,431		31,331		29,869
U.S. TelePacific Holdings Corp.	+*\	(2) (3)	Telecommunications	L + 5.00%	7.10%	5/2/2023	26,660		26,499		25,430
Valet Waste Holdings, Inc.	+\	(2) (3)	Construction & Building	L + 3.75%	5.70%	9/28/2025	11,850		11,825		11,688
Welocalize, Inc.	+^	(2) (3) (7)	Business Services	L + 4.50%	6.21%	12/2/2024	23,038		22,788		22,787
WIRB - Copernicus Group, Inc.	+*\	(2) (3) (7)	Healthcare & Pharmaceuticals	L + 4.25%	5.95%	8/15/2022	20,888		20,822		20,887
WRE Holding Corp.	^+*	(2) (3) (7)	Environmental Industries	L + 5.00%	6.91%	1/3/2023	7,431		7,372		7,304
Zywave, Inc.	+*\	(2) (3) (7)	High Tech Industries	L + 5.00%	6.93%	11/17/2022	19,228		19,107		19,211
First Lien Debt Total									$	1,231,436	$	1,223,215
Second Lien Debt (1.75% of fair value)



Consolidated Schedule of Investments as of December 31, 2019
Investments ⁽¹⁾		Footnotes	Industry	Reference Rate & Spread ⁽²⁾	Interest Rate ⁽²⁾	Maturity Date	Par/ Principal Amount		Amortized Cost ⁽⁵⁾		Fair Value ⁽⁶⁾
DBI Holding, LLC	^*	(2) (3) (8)	Transportation: Cargo	8.00% PIK	8.00%	2/1/2026	$	21,150	$	20,697	$	21,150
Zywave, Inc.	*	(2) (3)	High Tech Industries	L + 9.00%	10.94%	11/17/2023	666		660		664
Second Lien Debt Total									$	21,357	$	21,814
Equity Investments (0.15% of fair value)
DBI Holding, LLC	^		Transportation: Cargo				$	16,957	$	5,364	$	1,810
Equity Investments Total									$	5,364	$	1,810
Total Investments									$	1,258,157	$	1,246,839

+ Denotes that all or a portion of the assets are owned by Credit Fund Sub. Credit Fund Sub has entered into a revolving credit facility the Credit Fund Sub Facility. The lenders of the Credit Fund Sub Facility have a first lien security interest in substantially all of the assets of Credit Fund Sub. Accordingly, such assets are not available to creditors of Credit Fund, the 2017-1 Issuer, the 2019-2 Issuer or Credit Fund Warehouse II.


(1)	Unless otherwise indicated, issuers of investments held by Credit Fund are domiciled in the United States. As of December 31, 2019, the geographical composition of investments as a percentage of fair value was 1.26% in Canada and 98.74% in the United States. Certain portfolio company investments are subject to contractual restrictions on sales.

(2)

Variable rate loans to the portfolio companies bear interest at a rate that is determined by reference to either LIBOR or an alternate base rate (commonly based on the Federal Funds Rate or the U.S. Prime Rate), which generally resets quarterly. For each such loan, Credit Fund has indicated the reference rate used and provided the spread and the interest rate in effect as of December 31, 2019. As of December 31, 2019, the reference rates for Credit Fund's variable rate loans were the 30-day LIBOR at 1.75%, the 90-day LIBOR at 1.91% and the 180-day LIBOR at 1.91%.


(3)	Loan includes interest rate floor feature, which is generally 1.00%.


(4)	Amortized cost represents original cost, including origination fees and upfront fees received that are deemed to be an adjustment to yield, adjusted for the accretion/amortization of discounts/premiums, as applicable, on debt investments using the effective interest method.


(5)	Fair value is determined in good faith by or under the direction of the board of managers of Credit Fund, pursuant to Credit Fund’s valuation policy, with the fair value of all investments determined using significant unobservable inputs, which is substantially similar to the valuation policy of the Company provided in Note 3, Fair Value Measurements.

(6)


(7)	As of December 31, 2019, Credit Fund and Credit Fund Sub had the following unfunded commitments to fund delayed draw and revolving senior secured loans:



First Lien Debt—unfunded delayed draw and revolving term loans commitments	Type	Unused Fee		Par/ Principal Amount		Fair Value
Advanced Instruments, LLC	Revolver	0.50	%	$	563	$	(2	)
AmeriLife Group, LLC	Delayed Draw	0.01		298		(1		)
Anchor Packaging, Inc.	Delayed Draw	0.01		4,487		(1		)
AQA Acquisition Holding, Inc.	Revolver	0.01		2,459		(11		)
Borchers, Inc.	Revolver	0.01		1,935		(3		)
Clearent Newco, LLC	Delayed Draw	0.01		6,636		(110		)
DecoPac, Inc.	Revolver	0.01		2,143		(7		)
EIP Merger Sub, LLC (Evolve IP)	Revolver	0.01		1,680		—
EIP Merger Sub, LLC (Evolve IP)	Delayed Draw	0.01		2,240		—
HMT Holding Inc.	Revolver	0.01		6,173		(29		)
Jensen Hughes, Inc.	Revolver	0.01		1,136		(11		)
Jensen Hughes, Inc.	Delayed Draw	0.01		2,365		(23		)
MAG DS Corp.	Revolver	0.01		2,188		(13		)
Marco Technologies, LLC	Delayed Draw	0.01		7,500		—
MSHC, Inc.	Delayed Draw	0.01		1,913		(4		)
Output Services Group	Delayed Draw	0.04		116		(1		)
Pathway Vet Alliance LLC	Delayed Draw	0.01		19,867		68
Premise Health Holding Corp.	Delayed Draw	0.01		1,103		(17		)
Propel Insurance Agency, LLC	Revolver	0.01		2,381		(10		)
Propel Insurance Agency, LLC	Delayed Draw	0.01		7,143		(31		)
QW Holding Corporation (Quala)	Revolver	0.01		5,498		(31		)
QW Holding Corporation (Quala)	Delayed Draw	0.01		217		(1		)
Situs Group Holdings Corporation	Delayed Draw	0.01		1,216		(1		)
T2 Systems, Inc.	Revolver	0.01		1,369		—
The Original Cakerie, Ltd. (Canada)	Revolver	0.01		1,199		(5		)
Welocalize, Inc.	Revolver	0.01		2,057		(21		)
WIRB - Copernicus Group, Inc.	Revolver	0.01		1,000		—
WIRB - Copernicus Group, Inc.	Delayed Draw	0.01		2,592		—
WRE Holding Corp.	Revolver	0.01		441		(6		)
WRE Holding Corp.	Delayed Draw	0.01		1,981		(25		)
Zywave, Inc.	Revolver	0.01		998		(1		)
Total unfunded commitments				$	92,894	$	(297	)


(8)	Loan was on non-accrual status as of December 31, 2019.

