Quarterly Report for Quarter Ending March 31, 2026 (Form 10-Q)

ITEM 2. MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

The following discussion and analysis should be read in conjunction with the accompanying consolidated financial statements of Kennedy Lewis Capital Company ("we", "us", "our" and the "Company") and the notes thereto and other financial information included elsewhere in this Quarterly Report on Form 10-Q.

Forward Looking Statements

Statements contained in this Quarterly Report on Form 10-Q (including those relating to current and future market conditions and trends in respect thereof) that are not historical facts are based on current expectations, estimates, projections, opinions and/or beliefs of the Company, its advisor, Kennedy Lewis Capital Holdings LLC (in such capacity, the "Advisor"), a Delaware limited liability company that is registered with the Securities and Exchange Commission ("SEC") as an investment adviser under the Investment Advisers Act of 1940, as amended (the "Advisers Act"), Kennedy Lewis Investment Management LLC and/or its affiliates (collectively, "Kennedy Lewis"). Any such forward-looking statements may involve known and unknown risks, uncertainties and other factors which may cause our actual results, performance or achievements to be materially different from future results, performance or achievements expressed or implied by any forward-looking statements. Forward-looking statements, which involve assumptions and describe our future plans, strategies and expectations, are generally identifiable by use of the words "may," "will," "should," "expect," "anticipate," "estimate," "believe," "intend," "target," "goals," "plan," "forecast," "project," other variations on these words or comparable terminology, or the negative of these words. These forward-looking statements are based on assumptions that may be incorrect, and we cannot assure you that the projections included in these forward-looking statements will come to pass. Our actual results could differ materially from those expressed or implied by the forward-looking statements as a result of various factors, including the factors discussed in Item 1A "Risk Factors" section of our Annual Report on Form 10-K for the year ended December 31, 2025 and elsewhere in this Quarterly Report on Form 10-Q. Other factors that could cause our actual results and financial condition to differ materially include, but are not limited to, changes in political, economic or industry conditions, the interest rate environment or conditions affecting the financial and capital markets, and future changes in laws or regulations and conditions in our operating areas.

We have based the forward-looking statements included in this Quarterly Report on Form 10-Q on information available to us on the date of this Quarterly Report on Form 10-Q, and we assume no obligation to update any such forward-looking statements, unless we are required to do so by applicable law. However, you are advised to consult any additional disclosures that we may make directly to you or through reports that we in the future may file with the SEC.

Overview

The Company is a Delaware statutory trust structured as an externally managed, diversified closed-end management investment company. The Company has elected to be treated as a BDC under the Investment Company Act of 1940, as amended (the "1940 Act"). In addition, the Company has elected to be treated, and intends to qualify annually, as a RIC for U.S. federal income tax purposes under the Code.

The Company commenced operations on February 1, 2023 as a privately offered BDC. On June 18, 2024, the SEC issued the Company an exemptive order that permits the Company to offer multiple classes of its Common Shares (the "Multi-Class Order"). On June 24, 2024, the Company received a notice of effectiveness from the SEC related to the Company's registration statement on Form N-2 (the "Form N-2 Registration Statement"). Pursuant to the Form N-2 Registration Statement and the Multi-Class Order, the Company is publicly offering on a continuous basis up to $2,000,000,000 of its Class S shares, Class D shares, and Class I shares pursuant to the terms set forth in the subscription agreements the Company enters into with investors.

The Company is externally managed by the Advisor. The Advisor oversees the management of the Company's activities and is responsible for making investment decisions with respect to the Company's portfolio.

The Company's investment objectives are to maximize the total return to its shareholders in the form of current income and, to a lesser extent, capital appreciation. The Company employs a strategy to provide capital to middle market companies, with a focus on direct originations in private, first lien, senior secured, performing credits.

Key Components of Our Results of Operations

Investments

We focus primarily on loans and securities, including syndicated loans, of private U.S. companies. Our level of investment activity (both the number of investments and the size of each investment) can and will vary substantially from period to period depending on many factors, including the amount of debt and equity capital available to private companies, the level of merger and acquisition activity

for such companies, the general economic environment, trading prices of loans and other securities and the competitive environment for the types of investments we make.

