TPG Twin Brook Capital Income Fund

Item 7.01 Regulation FD Disclosure Portfolio Commentary (All data as of June 30, 2026, unless otherwise noted) TPG Twin Brook Capital Income Fund (“TCAP”) has built its $4.8 billion portfolio with the objective of generating attractive, consistent total returns across market cycles. While the first half of the year has been characterized by market volatility and uncertainty within the private credit market, TCAP continues to deliver strong, consistent performance. On a year-to-date basis, TCAP generated a 4.9% total return (Class I) outperforming leveraged loans(1) and fixed income(2) markets by 240bps and 440bps year-to-date, respectively. On a trailing twelve month basis, TCAP generated a 9.9% total return, outperforming those same markets by 420bps and 610bps, respectively. We remain confident in TCAP’s portfolio, that has been built defensively to be resilient across market cycles. We believe the following characteristics of our strategy support this objective: • Cash Flow Senior Secured Lending: TCAP’s portfolio consists of 100% first lien senior secured debt investments(3) in portfolio companies that have a demonstrated track record of cash flow generation. TCAP’s portfolio does not include any annualized recurring revenue transactions, asset-based or broadly syndicated loans, which we believe contribute to volatility. • Differentiated Business Selection: With a keen focus on the lower middle market, and an average EBITDA of $18.1 million at origination,(4) TCAP exhibits low investment overlap with other peer BDCs of 0.3%(5) and Twin Brook Capital Partners, LLC (“TPG Twin Brook”) is able to secure covenants and revolvers(6)(7) in 100% of its investments, which are two important hallmarks of our active portfolio management approach. • Resilient Portfolio: TCAP’s portfolio is comprised of all directly originated loans. As a result of our lower middle market focus and thorough underwriting process, TCAP’s average portfolio company has a loan-to-value ratio of 39% and total debt-to-EBITDA of 4.0x,(8) which has been relatively stable since inception, and an interest coverage ratio of 2.6x. (9) 100% of the loans in TCAP’s portfolio are to private equity sponsored companies,(10) and TPG Twin Brook is a lead lender(11) for nearly all loans in TCAP’s portfolio. We believe these characteristics, along with others, have led to competitive payment-in-kind (“PIK”) and non-accrual rates of 1.3%(12) and 0.2%(13), respectively, with minimal to no change from the prior quarter. • Established Origination Capabilities: TPG Twin Brook has established itself as a leader within the lower middle market and benefits from consistent capital deployment with high selectivity (<4%). (14) TCAP committed $563 million during the quarter, of which $262 million represented investments into new portfolio companies. Direct Lending Market Commentary: Despite the complex news cycle, middle market lending volume has been somewhat resilient. US mid-market direct lending first half volume decreased ~30% year-over-year; however, volumes were 10% below average activity over the previous five years, representing a more muted decrease versus recent history, and momentum accelerated in June. (15) TPG Twin Brook has benefitted from its established market leadership in the lower middle market and existing portfolio of over 300 borrowers, experiencing an active first half of the year generating over $4 billion in loan originations. While competitive dynamics, including the loan supply-demand imbalance, have put downward pressure on spreads since peak pricing in 2023, particularly for assets perceived as high quality, the middle market has experienced spread stability and even widening in certain areas of the market in 2026. The lower middle market remains well-positioned given the sustained pricing premium for first lien loans financing leveraged buyouts (“LBOs”), which was approximately 15bps on average versus the larger markets. (16) TCAP’s weighted average spread has remained steady quarter-over-quarter at 540bps. Further, the leverage offered in the lower middle market continues to be more conservative than that of larger markets, offering a higher spread per unit of leverage, or risk-adjusted return. We believe the lower middle market value proposition continues to be strong and differentiated, benefiting from less competition than investment strategies focused on larger companies, given fewer established lenders operating in this market, and the potential for stronger lender protections(17) in the form of covenants and stricter underwriting standards. As a result, we believe TCAP has built a resilient portfolio with low percentages of payment-in-kind interest and non-accrual rates, exhibiting strong performance to date and well positioned to take advantage of the robust opportunity set within its niche of the lower middle market. TCAP’s Summary Statistics TCAP’s Portfolio Company Statistics Inception-to-date total net return (Class I)(18) 9.8% Average Issuer