MIDDLE MARKET CREDIT FUND II, LLC

3 Months Ended

Mar. 31, 2024

Investment Company [Abstract]

MIDDLE MARKET CREDIT FUND II, LLC

5. 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 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, 2024 and December 31, 2023, the Company and Credit Partners each made capital contributions of $1 in members’ equity and $216,000 in subordinated loans to Credit Fund. On May 25, 2021, the Company and Credit Partners each received an aggregate return of capital on the subordinated loans of $23,000. Below is certain summarized consolidated financial information for Credit Fund as of March 31, 2024 and December 31, 2023.

	As of
	March 31, 2024		December 31, 2023
Selected Consolidated Balance Sheet Information:	(unaudited)
ASSETS
Investments, at fair value (amortized cost of $729,993 and $794,899, respectively)	$	707,735	$	761,112
Cash, cash equivalents and restricted cash(1)	93,544		36,177
Other assets	9,655		7,812
Total assets	$	810,934	$	805,101
LIABILITIES AND MEMBERS’ EQUITY
Secured borrowings	$	442,221	$	447,221
Other liabilities	31,510		31,617
Subordinated loans and members’ equity (2)	337,203		326,263
Total liabilities and members’ equity	$	810,934	$	805,101

(1)As of March 31, 2024 and December 31, 2023, $16,437 and $14,106, respectively, of Credit Fund’s cash and cash equivalents was restricted.

(2)As of March 31, 2024 and December 31, 2023, the fair value of the Company's ownership interest in the subordinated loans and members' equity was $180,648 and $181,960, respectively.

	For the three month periods ended
	March 31, 2024		March 31, 2023
Selected Consolidated Statements of Operations Information:	(unaudited)		(unaudited)
Total investment income	$	21,823	$	22,954
Expenses
Interest and credit facility expenses	10,073		10,272
Other expenses	596		453
Total expenses	10,669		10,725
Net investment income (loss)	11,154		12,229
Net realized gain (loss) on investments	(743)		(2,232)
Net change in unrealized appreciation (depreciation) on investments	11,529		(2,876)
Net increase (decrease) resulting from operations	$	21,940	$	7,121

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, 2024 and December 31, 2023:

	As of
	March 31, 2024			December 31, 2023
Senior secured loans(1)	$	738,811		$	803,541
Number of portfolio companies in Credit Fund	36			38
Average amount per portfolio company(1)	$	20,523		$	21,146
Number of loans on non-accrual status	3			3
Fair value of loans on non-accrual status	$	13,554		$	13,263
Percentage of portfolio at floating interest rates(2)(3)	100.0		%	100.0		%
Fair value of loans with PIK provisions	$	1,322		$	36,481
Percentage of portfolio with PIK provisions(3)	0.2		%	4.8		%

