10-Q 1 s001684x1_10q.htm FORM 10-Q

 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
 

 
FORM 10-Q

 
Quarterly Report Pursuant to Section 13 or 15(d)
of the Securities Exchange Act of 1934
 
       
   
For the Quarter Ended March 31, 2017
 
       
 
Transition Report Pursuant to Section 13 or 15(d)
of the Securities Exchange Act of 1934
 
 
Commission File Number: 814-00899
 

 
TCP CAPITAL CORP.
(Exact Name of Registrant as Specified in Charter)
 

 
Delaware
56-2594706
(State or Other Jurisdiction of Incorporation)
(IRS Employer Identification No.)
   
2951 28th Street, Suite 1000
 
Santa Monica, California
90405
(Address of Principal Executive Offices)
(Zip Code)
Registrant’s telephone number, including area code (310) 566-1000

Securities registered pursuant to Section 12(b) of the Act:
 
Common Stock, par value $0.001 per share
NASDAQ Global Select Market
(Title of each class)
(Name of each exchange where registered)
 
Securities registered pursuant to Section 12(g) of the Act: None
 

 
Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months and (2) has been subject to such filing requirements for the past 90 days: Yes No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). Yes No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, or a non-accelerated filer. See definition of “accelerated filer and large accelerated filer” in Rule 12b-2 of the Exchange Act. (Check one):
 
Large accelerated filer
Accelerated filer
Non-accelerated filer
Smaller Reporting company
Emerging growth company
 
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with a new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act.
 
Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).Yes No

The number of shares of the Registrant’s common stock, $0.001 par value, outstanding as of May 8, 2017 was 58,792,047.




TCP CAPITAL CORP.

FORM 10-Q

FOR THE THREE MONTHS ENDED MARCH 31, 2017

TABLE OF CONTENTS
 
Part I.
Financial Information
 
     
Item 1.
Financial Statements
 
 
2
 
3
 
13
 
14
 
15
 
16
 
37
 
39
 
41
 
43
     
Item 2.
44
     
Item 3.
56
     
Item 4.
57
     
Part II.
Other Information
 
     
Item 1.
58
     
Item 1A.
58
     
Item 2.
58
     
Item 3.
58
     
Item 4.
58
     
Item 5.
58
     
Item 6.
58
 
TCP Capital Corp.

Consolidated Statements of Assets and Liabilities
 
   
March 31, 2017
   
December 31, 2016
 
   
(unaudited)
       
Assets
           
Investments, at fair value:
           
Companies less than 5% owned (cost of $1,186,962,473 and $1,174,421,611, respectively)
 
$
1,195,112,846
   
$
1,175,097,468
 
Companies 5% to 25% owned (cost of $79,674,112 and $75,508,585, respectively)
   
70,471,411
     
69,355,808
 
Companies more than 25% owned (cost of $98,351,702 and $96,135,623, respectively)
   
72,925,529
     
70,516,594
 
Total investments (cost of $1,364,988,287 and $1,346,065,819, respectively)
   
1,338,509,786
     
1,314,969,870
 
                 
Cash and cash equivalents
   
55,964,496
     
53,579,868
 
Accrued interest income:
               
Companies less than 5% owned
   
13,494,055
     
12,713,025
 
Companies 5% to 25% owned
   
1,383,794
     
953,561
 
Companies more than 25% owned
   
18,333
     
25,608
 
Deferred debt issuance costs
   
3,449,834
     
3,828,784
 
Prepaid expenses and other assets
   
1,261,765
     
1,527,745
 
Total assets
   
1,414,082,063
     
1,387,598,461
 
                 
Liabilities
               
Debt, net of unamortized issuance costs
   
608,356,669
     
571,658,862
 
Incentive allocation payable
   
4,976,378
     
4,716,834
 
Interest payable
   
4,671,563
     
5,013,713
 
Payable for investments purchased
   
2,056,600
     
12,348,925
 
Payable to the Advisor
   
525,867
     
325,790
 
Accrued expenses and other liabilities
   
2,215,965
     
2,598,346
 
Total liabilities
   
622,803,042
     
596,662,470
 
                 
Commitments and contingencies (Note 5)
               
                 
Net assets applicable to common shareholders
 
$
791,279,021
   
$
790,935,991
 
                 
Composition of net assets applicable to common shareholders
               
Common stock, $0.001 par value; 200,000,000 shares authorized, 53,042,047 and 53,041,900 shares issued and outstanding as of March 31, 2017 and December 31, 2016, respectively
 
$
53,042
   
$
53,042
 
Paid-in capital in excess of par
   
944,429,214
     
944,426,650
 
Accumulated net investment income
   
13,343,715
     
12,533,289
 
Accumulated net realized losses
   
(140,047,725
)
   
(134,960,267
)
Accumulated net unrealized depreciation
   
(26,499,225
)
   
(31,116,723
)
Net assets applicable to common shareholders
 
$
791,279,021
   
$
790,935,991
 
                 
Net assets per share
 
$
14.92
   
$
14.91
 
 
See accompanying notes to the consolidated financial statements.

TCP Capital Corp.

Consolidated Schedule of Investments (Unaudited)

March 31, 2017
 
Issuer
 
Instrument
 
Ref
 
Floor
   
Spread
   
Total Coupon
 
Maturity
 
Principal
   
Cost
   
Fair
Value
   
% of Total
Cash and
Investments
   
Notes
 
                                                           
Debt Investments (A)               
                           
Activities Related to Credit Intermediation              
                         
Pegasus Business Intelligence, LP (Onyx Centersource)
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
6.75
%
   
7.90
%
12/20/2021
 
$
14,732,896
   
$
14,597,174
   
$
14,680,595
     
1.05
%
     
Pegasus Business Intelligence, LP (Onyx Centersource)
 
Revolver
 
LIBOR (Q)
   
1.00
%
   
6.75
%
   
N/A
 
12/20/2021
 
$
     
(6,336
)
   
(2,383
)
   
-
    J
 
iPayment, Inc.
 
First Lien Term Loan B2
 
LIBOR (Q)
   
1.50
%
   
5.25
%
   
6.75
%
5/8/2017
 
$
11,289,051
     
11,244,616
     
11,232,605
     
0.81
%
      
                                               
25,835,454
     
25,910,817
     
1.86
%
      
Activities Related to Real Estate              
                                        
Associations, Inc.
 
First Lien FILO Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.96
%
   
10.11
%
12/23/2019
 
$
12,859,453
     
12,754,268
     
12,988,048
     
0.93
%
      
                                                                          
Advertising and Public Relations Services                  
                                
InMobi, Inc. (Singapore)
 
First Lien Delayed Draw Tranche 1 Term Loan (2.25% Exit Fee)
 
LIBOR (M)
   
0.33
%
   
10.17
%
   
11.17
%
12/31/2018
 
$
15,000,000
     
14,736,380
     
14,639,250
     
1.05
%
  H/K
 
                                                                          
Air Transportation                   
                              
Mesa Air Group, Inc.
 
Acquisition Loan
 
LIBOR (M)
   
-
     
7.25
%
   
8.19
%
7/15/2022
 
$
13,531,264
     
13,344,705
     
13,801,889
     
0.99
%
      
Mesa Airlines, Inc.
 
Engine Acquisition Delayed Draw Term Loan A
 
LIBOR (M)
   
-
     
7.25
%
   
8.25
%
12/14/2021
 
$
15,857,304
     
15,598,929
     
15,735,995
     
1.13
%
      
Mesa Airlines, Inc.
 
Engine Acquisition Delayed Draw Term Loan B
 
LIBOR (M)
   
-
     
7.25
%
   
8.25
%
2/28/2022
 
$
9,139,604
     
8,987,292
     
9,015,772
     
0.65
%
      
Mesa Airlines, Inc.
 
Engine Acquisition Delayed Draw Term Loan C
 
LIBOR (M)
   
-
     
7.25
%
   
N/A
 
12/31/2022
 
$
     
-
     
-
     
-
        
                                               
37,930,926
     
38,553,656
     
2.77
%
      
Amusement and Recreation                    
                            
AP Gaming I, LLC
 
First Lien Revolver
 
LIBOR (Q)
   
-
     
8.25
%
   
N/A
 
12/20/2018
 
$
     
(1,604,966
)
   
(750,000
)
   
(0.05
%)
  J
 
VSS-Southern Holdings, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
 
6.5% Cash
+ 2% PIK
     
9.65
%
11/3/2020
 
$
24,342,738
     
23,916,272
     
24,023,848
     
1.72
%
      
VSS-Southern Holdings, LLC
 
Sr Secured Revolver
 
LIBOR (Q)
   
1.00
%
 
6.5% Cash
+ 2% PIK
     
N/A
 
11/3/2020
 
$
     
(15,384
)
   
(17,123
)
   
-
    J
 
                                               
22,295,922
     
23,256,725
     
1.67
%
      
Apparel Manufacturing                  
                                
Broder Bros., Co.
 
First Lien Term Loan (First Out)
 
LIBOR (Q)
   
1.25
%
   
5.75
%
   
7.00
%
6/3/2021
 
$
9,640,000
     
9,493,514
     
9,736,400
     
0.70
%
      
Broder Bros., Co.
 
First Lien Term Loan B (Last Out)
 
LIBOR (Q)
   
1.25
%
   
12.25
%
   
13.50
%
6/3/2021
 
$
9,760,000
     
9,621,892
     
9,857,600
     
0.71
%
      
                                               
19,115,406
     
19,594,000
     
1.41
%
      
Building Equipment Contractors                  
                                
Hylan Datacom & Electrical, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
7.50
%
   
8.54
%
7/25/2021
 
$
14,205,048
     
14,015,350
     
14,148,228
     
1.01
%
      
                                                                          
Business Support Services                    
                            
Enerwise Global Technologies, Inc.
 
Sr Secured Revolving Loan
 
LIBOR (Q)
   
0.23
%
   
8.52
%
   
N/A
 
11/30/2018
 
$
     
(13,002
)
   
5,800
     
-
    J
 
Enerwise Global Technologies, Inc.
 
Sr Secured Term Loan (3.77% Exit Fee)
 
LIBOR (Q)
   
0.23
%
   
9.27
%
   
10.27
%
11/30/2019
 
$
23,312,500
     
23,056,935
     
23,346,303
     
1.67
%
  K
 
STG-Fairway Acquisitions, Inc. (First Advantage)
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
9.25
%
   
10.30
%
6/30/2023
 
$
31,000,000
     
30,606,690
     
29,313,600
     
2.10
%
      
                                               
53,650,623
     
52,665,703
     
3.77
%
      
Chemicals                 
                                  
Anuvia Plant Nutrients Holdings, LLC
 
Sr Secured Term Loan (8.0% Exit Fee)
 
LIBOR (M)
   
-
     
10.63
%
   
12.40
%
2/1/2018
 
$
6,027,601
     
5,998,676
     
6,060,150
     
0.43
%
  K
 
Green Biologics, Inc.
 
Sr Secured Delayed Draw Term Loan (12.4% Exit Fee)
 
Prime Rate
   
-
     
7.75
%
   
11.75
%
6/30/2019
 
$
15,000,000
     
14,646,627
     
14,173,500
     
1.02
%
  K
 
iGM RFE1 B.V. (Netherlands)
 
First Lien Delayed Draw Term Loan
 
LIBOR (Q)
   
-
     
8.00
%
   
9.15
%
10/12/2021
 
$
888,608
     
882,751
     
920,154
     
0.07
%
  H
 
iGM RFE1 B.V. (Netherlands)
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
8.00
%
   
9.15
%
10/12/2021
 
$
3,840,430
     
3,814,482
     
3,976,765
     
0.29
%
  H
 
Nanosys, Inc.
 
First Lien Delayed Draw Term Loan (3.5% Exit Fee)
 
LIBOR (Q)
   
-
     
9.81
%
   
10.94
%
4/1/2019
 
$
10,000,000
     
9,497,959
     
9,691,000
     
0.69
%
  K
 
                                               
34,840,495
     
34,821,569
     
2.50
%
      
Communications Equipment Manufacturing                   
                            
Globecomm Systems, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.25
%
   
7.63
%
   
10.38
%
12/11/2018
 
$
14,442,682
     
14,298,255
     
14,166,826
     
1.02
%
  B
 
                                                                          
Computer Systems Design and Related Services                   
                              
Aptos Inc. (Canada)
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
6.75
%
   
7.90
%
9/1/2022
 
$
9,950,000
     
9,768,704
     
9,751,000
     
0.70
%
  H
 
Bracket Intermediate Holding Corp.
 
Second Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
9.00
%
   
10.00
%
3/14/2024
 
$
10,925,551
     
10,599,821
     
10,597,785
     
0.76
%
      
Dealersocket, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
10.00
%
   
11.12
%
2/10/2021
 
$
17,500,000
     
16,923,123
     
17,435,250
     
1.25
%
      
Fidelis Acquisitionco, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
 
6.0% Cash
+ 2.0% PIK
     
9.00
%
11/4/2019
 
$
42,997,043
     
42,473,722
     
42,997,043
     
3.08
%
      
Fidelis Acquisitionco, LLC
 
Sr Secured Revolver
 
LIBOR (Q)
   
1.00
%
   
8.00
%
   
9.00
%
11/4/2019
 
$
3,182,143
     
3,182,143
     
3,182,143
     
0.23
%
      
MSC Software Corporation
 
Second Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
7.50
%
   
8.50
%
5/29/2021
 
$
6,993,035
     
6,957,516
     
7,001,777
     
0.50
%
      
Marketo, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
9.50
%
   
10.65
%
8/16/2021
 
$
23,295,455
     
22,665,828
     
23,125,398
     
1.66
%
      
Marketo, Inc.
 
Senior Secured Revolver
 
LIBOR (Q)
   
1.00
%
   
9.50
%
   
N/A
 
8/16/2021
 
$
     
(44,816
)
   
(12,443
)
   
-
    J
 
OnX Enterprise Solutions, Ltd. (Canada)
 
First Lien Term Loan B
 
LIBOR (Q)
   
-
     
8.00
%
   
9.04
%
9/3/2018
 
$
2,308,067
     
2,308,067
     
2,308,067
     
0.17
%
  H
 
OnX Enterprise Solutions, Ltd. (Canada)
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
8.00
%
   
9.04
%
9/3/2018
 
$
10,293,333
     
10,249,578
     
10,293,333
     
0.74
%
  H
 
OnX USA, LLC
 
First Lien Term Loan B
 
LIBOR (Q)
   
-
     
8.00
%
   
9.04
%
9/3/2018
 
$
3,726,133
     
3,726,133
     
3,726,133
     
0.27
%
      
OnX USA, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
8.00
%
   
9.04
%
9/3/2018
 
$
3,146,667
     
3,141,380
     
3,146,667
     
0.23
%
      
Waterfall International, Inc.
 
First Lien Delayed Draw Term Loan (3.0% Exit Fee)
 
LIBOR (Q)
   
-
     
11.67
%
   
12.67
%
9/1/2018
 
$
4,800,000
     
4,730,576
     
5,305,680
     
0.38
%
  K
 
                                               
136,681,775
     
138,857,833
     
9.97
%
      
Data Processing and Hosting Services                   
                              
IO Data Centers, USA, LLC
 
First Lien Term Loan
 
Fixed
   
-
     
9.00
%
   
9.00
%
1/15/2020
 
$
6,876,756
     
6,876,756
     
6,895,324
     
0.49
%
      
                                                                          
Educational Support Services                   
                              
Edmentum, Inc.
 
Jr Revolving Facility
 
Fixed
   
-
     
5.00
%
   
5.00
%
6/9/2020
 
$
2,105,366
     
2,105,366
     
2,105,370
     
0.15
%
  B
 
Edmentum Ultimate Holdings, LLC
 
Sr PIK Notes
 
Fixed
   
-
     
8.50
%
   
8.50
%
6/9/2020
 
$
2,908,070
     
2,908,070
     
2,908,070
     
0.21
%
  B
 
Edmentum Ultimate Holdings, LLC
 
Jr PIK Notes
 
Fixed
   
-
     
10.00
%
   
10.00
%
6/9/2020
 
$
13,373,646
     
12,905,008
     
12,410,743
     
0.89
%
  B
 
                                               
17,918,444
     
17,424,183
     
1.25
%
      
Electronic Component Manufacturing                    
                              
Soraa, Inc.
 
Tranche A Term Loan (3.0% Exit Fee)
 
LIBOR (M)
   
0.44
%
   
9.33
%
   
10.33
%
3/1/2018
 
$
12,690,841
     
12,410,761
     
12,444,639
     
0.89
%
  K
 
Soraa, Inc.
 
Tranche B Term Loan
 
LIBOR (M)
   
0.44
%
   
9.33
%
   
10.33
%
9/1/2017
 
$
1,603,779
     
1,574,011
     
1,578,199
     
0.11
%
      
                                               
13,984,772
     
14,022,838
     
1.00
%
      
TCP Capital Corp.

Consolidated Schedule of Investments (Continued) (Unaudited)

March 31, 2017

Issuer
 
Instrument
 
Ref
 
Floor
   
Spread
   
Total Coupon
 
Maturity
 
Principal
   
Cost
   
Fair
Value
   
% of Total
Cash and
Investments
   
Notes
 
                                                           
Debt Investments (continued)                    
                 
Electric Power Generation, Transmission and Distribution                  
                 
GlassPoint Solar, Inc.
 
First Lien Term Loan (5.0% Exit Fee)
 
LIBOR (M)
   
-
     
11.44
%
   
12.56
%
8/1/2020
 
$
4,000,000
   
$
3,606,790
   
$
3,725,202
     
0.27
%
  K
 
GlassPoint Solar, Inc.
 
First Lien Delay Draw Term Loan A
 
LIBOR (M)
   
-
     
11.44
%
   
N/A
 
8/1/2020
 
$
     
-
     
-
     
-
        
GlassPoint Solar, Inc.
 
First Lien Delay Draw Term Loan B
 
LIBOR (M)
   
-
     
11.44
%
   
N/A
 
8/1/2020
 
$
     
-
     
-
     
-
        
Holocene Renewable Energy Fund 3, LLC (Conergy)
 
First Lien Term Loan
 
Fixed
   
-
   
9% Cash
+ 1% PIK
   
10.00
%
9/10/2017
 
$
7,556,229
     
7,541,009
     
7,513,159
     
0.54
%
      
                                               
11,147,799
     
11,238,361
     
0.81
%
      
Equipment Leasing                    
                              
36th Street Capital Partners Holdings, LLC
 
Senior Note
 
Fixed
   
-
     
12.00
%
   
12.00
%
11/1/2020
 
$
30,956,272
     
30,956,272
     
30,956,272
     
2.22
%
 
E/F
 
Essex Ocean, LLC (Solexel)
 
Sr Secured Term Loan
 
Fixed
   
-
     
8.00
%
   
8.00
%
8/15/2018
 
$
1,696,898
     
1,696,898
     
1,237,887
     
0.09
%
      
                                               
32,653,170
     
32,194,159
     
2.31
%
      
Facilities Support Services                     
                              
NANA Development Corp.
 
First Lien Term Loan B
 
LIBOR (M)
   
1.25
%
   
6.75
%
   
8.00
%
3/15/2018
 
$
703,611
     
675,274
     
693,057
     
0.05
%
      
                                                                          
Financial Investment Activities                    
                                
Magnolia Finance V plc (Cayman Islands)
 
Asset-Backed Credit Linked Notes
 
Fixed
   
-
     
13.13
%
   
13.13
%
8/2/2021
 
$
15,000,000
     
15,000,000
     
15,030,000
     
1.08
%
 
E/H
 
                                                                          
Grocery Stores
                                                                        
Bashas, Inc.
 
First Lien FILO Term Loan
 
LIBOR (M)
   
1.50
%
   
8.80
%
   
10.30
%
10/8/2019
 
$
9,135,537
     
9,100,587
     
9,226,892
     
0.66
%
      
                                                                          
Hospitals                    
                                
KPC Healthcare, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
9.00
%
   
10.33
%
2/6/2020
 
$
19,801,933
     
19,665,937
     
19,900,943
     
1.43
%
      
Pacific Coast Holdings Investment, LLC (KPC Healthcare)
 
First Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
7.50
%
   
8.50
%
2/14/2021
 
$
29,288,064
     
28,865,762
     
28,848,743
     
2.07
%
      
                                               
48,531,699
     
48,749,686
     
3.50
%
      
Insurance                    
                                
Alera Group Intermediate Holdings, Inc.
 
First Lien Delayed Draw Term Loan
 
LIBOR (Q)
   
1.00
%
   
5.50
%
   
N/A
 
12/30/2022
 
$
     
(8,333
)
   
(7,917
)
   
-
    J
 
Alera Group Intermediate Holdings, Inc.
 
First Lien Revolver
 
LIBOR (Q)
   
1.00
%
   
5.50
%
   
N/A
 
12/30/2021
 
$
     
(7,595
)
   
(7,216
)
   
-
    J
 
Alera Group Intermediate Holdings, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
5.50
%
   
6.50
%
12/30/2022
 
$
3,407,121
     
3,375,184
     
3,374,753
     
0.24
%
      
Association Member Benefits Advisors, LLC
 
Second Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
8.75
%
   
9.75
%
6/8/2023
 
$
8,277,983
     
8,123,129
     
8,230,384
     
0.59
%
      
US Apple Holdco, LLC (Ventiv Technology)
 
First Lien FILO Term Loan
 
LIBOR (Q)
   
0.50
%
   
13.62
%
   
14.61
%
8/29/2019
 
$
20,045,455
     
19,601,825
     
20,045,455
     
1.44
%
      
                                               
31,084,210
     
31,635,459
     
2.27
%
      
Lessors of Nonfinancial Licenses                    
                                
ABG Intermediate Holdings 2, LLC
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.65
%
5/27/2022
 
$
16,573,588
     
16,438,751
     
16,822,192
     
1.21
%
      
ABG Intermediate Holdings 2, LLC
 
Second Lien Incremental Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.65
%
5/27/2022
 
$
3,426,412
     
3,398,716
     
3,477,808
     
0.25
%
      
Kenneth Cole Productions, Inc.
 
First Lien FILO Term Loan
 
LIBOR (M)
   
1.00
%
   
9.65
%
   
10.65
%
3/21/2022
 
$
35,310,220
     
34,960,857
     
34,868,842
     
2.50
%
      
                                               
54,798,324
     
55,168,842
     
3.96
%
      
Management, Scientific, and Technical Consulting Services                   
                              
Dodge Data & Analytics, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.75
%
   
9.94
%
10/31/2019
 
$
23,646,472
     
23,305,524
     
23,640,560
     
1.70
%
      
                                                                          
Motion Picture and Video Industries                     
                              
NEG Holdings, LLC (CORE Entertainment)
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
 
8.0% PIK
   
9.15
%
10/17/2022
 
$
1,478,480
     
1,478,480
     
1,426,807
     
0.10
%
      
                                                                          
Nondepository Credit Intermediation                    
                                
Auto Trakk SPV, LLC
 
First Lien Delayed Draw Term Loan
 
LIBOR (M)
   
0.50
%
   
9.50
%
   
10.41
%
12/21/2021
 
$
32,392,942
     
31,920,714
     
32,213,653
     
2.31
%
      
Caliber Home Loans, Inc.
 
First Lien Delayed Draw Term Loan
 
LIBOR (M)
   
1.00
%
   
6.50
%
   
7.50
%
6/30/2020
 
$
14,444,444
     
14,264,345
     
14,664,444
     
1.05
%
      
Caribbean Financial Group (Cayman Islands)
 
Sr Secured Notes
 
Fixed
   
-
     
11.50
%
   
11.50
%
11/15/2019
 
$
28,678,000
     
28,576,292
     
29,394,950
     
2.11
%
 
E/G/H
 
Daymark Financial Acceptance, LLC
 
First Lien Delayed Draw Term Loan
 
LIBOR (Q)
   
-
     
9.50
%
   
10.53
%
1/12/2020
 
$
17,500,000
     
17,316,726
     
17,038,000
     
1.22
%
      
Greystone Select Holdings, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.00
%
   
9.00
%
3/26/2021
 
$
16,022,574
     
15,880,551
     
16,182,800
     
1.16
%
      
Trade Finance Funding I, Ltd. (Cayman Islands)
 
Secured Class B Notes
 
Fixed
   
-
     
10.75
%
   
10.75
%
11/13/2018
 
$
15,084,000
     
15,084,000
     
12,972,240
     
0.93
%
 
E/H
 
                                               
123,042,628
     
122,466,087
     
8.78
%
      
Other Information Services                    
                                
Asset International, Inc.
 
Delayed Draw Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.65
%
7/31/2020
 
$
1,251,626
     
1,229,491
     
1,249,019
     
0.09
%
      
Asset International, Inc.
 
Revolver Loan
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.65
%
7/31/2020
 
$
491,303
     
480,936
     
490,075
     
0.04
%
      
Asset International, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.65
%
7/31/2020
 
$
15,311,040
     
15,122,738
     
15,291,901
     
1.10
%
      
Simmons Research, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
0.50
%
   
10.50
%
   
11.69
%
12/11/2020
 
$
3,098,732
     
3,050,523
     
3,135,917
     
0.22
%
      
TCH-2 Holdings, LLC (TravelClick)
 
Second Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
7.75
%
   
8.75
%
11/6/2021
 
$
19,988,392
     
19,778,668
     
19,813,494
     
1.42
%
  G
 
                                               
39,662,356
     
39,980,406
     
2.87
%
      
Other Manufacturing                    
                                
AGY Holding Corp.
 
Sr Secured Term Loan
 
Fixed
   
-
     
12.00
%
   
12.00
%
9/15/2018
 
$
4,869,577
     
4,869,577
     
4,869,710
     
0.35
%
  B
 
AGY Holding Corp.
 
Second Lien Notes
 
Fixed
   
-
     
11.00
%
   
11.00
%
11/15/2018
 
$
9,268,000
     
7,586,317
     
9,268,000
     
0.66
%
 
B/E
 
AGY Holding Corp.
 
Delayed Draw Term Loan
 
Fixed
   
-
     
12.00
%
   
12.00
%
9/15/2018
 
$
1,049,146
     
1,049,146
     
1,049,147
     
0.08
%
  B
 
Bioventus, LLC
 
Second Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
6.25
%
   
7.25
%
11/15/2021
 
$
4,968,750
     
4,875,657
     
4,981,172
     
0.36
%
      
Boomerang Tube, LLC
 
Subordinated Notes
 
LIBOR (M)
   
-
     
17.50
%
   
N/A
 
2/1/2021
 
$
1,030,741
     
1,030,741
     
107,197
     
0.01
%
  C
 
                                               
19,411,438
     
20,275,226
     
1.46
%
      
Other Publishing                    
                                
Bisnow, LLC
 
First Lien Revolver
 
LIBOR (Q)
   
-
     
9.00
%
   
N/A
 
4/29/2021
 
$
     
(24,000
)
   
15,000
     
-
    J
 
Bisnow, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
9.00
%
   
10.19
%
4/29/2021
 
$
8,394,959
     
8,252,293
     
8,361,379
     
0.60
%
      
Contextmedia Health, LLC
 
First Lien Term Loan B
 
LIBOR (M)
   
1.00
%
   
6.50
%
   
7.50
%
12/23/2021
 
$
13,465,909
     
12,163,700
     
13,465,909
     
0.96
%
      
                                               
20,391,993
     
21,842,288
     
1.56
%
      
Other Telecommunications                     
                              
Securus Technologies, Inc.
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.25
%
   
7.75
%
   
9.00
%
4/30/2021
 
$
4,516,129
     
4,470,968
     
4,527,419
     
0.32
%
      
                                                                          
Plastics Manufacturing                       
                          
Iracore International, Inc.
 
Sr Secured Notes
 
Fixed
   
-
     
9.50
%
   
9.50
%
6/1/2018
 
$
13,781,000
     
14,291,250
     
4,177,710
     
0.30
%
 
C/E/G
 
                                                                          
Radio and Television Broadcasting                   
                                
Fuse, LLC
 
Sr Secured Notes
 
Fixed
   
-
     
10.38
%
   
10.38
%
7/1/2019
 
$
7,312,000
     
7,312,000
     
4,429,851
     
0.32
%
 
E/G
 
NEP/NCP Holdco, Inc.
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.25
%
   
8.75
%
   
10.00
%
7/22/2020
 
$
15,981,496
     
15,746,113
     
16,221,218
     
1.16
%
  G
 
                                               
23,058,113
     
20,651,069
     
1.48
%
      
TCP Capital Corp.

Consolidated Schedule of Investments (Continued) (Unaudited)

March 31, 2017
 
Issuer
 
Instrument
 
Ref
 
Floor
   
Spread
   
Total Coupon
 
Maturity
 
Principal
   
Cost
   
Fair
Value
   
% of Total
Cash and
Investments
   
Notes
 
                                                           
Debt Investments (continued)                 
                       
Real Estate Leasing                 
                       
Home Partners of America, Inc.
 
First Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
7.00
%
   
8.00
%
10/13/2022
 
$
5,000,000
   
$
4,907,790
   
$
5,000,000
     
0.36
%
     
                                                                         
Restaurants                    
                               
RM OpCo, LLC (Real Mex)
 
Convertible Second Lien Term Loan Tranche B-1
 
Fixed
   
-
     
8.50
%
   
8.50
%
3/30/2018
 
$
1,984,960
     
1,984,960
     
1,984,960
     
0.14
%
  B
 
RM OpCo, LLC (Real Mex)
 
First Lien Term Loan Tranche A
 
Fixed
   
-
     
7.00
%
   
7.00
%
3/30/2018
 
$
4,877,999
     
4,594,613
     
4,877,999
     
0.35
%
  B
 
RM OpCo, LLC (Real Mex)
 
Second Lien Term Loan Tranche B
 
Fixed
   
-
     
8.50
%
   
8.50
%
3/30/2018
 
$
9,890,374
     
9,890,374
     
1,335,200
     
0.09
%
  B
 
RM OpCo, LLC (Real Mex)
 
Second Lien Term Loan Tranche B-1
 
Fixed
   
-
     
8.50
%
   
8.50
%
3/30/2018
 
$
3,114,816
     
3,099,394
     
3,114,816
     
0.22
%
  B
 
RM OpCo, LLC (Real Mex)
 
Sr Convertible Second Lien Term Loan B
 
Fixed
   
-
     
8.50
%
   
8.50
%
3/30/2018
 
$
5,600,829
     
5,600,829
     
5,600,829
     
0.40
%
  B
 
                                               
25,170,170
     
16,913,804
     
1.20
%
      
Retail                  
                                    
Bon-Ton, Inc.
 