Debt

Credit Fund, Credit Fund Sub and Credit Fund Warehouse II are party to separate credit facilities as described below. In addition, until May 15, 2019, the 2019-2 Issuer (formerly known as Credit Fund Warehouse) was a party to the Credit Warehouse Facility. As of March 31, 2020 and December 31, 2019, Credit Fund, Credit Fund Sub and Credit Fund Warehouse II were in compliance with all covenants and other requirements of their respective credit facility agreements. Below is a summary of the borrowings and repayments under the credit facilities for the three month periods ended 2020 and 2019, and the outstanding balances under the credit facilities for the respective periods.



	Credit Fund Facility						Credit Fund Sub Facility						Credit Fund Warehouse Facility			Credit Fund Warehouse II Facility
	2020			2019			2020			2019			2020	2019		2020			2019
Three Month Periods Ended March 31,
Outstanding balance, beginning of period	$	93,000		$	112,000		$	343,506		$	471,134		N/A	$	101,044	$	97,571		N/A
Borrowings	63,500			30,500			57,000			60,020			N/A	12,873		19,794			N/A
Repayments	(156,500		)	(18,700		)	(33,500		)	(20,404		)	N/A	—		(21,950		)	N/A
Outstanding balance, end of period	$	—		$	123,800		$	367,006		$	510,750		N/A	$	113,917	$	95,415		N/A

2017-1 Notes


•	$231,700 of Aaa/AAA Class A-1 Notes, which bear interest at the three-month LIBOR plus 1.17%;


•	$48,300 of Aa2/AA Class A-2 Notes, which bear interest at the three-month LIBOR plus 1.50%;


•	$15,000 of A2/A Class B-1 Notes, which bear interest at the three-month LIBOR plus 2.25%;


•	$9,000 of A2/A Class B-2 Notes which bear interest at 4.30%;


•	$22,900 of Baa2/BBB Class C Notes which bear interest at the three-month LIBOR plus 3.20%; and


•	$25,100 of Ba2/BB Class D Notes which bear interest at the three-month LIBOR plus 6.38%.

As of March 31, 2020 and December 31, 2019, the 2017-1 Issuer was in compliance with all covenants and other requirements of the indenture.

2019-2 Notes


•	$233,000 of Aaa/AAA Class A-1 Notes, which bear interest at the three-month LIBOR plus 1.50%;


•	$48,000 of Aa2/AA Class A-2 Notes, which bear interest at the three-month LIBOR plus 2.40%;


•	$23,000 of A2/A Class B Notes, which bear interest at the three-month LIBOR plus 3.45%;


•	$27,000 of Baa2/BBB- Class C Notes which bear interest at the three-month LIBOR plus 4.55%; and


•	$21,000 of Ba2/BB- Class D Notes which bear interest at the three-month LIBOR plus 8.03%.

The 2017-1 Notes are scheduled to mature on April 15, 2029. Credit Fund received 100% of the preferred interests issued by the 2019-2 Issuer (the “2019-2 Issuer Preferred Interests”) on the closing date of the 2019-2 Debt Securitization in exchange for Credit Fund’s contribution to the 2019-2 Issuer of the initial closing date loan portfolio. The 2019-2 Issuer Preferred Interests do not bear interest and had a nominal value of $48,300 at closing.

As of March 31, 2020 and December 31, 2019, the 2019-2 Issuer was in compliance with all covenants and other requirements of the indenture.

FINANCIAL CONDITION, LIQUIDITY AND CAPITAL RESOURCES

We generate cash from the net proceeds of offerings of our common stock and through cash flows from operations, including investment sales and repayments as well as income earned on investments and cash equivalents. We may also fund a portion of our investments through borrowings under the Facilities, as well as through securitization of a portion of our existing investments. The primary use of existing funds and any funds raised in the future is expected to be for investments in portfolio companies, repayment of indebtedness, cash distributions to our stockholders and for other general corporate purposes.

We expect that the market and business disruption created by the COVID-19 pandemic will impact certain aspects of our liquidity, and we are therefore continuously and critically monitoring our operating results, liquidity and anticipated capital requirements. For example, we saw an unprecedented level of calls for revolver fundings and a slowing in our expected repayments in March. High market spreads and other economic volatility resulted in significant depreciation in the valuations of our investments, which may adversely impact collateral eligibility, which would reduce the availability under the Facilities. However, our capacity under the Facilities as of March 31, 2020 is well in excess of our unfunded commitments. We believe our current cash position, available capacity on our revolving credit facilities and net cash provided by operating activities will provide us with sufficient resources to meet our obligations and continue to support our investment objectives, including reserving for the capital needs which may arise at our portfolio companies. In addition, on May 5, 2020, we sold 2,000,000 newly issued shares of cumulative convertible preferred stock in a private placement for total proceeds to the Company of $50.0 million (see "Other" in Part II, Item 5 of this Form 10-Q). See "Risk Factors" in Part II, Item 1A of this Form 10-Q for a discussion of certain risks we face as a result of the COVID-19 pandemic.

The SPV closed on May 24, 2013 on the SPV Credit Facility, which was subsequently amended on June 30, 2014, June 19, 2015, June 9, 2016, May 26, 2017 and August 9, 2018. The SPV Credit Facility provides for secured borrowings during the applicable revolving period up to an amount equal to the lesser of $275,000 (the borrowing base as calculated pursuant to the terms of the SPV Credit Facility) and the amount of net cash proceeds and unpledged capital commitments the Company has received, with an accordion feature that can, subject to certain conditions, increase the aggregate maximum credit commitment up to an amount not to exceed $750,000, subject to restrictions imposed on borrowings under the Investment Company Act and certain restrictions and conditions set forth in the SPV Credit Facility, including adequate collateral to support such borrowings. On December 31, 2019, the Company irrevocably reduced its commitments under the SPV Credit Facility to $275,000. The SPV Credit Facility imposes financial and operating covenants on us and the SPV that restrict our and its business activities. Continued compliance with these covenants will depend on many factors, some of which are beyond our control.

