MIDDLE MARKET CREDIT FUND II, LLC

3 Months Ended

Mar. 31, 2023

Investment Company [Abstract]

MIDDLE MARKET CREDIT FUND II, LLC

MIDDLE MARKET CREDIT FUND, LLC

Overview

On February 29, 2016, the Company and Credit Partners entered into an amended and restated limited liability company agreement, which was subsequently amended and restated on June 24, 2016, February 22, 2021, May 16, 2022 and April 20, 2023 (as amended, 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 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 $250,000 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”) and MMCF Warehouse II, LLC (the “Credit Fund Warehouse II”), each a Delaware limited liability company, were formed on April 5, 2016, November 26, 2018 and August 16, 2019, respectively. Credit Fund Sub 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 primarily invests 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 in this Note 5 for discussions regarding the credit facility entered into and the 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 “Credit Fund Administrative Agent”), pursuant to which the Credit Fund 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 Credit Fund Administrative Agent in performing its obligations thereunder.

Selected Financial Data

Since inception of Credit Fund and through March 31, 2023 and December 31, 2022, the Company and Credit Partners each made capital contributions of $1 and $1 in members’ equity, respectively, and $216,000 and $216,000 in subordinated loans, respectively, to Credit Fund. On May 25, 2021, the Company and Credit Partners received an aggregate return of capital on the subordinated loans of $46,000, of which the Company received $23,000. Below is certain summarized consolidated financial information for Credit Fund as of March 31, 2023 and December 31, 2022.

	As of
	March 31, 2023		December 31, 2022
	(unaudited)
Selected Consolidated Balance Sheet Information:
ASSETS
Investments, at fair value (amortized cost of $879,162 and $953,467, respectively)	$	825,539	$	902,720
Cash, cash equivalents and restricted cash(1)	30,245		28,030
Other assets	9,812		9,681
Total assets	$	865,596	$	940,431
LIABILITIES AND MEMBERS’ EQUITY
Secured borrowings	$	517,221	$	588,621
Other liabilities	20,384		19,940
Subordinated loans and members’ equity(2)	327,991		331,870
Total liabilities and members’ equity	$	865,596	$	940,431

(1) As of March 31, 2023 and December 31, 2022, $14,719 and $14,393, respectively, of Credit Fund's cash and cash equivalents was restricted.

(2) As of March 31, 2023 and December 31, 2022, the fair value of Company's ownership interest in the subordinated loans and members’ equity was $189,970 and $190,065, respectively.

	For the three month periods ended
	March 31, 2023		March 31, 2022
	(unaudited)
Selected Consolidated Statement of Operations Information:
Total investment income	$	22,954	$	14,679
Expenses
Interest and credit facility expenses	10,272		4,046
Other expenses	453		497
Total expenses	10,725		4,543
Net investment income (loss)	12,229		10,136
Net realized gain (loss) on investments	(2,232)		—
Net change in unrealized appreciation (depreciation) on investments	(2,876)		(9,869)
Net increase (decrease) resulting from operations	$	7,121	$	267

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, 2023 and December 31, 2022:

	As of
	March 31, 2023			December 31, 2022
Senior secured loans (1)	$	880,770		$	955,605
Number of portfolio companies in Credit Fund	41			45
Average amount per portfolio company (1)	$	21,482		$	21,236
Number of loans on non-accrual status	1			—
Fair value of loans on non-accrual status	$	1,714		$	—
Percentage of portfolio at floating interest rates (2)(3)	100.0		%	100.0		%
Fair value of loans with PIK provisions	$	43,984		$	49,950
Percentage of portfolio with PIK provisions (3)	5.3		%	5.5		%

(1)At par/principal amount.

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

(3)Percentages based on fair value.

