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)

3 Months Ended

Mar. 31, 2025

Schedule of Fair Value Measurement Inputs and Valuation Techniques

The following tables provide a summary of the significant unobservable inputs used to fair value MSC Income’s Level 3 portfolio investments as of March 31, 2025 and December 31, 2024:


Type of Investment	Fair Value as of March 31, 2025 (in thousands)		Valuation Technique	Significant Unobservable Inputs	Range (3)	Weighted-Average (3)(4)		Median (3)
Equity investments	$	291,419	Discounted cash flow	WACC	11.3% - 22.3%	14.7	%	15.0	%
			Market comparable / Enterprise value	EBITDA multiple (1)	5.0x - 8.5x (2)	6.6x		6.5x
Debt investments	$	964,554	Discounted cash flow	Risk adjusted discount rate (5)	8.9% - 15.8% (2)	12.7	%	12.3	%
				Expected principal recovery percentage	0.3% - 500.0%	99.9	%	100.0	%
Debt investments	$	4,880	Market approach	Third-party quote	14.5 - 75.0	50.1		40.0
Total Level 3 investments	$	1,260,853

_____________________

(1)EBITDA may include proforma 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 - 13.5x and the range for risk adjusted discount rate is 7.2% - 36.2%.

(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.


Type of Investment	Fair Value as of December 31, 2024 (in thousands)		Valuation Technique	Significant Unobservable Inputs	Range (3)	Weighted-Average (3)(4)		Median (3)
Equity investments	$	281,831	Discounted cash flow	WACC	11.5% - 22.5%	14.8	%	15.1	%
			Market comparable / Enterprise value	EBITDA multiple (1)	4.9x - 9.0x (2)	6.6x		6.5x
Debt investments	$	862,813	Discounted cash flow	Risk adjusted discount rate (5)	8.5% - 18.0% (2)	13.2	%	12.1	%
				Expected principal recovery percentage	0.3% - 100.0%	99.7	%	100.0	%
Debt investments	$	32,863	Market approach	Third-party quote	21.0 - 99.4	82.9		84.5
Total Level 3 investments	$	1,177,507

_____________________

(1)EBITDA may include proforma 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 - 17.0x and the range for risk adjusted discount rate is 6.8% - 38.3%.

(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

The following tables provide a summary of changes in fair value of MSC Income’s Level 3 portfolio investments for the three months ended March 31, 2025 and 2024 (amounts in thousands):


Type of Investment	Fair Value as of December 31, 2024		Transfers Into Level 3 Hierarchy		Redemptions/ Repayments		New Investments		Net Changes from Unrealized to Realized		Net Unrealized Appreciation (Depreciation)		Other (1)		Fair Value as of March 31, 2025
Debt	$	895,676	$	—	$	(74,862)	$	144,667	$	23,520	$	(7,955)	$	(11,612)	$	969,434
Equity	277,553		—		(6,617)		1,397		(2,289)		4,295		11,612		285,951
Equity Warrant	4,278		—		—		—		—		1,190		—		5,468
	$	1,177,507	$	—	$	(81,479)	$	146,064	$	21,231	$	(2,470)	$	—	$	1,260,853

______________________

(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, 2023		Transfers Into Level 3 Hierarchy		Redemptions/ Repayments		New Investments		Net Changes from Unrealized to Realized		Net Unrealized Appreciation (Depreciation)		Other (1)		Fair Value as of March 31, 2024
Debt	$	838,125	$	—	$	(50,999)	$	75,519	$	884	$	(3,635)	$	(166)	$	859,728
Equity	254,029		—		(3,324)		3,025		673		1,053		166		255,622
Equity Warrant	741		—		—		—		—		(109)		—		632
	$	1,092,895	$	—	$	(54,323)	$	78,544	$	1,557	$	(2,691)	$	—	$	1,115,982

_____________________

(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 March 31, 2025 and December 31, 2024, 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)
As of March 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	$	767,780	$	—	$	—	$	767,780
LMM portfolio investments	439,689		—		—		439,689
Middle Market portfolio investments	30,781		—		—		30,781
Other Portfolio investments	22,603		—		—		22,603
Total investments	$	1,260,853	$	—	$	—	$	1,260,853