We closed on the Credit Facility on March 21, 2014, which was subsequently amended on January 8, 2015, May 25, 2016, March 22, 2017, September 25, 2018 and June 14, 2019. The maximum principal amount of the Credit Facility is $688,000, subject to availability under the Credit Facility, which is based on certain advance rates multiplied by the value of the Company’s portfolio investments (subject to certain concentration limitations) net of certain other indebtedness that the Company may incur in accordance with the terms of the Credit Facility. Proceeds of the Credit Facility may be used for general corporate purposes, including the funding of portfolio investments. Maximum capacity under the Credit Facility may be increased, subject to certain conditions, to $900,000 through the exercise by the Company of an uncommitted accordion feature through which existing and new lenders may, at their option, agree to provide additional financing. The Credit Facility includes a $50,000 limit for swingline loans and a $20,000 limit for letters of credit. Subject to certain exceptions, the Credit Facility is secured by a first lien security interest in substantially all of the portfolio investments held by the Company. The Credit Facility includes customary covenants, including certain financial covenants related to asset coverage, shareholders’ equity and liquidity, certain limitations on the incurrence of additional indebtedness and liens, and other maintenance covenants, as well as usual and customary events of default for senior secured revolving credit facilities of this nature.

Although we believe that we and the SPV will remain in compliance, there are no assurances that we or the SPV will continue to comply with the covenants in the Credit Facility and SPV Credit Facility, as applicable. Failure to comply with these covenants could result in a default under the Credit Facility and/or the SPV Credit Facility that, if we or the SPV were unable to obtain a waiver from the applicable lenders, could result in the immediate acceleration of the amounts due under the Credit Facility and/or the SPV Credit Facility, and thereby have a material adverse impact on our business, financial condition and results of operations. Moreover, to the extent that we cannot meet our financing obligations, we risk the loss of some or all of our assets to liquidation or sale to satisfy the obligations. In such an event, we may be forced to sell assets at significantly depressed prices due to market conditions or otherwise, which may result in losses.

For more information on the SPV Credit Facility and the Credit Facility, see Note 6 to the consolidated financial statements in Part I, Item 1 of this Form 10-Q.

On June 26, 2015, we completed the 2015-1 Debt Securitization. The 2015-1 Notes were issued by Carlyle Direct Lending CLO 2015-1R LLC (formerly known as Carlyle GMS Finance MM CLO 2015-1 LLC) (the “2015-1 Issuer”), a wholly owned and consolidated subsidiary of us. On August 30, 2018, the 2015-1 Issuer refinanced the 2015-1 Debt Securitization (the “2015-1 Debt Securitization Refinancing”) by redeeming in full the 2015-1 Notes and issuing new notes (the “2015-1R Notes”). The 2015-1R Notes are secured by a diversified portfolio of the 2015-1 Issuer consisting primarily of first and second lien senior secured loans. On the closing date of the 2015-1 Debt Securitization Refinancing, the 2015-1 Issuer, among other things:

(c) refinanced the issued Class A-1C Notes by redeeming in full the Class A-1C Notes and issuing new AAA Class A-1-3-R Notes in an aggregate principal amount of $25,000 which bear interest at 4.56%;

(f) reduced the 2015-1 Issuer Preferred Interests by approximately $21,375 from a nominal value of $125,900 to approximately $104,525 at close; and

(g) extended the reinvestment period end date and maturity date applicable to the 2015-1 Issuer to October 15, 2023 and October 15, 2031, respectively. In connection with the contribution, we have made customary representations, warranties and covenants to the 2015-1 Issuer.

The Class A-1-1-R, Class A-1-2-R, Class A-1-3-R, Class A-2-R, Class B and Class C Notes are included in the consolidated financial statements included in Part I, Item 1 of this Form 10-Q. The 2015-1 Issuer Preferred Interests were

eliminated in consolidation. For more information on the 2015-1R Notes, see Note 7 to the consolidated financial statements in Part I, Item 1 of this Form 10-Q.

As of March 31, 2020 and December 31, 2019, we had $65,525 and $36,751, respectively, in cash and cash equivalents. The Facilities consisted of the following as of March 31, 2020 and December 31, 2019:



	March 31, 2020
	Total Facility		Borrowings Outstanding		Unused Portion ⁽¹⁾		Amount Available ⁽²⁾
SPV Credit Facility	$	275,000	$	201,026	$	73,974	$	4,497
Credit Facility	688,000		500,583		187,417		122,832
Total	$	963,000	$	701,609	$	261,391	$	127,329



	December 31, 2019
	Total Facility		Borrowings Outstanding		Unused Portion ⁽¹⁾		Amount Available ⁽²⁾
SPV Credit Facility	$	275,000	$	232,469	$	42,531	$	4,225
Credit Facility	688,000		384,074		303,926		264,198
Total	$	963,000	$	616,543	$	346,457	$	268,423


(1)	The unused portion is the amount upon which commitment fees are based.


(2)	Available for borrowing based on the computation of collateral to support the borrowings and subject to compliance with applicable covenants and financial ratios.

The following were the carrying values (before debt issuance costs) and fair values of the Company’s 2015-1R Notes as of March 31, 2020 and December 31, 2019:



	March 31, 2020				December 31, 2019
	Carrying Value		Fair Value		Carrying Value		Fair Value
Aaa/AAA Class A-1-1-R Notes	$	234,800	$	212,996	$	234,800	$	233,053
Aaa/AAA Class A-1-2-R Notes	50,000		45,773		50,000		49,908
Aaa/AAA Class A-1-3-R Notes	25,000		24,045		25,000		25,163
AA Class A-2-R Notes	66,000		66,000		66,000		66,000
A Class B Notes	46,400		37,370		46,400		46,400
BBB- Class C Notes	27,000		27,000		27,000		27,000
Total	$	449,200	$	413,184	$	449,200	$	447,524

As of March 31, 2020 and December 31, 2019, we had a combined $1,265,809 and $1,180,743, respectively, of outstanding consolidated indebtedness under our Facilities, the 2015-1R Notes and the Senior Notes. Our annualized interest cost as of March 31, 2020 and December 31, 2019, was 3.52% and 4.01%, excluding fees (such as fees on undrawn amounts and amortization of upfront fees). For the three month periods ended March 31, 2020 and 2019, we incurred $12,179 and $11,991, respectively, of interest expense and $590 and $568, respectively, of unused commitment fees.