First Lien Tranche A-1 Revolver
 
LIBOR (Q)
   
1.00
%
   
9.50
%
   
10.50
%
3/15/2021
 
$
4,432,934
     
4,354,318
     
4,393,038
     
0.31
%
      
Gander Mountain Company
 
Second Lien Term Loan
 
LIBOR (M)
   
-
     
12.00
%
   
13.05
%
6/15/2018
 
$
14,740,910
     
14,637,679
     
14,888,319
     
1.07
%
      
The Gymboree Corporation
 
First Lien Term Loan
 
LIBOR (M)
   
-
     
10.25
%
   
11.30
%
9/24/2020
 
$
12,692,511
     
12,469,507
     
12,946,362
     
0.93
%
      
                                               
31,461,504
     
32,227,719
     
2.31
%
      
Satellite Telecommunications                      
                            
Avanti Communications Group, PLC (United Kingdom)
 
Delayed Draw PIK Toggle Notes
 
Fixed
   
-
     
10.00
%
   
10.00
%
11/30/2022
 
$
     
(21,860
)
   
(22,538
)
   
-
   
E/H/J
 
Avanti Communications Group, PLC (United Kingdom)
 
Sr New Money Initial Note
 
Fixed
   
-
     
10.00
%
   
10.00
%
10/1/2021
 
$
1,239,631
     
1,203,193
     
1,121,866
     
0.08
%
 
E/G/H
 
Avanti Communications Group, PLC (United Kingdom)
 
Sr Second-Priority PIK Toggle Note
 
Fixed
   
-
     
10.00
%
   
10.00
%
10/1/2021
 
$
3,163,188
     
3,073,088
     
2,862,685
     
0.21
%
 
E/G/H
 
Avanti Communications Group, PLC (United Kingdom)
 
Sr Secured Third-Priority Note
 
Fixed
   
-
     
12.00
%
   
12.00
%
10/1/2023
 
$
6,327,730
     
2,934,259
     
2,594,369
     
0.19
%
 
E/G/H
 
                                               
7,188,680
     
6,556,382
     
0.48
%
      
                                                                          
Scientific Research and Development Services                    
                            
BPA Laboratories, Inc.
 
Second Lien Term Loan
 
LIBOR (Q)
   
-
     
2.50
%
   
3.54
%
7/1/2017
 
$
3,081,346
     
1,878,682
     
2,079,908
     
0.15
%
      
Envigo Holdings, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.53
%
11/3/2021
 
$
35,104,936
     
34,454,676
     
34,841,649
     
2.50
%
      
                                               
36,333,358
     
36,921,557
     
2.65
%
      
                                                                          
Software Publishing                   
                                
Acronis International GmbH (Switzerland)
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
11.50
%
   
12.69
%
6/9/2017
 
$
27,570,661
     
27,578,796
     
27,438,322
     
1.97
%
  H
 
ArcServe (USA), LLC
 
Second Lien Term Loan
 
LIBOR (Q)
   
0.50
%
 
8.5% Cash
+ 1.25% PIK
   
10.90
%
1/31/2020
 
$
30,323,679
     
29,978,013
     
29,272,963
     
2.10
%
      
Autoalert, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
0.25
%
 
5.75% Cash
+ 3% PIK
   
9.94
%
3/31/2019
 
$
36,231,157
     
35,913,209
     
36,439,486
     
2.61
%
      
Fishbowl, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
-
   
2.8% Cash
+ 8.45% PIK
   
12.44
%
1/26/2022
 
$
18,432,074
     
17,826,924
     
17,786,952
     
1.27
%
      
Mapp Digital US, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
9.50
%
   
10.65
%
12/31/2017
 
$
5,692,765
     
5,635,544
     
5,712,690
     
0.41
%
      
Newscycle Solutions, Inc.
 
Second Lien Term Loan
 
LIBOR (Q)
   
-
     
13.00
%
   
14.11
%
9/10/2021
 
$
11,513,361
     
11,213,956
     
11,493,214
     
0.82
%
      
Newscycle Solutions AB (Sweden)
 
Second Lien Term Loan B
 
LIBOR (Q)
   
-
     
13.00
%
   
14.11
%
9/10/2021
 
$
11,513,362
     
11,213,956
     
11,493,214
     
0.82
%
  H
 
Soasta, Inc.
 
First Lien Term Loan (8.0% Exit Fee)
 
LIBOR (M)
   
-
     
9.56
%
   
10.69
%
4/1/2019
 
$
17,880,435
     
17,640,758
     
19,351,995
     
1.39
%
  K
 
Soasta, Inc.
 
Convertible Promissory Note
 
Fixed
   
-
     
10.00
%
   
10.00
%
12/16/2017
 
$
2,282,609
     
2,282,609
     
6,043,435
     
0.43
%
   
Tradeshift Holdings, Inc.
 
First Lien Delayed Draw Term Loan (7.0% Exit Fee)
 
LIBOR (M)
   
-
     
8.88
%
   
10.00
%
9/1/2020
 
$
11,470,517
     
10,660,339
     
10,820,142
     
0.78
%
  K
 
Utilidata, Inc.
 
First Lien Delayed Draw Term Loan (1.0% Exit Fee)
 
LIBOR (M)
   
0.62
%
   
9.88
%
   
10.88
%
1/1/2019
 
$
2,852,742
     
2,778,166
     
2,799,967
     
0.20
%
  K
 
                                               
172,722,270
     
178,652,380
     
12.80
%
      
Textile Furnishings Mills                  
                                
Lexmark Carpet Mills, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
10.00
%
   
11.00
%
12/19/2019
 
$
22,570,814
     
22,570,814
     
22,700,596
     
1.63
%
      
Lexmark Carpet Mills, Inc.
 
First Lien Term Loan B
 
LIBOR (Q)
   
1.00
%
   
10.00
%
   
11.00
%
12/19/2019
 
$
7,742,314
     
7,615,554
     
7,786,832
     
0.56
%
      
                                               
30,186,368
     
30,487,428
     
2.19
%
      
Utility System Construction                    
                                
Kawa Solar Holdings Limited (Cayman Islands)
 
Bank Guarantee Credit Facility
 
Fixed
   
-
   
8.2% Cash
+ 3.5% PIK
   
11.70
%
7/2/2017
 
$
21,464,657
     
21,464,657
     
21,464,657
     
1.54
%
 
F/H
 
Kawa Solar Holdings Limited (Cayman Islands)
 
Revolving Credit Facility
 
Fixed
   
-
     
8.20
%
   
8.20
%
7/2/2017
 
$
4,000,000
     
4,000,000
     
3,075,000
     
0.22
%
 
F/H
 
                                               
25,464,657
     
24,539,657
     
1.76
%
      
Wholesalers                     
                              
NILCO, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
9.50
%
   
10.65
%
9/1/2021
 
$
20,756,994
     
20,197,037
     
21,379,704
     
1.53
%
      
                                                                          
Wired Telecommunications Carriers                    
                                
Alpheus Communications, LLC
 
First Lien Delayed Draw FILO Term Loan
 
LIBOR (M)
   
1.00
%
   
7.42
%
   
8.78
%
5/31/2018
 
$
329,845
     
326,566
     
325,227
     
0.02
%
      
Alpheus Communications, LLC
 
First Lien Delayed Draw FILO Term Loan
 
LIBOR (M)
   
1.00
%
   
7.42
%
   
8.60
%
5/31/2018
 
$
1,338,648
     
1,331,125
     
1,314,901
     
0.09
%
      
Alpheus Communications, LLC
 
First Lien FILO Term Loan
 
LIBOR (M)
   
1.00
%
   
7.42
%
   
8.42
%
5/31/2018
 
$
7,207,350
     
7,135,699
     
7,107,528
     
0.51
%
      
U.S. TelePacific Corp.
 
First Lien Notes
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.62
%
2/24/2021
 
$
10,000,000
     
9,731,525
     
10,000,000
     
0.72
%
      
                                               
18,524,915
     
18,747,656
     
1.34
%
      
Wireless Telecommunications Carriers                   
                                
Gogo, LLC
 
Sr Secured Notes
 
Fixed
   
-
     
12.50
%
   
12.50
%
7/1/2022
 
$
10,000,000
     
10,000,000
     
11,312,500
     
0.81
%
 
E/G
 
                                                                          
Total Debt Investments                    
     
1,279,195,388
     
1,273,607,815
     
91.34
%
      

TCP Capital Corp.

Consolidated Schedule of Investments (Continued) (Unaudited)

March 31, 2017
 
Issuer
 
Instrument
 
Ref
 
Floor
   
Spread
   
Total Coupon
 
Maturity
 
Shares
   
Cost
   
Fair
Value
   
% of Total
Cash and
Investments
   
Notes
 
                                                           
Equity Securities    
                   
Advertising and Public Relations Services                         
             
InMobi, Inc. (Singapore)
 
Warrants to Purchase Stock
                                 
1,049,996
   
$
276,492
   
$
98,910
     
0.01
%
 
C/E/H
 
                                                                         
Air Transportation                          
                   
Aircraft Leased to United Airlines, Inc.
                                                                       
United N659UA-767, LLC (N659UA)
 
Trust Beneficial Interests
                                 
683
     
3,160,496
     
3,090,678
     
0.22
%
 
E/F
 
United N661UA-767, LLC (N661UA)
 
Trust Beneficial Interests
                                 
688
     
3,280,344
     
3,161,098
     
0.23
%
 
E/F
 
Epic Aero, Inc. (One Sky)
 
Warrants to Purchase Common Stock
                                 
1,843
     
855,313
     
3,408,386
     
0.24
%
 
C/E
 
                                               
7,296,153
     
9,660,162
     
0.69
%
      
Business Support Services                         
                    
Findly Talent, LLC
 
Membership Units
                                 
708,229
     
230,938
     
143,133
     
0.01
%
 
C/E
 
STG-Fairway Holdings, LLC (First Advantage)
 
Class A Units
                                 
841,479
     
325,432
     
779,714
     
0.06
%
 
C/E
 
                                               
556,370
     
922,847
     
0.07
%
      
Chemicals                         
                    
Green Biologics, Inc.
 
Warrants to Purchase Stock
                                 
909,300
     
272,807
     
1,000
     
-
   
C/E
 
Nanosys, Inc.
 
Warrants to Purchase Common Stock
                                 
800,000
     
605,266
     
640,640
     
0.05
%
 
C/E
 
                                               
878,073
     
641,640
     
0.05
%
      
Communications Equipment Manufacturing                            
              
Wasserstein Cosmos Co-Invest, L.P. (Globecomm)
 
Limited Partnership Units
                                 
5,000,000
     
5,000,000
     
233,000
     
0.02
%
 
B/C/E
 
                                                                          
Computer Systems Design and Related Services                          
                
Waterfall International, Inc.
 
Series B Preferred Stock
                                 
1,428,571
     
1,000,000
     
1,025,143
     
0.07
%
 
C/E
 
Waterfall International, Inc.
 
Warrants to Purchase Stock
                                 
920,000
     
89,847
     
55,752
     
-
   
C/E
 
                                               
1,089,847
     
1,080,895
     
0.07
%
      
Data Processing and Hosting Services
                  
Anacomp, Inc.
 
Class A Common Stock
                                 
1,255,527
     
26,711,047
     
1,117,419
     
0.08
%
 
C/E/F
 
Rightside Group, Ltd.
 
Warrants
                                 
498,855
     
2,778,622
     
738,685
     
0.05
%
 
C/E
 
                                               
29,489,669
     
1,856,104
     
0.13
%
      
Educational Support Services
                      
Edmentum Ultimate Holdings, LLC
 
Class A Common Units
                                 
159,515
     
680,226
     
1,123,589
     
0.08
%
 
B/C/E
 
                                                                          
Electric Power Generation, Transmission and Distribution                      
                  
GlassPoint Solar, Inc.
 
Warrants to Purchase Series C-1 Preferred Stock
                                 
1,100,000
     
265,618
     
275,330
     
0.02
%
 
C/E
 
                                                                          
Electrical Equipment Manufacturing
                      
NEXTracker, Inc.
 
Series B Preferred Stock
                                 
558,884
     
-
     
1,548,109
     
0.11
%
  E
 
NEXTracker, Inc.
 
Series C Preferred Stock
                                 
17,640
     
-
     
48,863
     
-
    E
 
                                               
-
     
1,596,972
     
0.11
%
      
Electronic Component Manufacturing                     
                        
Soraa, Inc.
 
Warrants to Purchase Common Stock
                                 
3,071,860
     
478,899
     
9,216
     
-
   
C/E
 
                                                                          
Equipment Leasing                 
                      
36th Street Capital Partners Holdings, LLC
 
Membership Units
                                 
7,280,139
     
7,280,139
     
8,664,822
     
0.62
%
 
C/E/F
 
Essex Ocean II, LLC
 
Membership Units
                                 
199,430
     
103,398
     
-
     
-
 
 
C/E/F
 
                                               
7,383,537
     
8,664,822
     
0.62
%
      
Financial Investment Activities                   
                      
GACP I, LP
 
Membership Units
                                 
18,520,966
     
18,611,983
     
18,891,480
     
1.35
%
 
C/E/I
 
Marsico Holdings, LLC
 
Common Interest Units
                                 
168,698
     
172,694
     
1,687
     
-
   
C/E/I
 
                                               
18,784,677
     
18,893,167
     
1.35
%
      
Metal and Mineral Mining                           
                
EPMC HoldCo, LLC
 
Membership Units
                                 
1,312,720
     
-
     
210,035
     
0.02
%
 
B/E
 
                                                                          
Motion Picture and Video Industries                       
                      
NEG Parent, LLC
 
Class A Units
                                 
1,182,779
     
1,235,194
     
1,278,702
     
0.09
%
 
C/E
 
NEG Parent, LLC
 
Class P Units
                                 
1,537,613
     
1,537,613
     
1,548,376
     
0.11
%
 
C/E
 
NEG Parent, LLC
 
Class A Warrants to Purchase Class A Units
                                 
343,387
     
196,086
     
193,842
     
0.01
%
 
C/E
 
NEG Parent, LLC
 
Class B Warrants to Purchase Class A Units
                                 
346,794
     
198,032
     
195,765
     
0.02
%
 
C/E
 
                                               
3,166,925
     
3,216,685
     
0.23
%
      
Other Information Services                       
                  
SoundCloud, Ltd. (United Kingdom)
 
Warrants to Purchase Preferred Stock
                                 
946,498
     
79,082
     
81,304
     
0.01
%
 
C/E/H
 
                                                                          
Other Manufacturing                         
                  
AGY Holding Corp.
 
Common Stock
                                 
1,333,527
     
-
     
-
     
-
   
B/C/E
 
Boomerang Tube Holdings, Inc.
 
Common Stock
                                 
24,288
     
243
     
-
     
-
   
C/E
 
KAGY Holding Company, Inc.
 
Series A Preferred Stock
                                 
9,778
     
1,091,200
     
5,213,117
     
0.37
%
 
B/C/E
 
                                               
1,091,443
     
5,213,117
     
0.37
%
      
Radio and Television Broadcasting                        
                  
Fuse Media, LLC
 
Warrants to Purchase Common Stock
                                 
233,470
     
300,322
     
-
     
-
   
C/E
 
                                                                          
Restaurants                          
                  
RM Holdco, LLC (Real Mex)
 
Equity Participation
                                 
24
     
-
     
-
     
-
   
B/C/E
 
RM Holdco, LLC (Real Mex)
 
Membership Units
                                 
13,161,000
     
2,010,777
     
-
     
-
   
B/C/E
 
                                               
2,010,777
     
-
     
-
        
Retail                        
                    
Shop Holding, LLC (Connexity)
 
Class A Units
                                 
507,167
     
480,049
     
-
     
-
    C/E
 
TCP Capital Corp.

Consolidated Schedule of Investments (Continued) (Unaudited)

March 31, 2017


Issuer
 
Instrument
 
Ref
 
Floor
   
Spread
   
Total Coupon
 
Maturity
 
Shares
   
Cost
   
Fair
Value
   
% of Total
Cash and
Investments
   
Notes
 
                                                           
Equity Securities (continued)
                   
Satellite Telecommunications
                 
Avanti Communications Group, PLC (United Kingdom)
 
Common Stock
                                 
245,368
   
$
3,086
   
$
40,032
     
-
   
C/D/H
 
                                                                         
Software Publishing
                     
Blackline Intermediate, Inc.
 
Warrants to Purchase Common Stock
                                 
246,546
     
522,678
     
5,951,872
     
0.43
%
 
C/E
 
Soasta, Inc.
 
Warrants to Purchase Series F Preferred Stock
                                 
1,251,630
     
533,192
     
887,281
     
0.07
%
 
C/E
 
Tradeshift, Inc.
 
Warrants to Purchase Series D Preferred Stock
                                 
1,712,930
     
577,843
     
564,068
     
0.04
%
      
Utilidata, Inc.
 
Warrants to Purchase Preferred Stock
                                 
719,998
     
216,336
     
57,240
     
-
   
C/E
 
                                               
1,850,049
     
7,460,461
     
0.54
%
      
Utility System Construction 
                      
Kawa Solar Holdings Limited (Cayman Islands)
 
Ordinary Shares
                                 
2,332,594
     
-
     
-
     
-
   
C/E/F/H
 
Kawa Solar Holdings Limited (Cayman Islands)
 
Series B Preferred Shares
                                 
93,023
     
1,395,349
     
1,395,583
     
0.10
%
 
C/E/F/H
 
                                               
1,395,349
     
1,395,583
     
0.10
%
      
Wired Telecommunications Carriers
                        
V Telecom Investment S.C.A. (Vivacom) (Luxembourg)
 
Common Shares
                                 
1,393
     
3,236,256
     
2,228,100
     
0.16
%
 
C/D/E/H
 
                                                                          
Total Equity Securities
         
85,792,899
     
64,901,971
     
4.65
%
      
                                                                          
Total Investments
   
$
1,364,988,287
   
$
1,338,509,786
                
                                                                          
Cash and Cash Equivalents                           
Cash Held on Account at Various Institutions
                                   
 
 
     
 
     
55,964,496
     
4.01
%
      
Cash and Cash Equivalents
   
55,964,496
     
4.01
%
      
                                                                          
Total Cash and Investments 
 
$
1,394,474,282
     
100.00
%
  L
 

Notes to Consolidated Schedule of Investments:

(A)
Investments in bank debt generally are bought and sold among institutional investors in transactions not subject to registration under the Securities Act of 1933. Such transactions are generally subject to contractual restrictions, such as approval of the agent or borrower.

(B)
Non-controlled affiliate – as defined under the Investment Company Act of 1940 (ownership of between 5% and 25% of the outstanding voting  securities of this issuer). See Consolidated Schedule of Changes in Investments in Affiliates.

(C)
Non-income producing security.

(D)
Investment denominated in foreign currency.  Amortized cost and fair value converted from foreign currency to US dollars. Foreign currency denominated investments are generally hedged for currency exposure.

(E)
Restricted security. (See Note 2)

(F)
Controlled issuer – as defined under the Investment Company Act of 1940 (ownership of 25% or more of the outstanding voting securities of this issuer). Investment is not more than 50% of the outstanding voting securities of the issuer nor deemed to be a significant subsidiary.  See Consolidated Schedule of Changes in Investments in Affiliates.

(G)
Investment has been segregated to collateralize certain unfunded commitments.

(H)
Non-U.S. company or principal place of business outside the U.S. and as a result the investment is not a qualifying asset under Section 55(a) of the Investment Company Act. Under the Investment Company Act, the Company may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of the Company's total assets.

(I)
Deemed an investment company under Section 3(c) of the Investment Company Act and as a result the investment is not a qualifying asset under Section 55(a) of the Investment Company Act.  Under the Investment Company Act, the Company may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of the Company's total assets.

(J)
Negative balances relate to an unfunded commitment that was acquired and/or valued at a discount.

(K)
In addition to the stated coupon, investment has an exit fee payable upon repayment of the loan in an amount equal to the percentage of the original principal amount shown.

(L)
All cash and investments, except those referenced in Notes G above, are pledged as collateral under certain debt as described in Note 4 to the Consolidated Financial Statements.
 
LIBOR or EURIBOR resets monthly (M), quarterly (Q), semiannually (S), or annually (A).
 
Aggregate acquisitions and aggregate dispositions of investments, other than government securities, totaled $139,793,080 and $117,033,249, respectively, for the three months ended March 31, 2017. Aggregate acquisitions includes investment assets received as payment in kind.  Aggregate dispositions includes principal paydowns on and maturities of debt investments.  The total value of restricted securities and bank debt as of March 31, 2017 was $1,337,798,489 or 95.9% of total cash and investments of the Company.  As of March 31, 2017, approximately 13.8% of the total assets of the Company were not qualifying assets under Section 55(a) of the 1940 Act.
 
See accompanying notes to the consolidated financial statements.
TCP Capital Corp.

Consolidated Schedule of Investments

December 31, 2016

Issuer
 
Instrument
 
Ref
 
Floor
   
Spread
   
Total Coupon
 
Maturity
 
Principal
   
Cost
   
Fair
Value
   
% of Total
Cash and
Investments
   
Notes
 
                                                           
Debt Investments (A)                 
                   
Activities Related to Credit Intermediation                  
                 
Pegasus Business Intelligence, LP (Onyx Centersource)
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
6.75
%
   
7.75
%
12/20/2021
 
$
14,769,821
   
$
14,623,499
   
$
14,622,123
     
1.07
%
     
Pegasus Business Intelligence, LP (Onyx Centersource)
 
Revolver
 
LIBOR (Q)
   
1.00
%
   
6.75
%
   
N/A
 
12/20/2021
 
$
     
(6,669
)
   
(6,713
)
   
-
    J
 
iPayment, Inc.
 
First Lien Term Loan B2
 
LIBOR (Q)
   
1.50
%
   
5.25
%
   
6.75
%
5/8/2017
 
$
11,289,051
     
11,134,310
     
10,893,934
     
0.80
%
      
                                               
25,751,140
     
25,509,344
     
1.87
%
      
Activities Related to Real Estate                      
                        
Associations, Inc.
 
First Lien FILO Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.96
%
   
9.96
%
12/23/2019
 
$
12,891,845
     
12,773,127
     
12,898,291
     
0.94
%
      
                                                                          
Advertising and Public Relations Services                      
                        
InMobi, Inc. (Singapore)
 
First Lien Delayed Draw Tranche 1 Term Loan (1.25% Exit Fee)
 
LIBOR (M)
   
0.33
%
   
10.17
%
   
10.98
%
9/1/2018
 
$
15,000,000
     
14,772,946
     
14,704,508
     
1.07
%
  H/K
 
InMobi, Inc. (Singapore)
 
First Lien Delayed Draw Tranche 2 Term Loan
 
LIBOR (M)
   
0.33
%
   
10.17
%
   
N/A
 
9/1/2018
 
$
     
-
     
-
     
-
    H
 
InMobi, Inc. (Singapore)
 
First Lien Delayed Draw Tranche 3 Term Loan
 
LIBOR (M)
   
0.33
%
   
10.17
%
   
N/A
 
9/1/2018
 
$
     
-
     
-
     
-
    H
 
                                               
14,772,946
     
14,704,508
     
1.07
%
      
Air Transportation                     
                          
Mesa Air Group, Inc.
 
Acquisition Loan
 
LIBOR (M)
   
-
     
7.25
%
   
8.00
%
7/15/2022
 
$
14,042,971
     
13,839,296
     
14,323,830
     
1.05
%
      
Mesa Airlines, Inc.
 
Engine Acquisition Delayed Draw Term Loan A
 
LIBOR (M)
   
-
     
7.25
%
   
8.00
%
12/14/2021
 
$
16,546,652
     
16,259,013
     
16,257,105
     
1.19
%
      
Mesa Airlines, Inc.
 
Engine Acquisition Delayed Draw Term Loan B
 
LIBOR (M)
   
-
     
7.25
%
   
N/A
 
2/28/2022
 
$
     
-
     
-
     
-
        
Mesa Airlines, Inc.
 
Engine Acquisition Delayed Draw Term Loan C
 
LIBOR (M)
   
-
     
7.25
%
   
N/A
 
12/31/2022
 
$
     
-
     
-
     
-
        
                                               
30,098,309
     
30,580,935
     
2.24
%
      
Amusement and Recreation                   
                            
AP Gaming I, LLC
 
First Lien Revolver
 
LIBOR (M)
   
-
     
8.25
%
   
N/A
 
12/20/2018
 
$
     
(1,655,756
)
   
(937,500
)
   
(0.07
%)
  J
 
VSS-Southern Holdings, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
 
6.5% Cash
+ 2% PIK
   
9.50
%
11/3/2020
 
$
24,220,291
     
23,755,180
     
23,735,885
     
1.73
%
      
VSS-Southern Holdings, LLC
 
Sr Secured Revolver
 
LIBOR (Q)
   
1.00
%
 
6.5% Cash
+ 2% PIK
   
N/A
 
11/3/2020
 
$
     
(16,444
)
   
(17,123
)
   
-
    J
 
                                               
22,082,980
     
22,781,262
     
1.66
%
      
                                                                          
Apparel Manufacturing                     
                        
Broder Bros., Co.
 
First Lien Term Loan (First Out)
 
LIBOR (Q)
   
1.25
%
   
5.75
%
   
7.00
%
6/3/2021
 
$
9,700,000
     
9,541,402
     
9,700,000
     
0.71
%
      
Broder Bros., Co.
 
First Lien Term Loan B (Last Out)
 
LIBOR (Q)
   
1.25
%
   
12.25
%
   
13.50
%
6/3/2021
 
$
9,800,000
     
9,646,339
     
9,800,000
     
0.72
%
      
JH Apparel Holdings, LLC
 
First Lien FILO Term Loan
 
LIBOR (M)
   
1.00
%
   
9.60
%
   
10.60
%
4/8/2019
 
$
2,714,632
     
2,705,143
     
2,741,779
     
0.20
%
      
                                               
21,892,884
     
22,241,779
     
1.63
%
      
Building Equipment Contractors                      
                        
Hylan Datacom & Electrical, LLC
 
First Lien Delayed Draw Term Loan
 
LIBOR (Q)
   
1.00
%
   
7.50
%
   
8.50
%
7/25/2021
 
$
     
-
     
-
     
-
        
Hylan Datacom & Electrical, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
7.50
%
   
8.50
%
7/25/2021
 
$
14,295,589
     
14,092,734
     
14,188,374
     
1.04
%
      
                                               
14,092,734
     
14,188,374
     
1.04
%
      
Business Support Services                   
                            
Enerwise Global Technologies, Inc.
 
Sr Secured Revolving Loan
 
LIBOR (Q)
   
0.23
%
   
8.52
%
   
N/A
 
11/30/2018
 
$
     
(17,798
)
   
70,000
     
0.01
%
  J
 
Enerwise Global Technologies, Inc.
 
Sr Secured Term Loan (1.0% Exit Fee)
 
LIBOR (Q)
   
0.23
%
   
9.27
%
   
10.12
%
11/30/2019
 
$
23,937,500
     
23,867,666
     
24,356,406
     
1.78
%
  K
 
STG-Fairway Acquisitions, Inc. (First Advantage)
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
9.25
%
   
10.25
%
6/30/2023
 
$
31,000,000
     
30,588,757
     
30,336,600
     
2.22
%
      
                                               
54,438,625
     
54,763,006
     
4.01
%
      
Chemicals                    
                            
Anuvia Plant Nutrients Holdings, LLC
 
Sr Secured Term Loan (8.0% Exit Fee)
 
LIBOR (Q)
   
-
     
10.63
%
   
11.63
%
2/1/2018
 
$
7,563,676
     
7,995,360
     
8,250,457
     
0.60
%
  K
 
Green Biologics, Inc.
 
Sr Secured Delayed Draw Term Loan (12.4% Exit Fee)
 
Prime Rate
   
-
     
7.75
%
   
11.50
%
6/30/2019
 
$
15,000,000
     
15,468,439
     
14,905,500
     
1.09
%
  K
 
iGM RFE1 B.V. (Netherlands)
 
First Lien Delayed Draw Term Loan
 
LIBOR (Q)
   
-
     
8.00
%
   
9.00
%
10/12/2021
 
$
253,581
     
245,565
     
251,684
     
0.02
%
  H
 
iGM RFE1 B.V. (Netherlands)
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
8.00
%
   
9.00
%
10/12/2021
 
$
3,864,583
     
3,836,083
     
3,835,599
     
0.28
%
  H
 
Nanosys, Inc.
 
First Lien Delayed Draw Term Loan (3.5% Exit Fees)
 
LIBOR (Q)
   
-
     
9.81
%
   
10.75
%
4/1/2019
 
$
10,000,000
     
9,526,456
     
9,712,000
     
0.71
%
  K
 
                                               
37,071,903
     
36,955,240
     
2.70
%
      
Communications Equipment Manufacturing                  
                          
Globecomm Systems, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.25
%
   
7.63
%
   
8.88
%
12/11/2018
 
$
14,480,001
     
14,335,200
     
14,480,002
     
1.06
%
  B
 
Triangle Acquisition Co. (Polycom)
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
6.50
%
   
7.50
%
9/27/2023
 
$
4,835,417
     
4,646,389
     
4,877,727
     
0.36
%
      
                                               
18,981,589
     
19,357,729
     
1.42
%
      
Computer Systems Design and Related Services                  
                        
Aptos Inc. (Canada)
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
6.75
%
   
7.75
%
9/1/2022
 
$
9,975,000
     
9,784,353
     
9,875,250
     
0.72
%
  H
 
Dealersocket, Inc.
 
Senior Secured 1st Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
10.00
%
   
11.00
%
2/10/2021
 
$
17,500,000
     
16,884,459
     
17,291,750
     
1.26
%
      
MSC Software Corporation
 
Second Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
7.50
%
   
8.50
%
5/29/2021
 
$
6,993,035
     
6,953,617
     
7,001,777
     
0.51
%
      
Marketo, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
9.50
%
   
10.50
%
8/16/2021
 
$
23,295,455
     
22,630,922
     
22,887,784
     
1.67
%
      
Marketo, Inc.
 