Consolidated Schedule of Investments as of March 31, 2023
Investments (1)			Footnotes	Industry	Reference Rate (2)	Spread (2)	Interest Rate (2)	Maturity Date	Par/ Principal Amount		Amortized Cost (4)		Fair Value (5)
First Lien Debt (100.0% of fair value)
ACR Group Borrower, LLC	^+		(2)(3)(8)	Aerospace & Defense	LIBOR	4.50%	9.64%	3/31/2028	$	38,454	$	37,996	$	37,609
Alpine Acquisition Corp II	+	(2)(3)(6)	(2)(3)(6)	Transportation: Cargo	SOFR	5.50%	10.27%	11/30/2026	9,975		9,527		9,605
Analogic Corporation	+		(2)(3)(6)(8)	Capital Equipment	SOFR	5.25%	10.08%	6/22/2024	19,840		19,832		19,452
API Technologies Corp.	+		(2)(3)	Aerospace & Defense	LIBOR	4.25%	9.41%	5/9/2026	14,437		14,401		10,614
Avalign Technologies, Inc.	+		(2)(3)(6)	Healthcare & Pharmaceuticals	SOFR	4.50%	9.49%	12/22/2025	14,257		14,195		12,903
BMS Holdings III Corp.	+		(2)(3)	Construction & Building	LIBOR	5.50%	10.66%	9/30/2026	11,103		11,025		10,739
Chartis Holding, LLC	^+		(2)(3)(6)(8)	Business Services	SOFR	5.00%	9.65%	5/1/2025	7,465		7,465		7,408
Chemical Computing Group ULC (Canada)	^+		(2)(3)(6)(8)	Software	SOFR	4.50%	9.31%	8/30/2024	13,733		13,553		13,589
Diligent Corporation	^+		(2)(3)(8)	Telecommunications	LIBOR	6.25%	11.09%	8/4/2025	9,855		9,697		9,434
Divisions Holding Corporation	+		(2)(3)	Business Services	LIBOR	4.75%	9.59%	5/27/2028	14,152		14,042		13,568
DTI Holdco, Inc.	+		(2)(3)	High Tech Industries	SOFR	4.75%	9.43%	4/26/2029	29,850		29,315		27,611
Eliassen Group, LLC	+		(2)(3)	Business Services	SOFR	5.50%	10.41%	4/14/2028	19,327		19,108		19,174
EPS Nass Parent, Inc.	^+		(2)(3)(8)	Utilities: Electric	LIBOR	5.75%	10.91%	4/19/2028	34,335		33,777		32,840
EvolveIP, LLC	^+		(2)(3)(6)(8)	Telecommunications	SOFR	5.50%	10.53%	6/7/2025	40,371		40,343		39,708
Exactech, Inc.	+		(2)(3)(6)	Healthcare & Pharmaceuticals	SOFR	3.75%	8.66%	2/14/2025	21,025		20,972		15,243
GSM Acquisition Corp.	+		(2)(3)(6)	Leisure Products & Services	SOFR	5.00%	10.16%	11/16/2026	30,883		30,648		29,441
Heartland Home Services, Inc.	+		(2)(3)	Consumer Services	LIBOR	5.75%	10.59%	12/15/2026	7,223		7,144		7,080
Heartland Home Services, Inc.	+		(2)(3)(8)	Consumer Services	LIBOR	6.00%	10.83%	12/15/2026	24,193		24,118		23,889
Higginbotham Insurance Agency, Inc.	+		(2)(3)	Diversified Financial Services	LIBOR	5.25%	10.09%	11/25/2026	4,466		4,410		4,370
HMT Holding Inc.	^+		(2)(3)(6)(8)	Energy: Oil & Gas	SOFR	6.00%	11.04%	11/17/2025	34,886		34,762		33,773
Integrity Marketing Acquisition, LLC	+		(2)(3)	Diversified Financial Services	LIBOR	6.05%	11.01%	8/27/2025	36,850		36,555		35,927
Integrity Marketing Acquisition, LLC	^+		(2)(3)	Diversified Financial Services	LIBOR	6.02%	10.97%	8/27/2025	6,932		6,862		6,758
Jensen Hughes, Inc.	^+		(2)(3)(8)	Utilities: Electric	LIBOR	4.50%	9.43%	3/22/2024	34,859		34,839		33,856
K2 Insurance Services, LLC	^+		(2)(3)(8)	Diversified Financial Services	LIBOR	5.00%	10.16%	7/1/2026	12,767		12,767		12,767
KAMC Holdings, Inc.	+		(2)(3)	Energy: Electricity	LIBOR	4.00%	8.95%	8/14/2026	13,510		13,475		11,484
KBP Investments, LLC	+		(2)(3)(8)	Beverage & Food	SOFR	5.50%, 1.00% PIK	12.00%	5/25/2027	37,265		37,088		34,186
Output Services Group	+		(2)(3)	Media: Advertising, Printing & Publishing	SOFR	5.25%, 1.50% PIK	11.79%	6/27/2026	19,213		19,192		9,798
PF Atlantic Holdco 2, LLC	+		(2)(3)(6)	Leisure Products & Services	SOFR	5.50%	10.74%	11/12/2027	15,357		15,138		15,124
Premise Health Holding Corp.	+		(2)(3)	Healthcare & Pharmaceuticals	LIBOR	3.75%	8.91%	7/10/2025	13,272		13,248		13,170
QW Holding Corporation	^+		(2)(3)(8)	Environmental Industries	LIBOR	5.50%	10.35%	8/31/2026	23,374		23,245		23,374
Radiology Partners, Inc.	+		(2)(3)	Healthcare & Pharmaceuticals	LIBOR	4.25%	9.09%	7/9/2025	27,686		27,630		22,276

Consolidated Schedule of Investments as of March 31, 2023
Investments (1)		Footnotes	Industry	Reference Rate (2)	Spread (2)	Interest Rate (2)	Maturity Date	Par/ Principal Amount		Amortized Cost (4)		Fair Value (5)
RevSpring Inc.	+	(2)(3)(6)	Media: Advertising, Printing & Publishing	SOFR	4.00%	9.16%	10/11/2025	$	28,773	$	28,671	$	27,682
Riveron Acquisition Holdings, Inc.	+	(2)(3)	Diversified Financial Services	LIBOR	5.75%	10.91%	5/22/2025	11,255		11,255		11,255
Striper Buyer, LLC	+	(2)(3)	Containers, Packaging & Glass	LIBOR	5.50%	10.34%	12/30/2026	14,663		14,562		14,579
Tank Holding Corp.	+	(2)(3)(6)	Capital Equipment	SOFR	5.75%	10.66%	3/31/2028	19,900		19,381		19,501
Turbo Buyer, Inc.	+	(2)(3)(8)	Automotive	LIBOR	6.00%	11.19%	12/2/2025	34,163		33,971		33,595
U.S. TelePacific Holdings Corp.	+	(2)(3)(6)(7)	Telecommunications	SOFR	1.00%, 7.25% PIK	9.25%	5/2/2026	7,217		7,100		1,714
USALCO, LLC	+	(2)(3)	Chemicals, Plastics & Rubber	LIBOR	6.00%	11.16%	10/19/2027	14,808		14,571		14,504
VRC Companies, LLC	^+	(2)(3)(8)	Business Services	LIBOR	5.50%	10.65%	6/29/2027	28,694		28,361		28,083
Welocalize, Inc.	^+	(2)(3)(6)(8)	Business Services	SOFR	4.75%	9.59%	12/23/2024	32,736		32,533		31,790
WRE Holding Corp.	^+	(2)(3)(6)(8)	Environmental Industries	SOFR	5.00%	9.60%	1/3/2025	8,246		8,243		8,189
Yellowstone Buyer Acquisition, LLC	+	(2)(3)	Consumer Goods: Durable	LIBOR	5.75%	10.57%	9/13/2027	39,400		38,781		37,877
First Lien Debt Total										$	873,798	$	825,539
Equity Investments (0.0% of fair value)
DBI Holding, LLC	^		Transportation: Cargo					2,961		$	—	$	—
DBI Holding, LLC	^		Transportation: Cargo					13,996		5,364		—
Equity Investments Total										$	5,364	$	—
Total Investments										$	879,162	$	825,539

^ 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.

+ 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.

(1)Unless otherwise indicated, issuers of investments held by Credit Fund are domiciled in the United States. As of March 31, 2023, the geographical composition of investments as a percentage of fair value was 1.7% in Canada and 98.3% 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, the Secured Overnight Financing Rate (“SOFR”) 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, 2023. As of March 31, 2023, the reference rates for Credit Fund’s variable rate loans were the 30-day LIBOR at 4.86%, the 90-day LIBOR at 5.19%, the 180-day LIBOR at 5.31%, the 30-day SOFR at 4.80%, the 90-day SOFR at 4.91%, and the 180-day SOFR at 4.90%.

(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)Loans include a credit spread adjustment that ranges from 0.10% to 0.25%.

(7)Loan was on non-accrual status as of March 31, 2023.