(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, 2024
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)(9)	Aerospace & Defense	SOFR	4.25%	9.55%	3/31/2028	$	37,477	$	37,099	$	37,338
Allied Benefit Systems Intermediate LLC	+	(2)(3)	Healthcare & Pharmaceuticals	SOFR	5.25%	10.58%	10/31/2030	8,639		8,515		8,699
Alpine Acquisition Corp II	+	(2)(3)(6)	Transportation: Cargo	SOFR	6.00%	11.45%	11/30/2026	9,874		9,534		9,285
API Technologies Corp.	+	(2)(6)(7)	Aerospace & Defense	SOFR	1.00%, 6.00% PIK	12.31%	5/9/2027	14,973		13,670		9,109
API Technologies Corp.	^	(2)(3)(6)	Aerospace & Defense	SOFR	1.00%, 6.00% PIK	12.31%	5/9/2027	1,323		722		1,322
BMS Holdings III Corp.	+	(2)(3)(6)	Construction & Building	SOFR	5.50%	10.96%	9/30/2026	10,990		10,932		10,760
Chartis Holding, LLC	^+	(2)(3)(9)	Business Services	SOFR	5.75%	11.18%	11/1/2027	6,804		6,804		6,741
Chemical Computing Group ULC (Canada)	^+	(2)(3)(6)(9)	Software	SOFR	4.50%	9.93%	8/30/2025	11,452		11,399		11,452
Diligent Corporation	^+	(2)(3)(6)(9)	Telecommunications	SOFR	6.25%	11.71%	8/4/2025	9,854		9,760		9,854
Divisions Holding Corporation	+	(2)(3)(6)	Business Services	SOFR	4.75%	10.19%	5/27/2028	12,942		12,857		12,917
DTI Holdco, Inc.	+	(2)(3)	High Tech Industries	SOFR	4.75%	10.06%	4/26/2029	29,550		29,088		29,520
Eliassen Group, LLC	+	(2)(3)	Business Services	SOFR	5.50%	10.81%	4/14/2028	19,133		18,951		19,083
EPS Nass Parent, Inc.	^+	(2)(3)(6)(9)	Utilities: Electric	SOFR	5.75%	11.21%	4/19/2028	34,443		33,995		33,677
EvolveIP, LLC	^+	(2)(3)(6)	Telecommunications	SOFR	5.50%	10.95%	6/7/2025	43,126		43,110		41,673
Exactech, Inc.	+	(2)(3)(6)	Healthcare & Pharmaceuticals	SOFR	3.75%	9.19%	2/14/2025	20,799		20,774		10,653
GSM Acquisition Corp.	+	(2)(3)(6)	Leisure Products & Services	SOFR	5.00%	10.44%	11/16/2026	30,584		30,408		30,508
Heartland Home Services, Inc.	+	(2)(3)(6)(9)	Consumer Services	SOFR	6.00%	11.31%	12/15/2026	23,947		23,890		23,178
Heartland Home Services, Inc.	+	(2)(3)(6)	Consumer Services	SOFR	5.75%	11.08%	12/15/2026	7,150		7,090		6,887
HMT Holding Inc.	^+	(2)(3)(6)(9)	Energy: Oil & Gas	SOFR	6.00%	11.51%	11/17/2025	35,961		35,881		35,392
Integrity Marketing Acquisition, LLC	+	(2)(3)(6)	Diversified Financial Services	SOFR	6.05%	11.49%	8/27/2026	28,787		28,633		28,586
Integrity Marketing Acquisition, LLC	^+	(2)(3)(6)	Diversified Financial Services	SOFR	6.02%	11.46%	8/27/2026	5,415		5,379		5,374
Jensen Hughes, Inc.	^+	(2)(3)(6)(9)	Utilities: Electric	SOFR	5.75%	11.17%	3/22/2025	34,505		34,499		34,068
KAMC Holdings, Inc.	+	(2)(6)	Energy: Electricity	SOFR	4.00%	9.60%	8/14/2026	13,370		13,344		13,153
KBP Investments, LLC	+	(2)(3)(6)	Beverage & Food	SOFR	5.50%	11.08%	5/25/2027	37,436		37,298		36,317
LVF Holdings, Inc.	+	(2)(3)(6)	Beverage & Food	SOFR	5.75%	11.21%	6/10/2027	9,974		9,838		9,906
North Haven Fairway Buyer, LLC	+	(2)(3)	Consumer Services	SOFR	6.50%	11.81%	5/17/2028	6,683		6,542		6,749
Output Services Group, Inc.	^	(2)(3)(6)(7)	Media: Advertising, Printing & Publishing	SOFR	6.25%	11.55%	11/30/2028	4,159		3,164		3,192
PF Atlantic Holdco 2, LLC	+	(2)(3)(6)	Leisure Products & Services	SOFR	5.50%	11.06%	11/12/2027	15,201		15,024		15,014
Radiology Partners, Inc.	+	(2)(6)	Healthcare & Pharmaceuticals	SOFR	5.00%	10.59%	1/31/2029	18,378		18,356		17,712
Striper Buyer, LLC	+	(2)(3)	Containers, Packaging & Glass	SOFR	5.50%	10.93%	12/30/2026	14,513		14,436		13,759
Summit Acquisition, Inc.	+	(2)(3)	Diversified Financial Services	SOFR	6.75%	12.06%	5/1/2030	5,925		5,762		6,024
Tank Holding Corp.	+	(2)(3)(6)	Capital Equipment	SOFR	5.75%	11.18%	3/31/2028	19,699		19,268		19,470
Turbo Buyer, Inc.	+	(2)(3)(9)	Automotive	SOFR	6.00%	11.47%	12/2/2025	34,092		33,967		33,331
U.S. TelePacific Holdings Corp.	^	(2)(3)(6)(7)	Telecommunications	SOFR	1.00%, 6.00% PIK	12.30%	5/2/2026	3,857		3,207		1,253

Consolidated Schedule of Investments as of March 31, 2024
Investments (1)		Footnotes	Industry	Reference Rate (2)	Spread (2)	Interest Rate (2)	Maturity Date	Par/ Principal Amount		Amortized Cost (4)		Fair Value (5)
USALCO, LLC	+	(2)(3)(6)	Chemicals, Plastics & Rubber	SOFR	6.00%	11.56%	10/19/2027	$	14,658	$	14,466	$	14,658
VRC Companies, LLC	^+	(2)(3)(6)(9)	Business Services	SOFR	5.50%	11.07%	6/29/2027	23,440		23,222		23,365
Welocalize, Inc.	^+	(2)(3)(6)(9)	Business Services	SOFR	4.75%	10.15%	12/23/2024	32,649		32,561		31,535
WRE Holding Corp.	^+	(2)(3)(6)(9)	Environmental Industries	SOFR	5.00%	10.44%	1/3/2025	8,049		8,047		8,012
Yellowstone Buyer Acquisition, LLC	+	(2)(3)(6)	Consumer Goods: Durable	SOFR	5.75%	11.15%	9/13/2027	39,000		38,501		38,209
First Lien Debt Total										$	729,993	$	707,735
Equity Investments (0.0% of fair value)
Output Services Group, Inc.	^	(8)	Media: Advertising, Printing & Publishing					205		$	—	$	—
Equity Investments Total										$	—	$	—
Total Investments										$	729,993	$	707,735

^ 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, 2024, the geographical composition of investments as a percentage of fair value was 1.6% in Canada and 98.4% 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 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, 2024. As of March 31, 2024, the reference rates for Credit Fund’s variable rate loans were the 30-day SOFR at 5.33%, the 90-day SOFR at 5.30% and the 180-day SOFR at 5.22%.

