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EX-31.2 - EXHIBIT 31.2 - BlackRock TCP Capital Corp.ex31_2.htm
EX-32.1 - EXHIBIT 32.1 - BlackRock TCP Capital Corp.ex32_1.htm
EX-31.1 - EXHIBIT 31.1 - BlackRock TCP Capital Corp.ex31_1.htm

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, 2016
 
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 28 th 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 ☐

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 10, 2016 was 48,693,992.
 


TCP CAPITAL CORP.
 
FORM 10-Q FOR THE THREE MONTHS ENDED MARCH 31, 2016
 
TABLE OF CONTENTS

Part I.
Financial Information
 
     
Item 1.
Financial Statements
 
2
 
3
 
13
 
14
 
15
 
16
 
41
 
43
 
45
 
47
     
Item 2.
49
     
Item 3.
62
     
Item 4.
62
     
Part II.
Other Information
 
     
Item 1.
63
     
Item 1A.
63
     
Item 2.
63
     
Item 3.
63
     
Item 4.
63
     
Item 5.
63
     
Item 6.
63
 
TCP Capital Corp.
Consolidated Statements of Assets and Liabilities

   
March 31, 2016
   
December 31, 2015
 
   
(unaudited)
       
Assets
           
Investments, at fair value:
           
Companies less than 5% owned (cost of $1,157,582,658 and $1,123,682,687, respectively)
 
$
1,131,433,680
   
$
1,099,208,475
 
Companies 5% to 25% owned (cost of $71,578,769 and $68,862,518, respectively)
   
70,467,574
     
69,008,931
 
Companies more than 25% owned (cost of $50,326,748 and $39,162,221 respectively)
   
25,243,374
     
14,702,319
 
Total investments (cost of $1,279,488,175 and $1,231,707,426, respectively)
   
1,227,144,628
     
1,182,919,725
 
                 
Cash and cash equivalents
   
22,691,133
     
35,629,435
 
Accrued interest income:
               
Companies less than 5% owned
   
10,803,929
     
8,842,528
 
Companies 5% to 25% owned
   
1,011,550
     
741,306
 
Companies more than 25% owned
   
480,715
     
29,230
 
Deferred debt issuance costs
   
4,991,822
     
5,390,241
 
Unrealized appreciation on swaps
   
2,634,515
     
3,229,442
 
Options (cost of $331,077 and $51,750, respectively)
   
232,362
     
-
 
Prepaid expenses and other assets
   
1,234,615
     
2,331,044
 
Total assets
   
1,271,225,269
     
1,239,112,951
 
                 
Liabilities
               
Debt, net of unamortized issuance costs
   
539,595,306
     
498,205,471
 
Payable for investments purchased
   
5,285,571
     
6,425,414
 
Incentive allocation payable
   
4,574,076
     
5,207,606
 
Interest payable
   
4,151,389
     
2,911,257
 
Payable to the Advisor
   
682,970
     
508,334
 
Accrued expenses and other liabilities
   
2,875,299
     
3,877,852
 
Total liabilities
   
557,164,611
     
517,135,934
 
                 
Commitments and contingencies (Note 5)
               
                 
Non-controlling interest
               
General Partner interest in Special Value Continuation Partners, LP
   
-
     
-
 
Net assets applicable to common shareholders
 
$
714,060,658
   
$
721,977,017
 
                 
Composition of net assets applicable to common shareholders
               
Common stock, $0.001 par value; 200,000,000 shares authorized, 48,694,292 and 48,834,734 shares issued and outstanding as of March 31, 2016 and December 31, 2015, respectively
 
$
48,694
   
$
48,834
 
Paid-in capital in excess of par
   
876,525,050
     
878,383,356
 
Accumulated net investment income
   
23,027,133
     
22,261,793
 
Accumulated net realized losses
   
(136,678,194
)
   
(132,483,593
)
Accumulated net unrealized depreciation
   
(48,862,025
)
   
(46,233,373
)
Net assets applicable to common shareholders
 
$
714,060,658
   
$
721,977,017
 
                 
Net assets per share
 
$
14.66
   
$
14.78
 
 
TCP Capital Corp.

Consolidated Schedule of Investments (Unaudited)

March 31, 2016

Issuer
 
Instrument
 
Ref
 
Floor
   
Spread
   
Total Coupon
 
Maturity
 
Principal
   
Cost
   
Fair
Value
   
% of Total
Cash and
Investments
   
Notes
 
                                                           
Debt Investments (A)
                                                         
                                                           
Accounting, Tax and Payroll Services
                                                         
EGS Holdings, Inc. (Expert Global Solutions)
 
Holdco PIK Notes
 
LIBOR (A)
   
3.00
%
   
10.00
%
   
13.00
%
10/3/2018
 
$
64,783
   
$
64,783
   
$
64,754
     
0.01
%
     
Expert Global Solutions, LLC
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.50
%
   
11.00
%
   
12.50
%
10/3/2018
 
$
15,249,675
     
15,051,498
     
15,239,000
     
1.22
%
     
                                               
15,116,281
     
15,303,754
     
1.23
%
     
Advertising, Public Relations Services
                                                                       
Doubleplay III Limited (Exterion Media) (United Kingdom)
 
First Lien Facility
A1 Term Loan
 
EURIBOR (Q)
   
1.25
%
   
5.75
%
   
7.00
%
3/18/2018
 
12,249,157
     
16,015,147
     
13,659,550
     
1.09
%
   
D/H
 
InMobi, Inc. (Singapore)
 
First Lien Delayed Draw
Tranche 1 Term Loan
(1.25% Exit Fee)
 
LIBOR (M)
   
0.33
%
   
10.17
%
   
10.80
%
9/1/2018
 
$
15,000,000
     
14,606,937
     
14,658,000
     
1.17
%
   
H/L
 
InMobi, Inc. (Singapore)
 
First Lien Delayed Draw
Tranche 1 Term Loan
(1.25% Exit Fee)
 
LIBOR (M)
   
0.33
%
   
10.17
%
   
N/A
 
9/1/2018
 
$
-
     
-
     
-
     
-
     
H/L
 
InMobi, Inc. (Singapore)
 
First Lien Delayed Draw
Tranche 1 Term Loan
(1.25% Exit Fee)
 
LIBOR (M)
   
0.33
%
   
10.17
%
   
N/A
 
9/1/2018
 
$
-
     
-
     
-
     
-
     
H/L
 
                                               
30,622,084
     
28,317,550
     
2.26
%
       
Air Transportation
                                                                         
Aircraft Leased to Delta Air Lines, Inc.
                                                                         
N913DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
3/15/2017
 
$
90,314
     
90,314
     
91,195
     
0.01
%
   
F
 
N918DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
8/15/2018
 
$
212,078
     
212,078
     
215,376
     
0.02
%
   
F
 
N954DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
3/20/2019
 
$
312,265
     
312,265
     
317,288
     
0.03
%
    F  
N955DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
6/20/2019
 
$
338,869
     
338,869
     
344,628
     
0.03
%
    F  
N956DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
5/20/2019
 
$
334,628
     
334,628
     
340,255
     
0.03
%
   
F
 
N957DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
6/20/2019
 
$
341,833
     
341,833
     
347,640
     
0.03
%
   
F
 
N959DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
7/20/2019
 
$
348,975
     
348,975
     
354,960
     
0.03
%
   
F
 
N960DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
10/20/2019
 
$
373,128
     
373,128
     
379,681
     
0.03
%
   
F
 
N961DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
8/20/2019
 
$
362,070
     
362,070
     
368,332
     
0.03
%
   
F
 
N976DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
2/15/2018
 
$
190,145
     
190,145
     
192,780
     
0.02
%
   
F
 
Aircraft Leased to United Airlines, Inc.
                                                                         
N661UA
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
12.00
%
   
12.00
%
5/4/2016
 
$
226,408
     
226,408
     
229,295
     
0.02
%
   
F
 
Cargojet Airways LTD. (Canada)
 
Aircraft Acquisition  Loan A
 
LIBOR (M)
   
-
     
8.50
%
   
9.00
%
1/31/2023
 
$
13,994,102
     
13,739,602
     
13,908,738
     
1.11
%
   
H
 
Cargojet Airways LTD. (Canada)
 
Aircraft Acquisition  Loan A1
 
LIBOR (M)
   
-
     
8.50
%
   
9.00
%
1/31/2023
 
$
14,317,957
     
14,040,160
     
14,223,458
     
1.14
   
H
 
Mesa Air Group, Inc.
 
Acquisition  Delayed Draw Loan
 
LIBOR (M)
   
-
     
7.25
%
   
N/A
 
6/17/2019
 
$
-
     
-
     
359,738
     
0.03
%
       
Mesa Air Group, Inc.
 
Acquisition Loan
 
LIBOR (M)
   
-
     
7.25
%
   
7.75
%
7/15/2022
 
$
15,522,081
     
15,266,476
     
15,933,416
     
1.27
%
       
                                               
46,176,951
     
47,606,780
     
3.83
%
       
Apparel Manufacturing
                                                                         
Broder Bros., Co.
 
First Lien Term Loan A
(First Out)
 
LIBOR (Q)
   
1.25
%
   
5.75
%
   
7.00
%
6/3/2021
 
$
9,880,000
     
9,694,096
     
9,682,400
     
0.77
%
       
Broder Bros., Co.
 
First Lien Term Loan B 
(Last Out)
 
LIBOR (Q)
   
1.25
%
   
12.25
%
   
13.50
%
6/3/2021
 
$
9,920,000
     
9,737,390
     
9,721,600
     
0.78
%
       
JH Apparel Holdings, LLC
 
First Lien FILO Term Loan
 
LIBOR (M)
   
1.00
%
   
9.60
%
   
10.60
%
4/8/2019
 
$
3,431,102
     
3,410,355
     
3,430,416
     
0.27
%
       
                                               
22,841,841
     
22,834,416
     
1.82
%
       
Business Support Services
                                                                         
Enerwise Global Technologies, Inc.
 
Sr Secured Revolving Loan
 
LIBOR (Q)
   
0.23
%
   
8.52
%
   
8.75
%
11/30/2017
 
$
-
     
(60,846
)
   
(9,375
)
   
0.00
%
   
K
 
Enerwise Global Technologies, Inc.
 
Sr Secured Term Loan
(1.0% Exit Fee)
 
LIBOR (Q)
   
0.23
%
   
9.27
%
   
9.90
%
11/30/2019
 
$
17,062,500
     
16,851,192
     
17,041,172
     
1.36
%
   
L
 
STG-Fairway Acquisitions, Inc. (First Advantage)
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
9.25
%
   
10.25
%
6/30/2023
 
$
31,000,000
     
30,557,032
     
30,631,100
     
2.45
%
       
                                               
47,347,378
     
47,662,897
     
3.81
%
       
Chemicals
                                                                         
Anuvia Plant Nutrients Holdings, LLC
 
Sr Secured Term Loan
(8.0 % Exit Fee)
 
LIBOR (M)
   
0.23
%
   
10.27
%
   
11.96
%
2/1/2018
 
$
11,131,431
     
11,479,236
     
11,533,832
     
0.92
%
   
L
 
BioAmber, Inc.
 
Sr Secured Term Loan
(8.0% Exit Fee)
 
LIBOR (M)
   
0.23
%
   
9.27
%
   
9.96
%
12/1/2017
 
$
9,195,542
     
9,502,449
     
9,803,827
     
0.78
%
   
L
 
Green Biologics, Inc.
 
Sr Secured Delayed Draw  Term Loan (10.0% Exit Fee)
 
Prime Rate
   
-
     
7.75
%
   
11.25
%
5/1/2018
 
$
15,000,000
     
15,064,708
     
15,388,500
     
1.23
%
   
L
 
                                               
36,046,393
     
36,726,159
     
2.93
%
       
Communications Equipment Manufacturing
                                                                         
Globecomm Systems, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.25
%
   
7.63
%
   
10.13
%
12/11/2018
 
$
14,591,960
     
14,446,040
     
14,030,899
     
1.12
%
   
B
 
                                                                           
Computer Equipment Manufacturing
                                                                         
Silicon Graphics International Corp.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
9.00
%
   
10.00
%
7/27/2018
 
$
17,133,845
     
16,902,683
     
17,262,349
     
1.38
%
   
J
 
                                                                           
Computer Systems Design and Related Services
                                                                     
Dealersocket, Inc.
 
Senior Secured 1st Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
10.00
%
   
11.00
%
2/10/2021
 
$
17,500,000
     
16,818,334
     
17,272,500
     
1.38
%
       
MSC Software Corporation
 
Second Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
7.50
%
   
8.50
%
5/29/2021
 
$
6,993,035
     
6,942,215
     
6,014,011
     
0.48
%
       
OnX Enterprise Solutions, Ltd. (Canada)
 
First Lien Term Loan B
 
LIBOR (Q)
   
-
     
8.00
%
   
8.62
%
9/3/2018
 
$
2,331,800
     
2,331,800
     
2,313,729
     
0.19
%
   
H
 
OnX Enterprise Solutions, Ltd. (Canada)
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
7.00
%
   
7.62
%
9/3/2018
 
$
10,400,000
     
10,325,072
     
10,319,400
     
0.83
%
   
H
 
OnX USA, LLC
 
First Lien Term Loan B
 
LIBOR (Q)
   
-
     
8.00
%
   
8.62
%
9/3/2018
 
$
4,663,600
     
4,663,600
     
4,627,457
     
0.37
%
       
OnX USA, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
7.00
%
   
7.62
%
9/3/2018
 
$
5,200,000
     
5,166,205
     
5,159,700
     
0.41
%
       
Vistronix, LLC
 
First Lien Revolver
 
LIBOR (Q)
   
0.50
%
   
8.50
%
   
9.00
%
12/4/2018
 
$
570,996
     
567,311
     
570,996
     
0.05
%
       
Vistronix, LLC
 
First Lien Term Loan
 
LIBOR (M)
   
0.50
%
   
8.50
%
   
9.00
%
12/4/2018
 
$
6,123,145
     
6,078,080
     
5,971,597
     
0.48
%
       
Waterfall International, Inc.
 
First Lien Delayed Draw Term Loan
 
LIBOR (Q)
   
-
     
11.67
%
   
12.30
%
9/1/2018
 
$
4,800,000
     
4,746,857
     
4,775,040
     
0.38
%
       
                                               
57,639,474
     
57,024,430
     
4.57
%
       
Data Processing and Hosting Services
                                                                         
Asset International, Inc.
 
Delayed Draw Term Loan
 
LIBOR (M)
   
1.00
%
   
7.00
%
   
8.00
%
7/31/2020
 
$
3,430,383
     
3,397,572
     
3,285,964
     
0.26
%
       
Asset International, Inc.
 
Revolver Loan
 
LIBOR (M)
   
1.00
%
   
7.00
%
   
8.00
%
7/31/2020
 
$
807,920
     
800,627
     
807,920
     
0.06
%
       
Asset International, Inc.
 
First Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
7.00
%
   
8.00
%
7/31/2020
 
$
8,088,844
     
7,965,280
     
7,755,988
     
0.62
%
       
Rightside Group, Ltd.
 
Second Lien Term Loan
 
LIBOR (Q)
   
0.50
%
   
8.75
%
   
9.44
%
8/6/2019
 
$
4,687,500
     
3,981,596
     
4,701,094
     
0.38
%
       
United TLD Holdco, Ltd.(Rightside)(Cayman Islands)
 
Second Lien Term Loan
 
LIBOR (Q)
   
0.50
%
   
8.75
%
   
9.44
%
8/6/2019
 
$
9,375,000
     
7,963,193
     
9,402,188
     
0.75
%
   
H
 
                                               
24,108,268
     
25,953,154
     
2.07
%
       
 
TCP Capital Corp.

Consolidated Schedule of Investments (Unaudited) (Continued)

March 31, 2016

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
                                                       
Holocene Renewable Energy Fund 3, LLC (Conergy)
 
First Lien Term Loan
 
Fixed
   
-
   
9% Cash
+ 1% PIK
     
10.00
%
9/10/2017
 
$
7,480,101
   
$
7,425,016
   
$
7,405,300
     
0.59
%
       
CGY UK Portfolio I Borrower LLC, (Conergy)
 
Senior Secured 1st Lien Term Loan
 
LIBOR (Q)
   
-
     
9.00
%
   
9.63
%
3/3/2018
 
$
3,951,020
     
3,836,273
     
3,911,510
     
0.31
%
       
                                               
11,261,289
     
11,316,810
     
0.90
%
       
Electrical Equipment Manufacturing
                                                                         
API Technologies Corp.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.50
%
   
8.50
%
   
10.00
%
2/6/2018
 
$
6,165,986
     
6,134,699
     
6,209,456
     
0.50
%
       
API Technologies Corp.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.50
%
   
8.50
%
   
10.00
%
2/6/2018
 
$
3,991,338
     
3,929,828
     
4,019,477
     
0.32
%
       
                                               
10,064,527
     
10,228,933
     
0.82
%
       
                                                                           
Electronic Component Manufacturing
                                                                         
Redaptive, Inc.
 
First Lien Delayed
Draw Term Loan
 
LIBOR (Q)
   
-
     
10.72
%
   
N/A
 
7/1/2018
 
$
-
     
(109,040
)
   
-
     
-
      K  
Soraa, Inc.
 
Tranche A Term Loan
(3.0% Exit Fee)
 
LIBOR (M)
   
0.44
%
   
9.33
%
   
9.96
%
3/1/2018
 
$
22,500,000
     
21,639,076
     
22,066,875
     
1.77
%
    L  
Soraa, Inc.
 
Tranche B Term Loan
 
LIBOR (M)
   
0.44
%
   
9.33
%
   
9.96
%
9/1/2017
 
$
1,687,500
     
1,586,960
     
1,677,459
     
0.13
%
        
                                               
23,116,996
     
23,744,334
     
1.90
%
        
Equipment Leasing
                                                                          
36th Street Capital Partners Holdings, LLC
 
Senior Note
 
Fixed
   
-
     
12.00
%
   
12.00
%
11/1/2020
 
$
9,951,348
     
9,951,348
     
9,951,348
     
0.80
%
    E/F  
Essex Ocean, LLC (Solexel)
 
Sr Secured Term Loan
 
Fixed
   
-
     
8.00
%
   
8.00
%
8/15/2018
 
$
2,401,475
     
2,401,475
     
2,416,724
     
0.19
%
        
                                               
12,352,823
     
12,368,072
     
0.99
%
        
Financial Investment Activities
                                                                          
Institutional Shareholder Services, Inc.
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
7.50
%
   
8.50
%
4/30/2022
 
$
4,471,492
     
4,440,346
     
4,113,773
     
0.33
%
        
iPayment, Inc.
 
First Lien Term Loan B2
 
LIBOR (Q)
   
1.50
%
   
5.25
%
   
6.75
%
5/8/2017
 
$
5,795,079
     
5,551,283
     
5,537,951
     
0.44
%
        
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
     
14,712,000
     
1.18
%
    E/H  
                                               
24,991,629
     
24,363,724
     
1.95
%
        
Gaming
                                                                          
AP Gaming I, LLC
 
First Lien Revolver
 
LIBOR (M)
   
-
     
8.25
%
   
8.42
%
12/20/2018
 
$
-
     
(1,810,948
)
   
(1,562,500
)
   
(0.13
%)
    K  
                                                                            
Grocery Stores
                                                                          
Bashas, Inc.
 
First Lien FILO Term Loan
 
LIBOR (M)
   
1.50
%
   
8.80
%
   
10.30
%
10/8/2019
 
$
9,961,649
     
9,923,539
     
10,002,491
     
0.80
%
        
                                                                            
Hospitals
                                                                          
Evidera, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
9.00
%
   
10.00
%
7/1/2018
 
$
3,759,668
     
3,740,870
     
3,813,243
     
0.31
%
        
KPC Healthcare, Inc.
 
First Lien Term Loan
 
Prime Rate
   
-
     
8.25
%
   
11.75
%
8/28/2020
 
$
17,112,571
     
16,761,359
     
16,902,086
     
1.35
%
        
RegionalCare Hospital Partners, Inc.
 