(8)As of March 31, 2023, Credit Fund 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
ACR Group Borrower, LLC	Revolver	0.38%	$	2,940	$	(60)
Analogic Corporation	Revolver	0.50	564		(11)
Chartis Holding, LLC	Revolver	0.50	1,593		(10)
Chemical Computing Group ULC (Canada)	Revolver	0.50	873		(9)
Diligent Corporation	Revolver	0.50	492		(20)
EPS Nass Parent, Inc.	Delayed Draw	0.50	1,380		(56)
EPS Nass Parent, Inc.	Revolver	1.00	798		(33)
EvolveIP, LLC	Revolver	0.50	2,676		(41)
Heartland Home Services, Inc	Revolver	0.50	771		(9)
HMT Holding Inc.	Revolver	0.50	3,351		(98)
Jensen Hughes, Inc.	Revolver	0.50	1,091		(30)
K2 Insurance Services, LLC	Revolver	0.50	1,170		—
KBP Investments, LLC	Delayed Draw	1.00	565		(46)
QW Holding Corporation	Revolver	0.50	3,643		—
Turbo Buyer, Inc.	Revolver	0.50	933		(15)
VRC Companies, LLC	Revolver	0.50	833		(17)
Welocalize, Inc.	Revolver	0.50	3,375		(83)
Welocalize, Inc.	Revolver	0.50	2,250		(55)
WRE Holding Corp.	Revolver	0.50	1,010		(6)
Total unfunded commitments			$	30,308	$	(599)

Consolidated Schedule of Investments as of December 31, 2022
Investments (1)		Footnotes	Industry	Reference Rate (2)	Spread (2)	Interest Rate (2)	Maturity Date	Par/ Principal Amount		Amortized Cost (4)		Fair Value (5)
First Lien Debt (100.0% of fair value)
ACR Group Borrower, LLC	^+	(2)(3)(7)	Aerospace & Defense	LIBOR	4.50%	9.22%	3/31/2028	$	36,965	$	36,488	$	36,015
Acrisure, LLC	+#	(2)	Diversified Financial Services	LIBOR	3.50%	7.88%	2/13/2027	25,118		25,099		23,485
Alpine Acquisition Corp II	+	(2)(3)(6)	Transportation: Cargo	SOFR	5.50%	9.76%	11/30/2026	10,000		9,527		9,630
Analogic Corporation	^+	(2)(3)(7)	Capital Equipment	LIBOR	5.25%	9.67%	6/22/2024	20,226		20,217		19,725
Anchor Packaging, Inc.	+#	(2)	Containers, Packaging & Glass	LIBOR	4.00%	8.38%	7/18/2026	22,221		22,157		21,360
API Technologies Corp.	+#	(2)	Aerospace & Defense	LIBOR	4.25%	8.98%	5/9/2026	14,475		14,436		13,127
Aptean, Inc.	+#	(2)(6)	Software	SOFR	4.25%	8.98%	4/23/2026	12,031		11,997		11,475
Avalign Technologies, Inc.	+#	(2)(6)	Healthcare & Pharmaceuticals	SOFR	4.50%	9.03%	12/22/2025	14,294		14,227		13,382
BMS Holdings III Corp.	+	(2)(3)	Construction & Building	LIBOR	5.50%	10.23%	9/30/2026	11,131		11,049		10,931
Chartis Holding, LLC	+	(2)(3)(7)	Business Services	LIBOR	5.00%	9.77%	5/1/2025	6,893		6,893		6,832
Chemical Computing Group ULC (Canada)	^+	(2)(3)(6) (7)	Software	SOFR	4.50%	8.57%	8/30/2024	13,769		13,559		13,564
Diligent Corporation	^+	(2)(3)(7)	Telecommunications	LIBOR	6.25%	10.63%	8/4/2025	9,880		9,706		9,449
Divisions Holding Corporation	+#	(2)(3)	Business Services	LIBOR	4.75%	9.13%	5/27/2028	24,688		24,488		24,009
DTI Holdco, Inc.	+	(2)(3)	High Tech Industries	SOFR	4.75%	8.84%	4/26/2029	29,925		29,373		27,363
Eliassen Group, LLC	+	(2)(3)	Business Services	SOFR	5.50%	10.07%	4/14/2028	19,375		19,148		19,150
EPS Nass Parent, Inc.	^+	(2)(3)(7)	Utilities: Electric	LIBOR	5.75%	10.48%	4/19/2028	34,104		33,524		32,432
EvolveIP, LLC	^+	(2)(3)(6) (7)	Telecommunications	SOFR	5.50%	10.09%	6/7/2025	40,392		40,361		39,633
Exactech, Inc.	+#	(2)(3)	Healthcare & Pharmaceuticals	LIBOR	3.75%	8.13%	2/14/2025	21,081		21,022		17,002
GSM Acquisition Corp.	^+	(2)(3)(6)	Leisure Products & Services	SOFR	5.00%	9.83%	11/16/2026	30,958		30,709		29,636
Heartland Home Services, Inc.	+	(2)(3)	Consumer Services	LIBOR	5.75%	10.10%	12/15/2026	7,242		7,158		7,114
Heartland Home Services, Inc.	+	(2)(3)(7)	Consumer Services	LIBOR	6.00%	10.38%	12/15/2026	24,255		24,176		24,014
Higginbotham Insurance Agency, Inc.	+	(2)(3)	Diversified Financial Services	LIBOR	5.25%	9.63%	11/25/2026	4,477		4,418		4,377
HMT Holding Inc.	^+	(2)(3)(6) (7)	Energy: Oil & Gas	SOFR	5.75%	10.15%	11/17/2025	32,148		32,013		30,654
Integrity Marketing Acquisition, LLC	^+	(2)(3)	Diversified Financial Services	LIBOR	6.05%	10.57%	8/27/2025	36,943		36,622		35,614
Integrity Marketing Acquisition, LLC	^+	(2)(3)	Diversified Financial Services	LIBOR	6.02%	10.57%	8/27/2025	6,949		6,873		6,699
Jensen Hughes, Inc.	+	(2)(3)(7)	Utilities: Electric	LIBOR	4.50%	9.43%	3/22/2024	34,584		34,559		33,323
K2 Insurance Services, LLC	+	(2)(3)(7)	Diversified Financial Services	LIBOR	5.00%	9.73%	7/1/2026	12,799		12,799		12,665
KAMC Holdings, Inc.	+#	(2)	Energy: Electricity	LIBOR	4.00%	8.73%	8/14/2026	13,545		13,507		10,881
KBP Investments, LLC	+	(2)(3)(7)	Beverage & Food	SOFR	5.50% ,0.50% PIK	10.53%	5/25/2027	37,241		37,055		34,326
Odyssey Logistics & Technology Corp.	+#	(2)(3)	Transportation: Cargo	LIBOR	4.00%	8.38%	10/12/2024	9,505		9,489		9,277