(3)Loan includes interest rate floor feature, which ranges from 0.75% to 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 unaudited consolidated financial statements.

(6)Loans include a credit spread adjustment that ranges from 0.05% to 0.43%.

(7)Loan was on non-accrual status as of March 31, 2024.

(8)Represents a non-income producing security as of March 31, 2024.

(9)As of March 31, 2024, 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	%	$	3,570	$	(12)
Chartis Holding, LLC	Revolver	0.50		2,183		(15)
Chemical Computing Group ULC (Canada)	Revolver	0.50		873		—
Diligent Corporation	Revolver	0.50		394		—
EPS Nass Parent, Inc.	Revolver	0.50		359		(8)
Heartland Home Services, Inc.	Revolver	0.50		772		(24)
HMT Holding Inc.	Revolver	0.50		1,940		(29)
Jensen Hughes, Inc.	Revolver	0.50		1,091		(13)
Turbo Buyer, Inc.	Revolver	0.50		653		(14)
VRC Companies, LLC	Revolver	0.50		833		(3)
Welocalize, Inc.	Revolver	0.50		5,625		(164)

WRE Holding Corp.	Revolver	0.50	%	$	1,123	$	(5)
Total unfunded commitments				$	19,416	$	(287)

Consolidated Schedule of Investments as of December 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	SOFR	4.25%	9.60%	3/31/2028	$	37,564	$	37,165	$	37,338
Allied Benefit Systems Intermediate LLC	+	(2)(3)	Healthcare & Pharmaceuticals	SOFR	5.25%	10.63%	10/31/2030	8,639		8,511		8,509
Alpine Acquisition Corp II	+	(2)(3)(6)	Transportation: Cargo	SOFR	6.00%	11.46%	11/30/2026	9,899		9,531		9,462
API Technologies Corp.	+	(2)(6)(7)	Aerospace & Defense	SOFR	1.00%, 6.00% PIK	12.36%	5/9/2027	14,752		13,905		8,870
API Technologies Corp.	^	(2)(3)(6)	Aerospace & Defense	SOFR	1.00%, 6.00% PIK	12.36%	5/9/2027	1,303		620		1,264
Avalign Technologies, Inc.	+	(2)(6)	Healthcare & Pharmaceuticals	SOFR	4.50%	9.98%	12/22/2025	14,145		14,099		13,120
BMS Holdings III Corp.	+	(2)(3)(6)	Construction & Building	SOFR	5.50%	10.97%	9/30/2026	11,018		10,956		10,768
Chartis Holding, LLC	^+	(2)(3)(6)(8)	Business Services	SOFR	5.00%	10.52%	5/1/2025	8,002		8,002		7,985
Chemical Computing Group ULC (Canada)	^+	(2)(3)(6)(8)	Software	SOFR	4.50%	9.86%	8/30/2024	11,488		11,415		11,438
Diligent Corporation	^+	(2)(3)(6)(8)	Telecommunications	SOFR	6.25%	11.78%	8/4/2025	9,949		9,839		9,886
Divisions Holding Corporation	+	(2)(3)(6)	Business Services	SOFR	4.75%	10.22%	5/27/2028	14,044		13,948		13,965
DTI Holdco, Inc.	+	(2)(3)	High Tech Industries	SOFR	4.75%	10.13%	4/26/2029	29,625		29,144		29,335
Eliassen Group, LLC	+	(2)(3)	Business Services	SOFR	5.50%	10.85%	4/14/2028	19,181		18,990		18,946
EPS Nass Parent, Inc.	^+	(2)(3)(6)(8)	Utilities: Electric	SOFR	5.75%	11.25%	4/19/2028	34,525		34,055		33,365
EvolveIP, LLC	^+	(2)(3)(6)	Telecommunications	SOFR	5.50%	11.19%	6/7/2025	42,720		42,701		40,964
Exactech, Inc.	+	(2)(3)(6)	Healthcare & Pharmaceuticals	SOFR	3.75%	9.11%	2/14/2025	20,856		20,823		10,636
GSM Acquisition Corp.	+	(2)(3)(6)	Leisure Products & Services	SOFR	5.00%	10.41%	11/16/2026	30,659		30,468		30,429
Heartland Home Services, Inc.	+	(2)(3)(6)	Consumer Services	SOFR	5.75%	11.11%	12/15/2026	7,169		7,104		6,848
Heartland Home Services, Inc.	+	(2)(3)(6)(8)	Consumer Services	SOFR	6.00%	11.36%	12/15/2026	24,008		23,947		23,054
HMT Holding Inc.	^+	(2)(3)(6)(8)	Energy: Oil & Gas	SOFR	6.00%	11.56%	11/17/2025	34,634		34,543		33,931
Integrity Marketing Acquisition, LLC	+	(2)(3)(6)	Diversified Financial Services	SOFR	6.05%	11.54%	8/27/2026	36,572		36,358		36,071
Integrity Marketing Acquisition, LLC	^+	(2)(3)(6)	Diversified Financial Services	SOFR	6.02%	11.51%	8/27/2026	6,879		6,829		6,781
Jensen Hughes, Inc.	^+	(2)(3)(6)(8)	Utilities: Electric	SOFR	5.75%	11.20%	3/22/2025	33,730		33,722		33,602
KAMC Holdings, Inc.	+	(2)(6)	Energy: Electricity	SOFR	4.00%	9.65%	8/14/2026	13,405		13,377		11,394
KBP Investments, LLC	+	(2)(3)(6)	Beverage & Food	SOFR	5.50%, 1.00% PIK	11.97%	5/25/2027	37,453		37,305		35,217
North Haven Fairway Buyer, LLC	+	(2)(3)	Consumer Services	SOFR	6.50%	11.85%	5/17/2028	6,700		6,552		6,767
Output Services Group, Inc.	^	(2)(3)(6)(7)	Media: Advertising, Printing & Publishing	SOFR	6.25%	12.07%	11/30/2028	4,160		3,306		3,225
PF Atlantic Holdco 2, LLC	+	(2)(3)(6)	Leisure Products & Services	SOFR	5.50%	11.12%	11/12/2027	15,240		15,052		14,874
Premise Health Holding Corp.	+	(2)(6)	Healthcare & Pharmaceuticals	SOFR	3.75%	9.25%	7/10/2025	13,168		13,151		12,904
Radiology Partners, Inc.	+	(2)(6)	Healthcare & Pharmaceuticals	SOFR	4.25%	10.18%	7/9/2025	27,553		27,515		21,987
RevSpring Inc.	+	(2)(6)	Media: Advertising, Printing & Publishing	SOFR	4.00%	9.61%	10/11/2025	28,548		28,474		28,425