Revenues

We generate revenue in the form of interest income and fees primarily from senior secured loans with some capital appreciation through nominal equity co-investments. In some cases, our debt investments may pay interest in-kind, or PIK interest. Any outstanding principal amount of our debt securities and any accrued but unpaid interest will generally become due at the maturity date. The level of interest income we receive is directly related to the balance of interest-bearing investments multiplied by the weighted average yield of our investments. We expect that the total dollar amount of interest and any dividend income that we earn will increase as the size of our investment portfolio increases.

Expenses

Except as specifically provided below, all investment professionals and staff of the Advisor, when and to the extent engaged in providing investment advisory services to us, and the base compensation, bonus and benefits, and the routine overhead expenses, of such personnel allocable to such services, will be provided and paid for by the Advisor. We will bear all other costs and expenses of our operations, administration and transactions, including, but not limited to (a) investment advisory fees, including management fees and incentive fees, to the Advisor, pursuant to the investment advisory agreement between the Company and the Advisor; (b) our allocable portion of compensation, overhead (including rent and utilities) and other expenses incurred by Kennedy Lewis Management LP as the Company's administrator (in such capacity, the "Administrator") in performing its administrative obligations pursuant to an administration agreement, including but not limited to: (i) Chief Financial Officer and Chief Compliance Officer of the Company and their respective staffs; (ii) actual cost of goods and services used for the Company and obtained by the Administrator from entities not affiliated with the Company; and (c) all other expenses of our operations, administrations and transactions.

From time to time, the Advisor, the Administrator or their affiliates may pay third-party providers of goods or services. We will reimburse the Advisor, the Administrator or such affiliates thereof for any such amounts paid on our behalf. From time to time, the Advisor or the Administrator may defer or waive fees and/or rights to be reimbursed for expenses. All of the foregoing expenses will ultimately be borne by our shareholders.

Financial and Operating Highlights

Portfolio and Investment Activity

As of March 31, 2026 and December 31, 2025, our investments consisted of the following:

As of March 31, 2026 and December 31, 2025, all investments were considered to be income-producing investments.

RESULTS OF OPERATIONS

Our operating results for the three months ended March 31, 2026 and March 31, 2025, were as follows:

Investment Income

The composition of our investment income for three months ended March 31, 2026 and March 31, 2025 were as follows:

Operating Expenses

The composition of our operating expenses for the three months ended March 31, 2026 and March 31, 2025 were as follows:

Net Realized Gains (Losses) and Net Change in Unrealized Gains (Losses) on Investments

Net realized gains (losses) and net change in unrealized gains (losses) on investments for the three months ended March 31, 2026 and March 31, 2025 were as follows.

Liquidity and Capital Resources

We generate cash from (1) funds from investors in connection with such investors' purchases of Common Shares, (2) cash flows from investments and operations, and (3) borrowings from banks or other lenders. Subject to prevailing market conditions, we intend to grow our portfolio of assets by raising additional capital, including through the prudent use of leverage available to us.

Our primary uses of cash are for (1) investments in portfolio companies and other investments to comply with certain portfolio diversification requirements, (2) the cost of operations (including paying the Advisor and the Administrator), (3) debt service of any borrowings and (4) cash distributions to the Company's shareholders.

Borrowings

We use borrowed funds, known as "leverage," to make investments and to attempt to increase returns to our shareholders by reducing our overall cost of capital. As a BDC, we are limited in the amount of leverage we can incur under the 1940 Act. We are only allowed to borrow amounts such that our asset coverage, as defined in the 1940 Act, equals at least 150% after such borrowing. We
may use leverage for investments, working capital, expenses and general corporate purposes (including to pay dividends or
distributions). As of March 31, 2026, we had $412.50 million par value of outstanding borrowings and our asset coverage ratio of total assets to total borrowings was 280.56%, compliant with the minimum asset coverage level of 150% generally required for a BDC by the 1940 Act.

We expect to maintain adequate liquidity and compliance with regulatory and contractual asset coverage requirements.