Consolidated Schedule of Investments as of December 31, 2022
Investments (1)		Footnotes	Industry	Reference Rate (2)	Spread (2)	Interest Rate (2)	Maturity Date	Par/ Principal Amount		Amortized Cost (4)		Fair Value (5)
Output Services Group	^+	(2)(3)	Media: Advertising, Printing & Publishing	SOFR	5.25% ,1.50% PIK	11.30%	6/27/2026	$	19,190	$	19,169	$	13,097
PF Atlantic Holdco 2, LLC	+	(2)(3)	Leisure Products & Services	LIBOR	5.50%	10.25%	11/12/2027	15,396		15,168		15,126
Premise Health Holding Corp.	+#	(2)	Healthcare & Pharmaceuticals	LIBOR	3.75%	7.92%	7/10/2025	13,306		13,280		13,199
QW Holding Corporation	^+	(2)(3)(7)	Environmental Industries	LIBOR	5.50%	9.64%	8/31/2026	21,574		21,437		21,105
Radiology Partners, Inc.	+#	(2)	Healthcare & Pharmaceuticals	LIBOR	4.25%	8.64%	7/9/2025	27,686		27,625		23,201
RevSpring Inc.	+#	(2)	Media: Advertising, Printing & Publishing	LIBOR	4.00%	8.73%	10/11/2025	28,848		28,737		27,719
Riveron Acquisition Holdings, Inc.	+	(2)(3)	Diversified Financial Services	LIBOR	5.75%	10.48%	5/22/2025	11,284		11,284		11,284
Striper Buyer, LLC	+	(2)(3)	Containers, Packaging & Glass	LIBOR	5.50%	9.88%	12/30/2026	14,700		14,593		14,604
Tank Holding Corp.	+	(2)(3)(6)	Capital Equipment	SOFR	5.75%	10.16%	3/31/2028	19,950		19,410		19,421
Turbo Buyer, Inc.	+	(2)(3)(7)	Automotive	LIBOR	6.00%	11.13%	12/2/2025	34,251		34,044		33,625
U.S. TelePacific Holdings Corp.	+	(2)(3)(6)	Telecommunications	SOFR	1.00% ,7.25% PIK	11.57%	5/2/2026	7,086		7,073		2,527
USALCO, LLC	+	(2)(3)	Chemicals, Plastics & Rubber	LIBOR	6.00%	10.73%	10/19/2027	14,845		14,598		14,118
VRC Companies, LLC	^+	(2)(3)(7)	Business Services	LIBOR	5.50%	10.59%	6/29/2027	28,767		28,418		28,059
Welocalize, Inc.	+	(2)(3)(7)	Business Services	LIBOR	4.75%	9.13%	12/23/2024	33,853		33,615		32,677
WRE Holding Corp.	^+	(2)(3)(6) (7)	Environmental Industries	SOFR	5.00%	9.84%	1/3/2025	8,155		8,152		7,892
Yellowstone Buyer Acquisition, LLC	+	(2)(3)	Consumer Goods: Durable	LIBOR	5.75%	10.07%	9/13/2027	39,500		38,851		37,922
First Lien Debt Total										$	948,103	$	902,720
Equity Investments (0.0% of fair value)
DBI Holding, LLC	^		Transportation: Cargo					2,961		$	—	$	—
DBI Holding, LLC	^		Transportation: Cargo					13,996		5,364		—
Equity Investments Total										$	5,364	$	—
Total Investments										$	953,467	$	902,720

^ Denotes that all or a portion of the assets are owned by Credit Fund. Credit Fund has entered into a revolving credit facility (the “Credit Fund Facility”). Accordingly, such assets are not available to creditors of Credit Fund Sub.

+ 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.

(1)Unless otherwise indicated, issuers of investments held by Credit Fund are domiciled in the United States. As of December 31, 2022, the geographical composition of investments as a percentage of fair value was 1.5% in Canada and 98.5% 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, 2022. As of December 31, 2022, the reference rates for Credit Fund's variable rate loans were the 30-day LIBOR at 4.39%, the 90-day LIBOR at 4.77%, the 180-day LIBOR at 5.14%, the 30-day SOFR at 4.36%, and the 90-day SOFR at 4.59%.

(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)Loans include a credit spread adjustment that ranges from 0.10% to 0.26%.

(7)As of December 31, 2022, Credit Fund 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
ACR Group Borrower, LLC	Revolver	0.38	%	$	4,515	$	(103)
Analogic Corporation	Revolver	0.50		226		(6)
Chartis Holding, LLC	Revolver	0.50		2,183		(15)
Chemical Computing Group ULC (Canada)	Revolver	0.50		873		(12)
Diligent Corporation	Revolver	0.50		492		(20)
EPS Nass Parent, Inc.	Delayed Draw	1.00		1,380		(63)
EPS Nass Parent, Inc.	Revolver	0.50		1,111		(51)
EvolveIP, LLC	Revolver	0.50		2,757		(49)
Heartland Home Services, Inc.	Revolver	0.50		771		(7)
HMT Holding Inc.	Revolver	0.50		6,173		(241)
Jensen Hughes, Inc.	Revolver	0.50		1,455		(51)
K2 Insurance Services, LLC	Revolver	0.50		1,170		(11)
KBP Investments, LLC	Delayed Draw	1.00		565		(44)
QW Holding Corporation	Revolver	0.50		5,498		(95)
Turbo Buyer, Inc.	Revolver	0.50		933		(17)
VRC Companies, LLC	Revolver	0.50		833		(20)
Welocalize, Inc.	Revolver	0.50		3,375		(101)
Welocalize, Inc.	Revolver	0.50		2,250		(67)
WRE Holding Corp.	Revolver	0.50		1,123		(32)
Total unfunded commitments				$	37,683	$	(1,005)

Debt

The Credit Fund and Credit Fund Sub are party to separate credit facilities as described below. Until its termination on June 28, 2022, Credit Fund Warehouse II was party to the Credit Fund Warehouse II Facility, as described below. As of March 31, 2023 and December 31, 2022, Credit Fund and Credit Fund Sub 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 March 31, 2023 and 2022, and the outstanding balances under the credit facilities for the respective periods.

