10-Q

______________________________________________________________________________________________________

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

______________________________________________________________________________________________________

FORM 10-Q

QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF

THE SECURITIES EXCHANGE ACT OF 1934

For the Quarterly Period Ended September 30, 2021

OR

        TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF

THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from _____ to _____

Commission File Number 814-01332

Morgan Stanley Direct Lending Fund

(Exact name of registrant as specified in its charter)

Delaware	84-2009506
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)
1585 Broadway	10036
New York, NY	(Zip Code)
(Address of principal executive offices)

1 (212) 761-4000

(Registrant's telephone number, including area code)

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

Title of each class	Trading Symbol(s)	Name of each exchange on which registered
None	None	None

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  Yes ☒   No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit such files).   Yes ☐ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company, or an emerging growth company.  See definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer  ☐	Accelerated filer ☐
Non-accelerated filer  ☒	Smaller reporting company ☐
Emerging growth company ☒

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☒

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

As of November 10, 2021, the Registrant had 43,908,154 shares of common stock, $0.001 par value, outstanding.

MORGAN STANLEY DIRECT LENDING FUND

TABLE OF CONTENTS

Part I. Financial Information
Item 1.	Consolidated Financial Statements
	Report of Independent Registered Public Accounting Firm	3
	Consolidated Statements of Assets and Liabilities as of September 30, 2021 (Unaudited) and December 31, 2020	4
	Consolidated Statements of Operations for the three and nine months ended September 30, 2021 and September 30, 2020 (Unaudited)	5
	Consolidated Statements of Changes in Net Assets for the three and nine months ended September 30, 2021 and September 30, 2020 (Unaudited)	6
	Consolidated Statements of Cash Flows for the nine months ended September 30, 2021 and September 30, 2020 (Unaudited)	7
	Consolidated Schedule of Investments as of September 30, 2021 (Unaudited) and December 31, 2020	8
	Notes to Consolidated Financial Statements (Unaudited)	25
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	47
Item 3.	Quantitative and Qualitative Disclosures about Market Risk	65
Item 4.	Controls and Procedures	67
Part II. Other Information
Item 1.	Legal Proceedings	68
Item 1A.	Risk Factors	68
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	69
Item 3.	Defaults Upon Senior Securities	69
Item 4.	Mine Safety Disclosures	69
Item 5.	Other Information	69
Item 6.	Exhibits	70

2

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the shareholders and the Board of Directors of Morgan Stanley Direct Lending Fund

Results of Review of Interim Financial Information

We have reviewed the accompanying consolidated statements of assets and liabilities of Morgan Stanley Direct Lending Fund and subsidiaries (the "Company") including the consolidated schedule of investments, as of September 30, 2021, and the related consolidated statements of operations and changes in net assets for the three-month and nine-month periods ended September 30, 2021 and 2020, and of cash flows for the nine-month periods ended September 30, 2021 and 2020, and the related notes (collectively referred to as the "interim financial information"). Based on our reviews, we are not aware of any material modifications that should be made to the accompanying interim financial information for it to be in conformity with accounting principles generally accepted in the United States of America.

We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the consolidated statements of assets and liabilities of the Company, including the consolidated schedule of investments as of December 31, 2020, and the related consolidated statements of operations, changes in net assets, and cash flows for the year then ended (not presented herein); and in our report dated March 19, 2021, we expressed an unqualified opinion on those consolidated financial statements. In our opinion, the information set forth in the accompanying consolidated statements of assets and liabilities as of December 31, 2020, is fairly stated, in all material respects, in relation to the consolidated statements of assets and liabilities from which it has been derived.

Basis for Review Results

This interim financial information is the responsibility of the Company's management. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Company in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our reviews in accordance with standards of the PCAOB. A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the PCAOB, the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion.

/s/Deloitte & Touche LLP

New York, NY

November 10, 2021

3

Morgan Stanley Direct Lending Fund

Consolidated Statements of Assets and Liabilities

(In thousands, except share and per share data)

	As of September 30, 2021		As of December 31, 2020
Assets	(unaudited)
Non-controlled/non-affiliated investments, at fair value (amortized cost of $1,751,935 and $631,473 at September 30, 2021 and December 31, 2020, respectively)	$	1,769,267	$	636,981
Cash	44,723		11,263
Deferred financing costs	10,886		5,987
Deferred offering costs	—		18
Interest receivable from non-controlled/non-affiliated investments	11,360		2,280
Receivable for investments sold	463		79
Prepaid expenses and other assets	66		198
Total assets	$	1,836,765	$	656,806
Liabilities
Debt	$	1,046,850	$	333,850
Payable to affiliates (Note 3)	3,367		1,860
Financing costs payable	3,947		3,925
Dividend payable	20,080		9,165
Management fees payable	966		295
Income based incentive fee payable	4,119		1,548
Capital gains incentive fee payable	3,054		1,341
Interest payable	2,671		1,154
Accrued expenses and other liabilities	2,558		2,048
Total liabilities	$	1,087,612	$	355,186
Commitments and Contingencies (Note 7)
Net Assets
Common stock, par value $0.001 per share (100,000,000 shares authorized and 35,857,539 and 15,024,425 shares issued and outstanding at September 30, 2021 and December 31, 2020, respectively)	$	36	$	15
Paid-in capital in excess of par value	730,204		296,903
Distributable earnings (accumulated losses)	18,913		4,702
Total net assets	$	749,153	$	301,620
Total liabilities and net assets	$	1,836,765	$	656,806
Net asset value per share	$	20.89	$	20.08

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

4

Morgan Stanley Direct Lending Fund

Consolidated Statements of Operations (Unaudited)

(In thousands, except share and per share data)

	For the Three Months Ended				For the Nine Months Ended
	September 30, 2021		September 30, 2020		September 30, 2021		September 30, 2020
Investment income:
From non-controlled/non-affiliated investments:
Interest income	$	30,663	$	5,473	$	68,403	$	9,332
Payment-in-kind interest income	302		—		680		—
Dividend income	138		—		260		—
Other income	626		186		6,145		1,140
Total investment income	31,729		5,659		75,488		10,472
Expenses:
Interest and other financing expenses	6,273		967		13,249		2,050
Management fees	3,864		637		8,635		1,059
Income based incentive fee	4,119		551		9,965		969
Capital gains incentive fee	598		750		2,090		750
Organization and offering costs	—		206		42		541
Professional fees	554		715		1,595		1,339
Directors’ fees	84		87		249		261
Administrative service fees	54		54		158		140
General and other expenses	260		327		987		369
Total expenses	15,806		4,294		36,970		7,478
Expense support (Note 3)	1		(5)		98		(138)
Management fees waiver (Note 3)	(2,898)		(478)		(6,476)		(794)
Net expenses	12,909		3,811		30,592		6,546
Net investment income (loss) before taxes	18,820		1,848		44,896		3,926
Excise tax expense	—		—		5		—
Net investment income/(loss) after taxes	18,820		1,848		44,891		3,926
Realized and unrealized gains (losses) on investment transactions:
Net realized gain (loss) from non-controlled/non-affiliated investments	126		789		120		2,154
Net change in unrealized appreciation (depreciation) of non-controlled/non-affiliated investments	3,290		3,982		11,824		2,133
Net realized and unrealized gains (losses)	3,416		4,771		11,944		4,287
Net increase (decrease) in net assets resulting from operations	$	22,236	$	6,619	$	56,835	$	8,213
Per share information—basic and diluted
Net investment income (loss) per share (basic and diluted):	$	0.54	$	0.25	$	1.74	$	0.71
Net earnings per share (basic and diluted):	$	0.64	$	0.91	$	2.21	$	1.48
Weighted average shares outstanding (basic and diluted) (Note 9):	34,649,255		7,290,085		25,736,110		5,559,741
Dividend declared per share	$	0.56	$	0.40	$	1.50	$	0.69

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

5

Morgan Stanley Direct Lending Fund

Consolidated Statements of Changes in Net Assets (Unaudited)

(In thousands, except share data)

	For the Three Months Ended				For the Nine Months Ended
	September 30, 2021		September 30, 2020		September 30, 2021		September 30, 2020
Increase (decrease) in net assets resulting from operations:
Net investment income (loss)	$	18,820	$	1,848	$	44,891	$	3,926
Net realized gain (loss)	126		789		120		2,154
Net change in unrealized appreciation (depreciation)	3,290		3,982		11,824		2,133
Net increase (decrease) in net assets resulting from operations	22,236		6,619		56,835		8,213
Capital transactions:
Issuance of common stock	149,881		109,969		424,851		227,371
Reinvestment of dividends	3,733		227		8,471		227
Dividend declared	(20,080)		(3,228)		(42,624)		(4,761)
Net increase (decrease) in net assets resulting from capital transactions	133,534		106,968		390,698		222,837
Total increase (decrease) in net assets	155,770		113,587		447,533		231,050
Net assets at beginning of period	593,383		116,342		301,620		(1,121)
Net assets at end of period	$	749,153	$	229,929	$	749,153	$	229,929

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

6

Morgan Stanley Direct Lending Fund

Consolidated Statements of Cash Flows (Unaudited)

(In thousands, except share and per share data)

	For the Nine Months Ended
	September 30, 2021		September 30, 2020
Cash flows from operating activities:
Net increase (decrease) in net assets resulting from operations	$	56,835	$	8,213
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities:
Net unrealized (appreciation) depreciation on investments	(11,824)		(2,133)
Net realized (gain) loss on investments	(120)		(2,154)
Net accretion of discount and amortization of premium	(6,515)		(1,177)
Payment-in-kind interest and dividend capitalized	(578)		—
Amortization of deferred financing costs	2,013		637
Amortization of deferred offering costs	24		187
Purchases of investments and change in payable for investments purchased	(1,338,772)		(344,573)
Proceeds from sale of investments and principal repayments and change in receivable for investments sold	225,139		47,464
Changes in operating assets and liabilities:
(Increase) decrease in interest receivable from non-controlled/non-affiliated investments	(9,080)		(1,366)
(Increase) decrease in prepaid expenses and other assets	139		201
(Decrease) increase in payable to affiliates	1,507		(39)
(Decrease) increase in management fees payable	671		159
(Decrease) increase in incentive fees payable	4,284		1,301
(Decrease) increase in interest payable	1,517		606
(Decrease) increase in accrued expenses and other liabilities	510		1,348
Net cash provided by (used in) operating activities	(1,074,250)		(291,326)
Cash flows from financing activities:
Borrowings on debt	1,068,000		391,350
Repayments on debt	(355,000)		(210,000)
Proceeds from issuance of common shares	424,844		224,903
Deferred financing costs paid	(6,890)		(726)
Dividends paid in cash	(23,238)		(1,306)
Offering costs paid	(6)		—
Net cash provided by (used in) financing activities	1,107,710		404,221
Net increase (decrease) in cash	33,460		112,895
Cash, beginning of period	11,263		35
Cash, end of period	$	44,723	$	112,930
Supplemental information and non-cash financing activities:
Excise tax paid (Note 2)	$	5	$	—
Interest paid during the period	$	9,107	$	460
Dividend reinvestment paid during the period	$	8,471	$	227
Dividend payable	$	20,080	$	3,228
Subscription receivable	$	7	$	2,468
Accrued but unpaid deferred financing costs during the period	$	1,224	$	1,134
Accrued but unpaid deferred offering costs during the period	$	—	$	25

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

7

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments (Unaudited)

September 30, 2021

(In thousands)

Investments-non-controlled/non-affiliated(1)(2)	Footnotes	Reference Rate and Spread	Interest Rate(3)	Acquisition Date	Maturity Date	Par Amount/ Shares	Cost(4)		Fair Value		Percentage of Net Assets
First Lien Debt
Aerospace and Defense
PCX Holding Corp.	(5) (6) (7)	L + 6.25%	7.25%	04/22/2021	04/22/2027	18,463	$	18,290	$	18,463	2.46	%
PCX Holding Corp.	(5) (7) (13)	L + 6.25%	7.25%	04/22/2021	04/22/2027	7,404	7,324		7,404		0.99
PCX Holding Corp.	(5) (7) (13)	L + 6.25%	7.25%	04/22/2021	04/22/2027	—	(17)		—		0.00
Two Six Labs, LLC	(5) (8)	L + 5.50%	6.25%	08/24/2021	08/20/2027	11,098	10,879		10,879		1.45
Two Six Labs, LLC	(5) (8) (13)	L + 5.50%	6.25%	08/24/2021	08/20/2027	—	(42)		(42)		(0.01)
Two Six Labs, LLC	(5) (8) (13)	L + 5.50%	6.25%	08/24/2021	08/20/2027	—	(42)		(42)		(0.01)
							36,392		36,662		4.88
Auto Components
CC SAG Holdings Corp. (Spectrum Automotive)	(5) (6) (8)	L + 5.75%	6.50%	06/29/2021	06/29/2028	23,950	23,602		23,551		3.14
CC SAG Holdings Corp. (Spectrum Automotive)	(5) (8) (13)	L + 5.75%	6.50%	06/29/2021	06/29/2028	—	(48)		(110)		(0.01)
CC SAG Holdings Corp. (Spectrum Automotive)	(5) (8) (13)	L + 5.75%	6.50%	06/29/2021	06/29/2027	—	(12)		(15)		0.00
Sonny's Enterprises, Inc.	(5) (6) (7)	L + 6.75%	7.75%	12/28/2020	08/05/2026	5,428	5,330		5,382		0.72
Sonny's Enterprises, Inc.	(5) (7)	L + 6.75%	7.75%	12/28/2020	08/05/2026	14,484	14,228		14,362		1.92
							43,100		43,170		5.77
Automobiles
ARI Network Services, Inc.	(5) (6) (7)	L + 6.50%	7.50%	06/30/2021	02/28/2025	20,984	20,590		20,800		2.78
ARI Network Services, Inc.	(5) (6) (7) (13)	L + 6.50%	7.50%	06/30/2021	02/28/2025	3,677	3,604		3,642		0.49
ARI Network Services, Inc.	(5) (7) (13)	L + 6.50%	7.50%	06/30/2021	02/28/2025	1,333	1,277		1,307		0.17
Summit Buyer, LLC	(5) (7)	L + 5.25%	6.25%	09/17/2021	01/14/2026	22,400	21,955		21,955		2.93
Summit Buyer, LLC	(5) (7) (13)	L + 5.25%	6.25%	06/23/2021	01/14/2026	6,674	6,303		6,028		0.80
Summit Buyer, LLC	(5) (7) (13)	L + 5.25%	6.25%	06/23/2021	01/14/2026	—	(46)		(48)		(0.01)
Turbo Buyer, Inc.	(5) (6) (7)	L + 5.75%	6.75%	05/14/2021	12/02/2025	34,913	34,265		34,315		4.58
Turbo Buyer, Inc.	(5) (7) (13)	L + 5.75%	6.75%	08/21/2020	12/02/2025	—	(345)		(599)		(0.08)
Vehlo Purchaser, LLC	(5) (8)	L + 5.00%	5.75%	08/27/2021	08/27/2027	27,222	26,685		26,685		3.56
Vehlo Purchaser, LLC	(5) (8) (13)	L + 5.00%	5.75%	08/27/2021	08/27/2027	—	(191)		(191)		(0.03)
Vehlo Purchaser, LLC	(5) (8) (13)	L + 5.00%	5.75%	08/27/2021	08/27/2027	1,167	1,052		1,052		0.14
							115,149		114,946		15.33
Biotechnology
GraphPad Software, LLC	(5) (6) (7)	L + 5.50%	6.50%	04/28/2021	04/27/2027	12,219	12,104		12,219		1.63
GraphPad Software, LLC	(5) (7) (13)	L + 6.00%	7.00%	04/28/2021	04/27/2027	438	421		438		0.06
							12,525		12,657		1.69
Commercial Services & Supplies
365 Retail Markets, LLC	(5) (7)	L + 5.25%	6.25%	08/31/2021	12/23/2026	17,456	17,155		17,155		2.29
365 Retail Markets, LLC	(5)	P + 4.25%	7.50%	08/31/2021	12/23/2026	44	43		43		0.01

8

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments (Unaudited) (continued)

September 30, 2021

(In thousands)

Investments-non-controlled/non-affiliated(1)(2)	Footnotes	Reference Rate and Spread	Interest Rate(3)	Acquisition Date	Maturity Date	Par Amount/ Shares	Cost(4)		Fair Value		Percentage of Net Assets
365 Retail Markets, LLC	(5) (7) (13)	L + 5.25%	6.25%	08/31/2021	12/23/2026	—	$	(48)	$	(48)	(0.01)	%
Capstone Acquisition Holdings, Inc.	(5) (6) (7)	L + 4.75%	5.75%	11/13/2020	11/12/2027	3,469	3,441		3,462		0.46
Capstone Acquisition Holdings, Inc.	(5) (7) (13)	L + 4.75%	5.75%	11/13/2020	11/12/2027	—	(2)		(1)		0.00
MHE Intermediate Holdings, LLC	(5) (6) (7)	L + 5.75%	6.75%	07/21/2021	07/21/2027	28,750	28,190		28,190		3.76
MHE Intermediate Holdings, LLC	(5) (7) (13)	L + 5.75%	6.75%	07/21/2021	07/21/2027	185	147		147		0.02
MHE Intermediate Holdings, LLC	(5) (7) (13)	L + 5.75%	6.75%	07/21/2021	07/21/2027	—	(48)		(48)		(0.01)
PDFTron US Acquisition Corp	(5) (6) (7) (10)	L + 5.50%	6.50%	07/15/2021	07/15/2027	30,800	30,284		30,284		4.04
PDFTron US Acquisition Corp	(5) (7) (10) (13)	L + 5.50%	6.50%	07/15/2021	07/15/2027	6,160	6,039		6,039		0.81
PDFTron US Acquisition Corp	(5) (7) (10) (13)	L + 5.50%	6.50%	07/15/2021	07/15/2026	—	(147)		(147)		(0.02)
Sweep Purchaser, LLC	(5) (7)	L + 5.75%	6.75%	11/30/2020	11/30/2026	8,815	8,659		8,815		1.18
Sweep Purchaser, LLC	(5) (7) (13)	L + 5.75%	6.75%	02/12/2021	11/30/2026	4,710	4,621		4,710		0.63
Sweep Purchaser, LLC	(5) (7) (13)	L + 5.75%	6.75%	11/30/2020	11/30/2026	141	133		141		0.02
Sweep Purchaser, LLC	(5) (13)	P + 4.75%	8.00%	11/30/2020	11/30/2026	309	293		309		0.04
US Infra Svcs Buyer, LLC	(5) (6) (7)	L + 6.50%	7.50%	04/10/2020	04/13/2026	17,034	16,764		16,806		2.24
US Infra Svcs Buyer, LLC	(5) (7) (13)	L + 6.50%	7.50%	04/10/2020	04/13/2026	2,404	2,243		2,263		0.30
US Infra Svcs Buyer, LLC	(5) (7) (13)	L + 6.50%	7.50%	04/10/2020	04/13/2026	975	941		945		0.13
Valcourt Holdings II, LLC	(5) (6) (7)	L + 5.50%	6.50%	01/07/2021	01/07/2027	35,522	34,878		35,522		4.74
Valcourt Holdings II, LLC	(5) (7) (13)	L + 5.50%	6.50%	01/07/2021	01/07/2027	2,175	2,053		2,175		0.29
Vessco Midco Holdings, LLC	(5) (6) (7)	L + 4.50%	5.50%	10/30/2020	11/02/2026	2,742	2,719		2,742		0.37
Vessco Midco Holdings, LLC	(5) (7) (13)	L + 4.50%	5.50%	10/30/2020	11/02/2026	1,475	1,460		1,475		0.20
Vessco Midco Holdings, LLC	(5) (7) (13)	L + 4.50%	5.50%	10/30/2020	10/18/2026	—	(4)		—		0.00
VRC Companies, LLC	(5) (6) (8)	L + 5.50%	6.25%	06/30/2021	06/29/2027	49,459	48,740		48,841		6.52
VRC Companies, LLC	(5) (6) (8) (13)	L + 5.50%	6.25%	06/30/2021	06/29/2027	616	496		512		0.07
VRC Companies, LLC	(5) (8) (13)	L + 5.50%	6.25%	06/30/2021	06/29/2027	—	(24)		(21)		0.00
							209,026		210,311		28.08
Containers & Packaging
Brook and Whittle Holding Corp.	(5) (6) (7)	L + 5.75%	6.75%	10/27/2020	10/17/2024	12,819	12,667		12,792		1.71
Brook and Whittle Holding Corp.	(5) (6) (7)	L + 5.25%	6.25%	04/16/2021	10/17/2024	979	966		977		0.13
							13,633		13,769		1.84
Diversified Consumer Services
Mammoth Holdings, LLC	(5) (6) (7)	L + 6.00%	7.00%	03/23/2021	10/16/2023	8,137	8,071		8,137		1.09
Mammoth Holdings, LLC	(5) (7) (13)	L + 6.00%	7.00%	03/23/2021	10/16/2023	16,884	16,579		16,884		2.25
Mammoth Holdings, LLC	(5) (7) (13)	L + 6.00%	7.00%	03/23/2021	10/16/2023	—	(8)		—		0.00
							24,642		25,021		3.34
Food Products
AMCP Pet Holdings, Inc. (Brightpet)	(5) (6) (7)	L + 6.25%	7.25%	10/06/2020	10/05/2026	33,911	33,015		33,911		4.53

9

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments (Unaudited) (continued)

September 30, 2021

(In thousands)