EBITDA(4) $18.1M Annualized Distribution Rate (Class I)(19) 10.0% Average loan-to-value(8) 39% TCAP Distribution Spread(20) Interest Coverage Ratio(9) 2.6x –Average 3-Month Daily SOFR 628 bps Transaction Leadership(11) ~100% –Leveraged Loans 174 bps Sponsored Investments(10) 100% TCAP Excess Returns(21) Transactions with Covenants(6) 100% –1Q26 Excess Total Return over Leveraged Loans 50 bps Transactions with Revolvers(7) 100% –1 Year Excess Total Return over Leveraged Loans 420 bps Average Position Size(31) 0.35% –1 Year Excess Total Return over Non-Listed BDCs 480 bps Assets TCAP’s Private Debt Investments in New Portfolio Companies in Q2 2026 Statistics First Lien Senior Secured Debt(3) 100% New Loans Originated(32) 20 Floating Rate Investments(22) ~100% Amount Committed to Loans(33) $563M Private Investments (Level 3)(23) 100% Offering Proceeds(34) $193M Non-accruals (at cost)(13) 0.2% First Lien Senior Secured Debt(3) 100% Payment-in-kind interest(12) 1.3% Weighted average yield(35) 8.7% Weighted average debt-to-EBITDA(36) 3.6x Liabilities TPG Twin Brook sole/lead lender(11) 100% Debt-to-equity ratio(24) 0.8x Direct Lending Market Statistics Market Size(24) $1.4 trillion Share of Private Credit Fundraising(25) 59% Share of LBOs Financed in Private Credit Markets(26) 78% Lower Middle Market Share of M&A Volume(28) 42% Share of Lower Middle Market Activity Represented by M&A Volume(29) 65% Lower Middle Market Spread Premium per Turn of Leverage(27) ~30 bps End Notes Note: Data is as of June 30, 2026 unless otherwise indicated. 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) Leveraged Loans represented by the Morningstar LSTA US Leveraged Loan Index, which returned 2.5% and 5.7% year-to-date and over the trailing twelve months, respectively, through June 30, 2026. (2) Fixed Income represented by the Bloomberg US Aggregate Index, which returned 0.5% and 3.8% year-to-date and over the trailing twelve months, respectively, through June 30, 2026. (3) Represents senior secured first lien debt as a percentage of total debt investments and excludes TCAP’s equity investments. (4) Earnings before interest, taxes, depreciation and amortization. Calculated as a weighted average at investment closing. (5) Represents average overlap calculated as the aggregate fair value of the overlapping investment positions as a percentage of the fair value of total investments as of June 30, 2026. There can be no assurance that any trends described will continue. Data for peer positions is derived solely from public filings of traded and/or non-traded BDC that TPG Twin Brook believes are peers of TCAP (the “BDC Competitor Set”). The BDC Competitor Set does not represent all existing BDCs and may have differing strategies and investment mandates than TPG Twin Brook and, as a result, may not be directly comparable. (6) Represents transactions including one or more financial covenants in the credit agreement. (7) Represents transactions where TCAP holds the revolving line of credit facility directly or indirectly through a joint venture. (8) Loan-to-value and total debt-to-EBITDA 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. (9) Interest coverage ratio is estimated as the ratio of LTM EBITDA to cash interest paid using average 3-month daily SOFR as of June 30, 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. (10) Represents the number of transactions with portfolio companies that are owned by a private equity firm. (11) Includes all private debt investments in new portfolio companies funded from January 1, 2026 to June 30, 2026 (excluding add-ons and incremental loans to existing portfolio companies and drawdowns on delayed draw term loans and revolvers committed in prior periods). TPG Twin Brook is categorized as sole or lead lender where TPG Twin Brook held the total facility at closing or had a “Lead Arranger” designation. (12) Calculated as payment-in-kind interest as a share of total investment income earned for the six months ended June 30, 2026. (13) As of June 30, 2026. 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. (14) Selectivity ratio represents TPG Twin Brook platform deals closed versus deals screened since inception in 2014 through June 30, 2026. (15) LSEG LPC’s 2Q26 US Sponsored Market Private Deal Analysis; Sponsored Middle Market Direct Loan Volume (excludes syndicated). (16) KBRA DLD Insights and Outlook Private U.S. Sponsored Deals Analysis as of June 2026. Represents three month rolling averages for first lien term loans. Lower Middle Market represented by companies with EBITDA of <$20 million. “larger markets” represented by the core middle, upper middle, and large markets companies with greater than $20 million of EBITDA. (17) 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. (18) Inception to date (“ITD”) Total Return is calculated as the change in NAV per share during the period, plus distributions per share (assuming dividends and distributions are reinvested) divided by the beginning NAV per share. All returns are derived