Equity Activity

Shares issued and outstanding as of March 31, 2020 and December 31, 2019 were 56,308,616 and 57,763,811, respectively.

The following table summarizes activity in the number of shares of our common stock outstanding during the three month periods ended March 31, 2020 and 2019:



	For the three month periods ended
	March 31, 2020		March 31, 2019
Shares outstanding, beginning of period	57,763,811		62,230,251
Repurchase of common stock ⁽¹⁾	(1,455,195	)	(958,182	)
Shares outstanding, end of period	56,308,616		61,272,069

(1) In order to preserve capital, we have temporarily suspended the Company Stock Repurchase Program. See Note 9 to the consolidated financial statements in Part I, Item 1 of this Form 10-Q for additional information regarding the Company Stock Repurchase Program.

Contractual Obligations

A summary of our significant contractual payment obligations was as follows as of March 31, 2020 and December 31, 2019:



	As of
Payment Due by Period	March 31, 2020		December 31, 2019
Less than 1 Year	$	—	$	—
1-3 Years	—		—
3-5 Years ⁽¹⁾	816,609		731,543
More than 5 Years⁽²⁾	449,200		449,200
Total	$	1,265,809	$	1,180,743

(1) Includes amounts outstanding under the Facilities and Senior Notes.

(2) Includes amounts outstanding under the 2015-1R Notes.

OFF BALANCE SHEET ARRANGEMENTS

In the ordinary course of our business, we enter into contracts or agreements that contain indemnifications or warranties. Future events could occur which may give rise to liabilities arising from these provisions against us. We believe that the likelihood of such an event is remote; however, the maximum potential exposure is unknown. No accrual has been made in these consolidated financial statements as of March 31, 2020 and December 31, 2019 in Part I, Item 1 of this Form 10-Q for any such exposure.

We have in the past, currently are and may in the future become obligated to fund commitments such as revolving credit facilities, bridge financing commitments, or delayed draw commitments.

We had the following unfunded commitments to fund delayed draw and revolving senior secured loans as of the indicated dates:



	Principal Amount as of
	March 31, 2020		December 31, 2019
Unfunded delayed draw commitments	$	65,237	$	75,874
Unfunded revolving term loan commitments	38,751		74,016
Total unfunded commitments	$	103,988	$	149,890

Pursuant to an undertaking by us in connection with the 2015-1 Debt Securitization, we agreed to hold on an ongoing basis the 2015-1 Issuer Preferred Interests with an aggregate dollar purchase price at least equal to 5% of the aggregate outstanding amount of all collateral obligations by the 2015-1 Issuer for so long as any securities of the 2015-1 Issuer remains outstanding. As of March 31, 2020 and December 31, 2019, we were in compliance with this undertaking.

DIVIDENDS AND DISTRIBUTIONS TO COMMON STOCKHOLDERS

Prior to July 5, 2017, we had an “opt in” dividend reinvestment plan. Effective on July 5, 2017, we converted our “opt in” dividend reinvestment plan to an “opt out” dividend reinvestment plan that provides for reinvestment of our dividends and other distributions on behalf of our stockholders, other than those stockholders who have “opted out” of the plan. As a result of adopting the plan, if our Board of Directors authorizes, and we declare, a cash dividend or distribution, our stockholders who have not elected to “opt out” of our dividend reinvestment plan will have their cash dividends or distributions automatically reinvested in additional shares of our common stock, rather than receiving cash. Each registered stockholder may elect to have such stockholder’s dividends and distributions distributed in cash rather than participate in the plan. For any registered stockholder that does not so elect, distributions on such stockholder’s shares will be reinvested by State Street Bank and Trust Company, our plan administrator, in additional shares. The number of shares to be issued to the stockholder will be determined based on the total dollar amount of the cash distribution payable, net of applicable withholding taxes. We intend to use primarily newly issued shares to implement the plan so long as the market value per share is equal to or greater than the net asset value per share on the relevant valuation date. If the market value per share is less than the net asset value per share on the relevant valuation date, the plan administrator would implement the plan through the purchase of common stock on behalf of participants in the open market, unless we instruct the plan administrator otherwise.

The following table summarizes the Company's dividends declared during the two most recent fiscal years and the current fiscal year to date:



Date Declared	Record Date	Payment Date	Per Share Amount
2018
February 26, 2018	March 29, 2018	April 17, 2018	$	0.37
May 2, 2018	June 29, 2018	July 17, 2018	0.37
August 6, 2018	September 28, 2018	October 17, 2018	0.37
November 5, 2018	December 28, 2018	January 17, 2019	0.37
December 12, 2018	December 28, 2018	January 17, 2019	0.20		⁽¹⁾
Total			$	1.68
2019
February 22, 2019	March 29, 2019	April 17, 2019	$	0.37
May 6, 2019	June 28, 2019	July 17, 2019	0.37
June 17, 2019	June 28, 2019	July 17, 2019	0.08		⁽¹⁾
August 5, 2019	September 30, 2019	October 17, 2019	0.37
November 4, 2019	December 31, 2019	January 17, 2020	0.37
December 12, 2019	December 31, 2019	January 17, 2020	0.18		⁽¹⁾
Total			$	1.74
2020
February 24, 2020	March 31, 2020	April 17, 2020	$	0.37


(1)	Represents a special dividend.

ASSET COVERAGE

In accordance with the Investment Company Act, a BDC is only allowed to borrow amounts such that its “asset coverage,” as defined in the Investment Company Act, satisfies the minimum asset coverage ratio specified in the Investment Company Act after such borrowing. “Asset coverage” generally refers to a company’s total assets, less all liabilities and indebtedness not represented by “senior securities,” as defined in the Investment Company Act, divided by total senior securities representing indebtedness and, if applicable, preferred stock. “Senior securities” for this purpose includes borrowings from banks or other lenders, debt securities and preferred stock.