Investments-non-controlled/non-affiliated(1)(2)	Footnotes	Reference Rate and Spread	Interest Rate(3)	Acquisition Date	Maturity Date	Par Amount/ Shares	Cost(4)		Fair Value		Percentage of Net Assets
AMCP Pet Holdings, Inc. (Brightpet)	(5) (7) (13)	L + 6.25%	7.25%	10/06/2020	10/05/2026	—	$	(125)	$	—	0.00	%
AMCP Pet Holdings, Inc. (Brightpet)	(5) (7) (13)	L + 6.25%	7.25%	10/06/2020	10/05/2026	2,771	2,621		2,771		0.37
Nellson Nutraceutical, Inc.	(5) (6) (7)	L + 5.25%	6.25%	09/30/2020	12/23/2023	24,671	24,320		24,671		3.29
Nellson Nutraceutical, Inc.	(5) (6)	P + 4.25%	7.50%	09/30/2020	12/23/2023	66	65		66		0.01
Teasdale Foods, Inc. (Teasdale Latin Foods)	(5) (7)	L + 6.25%	7.25%	12/18/2020	12/18/2025	11,166	10,972		10,625		1.42
							70,868		72,044		9.62
Health Care Equipment & Supplies
Performance Health Holdings, Inc.	(5) (6) (7)	L + 6.00%	7.00%	07/12/2021	07/12/2027	10,500	10,296		10,296		1.37
							10,296		10,296		1.37
Health Care Providers & Services
Bearcat Buyer, Inc.	(5) (6) (7)	L + 4.75%	5.75%	11/18/2020	07/09/2026	6,860	6,711		6,860		0.92
Bearcat Buyer, Inc.	(5) (7) (13)	L + 4.75%	5.75%	11/18/2020	07/09/2026	6,278	6,130		6,278		0.84
DCA Investment Holdings, LLC	(5) (6) (8)	L + 6.25%	7.00%	03/12/2021	03/12/2027	11,204	11,048		11,204		1.50
DCA Investment Holdings, LLC	(5) (8) (13)	L + 6.25%	7.00%	03/12/2021	03/12/2027	541	518		541		0.07
Promptcare Infusion Buyer, Inc.	(5) (7)	L + 6.00%	7.00%	09/01/2021	09/01/2027	9,188	9,006		9,006		1.20
Promptcare Infusion Buyer, Inc.	(5) (7) (13)	L + 6.00%	7.00%	09/01/2021	09/01/2027	—	(38)		(38)		(0.01)
Stepping Stones Healthcare Services, LLC	(5) (6) (7)	L + 6.00%	7.00%	03/09/2021	03/09/2027	14,697	14,494		14,697		1.96
Stepping Stones Healthcare Services, LLC	(5) (7) (13)	L + 6.00%	7.00%	03/09/2021	03/09/2027	651	623		651		0.09
Stepping Stones Healthcare Services, LLC	(5) (7) (13)	L + 6.00%	7.00%	03/09/2021	03/09/2026	—	(23)		—		0.00
Suveto Buyer, LLC	(5) (8) (13)	L + 4.25%	5.00%	09/09/2021	09/09/2027	2,615	2,522		2,522		0.34
Suveto Buyer, LLC	(5) (8) (13)	L + 4.25%	5.00%	09/09/2021	09/09/2027	—	(13)		(13)		0.00
							50,978		51,708		6.91
Health Care Technology
Lightspeed Buyer, Inc.	(5) (6) (7)	L + 5.75%	6.75%	11/09/2020	02/03/2026	12,830	12,522		12,577		1.68
Lightspeed Buyer, Inc.	(5) (7) (13)	L + 5.75%	6.75%	11/09/2020	02/03/2026	9,352	9,064		9,088		1.21
							21,586		21,665		2.89
Industrial Conglomerates
Electrical Source Holdings, LLC	(5) (6) (7)	L + 5.50%	6.50%	05/18/2020	11/25/2025	29,625	29,393		29,625		3.95
Electrical Source Holdings, LLC	(5) (6) (7) (13)	L + 5.35%	6.35%	01/20/2021	11/25/2025	3,681	3,591		3,681		0.49
Electrical Source Holdings, LLC	(5) (7) (13)	L + 5.50%	6.50%	01/20/2021	11/25/2025	273	254		273		0.04
							33,238		33,579		4.48
Insurance
Galway Borrower, LLC	(5) (8)	L + 5.25%	6.00%	09/30/2021	09/29/2028	26,789	26,253		26,253		3.50
Galway Borrower, LLC	(5) (8) (13)	L + 5.25%	6.00%	09/30/2021	09/29/2028	—	(62)		(62)		(0.01)
Galway Borrower, LLC	(5) (8) (13)	L + 5.25%	6.00%	09/30/2021	09/30/2027	—	(41)		(41)		(0.01)
Higginbotham Insurance Agency, Inc.	(5) (6) (8)	L + 5.50%	6.25%	11/25/2020	11/25/2026	14,558	14,366		14,558		1.94

10

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments (Unaudited) (continued)

September 30, 2021

(In thousands)

Investments-non-controlled/non-affiliated(1)(2)	Footnotes	Reference Rate and Spread	Interest Rate(3)	Acquisition Date	Maturity Date	Par Amount/ Shares	Cost(4)		Fair Value		Percentage of Net Assets
Higginbotham Insurance Agency, Inc.	(5) (8) (13)	L + 5.50%	6.25%	11/25/2020	11/25/2026	3,351	$	3,300	$	3,351	0.45	%
High Street Buyer, Inc.	(5) (6) (8)	L + 6.00%	6.75%	04/16/2021	04/14/2028	10,119	9,927		9,927		1.33
High Street Buyer, Inc.	(5) (6) (8) (13)	L + 6.00%	6.75%	04/16/2021	04/14/2028	15,815	15,272		15,272		2.04
High Street Buyer, Inc.	(5) (8) (13)	L + 6.00%	6.75%	04/16/2021	04/16/2027	—	(39)		(39)		(0.01)
Integrity Marketing Acquisition, LLC	(5) (6) (8)	L + 5.50%	6.25%	08/07/2020	08/27/2025	44,621	44,091		44,091		5.89
Integrity Marketing Acquisition, LLC	(5) (7)	L + 5.75%	6.75%	02/05/2021	08/27/2025	24,911	24,589		24,589		3.28
Integrity Marketing Acquisition, LLC	(5) (8) (13)	L + 5.50%	6.25%	07/09/2021	08/27/2025	2,522	2,382		2,382		0.32
Majesco	(5) (6) (7)	L + 7.25%	8.25%	09/21/2020	09/21/2027	23,720	23,144		23,675		3.16
Majesco	(5) (7) (13)	L + 7.25%	8.25%	09/21/2020	09/21/2026	—	(39)		(3)		0.00
Patriot Growth Insurance Services, LLC	(5) (7) (13)	L + 5.75%	6.75%	06/25/2021	01/02/2025	33,750	32,678		33,750		4.51
RSC Acquisition, Inc.	(5) (6) (7)	L + 5.50%	6.50%	09/11/2020	10/30/2026	8,286	8,091		8,286		1.11
RSC Acquisition, Inc.	(5) (7) (13)	L + 5.50%	6.50%	01/13/2021	10/30/2026	441	258		441		0.06
World Insurance Associates, LLC	(5) (6) (7)	L + 5.75%	6.75%	05/22/2020	04/01/2026	33,744	32,629		33,744		4.50
World Insurance Associates, LLC	(5) (6) (7) (13)	L + 5.75%	6.75%	05/22/2020	04/01/2026	28,420	27,592		28,420		3.79
World Insurance Associates, LLC	(5) (7) (13)	L + 5.75%	6.75%	04/01/2021	04/01/2026	—	(23)		—		0.00
							264,368		268,594		35.85
Interactive Media & Services
FMG Suite Holdings, LLC	(5) (7)	L + 5.50%	6.50%	04/30/2021	10/30/2026	23,625	23,183		23,597		3.15
FMG Suite Holdings, LLC	(5) (7) (13)	L + 5.50%	6.50%	04/30/2021	10/30/2026	—	(97)		(6)		0.00
FMG Suite Holdings, LLC	(5) (7) (13)	L + 5.50%	6.50%	04/30/2021	10/30/2026	—	(48)		(3)		0.00
MSM Acquisitions, Inc.	(5) (6) (7)	L + 6.00%	7.00%	12/09/2020	12/09/2026	31,971	31,471		31,660		4.23
MSM Acquisitions, Inc.	(5) (7) (13)	L + 6.00%	7.00%	12/09/2020	12/09/2026	9,807	9,498		9,453		1.26
MSM Acquisitions, Inc.	(5) (13)	P + 5.00%	8.25%	12/09/2020	12/09/2026	99	30		60		0.01
Triple Lift, Inc.	(5) (6) (8)	L + 5.75%	6.50%	05/06/2021	05/06/2028	27,930	27,397		27,536		3.68
Triple Lift, Inc.	(5) (8) (13)	L + 5.75%	6.50%	05/06/2021	05/06/2028	—	(75)		(57)		(0.01)
							91,359		92,240		12.32
IT Services
Atlas Purchaser, Inc.	(6) (8)	L + 5.25%	6.00%	05/03/2021	05/08/2028	17,456	17,123		17,129		2.29
Donuts, Inc.	(5) (6) (7)	L + 6.00%	7.00%	01/20/2021	12/29/2026	18,609	18,270		18,609		2.48
Govbrands Intermediate, Inc.	(5) (6) (8)	L + 5.50%	6.25%	08/04/2021	08/04/2027	40,262	39,278		39,278		5.24
Govbrands Intermediate, Inc.	(5) (8) (13)	L + 5.50%	6.25%	08/04/2021	08/04/2027	—	(161)		(161)		(0.02)
Govbrands Intermediate, Inc.	(5) (13)	P + 4.50%	7.75%	08/04/2021	08/04/2027	1,412	1,309		1,309		0.17
Recovery Point Systems, Inc.	(5) (6) (7)	L + 6.50%	7.50%	08/12/2020	08/12/2026	41,580	40,878		41,580		5.55
Recovery Point Systems, Inc.	(5) (7) (13)	L + 6.50%	7.50%	08/12/2020	08/12/2026	—	(65)		—		0.00
Thrive Buyer, Inc. (Thrive Networks)	(5) (6) (7)	L + 6.00%	7.00%	02/01/2021	01/22/2027	20,822	20,439		20,822		2.78
Thrive Buyer, Inc. (Thrive Networks)	(5) (7) (13)	L + 6.00%	7.00%	02/01/2021	01/22/2027	3,840	3,664		3,840		0.51

11

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments (Unaudited) (continued)

September 30, 2021

(In thousands)

Investments-non-controlled/non-affiliated(1)(2)	Footnotes	Reference Rate and Spread	Interest Rate(3)	Acquisition Date	Maturity Date	Par Amount/ Shares	Cost(4)		Fair Value		Percentage of Net Assets
Thrive Buyer, Inc. (Thrive Networks)	(5) (7) (13)	L + 6.00%	7.00%	02/01/2021	01/22/2027	—	$	(24)	$	—	0.00	%
Upstack Holdco, Inc.	(5) (7)	L + 6.00%	7.00%	08/26/2021	08/20/2027	3,500	3,405		3,405		0.45
Upstack Holdco, Inc.	(5) (7) (13)	L + 6.00%	7.00%	08/26/2021	08/20/2027	—	(59)		(59)		(0.01)
Upstack Holdco, Inc.	(5) (7) (13)	L + 6.00%	7.00%	08/26/2021	08/20/2027	—	(24)		(24)		0.00
							144,033		145,728		19.44
Leisure Products
GSM Acquisition Corp. (GSM Outdoors)	(5) (6) (7)	L + 5.00%	6.00%	11/16/2020	11/16/2026	47,821	47,293		47,821		6.38
GSM Acquisition Corp. (GSM Outdoors)	(5) (7) (13)	L + 5.00%	6.00%	11/16/2020	11/16/2026	4,547	4,491		4,547		0.61
GSM Acquisition Corp. (GSM Outdoors)	(5) (7) (13)	L + 5.00%	6.00%	11/16/2020	11/16/2026	4,090	4,038		4,090		0.55
							55,822		56,458		7.54
Machinery
Komline-Sanderson Group, Inc.	(5) (9)	L + 6.00%	6.50%	03/17/2021	03/17/2026	16,339	16,191		16,339		2.18
Komline-Sanderson Group, Inc.	(5) (9) (13)	L + 6.00%	6.50%	03/17/2021	03/17/2026	13,094	12,945		13,094		1.75
Komline-Sanderson Group, Inc.	(5) (9) (13)	L + 6.00%	6.50%	03/17/2021	03/17/2026	1,978	1,935		1,978		0.26
							31,071		31,411		4.19
Multi-Utilities
AWP Group Holdings, Inc.	(5) (6) (7)	L + 4.50%	5.50%	12/22/2020	12/22/2027	902	890		889		0.12
AWP Group Holdings, Inc.	(5) (7) (13)	L + 4.50%	5.50%	12/22/2020	12/22/2027	132	129		128		0.02
AWP Group Holdings, Inc.	(5) (7) (13)	L + 4.50%	5.50%	12/22/2020	12/22/2026	13	12		11		0.00
AWP Group Holdings, Inc.	(5) (13)	P + 3.50%	6.75%	12/22/2020	12/22/2026	7	6		6		0.00
Ground Penetrating Radar Systems, LLC	(5) (6) (7)	L + 4.75%	5.75%	03/10/2021	06/26/2026	8,793	8,633		8,793		1.17
Ground Penetrating Radar Systems, LLC	(5) (7) (13)	L + 4.75%	5.75%	03/10/2021	06/26/2025	952	923		952		0.13
							10,593		10,779		1.44
Professional Services
Abacus Data Holdings, Inc. (AbacusNext)	(5) (6) (7)	L + 6.25%	7.25%	03/17/2021	03/10/2027	18,853	18,459		18,853		2.52
Abacus Data Holdings, Inc. (AbacusNext)	(5) (7) (13)	L + 6.25%	7.25%	03/17/2021	03/10/2027	—	(36)		—		0.00
Abacus Data Holdings, Inc. (AbacusNext)	(5) (7) (13)	L + 6.25%	7.25%	03/17/2021	03/10/2027	210	180		210		0.03
Bullhorn, Inc.	(5) (6) (7)	L + 5.75%	6.75%	09/11/2020	09/30/2026	7,371	7,277		7,371		0.98
Bullhorn, Inc.	(5) (7) (13)	L + 5.75%	6.75%	09/11/2020	09/30/2026	—	(7)		—		0.00
IQN Holding Corp., dba Beeline	(5) (6) (7)	L + 5.50%	6.50%	02/10/2020	08/20/2024	47,761	47,586		47,528		6.34
IQN Holding Corp., dba Beeline	(5) (7) (13)	L + 5.50%	6.50%	02/10/2020	08/21/2023	—	(12)		(22)		0.00
							73,447		73,940		9.87
Real Estate Management & Development
Associations, Inc.	(5) (6) (7)	L + 4.00%; 2.50% PIK	7.50%	07/09/2021	07/02/2027	15,750	15,598		15,598		2.08
Associations, Inc.	(5) (7) (13)	L + 4.00%; 2.50% PIK	7.50%	07/09/2021	07/02/2027	3,030	2,897		2,897		0.39

12

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments (Unaudited) (continued)

September 30, 2021

(In thousands)

Investments-non-controlled/non-affiliated(1)(2)	Footnotes	Reference Rate and Spread	Interest Rate(3)	Acquisition Date	Maturity Date	Par Amount/ Shares	Cost(4)		Fair Value		Percentage of Net Assets
Associations, Inc.	(5) (7) (13)	L + 4.00%; 2.50% PIK	7.50%	07/09/2021	07/02/2027	—	$	(18)	$	(18)	0.00	%
MRI Software, LLC	(5) (7)	L + 5.50%	6.50%	01/31/2020	02/10/2026	47,410	46,964		47,410		6.33
MRI Software, LLC	(5) (6) (7) (13)	L + 5.50%	6.50%	01/31/2020	02/10/2026	—	(91)		—		0.00
MRI Software, LLC	(5) (7) (13)	L + 5.50%	6.50%	01/31/2020	02/10/2026	—	(16)		—		0.00
Zarya Intermediate, LLC	(5) (6) (7)	L + 6.50%	7.50%	07/01/2021	07/01/2027	24,500	24,026		24,026		3.21
Zarya Intermediate, LLC	(5) (7) (13)	L + 6.50%	7.50%	07/01/2021	07/01/2027	19,250	18,871		18,871		2.52
Zarya Intermediate, LLC	(5) (7) (13)	L + 6.50%	7.50%	07/01/2021	07/01/2027	—	(91)		(91)		(0.01)
							108,140		108,693		14.52
Software
Alert Media, Inc.	(5) (6) (7)	L + 5.00%	6.00%	04/12/2021	04/12/2027	14,000	13,804		13,888		1.85
Alert Media, Inc.	(5) (7) (13)	L + 5.00%	6.00%	04/12/2021	04/12/2026	—	(24)		(14)		0.00
Appfire Technologies, LLC	(5) (7) (13)	L + 5.50%	6.50%	07/07/2021	03/09/2027	—	(65)		(65)		(0.01)
Cleo Communications Holding, LLC	(5) (6) (7)	L + 6.75%	7.75%	06/09/2021	06/09/2027	39,898	39,516		39,830		5.32
Cleo Communications Holding, LLC	(5) (7) (13)	L + 6.75%	7.75%	06/09/2021	06/09/2027	—	(119)		(21)		0.00
Cordeagle US Finco, Inc.	(5) (7) (10)	L + 6.75%	7.75%	07/30/2021	07/30/2027	18,200	17,844		17,844		2.38
Cordeagle US Finco, Inc.	(5) (7) (10) (13)	L + 6.75%	7.75%	07/30/2021	07/30/2027	—	(54)		(54)		(0.01)
Diligent Corporation	(5) (6) (7)	L + 5.75%	6.75%	03/04/2021	08/04/2025	27,860	27,610		27,860		3.72
Diligent Corporation	(5) (6) (7) (13)	L + 5.75%	6.75%	03/30/2021	08/04/2025	862	826		862		0.12
Diligent Corporation	(5) (7) (13)	L + 5.75%	6.75%	03/30/2021	08/04/2025	—	(40)		—		0.00
GS AcquisitionCo, Inc.	(5) (6) (7)	L + 5.75%	6.75%	10/27/2020	05/25/2026	29,327	29,030		29,183		3.90
GS AcquisitionCo, Inc.	(5) (6) (7) (13)	L + 5.75%	6.75%	10/27/2020	05/25/2026	18,003	17,756		17,865		2.38
GS AcquisitionCo, Inc.	(5) (7) (13)	L + 5.75%	6.75%	10/27/2020	05/25/2026	—	(26)		(12)		0.00
Gurobi Optimization, LLC	(5) (6) (7)	L + 5.00%	6.00%	11/12/2020	12/19/2023	13,259	13,162		13,259		1.77
Gurobi Optimization, LLC	(5) (7) (13)	L + 5.00%	6.00%	11/12/2020	12/19/2023	—	(11)		—		0.00
Pound Bidco, Inc.	(5) (6) (7) (10)	L + 6.50%	7.50%	01/28/2021	02/01/2026	6,395	6,282		6,395		0.85
Pound Bidco, Inc.	(5) (6) (7) (10)	L + 6.50%	7.50%	01/28/2021	02/01/2026	—	(20)		—		0.00
Revalize, Inc.	(5) (7) (13)	L + 5.25%	6.25%	07/07/2021	04/15/2027	1,716	1,640		1,640		0.22
Skykick, Inc.	(5) (7)	L + 7.25%	8.25%	09/01/2021	09/01/2027	6,300	6,144		6,144		0.82
Skykick, Inc.	(5) (7) (13)	L + 7.25%	8.25%	09/01/2021	09/01/2027	—	(32)		(32)		0.00
							173,223		174,572		23.31
Total First Lien Debt							$	1,593,489	$	1,608,243	214.68	%
Second Lien Debt
Auto Components
PAI Holdco, Inc.	(5) (7)	L + 6.25%; 2.00% PIK	9.25%	10/28/2020	10/28/2028	25,381	$	24,695	$	25,381	3.39	%

13

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments (Unaudited) (continued)

September 30, 2021

(In thousands)

Investments-non-controlled/non-affiliated(1)(2)	Footnotes	Reference Rate and Spread	Interest Rate(3)	Acquisition Date	Maturity Date	Par Amount/ Shares	Cost(4)		Fair Value		Percentage of Net Assets
Electronic Equipment, Instruments & Components
1A Smart Start, LLC	(5) (7)	L + 8.50%	9.50%	06/02/2021	06/02/2028	21,250	$	20,942	$	21,250	2.84	%
Infinite Bidco, LLC	(5) (9)	L + 7.00%	7.50%	02/24/2021	03/02/2029	17,000	16,930		17,000		2.27
Infinite Bidco, LLC	(5) (9) (13)	L + 7.00%	7.50%	03/18/2021	03/02/2029	—	(20)		—		0.00
							37,852		38,250		5.11
Energy Equipment & Services
QBS Parent, Inc.	(5)	L + 8.50%	8.63%	02/10/2020	09/21/2026	15,000	14,759		14,664		1.96
Industrial Conglomerates
Aptean, Inc.	(5) (8)	L + 7.00%	7.75%	04/22/2021	04/23/2027	5,950	5,950		5,950		0.79
IT Services
Help/Systems Holdings, Inc.	(5) (8)	L + 6.75%	7.50%	05/11/2021	11/19/2027	10,000	10,000		10,000		1.33
Idera, Inc.	(5) (8)	L + 6.75%	7.50%	02/04/2021	03/02/2029	3,887	3,859		3,887		0.52
Red Dawn SEI Buyer, Inc.	(5) (7)	L + 8.50%	9.50%	01/27/2021	11/20/2026	19,000	18,568		19,000		2.54
							32,427		32,887		4.39
Software
Flexera Software, LLC	(5) (7)	L + 7.00%	8.00%	03/03/2021	03/03/2029	13,500	13,244		13,500		1.80
Total Second Lien Debt							$	128,927	$	130,632	17.44	%
Other Securities
Unsecured Debt
Familia Intermediate Holdings I Corp. (Teasdale Latin Foods)	(5) (11)	16.25% PIK		12/18/2020	06/18/2026	1,728	$	1,705	$	1,475	0.20	%
Total Unsecured Debt							1,705		1,475		0.20
Preferred Equity
Diligent Corporation	(5) (12)	10.50% PIK		04/06/2021		5,000	4,875		4,894		0.65
Skykick, Inc.	(5) (12)			08/31/2021		134,101	1,275		1,275		0.17
Total Preferred Equity							6,150		6,169		0.82
Common Equity
Abacus Data Holdings, Inc. (AbacusNext)	(5) (12)			03/09/2021		29,441	2,944		2,746		0.37
CSC Thrive Holdings, LP (Thrive Networks)	(5) (12)			03/01/2021		150,000	375		537		0.07
GSM Equity Investors, LP (GSM Outdoors)	(5) (12)			11/16/2020		4,500	450		1,354		0.18
Help/Systems Holdings, Inc.	(10) (12)			05/12/2021			12,460		12,460		1.66
PCX Holding Corp.	(5) (12)			04/22/2021		6,538	654		654		0.09
Pet Holdings, Inc. (Brightpet)	(5) (12)			10/06/2020		12,313	1,231		1,183		0.16
RPS Group Holdings (Recovery Point Systems, Inc.)	(5) (12)			03/05/2021		1,000,000	1,000		830		0.11

14

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments (Unaudited) (continued)

September 30, 2021

(In thousands)

Investments-non-controlled/non-affiliated(1)(2)	Footnotes	Reference Rate and Spread	Interest Rate(3)	Acquisition Date	Maturity Date	Par Amount/ Shares	Cost(4)		Fair Value		Percentage of Net Assets
Shelby Co-invest, LP (Spectrum Automotive)	(5) (12)			06/29/2021		8,500	$	850	$	850	0.11	%
SSG Holdco, LLC (Stepping Stones Healthcare Services, LLC)	(5) (12)			03/09/2021		11,431	1,700		2,134		0.28
Total Common Equity							21,664		22,748		3.03
Total Other Securities							$	29,519	$	30,392	4.05	%
Total Portfolio Investments							$	1,751,935	$	1,769,267	236.17	%

(1)Unless otherwise indicated, issuers of debt and equity investments held by Morgan Stanley Direct Lending Fund (the “Company”) are denominated in dollars. For the purpose of this Consolidated Schedule of Investments, the term “Company” shall include the Company and its consolidated subsidiaries. All debt investments are income producing unless otherwise indicated. All equity investments are non-income producing unless otherwise noted. Certain portfolio company investments are subject to contractual restrictions on sales. Under the Investment Company Act of 1940, as amended (together with the rules and regulations promulgated thereunder, the “1940 Act”), the Company would be deemed to “control” a portfolio company if the Company owned more than 25% of such portfolio company’s outstanding voting securities and/or held the power to exercise control over the management or policies of such portfolio company. As of September 30, 2021, the Company does not “control” any of these portfolio companies. Under the 1940 Act, the Company would be deemed an “affiliated person” of a portfolio company if the Company owns 5% or more of such portfolio company’s outstanding voting securities. As of September 30, 2021, the Company is not an “affiliated person” of any of its portfolio companies.