Senior Secured Revolver
 
LIBOR (Q)
   
1.00
%
   
9.50
%
   
10.50
%
8/16/2021
 
$
     
(47,341
)
   
21,307
     
-
    J
 
OnX Enterprise Solutions, Ltd. (Canada)
 
First Lien Term Loan B
 
LIBOR (Q)
   
-
     
8.00
%
   
8.90
%
9/3/2018
 
$
2,314,000
     
2,314,000
     
2,314,000
     
0.17
%
  H
 
OnX Enterprise Solutions, Ltd. (Canada)
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
8.00
%
   
8.90
%
9/3/2018
 
$
10,320,000
     
10,268,787
     
10,320,000
     
0.75
%
  H
 
OnX USA, LLC
 
First Lien Term Loan B
 
LIBOR (Q)
   
-
     
8.00
%
   
8.90
%
9/3/2018
 
$
3,738,000
     
3,738,000
     
3,738,000
     
0.27
%
      
OnX USA, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
8.00
%
   
8.90
%
9/3/2018
 
$
3,160,000
     
3,151,013
     
3,160,000
     
0.23
%
      
Waterfall International, Inc.
 
First Lien Delayed Draw Term Loan (3.0% Exit Fee)
 
LIBOR (Q)
   
-
     
11.67
%
   
12.48
%
9/1/2018
 
$
4,800,000
     
4,827,231
     
4,970,640
     
0.36
%
  K
 
                                               
80,505,041
     
81,580,508
     
5.94
%
      
Data Processing and Hosting Services                   
                        
IO Data Centers, USA, LLC
 
First Lien Term Loan
 
Fixed
   
-
     
9.00
%
   
9.00
%
1/15/2020
 
$
6,876,756
     
6,876,756
     
6,876,756
     
0.50
%
      
                                                                          
Electric Power Generation, Transmission and Distribution                    
                      
Holocene Renewable Energy Fund 3, LLC (Conergy)
 
First Lien Term Loan
 
Fixed
   
-
   
9% Cash
+ 1% PIK
   
10.00
%
9/10/2017
 
$
7,518,173
     
7,491,471
     
7,442,991
     
0.54
%
      
                                                                          
Electronic Component Manufacturing                      
                    
Soraa, Inc.
 
Tranche A Term Loan (3.0% Exit Fee)
 
LIBOR (Q)
   
0.44
%
   
9.33
%
   
10.15
%
3/1/2018
 
$
15,666,296
     
15,483,478
     
15,471,251
     
1.13
%
  K
 
Soraa, Inc.
 
Tranche B Term Loan
 
LIBOR (Q)
   
0.44
%
   
9.33
%
   
10.15
%
9/1/2017
 
$
1,603,779
     
1,556,152
     
1,563,204
     
0.11
%
      
                                               
17,039,630
     
17,034,455
     
1.24
%
      
Equipment Leasing         
                    
36th Street Capital Partners Holdings, LLC
 
Senior Note
 
Fixed
   
-
     
12.00
%
   
12.00
%
11/1/2020
 
$
29,203,304
     
29,203,304
     
29,203,304
     
2.13
%
 
E/F
 
Essex Ocean, LLC (Solexel)
 
Sr Secured Term Loan
 
Fixed
   
-
     
8.00
%
   
8.00
%
8/15/2018
 
$
1,685,289
     
1,685,289
     
1,718,994
     
0.13
%
      
                                               
30,888,593
     
30,922,298
     
2.26
%
      

TCP Capital Corp.

Consolidated Schedule of Investments (Continued)

December 31, 2016
 
Issuer
 
Instrument
 
Ref
 
Floor
   
Spread
   
Total Coupon
 
Maturity
 
Principal
   
Cost
   
Fair
Value
   
% of Total
Cash and
Investments
   
Notes
 
                                                           
Debt Investments (continued)               
                     
Facilities Support Services              
                       
NANA Development Corp.
 
First Lien Term Loan B
 
LIBOR (M)
   
1.25
%
   
6.75
%
   
8.00
%
3/15/2018
 
$
879,513
   
$
834,963
   
$
853,128
     
0.06
%
     
                                                                         
Financial Investment Activities                  
                             
Magnolia Finance V plc (Cayman Islands)
 
Asset-Backed Credit Linked Notes
 
Fixed
   
-
     
13.13
%
   
13.13
%
8/2/2021
 
$
15,000,000
     
15,000,000
     
14,994,000
     
1.10
%
 
E/H
 
                                                                          
Grocery Stores                  
                              
Bashas, Inc.
 
First Lien FILO Term Loan
 
LIBOR (M)
   
1.50
%
   
8.80
%
   
10.30
%
10/8/2019
 
$
9,333,235
     
9,297,529
     
9,426,567
     
0.69
%
      
                                                                          
Hospitals                   
                              
KPC Healthcare, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
9.25
%
   
10.51
%
8/28/2020
 
$
12,071,083
     
11,857,665
     
12,375,878
     
0.90
%
      
Pacific Coast Holdings Investment, LLC
 
Senior Secured 1st Lien Delayed Draw Term Loan
 
LIBOR (M)
   
2.00
%
   
9.70
%
   
11.70
%
10/23/2019
 
$
10,828,233
     
10,806,929
     
10,828,233
     
0.79
%
      
                                               
22,664,594
     
23,204,111
     
1.69
%
      
Insurance      
                                
Alera Group Intermediate Holdings, Inc.
 
First Lien Delayed Draw Term Loan
 
Prime
   
-
     
4.50
%
   
8.25
%
12/30/2022
 
$
     
(8,333
)
   
-
     
-
    J
 
Alera Group Intermediate Holdings, Inc.
 
First Lien Revolver
 
Prime
   
-
     
4.50
%
   
8.25
%
12/30/2021
 
$
     
(7,595
)
   
-
     
-
    J
 
Alera Group Intermediate Holdings, Inc.
 
First Lien Term Loan
 
Prime
   
-
     
4.50
%
   
8.25
%
12/30/2022
 
$
3,407,121
     
3,373,050
     
3,373,050
     
0.25
%
      
Association Member Benefits Advisors, LLC
 
Second Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
8.75
%
   
9.75
%
6/8/2023
 
$
8,277,983
     
8,112,882
     
8,112,423
     
0.59
%
      
JSS Holdings, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
6.50
%
   
7.50
%
8/31/2021
 
$
3,750,000
     
3,689,740
     
3,731,250
     
0.27
%
      
US Apple Holdco, LLC (Ventiv Technology)
 
First Lien Term Loan
 
LIBOR (Q)
   
0.50
%
   
13.62
%
   
14.49
%
8/29/2019
 
$
20,015,152
     
19,533,393
     
20,015,152
     
1.46
%
      
                                               
34,693,137
     
35,231,875
     
2.57
%
      
Lessors of Nonfinancial Licenses                
                                
ABG Intermediate Holdings 2, LLC
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.50
%
5/27/2022
 
$
16,573,588
     
16,434,441
     
16,739,324
     
1.22
%
      
ABG Intermediate Holdings 2, LLC
 
Second Lien Incremental Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.50
%
5/27/2022
 
$
3,426,412
     
3,396,918
     
3,460,676
     
0.25
%
      
                                               
19,831,359
     
20,200,000
     
1.47
%
      
Management, Scientific, and Technical Consulting Services             
                                
Dodge Data & Analytics, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.75
%
   
9.75
%
10/31/2019
 
$
23,995,511
     
23,613,049
     
23,699,166
     
1.73
%
      
                                                                          
Motion Picture and Video Industries                 
                            
NEG Holdings, LLC (CORE Entertainment)
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
 
8.0% PIK
     
9.00
%
10/17/2022
 
$
1,445,592
     
1,445,592
     
1,387,712
     
0.10
%
      
                                                                          
Nondepository Credit Intermediation                  
                              
Auto Trakk SPV, LLC
 
First Lien Delayed Draw Term Loan
 
LIBOR (M)
   
0.50
%
   
9.50
%
   
10.24
%
12/21/2021
 
$
32,392,942
     
31,888,166
     
31,939,467
     
2.33
%
      
Caliber Home Loans, Inc.
 
First Lien Delayed Draw Term Loan
 
LIBOR (M)
   
1.00
%
   
6.50
%
   
7.50
%
6/30/2020
 
$
13,333,333
     
13,136,017
     
13,133,333
     
0.96
%
      
Caribbean Financial Group (Cayman Islands)
 
Sr Secured Notes
 
Fixed
   
-
     
11.50
%
   
11.50
%
11/15/2019
 
$
28,678,000
     
28,568,148
     
29,108,170
     
2.13
%
 
E/G/H
 
Daymark Financial Acceptance, LLC
 
First Lien Delayed Draw Term Loan
 
LIBOR (M)
   
-
     
9.50
%
   
10.27
%
1/12/2020
 
$
17,500,000
     
17,300,337
     
16,992,500
     
1.24
%
      
Greystone Select Holdings, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.00
%
   
9.00
%
3/26/2021
 
$
16,062,731
     
15,912,928
     
16,207,296
     
1.18
%
      
Trade Finance Funding I, Ltd. (Cayman Islands)
 
Secured Class B Notes
 
Fixed
   
-
     
10.75
%
   
10.75
%
11/13/2018
 
$
15,084,000
     
15,084,000
     
14,857,740
     
1.09
%
 
E/H
 
                                               
121,889,596
     
122,238,506
     
8.93
%
      
Other Information Services                  
                              
Asset International, Inc.
 
Delayed Draw Term Loan
 
LIBOR (M)
   
1.00
%
   
8.50
%
   
9.50
%
7/31/2020
 
$
1,251,626
     
1,227,886
     
1,231,183
     
0.09
%
      
Asset International, Inc.
 
Revolver Loan
 
LIBOR (M)
   
1.00
%
   
8.50
%
   
9.50
%
7/31/2020
 
$
491,303
     
480,225
     
481,674
     
0.04
%
      
Asset International, Inc.
 
First Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
8.50
%
   
9.50
%
7/31/2020
 
$
15,408,563
     
15,204,465
     
15,257,559
     
1.11
%
      
Simmons Research, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
0.50
%
   
10.50
%
   
11.38
%
12/11/2020
 
$
4,936,601
     
4,853,985
     
4,973,625
     
0.36
%
      
SoundCloud Ltd. (United Kingdom)
 
Sr Secured Term Loan (2.0% Exit Fee)
 
LIBOR (M)
   
0.28
%
   
10.72
%
   
11.60
%
10/1/2018
 
$
31,550,000
     
31,632,236
     
32,510,698
     
2.38
%
 
H/K
 
TCH-2 Holdings, LLC (TravelClick)
 
Second Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
7.75
%
   
8.75
%
11/6/2021
 
$
19,988,392
     
19,769,829
     
19,663,581
     
1.44
%
  G
 
                                               
73,168,626
     
74,118,320
     
5.42
%
      
Other Manufacturing                 
                                
AGY Holding Corp.
 
Sr Secured Term Loan
 
Fixed
   
-
     
12.00
%
   
12.00
%
9/15/2018
 
$
4,869,577
     
4,869,577
     
4,869,710
     
0.36
%
  B
 
AGY Holding Corp.
 
Second Lien Notes
 
Fixed
   
-
     
11.00
%
   
11.00
%
11/15/2018
 
$
9,268,000
     
7,586,317
     
9,268,000
     
0.68
%
 
B/E
 
AGY Holding Corp.
 
Delayed Draw Term Loan
 
Fixed
   
-
     
12.00
%
   
12.00
%
9/15/2018
 
$
1,049,146
     
1,049,146
     
1,049,147
     
0.08
%
  B
 
Bioventus, LLC
 
Second Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
6.25
%
   
7.25
%
11/15/2021
 
$
5,000,000
     
4,900,613
     
5,000,000
     
0.37
%
      
Boomerang Tube, LLC
 
Subordinated Notes
 
LIBOR (M)
   
-
     
17.50
%
   
N/A
 
2/1/2021
 
$
1,030,741
     
1,030,740
     
107,200
     
0.01
%
  C
 
                                               
19,436,393
     
20,294,057
     
1.50
%
      
Other Publishing                   
                              
Bisnow, LLC
 
First Lien Revolver
 
LIBOR (Q)
   
-
     
9.00
%
   
N/A
 
4/29/2021
 
$
     
(24,000
)
   
15,000
     
-
    J
 
Bisnow, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
9.00
%
   
9.88
%
4/29/2021
 
$
8,614,356
     
8,459,058
     
8,549,749
     
0.62
%
      
Contextmedia Health, LLC
 
First Lien Term Loan B
 
LIBOR (M)
   
1.00
%
   
6.50
%
   
7.50
%
12/23/2021
 
$
13,636,364
     
12,272,727
     
12,477,273
     
0.91
%
      
                                               
20,707,785
     
21,042,022
     
1.53
%
      
Other Telecommunications                 
                                
Securus Technologies, Inc.
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.25
%
   
7.75
%
   
9.00
%
4/30/2021
 
$
4,516,129
     
4,470,968
     
4,407,177
     
0.32
%
      
                                                                          
Pharmaceuticals                   
                                
Lantheus Medical Imaging, Inc.
 
First Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
6.00
%
   
7.00
%
6/30/2022
 
$
8,642,604
     
8,199,514
     
8,664,210
     
0.63
%
      

TCP Capital Corp.

Consolidated Schedule of Investments (Continued)

December 31, 2016
 
Issuer
 
Instrument
 
Ref
 
Floor
   
Spread
   
Total Coupon
 
Maturity
 
Principal
   
Cost
   
Fair
Value
   
% of Total
Cash and
Investments
   
Notes
 
                                                           
Debt Investments (continued)       
                         
Plastics Manufacturing       
                         
Iracore International, Inc.
 
Sr Secured Notes
 
Fixed
   
-
     
9.50
%
   
9.50
%
6/1/2018
 
$
13,600,000
   
$
14,246,000
   
$
4,503,640
     
0.33
%
 
C/E/G
 
                                                                         
Radio and Television Broadcasting       
                               
Fuse, LLC
 
Sr Secured Notes
 
Fixed
   
-
     
10.38
%
   
10.38
%
7/1/2019
 
$
7,312,000
     
7,312,000
     
4,435,972
     
0.32
%
 
E/G
 
NEP/NCP Holdco, Inc.
 
Second Lien Term Loan
 
LIBOR (M)
   
1.25
%
   
8.75
%
   
10.00
%
7/22/2020
 
$
15,981,496
     
15,727,220
     
16,141,311
     
1.18
%
      
                                               
23,039,220
     
20,577,283
     
1.50
%
      
Real Estate Leasing       
                              
Home Partners of America, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
7.00
%
   
8.00
%
10/13/2022
 
$
5,000,000
     
4,902,332
     
5,000,000
     
0.37
%
      
                                                                          
Restaurants
                                
RM OpCo, LLC (Real Mex)
 
Convertible Second Lien Term Loan Tranche B-1
 
Fixed
   
-
     
8.50
%
   
8.50
%
3/30/2018
 
$
1,943,371
     
1,943,371
     
1,943,371
     
0.14
%
  B
 
RM OpCo, LLC (Real Mex)
 
First Lien Term Loan Tranche A
 
Fixed
   
-
     
7.00
%
   
7.00
%
3/30/2018
 
$
4,871,284
     
4,587,898
     
4,871,284
     
0.36
%
  B
 
RM OpCo, LLC (Real Mex)
 
Second Lien Term Loan Tranche B
 
Fixed
   
-
     
8.50
%
   
8.50
%
3/30/2018
 
$
9,683,150
     
9,683,150
     
3,154,770
     
0.23
%
  B
 
RM OpCo, LLC (Real Mex)
 
Second Lien Term Loan Tranche B-1
 
Fixed
   
-
     
8.50
%
   
8.50
%
3/30/2018
 
$
3,049,554
     
3,034,132
     
3,049,555
     
0.22
%
  B
 
RM OpCo, LLC (Real Mex)
 
Sr Convertible Second Lien Term Loan B
 
Fixed
   
-
     
8.50
%
   
8.50
%
3/30/2018
 
$
4,251,368
     
4,251,368
     
4,251,368
     
0.31
%
  B
 
                                               
23,499,919
     
17,270,348
     
1.26
%
      
Retail                
                                
Bon-Ton, Inc.
 
First Lien Tranche A-1 Revolver
 
LIBOR (Q)
   
1.00
%
   
9.50
%
   
10.50
%
3/15/2021
 
$
4,432,934
     
4,348,162
     
4,388,605
     
0.32
%
      
Gander Mountain Company
 
Second Lien Term Loan
 
LIBOR (M)
   
-
     
9.50
%
   
10.44
%
6/15/2018
 
$
14,740,910
     
14,618,096
     
14,749,754
     
1.08
%
      
The Gymboree Corporation
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
10.25
%
   
11.18
%
9/24/2020
 
$
12,857,349
     
12,618,039
     
13,050,209
     
0.95
%
      
Kenneth Cole Productions, Inc.
 
First Lien FILO Term Loan
 
LIBOR (M)
   
1.00
%
   
8.50
%
   
9.50
%
9/25/2020
 
$
20,672,789
     
20,491,699
     
20,879,517
     
1.53
%
      
                                               
52,075,996
     
53,068,085
     
3.88
%
      
Satellite Telecommunications              
                                
Avanti Communications Group, PLC (United Kingdom)
 
Sr Secured Notes
 
Fixed
   
-
     
10.00
%
   
10.00
%
10/1/2019
 
$
9,393,000
     
9,393,000
     
5,665,153
     
0.41
%
 
E/G/H
 
                                                                          
Scientific Research and Development Services             
                                
Envigo Holdings, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.50
%
11/3/2021
 
$
35,192,124
     
34,499,517
     
34,796,212
     
2.54
%
      
                                                                          
Software Publishing               
                                
Acronis International GmbH (Switzerland)
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
11.50
%
   
12.50
%
6/9/2017
 
$
28,336,513
     
28,329,478
     
28,165,077
     
2.06
%
  H
 
ArcServe (USA), LLC
 
Second Lien Term Loan
 
LIBOR (Q)
   
0.50
%
 
8.5% Cash
+ 1.25% PIK
   
10.75
%
1/31/2020
 
$
30,222,833
     
29,851,330
     
28,893,029
     
2.11
%
      
Autoalert, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
0.25
%
 
5.75% Cash
+ 3% PIK
   
9.63
%
3/31/2019
 
$
35,627,947
     
35,263,561
     
35,538,877
     
2.60
%
      
Mapp Digital US, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
9.50
%
   
10.35
%
12/31/2017
 
$
5,837,798
     
5,754,455
     
5,823,203
     
0.43
%
      
Edmentum, Inc.
 
Jr Revolving Facility
 
Fixed
   
-
     
5.00
%
   
5.00
%
6/9/2020
 
$
-
     
-
     
-
     
-
    B
 
Edmentum Ultimate Holdings, LLC
 
Sr PIK Notes
 
Fixed
   
-
     
8.50
%
   
8.50
%
6/9/2020
 
$
2,846,243
     
2,846,243
     
2,846,246
     
0.21
%
  B
 
Edmentum Ultimate Holdings, LLC
 
Jr PIK Notes
 
Fixed
   
-
     
10.00
%
   
10.00
%
6/9/2020
 
$
13,040,391
     
12,539,980
     
12,101,483
     
0.88
%
  B
 
Fidelis Acquisitionco, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
 
6.0% Cash
+ 2.0% PIK
   
9.00
%
11/4/2019
 
$
42,565,572
     
41,986,034
     
42,991,228
     
3.14
%
      
Fidelis Acquisitionco, LLC
 
Sr Secured Revolver
 
LIBOR (Q)
   
1.00
%
   
8.00
%
   
9.00
%
11/4/2019
 
$
3,182,143
     
3,182,143
     
3,213,964
     
0.24
%
      
Newscycle Solutions, Inc.
 
Second Lien Term Loan
 
LIBOR (Q)
   
-
     
13.00
%
   
13.95
%
9/10/2021
 
$
11,513,361
     
11,196,782
     
11,334,905
     
0.83
%
      
Newscycle Solutions AB (Sweden)
 
Second Lien Term Loan B
 
LIBOR (Q)
   
-
     
13.00
%
   
13.95
%
9/10/2021
 
$
11,513,362
     
11,196,782
     
11,334,905
     
0.83
%
  H
 
Soasta, Inc.
 
Senior Secured 1st Lien Term Loan (4.0% Exit Fee)
 
LIBOR (M)
   
-
     
9.56
%
   
10.50
%
4/1/2019
 
$
17,880,435
     
17,783,558
     
19,037,299
     
1.39
%
  K
 
Soasta, Inc.
 
Convertible Promissory Note
 
Fixed
   
-
     
10.00
%
   
10.00
%
12/16/2017
 
$
2,282,609
     
2,282,609
     
5,504,054
     
0.40
%
      
Utilidata, Inc.
 
First Lien Delayed Draw Term Loan (1.0% Exit Fee)
 
LIBOR (M)
   
0.62
%
   
9.88
%
   
10.69
%
1/1/2019
 
$
3,200,000
     
3,135,670
     
3,080,000
     
0.23
%
  K
 
                                               
205,348,625
     
209,864,270
     
15.35
%
      
Textile Furnishings Mills                  
                              
Lexmark Carpet Mills, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
10.00
%
   
11.00
%
12/19/2019
 
$
22,804,525
     
22,804,525
     
22,827,329
     
1.67
%
      
Lexmark Carpet Mills, Inc.
 
First Lien Term Loan B
 
LIBOR (Q)
   
1.00
%
   
10.00
%
   
11.00
%
12/19/2019
 
$
7,822,482
     
7,681,925
     
7,830,304
     
0.57
%
      
                                               
30,486,450
     
30,657,633
     
2.24
%
      
Utility System Construction                   
                              
Kawa Solar Holdings Limited (Cayman Islands)
 
Bank Guarantee Credit Facility
 
Fixed
   
-
   
8.2% Cash
+ 3.5% PIK
   
11.70
%
7/2/2017
 
$
21,276,420
     
21,276,420
     
21,276,653
     
1.56
%
 
F/H
 
Kawa Solar Holdings Limited (Cayman Islands)
 
Revolving Credit Facility
 
Fixed
   
-
     
8.20
%
   
8.20
%
7/2/2017
 
$
4,000,000
     
4,000,000
     
4,000,000
     
0.29
%
 
F/H
 
                                               
25,276,420
     
25,276,653
     
1.85
%
      
Wholesalers                 
                              
NILCO, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
9.50
%
   
10.50
%
9/1/2021
 
$
21,023,109
     
20,424,799
     
21,601,245
     
1.58
%
      
                                                                          
Wired Telecommunications Carriers                 
                            
Alpheus Communications, LLC
 
First Lien Delayed Draw FILO Term Loan
 
LIBOR (M)
   
1.00
%
   
7.42
%
   
8.53
%
5/31/2018
 
$
332,044
     
328,743
     
326,682
     
0.02
%
      
Alpheus Communications, LLC
 
First Lien Delayed Draw FILO Term Loan
 
LIBOR (M)
   
1.00
%
   
7.42
%
   
8.66
%
5/31/2018
 
$
1,355,968
     
1,346,859
     
1,328,296
     
0.10
%
      
Alpheus Communications, LLC
 
First Lien FILO Term Loan
 
LIBOR (M)
   
1.00
%
   
7.42
%
   
8.42
%
5/31/2018
 
$
7,255,721
     
7,183,589
     
7,139,992
     
0.52
%
      
Integra Telecom Holdings, Inc.
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.25
%
   
8.50
%
   
9.75
%
2/22/2020
 
$
13,231,193
     
13,084,285
     
13,313,989
     
0.97
%
  G
 
U.S. TelePacific Corp.
 
First Lien Notes
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.50
%
2/24/2021
 
$
10,000,000
     
9,715,362
     
10,000,000
     
0.73
%
      
                                               
31,658,838
     
32,108,959
     
2.34
%
      
Wireless Telecommunications Carriers                
                                
Gogo, LLC
 
Sr Secured Notes
 
Fixed
   
-
     
12.50
%
   
12.50
%
7/1/2022
 
$
10,000,000
     
10,000,000
     
10,900,000
     
0.80
%
 
E/G
 
                                                                          
Total Debt Investments                
     
1,254,861,949
     
1,248,887,808
     
91.25
%
      

TCP Capital Corp.

Consolidated Schedule of Investments (Continued)

December 31, 2016
 
Issuer
 
Instrument
 
Ref
 
Floor
   
Spread
   
Total Coupon
 
Maturity
 
Shares
   
Cost
   
Fair
Value
   
% of Total
Cash and
Investments
   
Notes
 
                                                           
Equity Securities    
             
Advertising and Public Relations Services                    
             
InMobi, Inc. (Singapore)
 
Warrants to Purchase Stock
                                 
562,496
   
$
230,569
   
$
87,356
     
0.01
%
 
C/E/H
 
                                                                         
Air Transportation                       
                 
Aircraft Leased to United Airlines, Inc.
                                                                       
United N659UA-767, LLC (N659UA)
 
Trust Beneficial Interests
                                 
683
     
3,250,956
     
3,191,938
     
0.23
%
 
E/F
 
United N661UA-767, LLC (N661UA)
 
Trust Beneficial Interests
                                 
688
     
3,376,251
     
3,266,101
     
0.24
%
 
E/F
 
Epic Aero, Inc. (One Sky)
 
Warrants to Purchase Common Stock
                                 
1,843
     
855,313
     
1,909,600
     
0.14
%
 
C/E
 
                                               
7,482,520
     
8,367,639
     
0.61
%
      
Business Support Services                       
                  
Findly Talent, LLC
 
Membership Units
                                 
708,229
     
230,938
     
143,133
     
0.01
%
 
C/E
 
STG-Fairway Holdings, LLC (First Advantage)
 
Class A Units
                                 
841,479
     
325,432
     
1,112,351
     
0.08
%
 
C/E
 
                                               
556,370
     
1,255,484
     
0.09
%
      
Chemicals                       
                  
Green Biologics, Inc.
 
Warrants to Purchase Stock
                                 
909,300
     
274,213
     
875
     
-
   
C/E
 
Nanosys, Inc.
 
Warrants to Purchase Common Stock
                                 
800,000
     
605,266
     
611,920
     
0.05
%
 
C/E
 
                                               
879,479
     
612,795
     
0.05
%
      
Communications Equipment Manufacturing                       
                  
Wasserstein Cosmos Co-Invest, L.P. (Globecomm)
 
Limited Partnership Units
                                 
5,000,000
     
5,000,000
     
1,530,000
     
0.11
%
 
B/C/E
 
                                                                          
Computer Systems Design and Related Services                     
                  
Waterfall International, Inc.
 
Series B Preferred Stock
                                 
1,428,571
     
1,000,000
     
1,145,286
     
0.08
%
 
C/E
 
Waterfall International, Inc.
 
Warrants to Purchase Stock
                                 
920,000
     
89,847
     
175,168
     
0.01
%
 
C/E
 
                                               
1,089,847
     
1,320,454
     
0.09
%
      
Data Processing and Hosting Services                      
                  
Anacomp, Inc.
 
Class A Common Stock
                                 
1,255,527
     
26,711,048
     
1,205,306
     
0.09
%
 
C/E/F
 
Rightside Group, Ltd.
 
Warrants
                                 
498,855
     
2,778,622
     
366,489
     
0.03
%
 
C/E
 
                                               
29,489,670
     
1,571,795
     
0.12
%
      
Electrical Equipment Manufacturing                    
                  
NEXTracker, Inc.
 
Series B Preferred Stock
                                 
558,884
     
-
     
1,727,622
     
0.13
%
  E
 
NEXTracker, Inc.
 
Series C Preferred Stock
                                 
17,640
     
-
     
54,525
     
-
    E
 
                                               
-
     
1,782,147
     
0.13
%
      
Electronic Component Manufacturing                     
                  
Soraa, Inc.
 
Warrants to Purchase Common Stock
                                 
3,071,860
     
478,899
     
5,222
     
-
   
C/E
 
                                                                          
Equipment Leasing                      
                  
36th Street Capital Partners Holdings, LLC
 
Membership Units
                                 
6,818,897
     
6,818,897
     
6,818,897
     
0.50
%
 
C/E/F
 
Essex Ocean II, LLC
 
Membership Units
                                 
199,430
     
103,398
     
159,045
     
0.01
%
 
C/E/F
 
                                              
6,922,295
     
6,977,942
     
0.51
%
      
Financial Investment Activities                       
                  
GACP I, LP
Membership Units                                  
16,615,951
     
16,735,088
     
16,866,903
     
1.23
%
 
C/E/I
 
Marsico Holdings, LLC
 
Common Interest Units
                                 
168,698
     
172,694
     
1,687
     
-
   
C/E/I
 
                                               
16,907,782
     
16,868,590
     
1.23
%
      
Metal and Mineral Mining
                  
EPMC HoldCo, LLC
 
Membership Units
                                 
1,312,720
     
-
     
210,035
     
0.02
%
 
B/E
 
                                                                          
Motion Picture and Video Industries
                  
NEG Parent, LLC
 
Class A Units
                                 
1,182,779
     
1,235,194
     
1,292,023
     
0.09
%
 
C/E
 
NEG Parent, LLC
 
Class P Units
                                 
1,537,613
     
1,537,613
     
1,551,056
     
0.11
%
 
C/E
 
NEG Parent, LLC
 
Class A Warrants to Purchase Class A Units
                                 
343,387
     
196,086
     
196,086
     
0.01
%
 
C/E
 
NEG Parent, LLC
 
Class B Warrants to Purchase Class A Units
                                 
346,794
     
198,032
     
198,032
     
0.02
%
 
C/E
 
                                               
3,166,925
     
3,237,197
     
0.23
%
      
Other Information Services   
                  
SoundCloud, Ltd. (United Kingdom)
 
Warrants to Purchase Preferred Stock
                                 
946,498
     
79,082
     
95,502
     
0.01
%
 
C/E/H
 
                                                                          
Other Manufacturing 
                  
AGY Holding Corp.
 
Common Stock
                                 
1,333,527
     
-
     
-
     
-
   
B/C/E
 
Boomerang Tube Holdings, Inc.
 
Common Stock
                                 
24,288
     
243
     
-
     
-
   
C/E
 
KAGY Holding Company, Inc.
 