Prior to March 23, 2018, BDCs were required to maintain a minimum asset coverage ratio of 200%. On March 23, 2018, an amendment to Section 61(a) of the Investment Company Act was signed into law to permit BDCs to reduce the minimum asset coverage ratio from 200% to 150%, so long as certain approval and disclosure requirements are satisfied. Under the 200% minimum asset coverage ratio, BDCs are permitted to borrow up to one dollar for investment purposes for every one dollar of investor equity, and under the 150% minimum asset coverage ratio, BDCs are permitted to borrow up to two dollars for investment purposes for every one dollar of investor equity. In other words, Section 61(a) of the Investment Company Act, as amended, permits BDCs to potentially increase their debt-to-equity ratio from a maximum of 1 to 1 to a maximum of 2 to 1.

On April 9, 2018 and June 6, 2018, the Board of Directors, including a “required majority” (as such term is defined in Section 57(o) of the Investment Company Act), and the stockholders of the Company, respectively, approved the application to the Company of the 150% minimum asset coverage ratio set forth in Section 61(a)(2) of the Investment Company Act. As a result, the minimum asset coverage ratio applicable to the Company was reduced from 200% to 150%, effective as of June 7, 2018.

On April 8, 2020, the SEC issued an order (Release No. 33837) providing temporary, conditional exemptive relief from certain Investment Company Act provisions for BDCs, including relief permitting BDCs to issue additional senior securities to meet liquidity needs subject to compliance with a reduced asset coverage ratio. The relief is subject to investor protection conditions, including specific requirements for obtaining an independent evaluation of the terms of the senior securities, limits on new investments and approval by a majority of a BDC’s independent board members as well as public disclosure in the case of the issuance of senior securities pursuant to the reduced asset coverage ratio. These exemptions are in effect through the earlier of December 31, 2020 or the date by which a BDC ceases to rely on the order. The Company does not currently anticipate utilizing this relief.

As of March 31, 2020 and December 31, 2019, the Company had total senior securities of $1,265,809 and $1,180,743, respectively, consisting of secured borrowings under the Facilities and the Notes Payable, and had asset coverage ratios of 163.08% and 181.01%, respectively.

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 below. The critical accounting policies should be read in connection with our consolidated financial statements in Part I, Item 1 of this Form 10-Q and in Part II, Item 8 of the Company’s annual report on Form 10-K for the year ended December 31, 2019.

Fair Value Measurements

The Company applies fair value accounting in accordance with the terms of Financial Accounting Standards Board ASC Topic 820, Fair Value Measurement (“ASC 820”). ASC 820 defines fair value as the amount that would be exchanged to sell an asset or transfer a liability in an orderly transfer between market participants at the measurement date. The Company values securities/instruments traded in active markets on the measurement date by multiplying the closing price of such traded securities/instruments by the quantity of shares or amount of the instrument held. The Company may also obtain quotes with respect to certain of its investments, such as its securities/instruments traded in active markets and its liquid securities/instruments that are not traded in active markets, from pricing services, brokers, or counterparties (i.e., “consensus pricing”). When doing so, the Company determines whether the quote obtained is sufficient according to U.S. GAAP to determine the fair value of the security. The Company may use the quote obtained or alternative pricing sources may be utilized including valuation techniques typically utilized for illiquid securities/instruments.

Securities/instruments that are illiquid or for which the pricing source does not provide a valuation or methodology or provides a valuation or methodology that, in the judgment of the Investment Adviser or the Board of Directors, does not represent fair value shall each be valued as of the measurement date using all techniques appropriate under the circumstances and for which sufficient data is available. These valuation techniques may vary by investment and include comparable public market valuations, comparable precedent transaction valuations and/or discounted cash flow analyses. The process generally used to determine the applicable value is as follows: (i) the value of each portfolio company or investment is initially reviewed by the investment professionals responsible for such portfolio company or investment and, for non-traded investments, a standardized template designed to approximate fair market value based on observable market inputs, updated credit statistics and unobservable inputs is used to determine a preliminary value, which is also reviewed alongside consensus pricing, where available; (ii) preliminary valuation conclusions are documented and reviewed by a valuation committee comprised of members of senior management; (iii) the Board of Directors engages a third-party valuation firm to provide positive assurance on portions of the Middle Market Senior Loans and equity investments portfolio each quarter (such that each non-traded investment other than Credit Fund is reviewed by a third-party valuation firm at least once on a rolling twelve month basis) including a review of management’s preliminary valuation and conclusion on fair value; (iv) the Audit Committee of the Board of Directors (the “Audit Committee”) reviews the assessments of the Investment Adviser and the third-party valuation firm and provides the Board of Directors with any recommendations with respect to changes to the fair value of each investment in the portfolio; and (v) the Board of Directors discusses the valuation recommendations of the Audit Committee and determines the fair value of each investment in the portfolio in good faith based on the input of the Investment Adviser and, where applicable, the third-party valuation firm.

All factors that might materially impact the value of an investment are considered, including, but not limited to the assessment of the following factors, as relevant:


•	the nature and realizable value of any collateral;


•	call features, put features and other relevant terms of debt;


•	the portfolio company’s leverage and ability to make payments;


•	the portfolio company’s public or private credit rating;


•	the portfolio company’s actual and expected earnings and discounted cash flow;


•	prevailing interest rates and spreads for similar securities and expected volatility in future interest rates;


•	the markets in which the portfolio company does business and recent economic and/or market events; and


•	comparisons to comparable transactions and publicly traded securities.

For further information on the fair value hierarchies, our framework for determining fair value and the composition of our portfolio, see Note 3 to the consolidated financial statements in Part I, Item 1 of this Form 10-Q.

Use of Estimates

The preparation of consolidated financial statements in Part I, Item 1 of this Form 10-Q in conformity with U.S. GAAP requires management to make assumptions and estimates that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Management’s estimates are based on historical experiences and other factors, including expectations of future events that management believes to be reasonable under the circumstances. It also requires management to exercise judgment in the process of applying the Company’s accounting policies. Assumptions and estimates regarding the valuation of investments and their resulting impact on base management and incentive fees involve a higher degree of judgment and complexity and these assumptions and estimates may be significant to the consolidated financial statements in Part I, Item 1 of this Form 10-Q. Actual results could differ from these estimates and such differences could be material.