	Credit Fund Facility				Credit Fund Sub Facility				Credit Fund Warehouse II Facility
	2023		2022		2023		2022		2023		2022
Three Month Periods Ended March 31,
Outstanding Borrowing, beginning of period	$	—	$	—	$	588,621	$	514,621	$	—	$	86,030
Borrowings	—		—		9,000		—		—		—
Repayments	—		—		(80,400)		(37,000)		—		(9,322)
Outstanding Borrowing, end of period	$	—	$	—	$	517,221	$	477,621	$	—	$	76,708

Credit Fund Facility. On June 24, 2016, Credit Fund closed on the Credit Fund Facility, which was subsequently amended on June 5, 2017, October 2, 2017, November 3, 2017, June 22, 2018, June 29, 2018, February 21, 2019, March 20, 2020, February 22, 2021 and May 19, 2022, 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, subject to availability under the Credit Fund Facility, which is based on certain advance rates multiplied by the value of Credit Fund’s portfolio investments net of certain other indebtedness that Credit Fund may incur in accordance with the terms of the Credit Fund Facility. Proceeds of the Credit Fund Facility may be used for general corporate purposes, including the funding of portfolio investments. Amounts drawn under the Credit Fund Facility bear interest at the greater of zero and LIBOR plus an applicable spread of 9.00% and such interest payments are made quarterly. The availability period under the Credit Fund Facility will terminate on May 21, 2023, which is also its maturity date upon which Credit Fund is obligated to repay any outstanding borrowings.

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, March 11, 2020, May 3, 2021, May 3, 2022 and April 20, 2023. The Credit Fund Sub Facility provides for secured borrowings during the

applicable revolving period up to an amount equal to $640,000 (the borrowing base as calculated pursuant to the terms of the Credit Fund Sub Facility). The aggregate maximum credit commitment can be increased up to an amount not to exceed $1,400,000, subject to certain restrictions and conditions set forth in the Credit Fund Sub Facility, including adequate collateral to support such borrowings. The Credit Fund Sub Facility has a revolving period through May 23, 2025, (May 23, 2023 prior to the April 20, 2023 amendment) and a maturity date of May 23, 2026, (May 23, 2025 prior to the April 20, 2023 amendment), which may be extended by mutual agreement of the parties to the Credit Fund Sub Facility. Borrowings under the Credit Fund Sub Facility bear interest initially at the applicable commercial paper rate (if the lender is a conduit lender) or SOFR plus 2.70% (2.35% prior to the April 20, 2023 amendment). The Credit Fund Sub is also required to pay an undrawn commitment fee of between 0.50% and 0.75% per year depending on the usage of the Credit Fund Sub Facility. Payments under the Credit Fund Sub Facility are made quarterly. Subject to certain exceptions, the Facility is secured by a first lien security interest in substantially all of the portfolio investments held by the Credit Fund Sub.

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 provided for secured borrowings during the applicable revolving period up to an amount equal to $150,000. The Credit Fund Warehouse II Facility was 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 was August 16, 2022 and Credit Fund Warehouse II repaid all outstanding amounts on June 28, 2022. Amounts borrowed under the Credit Fund Warehouse II Facility during the first 12 months bore interest at a rate of LIBOR plus 1.05%, and amounts borrowed in the second 12 months bore interest at LIBOR plus 1.15%. Other amounts borrowed under the Credit Fund Warehouse II Facility bore interest at a rate of LIBOR plus 1.50%.

MIDDLE MARKET CREDIT FUND II, LLC

Overview

On November 3, 2020, the Company and CCLF entered into a limited liability company agreement to co-manage Credit Fund II, a Delaware limited liability company that is not consolidated in the Company's consolidated financial statements. Credit Fund II primarily invests in senior secured loans of middle market companies. Credit Fund II is managed by a four-member board, on which the Company and CCLF have equal representation. Establishing a quorum for Credit Fund II's board requires at least one of the Company's representatives and one of CCLF's representatives. The Company and CCLF have 84.13% and 15.87% economic ownership of Credit Fund II, respectively. By virtue of its membership interest, each of the Company and CCLF indirectly bears an allocable share of all expenses and other obligations of Credit Fund II.

Credit Fund II's initial portfolio consisted of 45 senior secured loans of middle market companies with an aggregate principal balance of approximately $250 million. Credit Fund II's initial portfolio was funded on November 3, 2020 with existing senior secured debt investments contributed by the Company and as part of the transaction, the Company determined that the contribution met the requirements under ASC 860, Transfers and Servicing.

Credit Fund II is expected to make only limited new investments in senior secured loans of middle market companies. Portfolio and investment decisions with respect to Credit Fund II must be unanimously approved by a quorum of Credit Fund II’s board members consisting of at least one of the Company's representatives and one of CCLF's representatives. Therefore, although the Company owns more than 25% of the voting securities of Credit Fund II, the Company does not believe that it has control over Credit Fund II (other than for purposes of the Investment Company Act).

Middle Market Credit Fund II SPV, LLC (“Credit Fund II Sub”), a Delaware limited liability company, was formed on September 4, 2020. Credit Fund II Sub is a wholly owned subsidiary of Credit Fund II and is consolidated in Credit Fund II’s consolidated financial statements commencing from the date of its formation. Credit Fund II Sub primarily holds investments in first lien loans of middle market companies, which are pledged as security for the Credit Fund II Senior Notes. Refer to “Credit Fund II Senior Notes” in this Note 6 for discussions regarding the notes issued by Credit Fund II Sub.

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

Credit Fund II Senior Notes

On November 3, 2020 and as amended on December 29, 2021 and June 30, 2022, Credit Fund II Sub closed on the Credit Fund II Senior Notes (the “Credit Fund II Senior Notes”) with lenders. The Credit Fund II Senior Notes provides for secured borrowings totaling $157,500 with two tranches, A-1 and A-2 outstanding. The facility is secured by a first lien security interest in substantially all of the portfolio investments held by Credit Fund II Sub. The maturity date of the Credit Fund II Senior Notes Sub Facility is November 3, 2030. Amounts issued for the Class A-1 notes totaled $147,500 and bear interest at a rate of Term SOFR plus 2.85% (LIBOR plus 2.70% prior to the June 30, 2022 amendment), and amounts issued for the Class A-2 notes totaled $10,000 and bear interest at Term SOFR plus 3.35% (LIBOR plus 3.20% prior to the June 30, 2022 amendment). The A-1 Notes were rated AAA, and the A-2 Notes were rated AA by DBRS Morningstar. The terms of the Credit Fund II Senior Notes provide that as loans pay down, up to $100,000 is available from principal proceeds for reinvestment ($50,000 prior to the June 30, 2022 amendment), and then the investment principal proceeds are used to directly pay down the principal balance on the Credit Fund II Senior Notes. As of March 31, 2023 and December 31, 2022, Credit Fund II Sub was in compliance with all covenants and other requirements of its respective credit agreements.