(2)Unless otherwise indicated, the Company’s investments are pledged as collateral supporting the amounts outstanding under the Truist Credit Facility (as defined below). See Note 6 “Debt”.

(3)Variable rate loans to the portfolio companies bear interest at a rate that is determined by reference to either the London Interbank Offered Rate (“LIBOR” or “L”) or an alternate base rate (commonly based on the Federal Funds Rate (“F”) or the U.S. Prime Rate (“P”)), which generally resets periodically. For each loan, the Company has indicated the reference rate used and provided the spread and the interest rate in effect as of September 30, 2021. For investments with multiple reference rates or alternate base rates, the interest rate shown is the weighted average interest rate in effect at September 30, 2021. As of September 30, 2021, the reference rates for the Company’s variable rate loans were the 1-month L at 0.08%, the 3-month L at 0.13%, the 6-month L at 0.16% and the P at 3.25%.

(4)The cost represents the original cost adjusted for the amortization of discounts and premiums, as applicable, on debt investments using the effective interest method.

(5)These investments were valued using unobservable inputs and are considered Level 3 investments. Fair value was determined in good faith by or under the direction of the Company’s board of directors (the “Board”) (see Note 2 and Note 5), pursuant to the Company’s valuation policy.

(6)Assets or a portion thereof are pledged as collateral for the BNP Funding Facility. See Note 6 “Debt”.

(7)The interest rate floor on these investments as of September 30, 2021 was 1.00%.

(8)The interest rate floor on these investments as of September 30, 2021 was 0.75%.

(9)The interest rate floor on these investments as of September 30, 2021 was 0.50%.

(10)The investment is not a qualifying asset under Section 55(a) of the 1940 Act. The Company may not acquire any non-qualifying asset unless, at the time of acquisition, qualifying assets represent at least 70% of the Company’s total assets. As of September 30, 2021, non-qualifying assets represented 4.0% of total assets as calculated in accordance with regulatory requirements.

(11)Represents a senior unsecured note, which is subordinated to senior secured term loans of the portfolio company.

(12)Securities exempt from registration under the Securities Act of 1933, as amended, and may be deemed to be “restricted securities”. As of September 30, 2021, the aggregate fair value of these securities is $28,917 or 3.9% of the Company’s net assets. The initial acquisition dates have been included for such securities.

(13)Position or a portion thereof is an unfunded loan commitment, and no interest is being earned on the unfunded portion, although the investment may earn unused commitment fees. Negative cost and fair value, if any, results from unamortized fees, which are capitalized to the cost of the investment. The unfunded loan commitment may be subject to a commitment termination date that may expire prior to the maturity date stated. See below for more information on the Company’s unfunded commitments as of September 30, 2021:

Investments-non-controlled/non-affiliated	Unused Fee Rate	Commitment Type	Commitment Expiration Date	Unfunded Commitment		Fair Value
First Lien Debt
365 Retail Markets, LLC	0.50%	Revolver	12/23/2026	$	2,800	$	(48)
Abacus Data Holdings, Inc. (AbacusNext)	1.00%	Delayed Draw Term Loan	09/10/2022	3,500		—
Abacus Data Holdings, Inc. (AbacusNext)	0.50%	Revolver	03/10/2027	1,190		—
Alert Media, Inc.	0.50%	Revolver	04/12/2026	1,750		(14)
AMCP Pet Holdings, Inc. (Brightpet)	1.00%	Delayed Draw Term Loan	04/06/2022	5,000		—
AMCP Pet Holdings, Inc. (Brightpet)	0.50%	Revolver	10/05/2026	3,062		—

15

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments (Unaudited) (continued)

September 30, 2021

(In thousands)

Investments-non-controlled/non-affiliated	Unused Fee Rate	Commitment Type	Commitment Expiration Date	Unfunded Commitment		Fair Value
Appfire Technologies, LLC	0.50%	Delayed Draw Term Loan	01/07/2023	$	18,200	$	(65)
ARI Network Services, Inc.	1.00%	Delayed Draw Term Loan	12/30/2021	193		(2)
ARI Network Services, Inc.	0.50%	Revolver	02/28/2025	1,697		(15)
Associations, Inc.	2.50%	Delayed Draw Term Loan	01/09/2024	1,840		(18)
Associations, Inc.	1.00%	Delayed Draw Term Loan	01/09/2024	9,019		(86)
Associations, Inc.	0.50%	Revolver	07/02/2027	1,860		(18)
AWP Group Holdings, Inc.	1.00%	Delayed Draw Term Loan	12/22/2022	132		(2)
AWP Group Holdings, Inc.	0.50%	Revolver	12/22/2026	138		(2)
Bearcat Buyer, Inc.	1.00%	Delayed Draw Term Loan	11/23/2022	513		—
Bullhorn, Inc.	0.50%	Revolver	09/30/2026	554		—
Capstone Acquisition Holdings, Inc.	1.00%	Delayed Draw Term Loan	05/12/2022	507		(1)
CC SAG Holdings Corp. (Spectrum Automotive)	1.00%	Delayed Draw Term Loan	06/29/2023	6,609		(111)
CC SAG Holdings Corp. (Spectrum Automotive)	0.50%	Revolver	06/29/2027	881		(15)
CLEO Communications Holding, LLC	0.50%	Revolver	06/09/2027	12,502		(21)
Cordeagle US Finco, Inc.	0.50%	Revolver	07/30/2027	2,800		(54)
DCA Investment Holdings, LLC	1.00%	Delayed Draw Term Loan	03/12/2022	2,227		—
Diligent Corporation	1.00%	Delayed Draw Term Loan	10/06/2022	3,136		—
Diligent Corporation	0.50%	Revolver	08/04/2025	4,500		—
Electrical Source Holdings, LLC	1.00%	Delayed Draw Term Loan	01/15/2023	2,863		—
Electrical Source Holdings, LLC	0.50%	Revolver	11/25/2025	820		—
FMG Suite Holdings, LLC	0.50%	Delayed Draw Term Loan	10/30/2022	5,250		(6)
FMG Suite Holdings, LLC	0.50%	Revolver	10/30/2026	2,625		(3)
Galway Borrower, LLC	0.00%	Delayed Draw Term Loan	09/30/2023	6,158		(62)
Galway Borrower, LLC	0.50%	Revolver	09/30/2027	2,053		(41)
Govbrands Intermediate, Inc.	1.00%	Delayed Draw Term Loan	08/04/2022	13,244		(161)
Govbrands Intermediate, Inc.	0.50%	Revolver	08/04/2027	2,825		(69)
GraphPad Software, LLC	0.50%	Revolver	04/27/2027	1,313		—
Ground Penetrating Radar Systems, LLC	0.50%	Revolver	06/26/2025	689		—
GS AcquisitionCo, Inc.	0.50%	Delayed Draw Term Loan	04/01/2022	10,150		(50)
GS AcquisitionCo, Inc.	0.50%	Revolver	05/25/2026	2,420		(12)
GSM Acquisition Corp. (GSM Outdoors)	0.50%	Revolver	11/16/2026	190		—
Gurobi Optimization, LLC	0.50%	Revolver	12/19/2023	1,607		—
Higginbotham Insurance Agency, Inc.	1.00%	Delayed Draw Term Loan	11/25/2022	759		—
High Street Buyer, Inc.	1.00%	Delayed Draw Term Loan	10/16/2021	24,746		(266)
High Street Buyer, Inc.	0.50%	Revolver	04/16/2027	2,136		(39)
Integrity Marketing Acquisition, LLC	1.00%	Delayed Draw Term Loan	07/09/2023	14,972		(119)
IQN Holding Corp., dba Beeline	0.50%	Revolver	08/21/2023	4,545		(22)

16

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments (Unaudited) (continued)

September 30, 2021

(In thousands)

Investments-non-controlled/non-affiliated	Unused Fee Rate	Commitment Type	Commitment Expiration Date	Unfunded Commitment		Fair Value
Komline-Sanderson Group, Inc.	0.50%	Delayed Draw Term Loan	03/17/2023	$	6,202	$	—
Komline-Sanderson Group, Inc.	0.50%	Revolver	03/17/2026	2,768		—
Lightspeed Buyer, Inc.	1.00%	Delayed Draw Term Loan	05/09/2022	4,050		(80)
Majesco	0.50%	Revolver	09/21/2026	1,575		(3)
Mammoth Holdings, LLC	0.50%	Delayed Draw Term Loan	09/12/2022	866		—
Mammoth Holdings, LLC	0.50%	Delayed Draw Term Loan	12/15/2022	18,585		—
Mammoth Holdings, LLC	0.50%	Revolver	10/16/2023	953		—
MHE Intermediate Holdings, LLC	1.00%	Delayed Draw Term Loan	07/21/2023	3,565		(36)
MHE Intermediate Holdings, LLC	0.50%	Revolver	07/21/2027	2,500		(48)
MRI Software, LLC	0.50%	Delayed Draw Term Loan	03/24/2023	12,805		—
MRI Software, LLC	0.50%	Revolver	02/10/2026	2,215		—
MSM Acquisitions, Inc.	1.00%	Delayed Draw Term Loan	01/30/2023	26,515		(258)
MSM Acquisitions, Inc.	0.50%	Revolver	12/09/2026	3,849		(38)
Patriot Growth Insurance Services, LLC	0.75%	Delayed Draw Term Loan	01/07/2023	3,750		—
Patriot Growth Insurance Services, LLC	0.75%	Delayed Draw Term Loan	06/25/2023	32,500		—
PCX Holding Corp.	1.00%	Delayed Draw Term Loan	04/22/2023	1,851		—
PCX Holding Corp.	0.50%	Revolver	04/22/2027	1,851		—
PDFTron US Acquisition Corp	1.00%	Delayed Draw Term Loan	01/15/2023	3,640		(45)
PDFTron US Acquisition Corp	0.50%	Revolver	07/15/2026	7,700		(147)
Pound Bidco, Inc.	0.50%	Revolver	02/01/2026	1,163		—
Promptcare Infusion Buyer, Inc.	1.00%	Delayed Draw Term Loan	09/01/2023	3,889		(38)
Recovery Point Systems, Inc.	0.50%	Revolver	08/12/2026	4,000		—
Revalize, Inc.	0.50%	Delayed Draw Term Loan	01/07/2023	17,534		(69)
RSC Acquisition, Inc.	1.00%	Delayed Draw Term Loan	03/30/2022	8,011		—
Skykick, Inc.	1.00%	Delayed Draw Term Loan	03/01/2023	2,625		(32)
Stepping Stones Healthcare Services, LLC	1.00%	Delayed Draw Term Loan	03/09/2023	1,408		—
Stepping Stones Healthcare Services, LLC	0.50%	Revolver	03/09/2026	1,718		—
Summit Buyer, LLC	1.00%	Delayed Draw Term Loan	06/23/2023	25,906		(514)
Summit Buyer, LLC	0.50%	Revolver	01/14/2026	2,420		(48)
Suveto Buyer, LLC	1.00%	Delayed Draw Term Loan	09/09/2023	13,588		(78)
Suveto Buyer, LLC	0.50%	Revolver	09/09/2027	1,296		(13)
Sweep Purchaser, LLC	1.00%	Delayed Draw Term Loan	02/12/2023	332		—
Sweep Purchaser, LLC	0.50%	Revolver	11/30/2026	956		—
Thrive Buyer, Inc. (Thrive Networks)	1.00%	Delayed Draw Term Loan	06/30/2023	5,589		—
Thrive Buyer, Inc. (Thrive Networks)	0.50%	Revolver	01/22/2027	1,331		—
Triple Lift, Inc.	0.50%	Revolver	05/06/2028	4,000		(56)
Turbo Buyer, Inc.	1.00%	Delayed Draw Term Loan	02/21/2022	35,000		(599)

17

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments (Unaudited) (continued)

September 30, 2021

(In thousands)

Investments-non-controlled/non-affiliated	Unused Fee Rate	Commitment Type	Commitment Expiration Date	Unfunded Commitment		Fair Value
Two Six Labs, LLC	0.50%	Delayed Draw Term Loan	08/24/2023	$	4,268	$	(42)
Two Six Labs, LLC	0.50%	Revolver	08/20/2027	2,134		(42)
Upstack Holdco, Inc.	1.00%	Delayed Draw Term Loan	08/26/2023	4,375		(59)
Upstack Holdco, Inc.	0.50%	Revolver	08/20/2027	875		(24)
US Infra Svcs Buyer, LLC	1.00%	Delayed Draw Term Loan	04/13/2026	8,085		(108)
US Infra Svcs Buyer, LLC	0.50%	Revolver	04/13/2026	1,275		(17)
Valcourt Holdings II, LLC	1.00%	Delayed Draw Term Loan	01/07/2023	4,733		—
Vehlo Purchaser, LLC	1.00%	Delayed Draw Term Loan	08/27/2023	19,445		(191)
Vehlo Purchaser, LLC	0.50%	Revolver	08/27/2027	4,666		(92)
Vessco Midco Holdings, LLC	1.00%	Delayed Draw Term Loan	11/02/2022	309		—
Vessco Midco Holdings, LLC	0.50%	Revolver	10/18/2026	447		—
VRC Companies, LLC	0.75%	Delayed Draw Term Loan	06/29/2023	7,648		(96)
VRC Companies, LLC	0.50%	Revolver	06/29/2027	1,653		(21)
World Insurance Associates, LLC	1.00%	Delayed Draw Term Loan	10/01/2022	3,146		—
World Insurance Associates, LLC	0.50%	Revolver	04/01/2026	1,269		—
Zarya Intermediate, LLC	0.50%	Revolver	07/01/2027	4,666		(91)
Total First Lien Debt Unfunded Commitments				$	521,475	$	(4,207)
Second Lien Debt
Infinite Bidco, LLC	1.00%	Delayed Draw Term Loan	03/18/2022	8,500		—
Total Second Lien Debt Unfunded Commitments				$	8,500	$	—
Total Unfunded Commitments				$	529,975	$	(4,207)

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

18

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments

December 31, 2020

(In thousands)

Investments-non-controlled/non-affiliated(1)	Footnotes	Reference Rate and Spread	Interest Rate(2)	Acquisition Date	Maturity Date	Par Amount/ Shares	Cost(3)		Fair Value		Percentage of Net Assets
First Lien Debt
Auto Components
Sonny's Enterprises, Inc.	(4) (5)	L + 7.00%	8.00%	12/28/2020	08/05/2026	5,469	$	5,360	$	5,360	1.78	%
Sonny's Enterprises, Inc.	(4) (5) (10)	L + 7.00%	8.00%	12/28/2020	08/05/2026	—	(266)		(266)		(0.09)
							5,094		5,094		1.69
Automobiles
Turbo Buyer, Inc.	(4) (5) (10)	L + 5.50%	6.50%	08/21/2020	12/02/2025	—	(407)		(407)		(0.13)
Commercial Services & Supplies
Capstone Acquisition Holdings, Inc.	(5) (6)	L + 4.75%	5.75%	11/13/2020	11/12/2027	2,827	2,799		2,845		0.94
Capstone Acquisition Holdings, Inc.	(5) (10)	L + 4.75%	5.75%	11/13/2020	11/12/2027	—	(2)		3		—
Divisions Holding Corporation	(4) (5)	L + 6.50%	7.50%	08/14/2020	08/14/2026	29,491	28,931		29,491		9.78
Divisions Holding Corporation	(4) (5) (10)	L + 6.50%	7.50%	08/14/2020	08/14/2026	1,739	1,593		1,739		0.58
Sweep Purchaser LLC	(4) (5)	L + 5.75%	6.75%	11/30/2020	11/30/2026	8,859	8,684		8,684		2.88
Sweep Purchaser LLC	(4) (5) (10)	L + 5.75%	6.75%	11/30/2020	11/30/2026	—	(28)		(28)		(0.01)
Sweep Purchaser LLC	(4) (5) (10)	L + 5.75%	6.75%	11/30/2020	11/30/2026	—	(28)		(28)		(0.01)
US Infra Svcs Buyer LLC	(4) (5)	L + 6.00%	7.00%	04/10/2020	04/13/2026	17,164	16,854		17,164		5.69
US Infra Svcs Buyer LLC	(4) (5) (10)	L + 6.00%	7.00%	04/10/2020	04/13/2026	988	802		988		0.33
US Infra Svcs Buyer LLC	(4) (5) (10)	L + 6.00%	7.00%	04/10/2020	04/13/2026	300	260		300		0.10
Vessco Midco Holdings LLC	(4) (5) (6)	L + 4.50%	5.50%	10/30/2020	11/02/2026	2,763	2,736		2,736		0.91
Vessco Midco Holdings LLC	(4) (5) (10)	L + 4.50%	5.50%	10/30/2020	11/02/2026	134	117		117		0.04
Vessco Midco Holdings LLC	(4) (5) (10)	L + 4.50%	5.50%	10/30/2020	10/18/2026	—	(4)		(4)		0.00
							62,714		64,007		21.22
Containers & Packaging
Brook and Whittle Holding Corp.	(4) (5)	L + 6.00%	7.00%	10/27/2020	10/17/2024	12,916	12,730		12,730		4.22
Diversified Financial Services
HighTower Holdings LLC	(4) (5) (7)	L + 5.00%	6.00%	10/14/2020	01/31/2025	12,549	12,368		12,368		4.10
HighTower Holdings LLC	(4) (5) (7) (10)	L + 5.00%	6.00%	10/14/2020	01/31/2025	—	(17)		(17)		(0.01)
							12,351		12,351		4.09
Food Products
AMCP Pet Holdings, Inc. (Brightpet)	(4) (5) (6)	L + 6.25%	7.25%	10/06/2020	10/05/2026	17,500	16,990		16,990		5.63
AMCP Pet Holdings, Inc. (Brightpet)	(4) (5)	L + 6.25%	7.25%	12/29/2020	10/05/2026	16,667	16,167		16,167		5.36
AMCP Pet Holdings, Inc. (Brightpet)	(4) (5) (10)	L + 6.25%	7.25%	10/06/2020	10/05/2026	—	(144)		(144)		(0.05)
AMCP Pet Holdings, Inc. (Brightpet)	(4) (5) (10)	L + 6.25%	7.25%	10/06/2020	10/05/2026	—	(172)		(172)		(0.06)
Nellson Nutraceutical, Inc.	(4) (5) (6)	L + 5.25%	6.25%	09/30/2020	12/23/2023	17,623	17,295		17,623		5.84
Nellson Nutraceutical, Inc.	(4) (5) (6)	L + 5.25%	6.25%	09/30/2020	12/23/2023	7,246	7,111		7,246		2.40

19

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments (Continued)

December 31, 2020

(In thousands)

Investments-non-controlled/non-affiliated(1)	Footnotes	Reference Rate and Spread	Interest Rate(2)	Acquisition Date	Maturity Date	Par Amount/ Shares	Cost(3)		Fair Value		Percentage of Net Assets
Teasdale Foods, Inc. (Teasdale Latin Foods)	(4) (5)	L + 6.25%	7.25%	12/18/2020	12/18/2025	11,250	$	11,027	$	11,027	3.66	%
							68,274		68,737		22.79
Health Care Providers & Services
Bearcat Buyer, Inc.	(4) (5)	L + 4.75%	5.75%	11/18/2020	07/09/2026	6,912	6,741		6,741		2.23
Bearcat Buyer, Inc.	(4) (5) (10)	L + 4.75%	5.75%	11/18/2020	07/09/2026	1,425	1,256		1,256		0.42
							7,997		7,997		2.65
Health Care Technology
Lightspeed Buyer, Inc.	(4) (5) (6)	L + 5.50%	6.50%	11/09/2020	02/03/2026	9,375	9,100		9,100		3.02
Lightspeed Buyer, Inc.	(4) (5) (10)	L + 5.50%	6.50%	11/09/2020	02/03/2026	—	(182)		(182)		(0.06)
							8,918		8,918		2.96
Industrial Conglomerates
Aptean, Inc.	(4) (5) (6)	L + 5.25%	6.25%	06/30/2020	04/23/2026	1,990	1,962		1,990		0.66
Electrical Source Holdings LLC	(4) (5) (6)	L + 5.50%	6.50%	05/18/2020	11/25/2025	29,850	29,580		29,850		9.90
							31,542		31,840		10.56
Insurance
Higginbotham Insurance Agency, Inc.	(4) (8)	L + 5.75%	6.50%	11/25/2020	11/25/2026	14,632	14,415		14,415		4.78
Higginbotham Insurance Agency, Inc.	(4) (8) (10)	L + 5.75%	6.50%	11/25/2020	11/25/2026	—	(30)		(30)		(0.01)
Integrity Marketing Acquisition LLC	(4) (5) (10)	L + 6.25%	7.25%	08/07/2020	08/27/2025	29,386	28,763		29,386		9.74
Majesco	(4) (5)	L + 7.75%	8.75%	09/21/2020	09/21/2027	14,852	14,420		14,852		4.92
Majesco	(4) (5) (10)	L + 7.75%	8.75%	09/21/2020	09/21/2026	—	(45)		—		—
Propel Insurance Agency LLC	(4) (5)	L + 5.00%	6.00%	12/09/2020	06/01/2024	18,427	18,245		18,245		6.05
Propel Insurance Agency LLC	(4) (5) (10)	L + 5.00%	6.00%	12/09/2020	06/01/2024	—	(19)		(19)		(0.01)
RSC Acquisition, Inc.	(4) (5) (6)	L + 5.50%	6.50%	09/11/2020	10/30/2026	2,938	2,853		2,938		0.97
RSC Acquisition, Inc.	(4) (5) (10)	L + 5.50%	6.50%	09/11/2020	10/30/2026	703	357		703		0.23
World Insurance Associates LLC	(4) (5)	L + 5.50%	6.50%	05/22/2020	04/01/2026	10,269	9,658		9,966		3.30
World Insurance Associates LLC	(4) (5)	L + 5.50%	6.50%	05/22/2020	04/01/2026	4,679	4,404		4,541		1.51
World Insurance Associates LLC	(4) (5)	L + 5.50%	6.50%	10/15/2020	04/01/2026	19,387	18,814		18,814		6.24
World Insurance Associates LLC	(4) (5) (10)	L + 5.50%	6.50%	10/15/2020	04/01/2026	10,087	9,758		9,758		3.24
World Insurance Associates LLC	(4) (5) (10)	L + 5.50%	6.50%	12/23/2020	04/01/2026	—	(46)		(46)		(0.02)
							121,547		123,523		40.95
Interactive Media & Services
MSM Acquisitions, Inc.	(4) (5)	L + 6.00%	7.00%	12/09/2020	12/09/2026	23,684	23,215		23,215		7.70
MSM Acquisitions, Inc.	(4) (5) (10)	L + 6.00%	7.00%	12/09/2020	12/09/2026	—	(49)		(49)		(0.02)
MSM Acquisitions, Inc.	(4) (5) (10)	L + 6.00%	7.00%	12/09/2020	12/09/2026	—	(78)		(78)		(0.03)
							23,088		23,088		7.65
IT Services
Ensono, LP	(4) (6)	L + 5.75%	5.90%	06/25/2020	06/27/2025	14,925	14,434		14,925		4.95

20

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments (Continued)

December 31, 2020

(In thousands)