Investments

Investment transactions are recorded on the trade date. Realized gains or losses are measured by the difference between the net proceeds from the repayment or sale and the amortized cost basis of the investment using the specific identification method without regard to unrealized appreciation or depreciation previously recognized, and includes investments charged off during the period, net of recoveries. Net change in unrealized appreciation or depreciation on investments as presented in the Consolidated Statements of Operations in Part I, Item 1 of this Form 10-Q reflects the net change in the fair value of investments, including the reversal of previously recorded unrealized appreciation or depreciation when gains or losses are realized.

Revenue Recognition

Interest from Investments and Realized Gain/Loss on Investments

Dividend Income

Dividend income from the investment fund is recorded on the record date for the investment fund to the extent that such amounts are payable by the investment fund and are expected to be collected.

Other Income

Non-Accrual Income

Income Taxes

The minimum distribution requirements applicable to RICs require the Company to distribute to its stockholders at least 90% of its investment company taxable income (“ICTI”), as defined by the Code, each year. Depending on the level of ICTI earned in a tax year, the Company may choose to carry forward ICTI in excess of current year distributions into the next tax year. Any such carryover ICTI must be distributed before the end of that next tax year through a dividend declared prior to filing the final tax return related to the year which generated such ICTI.

The SPVs and the 2015-1 Issuer are disregarded entities for tax purposes and are consolidated with the tax return of the Company.

Dividends and Distributions to Common Stockholders

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

We are subject to financial market risks, including changes in the valuations of our investment portfolio and interest rates.

Valuation Risk

Our investments generally do not have a readily available market price, and we value these investments at fair value as determined in good faith by our Board of Directors in accordance with our valuation policy. There is no single standard for determining fair value in good faith. 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. Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of our investments may fluctuate from period to period. In addition, because of the inherent uncertainty of valuation, these estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and it is possible that the difference could be material.

Interest Rate Risk

As of March 31, 2020, on a fair value basis, approximately 0.8% of our debt investments bear interest at a fixed rate and approximately 99.2% of our debt investments bear interest at a floating rate, which primarily are subject to interest rate floors. Additionally, our Facilities are also subject to floating interest rates and are currently paid based on floating LIBOR rates.

Interest rate sensitivity refers to the change in earnings that may result from changes in the level of interest rates. There can be no assurance that a significant change in market interest rates will not have a material adverse effect on our income in the future.

The following table estimates the potential changes in net cash flow generated from interest income, should interest rates increase or decrease by 100, 200 or 300 basis points. These hypothetical interest income calculations are based on a model of the settled debt investments in our portfolio, excluding our investment in Credit Fund, held as of March 31, 2020 and December 31, 2019, and are only adjusted for assumed changes in the underlying base interest rates and the impact of that change on interest income. Interest expense is calculated based on outstanding secured borrowings and notes payable as of March 31, 2020 and December 31, 2019 and based on the terms of our Facilities and notes payable. Interest expense on our Facilities and notes payable is calculated using the stated interest rate as of March 31, 2020 and December 31, 2019, adjusted for the hypothetical changes in rates, as shown below. We intend to continue to finance a portion of our investments with borrowings and the interest rates paid on our borrowings may impact significantly our net interest income.

We regularly measure exposure to interest rate risk. We assess interest rate risk and manage interest rate exposure on an ongoing basis by comparing our interest rate sensitive assets to our interest rate sensitive liabilities. Based on that review, we determine whether or not any hedging transactions are necessary to mitigate exposure to changes in interest rates.

Based on our Consolidated Statements of Assets and Liabilities as of March 31, 2020 and December 31, 2019, the following table shows the annual impact on net investment income of base rate changes in interest rates for our settled debt investments (considering interest rate floors for variable rate instruments), excluding our investment in Credit Fund, and outstanding secured borrowings and notes payable assuming no changes in our investment and borrowing structure:



	March 31, 2020								December 31, 2019
Basis Point Change	Interest Income			Interest Expense			Net Investment Income		Interest Income			Interest Expense			Net Investment Income
Up 300 basis points	$	57,263		$	(33,774	)	$	23,489	$	57,441		$	(31,167	)	$	26,274
Up 200 basis points	$	38,175		$	(22,516	)	$	15,659	$	38,294		$	(20,778	)	$	17,516
Up 100 basis points	$	19,088		$	(11,258	)	$	7,830	$	19,147		$	(10,389	)	$	8,758
Down 100 basis points	$	(7,697	)	$	11,258		$	3,561	$	(16,433	)	$	10,389		$	(6,044	)
Down 200 basis points	$	(7,926	)	$	14,817		$	6,891	$	(18,678	)	$	20,225		$	1,547
Down 300 basis points	$	(7,926	)	$	14,817		$	6,891	$	(19,053	)	$	20,823		$	1,770

Item 4. Controls and Procedures.

Evaluation of Disclosure Controls and Procedures

As of the end of the period covered by this report, we carried out an evaluation, under the supervision and with the participation of our management, including our Chief Executive Officer (Principal Executive Officer) and our Chief Financial Officer (Principal Financial Officer), of the effectiveness of the design and operation of our disclosure controls and procedures (as defined in Rule 13a-15 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”)). Based on that evaluation, our Chief Executive Officer and our Chief Financial Officer have concluded that our current disclosure controls and procedures are effective in timely alerting them of material information relating to the Company that is required to be disclosed by us in the reports we file or submit under the Exchange Act.

Changes in Internal Controls over Financial Reporting

There have been no changes in our internal control over financial reporting during the three month period ended March 31, 2020 that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

PART II—OTHER INFORMATION

Item 1. Legal Proceedings.

The Company may become party to certain lawsuits in the ordinary course of business. The Company is not currently subject to any material legal proceedings, nor, to our knowledge, is any material legal proceeding threatened against the Company. See also Note 11 to the consolidated financial statements in Part I, Item 1 of this Form 10-Q.

Item 1A. Risk Factors.

In addition to the other information set forth within this Form 10-Q, consideration should be given to the information disclosed in “Risk Factors” in Part I, Item 1A of our annual report on Form 10-K for the year ended December 31, 2019 and the following risk factors we have added regarding the impacts of the COVID-19 pandemic, which reemphasizes and in some cases updates certain risk factors we have previously disclosed and provides specific context under the current environment.

The COVID-19 pandemic could materially and adversely affect our portfolio companies and the results of our operations.

