MSC Income Fund Quarterly report [Sections 13 or 15(d)]

Quarterly report [Sections 13 or 15(d)]

FAIR VALUE HIERARCHY FOR INVESTMENTS—PORTFOLIO COMPOSITION (Tables)

FAIR VALUE HIERARCHY FOR INVESTMENTS—PORTFOLIO COMPOSITION (Tables)

9 Months Ended

Sep. 30, 2026

Schedule of Fair Value Measurement Inputs and Valuation Techniques

A summary of the significant unobservable inputs used in the fair value measurement of MSC Income’s Level 3 portfolio investments as of September 30, 2026 and December 31, 2025 is as follows:


Type of Investment	Fair Value as of September 30, 2026 (in thousands)		Valuation Technique	Significant Unobservable Inputs	Range (3)	Weighted-Average (3)(4)	Median (3)
Equity investments	$	351,905	Discounted cash flow	WACC	10.6% - 19.8%	14.6%	15.0%
			Market comparable / Enterprise value	EBITDA multiple (1)	5.0x - 9.4x (2)	7.6x	7.3x
Debt investments	$	1,026,450	Discounted cash flow	Risk adjusted discount rate (5)	8.0% - 16.4% (2)	11.9%	11.5%
				Expected principal recovery percentage	0.2% - 500.0%	99.8%	100.0%
Debt investments	$	433	Market approach	Third-party quote	14.5	14.5	14.5
Total Level 3 investments	$	1,378,788

_____________________

(1)EBITDA may include pro forma adjustments and/or other add-backs based on specific circumstances related to each investment.

(2)Range excludes outliers that are greater than one standard deviation from the mean. Including these outliers, the range for EBITDA multiple is 2.0x - 16.6x and the range for risk adjusted discount rate is 7.3% - 30.2%.

(3)Does not include investments for which the valuation technique does not include the use of the applicable fair value input. There is no range for the third-party quote input, as this technique only applies to one investment.

(4)Weighted-Average is calculated for each significant unobservable input based on the applicable security’s fair value.

(5)Discount rate includes the effect of the standard SOFR base rate, as applicable.


Type of Investment	Fair Value as of December 31, 2025 (in thousands)		Valuation Technique	Significant Unobservable Inputs	Range (3)	Weighted-Average (3)(4)	Median (3)
Equity investments	$	317,892	Discounted cash flow	WACC	11.4% - 22.2%	14.5%	15.0%
			Market comparable / Enterprise value	EBITDA multiple (1)	5.0x - 8.9x (2)	7.1x	7.0x
Debt investments	$	1,012,883	Discounted cash flow	Risk adjusted discount rate (5)	7.5% - 18.0% (2)	12.0%	11.3%
				Expected principal recovery percentage	0.0% - 500.0%	100.0%	100.0%
Debt investments	$	4,612	Market approach	Third-party quote	14.5 - 63.0	45.1	40.8
Total Level 3 investments	$	1,335,387

_____________________

(1)EBITDA may include pro forma adjustments and/or other add-backs based on specific circumstances related to each investment.

(2)Range excludes outliers that are greater than one standard deviation from the mean. Including these outliers, the range for EBITDA multiple is 1.2x - 13.5x and the range for risk adjusted discount rate is 5.4% - 40.4%.

(3)Does not include investments for which the valuation technique does not include the use of the applicable fair value input.

(4)Weighted-Average is calculated for each significant unobservable input based on the applicable security’s fair value.

(5)Discount rate includes the effect of the standard SOFR base rate, as applicable.