Investments-non-controlled/non-affiliated(1)	Footnotes	Reference Rate and Spread	Interest Rate(2)	Acquisition Date	Maturity Date	Par Amount/ Shares	Cost(3)		Fair Value		Percentage of Net Assets
Help/Systems Holdings, Inc.	(5) (6)	L + 4.75%	5.75%	06/16/2020	11/19/2026	19,850	$	19,584	$	19,701	6.53	%
Recovery Point Systems, Inc.	(4) (5)	L + 6.50%	7.50%	08/12/2020	08/12/2026	41,895	41,100		41,895		13.89
Recovery Point Systems, Inc.	(4) (5) (10)	L + 6.50%	7.50%	08/12/2020	08/12/2026	—	(75)		—		—
							75,043		76,521		25.37
Leisure Products
GSM Acquisition Corp. (GSM Outdoors)	(4) (5)	L + 5.00%	6.00%	11/16/2020	11/16/2026	22,785	22,449		22,449		7.44
GSM Acquisition Corp. (GSM Outdoors)	(4) (5) (10)	L + 5.00%	6.00%	11/16/2020	11/16/2026	1,603	1,547		1,547		0.51
GSM Acquisition Corp. (GSM Outdoors)	(4) (5) (10)	L + 5.00%	6.00%	11/16/2020	11/16/2026	—	(50)		(50)		(0.02)
							23,946		23,946		7.94
Multi-Utilities
AWP Group Holdings, Inc.	(4) (5)	L + 4.75%	5.75%	12/22/2020	12/22/2027	711	700		700		0.23
AWP Group Holdings, Inc.	(4) (5) (10)	L + 4.75%	5.75%	12/22/2020	12/22/2027	—	(1)		(1)		—
AWP Group Holdings, Inc.	(4) (5) (10)	L + 4.75%	5.75%	12/22/2020	12/22/2026	—	(2)		(2)		—
							697		697		0.23
Professional Services
Bullhorn, Inc.	(4) (5)	L + 5.75%	6.75%	09/11/2020	09/30/2026	7,427	7,320		7,427		2.46
Bullhorn, Inc.	(4) (5) (10)	L + 5.75%	6.75%	09/11/2020	09/30/2026	—	(8)		—		—
IQN Holding Corp., dba Beeline	(4) (5)	L + 5.50%	6.50%	02/10/2020	08/20/2024	38,079	37,922		37,721		12.51
IQN Holding Corp., dba Beeline	(4) (5) (10)	L + 5.50%	6.50%	02/10/2020	08/21/2023	—	(17)		(43)		(0.01)
							45,217		45,105		14.95
Real Estate Management & Development
MRI Software LLC	(4) (5)	L + 5.50%	6.50%	01/31/2020	02/10/2026	31,639	31,379		31,639		10.49
MRI Software LLC	(4) (5) (10)	L + 5.50%	6.50%	01/31/2020	02/10/2026	—	(11)		—		—
MRI Software LLC	(4) (5) (10)	L + 5.50%	6.50%	01/31/2020	02/10/2026	—	(19)		—		—
MRI Software LLC	(4) (5) (10)	L + 5.50%	6.50%	08/28/2020	02/10/2026	1,899	1,727		1,899		0.63
							33,076		33,538		11.12
Software
GS AcquisitionCo, Inc.	(4) (5)	L + 5.75%	6.75%	10/27/2020	05/24/2024	23,673	23,323		23,323		7.73
GS AcquisitionCo, Inc.	(4) (5) (10)	L + 5.75%	6.75%	12/11/2020	05/24/2024	6,848	6,663		6,663		2.21
GS AcquisitionCo, Inc.	(4) (5) (10)	L + 5.75%	6.75%	12/11/2020	05/24/2024	—	(20)		(20)		(0.01)
Gurobi Optimization LLC	(4) (5)	L + 5.25%	6.25%	11/12/2020	12/19/2023	13,359	13,231		13,231		4.39
Gurobi Optimization LLC	(4) (5) (10)	L + 5.25%	6.25%	11/12/2020	12/19/2023	—	(15)		(15)		—
							43,182		43,182		14.32
Total First Lien Debt							$	575,009	$	580,867	192.58
Second Lien Debt
Energy Equipment & Services
QBS Parent, Inc.	(4)	L + 8.50%	8.75%	02/10/2020	09/21/2026	15,000	$	14,731	$	14,381	4.77	%
Diversified Consumer Services
Cambium Learning Group, Inc.	(4) (5)	L + 8.50%	9.50%	10/08/2020	12/18/2026	10,000	9,610		9,610		3.19

21

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments (Continued)

December 31, 2020

(In thousands)

Investments-non-controlled/non-affiliated(1)	Footnotes	Reference Rate and Spread	Interest Rate(2)	Acquisition Date	Maturity Date	Par Amount/ Shares	Cost(3)		Fair Value		Percentage of Net Assets
Diversified Financial Services
HighTower Holdings LLC	(4) (5) (7)	L + 8.75%	9.75%	10/09/2020	01/31/2026	5,000	$	4,903	$	4,903	1.63		%
Auto Components
PAI Holdco, Inc.	(4) (5)	L + 6.25%; 2.00% PIK	9.25%	10/28/2020	10/28/2028	25,000	24,261		24,261		8.04
Total Second Lien Debt							$	53,505	$	53,155	17.62		%
Other Securities
Unsecured Debt
Familia Intermediate Holdings I Corp. (Teasdale Latin Foods)	(4) (9)	N/A	16.25% PIK	12/18/2020	06/18/2026	1,509	1,509		1,509		0.50
Total Unsecured Debt							1,509		1,509		0.50
Common Equity
Pet Holdings, Inc. (Brightpet)	(4)					10,000	1,000		1,000		0.33
GSM Equity Investors, LP (GSM Outdoors)	(4)					4,500	450		450		0.15
Total Common Equity							1,450		1,450		0.48
Total Other Securities							$	2,959	$	2,959	0.98		%
Total Portfolio Investments							$	631,473	$	636,981	$	211.19	%

(1)	Unless otherwise indicated, issuers of debt and equity investments held by the Company are denominated in dollars. For the purpose of this Consolidated Schedule of Investments, the term “Company” shall include the Company and its consolidated subsidiaries. All debt investments are income producing unless otherwise indicated. All equity investments are non-income producing unless otherwise noted. Certain portfolio company investments are subject to contractual restrictions on sales. Under the 1940 Act, the Company would be deemed to “control” a portfolio company if the Company owned more than 25% of such portfolio company's outstanding voting securities and/or held the power to exercise control over the management or policies of such portfolio company. As of December 31, 2020, the Company does not “control” any of these portfolio companies. Under the 1940 Act, the Company would be deemed an “affiliated person” of a portfolio company if the Company owns 5% or more of such portfolio company’s outstanding voting securities. As of December 31, 2020, the Company is not an “affiliated person” of any of its portfolio companies.
(2)	Variable rate loans to the portfolio companies bear interest at a rate that is determined by reference to either LIBOR (“L”) or an alternate base rate (commonly based on the Federal Funds Rate (“F”) or the U.S. Prime Rate (“P”)), which generally resets periodically. For each loan, the Company has indicated the reference rate used and provided the spread and the interest rate in effect as of December 31, 2020. As of December 31, 2020, the reference rates for the Company's variable rate loans were the 1-month L at 0.14%, the 3-month L at 0.24% and the 6-month L at 0.26%.
(3)	The cost represents the original cost adjusted for the amortization of discounts and premiums, as applicable, on debt investments using the effective interest method.
(4)	These investments were valued using unobservable inputs and are considered Level 3 investments. Fair value was determined in good faith by or under the direction of the Board (see Note 2 and Note 5), pursuant to the Company’s valuation policy.
(5)	The interest rate floor on these investments as of December 31, 2020 was 1%.
(6)	Assets or a portion thereof are pledged as collateral for the BNP Funding Facility (as defined in Note 6). See Note 6 “Debt”.
(7)	The investment is not a qualifying asset under Section 55(a) of the 1940 Act. The Company may not acquire any non-qualifying asset unless, at the time of acquisition, qualifying assets represent at least 70% of the Company’s total assets. As of December 31, 2020, non-qualifying assets represented 3% of total assets as calculated in accordance with regulatory requirements.
(8)	The interest rate floor on these investments as of December 31, 2020 was 0.75%.
(9)	Represents a senior unsecured note, which is subordinated to senior secured term loans of the portfolio company.
(10)	Position or a portion thereof is an unfunded loan commitment, and no interest is being earned on the unfunded portion, although the investment may earn unused commitment fees. Negative cost and fair value, if any, results from unamortized fees, which are capitalized to the cost of the investment. The unfunded loan commitment may be subject to a commitment termination date that may expire prior to the maturity date stated. See below for more information on the Company’s unfunded commitments as of December 31, 2020:

22

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments (Continued)

December 31, 2020

(In thousands)

Investments-non-controlled/non-affiliated	Unused Fee Rate	Commitment Type	Commitment Expiration Date	Unfunded Commitment		Fair Value
First Lien Debt
AMCP Pet Holdings, Inc.	1.00%	Delayed Draw Term Loan	04/06/2022	$	5,000	$	(144)
AMCP Pet Holdings, Inc.	0.50%	Revolver	10/01/2025	5,833		(172)
AWP Group Holdings, Inc.	1.00%	Delayed Draw Term Loan	12/22/2022	132		(1)
AWP Group Holdings, Inc.	0.50%	Revolver	12/22/2026	158		(2)
Bearcat Buyer, Inc.	1.00%	Delayed Draw Term Loan	11/18/2022	5,413		(134)
Bullhorn, Inc.	0.50%	Revolver	09/30/2026	554		—
Capstone Acquisition Holdings, Inc.	1.00%	Delayed Draw Term Loan	05/13/2022	507		3
Divisions Holding Corporation	1.00%	Delayed Draw Term Loan	08/14/2022	5,217		—
Divisions Holding Corporation	0.50%	Revolver	08/14/2026	3,478		—
GS AcquisitionCo, Inc.	0.50%	Delayed Draw Term Loan	10/17/2021	11,235		(109)
GS AcquisitionCo, Inc.	0.50%	Revolver	05/24/2024	1,370		(20)
GSM Acquisition Corp.	1.00%	Delayed Draw Term Loan	11/16/2022	2,195		(32)
GSM Acquisition Corp.	0.50%	Revolver	11/16/2026	3,418		(50)
Gurobi Optimization LLC	0.50%	Revolver	12/19/2023	1,607		(15)
Higginbotham Insurance Agency, Inc.	1.00%	Delayed Draw Term Loan	11/25/2022	4,119		(31)
HighTower Holdings LLC	1.00%	Delayed Draw Term Loan	10/14/2022	2,419		(17)
Integrity Marketing Acquisition LLC	1.00%	Delayed Draw Term Loan	02/07/2022	15,540		—
IQN Holding Corp., dba Beeline	0.50%	Revolver	08/21/2023	4,545		(43)
Lightspeed Buyer, Inc.	1.00%	Delayed Draw Term Loan	05/09/2022	9,375		(182)
Majesco	0.50%	Revolver	09/21/2026	1,575		—
MRI Software LLC	0.50%	Delayed Draw Term Loan	02/10/2022	908		—
MRI Software LLC	1.00%	Incremental Delayed Draw Term Loan	02/10/2022	15,096		—
MRI Software LLC	0.50%	Revolver	02/10/2026	2,215		—
MSM Acquisitions, Inc.	0.00%	Delayed Draw Term Loan	06/09/2022	9,869		(49)
MSM Acquisitions, Inc.	0.00%	Revolver	12/09/2026	3,947		(78)
Propel Insurance Agency LLC	1.00%	Delayed Draw Term Loan	12/09/2022	3,874		(19)
Recovery Point Systems, Inc.	0.50%	Revolver	08/12/2026	4,000		—
RSC Acquisition, Inc.	1.00%	Delayed Draw Term Loan	03/31/2022	11,353		—
Sonny's Enterprises, Inc.	1.00%	Delayed Draw Term Loan	12/28/2021	13,281		(266)
Sweep Purchaser LLC	0.00%	Delayed Draw Term Loan	11/30/2022	2,813		(28)
Sweep Purchaser LLC	0.50%	Revolver	11/30/2026	1,406		(28)
Turbo Buyer, Inc.	1.00%	Incremental Delayed Draw Term Loan	02/21/2022	35,000		(407)
US Infra Svcs Buyer LLC	1.00%	Delayed Draw Term Loan	04/13/2022	9,510		—

23

Morgan Stanley Direct Lending Fund

Consolidated Schedule of Investments (Continued)

December 31, 2020

(In thousands)

Investments-non-controlled/non-affiliated	Unused Fee Rate	Commitment Type	Commitment Expiration Date	Unfunded Commitment		Fair Value
US Infra Svcs Buyer LLC	0.50%	Revolver	04/13/2026	1,950		—
Vessco Midco Holdings LLC	1.00%	Delayed Draw Term Loan	10/30/2022	1,655		(16)
Vessco Midco Holdings LLC	0.50%	Revolver	10/18/2026	447		(4)
World Insurance Associates LLC	1.00%	Delayed Draw Term Loan	04/15/2022	$	2,438	$	(64)
World Insurance Associates LLC	0.50%	Delayed Draw Term Loan	06/23/2022	3,088		(46)
Total First Lien Debt Unfunded Commitments				206,540		(1,954)
Total Unfunded Commitments				$	206,540	$	(1,954)

24

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

(1)Organization

Morgan Stanley Direct Lending Fund (together with its subsidiaries, the “Company”) is an externally managed specialty finance company that is focused on lending to middle-market companies. The Company has elected to be regulated as a business development company (“BDC”) under the Investment Company Act of 1940 Act, as amended (the “1940 Act”). In addition, for U.S. federal income tax purposes, the Company has elected to be treated, and intends to comply with the requirements to qualify annually, as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”).

The Company was formed as a Delaware limited liability company on May 30, 2019 and converted into a corporation and succeeded to the business of Morgan Stanley Direct Lending Fund LLC on November 25, 2019 (the “BDC Conversion”). The Company commenced investing operations on January 31, 2020. On November 25, 2019, the Company entered into an investment advisory agreement, (the “Investment Advisory Agreement”) with MS Capital Partners Adviser Inc., the investment adviser to the Company (the “Investment Adviser”). The Investment Adviser is an indirect wholly owned subsidiary of Morgan Stanley.

The Company’s investment objective is to achieve attractive risk-adjusted returns via current income and, to a lesser extent, capital appreciation by investing primarily in directly originated senior secured term loans issued by U.S. middle-market companies backed by financial sponsors.

The Company is conducting private offerings (the “Private Offerings”) of shares of its common stock, par value $0.001 per share (the “Common Stock”), to investors in reliance on exemptions from the registration requirements of the Securities Act of 1933, as amended (the “Securities Act”). At the closing of any Private Offering, each investor makes a capital commitment (a “Capital Commitment”) to purchase shares of Common Stock pursuant to a subscription agreement entered into with the Company (each, a “Subscription Agreement”). Investors are required to fund drawdowns to purchase shares of Common Stock up to the amount of their respective Capital Commitments each time the Company delivers a notice to the investors.

DLF CA SPV LLC (“CA SPV”) is a wholly owned subsidiary of the Company that was formed as a Delaware limited liability company on February 26, 2020. CA SPV expects to hold investments in first and second lien senior secured loans. CA SPV is consolidated in these consolidated financial statements commencing from the date of its formation.

DLF SPV LLC (“DLF SPV”) is a wholly owned subsidiary of the Company that was formed as a Delaware limited liability company on August 7, 2020. DLF SPV expects to hold investments in first and second lien senior secured loans. DLF SPV is consolidated in these consolidated financial statements commencing from the date of its formation.

DLF Financing SPV LLC (“DLF LLC”) is a wholly owned subsidiary of the Company that was formed as a Delaware limited liability company on September 17, 2020. DLF LLC expects to hold investments in first and second lien senior secured loans. DLF LLC is consolidated in these consolidated financial statements commencing from the date of its formation.

(2)Summary of Significant Accounting Policies

Basis of Presentation

The accompanying consolidated financial statements have been prepared in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”). As an investment company, the Company applies the accounting and reporting guidance in Accounting Standards Codification (“ASC”) Topic 946, Financial Services – Investment Companies (“ASC 946”) issued by the Financial Accounting Standards Board (“FASB”). The carrying value for all assets and liabilities approximates their fair value.

25

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

The interim consolidated financial statements have been prepared in accordance with U.S. GAAP for interim financial information and pursuant to the requirements for reporting on Form 10-Q and Articles 6 and 10 of Regulation S-X. Accordingly, certain disclosures accompanying the annual consolidated financial statements prepared in accordance with U.S. GAAP are omitted.  In the opinion of management, all adjustments, consisting solely of normal recurring accruals considered necessary for the fair presentation of financial statements for the interim period presented, have been included. The current period’s results of operations will not necessarily be indicative of results that the Company may ultimately achieve for the year ending December 31, 2021. All intercompany balances and transactions have been eliminated.

Use of Estimates

The preparation of consolidated financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets, liabilities and expenses and disclosure of contingent assets and liabilities at the date of the consolidated financial statements. Such amounts could differ from those estimates and such differences could be material. Management’s estimates are based on historical experiences and other factors, including expectations of future events that management believes to be reasonable under the circumstances. Assumptions and estimates regarding the valuation of investments involve a higher degree of judgment and complexity and these assumptions and estimates may be significant to the consolidated financial statements.

Consolidation

As provided under ASC 946, the Company will not consolidate its investment in a company other than an investment company subsidiary or a controlled operating company whose business consists of providing services to the Company. Accordingly, the Company consolidated the results of the Company’s wholly-owned subsidiaries.

As of September 30, 2021, the Company’s consolidated subsidiaries were CA SPV, DLF SPV and DLF LLC (collectively, the “SPVs”).

Cash

Cash is carried at cost, which approximates fair value. The Company deposits its cash with multiple financial institutions and, at times, may exceed the Federal Deposit Insurance Corporation insured limit.

Investments

Investment transactions are recorded on the trade date. Receivables/payables from investments sold/purchased on the Consolidated Statements of Assets and Liabilities consist of amounts receivable to or payable by the Company for transactions that have not settled at the reporting date. The net change in unrealized gains or losses on the Consolidated Statements of Operations primarily reflects the change in investment values, including the reversal of previously recorded unrealized gains or losses with respect to investments realized during the period. See Note 5 for further information about fair value measurements.

Revenue Recognition

Interest Income

Interest income is recorded on an accrual basis and includes the accretion of discounts and amortizations of premiums.  Discounts from and premiums to par value on debt investments purchased are accreted/amortized into interest income over the life of the respective security using the effective interest method.  The amortized cost of debt investments represents the original cost, including loan origination fees and upfront fees received that are deemed to be an adjustment to yield, adjusted for the accretion of discounts and amortization of premiums, if any.  Upon prepayment of a loan or debt security, any prepayment premiums, unamortized upfront loan origination fees and unamortized discounts are recorded as interest income in the current period.

26

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

PIK Income

The Company has loans in its portfolio that contain payment-in-kind (“PIK”) provisions. PIK represents interest that is accrued and recorded as interest income at the contractual rates, increases the loan principal on the respective capitalization dates, and is generally due at maturity. Such income is included in interest income on the Consolidated Statements of Operations. If at any point the Company believes PIK is not expected to be realized, the investment generating PIK will be placed on non-accrual status. When a PIK investment is placed on non-accrual status, the accrued, uncapitalized interest is generally reversed through interest income. To maintain the Company’s status as a RIC, this non-cash source of income must be paid out to stockholders in the form of dividends, even though the Company has not yet collected cash.

Dividend income

Dividend income on preferred equity investments is recorded on an accrual basis to the extent that such amounts are payable by the portfolio company and are expected to be collected. Dividend income on common equity investments is recorded on the record date for private portfolio companies and on the ex-dividend date for publicly traded portfolio companies. Dividend income are presented net of withholding tax, if any.

Other Income

The Company may receive various fees in the ordinary course of business such as structuring, consent, waiver, amendment and syndication fees as well as fees for managerial assistance rendered by the Company to the portfolio companies.  Such fees are recognized in income when earned or when the services are rendered and there is no uncertainty or contingency related to the amount to be received.  

Non-Accrual Income

Loans are generally placed on non-accrual status when there is reasonable doubt that principal or interest will be collected in full.  Accrued interest is generally reversed when a loan is placed on non-accrual status. Additionally, any original issue discount and market discount are no longer accreted to interest income as of the date the loan is placed on non-accrual status.  Interest payments received on non-accrual loans may be recognized as income or applied to principal depending upon management’s judgment regarding collectability. Non-accrual loans are restored to accrual status when past due principal and interest are paid current and, in management’s judgment, are likely to remain current. Management may determine to not place a loan on non-accrual status if the loan has sufficient collateral value and is in the process of collection.

Realized Gains/Losses

Realized gains or losses are measured by the difference between the net proceeds received (excluding prepayment fees, if any) and the amortized cost basis of the investment using the specific identification method without regard to unrealized gains or losses previously recognized, and include investments charged off during the period, net of recoveries.

Organization and Offering Costs

Costs associated with the organization of the Company are expensed as incurred, subject to the limitations discussed below. These costs consist primarily of legal fees and other costs of organizing the Company. Costs associated with the offering of Common Stock are capitalized as “deferred offering costs” on the Consolidated Statements of Assets and Liabilities and amortized over a twelve-month period from the initial capital call, subject to the limitation described in Note 3 below. These costs consist primarily of legal fees and other costs incurred in connection with the Company’s continuous Private Offerings of its Common Stock.

27

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

Expenses

The Company is responsible for investment expenses, legal expenses, auditing fees and other expenses related to the Company’s operations. Such fees and expenses, including expenses incurred by the Investment Adviser on behalf of the Company, are reimbursed by the Company.

The Company pays the Investment Adviser a base management fee and an incentive fee under the Investment Advisory Agreement as described in Note 3 below. The fees are recorded on the Consolidated Statements of Operations.

Deferred Financing Costs

Deferred financing costs represent upfront fees, legal and other direct incremental costs incurred in connection with the Company’s borrowings. These costs are deferred and will be amortized over the life of the related borrowings using the straight-line method. Deferred financing costs related to revolving credit facilities are presented separately as an asset on the Company’s Consolidated Statements of Assets and Liabilities.

Income Taxes

The Company has elected to be treated as a RIC under Subchapter M of the Code. So long as the Company maintains its status as a RIC, it generally will not pay corporate U.S. federal income taxes on any ordinary income or capital gains that it distributes at least annually to its stockholders as dividends.

In order to qualify as a RIC, the Company must meet certain minimum distribution, source-of-income and asset diversification requirements. If such requirements are met, then the Company is generally required to pay income taxes only on the portion of its taxable income and gains it does not distribute.

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

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

The Company evaluates tax positions taken or expected to be taken in the course of preparing its consolidated financial statements to determine whether the tax positions are “more likely than not” to be sustained by the applicable tax authority. All penalties and interest associated with income taxes, if any, are included in income tax expense. Each of the SPVs is a disregarded entity for tax purposes and is consolidated with the tax return of the Company.

For the three and nine months ended September 30, 2021, the Company incurred $0 and $5, respectively, of U.S. federal excise tax.

28

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

New Accounting Standards

In March 2020, the FASB issued Accounting Standards Update 2020-04 (“ASU 2020-04”) “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” This accounting update provides optional accounting relief to entities with contracts, hedge accounting relationships or other transactions that reference the London Interbank Offered Rate (“LIBOR”) or other interest rate benchmarks for which the referenced rate is expected to be discontinued or replaced. This optional relief generally allows for contract modifications solely related to the replacement of the reference rate to be accounted for as a continuation of the existing contract instead of as an extinguishment of the contract, and would therefore not trigger certain accounting impacts that would otherwise be required. The optional relief can be applied beginning January 1, 2020 and ending December 31, 2022. We plan to apply the accounting relief as relevant contract relationship modifications are made during the course of the reference rate reform transition period.