from unaudited financial information and are net of all TCAP expenses, including general and administrative expenses, transaction related expenses, management fees, incentive fees, and share class specific fees. Returns are prior to the impact of early repurchase deductions for shares outstanding for less than one year and any potential upfront placement fees, unless otherwise noted. ITD Total Return has been annualized for periods less than or greater than one year. An investment in TCAP is subject to a maximum upfront placement fee of 1.5% for Class D and 3.5% for Class S, which would reduce the amount of capital available for investment, if applicable. There are no upfront placement fees for Class I shares. Past performance is historical and not a guarantee of future results. The returns have been prepared using unaudited data and valuations of the underlying investments in TCAP’s portfolios which are estimates of fair value and form the basis for TCAP’s NAV. Valuations based on unaudited reports from the underlying investments may be subject to later adjustments, may not correspond to realized value, and may not accurately reflect the price at which assets could be liquidated. The Class I inception date is May 10, 2022, which is the date Class I shares were first sold to third parties by AGTB Private BDC, TCAP’s predecessor. TCAP merged with AGTB Private BDC on January 1, 2023, with TCAP surviving. For additional information regarding such merger, see TCAP’s prospectus. The Class S inception date is October 1, 2023 and the Class D inception date is December 1, 2023. Class S ITD Total Return with and without upfront placement fee is 8.6% and 10.0%, respectively. Class D ITD Total Return with and without upfront placement fee is 9.8% and 10.5%, respectively. (19) As of June 30, 2026. 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 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 June 30, 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). Class S and Class D annualized distribution rate is 9.0% and 9.7%, respectively. (20) TCAP distribution spread is approximate and represents the annualized TCAP dividend distribution rate per share for Class I as a spread to the average 3-month daily SOFR rate during the quarter and the yield to maturity on the Morningstar LSTA US Leveraged Loan Index (“Leveraged Loans”) as of June 30, 2026. Please see “Index Definitions” below. Dividend distribution rate reflects the annualized distribution per share for Class I shares in the specific period divided by beginning of period NAV. Please see footnote 18 for additional details on TCAP distributions. (21) Excess Returns 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) Non-Listed BDCs, which is represented by the Stanger Non-Listed BDC Index. Please see “Index Definitions” below. As of June 30, 2026, the three-month and one-year returns for TCAP were 2.3% and 9.9%, respectively. See Footnote 17 for additional information regarding return calculations. During this same period, the three- month and one-year returns for the Morningstar LSTA US B/BB Ratings Loan Index were 1.8% and 5.7%, respectively, and the 1-year return for the Stanger Non-Listed BDC Index was 5.1%. (22) TPG Twin Brook expects to originate 100% of its loans as floating rate investments. Current portfolio includes >99% floating rate investments measured at fair value. (23) As of June 30, 2026. Private Investments represent Level 3 investments in the investment portfolio which may be quoted or non-quoted but for which inputs to the valuation methodology are unobservable and significant to overall fair value measurement, divided by total investments. (24) As of June 30, 2026. Debt-to-equity ratio represents the ratio of total principal outstanding debt to net assets. (25) Estimated by KBRA Direct Lending Deals as of December 31, 2025 using Middle Market CLOs, Business Development Company Assets Under Management and Direct Lending Fund Assets Under Management. (26) Private Debt Investor Fundraising Report 1H2026; represents senior debt year-to-date fundraising as a percentage of total private debt fundraising. (27) Pitchbook LCD year-to-date data for Leveraged Buyouts through June 30, 2026. (28) KBRA DLD Research as of June 30, 2026. Spread premium per turn of leverage calculated as the market segment spread versus leverage for the lower middle market versus larger market and was 26 basis points. Lower middle market represented by companies with EBITDA of less than $20 million. Averages are based on a 3-month rolling basis; represents first-lien spread per one turn of first lien leverage. Annual recurring revenue deals are excluded (29) LSEG LPC’s 2Q26 US Sponsored Middle Market Private Deals Analysis; represents trailing twelve month Sponsored MM M&A volume (US$bn) by EBITDA size. Lower Mid-Market defined as less than $25 million EBITDA, Core Mid-Market defined as $25 up to $50 million EBITDA, Upper Mid-Market defined as equal to or greater than $50 million EBITDA. (30) KBRA DLD Research