Schedule of MSC Income Fund’s Level 3 Portfolio Investments

A summary of changes in the fair value of MSC Income’s Level 3 portfolio investments for the nine months ended September 30, 2026 and 2025 is as follows (in thousands):


Type of Investment	Fair Value as of December 31, 2025		Transfers Into (Out of) Level 3 Hierarchy		Redemptions/ Repayments		New Investments		Net Changes from Unrealized to Realized		Net Unrealized Appreciation (Depreciation)		Other (1)		Fair Value as of September 30, 2026		Net Change in Unrealized Appreciation (Depreciation) for the Nine Months Ended September 30, 2026 on Assets Still Held
Debt	$	1,017,495	$	—	$	(176,761)	$	212,094	$	9,758	$	(21,955)	$	(13,748)	$	1,026,883	$	(14,112)
Equity	310,102		—		(22,709)		15,162		(17,010)		46,022		13,748		345,315		31,774
Equity warrant	7,790		—		—		—		—		(1,200)		—		6,590		(1,200)
	$	1,335,387	$	—	$	(199,470)	$	227,256	$	(7,252)	$	22,867	$	—	$	1,378,788	$	16,462

______________________

(1)Includes the impact of non-cash conversions. These transactions represent non-cash investing activities. See additional cash flow information in the Consolidated Statements of Cash Flows.


Type of Investment	Fair Value as of December 31, 2024		Transfers Into (Out of) Level 3 Hierarchy		Redemptions/ Repayments		New Investments		Net Changes from Unrealized to Realized		Net Unrealized Appreciation (Depreciation)		Other (1)		Fair Value as of September 30, 2025		Net Change in Unrealized Appreciation (Depreciation) for the Nine Months Ended September 30, 2025 on Assets Still Held
Debt	$	895,676	$	—	$	(239,393)	$	292,734	$	31,628	$	(15,676)	$	(17,370)	$	947,599	$	(9,963)
Equity	277,553		—		(12,627)		5,909		(7,267)		24,367		17,370		305,305		16,521
Equity warrant	4,278		—		—		—		—		3,020		—		7,298		3,020
	$	1,177,507	$	—	$	(252,020)	$	298,643	$	24,361	$	11,711	$	—	$	1,260,202	$	9,578

_____________________

(1)Includes the impact of non-cash conversions. These transactions represent non-cash investing activities. See additional cash flow information in the Consolidated Statements of Cash Flows.

Schedule of MSC Income Fund's Investments at Fair Value Hierarchy

As of September 30, 2026 and December 31, 2025, MSC Income’s investments at fair value were categorized as follows in the fair value hierarchy for ASC 820 purposes:


			Fair Value Measurements
			(in thousands)
September 30, 2026	Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Private Loan portfolio investments	$	843,794	$	—	$	—	$	843,794
LMM portfolio investments	502,951		—		—		502,951
Middle Market portfolio investments	19,831		—		—		19,831
Other Portfolio investments	12,212		—		—		12,212
Total investments	$	1,378,788	$	—	$	—	$	1,378,788


			Fair Value Measurements
			(in thousands)
December 31, 2025	Fair Value		Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)
Private Loan portfolio investments	$	808,957	$	—	$	—	$	808,957
LMM portfolio investments	487,593		—		—		487,593
Middle Market portfolio investments	23,307		—		—		23,307
Other Portfolio investments	15,530		—		—		15,530
Total investments	$	1,335,387	$	—	$	—	$	1,335,387

Schedule of Investment Holdings

A summary of MSC Income’s Private Loan and LMM portfolio investments as of September 30, 2026 and December 31, 2025 is as follows (this information excludes Middle Market and Other Portfolio investments, which are discussed further below):


	September 30, 2026
	Private Loan			LMM (a)

	(dollars in millions)
Number of portfolio companies	81			53
Fair value	$	843.8		$	503.0
Cost	$	849.6		$	388.1
Debt investments as a % of portfolio (at cost)	90.5		%	72.5		%
Equity investments as a % of portfolio (at cost)	9.5		%	27.5		%
% of debt investments at cost secured by first priority lien	99.5		%	99.9		%
Weighted-average annual effective yield (b)	10.5		%	12.7		%
Average EBITDA (c)	$	36.3		$	13.5

___________________

(a)As of September 30, 2026, MSC Income had equity ownership in all of its LMM portfolio companies, and the average fully diluted equity ownership in those portfolio companies was 8%.