(3)Related Party Transactions

Placement Agent Agreement

On August 30, 2019, the Company entered into a placement agent agreement (the “Placement Agent Agreement”) with Morgan Stanley Distribution Inc. (the “Paying Agent”), Morgan Stanley Smith Barney LLC (the “Placement Agent”) and the Investment Adviser. Under the terms of the Placement Agent Agreement, the Placement Agent and certain of its affiliates will assist in the placement of Common Stock in the Company’s Private Offerings. The Company is not liable for any payments to the Placement Agent pursuant to the Placement Agent Agreement. Payments will be made by the Investment Adviser to the Placement Agent. To the extent the Paying Agent receives any payments, it will remit such payments to the Placement Agent.

Investment Advisory Agreement

On November 25 2019, the Company entered into the Investment Advisory Agreement with the Investment Adviser, and, in November 2021, the board of directors of the Company (the “Board”), including a majority of the directors who are not “interested persons” as defined in Section 2(a)(19) of the 1940 Act (the “Independent Directors”), reapproved the Investment Advisory Agreement in accordance with, and on the basis of an evaluation satisfactory to such directors as required by, Section 15(c) of the 1940 Act for an additional one-year term.

The Company pays the Investment Adviser a fee for its services under the Investment Advisory Agreement consisting of two components: a base management fee (“Base Management Fee”) and an incentive fee. The costs of both the Base Management Fee and the incentive fee will ultimately be borne by the Company’s stockholders.

Base Management Fee

The Base Management Fee is calculated at an annual rate of 1.0% of the Company’s average gross assets at the end of the two most recently completed calendar quarters, including assets purchased with borrowed funds or other forms of leverage but excluding cash and cash equivalents. Prior to a listing of the Common Stock on a national securities exchange, the Investment Adviser has agreed to irrevocably waive the portion of the Base Management Fee in excess of 0.25% of the Company’s average gross assets calculated in accordance with the Investment Advisory Agreement. Any waived Base Management Fees are not subject to recoupment by the Investment Adviser. The Base Management Fee is payable quarterly in arrears and no management fee is charged on committed but undrawn Capital Commitments.

For the three and nine months ended September 30, 2021, Base Management Fees were $966 and $2,159 net of waiver, respectively, and for the three and nine months ended September 30, 2020, Base Management Fees were $159 and $265 net of waiver, respectively.

29

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

As of September 30, 2021 and December 31, 2020, $966 and $295, respectively, were payable to the Investment Adviser relating to Base Management Fees.

Incentive Fee

The incentive fee consists of two components that are determined independently of each other, with the result that one component may be payable even if the other is not. One component is based on income and the other component is based on capital gains.

The Company pays the Investment Adviser an income based incentive fee with respect to the Company’s pre-incentive fee net investment income in each calendar quarter as follows:

•No income based incentive fee if the Company’s pre-incentive fee net investment income, expressed as a return on the value of the Company’s net assets at the end of the immediately preceding calendar quarter, does not exceed the hurdle rate of 1.5% (6.0% annualized);

•100% of the Company’s pre-incentive fee net investment income, if any, that exceeds the hurdle rate but is less than 1.8182% (7.2728% annualized). This portion of the pre-incentive fee net investment income (which exceeds the hurdle rate but is less than 1.8182%) is referred to as the “catch-up”. This “catch-up” portion is meant to provide the Investment Adviser with approximately 17.5% of the Company’s pre-incentive fee net investment income as if a hurdle rate did not apply if the “catch up” is achieved; and

•17.5% of the Company’s pre-incentive fee net investment income, if any, that exceeds the rate of return of 1.8182% (7.2728% annualized).

The second part of the incentive fee is determined on realized capital gains calculated and payable in arrears in cash as of the end of each calendar year or upon the termination of the Investment Advisory Agreement in an amount equal to 17.5% of the realized capital gains, if any, on a cumulative basis from November 25, 2019, the date of the Company's election to be regulated as a BDC, through the end of a given calendar year or upon the termination of the Investment Advisory Agreement, computed net of all realized capital losses and unrealized capital depreciation on a cumulative basis, less the aggregate amount of any previously paid capital gains incentive fee (the “Cumulative Capital Gains”).

Under U.S. GAAP, the Company is required to accrue an incentive fee on capital gains, including unrealized capital appreciation even though such unrealized capital appreciation is not included in calculating the incentive fee payable under the Investment Advisory Agreement. If such amount is positive at the end of a period, then the Company will record an incentive fee on capital gains incentive fee equal to 17.5% of such amount, less the aggregate amount of any previously paid capital gains incentive fees. If such amount is negative, no accrual will be recorded for such period.

For the three and nine months ended September 30, 2021, $4,119 and $9,965, respectively, of income based incentive fee were accrued to the Investment Adviser. For the three and nine months ended September 30, 2020, $551 and $969, respectively, of income based incentive fee were accrued to the Investment Adviser.

For the three and nine months ended September 30, 2021, $598 and $2,090, respectively, of capital gains incentive fee were accrued to the Investment Adviser. For each of the three and nine months ended September 30, 2020, $750 of capital gains incentive fee was accrued to the Investment Adviser. The Investment Advisory Agreement does not permit unrealized capital appreciation for purposes of calculating the amount payable to the Investment Adviser. Amounts due related to unrealized capital appreciation, if any, will not be paid to the Investment Adviser until realized under the terms of the Investment Advisory Agreement and determined based on the calculation. Incentive fees on Cumulative Capital Gains crystallize at calendar year-end.

As of September 30, 2021, $4,119 and $3,054 were payable to the Investment Adviser relating to income based incentive fee and capital gains incentive fee, respectively.

As of December 31, 2020, $1,548 and $1,341 were payable to the Investment Adviser relating to income based incentive fee and capital gains incentive fee, respectively.

30

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

Administration Agreement

MS Private Credit Administrative Services LLC (the “Administrator”) is the administrator of the Company pursuant to an administration agreement (the “Administration Agreement”).

Pursuant to the Administration Agreement, the Administrator provides services and receives reimbursements from the Company for its costs and expenses and the Company’s allocable portion of overhead costs incurred by the Administrator in performing its obligations under the Administration Agreement, including the Company’s allocable portion of the compensation paid to the Company’s Chief Compliance Officer and Chief Financial Officer. Reimbursement under the Administration Agreement occurs quarterly in arrears.

For the three and nine months ended September 30, 2021, the Company incurred $54 and $158, respectively, in expenses under the Administration Agreement, which were recorded in administrative service expenses on the Company’s Consolidated Statements of Operations.

For the three and nine months ended September 30, 2020, the Company incurred $54 and $140, respectively, in expenses under the Administration Agreement, which were recorded in administrative service expenses on the Company’s Consolidated Statements of Operations.

Amounts unpaid and included in payable to affiliates on the Consolidated Statements of Assets and Liabilities as of September 30, 2021 and December 31, 2020 were $201 and $60, respectively.

Expense Support and Waiver Agreement

On December 31, 2019, the Company entered into an expense support and waiver agreement (the “Expense Support and Waiver Agreement”) with the Investment Adviser. Under the terms of the Expense Support and Waiver Agreement, the Investment Adviser agreed to waive any reimbursement by the Company of offering and organizational expenses to be incurred by the Investment Adviser on behalf of the Company in excess of $1,000 or 0.10% of the aggregate Capital Commitments of the Company, whichever is greater. If actual organization and offering costs incurred exceed the greater of $1,000 or 0.10% of the Company’s total Capital Commitments, the Investment Adviser or its affiliate will bear the excess costs. The Company shall reimburse the Investment Adviser for payments of any excess costs borne by the Investment Adviser on the Company’s behalf within three years of December 23, 2019 (the “Initial Closing Date”).

For the three months ended September 30, 2021, the Company did not incur any organization cost. $1 of previously waived expenses was recouped as a result of an increase in the Company’s total Capital Commitments. For the nine months ended September 30, 2021, the Company incurred $42 towards organization cost and amortization of offering cost. $98 of previously waived expenses was recouped as a result of an increase in the Company’s total Capital Commitments.

For the three and nine months ended September 30, 2020, the Company incurred $206 and $541, respectively, towards organization cost and amortization of offering cost. These costs exceeded the Investment Adviser reimbursement threshold, and as a result, the excess organization cost of $5 and $138, respectively, were waived.

As of September 30, 2021 and December 31, 2020, organization cost and offering cost are included in payable to affiliates and accrued expenses and other liabilities on the Consolidated Statements of Assets and Liabilities.

License Agreement

The Company entered into a license agreement with Morgan Stanley (the “License Agreement”) under which Morgan Stanley has agreed to grant the Company a non-exclusive, royalty-free license to use the name “Morgan Stanley” for specified purposes in the Company’s business. Under the License Agreement, the Company will have a right to use the “Morgan Stanley” name, subject to certain conditions, for so long as the Investment Adviser or one of its affiliates remains the Company’s investment adviser. Other than with respect to this limited license, the Company will have no legal right to the “Morgan Stanley” name.

31

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

Morgan Stanley Investment

MS Credit Partners Holdings, Inc. (“MS Credit Partners Holdings”), a wholly owned subsidiary of Morgan Stanley and an affiliate of the Investment Adviser, made an aggregate Capital Commitment of $200,000 to the Company in 2019. As of September 30, 2021 and December 31, 2020, MS Credit Partners Holdings’ total capital commitment represented approximately 13% and 14% of aggregate Capital Commitments received, respectively.

(4)Investments

The composition of the Company’s investment portfolio at cost and fair value were as follows:

	September 30, 2021						December 31, 2020
	Cost		Fair Value		% of Total Investments at Fair Value		Cost		Fair Value		% of Total Investments at Fair Value
First Lien Debt	$	1,593,489	$	1,608,243	90.9	%	$	575,009	$	580,867	91.2	%
Second Lien Debt	128,927		130,632		7.4		53,505		53,155		8.3
Other Securities	29,519		30,392		1.7		2,959		2,959		0.5
Total	$	1,751,935	$	1,769,267	100.0	%	$	631,473	$	636,981	100.0	%

32

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

The industry composition of the Company’s investments at fair value were as follows:

	September 30, 2021		December 31, 2020 (1)
Aerospace and Defense	2.1	%	—	%
Auto Components	3.9		4.6
Automobiles	6.5		(0.1)
Biotechnology	0.8		—
Commercial Services & Supplies	11.9		10.0
Containers & Packaging	0.8		2.0
Diversified Consumer Services	1.4		1.5
Diversified Financial Services	—		2.7
Electronic Equipment, Instruments & Components	2.2		0.0
Energy Equipment & Services	0.8		2.3
Food Products	4.2		11.2
Health Care Equipment & Supplies	0.6		—
Health Care Providers & Services	3.0		1.3
Health Care Technology	1.2		1.4
Industrial Conglomerates	2.2		5.0
Insurance	15.2		19.4
Interactive Media & Services	5.2		3.6
IT Services	10.9		12.0
Leisure Products	3.3		3.8
Machinery	1.8		—
Multi-Utilities	0.6		0.1
Professional Services	4.3		7.1
Real Estate Management & Development	6.1		5.3
Software	11.0		6.8
Total	100.0	%	100.0	%

(1) Negative percentage is resulted from negative fair value of an unfunded loan commitment.

The geographic composition of investments at cost and fair value were as follows:

	September 30, 2021						December 31, 2020
	Cost		Fair Value		% of Total Investments at Fair Value		Cost		Fair Value		% of Total Investments at Fair Value
Canada	$	36,176	$	36,176	2.0	%	$	—	$	—	—	%
United States	1,715,759		1,733,091		98.0		631,473		636,981		100.0
Total	$	1,751,935	$	1,769,267	100.0	%	$	631,473	$	636,981	100.0	%

(5)Fair Value Measurements

The Company conducts the valuation of assets at all times consistent with U.S. GAAP and the 1940 Act. The Company’s board of directors (the “Board”), with the assistance of the Audit Committee of the Board (the “Audit Committee”), determines the fair value of the assets for assets with a daily public market, and for assets with no readily available public market, on at least a

33

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

quarterly basis, in accordance with FASB ASC 820, Fair Value Measurements (“ASC 820”). Valuation procedures are set forth in more detail below.

ASC 820 defines fair value as “the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.” Fair value is a market-based measurement, not an entity-specific measurement. For some assets and liabilities, observable market transactions or market information might be available. For other assets and liabilities, observable market transactions and market information might not be available. However, the objective of a fair value measurement in both cases is the same—to estimate the price when an orderly transaction to sell the asset or transfer the liability would take place between market participants at the measurement date under current market conditions (that is, an exit price at the measurement date from the perspective of a market participant that holds the asset or owes the liability).

ASC 820 establishes a hierarchical disclosure framework which ranks the observability of inputs used in measuring financial instruments at fair value. The observability of inputs is impacted by a number of factors, including the type of financial instruments and their specific characteristics. Financial instruments with readily available quoted prices, or for which fair value can be measured from quoted prices in active markets, generally will have a higher degree of market price observability and a lesser degree of judgment applied in determining fair value.

The three-level hierarchy for fair value measurements is defined as follows:

Level 1—inputs to the valuation methodology are quoted prices available in active markets for identical financial instruments as of the measurement date. The types of financial instruments in this category include unrestricted securities, including equities and derivatives, listed in active markets. We do not adjust the quoted price for these instruments, even in situations where we hold a large position and a sale could reasonably impact the quoted price.

Level 2—inputs to the valuation methodology are quoted prices in markets that are not active or for which all significant inputs are either directly or indirectly observable as of the measurement date. The types of financial instruments in this category include less liquid and restricted securities listed in active markets, securities traded in markets that are not active, and certain over-the-counter derivatives where the fair value is based on observable inputs.

Level 3—inputs to the valuation methodology are unobservable and significant to the overall fair value measurement, and include situations where there is little, if any, market activity for the investment. The inputs into the determination of fair value require significant management judgment or estimation. The types of financial instruments in this category include investments in privately held entities, non-investment grade residual interests in securitizations and certain over-the-counter derivatives where the fair value is based on unobservable inputs.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, the determination of which category within the fair value hierarchy is appropriate for any given financial instrument is based on the lowest level of input that is significant to the fair value measurement. Assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment and considers factors specific to the financial instrument.

Pursuant to the framework set forth above, the Company values securities traded in active markets on the measurement date by multiplying the exchange closing price of such traded securities/instruments by the quantity of shares or amount of the instrument held. The Company may also obtain quotes with respect to certain of the investments from pricing services, brokers or dealers’ quotes, or counterparty marks in order to value liquid assets that are not traded in active markets. Pricing services aggregate, evaluate and report pricing from a variety of sources including observed trades of identical or similar securities, broker or dealer quotes, model-based valuations and internal fundamental analysis and research. When doing so, the Company determines whether the quote obtained is sufficient according to U.S. GAAP to determine the fair value of the security. If determined adequate, the Company uses the quote obtained.

Securities that are illiquid or for which the pricing source does not provide a valuation or methodology or provides a valuation or methodology that, in the judgment of the Investment Adviser or the Board, does not represent fair value, each is valued as

34

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

of the measurement date using all techniques appropriate under the circumstances and for which sufficient data is available. These valuation techniques may vary by investment but include comparable public market valuations, comparable precedent transaction valuations and discounted cash flow analyses. Non-controlled debt investments are generally fair valued using discounted cash flow technique. Expected cash flows are projected based on contractual terms and discounted back to the measurement date based on a discount rate. Discount rate is determined based upon an assessment of current and expected yields for similar investments and risk profiles. Non-controlled equity investments are generally fair valued using a market approach and/or an income approach. The market approach typically utilizes market value multiples of comparable publicly traded companies. The income approach typically utilizes a discounted cash flow analysis of the portfolio company. The Board undertakes a multi-step valuation process each quarter, as described below:

(1)each portfolio company or investment is initially valued by using a standardized template designed to approximate fair market value based on observable market inputs and updated credit statistics and unobservable inputs;

(2)preliminary valuation conclusions are documented and reviewed by a valuation committee comprised of members of the Investment Adviser’s senior management;

(3)the Board engages one independent third-party valuation firm to provide positive assurance on a portion of the Company’s illiquid investments each quarter (such that each illiquid investment will be reviewed by an independent valuation firm at least once on a rolling twelve month basis) including review of management’s preliminary valuation and conclusion of fair value;

(4)the Audit Committee reviews the assessments of the Investment Adviser and the independent third-party valuation firm and provide the Board with recommendations with respect to the fair value of each investment in the Company’s portfolio; and

(5)    the Board discusses the valuation recommendations of the Audit Committee and determine the fair value of each investment in the Company’s portfolio in good faith based on the input of the Investment Adviser and, where applicable, the third-party valuation firm.

The fair value is generally determined based on the assessment of the following factors, as relevant:

•     the nature and realizable value of any collateral;

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

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

•     the portfolio company’s public or “private letter” credit ratings;

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

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

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

•     comparisons to publicly traded securities.

Investment performance data utilized will be the most recently available as of the measurement date which in many cases may reflect up to a one quarter lag in information.

The Board is ultimately responsible for the determination, in good faith, of the fair value of the Company’s portfolio investments.

During the three and nine months ended September 30, 2021, there were $0 and $2,849 of portfolio investments transferred into Level 3 from Level 2 at fair value, respectively, as of the beginning of the period in which the reclassification occurred, primarily due to decreased price transparency.

35

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

The following table presents the fair value hierarchy of the investments:

	September 30, 2021
	Level 1		Level 2		Level 3		Total
First Lien Debt	$	—	$	17,129	$	1,591,114	$	1,608,243
Second Lien Debt	—		—		130,632		130,632
Other Securities	—		12,460		17,932		30,392
Total	$	—	$	29,589	$	1,739,678	$	1,769,267

	December 31, 2020
	Level 1		Level 2		Level 3		Total
First Lien Debt	$	—	$	22,549	$	558,318	$	580,867
Second Lien Debt	—		—		53,155		53,155
Other Securities	—		—		2,959		2,959
Total	$	—	$	22,549	$	614,432	$	636,981

The following table presents changes in the fair value of the investments for which Level 3 inputs were used to determine the fair value for the three months ended September 30, 2021:

	First Lien Debt		Second Lien Debt		Other Securities		Total Investments
Fair value, June 30, 2021	$	1,175,696	$	130,051	$	16,322	$	1,322,069
Purchases of investments	465,276		—		1,669		466,945
Proceeds from principal repayments and sales of investments	(54,971)		—		—		(54,971)
Accretion of discount/amortization of premium	2,095		62		—		2,157
Payment-in-kind	—		128		(54)		74
Net change in unrealized appreciation (depreciation)	2,892		391		(5)		3,278
Net realized gain (loss)	126		—		—		126
Transfers into/out of Level 3	—		—		—		—
Fair value, September 30, 2021	$	1,591,114	$	130,632	$	17,932	$	1,739,678
Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2021	$	3,391	$	391	$	(5)	$	3,777

36

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

The following table presents changes in the fair value of the investments for which Level 3 inputs were used to determine the fair value for the nine months ended September 30, 2021:

	First Lien Debt		Second Lien Debt		Other Securities		Total Investments
Fair value, December 31, 2020	$	558,318	$	53,155	$	2,959	$	614,432
Purchases of investments	1,205,860		89,398		13,904		1,309,162
Proceeds from principal repayments and sales of investments	(190,629)		(15,000)		—		(205,629)
Accretion of discount/amortization of premium	5,589		643		—		6,232
Payment-in-kind			381		197		578
Net change in unrealized appreciation (depreciation)	9,007		2,055		872		11,934
Net realized gain (loss)	120		—		—		120
Transfers into/out of Level 3	2,849		—		—		2,849
Fair value, September 30, 2021	$	1,591,114	$	130,632	$	17,932	$	1,739,678
Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2021	$	10,233	$	2,055	$	872	$	13,160

The following table presents changes in the fair value of the investments for which Level 3 inputs were used to determine the fair value for the three months ended September 30, 2020:

	First Lien Debt		Second Lien Debt		Total Investments
Fair value, June 30, 2020	$	160,667	$	14,185	$	174,852
Purchases of investments	149,390		—		149,390
Proceeds from principal repayments and sales of investments	(11,764)		—		(11,764)
Accretion of discount/amortization of premium	669		9		678
Net change in unrealized appreciation (depreciation)	3,933		23		3,956
Net realized gain (loss)	—		—		—
Transfers into/out of Level 3	19,235		—		19,235
Fair value, September 30, 2020	$	322,130	$	14,217	$	336,347
Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2020	$	3,933	$	23	$	3,956

37

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

The following table presents changes in the fair value of the investments for which Level 3 inputs were used to determine the fair value for the nine months ended September 30, 2020:

	First Lien Debt		Second Lien Debt		Total Investments
Fair value, December 31, 2019	$	—	$	—	$	—
Purchases of investments	312,637		14,700		327,337
Proceeds from principal repayments and sales of investments	(13,851)		—		(13,851)
Accretion of discount/amortization of premium	1,043		21		1,064
Net change in unrealized appreciation (depreciation)	3,066		(504)		2,562
Net realized gain (loss)	—		—		—
Transfers into/out of Level 3	19,235		—		19,235
Fair value, September 30, 2020	$	322,130	$	14,217	$	336,347
Net change in unrealized appreciation (depreciation) from investments still held as of September 30, 2020	$	2,637	$	(504)	$	2,133

The following table presents quantitative information about the significant unobservable inputs of the Company’s Level 3 financial instruments. The table is not intended to be all-inclusive but instead captures the significant unobservable inputs relevant to the Company’s determination of fair value.

	September 30, 2021
					Range
	Fair Value		Valuation Technique	Unobservable Input	Low		High		Weighted Average
Investments in first lien debt	$	1,591,114	Yield Analysis	Discount Rate	5.24	%	9.60	%	7.23	%
Investments in second lien debt	130,632		Yield Analysis	Discount Rate	7.07	%	10.51	%	8.70	%
Investments in other securities:
Unsecured debt	1,475		Yield Analysis	Discount Rate	21.53	%	21.53	%	21.53	%
			Market Approach	EBITDA Multiple	9.00x		9.00x		9.00x
Preferred equity	4,894		Yield Analysis	Discount Rate	12.00	%	12.00	%	12.00	%
	1,275		Market Approach	Revenue Multiple	11.80x		11.80x		11.80x
Common equity	10,288		Market Approach	EBITDA Multiple	8.10x		16.90x		13.70x
Total investments in other securities	$	17,932
Total investments	$	1,739,678

	December 31, 2020
					Range
	Fair Value		Valuation Technique	Unobservable Input	Low		High		Weighted Average
Investments in first lien debt	$	558,318	Yield Analysis	Discount Rate	5.75	%	8.86	%	7.18	%
Investments in second lien debt	53,155		Yield Analysis	Discount Rate	10.35	%	10.95	%	10.52	%
Investments in other securities	2,959		Market Approach	EBITDA Multiple	9.15x		10.01x		9.71x
Total investments	$	614,432

The significant unobservable input used in yield analysis is discount rate based on comparable market yields. Significant increases in discount rates in isolation would result in a significantly lower fair value measurement. The significant unobservable input

38

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

used in the market approach is the comparable company multiple. The multiple is used to estimate the enterprise value of the underlying investment. An increase/decrease in the multiple would result in an increase/decrease, respectively, in the fair value.