Second Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
10.25
%
   
11.25
%
10/23/2019
 
$
19,589,099
     
19,378,416
     
19,784,990
     
1.58
%
    G  
                                               
39,880,645
     
40,500,319
     
3.24
%
        
Insurance Carriers
                                                                          
Acrisure, LLC
 
Second Lien Notes
 
LIBOR (Q)
   
1.00
%
   
9.00
%
   
10.00
%
11/19/2022
 
$
28,999,999
     
28,602,684
     
28,930,399
     
2.31
%
        
Acrisure, LLC
 
Second Lien Incremental
Notes
 
LIBOR (Q)
   
1.00
%
   
9.00
%
   
10.00
%
11/19/2022
 
$
     
-
     
-
     
0.00
%
        
JSS Holdings, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
6.50
%
   
7.50
%
8/31/2021
 
$
3,900,000
     
3,828,505
     
3,705,000
     
0.30
%
        
US Apple Holdco, LLC(Ventiv Technology)
 
First Lien Term Loan
 
LIBOR (Q)
   
0.50
%
   
11.50
%
   
12.19
%
8/29/2019
 
$
20,000,000
     
19,409,136
     
19,945,000
     
1.60
%
        
                                               
51,840,325
     
52,580,399
     
4.21
%
        
Insurance Related Activities
                                                                          
Confie Seguros Holding II Co.
 
Second Lien Term Loan
 
LIBOR (M)
   
1.25
%
   
9.00
%
   
10.25
%
5/8/2019
 
$
11,061,809
     
10,955,152
     
10,149,210
     
0.81
%
    G  
                                                                            
Lessors of Nonfinancial Licenses
                                                                          
ABG Intermediate Holdings 2, LLC
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.50
%
5/27/2022
 
$
15,990,714
     
15,857,265
     
15,311,109
     
1.23
%
        
ABG Intermediate Holdings 2, LLC
 
Second Lien Incremental Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.50
%
5/27/2022
 
$
3,474,715
     
3,441,943
     
3,327,039
     
0.27
%
        
                                               
19,299,208
     
18,638,148
     
1.50
%
        
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
 
$
24,519,068
     
24,022,010
     
23,761,429
     
1.90
%
        
                                                                            
Medical Equipment and Supplies Manufacturing
                                                                      
Bioventus, LLC
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
10.00
%
   
11.00
%
4/10/2020
 
$
11,000,000
     
10,827,494
     
10,835,000
     
0.87
%
        
                                                                            
Motion Picture and Video Industries
                                                                          
CORE Entertainment, Inc.
 
First Lien Term Loan
 
Fixed
   
-
     
11.00
%
   
11.00
%
6/21/2017
 
$
9,462,231
     
9,497,311
     
4,388,110
     
0.35
%
    C  
CORE Entertainment, Inc.
 
Second Lien Term Loan
 
Fixed
   
-
     
15.50
%
   
15.50
%
6/21/2018
 
$
7,569,785
     
7,700,187
     
283,488
     
0.02
%
    C  
                                               
17,197,498
     
4,671,598
     
0.37
%
        
Nondepository Credit Intermediation
                                                                          
Caribbean Financial Group (Cayman Islands)
 
Sr Secured Notes
 
Fixed
   
-
     
11.50
%
   
11.50
%
11/15/2019
 
$
28,678,000
     
28,544,430
     
28,713,848
     
2.30
%
   
E/G/H
 
Daymark Financial Acceptance, LLC
 
First Lien Delayed
Draw Term Loan
 
LIBOR (Q)
   
-
     
9.50
%
   
9.93
%
1/12/2020
 
$
7,500,000
     
7,251,261
     
7,279,850
     
0.58
%
        
Greystone Select Holdings, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.00
%
   
9.00
%
3/26/2021
 
$
16,224,469
     
16,051,432
     
15,762,072
     
1.26
%
        
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
     
1.19
%
    E/H  
                                               
66,931,123
     
66,613,510
     
5.33
%
        
Oil and Gas Extraction
                                                                          
MD America Energy, LLC
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.50
%
8/4/2019
 
$
8,095,238
     
7,796,529
     
6,213,095
     
0.50
%
        
                                                                            
Other Chemical Products and Mineral Manufacturing
                                                                      
Nanosys, Inc.
 
Senior Secured 1st Lien
Delayed Draw Term Loan
(3.0% Exit Fee)
 
LIBOR (Q)
   
-
     
9.81
%
   
10.50
%
4/1/2019
 
$
7,000,000
     
6,265,874
     
6,260,461
     
0.50
%
    L  
                                                                            
Other Information Services
                                                                          
Simmons Research, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
0.50
%
   
10.50
%
   
11.13
%
12/11/2020
 
$
5,064,824
     
4,968,032
     
4,963,528
     
0.40
%
        
SoundCloud Ltd. (United Kingdom)
 
Sr Secured Term Loan
(2.0% Exit Fees)
 
LIBOR (Q)
   
0.28
%
   
10.72
%
   
11.00
%
10/1/2018
 
$
31,550,000
     
31,417,165
     
31,521,605
     
2.52
%
    H/L  
TCH-2 Holdings, LLC (TravelClick)
 
Second Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
7.75
%
   
8.75
%
11/6/2021
 
$
19,988,392
     
19,744,021
     
17,789,669
     
1.42
%
    G  
                                               
56,129,218
     
54,274,802
     
4.34
%
        
Other Manufacturing
                                                                          
AGY Holding Corp.
 
Sr Secured Term Loan
 
Fixed
   
-
     
12.00
%
   
12.00
%
9/15/2016
 
$
4,869,577
     
4,869,577
     
4,869,577
     
0.39
%
    B  
AGY Holding Corp.
 
Second Lien Notes
 
Fixed
   
-
     
11.00
%
   
11.00
%
11/15/2016
 
$
9,268,000
     
7,586,317
     
9,268,000
     
0.74
%
    B/E  
Boomerang Tube, LLC
 
Subordinated Notes
 
LIBOR (M)
   
-
     
17.50
%
   
17.50
%
2/1/2021
 
$
1,030,741
     
1,030,741
     
316,437
     
0.03
%
    C  
                                               
13,486,635
     
14,454,014
     
1.16
%
        
Other Telecommunications
                                                                          
Securus Technologies, Inc.
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.25
%
   
7.75
%
   
9.00
%
4/30/2021
 
$
14,000,000
     
13,860,000
     
11,812,500
     
0.95
%
        
 
TCP Capital Corp.

Consolidated Schedule of Investments (Unaudited) (Continued)

March 31, 2016

Issuer
 
Instrument
 
Ref
 
Floor
   
Spread
   
Total Coupon
 
Maturity
 
Principal
   
Cost
   
Fair
Value
   
% of Total
Cash and
Investments
     
Notes
 
                                                             
Debt Investments (continued)
                                                           
Other Publishing
                                                           
MediMedia USA, Inc.
 
First Lien Revolver
 
LIBOR (M)
   
-
     
6.75
%
   
7.19
%
5/20/2018
 
$
2,092,500
   
$
1,581,943
   
$
1,814,043
     
0.15
%
       
MediMedia USA, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.25
%
   
6.75
%
   
8.00
%
11/20/2018
 
$
5,681,239
     
5,590,849
     
5,553,412
     
0.44
%
    G
 
                                               
7,172,792
     
7,367,455
     
0.59
%
        
Pharmaceuticals
                                                                          
Lantheus Medical Imaging, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
6.00
%
   
7.00
%
6/30/2022
 
$
5,955,000
     
5,867,304
     
5,210,625
     
0.42
%
        
                                                                            
Plastics Manufacturing
                                                                          
Iracore International, Inc.
 
Sr Secured Notes
 
Fixed
   
-
     
9.50
%
   
9.50
%
6/1/2018
 
$
13,600,000
     
13,600,000
     
8,636,000
     
0.69
%
    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
     
5,672,890
     
0.45
%
    E/G
 
NEP/NCP Holdco, Inc.
 
Second Lien Term Loan
 
LIBOR (M)
   
1.25
%
   
8.75
%
   
10.00
%
7/22/2020
 
$
13,837,830
     
13,597,041
     
12,834,587
     
1.03
%
        
                                               
20,909,041
     
18,507,477
     
1.48
%
        
                                                                            
Restaurants
                                                                          
RM OpCo, LLC (Real Mex)
 
Convertible Second Lien Term Loan Tranche B-1
 
Fixed
   
-
     
8.50
%
   
8.50
%
3/30/2018
 
$
1,821,621
     
1,821,621
     
1,821,621
     
0.15
%
    B
 
RM OpCo, LLC (Real Mex)
 
First Lien
Term Loan Tranche A
 
Fixed
   
-
     
7.00
%
   
7.00
%
3/30/2018
 
$
4,851,479
     
4,568,092
     
4,851,479
     
0.39
%
    B
 
RM OpCo, LLC (Real Mex)
 
Second Lien
Term Loan Tranche B
 
Fixed
   
-
     
8.50
%
   
8.50
%
3/30/2018
 
$
9,076,512
     
9,076,512
     
4,173,380
     
0.33
%
    B
 
RM OpCo, LLC (Real Mex)
 
Second Lien
Term Loan Tranche B-1
 
Fixed
   
-
     
8.50
%
   
8.50
%
3/30/2018
 
$
2,858,503
     
2,843,081
     
2,858,503
     
0.23
%
    B
 
RM OpCo, LLC (Real Mex)
 
Sr Convertible Second Lien Term Loan B
 
Fixed
   
-
     
8.50
%
   
8.50
%
3/30/2018
 
$
2,235,586
     
2,235,586
     
2,235,586
     
0.18
%
    B
 
                                               
20,544,892
     
15,940,569
     
1.28
%
        
Retail
                                                                          
Connexity, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
10.00
%
   
11.00
%
2/13/2020
 
$
6,274,125
     
6,274,125
     
5,987,397
     
0.48
%
        
Kenneth Cole Productions, Inc.
 
First Lien FILO Term Loan
 
LIBOR (M)
   
1.00
%
   
8.50
%
   
9.50
%
9/25/2020
 
$
12,961,897
     
12,836,513
     
13,091,516
     
1.05
%
        
                                               
19,110,638
     
19,078,913
     
1.53
%
        
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
     
6,860,807
     
0.55
%
   
E/G/H
 
                                                                            
Scientific Research and Development Services
                                                                      
BPA Laboratories, Inc.
 
Senior Secured Notes
 
Fixed
   
-
     
12.25
%
   
12.25
%
4/1/2017
 
$
38,932,000
     
39,001,750
     
39,126,660
     
3.13
%
    E/G
 
                                                                            
Software Publishing
                                                                          
Acronis International GmbH (Switzerland)
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
9.50
%
   
10.50
%
6/9/2017
 
$
29,102,364
     
29,017,558
     
28,459,202
     
2.28
%
    H
 
ArcServe (USA), LLC
 
Second Lien Term Loan
 
LIBOR (Q)
   
0.50
%
   
8.50
%
   
9.13
%
1/31/2020
 
$
30,000,000
     
29,553,221
     
27,810,000
     
2.23
%
        
Autoalert, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
0.25
%
 
4.75% Cash
+ 4% PIK
     
9.44
%
3/31/2019
 
$
34,914,412
     
34,452,971
     
34,807,923
     
2.78
%
        
BlackLine Systems, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.50
%
 
0.4% Cash
+ 7.6% PIK
     
9.50
%
9/25/2018
 
$
14,865,144
     
14,204,371
     
15,013,796
     
1.20
%
        
BlackLine Systems, Inc.
 
Senior Secured 1st Lien Incremental Term Loan
 
LIBOR (Q)
   
1.50
%
 
0.4% Cash
+ 7.6% PIK
     
9.50
%
9/25/2018
 
$
3,746,911
     
3,672,813
     
3,784,381
     
0.30
%
        
BlackLine Systems, Inc.
 
Senior Secured Revolver
 
LIBOR (Q)
   
0.50
%
   
6.00
%
   
6.50
%
9/25/2018
 
$
     
-
     
-
     
0.00
%
        
Bluehornet Networks, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
9.50
%
   
10.13
%
12/3/2020
 
$
5,986,525
     
5,816,826
     
5,806,930
     
0.46
%
        
Edmentum, Inc.
 
Jr Revolving Facility
 
Fixed
   
-
     
5.00
%
   
5.00
%
6/9/2020
 
$
1,179,005
     
1,179,005
     
1,179,008
     
0.09
%
    B
 
Edmentum Ultimate Holdings, LLC
 
Sr PIK Notes
 
Fixed
   
-
     
8.50
%
   
8.50
%
6/9/2020
 
$
2,668,539
     
2,668,539
     
2,668,539
     
0.21
%
    B
 
Edmentum Ultimate Holdings, LLC
 
Jr PIK Notes
 
Fixed
   
-
     
10.00
%
   
10.00
%
6/9/2020
 
$
12,089,634
     
11,502,196
     
11,630,228
     
0.93
%
    B
 
Fidelis Acquisitionco, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.00
%
   
9.00
%
11/4/2019
 
$
42,136,100
     
41,435,793
     
41,872,749
     
3.35
%
        
Fidelis Acquisitionco, LLC
 
Sr Secured Revolver
 
LIBOR (Q)
   
1.00
%
   
8.00
%
   
9.00
%
11/4/2019
 
$
3,182,143
     
3,182,143
     
3,162,254
     
0.25
%
        
Soasta, Inc.
 
Senior Secured 1st Lien Term Loan
(4.0% Exit Fees)
 
LIBOR (M)
   
-
     
9.56
%
   
10.25
%
4/1/2019
 
$
17,880,435
     
17,531,265
     
17,546,071
     
1.40
%
   
L
 
Utilidata, Inc.
 
First Lien Delayed Draw Term Loan
(1.0% Exit Fee)
 
LIBOR (M)
   
0.62
%
   
9.88
%
   
10.50
%
1/1/2019
 
$
3,200,000
     
2,935,491
     
2,960,000
     
0.24
%
    L
 
Virgin Pulse Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
8.00
%
   
8.69
%
5/21/2020
 
$
7,500,000
     
7,405,248
     
7,500,000
     
0.60
%
        
                                               
204,557,440
     
204,201,081
     
16.32
%
        
Specialty Hospitals
                                                                          
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
     
10,682,146
     
10,778,964
     
0.86
%
        
                                                                            
Textile Furnishings Mills
                                                                          
Lexmark Carpet Mills, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
10.00
%
   
11.00
%
12/19/2019
 
$
23,740,530
     
23,740,530
     
23,538,736
     
1.88
%
        
Lexmark Carpet Mills, Inc.
 
First Lien Term Loan B
 
LIBOR (Q)
   
1.00
%
   
10.00
%
   
11.00
%
12/19/2019
 
$
8,143,554
     
7,966,820
     
8,074,333
     
0.65
%
        
                                               
31,707,350
     
31,613,069
     
2.53
%
        
Utility System Construction
                                                                          
Kawa Solar Holdings Limited
 
Revolving Credit Facility
 
Fixed
   
-
     
8.20
%
   
8.20
%
7/2/2017
 
$
25,000,000
     
25,000,000
     
25,000,000
     
2.00
%
        
                                                                            
Wired Telecommunications Carriers
                                                                          
Alpheus Communications, LLC
 
First Lien Delayed Draw FILO Term Loan
 
LIBOR (Q)
   
1.00
%
   
7.42
%
   
8.42
%
5/31/2018
 
$
1,057,865
     
1,040,826
     
1,053,025
     
0.08
%
        
Alpheus Communications, LLC
 
First Lien FILO Term
Loan
 
LIBOR (Q)
   
1.00
%
   
7.42
%
   
8.42
%
5/31/2018
 
$
7,887,269
     
7,808,859
     
7,857,297
     
0.64
%
        
Integra Telecom Holdings, Inc.
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.25
%
   
8.50
%
   
9.75
%
2/22/2020
 
$
13,231,193
     
13,049,863
     
12,644,125
     
1.01
%
        
Oxford County Telephone and Telegraph Company
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
7.13
%
   
8.13
%
8/31/2020
 
$
3,985,000
     
3,931,343
     
3,888,364
     
0.31
%
        
                                               
25,830,891
     
25,442,811
     
2.04
%
        
Wireless Telecommunications Carriers
                                                                          
Gogo, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.50
%
   
9.75
%
   
11.25
%
3/21/2018
 
$
31,282,448
     
31,392,951
     
31,595,272
     
2.53
%
    G
 
                                                                            
Total Debt Investments
                                             
1,204,409,154
     
1,173,308,440
     
93.88
%
        
 
TCP Capital Corp.

Consolidated Schedule of Investments (Unaudited) (Continued)

March 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
   
$
232,936
     
0.02
%
   
C/E/H
 
                                                                 
Air Transportation
                                                               
Aircraft Leased to Delta Air Lines, Inc.
                                                               
N913DL
 
Trust Beneficial Interests
                       
1,396
     
84,539
     
104,727
     
0.01
%
   
E/F
 
N918DL
 
Trust Beneficial Interests
                       
1,111
     
84,851
     
125,377
     
0.01
%
   
E/F
 
N954DL
 
Trust Beneficial Interests
                       
1,027
     
92,696
     
79,295
     
0.01
%
   
E/F
 
N955DL
 
Trust Beneficial Interests
                       
986
     
88,799
     
107,287
     
0.01
%
   
E/F
 
N956DL
 
Trust Beneficial Interests
                       
996
     
88,771
     
103,825
     
0.01
%
   
E/F
 
N957DL
 
Trust Beneficial Interests
                       
986
     
89,120
     
104,669
     
0.01
%
   
E/F
 
N959DL
 
Trust Beneficial Interests
                       
976
     
89,472
     
105,536
     
0.01
%
   
E/F
 
N960DL
 
Trust Beneficial Interests
                       
949
     
90,874
     
105,396
     
0.01
%
   
E/F
 
N961DL
 
Trust Beneficial Interests
                       
967
     
90,478
     
101,106
     
0.01
%
   
E/F
 
N976DL
 
Trust Beneficial Interests
                       
1,196
     
86,870
     
100,450
     
0.01
%
   
E/F
 
Aircraft Leased to United Airlines, Inc.
                                                               
United N659UA-767, LLC (N659UA)
 
Trust Beneficial Interests
                       
683
     
3,522,337
     
3,400,136
     
0.27
%
   
E/F
 
United N661UA-767, LLC (N661UA)
 
Trust Beneficial Interests
                       
665
     
3,437,565
     
3,350,908
     
0.27
%
   
E/F
 
Epic Aero, Inc. (One Sky)
 
Warrants to Purchase Common Stock
                       
1,843
     
855,313
     
2,574,168
     
0.21
%
   
C/E
 
                                     
8,701,685
     
10,362,880
     
0.85
%
       
Business Support Services
                                                               
Findly Talent, LLC
 
Membership Units
                       
708,229
     
230,938
     
143,062
     
0.01
%
   
C/E
 
STG-Fairway Holdings, LLC (First Advantage)
 
Class A Units
                       
841,479
     
325,432
     
2,190,875
     
0.18
%
   
C/E
 
                                     
556,370
     
2,333,937
     
0.19
%
       
Chemicals
                                                               
Green Biologics, Inc.
 
Warrants to
Purchase Stock
                       
615,000
     
272,594
     
224,847
     
0.02
%
   
C/E
 
                                                                 
Communications Equipment Manufacturing
                                                               
Wasserstein Cosmos Co-Invest, L.P. (Globecomm)
 
Limited Partnership Units
                       
5,000,000
     
5,000,000
     
3,721,000
     
0.30
%
   
B/C/E
 
                                                                 
Computer Systems Design and Related Services
                                                           
Waterfall International, Inc.
 
Series B Preferred Stock
                       
1,428,571
     
1,000,000
     
999,143
     
0.08
%
   
C/E
 
Waterfall International, Inc.
 
Warrants to Purchase Stock
                       
600,000
     
57,026
     
61,540
     
-
     
C/E
 
                                     
1,057,026
     
1,060,683
     
0.08
%
       
Data Processing and Hosting Services
                                                               
Anacomp, Inc.
 
Class A Common Stock
                       
1,255,527
     
26,711,048
     
1,581,964
     
0.12
%
   
C/E/F
 
Rightside Group, Ltd.
 
Warrants
                       
498,855
     
2,778,622
     
713,622
     
0.06
%
   
C/E
 
                                     
29,489,670
     
2,295,586
     
0.18
%
       
Electrical Equipment Manufacturing
                                                               
NEXTracker, Inc.
 
Series B Preferred Stock
                       
558,884
     
-
     
3,120,920
     
0.24
%
   
C/E
 
NEXTracker, Inc.
 
Series C Preferred Stock
                       
17,640
     
-
     
98,505
     
0.01
%
   
C/E
 
                                     
-
     
3,219,425
     
0.25
%
       
Electronic Component Manufacturing
                                                               
Soraa, Inc.
 