Series A Preferred Stock
                                 
9,778
     
1,091,200
     
4,607,246
     
0.34
%
 
B/C/E
 
                                             
1,091,443
     
4,607,246
     
0.34
%
      
Radio and Television Broadcasting                     
                  
Fuse Media, LLC
 
Warrants to Purchase Common Stock
                                 
233,470
     
300,322
     
-
     
-
   
C/E
 
                                                                          
Restaurants               
                  
RM Holdco, LLC (Real Mex)
 
Equity Participation
                                 
24
     
-
     
-
     
-
   
B/C/E
 
RM Holdco, LLC (Real Mex)
 
Membership Units
                                 
13,161,000
     
2,010,777
     
-
     
-
   
B/C/E
 
                                             
2,010,777
     
-
     
-
        
Retail
                  
Shop Holding, LLC (Connexity)
 
Class A Units
                                 
507,167
     
480,049
     
-
     
-
   
C/E
 


TCP Capital Corp.

Consolidated Schedule of Investments (Continued)

December 31, 2016
 
Issuer
 
Instrument
 
Ref
 
Floor
   
Spread
   
Total Coupon
 
Maturity
 
Shares
   
Cost
   
Fair
Value
   
% of Total
Cash and
Investments
   
Notes
 
                                                           
Equity Securities (continued)
                 
Software Publishing            
                 
Blackline Intermediate, Inc.
 
Warrants to Purchase Common Stock
                                 
246,546
   
$
522,678
   
$
5,300,373
     
0.39
%
 
C/E
 
Edmentum Ultimate Holdings, LLC
 
Class A Common Units
                                 
159,515
     
680,226
     
1,123,591
     
0.08
%
 
B/C/E
 
Soasta, Inc.
 
Warrants to Purchase Series F Preferred Stock
                                 
1,251,630
     
533,192
     
794,535
     
0.06
%
 
C/E
 
Utilidata, Inc.
 
Warrants to Purchase Stock
                                 
719,998
     
216,336
     
204,983
     
0.01
%
 
C/E
 
                                               
1,952,432
     
7,423,482
     
0.54
%
      
Utility System Construction                  
                        
Kawa Solar Holdings Limited (Cayman Islands)
 
Ordinary Shares
                                 
2,332,594
     
-
     
-
     
-
   
C/E/F/H
 
Kawa Solar Holdings Limited (Cayman Islands)
 
Series B Preferred Shares
                                 
93,023
     
1,395,349
     
1,395,350
     
0.10
%
 
C/E/F/H
 
                                               
1,395,349
     
1,395,350
     
0.10
%
      
Wired Telecommunications Carriers                    
                        
Integra Telecom, Inc.
 
Common Stock
                                 
1,274,522
     
8,433,884
     
6,533,964
     
0.48
%
 
C/E
 
Integra Telecom, Inc.
 
Warrants
                                 
346,939
     
19,920
     
-
     
-
   
C/E
 
V Telecom Investment S.C.A. (Vivacom) (Luxembourg)
 
Common Shares
                                 
1,393
     
3,236,256
     
2,199,862
     
0.16
%
 
C/D/E/H
 
                                               
11,690,060
     
8,733,826
     
0.64
%
      
                                                                          
Total Equity Securities              
     
91,203,870
     
66,082,062
     
4.83
%
      
                                                                          
Total Investments               
   
$
1,346,065,819
   
$
1,314,969,870
                
                                                                          
Cash and Cash Equivalents
                                
Cash Held on Account at Various Institutions
                                   
 
           
53,579,868
     
3.92
%
      
Cash and Cash Equivalents             
           
53,579,868
     
3.92
%
      
                                                                          
Total Cash and Investments                 
   
$
1,368,549,738
     
100.00
%
  L
 
 
Notes to Consolidated Schedule of Investments:

(A)
Investments in bank debt generally are bought and sold among institutional investors in transactions not subject to registration under the Securities Act of 1933. Such transactions are generally subject to contractual restrictions, such as approval of the agent or borrower.

(B)
Non-controlled affiliate – as defined under the Investment Company Act of 1940 (ownership of between 5% and 25% of the outstanding voting  securities of this issuer). See Consolidated Schedule of Changes in Investments in Affiliates.

(C)
Non-income producing security.

(D)
Investment denominated in foreign currency.  Amortized cost and fair value converted from foreign currency to US dollars. Foreign currency denominated investments are generally hedged for currency exposure.

(E)
Restricted security. (See Note 2)

(F)
Controlled issuer – as defined under the Investment Company Act of 1940 (ownership of 25% or more of the outstanding voting securities of this issuer). Investment is not more than 50% of the outstanding voting securities of the issuer nor deemed to be a significant subsidiary.  See Consolidated Schedule of Changes in Investments in Affiliates.

(G)
Investment has been segregated to collateralize certain unfunded commitments.

(H)
Non-U.S. company or principal place of business outside the U.S. and as a result the investment is not a qualifying asset under Section 55(a) of the Investment Company Act. Under the Investment Company Act, the Company may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of the Company's total assets.

(I)
Deemed an investment company under Section 3(c) of the Investment Company Act and as a result the investment is not a qualifying asset under Section 55(a) of the Investment Company Act.  Under the Investment Company Act, the Company may not acquire any non-qualifying asset unless, at the time such acquisition is made, qualifying assets represent at least 70% of the Company's total assets.

(J)
Negative balances relate to an unfunded commitment that was acquired and/or valued at a discount.

(K)
In addition to the stated coupon, investment has an exit fee payable upon repayment of the loan in an amount equal to the percentage of the original principal amount shown.

(L)
All cash and investments, except those referenced in Notes G above, are pledged as collateral under certain debt as described in Note 4 to the Consolidated Financial Statements.
 
LIBOR or EURIBOR resets monthly (M), quarterly (Q), semiannually (S), or annually (A).
 
Aggregate acquisitions and aggregate dispositions of investments, other than government securities, totaled $587,219,129 and $473,457,512, respectively, for the year ended December 31, 2016. Aggregate acquisitions includes investment assets received as payment in kind.  Aggregate dispositions includes principal paydowns on and maturities of debt investments.  The total value of restricted securities and bank debt as of December 31, 2016 was $1,311,625,473 or 96.1% of total cash and investments of the Company.  As of December 31, 2016, approximately 16.4% of the total assets of the Company were not qualifying assets under Section 55(a) of the 1940 Act.
 
See accompanying notes to the consolidated financial statements.


TCP Capital Corp.

Consolidated Statements of Operations (Unaudited)
 
   
Three Months Ended March 31,
 
   
2017
   
2016
 
Investment income            
Interest income:
           
Companies less than 5% owned
 
$
35,418,453
   
$
30,810,782
 
Companies 5% to 25% owned
   
1,726,423
     
1,532,728
 
Companies more than 25% owned
   
1,635,334
     
531,013
 
Lease income:
               
Companies more than 25% owned
   
74,457
     
776,071
 
Other income:
               
Companies less than 5% owned
   
488,347
     
938,688
 
Total investment income
   
39,343,014
     
34,589,282
 
                 
Operating expenses 
   
Interest and other debt expenses
   
7,755,027
     
5,545,281
 
Management and advisory fees
   
4,934,041
     
4,504,084
 
Administrative expenses
   
589,561
     
421,736
 
Legal fees, professional fees and due diligence expenses
   
277,721
     
502,695
 
Director fees
   
159,970
     
107,924
 
Insurance expense
   
107,960
     
100,934
 
Custody fees
   
81,887
     
80,526
 
Other operating expenses
   
554,959
     
455,723
 
Total operating expenses
   
14,461,126
     
11,718,903
 
                 
Net investment income
   
24,881,888
     
22,870,379
 
                 
Net realized and unrealized gain (loss) on investments and foreign currency    
 
Net realized gain (loss):
               
Investments in companies less than 5% owned
   
(5,087,458
)
   
(2,943,705
)
Investments in companies 5% to 25% owned
   
-
     
315,053
 
Net realized loss
   
(5,087,458
)
   
(2,628,652
)
                 
Change in net unrealized appreciation/depreciation
   
4,617,498
     
(4,194,601
)
Net realized and unrealized loss
   
(469,960
)
   
(6,823,253
)
                 
Net increase in net assets from operations
   
24,411,928
     
16,047,126
 
                 
Distributions of incentive allocation to the General Partner from:
               
Net investment income
   
(4,976,378
)
   
(4,574,076
)
                 
Net increase in net assets applicable to common shareholders resulting from operations
 
$
19,435,550
   
$
11,473,050
 
                 
Basic and diluted earnings per common share
 
$
0.37
   
$
0.24
 
                 
Basic and diluted weighted average common shares outstanding
   
53,041,902
     
48,746,521
 
 
TCP Capital Corp.

Consolidated Statements of Changes in Net Assets (Unaudited)
 
   
Common Stock
   
Paid in Capital
in Excess of Par
     Accumulated
 Net Investment
Income
     Accumulated
 Net Realized
Losses
     Accumulated
 Net Unrealized
Depreciation
   
Total Net
Assets
 
   
Shares
   
Par Amount
                     
Balance at December 31, 2015    
48,834,734
   
$
48,834
   
$
878,383,356
   
$
22,261,793
   
$
(132,483,593
)
 
$
(46,233,373
)
 
$
721,977,017
 
                                                         
Issuance of common stock in public offering, net
   
2,336,552
     
2,337
     
34,956,233
     
-
     
-
     
-
     
34,958,570
 
Issuance of common stock from conversion of convertible debt
   
2,011,900
     
2,012
     
30,216,726
     
-
     
-
     
-
     
30,218,738
 
Issuance of common stock from dividend reinvestment plan
   
610
     
-
     
9,657
     
-
     
-
     
-
     
9,657
 
Equity component of issuance of convertible debt
   
-
     
-
     
3,309,596
     
-
     
-
     
-
     
3,309,596
 
Repurchase of common stock
   
(141,896
)
   
(141
)
   
(1,879,407
)
   
-
     
-
     
-
     
(1,879,548
)
Net investment income
   
-
     
-
     
-
     
95,253,322
     
-
     
-
     
95,253,322
 
Net realized and unrealized loss
   
-
     
-
     
-
     
-
     
(15,002,148
)
   
15,116,650
     
114,502
 
General Partner incentive allocation
   
-
     
-
     
-
     
(19,050,665
)
   
-
     
-
     
(19,050,665
)
Regular dividends paid to common shareholders
   
-
     
-
     
-
     
(73,975,198
)
   
-
     
-
     
(73,975,198
)
Tax reclassification of stockholders' equity in accordance with generally accepted accounting principles
   
-
     
-
     
(569,511
)
   
(11,955,963
)
   
12,525,474
     
-
     
-
 
 Balance at December 31, 2016    
53,041,900
   
$
53,042
   
$
944,426,650
   
$
12,533,289
   
$
(134,960,267
)
 
$
(31,116,723
)
 
$
790,935,991
 
                                                         
Issuance of common stock from dividend reinvestment plan
   
147
     
-
     
2,564
     
-
     
-
     
-
     
2,564
 
Net investment income
   
-
     
-
     
-
     
24,881,888
     
-
     
-
     
24,881,888
 
Net realized and unrealized loss
   
-
     
-
     
-
     
-
     
(5,087,458
)
   
4,617,498
     
(469,960
)
General Partner incentive allocation
   
-
     
-
     
-
     
(4,976,378
)
   
-
     
-
     
(4,976,378
)
Regular dividends paid to common shareholders
   
-
     
-
     
-
     
(19,095,084
)
   
-
     
-
     
(19,095,084
)
 Balance at March 31, 2017    
53,042,047
   
$
53,042
   
$
944,429,214
   
$
13,343,715
   
$
(140,047,725
)
 
$
(26,499,225
)
 
$
791,279,021
 
 
TCP Capital Corp.

Consolidated Statements of Cash Flows (Unaudited)

   
Three Months Ended March 31,
 
   
2017
   
2016
 
Operating activities
           
Net increase in net assets applicable to common shareholders resulting from operations
 
$
19,435,550
   
$
11,473,050
 
Adjustments to reconcile net increase in net assets applicable to common shareholders resulting from operations to net cash used in operating activities:
               
Net realized loss
   
5,087,458
     
2,628,652
 
Change in net unrealized appreciation/depreciation of investments
   
(4,617,449
)
   
4,197,741
 
Net amortization of investment discounts and premiums
   
(4,313,547
)
   
(2,490,749
)
Amortization of original issue discount on convertible debt
   
249,039
     
107,594
 
Interest and dividend income paid in kind
   
(3,508,567
)
   
(1,701,577
)
Amortization of deferred debt issuance costs
   
827,718
     
631,010
 
Changes in assets and liabilities:
               
Purchases of investment securities
   
(136,284,513
)
   
(112,636,204
)
Proceeds from sales, maturities and pay downs of investments
   
117,033,249
     
66,139,802
 
Decrease (increase) in accrued interest income - companies less than 5% owned
   
2,282,423
     
(1,190,865
)
Increase in accrued interest income - companies 5% to 25% owned
   
(430,233
)
   
(1,011,550
)
Decrease (increase) in accrued interest income - companies more than 25% owned
   
7,275
     
(480,715
)
Decrease in prepaid expenses and other assets
   
265,980
     
1,096,429
 
Decrease in payable for investments purchased
   
(10,292,325
)
   
(1,139,843
)
Increase (decrease) in incentive allocation payable
   
259,544
     
(633,530
)
Increase (decrease) in interest payable
   
(342,150
)
   
1,240,132
 
Increase in payable to the Advisor
   
200,077
     
174,636
 
Decrease in accrued expenses and other liabilities
   
(382,381
)
   
(1,002,556
)
Net cash used in operating activities
   
(14,522,852
)
   
(34,598,543
)
                 
Financing activities
               
Borrowings
   
84,000,000
     
101,700,000
 
Repayments of debt
   
(48,000,000
)
   
(60,500,000
)
Payments of debt issuance costs
   
-
     
(150,350
)
Regular dividends paid to common shareholders
   
(19,095,084
)
   
(17,530,963
)
Repurchase of common shares
   
-
     
(1,860,737
)
Proceeds from shares issued in connection with dividend reinvestment plan
   
2,564
     
2,291
 
Net cash provided by financing activities
   
16,907,480
     
21,660,241
 
                 
Net increase (decrease) in cash and cash equivalents
   
2,384,628
     
(12,938,302
)
Cash and cash equivalents at beginning of period
   
53,579,868
     
35,629,435
 
Cash and cash equivalents at end of period
 
$
55,964,496
   
$
22,691,133
 
                 
Supplemental cash flow information
               
Interest payments
 
$
6,628,691
   
$
3,345,864
 
Excise tax payments
 
$
528,603
   
$
877,879
 
 
See accompanying notes to the consolidated financial statements.

TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited)
 
March 31, 2017
 
1. Organization and Nature of Operations

TCP Capital Corp. (the “Company”) is a Delaware corporation formed on April 2, 2012 as an externally managed, closed-end, non-diversified management investment company. The Company elected to be treated as a business development company (“BDC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). The Company’s investment objective is to achieve high total returns through current income and capital appreciation, with an emphasis on principal protection. The Company invests primarily in the debt of middle-market companies as well as small businesses, including senior secured loans, junior loans, mezzanine debt and bonds. Such investments may include an equity component, and, to a lesser extent, the Company may make equity investments directly. The Company was formed through the conversion on April 2, 2012 of the Company’s predecessor, Special Value Continuation Fund, LLC, from a limited liability company to a corporation in a non-taxable transaction, leaving the Company as the surviving entity. On April 3, 2012, the Company completed its initial public offering.

Investment operations are conducted in Special Value Continuation Partners, LP, a Delaware limited partnership (the “Operating Company”), of which the Company owns 100% of the common limited partner interests, or in one of the Operating Company’s wholly owned subsidiaries, TCPC Funding I, LLC, a Delaware limited liability company (“TCPC Funding”), and TCPC SBIC, LP, a Delaware limited partnership (the “SBIC”). The Operating Company has also elected to be treated as a BDC under the 1940 Act. The SBIC was organized in June 2013, and, on April 22, 2014, received a license from the United States Small Business Administration (the “SBA”) to operate as a small business investment company under the provisions of Section 301(c) of the Small Business Investment Act of 1958. These consolidated financial statements include the accounts of the Company, the Operating Company, TCPC Funding and the SBIC. All significant intercompany transactions and balances have been eliminated in the consolidation.

The Company has elected to be treated as a regulated investment company (“RIC”) for U.S. federal income tax purposes. As a RIC, the Company will not be taxed on its income to the extent that it distributes such income each year and satisfies other applicable income tax requirements. The Operating Company, TCPC Funding, and the SBIC have elected to be treated as partnerships for U.S. federal income tax purposes.

The general partner of the Operating Company is Series H of SVOF/MM, LLC, which also serves as the administrator of both the Company and the Operating Company (the “Administrator” or the “General Partner”). The managing member of the General Partner is Tennenbaum Capital Partners, LLC (the “Advisor”), which serves as the investment manager to the Company, the Operating Company, TCPC Funding, and the SBIC. Most of the equity interests in the General Partner are owned directly or indirectly by the Advisor and its employees.

Company management consists of the Advisor and the Company’s board of directors. Operating Company management consists of the General Partner and the Operating Company’s board of directors. The Advisor and the General Partner direct and execute the day-to-day operations of the Company and the Operating Company, respectively, subject to oversight from the respective board of directors, which sets the broad policies of the respective entity and performs certain functions required by the 1940 Act in the case of the Operating Company. The board of directors of the Operating Company has delegated investment management of the Operating Company’s assets to the Advisor. Each board of directors consists of eight persons, six of whom are independent.

2. Summary of Significant Accounting Policies

Basis of Presentation

The consolidated financial statements of the Company have been prepared in accordance with accounting principles generally accepted in the United States (“GAAP”). The Company is an investment company following accounting and reporting guidance in Accounting Standards Codification (“ASC”) Topic 946, Financial Services – Investment Companies. The Company has consolidated the results of its wholly owned subsidiaries in its consolidated financial statements in accordance with ASC Topic 946. The following is a summary of the significant accounting policies of the Company and the Operating Company.

TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
2. Summary of Significant Accounting Policies – (continued)

Use of Estimates

The preparation of the consolidated financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the consolidated financial statements, as well the reported amounts of revenues and expenses during the reporting periods presented. Although management believes these estimates and assumptions to be reasonable, actual results could differ from those estimates and such differences could be material.

Investment Valuation

The Company’s investments are generally held by the Operating Company, either directly or through either TCPC Funding or the SBIC. Management values investments at fair value in accordance with GAAP, based upon the principles and methods of valuation set forth in policies adopted by the board of directors. Fair value is generally defined as the amount for which an investment would be sold in an orderly transaction between market participants at the measurement date.

All investments are valued at least quarterly based on quotations or other affirmative pricing from independent third-party sources, with the exception of investments priced directly by the Advisor which in the aggregate comprise less than 5% of the capitalization of the Operating Company. Investments listed on a recognized exchange or market quotation system, whether U.S. or foreign, are valued using the closing price on the date of valuation.

Investments not listed on a recognized exchange or market quotation system, but for which reliable market quotations are readily available are valued using prices provided by a nationally recognized pricing service or by using quotations from broker-dealers.

Investments for which market quotations are either not readily available or are determined to be unreliable are priced at fair value using affirmative valuations performed by independent valuation services approved by the board of directors or, for investments aggregating less than 5% of the total capitalization of the Operating Company, using valuations determined directly by the Advisor. Such valuations are determined under a documented valuation policy that has been reviewed and approved by the board of directors.

Pursuant to this policy, the Advisor provides recent portfolio company financial statements and other reporting materials to independent valuation firms as applicable, which firms evaluate such materials along with relevant observable market data to conduct independent appraisals each quarter, and their preliminary valuation conclusions are documented and discussed with senior management of the Advisor. The audit committee of the board of directors discusses the valuations, and the board of directors approves the fair value of the investments in good faith based on the input of the Advisor, the respective independent valuation firms as applicable, and the audit committee of the board of directors.

Generally, to increase objectivity in valuing the investments, the Advisor will utilize external measures of value, such as public markets or third-party transactions, whenever possible. The Advisor’s valuation is not based on long-term work-out value, immediate liquidation value, nor incremental value for potential changes that may take place in the future. The values assigned to investments are based on available information and do not necessarily represent amounts that might ultimately be realized, as these amounts depend on future circumstances and cannot reasonably be determined until the individual investments are liquidated. The foregoing policies apply to all investments, including any in companies and groups of affiliated companies aggregating more than 5% of the Company’s assets.

Fair valuations of investments in each asset class are determined using one or more methodologies including the market approach, income approach, or, in the case of recent investments, the cost approach, as appropriate. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable assets. Such information may include observed multiples of earnings and/or revenues at which transactions in securities of comparable companies occur, with appropriate adjustments for differences in company size, operations or other factors affecting comparability.

TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
2. Summary of Significant Accounting Policies – (continued)

The income approach uses valuation techniques to convert future amounts (for example, cash flows or earnings) to a single present value amount (discounted). The measurement is based on the value indicated by current market expectations about those future amounts. The discount rates used for such analyses reflect market yields for comparable investments, considering such factors as relative credit quality, capital structure, and other factors.

In following these approaches, the types of factors that may be taken into account also include, as relevant: available current market data, including relevant and applicable market trading and transaction comparables, security covenants, call protection provisions, information rights, the nature and realizable value of any collateral, the portfolio company’s ability to make payments, its earnings and cash flows, the markets in which the portfolio company does business, comparisons of financial ratios of peer companies that are public, merger and acquisition comparables, comparable costs of capital, the principal market in which the investment trades and enterprise values, among other factors.

Investments may be categorized based on the types of inputs used in valuing such investments. The level in the GAAP valuation hierarchy in which an investment falls is based on the lowest level input that is significant to the valuation of the investment in its entirety. Transfers between levels are recognized as of the beginning of the reporting period.

At March 31, 2017, the Company’s investments were categorized as follows:
Level
 
Basis for Determining Fair Value
 
Bank Debt
   
Other
Corporate Debt
   
Equity
Securities
 
 
1
 
Quoted prices in active markets for identical assets           
 
$
   
$
   
$
40,032
 
 
2
 
Other direct and indirect observable market inputs *
   
82,368,710
     
19,726,902
     
 
 
3
 
Independent third-party valuation sources that employ significant unobservable inputs
   
1,067,034,003
     
104,393,541
     
61,792,694
 
 
3
 
Advisor valuations with significant unobservable inputs
   
84,659
     
     
3,069,245
 
Total
     
$
1,149,487,372
   
$
124,120,443
   
$
64,901,971
 
 

*
For example, quoted prices in inactive markets or quotes for comparable investments

Unobservable inputs used in the fair value measurement of Level 3 investments as of March 31, 2017 included the following:

Asset Type
 
Fair Value
 
Valuation Technique
   
Unobservable Input
 
Range (Weighted Avg.)
   
Bank Debt
 
$
884,784,691
 
Income approach
   
Discount rate
 
5.9% – 21.1% (12.0%)
   
     
127,803,104
 
Market quotations
   
Indicative bid/ask quotes
 
1 – 2 (1)
   
     
25,733,093
 
Market comparable companies
   
Revenue multiples
 
0.4x – 3.0x (1.3x)
   
     
28,797,774
 
Market comparable companies
   
EBITDA multiples
 
7.3x – 10.8x (8.4x)
   
Other Corporate Debt
   
2,088,855
 
Income approach
   
Discount rate
 
20.0% (20.0%)
   
     
90,947,831
 
Market quotations
   
Indicative bid/ask quotes
 
1 – 7 (3)
   
     
11,356,855
 
Market comparable companies
   
EBITDA multiples
 
7.5x – 10.5x (8.0x)
   
Equity
   
6,251,775
 
Income approach
   
Discount rate
 
5.2% (5.2%)
   
     
40,709,651
 
Market quotations
   
Indicative bid/ask quotes
 
1(1)
   
     
3,847,176
 
Market comparable companies
   
Revenue multiples
 
0.3x – 3.5x (2.0x)
   
     
14,053,337
 
Market comparable companies
   
EBITDA multiples
 
3.4x – 10.8x (8.5x)
   
   
$
1,236,374,142
               


TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
2. Summary of Significant Accounting Policies – (continued)

Generally, a change in an unobservable input may result in a change to the value of an investment as follows:

Input
   
Impact to Value if
Input Increases
   
Impact to Value if
Input Decreases
 
Discount rate
   
Decrease
   
Increase
 
Revenue multiples
   
Increase
   
Decrease
 
EBITDA multiples
   
Increase
   
Decrease
 
 
Changes in investments categorized as Level 3 during the three months ended March 31, 2017 were as follows:
 
         
   
Independent Third-Party Valuation
   
   
Bank Debt
 
Other
Corporate Debt
 
Equity
Securities
   
Beginning balance
 
$
1,036,044,457
   
$
101,934,853
   
$
64,521,901
   
Net realized and unrealized gains (losses)
   
(2,372,273
)
   
(2,281,934
)
   
3,011,057
   
Acquisitions *
   
130,716,787
     
5,740,622
     
6,574,305
   
Dispositions
   
(86,461,034
)
   
(1,000,000
)
   
(10,532,422
)
 
Transfers out of Level 3
   
(10,893,934
)
   
     
   
Reclassifications within Level 3
   
     
     
(1,782,147
)
 
Ending balance
 
$
1,067,034,003
   
$
104,393,541
   
$
61,792,694
   
                           
Net change in unrealized appreciation/depreciation during the period on investments still held at period end (included in net realized and unrealized gains/losses, above)
 
$
(162,178
)
 
$
(2,281,934
)
 
$
2,546,898
   
 

*
Includes payments received in kind and accretion of original issue and market discounts

Comprised of one investments that transferred to Level 2 due to increased observable market activity

Comprised of two investments that reclassified to Advisor Valuation

   
Advisor Valuation
 
   
Bank Debt
   
Other
Corporate Debt
   
Equity
Securities
 
Beginning balance
 
$
107,199
   
$
   
$
1,560,161
 
Net realized and unrealized gains (losses)
   
(678
)
   
     
(273,063
)
Acquisitions *
   
(21,862
)
   
     
 
Reclassifications within Level 3
   
     
     
1,782,147
 
Ending balance
 
$
84,659
   
$
   
$
3,069,245
 
                         
Net change in unrealized appreciation/depreciation during the period on investments still held at period end (included in net realized and unrealized gains/losses, above)
 
$
(678
)
 
$
   
$
(273,063
)
 

*
Includes payments received in kind and accretion of original issue and market discounts

Comprised of two investments that reclassified from Independent Third-Party Valuation

There were no transfers between Level 1 and 2 during the three months ended March 31, 2017.

At December 31, 2016, the Company’s investments were categorized as follows:
Level
 
Basis for Determining Fair Value
 
Bank Debt
 
Other
Corporate Debt
 
Equity
Securities
   
1
   
Quoted prices in active markets for identical assets
 
$
   
$
   
$
   
2
   
Other direct and indirect observable market inputs *
   
89,800,173
     
21,001,126
     
   
3
   
Independent third-party valuation sources that employ significant unobservable inputs
   
1,036,044,457
     
101,934,853
     
64,521,901
   
3
   
Advisor valuations with significant unobservable inputs
   
107,199
     
     
1,560,161
   
Total
       
$
1,125,951,829
   
$
122,935,979
   
$
66,082,062
   
 

*
For example, quoted prices in inactive markets or quotes for comparable investments

TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
2. Summary of Significant Accounting Policies – (continued)
Unobservable inputs used in the fair value measurement of Level 3 investments as of December 31, 2016 included the following:
 
Asset Type
 
Fair Value
 
Valuation Technique
   
Unobservable Input
 
Range (Weighted Avg.)
   
Bank Debt
 
$
847,311,244
 
Income approach
   
Discount rate
 
6.9% – 19.4% (12.1%)
   
     
136,116,277
 
Market quotations
   
Indicative bid/ask quotes
 
1 – 2 (1)
   
     
24,851,412
 
Market comparable companies
   
Revenue multiples
 
0.4x – 2.6x (1.0x)
   
     
27,872,723
 
Market comparable companies
   
EBITDA multiples
 
7.3x – 11.0x (8.4x)
   
Other Corporate Debt
   
88,163,213
 
Market quotations
   
Indicative bid/ask quotes
 
1 (1)
   
     
13,771,640
 
Market comparable companies
   
EBITDA multiples
 
7.6x – 7.8x (7.7x)
   
Equity
   
6,617,084
 
Income approach
   
Discount rate
 
7.3% – 26.2% (7.7%)
   
     
41,442,919
 
Market quotations
   
Indicative bid/ask quotes
 
1(1)
   
     
1,767,102
 
Market comparable companies
   
Revenue multiples
 
0.3x – 2.6x (1.6x)
   
     
16,254,957
 
Market comparable companies
   
EBITDA multiples
 
5.0x – 11.0x (7.7x)
   
   
$
1,204,168,571
               
 
Changes in investments categorized as Level 3 during the three months ended March 31, 2016 were as follows:
 
   
Independent Third-Party Valuation
   
   
Bank Debt
 
Other
Corporate Debt
 
Equity
Securities
   
Beginning balance
 
$
907,967,337
   
$
89,314,530
   
$
49,956,123
   
Net realized and unrealized gains (losses)
   
(500,731
)
   
(1,814,130
)
   
(1,824,669
)
 
Acquisitions *
   
96,257,687
     
9,051,348
     
6,573,744
   
Dispositions
   
(61,198,449
)
   
     
(2,910,789
)
 
Transfers into Level 3 †
   
31,716,003
     
     
   
Ending balance
 
$
974,241,847
   
$
96,551,748
   
$
51,794,409
   
                           
Net change in unrealized appreciation/depreciation during the period on investments still held at period end (included in net realized and unrealized gains/losses, above)
 
$
(323,387
)
 
$
(1,814,130
)
 
$
(1,905,613
)
 
 

*
Includes payments received in kind and accretion of original issue and market discounts

Comprised of three investments that transferred from Level 2 due to reduced trading volumes


   
Advisor Valuation
 
   
Bank Debt
   
Other
Corporate Debt
   
Equity
Securities
 
Beginning balance
 
$
1,124,504
   
$
   
$
2,428,217
 
Net realized and unrealized gains (losses)
   
(756,370
)
   
     
(71,628
)
Acquisitions *
   
1,050,297
     
     
243
 
Dispositions
   
(1,101,994
)
   
     
(315,053
)
Ending balance
 
$
316,437
   
$
   
$
2,041,779
 
                         
Net change in unrealized appreciation/depreciation during the period on investments still held at period end (included in net realized and unrealized gains/losses, above)
 
$
(714,303
)
 
$
   
$
(386,681
)
 

*
Includes payments received in kind and accretion of original issue and market discounts

There were no transfers between Level 1 and 2 during the three months ended March 31, 2016.

TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
2. Summary of Significant Accounting Policies – (continued)

Investment Transactions

Investment transactions are recorded on the trade date, except for private transactions that have conditions to closing, which are recorded on the closing date. The cost of investments purchased is based upon the purchase price plus those professional fees which are specifically identifiable to the investment transaction. Realized gains and losses on investments are recorded based on the specific identification method, which typically allocates the highest cost inventory to the basis of investments sold.

Cash and Cash Equivalents

Cash consists of amounts held in accounts with brokerage firms and the custodian bank. Cash equivalents consist of highly liquid investments with an original maturity of generally three months or less. Cash equivalents are carried at amortized cost which approximates fair value. Cash equivalents are classified as Level 1 in the GAAP valuation hierarchy.

Restricted Investments

The Company may invest without limitation in instruments that are subject to legal or contractual restrictions on resale. These instruments generally may be resold to institutional investors in transactions exempt from registration or to the public if the securities are registered. Disposal of these investments may involve time-consuming negotiations and additional expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted investments is included at the end of the Consolidated Schedule of Investments. Restricted investments, including any restricted investments in affiliates, are valued in accordance with the investment valuation policies discussed above.

Foreign Investments

The Company may invest in instruments traded in foreign countries and denominated in foreign currencies. Foreign currency denominated investments comprised approximately 0.2% and 0.2% of total investments at March 31, 2017 and December 31, 2016, respectively. Such positions were converted at the respective closing foreign exchange rates in effect at March 31, 2017 and December 31, 2016 and reported in U.S. dollars. Purchases and sales of investments and income and expense items denominated in foreign currencies, when they occur, are translated into U.S. dollars based on the foreign exchange rates in effect on the respective dates of such transactions. The portion of gains and losses on foreign investments resulting from fluctuations in foreign currencies is included in net realized and unrealized gain or loss from investments.

Investments in foreign companies and securities of foreign governments may involve special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. government. These risks include, among other things, revaluation of currencies, less reliable information about issuers, different transaction clearance and settlement practices, and potential future adverse political and economic developments. Moreover, investments in foreign companies and securities of foreign governments and their markets may be less liquid and their prices more volatile than those of comparable U.S. companies and the U.S. government.

Derivatives

In order to mitigate certain currency exchange and interest rate risks, the Operating Company may enter into certain derivative transactions. All derivatives are reported at their gross amounts as either assets or liabilities in the Consolidated Statements of Assets and Liabilities. Transactions entered into are accounted for using the mark-to-market method with the resulting change in fair value recognized in earnings for the current period. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in interest rates and the value of foreign currencies relative to the U.S. dollar. Certain derivatives may also require the Company to pledge assets as collateral to secure its obligations. There were no derivative transactions during the three months ended March 31, 2017, and, as of March 31, 2017, no derivatives were outstanding.

TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
2. Summary of Significant Accounting Policies – (continued)

During the three months ended March 31, 2016, the Company entered into a GBP put option with a notional amount of £2.7 million.  At March 31, 2016, the Company also held an interest rate cap with a notional amount of $25.0 million and a cross currency basis swap with a notional amount of $16.4 million. The put option and interest rate cap are reported in the Consolidated Statements of Assets and Liabilities as options.  The cross currency basis swap is reported in the Consolidated Statements of Assets and Liabilities as unrealized appreciation on swaps.  Gains and losses from derivatives during the three months ended March 31, 2016 were included in net realized and unrealized loss on investments in the Consolidated Statements of Operations as follows:

Instrument
 
Realized
Gains
(Losses)
   
Unrealized
Gains
(Losses)
 
Put option
 
$
   
$
(46,965
)
Cross currency basis swap
   
     
(594,927
)
Interest rate cap
   
     
 
 
Valuations of derivatives are determined using observable market inputs other than quoted prices in active markets for identical assets and, accordingly, are classified as Level 2 in the GAAP valuation hierarchy.

Deferred Debt Issuance Costs

Costs of approximately $4.1 million were incurred in September 2016 in connection with placing the Company’s unsecured convertible notes (see Note 4). Costs of approximately $1.8 million were incurred during 2015 in connection with the extension of the Operating Company’s credit facility (see Note 4). Costs of approximately $1.9 million were incurred during 2015 in connection with placing and extending TCPC Funding’s revolving credit facility (see Note 4). Costs of approximately $1.2 million and $0.4 million were incurred during the year ended December 31, 2016 and year ended December 31, 2015, respectively, in connection with placing the SBA Debentures (see Note 4). These costs were deferred and are being amortized on a straight-line basis over the estimated life of the respective instruments. The impact of utilizing the straight-line amortization method versus the effective-interest method is not material to the operations of the Company.

Revenue Recognition

Interest and dividend income, including income paid in kind, is recorded on an accrual basis. Origination, structuring, closing, commitment and other upfront fees, including original issue discounts, earned with respect to capital commitments are generally amortized or accreted into interest income over the life of the respective debt investment, as are end-of-term or exit fees receivable upon repayment of a debt investment. Other fees, including certain amendment fees, prepayment fees and commitment fees on broken deals, are recognized as earned. Prepayment fees and similar income due upon the early repayment of a loan or debt security are recognized when earned and are included in interest income.

Certain debt investments are purchased at a discount to par as a result of the underlying credit risks and financial results of the issuer, as well as general market factors that influence the financial markets as a whole. Discounts on the acquisition of corporate bonds are generally amortized using the effective-interest or constant-yield method assuming there are no questions as to collectability. When principal payments on a loan are received in an amount in excess of the loan’s amortized cost, the excess principal payments are recorded as interest income.

Income Taxes

The Company intends to comply with the applicable provisions of the Internal Revenue Code of 1986, as amended, pertaining to regulated investment companies and to make distributions of taxable income sufficient to relieve it from substantially all federal income taxes. Accordingly, no provision for income taxes is required in the consolidated financial statements. The income or loss of the Operating Company, TCPC Funding and the SBIC is reported in the respective partners’ income tax returns. In accordance with ASC Topic 740 – Income Taxes, the Company recognizes in its consolidated financial statements the effect of a tax position when it is determined that such position is more likely than not, based on the technical merits, to be sustained upon examination. As of March

TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
2. Summary of Significant Accounting Policies – (continued)

31, 2017, all tax years of the Company, the Operating Company, TCPC Funding and the SBIC since January 1, 2013 remain subject to examination by federal tax authorities. No such examinations are currently pending.

Cost and unrealized appreciation and depreciation of the Company’s investments (including derivatives) for U.S. federal income tax purposes at March 31, 2017 and December 31, 2016 were as follows:

   
March 31, 2017
   
December 31, 2016
 
Unrealized appreciation
 
$
41,927,289
   
$
33,945,996
 
Unrealized depreciation
   
(68,405,790
)
   
(65,041,945
)
Net unrealized depreciation
 
$
(26,478,501
)
 
$
(31,095,949
)
                 
Cost
 
$
1,364,988,287
   
$
1,346,065,819
 
 
Recent Accounting Pronouncements

During the first quarter of 2016, the Company adopted Financial Accounting Standards Board (the “FASB”) Accounting Standards Update (“ASU”) 2015-02, Amendments to the Consolidation Analysis. In particular, the new pronouncement changed the manner in which a reporting entity evaluates whether 1) an entity is a variable interest entity (“VIE”), 2) fees paid to decision makers or service providers are variable interests in a VIE, and 3) variable interests in a VIE held by related parties require the reporting entity to consolidate the VIE. The pronouncement also introduced a separate consolidation analysis specific to limited partnerships and similar entities. ASU 2015-02 also eliminated the VIE consolidation model based on majority exposure to variability that applied to certain investment companies and similar entities. The adoption of this pronouncement did not have a material impact on the Company’s consolidated financial statements.

The Company also adopted ASU 2015-03, Interest – Imputation of Interest (Subtopic 835-30) - Simplifying the Presentation of Debt Issuance Costs as well as ASU 2015-15, Presentation and Subsequent Measurement of Debt Issuance Costs Associated with Line-of-Credit Arrangements – Amendments to SEC Paragraphs Pursuant to Staff Announcement at June 18, 2015. Together, these ASUs required, in most cases, that debt issuance costs be presented in the balance sheet as a direct deduction from the carrying value of the associated debt liability, consistent with the presentation of a debt discount. Debt issuance costs incurred in connection with line-of-credit arrangements, however, may continue to be presented as an asset in the balance sheet. As of March 31, 2017 and December 31, 2016, $7.8 million and $8.2 million in debt issuance costs, respectively, were included in debt in the Consolidated Statements of Assets and Liabilities.

In May 2014, the FASB issued ASU 2014-09, Revenue from Contracts with Customers (Topic 606), which supersedes the revenue recognition requirements in Topic 605, Revenue Recognition. Under this new pronouncement, an entity should recognize revenue to depict the transfer of promised goods or services to customers in an amount that reflects the consideration to which the entity expects to be entitled in exchange for those goods or services. ASU 2014-09 applies to all entities and, for public entities, is effective for annual periods beginning after December 15, 2017, and interim periods within those fiscal years. Early application is permitted, but no earlier than annual periods beginning after December 15, 2016 and interim periods within that reporting period. The Company does not expect adoption of this pronouncement to have a material impact on its consolidated financial statements.

On January 5, 2016, the FASB issued ASU 2016-01, Financial Instruments – Overall: Recognition and Measurement of Financial Assets and Financial Liabilities. The more significant changes to the current GAAP model resulting from ASU 2016-01 include 1) elimination of the requirement to disclose the method(s) and significant assumptions used to estimate the fair value of financial instruments measured at amortized cost, 2) requiring public entities to use the exit price notion when measuring the fair value of financial instruments for disclosure purposes and 3) requiring separate presentation of financial assets and financial liabilities by measurement category and form of financial asset on the balance sheet or in the accompanying notes to the financial statements. ASU 2016-01 is effective for annual periods beginning after December 15, 2017, including interim periods within those fiscal years. Early application is permitted. The Company does not expect adoption of this pronouncement to have a material impact on its consolidated financial statements.

TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
2. Summary of Significant Accounting Policies – (continued)

On March 30, 2017, the FASB issued ASU 2017-08, Premium Amortization on Purchased Callable Debt Securities, which amends the amortization period for certain callable debt securities purchased at a premium, shortening the period to the earliest call date. ASU 2017-08 is effective for fiscal years beginning after December 15, 2018, including interim periods within those fiscal years. Early application is permitted. The Company does not expect the adoption of this pronouncement to have a material impact on the Company’s consolidated financial statements.

3. Management Fees, Incentive Compensation and Other Expenses

The Company’s management fee is calculated at an annual rate of 1.5% of total assets (excluding cash and cash equivalents) on a consolidated basis as of the beginning of each quarter and is payable to the Advisor quarterly in arrears.

Incentive compensation is only paid to the extent the total performance of the Company exceeds a cumulative 8% annual return since January 1, 2013 (the “Total Return Hurdle”). Beginning January 1, 2013, the incentive compensation equals 20% of net investment income (reduced by preferred dividends) and 20% of net realized gains (reduced by any net unrealized losses), subject to the Total Return Hurdle. The incentive compensation is payable quarterly in arrears as an allocation and distribution to the General Partner and is calculated as the difference between cumulative incentive compensation earned since January 1, 2013 and cumulative incentive compensation paid since January 1, 2013. A reserve for incentive compensation is accrued based on the amount of additional incentive compensation that would have been distributable to the General Partner assuming a hypothetical liquidation of the Company at net asset value on the balance sheet date. The General Partner’s equity interest in the Operating Company is comprised entirely of such reserve amount, if any. As of March 31, 2017 and December 31, 2016, no such reserve was accrued.

The Company bears all expenses incurred in connection with its business, including fees and expenses of outside contracted services, such as custodian, administrative, legal, audit and tax preparation fees, costs of valuing investments, insurance costs, brokers’ and finders’ fees relating to investments, and any other transaction costs associated with the purchase and sale of investments.

4. Leverage

Leverage is comprised of convertible senior unsecured notes due December 2019 issued by the Company (the “2019 Convertible Notes”), convertible senior unsecured notes due March 2022 issued by the Company (the “2022 Convertible Notes”), amounts outstanding under a term loan issued by the Operating Company (the “Term Loan”), amounts outstanding under a senior secured revolving credit facility issued by the Operating Company (the “SVCP Revolver” and together with the Term Loan, the “SVCP Facility”), amounts outstanding under a senior secured revolving credit facility issued by TCPC Funding (the “TCPC Funding Facility”), debentures guaranteed by the SBA (the “SBA Debentures”), and, prior to the repurchase and retirement of remaining interests on September 3, 2015, amounts outstanding under a preferred equity facility issued by the Operating Company (the “Preferred Interests”). From April 18, 2016 through its conversion to common equity on June 7, 2016, leverage also included a privately placed convertible senior unsecured note due April 2021 issued by the Company (the “CNO Note”).

TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
4. Leverage – (continued)

Total leverage outstanding and available at March 31, 2017 was as follows:
   
Maturity
   
Rate
   
CarryingValue*
   
Available
   
Total
Capacity
 
SVCP Facility
                             
SVCP Revolver
 
2018
     
L+2.50%
 
$
36,000,000
   
$
80,000,000
   
$
116,000,000
 
Term Loan
 
2018
     
L+2.50%
 
   
100,500,000
     
     
100,500,000
 
2019 Convertible Notes ($108 million par)
 
2019
     
5.25%
 
   
106,661,798
     
     
106,661,798
 
2022 Convertible Notes ($140 million par)
 
2022
     
4.625%
 
   
136,993,529
     
     
136,993,529
 
TCPC Funding Facility
 
2020
     
L+2.50%
 
   
175,000,000
     
175,000,000
     
350,000,000
 
SBA Debentures
   2024−2026    
2.58%§
     
61,000,000
     
89,000,000
     
150,000,000
 
Total leverage
                   
616,155,327
   
$
344,000,000
   
$
960,155,327
 
Unamortized issuance costs
                   
(7,798,658
)
               
Debt, net of unamortized issuance costs
                 
$
608,356,669
                 
 

*
Except for the convertible notes, all carrying values are the same as the principal amounts outstanding.

Based on either LIBOR or the lender’s cost of funds, subject to certain limitations

Or L+2.25% subject to certain funding requirements

§
Weighted-average interest rate, excluding fees of 0.36%

Total leverage outstanding and available at December 31, 2016 was as follows:
 
   
Maturity
   
Rate
   
CarryingValue*
   
Available
   
Total
Capacity
 
SVCP Facility
                             
SVCP Revolver
 
2018
     
L+2.50%
 
 
$
   
$
116,000,000
   
$
116,000,000
 
Term Loan
 
2018
     
L+2.50%
 
   
100,500,000
     
     
100,500,000
 
2019 Convertible Notes ($108 million par)
 
2019
     
5.25%
 
   
106,547,929
     
     
106,547,929
 
2022 Convertible Notes ($140 million par)
 
2022
     
4.625%
 
   
136,858,359
     
     
136,858,359
 
TCPC Funding Facility
 
2020
     
L+2.50%
 
   
175,000,000
     
175,000,000
     
350,000,000
 
SBA Debentures
   2024−2026    
2.58%§
     
61,000,000
     
89,000,000
     
150,000,000
 
Total leverage
                   
579,906,288
   
$
380,000,000
   
$
959,906,288
 
Unamortized issuance costs
                   
(8,247,426
)
               
Debt, net of unamortized issuance costs
                 
$
571,658,862
                 
 

*
Except for the convertible notes, all carrying values are the same as the principal amounts outstanding.

Based on either LIBOR or the lender’s cost of funds, subject to certain limitations

Or L+2.25% subject to certain funding requirements

§
Weighted-average interest rate, excluding fees of 0.36%

The combined weighted-average interest rates on total leverage outstanding at March 31, 2017 and December 31, 2016 were 3.99% and 3.95%, respectively.

TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
4. Leverage – (continued)

Total expenses related to debt include:
 
   
Three Months Ended March 31,
 
   
2017
   
2016
 
Interest expense
 
$
6,535,580
   
$
4,693,590
 
Amortization of deferred debt issuance costs
   
827,718
     
630,010
 
Commitment fees
   
391,729
     
220,681
 
Total
 
$
7,755,027
   
$
5,545,281
 
 
Amounts outstanding under the SVCP Facility, the TCPC Funding Facility, the convertible notes and the SBA Debentures are carried at amortized cost in the Consolidated Statements of Assets and Liabilities. As of March 31, 2017, the estimated fair values of the SVCP Facility, the TCPC Funding Facility and the SBA Debentures approximated their carrying values, and the 2019 Convertible Notes and the 2022 Convertible Notes had estimated fair values of $113.3 million and $141.4 million, respectively. The estimated fair values of the SVCP Facility, the TCPC Funding Facility and the SBA Debentures were determined by discounting projected remaining payments using market interest rates for borrowings of the Company and entities with similar credit risks at the measurement date. The estimated fair values of the convertible notes were determined using market quotations. At March 31, 2017, the estimated fair values of the SVCP Facility, the TCPC Funding Facility, the convertible notes and the SBA Debentures as prepared for disclosure purposes were deemed to be Level 3 in the GAAP valuation hierarchy.

Convertible Notes

On June 11, 2014, the Company issued $108.0 million of convertible senior unsecured notes that mature on December 15, 2019, unless previously converted or repurchased in accordance with their terms. The 2019 Convertible Notes are general unsecured obligations of the Company, and rank structurally junior to the SVCP Facility and the TCPC Funding Facility. The Company does not have the right to redeem the 2019 Convertible Notes prior to maturity. The 2019 Convertible Notes bear interest at an annual rate of 5.25%, payable semi-annually. In certain circumstances, the 2019 Convertible Notes will be convertible into cash, shares of the Company’s common stock or a combination of cash and shares of common stock (such combination to be at the Company’s election), at an initial conversion rate of 50.9100 shares of common stock per one thousand dollar principal amount, which is equivalent to an initial conversion price of approximately $19.64 per share of common stock, subject to customary anti-dilutional adjustments. The initial conversion price was approximately 12.5% above the $17.46 per share closing price of the Company’s common stock on June 11, 2014. At March 31, 2017, the principal amount of the 2019 Convertible Notes exceeded the value of the conversion rate multiplied by the per share closing price of the Company’s common stock. Therefore, no additional shares have been added to the calculation of diluted earnings per common share and weighted average common shares outstanding.

Prior to the close of business on the business day immediately preceding June 15, 2019, holders may convert their 2019 Convertible Notes only under certain circumstances set forth in the indenture governing the terms of the 2019 Convertible Notes. On or after June 15, 2019 until the close of business on the scheduled trading day immediately preceding December 15, 2019, holders may convert their 2019 Convertible Notes at any time. Upon conversion, the Company will pay or deliver, as the case may be, at its election, cash, shares of the Company’s common stock or a combination of cash and shares of the Company’s common stock, subject to the requirements of the indenture.

On August 30, 2016, the Company issued $140.0 million of convertible senior unsecured notes that mature on March 1, 2022, unless previously converted or repurchased in accordance with their terms. The 2022 Convertible Notes are general unsecured obligations of the Company, and rank structurally junior to the SVCP Facility and the TCPC Funding Facility. The Company does not have the right to redeem the 2022 Convertible Notes prior to maturity. The 2022 Convertible Notes bear interest at an annual rate of 4.625%, payable semi-annually. In certain circumstances, the 2022 Convertible Notes will be convertible into cash, shares of the Company’s common stock or a combination of cash and shares of common stock (such combination to be at the Company’s election), at an initial conversion rate of 54.5019 shares of common stock per one thousand dollar principal amount of the 2022 Convertible Notes, which is equivalent to an initial conversion price of approximately $18.35 per share of common stock, subject to customary anti-dilutional adjustments. The initial conversion price was approximately 10.0% above

26

4. Leverage – (continued)

the $16.68 per share closing price of the Company’s common stock on August 30, 2016. At March 31, 2017, the principal amount of the 2022 Convertible Notes exceeded the value of the conversion rate multiplied by the per share closing price of the Company’s common stock. Therefore, no additional shares have been added to the calculation of diluted earnings per common share and weighted average common shares outstanding.

Prior to the close of business on the business day immediately preceding September 1, 2021, holders may convert their 2022 Convertible Notes only under certain circumstances set forth in the indenture governing the terms of the 2022 Convertible Notes. On or after September 1, 2021 until the close of business on the scheduled trading day immediately preceding March 1, 2022, holders may convert their 2022 Convertible Notes at any time. Upon conversion, the Company will pay or deliver, as the case may be, at its election, cash, shares of the Company’s common stock or a combination of cash and shares of the Company’s common stock, subject to the requirements of the indenture.

The 2019 Convertible Notes and 2022 Convertible Notes are accounted for in accordance with ASC Topic 470-20 – Debt with Conversion and Other Options. Upon conversion of any of the 2019 Convertible Notes or the 2022 Convertible Notes, the Company intends to pay the outstanding principal amount in cash and, to the extent that the conversion value exceeds the principal amount, has the option to pay the excess amount in cash or shares of the Company’s common stock (or a combination of cash and shares), subject to the requirements of the respective indenture. The Company has determined that the embedded conversion options in the 2019 Convertible Notes and 2022 Convertible Notes are not required to be separately accounted for as derivatives under GAAP. At the time of issuance the estimated values of the debt and equity components of the 2019 Convertible Notes were approximately 97.7% and 2.3%, respectively. At the time of issuance the estimated values of the debt and equity components of the 2022 Convertible Notes were approximately 97.6% and 2.4%, respectively.

The original issue discounts equal to the equity components of the 2019 Convertible Notes and 2022 Convertible Notes were recorded in “paid-in capital in excess of par” in the accompanying Consolidated Statements of Assets and Liabilities. As a result, the Company records interest expense comprised of both stated interest and amortization of the original issue discounts. At the time of issuance, the equity components of the 2019 Convertible Notes and the 2022 Convertible Notes were $2.5 million and $3.3 million, respectively. As of March 31, 2017 and December 31, 2016, the components of the carrying value of the 2019 Convertible Notes and 2022 Convertible Notes were as follows:
 
 
March 31, 2017
 
December 31, 2016
 
 
2019 Convertible
Notes
 
2022 Convertible
Notes
 
2019 Convertible
Notes
  2022 Convertible
Notes
 
Principal amount of debt
 
$
108,000,000
   
$
140,000,000
   
$
108,000,000
   
$
140,000,000
 
Original issue discount, net of accretion
   
(1,338,202
)
   
(3,006,471
)
   
(1,452,071
)
   
(3,141,641
)
Carrying value of debt
 
$
106,661,798
   
$
136,993,529
   
$
106,547,929
   
$
136,858,359
 


TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
4. Leverage – (continued)

For the three months ended March 31, 2017 and 2016, the components of interest expense for the convertible notes were as follows:


 
Three Months Ended March 31,
 
 
2017
 
2016
 
 
2019
Convertible
Notes
 
2022
Convertible
Notes
 
2019
Convertible
Notes
 
2022
Convertible
Notes
 
Stated interest expense
 
$
1,417,500
   
$
1,636,736
   
$
1,417,500
     
N/A
 
Amortization of original issue discount
   
113,869
     
135,170
     
107,594
     
N/A
 
Total interest expense
 
$
1,531,369
   
$
1,771,906
   
$
1,525,094
     
N/A
 
 
The estimated effective interest rate of the debt component of the 2019 Convertible Notes, equal to the stated interest of 5.25% plus the accretion of the original issue discount, was approximately 5.75% for the three months ended March 31, 2017 and March 31, 2016. The estimated effective interest rate of the debt component of the 2022 Convertible Notes, equal to the stated interest of 4.625% plus the accretion of the original issue discount, was approximately 5.125% for the three months ended March 31, 2017.

SVCP Facility

The SVCP Facility consists of a $100.5 million fully-drawn senior secured term loan and a senior secured revolving credit facility which provides for amounts to be drawn up to $116.0 million, subject to certain collateral and other restrictions. The SVCP Facility matures on July 31, 2018. Most of the cash and investments held directly by the Operating Company, as well as the net assets of TCPC Funding and the SBIC, are included in the collateral for the facility.

Advances under the SVCP Facility through July 31, 2014 bore interest at an annual rate equal to 0.44% plus either LIBOR or the lender’s cost of funds (subject to a cap of LIBOR plus 20 basis points). Advances under the SVCP Facility for periods from July 31, 2014 through September 3, 2015 bore interest at an annual rate equal to 2.50% plus either LIBOR or the lender’s cost of funds (subject to a cap of LIBOR plus 20 basis points). Advances under the SVCP Facility from September 3, 2015 through July 31, 2016 bore interest at an annual rate equal to 1.75% plus either LIBOR or the lender’s cost of funds (subject to a cap of LIBOR plus 20 basis points). Advances under the SVCP Facility from July 31, 2016 through the maturity date of the facility bear interest at an annual rate of 2.50% plus either LIBOR or the lender’s cost of funds (subject to a cap of LIBOR plus 20 basis points). In addition to amounts due on outstanding debt, the SVCP Revolver accrues commitment fees of 0.20% per annum on the unused portion of the facility, or 0.25% per annum when less than $46.4 million in borrowings are outstanding. The facility may be terminated, and any outstanding amounts thereunder may become due and payable, should the Operating Company fail to satisfy certain financial or other covenants. As of March 31, 2017, the Operating Company was in full compliance with such covenants.

SBA Debentures

As of March 31, 2017, the SBIC was able to issue up to $150.0 million in SBA Debentures, subject to funded regulatory capital and other customary regulatory requirements. As of March 31, 2017, the Operating Company had committed $75.0 million of regulatory capital to the SBIC, all of which had been funded. SBA Debentures are non-recourse and may be prepaid at any time without penalty. Once drawn, the SBIC debentures bear an interim interest rate of LIBOR plus 30 basis points. The rate then becomes fixed at the time of SBA pooling, which occurs twice each year, and is set to the then-current 10-year treasury rate plus a spread and an annual SBA charge.

TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
4. Leverage – (continued)

SBA Debentures outstanding as of March 31, 2017 were as follows:


Issuance Date
 
Maturity
 
Debenture
Amount
   
Fixed
Interest Rate
   
SBA
Annual Charge
 
September 24, 2014
 
September 1, 2024
 
$
18,500,000
     
3.02
%
   
0.36
%
March 25, 2015
 
March 1, 2025
   
9,500,000
     
2.52
%
   
0.36
%
September 23, 2015
 
September 1, 2025
   
10,800,000
     
2.83
%
   
0.36
%
March 23, 2016
 
March 1, 2026
   
4,000,000
     
2.51
%
   
0.36
%
September 21, 2016
 
September 1, 2026
   
18,200,000
     
2.05
%
   
0.36
%
        
$
61,000,000
     
2.58
%*
       
 

*
Weighted-average interest rate

SBA Debentures outstanding as of December 31, 2016 were as follows:


Issuance Date
 
Maturity
 
Debenture
Amount
   
Fixed
Interest Rate
   
SBA
Annual Charge
 
September 24, 2014
 
September 1, 2024
 
$
18,500,000
     
3.02
%
   
0.36
%
March 25, 2015
 
March 1, 2025
   
9,500,000
     
2.52
%
   
0.36
%
September 23, 2015
 
September 1, 2025
   
10,800,000
     
2.83
%
   
0.36
%
March 23, 2016
 
March 1, 2026
   
4,000,000
     
2.51
%
   
0.36
%
September 21, 2016
 
September 1, 2026
   
18,200,000
     
2.05
%
   
0.36
%
        
$
61,000,000
     
2.58
%*
       
 

*
Weighted-average interest rate

TCPC Funding Facility

The TCPC Funding Facility is a senior secured revolving credit facility which provides for amounts to be drawn up to $350.0 million, subject to certain collateral and other restrictions. The facility matures on March 6, 2020, subject to extension by the lender at the request of TCPC Funding. The facility contains an accordion feature which allows for expansion of the facility to up to $400.0 million subject to consent from the lender and other customary conditions. The cash and investments of TCPC Funding are included in the collateral for the facility.

Borrowings under the TCPC Funding Facility bear interest at a rate of LIBOR plus either 2.25% or 2.50% per annum, subject to certain funding requirements, plus an administrative fee of 0.25% per annum. In addition to amounts due on outstanding debt, the facility accrues commitment fees of 0.50% per annum on the unused portion of the facility, or 0.75% per annum when the unused portion is greater than 33% of the total facility, plus an administrative fee of 0.25% per annum. The facility may be terminated, and any outstanding amounts thereunder may become due and payable, should TCPC Funding fail to satisfy certain financial or other covenants. As of March 31, 2017, TCPC Funding was in full compliance with such covenants.

TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
5. Commitments, Contingencies, Concentration of Credit Risk and Off-Balance Sheet Risk

The Operating Company, TCPC Funding and the SBIC conduct business with brokers and dealers that are primarily headquartered in New York and Los Angeles and are members of the major securities exchanges. Banking activities are conducted with a firm headquartered in the San Francisco area.

In the normal course of business, investment activities involve executions, settlement and financing of various transactions resulting in receivables from, and payables to, brokers, dealers and the custodian. These activities may expose the Company to risk in the event that such parties are unable to fulfill contractual obligations. Management does not anticipate any material losses from counterparties with whom it conducts business. Consistent with standard business practice, the Company, the Operating Company, TCPC Funding and the SBIC enter into contracts that contain a variety of indemnifications, and are engaged from time to time in various legal actions. The maximum exposure under these arrangements and activities is unknown. However, management expects the risk of material loss to be remote.

The Consolidated Schedules of Investments include certain revolving loan facilities and other commitments with unfunded balances at March 31, 2017 and December 31, 2016 as follows:


        
Unfunded Balances
 
Issuer
 
Maturity
 
March 31, 2017
   
December 31, 2016
 
Alera Group Intermediate Holdings, Inc.
 