Consolidated Schedule of Investments as of December 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)
Striper Buyer, LLC	+	(2)(3)	Containers, Packaging & Glass	SOFR	5.50%	10.96%	12/30/2026	$	14,550	$	14,467	$	14,460
Summit Acquisition, Inc.	+	(2)(3)	Diversified Financial Services	SOFR	6.75%	12.10%	5/1/2030	5,940		5,772		5,967
Tank Holding Corp.	+	(2)(3)(6)	Capital Equipment	SOFR	5.75%	11.21%	3/31/2028	19,749		19,296		19,292
Turbo Buyer, Inc.	+	(2)(3)(8)	Automotive	SOFR	6.00%	11.50%	12/2/2025	33,900		33,757		33,447
U.S. TelePacific Holdings Corp.	^	(2)(3)(6)(7)	Telecommunications	SOFR	1.00%, 6.00% PIK	12.53%	5/2/2026	3,799		3,270		1,168
USALCO, LLC	+	(2)(3)(6)	Chemicals, Plastics & Rubber	SOFR	6.00%	11.61%	10/19/2027	14,696		14,493		14,696
VRC Companies, LLC	^+	(2)(3)(6)(8)	Business Services	SOFR	5.50%	11.14%	6/29/2027	23,500		23,267		23,308
Welocalize, Inc.	^+	(2)(3)(6)(8)	Business Services	SOFR	4.75%	10.20%	12/23/2024	32,649		32,531		31,466
WRE Holding Corp.	^+	(2)(3)(6)(8)	Environmental Industries	SOFR	5.00%	10.41%	1/3/2025	8,070		8,068		8,021
Yellowstone Buyer Acquisition, LLC	+	(2)(3)(6)	Consumer Goods: Durable	SOFR	5.75%	11.18%	9/13/2027	39,100		38,571		37,927
First Lien Debt Total										$	794,899	$	761,112
Equity Investments (0.0% of fair value)
Output Services Group, Inc.	^	(9)	Media: Advertising, Printing & Publishing					205		$	—	$	—
Equity Investments Total										$	—	$	—
Total Investments										$	794,899	$	761,112

^ 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, 2023, 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 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 December 31, 2023. As of December 31, 2023, the reference rates for Credit Fund's variable rate loans were the 30-day SOFR at 5.35%, the 90-day SOFR at 5.33% and the 180-day SOFR at 5.16%.

(3)Loan includes interest rate floor feature, which ranges from 0.75% to 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 unaudited consolidated financial statements.

