T Series Loan Fund Sees Capital Dip Amid Unrealized Losses

TL;DR

**T Series Middle Market Loan Fund is showing cracks with declining capital and unrealized losses, signaling a cautious outlook for investors.**

AI Summary

T Series Middle Market Loan Fund LLC reported a net increase in members' capital from operations of $41.701 million for the six months ended June 30, 2025, a decrease from $56.772 million in the prior year period. Total investment income for the six months ended June 30, 2025, was $108.175 million, slightly down from $108.357 million in the same period of 2024. The company experienced a net change in unrealized depreciation on investments of $14.722 million for the six months ended June 30, 2025, compared to an appreciation of $814 thousand in the prior year. Net asset value per unit decreased to $18.61 as of June 30, 2025, from $18.94 as of December 31, 2024. Total assets increased to $2.151 billion from $2.108 billion, while total liabilities slightly decreased to $1.065 billion from $1.066 billion. The fund's debt stood at $1.016 billion as of June 30, 2025, up from $1.013 billion at December 31, 2024. Cash and cash equivalents increased to $54.489 million from $40.638 million. The company's investment portfolio is heavily concentrated in debt instruments, primarily first lien debt across various industries.

Why It Matters

This 10-Q reveals a mixed picture for T Series Middle Market Loan Fund LLC. While total assets grew and cash reserves improved, the significant decrease in net increase in members' capital from operations and the shift to unrealized depreciation on investments could signal headwinds for investors. The decline in Net Asset Value per unit from $18.94 to $18.61 suggests a potential erosion of investor value. In a competitive middle market lending environment, sustained unrealized losses could impact the fund's ability to attract new capital and maintain its competitive edge against other private credit funds, potentially affecting future returns for unitholders and the fund's overall market standing.

Risk Assessment

Risk Level: medium — The fund reported a net change in unrealized depreciation on investments of $14.722 million for the six months ended June 30, 2025, a significant shift from $814 thousand in appreciation in the prior year. This, coupled with a decrease in net increase in members' capital from operations to $41.701 million from $56.772 million, indicates potential valuation challenges within its debt portfolio and reduced operational profitability.

Analyst Insight

Investors should scrutinize the underlying credit quality of the fund's debt investments, particularly given the shift to unrealized depreciation. Consider re-evaluating exposure to this fund if the trend of declining net capital and unrealized losses persists, as it may indicate broader issues in the middle market lending sector or specific portfolio weaknesses.

Financial Highlights

debt To Equity

1.96

revenue

$108.175M

operating Margin

N/A

total Assets

$2.151B

total Debt

$1.016B

net Income

$41.701M

eps

$0.73

gross Margin

N/A

cash Position

$54.489M

revenue Growth

-0.17%

Key Numbers

• $41.701M — Net increase in members' capital from operations (Decreased from $56.772M in the prior year period.)
• $108.175M — Total investment income (Slightly down from $108.357M in the prior year period.)
• $14.722M — Net change in unrealized depreciation on investments (Shifted from $814K appreciation in the prior year period.)
• $18.61 — Net asset value per unit (Decreased from $18.94 as of December 31, 2024.)
• $2.151B — Total assets (Increased from $2.108B as of December 31, 2024.)
• $1.065B — Total liabilities (Slightly decreased from $1.066B as of December 31, 2024.)
• $1.016B — Debt (Increased from $1.013B as of December 31, 2024.)
• $54.489M — Cash and cash equivalents (Increased from $40.638M as of December 31, 2024.)
• $0.73 — Earnings per unit (basic and diluted) (Decreased from $1.25 in the prior year period.)
• 59,974,447 — Common units outstanding (As of August 12, 2025.)