Financial instruments disclosed but not carried at fair value

The carrying value and fair value of the Company’s secured borrowings disclosed but not carried at fair value were as follows:

	September 30, 2021				December 31, 2020
	Carrying Value		Fair Value		Carrying Value		Fair Value
CIBC Subscription Facility	$	392,350	$	392,350	$	333,850	$	333,850
BNP Funding Facility	482,000		482,000		—		—
Truist Credit Facility	172,500		172,500		—		—
Total	$	1,046,850	$	1,046,850	$	333,850	$	333,850

The above fair value measurements were based on significant unobservable inputs and thus represent Level 3 measurements as defined under ASC 820.

The carrying amounts of the Company’s assets and liabilities, other than investments at fair value and secured borrowings, approximate fair value. These financial instruments are categorized as Level 3 within the hierarchy as of both September 30, 2021 and December 31, 2020.

(6) Debt

CIBC Subscription Facility

On December 31, 2019, the Company entered into a revolving credit agreement (the “CIBC Subscription Facility”) with CIBC Bank USA, as administrative agent and arranger, which was subsequently amended on February 3, 2020 and November 17, 2020. The maximum principal amount of the CIBC Subscription Facility, which was $100.0 million as of December 31, 2019, was increased to $400.0 million on November 17, 2020.

The CIBC Subscription Facility allows the Company to borrow up to $400.0 million at any one time outstanding, subject to certain restrictions, including availability under the borrowing base, which is based on unused Capital Commitments. The amount of permissible borrowings under the CIBC Subscription Facility may be increased to up to an aggregate amount of $500.0 million with the consent of the lenders. The CIBC Subscription Facility has a maturity date of December 31, 2022.

The CIBC Subscription Facility bears interest at a rate at the Company’s election of either (i) the per annum one-, two-, or three-month London Interbank Offered Rate, or LIBOR, divided by a number determined by subtracting from 1.00 the then stated maximum reserve percentage for determining reserves to be maintained by member banks of the Federal Reserve System for Eurocurrency funding or liabilities, plus 1.65% or (ii) the prime rate plus 0.65%, as calculated under the CIBC Subscription Facility. The CIBC Subscription Facility is secured by the unfunded commitments of certain stockholders of the Company. In connection with the CIBC Subscription Facility, the Company has made certain customary representations and warranties and is required to comply with various covenants, reporting requirements and other customary requirements for similar credit facilities. Borrowings under the CIBC Subscription Facility are subject to the leverage restrictions contained in the 1940 Act.

As of September 30, 2021 and December 31, 2020, the Company was in compliance with all covenants and other requirements of the CIBC Subscription Facility. The summary information of the CIBC Subscription Facility for the three and nine months ended September 30, 2021 and September 30, 2020 was as follows:

39

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

	For the Three Months Ended						For the Nine Months Ended
	September 30, 2021			September 30, 2020			September 30, 2021			September 30, 2020
Borrowing interest expense	$	1,660		$	638		$	4,812		$	1,066
Facility unused commitment fees	17			97			66			347
Amortization of financing costs	355			232			1,030			637
Total	$	2,032		$	967		$	5,908		$	2,050
Weighted average interest rate (excluding unused fees and financing costs)	1.77		%	1.84		%	1.78		%	1.98		%
Weighted average outstanding balance	$	366,714		$	135,709		$	356,160		$	70,727

During the three months ended September 30, 2021 and September 30, 2020, the Company borrowed $166,500 and $107,500, respectively, and repaid $123,000 and $105,500, respectively, under the CIBC Subscription Facility.

During the nine months ended September 30, 2021 and September 30, 2020, the Company borrowed $381,500 and $391,350, respectively, and repaid $323,000 and $210,000, respectively, under the CIBC Subscription Facility.

BNP Funding Facility

On October 14, 2020, DLF LLC entered into a Revolving Credit and Security Agreement, which was subsequently amended on December 11, 2020 and March 2, 2021, with DLF LLC, as the borrower, BNP Paribas (“BNP”), as the administrative agent and lender, the Company, as the equityholder and as the servicer, and U.S. Bank National Association, as collateral agent, pursuant to which BNP has agreed to extend credit to DLF LLC (the “BNP Funding Facility”). As of September 30, 2021, the borrowing capacity under the BNP Funding Facility is $600.0 million. The applicable margin on borrowings during the reinvestment period ranges between 1.95% and 2.75% and, after the reinvestment period, between 2.45% and 3.25%. The BNP Funding Facility has a maturity date of October 13, 2025.

As of September 30, 2021 and December 31, 2020, the Company was in compliance with all covenants and other requirements of the BNP Funding Facility. The summary information of the BNP Funding Facility for the three and nine months ended September 30, 2021 and September 30, 2020 was as follows:

	For the Three Months Ended						For the Nine Months Ended
	September 30, 2021			September 30, 2020			September 30, 2021			September 30, 2020
Borrowing interest expense	$	2,975		$	—		$	5,546		$	—
Facility unused commitment fees	34			—			69			—
Amortization of financing costs	289			—			783			—
Total	$	3,298		$	—		$	6,398		$	—
Weighted average interest rate (excluding unused fees and financing costs)	2.46		%	—		%	2.49		%	—		%
Weighted average outstanding balance	$	472,370		$	—		$	293,766		$	—

During the three months ended September 30, 2021, the Company borrowed $125,000 and repaid $14,000 under the BNP Funding Facility. During the nine months ended September 30, 2021, the Company borrowed $514,000 and repaid $32,000 under the BNP Funding Facility.

40

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

Truist Credit Facility

On July 16, 2021, the Company entered into a Senior Secured Revolving Credit Agreement (the “Truist Credit Facility”) with Truist Bank. Truist Bank serves as Administrative Agent and Truist Securities, Inc. serves as Joint Lead Arranger and Sole Book Runner. The maximum principal amount of the Truist Credit Facility is $650.0 million, subject to availability under the borrowing base. The Truist Credit Facility includes an uncommitted accordion feature that allows the Company, under certain circumstances, to increase the borrowing capacity to up to $1,000.0 million. The availability period of the Truist Credit Facility will terminate on July 16, 2025. The Truist Credit Facility will mature on July 16, 2026. The Truist Credit Facility is guaranteed by certain domestic subsidiaries of the Company (the “Guarantors”). The Company’s obligations to the lenders under the Truist Credit Facility are secured by a first priority security interest in substantially all of the assets of the Company and each Guarantor, subject to certain exceptions.

The Company may borrow amounts in U.S. dollars or certain other permitted currencies. Borrowings under the Truist Credit Facility bear interest at a per annum rate equal to, (x) for loans for which the Company elects the base rate option, the “alternate base rate” (which is the highest of (a) the prime rate as publicly announced by Truist Bank, (b) the sum of (i) the weighted average of the rates on overnight federal funds transactions, as published by the Federal Reserve Bank of New York plus (ii) 0.5%, and (c) one month LIBOR plus 1% per annum) plus either (A) 0.75%, or (B) 0.875%, based on certain borrowing base conditions, and (y) for loans for which the Company elects the Eurocurrency option, the applicable LIBO Rate for the related Interest Period for such Borrowing plus either (A) 1.75% per annum, or (B) 1.875% per annum, based on certain borrowing base conditions. The Company pays an unused fee of 0.375% per annum on the daily unused amount of the revolver commitments.

In connection with the Truist Credit Facility, the Company has made certain customary representations and warranties and is required to comply with various covenants, reporting requirements and other customary requirements for similar credit facilities. In addition, the Company must comply with the following financial covenants: (a) the Company must maintain a minimum shareholders’ equity, measured as of each fiscal quarter end; and (b) the Company must maintain at all times a 150% asset coverage ratio.

As of September 30, 2021, the Company was in compliance with all covenants and other requirements of the Truist Credit Facility. The summary information of the Truist Credit Facility from July 16, 2021 to September 30, 2021 was as follows:

	From July 16, 2021 to September 30, 2021
Borrowing interest expense	$	267
Facility unused commitment fees	476
Amortization of financing costs	200
Total	$	943
Weighted average interest rate (excluding unused fees and financing costs)	2.22		%
Weighted average outstanding balance(1)	$	56,065

(1) Weighted average outstanding balance calculated for the period from July 16, 2021 to September 30, 2021.

From July 16, 2021 to September 30, 2021, the Company borrowed $172,500 and repaid $0 under the Truist Credit Facility.

The Company’s outstanding debt obligations were as follows:

	September 30, 2021
	Aggregate Principal Committed		Outstanding Principal		Unused Portion		Amount Available(1)
CIBC Subscription Facility	$	400,000	$	392,350	$	7,650	$	7,650
BNP Funding Facility	600,000		482,000		118,000		118,000
Truist Credit Facility	650,000		172,500		477,500		429,330
Total	$	1,650,000	$	1,046,850	$	603,150	$	554,980

41

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

	December 31, 2020
	Aggregate Principal Committed		Outstanding Principal		Unused Portion		Amount Available(1)
CIBC Subscription Facility	$	400,000	$	333,850	$	66,150	$	66,150
BNP Funding Facility	300,000		—		300,000		126,198
Total	$	700,000	$	333,850	$	366,150	$	192,348

(1) The amount available reflects any limitations related to each credit facility’s borrowing base.

(7)Commitments and Contingencies

In the normal course of business, the Company may enter into contracts that provide a variety of general indemnifications. Any exposure to the Company under these arrangements could involve future claims that may be made against the Company. Currently, no such claims exist or are expected to arise and, accordingly, the Company has not accrued any liability in connection with such indemnifications.

As of September 30, 2021 and December 31, 2020, the Company had $529,975 and $206,540 of unfunded commitments to fund delayed draw and revolving senior secured loans, respectively.

A summary of the Company’s contractual payment obligations under the secured borrowings as of September 30, 2021 was as follows:

	Payments Due by Period
	Total		Less than 1 year		1-3 years		3-5 years		After 5 years
CIBC Subscription Facility	$	392,350	$	—	$	392,350	$	—	$	—
BNP Funding Facility	482,000		—		—		482,000		—
Truist Credit Facility	172,500		—		—		172,500		—
Total Contractual Obligations	$	1,046,850	$	—	$	392,350	$	654,500	$	—

As of September 30, 2021 and December 31, 2020, the Company had $1,585,773 and $1,445,809, respectively, in total capital commitments from stockholders, of which $863,538 and $1,148,427, respectively, were unfunded.

(8)Net Assets

The following table shows the components of distributable earnings as shown on the Consolidated Statements of Assets and Liabilities:

	As of September 30, 2021		As of December 31, 2020
Net distributable earnings (accumulated losses), beginning of period	$	4,702	$	(1,156)
Net investment income (loss)	44,891		10,635
Net realized gain (loss)	120		2,154
Net unrealized appreciation (depreciation)	11,824		5,508
Dividend declared	(42,624)		(13,926)
Tax reclassification of stockholders’ equity	—		1,487
Net distributable earnings (accumulated losses), end of period	$	18,913	$	4,702

42

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

The following table summarizes the total shares issued and proceeds received from the Company’s capital drawdowns delivered pursuant to the Subscription Agreements for the nine months ended September 30, 2021 (dollar amounts in millions):

Share Issuance Date	Shares Issued	Amount
January 20, 2021	1,726,689	$	35.00
March 12, 2021	2,171,816	45.00
April 12, 2021	5,326,877	110.00
May 26, 2021	4,036,582	84.97
July 16, 2021	7,161,130	149.88
Total	20,423,094	$	424.85

The following table summarizes the total shares issued and proceeds received from the Company’s capital drawdowns delivered pursuant to the Subscription Agreements for the nine months ended September 30, 2020 (dollar amounts in millions):

Share Issuance Date	Shares Issued	Amount
February 5, 2020	2,874,810	$	57.50
March 27, 2020	2,410,313	44.95
June 26, 2020	769,195	14.95
August 11, 2020	2,002,071	39.98
September 28, 2020	3,504,634	69.99
Total	11,561,023	$	227.37

The following table summarizes the Company’s dividends declared and payable for the nine months ended September 30, 2021:

Date Declared	Record Date	Payment Date	Per Share Amount		Total Amount
March 18, 2021	March 18, 2021	April 22, 2021	$	0.45	$	8,570
June 23, 2021	June 23, 2021	July 22, 2021	0.49		13,974
September 23, 2021	September 23, 2021	October 27, 2021	0.56		20,080
Total Distributions			$	1.50	$	42,624

The following table summarizes the Company’s dividends declared and payable for the nine months ended September 30, 2020:

Date Declared	Record Date	Payment Date	Per Share Amount		Total Amount
June 19, 2020	June 19, 2020	July 15, 2020	$	0.29	$	1,533
September 24, 2020	September 24, 2020	October 22, 2020	0.40		3,228
Total Distributions			$	0.69	$	4,761

We adopted an “opt in” dividend reinvestment plan, or the DRIP. As a result, our stockholders who elect to “opt in” to the DRIP will have their cash dividends or distributions automatically reinvested in additional shares of Common Stock, rather than receiving cash. Stockholders who receive distributions in the form of shares of Common Stock will generally be subject to the same U.S. federal, state and local tax consequences as if they received cash distributions; however, those stockholders will not receive cash with which to pay any applicable taxes. Shares issued under the DRIP will not reduce an investor’s outstanding capital commitment.

43

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

The following table summarizes DRIP shares issued and amounts for the nine months ended September 30, 2021 (dollar amounts in thousands):

Payment Date	DRIP Shares Value		DRIP Shares Issued
January 27, 2021	$	2,462	121,484
April 22, 2021	2,276		110,191
July 22, 2021	3,733		178,345
Total	$	8,471	410,020

The following table summarizes DRIP shares issued and amounts for the nine months ended September 30, 2020 (dollar amounts in thousands):

Payment Date	DRIP Shares Value		DRIP Shares Issued
July 15, 2020	$	227	11,668
Total	$	227	11,668

(9)Earnings Per Share

    The following table sets forth the computation of basic and diluted earnings per share:

	For the Three Months Ended				For the Nine Months Ended
	September 30, 2021		September 30, 2020		September 30, 2021		September 30, 2020
Numerator for basic and diluted earnings per share - net increase/(decrease) in net assets resulting from operations	$	22,236	$	6,619	$	56,835	$	8,213
Denominator for basic and diluted earnings per share - weighted average shares outstanding	34,649,255		7,290,085		25,736,110		5,559,741		(1)
Basic and diluted earnings per share	$	0.64	$	0.91	$	2.21	$	1.48

(1) Calculated for the period from February 5, 2020, the date of first external issuance of shares through September 30, 2020.

(10) Financial Highlights

The Company commenced investing operations on January 31, 2020. Net asset value, at the beginning of period for the nine months ended September 30, 2020 represents the initial offering price per share. The following are the financial highlights for the nine months ended September 30, 2021 and September 30, 2020, respectively (dollar amounts in thousands, except per share data):

44

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

	For the nine months ended September 30, 2021			For the nine months ended September 30, 2020
Per Share Data:(1)
Net asset value, beginning of period	$	20.08		$	20.00
Net investment income (loss)	1.74			0.71
Net unrealized and realized gain (loss)(2)	0.53			(0.43)
Net increase (decrease) in net assets resulting from operations	2.27			0.28
Distributions declared	(1.50)			(0.69)
Issuance of common stock	0.04			0.28
Total increase (decrease) in net assets	0.81			(0.13)
Net asset value, end of period	$	20.89		$	19.87
Shares outstanding, end of period	35,857,539			11,574,440
Total return based on net asset value(3)	11.69		%	2.78		%
Ratio/Supplemental Data (all amounts in thousands except ratios and shares):
Net assets, end of period	$	749,153		$	229,929
Weighted average shares outstanding	25,736,110			5,559,741			(4)
Ratio of net expenses to average net assets(5)	6.55		%	6.50		%
Ratio of expenses before waivers to average net assets(5)	8.07		%	7.48		%
Ratio of net investment income to average net assets(5)	11.42		%	4.82		%
Total capital commitments, end of period	$	1,585,773		$	1,402,813
Ratios of total contributed capital to total committed capital, end of period	45.54		%	16.21		%
Asset coverage ratio	171.56		%	226.79		%
Portfolio turnover rate	19.20		%	24.56		%

(1)The per share data was derived by using the weighted average shares outstanding during the period.

(2)For the nine months ended September 30, 2021 and September 30, 2020, the amount shown does not correspond with the aggregate amount for the period as it includes the effect of the timing of capital transactions.

(3)Total return (not annualized) is calculated assuming a purchase of common stock at the opening of the first day of the period and a sale on the closing of the last business day of the period. Dividends and distributions, if any, are assumed for purposes of this calculation, to be reinvested at prices obtained under the Company's dividend reinvestment plan.

(4)For the nine months ended September 30, 2020, weighted average shares outstanding was calculated for the period from February 5, 2020, the date of first external issuance of shares through September 30, 2020.

(5)Amounts are annualized except for incentive fees, and expense support amounts relating to organization and offering costs.

45

Morgan Stanley Direct Lending Fund

Notes to Consolidated Financial Statements (Unaudited)

September 30, 2021

(In thousands, except shares and per share data)

(11) Subsequent Events

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

On October 4, 2021, the Company delivered a capital drawdown notice to its stockholders relating to the sale of approximately 7,807,826 shares of Common Stock for an aggregate offering price of approximately $164.0 million. The sale closed on October 15, 2021.

On November 2, 2021, the Company delivered a capital drawdown notice to its stockholders for an aggregate offering price of approximately $175.0 million. The sale of Common Stock was expected to close on November 12, 2021.

46

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

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

In this Quarterly Report on Form 10-Q, or this “Report”, except where context suggests otherwise, the terms

“Company,” “we,” “our” or “us” refers to Morgan Stanley Direct Lending Fund and its consolidated subsidiaries. This Report contains forward-looking statements that involve substantial risks and uncertainties. Such statements involve known and unknown risks, uncertainties and other factors and undue reliance should not be placed thereon. These forward-looking statements are not historical facts, but rather are based on current expectations, estimates and projections about us, our current and prospective portfolio investments, our industry, our beliefs and our assumptions. Words such as “anticipates,” “expects,” “intends,” “plans,” “will,” “may,” “continue,” “believes,” “seeks,” “estimates,” “would,” “could,” “should,” “targets,” “projects,” and variations of these words and similar expressions are intended to identify forward-looking statements. These statements are not guarantees of future performance and are subject to risks, uncertainties and other factors, some of which are beyond our control and difficult to predict and could cause actual results to differ materially from those expressed or forecasted in the forward-looking statements, including:

•our future operating results;

•our business prospects and the prospects of our portfolio companies;

•risk associated with possible disruptions in our operations or the economy generally, including disruptions from the impact of the current Coronavirus (also referred to as “COVID-19” or “Coronavirus”) pandemic;

•general economic, political and industry trends and other external factors, including uncertainty surrounding the financial and political stability of the United States, the United Kingdom, the European Union and China;

•our contractual arrangements and relationships with third parties;

•actual and potential conflicts of interest with MS Capital Partners Adviser Inc., our investment adviser, or the Investment Adviser, and its affiliates;

•the dependence of our future success on the general economy and its effect on the industries in which we invest;

•the ability of our portfolio companies to achieve their objectives, including as a result of the Coronavirus pandemic;

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

•the adequacy of our financing sources and working capital;

•the timing of cash flows, if any, from the operations of our portfolio companies;

•the ability of our Investment Adviser to locate suitable investments for us and to monitor and administer our investments;

•the ability of our Investment Adviser and its affiliates to attract and retain highly talented professionals;

•our ability to qualify and maintain our qualification as a business development company, or a BDC, and as a regulated investment company, or a RIC, under the Internal Revenue Code of 1986, as amended, or the Code;

•the effect of changes in tax laws and regulations and interpretations thereof; and

•the risks, uncertainties and other factors we identify under “Item 1A. Risk Factors” and elsewhere in this Report.

The information contained in this section should be read in conjunction with “Item 1. Consolidated Financial Statements.” Although we believe that the assumptions on which these forward-looking statements are based are reasonable, any of the assumptions could prove to be inaccurate, and as a result, the forward-looking statements based on those assumptions also could be inaccurate. In light of these and other uncertainties, the inclusion of a projection or forward-looking statement in this Report should not be regarded as a representation by us that our plans and objectives will be achieved.   This discussion contains forward-looking statements, which relate to future events or our future performance or financial condition and involves numerous risks and uncertainties, including, but not limited to, those set forth in “Risk Factors” in Part I, Item 1A of our Annual Report on Form 10-K for the year ended December 31, 2020, or the Form 10-K, and Part II, Item 1A of and elsewhere in this Report. You should not place undue reliance on these forward-looking statements, which apply only as of the date of this Report. Moreover, we assume no duty and do not undertake to update the forward-looking statements. You are advised to consult any additional disclosures that we make directly to you or through reports that we have filed or in the future file with the Securities and Exchange Commission, or the SEC, including annual reports on Form 10-K, quarterly reports on Form 10-Q and current reports on Form 8-K.

47

You should understand that under Section 27A(b)(2)(B) of the Securities Act of 1933, as amended, or the Securities Act, and Section 21E(b)(2)(B) of the Securities Exchange Act of 1934, as amended, or the Exchange Act, the “safe harbor” provisions of the Private Securities Litigation Reform Act of 1995 do not apply to forward-looking statements made in periodic reports we file under the Exchange Act.

48

OVERVIEW

We are an externally managed specialty finance company focused on lending to middle-market companies. We have elected to be regulated as a BDC under the Investment Company Act of 1940, or the 1940 Act. In addition, for U.S. federal income tax purposes, we have elected to be treated, and intend to comply with the requirements to qualify annually, as a RIC under Subchapter M of the Code.

Our investment objective is to achieve attractive risk-adjusted returns via current income and, to a lesser extent, capital appreciation by investing primarily in directly originated senior secured term loans issued by U.S. middle-market companies backed by financial sponsors. For the purposes of this Report, “middle-market companies” refers to companies that, in general, generate annual earnings before interest, taxes, depreciation, and amortization (“EBITDA”) in the range of approximately $15 million to $100 million, which we believe is a useful proxy for cash flow. We intend to achieve our investment objective by investing primarily in directly originated senior secured term loans including first lien senior secured term loans and second lien senior secured term loans, with the balance of our investments expected to be in higher-yielding assets such as mezzanine debt, unsecured debt, equity investments and other opportunistic assets. Typical middle-market senior loans may be issued by middle-market companies in the context of leveraged buyouts (“LBOs”), acquisitions, debt refinancings, recapitalizations, and other similar transactions. We expect to generate revenues primarily in the form of interest income from investments we hold. In addition, we expect to generate income from distributions on any direct equity investments, capital gains on the sale of loans and debt and equity securities, and various other loan origination and other fees, including commitment, origination, amendment, syndication, structuring or due diligence fees, fees for providing managerial assistance and consulting fees.

On September 18, 2020, the SEC granted our Investment Adviser exemptive relief (the “Order”) that allows us to enter into certain negotiated co-investment transactions alongside certain Affiliated Investment Accounts (as defined in the Order), which are managed by our Investment Adviser or its affiliates, in a manner consistent with our investment objective, positions, policies, strategies, and restrictions as well as regulatory requirements and other pertinent factors, subject to compliance with certain conditions specified in the Order. Pursuant to the Order, we are permitted to co-invest with our affiliates if a “required majority” (as defined in Section 57(o) of the 1940 Act) of our eligible directors make certain conclusions in connection with a co-investment transaction, including that (1) the terms of the transactions, including the consideration to be paid, are reasonable and fair to us and our stockholders and do not involve overreaching in respect of us or our stockholders on the part of any person concerned, and (2) the transaction is consistent with the interests of our stockholders and is consistent with our investment objective and strategies.

