FS KKR Capital Corp.

F i n a n c i a l I n f o r m a t i o n

Quarter Ended September 30, 2021

All information is as of September 30, 2021 unless otherwise noted

Summary of Quarterly Results

Third Quarter Performance

Dividend

Portfolio Diversification

Capital Structure

Enhancement

  • Net investment income (NII) for the quarter ended September 30, 2021 was $201 million, or $0.71 per share, as compared to $116 million, or $0.77 per share, for the quarter ended June 30, 2021.
  • Adjusted net investment income (Adjusted NII) for the quarter ended September 30, 2021 was $181 million, or $0.64 per share, as compared to $112 million, or $0.74 per share, for the quarter ended June 30, 2021(1).
  • Net asset value (NAV) per share as of September 30, 2021 was $27.14, compared to $26.84 as of June 30, 2021.
  • Net realized and unrealized gains on investments of $69 million, or $0.24 per share, for the quarter ended September 30, 2021, as compared to net realized and unrealized gains on investments excluding the impact of the Merger(2) of $121 million, or $0.87 per share, for the quarter ended June 30, 2021.
  • New investment fundings in the third quarter were approximately $2.8 billion. Net investment activity in the third quarter was $1.3 billion, including $364 million of sales to Credit Opportunities Partners JV, LLC (COPJV).
  • Paid a dividend of $0.65 per share for the third quarter of 2021.
  • Declared a dividend of $0.62 per share for the fourth quarter of 2021.
  • For the quarter ended September 30, 2021, the Adjusted NII / Dividend coverage ratio was 103%(3).
  • Annualized dividend yield on market value of common stock was 11.4% as of November 5, 2021.(4)
  • Diversified portfolio with 190 portfolio companies spread across 23 industries.
  • Exposure to the top ten largest portfolio companies by fair value was 20% as of September 30, 2021.
  • In October we issued $500 million of 1.625% unsecured notes maturing in 2024 and $750 million of 3.125% unsecured notes maturing in 2028 at a blended coupon of 2.54%.
  • Proceeds from the unsecured notes were used to repay and terminate our $640 million Revolving Credit Facility with JP Morgan and FSK issued a notice of redemption of its 5.00% senior notes due 2022.
  • 52% of our pro forma drawn leverage is unsecured and our weighted average effective rate on borrowings is 3.08%.(5)
  1. See the Appendix for a reconciliation between NII and Adjusted NII.
  2. On June 16, 2021, FS KKR Capital Corp. ("FSK") completed its merger (the "Merger") with FS KKR Capital Corp. II. Pursuant to the Merger, FS KKR Capital Corp. II merged with and into FSK, with FSK continuing as the surviving company.
  3. Based on the declared fourth quarter distribution of $0.62 per share.
  4. Based on the declared fourth quarter distribution of $0.62 per share annualized as a percentage of FSK's closing market price as of November 5, 2021.
  5. Current data as of October 31, 2021. Assumes the Senior Secured Revolver is used to repay the called 5.0% unsecured notes due 2022.

2

Financial Results

(Dollar amounts in millions, except per share data)

9/30/20

12/31/20

3/31/21

6/30/21

9/30/21

NII per share

$0.63

$0.63

$0.63

$0.77

$0.71

Adjusted NII per share(1)

$0.63

$0.72

$0.63

$0.74

$0.64

Net realized and unrealized gains (losses) per share

$1.06

$0.53

$0.98

$4.98

$0.24

Adjusted net realized and unrealized gains (losses) per share(2)

$1.06

$0.53

$0.98

$0.87

$0.31

Net increase (decrease) in net assets resulting from operations (earnings per share)

$1.70

$1.16

$1.61

$5.75

$0.95

Adjusted Net increase (decrease) in net assets resulting from operations (earnings per share)(2)

$1.70

$1.16

$1.61

$1.64

$0.95

Stockholder distributions declared per share

$0.60

$0.60

$0.60

$0.65

$0.62

Net asset value per share at period end

$24.46

$25.02

$26.03

$26.84

$27.14

Weighted average shares outstanding (in millions)

123.8

123.8

123.8

150.4

285.1

Shares outstanding, end of period (in millions)

123.8

123.8

123.8

285.1

285.1

Total investments at fair value

$6,649

$6,780

$6,457

$14,734

$15,824

Total assets

$7,126

$7,237

$6,964

$15,723

$16,620

Cash(3)

$136

$191

$149

$499

$241

Total debt(4)

$3,980

$4,042

$3,633

$7,740

$8,511

Debt-to-equity, Net(5)

1.20x

1.19x

1.00x

0.90x

1.03x

Adjusted NII / stockholder distributions declared

105%

120%

105%

114%

103%

  1. See the Appendix for a reconciliation between NII and Adjusted NII.
  2. Excludes the impact of the Merger in Q2 2021.
  3. Includes cash, restricted cash, and cash denominated in foreign currency.
  4. Principal amount outstanding.
  5. Net debt-to-equity ratio is debt outstanding, net of cash and foreign currency and net payable/receivable for investments purchased/sold and repaid, divided by net assets.