In late 2019 and early 2020, SARS-CoV-2 and COVID-19 emerged in China and spread rapidly across the world, including the U.S. This outbreak has led and for an unknown period of time will continue to lead to disruptions in local, regional, national and global markets and economies affected thereby. With respect to the U.S. credit markets (in particular for middle market loans), this outbreak has resulted in, and until fully resolved is likely to continue to result in, the following among other things: (i) government imposition of various forms of “stay at home” orders and the closing of “non-essential” businesses, resulting in significant disruption to the businesses of many middle-market loan borrowers including supply chains, demand and practical aspects of their operations, as well as in lay-offs of employees, and, while these effects are hoped to be temporary, some effects could be persistent or even permanent; (ii) increased draws by borrowers on revolving lines of credit; (iii) increased requests by borrowers for amendments and waivers of their credit agreements to avoid default, increased defaults by such borrowers and/or increased difficulty in obtaining refinancing at the maturity dates of their loans; (iv) volatility and disruption of these markets including greater volatility in pricing and spreads and difficulty in valuing loans during periods of increased volatility, and liquidity issues; and (v) rapidly evolving proposals and/or actions by state and federal governments to address problems being experienced by the markets and by businesses and the economy in general which will not necessarily adequately address the problems facing the loan market and middle market businesses. This outbreak is having, and any future outbreaks could have, an adverse impact on our portfolio companies and us and on the markets and the economy in general, and that impact could be material.

Further, from an operational perspective, our Investment Adviser’s investment professionals are currently working remotely. An extended period of remote work arrangements could strain our business continuity plans, introduce operational risk, including but not limited to cybersecurity risks, and impair our ability to manage our business. In addition, we are highly dependent on third party service providers for certain communication and information systems. As a result, we rely upon the successful implementation and execution of the business continuity planning of such providers in the current environment. If one or more of these third parties to whom we outsource certain critical business activities experience operational failures as a result of the impacts from the spread of COVID-19, or claim that they cannot perform due to a force majeure, it may have a material adverse effect on our business, financial condition, results of operations, liquidity and cash flows.

We are currently operating in a period of capital markets disruption and economic uncertainty.

The U.S. capital markets have experienced extreme volatility and disruption following the spread of COVID-19 in the United States. Some economists and major investment banks have expressed concern that the continued spread of the virus globally could lead to a world-wide economic downturn. Disruptions in the capital markets have increased the spread between the yields realized on risk-free and higher risk securities, resulting in illiquidity in parts of the capital markets. These and future market disruptions and/or illiquidity would be expected to have an adverse effect on our business, financial condition, results of operations and cash flows. Unfavorable economic conditions also would be expected to increase our funding costs, limit our access to the capital markets or result in a decision by lenders not to extend credit to us. These events have limited and could continue to limit our investment originations, and limit our ability to grow and could have a material negative impact on our operating results and the fair values of our debt and equity investments.

Our shares of common stock have traded at a discount from NAV and may do so again, which could limit our ability to raise additional equity capital.

We cannot assure you that a trading market for our common stock can be sustained. In addition, we cannot predict the prices at which our common stock will trade. Shares of closed-end investment companies, including BDCs, frequently trade at a discount from NAV and our common stock may also be discounted in the market. This characteristic of closed-end

investment companies is separate and distinct from the risk that our NAV per share may decline. We cannot predict whether our common stock will trade at, above or below NAV. The risk of loss associated with this characteristic of closed-end management investment companies may be greater for investors expecting to sell shares of common stock purchased in the offering soon after the offering. Recently, as a result of the COVID-19 pandemic, the stocks of BDCs as an industry, including shares of our common stock, have traded below or significantly below NAV and during much of 2009 the industry traded at or near historic lows as a result of concerns over liquidity, leverage restrictions and distribution requirements.

In addition, when our common stock is trading below its NAV, we will generally not be able to sell additional shares of our common stock to the public at its market price without, among other things, first obtaining the requisite approval of our stockholders or as otherwise permitted by the Investment Company Act.

If the current period of capital market disruption and instability continues for an extended period of time, there is a risk that our stockholders may not receive distributions or that our distributions may not grow over time and a portion of our distributions to you may be a return of capital for U.S. federal income tax purposes.

We intend to make distributions on a quarterly basis to our stockholders out of assets legally available for distribution. We cannot assure you that we will achieve investment results that will allow us to make a specified level of cash distributions or year-to-year increases in cash distributions. Our ability to pay distributions might be adversely affected by the impact of one or more of the risk factors described in this prospectus or incorporated herein by reference, including the COVID-19 pandemic described above. For example, if the temporary closure of many corporate offices, retail stores, and manufacturing facilities and factories in the jurisdictions, including the United States, affected by the COVID-19 pandemic were to continue for an extended period of time it could result in reduced cash flows to us from our existing portfolio companies, which could reduce cash available for distribution to our stockholders. If we declare a dividend and if enough stockholders opt to receive cash distributions rather than participate in our dividend reinvestment plan, we may be forced to sell some of our investments in order to make cash dividend payments. In addition, due to the asset coverage test applicable to us as a BDC, we may be limited in our ability to make distributions. The Facilities may also limit our ability to declare dividends if we default under certain provisions. Further, if we invest a greater amount of assets in equity securities that do not pay current dividends, it could reduce the amount available for distribution. The above referenced restrictions on distributions may also inhibit our ability to make required interest payments to holders of our debt, which may cause a default under the terms of our debt agreements. Such a default could materially increase our cost of raising capital, as well as cause us to incur penalties under the terms of our debt agreements.

The distributions we pay to our stockholders in a year may exceed our taxable income for that year and, accordingly, a portion of such distributions may constitute a return of capital for U.S. federal income tax purposes that would reduce a stockholder’s adjusted tax basis in its shares of our common stock or preferred stock and correspondingly increase such stockholder’s gain, or reduce such stockholder’s loss, on disposition of such shares. Distributions in excess of a stockholder’s adjusted tax basis in its shares of our common stock or preferred stock will constitute capital gains to such stockholder.

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.

We did not sell any equity securities during the period covered in this report that were not registered under the Securities Act of 1933, as amended.

Purchases of Equity Securities by the Issuer and Affiliated Purchasers

The following table provides information regarding purchases of our common stock made by or on behalf of the Company or any “affiliated purchaser” (as defined in Rule 10b-18(a)(3) under the Exchange Act) during the three months ended March 31, 2020 for the periods indicated.