Coronavirus Developments

The effect on the U.S. and global economy of the ongoing Coronavirus pandemic, uncertainty relating to more contagious strains of the Coronavirus that have emerged in the United States and globally, the efficiency and success of the global vaccine rollout, the length of economic recovery, and policies of the new U.S. presidential administration have created stress on the market and could affect our portfolio companies. In addition, government spending and disruptions in supply chains in the United States and elsewhere in response to the Coronavirus pandemic and otherwise, in conjunction with other factors, including those described above, have led and could continue to lead to inflationary economic environments that could affect our portfolio companies, our financial condition and our results of operations. Despite these factors, we believe we are very well positioned to manage the current environment. Our portfolio was constructed almost entirely “post-COVID-19” market dislocation and we believe we still have sufficient available capital to be prudently invested in the current credit environment. We intend to continue to deploy capital in a measured pace as we find what we believe are compelling investment opportunities, while seeking to avoid investing in cyclical industries and industries directly impacted by the effects of the Coronavirus pandemic.

We cannot predict the full impact of the Coronavirus pandemic, especially in light of the uncertainty surrounding more contagious strains of the virus that have emerged in the United States and globally and the potential impact on the vaccine rollout. While the U.S. Food and Drug Administration has approved certain vaccines, including for emergency use, we cannot be certain if and when the United States and countries worldwide will achieve “herd immunity”. Any delay in the dissemination of the vaccines and any unwillingness amongst the population to get vaccinated could result in further social distancing measures and/or localized outbreaks, which may impede the global economic recovery. As such, the extent to which Coronavirus and/or other health pandemics may negatively affect our and our portfolio companies’ operating results and financial condition, or the duration of any potential business or supply-chain disruption for us, our Investment Adviser and/or our portfolio companies, is uncertain. Depending on the duration and extent of the disruption to the operations of our portfolio companies, certain portfolio companies may experience

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financial distress and possibly default on their financial obligations to us and their other capital providers. These developments would likely result in a decrease in the value of our investment in any such portfolio company.

We will continue to monitor the evolving situation relating to the Coronavirus pandemic and guidance from U.S. and international authorities, including federal, state and local public health authorities and may take additional actions based on such pronouncements. In these circumstances, there may be developments outside our control requiring us to adjust our plan of operation. As such, given the dynamic nature of this situation, we cannot reasonably estimate the impacts of Coronavirus on our financial condition, results of operations or cash flows in the future.

Investment Strategy

Our primary investment strategy is to make privately negotiated senior secured credit investments in U.S. middle-market companies that have leading market positions, enjoy high barriers to entry, such as high startup costs or other obstacles that prevent new competitors from easily entering the portfolio company’s industry or area of business, generate strong and stable free cash flow and are led by a proven management team with strong financial sponsor backing. Our investment approach is focused on long-term credit performance, risk mitigation and preservation of capital. Our Investment Adviser employs a highly rigorous, fundamentals-driven and disciplined investment process developed and refined by the investment professionals of the private credit platform of Morgan Stanley Investment Management, which is Morgan Stanley’s investment management unit and represents one of Morgan Stanley’s three business segments. Our Investment Adviser is an indirect wholly owned subsidiary of Morgan Stanley. The experienced investment professionals of our Investment Adviser work on a particular transaction from origination to close and continue to monitor each investment throughout its life cycle.

We seek to invest primarily in companies backed by leading private equity sponsors with strong track records. We believe lending to sponsor-backed companies (versus non-sponsor-backed companies) has many distinct potential advantages including:

•Strong, predictable deal flow given significant private equity committed capital;

•Well-capitalized borrowers, including access to additional capital from sponsors, if needed;

•Access to detailed financial, operational, industry data, and third-party legal and accounting due diligence reports conducted by the sponsor as part of their due diligence;

•Proper oversight and governance provided by a board of directors, coupled with industry and/or operating expertise;

•Natural alignment of interests between lender and sponsor given focus on exit strategy; and

•Supplemental diligence beyond the credit analysis of the borrower, given the ability to analyze track records of each private equity firm.

We intend to create and maintain a well-diversified, defensive portfolio of investments focusing on generally avoiding issuer or industry concentration in order to mitigate risk and achieve our investment objective. We intend to primarily focus on U.S. middle-market companies. However, to the extent that we invest in foreign companies, we intend to do so in accordance with the limitations under the 1940 Act and only in jurisdictions with established legal frameworks and a history of respecting creditor rights, including the United Kingdom and countries that are members of the European Union, as well as Canada, Australia and Japan. Our investment strategy is predicated on seeking to lend to companies in non-cyclical industry sectors (typically avoiding sectors such as retail, restaurants, energy, alcohol, tobacco, pork manufacturing, gaming and gambling, and pornography) with proven management teams.

KEY COMPONENTS OF OUR RESULTS OF OPERATIONS

Investments

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

Revenue

We expect to generate revenue primarily in the form of interest income on debt investments we hold. In addition, we expect to generate income from dividends on direct equity investments, capital gains on the sales of loans and debt and equity securities and

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

Expenses

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

•initial organization costs and offering costs incurred prior to the filing of our election to be regulated as a BDC (subject to an expense support and waiver agreement entered into with the Investment Adviser, or the Expense Support and Waiver Agreement);

•costs associated with our initial private offering;

•costs of any other offerings of our common stock, par value $0.001 per share, or the Common Stock, and other securities, if any;

•calculating individual asset values and our net asset value (including the cost and expenses of any third-party valuation services);

•out of pocket expenses, including travel expenses, incurred by the Investment Adviser, or members of its investment team or payable to third parties, performing due diligence on prospective portfolio companies and monitoring actual portfolio companies and, if necessary, enforcing our rights;

•base management fee and any incentive fee payable under the Investment Advisory Agreement;

•certain costs and expenses relating to distributions paid by us;

•administration fees payable under the Administration Agreement and any sub-administration agreements, including related expenses;

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

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

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

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

•transfer agent and custodial fees;

•costs of hedging;

•commissions and other compensation payable to brokers or dealers;

•any stock exchange listing fees and fees payable to rating agencies;

•cost of effecting any sales and repurchases of our Common Stock and other securities;

•federal and state registration fees;

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

•independent director fees and expenses;

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

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

•the costs of specialty and custom software for monitoring risk, compliance and overall investments;

•any fidelity bond required by applicable law;

•any necessary insurance premiums;

•indemnification payments;

•any extraordinary expenses (such as litigation or indemnification payments or amounts payable pursuant to any agreement to provide indemnification entered into by the Company);

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

•cost of winding up; and

•all other expenses incurred by either the Administrator or us in connection with administering our business, including payments under the Administration Agreement based upon our allocable portion of the compensation paid to our Chief Financial Officer and Chief Compliance Officer and reimbursing third-party expenses incurred by the Administrator in carrying out its administrative services including, but not limited to, the fees and expenses associated with performing compliance functions.

We will reimburse the Administrator or its affiliates for amounts paid or costs borne that properly constitute Company expenses as set forth in the Administration Agreement or otherwise. We expect our general and administrative expenses to be relatively stable or to decline as a percentage of total assets during periods of asset growth and to increase during periods of asset declines.

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PORTFOLIO AND INVESTMENT ACTIVITY

As of September 30, 2021, we had investments in 77 portfolio companies across 23 industries. Based on fair value as of September 30, 2021, 99.9% of our debt portfolio was invested in debt bearing a floating interest rate, which primarily are subject to interest rate floors. Approximately 99.1% of our debt investments at fair value had a LIBOR floor. The weighted average LIBOR floor across our debt investments was approximately 0.93% as of September 30, 2021. These floors allow us to potentially mitigate (to a degree) the impact of spread widening on the valuation of our investments. As of September 30, 2021, our weighted average total yield on debt securities at amortized cost was 7.3%. Weighted average yields include the effect of accretion of discounts and amortization of premiums and are based on interest rates as of September 30, 2021.

As of December 31, 2020, we had investments in 36 portfolio companies across 19 industries. Based on fair value as of December 31, 2020, 99.8% of our debt portfolio was invested in debt bearing a floating interest rate, which primarily are subject to interest rate floors. Approximately 95.2% of our debt portfolio at fair value had a LIBOR floor. The weighted average LIBOR floor across our floating-rate portfolio was approximately 1.0% as of December 31, 2020. Our weighted average total yield on debt securities at amortized cost was 7.5%. Weighted average yields include the effect of accretion of discounts and amortization of premiums and are based on interest rates as of December 31, 2020.     

Our investment activity is presented below (information presented herein is at amortized cost unless otherwise indicated, dollar amounts in thousands):

	As of and for the Three Months ended September 30, 2021			As of and for the Three Months ended September 30, 2020
New Investments Committed/Purchased
Gross Principal Balance(1)	$	591,083		$	283,962
Less: Syndications	—			—
Net New Investments Committed/Purchased	591,083			283,962
Investments, at Cost
Investments, beginning of period	1,337,637			206,367
New investments purchased	466,945			149,390
Net accretion of discount on investments	2,167			734
Payment-in-kind	74			—
Net realized gain (loss) on investments	126			791
Investments sold or repaid	(55,014)			(23,068)
Investments, end of period	1,751,935			334,214
Amount of investments funded, at principal
First lien debt investments	474,825			149,390
Other securities(2)	1,669			—
Total	476,494			149,390
Amount of investments sold/fully repaid, at principal
First lien debt investments	42,917			23,068
Total	$	42,917		$	23,068
Weighted average yield on debt and income producing investments, at cost(3)	7.3		%	7.6		%
Weighted average yield on debt and income producing investments, at fair value(3)	7.3		%	7.6		%
Number of portfolio companies	77			19
Percentage of debt investments bearing a floating rate, at fair value	99.9		%	100%
Percentage of debt investments bearing a fixed rate, at fair value	0.1		%	—		%

(1)Includes new investment commitments, excluding sale/repayments and including unfunded investment commitments.

(2)Includes dollar amount of equity investments funded.

(3)Computed as (a) the annual stated spread, plus applicable Prime/LIBOR or Floor, as applicable, plus the annual accretion of discounts, as applicable, on accruing debt securities, divided by (b) total debt investments (at fair value or cost, as applicable) included in such securities. Actual yields earned over the life of each investment could differ materially from the yields presented herein. 

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As part of the monitoring process, our Investment Adviser has developed risk policies pursuant to which it regularly assesses the risk profile of each of our debt investments. Our Investment Adviser has developed a classification system to group investments into four categories. The investments are evaluated regularly and assigned a category based on certain credit metrics. Our Investment Adviser’s ratings do not constitute any rating of investments by a nationally recognized statistical rating organization or represent or reflect any third-party assessment of any of our investments. Please see below for a description of the four categories of the Investment Adviser’s Internal Risk Rating system:

Category 1 — In the opinion of our Investment Adviser, investments in Category 1 involve the least amount of risk relative to our initial cost basis at the time of origination or acquisition. Category 1 investments performance is above our initial underwriting expectations and the business trends and risk factors are generally favorable, which may include the performance of the portfolio company, or the likelihood of a potential exit.

Category 2 — In the opinion of our Investment Adviser, investments in Category 2 involve a level of risk relative to our initial cost basis at the time of origination or acquisition. Category 2 investments are generally performing in line with our initial underwriting expectations and risk factors to ultimately recoup the cost of our principal investment are neutral to favorable. All new originated or acquired investments are initially included in Category 2.

Category 3 — In the opinion of our Investment Adviser, investments in Category 3 indicate that the risk to our ability to recoup the initial cost basis at the time of origination or acquisition has increased materially since the origination or acquisition of the investment, such as declining financial performance and non-compliance with debt covenants; however, principal and interest payments are not more than 120 days past due.

Category 4 — In the opinion of our Investment Adviser, investments in Category 4 involve a borrower performing substantially below expectations and indicate that the loan's risk has increased substantially since origination or acquisition. Most or all of the debt covenants are out of compliance and payments are substantially delinquent. For Category 4 investments, it is anticipated that we will not recoup our initial cost basis and may realize a substantial loss of our initial cost basis at the time of origination or acquisition upon exit.

The distribution of our portfolio on the Investment Adviser’s Internal Risk Rating System as of September 30, 2021 and December 31, 2020 were as follows (dollar amounts in thousands):

	September 30, 2021
	Fair Value		% of Portfolio		Number of Portfolio Companies
Risk rating 1	$	—	—	%	—
Risk rating 2	1,769,267		100.0		77
Risk rating 3	—		—		—
Risk rating 4	—		—		—
	$	1,769,267	100.0	%	77

	December 31, 2020
	Fair Value		% of Portfolio		Number of Portfolio Companies
Risk rating 1	$	31,230	4.9	%	1
Risk rating 2	605,751		95.1		35
Risk rating 3	—		—		—
Risk rating 4	—		—		—
	$	636,981	100.0	%	36

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An investment with Risk Rating of 1 as of December 31, 2020 was repaid in full during the nine months ended September 30, 2021, resulting in a decrease of total fair value in Risk Rating 1 as of September 30, 2021.

CONSOLIDATED RESULTS OF OPERATIONS

The following table represents our operating results (dollar amounts in thousands):

	For the Three Months Ended				For the Nine Months Ended
	September 30, 2021		September 30, 2020		September 30, 2021		September 30, 2020
Total investment income	$	31,729	$	5,659	$	75,488	$	10,472
Less: Net expenses	12,909		3,811		30,592		6,546
Net investment income	18,820		1,848		44,896		3,926
Less: Excise tax expense	—		—		5		—
Net change in unrealized appreciation (depreciation)	3,290		3,982		11,824		2,133
Net realized gain (loss)	126		789		120		2,154
Net increase (decrease) in net assets resulting from operations	$	22,236	$	6,619	$	56,835	$	8,213

Investment Income

Investment income was as follows (dollar amounts in thousands):

	For the Three Months Ended				For the Nine Months Ended
	September 30, 2021		September 30, 2020		September 30, 2021		September 30, 2020
Investment income:
Interest income	$	30,663	$	5,473	$	68,403	$	9,332
Payment-in-kind interest income	302		—		680		—
Dividend income	138		—		260		—
Other income	626		186		6,145		1,140
Total investment income	$	31,729	$	5,659	$	75,488	$	10,472

Interest income from investments increased from $5.5 million for the three months ended September 30, 2020 to $30.7 million for the three months ended September 30, 2021. Interest income increased from $9.3 million for the nine months ended September 30, 2020 to $68.4 million for the nine months ended September 30, 2021. The increase was primarily driven by our deployment of capital and invested balance of investments. The size of our investment portfolio at fair value increased to $1,769.3 million at September 30, 2021 from $336.3 million at September 30, 2020. All senior secured debt investments were income-producing as of September 30, 2021.  

We received payment-in-kind, or PIK, interest income of $0.3 million and $0.7 million for the three and nine months ended September 30, 2021, respectively, driven by new investments made during such periods earning PIK interest income.

Interest income on our first and second lien debt investments is generally dependent on the composition and credit quality of the portfolio. Generally, we expect the portfolio to generate predictable quarterly interest income based on the terms stated in each loan’s credit agreement. As of September 30, 2021, and for the period then ended, all of our first and second lien debt investments were performing and current on their interest payments.

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We accrued dividend income of $0.1 million and $0.3 million for the three and nine months ended September 30, 2021, respectively, from a preferred equity investment made during such periods accruing dividend income.

Other income from investments increased from $0.2 million for the three months ended September 30, 2020 to $0.6 million for the three months ended September 30, 2021. Other income increased from $1.1 million for the nine months ended September 30, 2020 to $6.1 million for the nine months ended September 30, 2021. The increase was primarily driven by an increase in syndication fees earned.

Expenses

Expenses were as follows (dollar amounts in thousands):

	For the Three Months Ended				For the Nine Months Ended
	September 30, 2021		September 30, 2020		September 30, 2021		September 30, 2020
Expenses:
Interest and other financing expenses	$	6,273	$	967	$	13,249	$	2,050
Management fees	3,864		637		8,635		1,059
Income based incentive fee	4,119		551		9,965		969
Capital gains incentive fee	598		750		2,090		750
Organization and offering costs	—		206		42		541
Professional fees	554		715		1,595		1,339
Directors’ fees	84		87		249		261
Administrative service fees	54		54		158		140
General and other expenses	260		327		987		369
Total expenses	15,806		4,294		36,970		7,478
Expense support	1		(5)		98		(138)
Management fees waiver	(2,898)		(478)		(6,476)		(794)
Net expenses	$	12,909	$	3,811	$	30,592	$	6,546
Excise tax expense	$	—	$	—	$	5	$	—

The increase in interest and other financing expenses from $1.0 million to $6.3 million for the three months ended September 30, 2020 to the three months ended September 30, 2021 was primarily driven by the increase in weighted average interest rate from 1.84% to 2.16%and increased borrowings under our credit facilities as a result of increased deployment of capital for investments. Weighted average outstanding debt balance increased to $886.0 million for the three months ended September 30, 2021 from $135.7 million for the three months ended September 30, 2020.

The increase in interest and other financing expenses from $2.1 million to $13.2 million for the nine months ended September 30, 2020 to the nine months ended September 30, 2021 was primarily driven by the increase in weighted average interest rate from 1.98% to 2.10% and increased borrowings under our credit facilities as a result of increased deployment of capital for investments. Weighted average outstanding debt balance increased to $665.7 million for the nine months ended September 30, 2021 from $70.7 million for the nine months ended September 30, 2020.

The increase in management fees (net of management fees waiver) and income based incentive fee for the three months ended September 30, 2021 compared to the three months ended September 30, 2020 were primarily driven by increased deployment of capital, which resulted in higher average gross assets as a basis for base management fee calculation, and higher pre-incentive fee net investment income for income based incentive fee calculation. Total value of the investment portfolio was $1,769.3 million at September 30, 2021 and $336.3 million at September 30, 2020. Total pre-incentive fee net investment income was $23.5 million and $3.1 million for the three months ended September 30, 2021 and September 30, 2020.

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The capital gains incentive fee is determined on realized capital gains calculated and payable in arrears in cash as of the end of each calendar year or upon the termination of the Investment Advisory Agreement. For the three months ended September 30, 2021, we accrued capital gains incentive fee of $0.6 million due to $3.4 million of realized gain and net change in unrealized gain during the period. Capital gains incentive fee payable as of September 30, 2021 was $21 based on realized gains during the nine months ended September 30, 2021. For the three months ended September 30, 2020, we accrued capital gains incentive fee of $0.8 million due to $4.3 million of realized gain and net change in unrealized gain for the nine months ended September 30, 2020.

Organization costs and offering costs include expenses incurred in our initial formation and our offering of Common Stock. Professional fees include legal, audit, tax, valuation, and other professional fees incurred related to the management of the Company. Administrative service fees represent fees paid to the Administrator for our allocable portion of the cost of certain of our executive officers that perform duties for us. Other general and administrative expenses include insurance, filing, research, subscriptions and other costs. The increase in professional fees, administrative service fees and other general and administrative expenses for the three and nine months ended September 30, 2021 compared to the three and nine months ended September 30, 2020 were primarily driven by an increase in our investments as a result of our deployment of capital.

For the three and nine months ended September 30, 2021, expense support includes recoupment of previously waived excess organization and offering expenses of $1 and $98, respectively. For the three and nine months ended September 30, 2020, expense support includes excess organization and offering costs of $5 and $138, respectively, that the Investment Adviser had committed to pay. Excess organization and offering costs are subject to reimbursement to the Investment Adviser at a future date. See “Item 1. Consolidated Financial Statements—Notes to Consolidated Financial Statements—Note 3. Related Party Transactions.”

Income Taxes, Including Excise Taxes

We have elected to be treated as a RIC under Subchapter M of the Code, and we intend to operate in a manner so as to continue to qualify for the tax treatment applicable to RICs. To qualify for tax treatment as a RIC, we must, among other things, distribute to our stockholders in each taxable year generally at least 90% of the sum of our investment company taxable income, as defined by the Code (without regard to the deduction for dividends paid), and net tax-exempt income for that taxable year. To maintain our tax treatment as a RIC, we, among other things, intend to make the requisite distributions to our stockholders, which generally relieve us from corporate-level U.S. federal income taxes. For the three and nine months ended September 30, 2021, we incurred $0 and $5 of U.S. federal excise tax, respectively.

Net Realized Gain (Loss) and Unrealized Gain (Loss) on Investments

	For the Three Months Ended				For the Nine Months Ended
	September 30, 2021		September 30, 2020		September 30, 2021		September 30, 2020
Realized and unrealized gains (losses) on investment transactions:
Net realized gain (loss):
Non-controlled/non-affiliated investments	$	126	$	789	$	120	$	2,154
Net change in unrealized appreciation (depreciation):
Non-controlled/non-affiliated investments	3,290		3,982		11,824		2,133
Net realized and unrealized gains (losses)	$	3,416	$	4,771	$	11,944	$	4,287

During the three and nine months ended September 30, 2021, the net change in unrealized appreciation of $3.3 million and $11.8 million of investments were primarily driven by the increase of valuations of our debt investments as a result of the tightening credit spread environment and strong portfolio company performance.

The net change in unrealized gain of $2.1 million of investments during the nine months ended September 30, 2020 was a result of $3.8 million of unrealized investment loss as of March 31, 2020, offset by $5.9 million net change in unrealized gain during the three months ended June 30, 2020 and September 30, 2020. Markdowns in the fair value of our investment portfolio as of March

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31, 2020, impacted by a widening credit spread environment and weakness in the broadly syndicated loan market during the period, were recovered in full as of September 30, 2020.

For the three and nine months ended September 30, 2021, the net realized gains of $126 and $120 were driven by sale of investments to third parties. For the three and nine months ended September 30, 2020, the net realized gains of $789 and $2,154 were driven by the sale of broadly syndicated loan investments in the secondary market.

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FINANCIAL CONDITION, LIQUIDITY AND CAPITAL RESOURCES

We generate cash from the net proceeds of offerings of our Common Stock, net borrowings from our credit facilities, and through cash flows from operations, including investment sales and repayments as well as income earned on investments and cash equivalents. Details of our credit facilities are described in “Debt” below. We may also from time to time enter into new credit facilities, increase the size of existing credit facilities or issue debt securities. Any such incurrence or issuance would be subject to prevailing market conditions, our liquidity requirements, contractual and regulatory restrictions and other factors.

As of September 30, 2021, we had approximately $44.7 million of cash, which taken together with our approximately $7.7 million, $118.0 million and $477.5 million of unused commitment (subject to borrowing base availability) under the CIBC Subscription Facility, the BNP Funding Facility and the Truist Credit Facility, each as defined in Note 6 of our accompanying unaudited consolidated financial statements, respectively, and our approximately $863.5 million of uncalled capital commitments to purchase shares of Common Stock, or Capital Commitments, we expect to be sufficient for our investing activities and to conduct our operations in the near term.

Equity

As of September 30, 2021, we had received aggregate Capital Commitments of approximately $1,585.8 million, of which $200.0 million was from an affiliate of the Investment Adviser.