12/30/2021
 
$
833,333
   
$
833,333
 
Alera Group Intermediate Holdings, Inc.
 
12/30/2022
   
759,547
     
759,547
 
Alpheus Communications, LLC
 
5/31/2018
   
357,419
     
357,419
 
AP Gaming I, LLC
 
12/20/2018
   
12,500,000
     
12,500,000
 
Asset International, Inc.
 
7/31/2020
   
1,325,721
     
1,325,721
 
Auto Trakk SPV, LLC
 
12/21/2021
   
3,827,058
     
3,827,058
 
Avanti Communications Group, PLC
 
11/30/2022
   
751,292
     
N/A
 
Bisnow, LLC
 
4/29/2021
   
1,200,000
     
1,200,000
 
Caliber Home Loans, Inc.
 
6/30/2020
   
5,555,556
     
6,666,667
 
Edmentum, Inc.
 
6/9/2020
   
1,263,220
     
3,368,586
 
Enerwise Global Technologies, Inc.
 
11/30/2017
   
4,000,000
     
4,000,000
 
GlassPoint Solar, Inc.
 
8/1/2020
   
16,000,000
     
N/A
 
Hylan Datacom & Electrical, LLC
 
7/25/2016
   
N/A
     
1,247,989
 
iGM RFE1 B.V.
 
10/12/2021
   
N/A
     
855,935
 
InMobi, Inc.
 
9/1/2018
   
N/A
     
7,500,000
 
Marketo, Inc.
 
8/16/2016
   
1,704,545
     
1,704,545
 
Mesa Airlines, Inc.
 
2/28/2022
   
N/A
     
9,268,182
 
Mesa Airlines, Inc.
 
12/31/2022
   
9,731,591
     
9,731,591
 
Pegasus Business Intelligence, LP (Onyx Centersource)
 
12/20/2021
   
671,356
     
671,356
 
Tradeshift Holdings, Inc.
 
9/1/2020
   
12,999,918
     
N/A
 
VSS-Southern Holdings, LLC
 
11/3/2020
   
856,164
     
856,164
 
Total Unfunded Balances
     
$
74,336,720
   
$
66,674,093
 
 
TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
6. Related Party Transactions

The Company, the Operating Company, TCPC Funding, the SBIC, the Advisor, the General Partner and their members and affiliates may be considered related parties. From time to time, the Operating Company advances payments to third parties on behalf of the Company which are reimbursable through deductions from distributions to the Company. At March 31, 2017 and December 31, 2016, no such amounts were outstanding. From time to time, the Advisor advances payments to third parties on behalf of the Company and the Operating Company and receives reimbursement from the Company and the Operating Company. At March 31, 2017 and December 31, 2016, amounts reimbursable to the Advisor totaled $0.5 million and $0.3 million, respectively, as reflected in the Consolidated Statements of Assets and Liabilities.

Pursuant to administration agreements between the Administrator and each of the Company and the Operating Company (the “Administration Agreements”), the Administrator may be reimbursed for costs and expenses incurred by the Administrator for office space rental, office equipment and utilities allocable to the Company or the Operating Company, as well as costs and expenses incurred by the Administrator or its affiliates relating to any administrative, operating, or other non-investment advisory services provided by the Administrator or its affiliates to the Company or the Operating Company. For the three months ended March 31, 2017 and 2016, expenses allocated pursuant to the Administration Agreements totaled $0.6 million and $0.4 million, respectively.

7. Stockholders’ Equity and Dividends

The following table summarizes the total shares issued and proceeds received in public offerings of the Company’s common stock net of underwriting discounts and offering costs as well as shares issued in connection with the Company’s dividend reinvestment plan for the three months ended March 31, 2017:


   
Shares Issued
 
Price Per Share
 
Net Proceeds
 
Shares issued from dividend reinvestment plan
   
147
   
$
17.44
*
 
$
2,564
 
 

*
Weighted-average price per share

The following table summarizes the total shares issued and proceeds received in public offerings of the Company’s common stock net of underwriting discounts and offering costs as well as shares issued in connection with the Company’s dividend reinvestment plan for the year ended December 31, 2016:


   
Shares Issued
   
Price Per Share
   
Net Proceeds
 
Shares issued from dividend reinvestment plan
   
610
   
$
15.83
*
 
$
9,657
 
Shares issued from conversion of convertible debt
   
2,011,900
     
15.02
     
 
July 13, 2016 registered direct public offering
   
2,336,552
     
15.09
     
34,958,570
 
 

*
Weighted-average price per share
Shares issued in connection with the full conversion of the CNO Note

The Company’s dividends are recorded on the ex-dividend date. The following table summarizes the Company’s dividends declared and paid for the three months ended March 31, 2017:


Date Declared
 
Record Date
 
Payment Date
 
Type
 
Amount Per Share
 
Total Amount
 
February 22, 2017
 
March 17, 2017
 
March 31, 2017
 
Regular
   
$
0.36
   
$
19,095,084
 
 
The following table summarizes the Company’s dividends declared and paid for the three months ended March 31, 2016:

Date Declared
 
Record Date
 
Payment Date
 
Type
 
Amount Per Share
 
Total Amount
 
February 24, 2016
 
March 17, 2016
 
March 31, 2016
 
Regular
   
$
0.36
   
$
17,530,963
 


TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
7. Stockholders’ Equity and Dividends – (continued)

On February 24, 2015, the Company’s board of directors approved a stock repurchase plan (the “Company Repurchase Plan”) to acquire up to $50.0 million in the aggregate of the Company’s common stock at prices at certain thresholds below the Company’s net asset value per share, in accordance with the guidelines specified in Rule 10b-18 and Rule 10b5-1 of the Securities Exchange Act of 1934. The Company Repurchase Plan is designed to allow the Company to repurchase its common stock at times when it otherwise might be prevented from doing so under insider trading laws. The Company Repurchase Plan requires an agent selected by the Company to repurchase shares of common stock on the Company’s behalf if and when the market price per share is at certain thresholds below the most recently reported net asset value per share. Under the plan, the agent will increase the volume of purchases made if the price of the Company’s common stock declines, subject to volume restrictions. The timing and amount of any stock repurchased depends on the terms and conditions of the Company Repurchase Plan, the market price of the common stock and trading volumes, and no assurance can be given that any particular amount of common stock will be repurchased. The Company Repurchase Plan was re-approved on February 22, 2017, to be in effect through the earlier of two trading days after the Company’s first quarter 2017 earnings release unless further extended or terminated by the Company’s board of directors, or such time as the approved $50.0 million repurchase amount has been fully utilized, subject to certain conditions.

There were no share repurchases for the three months ended March 31, 2017.

The following table summarizes the total shares repurchased and amounts paid by the Company under the Company Repurchase Plan, including broker fees, for the year ended December 31, 2016:


   
Shares Repurchased
   
Price Per Share
   
Total Cost
 
Company Repurchase Plan
   
141,896
   
$
13.25
* 
 
$
1,879,548
 
 

*
Weighted-average price per share

8. Earnings Per Share

In accordance with ASC 260, Earnings per Share, basic earnings per share is computed by dividing earnings available to common shareholders by the weighted average number of shares outstanding during the period. Other potentially dilutive common shares, if any, and the related impact to earnings, are considered when calculating earnings per share on a diluted basis. The following information sets forth the computation of the net increase in net assets per share resulting from operations for the three months ended March 31, 2017 and 2016:
 
 
Three Months Ended March 31,
 
 
2017
 
2016
 
Net increase in net assets applicable to common shareholders resulting from operations
 
$
19,435,550
   
$
11,473,050
 
Weighted average shares outstanding
   
53,041,902
     
48,746,521
 
Earnings per share
 
$
0.37
   
$
0.24
 
 
TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
9. Subsequent Events

On April 25, 2017, the Company closed a public offering of 5.75 million shares of its common stock at $16.84 per share for gross proceeds of approximately $96.8 million and net proceeds of approximately $93.6 million, net of underwriter discounts and approximately $0.3 million of expenses related to the offering.

On April 26, 2017, the Company extended the maturity date of the TCPC Funding facility from March 6, 2020 to April 26, 2021.

On May 3, 2017, the Company’s board of directors re-approved the Company Repurchase Plan, to be in effect through the earlier of two trading days after the Company’s second quarter 2017 earnings release or such time as the approved $50.0 million repurchase amount has been fully utilized, subject to certain conditions.

On May 9, 2017, the Company’s board of directors declared a second quarter regular dividend of $0.36 per share payable on June 30, 2017 to stockholders of record as of the close of business on June 16, 2017.

TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
10. Financial Highlights

   
Three Months Ended March 31,
 
   
2017
   
2016
 
Per Common Share
           
Per share NAV at beginning of period
 
$
14.91
   
$
14.78
 
                 
Investment operations:
               
Net investment income
   
0.47
     
0.47
 
Net realized and unrealized losses
   
(0.01
)
   
(0.14
)
Incentive allocation reserve and distributions
   
(0.09
)
   
(0.09
)
Total from investment operations
   
0.37
     
0.24
 
                 
Distributions to common shareholders from:
               
Net investment income
   
(0.36
)
   
(0.36
)
Per share NAV at end of period
 
$
14.92
   
$
14.66
 
                 
Per share market price at end of period
 
$
17.42
   
$
14.91
 
                 
Total return based on market value (1), (2)
   
5.2
%
   
9.6
%
Total return based on net asset value (1), (3)
   
2.5
%
   
1.6
%
                 
Shares outstanding at end of period
   
53,042,047
     
48,694,292
 


TCP Capital Corp.
 
Notes to Consolidated Financial Statements (Unaudited) (Continued)
 
March 31, 2017
 
10. Financial Highlights – (continued)
 
   
Three Months Ended March 31,
 
   
2017
   
2016
 
Ratios to average common equity: (4)
           
Net investment income (5)
   
12.1
%
   
12.1
%
Expenses
   
7.4
%
   
6.5
%
Expenses and incentive allocation (6)
   
8.0
%
   
7.1
%
                 
Ending common shareholder equity
 
$
791,279,021
   
$
714,060,658
 
Portfolio turnover rate
   
8.8
%
   
5.5
%
Weighted-average leverage outstanding
 
$
596,480,606
   
$
522,385,092
 
Weighted-average interest rate on leverage
   
4.4
%
   
3.6
%
Weighted-average number of common shares
   
53,041,902
     
48,746,521
 
Average leverage per share
 
$
11.25
   
$
10.72
 
 

(1)
Not annualized.

(2)
Total return based on market value equals the change in ending market value per share during the period plus declared dividends per share during the period, divided by the market value per share at the beginning of the period.

(3)
Total return based on net asset value equals the change in net asset value per share during the period plus declared dividends per share during the period, divided by the beginning net asset value per share at the beginning of the period.

(4)
Annualized, except for incentive allocation.

(5)
Net of incentive allocation.
 
(6)
Includes incentive allocation payable to the General Partner and all Company expenses.
TCP Capital Corp.
 
Consolidated Schedule of Changes in Investments in Affiliates(1) (Unaudited)

Three Months Ended March 31, 2017

Security
 
Dividends or Interest (2)
   
Fair Value at
December 31, 2016
   
Acquisitions (3)
   
Dispositions (4)
   
Fair Value at
March 31, 2017
 
                               
36th Street Capital Partners Holdings, LLC, Membership Units
 
$
-
   
$
6,818,897
   
$
1,845,925
   
$
-
   
$
8,664,822
 
36th Street Capital Partners Holdings, LLC, Senior Note, 12%, due 11/1/20
   
908,583
     
29,203,304
     
2,752,968
     
(1,000,000
)
   
30,956,272
 
AGY Holding Corp., Common Stock
   
-
     
-
     
-
     
-
     
-
 
AGY Holding Corp., Senior Secured 2nd Lien Notes, 11%, due 11/15/16
   
254,870
     
9,268,000
     
-
     
-
     
9,268,000
 
AGY Holding Corp., Senior Secured Delayed Draw Term Loan, 12%, due 9/15/18
   
31,474
     
1,049,147
     
-
     
-
     
1,049,147
 
AGY Holding Corp., Senior Secured Term Loan, 12%, due 9/15/16
   
146,088
     
4,869,710
     
-
     
-
     
4,869,710
 
Anacomp, Inc., Class A Common Stock
   
-
     
1,205,306
     
-
     
(87,887
)
   
1,117,419
 
Edmentum Ultimate Holdings, LLC, Junior PIK Notes, 10%, due 6/9/20
   
363,337
     
12,101,483
     
365,028
     
(55,768
)
   
12,410,743
 
Edmentum Ultimate Holdings, LLC, Senior PIK Notes, 8.5%, due 6/9/20
   
61,359
     
2,846,246
     
61,824
     
-
     
2,908,070
 
Edmentum, Inc., Junior Revolving Facility, 5%, due 6/9/20
   
11,275
     
-
     
2,105,370
     
-
     
2,105,370
 
Edmentum Ultimate Holdings, LLC, Class A Common Units
   
-
     
1,123,591
     
-
     
(2
)
   
1,123,589
 
EPMC HoldCo, LLC, Membership Units
   
-
     
210,035
     
-
     
-
     
210,035
 
Essex Ocean II, LLC, Membership Units
   
-
     
159,045
     
-
     
(159,045
)
   
-
 
Globecomm Systems Inc., Senior Secured 1st Lien Term Loan, LIBOR + 7.625%, 1.25% LIBOR Floor, due 12/11/18
   
321,639
     
14,480,002
     
373
     
(313,549
)
   
14,166,826
 
KAGY Holding Company, Inc., Series A Preferred Stock
   
-
     
4,607,246
     
605,871
     
-
     
5,213,117
 
Kawa Solar Holdings Limited, Bank Guarantee Credit Facility, 8.2% Cash + 3.5% PIK, due 7/2/17
   
634,753
     
21,276,653
     
188,004
     
-
     
21,464,657
 
Kawa Solar Holdings Limited, Revolving Credit Facility, 8.2%, due 7/2/17
   
91,998
     
4,000,000
      -    
(925,000
)
   
3,075,000
 
Kawa Solar Holdings Limited, Ordinary Shares
   
-
     
-
     
-
     
-
     
-
 
Kawa Solar Holdings Limited, Series B Preferred Shares
   
-
     
1,395,350
     
233
     
-
     
1,395,583
 
RM Holdco, LLC, Equity Participation
   
-
     
-
     
-
     
-
     
-
 
RM Holdco, LLC, Membership Units
   
31,486
     
-
     
-
     
-
     
-
 
RM OpCo, LLC, Senior Secured 1st Lien Term Loan Tranche A, 7%, due 3/21/16
   
85,327
     
4,871,284
     
6,715
     
-
     
4,877,999
 
RM OpCo, LLC, Senior Secured 2nd Lien Term Loan Tranche B, 8.5%, due 3/30/18
   
208,741
     
3,154,770
     
207,224
     
(2,026,794
)
   
1,335,200
 
RM OpCo, LLC, Senior Secured 2nd Lien Term Loan Tranche B-1, 8.5%, due 3/30/18
   
65,740
     
3,049,555
     
65,261
     
-
     
3,114,816
 
RM OpCo, LLC, Convertible 2nd Lien Term Loan Tranche B-1, 8.5%, due 3/30/18
   
41,893
     
1,943,371
     
41,589
     
-
     
1,984,960
 
RM OpCo, LLC, Senior Convertible 2nd Lien Term Loan B, 8.5%, due 3/30/18
   
103,194
     
4,251,368
     
1,349,461
     
-
     
5,600,829
 
United N659UA-767, LLC (N659UA)
   
39,952
     
3,191,938
     
-
     
(101,260
)
   
3,090,678
 
United N661UA-767, LLC (N661UA)
   
34,505
     
3,266,101
     
-
     
(105,003
)
   
3,161,098
 
Wasserstein Cosmos Co-Invest, L.P., Limited Partnership Units
   
-
     
1,530,000
     
-
     
(1,297,000
)
   
233,000
 


Notes to Consolidated Schedule of Changes in Investments in Affiliates:
 
(1)
The issuers of the securities listed on this schedule are considered affiliates under the Investment Company Act of 1940 due to the ownership by the Company of 5% or more of the issuers' voting securities.
(2)
Also includes fee and lease income as applicable
(3)
Acquisitions include new purchases, PIK income, amortization of original issue and market discounts and net unrealized appreciation.
(4)
Dispositions include decreases in the cost basis from sales, paydowns, mortgage amortizations, aircraft depreciation and net unrealized depreciation.
 
TCP Capital Corp.

Consolidated Schedule of Changes in Investments in Affiliates(1)

Year Ended December 31, 2016
 
Security
 
Dividends or Interest(2)
   
Fair Value at
December 31,
2015
   
Acquisitions(3)
   
Dispositions(4)
   
Fair Value at
December 31,
2016
 
36th Street Capital Partners Holdings, LLC, Membership Units
 
$
   
$
225,000
   
$
6,656,342
   
$
(62,445
)
 
$
6,818,897
 
36th Street Capital Partners Holdings, LLC, Subordinated Promissory Note, 12%, due 11/1/20
   
1,921,851
     
900,000
     
28,303,304
     
     
29,203,304
 
AGY Holding Corp., Senior Secured 2nd Lien Notes, 11%, due 11/15/16
   
1,019,480
     
9,268,000
     
     
     
9,268,000
 
AGY Holding Corp., Senior Secured Delayed Draw Term Loan, 12%, due 9/15/18
   
20,074
     
     
1,049,147
     
     
1,049,147
 
AGY Holding Corp., Senior Secured Term Loan, 12%, due 9/15/16
   
594,088
     
4,869,577
     
133
     
     
4,869,710
 
Anacomp, Inc., Class A Common Stock
   
     
1,581,964
     
     
(376,658
)
   
1,205,306
 
Edmentum Ultimate Holdings, LLC, Junior PIK Notes, 10%, due 6/9/20
   
1,381,227
     
11,343,490
     
1,362,996
     
(605,003
)
   
12,101,483
 
Edmentum Ultimate Holdings, LLC, Senior PIK Notes, 8.5%, due 6/9/20
   
236,640
     
2,612,408
     
233,838
     
     
2,846,246
 
Edmentum, Inc., Junior Revolving Facility, 5%, due 6/9/20
   
51,210
     
     
2,762,241
     
(2,762,241
)
   
 
Edmentum Ultimate Holdings, LLC, Class A Common Units
   
     
680,218
     
443,373
     
     
1,123,591
 
EPMC HoldCo, LLC, Membership Units
   
     
682,614
     
102,392
     
(574,971
)
   
210,035
 
Essex Ocean II, LLC, Membership Units
   
     
200,686
     
65,438
     
(107,079
)
   
159,045
 
Globecomm Systems Inc., Senior Secured 1st Lien Term Loan, LIBOR + 7.625%, 1.25% LIBOR Floor, due 12/11/18
   
1,316,646
     
14,256,233
     
562,182
     
(338,413
)
   
14,480,002
 
KAGY Holding Company, Inc., Series A Preferred Stock
   
     
6,118,515
     
45,967
     
(1,557,236
)
   
4,607,246
 
Kawa Solar Holdings Limited, Bank Guarantee Credit Facility, 8.2% Cash + 3.5% PIK, due 7/2/17
   
2,475,897
     
25,000,000
     
661,542
     
(4,384,889
)
   
21,276,653
 
Kawa Solar Holdings Limited, Revolving Credit Facility, 8.2%, due 7/2/17
   
93,425
     
     
4,000,000
     
     
4,000,000
 
Kawa Solar Holdings Limited, Ordinary Shares
   
     
     
     
     
 
Kawa Solar Holdings Limited, Series B Preferred Shares
   
     
     
1,395,350
     
     
1,395,350
 
N659UA Aircraft Secured Mortgage, 12%, due 2/28/16
   
4,554
     
318,980
     
     
(318,980
)
   
 
N661UA Aircraft Secured Mortgage, 12%, due 5/4/16
   
11,822
     
570,303
     
     
(570,303
)
   
 
N913DL Aircraft Secured Mortgage, 8%, due 3/15/17
   
2,322
     
115,617
     
     
(115,617
)
   
 
N918DL Aircraft Secured Mortgage, 8%, due 8/15/18
   
5,109
     
237,494
     
     
(237,494
)
   
 
N954DL Aircraft Secured Mortgage, 8%, due 3/20/19
   
7,829
     
342,734
     
     
(342,734
)
   
 
N955DL Aircraft Secured Mortgage, 8%, due 6/20/19
   
8,463
     
369,162
     
     
(369,162
)
   
 
N956DL Aircraft Secured Mortgage, 8%, due 5/20/19
   
8,365
     
365,197
     
     
(365,197
)
   
 
N957DL Aircraft Secured Mortgage, 8%, due 6/20/19
   
8,537
     
372,392
     
     
(372,392
)
   
 
N959DL Aircraft Secured Mortgage, 8%, due 7/20/19
   
8,708
     
379,522
     
     
(379,522
)
   
 
N960DL Aircraft Secured Mortgage, 8%, due 10/20/19
   
9,289
     
403,869
     
     
(403,869
)
   
 
N961DL Aircraft Secured Mortgage, 8%, due 8/20/19
   
9,028
     
393,115
     
     
(393,115
)
   
 
N976DL Aircraft Secured Mortgage, 8%, due 2/15/18
   
4,636
     
218,321
     
     
(218,321
)
   
 
N913DL Equipment Trust Beneficial Interests
   
491,371
     
107,501
     
375
     
(107,876
)
   
 
N918DL Equipment Trust Beneficial Interests
   
8,483
     
127,662
     
89,515
     
(217,177
)
   
 
N954DL Equipment Trust Beneficial Interests
   
8,743
     
77,850
     
17,496
     
(95,346
)
   
 
N955DL Equipment Trust Beneficial Interests
   
8,278
     
108,100
     
2,433
     
(110,533
)
   
 
N956DL Equipment Trust Beneficial Interests
   
8,362
     
104,478
     
2,571
     
(107,049
)
   
 
N957DL Equipment Trust Beneficial Interests
   
8,249
     
105,329
     
2,637
     
(107,966
)
   
 
N959DL Equipment Trust Beneficial Interests
   
8,139
     
106,203
     
2,702
     
(108,905
)
   
 
N960DL Equipment Trust Beneficial Interests
   
7,785
     
105,937
     
3,088
     
(109,025
)
   
 
N961DL Equipment Trust Beneficial Interests
   
7,976
     
101,487
     
3,159
     
(104,646
)
   
 
N976DL Equipment Trust Beneficial Interests
   
8,635
     
100,793
     
755
     
(101,548
)
   
 
RM Holdco, LLC, Equity Participation
   
     
     
     
     
 
RM Holdco, LLC, Membership Units
   
251,887
     
     
     
     
 
RM OpCo, LLC, Senior Secured 1st Lien Term Loan Tranche A, 7%, due 3/21/16
   
328,902
     
3,719,155
     
1,152,129
     
     
4,871,284
 
RM OpCo, LLC, Senior Secured 2nd Lien Term Loan Tranche B, 8.5%, due 3/30/18
   
804,739
     
4,490,993
     
1,131,050
     
(2,467,273
)
   
3,154,770
 
RM OpCo, LLC, Senior Secured 2nd Lien Term Loan Tranche B-1, 8.5%, due 3/30/18
   
253,440
     
2,797,956
     
251,599
     
     
3,049,555
 
RM OpCo, LLC, Convertible 2nd Lien Term Loan Tranche B-1, 8.5%, due 3/30/18
   
165,193
     
1,783,036
     
164,019
     
(3,684
)
   
1,943,371
 
RM OpCo, LLC, Senior Convertible 2nd Lien Term Loan B, 8.5%, due 3/30/18
   
248,959
     
2,188,233
     
2,063,135
     
     
4,251,368
 
United N659UA-767, LLC (N659UA)
   
456,168
     
3,368,599
     
448,126
     
(624,787
)
   
3,191,938
 
United N661UA-767, LLC (N661UA)
   
549,091
     
3,294,024
     
673,594
     
(701,517
)
   
3,266,101
 
Wasserstein Cosmos Co-Invest, L.P., Limited Partnership Units
   
     
4,198,500
     
     
(2,668,500
)
   
1,530,000
 
 

Notes to Consolidated Schedule of Changes in Investments in Affiliates:

(1)
The issuers of the securities listed on this schedule are considered affiliates under the Investment Company Act of 1940 due to the ownership by the Company of 5% or more of the issuers’ voting securities.

(2)
Also includes fee and lease income as applicable.

(3)
Acquisitions include new purchases, PIK income, amortization of original issue and market discounts and net unrealized appreciation.

(4)
Dispositions include decreases in the cost basis from sales, paydowns, mortgage amortizations, aircraft depreciation and net unrealized depreciation.

TCP Capital Corp.

Consolidated Schedule of Restricted Securities of Unaffiliated Issuers (Unaudited)

March 31, 2017

Investment
 
Acquisition Date
Avanti Communications Group, PLC, Senior New Money Initial Note, 10%, due 10/1/21
 
1/26/17
Avanti Communications Group, PLC, Senior Second-Priority PIK Toggle Note, 10%, due 10/1/21
 
1/26/17
Avanti Communications Group, PLC, Senior Secured Third-Priority Note, 12%, due 10/1/23
 
1/26/17
BlackLine Intermediate, Inc., Warrants to Purchase Common Stock
 
9/25/13
Boomerang Tube Holdings, Inc., Common Stock
 
2/2/16
Caribbean Financial Group, Senior Secured Notes, 11.5%, due 11/15/19
 
10/19/12
Epic Aero, Inc. (One Sky), Warrants to Purchase Common Stock
 
12/4/13
Findly Talent, LLC, Membership Units
 
1/1/14
Fuse Media, LLC, Warrants to Purchase Common Stock
 
8/3/12
Fuse, LLC, Senior Secured Notes, 10.375%, due 7/1/19
 
6/18/14
GACP I, LP, Membership Units
 
10/1/15
Gogo Intermediate Holdings, LLC, Senior Secured Notes, 12.5%, due 7/1/22
 
6/9/16
Green Biologics, Inc., Warrants to Purchase Stock
 
12/22/14
InMobi, Inc., Warrants to Purchase Stock
 
9/18/15
Integra Telecom, Inc., Common Stock
 
11/19/09
Integra Telecom, Inc., Warrants
 
11/19/09
Iracore International, Inc., Senior Secured Notes, 9.5%, due 6/1/18
 
5/8/13
Magnolia Finance V plc, Asset-Backed Credit Linked Notes, 13.125%, due 8/2/21
 
8/1/13
Marsico Holdings, LLC, Common Interest Units
 
9/10/12
Nanosys, Inc., Warrants to Purchase Common Stock
 
3/29/16
NEG Parent, LLC, Class A Units
 
10/17/16
NEG Parent, LLC, Class A Warrants to Purchase Class A Units
 
10/17/16
NEG Parent, LLC, Class B Warrants to Purchase Class A Units
 
10/17/16
NEG Parent, LLC, Class P Units
 
10/17/16
NEXTracker, Inc., Series B Preferred Stock
 
12/17/14
NEXTracker, Inc., Series C Preferred Stock
 
6/12/15
Rightside Group, Ltd., Warrants
 
8/6/14
Shop Holding, LLC (Connexity), Class A Units
 
6/2/11
Soasta, Inc., Warrants to Purchase Series F Preferred Stock
 
3/4/16
Soraa, Inc., Warrants to Purchase Common Stock
 
8/29/14
SoundCloud, Ltd., Warrants to Purchase Preferred Stock
 
4/30/15
STG-Fairway Holdings, LLC (First Advantage), Class A Units
 
12/30/10
Trade Finance Funding I, Ltd., Secured Class B Notes, 10.75%, due 11/13/18
 
11/13/13
Utilidata, Inc., Warrants to Purchase Stock
 
12/22/15
V Telecom Investment S.C.A. (Vivacom), Common Shares
 
11/9/12
Waterfall International, Inc., Series B Preferred Stock
 
9/16/2015
Waterfall International, Inc., Warrants to Purchase Stock
 
9/16/2015
 
TCP Capital Corp.

Consolidated Schedule of Restricted Securities of Unaffiliated Issuers

December 31, 2016
 
Investment
 
Acquisition Date
Avanti Communications Group, PLC, Senior Secured Notes, 10%, due 10/1/19
 
9/26/13
BlackLine Intermediate, Inc., Warrants to Purchase Common Stock
 
9/25/13
Boomerang Tube Holdings, Inc., Common Stock
 
2/2/16
Caribbean Financial Group, Senior Secured Notes, 11.5%, due 11/15/19
 
10/19/12
Epic Aero, Inc. (One Sky), Warrants to Purchase Common Stock
 
12/4/13
Findly Talent, LLC, Membership Units
 
1/1/14
Fuse Media, LLC, Warrants to Purchase Common Stock
 
8/3/12
Fuse, LLC, Senior Secured Notes, 10.375%, due 7/1/19
 
6/18/14
GACP I, LP, Membership Units
 
10/1/15
Gogo Intermediate Holdings, LLC, Senior Secured Notes, 12.5%, due 7/1/22
 
6/9/16
Green Biologics, Inc., Warrants to Purchase Stock
 
12/22/14
InMobi, Inc., Warrants to Purchase Stock
 
9/18/15
Integra Telecom, Inc., Common Stock
 
11/19/09
Integra Telecom, Inc., Warrants
 
11/19/09
Iracore International, Inc., Senior Secured Notes, 9.5%, due 6/1/18
 
5/8/13
Magnolia Finance V plc, Asset-Backed Credit Linked Notes, 13.125%, due 8/2/21
 
8/1/13
Marsico Holdings, LLC, Common Interest Units
 
9/10/12
Nanosys, Inc., Warrants to Purchase Common Stock
 
3/29/16
NEG Parent, LLC, Class A Units
 
10/17/16
NEG Parent, LLC, Class A Warrants to Purchase Class A Units
 
10/17/16
NEG Parent, LLC, Class B Warrants to Purchase Class A Units
 
10/17/16
NEG Parent, LLC, Class P Units
 
10/17/16
NEXTracker, Inc., Series B Preferred Stock
 
12/17/14
NEXTracker, Inc., Series C Preferred Stock
 
6/12/15
Rightside Group, Ltd., Warrants
 
8/6/14
Shop Holding, LLC (Connexity), Class A Units
 
6/2/11
Soasta, Inc., Warrants to Purchase Series F Preferred Stock
 
3/4/16
Soraa, Inc., Warrants to Purchase Common Stock
 
8/29/14
SoundCloud, Ltd., Warrants to Purchase Preferred Stock
 
4/30/15
STG-Fairway Holdings, LLC (First Advantage), Class A Units
 
12/30/10
Trade Finance Funding I, Ltd., Secured Class B Notes, 10.75%, due 11/13/18
 
11/13/13
Utilidata, Inc., Warrants to Purchase Stock
 
12/22/15
V Telecom Investment S.C.A. (Vivacom), Common Shares
 
11/9/12
Waterfall International, Inc., Series B Preferred Stock
 
9/16/2015
Waterfall International, Inc., Warrants to Purchase Stock
 
9/16/2015
 
TCP Capital Corp.