Warrants to
Purchase Common Stock
                       
3,150,000
     
499,189
     
452,970
     
0.04
%
   
C/E
 
                                                                 
Equipment Leasing
                                                               
36th Street Capital Partners Holdings, LLC
 
Membership Units
                       
2,487,837
     
2,487,837
     
2,550,282
     
0.20
%
   
C/E/F
 
Essex Ocean II, LLC
 
Membership Units
                       
199,430
     
199,430
     
189,638
     
0.02
%
   
C/E/F
 
                                     
2,687,267
     
2,739,920
     
0.22
%
       
                                                                  
Financial Investment Activities
                                                                
GACP I, LP
 
Membership Units
                       
8,394,061
     
8,513,198
     
8,512,444
     
0.68
%
   
E/I
 
Marsico Holdings, LLC
 
Common Interest Units
                       
168,698
     
172,694
     
1,687
     
-
     
C/E/I
 
                                     
8,685,892
     
8,514,131
     
0.68
%
        
                                                                  
Metal and Mineral Mining
                                                                
EPMC HoldCo, LLC
 
Membership Units
                       
1,312,720
     
-
     
315,053
     
0.03
%
   
B/E
 
                                                                  
Other Chemical Products and Mineral Manufacturing
                                                            
Nanosys, Inc.
 
Warrants to Purchase Common Stock
                       
800,000
     
635,135
     
635,069
     
0.05
%
   
C/E
 
                                                                  
Other Information Services
                                                                
SoundCloud, Ltd. (United Kingdom)
 
Warrants to Purchase Preferred Stock
                       
946,498
     
79,082
     
79,221
     
0.01
%
   
C/E/H
 
                                                                  
Other Manufacturing
                                                                
Boomerang Tube Holdings, Inc.
 
Common Stock
                       
24,288
     
243
     
243
     
-
     
C/E
 
KAGY Holding Company, Inc.
 
Series A Preferred Stock
                       
9,778
     
1,091,200
     
6,164,483
     
0.49
%
   
B/C/E
 
Precision Holdings, LLC
 
Class C Membership Interest
                       
33
     
-
     
1,434
     
-
     
C/E
 
                                     
1,091,443
     
6,166,160
     
0.49
%
        
Radio and Television Broadcasting
                                                                
Fuse Media, LLC
 
Warrants to Purchase Common Stock
                       
233,470
     
300,322
     
23
     
-
     
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
     
59,947
     
-
     
C/E
 
Shop Holding, LLC (Connexity)
 
Warrants to
Purchase Class A Units
                       
326,691
     
-
     
33
     
-
     
C/E
 
                                     
480,049
     
59,980
     
-
          
 
TCP Capital Corp.

Consolidated Schedule of Investments (Unaudited) (Continued)

March 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
                       
1,232,731
   
$
522,678
   
$
1,475,702
     
0.11
%
   
C/E
 
Edmentum Ultimate Holdings, LLC
 
Class A Common Units
                       
159,515
     
680,226
     
680,218
     
0.05
%
   
B/C/E
 
Soasta, Inc.
 
Warrants to Purchase Series F Preferred Stock
                       
715,217
     
192,651
     
19,311
     
0.00
%
    C/E
 
Utilidata, Inc.
 
Warrants to Purchase Stock
                       
719,998
     
216,336
     
204,999
     
0.02
%
    C/E
 
                                     
1,611,891
     
2,380,230
     
0.18
%
        
Wired Telecommunications Carriers
                                                                
Integra Telecom, Inc.
 
Common Stock
                       
1,274,522
     
8,433,884
     
5,269,511
     
0.42
%
    C/E
 
Integra Telecom, Inc.
 
Warrants
                       
346,939
     
19,920
     
221,174
     
0.02
%
    C/E
 
V Telecom Investment S.C.A. (Vivacom)(Luxembourg)
 
Common Shares
                       
1,393
     
3,236,256
     
3,551,452
     
0.28
%
   
C/D/E/H
 
                                     
11,690,060
     
9,042,137
     
0.72
%
        
                                                                  
Total Equity Securities
                                   
75,079,021
     
53,836,188
     
4.31
%
        
                                                                  
Total Investments
                                 
$
1,279,488,175
   
$
1,227,144,628
                  
                                                                  
Cash and Cash Equivalents
                                                                
Cash Denominated in Foreign Currencies
                              
119,081
     
781,555
     
135,503
     
0.01
%
        
Cash Held on Account at Various Institutions
                              
$
22,555,630
     
22,555,630
     
22,555,630
     
1.81
%
        
Cash and Cash Equivalents
                                   
23,337,185
     
22,691,133
     
1.82
%
        
                                                                  
Total Cash and Investments
                                         
$
1,249,835,761
     
100.00
%
    M
 

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. At March 31, 2016, such hedging activities included the derivatives listed at the end of the Consolidated Schedule of Investments. (See Note 2)

(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% owned 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) Publicly traded company with a market capitalization greater than $250 million 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.

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

(L) 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.

(M) 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 $114,058,454 and $66,139,802 respectively, for the three months ended March 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 March 31, 2016 was $1,226,828,191, or 98.2% of total cash and investments of the Company. As of March 31, 2016, approximately 18.9% of the total assets of the Company were not qualifying assets under Section 55(a) of the 1940 Act.
 
Options and swaps at March 31, 2016 were as follows:

Investment
 
Notional Amount
   
Fair Value
 
             
Interest Rate Cap with Deutsche Bank AG, 4%, expires 5/15/2016
 
$
25,000,000
   
$
-
 
Euro/US Dollar Cross-Currency Basis Swap with Wells Fargo Bank, N.A., Pay Euros/Receive USD, Expires 3/31/2017
 
$
16,401,467
   
$
2,634,515
 
GBP, Put Option, $1.47370, expires 3/3/17
 
£
2,681,021
   
$
232,362
 

See accompanying notes to the consolidated financial statements.
 
TCP Capital Corp.

Consolidated Schedule of Investments

December 31, 2015

Issuer
 
Instrument
 
Ref
 
Floor
   
Spread
   
Total Coupon
 
Maturity
 
Principal
   
Cost
   
Fair
Value
   
% of Total
Cash and
Investments
   
Notes
 
                                                           
Debt Investments (A)
                                                         
                                                           
Accounting, Tax and Payroll Services
                                                         
EGS Holdings, Inc. (Expert Global Solutions)
 
Holdco PIK Notes
 
LIBOR (A)
   
3.00
%
   
10.00
%
   
13.00
%
10/3/2018
 
$
64,783
   
$
64,783
   
$
64,783
     
0.01
%
     
Expert Global Solutions, LLC
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.50
%
   
11.00
%
   
12.50
%
10/3/2018
 
$
15,249,675
     
15,041,186
     
15,249,675
     
1.25
%
     
                                               
15,105,969
     
15,314,458
     
1.26
%
     
Advertising, Public Relations Services
                                                                       
Doubleplay III Limited (Exterion Media)(United Kingdom)
 
First Lien Facility
A1 Term Loan
 
EURIBOR (Q)
   
1.25
%
   
5.75
%
   
7.00
%
3/18/2018
 
12,249,157
     
15,931,220
     
13,171,984
     
1.08
%
   
D/H
 
InMobi, Inc. (Singapore)
 
First Lien Delayed Draw Tranche 1 Term Loan
(1.25% Exit Fee)
 
LIBOR (M)
   
0.33
%
   
10.17
%
   
10.50
%
9/1/2018
 
$
13,145,041
     
12,695,719
     
12,776,341
     
1.05
%
   
H/L
 
InMobi, Inc. (Singapore)
 
First Lien Delayed Draw Tranche 1 Term Loan
(1.25% Exit Fee)
 
LIBOR (M)
   
0.33
%
   
10.17
%
   
N/A
 
9/1/2018
 
$
-
     
-
     
-
     
-
     
H/L
 
InMobi, Inc. (Singapore)
 
First Lien Delayed Draw Tranche 1 Term Loan
(1.25% Exit Fee)
 
LIBOR (M)
   
0.33
%
   
10.17
%
   
N/A
 
9/1/2018
 
$
-
     
-
     
-
     
-
     
H/L
 
                                               
28,626,939
     
25,948,325
     
2.13
%
       
Air Transportation
                                                                         
Aircraft Leased to Delta Air Lines, Inc.
                                                                         
N913DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
3/15/2017
 
$
114,196
     
114,196
     
115,617
     
0.01
%
   
F
 
N918DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
8/15/2018
 
$
233,219
     
233,219
     
237,494
     
0.02
%
   
F
 
N954DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
3/20/2019
 
$
336,554
     
336,554
     
342,734
     
0.03
%
   
F
 
N955DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
6/20/2019
 
$
362,232
     
362,232
     
369,162
     
0.03
%
   
F
 
N956DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
5/20/2019
 
$
358,380
     
358,380
     
365,197
     
0.03
%
   
F
 
N957DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
6/20/2019
 
$
365,401
     
365,401
     
372,392
     
0.03
%
   
F
 
N959DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
7/20/2019
 
$
372,361
     
372,361
     
379,522
     
0.03
%
   
F
 
N960DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
10/20/2019
 
$
396,169
     
396,169
     
403,869
     
0.03
%
   
F
 
N961DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
8/20/2019
 
$
385,667
     
385,667
     
393,115
     
0.03
%
   
F
 
N976DL
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
8.00
%
   
8.00
%
2/15/2018
 
$
214,686
     
214,686
     
218,321
     
0.02
%
   
F
 
Aircraft Leased to United Airlines, Inc.
                                                                         
N659UA
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
12.00
%
   
12.00
%
2/28/2016
 
$
313,315
     
313,315
     
318,980
     
0.03
%
   
F
 
N661UA
 
Aircraft Secured Mortgage
 
Fixed
   
-
     
12.00
%
   
12.00
%
5/4/2016
 
$
557,684
     
557,684
     
570,303
     
0.05
%
   
F
 
Cargojet Airways LTD. (Canada)
 
Aircraft Acquisition
Loan A
 
LIBOR (M)
   
-
     
8.50
%
   
8.75
%
1/31/2023
 
$
14,250,773
     
13,982,969
     
14,252,198
     
1.17
%
   
H
 
Cargojet Airways LTD. (Canada)
 
Aircraft Acquisition Loan A1
 
LIBOR (M)
   
-
     
8.50
%
   
N/A
 
1/31/2023
 
$
-
     
-
     
-
     
-
     
H
 
Mesa Air Group, Inc.
 
Acquisition Delayed Draw Loan
 
LIBOR (M)
   
-
     
7.25
%
   
N/A
 
6/17/2019
 
$
-
     
-
     
278,288
     
0.02
%
       
Mesa Air Group, Inc.
 
Acquisition Loan
 
LIBOR (M)
   
-
     
7.25
%
   
7.62
%
7/15/2022
 
$
15,997,019
     
15,724,234
     
16,324,958
     
1.34
%
       
                                               
33,717,067
     
34,942,150
     
2.87
%
       
Apparel Manufacturing
                                                                         
Broder Bros., Co.
 
First Lien Term Loan A
(First Out)
 
LIBOR (Q)
   
1.25
%
   
5.75
%
   
7.00
%
6/3/2021
 
$
9,940,000
     
9,743,116
     
9,741,200
     
0.80
%
       
Broder Bros., Co.
 
First Lien Term Loan B
(Last Out)
 
LIBOR (Q)
   
1.25
%
   
12.25
%
   
13.50
%
6/3/2021
 
$
9,960,000
     
9,762,553
     
9,760,800
     
0.80
%
       
JH Apparel Holdings, LLC
 
First Lien FILO Term Loan
 
LIBOR (M)
   
1.00
%
   
9.60
%
   
10.60
%
4/8/2019
 
$
3,669,926
     
3,645,226
     
3,669,926
     
0.30
%
       
                                               
23,150,895
     
23,171,926
     
1.90
%
       
Business Support Services
                                                                         
Enerwise Global Technologies, Inc.
 
Sr Secured Revolving Loan
 
LIBOR (Q)
   
0.23
%
   
8.52
%
   
8.75
%
11/30/2017
 
$
-
     
(69,938
)
   
(123,750
)
   
(0.01
%)
   
K
 
Enerwise Global Technologies, Inc.
 
Sr Secured Term Loan
(1.0% Exit Fee)
 
LIBOR (Q)
   
0.23
%
   
9.27
%
   
9.50
%
11/30/2019
 
$
17,281,250
     
17,043,402
     
16,996,109
     
1.39
%
   
L
 
STG-Fairway Acquisitions, Inc. (First Advantage)
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
9.25
%
   
10.25
%
6/30/2023
 
$
31,000,000
     
30,546,700
     
31,883,500
     
2.62
%
       
                                               
47,520,164
     
48,755,859
     
4.00
%
       
Chemicals
                                                                         
Anuvia Plant Nutrients Holdings, LLC
 
Sr Secured Term Loan
(8.0 % Exit Fee)
 
LIBOR (M)
   
0.23
%
   
10.27
%
   
10.50
%
2/1/2018
 
$
7,700,000
     
7,993,675
     
8,059,280
     
0.66
%
   
L
 
BioAmber, Inc.
 
Sr Secured Term Loan
(8.25% Exit Fee)
 
LIBOR (M)
   
0.23
%
   
9.27
%
   
9.50
%
12/1/2017
 
$
10,000,000
     
10,226,245
     
10,509,000
     
0.86
%
   
L
 
Green Biologics, Inc.
 
Sr Secured Delayed Draw
Term Loan (10.0% Exit Fee)
 
Prime Rate
   
-
     
7.75
%
   
11.25
%
5/1/2018
 
$
15,000,000
     
14,927,838
     
15,175,500
     
1.25
%
   
L
 
                                               
33,147,758
     
33,743,780
     
2.77
%
       
Communications Equipment Manufacturing
                                                                         
Globecomm Systems, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.25
%
   
7.63
%
   
8.88
%
12/11/2018
 
$
14,629,280
     
14,482,987
     
14,256,233
     
1.17
%
   
B
 
                                                                           
Computer Equipment Manufacturing
                                                                         
Silicon Graphics International Corp.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
9.00
%
   
10.00
%
7/27/2018
 
$
18,432,723
     
18,157,715
     
18,570,968
     
1.52
%
   
J
 
                                                                           
Computer Systems Design and Related Services
                                                                     
Autoalert, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
0.25
%
 
4.75% Cash
+ 4% PIK
     
9.00
%
3/31/2019
 
$
34,564,922
     
34,069,278
     
34,459,499
     
2.83
%
       
MSC Software Corporation
 
Second Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
7.50
%
   
8.50
%
5/29/2021
 
$
6,993,035
     
6,938,605
     
6,153,871
     
0.51
%
       
OnX Enterprise Solutions, Ltd. (Canada)
 
First Lien Term Loan B
 
LIBOR (Q)
   
-
     
8.00
%
   
8.32
%
9/3/2018
 
$
2,337,733
     
2,337,733
     
2,355,266
     
0.19
%
   
H
 
OnX Enterprise Solutions, Ltd. (Canada)
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
7.00
%
   
7.32
%
9/3/2018
 
$
10,426,667
     
10,343,578
     
10,322,400
     
0.85
%
   
H
 
OnX USA, LLC
 
First Lien Term Loan B
 
LIBOR (Q)
   
-
     
8.00
%
   
8.32
%
9/3/2018
 
$
4,675,467
     
4,675,467
     
4,710,533
     
0.39
%
       
OnX USA, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
7.00
%
   
7.32
%
9/3/2018
 
$
5,213,333
     
5,175,467
     
5,161,200
     
0.42
%
       
Vistronix, LLC
 
First Lien Revolver
 
LIBOR (Q)
   
0.50
%
   
8.50
%
   
9.00
%
12/4/2018
 
$
365,437
     
361,329
     
365,437
     
0.03
%
       
Vistronix, LLC
 
First Lien Term Loan
 
LIBOR (M)
   
0.50
%
   
8.50
%
   
9.00
%
12/4/2018
 
$
6,205,583
     
6,155,701
     
6,050,443
     
0.50
%
       
Waterfall International, Inc.
 
First Lien Delayed Draw Term Loan
 
LIBOR (Q)
   
-
     
11.67
%
   
12.00
%
9/1/2018
 
$
4,800,000
     
4,678,943
     
4,733,280
     
0.39
%
       
                                               
74,736,101
     
74,311,929
     
6.11
%
       
Data Processing and Hosting Services
                                                                         
Asset International, Inc.
 
Delayed Draw Term Loan
 
LIBOR (M)
   
1.00
%
   
7.00
%
   
8.00
%
7/31/2020
 
$
3,430,383
     
3,396,023
     
3,404,827
     
0.28
%
       
Asset International, Inc.
 
Revolver Loan
 
LIBOR (M)
   
1.00
%
   
7.00
%
   
8.00
%
7/31/2020
 
$
242,376
     
234,663
     
242,376
     
0.02
%
       
Asset International, Inc.
 
First Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
7.00
%
   
8.00
%
7/31/2020
 
$
8,109,426
     
7,979,611
     
8,050,389
     
0.66
%
       
Rightside Group, Ltd.
 
Second Lien Term Loan
 
LIBOR (Q)
   
0.50
%
   
8.75
%
   
9.38
%
8/6/2019
 
$
4,750,000
     
3,991,890
     
4,828,375
     
0.40
%
       
United TLD Holdco, Ltd. (Rightside)(Cayman Islands)
 
Second Lien Term Loan
 
LIBOR (Q)
   
0.50
%
   
8.75
%
   
9.38
%
8/6/2019
 
$
9,500,000
     
7,983,779
     
9,656,750
     
0.79
%
   
H
 
                                               
23,585,966
     
26,182,717
     
2.15
%
       
 
TCP Capital Corp.

Consolidated Schedule of Investments (Continued)

December 31, 2015

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
                                                      
Holocene Renewable Energy Fund 3, LLC (Conergy)
 
First Lien Term Loan
 
Fixed
   
-
   
9% Cash
+ 1% PIK
     
10.00
%
9/10/2017
 
$
7,461,240
   
$
7,397,199
   
$
7,386,628
     
0.61
%
      
                                                                        
Electrical Equipment Manufacturing
                                                                      
API Technologies Corp.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.50
%
   
8.50
%
   
10.00
%
2/6/2018
 
$
6,165,986
     
6,130,433
     
6,058,081
     
0.50
%
      
API Technologies Corp.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.50
%
   
8.50
%
   
10.00
%
2/6/2018
 
$
3,991,338
     
3,921,387
     
3,921,490
     
0.32
%
      
                                               
10,051,820
     
9,979,571
     
0.82
%
      
                                                                          
Electronic Component Manufacturing
                                                                        
Central MN Renewables, LLC (Green Biologics)
 
Sr Secured Revolver
(3.0% Exit Fee)
 
Fixed
   
-
     
8.25
%
   
N/A
 
1/1/2016
 
$
-
     
-
     
-
     
-
     
L
 
Redaptive, Inc.
 
First Lien Delayed
Draw Term Loan
 
LIBOR (Q)
   
-
     
10.72
%
   
N/A
 
7/1/2018
 
$
-
     
(121,106
)
   
-
     
-
     
K
 
Soraa, Inc.
 
Tranche A Term Loan
(3.0% Exit Fee)
 
LIBOR (M)
   
0.44
%
   
9.33
%
   
9.77
%
3/1/2018
 
$
22,500,000
     
21,452,673
     
21,411,000
     
1.76
%
   
L
 
Soraa, Inc.
 
Tranche B Term Loan
 
LIBOR (M)
   
0.44
%
   
9.33
%
   
9.77
%
9/1/2017
 
$
1,687,500
     
1,571,025
     
1,567,434
     
0.13
%
       
                                               
22,902,592
     
22,978,434
     
1.89
%
       
Equipment Leasing
                                                                         
36th Street Capital Partners Holdings, LLC
 
Senior Note
 
Fixed
   
-
     
12.00
%
   
12.00
%
11/1/2020
 
$
900,000
     
900,000
     
900,000
     
0.07
%
   
E/F
 
Essex Ocean, LLC
 
Sr Secured Term Loan
 
Fixed
   
-
     
8.00
%
   
8.00
%
3/25/2019
 
$
-
     
-
     
-
     
-
         
Essex Ocean, LLC (Solexel)
 
Sr Secured Term Loan
 
Fixed
   
-
     
8.00
%
   
8.00
%
8/15/2018
 
$
2,631,033
     
2,631,033
     
2,641,294
     
0.22
%
       
                                               
3,531,033
     
3,541,294
     
0.29
%
        
Financial Investment Activities
                                                                          
Institutional Shareholder Services, Inc.
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
7.50
%
   
8.50
%
4/30/2022
 
$
4,471,492
     
4,437,802
     
4,270,275
     
0.35
%
        
iPayment, Inc.
 
