AG Twin Brook Capital Income Fund
06/08/2026 | Press release | Distributed by Public on 06/08/2026 15:22
Regulation FD Disclosure (Form 8-K)
| Item 7.01 | Regulation FD Disclosure |
Business Update
TPG Twin Brook Capital Income Fund ("TCAP" or the "Fund") is focused on lending to private equity-backed companies within the lower middle market, representing an average EBITDA of $18.3 million at origination, and has been built with the objective of generating attractive, consistent total returns across market cycles. We are pleased with the Fund's continued strong performance: 9.8% annualized total return since inception in 2022 and 10.4% total return in 2025, representing 750 and 220 basis points of outperformance versus fixed income and leveraged loans since inception.1 In addition, TCAP benefits from a portfolio built with 100% directly originated first lien senior secured loans,2 supporting its 9.9% annualized distribution rate.3
TPG Twin Brook has developed deep and long-standing relationships with many lower middle market private equity firms that provide TCAP with a strong pipeline of deal flow. This allows TPG Twin Brook to be highly selective, closing on <4% of transactions screened,4 which meet our rigorous underwriting standards. In addition to our established origination capabilities, we believe our focus on cash flow senior secured lending, differentiated business selection, and prudent structuring with lender protections has created a resilient portfolio. 5
TCAP is well positioned with a $4.5 billion portfolio and diversified across 270 positions, representing an average position size of 0.37%,6 diversified across non-cyclical sectors with proven cash flow generation, and limited software exposure of approximately 2% of fair value. 100% of the Fund's debt investments are first lien senior secured at a 40%7 average loan-to-value at closing. Our active portfolio monitoring and robust risk management processes are evidenced through low payment-in-kind interest ("PIK") and non-accrual rates of 1.3%8 and 0.2%,9 respectively, with minimal to no change from the prior quarter, and an interest coverage ratio of 2.4x. 10
Capital inflows from April 1, 2026 through June 8, 2026 were approximately $181 million, not including June dividend reinvestments.11 TCAP will honor all repurchase requests this quarter, which represent 2.1% of shares outstanding as of March 31, 2026 (or approximately $53 million based on March 31, 2026 NAV), below our program's 5% quarterly repurchase limit.11 Of note, repurchase requests for TCAP have been approximately 2% or less and 100% fulfilled since inception. TCAP's liquidity position remains strong with over $832 million of available liquidity as of March 31, 2026,12 and $193 million of new subscriptions received during the first quarter.
End Notes
Note: All numbers as of March 31, 2026, unless otherwise noted. Returns shown are for Class I shares. Subscription data includes DRIP proceeds. Reflects TPG Twin Brook's views and beliefs as of the date of this report only, which is subject to change. Returns for periods greater than one year are annualized. Past performance is no guarantee of future results. There can be no assurance that TCAP will achieve results comparable to those of any of TPG Twin Brook's prior funds or be able to implement its investment strategy, achieve its investment objectives or avoid significant losses. There can be no assurances that any of the trends described herein will continue or will not reverse.
1. Outperformance calculated as the total return difference between (i) TCAP and the Leveraged Loan Index, which is represented by the Morningstar LSTA US B/BB Ratings Loan Index and (ii) TCAP and Fixed Income, which is represented by the Bloomberg US Aggregate Index.
2. Represents senior secured first lien debt as a percentage of total debt investments and excludes TCAP's equity investments.
3. Annualized distribution rate reflects the current month's distribution, divided by the last reported NAV, annualized, assuming the reinvestment of distributions in the distribution reinvestment plan. This does not include any Special Dividend. Distributions are not guaranteed and there can be no assurance as to the
amount or timing of any future distribution. TCAP may fund distributions from sources other than cash flow from operations, including, without limitation, the sale of assets, borrowings, return of capital or offering proceeds, and we have no limits on the amounts we may pay from such sources. Distributions may be funded, directly or indirectly, from temporary waivers or expense reimbursements borne by TCAP's Adviser or its affiliates that may be subject to reimbursement to the Adviser or its affiliates. We have not established limits on the amounts we may fund from such sources. As of March 31, 2026, 100% of inception to date distributions were funded from net investment income or realized short-term capital gains. See TCAP's prospectus for more information and TCAP's website for notices regarding distributions subject to Section 19(a).
4. Selectivity ratio represents TPG Twin Brook platform deals closed versus deals screened since inception in 2014 through March 31, 2026.
5. Lender protections are structural elements of a loan investment that serve to strengthen the lender's position but are not a guarantee against losses. These may include, but are not limited to, first lien perfected security interests on tangible/intangible assets of a portfolio company and covenant packages with both financial and negative covenants.
6. Average position size calculated as the weighted average position size as a percentage of fair value for debt investments.
7. Loan-to-value calculation uses the weighted average of all term loans, funded delay draw term loans, and funded revolvers, in each case as of investment close date.
8. Calculated as payment-in-kind interest as a share of total investment income earned for the three months ended March 31, 2026.
9. Calculated as the amortized cost of loans on non-accrual divided by total amortized cost of the TCAP portfolio. Based on the fair market value of the TCAP portfolio, TCAP's non-accrual rate is 0.1%. Loans are generally placed on non-accrual status when there is reasonable doubt whether principal or interest will be collected in full. Accrued interest is generally reversed when a 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 is paid current and, in management's judgment, are likely to remain current. Management may make exceptions to this treatment and determine to not place a loan on non-accrual status if the loan has sufficient collateral value and is in the process of collection.
10. Interest coverage ratio is estimated as the ratio of LTM EBITDA to cash interest paid using average 3-month daily SOFR as of March 31, 2026. Amounts derived from the most recently available portfolio company financial statements, have not been independently verified by TCAP, may reflect a normalized or adjusted amount, and are generally 90 days in arrears. Accordingly, TCAP makes no representation or warranty in respect of this information. EBITDA is a non-GAAP financial measure. For a particular portfolio company, LTM EBITDA is generally defined as net income before net interest expense, income tax expense, depreciation and amortization over the preceding 12-month period. Currency fluctuations may have an adverse effect on the value, price or income and costs of our portfolio companies and investments which may increase or decrease as a result of changes in exchange rates.
11. The capital inflow and repurchase request amounts are estimates based on information provided by the Fund's transfer agent. The Fund will disclose the final dollar value of first quarter repurchases in July (after striking June 30, 2026 NAV) as part of the Fund's ordinary course filings.
12. Available liquidity is composed of cash and cash equivalents, excluding restricted cash, plus the amount available to draw upon across all revolving credit facilities, net of limitations related to each respective credit facility's borrowing base.
Important Disclosure Information
AG Twin Brook Capital Income Fund published this content on June 08, 2026, and is solely responsible for the information contained herein. Distributed via EDGAR on June 08, 2026 at 21:22 UTC. If you believe the information included in the content is inaccurate or outdated and requires editing or removal, please contact us at [email protected]