Selected Financial Data

Since inception of Credit Fund II and through March 31, 2023, the Company and CCLF made capital contributions of $78,096 and $12,709 in members’ equity, respectively, to Credit Fund II. Below is certain summarized consolidated information for Credit Fund II as of March 31, 2023 and December 31, 2022.

	As of
	March 31, 2023		December 31, 2022
Selected Consolidated Balance Sheet Information:
ASSETS
Investments, at fair value (amortized cost of $249,244 and $250,134, respectively)	$	241,769	$	244,739
Cash and cash equivalents(1)	6,584		2,078
Other assets	2,934		5,825
Total assets	$	251,287	$	252,642
LIABILITIES AND MEMBERS’ EQUITY
Notes payable, net of unamortized debt issuance costs of $759 and $783, respectively	$	156,741	$	156,717
Other liabilities	9,824		9,212
Total members' equity (2)	84,722		86,713
Total liabilities and members’ equity	$	251,287	$	252,642

(1) As of March 31, 2023 and December 31, 2022, all of Credit Fund II's cash and cash equivalents was restricted.

(2) As of March 31, 2023 and December 31, 2022, the fair value of Company's ownership interest in the members' equity was $71,185 and $72,957, respectively.

	For the three month period ended
	March 31, 2023		March 31, 2022
	(unaudited)
Selected Consolidated Statement of Operations Information:
Total investment income	$	6,607	$	4,486
Expenses
Interest and credit facility expenses	2,944		1,219
Other expenses	275		186
Total expenses	3,219		1,405
Net investment income (loss)	3,388		3,081
Net change in unrealized appreciation (depreciation) on investments	(2,080)		(1,429)
Net increase (decrease) resulting from operations	$	1,308	$	1,652

Below is a summary of Credit Fund II’s portfolio, followed by a listing of the loans in Credit Fund II’s portfolio as of March 31, 2023 and December 31, 2022:

	As of
	March 31, 2023			December 31, 2022
Senior secured loans (1)	$	252,738		$	253,310
Number of portfolio companies in Credit Fund II	35			35
Average amount per portfolio company (1)	$	7,221		$	7,237
Number of loans on non-accrual status	1			—
Fair value of loans on non-accrual status	$	5,081		$	—
Percentage of portfolio at floating interest rates (2) (3)	98.1		%	97.9		%
Percentage of portfolio at fixed interest rates (3)	1.9		%	2.1		%
Fair value of loans with PIK provisions	$	3,008		$	10,787
Percentage of portfolio with PIK provisions (3)	1.2		%	4.4		%

(1)At par/principal amount.

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

(3)Percentages based on fair value.

Consolidated Schedule of Investments as of March 31, 2023
Investments (1)		Footnotes	Industry	Reference Rate (2)	Spread (2)	Interest Rate (2)	Maturity Date	Par/ Principal Amount		Amortized Cost (4)		Fair Value (5)
First Lien Debt (89.9% of fair value)
Alpine Acquisition Corp II	^	(2)(3)(7)	Transportation: Cargo	SOFR	5.50%	10.27%	11/30/2026	$	3,283	$	3,185	$	3,162
American Physician Partners, LLC	^	(2)(3)(7)(8)(9)	Healthcare & Pharmaceuticals	SOFR	10.25% (100% PIK)	11.25%	8/5/2022	9,419		9,078		5,081
Appriss Health, LLC	^	(2)(3)	Healthcare & Pharmaceuticals	LIBOR	7.25%	11.96%	5/6/2027	7,493		7,372		7,268
Apptio, Inc.	^	(2)(3)	Software	LIBOR	5.00%	9.81%	1/10/2025	5,357		5,319		5,357
Ascend Buyer, LLC	^	(2)(3)(7)	Containers, Packaging & Glass	SOFR	6.40%	11.45%	9/30/2028	9,054		8,907		8,812
Aurora Lux FinCo S.Á.R.L. (Luxembourg)	^	(2)(3)	Software	LIBOR	6.00%	10.82%	12/24/2026	4,300		4,236		4,067
BMS Holdings III Corp.	^	(2)(3)	Construction & Building	LIBOR	5.50%	10.66%	9/30/2026	3,233		3,188		3,127
Chartis Holding, LLC	^	(2)(3)(7)	Business Services	SOFR	5.00%	9.65%	5/1/2025	9,797		9,786		9,735
Comar Holding Company, LLC	^	(2)(3)	Containers, Packaging & Glass	LIBOR	5.75%	10.70%	6/18/2024	8,598		8,558		8,096
Cority Software Inc. (Canada)	^	(2)(3)	Software	SOFR	5.50%	10.09%	7/2/2026	8,601		8,511		8,522
Dwyer Instruments, Inc.	^	(2)(3)	Capital Equipment	LIBOR	6.00%	11.16%	7/21/2027	9,889		9,840		9,796
EvolveIP, LLC	^	(2)(3)(7)	Telecommunications	SOFR	5.50%	10.53%	6/7/2025	8,599		8,595		8,467
Harbour Benefit Holdings, Inc.	^	(2)(3)	Business Services	LIBOR	5.00%	10.13%	12/13/2024	9,812		9,794		9,756
Hoosier Intermediate, LLC	^	(2)(3)	Healthcare & Pharmaceuticals	LIBOR	5.50%	10.36%	11/15/2028	6,430		6,251		5,879
Integrity Marketing Acquisition, LLC	^	(2)(3)	Diversified Financial Services	LIBOR	6.05%	11.01%	8/27/2025	4,858		4,716		4,736
Integrity Marketing Acquisition, LLC	^	(2)(3)	Diversified Financial Services	LIBOR	6.02%	10.97%	8/27/2025	4,534		4,371		4,410
K2 Insurance Services, LLC	^	(2)(3)	Diversified Financial Services	LIBOR	5.00%	10.16%	7/1/2026	8,899		8,817		8,899
Material Holdings, LLC	^	(2)(3)	Business Services	SOFR	5.75%	10.75%	8/19/2027	7,880		7,812		7,587
Maverick Acquisition, Inc.	^	(2)(3)	Aerospace & Defense	LIBOR	6.25%	11.09%	6/1/2027	7,880		7,747		6,362
NMI AcquisitionCo, Inc.	^	(2)(3)	High Tech Industries	LIBOR	5.75%	10.59%	9/6/2025	8,594		8,594		8,371
PF Atlantic Holdco 2, LLC	^	(2)(3)(7)	Leisure Products & Services	SOFR	5.50%	10.74%	11/12/2027	9,925		9,644		9,774
PXO Holdings I Corp.	^	(2)(3)	Chemicals, Plastics & Rubber	SOFR	5.50%	10.44%	3/8/2028	9,975		9,814		9,831
QW Holding Corporation	^	(2)(3)	Environmental Industries	LIBOR	5.50%	10.35%	8/31/2026	9,921		9,790		9,921
Riveron Acquisition Holdings, Inc.	^	(2)(3)	Diversified Financial Services	LIBOR	5.75%	10.91%	5/22/2025	8,069		8,004		8,069
RSC Acquisition, Inc.	^	(2)(3)(7)	Diversified Financial Services	SOFR	5.50%	10.38%	11/1/2026	8,294		8,199		8,013
TCFI Aevex LLC	^	(2)(3)	Aerospace & Defense	LIBOR	6.00%	10.84%	3/18/2026	1,679		1,661		1,591
Turbo Buyer, Inc.	^	(2)(3)	Automotive	LIBOR	6.00%	11.19%	12/2/2025	7,988		7,888		7,859
U.S. Legal Support, Inc.	^	(2)(3)(7)	Business Services	SOFR	5.75%	10.66%	11/30/2024	6,154		6,147		6,054
US INFRA SVCS Buyer, LLC	^	(2)(3)	Environmental Industries	LIBOR	6.50%, 0.25% PIK	11.68%	4/13/2026	3,115		3,080		3,008