Secured Credit Facility - On April 20, 2023, KLCC SPV GS1 LLC ("Subsidiary I"), a Delaware limited liability company and subsidiary of the Company, entered into a credit agreement with Goldman Sachs Bank USA (as amended, restated, supplemented or otherwise modified from time to time, the "Secured Credit Facility"), which, as of March 31, 2026, allowed Subsidiary I to borrow up to $500 million . The Secured Credit Facility will mature on May 1, 2030, unless terminated earlier as provided. Amounts drawn under the Secured Credit Facility will bear interest at Term SOFR plus a margin. Advances used to finance the purchase or origination of loans

under the Secured Credit Facility initially bear interest at Term SOFR plus a spread of (i) with respect to which the BSL Percentage is 15% or higher on such day, 2.50% per annum and (ii) with respect to which the BSL Percentage is less than 15% on such day, 2.60% per annum. The estimated fair value of the Secured Credit Facility approximated the principal value of $412,500,000 and $412,500,000 on the consolidated statement of assets and liabilities as of March 31, 2026 and December 31, 2025, respectively, and is categorized as Level III under the Accounting Standards Codification ("ASC") 820 fair value hierarchy. See Note 6 to the consolidated financial statements-"Borrowings" for additional information.

Borrowings of Subsidiary I are considered borrowings of the Company for purposes of complying with the asset coverage requirements under the 1940 Act.

The following table summarizes the average debt outstanding and the interest rates on the Secured Credit Facility for the three months ended March 31, 2026 and March 31, 2025, respectively:

For the three months ended March 31, 2026 and March 31, 2025, the components of interest expense related to the Secured Credit Facility were as follows:

Equity

The following table summarizes transactions in Common Shares during the three months ended March 31, 2026 and March 31, 2025:

There were no Class S or Class D shares outstanding during the three months ended March 31, 2025.

Distributions

Distributions to shareholders are recorded on the record date. The amount to be distributed, if any, is determined by the Board each quarter, and is generally based upon the earnings estimated by the Advisor. The Company intends to distribute net capital gains (i.e., net long-term capital gains in excess of net short-term capital losses), if any, at least annually out of the assets legally available for such distributions. However, the Company may decide in the future to retain such capital gains for investment, incur a corporate-level tax on such capital gains, and elect to treat such capital gains as deemed distributions to shareholders.

We have adopted a dividend reinvestment plan ("DRP"), pursuant to which we will reinvest all cash distributions declared by the Board on behalf of our shareholders who opt-in to the DRP. Shareholders who do not opt-in to the DRP will receive their distributions in cash. As a result, if the Board authorizes, and we declare, a cash distribution or other distribution, then our shareholders who have opted-in to our DRP will have their cash distributions automatically reinvested (net of applicable withholding tax) in additional shares or a combination of cash and Common Shares, rather than receiving the cash distribution. Distributions on fractional shares will be credited to each participating shareholder's account to three decimal places.

The following tables summarize the distributions paid and Common Shares issued pursuant to the DRP for the three months ended March 31, 2026 and March 31, 2025, respectively:

Of the total distributions paid during the three months ended March 31, 2026, $15,364,100 was distributed in cash.

Of the total distributions paid during the three months ended March 31, 2025, $9,014,410 was distributed in cash.

Of the total distributions paid during the three months ended March 31, 2026, $25,336 was distributed in cash.

Of the total distributions paid during the three months ended March 31, 2026, $0 was distributed in cash.

The Company may fund its cash distributions to shareholders from any source of funds available to the Company, including but not limited to offering proceeds, net investment income from operations, capital gains proceeds from the sale of assets, dividends or other distributions paid to it on account of preferred and common equity investments in portfolio companies and expense support from the Advisor, which is subject to recoupment.

For the three months ended March 31, 2025, a portion of the Company's distributions resulted from expense support from the Advisor, and future distributions may result from expense support from the Advisor, each of which is subject to repayment by the Company within three years from the date of payment. For the three months ended March 31, 2026, no such expense support was provided by the Advisor. Shareholders should understand that any such distribution is not based solely on the Company's investment performance, and can only be sustained if the Company achieves positive investment performance in future periods and/or the Advisor continues to provide expense support. Shareholders should also understand that the Company's future repayments of expense support will reduce the distributions that they would otherwise receive. There can be no assurance that the Company will achieve the performance necessary to sustain these distributions, or be able to pay distributions at all.