First Lien Term Loan B2
 
LIBOR (Q)
   
1.50
%
   
5.25
%
   
6.75
%
5/8/2017
 
$
6,763,751
     
6,425,563
     
6,502,839
     
0.53
%
        
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
     
14,881,500
     
1.22
%
   
E/H
 
                                               
25,863,365
     
25,654,614
     
2.10
%
        
Gaming
                                                                          
AP Gaming I, LLC
 
First Lien Revolver
 
LIBOR (M)
   
-
     
8.25
%
   
N/A
 
12/20/2018
 
$
-
     
(1,862,302
)
   
(1,250,000
)
   
(0.10
%)
   
K
 
                                                                            
Grocery Stores
                                                                          
Bashas, Inc.
 
First Lien FILO Term Loan
 
LIBOR (M)
   
1.50
%
   
7.00
%
   
8.50
%
10/8/2019
 
$
10,033,866
     
9,995,480
     
10,111,127
     
0.83
%
        
                                                                            
Hospitals
                                                                          
Evidera, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
9.00
%
   
10.00
%
7/1/2018
 
$
3,907,686
     
3,888,148
     
3,912,571
     
0.32
%
        
KPC Healthcare, Inc.
 
First Lien Term Loan
 
Prime Rate
   
-
     
8.25
%
   
11.75
%
8/28/2020
 
$
17,157,214
     
16,790,143
     
17,043,118
     
1.40
%
        
RegionalCare Hospital Partners, Inc.
 
Second Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
10.25
%
   
11.25
%
10/23/2019
 
$
21,017,525
     
20,777,746
     
20,807,350
     
1.71
%
   
G
 
                                               
41,456,037
     
41,763,039
     
3.43
%
        
Insurance Carriers
                                                                          
Acrisure, LLC
 
Second Lien Incremental Notes
 
LIBOR (Q)
   
1.00
%
   
9.00
%
   
10.00
%
11/19/2022
 
$
7,080,555
     
6,944,926
     
7,063,562
     
0.58
%
        
Acrisure, LLC
 
Second Lien Notes
 
LIBOR (Q)
   
1.00
%
   
9.00
%
   
10.00
%
11/19/2022
 
$
12,720,998
     
12,542,859
     
12,690,468
     
1.04
%
        
Acrisure, LLC
 
Second Lien Incremental Notes
 
LIBOR (Q)
   
1.00
%
   
9.00
%
   
10.00
%
11/19/2022
 
$
3,846,850
     
3,795,306
     
3,837,597
     
0.31
%
        
JSS Holdings, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
6.25
%
   
7.25
%
8/31/2021
 
$
3,950,000
     
3,874,773
     
3,732,750
     
0.31
%
        
US Apple Holdco, LLC (Ventiv Technology)
 
First Lien Term Loan
 
LIBOR (Q)
   
0.50
%
   
11.50
%
   
12.00
%
8/29/2019
 
$
20,000,000
     
19,375,352
     
19,936,000
     
1.64
%
        
                                               
46,533,216
     
47,260,377
     
3.88
%
        
Insurance Related Activities
                                                                          
Confie Seguros Holding II Co.
 
Second Lien Term Loan
 
LIBOR (M)
   
1.25
%
   
9.00
%
   
10.25
%
5/8/2019
 
$
11,061,809
     
10,950,946
     
10,951,191
     
0.90
%
    G
 
                                                                            
Lessors of Nonfinancial Licenses
                                                                          
ABG Intermediate Holdings 2, LLC
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.50
%
5/27/2022
 
$
15,990,714
     
15,853,293
     
15,690,888
     
1.29
%
        
ABG Intermediate Holdings 2, LLC
 
Second Lien Incremental Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.50
%
5/27/2022
 
$
3,474,715
     
3,440,934
     
3,409,564
     
0.28
%
        
                                               
19,294,227
     
19,100,452
     
1.57
%
        
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
 
$
24,693,587
     
24,159,891
     
24,267,623
     
1.99
%
        
                                                                            
Medical Equipment and Supplies Manufacturing
                                                                      
Bioventus, LLC
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
10.00
%
   
11.00
%
4/10/2020
 
$
11,000,000
     
10,819,241
     
10,835,000
     
0.89
%
        
                                                                            
Motion Picture and Video Industries
                                                                          
CORE Entertainment, Inc.
 
First Lien Term Loan
 
Fixed
   
-
     
11.00
%
   
11.00
%
6/21/2017
 
$
9,462,231
     
9,425,030
     
4,667,719
     
0.38
%
        
CORE Entertainment, Inc.
 
Second Lien Term Loan
 
Fixed
   
-
     
15.50
%
   
15.50
%
6/21/2018
 
$
7,569,785
     
7,700,187
     
291,058
     
0.02
%
    C
 
                                               
17,125,217
     
4,958,777
     
0.40
%
        
Nondepository Credit Intermediation
                                                                          
Caribbean Financial Group (Cayman Islands)
 
Sr Secured Notes
 
Fixed
   
-
     
11.50
%
   
11.50
%
11/15/2019
 
$
26,975,000
     
26,829,614
     
26,705,250
     
2.19
%
   
E/G/H
 
Daymark Financial Acceptance, LLC
 
First Lien Delayed
Draw Term Loan
 
LIBOR (Q)
   
-
     
9.50
%
   
9.92
%
1/12/2020
 
$
5,000,000
     
4,621,333
     
4,919,250
     
0.40
%
        
Greystone Select Holdings, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.00
%
   
9.00
%
3/26/2021
 
$
16,305,999
     
16,125,251
     
16,133,156
     
1.32
%
        
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
     
1.22
%
   
E/H
 
                                               
62,660,198
     
62,615,396
     
5.13
%
        
Oil and Gas Extraction
                                                                          
Jefferson Gulf Coast Energy Partners, LLC
 
First Lien Term Loan B
 
Prime Rate
   
-
     
7.50
%
   
11.00
%
2/27/2018
 
$
14,812,500
     
14,714,767
     
13,479,375
     
1.11
%
        
MD America Energy, LLC
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.50
%
   
9.50
%
8/4/2019
 
$
8,095,238
     
7,784,717
     
6,773,043
     
0.56
%
        
                                               
22,499,484
     
20,252,418
     
1.67
%
        
Other Information Services
                                                                          
Simmons Research, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
0.50
%
   
10.50
%
   
11.13
%
12/11/2020
 
$
5,128,936
     
5,026,844
     
5,026,357
     
0.41
%
        
TCH-2 Holdings, LLC (TravelClick)
 
Second Lien Term Loan
 
LIBOR (M)
   
1.00
%
   
7.75
%
   
8.75
%
11/6/2021
 
$
19,988,392
     
19,735,864
     
18,789,089
     
1.54
%
    G
 
                                               
24,762,708
     
23,815,446
     
1.95
%
        
Other Manufacturing
                                                                          
AGY Holding Corp.
 
Sr Secured Term Loan
 
Fixed
   
-
     
12.00
%
   
12.00
%
9/15/2016
 
$
4,869,577
     
4,869,577
     
4,869,577
     
0.40
%
    B
 
AGY Holding Corp.
 
Second Lien Notes
 
Fixed
   
-
     
11.00
%
   
11.00
%
11/15/2016
 
$
9,268,000
     
7,586,317
     
9,268,000
     
0.76
%
   
B/E
 
Boomerang Tube, LLC
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.50
%
   
9.50
%
   
11.00
%
10/11/2017
 
$
3,825,453
     
4,010,758
     
1,759,709
     
0.14
%
   
C
 
Boomerang Tube, LLC
 
Super Priority
Debtor-in-Possession
 
Prime Rate
   
-
     
10.00
%
   
13.50
%
11/30/2015
 
$
1,124,444
     
1,124,444
     
1,124,444
     
0.09
%
        
                                               
17,591,096
     
17,021,730
     
1.39
%
        
Other Telecommunications
                                                                          
Securus Technologies, Inc.
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.25
%
   
7.75
%
   
9.00
%
4/30/2021
 
$
14,000,000
     
13,860,000
     
7,924,000
     
0.65
%
        
 
TCP Capital Corp.

Consolidated Schedule of Investments (Continued)

December 31, 2015

Issuer
 
Instrument
 
Ref
 
Floor
   
Spread
   
Total Coupon
 
Maturity
 
Principal
   
Cost
   
Fair
Value
   
% of Total
Cash and
Investments
     
Notes
 
                                                             
Debt Investments (continued)
                                                           
Other Publishing
                                                           
MediMedia USA, Inc.
 
First Lien Revolver
 
LIBOR (M)
   
-
     
6.75
%
   
7.18
%
5/20/2018
 
$
3,456,500
   
$
2,886,378
   
$
3,003,668
     
0.25
%
       
MediMedia USA, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.25
%
   
6.75
%
   
8.00
%
11/20/2018
 
$
5,681,239
     
5,582,994
     
5,425,584
     
0.45
%
   
G
 
                                               
8,469,372
     
8,429,252
     
0.70
%
        
Pharmaceuticals
                                                                          
Lantheus Medical Imaging, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
6.00
%
   
7.00
%
6/30/2022
 
$
5,970,000
     
5,879,117
     
5,492,400
     
0.45
%
        
                                                                            
Plastics Manufacturing
                                                                          
Iracore International, Inc.
 
Sr Secured Notes
 
Fixed
   
-
     
9.50
%
   
9.50
%
6/1/2018
 
$
13,600,000
     
13,600,000
     
8,918,010
     
0.73
%
   
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
     
5,776,480
     
0.47
%
   
E/G
 
NEP/NCP Holdco, Inc.
 
Second Lien Term Loan
 
LIBOR (M)
   
1.25
%
   
8.75
%
   
10.00
%
7/22/2020
 
$
10,000,000
     
10,019,257
     
9,450,000
     
0.78
%
        
The Tennis Channel, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
8.50
%
   
8.88
%
5/29/2017
 
$
32,520,727
     
32,351,929
     
32,675,201
     
2.68
%
        
                                               
49,683,186
     
47,901,681
     
3.93
%
        
                                                                            
Restaurants
                                                                          
RM OpCo, LLC (Real Mex)
 
Convertible Second Lien Term Loan Tranche B-1
 
Fixed
   
-
     
8.50
%
   
8.50
%
3/30/2018
 
$
1,783,036
     
1,779,352
     
1,783,036
     
0.15
%
   
B
 
RM OpCo, LLC (Real Mex)
 
First Lien
Term Loan Tranche A
 
Fixed
   
-
     
7.00
%
   
7.00
%
3/21/2016
 
$
3,719,155
     
3,717,664
     
3,719,155
     
0.31
%
   
B
 
RM OpCo, LLC (Real Mex)
 
Second Lien
Term Loan Tranche B
 
Fixed
   
-
     
8.50
%
   
8.50
%
3/30/2018
 
$
8,884,258
     
8,884,258
     
4,490,993
     
0.37
%
   
B
 
RM OpCo, LLC (Real Mex)
 
Second Lien
Term Loan Tranche B-1
 
Fixed
   
-
     
8.50
%
   
8.50
%
3/30/2018
 
$
2,797,956
     
2,782,534
     
2,797,956
     
0.23
%
   
B
 
RM OpCo, LLC (Real Mex)
 
Sr Convertible Second Lien Term Loan B
 
Fixed
   
-
     
8.50
%
   
8.50
%
3/30/2018
 
$
2,188,233
     
2,188,233
     
2,188,233
     
0.18
%
   
B
 
                                               
19,352,041
     
14,979,373
     
1.24
%
        
Retail
                                                                          
Kenneth Cole Productions, Inc.
 
First Lien FILO Term Loan
 
LIBOR (M)
   
1.00
%
   
8.50
%
   
9.50
%
9/25/2020
 
$
13,185,494
     
13,049,991
     
13,317,349
     
1.09
%
        
Connexity, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
10.00
%
   
11.00
%
2/13/2020
 
$
6,354,563
     
6,354,563
     
6,237,956
     
0.51
%
        
                                               
19,404,554
     
19,555,305
     
1.60
%
        
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
     
7,336,027
     
0.60
%
   
E/G/H
 
                                                                            
Scientific Research and Development Services
                                                                      
BPA Laboratories, Inc.
 
Senior Secured Notes
 
Fixed
   
-
     
12.25
%
   
12.25
%
4/1/2017
 
$
38,932,000
     
39,001,750
     
40,489,280
     
3.32
%
   
E/G
 
                                                                            
Software Publishing
                                                                          
Acronis International GmbH (Switzerland)
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
9.50
%
   
10.50
%
2/21/2017
 
$
29,485,290
     
29,375,415
     
28,170,246
     
2.31
%
   
H
 
ArcServe (USA), LLC
 
Second Lien Term Loan
 
LIBOR (Q)
   
0.50
%
   
8.50
%
   
9.00
%
1/31/2020
 
$
30,000,000
     
29,529,480
     
28,023,000
     
2.30
%
        
BlackLine Systems, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.50
%
 
0.4% Cash
+ 7.6% PIK
     
9.50
%
9/25/2018
 
$
14,619,396
     
13,946,601
     
14,765,590
     
1.21
%
        
Bluehornet Networks, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
9.50
%
   
10.11
%
12/3/2020
 
$
6,062,304
     
5,881,725
     
5,880,435
     
0.48
%
        
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
 
$
2,612,408
     
2,612,408
     
2,612,408
     
0.21
%
   
B
 
Edmentum Ultimate Holdings, LLC
 
Jr PIK Notes
 
Fixed
   
-
     
10.00
%
   
10.00
%
6/9/2020
 
$
11,791,569
     
11,176,985
     
11,343,490
     
0.93
%
   
B
 
Fidelis Acquisitionco, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
8.00
%
   
9.00
%
11/4/2019
 
$
41,924,150
     
41,178,969
     
42,029,025
     
3.45
%
       
Fidelis Acquisitionco, LLC
 
Sr Secured Revolver
 
LIBOR (Q)
   
1.00
%
   
8.00
%
   
9.00
%
11/4/2019
 
$
1,272,857
     
1,272,857
     
1,276,039
     
0.10
%
       
SoundCloud Ltd. (United Kingdom)
 
Sr Secured Term Loan
(2.0% Exit Fees)
 
LIBOR (Q)
   
0.28
%
   
10.72
%
   
11.00
%
10/1/2018
 
$
31,550,000
     
31,341,229
     
31,395,405
     
2.58
%
   
H/L
 
Utilidata, Inc.
 
First Lien Delayed Draw Term Loan
(1.0% Exit Fee)
 
LIBOR (Q)
   
0.62
%
   
9.88
%
   
10.50
%
1/1/2019
 
$
3,200,000
     
2,906,672
     
2,903,680
     
0.24
%
   
L
 
Virgin Pulse Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
-
     
8.00
%
   
8.63
%
5/21/2020
 
$
7,500,000
     
7,398,976
     
7,471,875
     
0.61
%
        
                                               
176,621,317
     
175,871,193
     
14.42
%
        
Textile Furnishings Mills
                                                                          
Lexmark Carpet Mills, Inc.
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
10.00
%
   
11.00
%
12/19/2019
 
$
25,000,000
     
25,000,000
     
24,785,000
     
2.03
%
        
Lexmark Carpet Mills, Inc.
 
First Lien Term Loan B
 
LIBOR (Q)
   
1.00
%
   
10.00
%
   
11.00
%
12/19/2019
 
$
8,575,581
     
8,378,569
     
8,501,831
     
0.70
%
        
                                               
33,378,569
     
33,286,831
     
2.73
%
        
Utility System Construction
                                                                          
Kawa Solar Holdings Limited
 
Revolving Credit Facility
 
Fixed
   
-
     
8.20
%
   
8.20
%
7/2/2017
 
$
25,000,000
     
25,000,000
     
25,000,000
     
2.05
%
        
                                                                            
Wired Telecommunications Carriers
                                                                          
Alpheus Communications, LLC
 
First Lien Delayed Draw FILO Term Loan
 
LIBOR (Q)
   
1.00
%
   
6.92
%
   
7.92
%
5/31/2018
 
$
1,064,676
     
1,046,166
     
1,058,812
     
0.09
%
        
Alpheus Communications, LLC
 
First Lien FILO Term
Loan
 
LIBOR (Q)
   
1.00
%
   
6.92
%
   
7.92
%
5/31/2018
 
$
7,938,819
     
7,859,897
     
7,895,156
     
0.65
%
        
Integra Telecom Holdings, Inc.
 
Second Lien Term Loan
 
LIBOR (Q)
   
1.25
%
   
8.50
%
   
9.75
%
2/22/2020
 
$
13,231,193
     
13,039,047
     
12,883,874
     
1.06
%
        
Oxford County Telephone and Telegraph Company
 
First Lien Term Loan
 
LIBOR (Q)
   
1.00
%
   
7.13
%
   
8.13
%
8/31/2020
 
$
4,000,000
     
3,943,631
     
3,922,000
     
0.32
%
        
                                               
25,888,741
     
25,759,842
     
2.12
%
        
Wireless Telecommunications Carriers
                                                                          
Gogo, LLC
 
First Lien Term Loan
 
LIBOR (Q)
   
1.50
%
   
9.75
%
   
11.25
%
3/21/2018
 
$
32,822,506
     
32,877,865
     
33,150,731
     
2.72
%
    G
 
                                                                            
Total Debt Investments
                                             
1,160,372,521
     
1,130,535,387
     
92.78
%
        
 
TCP Capital Corp.

Consolidated Schedule of Investments (Continued)

December 31, 2015

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
                       
17,578
   
$
230,569
   
$
233,543
     
0.02
%
   
C/E/H
 
                                                                 
Air Transportation
                                                               
Aircraft Leased to Delta Air Lines, Inc.
                                                               
N913DL
 
Trust Beneficial Interests
                       
1,316
     
84,164
     
107,501
     
0.01
%
   
E/F
 
N918DL
 
Trust Beneficial Interests
                       
1,053
     
86,044
     
127,662
     
0.01
%
   
E/F
 
N954DL
 
Trust Beneficial Interests
                       
975
     
95,345
     
77,850
     
0.01
%
    E/F
 
N955DL
 
Trust Beneficial Interests
                       
937
     
92,045
     
108,100
     
0.01
%
    E/F
 
N956DL
 
Trust Beneficial Interests
                       
946
     
91,995
     
104,478
     
0.01
%
    E/F
 
N957DL
 
Trust Beneficial Interests
                       
937
     
92,417
     
105,329
     
0.01
%
    E/F
 
N959DL
 
Trust Beneficial Interests
                       
928
     
92,840
     
106,203
     
0.01
%
    E/F
 
N960DL
 
Trust Beneficial Interests
                       
902
     
94,503
     
105,937
     
0.01
%
    E/F
 
N961DL
 
Trust Beneficial Interests
                       
919
     
94,018
     
101,487
     
0.01
%
    E/F
 
N976DL
 
Trust Beneficial Interests
                       
1,130
     
87,968
     
100,793
     
0.01
%
    E/F
 
Aircraft Leased to United Airlines, Inc.
                                                                
United N659UA-767, LLC (N659UA)
 
Trust Beneficial Interests
                       
652
     
3,143,045
     
3,368,599
     
0.28
%
    E/F
 
United N661UA-767, LLC (N661UA)
 
Trust Beneficial Interests
                       
632
     
3,062,496
     
3,294,024
     
0.27
%
  E/F
 
Epic Aero, Inc. (One Sky)
 
Warrants to Purchase Common Stock
                       
1,843
     
855,313
     
3,173,450
     
0.26
%
    C/E
 
                                     
7,972,193
     
10,881,413
     
0.91
%
        
Business Support Services
                                                                
Findly Talent, LLC
 
Membership Units
                       
708,229
     
230,938
     
162,184
     
0.01
%
    C/E
 
STG-Fairway Holdings, LLC (First Advantage)
 
Class A Units
                       
841,479
     
325,432
     
2,616,916
     
0.21
%
    C/E
 
                                     
556,370
     
2,779,100
     
0.22
%
        
Chemicals
                                                                
Green Biologics, Inc.
 
Warrants to
Purchase Stock
                       
376,147
     
272,594
     
236,634
     
0.02
%
    C/E
 
                                                                  
Communications Equipment Manufacturing
                                                                
Wasserstein Cosmos Co-Invest, L.P.(Globecomm)
 
Limited Partnership Units
                       
5,000,000
     
5,000,000
     
4,198,500
     
0.34
%
   
B/C/E
 
                                                                  
Computer Systems Design and Related Services
                                                            
Waterfall International, Inc.
 