(6)Loans include a credit spread adjustment that ranges from 0.10% to 0.43%.

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

(8)As of December 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	%	$	3,570	$	(20)
Chartis Holding, LLC	Revolver	0.50		1,003		(2)
Chemical Computing Group ULC (Canada)	Revolver	0.50		873		(4)
Diligent Corporation	Revolver	0.50		323		(2)
EPS Nass Parent, Inc.	Revolver	0.50		359		(13)
Heartland Home Services, Inc.	Revolver	0.50		772		(31)

HMT Holding Inc.	Revolver	0.50	$	3,351	$	(62)
Jensen Hughes, Inc.	Revolver	0.50	1,955		(7)
Turbo Buyer, Inc.	Revolver	0.50	933		(12)
VRC Companies, LLC	Revolver	0.50	833		(6)
Welocalize, Inc.	Revolver	0.50	5,625		(174)
WRE Holding Corp.	Revolver	0.50	1,123		(6)
Total unfunded commitments			$	20,720	$	(339)

(9)Represents a non-income producing security as of December 31, 2023.

Debt

The Credit Fund and Credit Fund Sub are party to separate credit facilities, as described below. As of March 31, 2024 and December 31, 2023, 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 respective periods.

	Credit Fund Facility				Credit Fund Sub Facility
	2024		2023		2024		2023
Three months ended March 31,
Outstanding Borrowing, beginning of period	$	—	$	—	$	447,221	$	588,621
Borrowings	—		—		2,000		9,000
Repayments	—		—		(7,000)		(80,400)
Outstanding Borrowing, end of period	$	—	$	—	$	442,221	$	517,221

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, May 19, 2022, May 21, 2023, and March 26, 2024 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 $100,000 ($175,000 prior to the May 21, 2023 amendment), 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 SOFR (LIBOR prior to the May 21, 2023 amendment) plus an applicable spread of 5.50% (9.00% prior to the March 26, 2024 amendment) and such interest payments are made quarterly. The availability period under the Credit Fund Facility will terminate on May 21, 2025, (May 21, 2023 prior to the May 21, 2023 amendment), 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, April 20, 2023 and August 28, 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.

6. 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.

Selected Financial Data

Since inception of Credit Fund II and through March 31, 2024, 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, 2024 and December 31, 2023.

	As of
	March 31, 2024		December 31, 2023
Selected Consolidated Balance Sheet Information:	(unaudited)
ASSETS
Investments, at fair value (amortized cost of $234,217 and $251,107, respectively)	$	229,860	$	237,914
Cash and cash equivalents(1)	14,728		6,593
Other assets	3,281		2,818
Total assets	$	247,869	$	247,325
LIABILITIES AND MEMBERS’ EQUITY
Notes payable, net of unamortized debt issuance costs of $809 and $839, respectively	$	156,691	$	156,661
Other liabilities	10,414		10,526
Total members' equity(2)	80,764		80,138
Total liabilities and members’ equity	$	247,869	$	247,325

(1)As of March 31, 2024 and December 31, 2023, all of Credit Fund II’s cash and cash equivalents was restricted.

(2)As of March 31, 2024 and December 31, 2023, the fair value of Company's ownership interest in the members' equity was $67,950 and $67,419, respectively.

	For the three month periods ended
	March 31, 2024		March 31, 2023
Selected Consolidated Statements of Operations Information:	(unaudited)
Total investment income	$	7,634	$	6,607
Expenses
Interest expense and credit facility fees	3,322		2,944
Other expenses	178		275
Total expenses	3,500		3,219
Net investment income (loss)	4,134		3,388
Net realized gain (loss) on investments	(9,045)		—
Net change in unrealized appreciation (depreciation) on investments	8,836		(2,080)
Net increase (decrease) resulting from operations	$	3,925	$	1,308

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, 2024 and December 31, 2023:

	As of
	March 31, 2024			December 31, 2023
Senior secured loans(1)	$	236,784		$	255,486
Number of portfolio companies in Credit Fund II	33			36
Average amount per portfolio company(1)	$	7,175		$	7,097
Number of loans on non-accrual status	—			1
Fair value of loans on non-accrual status	$	—		$	—
Percentage of portfolio at floating interest rates(2)(3)	100.0		%	97.9		%
Percentage of portfolio at fixed interest rates(3)	—		%	2.1		%
Fair value of loans with PIK provisions	$	20,292		$	20,117
Percentage of portfolio with PIK provisions(3)	8.8		%	8.5		%