(b)The weighted-average annual effective yields were computed using the effective interest rates for all debt investments as of September 30, 2026, including amortization of deferred debt origination fees and accretion of original issue discount but excluding fees payable upon repayment of the debt investments and any debt investments on non-accrual status, and are weighted based upon the principal amount of each applicable debt investment as of September 30, 2026. The weighted-average annual effective yield on MSC Income’s debt portfolio as of September 30, 2026, including debt investments on non-accrual status, was 9.9% for its Private Loan portfolio investments and 12.0% for its LMM portfolio investments. The weighted-average annual effective yield is not reflective of what an investor in shares of MSC Income’s common stock will realize on their investment because it does not reflect changes in the market value of MSC Income’s stock, MSC Income’s utilization of debt capital in its capital structure, MSC Income’s expenses or any sales load paid by an investor.

(c)The average EBITDA is calculated using a weighted-average for the Private Loan portfolio companies and a simple average for the LMM portfolio companies. These calculations exclude certain portfolio companies, including three Private Loan portfolio companies and three LMM portfolio companies, as EBITDA is not a meaningful valuation metric for MSC Income’s investments in these portfolio companies, and those portfolio companies whose primary operations have ceased and only residual value remains.


	December 31, 2025
	Private Loan			LMM (a)

	(dollars in millions)
Number of portfolio companies	81			55
Fair value	$	809.0		$	487.6
Cost	$	821.7		$	384.8
Debt investments as a % of portfolio (at cost)	92.1		%	70.6		%
Equity investments as a % of portfolio (at cost)	7.9		%	29.4		%
% of debt investments at cost secured by first priority lien	99.9		%	99.9		%
Weighted-average annual effective yield (b)	10.7		%	12.4		%
Average EBITDA (c)	$	30.0		$	11.7

___________________

(a)As of December 31, 2025, MSC Income had equity ownership in all of its LMM portfolio companies, and the average fully diluted equity ownership in those portfolio companies was 8%.

(b)The weighted-average annual effective yields were computed using the effective interest rates for all debt investments as of December 31, 2025, including amortization of deferred debt origination fees and accretion of original issue discount but excluding fees payable upon repayment of the debt investments and any debt investments on non-accrual status, and are weighted based upon the principal amount of each applicable debt investment as of December 31, 2025. The weighted-average annual effective yield on MSC Income’s debt portfolio as of December 31, 2025, including debt investments on non-accrual status, was 10.3% for its Private Loan portfolio investments and 11.7% for its LMM portfolio investments. The weighted-average annual effective yield is not reflective of what an investor in shares of MSC Income’s common stock will realize on their investment because it does not reflect changes in the market value of MSC Income’s stock, MSC Income’s utilization of debt capital in its capital structure, MSC Income’s expenses or any sales load paid by an investor.

(c)The average EBITDA is calculated using a weighted-average for the Private Loan portfolio companies and a simple average for the LMM portfolio companies. These calculations exclude certain portfolio companies, including four Private Loan portfolio companies and three LMM portfolio companies, as EBITDA is not a meaningful valuation metric for MSC Income’s investments in these portfolio companies, and those portfolio companies whose primary operations have ceased and only residual value remains.

The composition of MSC Income’s total combined Private Loan, LMM and Middle Market portfolio investments at cost and fair value by type of investment as a percentage of the total combined Private Loan, LMM and Middle Market portfolio investments, as of September 30, 2026 and December 31, 2025, is as follows (this information excludes Other Portfolio investments, which are discussed above):


Cost:	September 30, 2026		December 31, 2025
First lien debt	84.4	%	85.1	%
Equity	15.1		14.7
Second lien debt	0.3		—
Equity warrants	0.2		0.2
Other	—		—
	100.0	%	100.0	%


Fair Value:	September 30, 2026		December 31, 2025
First lien debt	74.8	%	77.1	%
Equity	24.4		22.3
Second lien debt	0.3		—
Equity warrants	0.5		0.6
Other	—		—
	100.0	%	100.0	%

MSC Income’s Private Loan, LMM and Middle Market portfolio companies are located primarily in the U.S. The geographic composition is determined by the location of the corporate headquarters of the portfolio company. The composition of MSC Income’s total combined Private Loan, LMM and Middle Market portfolio investments by geographic region of the U.S. and other countries at cost and fair value as a percentage of the total combined Private Loan, LMM and Middle Market portfolio investments, as of September 30, 2026 and December 31, 2025, is as follows (this information excludes Other Portfolio investments):