Key Players & Entities

• T Series Middle Market Loan Fund LLC (company) — registrant
• SEC (regulator) — filing authority
• $41.701 million (dollar_amount) — net increase in members' capital from operations for six months ended June 30, 2025
• $56.772 million (dollar_amount) — net increase in members' capital from operations for six months ended June 30, 2024
• $108.175 million (dollar_amount) — total investment income for six months ended June 30, 2025
• $108.357 million (dollar_amount) — total investment income for six months ended June 30, 2024
• $14.722 million (dollar_amount) — net change in unrealized depreciation on investments for six months ended June 30, 2025
• $814 thousand (dollar_amount) — net change in unrealized appreciation on investments for six months ended June 30, 2024
• $18.61 (dollar_amount) — Net asset value per unit as of June 30, 2025
• $18.94 (dollar_amount) — Net asset value per unit as of December 31, 2024

FAQ

Risk Factors

• Unrealized Depreciation Impact [high — market]: The fund experienced a significant shift from unrealized appreciation to depreciation, with a net change of $14.722 million in depreciation for the six months ended June 30, 2025, compared to $814 thousand in appreciation in the prior year. This indicates a deterioration in the market value of the fund's investment portfolio, potentially due to rising interest rates or credit concerns.
• Decreasing Net Asset Value Per Unit [high — financial]: Net asset value per unit declined to $18.61 as of June 30, 2025, from $18.94 as of December 31, 2024. This decrease, coupled with the unrealized depreciation, suggests a negative trend in the underlying value of the fund's assets.
• Reduced Earnings Per Unit [high — financial]: Earnings per unit (basic and diluted) decreased to $0.73 for the six months ended June 30, 2025, from $1.25 in the prior year period. This substantial drop in profitability per unit reflects the challenges in generating income and managing asset values.
• Concentration in Debt Instruments [medium — financial]: The investment portfolio is heavily concentrated in debt instruments, primarily first lien debt. While this offers a degree of seniority, it also exposes the fund to significant credit risk and interest rate sensitivity within the middle market loan sector.
• Interest Rate Sensitivity [medium — market]: As a fund primarily invested in debt instruments, T Series Middle Market Loan Fund LLC is highly susceptible to changes in interest rates. Rising rates can negatively impact the valuation of existing debt holdings and increase borrowing costs for the fund.

Industry Context

The middle market loan sector is characterized by lending to companies that are too large for small business loans but too small for syndicated loans. This segment often offers higher yields but also carries greater credit risk and is sensitive to economic downturns and interest rate fluctuations. Competition involves other direct lenders, BDCs, and traditional banks.

Regulatory Implications

As a loan fund, T Series Middle Market Loan Fund LLC is subject to financial regulations concerning investment activities, capital requirements, and disclosure. Changes in lending regulations or accounting standards could impact its operations and reporting.

What Investors Should Do

1. Monitor the trend of unrealized depreciation closely, as it significantly impacted recent performance and NAV.
2. Evaluate the fund's exposure to interest rate risk given its concentration in debt instruments.
3. Assess the sustainability of the current debt levels relative to the fund's income generation capacity.
4. Compare the fund's performance metrics (EPS, NAV growth) against peers in the middle market loan space.

Glossary

Net asset value per unit

The value of a fund's assets minus its liabilities, divided by the number of outstanding units. It represents the per-unit market value of the fund. (A key indicator of the fund's performance and the value of an investor's stake. A decrease suggests a decline in the underlying asset values.)

Unrealized depreciation

A decrease in the market value of an asset that has not yet been sold. It represents a paper loss. (Indicates a decline in the market value of the fund's investments, impacting overall portfolio value and potential future gains.)

First lien debt

Debt that has the highest priority claim on the assets of a borrower in the event of default or bankruptcy. (Represents the fund's primary investment type, indicating its position in the capital structure of its borrowers and associated credit risk.)

Members' capital

The total investment made by the fund's members or shareholders. (Represents the equity base of the fund. Changes reflect net income, distributions, and capital contributions/withdrawals.)

Year-Over-Year Comparison

Compared to the prior year period, T Series Middle Market Loan Fund LLC reported a lower net increase in members' capital from operations ($41.701M vs $56.772M) and slightly decreased total investment income ($108.175M vs $108.357M). A significant shift occurred with unrealized depreciation of $14.722M, contrasting with prior year appreciation. This resulted in a lower net asset value per unit ($18.61 vs $18.94 as of year-end) and reduced earnings per unit ($0.73 vs $1.25).