(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, 2024
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 (93.5% of fair value)
Alpine Acquisition Corp II	^	(2)(3)(6)	Transportation: Cargo	SOFR	6.00%	11.45%	11/30/2026	$	3,225	$	3,131	$	3,033
Appriss Health, LLC	^	(2)(3)(6)	Healthcare & Pharmaceuticals	SOFR	7.00%	12.48%	5/6/2027	7,427		7,331		7,295
Ascend Buyer, LLC	^	(2)(3)(6)	Containers, Packaging & Glass	SOFR	6.40%	11.86%	9/30/2028	8,962		8,837		8,860
Aurora Lux FinCo S.Á.R.L. (Luxembourg)	^	(2)(3)(6)	Software	SOFR	3.00%, 4.00% PIK	12.41%	12/24/2026	4,375		4,325		4,191
BMS Holdings III Corp.	^	(2)(3)(6)	Construction & Building	SOFR	5.50%	10.96%	9/30/2026	3,199		3,166		3,132
Chartis Holding, LLC	^	(2)(3)	Business Services	SOFR	5.75%	11.18%	11/1/2027	9,696		9,690		9,628
Comar Holding Company, LLC	^	(2)(3)(6)	Containers, Packaging & Glass	SOFR	2.00%, 4.75% PIK	12.08%	6/18/2026	8,773		8,763		7,601
Cority Software Inc. (Canada)	^	(2)(3)	Software	SOFR	7.00%	12.33%	7/2/2026	1,290		1,287		1,290
Cority Software Inc. (Canada)	^	(2)(3)	Software	SOFR	5.50%	10.83%	7/2/2026	8,513		8,448		8,513
Dwyer Instruments, Inc.	^	(2)(3)(6)	Capital Equipment	SOFR	5.75%	11.15%	7/21/2027	9,789		9,750		9,789
EvolveIP, LLC	^	(2)(3)(6)	Telecommunications	SOFR	5.50%	10.95%	6/7/2025	8,607		8,605		8,317
Harbour Benefit Holdings, Inc.	^	(2)(3)(6)	Business Services	SOFR	5.00%	10.34%	12/13/2024	9,667		9,660		9,596
Hoosier Intermediate, LLC	^	(2)(3)(6)	Healthcare & Pharmaceuticals	SOFR	5.00%	10.46%	11/15/2028	6,365		6,212		6,269
HS Spa Holdings Inc.	^	(2)(3)	Consumer Services	SOFR	5.75%	11.09%	6/2/2029	8,497		8,367		8,497
Integrity Marketing Acquisition, LLC	^	(2)(3)(6)	Diversified Financial Services	SOFR	6.05%	11.49%	8/27/2026	3,795		3,720		3,768
Integrity Marketing Acquisition, LLC	^	(2)(3)(6)	Diversified Financial Services	SOFR	6.02%	11.46%	8/27/2026	3,533		3,454		3,506
LVF Holdings, Inc.	^	(2)(3)(6)	Beverage & Food	SOFR	5.75%	11.21%	6/10/2027	9,977		9,847		9,909
Material Holdings, LLC	^	(2)(3)(6)	Business Services	SOFR	6.00%	11.41%	8/19/2027	7,820		7,765		7,223
Maverick Acquisition, Inc.	^	(2)(3)(6)	Aerospace & Defense	SOFR	6.25%	11.55%	6/1/2027	7,800		7,695		5,979
NMI AcquisitionCo, Inc.	^	(2)(3)(6)	High Tech Industries	SOFR	5.75%	10.93%	9/6/2028	9,872		9,851		9,833
PF Atlantic Holdco 2, LLC	^	(2)(3)(6)	Leisure Products & Services	SOFR	5.50%	11.06%	11/12/2027	9,824		9,596		9,703
PXO Holdings I Corp.	^	(2)(3)(6)	Chemicals, Plastics & Rubber	SOFR	5.50%	10.96%	3/8/2028	9,874		9,741		9,755
Radwell Parent, LLC	^	(2)(3)	Wholesale	SOFR	6.75%	12.05%	4/1/2029	7,510		7,445		7,632
RSC Acquisition, Inc.	^	(2)(3)(6)	Diversified Financial Services	SOFR	5.50%	10.96%	11/1/2029	9,876		9,766		9,773
Spotless Brands, LLC	^	(2)(3)(6)	Consumer Services	SOFR	6.50%	11.97%	7/25/2028	4,975		4,904		5,032
Tank Holding Corp.	^	(2)(3)(6)	Capital Equipment	SOFR	5.75%	11.18%	3/31/2028	3,813		3,746		3,769
TCFI Aevex LLC	^	(2)(3)(6)	Aerospace & Defense	SOFR	6.00%	11.43%	3/18/2026	1,662		1,650		1,662
Turbo Buyer, Inc.	^	(2)(3)	Automotive	SOFR	6.00%	11.47%	12/2/2025	7,905		7,841		7,732
U.S. Legal Support, Inc.	^	(2)(3)(6)	Business Services	SOFR	5.75%	11.21%	5/31/2026	6,089		6,087		6,008
US INFRA SVCS Buyer, LLC	^	(2)(3)(6)	Environmental Industries	SOFR	6.50%, 0.75% PIK	12.90%	4/13/2026	2,883		2,860		2,636
Westfall Technik, Inc.	^	(2)(3)(6)	Chemicals, Plastics & Rubber	SOFR	6.75%, 0.75% PIK	12.95%	9/13/2024	6,353		6,339		5,864

