Morgan Stanley Direct Lending Fund (MSDL) SEC Filings & Earnings Calls

Non-accrual investments increased to 2.9% of cost from 1.3% in prior quarter

“certain investments in seven portfolio companies were on non-accrual status, representing approximately 2.9% of total investments at amortized cost” · word for word

Net realized and unrealized losses of $0.36 per share

“Net realized and unrealized gains (losses) per share ... ($0.36)” · word for word

Portfolio credit deterioration

“Net realized loss on investments $7.431M vs gain $0.091M YoY; net unrealized depreciation $22.801M vs $7.652M YoY”

Earnings decline

“Net increase in net assets resulting from operations $7.928M vs $36.096M YoY (down 78%)”

Increased leverage from additional debt issuance.

“6.100% Notes due 2031” · word for word

Increased leverage from new debt issuance; interest expense burden at 6.1% coupon.

“$350M notes at 6.100% due 2031.”

NAV declined 2.2% QoQ due to unrealized depreciation and realized losses.

“Net change in unrealized depreciation $31.8M; net realized losses $13.2M; NAV $19.81 vs $20.26.”

Non-accrual investments at 1.5% of portfolio may indicate credit stress.

“Six portfolio companies on non-accrual status, representing 1.5% of total investments at amortized cost.”

NII declined QoQ due to lower base rates and higher expenses.

“NII $40.5M vs $42.4M QoQ; total investment income $89.1M vs $96.6M.”

Investment portfolio depreciation

“Net change in unrealized appreciation (depreciation) on non-controlled/non-affiliated investments (29,707)” · word for word

Realized investment losses

“Net realized gain (loss) on non-controlled/non-affiliated investments (13,173)” · word for word

Declining portfolio yield due to lower base rates and spread tightening

“Weighted average yield on debt securities at amortized cost decreased from 9.7% to 9.3% sequentially”

Non-accrual investments represent 1.6% of portfolio at cost, indicating credit risk

“As of December 31, 2025, certain investments in four portfolio companies were on non-accrual status, representing approximately 1.6% of total investments at amortized cost” · word for word

Covenant-Lite Loan Exposure

“As of December 31, 2025, approximately 35% of our portfolio, measured as percent of gross commitments, is in loans that are considered “covenant-lite.”” · word for word

Interest Rate Risk

“We are subject to risks associated with the current interest rate environment and to the extent we use debt to finance our investments, changes in interest rates will affect our cost of capital and net investment income.” · word for word

Leverage Risk

“The use of leverage magnifies the potential for gain or loss on amounts invested and may increase the risk of investing in us.” · word for word

Illiquidity of Investments

“Our investments are illiquid in most cases, and we can offer no assurance that we will be able to realize on such investments in a timely manner.” · word for word

Conflict of Interest with Affiliates

“There are significant potential conflicts of interest that could affect our investment returns.” · word for word

Declining net investment income and unrealized losses

“Net investment income (loss) after taxes 43,730 vs 58,729 for the three months ended September 30, 2025 and 2024, respectively. Net unrealized appreciation (depreciation) (16,155) vs 5,442.” · word for word

NAV erosion and share repurchases

“Net asset value per share $20.41 vs $20.81 as of September 30, 2025 and December 31, 2024, respectively. Repurchase of common stock $32.9M in 9M 2025.”

Non-accrual investments at 1.2% of cost; slight NAV decline; yield compression on debt portfolio.

“As of September 30, 2025, certain investments in four portfolio companies were on non-accrual status, representing approximately 1.2% of total investments at amortized cost. Net asset value of $20.41 per share, as compared to $20.59 as of June 30, 2025. Total weighted average yield of investments in debt securities at amortized cost and fair value was 9.7% a”