Series B Preferred Stock
                       
1,428,571
     
1,000,000
     
999,714
     
0.08
%
    C/E
 
Waterfall International, Inc.
 
Warrants to Purchase Stock
                       
857,143
     
57,026
     
57,686
     
-
      C/E
 
                                     
1,057,026
     
1,057,400
     
0.08
%
        
Data Processing and Hosting Services
                                                                
Anacomp, Inc.
 
Class A Common Stock
                       
1,255,527
     
26,711,048
     
1,581,964
     
0.13
%
   
C/E/F
 
Rightside Group, Ltd.
 
Warrants
                       
498,855
     
2,778,622
     
919,030
     
0.07
%
    C/E
 
                                     
29,489,670
     
2,500,994
     
0.20
%
        
Electrical Equipment Manufacturing
                                                                
NEXTracker, Inc.
 
Series B Preferred Stock
                       
558,884
     
-
     
2,929,279
     
0.24
%
    C/E
 
NEXTracker, Inc.
 
Series C Preferred Stock
                       
17,640
     
-
     
92,460
     
0.01
%
    C/E
 
                                     
-
     
3,021,739
     
0.25
%
        
Electronic Component Manufacturing
                                                                
Soraa, Inc.
 
Warrants to Purchase Common Stock
                       
630,000
     
499,189
     
180,432
     
0.01
%
    C/E
 
                                                                  
Equipment Leasing
                                                                
36th Street Capital Partners Holdings, LLC
 
Membership Units
                       
225,000
     
225,000
     
225,000
     
0.02
%
   
C/E/F
 
Essex Ocean II, LLC
 
Membership Units
                       
199,430
     
199,429
     
200,686
     
0.02
%
    C/F
 
                                     
424,429
     
425,686
     
0.04
%
        
                                                                  
Financial Investment Activities
                                                                
GACP I, LP
 
Membership Units
                       
8,470,305
     
8,589,442
     
8,589,760
     
0.70
%
   
C/E/I
 
Marsico Holdings, LLC
 
Common Interest Units
                       
168,698
     
172,694
     
5,061
     
-
     
C/E/I
 
                                     
8,762,136
     
8,594,821
     
0.70
%
        
                                                                  
Metal and Mineral Mining
                                                                
EPMC HoldCo, LLC
 
Membership Units
                       
1,312,720
     
-
     
682,614
     
0.06
%
    B/E
 
                                                                  
Other Manufacturing
                                                                
KAGY Holding Company, Inc.
 
Series A Preferred Stock
                       
9,778
     
1,091,200
     
6,118,515
     
0.50
%
   
B/C/E
 
Precision Holdings, LLC
 
Class C Membership Interest
                       
33
     
-
     
1,431
     
-
      C/E
 
                                     
1,091,200
     
6,119,946
     
0.50
%
        
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
     
320,682
     
0.03
%
    C/E
 
Shop Holding, LLC (Connexity)
 
Warrants to Purchase Class A Units
                       
326,691
     
-
     
8,079
     
-
      C/E
 
                                     
480,049
     
328,761
     
0.03
%
        
 
TCP Capital Corp.

Consolidated Schedule of Investments (Continued)

December 31, 2015

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
                       
1,232,731
   
$
522,678
   
$
1,290,175
     
0.11
%
    C/E
 
Edmentum Ultimate Holdings, LLC
 
Class A Common Units
                       
159,515
     
680,226
     
680,218
     
0.05
%
   
B/C/E
 
SoundCloud, Ltd. (United Kingdom)
 
Warrants to Purchase Preferred Stock
                       
946,498
     
79,082
     
75,247
     
0.01
%
   
C/E/H
 
Utilidata, Inc.
 
Warrants to Purchase Stock
                     
29,593
     
216,336
     
216,337
     
0.02
%
    C/E
 
                                     
1,498,322
     
2,261,977
     
0.19
%
        
Wired Telecommunications Carriers
                                                                
Integra Telecom, Inc.
 
Common Stock
                       
1,274,522
     
8,433,884
     
5,269,511
     
0.43
%
    C/E
 
Integra Telecom, Inc.
 
Warrants
                       
346,939
     
19,919
     
221,174
     
0.02
%
    C/E
 
V Telecom Investment S.C.A. (Vivacom) (Luxembourg)
 
Common Shares
                       
1,393
     
3,236,256
     
3,390,093
     
0.28
%
   
C/D/E/H
 
                                     
11,690,059
     
8,880,778
     
0.73
%
        
                                                                  
Total Equity Securities
                                   
71,334,905
     
52,384,338
     
4.30
%
        
                                                                  
Total Investments
                                 
$
1,231,707,426
   
$
1,182,919,725
                  
                                                                  
Cash and Cash Equivalents
                                                                
Cash Denominated in Foreign Currencies
                              
119,758
     
733,778
     
130,081
     
0.01
%
        
Cash Held on Account at Various Institutions
                              
$
35,499,353
     
35,499,353
     
35,499,354
     
2.91
%
        
Cash and Cash Equivalents
                                   
36,233,131
     
35,629,435
     
2.92
%
        
                                                                  
Total Cash and Investments
                                         
$
1,218,549,160
     
100.00
%
    M
 

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. At December 31, 2015, such hedging activities included the derivatives listed at the end of the Consolidated Schedule of Investments. (See Note 2)

(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% owned 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) Publicly traded company with a market capitalization greater than $250 million 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.

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

(L) 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.

(M) 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 $500,928,009 and $456,059,137 respectively, for the twelve months ended December 31, 2015. 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, 2015 was $1,182,719,039, or 97.1% of total cash and investments of the Company. As of December 31, 2015, approximately 18.0% of the total assets of the Company were not qualifying assets under Section 55(a) of the 1940 Act.
 
Options and swaps at December 31, 2015 were as follows:

Investment
 
Notional Amount
   
Fair Value
 
Interest Rate Cap with Deutsche Bank AG, 4%, expires 5/15/2016
 
$
25,000,000
   
$
-
 
Euro/US Dollar Cross-Currency Basis Swap with Wells Fargo Bank, N.A., Pay Euros/Receive USD, Expires 3/31/2017
 
$
16,401,467
   
$
3,229,442
 

See accompanying notes to the consolidated financial statements.
 
TCP Capital Corp.

Consolidated Statements of Operations (Unaudited)

   
Three Months Ended March 31,
 
   
2016
   
2015
 
Investment income
           
Interest income:
           
Companies less than 5% owned
 
$
30,810,782
   
$
30,277,150
 
Companies 5% to 25% owned
   
1,532,728
     
1,108,278
 
Companies more than 25% owned
   
531,013
     
170,825
 
Lease income:
               
Companies more than 25% owned
   
776,071
     
291,705
 
Other income:
               
Companies less than 5% owned
   
938,688
     
967,395
 
Total investment income
   
34,589,282
     
32,815,353
 
                 
Operating expenses
               
Interest and other debt expenses
   
5,545,281
     
4,104,617
 
Management and advisory fees
   
4,504,084
     
4,359,198
 
Legal fees, professional fees and due diligence expenses
   
502,695
     
306,122
 
Administrative expenses
   
421,736
     
392,794
 
Director fees
   
107,924
     
85,089
 
Insurance expense
   
100,934
     
83,477
 
Custody fees
   
80,526
     
70,188
 
Other operating expenses
   
455,723
     
473,386
 
Total operating expenses
   
11,718,903
     
9,874,871
 
                 
Net investment income
   
22,870,379
     
22,940,482
 
                 
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
)
   
(105,868
)
Investments in companies 5% to 25% owned
   
315,053
     
395
 
Investments in companies more than 25% owned
   
-
     
19,167
 
Net realized loss
   
(2,628,652
)
   
(86,306
)
                 
Change in net unrealized appreciation/depreciation
   
(4,194,601
)
   
521,860
 
Net realized and unrealized gain (loss)
   
(6,823,253
)
   
435,554
 
Net increase in net assets from operations
   
16,047,126
     
23,376,036
 
                 
Dividends on Series A preferred equity facility
   
-
     
(362,673
)
Net change in accumulated dividends on Series A preferred equity facility
   
-
     
20,734
 
Distributions of incentive allocation to the General Partner from:
               
Net investment income
   
(4,574,076
)
   
(4,519,709
)
Net increase in net assets applicable to common shareholders resulting from operations
 
$
11,473,050
   
$
18,514,388
 
                 
Basic and diluted earnings per common share
 
$
0.24
   
$
0.38
 
Basic and diluted weighted average common shares outstanding
   
48,746,521
     
48,711,437
 

See accompanying notes to the consolidated financial statements.


TCP Capital Corp.

Consolidated Statements of Changes in Net Assets (Unaudited)

   
Common Stock
   
Paid in Capital
   
Accumulated
Net Investment
   
Accumulated
Net Realized
   
Accumulated
Net Unrealized
   
Non-controlling
   
Total Net
 
   
Shares
   
Par Amount
   
in Excess of Par
   
Income
   
Losses
   
Depreciation
   
Interest
   
Assets
 
                                                 
Balance at December 31, 2014
   
48,710,627
   
$
48,710
   
$
877,103,880
   
$
21,884,381
   
$
(126,408,033
)
 
$
(41,499,910
)
 
$
-
   
$
731,129,028
 
                                                                 
Issuance of common stock from at the market offerings, net
   
248,614
     
249
     
3,945,817
     
-
     
-
     
-
     
-
     
3,946,066
 
Issuance of common stock from dividend reinvestment plan
   
555
     
-
     
8,116
     
-
     
-
     
-
     
-
     
8,116
 
Repurchase of common stock
   
(125,062
)
   
(125
)
   
(1,797,751
)
                                   
(1,797,876
)
Gain on repurchase of Series A preferred interests
   
-
     
-
     
-
     
-
     
1,675,000
     
-
     
-
     
1,675,000
 
Net investment income
   
-
     
-
     
-
     
100,502,812
     
-
     
-
     
-
     
100,502,812
 
Net realized and unrealized loss
   
-
     
-
     
-
     
-
     
(17,671,648
)
   
(4,733,463
)
   
-
     
(22,405,111
)
Dividends on Series A preferred equity facility
   
-
     
-
     
-
     
(754,140
)
   
-
     
-
     
-
     
(754,140
)
General Partner incentive allocation
   
-
     
-
     
-
     
(19,949,734
)
   
-
     
-
     
-
     
(19,949,734
)
Regular dividends paid to common shareholders
   
-
     
-
     
-
     
(70,377,144
)
   
-
     
-
     
-
     
(70,377,144
)
Tax reclassification of stockholders' equity in accordance with generally accepted accounting principles
   
-
     
-
     
(876,706
)
   
(9,044,382
)
   
9,921,088
     
-
     
-
     
-
 
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 from dividend reinvestment plan
   
154
     
-
     
2,291
     
-
     
-
     
-
     
-
     
2,291
 
Repurchase of common stock
   
(140,596
)
   
(140
)
   
(1,860,597
)
   
-
     
-
     
-
     
-
     
(1,860,737
)
Net investment income
   
-
     
-
     
-
     
22,870,379
     
-
     
-
     
-
     
22,870,379
 
Net realized and unrealized loss
   
-
     
-
     
-
     
-
     
(4,194,601
)
   
(2,628,652
)
   
-
     
(6,823,253
)
General Partner incentive allocation
   
-
     
-
     
-
     
(4,574,076
)
   
-
     
-
     
-
     
(4,574,076
)
Regular dividends paid to common shareholders
   
-
     
-
     
-
     
(17,530,963
)
   
-
     
-
     
-
     
(17,530,963
)
Balance at March 31, 2016
   
48,694,292
   
$
48,694
   
$
876,525,050
   
$
23,027,133
   
$
(136,678,194
)
 
$
(48,862,025
)
 
$
-
   
$
714,060,658
 

See accompanying notes to the consolidated financial statements.
 
TCP Capital Corp.

Consolidated Statements of Cash Flows (Unaudited)

   
Three Months Ended March 31,
 
   
2016
   
2015
 
             
Operating activities
           
Net increase in net assets applicable to common shareholders resulting from operations
 
$
11,473,050
   
$
18,514,388
 
Adjustments to reconcile net increase in net assets applicable to common shareholders resulting from operations to net cash provided by (used in) operating activities:
               
Net realized loss
   
2,628,652
     
86,306
 
Change in net unrealized appreciation/depreciation of investments
   
4,197,741
     
(619,193
)
Dividends paid on Series A preferred equity facility
   
-
     
362,673
 
Net change in accumulated dividends on Series A preferred equity facility
   
-
     
(20,734
)
Accretion of original issue discount on investments
   
(2,376,605
)
   
(1,468,582
)
Net accretion of market discount/premium
   
(114,144
)
   
(50,789
)
Accretion of original issue discount on convertible debt
   
107,594
     
101,664
 
Interest and dividend income paid in kind
   
(1,701,577
)
   
(1,327,819
)
Amortization of deferred debt issuance costs
   
631,010
     
560,246
 
Changes in assets and liabilities:
               
Purchases of investment securities
   
(112,636,204
)
   
(105,494,037
)
Proceeds from sales, maturities and pay downs of investments
   
66,139,802
     
50,432,745
 
Increase in accrued interest income - companies less than 5% owned
   
(1,190,865
)
   
(2,741,907
)
Increase in accrued interest income - companies 5% to 25% owned
   
(1,011,550
)
   
(257,338
)
Decrease (increase) in accrued interest income - companies more than 25% owned
   
(480,715
)
   
3,550
 
Decrease in receivable for investments sold
   
-
     
5,851,369
 
Decrease (increase) in prepaid expenses and other assets
   
1,096,429
     
(783,495
)
Decrease in payable for investments purchased
   
(1,139,843
)
   
(2,049,518
)
Increase (decrease) in incentive allocation payable
   
(633,530
)
   
216,669
 
Increase in interest payable
   
1,240,132
     
1,522,168
 
Increase in payable to the Advisor
   
174,636
     
239,056
 
Decrease in accrued expenses and other liabilities
   
(1,002,556
)
   
(586,751
)
Net cash used in operating activities
   
(34,598,543
)
   
(37,509,329
)
                 
Financing activities
               
Borrowings
   
101,700,000
     
64,000,000
 
Repayments of debt
   
(60,500,000
)
   
(10,000,000
)
Payments of debt issuance costs
   
(150,350
)
   
(500,000
)
Dividends paid on Series A preferred equity facility
   
-
     
(362,673
)
Regular dividends paid to common shareholders
   
(17,530,963
)
   
(17,535,826
)
Repurchase of common shares
   
(1,860,737
)
   
-
 
Proceeds from shares issued in connection with dividend reinvestment plan
   
2,291
     
1,959
 
Proceeds from common shares sold, net of underwriting and offering costs
   
-
     
202,624
 
Net cash provided by financing activities
   
21,660,241
     
35,806,084
 
                 
Net decrease in cash and cash equivalents
   
(12,938,302
)
   
(1,703,245
)
Cash and cash equivalents at beginning of period
   
35,629,435
     
27,268,792
 
Cash and cash equivalents at end of period
 
$
22,691,133
   
$
25,565,547
 
                 
Supplemental cash flow information
               
Interest payments
 
$
3,345,864
   
$
1,599,017
 
Excise tax payments
 
877,879
    $
877,879
 

See accompanying notes to the consolidated financial statements.
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited)

March 31, 2016

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 (the “Conversion”). 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 SVOF/MM, LLC, which also serves as the administrator of 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 Company 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 six persons, four of whom are independent.
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

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.
 
Reclassifications
 
Certain prior period amounts in the Consolidated Statements of Assets and Liabilities relating to deferred debt issuance costs were reclassified to debt to conform to the current period presentation resulting from the adoption of two Accounting Standards Updates (see “Recent Accounting Pronouncements”).  Certain prior period amounts in the Consolidated Statements of Operations relating to interest expense, amortization of deferred debt issuance costs and commitment fees have been reclassified into “interest and other debt expenses” to conform to the current period presentation.
 
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 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 affirmative pricing or quotations from independent third-party sources, with the exception of investments priced directly by the Advisor which together comprise, in total, 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.
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

2. Summary of Significant Accounting Policies (continued)
 
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 boards of directors.
 
Pursuant to this policy, investment professionals of the Advisor provide 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 actually liquidated. The foregoing policies apply to all investments, including those 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.
 
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.
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

2. Summary of Significant Accounting Policies (continued)
 
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, 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 *
   
60,950,863
     
41,247,545
     
 
3  
Independent third-party valuation sources that employ significant unobservable inputs
   
974,241,847
     
96,551,748
     
51,794,409
 
3
 
Advisor valuations with significant unobservable inputs
   
316,437
     
     
2,041,779
 
Total
     
$
1,035,509,147
   
$
137,799,293
   
$
53,836,188
 
 
* 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, 2016 included the following:

Asset Type
 
Fair Value
 
Valuation Technique
 
Unobservable Input
 
Range (Weighted Avg.)
 
Bank Debt
 
$
749,589,533
 
Income approach
 
Discount rate
   
4.5% – 18.5% (11.9%)
 
     
167,755,462
 
Market quotations
 
Indicative bid/ask quotes
   
1 – 4 (1)
 
     
39,933,227
 
Market comparable companies
 
Revenue multiples
   
0.3x – 4.0x (2.2x)
 
     
17,280,062
 
Market comparable companies
 
EBITDA multiples
   
4.8x – 11.5x (8.6x)
Other Corporate Debt
   
87,283,748
 
Market quotations
 
Indicative bid/ask quotes
   
1 – 2 (1)
     
9,268,000
 
Market comparable companies
 
EBITDA multiples
   
7.8x (7.8x)
Equity
   
7,978,350
 
Income approach
 
Discount rate
   
5.8% – 26.2% (7.8%)
     
18,587,029
 
Market quotations
 
Indicative bid/ask quotes
   
1 – 2 (1)
     
3,397,775
 
Market comparable companies
 
Revenue multiples
   
0.3x – 6.0x (2.9x)
     
23,873,034
 
Market comparable companies
 
EBITDA multiples
   
4.4x – 11.5x (7.0x)
   
$
1,124,946,220
               
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

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, 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
Comprised of three investments that transferred from Level 2 due to reduced trading volumes
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

2. Summary of Significant Accounting Policies (continued)

    Advisor Valuation  
   
Bank Debt
   
Other
Corporate Debt
   
Equity
Securities
 
Beginning balance
 
$
1,124,504
   
$
   
$
2,428,217
 
Net realized and unrealized 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
 
There were no transfers between Level 1 and 2 during the three months ended March 31, 2016.
 
At December 31, 2015, 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 *
   
92,311,257
     
39,817,757
     
 
3  
Independent third-party valuation sources that employ significant unobservable inputs
   
907,967,337
     
89,314,530
     
49,956,123
 
3  
Advisor valuations with significant unobservable inputs
   
1,124,504
     
     
2,428,217
 
Total
     
$
1,001,403,098
   
$
129,132,287
   
$
52,384,340
 
 
* For example, quoted prices in inactive markets or quotes for comparable investments
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

2. Summary of Significant Accounting Policies (continued)
 
Unobservable inputs used in the fair value measurement of Level 3 investments as of December 31, 2015 included the following:
 
Asset Type
 
Fair Value
 
Valuation Technique
 
Unobservable Input
 
Range (Weighted
Avg.)
 