Sources of distributions, other than net investment income and realized gains on a GAAP basis, include required adjustments to GAAP net investment income in the current period to determine taxable income available for distributions. The following table presents the sources of distributions on a GAAP basis that the Company declared on its Common Shares for the three months ended March 31, 2026 and March 31, 2025, respectively:

There were no Class S or Class D shares outstanding during the three months ended March 31, 2025.

Taxation as a RIC

We elected to be treated, and intend to qualify annually, as a RIC under Subchapter M of the Code. As a RIC, we generally will not be subject to corporate-level U.S. federal income taxes on any net ordinary taxable income or capital gains that we distribute as dividends for U.S. federal income tax purposes to our shareholders. To qualify as a RIC, we must, among other things, meet certain source-of-income and asset diversification requirements. In addition, in order to maintain RIC tax treatment, we must timely distribute to our shareholders, for each tax year, an amount equal to at least 90% of our "investment company taxable income," which includes, among other items, dividends, interest and the excess of any net short-term capital gains over net long-term capital losses and other taxable income other than any net capital gain reduced by deductible expenses.

Additionally, in order to avoid the imposition of a U.S. federal excise tax, we are required to distribute, in respect of each calendar year, dividends to our shareholders of an amount at least equal to the sum of 98% of our calendar year net ordinary income (not taking into account any capital gains or losses); 98.2% of our capital gain in excess of its capital losses (adjusted for certain ordinary losses) for a one-year period generally ending on October 31 of the calendar year; and any undistributed amounts from previous years on which we paid no U.S. federal income tax. If we fail to qualify as a RIC for any reason and become subject to corporate tax, the resulting corporate taxes could substantially reduce our net assets, the amount of income available for distribution and the amount of our distributions.

Related Party Transactions and Agreements

Advisory Agreement

Subject to the overall supervision of the Board and in accordance with the 1940 Act, the Advisor manages the Company's day-to-day operations and provides investment advisory services to the Company, pursuant to an investment advisory agreement (as amended, the "Advisory Agreement"). Under the terms of the Advisory Agreement, the Advisor (i) determines the composition of the Company's portfolio, the nature and timing of the changes to its portfolio and the manner of implementing such changes; (ii) identifies, evaluates and negotiates the structure of the investments the Company makes; (iii) executes, closes, services and monitors the investments the Company makes; (iv) determines the securities and other assets that the Company purchases, retains or sells; (v) performs due diligence on prospective portfolio companies; and (vi) provides the Company with such other investment advisory, research and related services as the Company may, from time to time, reasonably require for the investment of its funds. Under the Advisory Agreement, the Company pays the Advisor fees for investment management services consisting of the Base Management Fee and the Incentive Fee. See Note 3 to the consolidated financial statements-"Related Party Transactions" for additional information.

For the three months ended March 31, 2026 and March 31, 2025, the Company paid Base Management Fees of $2,268,585 and $1,504,233, respectively. For the three months ended March 31, 2026 and March 31, 2025, the Company paid Income-Based Incentive Fees of $2,420,198 and $1,677,360 respectively. For the three months ended March 31, 2026 and March 31, 2025, the Company accrued

capital gains incentive fees of $(142,052) and $(387,451), respectively, of which none was payable on such date under the Advisory Agreement.

Administration Agreement

Kennedy Lewis Management LP serves as our administrator pursuant to an administration agreement (the "Administration Agreement"). Under the Administration Agreement, the Administrator furnishes the Company with office facilities and equipment and provides the Company with clerical, bookkeeping, recordkeeping and other administrative services at such facilities. The Administrator also performs, or oversees the performance of, the Company's required administrative services, which include being responsible for the financial and other records that the Company is required to maintain and preparing reports to its shareholders and reports and other materials filed with the SEC. In addition, the Administrator assists the Company in determining and publishing its net asset value, oversees the preparation and filing of its tax returns and the printing and dissemination of reports and other materials to its shareholders, and generally oversees the payment of its expenses and the performance of administrative and professional services rendered to the Company by others. Under the Administration Agreement, the Administrator also provides managerial assistance on the Company's behalf to those portfolio companies that have accepted the Company's offer to provide such assistance. The Administrator has retained State Street Bank and Trust Company, a Massachusetts trust company, as a sub-administrator to perform any or all of its obligations under the Administration Agreement.