Consolidated Schedule of Investments as of March 31, 2023
Investments (1)		Footnotes	Industry	Reference Rate (2)	Spread (2)	Interest Rate (2)	Maturity Date	Par/ Principal Amount		Amortized Cost (4)		Fair Value (5)
Westfall Technik, Inc.	^	(2)(3)	Chemicals, Plastics & Rubber	SOFR	6.25%	11.25%	9/13/2024	$	6,399	$	6,354	$	6,243
Wineshipping.com LLC	^	(2)(3)(7)	Beverage & Food	SOFR	5.75%	10.77%	10/29/2027	9,925		9,597		9,551
First Lien Debt Total										$	224,855	$	217,404
Second Lien Debt (10.1% of fair value)
AI Convoy S.A.R.L (United Kingdom)	^	(2)(3)	Aerospace & Defense	LIBOR	8.25%	12.92%	1/17/2028	$	5,514	$	5,429	$	5,624
AP Plastics Acquisition Holdings, LLC	^	(2)(3)	Chemicals, Plastics & Rubber	LIBOR	7.50%	12.28%	8/10/2029	4,500		4,421		4,419
AQA Acquisition Holdings, Inc.	^	(2)(3)	High Tech Industries	LIBOR	7.50%	12.45%	3/3/2029	5,000		4,896		4,812
Quartz Holding Company	^	(2)	Software	LIBOR	8.00%	12.84%	4/2/2027	4,852		4,795		4,839
World 50, Inc.	^	(6)	Business Services	FIXED	11.50%	11.50%	1/9/2027	4,918		4,848		4,671
Second Lien Debt Total										$	24,389	$	24,365
Total Investments										$	249,244	$	241,769

^ Denotes that all or a portion of the assets are owned by Credit Fund II Sub. Credit Fund II Sub has entered into the Credit Fund II Sub Notes. The lenders of the Credit Fund II Sub Notes have a first lien security interest in substantially all of the assets of Credit Fund II Sub. Accordingly, such assets are not available to creditors of Credit Fund II.

(1)    Unless otherwise indicated, issuers of investments held by Credit Fund II are domiciled in the United States. As of March 31, 2023, the geographical composition of investments as a percentage of fair value was 3.5% in Canada, 1.7% in Luxembourg, 2.3% in the United Kingdom and 92.5% 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, the Secured Overnight Financing Rate (“SOFR”) 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 II has indicated the reference rate used and provided the spread and the interest rate in effect as of March 31, 2023. As of March 31, 2023, the reference rates for Credit Fund II's variable rate loans were the 30-day LIBOR at 4.86%, the 90-day LIBOR at 5.19%, the 180-day LIBOR at 5.31%, the 30-day SOFR at 4.80%, the 90-day SOFR at 4.91%, and the 180-day SOFR at 4.90%.

(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 II, pursuant to Credit Fund II’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)Represents a corporate mezzanine loan, which is subordinated to senior secured term loans of the portfolio company.

(7)Loans include a credit spread adjustment that ranges from 0.10% to 0.25%.

(8)Loan is in forbearance as of March 31, 2023.

(9)Loan was on non-accrual status as of March 31, 2023.