Filing Documents

• tsf-20250630.htm (10-Q) — 8289KB
• a20250660exhibit311.htm (EX-31.1) — 10KB
• a20250630exhibit312.htm (EX-31.2) — 10KB
• a20250630exhibit321.htm (EX-32.1) — 5KB
• a20250630exhibit322.htm (EX-32.2) — 5KB
• 0001885968-25-000018.txt ( ) — 22558KB
• tsf-20250630.xsd (EX-101.SCH) — 45KB
• tsf-20250630_cal.xml (EX-101.CAL) — 54KB
• tsf-20250630_def.xml (EX-101.DEF) — 362KB
• tsf-20250630_lab.xml (EX-101.LAB) — 590KB
• tsf-20250630_pre.xml (EX-101.PRE) — 448KB
• tsf-20250630_htm.xml (XML) — 8539KB

Financial Information

Part I. Financial Information

Consolidated Financial Statements (Unaudited)

Item 1. Consolidated Financial Statements (Unaudited) 3 Consolidated Statements of Financial Condition 3 Consolidated Statements of Operations 4 Consolidated Statements of Changes in Members' Capital 5 Consolidated Statements of Cash Flows 6 Consolidated Schedules of Investments 8 Notes to the Consolidated Financial Statements 56

Management's Discussion and Analysis of Financial Condition and Results of Operations

Item 2. Management's Discussion and Analysis of Financial Condition and Results of Operations 74

Quantitative and Qualitative Disclosures About Market Risk

Item 3. Quantitative and Qualitative Disclosures About Market Risk 83

Controls and Procedures

Item 4. Controls and Procedures 85

Other Information

Part II. Other Information

Legal Proceedings

Item 1. Legal Proceedings 86

Risk Factors

Item 1A. Risk Factors 86

Unregistered Sales of Equity Securities and Use of Proceeds

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds 86

Defaults Upon Senior Securities

Item 3. Defaults Upon Senior Securities 86

Mine Safety Disclosures

Item 4. Mine Safety Disclosures 86

Other Information

Item 5. Other Information 86

Exhibits

Item 6. Exhibits 86

SIGNATURES

SIGNATURES 2 Table of Contents T Series Middle Market Loan Fund LLC Consolidated Statements of Financial Condition (In thousands, except unit and per unit amounts) As of June 30, 2025 December 31, 2024 (Unaudited) (Audited) Assets Non-controlled/non-affiliated investments, at fair value (amortized cost of $ 2,076,419 and $ 2,048,601 ) $ 2,043,868 $ 2,029,756 Non-controlled/affiliated investments, at fair value (amortized cost of $ 14,340 and $ — at June 30, 2025 and December 31, 2024, respectively) 14,452 — Total investments, at fair value (cost of $ 2,090,759 and $ 2,048,601 ) 2,058,320 2,029,756 Cash and cash equivalents 54,489 40,638 Investments in unaffiliated money market fund (cost of $ 11,703 and $ 7,952 ) 11,703 7,952 Deferred financing costs 14,851 14,750 Interest and dividend receivable from non-controlled/non-affiliated investments 12,205 15,083 Interest and dividend receivable from non-controlled/affiliated investments 142 — Receivable for investments sold/repaid 93 315 Other assets 114 327 Total assets 2,151,917 2,108,821 Liabilities Debt 1,016,960 1,013,941 Payable to affiliates (Note 3) 2 127 Dividends payable 29,774 33,014 Management fees payable 1,056 1,025 Income based incentive fees payable 2,769 2,889 Interest and other financing costs payable 12,827 12,996 Accrued expenses and other liabilities 1,983 2,864 Total liabilities 1,065,371 1,066,856 Commitments and contingencies (Note 7) Members' Capital Common units ( 58,380,644 and 55,022,961 common units issued and outstanding) $ 58 $ 55 Paid-in capital in excess of par value 1,130,062 1,066,763 Distributable earnings (loss) ( 43,574 ) ( 24,853 ) Total members' capital $ 1,086,546 $ 1,041,965 Total liabilities and members' capital $ 2,151,917 $ 2,108,821 Net asset value per unit $ 18.61 $ 18.94 The accompanying notes are an integral part of these unaudited consolidated financial statements 3 Table of Contents T Series Middle Market Loan Fund L

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