Bank Debt
 
$
715,701,737
 
Income approach
 
Discount rate
   
4.2% – 18.9% (11.8%)
     
140,033,088
 
Market quotations
 
Indicative bid/ask quotes
   
1 – 5 (1)
     
36,550,712
 
Market comparable companies
 
Revenue multiples
   
0.3x – 4.5x (2.2x)
     
16,806,304
 
Market comparable companies
 
EBITDA multiples
   
3.3x – 11.5x (7.8x)
Other Corporate Debt
   
80,046,530
 
Market quotations
 
Indicative bid/ask quotes
   
1 (1)
     
9,268,000
 
Market comparable companies
 
EBITDA multiples
   
7.3x (7.3x)
Equity
   
7,908,649
 
Income approach
 
Discount rate
   
5.9% – 26.2% (8.0%)
     
15,827,563
 
Market quotations
 
Indicative bid/ask quotes
   
1 – 2 (1)
     
3,212,249
 
Market comparable companies
 
Revenue multiples
   
0.3x – 6.0x (3.2x)
     
25,435,879
 
Market comparable companies
 
EBITDA multiples
   
4.4x – 11.5x (6.8x)
   
$
1,050,790,711
               

Changes in investments categorized as Level 3 during the three months ended March 31, 2015 were as follows:

   
Independent Third-Party Valuation
 
   
Bank Debt
   
Other
Corporate Debt
   
Equity
Securities
 
Beginning balance
 
$
840,538,179
   
$
56,621,975
   
$
30,618,142
 
Net realized and unrealized gains (losses)
   
(3,621,932
)
   
(351,837
)
   
1,150,788
 
Acquisitions *
   
107,285,828
     
-
     
825,325
 
Dispositions
   
(40,440,792
)
   
(2,516,390
)
   
(593,866
)
Transfers out of Level 3
   
(21,353,175
)
   
(6,818,440
)
   
 
Transfers into Level 3
   
13,790,000
     
51,247,225
     
 
Reclassifications within Level 3 §
   
60,000
     
4,611,178
     
 
Ending balance
 
$
896,258,108
   
$
102,793,711
   
$
32,000,389
 
                         
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)
 
$
(3,853,899
)
 
$
(408,035
)
 
$
1,150,788
 
 
* Includes payments received in kind
Comprised of three investments that transferred to Level 2 due to increased observable market activity
Comprised of three investments that transferred from Level 2 due to reduced trading volumes
§ Comprised of one investment that reclassified from Investment Manager Valuation and one that reclassified to Investment Manager Valuation
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

2. Summary of Significant Accounting Policies (continued)
 
   
Advisor Valuation
 
   
Bank Debt
   
Other
Corporate
Debt
   
Equity
Securities
 
Beginning balance
 
$
       
$
4,611,178
   
$
2,324,629
 
Net realized and unrealized losses
   
(61,492
)
       
     
350,184
 
Acquisitions *
   
8,992
         
     
 
Dispositions
   
-
         
     
 
Reclassifications within Level 3
   
(60,000
)
       
(4,611,178
)
   
 
Ending balance
 
$
(112,500
)
   
$
   
$
2,674,813
 
                              
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)
 
$
(61,492
)
      
$
   
$
350,183
 
 
* Includes payments received in kind
Comprised of one investment that reclassified to Independent Third-Party Valuation and one that reclassified from Independent Third-Party Valuation.
Negative balance relates to an unfunded commitment that was acquired and valued at a discount.

There were no transfers between Level 1 and 2 during the three months ended March 31, 2015.
 
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.
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

2. Summary of Significant Accounting Policies (continued)
 
Foreign Investments
 
The Company may invest in instruments traded in foreign countries and denominated in foreign currencies. Foreign currency denominated investments comprised approximately 1.4% and 1.4% of total investments at March 31, 2016 and December 31, 2015, respectively. Such positions were converted at the respective closing foreign exchange rates in effect at March 31, 2016 and December 31, 2015 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 has entered into certain swap and option transactions. All derivatives are reported at their gross amounts as either assets or liabilities in the Consolidated Statements of Assets and Liabilities. The 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 currency relative to the U.S. dollar. The Company is required under the terms of its derivative agreement to pledge assets as collateral to secure its obligation under the derivatives. As of March 31, 2016, $0.5 million of cash was pledged as collateral under the Company’s derivative instruments, and was included in cash and cash equivalents in the Consolidated Statements of Assets and Liabilities.
 
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:
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

2. Summary of Significant Accounting Policies (continued)

Instrument
 
Realized
Gains
(Losses)
   
Unrealized
Gains
(Losses)
 
Put option
 
$
   
$
(46,965
)
Cross currency basis swap
   
     
(594,927
)
Interest rate cap
   
     
 
 
The Company did not enter into any new derivative transactions during the three months ended March 31, 2015. At March 31, 2015, the Company held an interest rate cap with a notional amount of $25.0 million and a cross currency basis swap with a notional amount of $4.3 million. The interest rate cap and the cross currency basis swap are reported in the Consolidated Statements of Assets and Liabilities as options and unrealized appreciation on swaps, respectively. Gains and losses from derivatives during the three months ended March 31, 2015 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)
 
Cross currency basis swap
 
$
   
$
1,633,166
 
Interest rate cap
   
     
(426
)
 
Valuations of derivatives held at March 31, 2016 and 2015 were 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.
 
Debt Issuance Costs
 
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 $0.2 million and $0.4 million were incurred during the three months ended March 31, 2016 and year ended December 31, 2015, respectively, in connection with placing the SBIC’s 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.
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

2. Summary of Significant Accounting Policies (continued)
 
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 31, 2016, all tax years of the Company, the Operating Company, TCPC Funding and the SBIC since January 1, 2012 remain subject to examination by federal tax authorities. No such examinations are currently pending.
 
Cost and unrealized appreciation and depreciation of the Operating Company’s investments (including derivatives) for U.S. federal income tax purposes at March 31, 2016 and December 31, 2015 were as follows:

   
March 31, 2016
   
December 31, 2015
 
Unrealized appreciation
 
$
30,264,463
   
$
30,920,149
 
Unrealized depreciation
   
(80,025,245
)
   
(79,759,600
)
Net unrealized depreciation
 
$
(49,760,782
)
 
$
(48,839,451
)
                 
Cost
 
$
1,279,539,925
   
$
1,231,759,176
 
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

2. Summary of Significant Accounting Policies (continued)
 
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, which amends or supersedes the scope and consolidation pronouncement under existing GAAP. 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. The adoption of these ASUs resulted in the reclassification of $4.1 million and $4.2 million of debt issuance costs related to the Term Loan, Convertible Notes and SBA Debentures (as defined in Note 4) from deferred debt issuance costs to debt as of March 31, 2016 and December 31, 2015, respectively, on 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 that may impact the Company include 1) eliminate the requirement to disclose the method(s) and significant assumptions used to estimate the fair value of financial instruments measured at amortized cost, 2) require public entities to use the exit price notion when measuring the fair value of financial instruments for disclosure purposes and 3) require 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, 2016

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, and is reported as a non-controlling interest in the consolidated financial statements of the Company. As of March 31, 2016 and December 31, 2015, 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 issued by the Company (the “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”).
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

4. Leverage (continued)
 
Total leverage outstanding and available at March 31, 2016 was as follows:
 
   
Maturity
   
Rate
   
Carrying
Value*
   
Available
   
Total
Capacity
 
SVCP Facility
                               
SVCP Revolver
 
2018
     
L+1.75
%  
$
44,000,000
   
$
72,000,000
   
$
116,000,000
 
Term Loan
 
2018
     
L+1.75
%    
100,500,000
     
     
100,500,000
 
Convertible Notes ($108 million par)
 
2019
     
5.25
%
     
106,217,915
     
     
106,217,915
 
TCPC Funding Facility
 
2020
     
L+2.50
%†‡
 
   
244,000,000
     
106,000,000
     
350,000,000
 
SBA Debentures
 
2024-2025
     
2.81
%§
     
49,000,000
     
26,000,000
     
75,000,000
** 
Total leverage
                   
543,717,915
   
$
204,000,000
   
$
747,717,915
 
Unamortized issuance costs
                   
(4,122,609
)
               
Debt, net of unamortized issuance costs
                 
$
539,595,306
                 
 
* 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 on pooled loans of $42.8 million, excluding fees of 0.36%. As of March 31, 2016, the remaining $6.2 million of the outstanding amount was not yet pooled, and bore interest at a temporary rate of 1.20% plus fees of 0.36% through September 23, 2016, the date of the next SBA pooling.
** Anticipated total capacity of $150.0 million, subject to approval by the SBA following complete funding of the Operating Company’s initial $75.0 million commitment.
 
Total leverage outstanding and available at December 31, 2015 was as follows:
 
   
Maturity
   
Rate
   
Carrying
Value*
   
Available
    Total
Capacity
 
SVCP Facility
                               
SVCP Revolver
 
2018
     
L+1.75 
%
 
 
$
24,000,000
   
$
92,000,000
   
$
116,000,000
 
Term Loan
 
2018
     
L+1.75 
%
 
   
100,500,000
     
     
100,500,000
 
Convertible Notes ($108 million par)
 
2019
     
5.25
%      
106,110,321
     
     
106,110,321
 
TCPC Funding Facility
 
2020
     
L+2.50 
%†‡
     
229,000,000
     
121,000,000
     
350,000,000
 
SBA Debentures
 
2024-2025
     
2.81
%§       
42,800,000
     
32,200,000
     
75,000,000
** 
Total leverage
                   
502,410,321
   
$
245,200,000
   
$
747,610,321
 
Unamortized issuance costs
                   
(4,204,850
)
               
Debt, net of unamortized issuance costs
                 
$
498,205,471
                 
 
* 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 on pooled loans of $38.8 million, excluding fees of 0.36%. As of December 31, 2015, the remaining $4.0 million of the outstanding amount was not yet pooled, and bore interest at a temporary rate of 0.90% plus fees of 0.36% through March 22, 2016, the date of the next SBA pooling.
** Anticipated total capacity of $150.0 million, subject to approval by the SBA following complete funding of the Operating Company’s initial $75.0 million commitment.
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

4. Leverage (continued)
 
The combined weighted-average interest and dividend rates on total leverage outstanding at March 31, 2016 and December 31, 2015 were 3.28% and 3.20%, respectively.
 
Total expenses related to debt include:

   
Three Months Ended March 31,
 
   
2016
   
2015
 
Interest expense
 
$
4,693,590
   
$
3,222,849
 
Amortization of deferred debt issuance costs
   
631,010
     
560,246
 
Commitment fees
   
220,681
     
321,522
 
Total
 
$
5,545,281
   
$
4,104,617
 
 
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, 2016, the estimated fair values of the TCPC Funding Facility and the SBA Debentures approximated their carrying values, and the SVCP Facility and the Convertible Notes had estimated fair values of $143.4 million and $109.3 million, respectively. The estimated fair values of the SVCP Facility, the TCPC Funding Facility, the Convertible Notes and the SBA Debentures are 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. At March 31, 2016, the 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 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 Convertible Notes prior to maturity. The Convertible Notes bear interest at an annual rate of 5.25%, payable semi-annually. In certain circumstances, the 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 of the Convertible Notes, 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, 2016, the principal amount of the 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 Convertible Notes only under certain circumstances set forth in the indenture governing the terms of the Convertible Notes (the “Indenture”). 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 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.
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

4. Leverage (continued)
 
The Convertible Notes are accounted for in accordance with ASC Topic 470-20 – Debt with Conversion and Other Options. Upon conversion of any Convertible Note, 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 Indenture. The Company has determined that the embedded conversion option in the Convertible Notes is not required to be separately accounted for as a derivative under GAAP. At the time of issuance the estimated values of the debt and equity components of the Convertible Notes were approximately 97.7% and 2.3%, respectively.
 
The original issue discount equal to the equity component of the Convertible Notes was recorded in “paid-in capital in excess of par” in the accompanying Consolidated Statements of Assets and Liabilities. As a result, the Company will record interest expense comprised of both stated interest and accretion of the original issue discount. At the time of issuance, the equity component was $2.5 million. As of March 31, 2016 and December 31, 2015, the components of the carrying value of the Convertible Notes were as follows:

   
March 31, 2016
   
December 31, 2015
 
Principal amount of debt
 
$
108,000,000
   
$
108,000,000
 
Original issue discount, net of accretion
   
(1,782,085
)
   
(1,889,679
)
Carrying value of debt
 
$
106,217,915
   
$
106,110,321
 
 
For the three months ended March 31, 2016 and 2015, the components of interest expense for the Convertible Notes were as follows:
 
   
Three Months Ended March 31,
 
    2016     2015  
Stated interest expense
 
$
1,417,500
   
$
1,417,500
 
Accretion of original issue discount
   
107,594
     
101,664
 
Total interest expense
 
$
1,525,094
   
$
1,519,164
 
 
The estimated effective interest rate of the debt component of the 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, 2016.
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

4. Leverage (continued)
 
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 bear 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 will 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, 2016, the Operating Company was in full compliance with such covenants.
 
SBA Debentures
 
As of March 31, 2016 the SBIC is able to issue up to $75.0 million in SBA Debentures, subject to funded regulatory capital and other customary regulatory requirements. As of March 31, 2016, the Operating Company had committed $75.0 million of regulatory capital to the SBIC, $61.0 million 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, 2016

4. Leverage (continued)

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

Issuance Date
 
Maturity
 
Debenture
Amount
   
Fixed
Interest Rate
   
SBA
Annual Charge
 
Pooled loans:
                     
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
%
December 18, 2015
 
March 1, 2026
   
4,000,000
     
2.51
%
   
0.36
%
         
42,800,000
     
2.81
%*
       
Non-pooled loans:
                           
March 25, 2016
 
September 21, 2016
   
6,200,000
     
1.20
%
   
0.36
%
        
$
49,000,000
                 
 
* Weighted-average interest rate on pooled loans
 
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, 2016, TCPC Funding was in full compliance with such covenants.
 
Preferred Interests
 
During 2015, the Operating Company fully repurchased and retired all outstanding Preferred Interests. On June 30, 2015, the Operating Company repurchased and retired 1,675 of the previously outstanding 6,700 Preferred Interests at a price of $31.8 million. On September 3, 2015, the Operating Company repurchased and retired the remaining 5,025 Preferred Interests outstanding at a price of $100.5 million.
 
When issued, the Preferred Interests were comprised of 6,700 Series A preferred limited partner interests with a liquidation preference of $20,000 per interest. The Preferred Interests accrued dividends at an annual rate equal to 0.85% plus either LIBOR or the interest holder’s cost of funds (subject to a cap of LIBOR plus 20 basis points).
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016
 
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.
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

5. Commitments, Contingencies, Concentration of Credit Risk and Off-Balance Sheet Risk (continued)

The Consolidated Schedules of Investments include certain revolving loan facilities and other commitments with unfunded balances at March 31, 2016 and December 31, 2015 as follows:

       
Unfunded Balances
 
Issuer
 
Maturity
 
March 31, 2016
   
December 31, 2015
 
AP Gaming I, LLC
 
12/20/2018
 
$
12,500,000
   
$
12,500,000
 
Acrisure, LLC
 
11/19/2022
   
6,000,000
     
1,351,596
 
Alpheus Communications, LLC
 
5/31/2018
   
1,072,256
     
1,072,256
 
Anuvia Plant Nutrients Holdings, LLC (VitAG)
 
2/1/2018
   
N/A
   
4,300,000
 
Asset International, Inc.
 
7/31/2020
   
N/A
 
   
565,544
 
BlackLine Systems, Inc.
 
9/25/2018
   
3,740,693
     
N/A
 
Cargojet Airways, LTD.
 
1/31/2023
   
N/A
 
   
14,457,306
 
Central MN Renewables, LLC
 
1/16/2016
   
N/A
 
   
2,100,000
 
Daymark Financial Acceptance, LLC
 
1/12/2020
   
10,000,000
     
20,000,000
 
Edmentum, Inc.
 
6/9/2020
   
2,189,581
     
3,368,586
 
Enerwise Global Technologies, Inc.
 
11/30/2017
   
7,500,000
     
7,500,000
 
Essex Ocean, LLC
 
3/25/2019
   
N/A
 
   
22,008,557
 
Fidelis Acquisitionco, LLC
 
11/4/2019
   
N/A
 
   
1,909,286
 
InMobi, Inc.
 
9/1/2018
   
7,500,000
     
9,354,959
 
MediMedia USA, Inc.
 
5/20/2018
   
5,657,500
     
4,293,500
 
Mesa Air Group, Inc.
 
7/15/2022
   
13,575,000
     
13,575,000
 
Nanosys, Inc.
 
4/1/19
   
3,000,000
     
N/A
 
Redaptive, Inc.
 
7/1/2018
   
15,000,000
     
15,000,000
 
RM OpCo, LLC (Real Mex)
 
3/30/2018
   
440,774
     
440,774
 
Utilidata, Inc.
 
1/1/2019
   
4,800,000
     
4,800,000
 
Vistronix, LLC
 
12/4/2018
   
N/A
 
   
205,558
 
Waterfall International, Inc.
 
9/1/2018
   
N/A
 
   
3,200,000
 
Total Unfunded Balances
     
$
92,975,804
   
$
142,002,922
 
 
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, 2016 and December 31, 2015, 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, 2016 and December 31, 2015, amounts reimbursable to the Advisor totaled $0.7 million and $0.5 million, respectively, as reflected in the Consolidated Statements of Assets and Liabilities.
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016
 
6. Related Party Transactions (continued)

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, 2016 and 2015, expenses allocated pursuant to the Administration Agreements totaled $0.4 million and $0.4 million, respectively.

On November 25, 2014, the Company and the Operating Company obtained an exemptive order (the “Exemptive Order”) from the Securities and Exchange Commission permitting the Company and Operating Company to purchase certain investments from affiliated investment companies at fair value. The Exemptive Order exempts the Company and the Operating Company from provisions of Sections 17(a) and 57(a) of the 1940 Act which would otherwise restrict such transfers. All such purchases are subject to the conditions set forth in the Exemptive Order, which among others include certain procedures to verify that each purchase is done at the current fair value of the respective investment. During the three months ended March 31, 2016 and 2015, the Company purchased approximately $0.0 million and $63.6 million, respectively, of investments from affiliates (as defined in the 1940 Act), which were classified as Level 2 in the GAAP valuation hierarchy at the time of the transfer. The selling party has no continuing involvement in the transferred assets. All of the transfers were consummated in accordance with the provisions of the Exemptive Order and were accounted for as a purchase in accordance with ASC 860, Transfers and Servicing.

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, 2016.
 
   
Shares Issued
   
Price Per Share
   
Net Proceeds
 
Shares issued from dividend reinvestment plan
   
154
   
$
14.88
*
 
$
2,291
 
 
* 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, 2015:

   
Shares Issued
   
Price Per Share
   
Net Proceeds
 
At-the-market offerings
   
248,614
   
$
15.87
*
 
$
3,946,066
 
Shares issued from dividend reinvestment plan
   
555
     
14.62
*
   
8,116
 
 
* Weighted-average price per share
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

7. Stockholders’ Equity and Dividends (continued)

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, 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
 
 
The following table summarizes the Company’s dividends declared and paid for the three months ended March 31, 2015:
 
Date Declared
 
Record Date
 
Payment Date
 
Type
 
Amount Per Share
   
Total Amount
 
March 10, 2015
 
March 19, 2015
 
March 31, 2015
 
Regular
 
$
0.36
   
$
17,535,826
 

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 24, 2016, and, unless further extended or terminated by the Company’s board of directors, the Company expects that the Company Repurchase Plan will be in effect through the earlier of two trading days after the Company’s first quarter 2016 earnings release or such time as the approved $50.0 million repurchase amount has been fully utilized, subject to certain conditions.

The following table summarizes the total shares repurchased and amounts paid by the Company under the Company Repurchase Plan, including broker fees, for the three months ended March 31, 2016.
 
   
Shares
Repurchased
   
Price Per Share
   
Total Cost
 
Company Repurchase Plan
   
140,596
   
$
13.23
*
 
$
1,860,737
 
 
* 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.
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016
 
8. Earnings Per Share (continued)

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, 2016 and
2015:

   
Three Months Ended March 31,
 
    2016     2015  
Net increase in net assets applicable to common shareholders resulting from operations
 
$
11,473,050
   
$
18,514,388
 
Weighted average shares outstanding
   
48,746,521
     
48,711,437
 
Earnings per share
 
$
0.24
   
$
0.38
 

9. Subsequent Events

On April 18, 2016, the Company issued $30.0 million in aggregate principal amount of a 5.25% convertible note due 2021 (the “Note”) pursuant to a purchase agreement, dated as of April 18, 2016, between the Company and CNO Financial Investments Corp.  The conversion price is the greater of (a) the closing price of the Company’s common shares on the conversion date and (b) the then-current net asset value of the Company.  There were no placement agent or underwriting fees in connection with the transaction. The Note will mature on April 30, 2021, unless previously converted.  The holder may convert the Note at its option at any time prior to the close of business on the business day immediately preceding April 30, 2021, in integral multiples of $1,000,000 principal amount. Additionally, the Note will be automatically converted in its entirety, without any further action by the holder, on the date on which the closing price of the common stock of the Company has been at or above the Company’s most recent publicly reported net asset value per share of common stock for at least ten trading days (whether or not consecutive) in a 20 consecutive trading day period.

On May 4, 2016, 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 2016 earnings release or such time as the approved $50.0 million repurchase amount has been fully utilized, subject to certain conditions.