Period	Total Number of Shares Purchased⁽¹⁾	Average Price Paid Per Share		Total Number of Shares Purchased as Part of Publicly Announced Plans or Programs⁽¹⁾⁽²⁾	Maximum (or Approximate Dollar Value) of Shares that May Yet Be Purchased Under the Plans or Programs
January 1, 2020 through January 31, 2020	582,188	$	13.74	582,188	$	22,406
February 1, 2020 through February 29, 2020	40,861	12.24		40,861	21,906
March 1, 2020 through March 31, 2020	832,146	9.02		832,146	14,403
Total	1,455,195			1,455,195


(1)	On trade date basis.

(2)

Shares purchased by the Company pursuant to the Company Stock Repurchase Program, which was entered into on November 5, 2018. Pursuant to the program, the Company is authorized to repurchase up to $100 million in the aggregate of its outstanding common stock in the open market and/or through privately negotiated transactions at prices not to exceed the Company’s net asset value per share as reported in its most recent financial statements, in accordance with the guidelines specified in Rule 10b-18 of the Exchange Act. The timing, manner, price and amount of any repurchases will be determined by the Company, in its discretion, based upon the evaluation of economic and market conditions, stock price, available cash, applicable legal and regulatory requirements and other factors, and may include purchases pursuant to Rule 10b5-1 of the Exchange Act. The Program was expected to be in effect until the earlier of November 5, 2019 and the date the approved dollar amount has been used to repurchase shares. On November 4, 2019, the Company's Board of Directors approved the continuation of the Company Stock Repurchase Program until November 5, 2020, or until the date the approved dollar amount has been used to repurchase shares. The program does not require the Company to repurchase any specific number of shares and there can be no assurance as to the amount of shares repurchased under the Program. This Program, which is temporarily suspended, may be resumed, extended, modified or discontinued by the Company at any time, subject to applicable law.

Item 3. Defaults Upon Senior Securities.

Not applicable.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

Sale of Series A Convertible Preferred Stock

On May 5, 2020, the Company issued and sold 2,000,000 shares of cumulative convertible preferred stock, par value $0.01, to an affiliate of Carlyle in a private placement at a price of $25 per share (the “Preferred Stock”). The Company intends to use the total proceeds to the Company of $50.0 million from the offering to repay certain indebtedness under the Facilities and for general corporate purposes. In connection with this transaction, the Company filed Articles Supplementary (the “Articles Supplementary”) with the State Department of Assessments and Taxation of the State of Maryland. The Preferred Stock ranks senior to the Company’s common stock with respect to the payment of dividends and distribution of assets upon liquidation. The Preferred Stock has a liquidation preference equal to $25 per share (the “Liquidation Preference”) plus any accumulated but unpaid dividends up to but excluding the date of distribution. Dividends will be payable on a quarterly basis in an initial amount equal to 7.00% per annum of the Liquidation Preference per share, payable in cash, or at the Company’s option, 9.00% per annum of the Liquidation Preference payable in additional shares of Preferred Stock. After May 5, 2027, the dividend rate will increase annually, in each case by 1.00% per annum.

After November 5, 2020, the Preferred Stock will be convertible, in whole or in part, at the option of the holder of the Preferred Stock into the number of shares of common stock equal to the Liquidation Preference plus any accumulated but unpaid dividends, divided by an initial conversion price of $9.50, subject to certain adjustments to prevent dilution as set forth in the Articles Supplementary. At any time after May 5, 2023, the Company, with the approval of the Board of Directors, including a majority of the Independent Directors, will have the option to redeem all of the Preferred Stock for cash consideration equal to the Liquidation Preference plus any accumulated but unpaid dividends. The holders of the Preferred Stock will have the right to convert all or a portion of their shares of Preferred Stock prior to the date fixed for such redemption. At any time after May 5, 2027, the holders of the Preferred Stock will have the option to require the Company to redeem any or all of the then-outstanding Preferred Stock upon 90 days’ notice. The form of consideration used in any such redemption is at the option of the Board of Directors, including a majority of the Independent Directors, and may be cash consideration equal to the Liquidation Preference plus any accumulated but unpaid dividends, or shares of common stock. Holders also have the right to redeem the Preferred Stock upon a Change in Control (as defined in the Article Supplementary).

Each holder of Preferred Stock is entitled to one vote on each matter submitted to a vote of stockholders of the Company. In addition, for so long as the Company is subject to the Investment Company Act, the holders of Preferred Stock, voting separately as a single class, have the right to elect two members of the Board of Directors at all times, and the balance of the directors will be elected by the holders of the common stock and the Preferred Stock voting together. The Company will designate Linda Pace and Mark Jenkins for election by the holders of the Preferred Stock As required by the Investment Company Act, the Preferred Stock has certain additional voting rights, as set forth in the Articles Supplementary.

Concurrent with the sale of the Preferred Stock to an affiliate of Carlyle, the affiliate and the Company entered into an agreement (the “Registration Rights Agreement”) providing the affiliate with the right to require the Company to register with the SEC the resale of Common Stock issuable upon conversion of the Preferred Stock. The Registration Rights Agreement is subject to customary representations, warranties, conditions and limitations on the resale of such Common Stock.

The above summary of the material terms of the Articles Supplementary and the Registration Rights Agreement is qualified by reference to the Articles Supplementary and the Registration Rights Agreement, which are filed as Exhibits 3.1 and 4.1 hereto, respectively, and are incorporated herein by reference.

Item 6. Exhibits.




3.1		Articles Supplementary of TCG BDC, Inc.*

4.1		Registration Rights Agreement, dated as of May 5, 2020, by and between TCG BDC, Inc. and Carlyle Investment Management L.L.C.*

31.1		Certification of Chief Executive Officer (Principal Executive Officer) Pursuant to Rule 13a-14(a) of the Securities Exchange Act of 1934, as amended.*

31.2		Certification of Chief Financial Officer (Principal Financial Officer) Pursuant to Rule 13a-14 of the Securities Exchange Act of 1934, as amended.*

32.1		Certification of Chief Executive Officer (Principal Executive Officer) Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.*

32.2		Certification of Chief Financial Officer (Principal Financial Officer) Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.*

* Filed herewith

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.



	TCG BDC, INC.

Dated: May 5, 2020	By	/s/ Thomas M. Hennigan
		Thomas M. Hennigan Chief Financial Officer (principal financial officer)

100

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