Payments under the Administration Agreement are equal to an amount based upon the Company's allocable portion (subject to the review of the Board) of the Administrator's overhead in performing its obligations under the Administration Agreement, including rent, the fees and expenses associated with performing compliance functions and the Company's allocable portion of the cost of the Company's Chief Financial Officer and Chief Compliance Officer and his or her staff.

For the three months ended March 31, 2026, and March 31, 2025, the Company incurred $322,650 and $235,079, respectively, in expenses under the Administration Agreement, which are recorded in "Administrative service expenses" in the Company's Consolidated Statements of Operations. As of March 31, 2026 and December 31, 2025, there was $322,650 and $266,043, respectively, of administrative service expenses payable by the Company which are included in "Due to Advisor and affiliates" in the Consolidated Statements of Assets and Liabilities.

SEC Exemptive Relief

As a BDC, the Company is subject to certain regulatory restrictions in making its investments. For example, BDCs generally are not permitted to co-invest with certain affiliated entities in transactions originated by the BDC or its affiliates in the absence of an exemptive order from the SEC. However, BDCs are permitted to, and may, simultaneously co-invest in transactions where price and quantity are the only negotiated terms. On March 6, 2023, the SEC issued an order (the "Co-Investment Order") granting the Company's application for exemptive relief to co-invest, subject to the satisfaction of certain conditions, in certain private placement transactions, with other funds managed by the Advisor or its affiliates. Under the terms of the Co-Investment Order, in order for the Company to participate in a co-investment transaction, a "required majority" (as defined in Section 57(o) of the 1940 Act) of the Company's independent trustees must conclude that (i) the terms of the proposed transaction, including the consideration to be paid, are reasonable and fair to the Company and its shareholders and do not involve overreaching with respect of the Company or its shareholders on the part of any person concerned, and (ii) the proposed transaction is consistent with the interests of the Company's shareholders and is consistent with the Company's investment objectives and strategies and certain criteria established by the Board.

On June 18, 2024, the SEC issued an order (the "Multi-Class Order") granting the Company's application for exemptive relief from sections 18(a)(2), 18(c), 18(i) and 61(a) under the 1940 Act. Under the terms of the Multi-Class Order, the Company is permitted to offer multiple classes of its Common Shares with varying sales loads and asset-based distribution and/or service fees.

Expense Support and Conditional Reimbursement Agreement

The Company has entered into an Expense Support Agreement with the Advisor, pursuant to which the Advisor has contractually agreed to pay Other Operating Expenses (as defined below) of the Company on the Company's behalf (each such payment, a "Required Expense Payment") such that Other Operating Expenses of the Company do not exceed 1.00% (on an annualized basis) of the Company's applicable quarter-end net asset value. "Other Operating Expenses" include the Company's organizational and offering expenses (including the Company's allocable portion of compensation and overhead (including rent, office equipment and utilities) and other expenses incurred by the Administrator in performing its administrative obligations under the Administration Agreement, excluding Base Management Fees and Incentive Fees owed to the Advisor and any interest expenses owed by the Company. See Note 3 to the consolidated financial statements-"Related Party Transactions" for additional information.

As of March 31, 2026, the total expense support provided by the Advisor since inception was $3,596,796. For the three months ended March 31, 2026, and March 31, 2025, the Advisor provided $0 and $162,124 of expense support, respectively.

Contractual Obligations

Other than payment of fees discussed in the "Related Party Transactions and Agreements" section, we had no payment obligations for repayment of debt and other contractual obligations as of March 31, 2026. For additional information on the fees under the Advisory Agreement and Administration Agreement, see Note 3-"Related Party Transactions."

Off-Balance Sheet Arrangements

From time-to-time we are a party to financial instruments with off-balance sheet risk in the normal course of business in order to meet the needs of our investment in portfolio companies. Such instruments include commitments to extend credit and may involve, in varying degrees, elements of credit risk in excess of amounts recognized on our balance sheet. Prior to extending such credit, we attempt to limit our credit risk by conducting extensive due diligence, obtaining collateral where necessary and negotiating appropriate financial covenants. As of March 31, 2026 and December 31, 2025, we had $33,249,060 and $16,810,100 in unfunded delayed draw term loan commitments, respectively and $15,177,945 and $13,739,442 in unfunded revolver commitments, respectively.