On May 10, 2016, the Company’s board of directors declared a second quarter regular dividend of $0.36 per share payable on June 30, 2016 to stockholders of record as of the close of business on June 16, 2016.
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

10. Financial Highlights
 
   
Three Months Ended March 31,
 
   
2016
   
2015
 
             
Per Common Share
           
Per share NAV at beginning of period
 
$
14.78
   
$
15.01
 
                 
Investment operations:
               
Net investment income
   
0.47
     
0.47
 
Net realized and unrealized losses
   
(0.14
)
   
0.01
 
Dividends on Series A preferred equity facility
   
-
     
(0.01
)
Incentive allocation reserve and distributions
   
(0.09
)
   
(0.09
)
Total from investment operations
   
0.24
     
0.38
 
                 
Distributions to common shareholders from:
               
Net investment income
   
(0.36
)
   
(0.36
)
Per share NAV at end of period
 
$
14.66
   
$
15.03
 
                 
                 
Per share market price at end of period
 
$
14.91
   
$
16.02
 
                 
Total return based on market value (1), (2)
   
9.6
%
   
(2.4
%)
Total return based on net asset value (1), (3)
   
1.6
%
   
2.5
%
                 
Shares outstanding at end of period
   
48,694,292
     
48,723,549
 
 
TCP Capital Corp.

Notes to Consolidated Financial Statements (Unaudited) (Continued)

March 31, 2016

10. Financial Highlights (continued)
 
   
Three Months Ended March 31,
 
   
2016
   
2015
 
             
Ratios to average common equity: (4), (5)
           
Net investment income (6)
   
12.1
%
   
12.1
%
Expenses
   
6.5
%
   
5.5
%
Expenses and incentive allocation (7)
   
7.1
%
   
6.1
%
                 
Ending common shareholder equity
 
$
714,060,658
   
$
732,312,173
 
Portfolio turnover rate
   
5.5
%
   
4.3
%
Weighted-average leverage outstanding (8)
 
$
522,385,092
   
$
483,587,403
 
Weighted-average interest rate on leverage (9)
   
3.6
%
   
3.0
%
Weighted-average number of common shares
   
48,746,521
     
48,711,437
 
Average leverage per share (8)
 
$
10.72
   
$
9.93
 

(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) These ratios include interest expense but do not reflect the effect of dividends on the preferred equity facility.
(6) Net of incentive allocation.
(7) Includes incentive allocation payable to the General Partner and all Company expenses.
(8) Includes both debt and preferred leverage.
(9) Includes dividends on the preferred leverage facility.
 
TCP Capital Corp.

Consolidated Schedule of Changes in Investments in Affiliates (1) (Unaudited)

Three Months Ended March 31, 2016

Security
 
Dividends or
Interest (2)
   
Fair Value at
December 31,
2015
   
Acquisitions (3)
   
Dispositions (4)
   
Fair Value at
March 31, 2016
 
                               
36th Street Capital Partners Holdings, LLC, Membership Units
 
$
-
   
$
225,000
   
$
2,325,282
   
$
-
   
$
2,550,282
 
36th Street Capital Partners Holdings, LLC, Subordinated Promissory Note, 12%, due 11/1/20
   
455,430
     
900,000
     
9,051,348
     
-
     
9,951,348
 
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 Term Loan, 12%, due 9/15/16
   
147,711
     
4,869,577
     
-
     
-
     
4,869,577
 
Anacomp, Inc., Class A Common Stock
   
-
     
1,581,964
     
-
     
-
     
1,581,964
 
Edmentum Ultimate Holdings, LLC, Junior PIK Notes, 10%, due 6/9/20
   
330,427
     
11,343,490
     
325,211
     
(38,473
)
   
11,630,228
 
Edmentum Ultimate Holdings, LLC, Senior PIK Notes, 8.5%, due 6/9/20
   
56,965
     
2,612,408
     
56,131
     
-
     
2,668,539
 
Edmentum, Inc., Junior Revolving Facility, 5%, due 6/9/20
   
4,983
     
-
     
1,179,008
     
-
     
1,179,008
 
Edmentum Ultimate Holdings, LLC, Class A Common Units
   
-
     
680,218
     
-
     
-
     
680,218
 
EPMC HoldCo, LLC, Membership Units
   
-
     
682,614
     
-
     
(367,561
)
   
315,053
 
Essex Ocean II, LLC, Membership Units
   
-
     
200,686
     
-
     
(11,048
)
   
189,638
 
Globecomm Systems Inc., Senior Secured 1st Lien Term Loan, LIBOR + 7.625%, 1.25% LIBOR Floor, due 12/11/18
   
328,627
     
14,256,233
     
373
     
(225,707
)
   
14,030,899
 
KAGY Holding Company, Inc., Series A Preferred Stock
   
-
     
6,118,515
     
45,967
     
-
     
6,164,482
 
N659UA Aircraft Secured Mortgage, 12%, due 2/28/16
   
4,554
     
318,980
     
-
     
(318,980
)
   
-
 
N661UA Aircraft Secured Mortgage, 12%, due 5/4/16
   
10,458
     
570,303
     
-
     
(341,008
)
   
229,295
 
N913DL Aircraft Secured Mortgage, 8%, due 3/15/17
   
2,041
     
115,617
     
-
     
(24,422
)
   
91,195
 
N918DL Aircraft Secured Mortgage, 8%, due 8/15/18
   
4,449
     
237,494
     
-
     
(22,118
)
   
215,376
 
N954DL Aircraft Secured Mortgage, 8%, due 3/20/19
   
6,511
     
342,734
     
-
     
(25,446
)
   
317,288
 
N955DL Aircraft Secured Mortgage, 8%, due 6/20/19
   
7,032
     
369,162
     
-
     
(24,534
)
   
344,628
 
N956DL Aircraft Secured Mortgage, 8%, due 5/20/19
   
6,952
     
365,197
     
-
     
(24,942
)
   
340,255
 
N957DL Aircraft Secured Mortgage, 8%, due 6/20/19
   
7,094
     
372,392
     
-
     
(24,752
)
   
347,640
 
N959DL Aircraft Secured Mortgage, 8%, due 7/20/19
   
7,235
     
379,522
     
-
     
(24,562
)
   
354,960
 
N960DL Aircraft Secured Mortgage, 8%, due 10/20/19
   
7,714
     
403,869
     
-
     
(24,188
)
   
379,681
 
N961DL Aircraft Secured Mortgage, 8%, due 8/20/19
   
7,499
     
393,115
     
-
     
(24,783
)
   
368,332
 
N976DL Aircraft Secured Mortgage, 8%, due 2/15/18
   
4,044
     
218,321
     
-
     
(25,541
)
   
192,780
 
N913DL Equipment Trust Beneficial Interests
   
7,516
     
107,501
     
375
     
(3,149
)
   
104,727
 
N918DL Equipment Trust Beneficial Interests
   
6,292
     
127,662
     
-
     
(2,285
)
   
125,377
 
N954DL Equipment Trust Beneficial Interests
   
6,476
     
77,850
     
4,095
     
(2,650
)
   
79,295
 
N955DL Equipment Trust Beneficial Interests
   
6,130
     
108,100
     
2,433
     
(3,246
)
   
107,287
 
N956DL Equipment Trust Beneficial Interests
   
6,192
     
104,478
     
2,571
     
(3,224
)
   
103,825
 
N957DL Equipment Trust Beneficial Interests
   
6,108
     
105,329
     
2,637
     
(3,297
)
   
104,669
 
N959DL Equipment Trust Beneficial Interests
   
6,026
     
106,203
     
2,702
     
(3,369
)
   
105,536
 
N960DL Equipment Trust Beneficial Interests
   
5,762
     
105,937
     
3,088
     
(3,629
)
   
105,396
 
N961DL Equipment Trust Beneficial Interests
   
5,903
     
101,487
     
3,159
     
(3,540
)
   
101,106
 
N976DL Equipment Trust Beneficial Interests
   
6,394
     
100,793
     
755
     
(1,098
)
   
100,450
 
RM Holdco, LLC, Equity Participation
   
-
     
-
     
-
     
-
     
-
 
RM Holdco, LLC, Membership Units
   
-
     
-
     
-
     
-
     
-
 
RM OpCo, LLC, Senior Secured 1st Lien Term Loan Tranche A, 7%, due 3/21/16
   
64,244
     
3,719,155
     
1,132,324
     
-
     
4,851,479
 
RM OpCo, LLC, Senior Secured 2nd Lien Term Loan Tranche B, 8.5%, due 3/30/18
   
193,661
     
4,490,993
     
192,253
     
(509,866
)
   
4,173,380
 
RM OpCo, LLC, Senior Secured 2nd Lien Term Loan Tranche B-1, 8.5%, due 3/30/18
   
60,990
     
2,797,956
     
60,547
     
-
     
2,858,503
 
RM OpCo, LLC, Convertible 2nd Lien Term Loan Tranche B-1, 8.5%, due 3/30/18
   
42,552
     
1,783,036
     
42,269
     
(3,684
)
   
1,821,621
 
RM OpCo, LLC, Senior Convertible 2nd Lien Term Loan B, 8.5%, due 3/30/18
   
47,698
     
2,188,233
     
47,353
     
-
     
2,235,586
 
United N659UA-767, LLC (N659UA)
   
336,312
     
3,368,599
     
379,292
     
(347,755
)
   
3,400,136
 
United N661UA-767, LLC (N661UA)
   
376,960
     
3,294,024
     
375,070
     
(318,186
)
   
3,350,908
 
Wasserstein Cosmos Co-Invest, L.P., Limited Partnership Units
   
-
     
4,198,500
     
-
     
(477,500
)
   
3,721,000
 

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 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, 2015
 
Security
 
Dividends or
Interest(2)
   
Fair Value at
December 31,
2014
   
Acquisitions(3)
   
Dispositions(4)
   
Fair Value at
December 31,
2015
 
36th Street Capital Partners Holdings, LLC, Membership Units
 
$
15,600
   
$
   
$
225,000
   
$
   
$
225,000
 
36th Street Capital Partners Holdings, LLC, Subordinated Promissory Note, 12%, due 11/1/20
   
     
     
900,000
     
     
900,000
 
AGY Holding Corp., Senior Secured 2nd Lien Notes, 11%, due 11/15/16
   
1,019,480
     
9,017,764
     
250,236
     
     
9,268,000
 
AGY Holding Corp., Senior Secured Term Loan, 12%, due 9/15/16
   
592,466
     
4,869,577
     
     
     
4,869,577
 
Anacomp, Inc., Class A Common Stock
   
     
916,535
     
665,429
     
     
1,581,964
 
Edmentum Ultimate Holdings, LLC, Junior PIK Notes, 10%, due 6/9/20
   
715,131
     
     
12,054,264
     
(710,774
)
   
11,343,490
 
Edmentum Ultimate Holdings, LLC, Senior PIK Notes, 8.5%, due 6/9/20
   
124,828
     
     
2,612,408
     
     
2,612,408
 
Edmentum, Inc., Junior Revolving Facility, 5%, due 6/9/20
   
22,329
     
     
2,105,366
     
(2,105,366
)
   
 
Edmentum Ultimate Holdings, LLC, Class A Common Units
   
     
     
680,218
     
     
680,218
 
EPMC HoldCo, LLC, Membership Units
   
     
682,614
     
     
     
682,614
 
Essex Ocean II, LLC, Membership Units
   
     
     
200,686
     
     
200,686
 
Globecomm Systems Inc., Senior Secured 1st Lien Term Loan, LIBOR + 7.625%, 1.25% LIBOR Floor, due 12/11/18
   
1,330,125
     
14,656,950
     
121,560
     
(522,277
)
   
14,256,233
 
KAGY Holding Company, Inc., Series A Preferred Stock
   
     
121,975
     
5,996,540
     
     
6,118,515
 
N659UA Aircraft Secured Mortgage, 12%, due 2/28/16
   
120,307
     
1,659,003
     
     
(1,340,023
)
   
318,980
 
N661UA Aircraft Secured Mortgage, 12%, due 5/4/16
   
137,289
     
1,899,950
     
     
(1,329,647
)
   
570,303
 
N913DL Aircraft Secured Mortgage, 8%, due 3/15/17
   
12,800
     
209,168
     
     
(93,551
)
   
115,617
 
N918DL Aircraft Secured Mortgage, 8%, due 8/15/18
   
21,901
     
320,440
     
     
(82,946
)
   
237,494
 
N954DL Aircraft Secured Mortgage, 8%, due 3/20/19
   
30,753
     
437,679
     
315
     
(95,260
)
   
342,734
 
N955DL Aircraft Secured Mortgage, 8%, due 6/20/19
   
32,662
     
460,258
     
539
     
(91,635
)
   
369,162
 
N956DL Aircraft Secured Mortgage, 8%, due 5/20/19
   
32,415
     
457,902
     
479
     
(93,184
)
   
365,197
 
N957DL Aircraft Secured Mortgage, 8%, due 6/20/19
   
32,947
     
464,283
     
544
     
(92,435
)
   
372,392
 
N959DL Aircraft Secured Mortgage, 8%, due 7/20/19
   
33,476
     
470,601
     
612
     
(91,691
)
   
379,522
 
N960DL Aircraft Secured Mortgage, 8%, due 10/20/19
   
35,326
     
493,258
     
831
     
(90,220
)
   
403,869
 
N961DL Aircraft Secured Mortgage, 8%, due 8/20/19
   
34,574
     
484,908
     
694
     
(92,487
)
   
393,115
 
N976DL Aircraft Secured Mortgage, 8%, due 2/15/18
   
20,940
     
314,588
     
     
(96,267
)
   
218,321
 
N913DL Equipment Trust Beneficial Interests
   
25,444
     
117,497
     
90,909
     
(100,905
)
   
107,501
 
N918DL Equipment Trust Beneficial Interests
   
21,074
     
135,890
     
81,670
     
(89,898
)
   
127,662
 
N954DL Equipment Trust Beneficial Interests
   
21,205
     
72,604
     
112,997
     
(107,751
)
   
77,850
 
N955DL Equipment Trust Beneficial Interests
   
20,000
     
111,010
     
103,527
     
(106,437
)
   
108,100
 
N956DL Equipment Trust Beneficial Interests
   
20,172
     
106,800
     
105,581
     
(107,903
)
   
104,478
 
N957DL Equipment Trust Beneficial Interests
   
19,872
     
107,682
     
105,105
     
(107,458
)
   
105,329
 
N959DL Equipment Trust Beneficial Interests
   
19,577
     
108,579
     
104,638
     
(107,014
)
   
106,203
 
N960DL Equipment Trust Beneficial Interests
   
18,590
     
107,865
     
104,750
     
(106,678
)
   
105,937
 
N961DL Equipment Trust Beneficial Interests
   
19,044
     
102,826
     
107,207
     
(108,546
)
   
101,487
 
N976DL Equipment Trust Beneficial Interests
   
20,825
     
102,006
     
101,347
     
(102,560
)
   
100,793
 
RM Holdco, LLC, Equity Participation
   
     
792
     
     
(792
)
   
 
RM Holdco, LLC, Membership Units
   
     
     
     
     
 
RM OpCo, LLC, Senior Secured 1st Lien Term Loan Tranche A, 7%, due 3/21/16
   
272,075
     
3,900,025
     
18,674
     
(199,544
)
   
3,719,155
 
RM OpCo, LLC, Senior Secured 2nd Lien Term Loan Tranche B, 8.5%, due 3/30/18
   
736,422
     
6,457,325
     
731,070
     
(2,697,402
)
   
4,490,993
 
RM OpCo, LLC, Senior Secured 2nd Lien Term Loan Tranche B-1, 8.5%, due 3/30/18
   
238,052
     
2,567,717
     
239,889
     
(9,650
)
   
2,797,956
 
RM OpCo, LLC, Convertible 2nd Lien Term Loan Tranche B-1, 8.5%, due 3/30/18
   
165,715
     
1,636,314
     
164,641
     
(17,919
)
   
1,783,036
 
RM OpCo, LLC, Senior Convertible 2nd Lien Term Loan B, 8.5%, due 3/30/18
   
120,207
     
631,164
     
1,557,069
     
     
2,188,233
 
United N659UA-767, LLC (N659UA)
   
581,125
     
3,177,822
     
1,268,821
     
(1,078,044
)
   
3,368,599
 
United N661UA-767, LLC (N661UA)
   
569,770
     
3,078,923
     
1,230,498
     
(1,015,397
)
   
3,294,024
 
Wasserstein Cosmos Co-Invest, L.P., Limited Partnership Units
   
     
4,175,000
     
1,050,000
     
(1,026,500
)
   
4,198,500
 

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 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, 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
BPA Laboratories, Inc., Senior Secured Notes, 12.25%, due 4/1/17 (144A)
 
3/5/12
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
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
NEXTracker, Inc., Series B Preferred Stock
 
12/17/14
NEXTracker, Inc., Series C Preferred Stock
 
6/12/15
Precision Holdings, LLC, Class C Membership Interests
 
Var. 2010 & 2011
Rightside Group, Ltd., Warrants
 
8/6/14
Shop Holding, LLC (Connexity), Class A Units
 
6/2/11
Shop Holding, LLC (Connexity), Warrants to Purchase 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, 2015

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
BPA Laboratories, Inc., Senior Secured Notes, 12.25%, due 4/1/17 (144A)
 
3/5/12
Caribbean Financial Group, Senior Secured Notes, 11.5%, due 11/15/19
 
10/19/12
Findly Talent, LLC, Membership Units
 
1/1/14
Flight Options Holdings I, Inc. (One Sky), Warrants to Purchase Common Stock
 
12/4/13
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
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
NEXTracker, Inc., Series B Preferred Stock
 
12/17/14
NEXTracker, Inc., Series C Preferred Stock
 
6/12/15
Precision Holdings, LLC, Class C Membership Interests
 
Var. 2010 & 2011
Rightside Group, Ltd., Warrants
 
8/6/14
Shop Holding, LLC (Connexity), Class A Units
 
6/2/11
Shop Holding, LLC (Connexity), Warrants to Purchase Class A Units
 
6/2/11
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, 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
 
$
-
   
$
1,131,433,680
   
$
-
   
$
1,131,433,680
 
Companies 5% to 25% owned
   
-
     
70,467,574
     
-
     
70,467,574
 
Companies more than 25% owned
   
-
     
25,243,374
     
-
     
25,243,374
 
Investment in subsidiary
   
820,099,971
     
-
     
(820,099,971
)
   
-
 
Total investments
   
820,099,971
     
1,227,144,628
     
(820,099,971
)
   
1,227,144,628
 
                                 
Cash and cash equivalents
   
-
     
22,691,133
     
-
     
22,691,133
 
Accrued interest income
   
-
     
12,296,194
     
-
     
12,296,194
 
Deferred debt issuance costs
   
-
     
4,991,822
     
-
     
4,991,822
 
Unrealized appreciation on swaps
   
-
     
2,634,515
     
-
     
2,634,515
 
Options (cost $51,750)
   
-
     
232,362
     
-
     
232,362
 
Prepaid expenses and other assets
   
203,247
     
1,031,368
     
-
     
1,234,615
 
Total assets
   
820,303,218
     
1,271,022,022
     
(820,099,971
)
   
1,271,225,269
 
                                 
Liabilities
                               
Debt
   
104,016,852
     
435,578,454
     
-
     
539,595,306
 
Payable for investment securities purchased
   
-
     
5,285,571
     
-
     
5,285,571
 
Incentive allocation payable
   
-
     
4,574,076
     
-
     
4,574,076
 
Interest payable
   
1,665,417
     
2,485,972
     
-
     
4,151,389
 
Payable to the Advisor
   
209,453
     
473,517
     
-
     
682,970
 
Accrued expenses and other liabilities
   
350,838
     
2,524,461
     
-
     
2,875,299
 
Total liabilities
   
106,242,560
     
450,922,051
     
-
     
557,164,611
 
                                 
Non-controlling interest
                               
General Partner interest in Special Value Continuation Partners, LP
   
-
     
-
     
-
     
-
 
Net assets
 
$
714,060,658
   
$
820,099,971
   
$
(820,099,971
)
 
$
714,060,658
 
                                 
Composition of net assets
                               
Common stock
 
$
48,694
   
$
-
   
$
-
   
$
48,694
 
Additional paid-in capital
   
876,525,050
     
979,172,558
     
(979,172,558
)
   
876,525,050
 
Accumulated deficit
   
(162,513,086
)
   
(159,072,587
)
   
159,072,587
     
(162,513,086
)
Net assets
 
$
714,060,658
   
$
820,099,971
   
$
(820,099,971
)
 
$
714,060,658
 
 
TCP Capital Corp.