Consolidating Statement of Assets and Liabilities (Unaudited)

March 31, 2017


   
TCP
Capital Corp.
Standalone
   
Special Value
Continuation
Partners, LP
Consolidated
   
Eliminations
   
TCP
Capital Corp.
Consolidated
 
Assets
                       
Investments, at fair value:
                       
Companies less than 5% owned
 
$
-
   
$
1,195,112,846
   
$
-
   
$
1,195,112,846
 
Companies 5% to 25% owned
   
-
     
70,471,411
     
-
     
70,471,411
 
Companies more than 25% owned
   
-
     
72,925,529
     
-
     
72,925,529
 
Investment in subsidiary
   
1,032,229,446
     
-
     
(1,032,229,446
)
   
-
 
Total investments
   
1,032,229,446
     
1,338,509,786
     
(1,032,229,446
)
   
1,338,509,786
 
                                 
Cash and cash equivalents
   
-
     
55,964,496
     
-
     
55,964,496
 
Accrued interest income
   
-
     
14,896,182
     
-
     
14,896,182
 
Deferred debt issuance costs
   
-
     
3,449,834
     
-
     
3,449,834
 
Prepaid expenses and other assets
   
284,194
     
977,571
     
-
     
1,261,765
 
Total assets
   
1,032,513,640
     
1,413,797,869
     
(1,032,229,446
)
   
1,414,082,063
 
                                 
Liabilities
                               
Debt, net of unamortized issuance costs
   
238,473,565
     
369,883,104
     
-
     
608,356,669
 
Incentive allocation payable
   
-
     
4,976,378
     
-
     
4,976,378
 
Interest payable
   
2,205,000
     
2,466,563
     
-
     
4,671,563
 
Payable for investment securities purchased
   
-
     
2,056,600
     
-
     
2,056,600
 
Payable to the Advisor
   
80,354
     
445,513
     
-
     
525,867
 
Accrued expenses and other liabilities
   
475,700
     
1,740,265
     
-
     
2,215,965
 
Total liabilities
   
241,234,619
      381,568,423      
-
     
622,803,042
 
                                 
Net assets
 
$
791,279,021
   
$
1,032,229,446
   
$
(1,032,229,446
)
 
$
791,279,021
 
                                 
Composition of net assets
                               
Common stock
 
$
53,042
   
$
-
   
$
-
   
$
53,042
 
Additional paid-in capital
   
944,429,214
     
1,180,024,317
     
(1,180,024,317
)
   
944,429,214
 
Accumulated deficit
   
(153,203,235
)
   
(147,794,871
)
   
147,794,871
     
(153,203,235
)
Net assets
 
$
791,279,021
   
$
1,032,229,446
   
$
(1,032,229,446
)
 
$
791,279,021
 
 
TCP Capital Corp.

Consolidating Statement of Assets and Liabilities

December 31, 2016
 
   
TCP
Capital Corp.
Standalone
   
Special Value
Continuation
Partners, LP
Consolidated
   
Eliminations
   
TCP
Capital Corp.
Consolidated
 
Assets
                       
Investments, at fair value:
                       
Companies less than 5% owned
 
$
   
$
1,175,097,468
   
$
   
$
1,175,097,468
 
Companies 5% to 25% owned
   
     
69,355,808
     
     
69,355,808
 
Companies more than 25% owned
   
     
70,516,594
     
     
70,516,594
 
Investment in subsidiary
   
1,031,709,637
     
     
(1,031,709,637
)
   
 
Total investments
   
1,031,709,637
     
1,314,969,870
     
(1,031,709,637
)
   
1,314,969,870
 
                                 
Cash and cash equivalents
   
     
53,579,868
     
     
53,579,868
 
Accrued interest income
   
     
13,692,194
     
     
13,692,194
 
Deferred debt issuance costs
   
     
3,828,784
     
     
3,828,784
 
Prepaid expenses and other assets
   
371,466
     
1,156,279
     
     
1,527,745
 
Total assets
   
1,032,081,103
     
1,387,226,995
     
(1,031,709,637
)
   
1,387,598,461
 
                                 
Liabilities
                               
Debt, net of unamortized issuance costs
   
237,871,436
     
333,787,426
     
     
571,658,862
 
Payable for investment securities purchased
   
     
12,348,925
     
     
12,348,925
 
Interest payable
   
2,298,333
     
2,715,380
     
     
5,013,713
 
Incentive allocation payable
   
     
4,716,834
     
     
4,716,834
 
Payable to the Advisor
   
     
325,790
     
     
325,790
 
Accrued expenses and other liabilities
   
975,343
     
1,623,003
     
     
2,598,346
 
Total liabilities
   
241,145,112
     
355,517,358
     
     
596,662,470
 
                                 
Net assets
 
$
790,935,991
   
$
1,031,709,637
   
$
(1,031,709,637
)
 
$
790,935,991
 
                                 
Composition of net assets
                               
Common stock
 
$
53,042
   
$
   
$
   
$
53,042
 
Additional paid-in capital
   
944,426,650
     
1,180,024,317
     
(1,180,024,317
)
   
944,426,650
 
Accumulated deficit
   
(153,543,701
)
   
(148,314,680
)
   
148,314,680
     
(153,543,701
)
Net assets
 
$
790,935,991
   
$
1,031,709,637
   
$
(1,031,709,637
)
 
$
790,935,991
 


TCP Capital Corp.

Consolidating Statement of Operations (Unaudited)

Three Months Ended March 31, 2017


   
TCP
Capital Corp.
Standalone
   
Special Value
Continuation
Partners, LP
Consolidated
   
Eliminations
   
TCP
Capital Corp.
Consolidated
 
Investment income
                       
Interest income:
                       
Companies less than 5% owned
 
$
-
   
$
35,418,453
   
$
-
   
$
35,418,453
 
Companies 5% to 25% owned
   
-
     
1,726,423
     
-
     
1,726,423
 
Companies more than 25% owned
   
-
     
1,635,334
     
-
     
1,635,334
 
Lease income:
                               
Companies more than 25% owned
   
-
     
74,457
     
-
     
74,457
 
Other income:
                               
Companies less than 5% owned
   
-
     
488,347
     
-
     
488,347
 
Total investment income
   
-
     
39,343,014
     
-
     
39,343,014
 
                                 
Operating expenses
                               
Interest and other debt expenses
   
3,656,365
     
4,098,662
     
-
     
7,755,027
 
Management and advisory fees
   
-
     
4,934,041
     
-
     
4,934,041
 
Administration expenses
   
-
     
589,561
     
-
     
589,561
 
Legal fees, professional fees and due diligence expenses
   
155,227
     
122,494
     
-
     
277,721
 
Director fees
   
53,323
     
106,647
     
-
     
159,970
 
Insurance expense
   
35,985
     
71,975
     
-
     
107,960
 
Custody fees
   
875
     
81,012
     
-
     
81,887
 
Other operating expenses
   
190,434
     
364,525
     
-
     
554,959
 
Total expenses
   
4,092,209
     
10,368,917
     
-
     
14,461,126
 
                                 
Net investment income (loss)
   
(4,092,209
)
   
28,974,097
     
-
     
24,881,888
 
                                 
Net realized and unrealized gain (loss) on investments and foreign currency
                 
Net realized gain (loss):
                               
Investments in companies less than 5% owned
   
-
     
(5,087,458
)
   
-
     
(5,087,458
)
Net realized loss
   
-
     
(5,087,458
)
   
-
     
(5,087,458
)
                                 
Change in net unrealized appreciation/depreciation
   
-
     
4,617,498
     
-
     
4,617,498
 
Net realized and unrealized loss
   
-
     
(469,960
)
   
-
     
(469,960
)
                                 
Net increase (decrease) in net assets from operations
   
(4,092,209
)
   
28,504,137
     
-
     
24,411,928
 
                                 
Interest in earnings of subsidiary
   
23,527,759
     
-
     
(23,527,759
)
   
-
 
Distributions of incentive allocation to the General Partner from net investment income
   
-
     
-
     
(4,976,378
)
   
(4,976,378
)
Net increase in net assets applicable to common equityholders resulting from operations
 
$
19,435,550
   
$
28,504,137
   
$
(28,504,137
)
 
$
19,435,550
 
 
TCP Capital Corp.

Consolidating Statement of Operations (Unaudited)

Three Months Ended March 31, 2016

   
TCP
Capital Corp.
Standalone
   
Special Value
Continuation
Partners, LP
Consolidated
   
Eliminations
   
TCP
Capital Corp.
Consolidated
 
Investment income
                       
Interest income:
                       
Companies less than 5% owned
 
$
-
   
$
30,810,782
   
$
-
   
$
30,810,782
 
Companies 5% to 25% owned
   
-
     
1,532,728
     
-
     
1,532,728
 
Companies more than 25% owned
   
-
     
531,013
     
-
     
531,013
 
Lease income:
                               
Companies more than 25% owned
   
-
     
776,071
     
-
     
776,071
 
Other income:
                               
Companies less than 5% owned
   
-
     
938,688
     
-
     
938,688
 
Total investment income
   
-
     
34,589,282
     
-
     
34,589,282
 
                                 
Operating expenses
                               
Interest and other debt expenses
   
1,696,288
     
3,848,993
     
-
     
5,545,281
 
Management and advisory fees
   
-
     
4,504,084
     
-
     
4,504,084
 
Legal fees, professional fees and due diligence expenses
   
148,329
     
354,366
     
-
     
502,695
 
Administration expenses
   
-
     
421,736
     
-
     
421,736
 
Director fees
   
35,975
     
71,949
     
-
     
107,924
 
Insurance expense
   
32,454
     
68,480
     
-
     
100,934
 
Custody fees
   
875
     
79,651
     
-
     
80,526
 
Other operating expenses
   
150,613
     
305,110
     
-
     
455,723
 
Total expenses
   
2,064,534
     
9,654,369
     
-
     
11,718,903
 
                                 
Net investment income (loss)
   
(2,064,534
)
   
24,934,913
     
-
     
22,870,379
 
                                 
Net realized and unrealized gain (loss) on investments and foreign currency
                               
Net realized gain (loss):
                               
Investments in companies less than 5% owned
   
-
     
(2,943,705
)
   
-
     
(2,943,705
)
Investments in companies 5% to 25% owned
   
-
     
315,053
     
-
     
315,053
 
Net realized loss
   
-
     
(2,628,652
)
   
-
     
(2,628,652
)
Change in net unrealized appreciation/depreciation
   
-
     
(4,194,601
)
   
-
     
(4,194,601
)
Net realized and unrealized loss
   
-
     
(6,823,253
)
   
-
     
(6,823,253
)
                                 
Net increase (decrease) in net assets from operations
   
(2,064,534
)
   
18,111,660
     
-
     
16,047,126
 
                                 
Interest in earnings of subsidiary
   
13,537,584
     
-
     
(13,537,584
)
   
-
 
Distributions of incentive allocation to the General Partner from net investment income
   
-
     
-
     
(4,574,076
)
   
(4,574,076
)
Net increase in net assets applicable to common equityholders resulting from operations
 
$
11,473,050
   
$
18,111,660
   
$
(18,111,660
)
 
$
11,473,050
 
 
Item 2.          Management’s Discussion and Analysis of Financial Condition and Results of Operations

The information contained in this section should be read in conjunction with our unaudited consolidated financial statements and related notes thereto appearing elsewhere in this quarterly report on Form 10-Q. Some of the statements in this report (including in the following discussion) constitute forward-looking statements within the meaning of the Private Securities Litigation Reform Act of 1995, which relate to future events or the future performance or financial condition of TCP Capital Corp. (the “Holding Company”). For simplicity, this report uses the terms “Company,” “we,” “us” and “our” to include the Holding Company and, where appropriate in the context, Special Value Continuation Partners, LP (the “Operating Company”), on a consolidated basis. The forward-looking statements contained in this report involve a number of risks and uncertainties, including statements concerning:

our, or our portfolio companies’, future business, operations, operating results or prospects;

the return or impact of current and future investments;

the impact of a protracted decline in the liquidity of credit markets on our business;

the impact of fluctuations in interest rates on our business;

the impact of changes in laws or regulations governing our operations or the operations of our portfolio companies;

our contractual arrangements and relationships with third parties;

the general economy and its impact on the industries in which we invest;

the financial condition of and ability of our current and prospective portfolio companies to achieve their objectives;

our expected financings and investments;

the adequacy of our financing resources and working capital;

the ability of our investment adviser to locate suitable investments for us and to monitor and administer our investments;

the timing of cash flows, if any, from the operations of our portfolio companies;

the timing, form and amount of any dividend distributions; and

our ability to maintain our qualification as a regulated investment company and as a business development company.

We use words such as “anticipate,” “believe,” “expect,” “intend,” “will,” “should,” “could,” “may,” “plan” and similar words to identify forward-looking statements. The forward looking statements contained in this annual report involve risks and uncertainties. Our actual results could differ materially from those implied or expressed in the forward-looking statements for any reason, including the factors set forth as “Risk Factors” in this report.

We have based the forward-looking statements included in this report on information available to us on the date of this report, and we assume no obligation to update any such forward-looking statements. Although we undertake no obligation to revise or update any forward-looking statements, whether as a result of new information, future events or otherwise, you are advised to consult any additional disclosures that we may make directly to you or through reports that we have filed or in the future may file with the SEC, including annual reports on Form 10-K, registration statements on Form N-2, quarterly reports on Form 10-Q and current reports on Form 8-K.

Overview

The Holding Company is a Delaware corporation formed on April 2, 2012 and is an externally managed, closed-end, non-diversified management investment company. The Holding Company was formed through the conversion of a pre-existing closed-end investment company. The Holding Company elected to be treated as a business development company (“BDC”) under the Investment Company Act of 1940, as amended (the “1940 Act”). Our investment objective is to seek to achieve high total returns through current income and capital appreciation, with an emphasis on principal protection. We invest primarily in the debt of middle-market companies as well as small businesses, including senior secured loans, junior loans, mezzanine debt and bonds. Such investments may include an equity component, and, to a lesser extent, we may make equity investments directly. Investment operations are conducted either in Special Value Continuation Partners, LP, a Delaware Limited Partnership (the “Operating Company”), of which the Holding Company owns 100% of the common limited partner interests, or in one of the Operating Company’s wholly-owned subsidiaries, TCPC Funding I, LLC (“TCPC Funding”) and TCPC SBIC, LP (the “SBIC”). The Operating Company has also elected to be treated as a BDC under the 1940 Act. The General Partner of the Operating Company is Series H of SVOF/MM, LLC (“SVOF/MM”), which also serves as the administrator (the “Administrator”) of the Holding Company and the Operating Company. The managing member of SVOF/MM is Tennenbaum Capital Partners, LLC (the “Advisor”), which serves as the investment manager to the Holding Company, the Operating Company, TCPC Funding, and the SBIC. The equity interests in the General Partner are owned directly by the Advisor. The SBIC was organized as a Delaware limited partnership in June 2013. On April 22, 2014, the SBIC received a license from the United States Small Business Administration (the “SBA”) to operate as a small business investment company under the provisions of Section 301(c) of the Small Business Investment Act of 1958.

The Holding Company has elected to be treated as a regulated investment company (“RIC”) for U.S. federal income tax purposes. As a RIC, the Holding Company will not be taxed on its income to the extent that it distributes such income each year and satisfies other applicable income tax requirements. The Operating Company, TCPC Funding, and the SBIC have elected to be treated as partnerships for U.S. federal income tax purposes.

Our leverage program is comprised of $116.0 million in available debt under a senior secured revolving credit facility issued by the Operating Company (the “SVCP Revolver”), a $100.5 million term loan issued by the Operating Company (the “Term Loan” and together with the SVCP Revolver, the “SVCP Facility”), $350.0 million in available debt under a senior secured revolving credit facility issued by TCPC Funding (the “TCPC Funding Facility”), $108.0 million in convertible senior unsecured notes issued by the Holding Company maturing in 2019 (the “2019 Convertible Notes”), $140.0 million in convertible senior unsecured notes issued by the Holding Company maturing in 2022 (the “2022 Convertible Notes”) and $150.0 million in committed leverage from the SBA (the “SBA Program” and, together with the SVCP Facility, the TCPC Funding Facility, the 2019 Convertible Notes and the 2022 Convertible Notes, the “Leverage Program”). Prior to the repurchase and retirement of the remaining preferred interests on September 3, 2015, the Leverage Program also included amounts outstanding under a preferred equity facility issued by the Operating Company (the “Preferred Interests”).

To qualify as a RIC, we must, among other things, meet certain source-of-income and asset diversification requirements and timely distribute to our stockholders generally at least 90% of our investment company taxable income, as defined by the Internal Revenue Code of 1986, as amended, for each year. Pursuant to this election, we generally will not have to pay corporate level taxes on any income that we distribute to our stockholders provided that we satisfy those requirements.

Investments

Our level of investment activity can and does vary substantially from period to period depending on many factors, including the amount of debt and equity capital available to middle-market companies, the level of merger and acquisition activity, the general economic environment and the competitive environment for the types of investments we make.

As a BDC, we are required to comply with certain regulatory requirements. For instance, we generally have to invest at least 70% of our total assets in “qualifying assets,” including securities and indebtedness of private U.S. companies, public U.S. operating companies whose securities are not listed on a national securities exchange or registered under the Securities Exchange Act of 1934, as amended, public domestic operating companies having a market capitalization of less than $250.0 million, cash, cash equivalents, U.S. government securities and high-quality debt investments that mature in one year or less. We are also permitted to make certain follow-on investments in companies that were eligible portfolio companies at the time of initial investment but that no longer meet the definition. As of March 31, 2017, 86.2% of our total assets were invested in qualifying assets.

Revenues

We generate revenues primarily in the form of interest on the debt we hold. We also generate revenue from dividends on our equity interests, capital gains on the disposition of investments, and certain lease, fee, and other income. Our investments in fixed income instruments generally have an expected maturity of three to five years, although we have no lower or upper constraint on maturity. Interest on our debt investments is generally payable quarterly or semi-annually. Payments of principal of our debt investments may be amortized over the stated term of the investment, deferred for several years or due entirely at maturity. In some cases, our debt investments and preferred stock investments may defer payments of cash interest or dividends or PIK. Any outstanding principal amount of our debt investments and any accrued but unpaid interest will generally become due at the maturity date. In addition, we may generate revenue in the form of prepayment fees, commitment, origination, structuring or due diligence fees, end-of-term or exit fees, fees for providing significant managerial assistance, consulting fees and other investment related income.

Expenses

Our primary operating expenses include the payment of a base management fee and, depending on our operating results, incentive compensation, expenses reimbursable under the management agreement, administration fees and the allocable portion of overhead under the administration agreement. The base management fee and incentive compensation remunerates the Advisor for work in identifying, evaluating, negotiating, closing and monitoring our investments. Our administration agreement with Series H of SVOF/MM, LLC (the “Administrator”) provides that the Administrator may be reimbursed for costs and expenses incurred by the Administrator for office space rental, office equipment and utilities allocable to us under the administration agreement, as well as any costs and expenses incurred by the Administrator or its affiliates relating to any non-investment advisory, administrative or operating services provided by the Administrator or its affiliates to us. We also bear all other costs and expenses of our operations and transactions (and the Holding Company’s common stockholders indirectly bear all of the costs and expenses of the Holding Company, the Operating Company, TCPC Funding and the SBIC), which may include those relating to:

our organization;

calculating our net asset value (including the cost and expenses of any independent valuation firms);

interest payable on debt, if any, incurred to finance our investments;

costs of future offerings of our common stock and other securities, if any;

the base management fee and any incentive compensation;

dividends and distributions on our preferred shares, if any, and common shares;

administration fees payable under the administration agreement;

fees payable to third parties relating to, or associated with, making investments;

transfer agent and custodial fees;

registration fees;

listing fees;

taxes;

director fees and expenses;

costs of preparing and filing reports or other documents with the SEC;

costs of any reports, proxy statements or other notices to our stockholders, including printing costs;

our fidelity bond;

directors and officers/errors and omissions liability insurance, and any other insurance premiums;

indemnification payments;

direct costs and expenses of administration, including audit and legal costs; and

all other expenses reasonably incurred by us and the Administrator in connection with administering our business, such as the allocable portion of overhead under the administration agreement, including rent and other allocable portions of the cost of certain of our officers and their respective staffs.

The investment management agreement provides that the base management fee be calculated at an annual rate of 1.5% of our total assets (excluding cash and cash equivalents) payable quarterly in arrears. For purposes of calculating the base management fee, “total assets” is determined without deduction for any borrowings or other liabilities. The base management fee is calculated based on the value of our total assets (excluding cash and cash equivalents) at the end of the most recently completed calendar quarter.

Additionally, the investment management agreement and the Amended and Restated Limited Partnership Agreement provide that the Advisor or its affiliates may be entitled to incentive compensation under certain circumstances. According to the terms of such agreements, no incentive compensation was incurred prior to January 1, 2013. Beginning January 1, 2013, the incentive compensation equals the sum of (1) 20% of all ordinary income since January 1, 2013 and (2) 20% of all net realized capital gains (net of any net unrealized capital depreciation) since January 1, 2013, with each component being subject to a total return requirement of 8% of contributed common equity annually. The incentive compensation is payable to the General Partner by the Operating Company pursuant to the Amended and Restated Limited Partnership Agreement. If the Operating Company is terminated or for any other reason incentive compensation is not paid by the Operating Company, it would be paid pursuant to the investment management agreement between us and the Advisor. The determination of incentive compensation is subject to limitations under the 1940 Act and the Advisers Act.

Critical accounting policies

Our discussion and analysis of our financial condition and results of operations are based upon our financial statements, which have been prepared in accordance with GAAP. The preparation of these financial statements requires management to make estimates and assumptions that affect the reported amounts of assets, liabilities, revenues and expenses. Changes in the economic environment, financial markets and any other parameters used in determining such estimates could cause actual results to differ. Management considers the following critical accounting policies important to understanding the financial statements. In addition to the discussion below, our critical accounting policies are further described in the notes to our financial statements.

Valuation of portfolio investments

We value our portfolio investments at fair value based upon the principles and methods of valuation set forth in policies adopted by our board of directors. Fair value is defined as the price that would be received to sell an asset in an orderly transaction between market participants at the measurement date. Market participants are buyers and sellers in the principal (or most advantageous) market for the asset that (i) are independent of us, (ii) are knowledgeable, having a reasonable understanding about the asset based on all available information (including information that might be obtained through due diligence efforts that are usual and customary), (iii) are able to transact for the asset, and (iv) are willing to transact for the asset or liability (that is, they are motivated but not forced or otherwise compelled to do so).

Investments for which market quotations are readily available are valued at such market quotations unless the quotations are deemed not to represent fair value. We generally obtain market quotations from recognized exchanges, market quotation systems, independent pricing services or one or more broker-dealers or market makers. However, short term debt investments with remaining maturities within 90 days are generally valued at amortized cost, which approximates fair value. Debt and equity securities for which market quotations are not readily available, which is the case for many of our investments, or for which market quotations are deemed not to represent fair value, are valued at fair value using a consistently applied valuation process in accordance with our documented valuation policy that has been reviewed and approved by our board of directors, who also approve in good faith the valuation of such securities as of the end of each quarter. Due to the inherent uncertainty and subjectivity of determining the fair value of investments that do not have a readily available market value, the fair value of our investments may differ significantly from the values that would have been used had a readily available market value existed for such investments and may differ materially from the values that we may ultimately realize. In addition, changes in the market environment and other events may have differing impacts on the market quotations used to value some of our investments than on the fair values of our investments for which market quotations are not readily available. Market quotations may be deemed not to represent fair value in certain circumstances where we believe that facts and circumstances applicable to an issuer, a seller or purchaser, or the market for a particular security cause current market quotations to not reflect the fair value of the security. Examples of these events could include cases where a security trades infrequently causing a quoted purchase or sale price to become stale, where there is a “forced” sale by a distressed seller, where market quotations vary substantially among market makers, or where there is a wide bid-ask spread or significant increase in the bid-ask spread.

The valuation process approved by our board of directors with respect to investments for which market quotations are not readily available or for which market quotations are deemed not to represent fair value is as follows:

The investment professionals of the Advisor provide recent portfolio company financial statements and other reporting materials to independent valuation firms approved by our board of directors.

Such firms evaluate this information along with relevant observable market data to conduct independent appraisals each quarter, and their preliminary valuation conclusions are documented and discussed with senior management of the Advisor.

The fair value of smaller investments comprising in the aggregate less than 5% of our total capitalization may be determined by the Advisor in good faith in accordance with our valuation policy without the employment of an independent valuation firm.

The audit committee of the board of directors discusses the valuations, and the board of directors approves the fair value of the investments in our portfolio in good faith based on the input of the Advisor, the respective independent valuation firms (to the extent applicable) and the audit committee of the board of directors.

Those investments for which market quotations are not readily available or for which market quotations are deemed not to represent fair value are valued utilizing a market approach, an income approach, or both approaches, as appropriate. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities (including a business). The income approach uses valuation techniques to convert future amounts (for example, cash flows or earnings) to a single present amount (discounted). The measurement is based on the value indicated by current market expectations about those future amounts. In following these approaches, the types of factors that we may take into account in determining the fair value of our investments include, as relevant and among other factors: available current market data, including relevant and applicable market trading and transaction comparables, applicable market yields and multiples, security covenants, call protection provisions, information rights, the nature and realizable value of any collateral, the portfolio company’s ability to make payments, its earnings and discounted cash flows, the markets in which the portfolio company does business, comparisons of financial ratios of peer companies that are public, merger and acquisition comparables, our principal market (as the reporting entity) and enterprise values.

When valuing all of our investments, we strive to maximize the use of observable inputs and minimize the use of unobservable inputs. Inputs refer broadly to the assumptions that market participants would use in pricing an asset, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of us. Unobservable inputs are inputs that reflect our assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances.

Our investments may be categorized based on the types of inputs used in their valuation. The level in the GAAP valuation hierarchy in which an investment falls is based on the lowest level input that is significant to the valuation of the investment in its entirety. Investments are classified by GAAP into the three broad levels as follows:

Level 1 — Investments valued using unadjusted quoted prices in active markets for identical assets.

Level 2 — Investments valued using other unadjusted observable market inputs, e.g. quoted prices in markets that are not active or quotes for comparable instruments.

Level 3 — Investments that are valued using quotes and other observable market data to the extent available, but which also take into consideration one or more unobservable inputs that are significant to the valuation taken as a whole.

As of March 31, 2017, less than 0.1% of our investments were categorized as Level 1, 7.6% were categorized as Level 2, 92.1% were Level 3 investments valued based on valuations by independent third party sources, and 0.2% were Level 3 investments valued based on valuations by the Advisor.

As of December 31, 2016, none of our investments were categorized as Level 1, 8.4% were categorized as Level 2, 91.5% were Level 3 investments valued based on valuations by independent third party sources, and 0.1% were Level 3 investments valued based on valuations by the Advisor.

Determination of fair value involves subjective judgments and estimates. Accordingly, the notes to our consolidated financial statements express the uncertainty with respect to the possible effect of such valuations, and any change in such valuations, on the financial statements.

Revenue recognition

Interest and dividend income, including income paid in kind, is recorded on an accrual basis. Origination, structuring, closing, commitment and other upfront fees, including original issue discounts, earned with respect to capital commitments are generally amortized or accreted into interest income over the life of the respective debt investment, as are end-of-term or exit fees receivable upon repayment of a debt investment. Other fees, including certain amendment fees, prepayment fees and commitment fees on broken deals, are recognized as earned. Prepayment fees and similar income due upon the early repayment of a loan or debt security are recognized when earned and are included in interest income.

Certain of our debt investments are purchased at a discount to par as a result of the underlying credit risks and financial results of the issuer, as well as general market factors that influence the financial markets as a whole. Discounts on the acquisition of corporate bonds are generally amortized using the effective-interest or constant-yield method assuming there are no questions as to collectability. When principal payments on a loan are received in an amount in excess of the loan’s amortized cost, the excess principal payments are recorded as interest income.

Net realized gains or losses and net change in unrealized appreciation or depreciation

We measure realized gains or losses by the difference between the net proceeds from the repayment or sale and the amortized cost basis of the investment, without regard to unrealized appreciation or depreciation previously recognized. Realized gains and losses are computed using the specific identification method. Net change in unrealized appreciation or depreciation reflects the change in portfolio investment values during the reporting period, including the reversal of previously recorded unrealized appreciation or depreciation when gains or losses are realized.

Portfolio and investment activity

During the three months ended March 31, 2017, we invested approximately $139.8 million, comprised of new investments in four new and five existing portfolio companies, as well as draws made on existing commitments and PIK received on prior investments. Of these investments, 95.5% were in senior secured debt comprised of senior loans ($126.9 million, or 90.8% of total acquisitions) and senior secured notes ($6.6 million, or 4.7% of total acquisitions). The remaining $6.3 million (4.5% of total acquisitions) were comprised of $5.7 million in equity interests in two portfolios of debt and lease assets, as well as $0.6 million in two warrant positions received in connection with debt investments. Additionally, we received approximately $117.0 million in proceeds from sales or repayments of investments during the three months ended March 31, 2017.