3

Portfolio Highlights

As of and for Three Months Ended

(Dollar amounts in millions)

9/30/20

12/31/20

3/31/21

6/30/21

9/30/21

Investment at Fair Value:

First Lien Senior Secured Loans

53.5%

50.9%

51.2%

56.4%

61.2%

Second Lien Senior Secured Loans

12.8%

13.0%

11.0%

12.4%

10.6%

Other Senior Secured Debt

1.2%

1.3%

1.3%

1.3%

0.9%

Subordinated Debt

2.5%

2.5%

1.2%

0.7%

0.6%

Asset Based Finance

12.9%

14.0%

14.7%

12.9%

12.6%

Credit Opportunities Partners JV, LLC

9.7%

10.5%

11.3%

9.5%

8.8%

Equity/Other

7.4%

7.8%

9.3%

6.8%

5.3%

Total Investments

$6,649

$6,780

$6,457

$14,734

$15,824

Number of portfolio companies(1)

172

164

152

195

190

Interest Rate Type:(2)

% Floating Rate

88.3%

87.6%

87.4%

88.3%

88.1%

% Fixed Rate

11.7%

12.4%

12.6%

11.7%

11.9%

Net Interest Margin:

Weighted average annual yield on accruing debt investments(3)

8.6%

8.8%

8.6%

8.5%

8.1%

Weighted average interest rate on borrowings(4)

3.7%

3.9%

4.2%

3.4%

3.2%

  1. Does not look through to FSK's portfolio companies held solely in COPJV. COPJV is a joint venture between FSK and South Carolina Retirement Systems Group Trust (SCRS).
  2. Represents interest rates on debt investments (see FSK's Quarterly Report on Form 10-Q for the definition of debt investments) at US$ Fair Value. Floating Rate includes variable interest rates on Asset Based Finance investments that can change quarter to quarter.
  3. Excludes the impact of the Merger beginning in Q2 2021. Excluding the impact of the Merger, FSK's weighted average annual yield on all debt investments was 7.5% as of September 30, 2021. See FSK's Quarterly Report on Form 10-Q for additional information on the calculation of weighted average annual yield on accruing debt investments and weighted average annual yield on all debt investments. On a GAAP basis, FSK's weighted average annual yield was 9.1% on accruing debt investments and 8.5% on all debt investments as of September 30, 2021.
  4. Includes the effect of non-usage fees.

4

FSK Investment Portfolio Overview

190

20%

73%

$76mm / 5.6x

portfolio companies(1)

FV in top-10 portfolio

of investments in

median portfolio company EBITDA &

companies(2)

senior secured debt(2)

leverage(3)

88%

8.1%

3.7%

>90%

of debt investments

wtd. avg. annual yield on

non-accrual rate at FV

lead, co-lead, or sole origination(6)

are floating rate(4)

accruing debt investments(5)

Security Exposure (by fair value)

8.8%

5.3%

Senior Secured Loans-First Lien

Senior Secured Loans-Second Lien

12.6%

Other Senior Secured Debt

0.6%

Subordinated Debt

0.9%

61.2%

Asset Based Finance

10.6%

Credit Opportunities Partners JV, LLC

Equity/Other

Sector Exposure (by fair value)

Software & Services

17.2%

17.2%

Capital Goods

Health Care Equipment & Services

3.4%

Commercial & Professional Services

Credit Opportunities Partners JV, LLC

4.4%

14.2%

Real Estate

4.6%

Consumer Durables & Apparel

4.8%

Insurance

5.0%

10.5%

Diversified Financials

8.8%

Media & Entertainment

9.9%

Other

Total Investment Portfolio at Fair Value: $15.8bn

  1. Does not look through to FSK's portfolio companies held solely in COPJV.
  2. Figure excludes the impact of FSK's investment in COPJV.
  3. Based on underlying Direct Origination corporate investments using most recently reported financial information and may include pro forma adjustments. Certain Asset Based Finance, Equity/Other and portfolio companies with negative or de minimis EBITDA are excluded.
  4. See FSK's Quarterly Report on Form 10-Q for its definition of debt investments.
  5. Excludes the impact of the Merger. See FSK's Quarterly Report on Form 10-Q for additional information on the calculation of weighted average annual yield on accruing debt investments. On a GAAP basis, FSK's weighted average annual yield on accruing debt investments was 9.1% as of September 30, 2021.
  6. Figure based on fair value of Direct Origination investments only. KKR & BDC accounts' participation, KKR Capital Markets' involvement, and deal teams leading the negotiations/structuring are all considered when determining the Origination Role.

5

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FS KKR Capital Corp. published this content on 08 November 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 08 November 2021 21:31:04 UTC.