Cost:	September 30, 2026		December 31, 2025
West	23.4	%	22.0	%
Midwest	22.4		20.9
Southeast	20.2		18.5
Southwest	15.9		19.4
Northeast	14.1		15.1
Canada	3.2		3.1
Other Non-U.S.	0.8		1.0
	100.0	%	100.0	%


Fair Value:	September 30, 2026		December 31, 2025
West	24.2	%	22.3	%
Midwest	23.0		21.2
Southwest	18.2		21.8
Southeast	17.3		16.5
Northeast	13.5		14.3
Canada	3.0		2.9
Other Non-U.S.	0.8		1.0
	100.0	%	100.0	%

MSC Income’s Private Loan, LMM and Middle Market portfolio investments are in companies conducting business in a variety of industries. The composition of MSC Income’s total combined Private Loan, LMM and Middle Market portfolio investments by industry at cost and fair value, as of September 30, 2026 and December 31, 2025, is as follows (this information excludes Other Portfolio investments):


Cost:	September 30, 2026		December 31, 2025
Electrical Equipment	8.8	%	9.5	%
Construction & Engineering	7.7		5.0
Machinery	7.4		6.9
Commercial Services & Supplies	5.8		7.4
Professional Services	5.4		5.9
Distributors	4.4		4.5
Diversified Consumer Services	4.4		4.6
Containers & Packaging	4.1		4.2
Health Care Providers & Services	3.6		3.4
Internet Software & Services	3.6		4.4
Aerospace & Defense	3.5		2.2
IT Services	3.3		4.4
Leisure Equipment & Products	3.1		3.1
Chemicals	3.0		3.2
Auto Components	2.8		2.8
Hotels, Restaurants & Leisure	2.7		2.7
Air Freight & Logistics	2.6		1.9
Trading Companies & Distributors	2.4		1.4
Textiles, Apparel & Luxury Goods	2.4		2.5
Specialty Retail	2.4		2.3
Communications Equipment	2.3		2.2
Computers & Peripherals	1.9		1.8
Software	1.6		1.6
Energy Equipment & Services	1.5		1.5
Internet & Catalog Retail	1.3		1.4
Media	1.3		1.0
Marine	1.3		1.5
Food & Staples Retailing	1.2		1.2
Diversified Financial Services	1.0		1.0
Household Products	1.0		1.3
Beverages	0.1		1.0
Other (1)	2.1		2.2
	100.0	%	100.0	%

___________________

(1)Includes various industries with each industry individually representing less than 1.0% of the total combined Private Loan, LMM and Middle Market portfolio investments at each date.


Fair Value:	September 30, 2026		December 31, 2025
Electrical Equipment	10.7	%	9.8	%
Machinery	8.4		8.0
Construction & Engineering	8.4		5.8
Professional Services	5.3		5.8
Distributors	5.2		5.3
Commercial Services & Supplies	4.8		6.6
Diversified Consumer Services	4.6		5.0
Containers & Packaging	4.2		4.5
Computers & Peripherals	3.7		3.5
Aerospace & Defense	3.3		2.1
Internet Software & Services	3.0		3.5
IT Services	3.0		4.7
Auto Components	2.9		2.7
Health Care Providers & Services	2.9		3.0
Chemicals	2.8		3.0
Textiles, Apparel & Luxury Goods	2.5		2.5
Air Freight & Logistics	2.4		1.8
Specialty Retail	2.3		2.2
Trading Companies & Distributors	2.3		1.3
Communications Equipment	2.2		2.1
Leisure Equipment & Products	2.1		2.4
Software	2.1		2.0
Media	1.5		1.0
Energy Equipment & Services	1.4		1.5
Household Products	1.2		1.3
Marine	1.2		1.4
Hotels, Restaurants & Leisure	1.1		1.4
Food & Staples Retailing	1.0		1.0
Diversified Financial Services	1.0		1.0
Other (1)	2.5		3.8
	100.0	%	100.0	%

___________________

(1)Includes various industries with each industry individually representing less than 1.0% of the total combined Private Loan, LMM and Middle Market portfolio investments at each date.

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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