Commitments

In the ordinary course of business, we may enter into future funding commitments. We maintain sufficient financial resources to satisfy any unfunded commitments, including cash on hand and available borrowings to fund such unfunded commitments. Please refer to Note 7 in the notes to our consolidated financial statements-"Commitments and Contingencies" for further detail of these unfunded commitments.

Recent Developments

We have evaluated recent developments through the date of issuance of these consolidated financial statements and determined that there are no recent developments outside the ordinary scope of business that require adjustment to, or disclosure in, the consolidated financial statements.

Significant Accounting Estimates and Critical Accounting Policies

The Company's consolidated financial statements have been prepared in accordance with U.S. GAAP. The Company is an investment company and accordingly follows the investment company accounting and reporting guidance of the FASB ASC Topic 946, Financial Services - Investment Companies. These consolidated financial statements reflect adjustments that in the opinion of management are necessary for the fair statement of the financial position and results of operations for the periods presented herein.

While our significant accounting policies are also described in Note 2 of the notes to our consolidated financial statements-"Significant Accounting Policies", we believe the following accounting policies require the most significant judgment in the preparation of our consolidated financial statements.

Valuation of Portfolio Investments

In accordance with Rule 2a-5 under the 1940 Act, the Board has designated the Advisor as the Company's "Valuation Designee". The Advisor has established a Valuation Committee that is responsible for determining in good faith the fair value of the Company's investments in instances where there is no readily available market quotation. A readily available market quotation is not expected to exist for most of the investments in the Company's portfolio, and the Company values these portfolio investments at fair value as determined in good faith by the Valuation Designee. Investments for which market quotations are readily available may be priced by independent pricing services. The Company has retained external, independent valuation firms to provide data and valuation analyses on the Company's portfolio companies. The Advisor values the Company's investments as described in Note 2 of the notes to our consolidated financial statements-"Significant Accounting Policies."

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Company's investments may fluctuate from period to period. Additionally, the fair value of such investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values that may ultimately be realized. Further, such investments are generally less liquid than publicly traded securities and may be subject to contractual and other restrictions on resale. If the Company were required to liquidate a portfolio investment in a forced or liquidation sale, it could realize amounts that are different from the amounts presented and such differences could be material.

In addition, changes in the market environment, including the impact of changes in broader market indices and credit spreads, and other events that may occur over the life of the investments may cause the gains or losses ultimately realized on these investments to be different than the unrealized gains or losses reflected herein.

Investment Related Transactions and Revenue Recognition

Investment transactions and the related revenue and expenses are recorded on a trade-date basis. Realized gains or losses are recorded upon the sale or liquidation of investments and are calculated as the difference between the net proceeds from the sale or liquidation, if any, and the cost basis of the investment using the specific identification method. Unrealized appreciation or depreciation reflects the difference between the fair value of the investments and the cost basis of the investments. Interest income is recorded on an accrual basis and includes the accretion of discounts and amortization 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. Upon prepayment of a loan or debt security, any prepayment premiums, unamortized fees and unamortized discounts are recorded as interest income.

In the general course of its business, the Company receives certain fees from portfolio companies, which are non-recurring in nature. Such fees may include loan prepayment penalties, structuring fees and loan waiver amendment fees, and commitment fees, and are recorded as other income in investment income when earned.

Certain investments may have contractual payment-in-kind ("PIK") interest. PIK represents accrued interest that is added to the principal amount of the investment on the interest payment date rather than being paid in cash and generally becomes due at maturity or upon the investment being called by the issuer. PIK is recorded as interest income. Because the Company has elected to be treated, and intends to qualify annually, as a RIC for U.S. federal income purposes under Subchapter M of the Code, therefore, this non-cash source of income must be paid out to shareholders in the form of distributions, even though the Company has not yet collected the cash.

Receivable for investments sold and payable for investments purchased represent unsettled investments.