Consolidated Schedule of Investments as of March 31, 2024
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)(6)	Beverage & Food	SOFR	5.75%	11.24%	10/29/2027	$	9,824	$	9,558	$	9,051
First Lien Debt Total										$	219,437	$	214,846
Second Lien Debt (6.5% of fair value)
AI Convoy S.A.R.L (United Kingdom)	^	(2)(3)	Aerospace & Defense	SOFR	8.25%	13.62%	1/17/2028	$	5,514	$	5,442	$	5,514
AP Plastics Acquisition Holdings, LLC	^	(2)(3)(6)	Chemicals, Plastics & Rubber	SOFR	7.50%	12.93%	8/10/2029	4,500		4,429		4,500
AQA Acquisition Holdings, Inc.	^	(2)(3)(6)	High Tech Industries	SOFR	7.50%	12.91%	3/3/2029	5,000		4,909		5,000
Second Lien Debt Total										$	14,780	$	15,014
Total Investments										$	234,217	$	229,860

^ 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, 2024, the geographical composition of investments as a percentage of fair value was 4.3% in Canada, 1.8% in Luxembourg, 2.4% in the United Kingdom and 91.5% 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 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, 2024. As of March 31, 2024, the reference rates for Credit Fund II's variable rate loans were the 30-day SOFR at 5.33%, the 90-day SOFR at 5.30% and the 180-day SOFR at 5.22%.

(3)Loan includes interest rate floor feature, which ranges from 0.50% to 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 unaudited consolidated financial statements.

(6)Loans include a credit spread adjustment that ranges from 0.10% to 0.43%.

Consolidated Schedule of Investments as of December 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 (89.6% of fair value)
Alpine Acquisition Corp II	^	(2)(3)(7)	Transportation: Cargo	SOFR	6.00%	11.46%	11/30/2026	$	3,233	$	3,132	$	3,091
American Physician Partners, LLC	^	(2)(3)(7)(8)(9)	Healthcare & Pharmaceuticals	SOFR	10.25% (100% PIK)	15.71%	8/5/2022	10,589		9,078		—
Appriss Health, LLC	^	(2)(3)(7)	Healthcare & Pharmaceuticals	SOFR	6.75%	12.32%	5/6/2027	7,446		7,344		7,409
Ascend Buyer, LLC	^	(2)(3)(7)	Containers, Packaging & Glass	SOFR	6.40%	11.91%	9/30/2028	8,985		8,854		8,761
Aurora Lux FinCo S.Á.R.L. (Luxembourg)	^	(2)(3)(7)	Software	SOFR	3.00%, 4.00% PIK	12.45%	12/24/2026	4,331		4,278		4,157
BMS Holdings III Corp.	^	(2)(3)(7)	Construction & Building	SOFR	5.50%	10.97%	9/30/2026	3,208		3,172		3,135
Chartis Holding, LLC	^	(2)(3)(7)	Business Services	SOFR	5.00%	10.52%	5/1/2025	9,721		9,714		9,702
Comar Holding Company, LLC	^	(2)(3)(7)	Containers, Packaging & Glass	SOFR	2.00%, 4.75% PIK	12.28%	6/18/2026	8,669		8,653		7,457
Cority Software Inc. (Canada)	^	(2)(3)	Software	SOFR	7.00%	12.39%	7/2/2026	1,293		1,290		1,292
Cority Software Inc. (Canada)	^	(2)(3)	Software	SOFR	5.00%	10.39%	7/2/2026	8,535		8,464		8,506
Dwyer Instruments, Inc.	^	(2)(3)(7)	Capital Equipment	SOFR	5.75%	11.20%	7/21/2027	9,814		9,773		9,814