During the nine months ended September 30, 2021, we received proceeds from five capital calls and issued shares to our stockholders. As a result, the total shares issued and proceeds received related to capital drawdowns delivered pursuant to the Subscription Agreements for the nine months ended September 30, 2021 were as follows (dollar amounts in millions):

Share Issuance Date	Shares Issued	Amount
January 20, 2021	1,726,689	$	35.00
March 12, 2021	2,171,816	45.00
April 12, 2021	5,326,877	110.00
May 26, 2021	4,036,582	84.97
July 16, 2021	7,161,130	149.88
Total	20,423,094	$	424.85

The following table summarizes the total shares issued and proceeds received related to capital drawdowns delivered pursuant to the Subscription Agreements for the nine months ended September 30, 2020 (dollar amounts in millions):

Share Issuance Date	Shares Issued	Amount
February 5, 2020	2,874,810	$	57.50
March 27, 2020	2,410,313	44.95
June 26, 2020	769,195	14.95
August 11, 2020	2,002,071	39.98
September 28, 2020	3,504,634	69.99
Total	11,561,023	$	227.37

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Distributions and Dividend Reinvestment

The following table summarizes our distributions declared and payable for the nine months ended September 30, 2021 (dollar amounts in thousands):

Date Declared	Record Date	Payment Date	Per Share Amount		Dividend Yield(1)		Total Amount
March 18, 2021	March 18, 2021	April 22, 2021	$	0.45	10.1	%	$	8,570
June 23, 2021	June 23, 2021	July 22, 2021	0.49		10.7	%	13,974
September 23, 2021	September 23, 2021	October 27, 2021	0.56		11.1	%	20,080
Total Distributions			$	1.50			$	42,624

The following table summarizes our distributions declared and payable for the nine months ended September 30, 2020 (dollar amounts in thousands):

Date Declared	Record Date	Payment Date	Per Share Amount		Dividend Yield(1)		Total Amount
June 19, 2020	June 19, 2020	July 15, 2020	$	0.29	6.0	%	$	1,533
September 24, 2020	September 24, 2020	October 22, 2020	0.40		9.7	%	3,228
Total Distributions			$	0.69			$	4,761

(1) Dividend yield (annualized) is calculated by dividing the declared dividend by the weighted average of the net asset value at the beginning of the quarter, the capital called and dividend reinvested during the quarter and annualizing over 4 quarterly periods.

We adopted an “opt in” dividend reinvestment plan, or the DRIP. As a result, our stockholders who elect to “opt in” to the DRIP will have their cash dividends or distributions automatically reinvested in additional shares of Common Stock, rather than receiving cash. Stockholders who receive distributions in the form of shares of Common Stock will generally be subject to the same U.S. federal, state and local tax consequences as if they received cash distributions; however, those stockholders will not receive cash with which to pay any applicable taxes. Shares issued under the DRIP will not reduce an investor’s outstanding capital commitment.

The following table summarizes DRIP shares issued and amounts for the nine months ended September 30, 2021 (dollar amounts in thousands). No DRIP shares were issued for the nine months ended September 30, 2020:

Payment Date	DRIP Shares Value		DRIP Shares Issued
January 27, 2021	$	2,462	121,484
April 22, 2021	2,276		110,191
July 22, 2021	3,733		178,345
Total	$	8,471	410,020

Debt

Our outstanding debt obligations were as follows (dollar amounts in thousands):

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	September 30, 2021
	Aggregate Principal Committed		Outstanding Principal		Unused Portion		Amount Available(1)
CIBC Subscription Facility	$	400,000	$	392,350	$	7,650	$	7,650
BNP Funding Facility	600,000		482,000		118,000		118,000
Truist Credit Facility	650,000		172,500		477,500		429,330
Total	$	1,650,000	$	1,046,850	$	603,150	$	554,980

	December 31, 2020
	Aggregate Principal Committed		Outstanding Principal		Unused Portion		Amount Available(1)
CIBC Subscription Facility	$	400,000	$	333,850	$	66,150	$	66,150
BNP Funding Facility	300,000		—		300,000		126,198
Total	$	700,000	$	333,850	$	366,150	$	192,348

(1) The amount available reflects any limitations related to each credit facility's borrowing base.

CIBC Subscription Facility

On December 31, 2019, we entered into the CIBC Subscription Facility with CIBC Bank USA, as administrative agent and arranger, which was subsequently amended on February 3, 2020 and November 17, 2020. As of September 30, 2021, the CIBC Subscription Facility, as amended, allows us to borrow up to $400.0 million at any one time outstanding, subject to certain restrictions, including availability under the borrowing base, which is based on unused capital commitments.

The amount of permissible borrowings under the CIBC Subscription Facility may be increased to up to an aggregate amount of $500.0 million with the consent of the lenders. The CIBC Subscription Facility matures on December 31, 2022. The CIBC Subscription Facility bears interest at a rate at our election of either (i) the per annum one-, two-, or three-month LIBOR, divided by a number determined by subtracting from 1.00 the then stated maximum reserve percentage for determining reserves to be maintained by member banks of the Federal Reserve System for Eurocurrency funding or liabilities, plus 1.65% or (ii) the prime rate plus 0.65%, as calculated under the CIBC Subscription Facility. The CIBC Subscription Facility is secured by the unfunded commitments of certain of our investors. In connection with the CIBC Subscription Facility, we have made customary representations and warranties and are required to comply with various covenants, reporting requirements and other customary requirements for similar credit facilities. Borrowings under the CIBC Subscription Facility are subject to the leverage restrictions contained in the 1940 Act, as amended, or the 1940 Act.

During the three and nine months ended September 30, 2021, we borrowed $166.5 million and $381.5 million, respectively, and repaid $123.0 million and $323.0 million, respectively, under the CIBC Subscription Facility. During the three and nine months ended September 30, 2020, we borrowed $107.5 million and $391.4 million, respectively, and repaid $105.5 million and $210.0 million, respectively, under the CIBC Subscription Facility. As of September 30, 2021 and December 31, 2020, we had $392.4 million and $333.9 million outstanding under the CIBC Subscription Facility, respectively. As of September 30, 2021 and December 31, 2020, we had $7.7 million and $66.2 million, respectively, of available capacity under the CIBC Subscription Facility.

BNP Funding Facility

On October 14, 2020, DLF LLC entered into a Revolving Credit and Security Agreement, which was subsequently amended on December 11, 2020 and March 2, 2021, with DLF LLC, as the borrower, BNP Paribas, or BNP, as the administrative agent and lender, the Company, as the equity holder and as the servicer, and U.S. Bank National Association, as collateral agent, pursuant to which BNP has agreed to extend credit to DLF LLC. As of September 30, 2021, the borrowing capacity under the BNP Funding

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Facility was $600.0 million. The applicable margin on borrowings during the reinvestment period ranges between 1.95% and 2.75% and, after the reinvestment period, between 2.45% and 3.25%.

During the three and nine months ended September 30, 2021, we borrowed $125.0 million and $514.0 million, respectively, and repaid $14.0 million and $32.0 million, respectively, under the BNP Funding Facility. During the three and nine months ended September 30, 2020, no amount was borrowed under the BNP Funding Facility as the facility was closed on October 14, 2020. As of September 30, 2021 and December 31, 2020, we had $482.0 million and $0.0 million outstanding under the BNP Funding Facility, respectively. As of September 30, 2021 and December 31, 2020, we had $118.0 million and $300.0 million, respectively, of available capacity under the BNP Funding Facility (subject to borrowing base availability).

Truist Credit Facility

On July 16, 2021, we entered into the Truist Credit Facility with Truist Bank. Truist Bank serves as Administrative Agent and Truist Securities, Inc. serves as Joint Lead Arranger and Sole Book Runner. The maximum principal amount of the Truist Credit Facility is $650.0 million, subject to availability under the borrowing base. The Truist Credit Facility includes an uncommitted accordion feature that allows us, under certain circumstances, to increase the borrowing capacity up to $1,000.0 million. The availability period of the Truist Credit Facility will terminate on July 16, 2025. The Truist Credit Facility has a maturity date of July 16, 2026. The Truist Credit Facility is secured by a first priority security interest in substantially all of our assets and the assets of certain of our domestic subsidiaries, subject to certain exceptions.

We may borrow amounts in U.S. dollars or certain other permitted currencies. Borrowings under the Truist Credit Facility bear interest at a per annum rate equal to, (x) for loans for which we elect the base rate option, the “alternate base rate” (which is the highest of (a) the prime rate as publicly announced by Truist Bank, (b) the sum of (i) the weighted average of the rates on overnight federal funds transactions, as published by the Federal Reserve Bank of New York plus (ii) 0.5%, and (c) one month LIBOR plus 1% per annum) plus either (A) 0.75%, or (B) 0.875%, based on certain borrowing base conditions, and (y) for loans for which we elect the Eurocurrency option, the applicable LIBO Rate for the related Interest Period for such Borrowing plus either (A) 1.75% per annum, or (B) 1.875% per annum, based on certain borrowing base conditions. We pay an unused fee of 0.375% per annum on the daily unused amount of the revolver commitments.

In connection with the Truist Credit Facility, we have made certain customary representations and warranties and are required to comply with various covenants, reporting requirements and other customary requirements for similar credit facilities. In addition, we must comply with the following financial covenants: (a) we must maintain a minimum shareholders’ equity, measured as of each fiscal quarter end; and (b) we must maintain at all times a 150% asset coverage ratio.

During the three and nine months ended September 30, 2021, the Company borrowed $172,500 and repaid $0 under the Truist Credit Facility.

As of September 30, 2021, we were in compliance with all covenants and other requirements of each of our credit facilities, as well as the leverage restrictions contained in the 1940 Act.

OFF BALANCE SHEET ARRANGEMENTS

In the ordinary course of our business, we enter into contracts or agreements that contain indemnifications or warranties. Future events could occur which may give rise to liabilities arising from these provisions against us. We believe that the likelihood of such an event is remote; however, the maximum potential exposure is unknown. No accrual has been made in our financial statements as of September 30, 2021 in Part I, Item 1 of this Report for any such exposure.

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

As of September 30, 2021, we had delayed draw and revolving senior secured loans with an aggregate of $530.0 million of unfunded commitments.

As of December 31, 2020, we had delayed draw and revolving senior secured loans with an aggregate of $206.5 million of unfunded commitments.

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Other Commitments and Contingencies

From time to time, we may become a party to certain legal proceedings incidental to the normal course of our business. As of September 30, 2021, management is not aware of any material pending or threatened litigation relating to us.

CONTRACTUAL OBLIGATIONS

A summary of our contractual payment obligations under our secured borrowings as of September 30, 2021 was as follows (dollar amounts in thousands):

	Payments Due by Period
	Total		Less than 1 year		1-3 years		3-5 years		After 5 years
CIBC Subscription Facility	$	392,350	$	—	$	392,350	$	—	$	—
BNP Funding Facility	482,000		—		—		482,000		—
Truist Credit Facility	172,500		—		—		172,500		—
Total Contractual Obligations	$	1,046,850	$	—	$	392,350	$	654,500	$	—

RECENT DEVELOPMENTS

During the period from October 1, 2021 through November 10, 2021, the Company has closed or the Investment Adviser’s Investment Committee has committed/approved approximately $786.9 million of new/add-on investments. This includes transactions for which a formal mandate, letter of intent or a signed commitment have been issued, and therefore the Company believes are likely to close. Of these new commitments, approximately 97.8% were first lien senior secured loans, 1.6% were second lien senior secured loans, and 0.6% were equity investments. 100% of the senior secured loans were floating rate loans. We remain highly focused on conducting extensive due diligence and leveraging the Morgan Stanley platform. We continue to seek to invest in companies that are led by strong management teams, generate substantial free cash flow, have leading market positions, benefit from sustainable business models, and are well positioned to perform well despite the impact of the Coronavirus pandemic. We believe the current market environment offers opportunities to seek compelling risk adjusted returns. Our investment pace will depend on several factors including the market environment, deal flow, and the continued impact of the Coronavirus pandemic.

On October 4, 2021, we delivered a capital drawdown notice to our stockholders relating to the sale of approximately 7,807,826 shares of Common Stock for an aggregate offering price of approximately $164.0 million. The sale closed on October 15, 2021.

On November 2, 2021, the Company delivered a capital drawdown notice to its stockholders for an aggregate offering price of approximately $175.0 million. The sale of Common Stock was expected to close on November 12, 2021.

CRITICAL ACCOUNTING POLICIES

The preparation of our financial statements requires us to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenues, and expenses. Changes in the economic environment, financial markets, and any other parameters used in determining such estimates could cause actual results to differ. Our critical accounting policies, including those relating to the valuation of our investment portfolio, should be read in connection with our financial statements in Part I, Item 1 of this Report, and “Risk Factors” in Part II, Item 1A of this Report, and “Risk Factors” in Part I, Item 1A of our Form 10-K.

RELATED PARTY TRANSACTIONS

We have entered into a number of business relationships with affiliated or related parties, including the following:

•the Investment Advisory Agreement;

•the Administration Agreement;

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•the Placement Fee Agreement;

•Expense Support and Waiver Agreement; and

•License Agreement.

See “Item 1. Consolidated Financial Statements—Notes to Consolidated Financial Statements—Note 3. Related Party Transactions.”

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Item 3. Quantitative and Qualitative Disclosures about Market Risk

We are subject to financial market risks, including valuation risk, market risk and interest rate risk.

Valuation Risk

We have invested, and plan to continue to invest, primarily in illiquid debt and equity securities of portfolio companies. During periods of market dislocation, we will seek to invest prudently in the secondary loan market to provide our investors better risk adjusted returns while adhering to our core investment tenants. See“Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations—Coronavirus Developments.” Most of our investments will not have a readily available market price. To ensure accurate valuation, our investments are valued at fair value in good faith by the board of directors, or the Board, based on, among other things, the input of the Investment Adviser, our Audit Committee and independent third-party valuation firm engaged at the direction of the Board, and in accordance with our valuation policy. There is no single standard for determining fair value. As a result, determining fair value requires that judgment be applied to the specific facts and circumstances of each investment while employing a consistently applied valuation process for the investments we hold. If we were required to liquidate a portfolio investment in a forced or liquidation sale, we may realize amounts that are different from the amounts presented and such differences could be material.

Market Risk

The market value of a security may move up or down, sometimes rapidly and unpredictably. These fluctuations may cause a security to be worth less than the price originally paid for it, or less than it was worth at an earlier time. Market risk may affect a single issuer, industry, sector of the economy or the market as a whole. Global economies and financial markets are increasingly interconnected, which increases the probabilities that conditions in one country or region might adversely impact issuers in a different country or region. Conditions affecting the general economy, including political, social, or economic instability at the local, regional, or global level may also affect the market value of a security. Health crises, such as pandemic and epidemic diseases, as well as other incidents that interrupt the expected course of events, such as natural disasters, war or civil disturbance, acts of terrorism, power outages and other unforeseeable and external events, and the public response to or fear of such diseases or events, have and may in the future have an adverse effect on our investments and net asset value and can lead to increased market volatility. See “Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations—Coronavirus Developments.”

Interest Rate Risk

We are subject to financial market risks, most significantly changes in interest rates. Interest rate sensitivity refers to the change in our earnings that may result from changes in the level of interest rates. Because we expect to fund a portion of our investments with borrowings, our net investment income is expected to be affected by the difference between the rate at which we invest and the rate at which we borrow. As a result, we can offer no assurance that a significant change in market interest rates will not have a material adverse effect on our net investment income.

In addition, the Coronavirus pandemic has resulted in a decrease in LIBOR and a general reduction of certain interest rates by the U.S. Federal Reserve and other central banks. A continued decline in interest rates, including LIBOR, could result in a reduction of our gross investment income. In addition, our net investment income could also decline if such decreases in LIBOR are not offset by, among other things, a corresponding increase in the spread over LIBOR in our portfolio investments, a decrease in our operating expenses, or a decrease in the interest rates of our liabilities that are tied to LIBOR. See “Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations—Coronavirus Developments.”

As of September 30, 2021, 99.9% of our debt investments were at floating rates. Based on our Consolidated Statement of Assets and Liabilities as of September 30, 2021, the following table shows the annualized impact on net income of hypothetical base rate changes in interest rates (considering interest rate floors and ceilings for floating rate debt instruments assuming no changes in our investments and borrowing structure as of September 30, 2021) (dollar amounts in thousands):

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		Interest		Interest		Net
Basis Point Change - Interest Rates		Income		Expense		Income
Up 300 basis points	$	38,541	$	(31,406)	$	7,135
Up 200 basis points	$	20,977	$	(20,937)	$	40
Up 100 basis points	$	3,414	$	(10,469)	$	(7,055)
Down 100 basis points	$	(20)	$	840	$	820
Down 200 basis points	$	(20)	$	840	$	820
Down 300 basis points	$	(20)	$	840	$	820

We may hedge against interest rate fluctuations by using standard hedging instruments such as futures, options and forward contracts or our credit facilities subject to the requirements of the 1940 Act and applicable commodities laws. While hedging activities may insulate us against adverse changes in interest rates, they may also limit our ability to participate in benefits of lower interest rates or higher exchange rates with respect to our portfolio of investments with fixed interest rates or investments denominated in foreign currencies. During the periods covered by this Report, we did not engage in interest rate hedging activities.

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Item 4: Controls and Procedures.

(a) Evaluation of Disclosure Controls and Procedures

In accordance with Rules 13a-15(b) and 15d-15(b) of the Exchange Act, we, under the supervision and with the participation of our Chief Executive Officer and Chief Financial Officer, carried out an evaluation of the effectiveness of our disclosure controls and procedures (as defined in Rule 13a-15(e) and Rule 15d-15(e) of the Exchange Act) as of the end of the period covered by this Report and determined that our disclosure controls and procedures are effective as of the end of the period covered by this Report.

(b) Changes in Internal Controls Over Financial Reporting

There have been no changes in our internal control over financial reporting that occurred during the quarter ended September 30, 2021 that have materially affected, or are reasonably likely to materially affect, our internal control over financial reporting.

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Part II - Other Information

Item 1: Legal Proceedings.

    Each of us, the Investment Adviser and the Administrator may become party to certain lawsuits in the ordinary course of business, including proceedings relating to the enforcement of our rights under contracts with our portfolio companies. Each of us, the Investment Adviser and the Administrator is not currently subject to any material legal proceedings, nor, to our knowledge, is any material legal proceeding threatened against any of us, the Investment Adviser or the Administrator.

Item 1A: Risk Factors.

In addition to the other information set forth in this Report, you should carefully consider the risk factors previously disclosed under Item 1A of the Form 10-K, which could materially affect our business, financial condition and/or operating results. The risks disclosed in the Form 10-K are not the only risks facing us. Additional risks and uncertainties not currently known to us or that we currently deem to be immaterial may also materially and adversely affect our business, financial condition and/or operating results.

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

Sales of Unregistered Securities

Refer to “Item 1. Financial Statements—Notes to Consolidated Financial Statements—Note 8. Net Assets” in this Report and our Current Report on Form 8-K filed on July 22, 2021 for an issuance of our Common Stock during the quarter ended September 30, 2021. Such issuance was part of our Private Offering pursuant to Section 4(a)(2) of the Securities Act and Regulation D thereunder.

Issuer Purchases of Equity Securities

None.

Item 3: Defaults Upon Senior Securities.

    None.

Item 4: Mine Safety Disclosures.

    Not applicable

Item 5: Other Information.

    None.

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Item 6: Exhibits.

EXHIBIT INDEX

Number		Description
10.1		Senior Secured Revolving Credit Agreement, dated as of July 16, 2021, among Morgan Stanley Direct Lending Fund, as Borrower, the Lenders and Issuing Banks party thereto, Truist Bank, as Administrative Agent, and Truist Securities, Inc., as Joint Lead Arranger and Sole Book Runner.(1)
31.1*		Certification of Chief Executive Officer (Principal Executive Officer) Pursuant to Rule 13a-14(a) of the Securities Exchange Act of 1934, as amended.
31.2*		Certification of Chief Financial Officer (Principal Financial Officer) Pursuant to Rule 13a-14(a) of the Securities Exchange Act of 1934, as amended.
32.1*		Certification of Chief Executive Officer (Principal Executive Officer) Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
32.2*		Certification of Chief Financial Officer (Principal Financial Officer) Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.
	(1)	Incorporated by reference to Exhibit 10.1 to the Company’s Current Report on 8-K, filed by the Company on July 22, 2021.

_________________

* Filed herewith

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SIGNATURES

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

	Morgan Stanley Direct Lending Fund
Dated: November 10, 2021	By	/s/ Jeffrey S. Levin
		Jeffrey S. Levin
		President and Chief Executive Officer
		(Principal Executive Officer)
Dated: November 10, 2021	By	/s/ Venugopal Rathi
		Venugopal Rathi
		Chief Financial Officer
		(Principal Financial Officer)

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EX-31.1

Exhibit 31.1

CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER

CERTIFICATION

I, Jeffrey S. Levin, certify that:

1.I have reviewed this quarterly report on Form 10-Q of MORGAN STANLEY DIRECT LENDING FUND;

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4.The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

a.Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, if any, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b.Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

c.Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a.All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b.Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Dated: November 10, 2021

/s/ Jeffrey S. Levin

Jeffrey S. Levin

Chief Executive Officer

(Principal Executive Officer)

EX-31.2

Exhibit 31.2

CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER

CERTIFICATION

I, Venugopal Rathi, certify that:

1.I have reviewed this quarterly report on Form 10-Q of MORGAN STANLEY DIRECT LENDING FUND;

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4.The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) for the registrant and have:

a.Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, if any, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b.Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

c.Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5.The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

a.All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and

b.Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Dated: November 10, 2021

/s/ Venugopal Rathi

Venugopal Rathi

Chief Financial Officer

(Principal Financial Officer)

EX-32.1

Exhibit 32.1

CERTIFICATION OF PRINCIPAL EXECUTIVE OFFICER, SECTION 906

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

I, Jeffrey S. Levin, the Chief Executive Officer (Principal Executive Officer) of MORGAN STANLEY DIRECT LENDING FUND (the “Company”), hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

•the Form 10-Q of the Company for the quarter ended September 30, 2021 as filed with the Securities and Exchange Commission on the date hereof (the “Form 10-Q”), fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

•the information contained in the Form 10-Q of the Company for the quarter ended September 30, 2021 fairly presents, in all material respects, the financial condition and results of operations of the Company.

Dated: November 10, 2021

/s/ Jeffrey S. Levin

Jeffrey S. Levin

Chief Executive Officer

(Principal Executive Officer)

*The foregoing certification is being furnished solely pursuant to 18 U.S.C. Section 1350 and is not being filed as part of the Report or as a separate disclosure document.

EX-32.2

Exhibit 32.2

CERTIFICATION OF PRINCIPAL FINANCIAL OFFICER, SECTION 906

CERTIFICATION PURSUANT TO

18 U.S.C. SECTION 1350,

AS ADOPTED PURSUANT TO

SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002

I, Venugopal Rathi, the Chief Financial Officer (Principal Financial Officer) of MORGAN STANLEY DIRECT LENDING FUND (the “Company”), hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, that:

•the Form 10-Q of the Company for the quarter ended September 30, 2021 as filed with the Securities and Exchange Commission on the date hereof (the “Form 10-Q”), fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and

•the information contained in the Form 10-Q of the Company for the quarter ended September 30, 2021 fairly presents, in all material respects, the financial condition and results of operations of the Company.

Dated: November 10, 2021

/s/ Venugopal Rathi

Venugopal Rathi

Chief Financial Officer

(Principal Financial Officer)

*The foregoing certification is being furnished solely pursuant to 18 U.S.C. Section 1350 and is not being filed as part of the Report or as a separate disclosure document.