Consolidated Schedule of Investments as of December 31, 2022
Investments (1)		Footnotes	Industry	Reference Rate (2)	Spread (2)	Interest Rate (2)	Maturity Date	Par/ Principal Amount		Amortized Cost (4)		Fair Value (5)
First Lien Debt (90.0% of fair value)
Airnov, Inc.	^	(2)(3)	Containers, Packaging & Glass	LIBOR	5.00%	9.75%	12/19/2025	$	9,844	$	9,833	$	9,787
Alpine Acquisition Corp II	^	(2)(3)(7)	Transportation: Cargo	SOFR	5.50%	9.76%	11/30/2026	3,292		3,188		3,170
American Physician Partners, LLC	^	(2)(3)	Healthcare & Pharmaceuticals	SOFR	6.75%, 3.50% PIK	14.67%	2/15/2023	9,074		9,074		7,833
Appriss Health, LLC	^	(2)(3)	Healthcare & Pharmaceuticals	LIBOR	7.25%	11.54%	5/6/2027	7,502		7,375		7,214
Apptio, Inc.	^	(2)(3)	Software	LIBOR	6.00%	9.94%	1/10/2025	5,357		5,314		5,357
Ascend Buyer, LLC	^	(2)(3)(7)	Containers, Packaging & Glass	SOFR	6.25%	10.67%	9/30/2028	9,077		8,924		8,917
Aurora Lux FinCo S.Á.R.L. (Luxembourg)	^	(2)(3)	Software	LIBOR	6.00%	10.32%	12/24/2026	4,311		4,243		4,074
BMS Holdings III Corp.	^	(2)(3)	Construction & Building	LIBOR	5.50%	10.23%	9/30/2026	3,241		3,194		3,183
Chartis Holding, LLC	^	(2)(3)	Business Services	LIBOR	5.00%	9.77%	5/1/2025	9,822		9,810		9,757
Comar Holding Company, LLC	^	(2)(3)	Containers, Packaging & Glass	LIBOR	5.75%	10.47%	6/18/2024	8,621		8,573		8,334
Cority Software Inc. (Canada)	^	(2)(3)	Software	SOFR	5.50%	9.17%	7/2/2026	8,623		8,527		8,539
Dwyer Instruments, Inc.	^	(2)(3)	Capital Equipment	LIBOR	6.00%	10.74%	7/21/2027	9,914		9,863		9,761
EvolveIP, LLC	^	(2)(3)(7)	Telecommunications	SOFR	5.50%	10.09%	6/7/2025	8,621		8,617		8,469
Harbour Benefit Holdings, Inc.	^	(2)(3)	Business Services	LIBOR	5.25%	9.95%	12/13/2024	9,848		9,828		9,789
Hoosier Intermediate, LLC	^	(2)(3)	Healthcare & Pharmaceuticals	LIBOR	5.50%	10.11%	11/15/2028	6,447		6,261		6,094
Integrity Marketing Acquisition, LLC	^	(2)(3)	Diversified Financial Services	LIBOR	6.05%	9.95%	8/27/2025	4,870		4,717		4,708
Integrity Marketing Acquisition, LLC	^	(2)(3)	Diversified Financial Services	LIBOR	6.02%	10.57%	8/27/2025	4,534		4,369		4,371
K2 Insurance Services, LLC	^	(2)(3)	Diversified Financial Services	LIBOR	5.00%	9.73%	7/1/2026	8,922		8,833		8,836
Material Holdings, LLC	^	(2)(3)	Business Services	SOFR	6.00%	10.67%	8/19/2027	7,900		7,829		7,547
Maverick Acquisition, Inc.	^	(2)(3)	Aerospace & Defense	LIBOR	6.25%	10.98%	6/1/2027	7,900		7,760		6,563
NMI AcquisitionCo, Inc.	^	(2)(3)	High Tech Industries	LIBOR	5.75%	10.13%	9/6/2025	8,617		8,617		8,394
PF Atlantic Holdco 2, LLC	^	(2)(3)	Leisure Products & Services	LIBOR	5.50%	10.25%	11/12/2027	9,950		9,657		9,776
QW Holding Corporation	^	(2)(3)	Environmental Industries	LIBOR	5.50%	9.64%	8/31/2026	9,947		9,808		9,775
Riveron Acquisition Holdings, Inc.	^	(2)(3)	Diversified Financial Services	LIBOR	5.75%	10.48%	5/22/2025	8,090		8,018		8,090
RSC Acquisition, Inc.	^	(2)(3)(7)	Diversified Financial Services	SOFR	5.50%	9.83%	11/1/2026	8,315		8,215		7,938
TCFI Aevex LLC	^	(2)(3)	Aerospace & Defense	LIBOR	6.00%	10.38%	3/18/2026	1,684		1,664		1,539
Turbo Buyer, Inc.	^	(2)(3)	Automotive	LIBOR	6.00%	11.15%	12/2/2025	8,009		7,901		7,866
U.S. Legal Support, Inc.	^	(2)(3)(7)	Business Services	SOFR	5.75%	10.33%	11/30/2024	6,170		6,163		6,057
US INFRA SVCS Buyer, LLC	^	(2)(3)	Environmental Industries	LIBOR	6.50%, 0.25% PIK	11.47%	4/13/2026	3,113		3,075		2,954
Westfall Technik, Inc.	^	(2)(3)	Chemicals, Plastics & Rubber	SOFR	6.25%	10.83%	9/13/2024	6,416		6,364		6,280

Consolidated Schedule of Investments as of December 31, 2022
Investments (1)		Footnotes	Industry	Reference Rate (2)	Spread (2)	Interest Rate (2)	Maturity Date	Par/ Principal Amount		Amortized Cost (4)		Fair Value (5)
Wineshipping.com LLC	^	(2)(3)	Beverage & Food	LIBOR	5.75%	10.15%	10/29/2027	$	9,950	$	9,608	$	9,161
First Lien Debt Total										$	225,222	$	220,133
Second Lien Debt (10.0%) of fair value)
AI Convoy S.A.R.L (United Kingdom)	^	(2)(3)	Aerospace & Defense	LIBOR	8.25%	12.92%	1/17/2028	$	5,514	$	5,425	$	5,679
AP Plastics Acquisition Holdings, LLC	^	(2)(3)	Chemicals, Plastics & Rubber	LIBOR	7.50%	11.85%	8/10/2029	4,500		4,419		4,318
AQA Acquisition Holdings, Inc.	^	(2)(3)	High Tech Industries	LIBOR	7.50%	12.23%	3/3/2029	5,000		4,893		4,760
Quartz Holding Company	^	(2)	Software	LIBOR	8.00%	12.38%	4/2/2027	4,850		4,792		4,656
World 50, Inc.	^	(6)	Business Services	FIXED	11.50%	11.50%	1/9/2027	5,465		5,383		5,193
Second Lien Debt Total										$	24,912	$	24,606
Total Investments										$	250,134	$	244,739

^ Denotes that all or a portion of the assets are owned by Credit Fund II Sub. Credit Fund II Sub has entered into the Credit Fund II Sub Notes. The lenders of the Credit Fund II Sub Notes have a first lien security interest in substantially all of the assets of Credit Fund II Sub. Accordingly, such assets are not available to creditors of Credit Fund II.

(1)    Unless otherwise indicated, issuers of investments held by Credit Fund are domiciled in the United States. As of December 31, 2022, the geographical composition of investments as a percentage of fair value was 3.5% in Canada, 1.7% in Luxembourg, 2.3% in the United Kingdom and 92.5% 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 II has indicated the reference rate used and provided the spread and the interest rate in effect as of December 31, 2022. As of December 31, 2022, the reference rates for Credit Fund II's variable rate loans were the 30-day LIBOR at 4.39%, the 90-day LIBOR at 4.77%, the 180-day LIBOR at 5.14%, the 30-day SOFR at 4.36%, and the 90-day SOFR at 4.59%.

(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 II, pursuant to Credit Fund II’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)Represents a corporate mezzanine loan, which is subordinated to senior secured term loans of the portfolio company.

(7)Loans include a credit spread adjustment that ranges from 0.10% to 0.26%.