as of June 30, 2026; Percentages may not equal 100% because of rounding and/or some transactions split proceeds for more than one purpose. For example, a refinancing and add-on acquisition. Lower middle market represented by companies with EBITDA of less than $20 million. (31) Average position size calculated as the weighted average position size as a percentage of fair value for debt investments. (32) Number of new loans originated represent commitments to a particular portfolio company for the three months ended June 30, 2026. (33) Total principal amount of investments committed for the three months ended June 30, 2026. (34) Represents the amount of proceeds raised from shares sold in TCAP’s ongoing offering during the three months ended June 30, 2026. (35) During April 1, 2026 to June 30, 2026, private debt investments in new portfolio companies (excluding add-ons and incremental loans to existing portfolio companies and drawdowns on delayed draw term loans and revolvers committed in prior periods) were underwritten with a yield of 8.7% (on average this yield was comprised of 3.7% base rate/floor and 5.0% spread). (36) Represents weighted average debt-to-EBITDA on new loans originated during the quarter. Important Disclosure Information Certain information contained in this Current Report on Form 8-K (the “Current Report”) has been obtained from third-party sources. While such information is believed to be reliable for the purposes used herein, Angelo, Gordon & Co., L.P. (“TPG Angelo Gordon”) has not independently verified such information and TPG Angelo Gordon makes no representation or warranty, express or implied, as to the accuracy or completeness of such information contained herein. Certain economic and market conditions contained herein has been obtained from published sources and/or prepared by third-parties and in certain cases has not been updated through the date hereof. There is no representation or guarantee regarding the reliability, accuracy or completeness of this material, and neither TPG Angelo Gordon, its affiliates nor their respective members, officers or employees will be liable for any damages including loss of profits which result from reliance on information obtained from or prepared by third parties. Past performance is no guarantee of future results. Certain information contained in this Current Report constitutes “forward-looking statements” that can be identified by the use of forward-looking terminology such as “may,” “will,” “should,” “expect,” “anticipate,” “target,” “project,” “estimate,” “intend,” “continue,” or “believe” or the negatives thereof or other variations thereon or comparable terminology. These may include TCAP’s financial estimates and their underlying assumptions, statements about plans, objectives and expectations with respect to future operations, statements regarding future performance, statements regarding economic and market trends, including, without limitation, the potential impact of tariffs, and statements regarding identified but not yet closed investments. Such forward-looking statements are inherently uncertain and there are or may be important factors that could cause actual outcomes or results to differ materially from those indicated in such statements. TCAP believes these factors include but are not limited to those described under the section entitled “Risk Factors” in its prospectus and annual report for the most recent fiscal year, and any such updated factors included in its periodic filings with the Securities and Exchange Commission (the “SEC”), which are accessible on the SEC’s website at www.sec.gov. These factors should not be construed as exhaustive and should be read in conjunction with the other cautionary statements that are included in this document (or TCAP’s prospectus and other filings). Except as otherwise required by federal securities laws, TCAP undertakes no obligation to publicly update or revise any forward-looking statements, whether as a result of new information, future developments or otherwise. Due to various risks and uncertainties, actual events or results or the actual performance of any TPG Angelo Gordon investment may differ materially from those reflected or contemplated in such forward-looking statements. The information in this Current Report is being furnished and shall not be deemed “filed” for purposes of Section 18 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), or otherwise subject to the liabilities of such section. The information in this Current Report shall not be incorporated by reference into any filing under the Securities Act of 1933, as amended, or the Exchange Act, except as shall be expressly set forth by specific reference in any such filing. This Current Report shall not be deemed an admission as to the materiality of any information in this Current Report that is required to be disclosed solely by Regulation FD. The information in this Current Report is neither an offer to sell nor a solicitation of an offer to buy any securities.