Consolidated Schedule of Investments as of December 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)
EvolveIP, LLC	^	(2)(3)(7)	Telecommunications	SOFR	5.50%	11.19%	6/7/2025	$	8,527	$	8,525	$	8,177
Harbour Benefit Holdings, Inc.	^	(2)(3)(7)	Business Services	SOFR	5.00%	10.51%	12/13/2024	9,703		9,693		9,631
Hoosier Intermediate, LLC	^	(2)(3)(7)	Healthcare & Pharmaceuticals	SOFR	5.00%	10.53%	11/15/2028	6,382		6,221		6,176
HS Spa Holdings Inc.	^	(2)(3)	Consumer Services	SOFR	5.75%	11.12%	6/2/2029	8,519		8,384		8,524
Integrity Marketing Acquisition, LLC	^	(2)(3)(7)	Diversified Financial Services	SOFR	6.05%	11.54%	8/27/2026	4,821		4,718		4,755
Integrity Marketing Acquisition, LLC	^	(2)(3)(7)	Diversified Financial Services	SOFR	6.02%	11.51%	8/27/2026	4,489		4,379		4,424
LVF Holdings, Inc.	^	(2)(3)(7)	Beverage & Food	SOFR	5.75%	11.25%	6/10/2027	6,137		6,026		6,044
Material Holdings, LLC	^	(2)(3)(7)	Business Services	SOFR	6.00%	11.45%	8/19/2027	7,820		7,762		7,526
Maverick Acquisition, Inc.	^	(2)(3)(7)	Aerospace & Defense	SOFR	6.25%	11.60%	6/1/2027	7,820		7,708		6,128
NMI AcquisitionCo, Inc.	^	(2)(3)(7)	High Tech Industries	SOFR	5.75%	11.21%	9/6/2025	9,898		9,873		9,829
PF Atlantic Holdco 2, LLC	^	(2)(3)(7)	Leisure Products & Services	SOFR	5.50%	11.12%	11/12/2027	9,849		9,607		9,612
PXO Holdings I Corp.	^	(2)(3)(7)	Chemicals, Plastics & Rubber	SOFR	5.50%	11.00%	3/8/2028	9,899		9,759		9,688
Radwell Parent, LLC	^	(2)(3)	Wholesale	SOFR	6.75%	12.10%	4/1/2029	7,529		7,461		7,573
RSC Acquisition, Inc.	^	(2)(3)(7)	Diversified Financial Services	SOFR	5.50%	10.93%	11/1/2029	9,901		9,785		9,837
Spotless Brands, LLC	^	(2)(3)(7)	Consumer Services	SOFR	6.50%	12.03%	7/25/2028	4,987		4,914		4,991
Tank Holding Corp.	^	(2)(3)(7)	Capital Equipment	SOFR	5.75%	11.21%	3/31/2028	3,823		3,752		3,734
TCFI Aevex LLC	^	(2)(3)(7)	Aerospace & Defense	SOFR	6.00%	11.46%	3/18/2026	1,667		1,653		1,655
Turbo Buyer, Inc.	^	(2)(3)	Automotive	SOFR	6.00%	11.50%	12/2/2025	7,926		7,852		7,823
U.S. Legal Support, Inc.	^	(2)(3)(7)	Business Services	SOFR	5.75%	11.11%	11/30/2024	6,105		6,102		6,024
US INFRA SVCS Buyer, LLC	^	(2)(3)(7)	Environmental Industries	SOFR	6.50%, 0.75% PIK	12.95%	4/13/2026	2,877		2,852		2,650
Westfall Technik, Inc.	^	(2)(3)(7)	Chemicals, Plastics & Rubber	SOFR	6.75%, 0.75% PIK	12.96%	9/13/2024	6,350		6,328		5,853
Wineshipping.com LLC	^	(2)(3)(7)	Beverage & Food	SOFR	5.75%	11.29%	10/29/2027	9,849		9,567		9,189
First Lien Debt Total										$	226,673	$	213,167
Second Lien Debt (10.4% of fair value)
AI Convoy S.A.R.L (United Kingdom)	^	(2)(3)	Aerospace & Defense	SOFR	8.25%	13.80%	1/17/2028	$	5,514	$	5,439	$	5,541
AP Plastics Acquisition Holdings, LLC	^	(2)(3)(7)	Chemicals, Plastics & Rubber	SOFR	7.50%	12.96%	8/10/2029	4,500		4,427		4,436
AQA Acquisition Holdings, Inc.	^	(2)(3)(7)	High Tech Industries	SOFR	7.50%	12.98%	3/3/2029	5,000		4,905		5,000
Quartz Holding Company	^	(2)(7)	Software	SOFR	8.00%	13.46%	4/2/2027	4,852		4,804		4,852
World 50, Inc.	^	(6)	Business Services	FIXED	11.50%	11.50%	1/9/2027	4,918		4,859		4,918
Second Lien Debt Total										$	24,434	$	24,747
Total Investments										$	251,107	$	237,914

^ 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 December 31, 2023, the geographical composition of investments as a percentage of fair value was 4.1% in Canada, 1.7% in Luxembourg, 2.3% in the United Kingdom and 91.9% 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 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 December 31, 2023. As of December 31, 2023, the reference rates for Credit Fund II's variable rate loans were the 30-day SOFR at 5.35%, the 90-day SOFR at 5.33% and the 180-day SOFR at 5.16%.

(3)Loan includes interest rate floor feature, which ranges from 0.50% to 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 unaudited 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 0.43%.

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

(9)Loan is on non-accrual status as of December 31, 2023.

Credit Fund II Senior Notes

On November 3, 2020 and as amended on December 29, 2021, June 30, 2022 and August 4, 2023, 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 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%, and amounts issued for the Class A-2 notes totaled $10,000 and bear interest at Term SOFR plus 3.35%. 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, 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, 2024 and December 31, 2023, Credit Fund II Sub was in compliance with all covenants and other requirements of its respective credit agreements.