During the three months ended March 31, 2016, we invested approximately $114.1 million, comprised of new investments in four new and two existing portfolio companies, as well as draws made on existing commitments and PIK received on prior investments. Of these investments, 94.9% were in senior secured debt comprised of senior loans ($91.9 million, or 80.5% of the total) and senior secured notes ($16.4 million, or 14.4% of the total). The remaining $5.8 million (5.1% of total acquisitions) were comprised of $5.0 million in equity interests in two portfolios of debt and lease assets, as well as $0.8 million in two warrant positions received in connection with debt investments. Additionally, we received approximately $66.1 million in proceeds from sales or repayments of investments during the three months ended March 31, 2016.

At March 31, 2017, our investment portfolio of $1,338.5 million (at fair value) consisted of 88 portfolio companies and was invested 95.2% in debt investments, substantially all of which was in senior secured debt. In aggregate, our investment portfolio was invested 86.7% in senior secured loans, 8.5% in senior secured notes and 4.8% in equity investments. Our average portfolio company investment at fair value was approximately $15.4 million. Our largest portfolio company investment by value was approximately $46.2 million and our five largest portfolio company investments by value comprised approximately 15.4% of our portfolio at March 31, 2017.

At December 31, 2016, our investment portfolio of $1,315.0 million (at fair value) consisted of 90 portfolio companies and was invested 95.0% in debt investments, substantially all of which was in senior secured debt. In aggregate, our investment portfolio was invested 83.7% in senior secured loans, 11.3% in senior secured notes and 5.0% in equity investments. Our average portfolio company investment at fair value was approximately $14.6 million. Our largest portfolio company investment by value was approximately $46.2 million and our five largest portfolio company investments by value comprised approximately 14.1% of our portfolio at December 31, 2016.

The industry composition of our portfolio at fair value at March 31, 2017 was as follows:

Industry
 
Percent of Total
Investments
 
Software Publishing
   
13.9
%
Computer Systems Design and Related Services
   
10.5
%
Nondepository Credit Intermediation
   
9.1
%
Lessors of Nonfinancial Licenses
   
4.1
%
Business Support Services
   
4.0
%
Air Transportation
   
3.6
%
Hospitals
   
3.6
%
Equipment Leasing
   
3.1
%
Other Information Services
   
3.0
%
Scientific Research and Development Services
   
2.8
%
Chemicals
   
2.6
%
Financial Investment Activities
   
2.5
%
Insurance
   
2.4
%
Retail
   
2.4
%
Textile Furnishings Mills
   
2.3
%
Activities Related to Credit Intermediation
   
1.9
%
Other Manufacturing
   
1.9
%
Utility System Construction
   
1.9
%
Management, Scientific, and Technical Consulting Services
   
1.8
%
Amusement and Recreation
   
1.7
%
Other Publishing
   
1.6
%
Wholesalers
   
1.6
%
Wired Telecommunications Carriers
   
1.6
%
Apparel Manufacturing
   
1.5
%
Radio and Television Broadcasting
   
1.5
%
Educational Support Services
   
1.4
%
Restaurants
   
1.3
%
Advertising and Public Relations Services
   
1.1
%
Building Equipment Contractors
   
1.1
%
Communications Equipment Manufacturing
   
1.1
%
Activities Related to Real Estate
   
1.0
%
Electronic Component Manufacturing
   
1.0
%
Other
   
5.1
%
Total
   
100.0
%
 
The weighted average effective yield of the debt securities in our portfolio was 11.07% at March 31, 2017 and 10.92% at December 31, 2016. At March 31, 2017, 83.5% of debt investments in our portfolio bore interest based on floating rates, such as LIBOR, EURIBOR, the Federal Funds Rate or the Prime Rate, and 16.5% bore interest at fixed rates. The percentage of floating rate debt investments in our portfolio that bore interest based on an interest rate floor was 74.6% at March 31, 2017. At December 31, 2016, 80.5% of debt investments in our portfolio bore interest based on floating rates, such as LIBOR, EURIBOR, the Federal Funds Rate or the Prime Rate, and 19.5% bore interest at fixed rates. The percentage of floating rate debt investments in our portfolio that bore interest based on an interest rate floor was 77.0% at December 31, 2016.

Results of operations

Investment income

Investment income totaled $39.3 million and $34.6 million, respectively, for the three months ended March 31, 2017 and 2016, of which $38.8 million and $32.9 million were attributable to interest and fees on our debt investments, $0.1 million and $0.8 million to lease income and $0.4 million and $1.0 million to other income, respectively. Other income is primarily comprised of fee income earned in respect of amendments to various debt investments. Included in interest and fees on our debt investments were $3.3 million and $0.9 million of non-recurring income related to prepayments for the three months ended March 31, 2017 and 2016, respectively. The increase in investment income in the three months ended March 31, 2017 compared to the three months ended March 31, 2016 reflects an increase in interest income due to the increase in prepayment income and the larger portfolio size in the three months ended March 31, 2017 compared to the three months ended March 31, 2016, partially offset by a decrease in other income.

Expenses

Total operating expenses for the three months ended March 31, 2017 and 2016 were $14.5 million and $11.7 million, respectively, comprised of $7.8 million and $5.5 million in interest expense and related fees, $4.9 million and $4.5 million in base management fees, $0.3 million and $0.5 million in legal and professional fees, $0.6 million and $0.4 million in administrative expenses, and $0.9 million and $0.7 million in other expenses, respectively. The increase in expenses in the three months ended March 31, 2017 compared to the three months ended March 31, 2016 primarily reflects the increase in interest expense and other costs related to the increase in outstanding debt, as well as the higher average interest rate following the issuance of the 2022 Convertible Notes and the increase in LIBOR rates during the period.

Net investment income

Net investment income was $24.9 million and $22.9 million, respectively, for the three months ended March 31, 2017 and 2016. The increase in net investment income in the three months ended March 31, 2017 compared to the three months ended March 31, 2016 primarily reflects the increase in investment income, partially offset by the increase in expenses in the three months ended March 31, 2017.

Net realized and unrealized gain or loss

Net realized losses for the three months ended March 31, 2017 and 2016 were $5.1 million and $2.6 million, respectively. Net realized losses during the three months ended March 31, 2017 were comprised primarily of a $3.5 million loss realization on the restructuring of our loan to Avanti Communications Group and a $1.5 million loss on the disposition of our investment in Integra Telecom Holdings. Substantially all of the losses had been recognized on an unrealized basis in prior periods.  Net realized loss during the three months ended March 31, 2016 was primarily due to the taxable reorganization of our investment in Boomerang Tube, LLC.

For the three months ended March 31, 2017 and 2016, the change in net unrealized appreciation/depreciation was $4.6 million and $(4.2) million, respectively. The change in net unrealized appreciation/depreciation for the three months ended March 31, 2017 was comprised primarily of the reversal of previously recognized unrealized losses as well as various market gains resulting from generally tighter spreads, partially offset by a $2.0 million markdown of Real Mex along with industry comparables, even as the company benefitted from increasing same store sales and other improvements. The change in net unrealized appreciation/depreciation for the three months ended March 31, 2016 was comprised primarily of a $1.7 million markdown on our loan to STG-Fairway Acquisitions, Inc. (aka First Advantage) to just under par, a $1.4 million markdown on our BPA Laboratories, Inc. debt to just above par as call protection expires, as well as various other mark to market adjustments resulting from generally wider market yield spreads during the quarter. These losses were partially offset by certain unrealized gains from improved credit, including a $3.9 million gain on our loan to Securus Technologies, Inc. due to favorable regulatory developments.

Income tax expense, including excise tax

The Holding Company has elected to be treated as a RIC under Subchapter M of the Internal Revenue Code (“the Code”) and operates in a manner so as to qualify for the tax treatment applicable to RICs. To qualify as a RIC, the Holding Company must, among other things, timely distribute to its stockholders generally at least 90% of its investment company taxable income, as defined by the Code, for each year. The Company has made and intends to continue to make the requisite distributions to its stockholders which will generally relieve the Company from U.S. federal income taxes.

Depending on the level of taxable income earned in a tax year, we may choose to carry forward taxable income in excess of current year dividend distributions from such current year taxable income into the next tax year and pay a 4% excise tax on such income. Any excise tax expense is recorded at year end as such amounts are known. There was no U.S. federal excise tax recorded during the three months ended March 31, 2017 and 2016.

Incentive compensation

Incentive compensation distributable to the General Partner for the three months ended March 31, 2017 and 2016 was $5.0 million and $4.6 million, respectively. Incentive compensation for the three months ended March 31, 2017 and 2016 was distributable due to our performance exceeding the total return threshold.

Net increase in net assets applicable to common shareholders resulting from operations

The net increase in net assets resulting from operations was $19.4 million and $11.5 million for the three months ended March 31, 2017 and 2016, respectively. The higher net increase in net assets applicable to common shareholders resulting from operations during the three months ended March 31, 2017 is primarily due to the lower net realized and unrealized losses and the higher net investment income during the three months ended March 31, 2017 compared to the net realized and unrealized losses during the three months ended March 31, 2016.

Liquidity and capital resources

Since our inception, our liquidity and capital resources have been generated primarily through the initial private placement of common shares of SVCF (the predecessor entity) which were subsequently converted to common stock of the Holding Company, the net proceeds from the initial and secondary public offerings of our common stock, amounts outstanding under our Leverage Program, and cash flows from operations, including investments sales and repayments and income earned from investments and cash equivalents. The primary uses of cash have been investments in portfolio companies, cash distributions to our equity holders, payments to service our Leverage Program and other general corporate purposes.

The following table summarizes the total shares issued and proceeds received in offerings of the Company’s common stock net of underwriting discounts and offering costs as well as shares issued in connection with the Company’s dividend reinvestment plan for the three months ended March 31, 2017.


   
Shares Issued
 
Price Per Share
 
Net Proceeds
 
Shares issued from dividend reinvestment plan
   
147
   
$
17.44
*
 
$
2,564
 
 

*
Weighted-average price per share.

The following table summarizes the total shares issued and proceeds received in offerings of the Company’s common stock net of underwriting discounts and offering costs as well as shares issued in connection with the Company’s dividend reinvestment plan for the year ended December 31, 2016.


   
Shares Issued
   
Price Per Share
   
Net Proceeds
 
Shares issued from dividend reinvestment plan
   
610
   
$
15.83
*
 
$
9,657
 
Shares issued from conversion of convertible debt
   
2,011,900
     
15.02
     
 
July 13, 2016 registered direct public offering
   
2,336,552
     
15.09
     
34,958,570
 
 

*
Weighted-average price per share.

On April 18, 2016, the Company issued $30.0 million in aggregate principal amount of a 5.25% convertible senior unsecured note due 2021 to CNO Financial Investments Corp. (the “CNO Note”). On June 7, 2016, the Company issued 2,011,900 shares of its common stock pursuant to the full conversion, at the holder’s option, of the $30.0 million in aggregate principal amount (plus accrued interest) of the CNO Note. The CNO Note was converted at a price of $15.02 per share of common stock. No placement agent or underwriting fees were incurred in connection with the issuance or the conversion of the CNO Note.

On October 3, 2014, we entered into an at-the-market equity offering program (the “ATM Program”) with Raymond James & Associates Inc. through which we may offer and sell, by means of at-the-market offerings from time to time, shares of our common stock having an aggregate offering price of up to $100,000,000.

On February 24, 2015, the Company’s board of directors approved a stock repurchase plan (the “Company Repurchase Plan”) to acquire up to $50.0 million in the aggregate of the Company’s common stock at prices at certain thresholds below the Company’s net asset value per share, in accordance with the guidelines specified in Rule 10b-18 and Rule 10b5-1 of the Securities Exchange Act of 1934. The Company Repurchase Plan is designed to allow the Company to repurchase its common stock at times when it otherwise might be prevented from doing so under insider trading laws. The Company Repurchase Plan requires an agent selected by the Company to repurchase shares of common stock on the Company’s behalf if and when the market price per share is at certain thresholds below the most recently reported net asset value per share. Under the plan, the agent will increase the volume of purchases made if the price of the Company’s common stock declines, subject to volume restrictions. The timing and amount of any stock repurchased depends on the terms and conditions of the Company Repurchase Plan, the market price of the common stock and trading volumes, and no assurance can be given that any particular amount of common stock will be repurchased. The Company Repurchase Plan was re-approved on February 22, 2017, to be in effect through the earlier of two trading days after our first quarter 2017 earnings release, unless further extended or terminated by our board of directors, or such time as the approved $50.0 million repurchase amount has been fully utilized, subject to certain conditions. There were no share repurchases for the three months ended March 31, 2017.
 
Total leverage outstanding and available under the combined Leverage Program at March 31, 2017 were as follows:


   
Maturity
   
Rate
   
Carrying Value*
   
Available
   
Total Capacity
 
SVCP Facility
                             
SVCP Revolver
 
2018
     
L+2.50%
 
 
$
36,000,000
   
$
80,000,000
   
$
116,000,000
 
Term Loan
 
2018
     
L+2.50%
 
   
100,500,000
     
     
100,500,000
 
2019 Convertible Notes ($108 million par)
 
2019
     
5.25%
 
   
106,661,798
     
     
106,661,798
 
2022 Convertible Notes ($140 million par)
 
2022
     
4.625%
 
   
136,993,529
     
     
136,993,529
 
TCPC Funding Facility
 
2020
     
L+2.50%
 
   
175,000,000
     
175,000,000
     
350,000,000
 
SBA Debentures
   2024-2026    
2.58%§
     
61,000,000
     
89,000,000
     
150,000,000
 
Total leverage
                   
616,155,327
   
$
344,000,000
   
$
960,155,327
 
Unamortized issuance costs
                   
(7,798,658
)
               
Debt, net of unamortized issuance costs
                 
$
608,356,669
                 
 

*
Except for the convertible notes, all carrying values are the same as the principal amounts outstanding.

Based on either LIBOR or the lender’s cost of funds, subject to certain limitations

Or L+2.25% subject to certain funding requirements

§
Weighted-average interest rate, excluding fees of 0.36%

On July 13, 2015, we obtained exemptive relief from the SEC to permit us to exclude debt outstanding under the SBA Program from our 200% asset coverage test under the 1940 Act. The exemptive relief provides us with increased flexibility under the 200% asset coverage test by permitting the SBIC to borrow up to $150.0 million more than it would otherwise be able to absent the receipt of this exemptive relief.

Net cash used in operating activities during the three months ended March 31, 2017 was $14.5 million. Our primary use of cash in operating activities during this period consisted of the settlement of acquisitions of investments (net of dispositions) of $19.3 million, partially offset by net investment income less incentive allocation (net of non-cash income and expenses) of approximately $4.8 million.

Net cash provided by financing activities was $16.9 million during the three months ended March 31, 2017, consisting primarily of $36.0 million of net borrowings of debt reduced by the $19.1 million in regular dividends paid on common equity.

At March 31, 2017, we had $56.0 million in cash and cash equivalents.

The SVCP Facility and the TCPC Funding Facility are secured by substantially all of the assets in our portfolio, including cash and cash equivalents, and are subject to compliance with customary affirmative and negative covenants, including the maintenance of a minimum shareholders’ equity, the maintenance of a ratio of not less than 200% of total assets (less total liabilities other than indebtedness) to total indebtedness, and restrictions on certain payments and issuance of debt. Unfavorable economic conditions may result in a decrease in the value of our investments, which would affect both the asset coverage ratios and the value of the collateral securing the SVCP Facility and the TCPC Funding Facility, and may therefore impact our ability to borrow under the SVCP Facility and the TCPC Funding Facility. In addition to regulatory restrictions that restrict our ability to raise capital, the Leverage Program contains various covenants which, if not complied with, could accelerate repayment of debt, thereby materially and adversely affecting our liquidity, financial condition and results of operations. At March 31, 2017, we were in compliance with all financial and operational covenants required by the Leverage Program.

Unfavorable economic conditions, while potentially creating attractive opportunities for us, may decrease liquidity and raise the cost of capital generally, which could limit our ability to renew, extend or replace the Leverage Program on terms as favorable as are currently included therein. If we are unable to renew, extend or replace the Leverage Program upon the various dates of maturity, we expect to have sufficient funds to repay the outstanding balances in full from our net investment income and sales of, and repayments of principal from, our portfolio company investments, as well as from anticipated debt and equity capital raises, among other sources. Unfavorable economic conditions may limit our ability to raise capital or the ability of the companies in which we invest to repay our loans or engage in a liquidity event, such as a sale, recapitalization or initial public offering. The SVCP Facility, the 2019 Convertible Notes, the 2022 Convertible Notes and the TCPC Funding Facility mature in July 2018, December 2019, March 2022 and March 2020, respectively. Any inability to renew, extend or replace the Leverage Program could adversely impact our liquidity and ability to find new investments or maintain distributions to our stockholders.

Challenges in the market are intensified for us by certain regulatory limitations under the Code and the 1940 Act. To maintain our qualification as a RIC, we must satisfy, among other requirements, an annual distribution requirement to pay out at least 90% of our ordinary income and short-term capital gains to our stockholders. Because we are required to distribute our income in this manner, and because the illiquidity of many of our investments may make it difficult for us to finance new investments through the sale of current investments, our ability to make new investments is highly dependent upon external financing. While we anticipate being able to continue to satisfy all covenants and repay the outstanding balances under the Leverage Program when due, there can be no assurance that we will be able to do so, which could lead to an event of default.

Contractual obligations

In addition to obligations under our Leverage Program, we have entered into several contracts under which we have future commitments. Pursuant to an investment management agreement, the Advisor manages our day-to-day operations and provides investment advisory services to us. Payments under the investment management agreement are equal to a percentage of the value of our gross assets (excluding cash and cash equivalents) and an incentive compensation, plus reimbursement of certain expenses incurred by the Advisor. Under our administration agreement, the Administrator provides us with administrative services, facilities and personnel. Payments under the administration agreement are equal to an allocable portion of overhead and other expenses incurred by the Administrator in performing its obligations to us, and may include rent and our allocable portion of the cost of certain of our officers and their respective staffs. We are responsible for reimbursing the Advisor for due diligence and negotiation expenses, fees and expenses of custodians, administrators, transfer and distribution agents, counsel and directors, insurance, filings and registrations, proxy expenses, expenses of communications to investors, compliance expenses, interest, taxes, portfolio transaction expenses, costs of responding to regulatory inquiries and reporting to regulatory authorities, costs and expenses of preparing and maintaining our books and records, indemnification, litigation and other extraordinary expenses and such other expenses as are approved by the directors as being reasonably related to our organization, offering, capitalization, operation or administration and any portfolio investments, as applicable. The Advisor is not responsible for any of the foregoing expenses and such services are not investment advisory services under the 1940 Act. Either party may terminate each of the investment management agreement and administration agreement without penalty upon not less than 60 days’ written notice to the other.

Distributions

Our quarterly dividends and distributions to common stockholders are recorded on the ex-dividend date. Distributions are declared considering our estimate of annual taxable income available for distribution to stockholders and the amount of taxable income carried over from the prior year for distribution in the current year. We do not have a policy to pay distributions at a specific level and expect to continue to distribute substantially all of our taxable income. We cannot assure stockholders that they will receive any distributions or distributions at a particular level.

The following tables summarize dividends declared for the three months ended March 31, 2017 and 2016:


Date Declared
 
Record Date
 
Payment Date
 
Type
 
Amount
Per Share
 
Total Amount
 
February 22, 2017
 
March 17, 2017
 
March 31, 2017
 
Regular
   
$
0.36
   
$
19,095,084
 

Date Declared
 
Record Date
 
Payment Date
 
Type
 
Amount
Per Share
 
Total Amount
 
February 24, 2016
 
March 17, 2016
 
March 31, 2016
 
Regular
   
$
0.36
   
$
17,530,963
 


The following table summarizes the total shares issued in connection with our dividend reinvestment plan for the three months ended March 31, 2017 and 2016:
 
   
2017
   
2016
 
Shares Issued
   
147
     
154
 
Average Price Per Share
 
$
17.44
   
$
14.88
 
Proceeds
 
$
2,564
   
$
2,291
 
 
We have elected to be taxed as a RIC under Subchapter M of the Code. In order to maintain favorable RIC tax treatment, we must distribute annually to our stockholders at least 90% of our ordinary income and realized net short-term capital gains in excess of realized net long-term capital losses, if any, out of the assets legally available for distribution. In order to avoid certain excise taxes imposed on RICs, we must distribute during each calendar year an amount at least equal to the sum of:

98% of our ordinary income (not taking into account any capital gains or losses) for the calendar year;

98.2% of the amount by which our capital gains exceed our capital losses (adjusted for certain ordinary losses) for the one-year period generally ending on October 31 of the calendar year; and

certain undistributed amounts from previous years on which we paid no U.S. federal income tax.

We may, at our discretion, carry forward taxable income in excess of calendar year distributions and pay a 4% excise tax on this income. If we choose to do so, all other things being equal, this would increase expenses and reduce the amounts available to be distributed to our stockholders. We will accrue excise tax on estimated taxable income as required. In addition, although we currently intend to distribute realized net capital gains (i.e., net long-term capital gains in excess of short-term capital losses), if any, at least annually, out of the assets legally available for such distributions, we may in the future decide to retain such capital gains for investment.

We have adopted an “opt in” dividend reinvestment plan for our common stockholders. As a result, if we declare a dividend or other distribution payable in cash, each stockholder that has not “opted in” to our dividend reinvestment plan will receive such dividends in cash, rather than having their dividends automatically reinvested in additional shares of our common stock.

We may not be able to achieve operating results that will allow us to make dividends and distributions at a specific level or to increase the amount of these dividends and distributions from time to time. Also, we may be limited in our ability to make dividends and distributions due to the asset coverage test applicable to us as a BDC under the 1940 Act and due to provisions in our existing and future credit facilities. If we do not distribute a certain percentage of our income annually, we will suffer adverse tax consequences, including possible loss of favorable RIC tax treatment. In addition, in accordance with U.S. generally accepted accounting principles and tax regulations, we include in income certain amounts that we have not yet received in cash, such as PIK interest, which represents contractual interest added to the loan balance that becomes due at the end of the loan term, or the accrual of original issue or market discount. Since we may recognize income before or without receiving cash representing such income, we may have difficulty meeting the requirement to distribute at least 90% of our investment company taxable income to obtain tax benefits as a RIC and may be subject to an excise tax.

In order to satisfy the annual distribution requirement applicable to RICs, we have the ability to declare a large portion of a dividend in shares of our common stock instead of in cash. As long as a portion of such dividend is paid in cash and certain requirements are met, the entire distribution would be treated as a dividend for U.S. federal income tax purposes.

Related Parties

We have entered into a number of business relationships with affiliated or related parties, including the following:

Each of the Holding Company, the Operating Company, TCPC Funding, and the SBIC has entered into an investment management agreement with the Advisor.

The Administrator provides us with administrative services necessary to conduct our day-to-day operations. For providing these services, facilities and personnel, the Administrator may be reimbursed by us for expenses incurred by the Administrator in performing its obligations under the administration agreement, including our allocable portion of the cost of certain of our officers and the Administrator’s administrative staff and providing, at our request and on our behalf, significant managerial assistance to our portfolio companies to which we are required to provide such assistance.

We have entered into a royalty-free license agreement with the Advisor, pursuant to which the Advisor has agreed to grant us a non-exclusive, royalty-free license to use the name “TCP.”

Pursuant to its limited partnership agreement, the general partner of the Operating Company is Series H of SVOF/MM, LLC. SVOF/MM, LLC is an affiliate of the Advisor and certain other series and classes of SVOF/MM, LLC serve as the general partner or managing member of certain other funds managed by the Advisor.

The Advisor and its affiliates, employees and associates currently do and in the future may manage other funds and accounts. The Advisor and its affiliates may determine that an investment is appropriate for us and for one or more of those other funds or accounts. Accordingly, conflicts may arise regarding the allocation of investments or opportunities among us and those accounts. In general, the Advisor will allocate investment opportunities pro rata among us and the other funds and accounts (assuming the investment satisfies the objectives of each) based on the amount of committed capital each then has available. The allocation of certain investment opportunities in private placements is subject to independent director approval pursuant to the terms of the co-investment exemptive order applicable to us. In certain cases, investment opportunities may be made other than on a pro rata basis. For example, we may desire to retain an asset at the same time that one or more other funds or accounts desire to sell it or we may not have additional capital to invest at a time the other funds or accounts do. If the Advisor is unable to manage our investments effectively, we may be unable to achieve our investment objective. In addition, the Advisor may face conflicts in allocating investment opportunities between us and certain other entities that could impact our investment returns. While our ability to enter into transactions with our affiliates is restricted under the 1940 Act, we have received an exemptive order from the SEC permitting certain affiliated investments subject to certain conditions. As a result, we may face conflict of interests and investments made pursuant to the exemptive order conditions which could in certain circumstances affect adversely the price paid or received by us or the availability or size of the position purchased or sold by us.

Recent Developments

From April 1, 2017 through May 5, 2017, the Operating Company has invested approximately $141.1 million primarily in seven senior secured loans with a combined effective yield of approximately 9.3%.

On April 25, 2017, the Company closed a public offering of 5.75 million shares of its common stock at $16.84 per share for gross proceeds of approximately $96.8 million and net proceeds of approximately $93.6 million, net of underwriter discounts and approximately $0.3 million of expenses related to the offering.

On April 26, 2017, the Company extended the maturity date of the TCPC Funding facility from March 6, 2020 to April 26, 2021.

On May 3, 2017, the Company’s board of directors re-approved the Company Repurchase Plan, to be in effect through the earlier of two trading days after the Company’s second quarter 2017 earnings release or such time as the approved $50.0 million repurchase amount has been fully utilized, subject to certain conditions.

On May 9, 2017, the Company’s board of directors declared a second quarter regular dividend of $0.36 per share payable on June 30, 2017 to stockholders of record as of the close of business on June 16, 2017.

Item 3:
Quantitative and Qualitative Disclosures About Market Risk

We are subject to financial market risks, including changes in interest rates. At March 31, 2017, 83.5% of debt investments in our portfolio bore interest based on floating rates, such as LIBOR, EURIBOR, the Federal Funds Rate or the Prime Rate. The interest rates on such investments generally reset by reference to the current market index after one to six months. At March 31, 2017, the percentage of floating rate debt investments in our portfolio that bore interest based on an interest rate floor was 74.6%. Floating rate investments subject to a floor generally reset by reference to the current market index after one to six months only if the index exceeds the floor.

Interest rate sensitivity refers to the change in earnings that may result from changes in the level of interest rates. Because we fund a portion of our investments with borrowings, our net investment income is affected by the difference between the rate at which we invest and the rate at which we borrow. As a result, there can be no assurance that a significant change in market interest rates will not have a material adverse effect on our net investment income. We assess our portfolio companies periodically to determine whether such companies will be able to continue making interest payments in the event that interest rates increase. There can be no assurances that the portfolio companies will be able to meet their contractual obligations at any or all levels of increases in interest rates.

Based on our March 31, 2017 balance sheet, the following table shows the annual impact on net investment income (excluding the related incentive compensation impact) of base rate changes in interest rates (considering interest rate floors for variable rate instruments) assuming no changes in our investment and borrowing structure:


Basis Point Change
 
Interest income
   
Interest Expense
   
Net Investment Income
 
Up 300 basis points
 
$
36,089,022
   
$
(11,175,000
)
 
$
24,914,022
 
Up 200 basis points
   
24,658,655
     
(7,450,000
)
   
17,208,655
 
Up 100 basis points
   
13,228,288
     
(3,725,000
)
   
9,503,288
 
Down 100 basis points
   
(4,996,806
)
   
3,725,000
     
(1,271,806
)
Down 200 basis points
   
(5,409,097
)
   
4,226,758
     
(1,182,339
)
Down 300 basis points
   
(5,409,097
)
   
4,226,758
     
(1,182,339
)


Item 4.     Controls and Procedures

As of the period covered by this report, we, including our chief executive officer and chief financial officer, evaluated the effectiveness of the design and operation of our disclosure controls and procedures (as defined in Rule 13a-15(e) under the Exchange Act). Based on our evaluation, our management, including the chief executive officer and chief financial officer, concluded that our disclosure controls and procedures were effective in timely alerting management, including the chief executive officer and chief financial officer, of material information about us required to be included in our periodic SEC filings. However, in evaluating the disclosure controls and procedures, management recognized that any controls and procedures, no matter how well designed and operated, are based upon certain assumptions about the likelihood of future events and can provide only reasonable assurance of achieving the desired control objectives, and management necessarily was required to apply its judgment in evaluating the cost-benefit relationship of possible controls and procedures. There has not been any change in our internal controls over financial reporting (as defined in Rule 13a-15(f) under the Exchange Act) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, our internal controls over financial reporting.

Item 1.     Legal Proceedings

Although we may, from time to time, be involved in litigation arising out of our operations in the normal course of business or otherwise, as of March 31, 2017, we are currently not a party to any pending material legal proceedings.

Item 1A.  Risk Factors

There have been no material changes from the risk factors previously disclosed in our most recent annual report on Form 10-K, as filed with the Securities and Exchange Commission on February 28, 2017.

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

None.

Item 3.     Defaults Upon Senior Securities.

None.

Item 4:     Mine Safety Disclosures.

None.

Item 5:     Other Information.

None.

Item 6:     Exhibits


Number
 
Description
3.1
 
Articles of Incorporation of the Registrant (1)
3.2
 
Bylaws of the Registrant (2)
 
Certification of Chief Executive Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934*
 
Certification of Chief Financial Officer Pursuant to Rule 13a-14(a) under the Securities Exchange Act of 1934*
 
Certification of Chief Executive Officer and Chief Financial Officer Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (18 U. S. C. 1350)*
 
* Filed herewith.

(1)
Incorporated by reference to Exhibit (a)(2) to the Registrant’s Registration Statement under the Securities Act of 1933 (File No. 333-172669), on Form N-2, filed on May 13, 2011

(2)
Incorporated by reference to Exhibit (b)(2) to the Registrant’s Registration Statement under the Securities Act of 1933 (File No. 333-172669), on Form N-2, filed on May 13, 2011

SIGNATURES

Pursuant to the requirements of the Securities Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, there unto duly authorized.

TCP CAPITAL CORP.


Date: May 9, 2017
     
 
By:
/s/ Howard M. Levkowitz
 
 
Name:
Howard M. Levkowitz
 
 
Title:
Chief Executive Officer
 

Date: May 9, 2017
     
 
By:
/s/ Paul L. Davis
 
 
Name:
Paul L. Davis
 
 
Title:
Chief Financial Officer
 

 
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