			Fair Value Measurements
			(in thousands)
As of December 31, 2024	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	$	677,878	$	—	$	—	$	677,878
LMM portfolio investments	436,150		—		—		436,150
Middle Market portfolio investments	39,402		—		—		39,402
Other Portfolio investments	24,077		—		—		24,077
Total investments	$	1,177,507	$	—	$	—	$	1,177,507

Schedule of Investment Holdings

The following tables provide a summary of MSC Income’s investments in the Private Loan and LMM portfolios as of March 31, 2025 and December 31, 2024 (this information excludes Middle Market and Other Portfolio investments, which are discussed further below).


	As of March 31, 2025
	Private Loan			LMM (a)
	(dollars in millions)
Number of portfolio companies	84			57
Fair value	$	767.8		$	439.7
Cost	$	790.0		$	356.3
Debt investments as a % of portfolio (at cost)	93.5		%	67.7		%
Equity investments as a % of portfolio (at cost)	6.5		%	32.3		%
% of debt investments at cost secured by first priority lien	99.9		%	99.9		%
Weighted-average annual effective yield (b)	11.6		%	13.1		%
Average EBITDA (c)	$	32.3		$	11.0

___________________

(a)As of March 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 9%.

(b)The weighted-average annual effective yields were computed using the effective interest rates for all debt investments as of March 31, 2025, including amortization of deferred debt origination fees and accretion of original issue discount but excluding fees payable upon repayment of the debt instruments and any debt investments on non-accrual status, and are weighted based upon the principal amount of each applicable debt investment as of March 31, 2025. The weighted-average annual effective yield on MSC Income’s debt portfolio as of March 31, 2025, including debt investments on non-accrual status, was 10.9% for its Private Loan portfolio and 12.2% for its LMM portfolio. The weighted-average annual effective yield is not reflective of what an investor in shares of MSC Income’s common stock will realize on its 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 and a simple average for the LMM portfolio. These calculations exclude certain portfolio companies, including four Private Loan portfolio companies and four 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 purpose is to own real estate and those portfolio companies whose primary operations have ceased and only residual value remains.


	As of December 31, 2024
	Private Loan			LMM (a)
	(dollars in millions)
Number of portfolio companies	84			57
Fair value	$	677.9		$	436.1
Cost	$	697.5		$	357.1
Debt investments as a % of portfolio (at cost)	93.9		%	67.8		%
Equity investments as a % of portfolio (at cost)	6.1		%	32.2		%
% of debt investments at cost secured by first priority lien	99.9		%	99.9		%
Weighted-average annual effective yield (b)	12.0		%	13.0		%
Average EBITDA (c)	$	28.6		$	10.8

___________________

(a)As of December 31, 2024, MSC Income had equity ownership in all of its LMM portfolio companies, and the average fully diluted equity ownership in those portfolio companies was 9%.

(b)The weighted-average annual effective yields were computed using the effective interest rates for all debt investments as of December 31, 2024, including amortization of deferred debt origination fees and accretion of original issue discount but excluding fees payable upon repayment of the debt instruments 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, 2024. The weighted-average annual effective yield on MSC Income’s debt portfolio as of December 31, 2024, including debt investments on non-accrual status, was 11.4% for its Private Loan portfolio and 12.2% for its LMM portfolio. The weighted-average annual effective yield is not reflective of what an investor in shares of MSC Income’s common stock will realize on its investment because it does not reflect 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 and a simple average for the LMM portfolio. These calculations exclude certain portfolio companies, including two 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 purpose is to own real estate and those portfolio companies whose primary operations have ceased and only residual value remains.

The following tables summarize 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 March 31, 2025 and December 31, 2024 (this information excludes Other Portfolio investments, which are discussed above).


Cost:	March 31, 2025		December 31, 2024
First lien debt	85.4	%	85.2	%
Equity	14.4		14.5

Equity warrants	0.2		0.3
Other	—		—
	100.0	%	100.0	%


Fair Value:	March 31, 2025		December 31, 2024
First lien debt	78.3	%	77.6	%
Equity	21.3		22.0

Equity warrants	0.4		0.4
Other	—		—
	100.0	%	100.0	%

The following tables summarize the composition of MSC Income’s total combined Private Loan, LMM and Middle Market portfolio investments by geographic region of the United States 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 March 31, 2025 and December 31, 2024 (this information excludes Other Portfolio investments). The geographic composition is determined by the location of the corporate headquarters of the portfolio company.