Consolidating Statement of Assets and Liabilities

December 31, 2015

   
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
 
$
   
$
1,099,208,475
   
$
   
$
1,099,208,475
 
Companies 5% to 25% owned
   
     
69,008,931
     
     
69,008,931
 
Companies more than 25% owned
   
     
14,702,319
     
     
14,702,319
 
Investment in subsidiary
   
827,455,601
     
     
(827,455,601
)
   
 
Total investments
   
827,455,601
     
1,182,919,725
     
(827,455,601
)
   
1,182,919,725
 
Cash and cash equivalents
   
     
35,629,435
     
     
35,629,435
 
Deferred debt issuance costs
   
2,372,257
     
7,222,834
     
     
9,595,091
 
Accrued interest income
   
     
9,613,064
     
     
9,613,064
 
Unrealized appreciation on swaps
   
     
3,229,442
     
     
3,229,442
 
Receivable for investment securities sold
   
     
     
     
 
Options (cost $51,750)
   
     
     
     
 
Prepaid expenses and other assets
   
283,913
     
2,047,131
     
     
2,331,044
 
Total assets
   
830,111,771
     
1,240,661,631
     
(827,455,601
)
   
1,243,317,801
 
Liabilities
                               
Debt
   
106,110,321
     
396,300,000
     
     
502,410,321
 
Payable for investment securities purchased
   
     
6,425,414
     
     
6,425,414
 
Incentive allocation payable
   
     
5,207,606
     
     
5,207,606
 
Interest payable
   
247,916
     
2,663,341
     
     
2,911,257
 
Payable to the Advisor
   
247,574
     
260,760
     
     
508,334
 
Accrued expenses and other liabilities
   
1,528,943
     
2,348,909
     
     
3,877,852
 
Total liabilities
   
108,134,754
     
413,206,030
     
     
521,340,784
 
                                 
Non-controlling interest
                               
General Partner interest in Special Value Continuation Partners, LP
   
     
     
     
 
Net assets
 
$
721,977,017
   
$
827,455,601
   
$
(827,455,601
)
 
$
721,977,017
 
                                 
Composition of net assets
                               
Common stock
 
$
48,834
   
$
   
$
   
$
48,834
 
Additional paid-in capital
   
878,383,356
     
981,033,295
     
(981,033,295
)
   
878,383,356
 
Accumulated deficit
   
(156,455,173
)
   
(153,577,694
)
   
153,577,694
     
(156,455,173
)
Net assets
 
$
721,977,017
   
$
827,455,601
   
$
(827,455,601
)
 
$
721,977,017
 
 
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
 
 
TCP Capital Corp.

Consolidating Statement of Operations (Unaudited)

Three Months Ended March 31, 2015
 
   
TCP
Capital Corp.
Standalone
   
Special Value
Continuation
Partners, LP
Consolidated
   
Eliminations
   
TCP
Capital Corp.
Consolidated
 
Investment income
                       
Interest income:
                       
Companies less than 5% owned
 
$
-
   
$
30,277,150
   
$
-
   
$
30,277,150
 
Companies 5% to 25% owned
   
-
     
1,108,278
     
-
     
1,108,278
 
Companies more than 25% owned
   
-
     
170,825
     
-
     
170,825
 
Lease income:
                               
Companies 5% to 25% owned
   
-
     
291,705
     
-
     
291,705
 
Other income:
                               
Companies less than 5% owned
   
-
     
967,395
     
-
     
967,395
 
Total interest and related investment income
   
-
     
32,815,353
     
-
     
32,815,353
 
                                 
Operating expenses
                               
Management and advisory fees
   
-
     
4,359,198
     
-
     
4,359,198
 
Interest expense
   
1,519,164
     
1,703,685
     
-
     
3,222,849
 
Amortization of deferred debt issuance costs
   
169,313
     
390,933
     
-
     
560,246
 
Administration expenses
   
-
     
392,794
     
-
     
392,794
 
Commitment fees
   
-
     
321,522
     
-
     
321,522
 
Legal fees, professional fees and due diligence expenses
   
156,132
     
149,990
     
-
     
306,122
 
Director fees
   
28,363
     
56,726
     
-
     
85,089
 
Insurance expense
   
27,822
     
55,655
     
-
     
83,477
 
Custody fees
   
875
     
69,313
     
-
     
70,188
 
Other operating expenses
   
174,993
     
298,393
     
-
     
473,386
 
Total expenses
   
2,076,662
     
7,798,209
     
-
     
9,874,871
 
                                 
Net investment income (loss)
   
(2,076,662
)
   
25,017,144
     
-
     
22,940,482
 
                                 
Net realized and unrealized gain (loss) on investments and foreign currency
                         
                                 
Net realized gain (loss):
                               
Investments in companies less than 5% owned
   
-
     
(105,868
)
   
-
     
(105,868
)
Investments in companies 5% to 25% owned
   
-
     
395
     
-
     
395
 
Investments in companies more than 5% owned
   
-
     
19,167
     
-
     
19,167
 
Net realized loss
   
-
     
(86,306
)
   
-
     
(86,306
)
Net change in unrealized appreciation/depreciation
   
-
     
521,860
     
-
     
521,860
 
Net realized and unrealized gain
   
-
     
435,554
     
-
     
435,554
 
                                 
Interest in earnings of subsidiary
   
20,591,050
     
-
     
(20,591,050
)
   
-
 
Dividends paid on Series A preferred equity facility
   
-
     
(362,673
)
   
-
     
(362,673
)
Net change in accumulated dividends on Series A preferred equity facility
   
-
     
20,734
     
-
     
20,734
 
Distributions of incentive allocation to the General Partner from net investment income
   
-
     
-
     
(4,519,709
)
   
(4,519,709
)
Net increase in net assets applicable to common equityholders resulting from operations
 
$
18,514,388
   
$
25,110,759
   
$
(25,110,759
)
 
$
18,514,388
 
 
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 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. Most of the equity interests in the General Partner are owned directly or indirectly by the Advisor and its employees.  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 (the “Convertible Notes”) and $75.0 million in committed leverage from the SBA (the “SBA Program” and, together with the SVCP Facility, the TCPC Funding Facility and the 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, 2016, 81.1% 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 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, 2016, none of our investments were categorized as Level 1, 8.3% were categorized as Level 2, 91.5% 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.

Determination of fair value involves subjective judgments and estimates. Accordingly, the notes to our 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, 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. During the three months ended March 31, 2015, we invested approximately $106.8 million, comprised of new investments in 2 new and 7 existing portfolio companies, as well as draws made on existing commitments and PIK received on prior investments. Of these investments, 100.0% were in senior secured debt comprised of senior loans ($97.0 million, or 90.8% of the total) and senior secured notes ($9.8 million, or 9.2% of the total). Additionally, we received approximately $50.4 million in proceeds from sales or repayments of investments during the three months ended March 31, 2015.

At March 31, 2016, our investment portfolio of $1,227.1 million (at fair value) consisted of 90 portfolio companies and was invested 95.6% in debt investments, substantially all of which was in senior secured debt. In aggregate, our investment portfolio was invested 81.6% in senior secured loans, 14.0% in senior secured notes and 4.4% in equity investments. Our average portfolio company investment at fair value was approximately $13.6 million. Our largest portfolio company investment by value was approximately $45.0 million and our five largest portfolio company investments by value comprised approximately 15.0% of our portfolio at March 31, 2016.

At December 31, 2015, our investment portfolio of $1,182.9 million (at fair value) consisted of 88 portfolio companies and was invested 95.5% in debt investments, of which 99.9% was in senior secured debt and 0.1% in unsecured and subordinated debt. In aggregate, our investment portfolio was invested 81.5% in senior secured loans, 14.0% in senior secured notes, 0.1% in unsecured and subordinated debt, and 4.4% in equity investments. Our average portfolio company investment at fair value was approximately $13.4 million. Our largest portfolio company investment by value was approximately $43.3 million and our five largest portfolio company investments by value comprised approximately 15.7% of our portfolio at December 31, 2015.

The industry composition of our portfolio at fair value at March 31, 2016 was as follows:
Industry
 
Percent of Total
Investments
 
Software Publishing
   
16.8
%
Nondepository Credit Intermediation
   
5.4
%
Computer Systems Design and Related Services
   
4.7
%
Air Transportation
   
4.7
%
Other Information Services
   
4.4
%
Insurance Carriers
   
4.3
%
Business Support Services
   
4.1
%
Hospitals
   
3.3
%
Scientific Research and Development Services
   
3.2
%
Chemicals
   
3.0
%
Wired Telecommunications Carriers
   
2.8
%
Financial Investment Activities
   
2.7
%
Textile Furnishings Mills
   
2.6
%
Wireless Telecommunications Carriers
   
2.6
%
Advertising and Public Relations Services
   
2.3
%
Data Processing and Hosting Services
   
2.3
%
Utility System Construction
   
2.0
%
Electronic Component Manufacturing
   
2.0
%
Management, Scientific, and Technical Consulting Services
   
1.9
%
Apparel Manufacturing
   
1.9
%
Other Manufacturing
   
1.7
%
Retail
   
1.6
%
Lessors of Nonfinancial Licenses
   
1.5
%
Radio and Television Broadcasting
   
1.5
%
Communications Equipment Manufacturing
   
1.4
%
Computer Equipment Manufacturing
   
1.4
%
Restaurants
   
1.3
%
Accounting, Tax and Payroll Services
   
1.2
%
Equipment Leasing
   
1.2
%
Electrical Equipment Manufacturing
   
1.1
%
Other Telecommunications
   
1.0
%
Other
   
8.1
%
Total
   
100.0
%
 
The weighted average effective yield of the debt securities in our portfolio was 11.00% at March 31, 2016 and 10.95% at December 31, 2015. At March 31, 2016, 80.8% of our debt investments bore interest based on floating rates, such as LIBOR, EURIBOR, the Federal Funds Rate or the Prime Rate, and 19.2% bore interest at fixed rates. The percentage of our floating rate debt investments that bore interest based on an interest rate floor was 76.6% at March 31, 2016. At December 31, 2015, 80.4% of our debt investments bore interest based on floating rates, such as LIBOR, EURIBOR, the Federal Funds Rate or the Prime Rate, and 19.6% bore interest at fixed rates. The percentage of our floating rate debt investments that bore interest based on an interest rate floor was 77.9% at December 31, 2015.

Results of operations

Investment income

Investment income totaled $34.6 million and $32.8 million, respectively, for the three months ended March 31, 2016 and 2015, of which $32.9 million and $31.5 million were attributable to interest and fees on our debt investments, $0.8 million and $0.3 million to lease income, and $0.9 million and $1.0 million to other income, respectively. Included in interest and fees on our debt investments were $0.9 million and $0.2 million of non-recurring income related to prepayments for the three months ended March 31, 2016 and 2015, respectively.  The increase in investment income in the three months ended March 31, 2016 compared to the three months ended March 31, 2015 reflects an increase in interest income due to the larger investment portfolio in the three months ended March 31, 2016 compared to the three months ended March 31, 2015.

Expenses

Total operating expenses for the three months ended March 31, 2016 and 2015 were $11.7 million and $9.9 million respectively, comprised of $5.5 million and $4.1 million in interest expense and related fees, $4.5 million and $4.4 million in base management fees, $0.5 million and $0.3 million in legal and other professional fees, and $1.2 million and $1.1 million in other expenses, respectively. The increase in expenses in the three months ended March 31, 2016 compared to the three months ended March 31, 2015 primarily reflects higher interest expense due to the conversion of the Preferred Interests to term debt, the increase in LIBOR, and other costs related to the increase in available and outstanding debt.

Net investment income

Net investment income was $22.9 million and $22.9 million respectively, for the three months ended March 31, 2016 and 2015. The relatively flat net investment income in the three months ended March 31, 2016 compared to the three months ended March 31, 2015 primarily reflects the increased interest income in the three months ended March 31, 2016, offset by the increase in expenses.

Net realized and unrealized gain or loss

Net realized losses for the three months ended March 31, 2016 and 2015 were $2.6 million and $0.1 million respectively. The net realized loss during the three months ended March 31, 2016 was due primarily to the taxable reorganization of our investment in Boomerang Tube, LLC.

For the three months ended March 31, 2016 and 2015, the change in net unrealized appreciation/depreciation was $(4.2) million and $0.5 million, respectively. The change in net unrealized appreciation 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. The change in net unrealized appreciation for the three months ended March 31, 2015 was primarily due to various mark to market adjustments during the period.
 
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, 2016 and 2015.

Dividends to preferred equity holders

Dividends on the Preferred Interests for the three months ended March 31, 2016 and 2015 were $0.0 million and $0.3 million, respectively. The decrease in dividends on Preferred Interests during the three months ended March 31, 2016 compared to the three months ended March 31, 2015 was due to the repurchase and retirement of all remaining Preferred Interests during 2015.

Incentive compensation

Incentive compensation distributable to the General Partner for the three months ended March 31, 2016 and 2015 was $4.6 million and $4.5 million, respectively. Incentive compensation for the three months ended March 31, 2016 and 2015 was distributable due to our performance exceeding the total return threshold. The change in reserve for incentive compensation to the General Partner for the three months ended March 31, 2016 and 2015 was $0.0 million and $0.0 million, respectively.

Net increase in net assets resulting from operations

The net increase in net assets resulting from operations was $11.5 million and $18.5 million for the three months ended March 31, 2016 and 2015, respectively. The lower net increase in net assets resulting from operations during the three months ended March 31, 2016 is primarily due to the higher net realized and unrealized losses during the three months ended March 31, 2016 compared to the three months ended March 31, 2015.

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 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, 2016.
 
   
Shares Issued
   
Price Per Share
   
Net Proceeds
 
Shares issued from dividend reinvestment plan
   
154
   
$
14.88
*
 
$
2,291
 
 
* 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, 2015.

   
Shares Issued
   
Price Per Share
   
Net Proceeds
 
At-the-market offerings
   
248,614
   
$
15.87
*
 
$
3,946,066
 
Shares issued from dividend reinvestment plan
   
555
     
14.62
*
   
8,116
 
 
* Weighted-average price per share.

On October 3, 2014, we entered into an at-the-market equity offering program (the “ATM Program”) with Raymond James & Associates Inc. and Cantor Fitzgerald & Co. 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 24, 2016, and, unless further extended or terminated by our board of directors, we expect that the Company Repurchase Plan will be in effect through the earlier of two trading days after our first quarter 2016 earnings release or such time as the approved $50.0 million repurchase amount has been fully utilized, subject to certain conditions. The following table summarizes the total shares repurchased and amounts paid by the Company under the Company Repurchase Plan, including broker fees, for the three months ended March 31, 2016:
 
   
Shares
Repurchased
   
Price Per Share
   
Total Cost
 
Company Repurchase Plan
   
140,596
   
$
13.23
*
 
$
1,860,737
 
 
* Weighted-average price per share

Total leverage outstanding and available under the combined Leverage Program at March 31, 2016 were as follows:

   
Maturity
   
Rate
   
Carrying
Value*
   
Available
   
Total
Capacity
 
SVCP Facility
                               
SVCP Revolver
 
2018
     
L+1.75
%  
$
44,000,000
   
$
72,000,000
   
$
116,000,000
 
Term Loan
 
2018
     
L+1.75
%
 
   
100,500,000
     
     
100,500,000
 
Convertible Notes ($108 million par)
 
2019
     
5.25
%
     
106,217,915
     
     
106,217,915
 
TCPC Funding Facility
 
2020
     
L+2.50
%†‡    
244,000,000
     
106,000,000
     
350,000,000
 
SBA Debentures
   
2024-2025
     
2.81
%§
     
49,000,000
     
26,000,000
     
75,000,000
** 
Total leverage
                     
543,717,915
   
$
204,000,000
   
$
747,717,915
 
Unamortized issuance costs
                     
(4,122,609
)
               
Debt, net of unamortized issuance costs
                   
$
539,595,306
                 
 
* 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 on pooled loans of $42.8 million, excluding fees of 0.36%. As of March 31, 2016, the remaining $6.2 million of the outstanding amount was not yet pooled, and bore interest at a temporary rate of 1.20% plus fees of 0.36% through September 23, 2016, the date of the next SBA pooling.
** Anticipated total capacity of $150.0 million, subject to approval by the SBA following complete funding of our initial $75.0 million commitment..
 
On July 13, 2015, we obtained exemptive relief from the SEC to permit us to exclude the debt of our SBA Debentures 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.  The SBIC currently has a $75.0 million commitment from the SBA. Once this commitment is fully drawn, the SBIC intends to submit an application to the SBA for an additional $75.0 million commitment.

Net cash used in operating activities during the three months ended March 31, 2016 was $34.6 million. Our primary use of cash in operating activities during this period consisted of the settlement of acquisitions of investments (net of dispositions) of $46.5 million, partially offset by net investment income less incentive allocation (net of non-cash income and expenses) of approximately $11.9 million.

Net cash provided by financing activities was $21.7 million during the three months ended March 31, 2016, consisting primarily of $41.2 million of net borrowings reduced by the $17.5 million in regular dividends on common equity, payment of $0.1 million in debt issuance costs, and $1.9 million in common shares repurchases.

At March 31, 2016, we had $22.7 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, 2016, 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 Convertible Notes and the TCPC Funding Facility mature in July 2018, December 2019, 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, 2016 and March 31, 2015:
 
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
 
 
Date Declared
 
Record Date
 
Payment Date
 
Type
 
Amount Per Share
   
Total Amount
 
March 10, 2015
 
March 19, 2015
 
March 31, 2015
 
Regular
 
$
0.36
   
$
17,535,826
 
 
The following table summarizes the total shares issued in connection with our dividend reinvestment plan for the three months ended March 31, 2016 and 2015:
 
   
2016
   
2015
 
Shares Issued
   
154
     
122
 
Average Price Per Share
 
$
14.88
   
$
16.02
 
Proceeds
 
$
2,291
   
$
1,959
 
 
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 SVOF/MM, LLC. SVOF/MM, LLC is an affiliate of the Advisor and the general partners 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

On April 18, 2016, the Company issued $30.0 million in aggregate principal amount of a 5.25% convertible note due 2021 (the “Note”) pursuant to a purchase agreement, dated as of April 18, 2016, between the Company and CNO Financial Investments Corp.  The conversion price is the greater of (a) the closing price of the Company’s common shares on the conversion date and (b) the then-current net asset value of the Company. There were no placement agent or underwriting fees in connection with the transaction. The Note will mature on April 30, 2021, unless previously converted.  The holder may convert the Note at its option at any time prior to the close of business on the business day immediately preceding April 30, 2021, in integral multiples of $1,000,000 principal amount. Additionally, the Note will be automatically converted in its entirety, without any further action by the holder, on the date on which the closing price of the common stock of the Company has been at or above the Company’s most recent publicly reported net asset value per share of common stock for at least ten trading days (whether or not consecutive) in a 20 consecutive trading day period.

From April 1, 2016 through May 6, 2016, the Operating Company has invested approximately $36.3 million primarily in four senior secured loans, which includes $21.5 million funded through the SBIC. The combined effective yield is approximately 10.7%.
 
On May 4, 2016, 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 2016 earnings release or such time as the approved $50.0 million repurchase amount has been fully utilized, subject to certain conditions.
 
On May 10, 2016, the Company’s board of directors declared a second quarter regular dividend of $0.36 per share payable on June 30, 2016 to stockholders of record as of the close of business on June 16, 2016.
 
Item 3: Quantitative and qualitative disclosure about market risk

We are subject to financial market risks, including changes in interest rates. At March 31, 2016, 80.8% of our debt investments 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, 2016, the percentage of our floating rate debt investments that bore interest based on an interest rate floor was 76.6%. 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, 2016 balance sheet, the following table shows the annual impact on net 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 Income
 
Up 300 basis points
 
$
25,163,174
   
$
(12,675,000
)
 
$
12,488,174
 
Up 200 basis points
   
15,939,131
     
(8,450,000
)
   
7,489,131
 
Up 100 basis points
   
6,715,496
     
(4,225,000
)
   
2,490,496
 
Down 100 basis points
   
(1,676,324
)
   
2,668,933
     
992,609
 
Down 200 basis points
   
(1,676,324
)
   
2,668,933
     
992,609
 
Down 300 basis points
   
(1,676,324
)
   
2,668,933
     
992,609
 

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.
 
PART II - Other Information

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, 2016, 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 29, 2016.

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 10, 2016
     
 
By:
/s/ Howard M. Levkowitz
 
 
Name:
Howard M. Levkowitz
 
 
Title:
Chief Executive Officer
 

Date: May 10, 2016
     
 
By:
/s/ Paul L. Davis
 
 
Name:
Paul L. Davis
 
 
Title:
Chief Financial Officer
 
 
 
64