Cost:	March 31, 2025		December 31, 2024
Northeast	23.3	%	22.4	%
Midwest	22.3		21.5
Southwest	20.5		18.2
West	18.2		18.7
Southeast	13.7		17.0
Canada	1.1		1.2
Other Non-United States	0.9		1.0
	100.0	%	100.0	%


Fair Value:	March 31, 2025		December 31, 2024
Midwest	23.3	%	22.7	%
Southwest	22.4		20.4
Northeast	22.4		22.6
West	18.1		18.4
Southeast	11.9		13.8
Canada	1.0		1.1
Other Non-United States	0.9		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 following tables summarize 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 March 31, 2025 and December 31, 2024 (this information excludes Other Portfolio investments).


Cost:	March 31, 2025		December 31, 2024
Electrical Equipment	7.3	%	4.6	%
Machinery	7.3		7.8
Commercial Services & Supplies	7.2		7.6
Internet Software & Services	6.3		7.2
Professional Services	5.6		6.1
Containers & Packaging	4.8		4.5
Diversified Consumer Services	4.7		5.2
IT Services	4.4		4.6
Distributors	3.9		4.3
Health Care Providers & Services	3.9		4.2
Aerospace & Defense	3.4		1.7
Leisure Equipment & Products	3.3		3.5
Auto Components	3.1		1.7
Chemicals	2.8		0.4
Hotels, Restaurants & Leisure	2.8		2.8
Textiles, Apparel & Luxury Goods	2.6		2.8
Diversified Financial Services	2.2		2.3
Specialty Retail	2.1		2.0
Computers & Peripherals	2.0		3.0
Construction & Engineering	1.8		2.1
Software	1.7		1.6
Communications Equipment	1.6		2.9
Energy Equipment & Services	1.6		1.6
Household Products	1.6		1.7
Internet & Catalog Retail	1.6		1.6
Marine	1.5		1.5
Food & Staples Retailing	1.3		1.6
Trading Companies & Distributors	1.3		1.3
Air Freight & Logistics	1.0		0.9
Media	1.0		1.2
Oil, Gas & Consumable Fuels	1.0		—
Health Care Equipment & Supplies	0.6		1.1
Building Products	0.3		2.2
Other (1)	2.4		2.4
	100.0	%	100.0	%

___________________

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


Fair Value:	March 31, 2025		December 31, 2024
Machinery	8.4	%	9.1	%
Electrical Equipment	7.2		4.7
Commercial Services & Supplies	6.4		6.6
Professional Services	5.6		6.1
Diversified Consumer Services	5.3		6.0
Internet Software & Services	5.2		6.3
Containers & Packaging	5.0		4.8
IT Services	4.2		4.5
Distributors	4.1		4.3
Computers & Peripherals	3.8		5.1
Health Care Providers & Services	3.5		3.8
Aerospace & Defense	3.3		1.7
Auto Components	3.0		1.7
Chemicals	2.7		0.4
Construction & Engineering	2.7		3.0
Leisure Equipment & Products	2.7		2.9
Textiles, Apparel & Luxury Goods	2.4		2.6
Diversified Financial Services	2.1		2.3
Software	2.1		2.1
Specialty Retail	2.1		2.2
Hotels, Restaurants & Leisure	2.0		2.0
Household Products	1.6		1.8
Communications Equipment	1.5		1.4
Air Freight & Logistics	1.4		1.4
Energy Equipment & Services	1.4		1.3
Marine	1.4		1.4
Food & Staples Retailing	1.2		1.3
Internet & Catalog Retail	1.2		1.4
Trading Companies & Distributors	1.2		1.3
Media	1.0		1.5
Oil, Gas & Consumable Fuels	1.0		—
Building Products	0.4		2.3
Other (1)	2.9		2.7
	100.0	%	100.0	%

___________________

(1)Includes various industries with each industry individually 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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